The Least-Squares Finite Element Method Theory and Applications in Computational Fluid Dynamics and Electromagnetics

Scientific Computation
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Scientific Computation
A Computational Method in Plasma Physics
F. Bauer, O. Betancourt, P. Garabedian
Implementation of Finite Element Methods for Navier-Stokes Equations
F. Thomasset
Finite-Difference Techniques for Vectorized Fluid Dynamics Calculations
Edited by D. Book
Unsteady Viscous Flows D. P. Telionis
Computational Methods for Fluid Flow R. Peyret, T. D. Taylor
Computational Methods in Bifurcation Theory and Dissipative Structures
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Numerical Methods in Fluid Dynamics Second Edition
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Spectral Methods in Fluid Dynamics Second Edition
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Classical Orthogonal Polynomials of a Discrete Variable
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Monte Carlo Methods in Boundary Value Problems
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Computer Simulation of Dynamic Phenomena
M. L. Wilkins
The Least-Squares Finite Element Method
Theory and Applications in Computational Fluid Dynamics and Electromagnetics
Bo-nan Jiang
Bo-nan Jiang
The least-Squares
Finite Element Method
Theory and Applications
in Computational Fluid Dynamics
and Electromagnetics
With 130 Figures and 11 Tables
, Springer
Dr. Bo-nan Jiang
Institute for Computational Methods in Propulsion
NASA Lewis Research Center
Cleveland, OH 44135, USA
ISSN 0172-5726
ISBN 978-3-642-08367-9
Library of Congress Cataioging-in-Publication Data. Jiang, Bo-nan, 1940- The least-squares finite
element method: theory and appIications in computational fluid dynamics and electromagnetics /
Bo-nan Jiang. p. cm. - (Scientific computation, ISSN 0172-5726) Includes bibliographicai references
and index.
ISBN 978-3-642-08367-9 ISBN 978-3-662-03740-9 (eBook)
DOI 10.1007/978-3-662-03740-9
1. Fluid mechanics-Mathematics. 2. Electro-
megnetics-Mathematics. 3. Finite element method. 4. Least squares. 5. Differential equaions, Par-
tial-Numerical solutions. 1. Tide. II. Series. QC151.J53 1998 532'.051'01515353-dc21 97-51980
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Preface
The Rayleigh-Ritz finite element method, which is based on the principle of

minimum potential energy, has proved to be extremely successful and become
a dominating computational technique in solid mechanics, heat transfer and
static electromagnetics. Because the Rayleigh-Ritz method is applicable only
for equations with self-adjoint operators, the Galerkin method, which is based
on the principle of virtual work or the weighted residual form, has been
much emphasized since the early 1970s and considered a universal approach
to construction of finite element schemes. However, attempts to apply the
Galerkin method to non-self-adjoint equations in fluid dynamics and other
transport problems encounter serious difficulties, including oscillations and
instabilities of the solution and poor approximation of its derivatives. The
least-squares finite element method (LSFEM) based on simply minimizing
the L2 norm of the residuals of a first-order system of differential equations
promises to eliminate these drawbacks, and is receiving increasing attention.
The basic idea of the least-squares method for numerical solution of dif-
ferential equations is well known. However, the true power of the LSFEM
has not been exploited until quite recently. The objective of this book is to
provide a comprehensive introduction to the LSFEM including its theory and
applications.
Although the idea of the LSFEM is simple, its theory is not so simple,
and is still evolving. The mathematical theory of the LSFEM for elliptic
first-order systems developed by Wendland (1979) relies on the modern the-
ory of complex functions, and thus is applicable only to two-dimensional
problems. A more general analysis developed by Aziz et al. (1985) is based
on the Agmon-Douglis-Nirenberg (1964) theory of elliptic partial differential
equations. Their theory invokes high-level mathematics, and thus is suitable
mainly for mathematicians.
It is the author's opinion that the theoretical basis of the general least-
squares method is the bounded inverse theorem of linear operators. This
explains why LSFEM can provide numerical solutions for all types of par-
tial differential equations within one mathematical/computational framework
without any special treatment. The analysis of the least-squares method for
most partial differential equations (not only limited to elliptic problems) in
engineering and physics can be based on the bounded inverse theorem and the
VI Preface
Friedrichs inequalities related to grad, div and curl operators. Of course, the
analysis can also be based on the famous Lax-Milgram theorem. However, the
proof of the Lax-Milgram theorem needs knowledge of functional analysis and
its application is limited to elliptic problems. Therefore, in this book we em-
phasize the approach based on the bounded inverse theorem. This approach
gives a clear picture of the least-squares method without specialized math-
ematical knowledge beyond calculus and elementary differential equations.
Following this principle, this book establishes an almost self-sufficient and
reasonably rigorous mathematical framework for the least-squares method,
while the mathematics has been kept as simple as possible.
This book is written mainly for both engineers and physicists as well as
researchers. Most parts of the book cover diverse applications of the LSFEM.
It is presumed that the reader has basic knowledge about the finite el-
ement method for second-order elliptic partial differential equations. The
introduction of the finite element method is reduced to a minimum in order
to keep the book short. For those readers who are not familiar with finite
elements, many excellent introductory books are available. For example, the
readers may consult Zienkiewicz and Morgan (1983) or Becker et al. (1983).
The book contains fifteen chapters and four appendices.
Part I (Chaps. 1-3) gives some basic ideas about the least-squares method.
Chapter 1 provides an overview of the LSFEM.
Through simple one-dimensional examples, Chap. 2 explains why the
standard Galerkin method or the central difference method fails and why
the LSFEM doesn't need upwinding and is perfectly suitable for convective
transport problems described by first-order derivatives.
Chapter 3 compares the LSFEM with the mixed Galerkin method for
first-order elliptic systems and shows why the LSFEM can accommodate
equal-order elements.
Part II (Chaps. 4-6) introduces some theoretical aspects of the LSFEM.
Chapter 4 provides the mathematical foundation and general formulation
of the LSFEM based on a first-order system of partial differential equations.
Chapter 5 deals with the div-curl system which is fundamental for study-
ing the incompressible Navier-Stokes equations in fluid dynamics and the
Maxwell equations in electromagnetics. This chapter shows that the three-
dimensional div-curl system is not overdetermined and the LSFEM is the best
one for seeking its solution. This chapter introduces the div-curl method and
the least-squares method for deriving equivalent second-order equations and
their boundary conditions.
Chapter 6 deals with diffusion problems which are usually described by
a second-order scalar elliptic equation. A second-order equation can be de-
composed into a grad-div system or a div-curl-grad system. Both the mixed
Galerkin method and the conventional least-squares method are based on
the grad-div system. This chapter shows that the LSFEM based on the div-
curl-grad system has significant advantages: accommodation of equal-order
Preface VII
elements, symmetric positive-definite matrices, and optimal rates of conver-

gence.
Part III (Chaps. 7-13) covers the application of LSFEM to a broad range
of problems in fluid dynamics.
Chapter 7 treats inviscid irrotational flows for both incompressible and
subsonic compressible cases. The LSFEM directly determines the velocity
components instead of the potential to gain better accuracy and efficiency.
This chapter shows that due to the continuity of the velocity, a branch cut
is not needed for lifting airfoil problems in the LSFEM.
Chapter 8 deals with steady and transient incompressible viscous flows
including flow-heat coupling such as surface-tension-driven convection. Usu-
ally theoretical analysis and numerical solution of the incompressible Navier-
Stokes equations are based on the velocity-pressure formulation and con-
ducted via the mixed Galerkin method which leads to difficult saddle-point
problems. This chapter shows that the principle part of the incompressible
Navier-Stokes equations in the velocity-pressure-vorticity formulation con-
sists of two coupled div-curl systems. From this completely new point of view,
this chapter systematicly and rigorously derives permissible non-standard
boundary conditions and equivalent second-order Navier-Stokes equations.
Through various examples, this chapter demonstrates that the correspond-
ing LSFEM has advantages over other methods: special treatments, such as
non-equal-order interpolation, upwinding, artificial compressibility, and op-
erator splitting are not needed.
In Chap. 9 a variety of methods for convective transport problems are
compared. It demonstrates that the LSFEM inherently contains a streamline
upwind mechanism to stablize the solution. Finding accurate approximation
of discontinuous solution of hyperbolic equations has been a persistently dif-
ficult task. This chapter shows that the L1 method and the reweighted LS-
FEM can resolve contact discontinuities in one element without error even
for coarse meshes.
Chapter 10 deals with rotational inviscid flows. The Euler equations gov-
erning incompressible rotational flows look simple, but in fact remain one
of the most difficult problems in computational fluid dynamics, since they
are neither elliptic nor hyperbolic. This chapter demonstrates that the loss
of kinetic energy that is common in other approaches does not occur in the
LSFEM.
Chapter 11 is devoted to the simulation of low-speed compressible viscous
flows. It is essential for the design of combustion chambers and chemical va-
por deposition reactors where heat addition induces significant temperature
and density variations. The pressure-based finite difference or finite volume
methods need the use of staggered grids, while the density-based method re-
quires preconditioning. This chapter shows that the LSFEM based on the
velocity-vorticity-pressure-compressibility-temperature-heat flux formula-
tion does not require any special treatment.
VIII Preface
Chapter 12 presents the simulation of two-fluid flows. To capture inter-

faces, conventional methods resort to iteration between two distinct method-
ologies, namely, a flow equation solver usually based on projection methods
and a pure convection equation solver to identify the materials by Lagrangian
or upwinding methods. This chapter demonstrates that the LSFEM solves
the convective color function in conjunction with the velocity and pressure
in a unified and fully implicit manner without any special treatment.
Chapter 13 deals with high-speed compressible gas flows governed by the
Euler equations. This chapter illustrates that backward time-differencing to-
gether with the LSFEM can capture shocks and yield high-resolution shocks
when combined with adaptive remeshing techniques. In contrast to exist-
ing methods, the LEFEM does not use upwinding, directional splitting and
Riemann solvers, and its implementation is thus considerably simple.
In Part IV (Chap. 14) the LSFEM is applied to electromagnetics prob-
lems. It is commonly believed that the divergence equations in the Maxwell
equations are "redundant" for transient and time-harmonic problems, there-
fore most numerical methods in computational electromagnetics solve only
two first-order curl equations, or the second-order curl--curl equations. This
chapter shows that this misconception is the true origin of spurious modes,
inaccurate solutions, and failure of iterative solvers. This chapter clarifies
that the first-order full Maxwell equations are not "overdetermined" and the
divergence equations must always be included to maintain the ellipticity of
the system in the space domain, to guarantee the uniqueness of the solution
and the accuracy of the numerical methods and to eliminate the infinitely
degenerate eigenvalue. This chapter also shows that the common derivation
and usage of the second-order curl--curl equations are incorrect and that the
solution of the Helmholtz equations needs the divergence condition to be en-
forced on the boundary. This chapter explains that the div--curl method and
the least-squares method can provide a rigorous derivation of the equivalent
second-order Maxwell equations and their boundary conditions, as well as
their corresponding variational principles. This chapter demonstrates that
the node-based LSFEM can solve the first-order full Maxwell equations di-
rectly and without spurious solutions.
Application of the LSFEM always leads to a symmetric positive-definite
system of linear algebraic equations. To compute the solution efficiently, in
the last chapter we introduce the matrix-free element-by-eleinent precondi-
tioned conjugate gradient method. It is worth mentioning that the conjugate
gradient method is a kind of least-squares method.
In this book we carryon the least-squares idea from the beginning to the
end, i.e., from constructing the formulation to solving the resulted discretized
equations.
Preface IX
The book reflects recent developments of the LSFEM. Most of the results
in this book have been obtained by the author and his collaborators, and
many of them are not published elsewhere.
I would like to express my sincere gratitude to Dr. Louis A. Povinelli,

the director of Institute for Computational Mechanics in Propulsion, NASA
Lewis Research Center, and Prof. Theo G. Keith, the vice president of Ohio
Aerospace Institute, who have constantly supported research on the LSFEM.
My appreciation also goes to Prof. J. Tinsley Oden who introduced me to the
finite element theory and is always available when I need support and advice.
I thank my colleagues and friends who have contributed to the development of
this subject. I am particularly grateful to Mr. Jia-zhen Chai, with whose help I
initiated this research, and Dr. Tsung-Liang Lin, who wrote most of our early
version of the LSFEM code for large-scale computations. I thank Drs. Jie Wu,
Sheng-Tao Yu, Vijay Sonnad, Srinivas Chari, and Ching Yuen Loh, whose
significant contributions have been included in this book. Special thanks are
also due to Prof. Yuesheng Xu, Prof. Yanzhao Cao, and Dr. Yunhe Zhao for
reading a part of the text and making helpful suggestions. I am particularly
indebted to Dr. Vijay Sonnad for his enthusiasm about the LSFEM. In 1990,
Dr. Sonnad invited me to work with him in IBM on the p-version LSFEM.
He has read the entire manuscript and made many valuable comments which
helped to improve the book.
It is a pleasure to acknowledge the tremendous effect provided by Prof.
W. Beiglbock, Mr. F. Holzwarth, Ms. B. Reichel-Mayer, and Mrs. P. Treiber
at Springer-Verlag in the production of this book. Finally, I wish to thank
my wife Dr. Mei-yu Yu for her encouragement.
Cleveland, January 1998 Bo-nan Jiang

[email protected]
Contents
Part I. Basic Concepts of LSFEM
1. Introduction.............................................. 3
1.1 Why Finite Elements? .................................. 3
1.2 Why Least-Squares? . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
2. First-Order Scalar Equation in One Dimension ........... 11

2.1 A Model Problem..... .... .... ... .. .. . . .... ...... .. .... 11
2.2 Function Spaces Hm(f1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 12
2.3 The Classic Galerkin Method - Global Approximation ...... 14
2.4 The Least-Squares Method - Global Approximation. . . . . . .. 16
2.5 One-Dimensional Finite Elements. . . . . . . . . . . . . . . . . . . . . . . .. 18
2.6 The Classic Galerkin Finite Element Method. . . . . . . . . . . . . .. 20
2.7 The Least-Squares Finite Element Method. . . . . . . . . . . . . . . .. 23
2.7.1 The Least-Squares Formulation. . . . . . . . . . . . . . . . . . .. 23
2.7.2 The Euler-Lagrange Equation. . . . . . . . . . . . . . . . . . . .. 24
2.7.3 Error Estimates. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 26
2.7.4 Condition Number ................................ 28
2.7.5 A Numerical Example... .. ... . ... . ..... .. .... .. .. 29
2.8 Concluding Remarks. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 30
3. First-Order System in One Dimension . . . . . . . . . . . . . . . . . . .. 31

3.1 A Model Problem. .. .... .... .... . .... .... .. .... .. .... .. 31
3.2 The Rayleigh-Ritz Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 32
3.3 The Mixed Galerkin Method.. .. ..... .... .... .. .... .. .. .. 33
3.4 The Least-Squares Finite Element Method. . . . . . . . . . . . . . . .. 37
3.4.1 The Least-Squares Formulation. . . . . . . . . . . . . . . . . . .. 37
3.4.2 Stability Estimate. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 39
3.4.3 Error Analysis .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 41
3.4.4 Numerical Results. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 42
XII Contents
Part II. Fundamentals of LSFEM
4. Basis of LSFEM .......................................... 47

4.1 Function Spaces ....................................... , 47
4.2 Linear Operators. . . . .. . . .. . . .. . . . . . . . . . .. . . .. . . . . . . . . .. 50
4.3 The Bounded Inverse Theorem.... ... .......... .... .. .. .. 51
4.4 The Friedrichs Inequality ............................... 53
4.5 The Poincare Inequality ................................ 55
4.6 Finite Element Spaces .................................. 56
4.6.1 Regularity Requirements. .. . . . . . . . . . . . . . . . . . . . . . .. 56
4.6.2 Linear Triangular Element. . . . . . . . . . . . . . . . . . . . . . . .. 57
4.6.3 Interpolation Errors .............................. 59
4.7 First-Order System .................................... , 64
4.8 General Formulation of LSFEM ......................... , 66
4.9 The Euler-Lagrange Equation. . . . . . . . . . . . . . . . . . . . . . . . . . .. 69
4.10 Error Estimates for LSFEM ............................. 69
4.10.1 General Problems ................................ 69
4.10.2 Elliptic Problems. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 71
4.11 Implementation of LSFEM .............................. 72
4.11.1 The Least-Squares Solution
to Linear Algebraic Equations ..................... 73
4.11.2 The Least-Squares Finite Element Collocation Method 76
4.11.3 Importance of the Order of Gaussian Quadrature. . . .. 77
5. Div-Curl System .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 81
5.1 Basic Theorems. .. . . .. . . .. . . .. . . . . . . . .. . . .. . . . . . . . . . . .. 81
5.2 Determinacy and Ellipticity. . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 86
5.3 The Div-Curl Method .................................. 88
5.4 The Least-Squares Method .............................. 90
5.5 The Euler-Lagrange Equation. . . . . . . . . . . . . . . . . . . . . . . . . . .. 91
5.6 The Friedrichs Second Div-Curl Inequality ................ 93
6. Div-Curl-Grad System ......................... : . . . . . . . .. 97

6.1 A Model Problem........... .... ........... .... .. ...... 97
6.2 The Mixed Galerkin Method. . . . . . . . . . . . . . . . . . . . . . . . . . . .. 98
6.3 The Conventional LSFEM ............................... 100
6.4 The Optimal LSFEM ................................... 102
6.4.1 Two-Dimensional Case ............................ 103
6.4.2 Three-Dimensional Case ........................... 105
6.4.3 Error Analysis ................................... 108
6.5 Numerical Results ...................................... 110
6.6 Concluding Remarks .................................... 111
Contents XIII
Part III. LSFEM in Fluid Dynamics
7. Inviscid Irrotational Flows ................................ 115

7.1 Incompressible Irrotational Flow ......................... 115
7.2 Subsonic Compressible Irrotational Flow .................. 119
7.2.1 The First-Order Governing Equations ............... 119
7.2.2 Application of LSFEM ............................ 122
7.2.3 Examples ....................................... 125
8. Incompressible Viscous Flows ............................. 129

8.1 The Stokes Equations in the u - p Formulation ............ 130
8.1.1 The Mixed Galerkin Method ....................... 130
8.1.2 The Mixed Galerkin/Least-Squares Method .......... 131
8.2 The Stokes Equations in the u - p - w Formulation ........ 132
8.2.1 Determinacy and Ellipticity ........................ 133
8.2.2 Boundary Conditions ............................. 135
8.2.3 Application of LSFEM ............................ 143
8.3 The Navier-Stokes Equations in the u - p - w Formulation .. 146
8.3.1 Two-Dimensional Case ............................ 149
8.3.2 Axisymmetric Case ............................... 152
8.3.3 Three-Dimensional Case ........................... 153
8.4 The Navier-Stokes Equations in the u - b - w Formulation .. 167
8.5 The Navier-Stokes Equations in the u - p - (T Formulation .. 168
8.6 Time-Dependent Problems in the u - p - w Formulation .... 170
8.7 Fluid-Thermal Coupling ................................. 175
8.7.1 Natural Convection ............................... 176
8.7.2 Rayleigh-Benard Convection ....................... 177
8.7.3 Surface-Tension-Driven Convection ................. 183
8.7.4 Double-Diffusive Convection ....................... 188
8.8 The Second-Order u - w Formulation ..................... 191
8.8.1 The Stokes Equations ............................. 192
8.8.2 The Navier-Stokes Equations ...................... 194
9. Convective Transport ..................................... 201

9.1 Steady-State Problems .................................. 202
9.1.1 The Classic Galerkin Method ...................... 204
9.1.2 The SUPG Method ............................... 205
9.1.3 The Least-Squares Finite Element Method ........... 206
9.2 Contact Discontinuity ................................... 208
9.2.1 Introduction ..................................... 208
9.2.2 The L1 Solution to Linear Algebraic Equations ....... 209
9.2.3 The L1 Finite Element Method .................... 213
XIV Contents
9.2.4 The Iteratively Reweighted LSFEM ................. 218

9.2.5 Numerical Results of IRLSFEM .................... 219
9.3 'Transient Problems ................. " .................. 225
9.3.1 The Taylor-Galerkin Method ...................... 225
9.3.3 Numerical Examples of LSFEM .................... 232
10. Incompressible Inviscid Rotational Flows ................. 241

10.1 Incompressible Euler Equations .......................... 242
10.1.1 The Velocity-Pressure Formulation ................. 242
10.1.2 The Velocity-Pressure-Vorticity Formulation ........ 243
10.2 Energy Conservation .................................... 246
10.3 The Least-Squares Finite Element Method ................. 246
10.4 Numerical Results of LSFEM ............................ 249
11. Low-Speed Compressible Viscous Flows .................. 259

11.1 Introduction ........................................... 259
11.2 Two-Dimensional Case. " ............................... 260
11.2.1 The Compressible Navier-Stokes Equations .......... 260
11.2.2 The First-Order System for Low-Speed Flows ........ 264
11.2.3 The Div-Curl-Grad Formulation ................... 265
11.2.5 Numerical Results ................................ 269
11.3 Three-Dimensional Case ................................. 275
11.3.1 The Compressible Navier-Stokes Equations .......... 275
11.3.2 The Div-Curl-Grad Formulation ................... 277
11.3.3 Numerical Results ................................ 278
11.4 Concluding Remarks. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 284
12. Two-Fluid Flows .......................................... 285

12.1 Introduction ........................................... 285
12.2 Continuum Surface Force Model. ......................... 287
12.3 The First-Order Governing Equations ..................... 289
12.3.1 Rectangular Coordinates ................ _......... 289
12.3.2 Cylindrical Coordinates ........................... 291
12.4 Numerical Examples .................................... 293
12.5 Concluding Remarks ................................... 302
13. High-Speed Compressible Flows . . . . . . . . . . . . . . . . . . . . . . . . . . 303

13.1 Various Least-Squares Schemes ........................... 303
13.1.1 Non-conservative L2 Scheme ......... " ............ 303
13.1.2 Non-conservative HI Scheme ...................... 306
13.1.3 Conservative Schemes ............................. 308
Contents XV
13.2 One-Dimensional Flows ................................. 310

13.3 Two-Dimensional Flows ................................. 314
13.3.1 Non-conservative L2 Scheme ....................... 314
13.3.2 Conservative Scheme .............................. 321
Part IV. LSFEM in Electromagnetics
14. Electromagnetics ......................................... 331

14.1 The First-Order Maxwell Equations ....................... 332
14.1.1 Basic Equations .................................. 333
14.1.2 Determinacy ..................................... 334
14.1.3 Importance of Divergence Equations ................ 337
14.2 The Second-Order Maxwell Equations ..................... 338
14.2.1 The Div-Curl Method ............................ 340
14.2.2 The Galerkin Method ............................. 343
14.2.3 The Least-Squares Look-Alike Method ............. 345
14.2.4 Anisotropic Media ................................ 347
14.3 Electrostatic Fields ..................................... 349
14.3.1 Electric Potential ................................. 350
14.4 Magnetostatic Fields .................................... 355
14.4.1 Magnetostatic Vector Potential. .................... 356
14.5 Time-Harmonic Fields .................................. 358
14.5.1 Three-Dimensional Time-Harmonic Waves ........... 358
14.5.2 Time-Harmonic TE Waves ......................... 360
14.6 Transient Scattering Waves .............................. 364
14.6.1 TM and TE Waves ............................... 367
14.6.2 Time-Discretization ............................... 369
14.6.3 Numerical Examples .............................. 371
14.6.4 Influence of Divergence Equations .................. 379
14.7 Conclusion Remarks .................................... 381
Part V. Solution of Discrete Equations
15. The Element-by-Element Conjugate Gradient Method . ... 385

15.1 Element-by-Element Technique ........................... 385
15.2 Matrix-Free Algorithm .................................. 387
15.3 The Conjugate Gradient Method ......................... 388
15.3.1 The Steepest Descent Method ...................... 388
15.3.2 The Conjugate Gradient Method ................... 390
15.3.3 The Preconditioned Conjugate Gradient Method ..... 392
XVI Contents
15.3.4 Numerical Results and Comparisons ................ 393

Appendices ............................... .................... 397

A. Operations on Vectors .................................. 397
B. Green's Formula ........................................ 397
C. Poincare Inequality ..................................... 398
D. Lax-Milgram Theorem .................................. 398
References. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 399
Index ......................................................... 413

Part I
Basic Concepts of LSFEM

1. Introduction
In this chapter we briefly overview the basic ideas and features of the least-
squares finite element method. In the following chapters we will elaborate on
the view points discussed in this chapter.
1.1 Why Finite Elements?

The finite element method is one of the most general techniques for the nu-
merical solution of differential equations. It has been astonishingly successful.
"Perhaps no other family of approximation methods has had a greater impact
on the theory and application of numerical methods during the twentieth cen-
tury" (Oden 1991). The finite element method has now been used throughout
the fields of engineering and applied science.
The finite element method does not operate directly on the differential
equations; instead, the continuous boundary and initial value problems are
put into equivalent variational forms. The solution appears in the integral of a
quantity over a domain. The integral of a function over an arbitrary domain
can be broken up into the sum of integrals over an arbitrary collection of
subdomains called finite elements. As long as the sub domains are sufficiently
small, polynomial functions can adequately represent the local behavior of
the solution. According to remarks made by Zienkiewicz (1975) and Oden
(1991), the most important features of finite elements can be summarized as:
(1) Arbitrary geometries. The finite element method is essentially indepen-
dent of geometry. It can be applied to domains of complex shape and with
quite arbitrary boundary conditions.
(2) Unstructured meshes. In finite element analyses a global coordinate trans-
formation is not needed. Finite elements can be placed anywhere in physical
domains. In engineering practice one often modifies the original design to
satisfy different requirements. Finite element analysts can add or delete el-
ements without changing the global data structure. If iterative solvers are
employed, the element and nodal numbering can be arbitrary without sacri-
ficing efficiency.
(3) Flexible and general purpose format of program. The clear structure and
versatility of the finite element method makes it possible to construct general
purpose software for application.
4 1. Introduction
(4) Mathematical foundation. Because of the extensive work on the mathe-

matical theory during the past two decades, the finite element method now
enjoys a rich and solid mathematical basis. This gives added reliability and
in many cases makes it possible to mathematically analyze and estimate the
accuracy of finite element solutions.
1.2 Why Least-Squares?

According to the underlining variational principle, the finite element method
can be classified into three major groups: the Rayleigh-Ritz method, the
Galerkin method and the least-squares method.
The Rayleigh-Ritz method seeks to minimize the total potential energy,
and hence the numerical solution of the Rayleigh-Ritz finite element method
possesses the best approximation property. That is, the difference between
the finite element solution and the exact solution is minimized with respect
to a certain energy norm. Moreover, the Rayleigh-Ritz finite element method
leads to symmetric and positive-definite systems of linear algebraic equations.
This formulation has proven eminently successful in application to problems
in solid mechanics and in other situations, such as heat conduction, governed
by self-adjoint, second- or fourth-order elliptic diffusion-type equations. In
fact, today, most widely used commercial finite element codes in engineering
analysis are based on the Rayleigh-Ritz method.
The Galerkin method is based on the weighted residual form. To illustrate
the basic idea of the Galerkin method, we consider a mathematical problem
defined by a set of partial differential equations in the form
Au=f in n, (1.Ia)
Bu=O onr, (LIb)
where A is the linear differential operator, B is the boundary operator, u is
the dependent unknown vector, f is the force vector, n is the domain, and
r is the boundary of n.
The approximation process of the weighed residual method can be written
as follows. First, the function is approximated by a set of unknown parame-
ters Uj and trial (basis) functions 4i j (x), where the vector ~ stands for the
independent variables,
j = I,oo.,n. (1.2)
Second, the algebraic equation permitting a numerical solution is formed as
t
a "weighted residual" ,
In v; (Au - f)dn + v; Budr = 0, (1.3)
where Vi and Vi are "suitably chosen" test functions, and T denotes the
transpose. In the conventional Galerkin method, the choice is
1.2 Why Least-Squares? 5
Vi = Vi = <l?i. (1.4)
For equations with self-adjoint and positive definite operators, the Galer-
kin formulation results in the same system of equations as in the Rayleigh-
Ritz formulation. However, the Galerkin method appears more general, be-
cause it is applicable for non-self-adjoint equations such as arise in fluid me-
chanics. This generality of the Galerkin finite element method provided, in the
early 1970s, a strong impetus for the utilization of the method in fluid dynam-
ics. It was thought that the significant advantages gained in solid mechanics
and diffusion-type problems by using the Rayleigh-Ritz method would again
be open to exploitation in the area of fluid flow by using the Galerkin method.
In reality, this proved to be too optimistic, especially for modeling convection
dominated flow problems. Convection operators are of first order, and thus
non-self-adjoint; as a result, the Galerkin method does not exhibit the best
approximation property.
In practice, solutions to convection dominated transport problems by the
Galerkin method are often corrupted by spurious oscillations or "wiggles".
These can only be removed by severe mesh refinements which clearly under-
mine the practical utility of the method.
The classic Galerkin method also behaves poorly for high-speed com-
pressible flow and shallow water wave problems. In these cases, the flows are
governed by nonlinear first-order hyperbolic equations; their solutions may
be discontinuous, that is, shocks often develop even if the initial flow field is
smooth.
Notorious difficulties arise even for the solution of elliptic problems by
the Galerkin mixed method. One example is incompressible irrotational flow
problems governed by Laplace or Poisson equations of the potential. In com-
mon practice, the primal variable, i.e., the potential is solved by the Rayleigh-
Ritz method, then a posteriori numerical differentiation is required to obtain
the dual variables, i.e. the velocity components which are more important.
The computed velocity is not continuous across element boundaries, and in
general its accuracy is one order lower than that of the potential. The Galerkin
mixed method based on the first-order equations was devised in the hope of
obtaining better accuracy for both primal and dual variables. Here the term
'mixed' means that both primal variables and dual variables are approxi-
mated as fundamental unknowns. Unfortunately, the Galerkin mixed method
brings perhaps more troubles than benefits, at least for second-order ellip-
tic problems. First, the original simple minimization problem is turned into
a difficult saddle-point problem, and one must use different elements to in-
terpolate primal variables and dual variables, and often lower-order elements
must be employed for dual variables to satisfy the celebrated Ladyzhenskaya-
Babuska-Brezzi (LBB) condition (see, e.g., Babuska 1971, Brezzi 1974, and
Oden and Carey 1983). As a consequence, better accuracy for dual variables
may not be achieved. Second, the Rayleigh-Ritz method leads to symmetric
positive-definite matrices, while the Galerkin mixed method produces non-
6 1. Introduction
positive-definite matrices which have been hard to solve for large-scale prob-
lems.
Another well-known example is viscous flow problems governed by the
incompressible Navier-Stokes equations. Here one encounters the same insta-
bilities when the Galerkin mixed method is used for the solution of velocity
and pressure.
In computational electromagnetics (CEM), the most popular finite ele-
ment methods for static and eddy currents problems are based on the use of
potentials that involve difficulties related to the appropriate gauging method
and the loss of accuracy and inter-element continuity of the calculated field
intensity by numerical differentiation. It is commonly believed that the di-
vergence equations in the Maxwell equations are redundant. Therefore, con-
ventional time-domain methods are based only on the two curl equations,
and frequency methods are based only on the curl-curl equations. Due to the
appearance of spurious modes which violate the divergence-free equations,
the direct solution of the field intensity vectors in the first-order Maxwell
equations by using the node-based Galerkin-type procedure has not been
successful.
It is not an exaggeration to say that during the passed three decades much
of finite element research in fluid mechanics was devoted to modification
and improvement of the Galerkin method. The achievement of mathematical
analysis ofthe Galerkin method is remarkable; however, the application of the
Galerkin method in computational fluid dynamics (CFD) and computational
electromagnetics (CEM) has not produced entirely satisfactory results. This
is a major reason why the finite difference and finite volume methods are
much in vogue in CFD and time-domain CEM.
It is the author's opinion that for non-self-adjoint systems, such as arise
in fluid mechanics and electromagnetics, the application of the least-squares
finite element method (LSFEM) is the right direction to go.
The LSFEM is based on the minimization of the residuals in a least-
squares sense. The method seeks the minimizer of the following functional
(1.5)
within the constraint of a given boundary condition (1.1b). That is, the least-
squares solution is calculated from the following variational statement:
(1.6)
In contrast to the Galerkin formulation (1.3) which is only conceptual with-

out much practical meaning and thus in most cases needs further problem-
dependent mathematical manipulation in order to obtain a realistic compu-
tational formulation for a particular problem, the least-squares formulation,
(1.6), is a final mathematical as well as computational formulation for any
problem. Although the LSFEM formulation is simple, it offers significant

merits. The following features of LSFEM will be elaborated in the text:
(1) Universality. It has become standard practice to employ different nu-
merical schemes for different types of differential equations. In finite dif-
ference literature, one can find central difference schemes used for elliptic
(diffusion) problems, upwind difference schemes for hyperbolic (convection)
problems, and many special schemes developed for particular problems. Of-
ten the latter are named after their inventors, such as the Beam-Warming,
Lax-Wendroff,· MacCormack schemes, etc. In finite element literature, there
exist many different Galerkin methods: the classic Galerkin, Galerkin mixed,
Petrov-Galerkin, Taylor-Galerkin, Galerkin/least-squares, etc. All are de-
vised for different problems and have very different principles and structures.
In contrast, the LSFEM has a unified formulation for the numerical solu-
tion of all types of partial differential equations. It does not matter whether
the equations are elliptic, parabolic, hyperbolic or mixed. As long as the
equations have a unique solution, the LSFEM always can determine a good
approximate solution. For this reason, the LSFEM is able to simulate fluid dy-
namics problems in all flight regimes, from incompressible/subsonic through
transonic, supersonic and hypersonic. And it does this within one mathemat-
ical/computational framework.
(2) Efficiency. The LSFEM is naturally suited for first-order differential op-
erators. In many areas of engineering and applied science, the original govern-
ing partial differential equations obtained from physical laws are of first order
or can be turned into a set of first-order equations. However, it is difficult
to deal with first-order differential operators by conventional methods, be-
cause such equation systems generally lead to nonsymmetric matrices for all
other numerical methods. On the other hand, the LSFEM, for linear partial
differential equations, always leads to symmetric positive-definite matrices
which can be efficiently solved by matrix-free iterative methods, such as the
preconditioned conjugate gradient method. Consequently, large-scale three-
dimensional problems can be solved within reasonable computer memory and
in relatively small amount of time. Moreover, the parallelization is trivial.
(3) Robustness. When the LSFEM is employed, special treatments, such as
upwinding, artificial dissipation, staggered grid or non-equal-order elements,
artificial compressibility, operator-splitting, and operator-preconditioning,
etc. are unnecessary; moreover, user-tunable parameters that are prevalent
in traditional schemes are avoided. In all areas where the Galerkin mixed
method is invoked, the LSFEM can be applied without the limitation of the
LBB condition, that is, equal-order elements, which make the programming
much easier, can be used. For the solution of problems in pure convection and
high-speed compressible flows, the LSFEM inherently contains a mechanism
to automatically capture discontinuities or shocks. In addition, for pure con-
vection problems, the reweighted LSFEM can capture contact discontinuities
in one element with machine-accuracy.
8 1. Introduction
(4) Optimality. In many cases it can be rigorously proven that the LSFEM
solution is the best approximation, that is, the error of the LSFEM solution
has the same order as the interpolation error. In many areas of engineering
and applied science, it is as important to evaluate the accuracy of an ap-
proximate solution as it is to obtain that solution. The least-squares method
meets the need for posterior error analysis by supplying an error indicator in
the form of the residuals that are minimized by the procedure. This very re-
liable error indicator can be used for adaptive refinement to achieve optimal
solutions. No other approximate method can supply this information without
additional calculation.
(5) Concurrent simulation of multiple physics. Since the LSFEM is a uni-
fied method for the approximate solution of differential equations governing
diverse physical phenomena, a one-algorithm, one-code and one-pass simu-
lation tool for concurrent analysis of different disciplines, such as conjugate
heat transfer and solid-fluid interaction, can be developed.
(6) General-purpose coding. As mentioned above, the LSFEM is formulated in
a very general setting. Therefore, the LSFEM can be programmed systemat-
ically, such that for a new application, one need only add simple subroutines
to supply the coefficients, the load vector, and the boundary conditions for
the first-order system. This can drastically reduce the time, cost and pro-
gramming errors in code development.
The least-squares method also has a great potential for the theoretical
study of the mathematical properties of partial differential equations includ-
ing uniqness and stability of solutions and the permissibility of boundary
conditions, as well as the derivation of equivalent high-order versions of equa-
tions.
The mathematical study of the incompressible Navier-Stokes equations
has been mainly confined to the standard case in which velocity compo-
nents are prescribed on the boundary, and traditionally conducted via the
Galerkin method which leads to a difficult saddle-point problem. On the
other hand, computational researchers often choose non-standard boundary
conditions based on physical intuition. Although the Navier-Stokes equations
were established more than one hundred years ago, there has been a lack of
systematic study about their permissible boundary conditions. Recently, by
considering the div-curl structure of the incompressible Stokes and Navier-
Stokes equations in the velocity-pressure-vorticity formulation and by us-
ing the least-squares method, for the first time, mathematically permissible
boundary conditions have been systematically and rigorously derived and
analyzed.
The Maxwell equations in electromagnetics were established by James
Clerk Maxwell in 1873. The original first-order full Maxwell equations, which
consist of two curl equations (the Faraday and Ampere laws) and two di-
vergence equations (the Gauss laws), reflect general and independent laws
of physics. These laws can not be deduced from each other. They govern all
electromagnetic phenomena, no matter whether the problem is static, time-

harmonic or transient. Surprisingly, in almost all enginering literature, the full
first-order Maxwell equations are considered as "overspecified", and the two
divergence equations are thus regarded as "dependent" and often neglected in
numerical computation. However, by considering the div-curl structure and
using the least-squares method it can be shown that the Maxwell equations
are not "overspecified" and that the divergence equations must always be in-
cluded in analytical and numerical formulations to guarantee the uniqueness
of the solution and the accuracy of the numerical methods, and to eliminate
spurious solutions.
Satisfaction of the divergence equations in the Maxwell equations can be
easily accomplished by the use of node-based LSFEM. The introduction of
complicated and inefficient edge elements and the use of potentials (except
for multi-layered materials) are unnecessary.
In fluid dynamics, as well as in electromagnetics, there are some good
reasons why other higher-order versions of the Navier-Stokes equations and
Maxwell equations are often useful. These are all derived from the "primitive"
equations by differentiation and often offer additional insights regarding fluid
flow and electromagnetic fields. They also serve as a starting point for devising
alternative numerical schemes. For example, the pressure Poisson equation
is obtained by applying the divergence operator to the momentum equation
in the velocity-pressure formulation; the vorticity transport equation is ob-
tained by applying the curl operator to the momentum equation; the second-
order curl-curl equations in electromagnetics are derived from the first-order
Maxwell curl equations by applying the curl operator. A key question is
whether a derived equation obtained by simple differentiation admits more
solutions than do its progenitors, in other words, whether spurious solutions
or spurious modes in electromagnetic waveguides are generated. Only with
careful selection of additional equations and boundary conditions, which are
usually based on heuristics and numerical experience, will the solution of the
derived equations also solve the original equations. However, the least-squares
method and the related div-curl method have settled the question definitely
and provide systematic and rigorous ways to derive higher-order versions of
differential equations and corresponding boundary conditions without gen-
erating spurious solutions. That is, the Euler-Lagrange equations associated
with the least-squares variational formulations are the most appropriate de-
rived equations.
In summary, the least-squares method provides not only a powerful tech-
nique for numerical solution but also a useful tool for theoretical analysis of
partial differential equations. The LSFEM is a simple and universal method.
In the LSFEM there is nothing beyond the finite element interpolation and
the least-squares principle. The basic features of finite element methodol-
ogy and the attractive advantages of the least-squares method represent the
most desirable properties of any numerical scheme designed to handle real-
10 1. Introduction
world problems. For these reasons, we believe that the LSFEM will play an
important role in computational engineering and science in the twenty first
century.
2. First-Order Scalar Equation
in One Dimension
In fluid dynamics, convective transport described by first-order derivatives

in the governing equations plays an important role. The Maxwell equations
in electromagnetics are of first order. First-order differential operators which
seem very simple, are in fact difficult to deal with numerically. For the solu-
tion of first-order differential equations, the classic Galerkin method or the
central difference method fails miserably. In this chapter we use a very simple
one-dimensional model problem to explain why the classic Galerkin method
generates oscillatory solutions, and why the least-squares method does not
need upwinding and is perfectly suitable for the solution of first-order differ-
ential equations.
2.1 A Model Problem

Let us consider a first-order scalar ordinary differential equation in the inter-
val [0,11
u'(x) = f(x), (2.1a)
u(O) = 0, (2.1b)
where u' = du/dx, and f is a given continuous function.
For convenience we introduce the function space Cm(il). In this chapter
il is a bounded one-dimensional domain. If all u(x), u'(x), ... , dmu/dx m are
continuous in the closed interval il, then u is said to belong to Cm(il), that
is denoted by u E Cm(il).
The classic solution of the initial or the one-point boundary value problem
(2.1) is a function that satisfies the equation (2.1a) and the boundary condi-
tion (2.1b). By integrating u' = f once, it is easy to see that this problem has
a unique classic solution u. The smoothness or the regularity of the classic
solution u(x) depends on the smoothness of the right-hand side function f.
If f E Cm(il), m ~ 0, then the classic solution u E Cm+1 (il).
12 2. First-Order Scalar Equation in One Dimension
2.2 Function Spaces Hm(fl)

We shall now convert the problem (2.1) into a variational problem. For this
we must turn to new function spaces Hm({}) that are larger (i.e., contain
somewhat more functions) than Cm ({}).
First we define the space of "square integrable" functions on {}:
HO({}) = L2({}) = { u : u is defined on {} and

.
1
n
u2dx < oo}. (2.2)
The norm of u is denoted by
Ilullo = {inlu(x)12dX} 1/2. (2.2)
Continuous functions, piecewise continuous functions (particularly, piecewise

constants) are typical functions belonging to HO({}). Of course, HO({}) con-
tains more than those functions. Note that "square integrable" is a stronger
requirement than "integrable". For example, u = x- 1/ 2 is integrable on [O,lJ,
but its square is not integrable.
Assume that u, v E HO({}), then their inner product is defined as
(u,v) = 1 u(x)v(x)dx. (2.3)
Now let us prove the Schwarz inequality:

I (u,v) I~ lIuliollvllo, (2.4)
and the triangle inequality:
Ilu + vllo ~ lIulio + IIvlio. (2.5)
Consider a quadratic polynomial of any real number ),:
1 (),u + v)2dx = ),21 u2dx + 2), 1 +1

uvdx v 2dx ~ 0,
its discriminant must be nonnegative, i.e.
(in uVdx) 2 - in u 2dx·in v2dx ~ 0,

which leads to (2.4). Then from (2.4),
Ilu + vll5 = lIul15 + 2(u, v) + I vll5
~ I ull5 + 211ullollvllo + IIvl15 = (Ilullo + Ilvllo)2.
The square roots of both sides of the above inequality leads to (2.5).
If u is continuous on {}, the derivative u'(x) E HO({}) and u(x) -u(xo ) =
J~ u'(t)dt, then u is said to belong to the function space H1({}). The corre-
sponding norm is
lIullt = {1 (lu(xW + lu'(xW)dx} 1/2. (2.6)

2.2 Function Spaces Hm(fl) 13
For the function space HI (fl) we also define the semi-norm:
lull = {in lu'(xWdx} 1/2.
Continuous functions C1(fl) and piece-wise differentiable continuous func-

tions belong to H 1 (fl). For example,
f(x) = {2X/1,
1,
if °: ;
x ::; 1/2;
if 1/2::; x::; 1
(2.7)
is continuous in [0,1], and its derivative is continuous on [0,1/2] and [1/2,1],

so f E H1(fl). Its norm is
Ilflll = (2/1 + 21/3)1/2.
Generally we define the function space Hm(fl), m > 0. If the function
u E cm-1(fl) and u(m) E HO(fl), then it is said that u E Hm(fl).
In the following we introduce two important inequalities.
(1) If u E HI (0,1) and u(o) = 0, then the Friedrichs inequality holds

r l
Colu(xWdx)
1/2 r l
::;l(}olu'(xWdx)
1/2
. (2.8)
Proof: Since
u(x) = u(x) - u(o) = l x

u'(t)dt,
upon using the Schwarz inequality (2.4) we have
lu(xW = 11 x
1· u'(t)dtI2 :::; 1 ·l
x
1dt
x
lu'(t)1 2dt :::; l .1 1
lu'(xWdx.
Integrating both sides of the above inequality leads to (2.8). o
(2) If u E H1(0, 1), then the Sobolev inequality holds

lu(x)1 :::; Cllu(x)111' C = (2/1 + 21/3)1/2. (2.9)
Proof: Assume that x E [1/2,1]. Consider v = uf in which f is defined by

(2.7). Obviously, v(O) = 0, and
u(x) = v(x) - v(O) = l x

v'(t)dt = l x
(u' f + u!,)dt.
By using the Schwarz inequality (2.4) and the Cauchy inequality:
a1b1 + a2 b2 ::; (ai + a~)1/2(bi + b~)1/2,
we have
lu(x)1 ~ l x
lU' f + u!'ldt ~ IlflllllUlll ~ Clluill.
By changing f(x) we can prove (2.9) if x E [0, l/2J. o
The Basic Lemma of Variational Principles. Assume that f(x) E

COUI) and
In f(x)r/1(x)dx = 0 Vr/1 E CO(n),

then f(x) = 0, where the notation V denotes "for all".
Proof' Assume that f(x) i= 0, then there exists a point Xo in n such that
f(xo) i= 0 (assuming that f(xo) > 0 without loss of generality). From con-
tinuity we know that f(x) > 0 in a neighborhood Kp = {Ix - xol < p} for
some p > O. Let
r/1(x) = {p2 - (x - xo)2, if x E ~P;
0, otherwIse.
Obviously r/1 E GO(n) and r/1 > 0 in Kp, therefore
r f(x)r/1(x)dx = iKr f(x)r/1(x)dx >0.

in p
This implies a contradiction, and thus we must have f(x) = o. o

This lemma holds also for two and three-dimensional cases in which the
neighborhood Kp in the proof should be taken as a circle or a sphere.
2.3 The Classic Galerkin Method -

Global Approximation
At first, let us try to use the classic Galerkin method for finding the approxi-
mate solution of the problem (2.1). The Galerkin method is a member of the
class of weighted residual methods. The starting point for a weighted residual
method is to assume an approximate solution written as
x E n= [0,1]' (2.10)
where the basis functions r/11, ... , r/1n are known. That is, the approximate
(trial) solution is expressed as a linear combination of the basis functions. Of
course, u(x) should satisfy the boundary condition u(O) = O. In one spatial
dimension, the simple basis functions might be polynomials or trigonometric
functions, e.g.,
2.3 The Classic Galerkin Method - Global Approximation 15
or j = 1,2, ....
The coefficients aj are unknowns to be determined. If the approximate solu-
tion (2.10) is substituted into (2.1), it will not generally be identically zero.
Thus we can write
R(x) = u'(x) - f(x), (2.11)
where R(x) is referred to as the equation residual.
In the method of weighted residual, the coefficients aj are determined by
requiring that the integral of the weighted residual over the computational
domain is zero, i.e.,
l v(x)R(x)dx = 0. (2.12)
If the integral in (2.12) is zero for any weight (test) function v(x) E COUl),
due to the basic lemma of variational principles, the residual R will be
identical to zero, i.e., the differential equation (2.1) is satisfied by the so-
lution u(x). However, in practice, it is impossible or unnecessary to test
the residual R by all CO functions in [0,1]' since the approximate solu-
tion u(x) itself has only n degrees of freedom, and n test functions would
be enough. Now the question is how to choose the test functions. Differ-
ent choices for the test functions v(x) in (2.12) give rise to different meth-
ods. In the Galerkin method, the test functions are chosen from the same
family as the approximating (trial) functions. If the basis functions form
a complete set (on [0,1] a complete set of trigonometric functions would
be 1, sin(1l'x), cos (1l'x) , sin(21l'x), cos(21l'x) , ... , sin(n1l'x), cos(n1l'x)) , (2.12) indi-
cates that the residual is orthogonal to every member of a complete set.
Consequently, one hopes that as n tends to infinity the approximate solution
will converge to the exact solution.
Unfortunately, in solving first-order differential equations, the classic
Galerkin method does not behave as expected. Let us choose the following
simple problem as an example:
u' = 21l'cos( 1l'x) in [0,1]' (2.13a)
u=o at x = 0. (2.13b)
Obviously,
uexact = 2sin(1l'x).
The one-point boundary value problem (2.13) can now be given in terms
°
of the following Galerkin formulation: Find u E V = {u E H1(0,1) : u =
at x = O} such that
11 {u' - 21l'cos(1l'x) }vdx = ° "Iv E V. (2.14)

We choose the trial function:

u = asin(7rx), (2.15)
thus in the Galerkin method the test function should be
v = sin(7rx). (2.16)
To determine the unknown coefficient a in (2.15), we substitute (2.15) and
(2.16) into the Galerkin formulation (2.14), and obtain
a7r 11 cos(7rx)sin(7rx)dx = 271' 11 cos(7rx)sin(7rx)dx. (2.17)
Since cos(7rx) and sin(7rx) are orthogonal on [O,IJ, (2.17) becomes:

a x 0 = O.
Surprisingly, the coefficient a cannot be determined by the Galerkin method!
This trouble comes from the fact that the Galerkin method takes the test
functions only from the same family of trial functions.
In order to overcome this difficulty, one may take the test functions from
a space which is different from the space of trial functions where the ap-
proximate solution is sought. Such a method is called the Petrov-Galerkin
method. For the problem (2.13) one may take
v = cos(7rx) (2.18)
as a test function. Substituting (2.15) and (2.18) into (2.14), we obtain
a7r 11 cOS(7rx)cos(7rx)dx = 271' 11 cOS(7rx)cos(7rx)dx, (2.19)
and thus
a = 2,
which is the correct solution. However, the Petrov-Galerkin method itself
cannot answer the question: How to choose an appropriate space of test
functions for general problems? Therefore, the Petrov-Galerkin method is
not always a satisfactory method.
2.4 The Least-Squares Method -

Global Approximation
An alternative choice for the approximate solution of the model problem

(2.1) is the least-squares method. The basic idea in the least-squares method
is to determine the coefficients aj in (2.10) by minimizing the integral of the
square of the residual (2.11) over the computational domain. Therefore, we
construct a quadratic functional
2.4 The Least-Squares Method - Global Approximation 17
l(u) = IIR(u)ll~ = 11 {u'(x) - f(x)}2dx, (2.20)
over all u E V = {u E H1(0, 1) : u = 0 at x = O}. We refer to I in (2.20)

as a functional to emphasize that its domain is the space V of admissible
functions, and its range (Le., its set of values) is a set of real numbers, i.e.,
a subset of lR. Here we generally use the symbollR to refer the real number
system. We express these facts symbolically by writing
I:V-tlR
which is read "I maps the space of admissible functions V into lR".
A necessary condition that u E V be a minimizer of the functional I in
(2.20) is that its first variation vanishes at u for all admissible v. That is,
lim dd l(u + tv)

t~O t
== 2 r {u' -
~
1
f(x)}v'dx = 0 Vv E V,
or
(u ' , Vi) = (j, Vi) Vv E V. (2.21 )
Obviously, the least-squares method expressed by (2.21) can be interpreted
as a Petrov-Galerkin method in which Vi is chosen as a test function in stead
of v.
We shall now use the least-squares method to solve the first-order differ-
ential equation (2.13). As in Sect. 2.3, we select the trial function
u = asin(1I'x). (2.22)
Thus the test function is
Vi = 1I'cos(1I'x). (2.23)
To determine a we substitute (2.22) and (2.23) into the least-squares formu-
lation (2.21) and obtain
a1l' 21 1cos(1I'x)cos(1I'x)dx = 211'211 cos(1I'x)cos(1I'x)dx,

or
11'2 11'2
a x- =2 x-.
2 2
That is
a = 2.
In this case the least-squares method gives the exact solution.
2.5 One-Dimensional Finite Elements

In the methods discussed in Sects. 2.3 and 2.4, the global smooth functions
are taken as trial functions, while in the finite element method, continuous
piecewise polynomials are chosen as trial functions.
We shall now construct a finite-dimensional subspace Vh of the space V
defined above consisting of piecewise linear functions. We use the nodes
0= Xo < Xl < X2 < ... < Xn-l < Xn = 1
to divide the interval [0, 1J into n subintervals or elements ej = (Xj-l, Xj), j =
1,2, ... , n, of length hj = Xj - Xj-I. and set h = max hj. The quantity h is
then a measure of how fine the partition is.
Fig. 2.1. Example of a function Uh E Vh
We now construct a trial function Uh such that Uh is linear on each element

ej, and Uh is continuous on [0,1] and satisfies the boundary condition Uh(O) =
0, as illustrated in Fig. 2.1. These functions constitute the subspace Vh , and
Vh C V. As parameters to describe a function Uh E Vh, we may choose the
values UO,UI.U2, ... ,Un at the nodes Xj. On each element ej = (Xj_l,Xj),
Uh(X) can be expressed as
Uh(X) = "",P)(X)Uj_l + "",~j)(x)Uj X E ej, (2.24)

in which the shape functions
"",ej)(x) = ("",V») = ( (Xj - x)/h j ). (2.25)

"",~J) (x - Xj-d/hj
Therefore, on the entire domain [0,1], Uh(X) can be written as
Uh(X) = tPo(x)uo + tPl(X)Ul + ... + tPn(x)un, (2.26)
in which
2.5 One-Dimensional Finite Elements 19
1/J~j)(X), x E ej;
I};j(x) = { 1/JiJ+l) (x), x E ej+1; 1 :::; j :::; n - 1
0, otherwise;
I};o(x) = {1/JP)(x), x Eel; (2.27)

0, otherwise;
x E en;
otherwise;
are the so-called basis functions. I};j(x) is a piecewise continuous linear func-
tion with a value unity at node Xj and null at other nodes, as illustrated in
Fig. 2.2. Therefore, Uh(Xj) = Uj. Especially, if we take Uo = 0, then (2.26)
satisfies the boundary condition (2.1b), and other parameters (nodal values)
Ul, U2, ... , Un can be arbitrary. All functions Uh(X) constitute the space of trial
functions Vh .
I____ ~----~----~----~----~--~~ }{
1
Xj+l
Fig. 2.2. One-dimensional piecewise continuous linear basis functions
We shall estimate the interpolation error of linear finite elements. Let

Ihu E Vh be the interpolant of u, i.e., Ihu interpolates U at the nodes Xj
such that
j = 0, 1, ... ,n.
Let E = u- Ih U be the interpolation error function and consider an arbitrary
element ej with points Xj-l :::; x :::; Xj in the mesh. We assume that U E
H2(0, 1), and let
luI2 = {Jorl u"(x)2dx }1/2 .

This is the semi-norm of H2(0, 1) introduced in Sect. 2.2. Since Ihu is the
interpolant of u, the error E vanishes at both endpoints Xj-l and Xj' By
virtue of the Rolle theorem, there exists at least one point x between Xj-l
and Xj at which E'(x) = 0. Then for any x,
E'(x) = l x
E"(t)dt.
Since Ihu is linear, E = u - Ihu implies E" = u" - (Ihu)" = u" within ej.
Applying the Schwarz inequality (2.4), we find
< {}xr 12dt} {}xr u"(t)2dt} 1/2

1/2
r/
IE'(x)1
< hy2 {1~~1 u" (t)2dt 2

x E ej. (2.28)
To derive a bound on IE(x)l, we write
E(x) = l x
X;-l
E'(t)dt
r/
and use (2.28) to obtain
IE(x)1 :::; lX;-l

x
IE'(t)ldt:::; h;/2 {l x
X;-l
; E"(t)2dt 2
(2.29)
Squaring (2.28) and (2.29), integrating, summing over all elements, and
taking square roots, we arrive at the estimates of the error:
lI(u-Ihu)'lIo :::; hlul2' (2.30a)
lIu-Ihullo :::; h21u12. (2.30b)
Finally since
lIu -lhull~ = lIu -lhull~ + lI(u -lhu),II~,
we find easily that
lIu -lh u ll1 :::; V2h lu l2' (2.31)
Note that the bounds (2.30) and (2.31) are satisfactory in the sense that
the powers of h are the best possible. To obtain an improved result, by ex-
panding the error E(x) in a sine series, one can verify that (Strang and Fix
1973, p.45)
II(u -lhu)'llo :::; 1I'-1hluI2, (2.32)
lIu -lhullo :::; 1I'- 2h2IuI2' (2.33)
2.6 The Classic Galerkin Finite Element Method

The Galerkin finite element method for the first-order equation (2.1) can now
be formulated as follows: Find Uh E Vh such that
11 {u~ - f(x) }Vhdx = 0 VVh E Vh . (2.34)

2.6 The Classic Galerkin Finite Element Method 21
Since
n
Uh(X) = L <pj(x)Uj, (2.35)
j=l
and (2.34) must be valid by taking Vh = <Pi(X), i = 1,2, ... , n as the test
functions, we can write (2.34) as
n
L(<Pi' <pj)Uj = (<Pi, I) i = 1,2, ... ,n, (2.36)
j=l
which is a system of linear algebraic equations with n equations in n unknown

Ub U2, ... , Un. In the matrix form the linear system (2.36) can be written as
KU=F, (2.37)
where the global matrix K = (Kij) is nxn matrix with entries Kij = (<Pi, <Pi),
the global unknown vector U T = (Ul' U2, ... , un) and the global load vector
FT = (Fl' F2, ... , Fn) with Fi = (<Pi, I). Here the basis functions <pj(x) are
employed to derive K and F. In general-purpose finite element programs
the global matrix K and the global force vector F are assembled from the
element matrices and the element force vectors, respectively, by using the
element shape functions 1/Jj, see any text book on finite elements, e.g., Becker
et al. (1983) or Johnson (1987).
The entries Kij = (<Pi, <Pi) in the global matrix K can easily be computed.
We first observe that (<Pi, <Pi) = 0 if Ii - jl > 1, since in this case for all
x E [0,1] either <Pi (X) or <pj(x) is equal to zero. Thus, the matrix K is tri-
diagonal, i.e., only the entries in the main diagonal and the two adjacent
diagonals may be different from zero. We have for i = 1, 2, ... , n - 1
Kii = (<Pi, <p~) = l X, (x - Xi-I) 1

. -dx +
lX.+l (Xi+! - X) . --dx
-1
X,_l hi hi Xi hi+l hi+l
1 1
---=0
2 2 '
and for i = 2, ... , n - 1
Ki,i-l
,
= (<Pi, <Pi-I) =
lX, (x - Xi-I) -1
h . · -;:;:dx =
1
-2'
Xi-l t ,
and
K
nn
= ('" "") =
'l'n, 'l'n
lxn
Xn-l
(x - Xn-l) . ~d = ~
h
n
h X 2·
n
We are not able to accurately calculate Fj unless the analytical expression

of the function f(x) is given. For the purpose of illustration, we use the one-
point Simpson rule to perform the quadrature. We obtain for i = 1,2, ... , n-1
l
l x,
Xi-l
(X - Xi-l ) .
hi
fdx +
Xi
xi + 1 (
Xi+l
hi+l
- X) • fdx
1 1
2 •• + -f·h·+
-f·h· 2" l ,
and
In the special case of a uniform partition with hi = h = lin, the system

(2.36) takes the form
o 1 0 0 o
-1 0 1 0 o
1
o -1 0 1 o
- =h (2.38)
2
o o 0 0 0 -1 0 1
o o 0 0 0 0 -1 1 0.5fn
After division by h the first three equations in (2.38) may be written as
U2 -0
---u;- = il,
U3 - Ul - f
2h - 2,
U4 - U2 - f
2h - 3·
The above is, incidentally, identical to the standard central difference approx-
imation obtained by putting
, Ui+l - Ui-l
U ~ 2h
The matrix is obviously non-symmetric with zeros on the diagonal, and has
odd-even decoupling which leads to oscillatory solutions. This trouble persists
even after the mesh is refined. In order to overcome this bad approximation
problem, finite difference practitioners use one-sided or upwind differencing
Ui+l - Ui-l h Ui+l - 2Ui + Ui-l
2h - '2 h2
which is equivalent to adding some numerical dissipation into the central
difference scheme. That is, they solve, instead of (2.1), the following second-
order equation by the central difference method
h
u' - -u"
2 = f.
2.7 The Least-Squares Finite Element Method 23
2.7 The Least-Squares Finite Element Method
2.7.1 The Least-Squares Formulation
For the first-order differential equation (2.1) the least-squares finite element
method is formulated according to (2.21) as follows: Find Uh E Vh such that
11 {u~ - f(x) }v~dx = 0 VVh E Vh. (2.39)
Since
Uh(X) = ¢>1(X)Ul + ... + ¢>n(x)un , (2.40)
(2.39) can be written as
n
~)¢>~, ¢>j)Uj = (¢>~, 1) i = 1,2, ... ,n, (2.41 )
j=1
or in matrix form as
KU=F.
l
By using one-point Simpson quadrature we obtain for i = 1,2, ... , n - 1
l X
1
Xi-l hi
•
-fdx+
Xi
+ -1
xi 1
-fdx
hHI
(fi-l + fi) 1 h (fi + fHl) 1 h
2 hi i - 2 hHI HI
(fHl - fi-l)
2
and
The global matrix K is tri-diagonal, so we have
l Xi-l
Xi
1
hr1
-dx+ l X
Xi
i+ 1 1
--dx
hf+!
1
= -+- i=1,2, ... ,n-1,
hi hi+!
i = 2, ... ,n -1,
K i ,Hl = (¢>~, ¢>~+1) = - l Xi
Xi
+1 1
~dx
HI
1
= --,;:-
,+1
i = 2, ... ,n -1,
and
Knn = (¢~,¢~) = l xn
Xn-l
1 1
h 2 dx = h'
n n
Note that the matrix K is symmetric and positive-definite, since

(¢~, ¢j) = (¢j, ¢~),
and because
n
Uh(X) = 2: ¢i(X)Ui
i=l
we have
n n
U TKU = (2: Ui¢~' 2: Uj¢j) = (u~, u~) ~ 0
i=l j=l
with equality only if u' == O. Since a positive-definite matrix is always invert-

ible, it follows that the linear system (2.41) has a unique solution.
In the special case of a uniform partition with hi = h = lin, the system
(2.41) takes the form
2 -1 o o o
-1 2 -1 o o
1
o -1 2 -1 o
o 0 0 0 0 -1 2 -1
o 0 0 0 0 0 -1 1 Un
12-10
iJ-il
1 14-12
(2.42)
2h
-In-1 - In
Obviously, the left-hand side of (2.42) can be interpreted as a standard
central difference for u" and the right-hand side as a central difference for 1'.
We clearly see again that the least-squares finite element method for the first-
order differential equation leads to a symmetric and positive-definite system
of linear algebraic equations.
2.7.2 The Euler-Lagrange Equation
In order to understand how the least-squares method performs, we shall de-

rive the Euler-Lagrange equation associated with the least-squares formula-
tion: Find U E V such that
11 (u' - f)v'dx =0 Vv E V. (2.43)
Suppose that u and v are sufficiently smooth. Upon integration by parts,

(2.43) yields
(u' - f)Vl x =1 _11 (u" - f')vdx = 0 Vv E V. (2.44)
By virtue of the basic lemma of variational principle (Sect. 2.2), we obtain

the Euler-Lagrange equation
u" - f' = 0 n,
in (2.45a)
u' - f =0 at x = 1, (2.45b)
u=O at x = O. (2.45c)
Here the second-order equation (2.45a) is the derivative of the original first-
order equation (2.1a); (2.45b) requires that the original equation (2.1a) be
satisfied at the other end of the domain as the natural boundary condition;
the original boundary condition (2.45c) serves as the essential boundary con-
dition.
Obviously, (2.44) is the Galerkin formulation for the second-order problem
(2.45). We now see that the first-order differential equation (2.1), the least-
squares formulation (2.43), the second-order differential equation (2.45), and
the Galerkin formulation (2.44) are equivalent to each other.
The least-squares method for the first-order differential equation (2.1)
corresponds to using the Galerkin method to solve the second-order differ-
ential equation (2.45). It is well known that the Galerkin method (2.44) is a
perfect method for the second-order differential equation (2.45) (see Chap.
3). Therefore, the least-squares method (2.43) is a perfect method for the
first-order differential equation (2.1). Here the word "perfect" refers to the
fact that the method yields a symmetric and positive-definite system of alge-
braic equations and has an optimal rate of convergence (see the next section
for a direct proof). In other words, the least-squares method converts the
difficult first-order differential equation into an easy second-order equation
that everyone would rather solve.
It is correct that the least-squares problem is formally equivalent to a
higher-order problem. But that it "introduces the possibility of spurious so-
lutions if incorrect boundary conditions are used" (Zienkiewicz and Morgan
1983, p.260; Zienkiewicz and Taylor 1988, p.254) is a common misconcep-
tion about the least-squares method. Our derivation clearly shows that the
least-squares method does not require any additional boundary conditions,
since it seeks a solution in V = {u E H1(O, 1) : u = 0 at x = O}. Only if
the associated Euler-Lagrange equation (2.45a) is to be solved by using, e.g.
the finite difference method, should be the additional natural boundary con-
dition (2.45b) needed. In this finite difference method the original first-order
differential equation serves as the natural boundary condition at x = 1.
In fact, the least-squares method provides a rigorous mathematical tool

to derive an equivalent high-order system and its boundary condition with a
guarantee of freedom of spurious solutions. We will elabrate on this point in
Chap. 5 for the div-curl system, in Chap. 8 for the incompressible Navier-
Stokes equations, and in Chap. 14 for the Maxwell equations.
2.7.3 Error Estimates
We shall now study the error of the least-squares finite element solution for
the model problem (2.1). Let U be the solution of
11 (u' - f)v'dx =0 \Iv E v, (2.46)
and Uh be its finite element approximation, i.e. the solution of
11 (Uh - f)vhdx = 0 \lVh E vh . (2.47)
The error in this approximation is defined as the function
Setting v = Vh in (2.46) (which is possible because Vh is a subspace of V)

and subtracting (2.47) from (2.46), we find that e satisfies the orthogonal
condition
(2.48)
We choose Vh to consist of piecewise linear functions on [0,1] introduced in
Sect. 2.5. Let Ihu E Vh be the interpolant of u satisfying (2.30) and (2.31),
and write e = u - Ihu + Ihu - Uh. Then we have
lIe'II5 = (e', e') = (e', u' - Ihu') + (e',Ihu' - Uh) = (e', u' - Ihu')
~ lIe'liollu' - Ihu'lio.
Here we have used the orthogonal condition (2.48) in the third step and the
Schwarz inequality (2.4) in the fourth step. Thus
Ile'llo ~ Ilu' -lhu'llo. (2.49)
This result establishes that the magnitude of the derivative of the ~rror U-Uh,
measured in the L 2 -norm, is bounded above by the error of the finite element
interpolant.
Combining (2.49) and (2.30a) we now obtain the following estimate for
the derivative of the error:
(2.50)
if u E H2(0, 1).
Since e(O) = u(O) - Uh(O) = 0, by virtue of the Friedrichs inequality (2.8),
from (2.50) we establish the following estimate for the error itself:
Ilelia ::; hlul2. (2.51)

It is sometimes desirable to measure the rate of convergence in other
norms. Combining (2.50), (2.51) together with the Sobolev inequality (2.9)
gives a pointwise error estimate:
(2.52)
where C denotes a constant independent of the mesh parameter h, with
possibly different values in each appearance.
We observe that these latter estimates (2.51) and (2.52), are less sharp
than the estimate (2.30b) for the interpolation error where we have a factor
h2 .
Next, we shall show that in fact the least-squares finite element method
also gives a factor h 2 for the error U - Uh in L2 norm. To do this we adopt
the Aubin-Nitsche trick, see, e.g., Oden and Carey (1983). Assume that w is
the solution of the following second-order differential equation
-w" = e in (0,1),
w = 0 at x = 0,
w' =0 at x = 1,
where e is the error of the least-squares finite element solution of (2.47). From
Sect. 2.5 we know that the finite element interpolant Ihw satisfies
II(w -lhw)'lla ::; Chllw"lla = Chllella. (2.53)
Using integration by parts and the fact that e = 0 at x = 0 and w' = 0 at x =
1,
(e,e) = -(e,w") = (e',w') = (e',w'-llhW'),
where the last equality follows from (2.48), since Ihw E Vh so that (e', Ihw')
= o. Applying the interpolation estimate (2.53) to wand using also (2.50),
we find
Ile116::; Ile'llall(w - llhW)'lla ::; Chlul2 h ll e lla.
Dividing by Ilelia we finally obtain
Ilelia ::; Ch 21u12. (2.54)
The result (2.54) indicates that the least-squares finite element method for
first-order equations has an optimal rate of convergence in the sense that the
error measured in L2 norm is of the same order of h as the finite element
interpolation.
2.7.4 Condition Number
The least-squares finite element method yields a symmetric and positive-

definite system of linear algebraic equations that can be solved by iterative
methods such as the conjugate gradient method. It is well known that the
convergence of the conjugate gradient method depends on the condition num-
ber /'i, of the matrix K. The larger the condition number /'i, is, the slower the
conjugate gradient method converges. Here /'i, is defined to be the ratio of the
largest eigenvalue of K to the smallest, that is
>'max
/'i,=--,
>'min
where
UTKU UTKU
>'max = max T ' >'min = min
T '
u~o U U u~o U U
in which U denotes the global vector of nodal values.

We can prove that there exist constants a, f3 and C, such that VUh =
L:~=l ¢iUi E Vh we have
f3hU T U ~ Iluhll~ ~ ahUTU, (2.55)
IUhll ~ Ch-11Iuhllo. (2.56)
The estimate (2.56) is the so called inverse estimate; here we estimate the
L 2 -norm of the gradient of Uh in terms of the L 2 -norm of Uh itself. This is not
possible for a general function U E Hl(il), but it is possible for the function
Uh in Vh at the price of the factor h- 1 • It suffices to verify the validity of
(2.55) and (2.56) for a single element. For any given element, for example, for
the linear element ej = (Xj_bXj) in Fig. 2.1, this can be demonstrated by
simple evaluation of IIUhlIO,ej and IUhll,ej in which Uh is expressed by (2.24).
Combining (2.55) and (2.56) gives
(2.57)
On the other hand, by using the Friedrichs inequality (2.8) and the inequality
(2.56), we have
(u~,u~) = IUhl~ ~ Clluhll~ ~ C 2 hUT U. (2.58)
We recall that
(U~,uh) = UTKU, (2.59)
so that from (2.57), (2.58) and (2.59) we have
which lead to the desired result

/'i,(K) = >'max ~ Ch- 2 • (2.60)
>'min
We remark that if a second-order differential equation is approximated us-

ing the Galerkin finite element method with a uniform mesh h, the condition
number of the resulting global matrix is 0(h-2). Therefore, the common
speculation that the system of linear algebraic equations generated by the
least-squares method has a bad condition number is also a misconception.
The reason is simple: the least-squares method studied in this book is based
on the first-order differential equations.
2.7.5 A Numerical Example

A further comparison of LSFEM with the Galerkin method and the finite dif-
ference method is made by solving the first-order ordinary differential equa-
tion:
[
u'(x) = 1- exp -~ ( 1)]-11~exp (I-X) --E- XE[O,lJ, (2.61a)
u(O) = 0, (2.61b)
with 0 < E < < 1. The exact solution of this problem is given by
For small E, u(x) is close to 0 except in a boundary layer at x = 1 of width

O(E) where u increases from 0 to 1 as shown in Fig. 2.3.
3.0 ,-----,r----,----,.---r---,---,------,----,-----.-----,
- - Exact
Go - -0 LSFEM
2.0
......... Central FD /
- - Upwinding FD /
- - Galerkin FEM /
1.0 / ~
/ ~
,.... ,..... ,..... ,...

...- ..1/
_nr'"--...,I
,.
0.0 ~ ~ ~ ~
/: ""'\ . . . . . ./ \\\...... II \. . . .. . .// \\\. ..

-1.0
./ \/ V/ \\ \j
-2.0 L - - - ' _ - - - - ! _ - - - ' - _ - ' - _ - - ' - _ - L _........_...l-_...>.....-----I
0.0 0.2 0.4 0.6 0.8 1.0
x
Fig. 2.3. Solution of (2.61) with t: = 0.05
We apply the Galerkin method (2.36) by using piecewise linear elements

on a uniform mesh with length h = 0.1. The global matrix is the same
as given in (2.38). We divide each element into 10 segments and use the
Simpson quadrature to calculate the right-hand side term (chI). We obtain
the Galerkin solution that oscillates violently in the whole region and is not
close to the exact solution as shown in Fig. 2.3.
Then we apply the least-squares method (2.41). We again use the same
Simpson quadrature to calculate (¢~, I). Although the problem is quite diffi-
cult for other methods, the least-squares solution with only 10 linear elements
is very smooth and accurate as illustrated in Fig. 2.3.
For reference, in Fig. 2.3 we also show the results of the central finite
difference method (which is identically equivalent to solving (2.38)) and the
upwind finite difference method. Obviously, the upwinding finite difference
method is too diffusive and not accurate.
2.8 Concluding Remarks
We have compared in this chapter the least-squares method with the Galerkin
method for the solution of first-order scalar differential equations.
The Galerkin method is identical to the common central finite difference
approximation. The algebraic equations generated by the Galerkin method
are obviously non-symmetric, non-positive-definite and odd-even decoupled,
and the solution is thus purely oscillatory and bears almost no relation to
the underlying problem.
The least-squares method for first-order scalar differential equations is
formally equivalent to the Galerkin method for corresponding second-order
problems, and hence has an optimal rate of convergence. The least-squares
approach yields a symmetric and positive-definite system that has signifi-
cant computational advantages. That "the least-squares method needs extra
boundary conditions and produces an ill-conditioned matrix" is a misconcep-
tion. We have shown that the least-squares method does not need any ad-
ditional boundary condition and that the condition number of the algebraic
equations resulting from the least-squares method based on the first-order
equations has an order of h- 2 which is the same as in the classic Galerkin
method for second-order equations.
For purely convective problems a common technique in finite difference
methods is upwinding which introduces excessive dissipation and reduces the
accuracy of the approximate solution. Upwinding and free parameters turn
out to be unnecessary when the least-squares method is employed.
3. First-Order System in One Dimension
In fluid dynamics another important phenomenon is diffusion or conduction

which is described by second-order derivatives in the governing equations.
The Laplace or Poisson equation can be considered as the standard form
of an equation describing isotropic diffusion in all space directions. For the
Laplace or Poisson equation, the Rayleigh-Ritz method yields a symmetric
and positive-definite system of linear algebraic equations and has an optimal
rate of convergence. However, in practice, one is often interested in not only
the primal variable (e.g., the temperature in heat conduction, the potential
in irrotational incompressible flows, and the electric or magnetic potential in
electromagnetics), but also the dual variable (e.g., the flux in heat conduction,
the velocity in fluid flows, and the electric or magnetic field intensity in
electromagnetics). The solution of dual variables computed by a posteriori
numerical differentiation has low accuracy in general and is discontinuous
across the element boundary.
The mixed Galerkin method was devised in the hope of obtaining better
accuracy for dual variables. Here the term "mixed" refers to the fact that both
the primal variable and the dual variables are approximated as fundamental
unknowns. Obviously, in order to apply the mixed Galerkin method, the
second-order scalar equation should be reduced to a first-order system.
In this chapter we use a very simple one-dimensional model problem to
explain why the mixed Galerkin method is not satisfactory and the least-
squares method is again perfectly suitable for diffusion problems.
3.1 A Model Problem

Let us consider a second-order ordinary differential equation
-u"(x) = f(x) x E {} = [0,1], (3.1a)
u(o) = u(l) = 0, (3.1b)
where f is a given continuous function. The classic solution of the bound-
ary value problem (3.1) is a function u(x) E C2 ({}) that satisfies the equa-
tion (3.1a) and the boundary conditions (3.1b). By integrating the equation,
-u" = f, twice, it is easy to see that this problem has a unique classic
solution u.
32 3. First-Order System in One Dimension
3.2 The Rayleigh-Ritz Method

We have pointed out in Chap. 2 that the Galerkin method is based on the
basic lemma of variational principles. From the viewpoint of mechanics the
basic lemma of variational principles corresponds to the principle of virtual
work (see, e.g., Washizu 1975). It is well-known that for diffusion and elastic-
ity problems, the Galerkin method results in the same finite element scheme
as in the Rayleigh-Ritz method which is based on the principle of minimum
potential energy.
To formulate the Galerkin method for the problem (3.1) we first introduce
the function space
H = {u E Hl(O, 1) : u(O) = u(l) = O}.
Upon multiplying the equation (3.1a) by an arbitrary test function v E H
and integrating over the interval [0,1], we have
-(u",v) = (j,v).
We now integrate the left-hand side by parts and consider the fact that
u(O) = u(l) = 0 to obtain the following formulation: Find u E H such that
(u', v') = (j,v) VVEH. (3.2)
Further, one can show that the method (3.2) is the Rayleigh-Ritz method
which seeks the minimizer of the functional
1
J(v) = 2(v',v') - (j,v) (3.3)
over all v E H. The quantity J(v) represents, for example, the total potential
energy associated with the displacement v E H in an elastic bar. The term
(v', v') /2 represents the internal elastic energy and (j, v) the load potential.
Following the same procedures used in Sects. 2.7 and 2.9, it is easy to
show that the Rayleigh-Ritz finite element method leads to a linear system
of equations with a symmetric and positive-definite global matrix, and the
error is bounded above by the interpolation error, i.e., the finite element
solution Uh has an optimal rate of convergence. If linear elements are used,
the error estimates are
lIu'(x) - u~(x)llo = O(h),
lIu - uhllo = O(h2).
Once the nodal values uo, UI, ... , Un are obtained by the Rayleigh-Ritz finite
element method, one can compute the derivatives in each element:
u~(x) = (Ui - Ui-l)/hi X E ei.
However, from the above error estimates we know that, in general, the accu-
racy of so-computed derivative uh(x) is of only O(h). Moreover, the deriva-
tive uh(x) is not continuous at the nodes. This means that the Rayleigh-Ritz
method is still not completely satisfactory.
3.3 The Mixed Galerkin Method 33
3.3 The Mixed Galerkin Method
A complete discussion of the mixed Galerkin method is beyond the scope of

this book even for problems in one dimension. In this section we offer a flavor
of the mixed Galerkin method to illustrate its difficulties.
By introducing the fluxp = u' as an additional unknown variable, problem
(3.1) can be decomposed into the following first-order system:
p-u' = 0 XE[O,l], (3.4a)
-p' = I(x) x E [0,1]' (3.4b)
u(O) = u(l) = O. (3.4c)

Now multiplying the equation (3.4a) by an arbitrary test function q E Sand
integrating, and multiplying (3.4b) by v E H and integrating by parts, we are
led to the mixed Galerkin formulation corresponding to (3.4): Find u E H =
{v E H1(0, 1) : v(O) = 0, v(l) = O} and pES = {q E L 2 (0, 1) : qdx = O}, J;
such that
(p,q) - (u',q) = 0 Vq E S, (3.5a)
-(p,v') = -(f,v) Vv EH. (3.5b)
It is not difficult to verify that the solution of (3.5) provides a stationary

value of the following functional:
L:HxS-+lR
L(v,q) = ~(q,q) - (f,v) + (v' - q,q). (3.6)
In fact, it can be shown (see, e.g., Carey and Oden 1983a, p.106) that the
solution pair {u, p} is a saddle-point of the functional (3.6).
Let us now study first the stability of the problem (3.5). Here, stability
means that the solution (u, p) depends continuously on the force term I,
that is, if the force varies a little, so does the solution. A natural stability
inequality for (3.5) would be the following: There is a constant C such that
if {u,p} E H x S satisfies (3.5), then
IIul11 + Ilpllo :=:; Clllll-1, (3.7)
where
(f,v)
11111-1 = O"/-vEH
sup -II-II (3.8)
v 1
in which "sup" denotes the least upper bound.
To be able to conclude (3.7), we need the Ladyzhenskaya-Babuska-Brezzi
(LBB) condition (Babuska 1971, Brezzi 1974): Given any q E S, there exists
a constant 'Y > 0 such that
(q, v')
sup-11-11-
O;lvEH v 1
~ 'Yllqllo, (3.9)
where'Y may be chosen independent of the particular choice of q E S.

This condition may be equivalently expressed in the form: Given any
q E S, there exists a nonzero v E H such that
(q,v') ~ 'Yllqllollvlh. (3.10)
Of course, for each q a different v may be chosen in order to satisfy (3.10).
The estimate (3.7) is obtained as follows: Choosing such a v in (3.5b) that
the LBB condition (3.10) holds, we have
'Yllpliollvlll:::; (p,v') = (j,v):::; 1I111-1I1vlll.
Dividing both sides of the above inequality by IIvlll leads to
'Yllpllo :::; lilli-I. (3.11)
Taking q = u' in (3.5a) and v = u in (3.5b) we have
(p, u') - (u', u') = 0, (3.12a)
(p, u') = (j, u). (3.12b)
From (3.12) and the Friedrichs inequality (2.8) we obtain

lIull~ = lIull~ + lul~ :::; 21ul~ = 2(p,u') = 2(j,u) :::; 211111-1I1ulll.
Dividing both sides of the above inequality by lIulil leads to
lIull1 :::; 211111-1. (3.13)
Combining (3.11) and (3.13) yields the stability estimate (3.7). Now the
importance of the LBB condition becomes clear: the LBB condition is suffi-
cient to guarantee the stable solution of the mixed Galerkin method.
In the following let us show that the LBB condition (3.10) is valid. For a
given q E S, let
v' = q, (3.14)
then
v= fox q(e)de, (3.15)
and v(O) = v(l) = 0 due to the fact that q satisfies the constraint fol q(e)de =
0, that is, v belongs to H. Obviously,
IIvll~ = fol (foX q(e)de) 2dx :::; IIq1l6. (3.16)
We have
IIvll~ = IIvll6 + IIv'lIo = I vll6 + IIqll6 :::; 211q1l6·
Therefore,
(3.17)
That is, the LBB condition (3.10) indeed holds and 'Y = 1/../2.
To further understand the features of the mixed Galerkin method, we
consider a discrete solution of (3.5). A natural idea to obtain a discrete ana-
logue of (3.5) is now to replace Hand S by finite element subspace Hh and
Sh which satisfy the discrete LBB condition:
(3.18)
This gives the following mixed finite element method: Find Uh E Hh and
Ph E Sh such that
(Ph,qh) - (U~,qh) = 0 Vqh E Sh, (3.19a)
-(Ph, V~) = -(1, Vh) VVh E H h. (3.19b)
Introducing the basis functions {(Pl, ... , <Pn} and {'l/Jl, ... , 'l/Jm} for Shand
Hh , respectively, the discrete problem (3.19) can be written in matrix form:
(3.20)
where
... a 1n
. ° 0
.
:
)
,
... ann
p~ OJ ,U~ (] ,F~ CJ'

with aij = (<Pi, <pj), bij = (<Pi, 'l/Jj) and fi = -('l/Ji, 1)
In order for (3.20) to have a unique solution, the global matrix in (3.20)
should have a full rank (see Sect. 4.9.1 for the definition of rank). Therefore,
the row vectors of (BT, 0) must be linearly independent, that is,
rankB = rankB T = m.
Since the matrix B has n rows, we must have
rankB = m ~ n. (3.21 )
This means that in order for P and U to be uniquely determined from (3.20),
we should have
We shall show that if the rank condition (3.21) holds, then (3.20) has a unique
solution. Here we need only to prove that, under the condition (3.21), the
solution of the homogeneous version of (3.20) is null. To do this we assume
that {P, U} is the solution of the corresponding homogeneous equation of
(3.20), then BT P = O. Multiplying the upper part in (3.20) by pT yields
pT AP _ pT BU = O.
Therefore,
pTAP=O.
Since A is positive-definite, we have P = 0, and thus BU = O. Due to
condition (3.21), U = O.
In the above we have proved that the rank condition (3.21) is a sufficient
and necessary condition for (3.20) to have a unique solution.
We now investigate the relationship between the rank condition (3.21)
and the following condition:
pT BU > O. (3.22)
If condition (3.21) holds, then the only solution of BU = 0 is U = O. If
U i= 0, then BU i= O. Therefore, there exists aPE m,n, such that (3.22)
is valid. Conversely, if (3.21) does not hold, i.e., n < m, then the equation
BU = 0 has a non-zero solution U. In such a case, for all P E m,n, we have
pT BU = 0, and thus (3.22) is not valid. Therefore (3.22) and (3.21) are
equivalent.
It is clear that if condition (3.21) does not hold, then pT BU = (qh, v~) =
0, i.e., the discrete LBB condition cannot be realized. If the rank condition
(3.21) holds, then pT BU = (qh, v~) > 0 which does not mean that the
discrete LBB condition (3.18) is verified. In other words the rank condition
(3.21) is only a necessary condition for the discrete LBB condition (3.18) to
hold. The rank condition (3.21) guarantees only the existence of the discrete
solution, but does not guarantee the stability of the solution. As a comment
we note that the parameter 'Y appearing in the condition (3.18) in general is
related to the mesh size h. Once the parameter 'Y in (3.18) is proved to be
unrelated to h, the error in the finite element solution will depend only on
the ability of the chosen finite element subspaces to approximate the exact
solution. However, for particular choices of Sh and H h , it is not an easy matter
to verify whether the LBB condition holds or not. There are different ways
in which arbitrarily chosen finite element spaces may fail to satisfy the LBB
condition. In particular, mixed methods with equal-order finite elements are,
in general, unstable in that the stability parameter 'Y tends to zero as h -+ O.
Now we investigate some particular finite element pairs of Sh and Hh . In
all cases let the interval [0,1] be divided into N cells (N > 3). An example of
instability is the following seemingly natural choice. For the v approximations,
we choose Hh = set of piecewise continuous quadratic functions. For discrete
q, we choose Sh = set of piecewise linear functions. In this case, dimHh =

2N - 2> dimSh = N + 1, so the rank condition (3.21) is violated.
We next consider equal-order finite elements. We nOW choose both Hh
and Sh to consist of piecewise linear functions. One easily sees that dimHh =
N - 1 < dimSh = N + 1. That is, the rank condition (3.21) is satisfied.
However, for % = {I, -1, 1, -1, ... }(Le., the nodal values are 1, -1, 1, -1, ... ),
we have that (qh, v~) = 0 for all Vh E Hh(since in each element v~ is a
constant, fne qhv~dx = 0), so that 'Y = 0 in (3.18). That is, the linear-linear
pair fails to pass the LBB condition.
A good pair is the linear v and the constant q. Since dimHh = N - 1 <
dimSh = N, the rank condition is satisfied. The satisfaction of the discrete
LBB condition can also be verified by the same argument as in the continuous
case.
Provided that the LBB condition is satisfied, the following error estimate
can be derived (see, e.g., Brezzi and Fortin 1991, Roberts and Thomas 1991):
(3.23)
where Ihu E Hh is the interpolant of u, and Ihp E Sh is the interpolant of
p.
If we choose Hh = set of piecewise linear continuous functions and Sh =
set of piecewise constant functions, then the rate of convergence is (Roberts
and Thomas 1991, p.578):
(3.24)
From (3.23) we see that the objective of getting better accuracy for the
dual variable p is not achieved by the mixed Galerkin method (3.5). One may
say that the mixed Galerkin method brings more troubles than benefits, at
least for the second-order diffusion problems. (For the fourth-order elliptic
problems, such as, for beam, plate and shell problems, the use of the mixed
Galerkin method is of some advantage, since it can avoid the need for C1
elements. The definition of C1 element will be given in Sect. 4.5.1.) Mixed
Galerkin methods remain a delicate class of finite element methods in that it
is not easy to choose the approximation spaces and verify the satisfaction of
the LBB condition. The resulting matrix in (3.20) is not positive-definite, and
thus it is difficult to solve (3.20) iteratively in an efficient way for large-scale
problems.

3.4.1 The Least-Squares Formulation
Before introducing the least-squares formulation let us recall a few simple

concepts. Assume that V is a linear space. We say that L is a linear form
on V, if L : V -t JR, i.e., L(v) E JR for v E V, and L is linear, i.e., for all

v,w E V and (3,O E JR
L({3v + Ow) = (3L(v) + OL(w).
Furthermore, we say that B(u,v) is a bilinear form on VxV, if B : VxV -t JR,
i.e., B(u, v) E JR for u,v E V, and B is linear in each argument, i.e., for all
u, v, w E V and {3,O E JR we have
B(u, (3v+ Ow) = (3B(u, v) + OB(u, w),
B({3u + Ov, w) = (3B(u, w) + OB(v, w).
The bilinear form B (u, v) on V x V is said to be symmetric, if
B(u, v) = B(v,u) Vu,v E V.
Now let us consider the least-squares method for the solution of (3.4)
which can be written as
Au = I, (3.25)
in which
Au = (~1 ~1) ~: + (~ ~) u,
We assume that f E L 2 (0, 1).

We construct the following quadratic functional that is defined in terms
of the L2 norms of the equation residuals:
I: X x H -t JR,
1 2
I(P,u) = 2'"Au - Ilia
1
= 2'(Au- / ,Au-f)
2'1 10{I [(p - u' )

2 + (p' + !) 2] dx,
where X = {q E Hl(O, In
and H = {v E Hl(O,I) : v(O) = 0, v(l) = O}.
A necessary condition that u = {p, u} E X x H be a minimizer of the
functional I is that its first variation vanishes at u for all admissible v =
{q, v} E X x H. This leads to the least-squares variational formulation: Find
u = {p,u} E X x H such that
lim dd I(u + tv) (Au-/,Av)
- 11
t-+O t
[(p - u' ) (q - v') + (p' + !)q'J dx = 0,

Vv = {q,v} E X X H. (3.26)
Let
B (u, v) = (Au, Av) = (p - u', q - v') + (p', q'), (3.27)
L(v) = (f,Av) = - (f,q'), (3.28)
then (3.26) can be written as
(Au,Av) = (f,Av) Vv = {q,v} E X x H, (3.29a)
or
B (u, v) = L(v) Vv = {q,v} E X x H. (3.29b)
3.4.2 Stability Estimate
We shall now analyze the least-squares method (3.29). The reader will fully
understand these analyses after studying the bounded inverse theorem in
Chap. 4. The analysis can also be based on the famous Lax-Milgram theorem
(see Appendix D). Formulation (3.29a) is convenient for the analysis based
on the bounded inverse theorem, while (3.29b) is popular for the application
of the Lax-Milgram theorem. For both approaches the essential issue in the
analyses is the same: the boundedness of the operator A or the coerciveness
of the bilinear form B (u, v). In the following we use both notations.
Apparently, B(u, v) is symmetric. It is straightforward to verify that
I(Au, Av)1 = IB(u, v)1 ~ Cllulll ·lIvliI, (3.30)
where lIull~ = IIpll~ + lIull~· Therefore A or B(·,·) is bounded on X x H.
Now let us prove that A is bounded below or B(v, v) is coercive: There
exists a constant a > 0 such that
IIAvll~ = B(v, v) ~ allvll~ Vv E X x H. (3.31)
We note that
B(v, v) = IIq - v'lI~ + IIq'II~· (3.32)
Consequently,
B(v, v) ~ IIq'II~, (3.33)
B(v, v) ~ IIq - v'II~. (3.34)
From (3.32) we have
B(v, v) IIq'lI~ + IIqll~ + IIv'lI~ - 2 (q, v')

~ IIq'lI~ + IIqll~ + IIvll~ + 2 (q', v),
where in the second step we have used integration-by-parts, the boundary

conditions (3.4c), and the Friedrichs inequality (2.8), i.e., Ilv'II~ ~ IIvll~, Vv E
H. Thus
B( v, v) ~ IIq' + vll~ + Ilqll~. (3.35)
From (3.35) we have
B(v, v) ~ Ilq' + vll~, (3.36)
B(v, v) ~ IIqll~. (3.37)
The combination of (3.33) and (3.36) leads to

2(B(v, v))1/2 ~ IIq'IIo + IIq' + vll o= II-q'II o+ IIq' + vll o~ IIvll o'
so that
4B(v, v) ~ IIvll~. (3.38)
Similarly, the combination of (3.34) and (3.37) gives
2 (B(v, v))l/2 ~ IIq - v'llo + Ilqllo = IIv' - qllo + Ilqllo ~ IIv'llo,

so that
4B(v, v) ~ Ilv'II~. (3.39)
By combining (3.33), (3.37), (3.38) and (3.39), we finally obtain the bound-
edness (below), or the coerciveness
1 1
IIAvll~ = B(v,v) ~ 10 (lIqll~ + IIvllD = 1OIIvll~. (3.40)
Using (3.40) we can obtain the stability estimate of the solution u as

follows. We have
1
lOIIull~ ~ IIAull~ = B(u,u) = L(u) = (j,Au)
= - (j,p') ~ Ilfilollp'IIo ~ Ilfilolluill.
Dividing by Ilulll and squaring we obtain the desired stability estimate
(IIpll~ + IIull~) ~ Cllfll~, (3.41a)
or
(3.41b)
Equation (3.41) shows that if f E L 2 (0, 1), then a unique and stable
solution exists in X x H. If f is a Dirac delta function and thus is not square-
integrable, the least-squares method is not valid. This is one of the essential
differences between the least-squares formulation and the mixed Galerkin
formulation. Fortunately, in fluid dynamics the case in which the body force
f is a Dirac delta function is seldom seen.
In the model problem (3.1) only the boundary conditions on u itself are
given. When the problem (3.1) is reduced to the first-order system (3.4)
by introducing the flux p, no boundary condition on P is required. This is
an important observation and is contrary to a common misunderstanding
that says "whenever a new variable is introduced to reduce a higher order
differential equation to a lower order system, a boundary condition on this
new variable is needed."
For the same problem with other boundary conditions such as:
(1) u(O) = 0, p(1) = OJ
(2) u(O) = 0, p(O) = O.
We can prove the boundedness (below) ofthe A following the same procedure
as above, see Jiang and Chang (1990).
The symmetry of the bilinear form (Au, Av) and the boundedness (be-
low) of A guarantee that the matrix for the least-squares finite element
method is symmetric and positive-definite. This is an important advantage
of the least-squares method.
3.4.3 Error Analysis
The corresponding finite element problem is then to find Uh = {Ph, Uh} E

X h X Hh such that
(3.42)
where
(AUh, AVh) = (Ph - u~, % - v~) + (p~, q~) , (3.43)
(I, AVh) = - (f, q~). (3.44)
Since Xh x Hh C X x H we have from (3.29) in particular
(Au,Avh) = (I, AVh) VVh = {%,Vh} E X h x Hh , (3.45)
so that after subtracting (3.42) we obtain the orthogonal condition
(A(u - Uh),Avh) = 0 VVh = {qh,Vh} E X h x H h . (3.46)
Let Ihu = {flhP,Ihu} be the interpolant of u, by using (3.40) and (3.46)
we have
1
lOiiu-Uhiil
2
< (A(U-Uh),A(u-Uh) )
= (A(u - Uh), A(u - flhu))
+(A(u - Uh), A(flhU - Uh))
= (A(U-Uh),A(u-flhU))
$ Giiu - uhiiliiu - flhUiil,
where the last inequality follows from (3.30). Dividing the above inequality
by lIu - uhlll we obtain
lIu - uhlll ~ cllu -lIhulll. (3.47)

From (3.47) we can obtain the error estimate
lip - Ph III + lIu - uhlll ~ C(lIp -lIhPlll + lIu -lIhulll). (3.48)
We have proved the following theorem about the rate of convergence of the
least-squares finite element solution.
Theorem 3.1 Assume f is smooth enough and the finite element interpola-
tion error estimates hold (see Sect. 4.6.3); that is,
lip -lIhPlll ~ CphllplHl, Ilu -lIhulll ~ Cuhmlulm+l, (3.49)
then
(3.50)
where f. and m denote the orders of polynomials for P and u, respectively;
r = min(f., m) and Cp , Cu and C are the constants which do not depend on
the mesh size h.
We may utilize the Aubin-Nitsche trick (see Sect. 2.9) to obtain the op-
timal L2-estimates of the error:
(3.51)
We remark that for the least-squares method the choice of interpolations
for P and u is not subject to any restriction as long as f. ~ 1, m ~ 1. In
particular, the equal-order finite elements are permissible. For example, if
the linear finite element is chosen, the accuracy of the least-squares solution
is of O(h2) for both P and u. However, inspection ofthe equation (3.4a) shows
that in order to make the residual of this equation equal to zero throughout,
one may choose the interpolation for u as one order higher than that for p,
such as a pair of quadratic (u) and linear (p) elements. As seen in Sect. 3.3,
this reasonable combination is not allowed in the mixed Galerkin method.
3.4.4 Numerical Results
To show the convergence of the least-squares finite element method, we per-

formed numerical experiments for three simple, one-dimensional, boundary-
value problems. We used a uniform mesh containing elements of length h.
We are interested in the behavior of the error ep = P - Ph and eu = u - Uh in
L2 norm for various choices of polynomials of degree f. for Ph and m for Uh.
Results of numerical experiments are shown in Fig. 3.1 and summarized in
Table 3.1. We obtained the rate of convergence of the method by calculating
the norm of the error for each h, plotting log II error II versus log h, and calcu-
lating the slope of this line. All of the computed rates of convergence agree
with the estimate (3.51).
8
Problem 1
-- --
Pl'Obiem 2
.4 .8 1.2 1.6 .4 .8 1.2 1.6 .4 .8 1.2 1.6 .4 .8 1.2 1.6

-Log(h) -Log(h)
8
Probtem 1
-- 8
Problem 3
/-
6 m=2 6 msl
g:
...g:
.~
...
I
I
4 4
2 2
.8 1.2 1.6 .4 .8 1.2 16 .4 .8 1.2 1.6 .4 .8 1.2 16

-l,og(h) -l.og(h)
Fig. 3.1. Computed convergence rates for one-dimensional problems (From Jiang
and Chang 1988)
Table 3.1. Computed convergence rates for model problems (From Jiang and
Chang 1988)
Problem 1: u' = p, p' = _x 3, = u(l) = 0

u(O)
order f order m lIepll Ile,,1I
1 1 O(h2) O(h2)
2 1 O(h2) 0(h2)
1 2 0(h2) 0(h2)
2 2 0(h3) O(h3)
Problem 2: u' + 3u = p, p' - 2u = _2x2 + 6x - 2, u(O) = u(l) = 0

Problem 3: -(a(x)u)' = p, p' = f, u(O) = u(l) = 0
a(x) = + o:(x - xo)2 ±
f(x) = 2 + 20:(x - xoHtan- 1 [0:(x - xo)] + tan- 1 (o:xo)}
0: = 0.5, Xo = 0.5
order f order m Ilepll lIe,,1I
1 1
2 2

For the solution of diffusion-type differential equations, both the mixed
Galerkin method and the least-squares method are based on the first-order
system generated by introducing the dual variable p (the flux) as an addi-
tional unknown. The mixed Galerkin method leads to a saddle-point problem,
so that the choice of elements for p and u must satisfy the Ladyzhenskaya-
Babuska-Brezzi condition, and in general equal-order elements are not al-
lowed. Moreover, the system of linear algebraic equations resulting from the
mixed Galerkin method is not positive-definite and thus it is not easy to solve
iteratively in an efficient way.
The least-squares method leads to a minimization problem and thus the
interpolations for p and u can be independently chosen without the limitation
of the LBB condition. In particular, the equal-order interpolations which are
simple in implementation are permissible and thus both p and u can have the
same accuracy. The most important advantage of the least-squares method
is that the resulting matrix is symmetric and positive-definite, and thus a
simple iterative method such as the conjugate gradient method can be used
to solve the problem efficiently.
The idea, analysis and numerical results of the least-squares finite element
method presented in this section first appeared in Jiang and Chang (1988,
1990). A similar analysis for slightly more general first-order systems of or-
dinary differential equations including superconvergence estimates for the
solution at the interelement nodes can be found in Pehlivanov et al. (1993).
Part II
Fundamentals of LSFEM
4. Basis of LSFEM
In this chapter an attempt is made to present a unified theory and formulation

of the least-squares finite element method for multi-dimensional problems so
that in principle, it is not necessary to repeat the same argument in dif-
ferent instances. In the following chapters, these theorems, inequalities and
formulations will be extensively utilized. The mathematics is kept as sim-
ple as possible, since our purpose is to become familiar with certain modern
concepts that will help readers understand the basic theory, formulation and
properties of the least-squares method.
4.1 Function Spaces

In order to give a precise definition of the least-squares finite element method
for two- and three-dimensional problems, we need to review some basic
concepts of function spaces and associated norms. More detailed accounts
concerning these spaces may be found in, e.g., Prenter (1975), Oden and
Demkowicz (1996).
A linear space U equipped with a norm is called a normed space and is
denoted by the pair {U, II· II,,}. We use this notation to emphasize that the
particular norm I . II" is associated with the space U. Whenever it is clear
what norm belongs to U, we write U instead of {U, II· II,,}·
We recall that a Cauchy sequence in U is a sequence Ul, U2, U3, •.• , of
elements in U which satisfies the following property: For any E > 0 there
exists a natural number N such that the distance lIui - Ujll" < E if i,j > N.
Further, a sequence in U is said to converge to an element U if the distance
Ilui - ull" -+ 0 as i -+ 00. A space U is said to be complete if any Cauchy
sequence converges to a U E U. A complete normed space is called a Banach
space.
Let [} c IRnd be an open bounded domain with a piecewise smooth
boundary r, where nd = 2 or 3 represents the number of space dimensions,
and x = (Xl, ... , XnJ, or (X, y, z) be a point in D. By a piecewise smooth
boundary, we mean that: (1) D lies one side of rand r can be represented
by a finite number of arcs, each of which is the graph of an infinitely differen-
tiable function with respect to a suitable chosen local coordinate system; (2)
the interior angles between the left and right tangents at the breakpoints of
48 4. Basis of LSFEM
the arcs are greater than zero (see, e.g., Oden and Reddy 1976, p.59 or Krizek
and Neittaanmiik 1990, p.4). A domain with a piecewise smooth boundary
represents a sufficiently wide class of domains necessary for most practical
purposes. Simple domains such as a ball, cube, torus, triangle, polygon, poly-
hedron, ... , etc., certainly have a piecewise smooth boundary.
As usual, Lp(D), 1 :::; p :::; 00 denotes the space of of functions u defined
on D whose absolute value have pth powers which are Lebesque-integrable
on D. The norm on Lp(D) is given by
IluIILp(!1) = (L lulPdD) lip.
The Lebesque space Lp(D) is a Banach spaces. For the purpose of this book
the spaces L1 (D) and L2 (D) are of particular importance.
A Banach space U is called a Hilbert space, if there exists an inner product
(., .) on U such that Ilullu = (u, u)1/2 for all u E U. We note that L1(D) is
not a Hilbert space.
L 2 (D) is a Hilbert space, since L 2 (D) is the space of square-integrable
functions defined over D and equipped with the inner product
(u, v) = L uvdD u, v E L2(D)
and the norm

Ilullo = (u, U)1/2
As in Sect. 2.2 we can prove the Schwarz inequality
I(u, v)1 :::; Ilullollviio. ( 4.1)
Next, for any non-negative integer k, we define the Sobolev space as:
Hk(D) = {u E L 2(D) : Dau E L2(D), for lal :::; k}
where we use the multi-index notation,
a {jlolu
Du=--------;".-
!::I 01!::1 02 !::I Ond'
uX 1 uX 2 ... UXnd
lal = I(all ... ,anJI = a1 + a2 + ... a nd •

Thus Hk (D) consists of functions whose derivatives up to order k are square-
integrable. Hk(D) is equipped with the norm
Ilullk = (1Iull~ + L IIDlalull~)1/2. (4.2)

lal:::;k
We shall note the fact that Hk (D) is also a Hilbert space.
Clearly HO(D) = L 2(D). Of particular interest is the space H1(D) consist-
ing of functions with square-integrable first-order derivatives and its subspace
HJ(D) = {u E H1(D) : u = 0 on r}
4.1 Function Spaces 49
whose elements have square-integrable first-order derivatives over {} and van-

ish on the boundary T. These spaces have the associated norm
nd l} 2 1/2
lIuII1 = (1Iull~ + LIIl};.IIJ . (4.3)
i=1 •
For the function space H1({}) we may also introduce the semi-norm
lull= ( ~IIl}u
~ ~ 112) 1/2 . (4.4)
i=1 UXi °
Also we denote by H-I({}) the dual space consisting of bounded linear
functionals on HJ({}), i.e., u E H- I ({}) implies that (u, v) < 00 for all
v E HJ({}). A norm for H-I({}) is given by
(u,v)
lIull-1 = sup -I-I ' (4.5)
O~VEHJ(!J) v I
where sup denotes the least upper bound.

We will also use the trace spaces, which consist of the restriction, to the
boundary T, of functions belonging to Hk ({}). For example, HI/2 (r) consists
of traces of functions belonging to HI ({}); a norm for functions belonging to
HI/2(T) may be defined by
IIqlll/2,r = inf
uEH1(O)
lIulh, (4.6)
u=q on r
where inf denotes the maximum lowest bound.
For the vector-valued function u with m components, we have the product
spaces
L2(D) = [L2(D)]m = ((Ul,U2, ... ,Um): Uj E L 2(Dn,
HI({}) = [HI({})]m = ((U1. U2, ... ,Um): Uj E HI({})},

and the corresponding norm
m
lIull~ = L IIUj II~,

j=1
lIull~ = L Ilujll~·
j=1
Also, the inner product for functions belonging to L 2 ({}) = HO({})

[L2({})]m is given by
(u,v) = l u·vdD.
4.2 Linear Operators

Let us review some basic concepts and notations of linear operators. Let
{U, 11·llu} and {V, 1I·llv} denote two normed linear spaces. We recall that an
operator A from U to V is linear if and only if
If there ~xists a nonnegative real number M such that

IIAuliv ~ Mllullu \/u E U, (4.8)
then the linear operator A : U -t V is said to be bounded above. If for every
sequence {un} of elements in the domain U that converges to u relative to
the norm 11·111£' the sequence {Au n} converges to Au in V in the sense of the
norm 1I·lIv, then A is said to be continuous.
It is easy to show that continuity and boundedness (above) are equivalent.
Moreover, the continuity of A is equivalent to the boundedness (above) of
IIAull v on the unit sphere Ilullu ~ 1. In fact, if M is the upper bound of
IIAuli v on the unit sphere Ilullu ~ 1, then for any element u in the space U,
uiliullu is on the surface of this unit sphere, therefore
IIA(ulliullu)lIv ~ MII(ulliullu)lIu = M,
and thus
IIAuliv ~ Mllullu.
If we take
M = sup IIAullv,
111£11..:51
i.e., M is the least upper bound of IIAullv on lIull ... ~ 1, then
IIAuli v ~ Mllullu \/u E U.
This sUPllull,,9l1Auliv is defined as the norm of the operator A and denoted
by IIAII.
Let us now choose a linear subspace ~ of the Hilbert space L2(Q) by
imposing certain additional conditions which every function u E ~ must
satisfy. For example, we may require some specified smoothness conditions,
boundary conditions on r, etc. These conditions, however, must be sufficient
to guarantee that an operator A, if given, maps the subspace ~ into L2(Q).
The subspace ~ is called the domain of the operator A and denoted by ~(A).
Consider next the adjoint operator A * defined by the identity
(Au, v) = (u,A*v), (4.9)
where u E ~(A), v E ~(A*).
The subspaces ~(A) and ~(A*) of the Hilbert space L2(Q) do not coincide
in general, despite the fact that the functions in these subspaces are defined
on the same region Q.
4.3 The Bounded Inverse Theorem 51
The operator A is called self-adjoint if Au = A*u for all u E 4>(A) and

4>(A) = 4>(A*).
It is easy to verify that the first-order ordinary differential operators de-
fined in (2.1) and (3.4) are not self-adjoint, but the second-order ordinary
differential operator defined in (3.1) is self-adjoint. In fact, all first-order dif-
ferential operators are not self-adjoint. This is the reason why the Galerkin
method does not work well for first-order differential equations.
4.3 The Bounded Inverse Theorem

We shall now investigate why the problem of finding the solution of linear op-
erator equations can be solved by minimizing a certain norm of the equation
residuals.
We consider a linear operator equation
Au=1 lEV. (4.10)
Equation (4.10) may be a set of linear algebraic equations, linear ordinary
differential equations, linear partial differential equations, or linear integral
equations, etc. The solution of (4.10) is denoted by u = A- l I; A- l is called
the inverse operator of A. If for any I E V there exists one and only one
u E U such that Au = I, then A : U ~ V is called one-to-one.
In studying the abstract linear equation (4.10), we are often concerned
with the existence, uniqueness and continuity of the solutions. We need to
know whether (4.10) has a solution; if the solution exists, whether it is unique;
if I is changed a little, whether the solution u is also changed a little. The
following theorem answers these questions.
Theorem 4.1 (The Bounded Inverse Theorem) The sufficient and necessary
condition for a linear operator A : U ~ V to have a continuous inverse
operator is that A is bounded below, Le., there exists a positive constant a
such that
VuEU. (4.11)
Prool: Necessity: Assume that A- l exists and is continuous on V. Then there

is a constant a > 0 such that IIA-lvll u ~ 1/allvll v. Setting v = Au shows
that A is bounded below.
Sufficiency: Suppose that A is bounded below. Then Ul =1= U2 means AUl =1=
AU2, therefore there is one and only one u in U for each Au in V. Thus A- l
exists on V. To show that A- l is continuous, simply note that
IIA-lvliu = Ilullu ~ .!.IIAuliv

a
= .!.llvllv.
a
Hence A-l is bounded above, and thus continuous. o
The notion of bounded below operators provides for a simple interpreta-

tion of equivalence of norms. Normed spaces {U, I . II,,} and {V, I . I/v} are
topologically equivalent if and only if there exists a linear operator A : U -+ V,
and positive constants a and M such that
al/ull" ::; IIAul/v ::; M/lu/l" VuEU. (4.12)
The interpretation of these inequalities is clear: allul/" ::; IIAul/ v means that
A is bounded below and, therefore, has a continuous inverse defined in V;
/lAul/ v ::; Mllull" indicates that A is continuous.
The bounded inverse theorem is important in studying the existence of
solutions of abstract linear equations on Banach spaces. The problem (4.10)
is said to be well-posed, if there exists a unique solution u that depends
continuously on the data f. If A is bounded below, then the problem (4.10)
is well posed, because when A is bounded below, we have
Ilull" ::; .!.IIAull

a
v = .!.a /lfl/v,
i.e., the solution u clearly depends continuously on the data f.
The bounded inverse theorem is also useful in examining convergence
and error estimate of approximate solutions. Suppose that an approximate
solution Un of (4.10) is obtained by a certain method. Since A is a linear
operator, replacing u in (4.11) by Un - u results in
1
Ilun - ull" ::; -IIAun
a
- Aul/v.
If u is the exact solution of the equation, then Au = f and the equation
residual Rn = AUn - f, therefore the distance between the approximate
solution and the exact solution can be estimated by the equation residual:
1
Ilun - ull" : : ; -IIAun
a
- fllv. (4.13)
This leads us to conclude that as the norm of the residual of the approximate
solution approaches zero, i.e. I/Aun - fllv -+ 0, the approximate solution
converges to the exact solution, i.e. I/u n - ul/" -+ 0.
From the above investigation, we have in fact established a very important
theorem which lays down the foundation of the general residual-minimization
method for the solution of linear operator equations.
Theorem 4.2 (The Residual Minimization Theorem) Provided that a linear

operator equation on a Banach space is well-posed, minimizing the equation
residual measured in a proper norm always leads to a convergent solution.
In the light of Theorem 4.2 expressed mathematically by (4.13), the least-

squares method discussed in this book, which minimizes the squared L2 norm
of the residual of first-order linear partial differential equations on Hilbert
spaces, may be viewed as a special case of this very general method. The
4.4 The Friedrichs Inequality 53
Ll method introduced in Sect. 9.2 for seeking discontinuous solution of first-

order linear hyperbolic equations, and the H- l method proposed by Bramble
et al. (1997) for second-order elliptic problems also belong to this general
least-squares method.
4.4 The Friedrichs Inequality
As in the one-dimensional case, the following general Friedrichs inequality and

the Poincare inequality play an essential role in showing that a particular
linear first-order differential operator is bounded below or in proving the
coerciveness of the bilinear forms generated by the least-squares method.
Theorem 4.3 (The Friedrichs Inequality) If u E Hl(n) and satisfies u = 0

on r l , where r l is a part of the boundary r, then there exists a constant C
which is not related to u such that
(4.14)
Proof: We follow the proof given by Chen (1982). Let us consider the two
dimensional case. The proof for the three dimensional case is similar. Assume
that u = 0 outside of ti, where ti denotes the closure of n.We use a circle
with diameter D to surround the domain n.
Let the boundary r l be located
as shown in Fig. 4.1 (this can always be done by rotating the coordinates),
such that the set of y coordinates of n contains a ~ y ~ (3.
We choose a point A on rl. The ordinate of A is y.
Through A we draw a straight line segment AB which is parallel to the
x axis. We have
u(B) = u(B) - u(A) = i. au~~

B
y) d~.
By virtue of the Schwarz inequality we have
Fig. 4.1. A two-dimensional domain

lu(x,Y)1 2 = (i B
:~d~f ~ D i (:~)2d~.B
Integrating the above inequality with respect to y yields
l{3IU(X, Y)1 2dy In

~ D (~~) 2 dxdy. (4.15)
If the domain !l is included in the strip a ~ y ~ (3, integrating (4.15) with

respect to x leads to the inequality (4.14). Otherwise, through B(x, y) we
draw a straight line segment BE which is parallel to the y axis. We have
u(E) = u(B) + lY 8U~~ 1J) d1J.
From the above equation and by using the Cauchy inequality

(a + b)2 ~ 2(a 2 + b2) (4.16)
and the Schwarz inequality we have
lu(x,y)1 2 < 2[lu(x,yW+ (lY 8U~~1J)d1J)2]

< 2Iu(x,y)1 2 +2D i:(~~fd1J.
Integrating both sides of the above inequality with respect to y we have
lu(x,y)1 2 ({3-a) ~2 J:lu(x,yWdY+2D({3-a) i:(~~fdY.

By considering (4.15) the above inequality becomes
lu(x, y)12({3 - a) In
~ 2D (:~f dxdy + 2D({3 - a) i : (~~f dy.
Finally integrating the above inequality with respect to x and y yields the
Friedrichs inequality (4.14). 0
By adding lull to both sides of (4.14) we obtain

lIulil ~ Clull, (4.17)
which implies that for functions belonging to HJ(!l) or to Hl(!l) and satis-
fying u = 0 on a part of the boundary, the semi-norm (4.4) defines a norm
equivalent to (4.3), and for such functions, the semi-norm may be used instead
of the norm.
4.5 The Poincare Inequality 55
4.5 The Poincare Inequality
Theorem 4.4 (The Poincare Inequality) If U E HI(n), then there exists a

constant C which is not related to U such that
(4.18)
Proof: For simplicity let us prove its validity for two-dimensional rectangular
domains, see Fig. 4.2.
(O.b) 1---------------.
Fig. 4.2. A rectangular do-

OL-------------~_
(a.O) x main
Assume that n is a rectangle 0 ~ x ~ a, 0 ~ Y ~ b. Let (Xl, yd and

(X2' Y2) be two points in n, then
U(X2, Y2) - U(XI, YI) = U(X2, Y2) - U(X2' YI) + U(X2, YI) - u(XI, YI)
= 2
rau(x, Yl) dx + f Y2 aU(X2' y) dy.
iXl ax i Y1 8y
Squaring both sides and using the Cauchy inequality (4.16) yield
< 2{ ( r 2
8u(x, yd dX) 2
iXl ax
+ (lY2au~2,Y)dY)2}.
Yl Y
For the right hand side by using the Schwarz inequality we have
U2(X2' Y2) 2U(X2, Y2)U(XI. Yl) + U2(XI, Yl)
~ 2a la(aU~~YI)fdx+2b lb(aU~;,Y))2dY.
Integrating both sides of the above equation with respect to Xl, YI, X2, Y2
yields
2ab L u2dD-2(L udDf ~ 2a·a2bL(~:fdD

+ 2b· ab2L (~;fdD,
or
L u2dD- :b(L udDf ~a2 L(~:)2dD+b2 L(~;fdD,

and thus
L u2dD~max{a2,b2) L{U;+U~)dD+ :b(L udDf·

This is the Poincare inequality. o
4.6 Finite Element Spaces

A crucial step in the finite element analysis of a given problem is the choice of
adequate finite element spaces Vh • These spaces consist of piecewise polyno-
mial functions on subdivisions or ''triangulations'' Th of a bounded domain
D c m,n d , nd = 1,2,3 into elements K. For nd = 1, the elements will be
intervals. We have discussed one-dimensional linear elements in Sect. 2.5.
For nd = 2 the elements may be triangles or quadrilaterals, and for nd = 3
tetrahedrons or hexahedrons.
Throughout this book, Pr{K) denotes the space of polynomials of order
less than or equal to r defined on K, and Qr{K) the functions that are poly-
nomials of order less than or equal to r in each of the coordinate directions,
e.g., Ql{K), for K C m,2, denotes piecewise bilinear functions with respect
to quadrilaterals K.
We assume that readers are familiar with finite elements, so we will not
enter into details of various elements. Instead, we review some basic ideas
and derive expressions for the interpolation errors only for linear triangular
elements using an elementary method. For rigorous analysis of finite element
interpolation errors, we refer to Ciarlet (1991).
4.6.1 Regularity Requirements

The least-squares finite element method will need either Vh C Hl
(D) or
Vh C H2{D) depending on solving first-order or second-order boundary value
problems. Since the space Vh consists of piecewise polynomials, we have
Vh C Hl{D) ¢} Vh c C°(tJ), (4.19)
(4.20)
where ti = u D r. Thus, Vh c Hl{D) if and only if the functions v E Vh
are continuous, and Vh C H2{D) if and only if the functions v E Vh and
4.6 Finite Element Spaces 57
their first-order derivatives are continuous. Equivalence (4.19) holds, since

the functions v E Vh are piecewise polynomials on each element K, so that
if v is continuous across the common boundary of adjoining elements, then
the first-order derivatives DO!v(lal = 1) exist, and are piecewise continuous,
therefore v E Hl(S1). On the other hand, if v is not continuous across a certain
inter-element boundary, i.e. v (j. CO (Ii), then the derivatives DO!v,lal = 1
would be a 6 function, and thus are not square-integrable on S1 and therefore
v (j. Hl(S1). Similarly we realize that (4.20) is valid.
Finite elements which satisfy the requirement (4.19) are called CO ele-
ments. Finite elements with continuous first-order derivatives across inter-
element boundaries are called C 1 elements. If one applies the least-squares
method directly to second-order differential equations (Bramble and Shatz
1970a,b), then the second-order derivatives should be integrable over S1, and
thus according to (4.20), C 1 elements should be employed. However, it is
difficult and complicated to construct C 1 elements. Furthermore, the use of
the C 1 least-squares method will leads to severely ill-conditioned matrices.
For this reason, in this book we pursue application of the CO least-squares
finite element method based on first-order systems.
In fact, first-order systems are more natural than higher-order systems.
Conservative laws and constitutive laws in physics are in general governed by
first-order systems. For historical reasons (convenience for hand calculation
and analysis), equations in a first-order system are combined into a high-order
partial differential equation (or equations) with one or fewer unknowns. For
example, for incompressible and irrotational flows, by introducing the poten-
tial (or the stream function in 2D cases), the incompressibility and irrotation-
ality are combined into a second-order Laplace or Poisson equation. Because
the potential or the stream function is not a measurable physical quantity,
one has to take a posterior numerical differentiation to obtain useful velocity
components, and thus accuracy is reduced by one order. In the computer age
this is unnecessary. The least-squares method based on first-order system can
directly give an accurate solution of the velocity components.
If the original governing equations are of higher order, one can always
reduce them to a first-order system by introducing some new variables, then
use the least-squares method with CO elements.
4.6.2 Linear Triangular Element

For simplicity we assume that S1 is a polygonal domain in the x, y plane. We
take the linear triangular element, i.e., the PI element, as an example. We
divide S1 into a set Th = {Kl. ... , Km} of non-overlapping triangles K i ,
S1 = Kl U K 2 ... U K m,
such that no vertex (node) of one triangle lies on the edge of another triangle
as illustrated in Fig. 4.3. We introduce the mesh parameter h as the maximum
diameter of all circles circumscribing the triangles, and p as the minimum
diameter of all circles inscribed in the triangles. We shall assume that the
subdivision satisfies the standard regularity condition, Le., there is a positive
constant f3 independent of h such that
(4.21 )
This condition means that the triangles K E Th are not allowed to be ar-
bitrarily thin, or equivalently, the angles of the triangles K are not allowed
to be arbitrarily small; the constant f3 is a measure of the smallest possible
angle in any K E Th for any triangulation Th.
Fig. 4.3. Triangulation
A2 Fig. 4.4. Linear triangular element
Consider a triangle in the mesh (Fig. 4.4). The nodes of this -triangle are
the vertices Ai(i = 1,2,3). Now we choose the linear interpolant
(4.22)
To evaluate the three constants ao, al and a2, we must provide three values
of u, x and y at each of the three nodes, i.e.,
Solving for the constants (aO,al,a2) and substituting them into (4.22) gives
Ihu(x, y) = '1/11 (x, Y)Ul + 'l/J2(X, Y)U2 + 'l/J3(X, Y)U3, (4.23)
where
'l/Jl (x, y) = D
1 det C :')
x
~ X2
X3 Y3
, (4.24a)
1 det
'l/J2(X,y) = D C
~
Xl
x Y"1 ) ,
x3 Y3
(4.24b)
'l/J3(X, y) = D1 det C Xl
~ x2
X ~
"1 ) , (4.24c)
in which
D = det (~1 :~ ~~). (4.24d)

X3 Y3
D is twice the area of the triangle (A1A2A3). When the node numbers 1, 2,
3 are assigned counterclockwise as in Fig. 4.4, D > OJ otherwise D < o.
The shape functions ('l/Jl, 'l/J2, 'l/J3) have a geometric explanation. We con-
nect a point A(x, y) in the triangle with three nodes to form three triangles.
The ratio of the areas, 'l/Ji, called the area coordinates, are:
'l/Jl = area(AA2 A 3) ,
area(A1A2A3)
'l/J2 = area(A1AA3) ,
area(A1A2A3)
'l/J3 = area(A1A2A) .
area(A1A2 A3)
We see that
3
L'l/Ji(X,y) = 1. (4.25)
i=l
4.6.3 Interpolation Errors
We shall use this linear triangular element De (Fig. 4.4) as an example to

estimate the interpolation errors Ilu -lhullo and Ilu -llhUlll. Readers may
skip this section and just accept the general estimates (4.42) and (4.43) which
are discussed in any book on the mathematical theory of finite elements. Here
we follow the analysis presented by Ying (1988). This analysis has three steps.
First, the nodal value of U(Ai) is expressed by the Taylor expansion of u at any
point A(x, y). Next, the relation between the point-wise error u(A) - Ihu(A)
and the remainders of the Taylor expansion is established. Finally, the L2
and HI norms of the error are derived.
(1) We assume that u E H2(n). For any point A(x, y) within the element,
we have
U(Ai) = u(A) + 11 ! U(tXi + (1- t)x, tYi + (1- t)y)dt, i = 1,2,3. (4.26)
Replacing Jo\ .. )dt in (4.26) by Jo\ .. )d(t - 1) and integrating by parts we

obtain
8u(A) 8u(A)
u(A) + ---a;-(xi - x) + a:y(Yi - y)
+ 11(1 - t) :t U(tXi + (1 - t)x, tYi + (1 - t)y)dt.

22 (4.27)
Let
~i = tXi + (1 - t)x, "'i = tYi + (1 - t)y,
then (4.27) can be written as
. 8u(A) 8u(A)
u(A) = u(A) + ---a;-(xi - x) + a:y(Yi - y) + Ri(A), (4.28)
in which
(4.29)
In fact, (4.28) is a Taylor expansion with an integral remainder (4.29).
(2) Since the interpolant Ihu(A) can be expressed as (see (4.23))

3
Ihu(A) = L U(Ai)7/Ji(A),
i=1
by virtue of (4.28) we have
8 (A)
Ihu(A) = L {u(A) + T
3
i=1
(xi -
X
x)
(4.30)
Now let us define a linear function l such that

l(A) = u(A),
at(A) 8u(A) at(A) 8u(A)

---a;- =-ax-' 8y ay.
Since the second derivatives of l are equal to zero, by virtue of (4.30) we have
Ihl(A) = L3 {
u(A)
8u(A)
+ -ax-(xi - x)
8u(A)
+ -8-(Yi -
}
y) 1/Ji(A).
i=l Y
The interpolant of a linear function is equal to itself, therefore
Ihl(A) = l(A) = u(A),
and
L {8u(A)
3
-ax-(xi - x)
8u(A)
+ -8-(Yi -
}
y) 1/Ji(A) = 0,
i=l Y
which together with (4.30) gives
3
Ihu(A) - u(A) = L Ri(A)1/Ji(A). (4.31 )
i=l
Equation (4.31) is the expression for the point-wise interpolation error Ihu-
u.
Next, we shall give the derivatives of the point-wise error. Differentiation
of (4.31) with respect to x leads to
L Ri(A) 81/J;~) + L 8~~A) 1/Ji(A).

3 3
8[lhU(~~ - u(A)] = (4.32)
t=1 i=1
Now we show that the last term in (4.32) is equal to zero. We differentiate
(4.28) with respect to x to obtain
82u(A) ( . _)
8x2 x, X +
8 2u(A) ( . _)
8x8y y, Y +
8Ri(A) _
8x - ,
°
therefore from the above equation we obtain
t 8~~A)
i=l
1/Ji(A) = - t {82;;~)
i=l
(Xi- X)+ 8;:~~) (Yi-Y) }1/Ji(A).(4.33)
Define a linear function A such that
A(A) = 0,
8A(A) 8 2u(A) 8A(A)
-ax-=- 8x2 ' 8y
According to (4.30) we have
2
Ih)"(A) = - L {a2u(A)
3 a u(A) }
ax2 (Xi - X) + axay (Yi - y) 'l/Ji(A). (4.34)
i=1
But
Ih)"(A) = )"(A) = 0,
which implies the right-hand sides of (4.34) and (4.33) equal zero, and hence
L
3
a~(A) 'l/Ji(A) = o.
i=1 ax
Therefore from (4.32) we obtain
3
a[lhu(A) - u(A)] = '"' ~(A) a'I/Ji(A) . (4.35)
ax L..J ax
i=1
Similarly,
=L
3
a[lhu(A) - u(A)] Ri(A) a'I/Ji(A) . (4.36)
ay i=1 ay
(3) Using (4.31) we can estimate lIu(A) -lhu(A)lIo,n•. To this end, we use
(4.31) and l'l/Ji(A) I ~ 1 to obtain
lIu(A) -lIhu(A)II~,n. ~ 1n. (t i=1

IRi(A)lrdxdy
~ 3 L
3
i=1
1 R~(A)dxdy.
n.
Recall that
IXi -xl ~ h, IYi -yl ~ h,
which together with (4.29) give
R~(A) = {10 (1 - t) [a2U~~l Tli) (Xi _ x)2

1
+ 2 a2u(ei,Tli)( . _ )( . _ )
aeiaTli X, X y, Y
+ a2U~~lTli)(Yi_y)2]dtr
< Ch 4 {1 1
(1- t)(1 ~~ll + 2Ia~i2;TlJ + I~~ll)dt r·
Using the Schwarz inequality we obtain
R~(A) ~ Ch411 (1 - t)2 (I :;~ 12+21 8~i2;T/i 12 + 1:~~ n

dt .
Therefore
Ilu - Ihull~,n. < Ch 4 t;3 lo[1 (1- t)2 In.[(182UI2 1

8~; + 2 8~i8T/i
12
82 u
82u 12)
+ 1 8T/; dxdydt.
Taking ~i' T/i as the integration variables and noting that

dx = d~i d = dT/i
1-t' y 1-t'
(4.37)
in which the domain Dt is a subdomain of De, as illustrated in Fig. 4.4 for

i = 3. From (4.37) we finally obtain the estimate
Ilu -lIhull~,n. ~ Ch4Iul~,n.. (4.38)

Using (4.35) and (4.36) and following the same steps as above we can
estimate lIu-lIhuIl1,n•. The only additional consideration is that we need to
estimate the upper bounds of 18-rPi/8xl and 18-rPi/8yl. We differentiate (4.24a)
with respect to x to obtain
8-rP1 1 h h 1
8x = D(Y2 -Y3) ~ D ~ 2~h = p.
Similarly we have
8-rPi 1 < ~ 8-rPi 1 < ~ i = 1,2,3.

1
8x - p' 1 8y - p'
Therefore we can derive
lIu - lIhulltne ~ C~: lul~,n. ~ Ch2Iul~,n.' (4.39)
in which the constant J3 from (4.21) is absorbed into C. In fact, we have proved
the following theorem by summing (4.38) and (4.39) over all elements:
Theorem 4.5 (Interpolation Errors) Let Th = K be a regular family of

triangulations of a polygon D, let u E H2(D) and let the finite element
subspaces Vh = {v E CO({}) : v E H(K)}. Then there exists a constant

C > 0 such that the following estimates hold
liu -lhulio,{l ::; Ch2IuI2,{l, (4.40)
liu -lhulh,{l ::; ChIUI2,{l. (4.41)
The estimates (4.40) and (4.41) are typical examples of estimates for the
interpolation error u - IIhu with piecewise linear functions. If we work with
piecewise polynomials of order r ~ 1 on the triangulation Th satisfying (4.21),
and u is smooth enough, we have the following estimates:
liu - IIhUlio,{l ::; Chr+1lulr+l,{l, (4.42)
(4.43)
For a proof of the above estimates, see, e.g., Ciarlet (1991) and Oden and
Carey (1983).
4.7 First-Order System

The least-squares method studied in this book is based on minimizing the
L2 norm of the residuals in the first-order differential equations. Almost all
problems arising in fluid dynamics, solid mechanics, heat transfer, electro-
magnetics and other disciplines can be expressed by first-order systems.
Let us consider the first-order system of partial differential equations:
n m a m
LLaij,k Uj LaijUj = Ii
a + j=l i = 1, ... ,m. (4.44)
k=l j=l Xk
The above system can be written in matrix form:
n au
Au == L A k a +Aou = j, (4.45)
k=l Xk
where u T = (Ulo U2, ...u m ) is a vector of m unknown functions of x =
(XloX2' ... ,xn ), Ak = (aij,k) and Ao = (aij) are m x m matrices, and j is a
given vector-valued function of x. We emphasize here that for time-dependent
problems the time variable t is included in x.
(1) System (4.44) is called a quasi-linear system, if aij,k and aij are functions
of x and u;
(2) It is called an almost-linear system, if aij,k are functions depending only
on :1:, and aij are functions as in (1);
(3) It is called a linear system, if both aij,k and aij are functions of x only.
For convenience, we shall restrict our treatment initially to linear prob-
lems. It is straightforward to extend the treatment to quasi-linear problems
4.7 First-Order System 65
by using successive substitution or Newton's linearization (see Sects. 7.2 and

8.3).
Linear first-order systems of partial differential equations can be classi-
fied as elliptic, parabolic, hyperbolic and mixed. Different types of partial
differential equations describe different physical phenomena and have differ-
ent mathematical features. Now let us classify linear first-order systems.
Assume that the solution u and all its first-order derivatives have already
been determined on a smooth surface S:
<p(X1' ... , xn) = O.
We wish to extend the solution off S. To replace the independent variables
Xl, ... , Xn we introduce new independent variables 6,6, ... ,en, such that en =
<p, and if en = 0 there exists a relationship:
Xi = gi(6, ... , en-I) i = 1, ... , n
which is the parametric expression for the surface S. (e1, ... ,en-1) are the so
called internal variables of the surface S. The derivatives of u with respect to
these internal variables are called internal derivatives. In other words, the tan-
gential derivatives of u along the surface S are defined as internal derivatives.
Correspondingly, if the direction t. is not tangential to the surface S, then
au/at. is called an external derivative. If the function u on the surface Sis
given, then all its internal first-order derivatives on S are known. However, its
first-order external derivative cannot be determined only by the value of u on
S. Now the question is: Can the equations (4.45) help us uniquely determine
the external derivatives? To answer this question we use the transformation
of independent variables:
Xi = Xi(e1, ... , en) i = 1, ... , n
under which the first-order derivative aU/aXk becomes
~ au aej
~
j=l ae·J aXk'
and therefore system (4.45) becomes
(~ aen) au
~Ak8 at + ... =/
k=l Xk <"n
in which, except for the first term, all terms depend only on the value of u
and its internal derivatives on the surface S, and thus are known. If au/aen
can be determined, then the solution can be extended off S. This depends
on whether the matrix E;=l Akaen/aXk is of full rank or not. If it is of full
rank, then the external derivative au/aen can be determined. Noting that
en = <p, if
n
det(2: Ak
k=l
a:a )k
= 0 (4.46)
is valid on the surface S, then the external derivatives on S cannot be deter-

mined uniquely. In this case the solution u may be discontinuous across the
surface S. If there exists a direction i(al, ... , an) such that
n
det (L Akak) = 0, (4.47)
k=l
then l is called the characteristic direction, and (4.47) is called the character-
istic equation. The surface S which satisfies (4.47) is called the characteristic
surface. Since (8cp/8xl, ... , 8cp/8x n ) represents the normal direction of the
surface cp = 0, the characteristic surface is a surface such that at every point
the normal is in the characteristic direction.
The classification of the system (4.45) depends on the solution of (4.47):
(1) If a!, ... , an-l are arbitrarily given real numbers,
°
there exist m real roots an satisfying (4.47), the system is hyperbolic;
(2) If det(L:Z=1 Akak) :/= for all non-zero real a!, ... , an, it is elliptic.
For large systems some roots may be complex and some may be real; this
gives a mixed system.
In the elliptic case all roots are complex; since complex roots occur as
pairs, the number of equations in an elliptic system must be even. In other
words a system with an odd number of equations cannot be elliptic.
We remark that the classification discussed here is in the ordinary sense.
A system which is not elliptic in the sense discussed here may still be elliptic
in the Agmon-Douglis-Nirenberg theory (Agmon et al. 1964).
4.8 General Formulation of LSFEM

In this section we shall give a general formulation of the least-squares finite el-
ement method for steady-state boundary-value problems. For time-dependent
problems we always can use an appropriate finite difference method in the
time domain to discretize time-derivative terms, so that at each time-step
the problems are converted into boundary-value problems.
Now let us consider the linear boundary-value problem:
Au=/ in il, (4.48a)
Bu=g on r, (4.48b)
where A is a first-order partial differential operator:
8
L Ai 8X~~ + Aou,
nd
Au = (4.49)
i=l
in which il E lRnd is a bounded domain with a piecewise smooth boundary r,

nd = 2 or 3 represents the number of space dimensions, u T = (UI, U2, ... u rn ) is
a vector of m unknown functions of x = (Xl, ... , xnJ, Ai and Ao are Neq x m
4.8 General Formulation of LSFEM 67
matrices which continuously depend on x, 1 is a given vector-valued function,

B is a boundary algebraic operator, and g is a given vector-valued function
on the boundary. Without loss of generality we assume that the vector g is
null. We should mention that the number of equations Neq in the system
(4.48a) must be greater than or equal to the number of unknowns m. In
the classification discussed in Sect. 4.7, a first-order system is required to
have square coefficient matrices. This is not necessary for the least-squares
method in which the number of equations Neq can be greater than the number
of unknowns m. We will address this point in the next chapter.
Suppose that 1 E L2(il). We choose an appropriate subspace V of the
Hilbert space L2(il). The functions in V satisfy the boundary condition:
Bv=O on r. (4.50)
The first-order differential operator A maps the subspace V into L2(il):
(4.51)
For an arbitrary trial function v E V, we define the residual function:
R=Av-1 in il. (4.52)
In general, the residual R is not equal to zero, unless v is equal to the exact
solution u. The squared distance between Av and 1 will be nonnegative:
(4.53)
A solution u to the problem (4.48) can thus be interpreted as a member of

V that minimizes the squared distance between Av and I:
o= IIR(u)lI~ ~ IIR(v)ll~ VvEV. (4.54)
The least-squares method amounts to seeking a minimizer of the squared
distance IIAv - III~ in V. We write the quadratic functional in (4.53) as
I(v) = IIAv - 1115 = (Av - I,Av - I). (4.55)
A necessary condition that u E V be a minimizer of the functional I in (4.55)
is that its first variation vanishes at u, that is,
lim dd I(u + tv) == 2

HO t inr(Av)T(Au - I)dil = 0 VvE V.
Thus, the least-squares method leads us to the variational formulation: Find

u E V such that
B(u, v) = F(v) VVEV, (4.56a)
where
B(u,v) == (Au, Av), (4.56b)
F(v) == (f,Av). (4.56c)

We note that the bilinear form in (4.56) is symmetric. For a well-posed

problem (4.48), the operator A is bounded below. As a consequence, when
discretized, (4.56) always lead to a symmetric positive-definite matrix.
In finite element analysis, we first subdivide the domain into a union of
finite elements and then introduce an appropriate finite element basis. Let
N n denote the number of nodes for one element and "pj denote the element
shape functions. If equal-order finite elements are employed, that is, for all
unknown variables the same finite element is used, we can write the expansion
in each element
(4.57)
where (Ub U2, ... , um)j are the nodal values at the jth node, and h denotes
the mesh parameter.
Introducing the finite element approximation defined in (4.57) into the
variational statement (4.56), we have the linear algebraic equations
KU=F, (4.58)
where the U is the global vector of nodal values. The global matrix K is
assembled from the element matrices
(4.59)
in which ile C il is the domain of the eth element, and T denotes the
transpose, and the vector F is assembled from the element vectors
(4.60)
in (4.59) and (4.60)
(4.61)
We remark that the boundary conditions (4.48b) can also be included into
the quadratic functional (4.55). In this approach, no boundary conditions are
imposed on the subspace V. This is another advantage of the least-squares
method.
4.9 The Euler-Lagrange Equation 69
4.9 The Euler-Lagrange Equation
To give an alternative interpolation of the least-squares method let us derive

the Euler-Lagrange equation corresponding to the variational formulation
(4.56). Upon integration by parts or application of Green's formula from
(4.56) we obtain
(A* Au - A* I, v) + (Au - I, v)r = 0 Vv E V, (4.62)
where A * with range in L2 (D) is the adjoint operator of A, and (-,.) r is
the so called bilinear concomitant: the form that contains boundary terms
generated by the intergrations by parts. Hence we have the Euler-Lagrange
equation
A*Au=A*1 in D. (4.63)
The original boundary condition Bv = 0 serves as an essential boundary
condition for (4.63). The natural boundary condition can be obtained from
the boundary term (Au - I, v) r = 0 for all admissible v, that is, the orig-
inal first-order equation serves as a natural boundary condition. Therefore,
the least-squares method for first-order system is formally equivalent to the
Galerkin method for second-order system with the differential equations given
in (4.63).
Observe that the operator A * A in (4.62) is formally self-adjoint, even
though A itself is not self-adjoint. Now we understand the advantage of the
least-squares method: it converts a difficult non-self-adjoint first-order system
into a relatively easy self-adjoint second-order system. For this reason, it is
not surprising that the condition number of the resulting matrix produced
by LSFEM is O(h- 2 ) which is the same as that for the Galerkin method
for second-order equations. This can be easily proved for a general multi-
dimensional problems just by following the steps introduced in Sect. 2.7.4.
4.10 Error Estimates for LSFEM

4.10.1 General Problems
Now we apply the bounded inverse theorem introduced in Sect. 4.3 to a

special case - problem (4.48). Suppose that the system of first-order partial
differential equations (4.48) has a unique solution u in a subspace V of the
Hilbert space L 2(D) for any 1 E L2(D). By virtue of Theorem 4.1, we have
positive constants 0: such that
o:llullv S; IIAullo VUEV, (4.64)
and thus
1
Iluliv S; -11/110'
0:
(4.65)
For a given particular problem (4.48) we often can identify the subspace
V and its norm, see examples in Sect. 8.2.2. For a general problem (4.48)
without further information about the operator A, we do not know all details
of the space V and its associated norm lIuliv. But fortunately, if the operator
equation (4.48) is well-posed, we can at least know some thing about the
relations between IIAulio and lIullo.
Theorem 4.6 If the linear first-order differential equations Au = I has a

unique solution that continuously depends on the data I E L 2 (f1), in other
words if the inverse operator A -1 exists, then there exists a positive constant
a1 such that
(4.66a)
Moreover, if the solution u E H1(f1), then there exists a positive constant
M1 such that
(4.66b)
Proof: Since the first-order linear differential equation Au = I has a unique

solution in V which is a subspace of L2(f1), we must have
a111ullo ~ allullv ~ IIAullo.
Otherwise, IIAulio = 0 will not guarantee that lIulio = 0, or in other words,
system (4.48) will not have a unique solution.
Since u E H1(f1) and A is a continuous first-order linear differential
operator, we must have inequality (4.66b). 0
We now turn to error estimates of LSFEM. Suppose that V h is a finite

element subspace of V which consists of piecewise complete polynomials of
order T, and that the equation Au = I is well-posed. From Sect. 4.8 we
know that u E V and Uh E V h are the solutions of the following problems
respectively:
(Au,Av) = (j,Av) \Iv E V, (4.67)
(AUh, AVh) = (I, AVh) \lvh E V h. (4.68)

Since V h C V, we have from (4.67) in particular
(Au, AVh) = (I, AVh) \lvh E Vh. (4.69)
Subtracting (4.68) from (4.69) we obtain the orthogonal condition:
(A(u - Uh), AVh) = 0 \lVh E V h. (4.70)
Let Ihu E V h be the equal-order interpolant of u, by virtue of (4.70) we
have
4.10 Error Estimates for LSFEM 71
IIA(u - uh)lI~ = (A(u - uh),A(u - Uh))

= (A(u-uh),A(u-1h u ))
+ (A(u - uh),A(1hu - Uh))
= (A(u-uh),A(u-lIh u ))
< IIA(u - uh)llo IIA(u -lIhu)llo
where the last inequality follows from the Schwarz inequality (4.1).
Dividing by IIA(u - uh)llo and using Theorem 4.6, we obtain
O:lllu-Uhlio ~ IIA(u-uh)lIo ~ IIA(u- lIhu )llo ~ Ml llu- lIhulld4.71)
Recalling that the residual R(Uh) = AUh - f = -A(U-Uh), and considering
(4.71) and (4.43), we conclude that
Theorem 4.7 (Errors of LSFEM for General Problems) If the linear first-
order differential system (4.48) is well-posed, and its solution is smooth
enough, then the following error estimates hold for the approximate solu-
tion by LSFEM:
IIR(uh)lIo ~ Clhrlulr+l, (4.72)
(4.73)
This theorem is the foundation of LSFEM for general linear first-order

systems. It does not matter what the type of the first-order system is, the LS-
FEM gives a convergent solution, provided that the problem has a unique and
smooth solution. Especially important, this theorem explains why the simple
LSFEM without any special treatment works for hyperbolic and mixed-type
problems.
4.10.2 Elliptic Problems

The estimate (4.73) is not optimal. For most elliptic problems we are able to
obtain an improved result. If the linear first-order differential operator A is
elliptic, the following boundedness (below) or coerciveness of A can often be
proved:
o:lIvlh ~ IIAvllo Vv E V = {v E [Hl(a)]m : Bv = 0 on r}. (4.74)
In the following chapters we shall prove that the coerciveness (4.74) holds
for many important problems. The boundedness (below) from (4.74) and the
following obvious boundedness (above) of A:
IIAvllo ~ Mllvlh Vv E V (4.75)
indicate that for coercive (strictly elliptic) operators A the norm Ilvlll and
IIAvllo are equivalent for v E V. By virtue of the bounded inverse theorem,
the solution of (4.48) uniquely exists and
1
IIull1 ::; -11/110' (4.76)
O!
Moreover, the least-squares finite element method, which seeks a minimizer

of I(v) in finite element subspaces V h of the Hilbert space V, has an optimal
rate of convergence, i.e., the following theorem holds:
Theorem 4.8 (Errors of LSFEM for Elliptic Problems) Suppose that Uh is

the least-squares finite element solution of the strictly elliptic system (4.48)
with piecewise complete polynomials of order r, then there exist constants
C 1 and C2 independent of U and h such that
IIU - uhll1 ::; C1hr lulr+1. (4.77)
IIu - uhllo ::; C2 hr+1lulr+1' (4.78)
The proof of (4.77) follows from similar steps in the proof of Theorem
4.6. Using the Aubin-Nitsche trick as in Sect. 2.7.3 we can further obtain the
error estimate (4.78).
This theorem implies that for strictly elliptic problems the rate of conver-
gence of the least-squares method with equal-order finite elements is optimal
for all variables, since the rate predicted is as high as possible for a given
order of interpolation.
It should be noted that for strictly elliptic problems we do not assume
in advance that the solution uniquely exists. The coerciveness or the bound-
edness below in the H1 norm guarantees the existence and uniqueness of
the solution. For many problems in mathematical physics, the existence and
uniqueness of the solutions are often proved by using the Galerkin method.
The least-squares technique introduced in this section not only has practical
value in numerical solution, but can also be used for investigating the exis-
tence, uniqueness and stability of the solutions for some difficult problems,
such as the solvability of the incompressible Navier-Stokes equations with
non-standard boundary conditions (see Chap. 8).
4.11 Implementation of LSFEM

In the implementation of any finite element method, a key procedure is the
derivation of the element matrices. Usually, the coefficients of the partial
differential equations are not constant, and the shape of the element domain is
distorted, making the exact evaluation of the integrals in the element matrices
almost impossible. For such cases, an approximate numerical evaluation is
necessary; the integral, such as that in (4.59), is commonly replaced by the
Gaussian quadrature.
Our purpose in the present section is to show that in the evaluation of
element matrices, the number of sampling points in the Gaussian quadrature
4.11 Implementation of LSFEM 73
is of great importance for the success of LSFEM, and from this knowledge to
establish a principle for choosing a proper order of Gaussian quadrature.
We begin by studying the least-squares method for linear algebraic equa-
tions.
4.11.1 The Least-Squares Solution to Linear Algebraic Equations
Consider the system of linear algebraic equations

k12
k22
z:) (~) = (;:) , (4.79)
knm Um in
or simply
Ku=/, (4.80)
where K, u and / denote the corresponding matrices in system (4.79). We
note that in system (4.79) the number of equations n may not be equal to
it)
the number of unknowns m. We define the augmented matrix as
k12
kim
k22 k2m 12
(4.81)
knm in
and the rank of a matrix as the order of the largest square array within that
matrix, formed by deleting certain rows and columns, whose determinant
does not vanish. Obviously, if n 2: m, the possible maximum rank of the
augmented matrix (4.81) is m + 1.
Depending on the properties of both the coefficient matrix K and the
augmented matrix, system (4.79) may have a unique solution, an infinite
number of solutions, or no solution at all. We shall investigate the conditions
under which the least-squares method can be used to find the solution to
system (4.79).
The least-squares method amounts to minimizing the following summa-
tion of the weighted squared residuals:
I(u) = Wi(kuUi + k12U2 + ... + kimum - id 2
+ W2(k2iUi + k22U2 + ... + k2mum - 12)2
+
+ Wn(kniUi + kn2U2 + ... + knmum - in)2, (4.82)
where (Wi> 0, i = 1, n) are the weighting factors. The minimizer of I is the
solution of the normal equation:
KTWKu = KTW/, (4.83)
where W is an n x n diagonal matrix whose diagonal entries consist of Wi.

and T denotes the transpose.
If the number of equations is less than the number of unknowns, i.e.,
n < m, in other words if system (4.79) is underdetermined, then this system
has an infinite number of solutions or no solution. For illustration, consider
the cases
Xl +X2 +X3 3,
2XI +X2 +X3 = 6, (4.84)
and
Xl +X2 +X3 = 3,
Xl +X2 +X3 = 6. (4.85)
System (4.84) has an infinite number of solutions, since for any given X3 one
can find the solution Xl and X2; there is no solution to system (4.85). It is
easy to verify that in both cases the matrix KTW K is singular, i.e., its
determinant is equal to zero. This means that neither (4.84) nor (4.85) can
be solved by using the least-squares method. Obviously, the underdetermined
system of linear algebraic equations is not well-posed, and thus cannot be
solved by any method including the least-squares method.
If K is an n x n matrix and detK '" 0, then the solution to system (4.79)
exists and is unique. It is well-known that in this case system (4. 79) can be
solved by the least-squares method. No matter what the weighting matrix
W is, the least-squares solution obtained by solving the normal equation
(4.83) is identical to the solution of system (4.79). In this case, if the least-
squares solution is substituted into system (4.79), then all equation residuals
are equal to zero.
If the number of equations is greater than the number of unknowns, i.e.,
n > m, and the rank of the augmented matrix is equal to m + 1 (rank con-
dition), then system (4.79) is overdetermined. In this case, although system
(4.79) has no solution, the least-squares solution to the normal equation (4.83)
exists uniquely. That is, for an overdetermined system we always can find a
solution in the least-squares sense. In this case, different weighting matrices
lead to different least-squares solutions; the larger the weighting factor, the
closer the satisfaction of the corresponding equation; besides, the equation
residuals for the least-squares solution in general are not equal to zero.
To illustrate the least-squares method for overdetermined systems, let us
consider the following example:
Xl +X2 = 3,
2XI +X2 4,
Xl +OX2 = 2,
2XI + 2X2 = 6. (4.86)

This system has four equations and two unknowns. Moreover, the rank of
(113)
214
102
226
is three. Hence system (4.86) is overdetermined and has no solution. If (Wi =
1, i = 1, n) ~e chosen, the normal equation corresponding to (4.86) is
2) (;
2 1 0
2
~)
2
(Xl) = (1 2 1 2)
X2 1 1 0 2
(!)
2'
6
or
(4.87)
The least-squares solution to system (4.86), i.e., the solution to the normal
equation (4.87) is (1.545,1.364).
We emphasize that the satisfaction of the rank condition is important
for classifying a system as overdetermined. The rank condition guarantees
that m + 1 linearly independent equations can be found in the system. In
example (4.86), the first three equations are linearly independent, i.e., the
third equation cannot be obtained by a linear combination of the first two
equations.
If n > m, but the rank of the augmented matrix equals m, then the system
is determined. For example, the rank of the augmented matrix of
Xl +X2 = 3,
2Xl + X2 4,
4Xl + 2X2 = 8,
2Xl + 2X2 = 6 (4.88)
is 2 = m, therefore (4.88) is determined. The rank of the augmented matrix
of
Xl +X2 3,
2Xl + 2X2 = 6,
3Xl + 3X2 9,
4Xl + 4X2 12 (4.89)
is 1 < m = 2, therefore system (4.89) is underdetermined.
In summary, the least-squares method can be used only for the solution
of determined and overdetermined systems of linear algebraic equations for
which n ~ m and rankaug = m or m + 1.
4.11.2 The Least-Squares Finite Element Collocation Method

The finite element methods that we have considered so far have been based
on the Galerkin and least-squares variational principles. In this section we
introduce finite element methods based on the concept of collocation and
then consider the least-squares finite element collocation method in which
both the collocation and the least-squares ideas are combined.
In the finite element collocation method, an approximate solution is con-
structed so that it satisfies boundary conditions in advance, and the nodal
values in the finite element expansion are then determined so that the ap-
proximation satisfies the differential equation at a number of distinct points
in the domain. For simplicity, we shall describe the method as it applies to
the general two-dimensional first-order partial differential equations:
au +A2-au +Aou = /
A 1- (4.90)
ax ay
with an appropriate boundary condition. The notations in (4.90) have been
defined in Sect. 4.8. Using the finite element expansion (4.57), the element
residuals may be defined on the element:
U1)
R(x,y) = E(
Nn
j=l
a:
a'lj;· a'lj;·
A1 + TA2 +'Ij;jAo)
Y
( U2
:
.
-f· (4.91)
Urn j
Usually, in the finite element computation the evaluation of element ma-

trices is performed in the master element with the local eand "1 coordinates,
see e.g., Carey and Oden (1983a). Collocating at an interior point (~e, "1e) the
collocation equations on the element are
R(~e, "1e) = 0,
or more clearly
{ ~(a'lj;,a: + a:
~ Al a'lj;' A.+"';Ao) .:.(:~) - J} ~ 0. (4.92)
J ({c.1)c)
The unknown nodal values can be found by solving the resulting system of
linear algebraic equations (4.92). In order to obtain a determined system, we
should choose a proper number of interior collocation points in each element
such that the total number of equations is equal to the total number of un-
known nodal values. Since the resulting system of algebraic equations (4.92)
by the collocation method is sparse but not symmetric, it is difficult to find
its solution.
Instead of solving the residual equations (4.92) directly, we may use the
least-squares method discussed in the above section to obtain the solution.
We now collocate at Neal interior points in each element and minimize the
summation of weighted, squared residuals:
I(vh) = ~ {~W1R2(~Z,1]I)}' (4.93)
where N elem is the number of elements in the finite element discretization.

The method based on the minimization of (4.93) is called the least-squares
finite element collocation method.
4.11.3 Importance of the Order of Gaussian Quadrature

Now let us investigate the relationship between the LSFEM introduced in
Sect. 4.8 and the least-squares finite element collocation method. As men-
tioned in the beginning of this section, in the LSFEM computation we use
Gaussian quadrature to evaluate the element matrices. This is equivalent to
minimizing the following summation of weighted squared residuals:
I(vh) = N~m {N~.. W1R2(~I,1]t}IJ(~I,1]dl}, (4.94)
where NGauss is the number of Gaussian points, WI is the weighting factor

in the Gaussian quadrature, and (~l, 1]1) is the location of Gaussian points in
the master element, and J is the determinant of the Jacobian matrix of the
coordinate transformation.
Comparing (4.93) with (4.94) we realize that the LSFEM based on Gaus-
sian quadrature is equivalent to the least-squares finite element collocation
method in which Gaussian points are chosen as the collocation points.
As discussed in Sect. 4.11.1, in order for this least-squares finite element
collocation method to make sense, we must solve a determined or an overde-
termined set of residual equations, that is, the total number of residual equa-
tions must be equal to or greater than the total number of unknown nodal
values. This requirement can be expressed as
N elem x NGauss X Neq ;::: N node xm- Nbc, (4.95)
in which Neq is the number of equations in (4.90), Nnode is the total number
of nodes, m is the number of components of u or the number of degrees
of freedom at each node, Nbc is the total number of given nodal values at
boundary nodes.
Requirement (4.95) is very important in the implementation of LSFEM.
The satisfaction of requirement (4.95) depends on the chosen number of Gaus-
sian points. If the order of Gaussian quadrature is too low, then this condition
is not satisfied; consequently the global (stiffness) matrix will be singular and
thus cannot be inverted by any direct solver. Further, in this case iterative
solutions do not converge. However, the order of Gaussian quadrature should
not be too high either; otherwise, the least-squares method amounts to solving
an extremely overdetermined system. This implies that one intends forcing

too many residual equations to be zero at Gaussian points with too few ad-
justable unknowns. Obviously this is impossible. In this case, the solution is
inaccurate and often underestimated.
We also can use requirement (4.95) to explain why in general the linear
triangle and the linear tetrahedron are not suitable for LSFEM. For example,
consider a set of two first-order equations in a square domain. Assume that
this problem involves two unknown functions, and has two partial differential
equations in the domain and one boundary condition on each boundary. The
domain is divided into (i x i) small squares, and then each small square is
divided into two triangles. We choose one-point quadrature. This is the min-
imum number of Gauss points one can choose for triangles. For this problem,
Nelem = 2i2, Nnode = (i+l)2, Nbc = 4{i+l) and NGauss = 1. The total num-
ber of unknown nodal values Nunknown is equal to N node x 2 - Nbc = 2i2 - 2.
The total number of residual equations is equal to 4i 2 which is almost two-
times greater than Nunknown' thus this least-squares solution will not be sat-
isfactory. We note that this trouble is not unique to LSFEM. For the same
reason, the linear triangle and the linear tetrahedron also should be avoided
for Rayleigh-Ritz finite element methods. We are familiar with this situation
in elasticity: the linear triangle is too stiff, and thus the solution is underes-
timated.

In this chapter we have established that the mathematical foundation of the
least-squares method for the solution of linear operator equations is simply
the bounded inverse theorem. As long as the linear operator equation is
well-posed, or in other words, the linear operator is bounded below, it is
guaranteed that minimization of a certain norm of the residual will produce
a convergent approximate solution. We have also shown that LSFEM based
on first-order systems has an optimal rate of convergence for strictly elliptic
problems and a suboptimal rate for general well-posed problems.
It has already become standard practice to employ different numerical
schemes to deal with each type of differential equation. For example, central
differences are used for elliptic problems; upwinding methods ~e designed
for hyperbolic problems; for mixed-type problems, in which the governing
equation is elliptic in a part of the region and hyperbolic in another part, one
has to distinguish between them in advance and then use different schemes in
different regions. Some problems, such as the incompressible Euler equations
governing incompressible rotational flows, are neither elliptic nor hyperbolic,
and thus are very difficult to solve by conventional methods. We show in this
chapter that the standard LSFEM with one formulation (4.56) is suitable for
all kinds of boundary value problems of partial differential equations, and is
valid for the whole problem domain. This is the reason why various problems
4.12 Concluding Remarks 79
in engineering and physics can be simulated within a unified LSFEM frame-

work. Special treatments, particularly upwinding, are totally unnecessary.
The least-squares formulation (4.56) in terms of the bilinear form and
the linear forms offers great advantages. First, it is a unified variational for-
mulation exclusively accepted in all modern mathematical literature. Based
on this formulation one can further conduct theoretical analyses by using
the bounded inverse theorem or the Lax-Milgram theorem (see Appendix
D). Second, based on formulation (4.56) one can develop a general purpose
least-squares finite element program to solve any first-order system of partial
differential equations. When a new problem is given, one needs only to supply
the entries of the matrices Ai, Ao and the vector I, and then let computers
do the rest of the work. For example, one may write a symbolic language code
to generate the FORTRAN subroutine for formation of the matrix K, if a
direct solver is employed; or for multiplication of the element matrix with the
element vector, if a matrix-free, element-by-element iterative solver is used
(see Chap. 15).
To avoid underestimated solutions, (1) the use of linear triangle and tetra-
hedron elements in LSFEM is not recommended; (2) the order of Gaussian
quadrature in the computation of matrices should be carefully chosen such
that the criterion (4.95) is just marginally satisfied, that corresponds to solv-
ing a determined or slightly overdetermined algebraic equations.
In some literature, e.g., Eason (1976), the least-squares method is formu-
lated as:
8 2
8a.IIAvh - 1110 = 0, j = 1, ... ,Nh
3
where aj are the degrees of freedom of the approximate solution and N h is
the total number of degrees of freedom. Some authors even directly use the
least-squares method to the non-linear governing equations, then linearize
the resulting non-linear algebraic equations. In all these approaches one has
to derive a correspqnding algebraic system of equations for each particular
problem by hand. Clearly, it is very tedious and completely unnecessary. We
must mention that the least-squares method based on linear operators leads
to the minimization problems of quadratic functionals which have been well
studied, and the bounded below theorem is applicable only for linear oper-
ators. Currently, no simple and general mathematical theory is ~vailable for
higher order functionals. For these reasons, we prefer linearizing the differen-
tial equations first, then using the least-squares method.
5. Div-Curl System
The div-curl system is an important class of first-order partial differential

equations. This system governs, for example, static electromagnetic fields,
and incompressible irrotational fluid flows. The div-curl system is also fun-
damental from a theoretical point of view, since the Stokes equations and the
incompressible Navier-Stokes equations written in the first-order velocity-
pressure-vorticity formulation, as well as the Maxwell equations consist of
two div-curl systems. The three-dimensional div-curl system is traditionally
considered as "overdetermined" or "overspecified", because it has four equa-
tions involving only three unknowns. For this reason, it is not easy to solve by
using conventional numerical methods. In this chapter, we will prove that the
div-curl system is really well determined and strongly elliptic by introducing
a dummy variable, and explain that for the well-posed ness the div-curl sys-
tem should have two algebraic boundary conditions. We will also show that
the LSFEM is the best choice for numerical solution of the div-curl system.
In fluid dynamics and electromagnetics there are some good reasons why
other higher-order versions of the Navier-Stokes equations and the Maxwell
equations are often useful (see the discussion in Chaps. 8 and 14). In this
chapter, we take the div-curl system as an example to show how to use the
div-curl approach and the least-squares method to derive equivalent second-
order equations and their boundary conditions.
5.1 Basic Theorems

In order to study the div-curl system and its boundary conditions, to estab-
lish a rigorous method for deriving equivalent higher-order equations, and to
analyze the least-squares method, we need some basic theorems and inequal-
ities which are related to the div, curl and grad operators.
We assume that il c lR3 is an open bounded domain with a piecewise
smooth (as discussed in Chap. 4) boundary r = n u r2 . Either nor r2 ,
not both, may be empty. If both r 1 and r 2 are not empty, they are required
to have at least one common point. re or (x, y, z) denotes a point in il; n
a unit outward normal vector on the boundary, and 7" a tangential vector
to r at a boundary point, respectively. 7"1 and 7"2 represent two orthogonal
vectors tangential to r at a boundary point. In order to emphasize the basic
82 5. Div-Curl System
ideas and maintain simplicity, we often further assume that the domain n is
convex or simply connected, although these restrictions are not necessary in
many cases.
In this book, we use the symbols V, V" Vx and Ll to denote the gradi-
ent, divergence, curl and Laplacian operators, respectively. We also use the
following notations:
(u,v}r = l uvdr,
(u,v}r = l u· vdr.
When there is no confusion, we will often omit the measure r from these
inner products.
Lemma 5.1 Let n be a bounded open subset of IR3 with a piecewise smooth
boundary r. Then every function u of [Hl (n)p with n x u = 0 on r satisfies
l
lul~ + (~l + ~Ju, udr = IIV· ull~ + IIV x ull~, (5.1)
where Rl and R2 denote the principal radii of curvature for r.

Proof: Using Green's formulae (B.2), (B.3) and (B.7), and Equality (AA), we
have
IIV . ull~ + IIV x ull~ = (V· u, V· u) + (V x u, V x u)
= (u, -V(V.u») +(V·u, n·u)
+(u, V(V· u) - Llu) +(V x u, n x u)

= (Vu, Vu) + (V· u, n· u) + (V x u, n x u) - (~:, u). (5.2)
Obviously
(Vu, Vu) = lul~.
Now we turn to the boundary integral terms. n x u = 0 on r implies that
u=Un onr,
where U is a scalar function whose value depends on its location on the
boundary surface. By using (A.1), the boundary integral terms in (5.2) can
be written as follows:
5.1 Basic Theorems 83
l {UV. (Un) - U~~}dr

= l{ U(UV . n + n . VU) - UVU . n }dr = l U2 V . ndr.
It can be verified that on a smooth curved surface
1
V .n = - + -1 = 2~,
RI R2
where ~ is the mean curvature. o
Lemma 5.2 Let rJ be a bounded open subset of R3 with a piecewise smooth

boundary r. Then every function u of [HI (rJ)J3 with n . u = 0 on r satisfies
lul~ + l~ u . udr = IIV . ull~ + IIV x ull~, (5.3)

where RI ::; R ::; R2, in which RI and R2 denote the principal radii of
curvature for r.
Proof: In this case we still have (5.2). Since n· u = 0, we may assume that
u = UT on r.
By virtue of the triple scalar product
(V x u) . (n x u) = n· (u x (V x u))
and using (A.5), the boundary integral terms in (5.2) can be written as
r{n. (u x V x u) _ ~2 ouon }dr

ir
2
= l {n. (\7Gu 2) - (u. V)u) - ~ 00: 2

}dr = l {n. (-(u. V)u)}dr
= l{U 2 n. (-(T.V)T)}dr = l{U 2 n. (~n)}dr.

So the Lemma is proved. Here R is the radius of curvature of the boundary
surface in the direction of T. 0
Since the curvature 1/ R is always positive when the boundary surface is

convex, we derive immediately the following theorems:
Theorem 5.1 Let rJ be a bounded and convex open subset of R3. Then
every function u of [HI(rJ)j3 with n· u = 0 on and n x u = 0 on r 2n
satisfies:
(5.4)
Theorem 5.2 (The Div-Curl Theorem) Suppose that n is a (1) bounded and
convex, or (2) bounded and simply connected subset of JR3. If u E [Hl{n)j3
satisfies
'V·u=O inn,
'Vxu=O inn,
n·u =0 on Fl ,
n xu= 0 on F2 ,
then
u == 0 in n.
Proof: Case (1). From Theorem 5.1, we have

lul~ ~ 0,
that is, u must be a constant vector in n. If F2 is empty, we always can find
three different points on the boundary with three different normal directions.
Due to the boundary condition, the components of this constant vector along
these three directions must be zero, therefore this constant vector must be
zero. This conclusion is also true for the case n = o. If both n and F2 exist,
at the common point of n and F2 we have u = 0, therefore this constant
vector must be zero.
Case (2). Since the domain n is simply connected, we can introduce the
potential </> such that u = 'V</>, and show </> = constant. 0
Remark. We distinguish between case (1) and case (2) only for convenience.
In fact, case (2) includes case (1), because a convex domain must be simply
connected.
Theorem 5.3 (The Friedrichs First Div-Curl Inequality) Suppose that n is

a (1) bounded and convex, or (2) bounded and simply connected subset of
JR3. Then every function u of [Hl{n)j3 with n· u = 0 on nand n x u = 0
on F2 satisfies:
IIull~ ~ C(II'V . ull~ + II'V x ull~), (5.5)
where the constant C > 0 depends only on n.
Proof: Case (1). Theorem 5.2 indicates that the homogeneous div-curl system
with homogeneous boundary conditions has only a trivial solution. In other
words the div-curl system under the given boundary conditions has a unique
solution. Therefore, by virtue of Theorem 4.6, there exists a positive constant
a such that
5.1 Basic Theorems 85
Qllull~ ~ (IIV . ull~ + Ilv x ull~). (5.6)

Combining (5.6) with (5.4) leads to (5.5).
Case (2). In this case (5.6) is still valid, but (5.4) cannot be guaranteed.
However, we always can multiply (5.6) by a positive constant M and add it
to (5.1) or (5.3) to eliminate the possible negative boundary integral term,
and obtain
lul~ ~ (M + l)(IIV . ull~ + IIV x ull~)· (5.7)
Combining (5.7) with (5.6) leads to (5.5). o
This theorem indicates the fact that for the function space
H = {[H 1 (D)]3: n· u = 0 on n,n x u = 0 on r 2}
lIull~ and (IIV . ull~ + IIV x ull~) are equivalent norms for an appropriate
domain .0.
The proof of Theorem 5.3 can also be based on the use of contradiction
arguments together with Theorem 5.1, see e.g., Saranen (1982) and the refer-
ences therein. In the two-dimensional case, a direct proof is available (Krizek
and Neittaanmaki 1984a or 1990).
Theorem 5.4 (The Gradient Theorem). If 9 E Hl(D) satisfies

Vg = 0 in .0,
9= 0 on r 1 # 0 (or on r 2 # 0),
then
9 == 0 in .0.
Proof: Since 9 E Hl(D), 9 must be continuous in .0. From Vg = 0 in .0,

we know that 9 is a constant. Due to the boundary condition, 9 must be
identical to zero. 0
In fact, 9 = 0 needs to be specified only at any point in the domain or on

the boundary. This theorem will be used to derive the higher-order equations
which are equivalent to a scalar equation.
Theorem 5.5 If u E [Hl(D)j3 and n x u = 0 on r 2 # 0, then n· V x u = 0

on r 2 .
Proof: Assume the contrary, say, n· (V xu) > 0 at a point P on r2 , then in

a neighborhood surface (J of P we have
n·(Vxu»€>O,
in which e is a small positive constant. Considering that u on r 2 is in the

normal direction n, i.e., u is orthogonal to any tangential direction on r2,
i i
and from the Stokes theorem we have a contradiction:
o= u . ds = (\7 xu) . nd(j > 0,
where c is the boundary contour of (j. o
The proof of Theorem 5.5 can also be found in Pironneau (1989, p.53).
5.2 Determinacy and Ellipticity

Let us consider the following three-dimensional div-curl system:
\7xu=w in il, (5.8a)
\7·u=p in il, (5.8b)
n·u=O on r I , (5.8c)
nxu=O on r 2, (5.8d)
where the given vector function (.oj E [L2(il)j3 cannot be arbitrary; it must
satisfy the following solvability conditions:
\7·w=O in il, (5.9a)
n·w=O (5.9b)
l n·wdr=O. (5.9c)
If r2 is empty, then the given scalar function p E L2(il) must satisfy the
solvability condition:
fnPdil = o. (5.9d)
At first glance, system (5.8) seems "overdetermined" or "overspecified",

since there are four equations involving only three unknowns. However, after
careful investigation we shall find that system (5.8) is properly determined
and elliptic. .
By introducing a dummy variable {), system (5.8) can be written as
\7{)+ \7 x u = w in il, (5.10a)
\7·u=p inil, (5.10b)
n·u=O (5.10c)
5.2 Determinacy and Ellipticity 87
(5.lOd)
nxu=O (5.10e)
Notice that we impose 79 = 0 on n, and do not specify any boundary condi-
tion for the dummy variable 79 on r 2 •
By virtue of Theorem 5.2, the vector equation (5.lOa) is equivalent to the
following equations and boundary conditions:
\1 x (\179 + \1 x u - w) =0 in il, (5.lIa)
\1 . (\179 + \1 x u - w) =0 in il, (5.lIb)
n x (\179 + \1 x u - w) = 0 on rl. (5.lIc)
n· (\179 + \1 x u - w) = 0 onn. (5.lId)
Taking into account the solvability conditions (5.9a) and (5.9b), the boundary
condition (5.lOe) and Theorem 5.5, from (5.lIb), (5.10d) and (5.lId) we have
Ll79=0 in il, (5.12a)
79 = 0 on n, (5.12b)
079 = 0 (5.12c)
on
From (5.12) we know that 79 == 0 in il. That is, the introduction of 79 into
(5.8) does not change anything, and thus system (5.10) with four equations
and four unknowns is indeed equivalent to system (5.8).
We cannot classify system (5.8), since the classification introduced in Sect.
4.7 requires that the coefficient matrices of a first-order system be square. But
now we can classify system (5.10). In Cartesian coordinates the equations in
system (5.10) are given as
079
-
ow OV
ox+oy- - oz
- = Wx ,
079
-
OU ow
oy +oz- -ox
- = wy ,
-
079
+---
ov OU
wz ,
OZ ox oy
ou ov ow
ox + oy + oz p. (5.13)
We may write system (5.13) in standard matrix form:
ou OU OU
Ai 0-; + A2 0; + A3 0-; + AoY = /, (5.14)
in which
A,~ 0 0 0
0 -1
1 0
0 0
D. A, ~ (~1 10) oo
o
0 1
0 0
1 0 0
'
-1 0 0 0
A3~G D·~~G D·
0 0 0 0
0 0 0 0
0 1 0 0
f~ (~). ~~G)·
The characteristic polynomial associated with system (5.13) is
= (e + 772 + (2)2 #= 0
for all nonzero real triplets (e, 77, (), system (5.10) is thus elliptic and properly
determined.
The first-order elliptic system (5.10) has four equations in four unknowns,
so two boundary conditions on each boundary are needed to make system
(5.10) well-posed. Here {} = 0 and n· u = 0 serve as two boundary conditions
on Ft; while n x u = 0 implies that two tangential components of u are zero
on r2 •
Since system (5.8) is equivalent to system (5.10), and system (5.10) is
elliptic and properly determined, so is system (5.8).
Remark. In fact, the solvability conditions (5.9a), (5.9b) can be obtained
by applying the div-curl method (see the next section) to (5.8a).
5.3 The Div-Curl Method

Let us derive a second-order system which is equivalent to the div-curl system
(5.8). We further assume that u, wand p are sufficiently smooth. By virtue
of Theorem 5.2, system (5.8) is equivalent to the following system:
V x (V x u - w) = 0 in il, (5.15a)
V· (V x u - w) = 0 in il, (5.15b)
n x (V x u - w) =0 (5.15c)
5.3 The Div-Curl Method 89
n . (\7 X u - w) = 0 (5.15d)
\7·u=p inn, (5.15e)

n· u = 0 on r!, (5.15f)
n xu = 0 on r 2. (5.15g)
Equations (5.15b) and (5.15d) are satisfied, due to the solvability conditions
(5.9a), (5.9b), the boundary condition (5.15g) and Theorem 5.5. Therefore,
system (5.15) can be simplified as
\7 x (\7 x u) = \7 x w in n, (5.16a)
\7·u=p in n, (5.16b)
n·u=O (5.16c)
n x (\7 xu) = n x w (5.16d)
nxu=O (5.16e)
Now at least one thing is made clear by this div-curl procedure. That is, the
curl-curl equation (5.16a) cannot stand alone; it must go with the divergence
equation (5.16b) and the additional Neumann boundary condition (5.16d).
It is still difficult to solve the second-order curl-curl equation and the
first-order divergence equation together. To avoid this difficulty we further
simplify system (5.16). By virtue of Theorem 5.4, (5.16b) is equivalent to
the following system of equations and boundary condition (assuming that
r 2 =I 0):
\7(\7 . u - p) = 0 in n, (5.17a)
V·u=p (5.17b)
Taking into account (5.17) and the following vector identity:
V x V x u = V(\7· u) - ..:1u, (5.18)
system (5.16) can be reduced as
..:1u = -\7 x w + \7p in n, (5.19a)
\7(\7 . u - p) = 0 in n, (5.19b)
n·u=O (5.19c)
n x (V x u) = n x w (5.19d)
n xu = 0 on r2, (5.1ge)
\7 . U = P on r2· (5.19f)
The solution of the derived second-order system (5.16) or (5.19) is completely

identical to the solution of the original div-curl system (5.8), therefore no
spurious solutions will be produced by systems (5.16) or (5.19). Moreover,
the divergence equation (5.19b) in system (5.19) can be deleted. That is, the
divergence equation is implicitly satisfied by (5.19a) and boundary conditions
(5.19c)-(5.19f). A rigorous proof of this statement will be given by using the
least-squares method in Sect. 5.5. Here we give a simple explanation. Let us
consider a slightly different problem:
Llu = -V x w + V p in il, (5.20a)
n·u=O on rl , (5.20b)
n x (V x u) = n x w on rl , (5.20c)
nxu=O on r 2 , (5.20d)
V·u-p=O onr. (5.20e)
That is, we let the divergence equation be satisfied on the whole boundary.
Although this condition needs to be specified only on r2, it is not wrong for it
to be enforced on r.
By taking the divergence of (5.20a) we obtain a Poisson
equation of ¢ = V . u - p:
in il. (5.21)
Since ¢ = 0 on the whole boundary, ¢ must be equal to zero in the domain,
i.e., the divergence equation is implicitly satisfied in system (5.20).
Now we have shown that when u is sufficiently smooth, the three-
dimensional div-curl system can have three equivalent differential forms: (I)
the first-order system (5.8); (2) the curl-curl equation (5.16a) which must be
accompanied by the divergence equation (5.16b) and the additional Neumann
boundary condition (5.16d); (3) three uncoupled Poisson equations (5.20a)
with additional Neumann boundary conditions (5.20c) and (5.20e) provided
by the original first-order system.
5.4 The Least-Squares Method

Let us introduce a powerful and systematic method, the least-squares method,
to solve system (5.8) and to derive an equivalent second-order system which
is free of spurious solutions. We construct the following quadratic functional:
J: V --+ JR,
J{u) = IIV x u - wll~ + IIV· u - plI~,

where V = {u E [HI(il)j3: n·u = 0 on rl,n x u = 0 on r 2 }. We note that
the introduction of a dummy variable {) in Sect. 5.2 is purely for verification
5.5 The Euler-Lagrange Equation 91
of the determinacy, and it is not required in the least-squares functional I.

Taking the variation of I with respect to u, and letting c5u = v and 8I = 0,
we obtain a least-squares variational formulation of the following type: Find
u E V such that
(Au, Av) = (I, Av) Vv E V, (5.22)
where (Au, Av) is a bilinear form of the type
(Au, Av) = (V' x u, V' x v) + (V' . u, V' . v),
and (I, Av) is a linear form of the type
(/,Av) = (w, V' x v) + (p, V'. v).
The boundedness (below) or coerciveness of A is due to Theorem 5.3.
Therefore, we immediately have
1
CIlull~ ~ (Au, Au) = (I, Au) ~ Ilulll(lIwllo + Ilpllo).
From the above inequality we obtain the following stability result.
Theorem 5.6 The solution of (5.8) or (5.22) uniquely exists and satisfies:
Ilulh ~ C(llwllo + Ilpllo). (5.23)
To consider the LSFEM, we introduce the finite element subspace V h C

V, Le., V h is the space of continuous piecewise polynomial functions of order
r ~ 1. The following theorem about error estimates of LSFEM is a direct
consequence of Theorems 4.7 and 4.8.
Theorem 5.7 The LSFEM based on (5.22) has an optimal rate of conver-
gence and an optimal satisfaction of the divergence equation:
Ilu - uhllo ~ C1hr+1l1 ullr+b (5.24a)
IIV'· Uh - plio ~ C2 hr llullr+1, (5.24b)

where Uh E V h is the finite element solution.
5.5 The Euler-Lagrange Equation
In order to further understand the least-squares method, we derive the Euler-

Lagrange equations associated with the least-squares variational formulation
(5.22) which can be rewritten as: Find u E V such that
(V'xu-w,V'xv)+(V'·u-p,V'·v)=O VVEV. (5.25)
Suppose that u, wand p are sufficiently smooth. By using Green's formulae

(B.3) and (B.5), (5.25) can be written as
(\7 x (\7 x u-w),v) + ((\7 x u-w),n x v)r

-(\7(\7. u - p),v) + ((\7. u - p),n· v)r =0 \:Iv E V. (5.26)
Taking into account the vector identity (5.18) and that v satisfies n . v =0
on nand n x v = 0 on r2, we obtain from (5.26)
(-Llu - \7 x w + \7 p, v)
-(n x (\7 x u - w),v)r1 + ((\7. u - p),n· v)r2 = 0 (5.27)
for all admissible v E V, hence we have the Euler-Lagrange equation and
boundary conditions:
Llu = - \7 x w + \7 p in il, (5.28a)
n·u=O on rl , (5.28b)
n x (\7 x u) = n xw on rl , (5.28c)
nxu=O r2 ,
on (5.28d)
\7·u=p on r2 . (5.28e)
We remark that included in the first boundary integral term in (5.27) is a

triple vector product of n, (\7 x u - w) and v. Since we already know that v
is orthogonal to the normal n on n, to make the triple vector product zero
requires only that (\7 x u - w) is parallel to n on r l , which is represented
algebraically by (5.28c). It is not necessary to require that (\7 x u - w) = 0
on r l . Of course, in a practical finite difference implementation one may just
take \7 x u = w on r l instead of (5.28c) as one of the additional boundary
conditions.
We note that in system (5.28) the divergence equation does not appear
in the domain. In fact, we have rigorously proved that the solution of the
uncoupled Poisson equations (5.28a) under additional boundary conditions
(5.28c) and (5.28e) automatically satisfies the divergence equation. We also
remark that if r 2 is empty, the divergence equation does not even appear on
the boundary. The attraction of using the second-order system (5.28) now
becomes apparent: one avoids dealing with the divergence condition (5.8b)
which is implicitly satisfied; instead, one deals with three Poisson equations
that are preferable. However, we should mention that if one chooses the finite
difference method to solve (5.28a), additional natural boundary conditions
(5.28c) and (5.28e) must be supplemented.
Now it is clear that when u is sufficiently smooth, the following four
formulations are equivalent to each other: (1) the first-order div-curl system
5.6 The Friedrichs Second Div-Curl Inequality 93
(5.8); (2) the least-squares variational formulation (5.22); (3) the uncoupled
Poisson equations (5.28); and (4) the Galerkin formulation (5.27).
It turns out that the least-squares method (5.22) for the div-curl equa-
tions (5.8) corresponds to using the Galerkin method (5.27) to solve system
(5.28) which consists of three independent second-order Poisson equations
(5.28a) and three coupled boundary conditions on each boundary, where the
original first-order equations (5.28c) and (5.28e) serve as the natural bound-
ary conditions, and (5.28b) and (5.28d) as the essential boundary conditions.
The least-squares method (5.22) is the simplest approach among these
equivalent methods, because (1) the sources wand p need only to be square
integrable; (2) it does not need any additional boundary conditions; the trial
function u and the test function v need to satisfy only the original essential
boundary conditions; (3) the corresponding finite element method has an
optimal rate of convergence and leads to a symmetric positive-definite matrix.
These are the reasons why we strongly recommend the least-squares method.
5.6 The Friedrichs Second Div-Curl Inequality

In order to study problems with inhomogeneous boundary conditions in
Chap. 8, we need the Friedrichs second div-curl inequality which can be
proved by using the following theorem:
Theorem 5.8 (The Orthogonal Decomposition) Every vector u E [Hl(!1)j3

has the decomposition:
(5.29)
satisfying the orthogonal condition ('\1q, '\1 x 'I/J) = 0 in which q E H2(!1)/m.
and'I/J E [H2(!1)]3. Here the notation 1m. stands for the fact that q is deter-
minable only to within an arbitrary constant.
Proof: If we can actually find q and 'I/J, this theorem is proved. By virtue of
Theorem 5.2, (5.29) is equivalent to the following equations and boundary
condition:
'\1 . ('\1 q + '\1 x 'I/J - u) = 0 in !1, (5.30a)
'\1 x ('\1q + '\1 x 'I/J - u) =0 in !1, (5.30b)
n· ('\1q + '\1 x 'I/J - u) = 0 on r. (5.30c)
Taking into account '\1 . '\1 x 'I/J = 0 and '\1 x '\1q = 0, system (5.30) can be
written as follows:
Llq = '\1 . u in !1, (5.31a)
'\1 x ('\1 x 'I/J) = '\1 x u in !1, (5.31b)
n . (V q + V X 1/J) = n . u on r. (5.31c)
To obtain q we may solve the following Poisson equation with the Neumann
boundary condition:
Llq = V . u in n, (5.32a)
n . Vq = n . u on r, (5.32b)
where the boundary condition (5.32b) is additionally supplied. Although q is
not unique, i.e., an arbitrary constant can be added into q, Vq is uniquely
determined.
Now 1/J should satisfy
V . (V x 1/J) = 0 in n, (5.33a)
V x (V x 1/J) =V x u in n, (5.33b)
n . (V x 1/J) = 0 on r. (5.33c)
V x 1/J in system (5.33) may be considered as an unknown vector that can be
uniquely determined by the least-squares method described in Sect. 5.4.
Finally, we can solve the following div-curl system to obtain 1/J:
V·1/J=O inn, (5.34a)
V x 1/J = given in n, (5.34b)
nx1/J=O onr. (5.34c)
Therefore the validation of the decomposition (5.29) is proved.
Using Appendix (B.4) and (5.33c) we find
(Vq, V x 1/J) = (n· (V x 1/J),q}r = 0,
that is, V q and V x 1/J are orthogonal. o
Since q is the solution to the Neumann problem of Poisson equation

(5.32a), we have the following regularity result (e.g., see Lions and Magenes
1972 or Oden and Reddy 1976):
Iql~ :::; G{IIV . ull~ + lin . ull~/2,r}. (5.35)
Since V x 1/J is the least-squares solution of (5.33), by virtue of (5.23) we have
IV X 1/J1! :::; GIIV x ullo. (5.36)
Hence by using (5.29), (5.35) and (5.36) we obtain
lIull~ ::; G(lIull~ + IVql~ + IV x 1/J1~)
:::; G(lIull~,n + IIV . ull~,n + lin . UIl~/2,r + IIV x ull~,n).
In fact, we have proved the following theorem.
Theorem 5.9 (The Friedrichs Second Div-Curl Inequality) Let n be a

bounded and convex (or bounded and simply connected) open region of 1R.3
with a smooth boundary r. Every u E [Hl(n)p satisfies
lIulltn ~ C(lI uI15,n + IIV· u115,n + IIV x u115,n + lin· ull~/2,r)' (5.37)
We remark that Theorem 5.9 is valid also for bounded and multiply con-
nected domains (Girault and Raviart 1986).

By introducing a dummy variable {) == 0, the three-dimensional div-curl
system is proved to be properly determined and strictly elliptic. For well-
posedness the div-curl system needs two algebraic boundary conditions: ei-
ther (n. u = given and {) = 0) or n x u = given.
Among various methods for solving the div-curl system, the LSFEM is
the simplest one and has an optimal rate of convergence.
In order to derive an equivalent higher-order version of vector differential
equations without spurious solutions, one should either apply the div-curl
method, that is, the curl operation and the div operation must act together
with appropriate boundary conditions, or apply the least-squares method for
more rigorous results. This idea as well as the least-squares method for the
general div-curl system were originally proposed in Jiang et al. (1994b).
The numerical solution of the div-curl system by LSFEM first appeared
in Jiang and Chai (1980). The dummy variable was first introduced by Chang
and Gunzburger (1987). Early works on the convergence of LSFEM for the
div-curl system with a particular boundary condition can be found in Neit-
taanmaki and Saranen (1981a,b), Krizek and Neittaanmaki (1984b), Fix and
Rose (1985), Jiang (1986), Chang and Gunzburger (1987), Krizek and Neit-
taanmaki (1990) and the references therein.
6. Div-Curl-Grad System
In this chapter we study and compare different finite element methods for
the solution of two- and three-dimensional diffusion-type problems usually
governed by second-order elliptic partial differential equations. In the mixed
Galerkin method, the second-order scalar equation is decomposed into a first-
order grad-div system by introducing additional variables (the fluxes). The
conventional least-squares finite element method is also based on the same
grad-div system. We shall present theoretical analysis and numerical results
to show that this simple procedure of reduction destroys ellipticity and thus
the conventional LSFEM is not optimal, that is, the rate of convergence
for the fluxes is one order lower than optimal. In order to have an optimal
LSFEM, the div-curl-grad system should be employed.
6.1 A Model Problem

Let {} c m.nd (nd = 2 or 3) be an open bounded convex (or bounded simply
connected) domain with a piecewise smooth boundary F, :c = (x, y, z) be
a point in {}, and n = (nb n2, n3) be a unit outward normal vector on the
boundary. We consider the following second-order elliptic boundary-value
problem:
-'V. 'V¢ = J(:c) in {}, (6.1a)
¢ = g(:c) on r, (6.1b)
where J(:c) E L 2 ({}) and g(:c) are given functions. Without loss of generality,
we shall hereafter consider only the homogeneous boundary condition for
simplicity, that is, we shall take g(:c) == O. The primal variable ¢ can be, for
instance, temperature for heat conduction, potential for incompressible and
irrotational flows, or electric potential for electrostatics, etc.
We shall work with the following function spaces:
H = HJ({}) = N E Hl({}) : 1/J = 0 on F},
S = {v E [Hl({})td : n x v = 0 on F},
98 6. Div-Curl-Grad System
W = {v E [L 2 (D)t d },
M = H(div, D) = {v E [L 2 (D)t d : \1. v E L 2 (Dn,

where H(div, D) is a Hilbert space equipped with the norm
IIvIlH(div,!1) = {llvll~,!1 + 11\1· VIl~,n}1/2.
The basic properties of the space H(div, D) can be found in Girault and
Raviart (1986). We also introduce the corresponding finite element subspaces
Hh, Sh and Wh, i.e., Hh and Sh are the spaces of continuous piecewise poly-
nomial functions of order r ~ 1, and Wh is the space of piecewise polynomial
functions of order r -1. One may choose a Raviart-Thomas (1977) space for
M h , in which continuity requirements are weaker. For simplicity, we choose
Mh to consist of continuous piecewise polynomial functions of order r.
By the finite element interpolation theory (see Sect. 4.6.3), we have:
(1) Given a function ¢ E Hr+1(D) and a function u E [Hr+1(D)]nd, there
exist interpolants Ih¢ E Hh and Ihu E Sh such that
II¢ -lh¢lIo ~ Ch r+1I¢lr+b (6.2a)
II¢ -lh¢lll ~ Chr l¢lr+1, (6.2b)
lIu -lhullo ~ Ch r+1lulr+b (6.2c)
lIu -lhulh ~ Ch r lul r+l, (6.2d)
(2) Given a function u E [Hr(D)]nd, there exists an interpolant Ihu E Wh
such that
(6.2e)
(3) Given a function u E [Hr+1(D)]nd , there exists an Ihu E Mh such that
lIu -lhuIlH(div,!1) ~ Chrlulr+l, (6.2f)
where C here and below denotes a constant independent of the mesh param-
eter h with generally different values in each appearance.
6.2 The l,\1ixed Galerkin Method
The most commonly used method for probleql. (6.1) is the Rayleigh-Ritz
method. However, as indicated in Sect. 3.2 for one-dimensional problems, a
posteriori numerical differentiation is required to obtain the dual variables
(flux for heat transfer; velocity for fluid flows; or electric field intensity for
electrostatics) which are often of most interest. In general, the accuracy of so-
computed dual variables is one order lower than that of the primal variable.
Moreover, the computed dual variables are not continuous across the element
boundary.
As mentioned in Sect. 3.3, the mixed Galerkin method is an alternative

choice for solving problem (6.1) (see, e.g., Oden and Carey 1983, Roberts and
Thomas 1991, or Brezzi and Fortin 1991). All conclusions about the mixed
method drawn for one-dimensional problems in Sect. 3.3 are still valid for
multi-dimensional problems, so here we only give a brief review of the mixed
method.
In the mixed method, (6.1a) is decomposed into an equivalent first-order
grad-div system:
u-\lc/> =0 in n, (6.3a)
\l·u=-! in il, (6.3b)
c/>=o on r. (6.3c)
Now multiplying (6.3a) by v E W and integrating, multiplying (6.3b) by
'l/J E H and integrating by parts, we are led to the mixed Galerkin variational
statement: Find a pair {c/>, u} E H x W such that
(u, v) - (\lc/>, v) = 0 'Vv E W, (6.4a)
-(\l'l/J, u) = -(I, 'l/J) 'V'l/J E H. (6.4b)

The formulation (6.4) is a primal mixed method. Another (dual) formulation
is also possible (Roberts and Thomas 1991).
Problem (6.4) corresponds to a saddle-point variational problem, and thus
in order to guarantee the existence of the solution, the following LBB condi-
tion must be satisfied:
sup (
Oi-t/>EH
r\lc/>. udn)(Ic/>h)-l ~ 'Yllullo
In
'Vu E W, (6.5)
where the constant 'Y > o. The LBB condition precludes the application of
simple equal-order finite elements. It can be proved that the finite element
spaces Hh and Wh satisfy the discrete LBB condition (6.5), and if the solution
(c/>, u) of (6.3) belongs to Hr+1(n) x [Hr(il)]nd, we have the following error
estimate (see, e.g., Roberts and Thomas 1991, p.578):
(6.6)
The estimate (6.6) shows that in this mixed method, the accuracy of the flux
u is always one order lower than that for the primal variable c/>.
Inspecting equation (6.4) shows that the matrix associated with the mixed
method is non-positive-definite. This makes the use of iterative methods to
solve large-scale problems relatively difficult.
6.3 The Conventional LSFEM

The conventional LSFEM is also based on the grad-div system (6.3). For
two-dimensional problems, the first-order system (6.3) consists of three equa-
tions and three unknown functions. In Sect. 4.7 we have pointed out that
a first-order system with an odd number of unknowns and an odd num-
ber of equations cannot form an elliptic system in the ordinary sense. For
three-dimensional problems, although the first-order system (6.3) has four
unknowns and four equations, it is easy to verify that this system is also not
elliptic in the ordinary sense. Therefore, the linear operator in system (6.3)
cannot be bounded below in the HI norm. The fact that the rate of conver-
gence of the conventional LSFEM based on system (6.3) is not optimal due
to this destruction of the HI ellipticity.
Now let us analyze the conventional LSFEM that minimizes the following
functional:
I:HxM~JR,
I(¢>, u) = IIV . u + 1115 + IIV¢> - ull~· (6.7)

Taking the variation of I with respect to ¢> and u, and letting 8I = 0, 6¢> = 1/1
and 6u = v lead to a variational statement: Find U = {¢>, u} E H x M, such
that
(AU,AV) = (f,AV) VV = {1/1,v} E H x M, (6.8)
where
(AU, AV) = (\7 . u, \7. v) + (\7<p - u, \71/1 - v),
(f,AV) = (-/,V·v).
The corresponding finite element problem is then to find Uh = {<Ph, Uh} E
Hh x M h , such that
(6.9)
where
(f,AV h) = (-I, V· Vh).

It is easy to verify that
IIAVllo ~ CIIVII, (6.10)
where IIVII 2 = 1I<p1I~ + lIullk~iV,n) = 1I<p1I~ + lIull~ + IIV . ull~· Thus, the
operator A is continuous on H x M. We note that the norm associated with
H x M is not an HI norm. We need to show that the operator A is bounded
below, that is, there exists a constant 0: > 0 such that for V E H x M
6.3 The Conventional LSFEM 101
IIAVII~ ~ a11V112. (6.11)

Let us prove (6.11). We know that
IIAVII~ = IIV' . vll~ + IIV''''' - vll~. (6.12)
Consequently,
IIAVII~ ~ IIV' . vll~, (6.13)
IIAVII~' ~ IIV''''' - vll~· (6.14)

From (6.14) and by using Green's formula (B.1), the boundary condition
(6.3c) and the Friedrichs inequality (4.14), we have
IIAVII~ ~ IIV''''' - vll~ = "V'''''"~ + IIvll~ - 2(v, V'",,)
~ CII""II~ + IIvll~ + 2(V' . v, ",,). (6.15)
From (6.13) we have
1 2 1 2
C IIAVllo ~ C IIV' . vllo· (6.16)
The combination of (6.15) and (6.16) yields

1 1
(1 + C)IIAVII~ > CIIV" vll5 + C""""~ + IIvll~ + 2(V" v,,,,,)
= II )C V' . v + JC""II~ + II v l15 ~ IIvll5
or
C1 IIAVII5 ~ IIv1l5· (6.17)
By combining (6.14) and (6.17), we have
C 2 I1AVllo?: 1IV'1/1 - vllo + IIvllo ?: 11"\71/1110,
that is
C3 11AVII5 ~ IIV'''''"~' (6.18)
By virtue of the Friedrichs inequality (4.14) and (6.18) we have
C4 11AVII5 ~ "",,"~. (6.19)
By combining (6.13), (6.17), (6.18) and (6.19), we obtain the boundedness
(below):
IIAVII5 ~ C5(1V'''''"~ + """115 + IIV' . vll5 + IIvll~),
or
(6.20)
Therefore, the following theorem about the rate of convergence of the

conventional least-squares solutions with equal-order finite elements can be
derived (see Sect. 4.10).
Theorem 6.1 Assume that f(a;) E L 2 (il), the solution (¢, u) of (6.3) belongs
to Hr+1(il) x [Hr+l(il)]nd, and the finite element interpolation estimates
(6.2a), (6.2b) and (6.2f) hold. Then for the approximate solution associated
with (6.9), we have the error estimate:
(6.21)
Although the conventional LSFEM has significant advantages over the

mixed Galerkin method, namely, that the conventional LSFEM is not sub-
ject to the LBB condition and thus can accommodate simple equal-order
elements, we don't recommend its use due to the following considerations:
(1) Theorem 6.1 shows that the accuracy of the flux u for the conventional
LSFEM with equal-order finite elements is lower than optimal; (2) linear el-
ements with one-point quadrature rule (in general, the reduced integration)
will result in a singular global matrix; the reason is that the LSFEM with
Gaussian quadrature is equivalent to the discrete least-squares collocation
method (see Sect. 4.11), and in this case one solves an underdetermined al-
gebraic system; (3) the squares of the residuals at Gaussian points may not
decrease monotonically with mesh refinement, this will cause a problem for
adaptive refinement using the residual as an error indicator.
6.4 The Optimal LSFEM

The optimal LSFEM is based on the following first-order div-curl-grad sys-
tern:
V·u=-f in il, (6.22a)
Vxu=O in il, (6.22b)
V¢-u=O in il, (6.22c)
¢=O onr, (6.22d)
nxu=O onr. (6.22e)
This system differs from (6.3) in that the compatibility equation (6.22b) and
the boundary compatibility condition (6.22e) are added. For irrotational flow
problems, u is the velocity vector, ¢ is the potential, (6.22a) represents mass
conservation, (6.22b) irrotationality, and (6.22c) constitutive relation.
The curl-free equation (6.22b) and the boundary condition (6.22e) seem
'redundant', since (6.22b) can be obtained by taking the curl operation on
6.4 The Optimal LSFEM 103
(6.22c), and (6.22e) can be derived by (6.22d). We shall show that the inclu-
sion of these relations is important.
We note that the calculation of ¢ and u in (6.22) can be decoupled. We
may solve the div-curl system of (6.22a) and (6.22b) with the boundary
condition (6.22e) to obtain u, and then (if necessary) to find ¢ by using
numerical integration or by solving (6.22c) and (6.22d) in terms of LSFEM.
For more general problems such as
-\1. \1¢ + ¢ = f(x) in il,
8¢ =0
8n on ,
r
this decoupling is impossible (Jiang and Povinelli 1993).
6.4.1 Two-Dimensional Case
For two-dimensional problems, the first-order system (6.22) consists of four

equations involving three unknowns. At first glance, one may think that this
is an 'overdetermined' system. We now show that system (6.22) is properly
determined and elliptic by introducing a dummy variable '19. We have used
this trick in Sect. 5.2. We rewrite system (6.22) as
\1·u=-f in il, (6.23a)
rot u = 0 in il, (6.23b)
-curl'l9+\1¢-u=O in il, (6.23c)
¢=o on r, (6.23d)
nxu=O on r, (6.23e)
in which u = (u, v), and the following particular notations for the two-
dimensional case are adopted:
8v 8u
rotu= - - - ,
8x 8y
curl '19 = (}i~ ) .

In Cartesian Coordinates, system (6.23) can be written as
8u + 8v =-f (6.24a)
8x 8y in il,
_8u+8v=0 in il, (6.24b)

8y 8x
8¢ 819
----u=o in n, (6.24c)
ax ay
a¢ a19
-+--v=O in n, (6.24d)
ay ax
¢=o onF, (6.24e)
un2 - vnl = 0 onF. (6.24f)

Recalling the div-curl method introduced in Sect. 5.3 we know that (6.23c)
is equivalent to the following equations and boundary condition
\1 . (-curl 19 + \1 ¢ - u) = 0 in n,
rot(-curl19 + \1¢ - u) = 0 in n,
nx(-curl19+\1¢-u)=O onF.
After simplification the second and third above equations become
Ll19 = 0 in n,
819
8n =n x \1 ¢ =0 on F.
Therefore, 19 is a constant. That is, the introduction of 19 does not change any-
thing. This means that system (6.24) of four equations with four unknowns
is indeed equivalent to the two-dimensional version of system (6.22) of four
equations with only three unknowns.
Now we write (6.24) in standard matrix form:
au + A2--=
A 1 --=
au + Ao!! = f in n, (6.25)
ax 8y
e D' C1 0 ~1 ).
in which
0 0
At~ -
1
0 0
0
1 A2 =
-1
0
0 0
0 0
0 0 0 o 0 1
Ao = CO o
-1
o -1
0
0
oo0
o 0
o 0
0)
' f~cn, Y~m·
Since
0
~ det ( ~q ~ ) ~ (e + q')' '" 0
rJ
~ 0
det(At{ + A,q) 0 ~ -rJ
0 rJ ~
for all nonzero real pairs (~, TJ), system (6.24) and thus the two-dimensional
version of system (6.22) is determined and elliptic, as contended. The elliptic
first-order system (6.24) has four equations involving four unknowns, so two
boundary conditions (6.24e) and (6.24f) are required.
Remark. In this chapter we analyze only the boundary condition (6.lb). If
equation (6.la) is supplemented by the boundary condition
a¢
an = o. on ,
r
then the following boundary conditions
'19 = 0 on r, (6.26a)
n·u=O on r, (6.26b)
should be specified for (6.23a)-(6.23c).
6.4.2 Three-Dimensional Case
In the three-dimensional case, we consider the following first-order system:

\1·u=-! in n, (6.27a)
\1'19 + \1 x u = 0 in n, (6.27b)
\1xX+\1¢-u=O in n, (6.27c)
\1·X=O in n, (6.27d)
¢=O on r, (6.27e)
n·x=O on r, (6.27f)
nxu=O on r, (6.27g)
where u = (u,v,w)j while '19 and X = {XbX2,X3} are dummy variables. In
system (6.27) there are eight equations and four algebraic boundary condi-
tions involving eight unknowns.
In the following we use the div-curl method discussed in Sect. 5.3 to
show that the dummy variables are identical to zero. For simplicity, some
details have been omitted. By applying the divergence operation to (6.27b)
and considering \1 . \1 x u = 0 we have
Ll'19 = 0 in n.
By applying the n· operation to (6.27b) on the boundary and considering
(6.27g) and Theorem 5.5, we have
n . \1'19 = 0 on r.
106 6. Div-Cud-Grad System
Therefore {) = constant, and thus (6.27b) is not different from (6.22b). By

applying the curl operation to (6.27c) and considering that V x Vcp = 0 and
V x u = 0, we have
V x (V x X) = 0 in il. (6.28)
We also know that
V· (V x X) = 0 in il. (6.29)
Furthermore, by applying nx operation to (6.27c) on F and considering
the boundary conditions (6.27g) and (6.27e) (the consequence of which is
n x Vcp = 0 on F) we have
n x (V x X) = 0 onF. (6.30)
From (6.28), (6.29) and (6.30) by virtue of Theorem 5.2 , we have
VXX=O inil. (6.31)
Combining (6.27d), (6.31) and (6.27f) and using Theorem 5.2, we finally find
that X == o. Thus we have proved that system (6.27) of eight equations involv-
ing eight unknowns is indeed equivalent to system (6.22) of four equations
with four unknowns.
In Cartesian Coordinates, system (6.27) has the following form:
au avow
-+-+-
ax ay az = -/ in il,
avow a{)
--+-+-
az ay ax = 0 in il,
ow au {}{)
--+-+-
ax az ay = 0 in il,
au av {}{)
--+-+-
ay ax az = 0 in il, (6.32)
aX2 aX3 acp
--+-+--u = 0 in il,
az 8y ax
aX3 aXl acp
--+-+--v o in il,
ax az ay
aXl
--+-+--w
aX2 acp
= 0 in il,
ay ax az
aXl aX2 aX3
ax + ay + az = 0 in il.

au au
Al-= +A2-= +A3-= +AoY= f
au in il, (6.33)
ax 8y az
in which
1 0 0 0 0 0 0 0
0 0 0 0 1 0 0 0
0 0 -1 0 0 0 0 0
0 1 0 0 0 0 0 0
AI= 0 0 0 1 0 0 0 0
0 0 0 0 0 0 0 -1
0 0 0 0 0 0 1 0
0 0 0 0 0 1 0 0
0 1 0 0 0 0 0 0
0 0 1 0 0 0 0 0
0 0 0 0 1 0 0 0
-1 0 0 0 0 0 0 0
A2= 0 0 1
,
0 0 0 0 0
0 0 0 1 0 0 0 0
0 0 0 0 0 -1 0 0
0 0 0 0 0 0 1 0
0 0 1 0 0 0 0 0
0 -1 0 0 0 0 0 0
1 0 0 0 0 0 0 0
0 0 0 0 1 0 0 0
A3= -1 0
,
0 0 0 0 0 0
0 0 0 0 0 1 0 0
0 0 0 1 0 0 0 0
0 0 0 0 0 0 0 1
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
Ao= ,
-1 0 0 0 0 0 0 0
0 -1 0 0 0 0 0 0
0 0 -1 0 0 0 0 0
0 0 0 0 0 0 0 0
-1 u
0 v
0 w
0 ¢
/= 0
!!= 79
0 Xl
0 X2
0 X3
Since
e TJ ( 0 0 0 0 0
0 -( TJ 0 e 0 0 0
( 0 -e 0 TJ 0 0 0
det(Ale + A 2TJ + A 3() = det
-TJ e 0 0 ( 0 0 0
0 0 0 e 0 0 -( TJ
0 0 0 TJ 0 ( 0 -e
0 0 0 ( 0 -TJ e 0
0 0 0 0 0 e TJ (
= -(e + TJ2 + (2)4 # 0
for all nonzero real triplets (e, TJ, (), systems (6.32), (6.27) and thus system
(6.22) is properly determined and elliptic. The elliptic first-order system
(6.27) has eight unknowns, so that four boundary conditions are needed.
Considering that two algebraic conditions are included in (6.27g), this re-
quirement is satisfied in (6.27).
Remark. If equation (6.1a) is supplemented by the Neumann boundary con-
dition:
8¢ = 0
8n
on r,
then for three-dimensional problems the following boundary conditions
{} = 0 on r, (6.34a)
n x X =0 r,
on (6.34b)
on r, (6.34c)
should be given to (6.27a)-(6.27d). If the original second-order problem (6.1)
:!
has a mixed boundary condition:
¢ + f3 = 0 on r,
then (6.34c) should be replaced by
¢ + f3n . u =0 on r.
6.4.3 Error Analysis
The optimal LSFEM minimizes the following functional:

I :H x S --t JR,
I(¢, u) = IIV' . u + fll~ + IIV' x ull~ + IIV'¢ - ull~· (6.35)
We emphasize again that the introduction of the dummy variables is purely
for proving the determinacy and ellipticity of the div-{!url-grad system, and
it has nothing to do with the numerical computation.
Taking the variation of I with respect to c/J and u, and letting H = 0,

8c/J = '¢ and 8u = v lead to a least-squares formulation: Find U = (c/J, u) E
H x S, such that
(AU,AV) = (f,AV) VV = (,¢,v) E H x S, (6.36)
in which
(AU, A V) = (V' . u, V' . v) + (V' x u, V' xv) + (V' c/J - U, V''¢ - v),
(f,AV) = (-/, V'. v).

The corresponding finite element problem is then to find Uh = (c/Jh, Uh) E
Hh x Sh, such that
(6.37)
where
(AU h, AV h) = (V' . Uh, V' . Vh) + (V' x Uh, V' x Vh)
+(V'c/Jh - Uh, V''¢h - Vh),
It is easy to verify that

(6.38)
where
IIVII~ =1Ic/J1I~ + lIulI~
is an HI norm. Thus, A is continuous on H x S. We shall then prove that
there exists a constant a > 0 such that for V E H x S
(6.39)
Following the same argument as in Sect. 6.3, we obtain
IIAVII~ ~ C(IIV''¢II~ + II'¢II~ + IIV' . vll~ + IIV' x vlI~ + Ilvll~). (6.40)
The combination of (6.40) and the Friedrichs first div-curl inequality (5.5)
yields HI coerciveness (6.39).
Once the HI coerciveness is proved, the following theorem' is a conse-
quence of Theorem 4.8.
Theorem 6.2 Assume that /(x) E L 2([}), the solution (c/J,u) E Hr+I([}) x
[Hr+1([})]nd and the finite element interpolation estimates (6.2a)-(6.2d)
hold. Then for the approximate solution associated with (6.37), we have the
error estimate:
(6.41)
110 6. Div-Cud-Grad System
This theorem implies that the rate of convergence (in the H1 norm) of
LSFEM based on the first-order div-curl-grad system (6.22) with equal-order
finite elements is optimal for all variables. Optimal L2 convergence can be
obtained by using the Aubin-Nitsche trick. The optimality is attributed to
the fact that the optimal LSFEM controls the errors in the full H1 norm.
As discussed in Sect. 4.11, the LSFEM with numerical quadrature is equiv-
alent to a weighted collocation least-squares method. We may use this idea
to choose an appropriate number of Gaussian points. The conventional LS-
FEM with linear (01) elements and one-point quadrature will lead to a sin-
gular global matrix, because it corresponds to solving an underdetermined
algebraic system. In contrast, the optimal LSFEM with reduced integration
works very well; although the computed nodal values of u may have some
oscillations, the values of u at Gaussian points are very smooth. The use of
reduced integration is important in practice, because it significantly reduces
the computing work when the matrix-free element-by-element conjugate gra-
dient method is employed for the solution of the resulting system of algebraic
equations.
6.5 Numerical Results

As an example, we choose
f = (x 2 + 3x)e x (y2 - y) + (y2 + 3y)eY (x2 - x) in n,
where n = {(x,y) Em?: 0 < x < 1,0 < y < I} is the unit square with
boundary r. The boundary conditions are
onr,
v=O on Ft = {(x, y) E r: x = O},
v=O on n = {(x,y) E r: x = I},

u=O on r 2 = {(x, y) E r: y = O},
u=O on r4 = {(x,y) E r: y = I}.

The exact solution should be
¢ = (x 2 - x)e x (y2 - y)eY,
u = (x 2 + X - I)e X (y2 - y)eY,
v = (y2 +Y _ 1)eY(x 2 - x)e x .

Numerical experiments were carried out using bilinear (OI) elements on uni-
form meshes with Ilh = 4,9,20,29. We calculated the L2 errors for ¢ and
u:
e", = II¢ - (Philo,

The numerical results on the rates of convergence are given in Fig. 6.1. As
expected, the rate of convergence of the flux u for the conventional LSFEM
is lower than O(h2). The rates of convergence are O(h2) for both the primal
variable ¢ and the dual variables u for the optimal LSFEM.
4.0
3.5 _--4.
_--1111
II
•
___I ~
u-optlmal
~-optlmal
& - -.... u-c:onventlonal
-c:onventlonal
3.0
......,
j2.5
I
2.0
1.5
1.0
0.5 0.7 0.9 1.1 1.3 1.5
-Iog(h)
Fig. 6.1. Computed rates of convergence
Here we mention that in all our calculations, 2 x 2 Gaussian quadrature

was used for finite element solutions, and 3 x 3 Gaussian quadrature was used
for error evaluation.

For the numerical solution of two- and three-dimensional diffusion-type
second-order elliptic partial differential equations, the Rayleigh-Ritz method
leads to symmetric and positive-definite matrix and has an optimal order of
convergence: However, it involves difficulties related to the loss of accuracy
and the discontinuity of the dual variables (gradients or fluxes) computed
from the primal variable by numerical differentiation.
The mixed Galerkin method is based on the grad-div system deduced
from the usual second-order scalar differential equation. The mixed Galerkin
method can directly yield an approximation of the fluxes. But it requires the
use of different finite elements for the primal and dual variables. Moreover,
the resulting matrix is non-positive-definite and thus difficult to solve.
The conventional LSFEM is also based on the grad-div system. The con-
ventional LSFEM has a significant advantage over the mixed Galerkin method
in that it can accommodate equal-order elements. This method, which rep-

resents the beginning of LSFEM for first-order systems, was proposed in the
pioneering papers of Lynn and Arya (1973) and Zienkiewicz et al. (1974)
and later developed and investigated by Fix and Gunzburger (1978), Fix et
al. (1979), and Cox and Fix (1984). This approach is still adopted by some
people (e.g., Kececioglu and Rubinsky 1989, Bentley and Pinder 1992, and
Winterscheidt and Surana 1993). However, theoretical and numerical studies
have shown that, in the conventional LSFEM method, the rate of conver-
gence for dual variables (fluxes) is lower than optimal, since the reduction
of second-order elliptic problems to the first-order grad-div system destroys
the full HI ellipticity.
In order to (1) achieve an optimal rate of convergence for both primal
and dual variables; (2) allow the use of reduced intergration; (3) allow the
use of the element residual as an error indicator for adaptive refinement; (4)
gain fast convergence for iterative solvers; the LSFEM should be based on
the div-curl-grad formulation. Usually, the div-curl-grad system should be
supplemented by one of the following boundary data: (1) ¢ and n x u; (2)
n . u; (3) ¢ + (3n . u.
The idea of including the curl equation in the LSFEM can be found in
Jiang and Chai (1980), Chen (1986) and Jiang (1986). The optimal LSFEM
and its analysis described in this chapter was first developed by Jiang and
Povinelli (1993). Following the same basic idea, Cai et al. (1994, 1997) gave
a more general and rigorous analysis including a fast multigrid solver. The
treatment of this subject by the Agmon-Douglis-Nirenberg theory can be
found in Chang (1992).
Part III
LSFEM in Fluid Dynamics

7. Inviscid Irrotational Flows
In this chapter the LSFEM is applied to the solution of inviscid irrotational

flow problems. Both incompressible and subsonic compressible flows are con-
sidered. The flow of incompressible, irrotational fluids is governed by the
div-curl system that has been studied in Chap. 5. From understanding of the
physical principles underlying compressible flows, we derive the associated
governing equations in the form of a first-order system appropriate for LS-
FEM computation. In aerodynamic applications, uniform flow past a profile
is of particular interest. Boundary conditions at the profile and in the far
field, and the Kutta condition for lifting profiles are described. Applications
of LSFEM to airfoil problems are presented.
7.1 Incompressible Irrotational Flow
Let us consider stationary incompressible, irrotational flows. The velocity u

of the fluid flow is governed by the continuity equation:
in n, (7.1a)
and the condition of zero vorticity:
in n. (7.1b)
On the boundary, in general, the normal component of the velocity is given,
that is,
n·u=g on r. (7.1c)
System (7.1) has a typical div-curl structure. We may write system (7.1)
in the standard matrix form (4.48) , and use the LSFEM described in Sect.
4.8 to obtain the solution for a particular problem.
In order to verify the accuracy of LSFEM, we have numerically determined
rates of convergence for the two-dimensional model problem in the unit square
0::; x,y::; 1:
au av_ o (7.2a)
ax + ay - ,
116 7. Inviscid Irrotational Flows
av_au_ o (7.2b)
ax By - ,
with the boundary conditions
v = sin (x) on y = 0,
u = eYcos(1) on x = 1, (7.3)
v = esin(x) on y = 1 ,
u == eY on x = O.
Combining the equations in (7.2), we see that this example corresponds to
solving the Laplace equation for the potential ¢ in the unit square. For ex-
ample, this problem describes incompressible potential flow in the square
domain with the normal derivative a¢/an prescribed on the boundary. The
analytic solution to the model problem is
u = eYcos(x), v = eYsin(x). (7.4)
This is now used with the approximate solution to calculate the norm of the
error in a sequence of mesh refinement studies.
The domain is divided into uniform bilinear elements. In the computation
we are faced with the problem of evaluating an integral of the form (4.59)
for the element matrices. The integrand consists of the squares of the first-
order derivatives of the shape functions. Since bilinear elements are used,
the integrand is a polynomial of degree 2, and hence the integral can be
evaluated exactly with 2 x 2 Gaussian quadrature. However, as explained in
Sect. 4.11.2, the LSFEM with Gaussian quadrature is equivalent to the least-
squares finite element collocation method, and hence here one-point Gaussian
quadrature should be employed. From this example, we understand that in
LSFEM computations, in general, reduced integration should be used instead
of full (exact) integration. For comparison purposes we have tested both one-
point and 2 x 2 Gaussian quadrature in the computation.
The L2 norm of the error is plotted against the mesh size h in a log-log
plot in Fig. 7.1. We see that the error is O(h2), which is consistent with the
optimal rate predicted by the estimate (5.24a) with this choice of elements.
We remark that, although the estimate (5.24a) is derived for the case with
homogeneous boundary conditions, it is not very difficult to show its validity
for inhomogeneous boundary conditions.
Both full integration with 2 x 2 Gaussian quadrature and the reduced
integration with one-point Gaussian quadrature produced the same rates, as
shown in Fig. 7.1. The reason is as follows: first, the coefficients in system
(7.2) are constants; second, we used uniform square elements which are not
distorted and thus the Jacobian of the coordinate transformation in (4.94)
is a constant; and more important, there are no zero-order terms in system
(7.2), i.e., system (7.2) is of homogeneous first-order type. The consequence
is that the equation can be satisfied everywhere in an element, and hence
an increase in the order of quadrature does not mean the inclusion of more
7.1 Incompressible Irrotational Flow 117
independent residual equations in the equivalent least-squares finite element

collocation computation. Therefore, for this particular example reduced and
full integration produced almost the same results. But in general when the
elements are distorted, the coefficients in the partial differential equations are
not constant, and the equations have zero-order terms, reduced integration
becomes necessary.
4.0 .--.......- . - -.......- . - -.......-.---.--.---.----,
3.5
2.D~~_L-~_L-~_L-_L_L-_L~
0.& 0.& 1.0 1.2 1.4 1.&

-Iog(h)
Fig. 7.1. Experimental rates of convergence of LSFEM for the model problem:
6. 2 x 2 Gaussian quadrature; x one-point Gaussian quadrature
Flow Around NACA0012 Airfoil. Consider the NACA0012 airfoil in in-

compressible flow with incident velocity at an angle of attack a relative to
the airfoil chord. The flow is considered to be uniform at upstream infinity
with velocity components (Uoocosa, Uoosina), where the subscript "00" de-
notes conditions for the incident flow at infinity. For our computation, the
flow domain is approximated by a large but finite flow region. The outer
boundary of this computational domain is 10.5 chords away from the center
of the airfoil chord. The mesh consists of 600 bilinear elements and 660 nodes,
see Fig. 7.2. The angles of incidence a are 2 and 4 degrees, respectively. The
normal velocity component on the airfoil surface is prescribed to be zero.
The condition u = (Uoocosa, Uoosina) is specified on the outer boundary.
The NACA0012 airfoil has a sharp trailing edge. The Kutta condition is the
requirement that the flow leaves smoothly from the trailing edge in the di-
rection of the bisector of the angle between the upper surface and the lower
surface. For symmetrical airfoils, such as NACA0012, the Kutta condition
requires that the vertical velocity component be zero at the trailing edge of
the airfoil.
Fig. 1.2. The mesh for flow around NACA0012 airfoil
For the methods based on the potential, establishing a single-valued po-

tential for a lifting body such as an inclined airfoil requires a branch cut
in the domain and iteration of the solution to satisfy the Kutta conditions.
These allow the potential solution to have a jump discontinuity across the
cut. Since the flow velocity is continuous, the branch cut and iteration are
not needed for LSFEM based on the velocity, and hence the satisfaction of
the Kutta condition becomes very easy.
Once the velocity components at the nodes on the airfoil surface are ob-
tained, the pressure coefficient Cp follows from the Bernoulli equation:
P - Poo q2
Cp = O.5pU! = 1 - U!' (7.5)
where p is the density, and q = Ju 2 + v2 + w 2 is the magnitude of the flow

velocity. Th~ LSFEM solutions for the pressure coefficient distribution on the
airfoil surface for Q = 2° and Q = 4° are shown in Fig. 7.3 and Fig. 7.4, re-
spectively. In the computation, reduced integration with one-point Gaussian
quadrature is used for evaluating the element matrices. As expected 2 x 2
Gaussian quadrature does not give good results.
7.2 Subsonic Compressible Irrotational Flow 119
1.0
0.5
a.
()
I
0.0
-0.5
-1.0
0.0 0.2 0.4 0.6 0.8 1.0
X
Fig. 7.3. Pressure coefficient distribution for NACA0012 airfoil at a = 2°
2.0
1.0
a.
()
I
0.0
-1.0 ____ ~_'---~_'---~_'---~--....J'____'___'
0.0 0.2 0.4 0.6 0.8 1.0

X
Fig. 7.4. Pressure coefficient distribution for NACA0012 airfoil at a = 4°
7.2 Subsonic Compressible Irrotational Flow
7.2.1 The First-Order Governing Equations
In aerodynamics applications, as long as the flow velocity is sufficiently small,

the density of the fluid is approximately constant and the classic theory of
incompressible flow studied in the previous section adequately describes the
flow field. As the incident flow velocity is increased, compressibility of the
gas in the vicinity of the profile becomes more important, and the assump-
tion of incompressibility is no longer applicable. Introducing the local Mach
number M = q/a, in which a is the local speed of sound, we may characterize

compressible flow as subsonic when M < 1 and supersonic when M > 1.
Let us consider steady subsonic inviscid, isothermal fluid flow with density
p(x). In addition, the fluid is assumed to be barotropic (elastic) and irrota-
tional. Then there is a one-to-one relation between pressure and density, and
this implies that the flow is isentropic.
The principle of conservation of mass leads to the continuity equation:
(7.6a)
Since the flow is also irrotational, the velocity components are related by
8w _ 8v =0, 8u _ 8w =0 8v _ 8u =0. (7.6b)

8y 8z 8z 8x ' 8x 8y
For isentropic flows, we have
P = kp'Y, (7.6c)
where'Y > 1 is the ratio of specific heats (-y = Cp/Cv ) for calorically perfect
gas and k is a constant. Using the first law of thermodynamics, we derive the
energy equation for steady flow:
2 2
_'Y_E +~ = _'Y_Poo + qoo. (7.6d)
'Y - 1 p 2 'Y - 1 Poo 2
To obtain the governing equations in terms of velocity components, we
eliminate pressure and density from the system of equations (7.6). First,
eliminating P from (7.6c) and (7.6d), we obtain
2 2
_'Y_p'Y-1Pr; +~ = _'Y_Poo + qoo. (7.7)
'Y - 1 poo 2 'Y - 1 Poo 2
Differentiating (7.7) with respect to x,
'Yp'Y- 2 8p Poo + !.... (q2) = 0,

8x P60 8x 2
solving for 8p/8x and utilizing 'YP/p = a 2, we have
8p = _p~(q2)/a2. (7.8a)
8x 8x 2
Similarly we may obtain
8p 8 (q2) 2
8y = -P8y "2 /a , (7.8b)
8p = _p!....(q2)/a 2. (7.8c)
8z 8z 2
Substituting the above three equations into (7.6a), we obtain
P(aU + ov + OW) _ ~ [u ~ (q2 ) + v~ (q2)

+ W~ (q2 )] = 0,
ax oy oz 2 a2
oy 2 ax
oz 2
and hence the first-order equations in the velocity components:
( 1- u2) au + (1- V2)2 oV + (1- W2) oW

a2 ax a oy2 a oz
_ uv (aU + Ov) _ VW (OV + OW) _ wu (OW + aU) = 0, (7.9a)
a2 oy ax a2 oz oy a2 ax oz
where the local isentropic speed of sound a is given by (7.6d) as
a2 q2 a~ q~
--+-=--+-,
,-1 2 ,-1 2
that is,
,-1
a2 = a~ + -2-(q!, - q2). (7.9b)
The above (7.9a) and (7.9b) together with the irrotational condition (7.6b)
constitute the first-order system of equations governing compressible flows.
We introduce dimensionless variables of space and velocity by dividing the
physical variables by the characteristic length scale Land a oo respectively.
The governing equations are then rewritten as
-2 0- -2 0- -2 0-
( 1 - ~) ~ + (1 - ~)
0;2 o£
~ + (1 - ~)
0;2 of}
~
0;2 oz
ii/v (ail OV) VW (OV OW) wil (OW ail) _ 0 (7. lOa)
- 0;2 Of} + o£ - 0;2 oz + Of} - 0;2 o£ + oz - ,
(7.10b)
where
0;2 = 1 + ,~1 (Moo 2 _ if.2), (7.lOc)
in which the free stream Mach number Moo = qoo/a oo .
It is also appropriate here to introduce some useful local dimensionless
parameters for the fluid flow. Using a~ = ,Pool Poo and 15 = pi Poo and (7.9b),
we obtain the dimensionless local density
, - 1 2 2 ] 1/(1-1)
15= [ l+-(Moo -if.) (7.11)
2
By virtue of (7.10c), the local Mach number can be expressed as
M= <J.. = qI a oo = if. . (7.12)

a alaoo [1 + ~(Moo 2 - q2)J1/2
The pressure coefficient Cp is defined by
C =P-Poo
p Pooq~
=_2_{[1+ ,-1(M 2 __
2 q "1M2 00
2)]"1/(1-1) -I}. (7.13)
2 I 00
7.2.2 Application of LSFEM
Now let us apply the LSFEM to the solution of plane steady compressible
flow problems. The fundamental dimensionless equations for two-dimensional
steady subsonic irrotational flows are
( 1 - U2) 8u uv (8u 8v) ( V2) 8v in il, (7.14a)

a2 8x - a2 8y + 8x + 1 - a2 8y = 0
8v_8u=O in n
H, (7.14b)
8x 8y
a2 = 1 + 'Y ~ 1 [Me!, _ (u 2 + v 2)], (7.14c)
where a is the local sound speed normalized by the sound speed of the free
stream, and for convenience the dimensionless bar notation is suppressed.
Usually, on the solid surface the normal component of the velocity is zero,
that is,
n·u=O on r. (7.15)
The uniform condition u = (Uoocoso:, Uoosino:) is prescribed on the outer
boundary.
The quasi-linear first-order partial differential equations (7.14) may be
linearized, for example, by using the successive substitution method. Let
A = (1 _ U22 )
B = (1 _
V2) = _ uv2 C (7.16)
a ' a2 ' a •
Coefficients A, B, C are regarded as known quantities and are determined by
the velocity field solved in the preceding iteration step. Then system (7.14)
can be rewritten as
8u C(8u 8v - 0
A -+
8x
- +8V)
-
8y 8x
+B-
8y
- in il, (7.17a)
8v_8u=O in n
H. (7.17b)
8x 8y
Now we write system (7.17) in standard matrix form:
8u· 8u
A l8x + A2 8y + Aou = f in il, (7.18)
in which
Al = (~ ~),
Ao=(~ ~),
Since
det(Al~ + A 21J) = det ( A~ ~1JC1J C~ ~ B1J)

= Ae + 2C~1J + B1J2 -:f. 0
for all nonzero real pairs (~, 1J), if
2 + 2
C2 _ 4AB =U - 1 < O.
2V
a
It means that for subsonic flows, (7.14) is elliptic.
At each iteration step, the LSFEM described in Sect. 4.8 can be used to
solve the linearized equation system (7.18). By using (4.59) we can derive the
element matrices which consist of the following (2 x 2) sub-matrix:
[Kelij =
AB1/Ji,x1/Jj,y
+AC(1/Ji,x1/Jj,y + 1/Ji,y1/Jj,x) +AC1/Ji,x1/Jj,x + BC1/Ji,y1/Jj,y
+(C2 + 1)1/Ji,y1/Jj,y +(C2 - 1)1/Ji,y1/Jj,x
In. AB1/Ji,y1/Jj,x
dxdy.
+ AC1/Ji,x1/Jj,x + BC1/Ji,y1/Jj,y +BC(1/Ji,y1/Jj,x + 1/Ji,x1/Jj,y)

+(C2 - 1)1/Ji,x1/Jj,y +(C2 + 1)1/Ji,x1/Jj,x
(7.19)
Now we explain how to treat the boundary condition (7.15) on the in-
clined solid surface. Assume that at a surface node i the normal direction is
(cos,B, sin,B). At this node the normal component and the tangential compo-
nent of the velocity u = (u, v) are denoted by Un and Ut respectively. Then
we have the following relations between (u,v) and (un,Ut):
(::)=c(:), (7.20a)
(:) =c(::), (7.20b)
where C is the coordinate transformation matrix:

C = (C?S,B Sin,B) . (7.20c)
sm,B -cos,B
Taking nodal values of the velocity components in global rectangular co-
ordinates as the unknowns, the global algebraic equations have the following
form
Kll K12 Kli Kin Ui Fi

K2i K22 K2i K 2n U2 F2
= (7.21)
Kil Ki2 Kii Kin Ui Fi
Kni Kn2 Kni Knn Un Fn

in which K ll , K 12 , ... are 2 x 2 matrices, and
U i = (:) / Fi = (~:)i
are the velocity components and the components of the 'force' vector at the
ith node respectively. For the homogeneous equations (7.14), the components
of the 'force' vectors in system (7.21) are zero. In general, they are not zero.
For nodes on the inclined solid surface, the normal and the tangential
velocity components are taken as the unknowns. By considering (7.20b), we
can rewrite system (7.21) as
Kll K12 KliC Kin Ui Fi
K2i K22 K 2i C K 2n U2 F2
U":l (7.22)
Kil Ki2 KiiC Kin Fi
Kni Kn2 KniC Knn Un Fn

in which
U: = (un) .
Ut i
In order to obtain a symmetric global matrix we multiply the ith equation

in system (7.22) by C and finally obtain
Ku K12 KliC Kin Ui Fi
K2i K22 K 2i C K 2n U2 F2
U":l =
CK il CK i2 CKiiC CKin CF i
Kni Kn2 KniC Knn Un Fn

(7.23)
Using given boundary data we can get the solution to system (7.23) by
using a direct solver. If the problem is very large, one may use the conjugate
gradient method to obtain the solution. In that case, it is neither necessary to
form the element matrices, nor to assemble the global matrix and to transfer
the coordinates for the nodes on the inclined solid surface (see Chap. 15).
7.2.3 Examples
In the following two numerical examples, the flow field obtained by solving
the corresponding incompressible problem was taken as an initial field. At
all nodal points of the field, the solution was considered convergent if the
relative variation of two successive values of the dimensionless density p =
[1 + ~(M! - (u 2 + v2))]1/b- 1) is less than a given small quantity f..
Flow Past Circular Cylinder. The flow condition at seven times the ra-
dius of the cylinder was considered undisturbed from the free stream. One
quarter of the circular cylinder was divided into 4 x 5 eight-node quadrilateral
elements. Reduced integration with 2 x 2 Gaussian quadrature was used. f.
was taken as 0.0009. The solutions at various Moo including the critical Mach
number 0.42 depicted in Fig. 7.5 were obtained in 2 '" 3 linearizations.
1.2
1.0 y
0.8
M 0.6
&~.
0.4
0.2
18 36 S4 72 90
0'
Fig. 7.5. Mach number on the surface of the circular cylinder at upstream Mach
number of 0.42, 0 LSFEM, - results from Imai (1941) (from Jiang and Cai 1980)
Flow Past NACA0012 Airfoil. The flow around the symmetrical NACA
0012 airfoil with zero angle of attack was calculated. The upper half region of
the airfoil was divided into 5 x 12 eight-node quadrilateral elements and f. =
0.0001 was taken as the convergence criterion. In the computation reduced
integration with 2 x 2 Gaussian quadrature was used. The solution at the
critical Mach number 0.72 was obtained after six linearizations and is shown
in Fig. 7.6.
The LSFEM has also been tested for lifting cases. Figure 7.7 and Figure
7.8 show the pressure distribution for the subsonic flow on the NACA0012
airfoil at 3.5 0 incidence and Moo = 0.5, and 100 incidence and Moo = 0.5,
Il~---------------
LI
1.11
0.7
NG.6
0.5
0.4
G.3
G.2
0.1
0.°0 U
' "
G.2 G.3 ~ 0.5 G.6
I
V
I
U
I
U U
¥jc
Fig. 7.6. Mach number on the surface of the NACA0012 airfoil surface at 00
incidence and upstream Mach number of 0.72, 0 LSFEM, - results from Lock
(1970) (from Jiang and Cai 1980)
2.0
1.0
a.
()
I
0.0
-1.0
-2.0
0.0 0.2 0.4 0.6 0.8 1.0
X
Fig. 7.7. Pressure distribution on the NACA0012 airfoil surface at 3.50 incidence
and upstream Mach number of 0.5
respectively. In these computations, the flow domain and mesh, the number
of integration points, the boundary conditions and the Kutta condition are
the same as those used for the incompressible case. Converged solutions are
obtained after four linearizations.
6.0
4.0
Co
()
I
2.0
0.0 : : : : : : : : : :
:
-2.0
0.0 0.2 0.4 0.6 0.8 1.0
X
Fig. 7.8. Pressure distribution on the NACA0012 airfoil surface at 10° incidence
and upstream Mach number of 0.3

Irrotational flow problems are usually solved by using methods based on the
potential. The finite element solution for the potential has optimal accu-
racy. For example, if linear elements are used, the accuracy of the potential
is O(h2). However, numerical differentiation is needed to obtain the veloc-
ity from the potential. As a result, the velocity derived from the potential
has lower accuracy, viz., O(h), and is discontinuous across element bound-
aries. Moreover, for multi-connected domains, such as lifting airfoils, potential
methods need a branch cut. Due to the continuity of velocity, branch cut is
not necessary for LSFEM. This makes the satisfaction of the Kutta condition
trivial in LSFEM.
The LSFEM and numerical results based on the first-order div-curl sys-
tem (7.14) in terms of the velocity components for subsonic irrotational flows
first appeared in Jiang and Chai (1980). More numerical tests including adap-
tive refinement were presented in Jiang (1986). Similar formulations can also
be found in Chen (1986) and Chen and Fix (1986).
Fletcher (1979) first used a LSFEM based on the compressible Euler equa-
tions to solve subsonic flow problems. The feature of his formulation is the
designation of groups of variables rather than single variables.
8. Incompressible Viscous Flows
The incompressible Navier-Stokes equations which govern the motion of vis-

cous fluids are among the most important partial differential equations in
engineering. The Navier-Stokes equations are derived from the mass and
momentum conservation laws and the linear stress-strain relation. While
the physical model leading to the Navier-Stokes equations is simple, the
mathematical theory and the numerical solution are challenging. The major
difficulties in the study and the solution of these equations are related to
incompressibility and nonlinearity.
In the last two decades various methods including finite elements, finite
differences, and finite volumes based on different formulations have been used
for solving the Navier-Stokes equations. Usually the Galerkin method based
on the velocity-pressure formulation is employed for the theoretical analysis
and the finite element solution of the incompressible Navier-Stokes equations.
In the beginning of this chapter we will show that the Galerkin method
leads to a saddle-point problem, and thus a difficult Ladyzhenskaya-Babuska-
Brezzi (LBB) condition is invoked. Then we will briefly show that all modified
Galerkin-type methods have some restrictions.
In this chapter attention will be focussed on the least-squares method
based on the first-order velocity-pressure-vorticity formulation. The non-
linear convective terms in the Navier-Stokes equations have no effect on the
classification (see Sect. 8.4); also according to the theory in Brezzi et al.
(1980), error analysis for the nonlinear Navier-Stokes equations is essentially
the same as that for the linear Stokes equations, at least away from singular
points. Thus, the main concern of the mathematical analysis in this chapter
is the verification of the well-posedness of the Stokes equations with different
boundary conditions.
In the investigation of existence and uniqueness of the incompressible
Stokes and Navier-Stokes equations, mathematicians mainly confined them-
selves to the standard case in which velocity components are prescribed on
the boundary. On the other hand, physicists and engineers apply the non-
standard boundary conditions often based on physical intuition. The permis-
sibility of non-standard boundary conditions applied to the Navier-Stokes
equations has not been systematically studied, and thus has been the subject
of constant controversy.
130 8. Incompressible Viscous Flows
The principal part of the Stokes equations in the first-order velocity-

pressure-vorticity formulation consists of two generalized div-curl systems,
so the techniques learned in Chap. 5 about a div-curl system can play an
essential role in the analysis. We will use this knowledge to prove that the
velocity-pressure-vorticity formulation is elliptic and not "overdetermined",
to derive all permissible combinations of non-standard boundary conditions
for the Stokes equations, and show the optimality or sub-optimality of the
corresponding LSFEM.
In this chapter we will demonstrate how to use the LSFEM based on the
first-order velocity-pressure-vorticity formulation to solve various problems
related to incompressible viscous flows.
Finally we will apply the least-squares method and the div-curl method to
rigorously derive the pressure Poisson equation, the second-order velocity-
vorticity formulation of the Stokes and Navier-Stokes equations and their
additional boundary conditions.
8.1 The Stokes Equations in the u - p Formulation

8.1.1 The Mixed Galerkin Method
Consider the Stokes equations: Find the velocity u = (Ul,U2,U3) = (u,v,w)

and the pressure p such that
-vLlu+ Vp = f in D, (8.1a)
V'. u = 0 in D, (8.lb)
u=o onr, (8.lc)
where v is the kinematic viscosity, and f = (Ix, f y , fz) E [L2(D)j3 the body
force. Since the viscosity v can be absorbed into the pressure and the body
force terms for the Stokes equations, we need to consider only case v = 1.
The most popular finite element method for the Stokes equations is based
on the mixed Galerkin formulation, see e.g., Oden and Carey (1983), Girault
and Raviart (1986), Gunzburger (1989) and Pironneau (1989): Find u E
[HJ(D)]3 and p E S(D) such that
a(u, v) - (V· v,p) = (/, v) (8.2a)
(V· u,q) =0 \/q E S(D), (8.2b)
where
HJ(D) = {u E Hl(D) : u = 0 on F}, (8.2c)
S(D) = {q E L2(D) : L qdx = O}, (8.2d)

8.1 The Stokes Equations in the u - p Formulation 131
3
a(u,v) = L(VUi, VVi)' (8.2e)
i=l
The variational statement (8.2) can be obtained directly from the station-
ary condition for the Lagrangian
1
L(u,p) = "2a(u, u) - (f, u) - (V· u,p). (8.3)
The solution {u, p} defines a saddle-point of this functional.

Similar to the situation discussed in Sect. 3.3, the existence of a finite
element approximate solution to (8.2) depends on choosing a pair of spaces
Hh c [HJ(n)j3 and Sh C S(n) such that the following LBB "inf-sup"
condition holds:
. f (V·v,q)
m sup >a > 0, (8.4)
qESh vEH h II V 11111 q 11o -
where a is independent of the mesh size h. This condition precludes the use
of equal-order finite elements. Although for two-dimensional problems quite
a few convergent pairs of velocity and pressure elements have been developed,
most of these combinations employ some basis functions that are inconvenient
to implement. For three-dimensional problems, this difficulty becomes more
severe and only elaborate constructions can pass the LBB test. The other
basic difficulty associated with the mixed method is the non-positiveness of
the resulting linear algebraic system.
Yet another important choice is the penalty method which pre-eliminates
the pressure variable from the Stokes equations by penalizing the continuity
equation, see, e.g., Reddy and Gartling (1994). The penalty functional is
1 1
Je(u) = "2 a(u, u) - (/, u) + 2e (V· u, V . u), (8.5)
where e is a positive penalty parameter, and the variational problem is to find
the velocity U e making Jr;; stationary over [HJ (n) j3. Since it involves only
velocities, the penalty method is efficient. However, pressure is calculated
from the computed velocity field and thus the accuracy of pressure is lower
than that of the velocity. Another disadvantage is that the penalty parameter
e causes loss of accuracy for small values and for too large values prevents
convergence to the solution. Furthermore, the resulting algebraic system is
ill-conditioned. Therefore, this system cannot normally be solved by iterative
techniques.
8.1.2 The Mixed Galerkin/Least-Squares Method
For the Stokes equations, Hughes and his colleagues put additional least-
squares terms into the mixed Galerkin functional (8.3):
1
LM/L(U,P) = "2a(u, u) - (I, u) - (\7 . u,p)
_~h2( -Llu + \7p - I, -Llu + \7p - f)il - ~h([P], [P])f, (8.6)
where i'J denotes element interiors, i' denotes element interfaces, H is the
jump operator. a and (3 are nondimensional stability parameters, such that
for small parameters this new functional (8.6) has the desired coerciveness
over the finite element space H h X Sh in the sense that as Ilpllo --t 00 and
Ilull! --t 00, LM/L(U,P) = +00. This coerciveness implies unique solvability
of the problem without imposition of the LBB condition. Because it involves
least-squares terms, this method is named the mixed Galerkin/least-squares
method (Franca et al. 1989). This method is attractive because one obtains
convergence for arbitrary combinations of velocity and pressure interpola-
tions. However, when it is extended to solve the Navier-Stokes equations,
the resulting matrix is nonsymmetric and thus difficult to solve by iterative
methods for large-scale problems.
8.2 The Stokes Equations in the u - p - w Formulation

The difficulties associated with the Galerkin method prompted us to con-
sider the least-squares method. Since the momentum equation (8.la) involves
second-order derivatives of velocity, application of the least-squares method
to (8.1) requires the use of impractical continuously differentiable shape func-
tions. In order to avoid this problem, one has to consider the governing equa-
tions of incompressible flow in the form of a first-order system. Therefore, we
introduce the vorticity w = (wx,wy,w z ) = \7 x u as an additional indepen-
dent unknown vector, and rewrite the incompressible Stokes equations in the
following first-order velocity-pressure-vorticity formulation:
\7p+ \7 x w = I in il, (8.7a)
V·w=Q in il, (8.7b)
w-Vxu=O in il, (8.7c)
V·u=Q in il. (8.7d)
For simplicity the domain il is assumed to be open, bounded, and simply
connected with a piece-wise smooth boundary r.
At first glance, one may think that the compatibility constraint condition
(8.7b), i.e., the divergence of the vorticity vector equals zero, is 'redundant'.
In (8.7) there are eight equations involving only seven unknown variables, i.e.,
three velocity components u, v, w, the pressure p, and three vorticity compo-
nents wx , wy, W z ; also the definition of vorticity (8.7c) implies satisfaction
of (8.7b), and inclusion of (8.7b) appears to make system (8.7) "overdeter-
mined".
8.2 The Stokes Equations in the u - p - w Formulation 133
8.2.1 Determinacy and Ellipticity
We shall show that system (8.7) is really properly determined and elliptic
by using the same technique as discussed in Sect. 5.2. To proceed we may
consider the following first-order system for the Stokes equations:
\7p+ \7 x w = f in n, (8.8a)
\7 . w =. ° in n, (8.8b)
-w + \7 ¢ + \7 x u = 0 in n, (8.8c)
\7 . U = ° in n. (8.8d)
° °
Here we have introduced a dummy variable ¢ in (8.8c) , which satisfies the
r.
boundary condition ¢ = on Substituting (8.8c) into (8.8b) yields iJ.¢ = 0,
n.
thus ¢ == in It means that the introduction of ¢ does not change anything.
However, now there are eight unknowns and eight equations in (8.8). System
(8.8), and hence system (8.7) is indeed properly determined.
We note that in some cases specification of the boundary condition for
the dummy variable ¢ is unnecessary, and \7¢ == 0 can also be guaranteed,
see Sect. 8.2.2.
Now let us classify system (8.8). In Cartesian coordinates, system (8.8) is
given as
op oW z ow y - f
ox + oy - OZ - x,
op + oW x _ oW z - f
oy oz ox - y,
OWx oW y oW z _ 0
ox + oy + OZ - , (8.9)
o¢ ow OV
-w x +-+----0
ox oy oz - ,
o¢ ou ow
-w
y
+ -oy + -OZ - -ox = 0,
o¢ ov ou
-W z +- +- - - = 0,
oz ox oy
OU ov ow_ O
ox + oy + OZ - .
We may write (8.9) in standard matrix form:

au au au
Al a- + A2 a-y + A3 a-z + A~ = -f, (8.10)
x
in which
0 0 0 0 0 0 0 1
0 0 0 0 0 0 -1 0
0 0 0 0 0 1 0 0
0 0 0 0 1 0 0 0
AI= ,
0 0 0 1 0 0 0 0
0 0 -1 0 0 0 0 0
0 1 0 0 0 0 0 0
1 0 0 0 0 0 0 0
0 0 0 0 0 0 1 0
0 0 0 0 0 0 0 1
0 0 0 0 -1 0 0 0
0 0 0 0 0 1 0 0
A2= 0 0
,
0 0 1 0 0 0
0 0 0 1 0 0 0 0
-1 0 0 0 0 0 0 0
0 1 0 0 0 0 0 0
0 0 0 0 0 -1 0 0
0 0 0 0 1 0 0 0
0 0 0 0 0 0 0 1
0 0 0 0 0 0 1 0
A3= ,
0 -1 0 0 0 0 0 0
1 0 0 0 0 0 0 0
0 0 0 1 0 0 0 0
0 0 1 0 0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
0 0 0 0 0 0 0 0
A= ,
0 0 0 0 -1 0 0 0
0 0 0 0 0 -1 0 0
0 0 0 0 0 0 -1 0
0 0 0 0 0 0 0 0
fx u
fy v
fz w
o ¢
[= o :!!=
Wx
o Wy
o Wz
o P
The characteristic polynomial associated with system (8.10) is
0 0 0 0 0 -( 'T} ~
0 0 0 0 ( 0 -~ 'T}
0 0 0 0 -'T} ~ 0 (
0 0 0 0 ~ 'T} ( 0
det(Al~ + A 2'T} + A 3() = det
0 -( 0 0 0 0
'T} ~
( 0 -~ 'T} 0 0 0 0
-'T} ~ 0 ( 0 0 0 0
~ 'T} ( 0 0 0 0 0
= (e + 'T}2 + (2)4 i= 0
for all nonzero triplet (~, 'T}, (). System (8.10) or (8.8) and thus system (8.7)
is indeed elliptic. Ellipticity can be easily understood in the following way:
(8.8a) and (8.8b) constitute a div-curl system for vorticity, and (8.8c) and
(8.8d) constitute a div-curl system for velocity. These two div-curl systems
are coupled through the vorticity in (8.8c) and form the Stokes equations. In
other words, the principal part of the Stokes operator consists of two identical
elliptic div-curl operators.
The classification here is based on an ordinary method (see Sect. 4.7), so
(8.7b) is needed to guarantee the ellipticity.
8.2.2 Boundary Conditions
Before investigating boundary conditions, we first discuss the equivalence

between the velocity-pressure formulation (8.1) and the velocity-pressure-
vorticity formulation (8.7). System (8.7) is obtained from (8.1) by introducing
the vorticity w which is a linear combination of derivatives of the velocity
u, and thus reducing the order of differential operator. Reducing the order
of the differential equations does not generate spurious solutions. It means
that system (8.7) is equivalent to system (8.1), that is, the solution of (8.7)
is the solution of (8.1). Conversely, system (8.1) can be deduced from system
(8.7) by substituting the definition of the vorticity (8.7c) into (8.7a) and
(8. 7b). This type of substitution and combination does not generate spurious
solutions either. Therefore, the velocity-pressure formulation (8.1) and the
velocity-pressure-vorticity formulation (8.7) are mutually equivalent. This
equivalence implies that the permissible boundary conditions for system (8.7)
must be the permissible boundary conditions for system (B.1). The reverse
is also true. Consequently, it is not possible that some boundary conditions
that have been shown to be legitimate for system (B.7) might not be so for
system (B.1), and vice versa.
As will be pointed out in Sect. B.4, the nonlinear convective term has no
effect on the classification of the Navier-Stokes equations, hence the boundary
conditions for the Stokes equations are valid for the Navier-Stokes equations.
So we need. only analyze the Stokes equations (B.7) or (B.B). Since system
(B.B) is of first order, the boundary conditions do not involve derivatives of
unknowns. In other words, there are only algebraic boundary conditions for
the solution of first-order partial differential equations. This fact precludes
the mathematical legitimacy of specifying the derivative of pressure on the
boundary for system (B.7) or (B.1).
For convenience we rewrite the Stokes equations (B.B) as the following two
coupled generalized div-curl systems:
V'p+ V' x w = f in n, (B.lla)
V'·w=O in n, (B. lIb)

and
V'cP+V'xu=w in n, (B.12a)
V'·u=O in n. (B.12b)
If the vorticity w in (B.12a) is known, the structure of these two generalized
div-curl systems would be identical. In Chap. 5 we have thoroughly investi-
gated this type of div-curl system. In order to solve (B.ll) to obtain p and
w, on the boundary we should specify
(p and n· w) or nxw,
where n x w is counted as two conditions.
When w is known, to obtain cP and u, we may solve (B.12) with the
boundary conditions specified as
(cP and n· u) or nx u.
From the above considerations we can immediately list four permissible
combinations of boundary conditions ((1)-(4) in Table B.1) for the Stokes
equations. In Table B.1 for three-dimensional problems, we don't explicitly
include the boundary condition cP = 0 on r.If we understand that cP = 0 al-
ways goes with the condition of n·u and include this condition, then the total
number of boundary conditions is four for three-dimensional problems. Since
there are eight equations and eight unknowns in the first-order elliptic system
(B.B), we indeed need four boundary conditions on each fixed boundary. In
(5) and (6) of Table B.1 we list other possible choices which are not obtained
from the above arguments but still satisfy the requirement of four conditions
8.2 The Stokes Equations in the u - p- w Formulation 137
on the boundary. For two-dimensional problems, in the first-order velocity-

pressure-vorticity formulation there are four unknowns u, V,p, w, and four
equations, viz., two momentum equations, the definition of the vorticity and
the incompressibility equation; no dummy variable is involved. Therefore, two
boundary conditions are needed for two-dimensional problems. In Table 8.1
we also list corresponding boundary conditions for two-dimensional problems.
Table 8.1. Combination of boundary conditions

Boundary Conditions 3D 2D Remarks
(1) Normal velocity n·u n·u symmetric plane, inflow
Tangential vorticity nxw w
(2) Pressure p p inflow
Normal vorticity n·w
Normal velocity n·u n·u
(3) Pressure p p outflow
Tangential velocity nxu nxu
(4) Tangential velocity nxu nxu uniform outflow
(5) Velocity n·u n·u wall, inflow
nxu nxu
(6) Pressure p p outflow on a part of r
We shall rigorously prove the well-posedness of system (8.7) under the

boundary conditions (1)-(5) listed in Table 8.1. These boundary conditions
can be used on the entire boundary or on a part of the boundary r. For
simplicity we consider only one kind of homogeneous boundary conditions
specified on the entire boundary. The results can be extended to mixed and
inhomogeneous cases without difficulty.
Given the elliptic differential operator, the question of well-posedness re-
duces to verification of the permissibility of the boundary conditions. In this
section we try to identify the permissible boundary conditions by using an
elementary treatment. The mathematical tools used are the bounded inverse
theorem, Green's formulae (integration by parts) and the Friedrichs inequal-
ities for the div and curl operators established in Chap. 5. An elliptic system
with certain boundary conditions is considered to be well-posed, if one can
prove that the differential operator is bounded below, or equivalently, the
corresponding least-squares method leads to a coercive bilinear form. In the
following subsections, we discuss these boundary conditions case by case. We
choose case (1) as an example to show the technique for proving coerciveness.
The proof of coerciveness for cases (2)-(4) is similar to that for case (1), the
details can be found in Jiang et al. (1994b), and thus are omitted here. Case
(5) needs special attention.
(1) Symmetric Plane. The boundary conditions Un = 0, Wri = 0, W r 2 =
o (n . u = 0, n X w = 0) on r may be used for symmetric planes. The
inhomogeneous version may be used for inflow boundaries where the normal
component of the velocity and two tangential components of the vorticity
are prescribed. These conditions correspond to those in the velocity-pressure
formulation, in which the normal velocity and the tangential 'Stresses are
given. For example, let us consider a piece of boundary with n = (1,0,0).
We have that
u=o,
aU ow
wy=---=O,
az ax
av au
wz=---=O'
ax ay
From u = 0 on this boundary we know that
au_ O au=O
az - , ay .
Therefore,
ow -0 av = o.
ax - , ax
This implies that
au ow
az + -ax = 0,
'Yxz = -
av au
'Yxy = ax + Oy = O.
That is, the tangential strains and thus the tangential stresses are equal to
zero.
In order to guarantee the uniqueness of the solution of pressure p, we
require that the pressure has a zero mean over a as indicated in (8.2d), i.e.,
!npdx=O. (8.13)
For the Stokes equations (8.7), IIAUlio is defined as

IIAUII~ = IIVp + V X wll~ + IIV . wll~ + Ilw - V X ull~ + IIV . ull~,(8.14)
where U = (u,p,w) E [HI(a)J1, and U satisfies the corresponding homoge-
neous boundary conditions on r.
If we can prove that IIAUllo is coercive, i.e., bounded below in the HI
norm, then the existence and uniqueness of the solution to the Stokes problem
follow from the bounded inverse theorem (Theorem 4.1) in a standard man-
ner. Consequently, the corresponding finite element method has an optimal
rate of convergence for all unknowns by virtue of Theorem 4.8.
Now we examine the coerciveness of IIAUllo. Let us expand the first term
in (8.14). Since n x w = 0 on r, using Green's formula (B.6), we have
(V'p, V' x w) = (V'p, n x w) = 0, (8.15)
and thus
lIV'p + V' x wll5 = lIV'pll5 + IIV' x wll5 + 2(V'p, V' x w)
= lIV'pll5 + IIV' x w1l5· (8.16)
By virtue of (8.16) we have
IIAUII5 = lIV'pll5 + IIV' x wll5 + IIV' .wll5 + IIw - V' x ull5 + IIV' .uIl5·(8.17)
From (8.17) we have
IIAUII5 ~ lIV'pll5 = Ipli· (8.18)
Since p satisfies the zero mean constraint (8.13), from the Poincare inequality
(C.1) or (4.18) we have
Clpli ~ IIplli. (8.19)
CIIAUII5 ~ IIplli· (8.20)
From (8.17) we also have
IIAUII5 ~ IIV' x wll5 + IIV' . w1l5, (8.21 )
IIAUII5 ~ IIw - V' x u1l5, (8.22)
IIAUII6 ~ IIV' . u1l6· (8.23)

Since n x w = 0 on r, from the Friedrichs first div-curl inequality (Theorem
5.3) we have the inequality:
C(IIV' x wll6 + IIV' . w1l6) ~ IIwlli ~ IIw1l6· (8.24)
CIIAUII5 ~ IIwlli, (8.25)
and
or
C(IIAUII5)! ~ IIwllo. (8.26)
From (8.22) we have
(IIAUII~)t ~ 11- w + \1 X ullo. (8.27)

Combining (8.26) with (8.27) and using the triangle inequality we have
C{IIAUII~)t ~ IIwllo + 11- w + \1 x ullo ~ 11\1 x ullo,

that is
C{IIAUII~) ~ 11\1 x ull~· (8.28)
The combination of (8.23) and (8.28) leads to
CIIAUII~ ~ 11\1 x ull~ + 11\1 . ull~· (8.29)
Since n· u = 0 on r, again due to Theorem 5.3 we have the inequality:
C{II\1 x ull~ + 11\1· ull~) ~ lIull~. (8.30)
CIIAUII~ ~ lIull~. (8.31)
Bringing (8.20), (8.25) and (8.31) together we finally obtain
CIIAUII~ ~ Ilull~ + IIpll~ + IIwll~· (8.32)
This shows that IIAUlla is indeed bounded below in the HI norm and thus
coercive. Consequently, it is trivial to prove that this problem has a unique
solution that satisfies the following desired bound:
(8.33)
Also by the virtue of Theorem 4.8 the corresponding LSFEM solution based
on equal-order finite elements has an optimal rate of convergence for all vari-
ables.
(2) Inflow. The boundary conditions are p = 0, Un = 0, Wn = 0 (p =
0, n· u = 0, n· w = 0) on r. The related inhomogeneous case represents, for
example, the well developed inflow boundary, on which the normal velocity
is given, and the normal vorticity as well as the pressure are prescribed to be
zero. In two-dimensional cases, only Un and p are prescribed. The validity of
this group of boundary conditions would be difficult to demonstrate by the
Galerkin method.
By using p = 0 on r and (B.4) we can show the validity of (8.16). Due
to the fact that Un = 0 and Wn = 0, the Friedrichs first div-curl inequality
is valid. Therefore, coerciveness of IIAUlia can be proved in the same way as
in case (1).
(3) OutHow. The boundary conditions p = 0, UTI = 0, U T 2 = 0, Wn =

o (p = 0, n x u = 0, n· w = 0) on r may be employed for a well developed
exit boundary. Here four boundary conditions are prescribed. As shown in
Theorem 5.5, n x u = 0 on r analytically implies that
n· (V' x u) = 0 onr. (8.34)
It appears that there are too many boundary conditions. In the previous
cases, for the dummy variable e/> the boundary condition e/> = 0 on r is speci-
fied in advance, and hence only three boundary conditions are needed. In the
following we show that in the present case no boundary condition is needed
for the dummy variable e/>, so it is appropriate to specify four conditions.
By virtue of Theorem 5.2, (8.8c) is equivalent to the following equations
and boundary condition:
V' x (-w + V' e/> + V' xu) = 0 in n, (8.35a)
V' . (-w + V' e/> + V' xu) = 0 in n, (8.35b)
n . (-w + V' e/> + V' xu) = 0 on r. (8.35c)
Taking into account (8.8b) and V' . V' x u = 0, (8.35b) becomes
in n. (8.36a)
Considering Wn = 0 on rand (8.34), boundary condition (8.35c) becomes
oe/> = 0 on r. (8.36b)
on
Equations (8.36a) and (8.36b) imply that e/> is a constant or V'e/> == 0 in n.
Therefore, four conditions in the present case automatically guarantee that
the dummy variable e/> can be eliminated in (8.8c).
The boundary conditions in this case correspond to those in the velocity-
pressure formulation, in which the tangential velocity components and the
normal stress are prescribed. To show this let us consider, for example, the
surface with n = (1,0,0). Since v = w = 0, we have
ov = 0, ow = o.
oy oz
Hence from the continuity of velocity we know that
ou =0.
ox
Therefore,
ou
Ux = P + 211 ox = 0,
that is, the normal stress is equal to zero.
By using p = 0 on rand (B.4) we can show the validity of (8.16). Due to
the fact that n x u = 0 and Wn = 0, the Friedrichs first div-curl inequality is
valid. Therefore, the coerciveness of IIAUI15 can be proved in the same way
as in case (1).
If we really specify that the dummy variable ¢J be zero on r in advance,
°
then only three boundary conditions are needed, and Wn = can be imposed
in a weak sense. In this case, the least-squares method minimizes the following
functional:
J(U) = lIV'p+ V' x wll~ + IIV'· wll~ + IIw - V' x ull~ + IIV'· ull~
+ lin . WIl~/2,r' (8.37)
and coerciveness can still be proved. For details see Jiang et al. (1994b).
0, WTI = 0, W T 2 = °
(4) Uniform Outflow. The boundary conditions are UTI = 0, U T 2 =
(n x u = 0, n x w = 0) on r. For the same reason
°
as explained in the previous case, ¢J == is guaranteed even if no boundary
condition for ¢J is given. The coerciveness of AU can be proved by just
following the steps in case (1).
(5) Wall. The boundary conditions
0, n x u = 0) on r
Un = 0, UTI = 0, U T 2 = °
(n . u =
are the so called no slip conditions on the wall. This is
a standard case of the permissible velocity boundary conditions. Bochev and
Gunzburger (1994) pointed out that in this case the full HI coerciveness of
AU does not hold. To confirm this, they consider a two-dimensional situation:
u = 0, p = sin(nx)eny and W = W z = -cos(nx)eny • Since curl W + V'p = 0
(see the definition of curl in Sect. 6.4.1),
IIAUII~ = IlwlI~ = 0(1).
However, IIwII~ = 0(n 2 ). Thus it is not true that
CIIAUII5 ~ IIwlI~·
Therefore, we shall try to find a proper norm to bound IIAUlio from below.
It is well known that the Stokes equations (8.1) have a unique solution under
the standard velocity boundary condition. This can be proved by using the
Galerkin method, see e.g., Girault and Raviart (1986). The first-order version
of the Stokes equations (8.7) is equivalent to (8.1), hence (8.7) must have a
unique solution in the subspace of [L 2 (n)J3 x L 2 (n) x [L 2 (n)J3 under the
velocity boundary conditions. By virtue of Theorem 4.6, we have
CIIAUII~ ~ Ilull~ + IIpll~ + Ilwll~, (8.38)
and particularly
CIIAUII~ ~ Ilwll~· (8.39)
On the other hand, we have the definition of IIAUllo:
IIAUII~ = IIV'p + V' x wll5 + IIV' . wll5 + IIw - V' x ull5 + IIV' . uIl5,(8.14)
and therefore
IIAUII~ ~ IIw - V' x ull~, (8.40)
IIAUII~ ~ IIV' . ull~· (8.41)

Using (8.39) and (8.40) we can show that
CIIAUII~ ~ IIV' x ull~. (8.42)
Combining (8.41) and (8.42) and using Theorem 5.3 we have
ClIAUII~ ~ lIull~. (8.43)
The combination of (8.38) with (8.43) yields
CIIAUII~ ~ Ilull~ + Ilpll~ + Ilwll~· (8.44)
Consequently, the solution satisfies the following bound:
Ilulll + IIpllo + IIwllo :::; Cllfllo. (8.45)
The inequality (8.44) implies that AU is bounded below in a less desired
norm, that is, the pressure and the vorticity are measured in a L2 norm.
For this reason, the corresponding LSFEM with equal interpolations has an
optimal convergence for the velocity, and is suboptimal for the pressure and
vorticity.
°p(6)(p Pressure
=
=
0,
and Vorticity. In this case p 0, = 0,Wn =0, W7'l
0, n·w 0, n x w 0) are given on r. Using the boundary conditions
Wn = °one can solve (8.11) to obtain p and However, cannot
= =
w.
=
u
W7'2 =
be uniquely determined by (8.12). Therefore, this combination can only be

used on a part of the boundary. In this situation, at least on a part of the
boundary n . u or n x u should be given.
8.2.3 Application of LSFEM
Let us apply the least-squares method to the two-dimensional Stokes equa-

tions:
au+av=o in il, (8.46a)
ax ay
ap + aw = fx in il, (8.46b)
ax ay
ap_aw_ j
ay ax- Y in il, (8.46c)
au av
w+---=o in il, (8.46d)
ay ax
where w denotes the z-component of w, and il is a bounded domain in lR?
with piecewise smooth boundary r. The boundary conditions listed in Table
8.1 should be supplemented to complete the definition of the boundary-value
problem. They may be written as:
(1) Un, W given,

(2) p, Un given,
(3) p, Utgiven,
(4) Ut, w given,
(5) Un, Ut given,
(6) p, w given.
We can write (8.46) in the general form of the first-order system:
Ay=l
or
au
Al a; + A2
au
a;
+ AoY = I, (8.47)
0
where
0 0 1 0
A,~ (~ 0
0
-1
1
0
0
~1 ).
A2~ 0
0
0
0
1
0 D·
Ao=
Coo
o 0)
000
0000 ' l~ (~). Y~(D·
000 1
The LSFEM formulation for equal-order interpolations is given in Sect.
4.8. For the Stokes equations, the element matrices and vectors are computed
from the following submatrices:
Usually we use Gaussian quadrature to evaluate the coefficients of K e

and Fe. As discussed in Sect. 4.11.3, the number of Gaussian points required
for the solution is of importance. The least-squares method with Gaussian
quadrature is equivalent to the least-squares collocation method. Therefore,
the number of collocation points (Gaussian points) should be compatible
with the number of unknowns to get good results. In general, exact inte-
gration in the LSFEM computation leads to underestimated and inaccurate
solutions which even violate local and global mass conservation. The trouble
encountered by Nelson and Chang (1995) is typically caused by the use of
full integration. According to the principle given in (4.95), it is easy to verify
that the quadratic triangle with three-point quadrature used by them is not
suitable for LSFEM.
The importance of the use of reduced integration can be explained by

another point of view. Inspection of (8.46d) shows that the vorticity wand
the derivatives of velocity components u and v appear simultaneously. When
equal-order interpolations are employed, it is impracticable to reduce the
residual of this equation to zero throughout. For this reason, reduced inte-
gration is necessary (see also Zienkiewicz et al. 1974).
We remark that non-equal-order finite elements are also applicable for
the solution of the Stokes equations. For example, one may use quadratic
elements for velocity, and linear elements for pressure and vorticity. In this
case, regular integration can be employed.
To verify the theoretical error estimate given in the preceding section, we
consider a model problem in a unit square taken from Oden and Jacquotte
(1984). The Stokes equations have an exact solution with the polynomial
divergence-free velocity field
u(x, y) = x 2(1 - x)2(2y - 6y2 + 4y3),
v(x, y) = y2(1 - y)2( -2x + 6x 2 - 4x 3 ),

the pressure field
p(x, y) = x 2 - y2 - 0.25,
and the vorticity field
w(x, y) = -x 2(1 - x)2(2 - 12y + 12y2) + y2(1 - y)2( -2 + 12x - 12x2)
with two groups of boundary conditions shown in Fig. 8.1. One group consists
of mixed boundary conditions including the first four cases in Table 8.l.
Another one has a pure velocity boundary condition.
Ca) Mixed BC Cb) Velocity BC

p,v u,v
U,O) v, 0) u,v u,v
p,u u,v
Fig. 8.la,b. Boundary conditions for the Stokes equations (from Jiang 1998)
Uniform meshes with bilinear element are used. We employ both 2 x 2

and one-point Gaussian quadrature. The numerical results of the rate of
convergence are shown in Fig. 8.2. We have confirmed that in the mixed case
Ileull ~ Ch 2 , Ilepll ~ Ch 2 , Ilewll ~ Ch 2 ,
that is, all variables u, v, p, and w converge in L2 norm at the optimal rate as
predicted by the theory. From Fig. 8.2. we also infer that in the pure velocity
boundary condition case, the rate of convergence for velocity is optimal, but
that for pressure and vorticity is lower than optimal. This is consistent with
the theory given in Sect. 8.2.2.
Driven-Cavity Flow. The least-squares method has also been tested by
solving a driven-cavity flow (Jiang and Chang 1990). In this calculation,
nonuniform 50 x 50 bilinear elements and one-point Gaussian quadrature are
used. The no slip boundary condition u = 0, v = 0 is applied on all boundaries
except at the upper boundary where u = 1 and v = O. A pressure condition
p = 0 is specified at the middle point of the lower boundary. Figure 8.3 shows
the computed results of streamlines, pressure contours, vorticity contours and
velocity vectors. We note that the two corner eddies are clearly shown.
We note that when reduced integration is used, the nodal values of pres-
sure and vorticity have some oscillations. However, their solutions at the
Gaussian points are smooth, therefore we reinterpolate the results at the
Gaussian points to obtain the correct solutions at the nodal points by the
method of area averaging. That is, the final nodal value is the area average
of the values at the Gaussian points of all elements surrounding that node.
8.3 The Navier-Stokes Equations

in the u - p - w Formulation
The steady-state laminar incompressible Navier-Stokes equations are often

written in the velocity-pressure formulation: Find the velocity u = (u, v, w)
and the pressure p such that
1
u· Vu + Vp - Re Llu =J in n, (8.49a)
in n. (8.49b)
Here all variables are nondimensionalized, and Re denotes the Reynolds num-
ber, defined as
Re= UL,
11
where L is a reference length, U a reference velocity and 11 the kinematic

viscosity.
8.3 The Navier-Stokes Equations in the u - p - w Formulation 147
(a) Mixed Be (b) Mixed Be

2 by 2 quadrature l-point quadrature
4.0 .----~--....---~--.. 4.0 .----~---.--~----.
3.0 3.0
~ ~
Ci
~ ~
2.0 2.0
--velocity --velocity
pressu re
I>--EI pressure
I>--EI
-vorticity -vorticity
1.0 1.0
0.0 1.0 2.0 0.0 1.0 2.0
-Log(h) -Log(h)
(c) Velocity Be (d) Velocity Be

2 by 2 quadrature l-point quadrature
4.0 4.0
slope=2
(l'~~1
3.0 3.0
~
Ci
~
2.0 2.0
--velocity
pressure
I>--EI
-vorticity
1.0 L -_ _ ~_---' __ ~ _ _--'
1.0
0.0 1.0 2.0 0.0 1.0 2.0
-Log(h) -Log(h)
Fig. 8.2a-d. Computed convergence rate for the Stokes equations (from Jiang
1998)
bL-________________ ~
, .
, , " , .. " " ' 1
.......
""
\\" '~/"
...... ~,~""
, , ' , ... - - ... '" "'11111
\ \ \ \ , , ' , ... - - , ""'1/1111
"" ............. - .- , , " , , "~"~
: . : : . ':'
c~ ____ ~~ ____ ____
~ ~
Fig. 8.3. Computed results for the cavity Stokes flow: (a) Streamline (b) Pressure
(c) Vorticity (d) Velocity (From Jiang and Chang 1990)
As explained in Sect. 8.2, in order to use the LSFEM to obtain an approx-

imate solution, we introduce the vorticity w = 'V x u as an independent un-
known vector, and rewrite the incompressible Navier-Stokes equations (8.49)
in the following first-order quasi-linear velocity-pressure--vorticity formula-
tion:
1
U· 'Vu + 'Vp + Re 'V x w = f in D, (8.50a)
'V·w=O in D, (8.50b)
w-'Vxu=O in D, (8.50c)
'V . u = 0 in D. (8.50d)
These equations need to be supplemented by boundary conditions to complete

the definition of the boundary value problem. According to the explanation
in Sect. 8.4, the non-linear convective term u . 'Vu in the Navier-Stokes
equations has no effect on the classification, and thus the boundary conditions
required by the Navier-Stokes equations are exactly the same as for the Stokes
equations. Therefore, the boundary conditions listed in Table 8.1 can be used
for the Navier-Stokes equations (8.50) without any modification.
Before application of LSFEM, the convective term U· V'u in the momen-
tum equation (8.50a) should be linearized by using successive substitution or
Newton's method. In the successive substitution method, (8.50a) is linearized
as
. 1
Uo . V'u + V'p + Re V' x w = f in n. (8.51 )
Here the superscript "0" indicates that the value of the corresponding variable
is known from the previous calculation step. In Newton's method, (8.50a) is
linearized as
1
Uo . V'u + u . V'uo + V'p + Re V' x w = f + Uo . V'uo in n. (8.52)
Successive substitution has slow convergence and a large radius of conver-

gence, and thus is often used for an initial linearization. Newton's method
converges fast, but has a small radius of convergence, and hence is preferable
when a close guess to the solution is available.
8.3.1 Two-Dimensional Case
The general first-order Navier-Stokes equations (8.50) take the following form
for two-dimensional problems in rectangular coordinates:
8u+8v =0 in n, (8.53a)
8x 8y
8u 8u 8p 18w
u Bx +v By + Bx + Re By = Ix in n, (8.53b)
8v 8v 8p 18w
u 8x +v 8y + 8y - Re 8x = Iy in n, (8.53c)
8u 8v
w+---=O
8y 8x
in n. (8.53d)
By using, for example, Newton's method, the two-dimensional Navier-

Stokes equations (8.53) can be linearized as:
8u+8v=0 in n, (8.54a)
8x 8y
8u 8u 8uo 8uo 8p 1 8w
Uo -+vo -+u - + v - + - + - -
8x 8y 8x 8y 8x Re 8y
8uo 8uo
= Ix +uo 8x +vo 8y in n, (8.54b)
av av avo avo ap 1 aw
uo -+vo -+u - + v - + - - - -
ax ay ax ay ay Re ax
avo avo
= fy + Uo ax + Vo ay in fl, (8.54c)
au av
w+- - - =0 in Q. (8.54d)
ay ax
We can write (8.54) in standard matrix form (8.47) of the first-order system,
(f 1)
in which
_~, )
0 0 1 0
A 1=
(1 0 1
Uo 0
-1 0 0
Re
, 0 0
A2~
Vo 1 o '
0 0 0
0 0
~}
~ ~ 0
ay
Ao= ( ~
0
~
ax ay 0
0 0 0
[= (f+U~+V~)
x ax
f y +u ax
ay
0
ay ,
0 ~+v 0 ~
0
0
~~ (D (8.55)
Two-Dimensional Driven-Cavity Flow. Now we are ready to use the

LSFEM given in Sect. 4.8. The LSFEM has been tested by solving the two-
dimensional driven-cavity and the backward-facing step flow problems (Jiang
1992). In these numerical experiments, a grid of 50 x 50 nonuniform bilinear
elements with one-point quadrature is employed for the driven-cavity prob-
lem. The numerical results at Re = 10 000 are in good agreement with the
fine mesh 257 x 257 results of Ghia et al. (1982).
A large-scale LSFEM computation has also been performed for the two-
dimensional driven-cavity problem. The definition of driven-cavity problem
is as follows: the boundary conditions for (u, v) are u = v = 0 on all solid
walls and u = 1, v = 0 on the top lid. Also p = 0 is specified at the center
of the bottom. No boundary conditions are given for the vorticity. At first
we divide the cavity into 50 x 50 uniform bilinear elements with the size
h = 0.02. In order to take care of the singularity at the top corners where
the absolute value of the vorticity goes to infinite, we again divide the top
layer of elements into two thin layers with thickness 0.005 and 0.015 units,
respectively.
The matrix-free Jacobi preconditioned conjugate gradient method, see
Chap. 15 for details, is employed for the solution of the resulting linear alge-
braic equations. One-point Gaussian quadrature is used in all computation.

At first the calculation is for the flow at Re = 10000 with this 50 x 51
mesh. u = v = a is used as an initial guess for Re = 100, the converged
solution for Re = 100 is used as an initial guess for Re = 200, and so on until
Re = 10 000. By using this kind of continuation method, the computation
could be done on a PC-386 with 4M bytes memory in a few hours. The mesh is
then refined to 100 x 102 elements, and the previous solution is interpolated as
the initial guess for the conjugate gradient method. This procedure is applied
sequentially until the converged solution is obtained for the 400 x 408 mesh
in which most elements have the size h = 0.0025, and in the top layer the
thickness of the elements is 0.0005. The storage required for this problem is
less than 8M words on a CRAY-YMP. The quality of the solution can be
judged from the L2 norm of the residual which is 6.26 x 10- 7 .
Table 8.2. Velocity results for two-dimensional cavity at Re = 10000; u-velocity

along vertical line through geometric center, v-velocity along horizontal line through
geometric center (From Jiang et al. 1994a)
y u x v
1.0000 1.0000 1.0000 0.0000
0.9775 0.4884 0.9725 -0.5669
0.9700 0.4959 0.9675 -0.5777
0.9625 0.4996 0.9625 -0.5603
0.9525 0.4949 0.9600 -0.5463
0.8500 0.3494 0.9525 -0.5037
0.7300 0.2016 0.9450 -0.4752
0.6200 0.0868 0.9050 -0.4277
0.4500 -0.0727 0.8050 -0.3090
0.2800 -0.2312 0.5000 0.0083
0.1700 -0.3356 0.2500 0.2571
0.1000 -0.3969 0.1500 0.3645
0.0800 -0.4198 0.1000 0.4190
0.0700 -0.4363 0.0700 0.4567
0.0625 -0.4485 0.0600 0.4628
0.0525 -0.4554 0.0500 0.4567
0.0400 -0.4286 0.0400 0.4329
0.0300 -0.3704 0.0200 0.3278
0.0000 0.0000 0.0000 0.0000
The profile of the horizontal velocity along the vertical center line and the
profile of the vertical velocity along the horizontal centerline of the driven-
cavity for Re = 10 000 are illustrated in Fig. 8.4a and b, respectively. Overall,
the profile compares well with that given by Ghia et al. (1982), except in the
boundary layers. In our results, the boundary layer phenomena are more pro-
nounced. Table 8.2 lists the numerical values of selected nodes corresponding
1.0...-----r----J"""---,
0.4 - - pre... nt
0.8 --pAMol
• Ghio et al
• Chia Itt 01
0.2
0.8 ~
} 0.0
f
0.4 ~
~.2
~.4
~.5
0.0 O.~ 1.0 0.0 0.2 0.4 0 .6 0.8 \ .0
(a) (b)
(e) (d)
Fig. 8.4. Numerical results for two-dimensional cavity flow at Re = 10 000: (a) Hor-
izontal velocity profile, (b) Vertical velocity profile, (c) Streamlines, (d) Vorticity
contours (From Jiang et al. 1994a)
to the velocity profiles shown in Fig. 8.4a and b. The computed streamlines
and vorticity contours are given in Fig. 8.4c and d.
8.3.2 Axisymmetric Case
The general, incompressible Navier-Stokes equations (8.50) can be applied

to the study of axisymmetric fluid flows . The first-order system in cylindrical
coordinates is given by:
au av v
-az + -ar + -r = 0 in fl, (8.56a)
au au ap law w
u az + v ar + az + Re (ar + -;) = fz in fl, (8.56b)
8v 8v 8p l8w
u 8z +v 8r + 8r - Re 8z = fr
in n, (8.56c)
8u 8v
w+---=O in n, (8.56d)
8r 8z
where z denote the axial coordinate, r the radial coordinate, u the velocity
component in the axial direction, and v the velocity in the radial direction.
For example, when (8.56) is linearized by using simple substitution, the
coefficient matrices in the standard first-order system form of (8.47) are
1o 0 0) 0 .l.
Re
vo 1 0 '
o 0 0
1r 0
o 0 1 1
o )
ReT (8.57)
o 0 o '
o 0 1
8.3.3 Three-Dimensional Case
In Cartesian coordinates, the three-dimensional incompressible Navier-Stokes

equations (8.50) take the following form:
u 8u +v 8u +w 8u + 8p +~(8Wz _ 8W y ) =fx in n, (8.58a)

8x 8y 8z 8x Re 8y 8z
8v 8v 8v 8p 1 (8W x
u-+v-+w-+-+- - - - -
8x 8y 8z 8y Re 8z
8Wz)
8x
= fy in n, (8.58b)
u8w
- + v8w
- + w8w
- +8p
- + 1- (8w
-- y
-8Wx)
- =
fz in n, (8.58c)
8x 8y 8z 8z Re 8x 8y
8wx + 8w y + 8w z = 0 (8.58d)
8x 8y 8z in n,
8w 8v
Wx - -
8y
+ -8z = 0 in n, (8.58e)
8u 8w
Wy - 8z + 8x = 0 in n, (8.58f)
8v 8u
Wz - - +- = 0 in n, (8.58g)
8x 8y
8u+8v+8w =0 in n. (8.58h)
8x 8y 8z
In order to use the LSFEM given in Sect. 4.8, system (8.58) should be
linearized, for example by Newton's method, and written in standard matrix
form (8.10) in which:
Uo 0 0 0 0 0 1
1
0 Uo 0 0 0 -Re 0
1
0 0 Uo 0 Re 0 0
0 0 0 1 0 0 0
A1 = 0 0
0 0 0 0 0
0 0 -1 0 0 0 0
0 1 0 0 0 0 0
1 0 0 0 0 0 0
1
Vo 0 0 0 0 Re 0
0 Vo 0 0 0 0 1
1
0 0 Vo -Re 0 0 0
0 0 0 0 1 0 0
A2 = 0 0 1 0 0 0 0
0 0 0 0 0 0 0
-1 0 0 0 0 0 0
0 1 0 0 0 0 0
1
Wo 0 0 0 -Re 0 0
1
0 Wo 0 Re 0 0 0
0 0 Wo 0 0 0 1
0 0 0 0 0 1 0
A3=
0 -1 0 0 0 0 0
1 0 0 0 0 0 0
0 0 0 0 0 0 0
0 0 1 0 0 0 0
~ ~ ~ 0 0 0 0
8x 8y 8z
~ ~ ~ 0 0 0 0
8x 8y 8z
~ ~ ~ 0 0 0 0
8x 8y 8z
A= 0 0 0 0 0 0 0
0 0 0 -1 0 0 0
0 0 0 0 -1 0 0
0 0 0 0 0 -1 0
0 0 0 0 0 0 0
8.3 The Navier-Stokes Equations in the 'U - P - w Formulation 155
f x +u0 ~+v
8x 0 ~+w
y 0 ~z u
f y +u0 ~+v
8x ~+w
0 8y ~
0 8z v
f z +u0 ~+v 0 ~+w 0 ~
w
t=
x y 8z
0 Y.= Wx (8.59)
0 Wy
o· Wz
0 P
Three-Dimensional Driven-Cavity Flow. The least-squares solution of
the cubic driven-cavity problem was obtained by Jiang et al. (1994a) using
formulation (8.59) and also by Tang et al. (1995) using the time marching
method. Almost all previous researchers used time-marching methods, and
claimed that steady-state solutions had been obtained for Re = 2000. Also
no Taylor-Gortler-like vortices were reported for Re < 2000 by previous
researchers.
Koseff and Street (1984a,b,c) conducted systematic experiments of flow
in a driven-cavity. Their experiments reveal that the flow field is highly un-
steady and possesses significant secondary motions (end-wall corner eddies
and Taylor-Gortler-like vortices). They mention that the flow is not stable
at Re = 2000 and show results for Re = 3200. However, a very important cri-
terion, the Reynolds number at which the flow becomes unstable, had never
been reported.
In a study conducted by Jiang et al. (1994a), the computation is carried
out up to Re = 3200. The boundary conditions are as follows: u = 1, v =
w = 0 are specified on the top driven surface (y = 1.0), and u = v = w = 0
on all solid walls (Fig. 8.5). At the center of the bottom (x = 0.5, y =
0.0, z = 0.5), p = 0 is specified. The mesh is based on 50 x 50 x 50 uniform
Fig. 8.5. Geometry and boundary conditions of cubic cavity flow

trilinear elements. In order to take care of corner singularities, two layers of

thin elements are added close to the upper driven surface; so it had 50 x
52 x 50 elements. One-point Gaussian quadrature is used for computing the
product of the element matrix and the element vector in the matrix-free
Jacobi preconditioned conjugate gradient method. Reduced integration not
only guarantees the accuracy of the solution, but also saves a significant
amount of computing time when an iterative solver is employed. Due to the
use of the matrix-free conjugate gradient method, these problems are solved
using less than 13M words of memory on a CRAY-YMP.
(a) (b) (e)
(d) (e) (e)
(i)
(g) (h)
Fig. 8.6. Numerical results for three-dimensional cavity flow at Re = 1000: (a)
Flow pattern, (b) Vorticity(wx ) contours, (c) Pressure contour at x=0.5; (d) Flow
pattern, (e) Vorticity(wx ) contours , (f) Pressure contour at y=0.5; (g) Flow pat-
tern, (h) Vorticity(wx ) contours, (i) Pressure contour at z=0.5 (From Jiang et al.
1994a)
It is found that up to Re = 3200 the flow is symmetrical about the

plane z = 0.5. This observation is consistent with the results of numerical
simulation published by other researchers. It is also found that small eddies
might appear near the center part of the cube. Therefore, an almost-uniform
50 x 52 x 25 mesh for a half domain imposing the boundary conditions
w = 0, Wx = Wy = 0
on the symmetric plane z = 0.5 is chosen for the further computation.
The Reynolds numbers considered are 100, 400, and 1000. The solution
of the Stokes equations is taken as an initial guess for the calculation at
Re = 100 which is used as an initial guess for Re = 400, and so on. In
order to control the solution time on the computer, the number of conjugate
gradient iterations is fixed at between 3500 to 8000 in each linearized step.
Since this is a nonlinear problem, it is not necessary to obtain a 'converged'
solution in each Newton step.
Starting from the results at Re = 400, after ten Newton's steps, the
results at Re = 1000 are obtained and comparable with the results of the
fine stretched mesh 81 x 81 x 81 by Iwatsu et al. (1989a,b). After twenty
Newton's steps the results depicted in Fig. 8.6 are obtained which shows the
corner vortices and the Taylor-Gortler-like vortices at the bottom region of
the cavity at Re = 1000. At this moment, the 12 norm of the residual is
about 6.0 x 10- 5 . Figure 8.7 displays the velocity profiles of the u component
on the vertical centerline of the plane z = 0.5 for Re = 100,400 and 1000.
Table 8.3 lists some nodal values corresponding to the profiles of u velocity
in Fig. 8.7.
The computation is continued for Re = 1000. After twenty-four Newton's
steps, a pair of Taylor-Gortler-like vortices near the central part of the bot-
1.0
0.8 • Re-100
• Re-400
Re=1000
0.6
:0-
0.4-
0.2
0.0
-0.5 0.0 0.5 1.0
u-velocity
Fig. 8.7. Profiles of u velocity for three-dimensional cavity flow at Re = 100,400

and 1000 (From Jiang et al. 1994a)
Table 8.3. u-velocity along vertical line through geometric center of three-
dimensional cavity (From Jiang et al. 1994a)
Re
y 100 400 1000
1.0000 1.0000 1.0000 1.0000
0.9600 0.7159 0.5563 0.4119
0.9200 0.4704 0.2868 0.1912
0.8800 0.2841 0.1730 0.1389
0.8400 0.1516 0.1285 0.1148
0.8000 0.0577 0.1052 0.0959
0.7600 -0.0119 0.0875 0.0798
0.7200 -0.0660 0.0714 0.0661
0.6800 -0.1097 0.0550 0.0540
0.6400 -0.1452 0.0369 0.0432
0.6000 -0.1732 0.0159 0.0328
0.5600 -0.1937 -0.0092 0.0224
0.5200 -0.2067 -0.0391 0.0120
0.4800 -0.2120 -0.0734 0.0015
0.4400 -0.2100 -0.1113 -0.0099
0.4000 -0.2017 -0.1505 -0.0242
0.3600 -0.1886 -0.1872 -0.0435
0.3200 -0.1722 -0.2159 -0.0701
0.2800 -0.1539 -0.2319 -0.1063
0.2600 -0.1444 -0.2341 -0.1284
0.2400 -0.1349 -0.2324 -0.1528
0.2000 -0.1155 -0.2176 -0.2049
0.1600 -0.0955 -0.1903 -0.2512
0.1200 -0.0748 -0.1540 -0.2754
0.0800 -0.0529 -0.1111 -0.2611
0.0400 -0.0286 -0.0608 -0.1812
0.0000 0.0000 0.0000 0.0000
tom shown in Fig. 8.8 become more clearer and stronger. The L2 norm of the
residual remained around 6.0 x 10- 5 • The maximum difference of the velocity
magnitudes between the results of two sequential Newton's steps is around
9.0 x 10-3 and couldn't be further reduced. Newton's method employed here
may be considered as an implicit time-marching method with a very large
time step. The fact that the method cannot lead to a convergent solution may
imply that at Re = 1000 the flow in the cavity is not stable. The appearance
of the Taylor-Gortler-like vortices is consistent with this instability.
It appears that the results with LSFEM are highly accurate and also
predict instability at a lower Reynolds number than shown by previous works
in this field.
Three-Dimensional Backward-Facing Step Flow. The LSFEM based
on (8.59) is further tested by solving the backward-facing step flow problem
(Jiang et al. 1995). It is well known that for backward-facing step flows,
the reattachment length obtained by two-dimensional calculations cannot
8.3 The Navier- Stokes Equations in the u - p - w Formulation 159
Fig. 8.8. Velocity vector at x = 0.5 for three-dimensional cavity flow at Re = 1000
(From Jiang et al. 1994a)
match experimental results for Re ~ 450. The deviations of two-dimensional

simulations from experimental results are mainly due to the growing effects
of three-dimensionality as the Reynolds number increases.
Relatively few people have solved the three-dimensional backward-facing
step flow problem as compared to the cavity problem. Ku et al (1987, 1989)
applied a pseudospectral matrix element method to simulate the same three-
dimensional problem only up to Re = 450 by employing the velocity-pressure
formulation. A simplified marker-and-cell finite-difference scheme was applied
by Ikohagi et al. (1992) for the same three-dimensional problem in curvilinear
coordinates. However, no comparisons were made by them with the experi-
mental data. The recent numerical simulations of the same problem presented
by Williams and Baker (1997) are compared well with the experimental data.
But the implementation of their Taylor-Galerkin finite element method might
be cumbersome.
The geometry and boundary conditions for the three-dimensional model
are shown in Fig. 8.9. Due to symmetry, only half of the problem is solved.
The step has a height 8=4.9 mm, and the inlet boundary is located 3.5 step
heights upstream of this step. The channel downstream of the step has a
height of 10.1 mm that provides an expansion ratio of 1 : 1.9423, and the
half-span W = 90 mm that provides an aspect ratio for the test channel of
18 : 1.01. These data are taken from the experiment conducted by Armaly et
al. (1982). The length L measured from the step to the end of the calculation
domain is 45 step heights, which is 3.11 times the maximum experimentally
mid-plane
\
Fig. B.9. Backward-facing step geometry and boundary conditions
o 5 10 15 20
Fig. B.10. Nonuniform mesh (xy plane and xz plane) (From Jiang et al. 1995)
measured reattachment length of the primary recirculation region for the

Renolds numbers of interest. The Reynolds number Re = UD /v is based on
the hydraulic diameter (D = lO.4mm) of the inlet channel, and the average
velocity is two-thirds of the maximum inlet velocity (normalized to unity) on
the mid-span plane. The various Reynolds numbers are obtained by varying
the kinematic viscosity v. The velocity profiles obtained by solving the two-
dimensional Poisson equation for a well-developed flow are imposed as the
inflow boundary conditions. The outflow boundary conditions are defined
such that a parallel flow and a constant pressure field exist.
The computation is performed on a mesh with 54400 nonuniform trilinear
elements (6 x 16 x 20 for the inlet channel and 82 x 32 x 20 for the test
channel). The smallest element has a size of 0.1251, 0.05714 and 0.421 steps
26
(a) 7/W.,f).8974
14 20 24 26
(b) :jWJ.J.76
26
(e) 7/W=(J.0 (mid-plane)
Fig. 8.11. Velocity vectors for Re=800 (From Jiang et a1. 1995)
x/s-()
(e) l/W-().O (mid-plane)
Fig. 8.12. Pressure contours for Re=800 (From Jiang et al. 1995)
y
:0.4
_ _= _-_
--_---0.2
--:-:---=------------;
.~:::;:-=-=-=-:--0
-0.2 - ___":.'
0.2=
-0_
~0.8~0.6= 121-0 6!Tf-O

0.4~)
=
4: -
I •••••••• SiS, - ... I'
~---O4
i~·(:-~~i~
0-4-!r"'"
_'"-== - I
~~-O.2 .
-c._
~ -3;;.:.·2.6 ... ·2.,;:;.......;- . - ' . -. . \~ . 1.8 1
Z=6.5 (b) 9.0
in the x, y and z direction individually, while the largest element has a size
of 3.0, 0.06938 and 1.68367 steps respectively.
Figure 8.10 shows the nonuniform mesh which has more elements close to
the sidewall, the floor and the roof in the test channel. The matrix-free Jacobi
preconditioned conjugate gradient method is employed for the solution of the
resulting algebraic equations. One-point Gaussian quadrature is used for the
evaluation of element matrices. The solution of the Stokes equations is taken
as an initial guess for the case of Re = 100, and the 'converged' solution
is then used as an initial guess for higher Reynolds numbers. 'Converged'
solutions are those whose L2 norm of the residuals less than 1.0 x 10- 4 .
The problem is solved using about 5M words of memory on a CRAY-YMP.
8.3 The Navier- Stokes Equations in the u - p - w Formulation 163
-~ ~-
-~.I
Y
;;,;,j ~
;.:
::::; -
l
~ ~
~ ~ ~ ~
\
~
Z=6.S 9.0
(a)
-=0.1 Y
-- -~- -- -
- .,..--
Jj JJ
~ ~ ;:::
~ ,
II
~
~
-~
Z=6.S 9.0
(b)
- =0.1 Y
,1
-
- -
::::::
- - - -
t
:::::: ~
:;:::
~ ~
l
~
~ ::::
;
l
Z=6.S
~ §.
~ ~
~
~
~
9.0
(e)
Fig. 8.14. Velocity vectors for Re=800 at x/S=(a) 6.25, (b) 9.0, (c) 12.25 (From
Jiang et al. 1995)
Simulation of the three-dimensional model is performed from Re = 100 to

800.
This three-dimensional simulation is mainly for the demonstration of
spanwise flow structure. The velocity vectors at three spanwise locations
for Re = 800 are shown in Fig. 8.11. At Re = 800, the velocity vectors
change significantly in the spanwise direction, and the reattachment length
increases rapidly, moving towards the mid-plane. Figure 8.12 depicts the
pressure contours at Re = 800. Again, the change in spanwise pressure dis-
tribution is significant. Most researchers predicted closely the reattachment
length up to Re ::; 450 with two-dimensional simulations, and assumed that
two-dimensional phenomena are maintained up to Re :::::: 450. Numerical re-
~:~ {-----;.;,=O.O--------------------------
0.8 ~ ~ .. ~ .. .:. .:. .:. ..
U 6.25
0.7 O--o--()---o--o--o-........
0.6 9.0
0.5
0.4 ~-C...~
•. _-i--+~.5I::~~Q:s::5~~I-o-«:r-CJ
0.3 /
18.1S3
0.2
0.1
Re=648 y=7.5 mm
0.0
~.1+-----~----------------~----~~~
0.0 0.2 0.4 7/W 0.6 0.8 1.0
1.0
Rc=648 y=2.35 mm
0.9
0.8
U
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0.0
~.1
0.0 0.2 0.4 7/W 0.6 0.8 1.0
Fig. 8.15. Spanwise distributions of u-velocity profiles for Re=648 (From Jiang et
al. 1995)
16 a a I
a
a II Re::389
[
14
x a
• Re::500 _
x x )C
A Re=6OO
0 x
C) 0 0 0 (
0 0
12 Re=648 -
A A 6. 6.
• A ~ )C
Re::700
~
a
10 • • • • • •• I~ 0 Re::800 -
8 .. .a
.. - '" -- G
.. III III ~~
I
~
6
~~
4
0.0 0.2 0.4 'Z/W 0.6 0.8 1.0
Fig. 8.1 6. Spanwise locations of reattachment line for various Reynolds numbers
(From Jiang et al. 1995)
suIts obtained by LSFEM, however, show that three-dimensional effects are

significant even at low Reynolds numbers (e.g. Re = 277).
Figure 8.13 illustrates the contours of streamwise vorticity Wx from z =
6.5cm to the sidewall (z = 9.0cm) at Re = 800. The dashed lines indicate
negative contour values. As shown in the figure, the vortex is stronger near
the sidewall and has negligible influence on the region near the mid-plane.
The study of velocity vectors along the span at different downstream locations
provides a better view of the three-dimensional phenomena (see Fig. 8.14).
The behavior of the inward flow toward the mid-span at the top roof and the
outward flow toward the sidewall (zjW = 1.0) at the channel floor contributes
to the three-dimensional phenomena. This three-dimensional behavior around
the corner of the sidewall and the step can also be found at lower Reynolds
numbers but is less significant.
It is found that except in the inlet channel and in the region which is very
far downstream of the step, the three-dimensional effects are significant at
the downstream in the vicinity of the step. A study of spanwise flow structure
provides further details. The spanwise velocity vectors at various x-locations
and at a fixed y-position for Re = 648 are shown in Fig. 8.15. At y = 7.5 mm,
all velocity profiles close to the mid-plane are basically two-dimensional. The
negative velocities in the figure indicate that a second separation bubble
occurs on the ceiling, and its thickness grows as close to the sidewall. At y =
2.35 mm, the x-component velocity, u, first increases rapidly in the boundary
,!=-l8J, I -
15
l!! 14
.
;c I
.!f 13
! 11
1! 11
10
a
9
a
8
7
I
6 ~.
200 300 400 soo 600 700 800
Re
Fig. 8.17. Comparison of experimental and numerical results for primary reattach-
ment length up to Re=800 (From Jiang et al. 1995)
layer, then drops and resumes two-dimensional flow from z/W = 0.5 to the
mid-plane (z/W = 0.0).
Figure 8.16 demonstrates the three-dimensional effects by depicting the
spanwise location of the reattachment length for the primary separated-flow
region. Next to the sidewall, the reattachment length increases mainly due
to the interaction of viscous stress between the channel floor and sidewall.
Figure 8.17 shows the computed reattachment length of the primary recir-
culation zone, and compares well with the experimental results obtained by
Armalyet al. (1982). In the Re range for which most simulations fail to pre-
dict the reattachment length because of the three-dimensional phenomenon
(Re = 450 '" 800), the calculated results by LSFEM agree very well with
experimental results up to Re = 800.
As the Reynolds number increases, an additional separated-flow region
occurs near the channel ceiling. Figure 8.18 illustrates the spanwise detach-
ment (X4/S) and reattachment (X5/S) lines of this second eddy. The present
results show that as the Reynolds number increases, this upper-wall eddy
propagates toward the mid-plane and its length decreases in the spanwise
direction. For example, as the Reynolds number increases from 600 to 800, it
ranges from 17.5 to 22 step heights at z/W = 0.97708 and increases from 0.2
to 9.35 step heights at z/W = 0.76. The upper-wall eddy at the mid-plane is
not observed.
From these comprehensive numerical results, it is seen that the LSFEM
is a remarkably robust method even for three-dimensional flows at large
Reynolds numbers.
8.4 The Navier-Stokes Equations in the u - b - w Formulation 167
2S
20
rs
IS
10
5
.,
a
0.5 0.6 0.7 7/W 0.8 0.9 1.0
Fig. 8.18. Spanwise distributions of detachment and reattachment length for var-
ious Reynolds numbers (From Jiang et al. 1995)

in the u - b - w Formulation
System (8.50) is not the only way to write a first-order formulation by using
the vorticity as an independent unknown vector (Gresho 1991a,b, 1992). By
introducing the Bernoulli pressure or the total pressure b = p+(u 2 +v 2 +w 2 )/2
as an independent variable instead of the pressure p, we have the following
Navier-Stokes problem: Find u, band w such that
1
-u x w + Vb + Re V x w = f in a, (8.60a)
V·w=O ina, (8.60b)

w-VXU=O in a, (8.60c)
V·u=O ina. (8.60d)
In the Cartesian coordinates, system (8.60) can be written as
ab 1 (aW z aW y) .
WWy - vW z + ax + Re ay - az = Ix in a, (8.61a)
in a, (8.61b)
in a, (8.61c)
oWx + oW y + owz = 0 in n, (B.61d)

ox oy oz
ow + -ov = 0 in n, (B.61e)
Wx - -
oy oz
au ow
Wy - oz + ox = 0 in n, (B.61f)
ov + -au = 0 in D, (B.61g)
ox oy
Wz - -
au + ov + ow =0 in n. (B.61h)
ox oy oz
For two-dimensional problems, let w = wz , we have
ob + -
-vw + -ox 1 ow
- = Ix in D, (B.62a)
Re oy
ob 1 -
uw + -
ow = Iy in D,
oy - -
Re ox
(B.62b)
ov au
w--+-=O inD, (B.62c)
ox oy
au + ov = 0 in n. (B.62d)
ox oy
We note that the first-order velocity-total pressure-vorticity formulation
is almost-linear. In this formulation, a good portion of the nonlinearity has
been absorbed into the Bernoulli pressure; the nonlinear term u x w is of zero
order, and thus is not related to any derivatives; while the rest of the terms
constitutes the linear Stokes equations. Therefore, the non-linear term has
no effect on the classification of the system, and it does not matter how large
the Reynolds number is, the whole system is elliptic. For this reason, the
incompressible Navier-Stokes equations have the same boundary conditions
as those listed in Table B.1 for the Stokes equations.
The velocity-total pressure-vorticity formulation is also suitable for LS-
FEM. It is found that for tested problems the velocity-total pressure-
vorticity formulation leads to slightly slow convergence (Jiang et' al. 1994a).

in the u - p - (J' Formulation
The Navier-Stokes equations can also be written in the following first-order
velocity-pressure-stress form:
Time-D ependen t Problem s in the u - p - w Formul ation 169
8.5
aU AU 00' xx 00'
aU) op ( --+ xy 00' xz ) = f x in a,(8.63 a)
p ( u -+v -+w -oz +-- --+ --
ax oy ax ax oy oz
ov ov OV) op (oO'x y oO'yy OO'yz) f

p ( u ax +v oy +w oz + oy - Tx+- --e:y +& = y in a,(8.63 b)
OW
p ( u -+v -+W -
ow op (OO'xz
OW) +-- --+ oO'yz -- = f z ina,(8. 63c)
--+oO'zz)
ax oy oz oz ox oy oz
ou (8.63d)
O'xx-2 ",ox= O ina,
OV (8.63e)
O'yy - 2", oy = 0 in a,
au = 0 in a, (8.63f)
0' zz - 2", oz
in a, (8.63g)
in a, (8.63h)
( OV OW) in a, (8.63i)
O'yz - '" oz + oy = 0
au + ov + ow = 0 in a, (8.63j)
ax oy oz
where p is the density, '" is the viscosity.
In (8.63) there are ten equations, that is, three momentum equations,
ng ten
six constit utive equations and one incompressibility equation, involvi
due to
unknown variables (u, v, W,p, O'xx, O'yy, O'zz, O'xy, O'xz, O'yz). However,
ically inde-
incompressibility, three normal stress O'xx, O'yy, O'zz are not algebra
penden t, that is
O'zz = -(O'xx + O'yy).
fact only
Therefore, in the velocity-pressure-stress formulation there are in
un-
nine (odd) indepe ndent differential equations in nine (odd) indepe ndent
der sys-
known variables. As discussed before in Sect. 4.7, this kind of first-or
y sense, and it is also difficult to specify
tem cannot be elliptic in the ordinar
ons. Numer ical experim ents con-
an approp riate number of bounda ry conditi
l Stokes equatio ns with this for-
ducted by the author on the two-dimensiona
the pressur e and the stresses
mulation reveal that the rate of convergence for
ation has
is one order lower than that of the velocity. Moreover, this formul
tations to obtain
too many unknowns. It is not profitable to do more compu
ian fluid
directly the stress components which are not import ant in Newton
ry,
flows. In case someone is interested in the shear stresses on the bounda
the shear stresses can be algebraically expressed by the vorticity. For these
reasons it is not recommended that the velocity-pressure-stress formulation
be used for Newtonian fluid flows.
8.6 Time-Dependent Problems

in the u - p - w Formulation
We now turn our attention to time-dependent problems. We consider the
LSFEM for the transient Navier-Stokes equations in the velocity-pressure-
vorticity formulation: Find u(x, t), p(x, t) and w(x, t) such that
au + u . V'u + V'p +
at 1
Re V' x w = I in n x (0, Tj, (B.64a)
V' . w = ° in n x (0, T], (B.64b)

w-V'xu=o in n x (0, T], (B.64c)
in n x (0, Tj, (B.64d)
and
in n, (B.64e)
where T is a given positive constant, I(x, t) is a prescribed body force, and
UO(x) is a specified initial velocity. Note that due to the absence of any time
derivatives of the pressure and vorticity, no initial conditions for the pres-
sure and vorticity are needed. The boundary conditions required by the time
dependent Navier-Stokes equations are the same as for the Stokes equations
listed in Table B.l.
The time discretization can be readily realized by using finite difference
methods, for example, the () method. Let the time step be Llt = tn+1 - tn.
Given un for the previous time step, the solution (u,p,w)n+1 for the current
time step is determined from
u n-
- +1 - - + () ( u n+1. V'u n+1 + V'pn+l + -V' x w n+1
- un 1)
Llt . Re
+(1 - ()) ( un. V'un + V'pn + ~ V' X wn) = I n+1 in n x (0, T]'(B.65a)
in n x (0, Tj, (8.65b)
in n x (0, Tj, (8.65c)
in nx (0, T). (B.65d)
Usually, two choices can be made: () = 1/2 corresponds to the Crank-Nicolson
scheme and provides second-order accuracy O(Llt 2 ), and is used for true
8.6 Time-Dependent Problems in the 1.1. - P - w Formulation 171
transient problems; and () = 1 represents the backward-Euler scheme and

gives only first-order accuracy O(Llt), and may be used for a time-marching
approach to obtain steady-state solutions. Both schemes are unconditionally
stable, and thus there is no limitation on the size of the time step. When a
steady-state solution is of interest, one may use large time steps to accelerate
the convergence. When a transient solution is sought, one may choose the time
step in such a way that the largest element CFL (Courant-Friedrichs-Lewy)
number, defined as U Lltlh, is close to unity to avoid large errors introduced
by the time-discretization.
It is worth remarking that the accuracy of the finite difference discretiza-
tion mentioned above is referred to the error of the Taylor expansion of the
time derivative term. In other words, this is the error of the time-discretized
equation (B.65a) compared to (B.64a). In general, this type of accuracy, which
is widely used in the finite difference literature, does not guarantee the same
solution accuracy measured in some norms.
Now let us employ the LSFEM to find the solution of (B.65). To give
some details of the formulation, we consider the two-dimensional problem in
Cartesian coordinates as an example:
8un+1 8v n+1
--+--=0 in n, (B.66a)
8x 8y
v n+
_ _1 _ vn
_ _ +() (u no
+1 v +1
_n_ +vn +1 ov
__
n+1 + _____
opn+l 1 ow n_+1 )
Llt 8x 8y 8y Re 8x
8v n n av n 8pn f n+1 in n, (B.66c)
+(1 - ()) ( 1.1.n -+v
8x ay ay
- -_
- + - - -1-awn) Re ax Y
aun+1 n
8v +1
wn +1 + __ -- - =0 in n. (B.66d)
. 8y 8x
The convective term in (B.66) can be linearized by using the simple substi-
tution method or Newton's method as explained in Sect. B.3. When a small
time-step is used, one Newton's linearization is often enough at each time-
step. Then, for example, u n+18un+1 /8x in (B.66b) can be approximated as
System (8.66), after linearization, can be written in standard form (8.47) for
urI
first-order systems in which
A - ( +0°ax
1
.It
8u n
0
08u n
8y
o 0)
0
1!= 0- 08v n
8x
.l+08v n
.It 8y o 0 '
0 0 o 1
A1 = (O!.0
0
0
0
Oun
-1
0
1
0
0
o
0) ,A
-~ie 2 =
C rOv n
~ Ov n
1
0
0
0
0
1
0
o)
O.l
,(8.67)
+
-(1 _ O)(u n 8u n
8x
+vn 8u n
8y
+ ~O
8x
+ .l8w
Re 7fY
+ O(u n n
) 8u n
8x
+vn 8u n
8y
»)
( -(1 _ O)(u n 8v n +vn 8v n +~ _ .l8w + O(u n n
) 8v n +vn 8v n ) •
8x 8y 8y Re 8x 8x 8y
o
If more than one linearization is needed at each time-step, the formulation
will be similar to that given in Sect. 10.3.
The first-order system is then discretized in space following the standard
LSFEM procedure in Sect. 4.8. The matrix-free Jacobi preconditioned conju-
gate gradient method (see Chap. 15) is recommended for solving the resulting
linear algebraic equations. The advantage of the conjugate gradient method
is that the time step can be very small so that the largest element CFL num-
ber is close to unity. In this way, time accuracy is achieved without heavy
expense of computer time. This is attributed to the fact that when the time
step is small, the solution at the previous time step serves as a very good
initial guess for the solution at the current time-step, thus the conjugate gra-
dient method needs fewer iterations than when a larger time step is used.
Therefore, although the time-marching LSFEM is an implicit method which
has the advantage of unconditional stability, when combined with the con-
jugate gradient method, its implementation is similar to an explicit method,
and thus is relatively inexpensive.
Vortex Shedding Behind Circular Cylinder. A circular cylinder is im-
mersed in an infinite and uniform flow field with u = 1, v = o. When Re 2: 40,
a periodic oscillatory flow occurs behind the cylinder. This is the well-known
von Karman vortex street problem. The interest in this problem is due to its
periodic flow pattern and the unknown outflow boundary conditions.
8.6 Time-Dependent Problems in the u - p - w Formulation 173
Fig. 8.19. Mesh grids for vortex shedding behind a circular cylinder (From Wu
and Jiang 1995)
St = 0.186
> 0.0
-0.8
500.0 550.0 600.0 650.0 700.0
time step
Fig. 8.20. Time history of velocity component v at point P (From Wu and Jiang
1995)
It is difficult and unnecessary to solve the problem in the infinite domain.

The infinite domain is artificially truncated into a finite region (fl : -6 ~
x ~ 20, -6 ~ Y ~ 6), as shown in Fig. 8.19. The circular cylinder with unit
diameter is located at the point (0,0) . Figure 8.19 shows a mesh consisting
of 1335 eight-noded quadrilateral elements and 4107 nodes. The boundary
conditions are specified as u = v = 0 along the surface of the cylinder and
u = 1, v = 0 on the inlet, top and bottom boundaries. No boundary conditions
are given on the outflow boundary, except that the reference pressure p = 0
is specified at the center point of the outflow boundary. The initial condition
consists of a uniform velocity distribution with u = 1, v = 0 everywhere,
(a.)
(b)
Fig. 8.21. Vortex shedding by a circular cylinder at Re = 200 at t = 150: (a)
Pressure contours, (b) Streamlines (From Wu and Jiang 1995)
except at the surface of cylinder, where no-slip and impermeability conditions

have been assumed.
The Reynolds number for the computation is 200 based on the diameter
of the cylinder. The time step Llt = 0.1, and 2 x 2 Gaussian quadrature is
used for the evaluation of the element matrices. A point P located about
1.5 diameters downstream from the center of the cylinder is chosen to trace
the change of variables with time. The time history of the computed vertical
component of velocity is presented in Fig. 8.20. The shedding period found
from this numerical test is about T = 5.95; therefore the Strouhal number
St = 0.186 which is defined as
D
St = UT'
8.7 Fluid-Thermal Coupling 175
where D is the diameter of the cylinder and U the characteristic velocity. The
computed Strouhal number falls within the range of experimental data given
by Roshko (1953) and numerical results obtained by using other methods, see
e.g., Engleman and Jamnia (1990). Figure 8.21 shows the instantaneous pres-
sure contours and streamlines after the stable periodical solution is reached.
More details about the transient LSFEM solutions for this and other
problems can also be found in Tang (1994).
8.7 Fluid-Thermal Coupling

We now turn from the isothermal flows that we have been investigating in
previous sections to flows in which temperature variations are introduced.
Consider a volume of fluid characterized by its density Po, kinematic viscosity
v, thermal diffusivity "., volumetric thermal expansion coefficient a, thermal
coefficient 'Y of surface tension. The dynamics of the fluid is governed by the
Navier-Stokes equations:
au + u . \7u + \7p _ v.du - L = 0 in n x (0, TJ, (8.68a)

at Po Po
\7 . u = 0 in n x (0, TJ, (8.68b)
and by the heat conduction equation:
00
at + u . \70 - "..dO = 0 in n x (0, TJ, (8.68c)
supplemented with appropriate initial and boundary conditions.
There are two mechanisms which can bring the fluid into motion, if the
temperature O(x, y, z) differs from some constant value 00 . On the one hand,
the buoyancy force
f = -poag(O - ( 0 ), (8.69)
where 9 is the gravitational acceleration vector, is created due to the temper-
ature dependence of the density in the framework of the Boussinesq approxi-
mation. On the other hand, surface forces, called thermal capillary force, are
generated due to the temperature dependence of the surface tension, and can
be expressed as
(1 = (10 - 'Y(O - ( 0 ). (8.70)
The surface tension of a liquid decreases with increasing temperature. Con-
sequently, if a part of the free surface should become locally hotter than the
rest, then as a result of some small disturbance, fluid is drawn away from the
region by the action of surface tension. Other hot fluid comes in from below
the surface to replace it.
Introducing dimensionless variables of space, time, velocity, pressure and
temperature obtained by dividing the physical variables by the reference
scales L, L/U, U, POU2 and the temperature difference 8, we obtain the

following set of governing equations:
au 1 Igl0:8L3 9
at + U· Vu + Vp - Re Llu + U2£2 0jgf = 0 in n x (0, Tj, (8.71a)
in n x (0, TJ, (8.71b)
ao
at + u . V0 -
1
Pe LlO = ° in n x (O,Tj, (8.71c)
in which
Reynolds number
Re = UL t'o.J inertial force,
v viscous force
Pe = UL advection of heat .
Peclet number
t'o.J
conduction of heat
K,
Depending on the characteristics of the fluid flows, the nondimensional gov-

erning equations (8.71) may be further simplified.
8.7.1 Natural Convection
Natural convection is caused by buoyancy forces. Temperature differences are

introduced, for example, through boundaries maintained at different temper-
atures, and the consequent density differences induce the motion: hot fluid
tends to rise, cold to fall.
We will confine attention to the case where the Peclet number Pe = 1
which may be interpreted as assigning the same importance to heat advection
and conduction. In other words, in this case we can use the thermal diffusion
speed U = K,/L as the velocity scale. Thus the governing equations (8.71)
become
au
at + u . Vu + Vp - PrLlu + PrRaO jgf 9
= 0 in n x (0, Tj, (8.72a)
V·u=o innx(O,Tj, (8.72b)

ao
at + U· VO - LlO = ° in n x (0, Tj, (8.72c)
in which
v
Prandtl number Pr= -,
K,
Rayleigh number Ra = Iglo:L3$.

VK,
The Prandtl number is the ratio of two diffusivities - v being the diffusivity
of momentum and vorticity and K, that of heat. Thus the Prandtl number
8. 7 Fluid-Thermal Coupling 177
is a property of the fluid, not of the particular flow. The Rayleigh number
indicates the relative importance of the buoyancy force.
In order to apply LSFEM to obtain the approximate solution of (8.72),
we need to introduce the vorticity wand the heat flux q = (qx,qy,qz) as
independent variables and transform system (8.72) into the following first-
order 1.1. - P - w - () - q system:
81.1. g
at + u· Y'u + Y'p + PrY' x w + PrRaO jgj = 0 in n x (0, TJ, (8.73a)
n x (O,Tj,
in (8.73b)
w-Y'xu=O in n x (O,Tj, (8.73c)

in n x (O,Tj, (8.73d)
8()
- + 1.1. • Y'() + Y' . q = 0 in n x (O,Tj, (8.73e)
at
q + Y'() = 0 in n x (0, Tj, (8.73f)
Y' x q = 0 in n x (0, Tj. (8.73g)
Equations (8.73e)-(8.73g) constitute a div-curl-grad system. As explained
in Chap. 6, the inclusion of the curl equation (8.73g) is for more accurate
results for the heat flux, and more important, for better performance of the
conjugate gradient method. It is also worth mentioning that the addition of
(8.73g) and (8.73b) does not increase the total number of degrees of freedom
in LSFEM, but reduces the computational work when an iterative equation
solver is used.
As an example of the application of the u-p-w-()-q formulation (8.73)
for natural convection, we consider the steady-state, two-dimensional, ther-
mally driven flow in a square cavity with insulated top and bottom walls but
differentially heated vertical walls. The gravitational force is in the negative
y direction. The boundary conditions are: u = v = qy = 0 everywhere, () = 1
on the left wall and () = 0 on the right wall, the reference pressure p = 0 is
specified at the center of the bottom. A 50 x 50 nonuniform mesh with bilinear
elements is used. One-point Gaussian quadrature is employed for computing
the element matrices. The LSFEM solution for the Prandtl number Pr = 0.71
(air) and the Rayleigh number Ra = 106 is given in Fig. 8.22. 'these results
are obtained by taking the solution at Ra = 105 as the initial guess, then us-
ing two successive substitution and ten Newton's linearization steps. In each
linearization step, 1500 conjugate gradient iterations are employed.
8.7.2 Rayleigh-Benard Convection
Consider a volume of fluid in a three-dimensional rectangular vessel with

geometric aspect ratio ax : ay : az where ax = lx/d, ay = ly/d, az = 1,
(a) velocity (b) temperature contours
(c) streamlines (d) vorticity contours

Fig. 8.22a-d. Numerical results for thermally driven-cavity flow at Pr = 0.71 and
Ra = 106
and d = 1 is the thickness of the vessel, see Fig. 8.23. The gravitational
force is in the negative z direction. The vertical walls are adiabatic. The
bottom wall is heated isothermally to a higher temperature Bh , and the top
wall is maintained at a lower temperature Be. The fluid starts motion when
the Rayleigh number Ra reaches the critical value. This is termed Rayleigh-
Benard convection.
For fluid between infinite parallel plates, the critical Rayleigh number
Rae = 1708. Theoretical (Davis 1967 and Catton 1972) and experimental
(Stork and Muller 1972) results show that the critical value in small vessels
(a) (b)
(c) (d)
Fig. 8.23. Velocity vectors on the plane z = 0.5 at t = (a) 25, (b) 45, (c) 60 and
(d) Steady state (From Tang and Tsang 1997)
is higher than in large one. In general, the critical Rayleigh number increases
when the aspect ratio of the container decreases, because sidewalls have a
stablizing effect on the onset of convection due to viscous drag. Moreover, the
roll structures and thermal fields are decisively affected by the aspect ratio of
the vessel, thermal properties of the sidewalls, and the physical properties of
the fluid. The most interesting phenomenon of Rayleigh-Benard convection
is the pattern selection process. Due to the nonlinearity of the governing
equations, several solutions are possible for the same set of parameters. The
mechanisms on how different solutions to the problem evolve and compete
and the processes by which a particular flow configuration undergoes change
are broadly known as pattern selection. A numerical study using LSFEM that
(b)
(c) (d)
Fig. 8.24. Temperature contours on the plane z = 0.5 at t = (a) 25, (b) 45, (c)
60 and (d) Steady state (From Tang and Tsang 1997)
focuses on some issues relevant to pattern selection was conducted by Tang

and Tsang (1997). The presentation of this subsection follows their work.
When nondimensionalized by using the buoyant speed U = (lgla:8L)1/2
as the velocity scale and the length scale L = d, the first-ordEll' governing
equations in the u - p - w - () - q formulation are
au + U· V'u + V'p + Re1 V' x w + ()l9T
at g
= 0 in [} x (0, TJ, (8.74a)
V' . w = 0 in [} x (0, Tj, (8.74b)

w - V' x u = 0 in [} x (0, Tj, (8.74c)
V' . u = ° in [} x (0, Tj, (8.74d)
of)
-at + u . '\If) + '\l . q = ° in n x (0, TJ, (8.74e)
1
q + Pe '\If) = 0 in n x (0, Tj, (8.74f)
'\l x q = 0 in n x (0, Tj, (8.74g)

where Re = (Ra/Pr) 1/2 and Pe = (Ra . Pr) 1/2 .
Initially, it is assumed that the physical problem is at a low Rayleigh
number Ra < Rae. The fluid remains motionless, the heat conduction is
dominant and the temperature distribution is linear along the z direction:
u 0,
f) 1-z in n at t = 0,
q (O,O,l/Pe).
At the very moment when t > 0, the Rayleigh number is suddenly in-
creased to a certain value Ra > Rae so that the fluid starts moving inside the
domain. The boundary conditions consistent with the adiabatic and isother-
mal walls in dimensionless form are as follows:
u 0 on r,
° on= x O,a x ,
°1 on
on
z
= y O,ay,
=0,
° zz = 0, on
° z = 1, on =0,
° z = 1, on
qx
° z=
= on
qy
°
= on 1.
The numerical technique is based on an implicit, fully coupled, and time
accurate method, which consists of the Crank-Nicolson scheme for time inte-
gration, Newton's method for the convective terms with extensive lineariza-
tion steps, and the LSFEM for space discretization. A matrix;-free Jacobi
preconditioned conjugate gradient method (see Chap. 15) is implemented to
solve the resulting symmetric positive definite linear system of equations.
For the solution illustrated in Fig. 8.23, Ra = 8 x 103 , Pr = 0.71 (air), the
geometric aspect ratio is ax : ay : a z = 5 : 5 : 1, and the mesh consists of
60 x 60 x 14 trilinear elements. One-point Gaussian quadrature is used for
the computation.
The velocity vectors and temperature contours on the plane z = 0.5 are
shown in Fig. 8.23 and Fig. 8.24, respectively. Figure 8.25 shows the results
on the plane y=0.5. When steady-state is reached, three vortex tubes, i.e.,
Fig. 8.25. Velocity vectors and temperature contours on the plane y = 0.5 at t =
(a) 25, (b) 45, (c) 60 and (d) Steady state (From Tang and Tsang 1997)
six rolls in a vertical cross section, ring around the vertical center line of
the vessel can be clearly observed. The flow structure is referred to as a
multicellular flow pattern. More results for different cases can be found in
Tang and Tsang (1997).
8.7.3 Surface-Tension-Driven Convection

In the previous two subsections we have focused on buoyancy-driven con-
vection. This type of fluid flows is observed either in deep layers or in fluid
layers enclosed between two plates with no free surface. When a tempera-
ture gradient is applied orthogonally to a thin planar liquid layer with a free
surface, cellular convection occurs from an originally quiescent state. The
onset of the convection is due to the combined effects of thermal stratifica-
tion instability and thermal capillary effect. In particular, the temperature
dependence of the surface tension on the free surface can destabilize the mo-
tionless fluid state to form regular convective cells. Usually, the diameters of
these cells are of the same order of magnitude as compared to the depth of
the fluid. This surface-tension-driven convection is often referred to as the
Marangoni-Benard instability due to the first reported observation of the
flow phenomenon by Benard.
In the past, extensive experimental studies of surface-tension-driven con-
vection using silicon oil as the working fluid have been conducted by Kosch-
mieder and his colleagues (1967, 1986, 1990, 1992). Theoretical studies of
surface-tension-driven convection have been focused on stability analysis by
using the linear theory (Pearson 1958, Nield 1964), the energy theory (Davis
1969) and the bifurcation theory (Scanlon and Segal 1967, Cloot and Lebon
1984). While these studies have significantly improved our understanding of
the flow physics, numerical simulation of the flow phenomena is necessary for
further investigation. Full flow equations can be numerically solved without
assumptions and simplifications usually employed in stability analysis. The
complications caused by buoyancy for experiments on Earth and the non-
planar layer for experiments in Space can also be avoided. Moreover, direct
simulation is an indispensable tool for investigating the regime of supercritical
flows for which few studies have been conducted.
Only a few numerical studies exist for three-dimensional surface-tension-
driven convection. By using a spectral method, Bestehorn (1993) presented
numerical results for the planform evolution in containers with very large
aspect ratios. Thess and Orszag (1995) reported numerical results of their
pseudospectral method for an infinite and periodic layer, in which the flow
motion is solely determined by the temperature distribution on the free sur-
face so that the calculation was simplified.
Recently, Yu et al. (1996c) applied LSFEM to the full three-dimensional
simulation of the surface-tension-driven convection in small square containers.
In order to recapture the unusual cellular patterns observed by Koschmieder
and Prahl (1990), the no-slip boundary condition on the peripheral walls
must be used. In Table 8.4 the properties of the silicon oil used in their
experiments are listed. According to these data, the Prandtl number of the
silicon oil Pr = v / /'i, is about 1000, and the capillary number Cc = Po/'i,V hd
is about one thousandth. Note that d is the depth of the fluid layer and is
in the order of millimeter. Since the flow motion is thermally driven, the
Prandtl number is a measure of the sluggishness of the fluid: higher Prandtl
number implies slower motion. On the other hand, in the absence of gravity,
the capillary number Cc is a measure of the surface deflection. And smaller
Cc implies higher surface tension that corresponds to a non-deflecting free
surface.
Table 8.4. Properties of the silicon oil at 25°C

Symbol Property Unit Value
II Viscosity cm 2 /s 1.0
p Density g/cm 3 0.968
"- Thermal Diffusivity cm 2 /s 0.001095
'Y Surface Tension Coefficient dyne/em 13.96
Accordingly Yu et al. (1996c) made two assumptions in their calculation:

(1) the Prandtl number of the working fluid is large, and therefore the Stokes
equations instead of the full Navier-Stokes equations can be used; (2) the
capillary number is small and the free surface of liquid layer is flat. As a
result, (8.68) of the fluid-thermal coupling with zero gravity become:
Vp
- - vLlu = 0 in {) x (0, TJ, (8.75a)
Po
in {) x {O, Tj, (8.75b)
in {) x (0, TJ. (8.75c)
The boundary condition on the bottom and the side walls of the container
is the no-slip condition:
U=V =W =0. (8.75d)
In addition, the bottom is heated to a constant temperature (h, and the side
walls are insulated:
() = ()1 on the bottom, (8.75e)
n . V () = ° on the sidewalls. (8.75f)
On the top free surface, the Marangoni boundary conditions are applied:
au aB
POIl- = -'1-, (8.75g)
az ax
av a(}
POIl- = -'1-, (8.75h)
az ay
w = o. (8.75i)
The Marangoni conditions represent the relationship between the flow shear
stress and the tangential surface tension force across the free surface. Any
inhomogeneity of the surface tension due to temperature variations creates
a shear force on the free surface and therefore results in fluid motion. These
Marangoni conditions are the driving force for Marangoni-Benard convection.
The heat loss on the free surface is modeled by the usual heat transfer
condition:
(8.75j)
where Ch is a heat transfer coefficient, Cp is the constant pressure specific

heat, and (}o is the prescribed cold temperature of the ambient air. The bound-
ary heat transfer mechanism on the free surface could be conduction, convec-
tion and radiation, or combination of these effects.
For convenience, the energy equation is reformulated in terms of the tem-
perature perturbation ii defined via
z
B= (}l - d(B l - (}o) + B.- (8.76)
As a result, the energy equation (8.75c) becomes:
aii - w8 -
at + U . V() - d - KLl(} = 0 in n x {O,T], (8.77)
in which w is the vertical component of the velocity vector, and 8 = (}1 - (}o.
In the following we suppress the bar notation for temperature perturbation
for simplicity.
The governing equations and the boundary conditions are then nondimen-
sionalized by the appropriate parameters. The reference parameters for the
length, time, velocity, pressure and temperature are d, d2/K, Kid, pO{Kld)2
and 8. As a result, the dimensionless governing equations are
Vp - Llu = 0 in n x (0, TJ, (8.78a)
V .u = 0 in n x (0, TJ, (8.78b)
a()
at + u . V() - w - KLlB = 0 in n x {O,T]. (8.78c)
The dimensionless Marangoni boundary conditions are

au _ -Ma aB (8.79a)
az - ax'
{}v __ Ma {}()
{}z - {}y'
(8.79b)
where
Ma= ,ed (8.80)
p/l/'i,
is the Marangoni number.

Similarly, after the non-dimensionalization the heat convection condition
on the free surface becomes
{}()
{}z + Bi () = 0, (8.81)
where
(8.82)
is the Biot number, which is a dimensionless measure of the heat loss on

the free surface. Since all heat transfer on the free surface is mainly through
the gradient of the linear distribution of the undisturbed temperature, it
is reasonable to assume that Bi = 0, which implies that heat transfer to
the ambient air through the temperature fluctuation () on the free surface is
negligible. As a result, the boundary condition for the energy equation on
the free surface becomes
{}() = O. (8.83)
{}z
By introducing the vorticity wand the heat flux q as independent
variables the governing equations are reduced to the following first-order
u - p - w - () - q system:
Vp+Vxw=O in n x (O,Tj, (8.84a)
n x {O,T], in (8.84b)
w-Vxu=O in n x (O,T], (8.84c)
v .u = °
in n x CO, Tj, (8.84d)
{}()
at +u·q-V·q-w=O in n x (O,T], (8.84e)
q - V()=0 in n x (0, Tj, (8.84f)

V x q =0 in n x (O,T]. (8.84g)
Equation (8.84) consist of two div-curl systems and one div-curl-grad sys-
tem, i.e., (8.84a) and (8.84b) constitute a div-curl system for the vorticity;
(8.84c) and (8.84d) constitute a div-curl system for the velocity; and (8.84e)-
(8.84f) constitute a div-curl-grad system for the temperature fluctuation and
the heat flux.
Table 8.5. Boundary conditions of surface-tension-driven convection

Conditions Flow Equations Heat Equations
Heated u=v=w=O () = 0, q", = qy = 0
Bottom w. = 0
Insulated u=v=w=O n·q=O
Walls
Free w=O,
Surface W", = Maqy, Wy = -Maq",
(a) (b)
(c) (d)
Fig. 8.26. The computed patterns in the square container: (a) Two-cell, (b) Three-
cell, (c) Four-cell, (d) Five-cell (From Yu et al. 1996c)
The dimensionless boundary conditions are listed in Table 8.5.

The initial temperature field is the same as that proposed by Thess and
Orszag (1995):
B(x,y,z,O) = €(x,y)z(2 - z). (8.85)
The field €(x, y) is the superposition of all Fourier modes supported by the
numerical mesh. The magnitude of €(x, y) is set to be one thousandth. All
other flow variables are initialized to zero. As time evolves, the numerical pro-
cedure will pick up the most unstable mode and suppress others. In addition,
the calculations are started with very low Ma which is gradually increased
until the onset of convection.
The computation is for the flow in small containers with the aspect ratio
a ~ 9 for which no previous numerical study has been reported. A mesh with
50 x 50 x 18 trilinear elements is employed. The mesh is uniform in the x and
y directions, and is clustered near the free surface in the z direction.
An implicit, fully coupled backward-Euler time marching method dis-
cussed in Sect. 8.6 is used. In each time step, three to five Newton lineariza-
tion steps are performed for the convective term in the heat equation. For
each Newton step about 300 iterations of the Jacobi preconditioned conju-
gate gradient method are taken to obtain the solution of the linear algebraic
equations. Typically, it takes about 50 to 100 time steps to make the differ-
ence between the nodal values of two consecutive solutions converge to about
10- 4 •
The LSFEM solution of the two, three, four and five-cell Marangoni-
Benard convection is shown in Fig. 8.26. The planform shown here is actually
the smoothed contour plot of the velocity profile just beneath the free surface.
The upward bulging portion of these shadowgraph images represents the
rising flow motion, and the valley is the downward flow. All these computed
patterns are the same as those observed in the laboratory by Koschmieder
and Prahl (1990). Due to the existence of vertical walls, these patterns are
quite different from the general conception of the hexagonal surface-tension
driven convection pattern usually observed in the container with very large
aspect ratio.
8.7.4 Double-Diffusive Convection

We turn now to situations in which, in addition to the temperature varia-
tion, there is a variable amount of some substance mixed with, dissolved in,
or otherwise carried by the fluid. The variable salinity (salt concentration) of
the oceans can be dynamically important; air pollution studies require un-
derstanding of the processes determining pollutant concentration; chemical
engineering processes often involve the mixing of different substances. The
interaction between concentration variations and a velocity field is closely
analogous to that between temperature variations and a velocity field. The
two situations are governed by very similar equations.
The dynamics of the fluid flow is governed by the Navier-Stokes equations

(8.68a) and (8.68b), the heat conduction equation (8.68c) and the following
mass transfer equation:
ac
at + u, 'Vc - K:cLlc = ° in Q X (0, T], (8.86)
in which c is the concentration of the substance and K:c is the binary mass
diffusion coefficient. In the framework of the Boussinesq approximation, the
driving force in (8.68a) is now generated due to the fact that both tempera-
ture and concentration depend on the density:
(8.87)
where the density Po corresponds to the temperature 00 and c = 0; a c is the
coefficient of volumetric expansion due to the concentration.
By using the buoyant speed U = (lgla8L)1/2 as the velocity scale, and the
characteristic concentration difference 8 c as the reference concentration, and
by introducing the mass flux J = (Jx, J y , J,;), the governing equations can be
written in dimensionless first-order velocity-pressure-vorticity-temperature-
heat flux-concentration-mass flux formulation:
~u +u. 'Vu+ 'Vp+ 1 'V x w + (0+ XC)-Igl = 0 in Q x (O,T], (8.88a)

ut JGr g
'V. w = ° in [} x (0, T], (8.88b)
w-'Vxu=o in [} x (0, T], (8.88c)
in [} x (0, T], (8.88d)
aO
-at + u . 'VO + 'V . q = ° in [} x (0, TJ, (8.88e)
1
q+~'VO=O in [} x (0, T), (8.88f)
PrJGr
'Vxq=O in [} x (0, T], (8.88g)
ac
at + U· 'Vc + 'V. J = ° in [} x (0, T], (8.88h)
1
J + --='Vc = 0 in [} x (O,Tj, (8.88i)
ScJGr
'V x J =0 in [} x (0, Tj, (8.88j)
where the dimensionless numbers are defined as

1/
Schmit number Sc ,
"',..c Sc
Lewis number Le =
"'c Pr'
alglL 3 8
Thermal Grashof number Gr =
1/ 2
Solute Grashof number Gr c

aclgl"'cL 3 8 c
1/2,..
ac8 c Gr c ' Sc
Buoyancy ratio X
a8 Gr· Pr'
Rayleigh number Ra alglL 3 8 = Gr· Pro
,..1/
1.0 rt::~;::::============~
0.8
0.8
0.4
0.2
0.0 0.2 0.4 0.6 0.8 1.0

0.0 0.2 0.. 0.8 0.8 1.0
(a) (b)
1.0.,-......,..---------,-,.. 1.0 .,---,..-----------,~
0.8 0.8
0.8 0.8
0 .• 0 .•
0.2 0.2
0.0
0.0 0.2 0.4 0.8 0.8 1.0 0.0 0.2 0.. 0.8 0.8 1.0
(c) (d)
Fif' 8.27. Augmented flow of double-diffusive convection in a square cavity at Gr =
10 and X = -1.0: (a) Velocity vectors, (b) Stream functions, (c) Temperature
contours, (d) Concentration contours (From Tang and Tsang 1994)
8.8 The Second-Order u - w Formulation 191
The LSFEM solution of the coupled system for heated side-walls and
diffusion in a square cavity is given by Tang and Tsang (1994). The cavity
has insulated and impermeable top and bottom walls but with heated and
solute coated vertical walls. The fluid motion driven by temperature and
solute gradients consists of two flow structures: augmenting and opposing
flows. Each flow structure has two cases, Gr c > 0 and Grc < o. In their
study, the solute is the heavier component. Therefore, the buoyancy ratio
X is always negative, Le., Grc < o. Here we only discuss augmented flows.
Results for opposing flows can be found in Tang and Tsang (1994).
Augmented flow is the flow driven vertically up by high temperature near
the left wall and down by high concentration near the right wall. The fluid
flow is always in the clockwise direction. The boundary conditions are: u =
v = qy = J y = 0 everywhere; () = 1, c = 0 at the left wall and () = 0, c = 1
at the right wall. The reference pressure p = 0 is specified at the lower
left corner. A non-uniform mesh of 50 x 50 bilinear elements is used. Since
the steady-state solution is sought, the system is discretized in time by the
backward-Euler differencing. A large time step Llt = 1.0 is applied. One-point
Gaussian quadrature is used in the computation. The results for the case of
Gr = 106 , X = -1.0, Pr = 0.7 and Sc = 0.6 are given in Fig. 8.27. These
results compare well with Beghein et al. (1992) and Lin et al. (1990).
8.8 The Second-Order u - w Formulation
In the previous sections we have briefly studied the velocity-pressure formu-

lation, and have investigated in detail various first-order formulations of the
N avier-Stokes equations. For incompressible viscous flows there are other use-
ful higher-order versions of the Navier-Stokes equations (Gresho 1992). These
are all derived from the "primitive" velocity-pressure equations by differen-
tiation and often offer additional insights regarding fluid flow fields. They
also serve as the starting point for devising alternative numerical schemes. A
key issue is that a derived equation obtained by simple differentiation admits
more solutions than do its progenitors, in other words, spurious solutions may
be generated. With careful selection of additional equations and boundary
conditions, the solution of the derived equations will also solve the original
equations. Unfortunately, in the past, these additional conditions were often
ignored or incorrect. In the best cases, they are discovered and/or justified
mainly by numerical experience and heuristics.
In this section, we will show that the least-squares method provides a
systematic and consistent way to derive higher-order versions of differen-
tial equations and corresponding boundary conditions without generating
spurious solutions. That is, the Euler-Lagrange equations associated with
the least-squares variational formulations are the most appropriate derived
equations.
We will also use the div-curl method introduced in Sect. 5.3 to rigorously
derive the popular second-order velocity-vorticity formulation, the pressure
Poisson equation and their boundary conditions. We believe that many con-
troversies over the permissibility of the boundary conditions for derived equa-
tions can be resolved definitively via this div-curl method.
8.8.1 The Stokes Equations
Consider the Stokes equations in the velocity-pressure-vorticity formulation

(B.7) with any combination of permissible boundary conditions listed in Ta-
ble B.l. For the solution of the Stokes equations, the least-squares method
minimizes the following quadratic functional:
I(u,p,w) = IIVp+Vxw-fll~+IIV.wll~+lIw-Vxull~+IIV·ull~,(B.B9)
where (u,p,w) E H = {[Hl(!1)j1 : (u,p,w) satisfies the given boundary
conditions on r}. Letting the first variation of I vanish, we obtain the least-
squares variational formulation: Find (u, p, w) E U such that
(Vp + V x w - f, Vq)
+(Vp+Vxw-f, VXT)
+(V·w, V'T)
+(w - V x u, T)
- (w - V x u, V xv)
+(V·u, V·v)=O V(v,q,T)EH o. (B.90)
where Ho = {[Hl(!1)j1 : (v, q, T) satisfies the corresponding homogeneous
boundary conditions on r}. By using Green's formulae (B.1), (B.3) and (B.5),
from (B.90) we have
-(V. (Vp+ V x w - f), q) + (n· (Vp+ V x w - f), q)
+ (V x (Vp + V x w - f), T) - (n x (Vp + V x w - f), TI
-(V(V.w), T) +(V·w, n'T)
+(w - V x u, T)
-(Vx(w-Vxu), v)+(nx(w-Vxu), v)
-(V(V.u), v)+(V.u, n·v)=O V(V,q,T)EH o. (8.91)

From (8.91) after simplification by using the vector identity (A.4), we obtain
the following Euler-Lagrange equations and boundary conditions:
Llp = \l . f in il, (8.92a)
p = given or n· (\lp + \l x w - f) = 0 on r, (8.92b)
Llw - w + \l x u = -\l x f in il, (8.92c)

n x w ~ given or n x (\lp + \l x w - f) =0 onr, (8.92d)
n . w = given or \l. w = 0 on r, (8.92e)
Llu+ \l x w =0 in il, (8.92f)

n x u = given or n x (w - \l xu) = 0 on r, (8.92g)
n . u = given or \l. u = 0 onr. (8.92h)
Equation (8.92a) is the so called pressure Poisson equation. The condi-
tion (8.92b) implies that the pressure Poisson equation may have one of two
possible boundary conditions depending on whether the pressure is or not
given on the boundary.
Equation (8.92c) is the vorticity equation. In this equation, -wand \l x u
can be cancelled, and then we obtain three Poisson equations for the vorticity
components. However, if -wand \l x u are deleted, then the symmetry of
the whole system will be lost, that is, if the Galerkin method is employed
for system (8.92), the corresponding variational statement is not (8.90), and
hence the global finite element matrix is not symmetrical.
Equation (8.92f) is the Poisson equation for the velocity components.
System (8.92) reveals that the least-squares variational formulation cor-
responds to seven coupled second-order elliptic equations and seven sets of
boundary conditions in which the original boundary conditions serve as the
essential boundary conditions and the original first-order equations serve
as the natural boundary conditions. In the following we list the additional
boundary conditions which should be supplemented for the second-order
Stokes equations (8.92a), (8.92c) and (8.92f) in different cases:
(1) n . u, n x w given
n . (\l p + \l x w - f) = 0,
\l·w = 0,
n x (w - \l x u) O.
(2) p, n . u, n . w given
n x (\lp + \l x w - f) 0,
n x (w - \l x u) 0.
(3) p, n X u, n . w given
n x (V'p + V' x w - f) = 0,
V'·u = O.
(4) n x u, n x w given
n· (V'p + V' x w - f) = 0,
V'·w = 0,
V'·u = O.
(5) U given
V'p+ V' x w - f = 0,
V'·w = O.
(6) p, n· w, n x w given
n x (w - V' x u) = 0,
V'·u = o.
We emphasize again that the least-squares finite element method based on
the first-order velocity-pressure-vorticity formulation (8.7) does not need any
additional boundary conditions. However, if another discretization scheme
such as the finite difference method is used to solve the second-order velocity-
pressure-vorticity formulation (8.92a), (8.92c) and (8.92f), the additional
natural boundary conditions should be included.
We notice that in the second-order velocity-pressure-vorticity formula-
tion, the solution of the pressure Poisson equation (8.92a) is coupled with
the solution of the velocity and the vorticity through the boundary condi-
tions. The significant advantages of the present second-order formulation are
that (1) it guarantees the satisfaction of the continuity of velocity and the
solenoidality constraint on the vorticity without explicitly including these
two divergence-free conditions; (2) it is suitable not only for the standard
boundary conditions but also for non-standard boundary conditions; (3) the
differential operator is self-adjoint (symmetrical).
8.8.2 The Navier-Stokes Equations
Let us consider the following first-order system of the time-dependent N avier-

Stokes equations in the velocity-total pressure-vorticity formulation with the
standard velocity boundary condition (see Sect. 8.4):
au 1
at - u x w + V'b + Re V' x w = f in n x (0, TJ, (8.93a)
V'·w=O in n x (O,Tj, (8.93b)

w-V'xu=O in {l x (0, Tj, (8.93c)
'V. u = ° in n x (0, Tj, (8.93d)
U = Ur on r x (0, Tj. (8.93e)
The given boundary data Ur should satisfy the global mass conservation:
l n,urds =0. (8.93f)
We also assume that Ur is not time-dependent, and the divergence equations

(8.93b) and (8.93d) are satisfied at the initial time. Here we use the total
pressure b instead of the pressure p to make the derivation much more simple.
By virtue of the div-curl theorem 5.2, system (8.93) is equivalent to the
following system:
8u
'V x ( at - u xw
1
+ 'Vb + Re )
'V x w - f = 0 in n x (0, T], (8.94a)
8u
'V. ( - - u x w
8t
1
+ 'Vb + -'V
Re
x w)
- f = ° in n x (0, T], (8.94b)
n. (8U
8t
-uxw+'Vb+~'VxW-f) =0
Re
on r x (0, T], (8.94c)
'V x (w - 'V x u) = 0 in n x (0, Tj, (8.94d)
'V. (w - 'V x u) = ° in n x (0, Tj, (8.94e)
n x (w - 'V x u) = 0 on r x (O,T], (8.94f)
'V . w = ° in n x (0, T], (8.94g)
'V . u = ° in n x (0, T], (8.94h)
U=Ur onrx(O,T]. (8.94i)

Taking into account 'V x 'Vp = 0, 'V. 'V x w = 0, 'V. 'V x u
equality (A.4), system (8.94) can be simplified as:
= °
and the vector
8w 1
at - 'V x (u x w) - ReLlw = 'V x f in n x (O,T], (8.95a)
Llb- 'V. (u x w) = 'V. f in n x (O,Tj, (8.95b)
n· ('Vb - u x w + ~ 'V x w - f) = ° on r x (O,T], (8.95c)
Llu+ 'V x w = 0 in n x (O,Tj, (8.95d)
n x (w - 'V x u) = 0 on r x (0, T], (8.95e)
in n x (0, T], (8.95f)
in n x (O,TJ, (8.95g)
U = Ur on r x (O,T]. (8.95h)
Since (8.95a) implies that
o(V . w) _ ~Ll(V . w) =
at Re
° in n x (O,T], (8.96a)
if we specify that
V .w = ° on r x (0, T], (8.96b)
then V·w == °
in n, that is, the divergence-free property of the vorticity vector
is guaranteed. Therefore we can replace the divergence equation (8.95f) by
the boundary condition (8.96b).
As explained in Sect. 5.5, the divergence equation (8.95g) can be elim-
inated, since (8.95d) and (8.95f) and the boundary conditions (8.95e) and
(8.95h) guarantee the divergence-free of the velocity.
Finally we obtain the second-order velocity-vorticity equations and the
pressure Poisson equation for the Navier-Stokes equations:
ow 1
at - V X (u x w) - ReLlw =V x f in n x (O,T], (8.97a)
n x (w - V X u) = 0 on r x (O,Tj, (8.97b)
V·w=o on r x (O,T], (8.97c)
Llu + V x w = 0 in n, (8.97d)
U = Ur on r x (O,Tj, (8.97e)
Llb - V . (u x w) = V . f in n x (0, T], (8.97f)
n . (Vb - U x w + -V
Re
1
x w- f) = ° on r x (O,T]. (8.97g)
From (8.97) it is clear that the calculation of the velocity and vorticity
is decoupled from that of the pressure; (8.97a) and (8.97d) are termed the
velocity-vorticity formulation. For simplicity, in this section we have studied
only the case with the velocity boundary conditions specified on the whole
boundary. For cases with other boundary conditions the derivation of these
additional Neumann type of boundary conditions is similar. It is worth not-
ing that if the pressure is prescribed on a part of boundary, the additional
boundary condition on that part of the boundary for the vorticity equation
(8.97a) is more complicated than (8.97b).
In the finite difference framework one may solve the vorticity and the
velocity in a sequential manner: using the velocity field known from the pre-
vious time step one may solve (8.97a) with boundary conditions (8.97b) and
(8.97c) to obtain the vorticity, then by solving the Poisson equations (8.97d)
update the velocity. When convergent solutions for velocity and vorticity are
obtained, one can solve the pressure Poisson equation (8.97f) with the Neu-
mann boundary condition (8.97g) to obtain pressure.
Obviously, the LSFEM based on the first-order velocity-pressure-vorticity
formulation is much more simple, since (1) no Neumann-type boundary con-
ditions (8.97b), (8.97c), and (8.97g) are involved; and (2) neither upwinding
nor staggered grids are needed; (3) the pressure boundary condition can be
handled easily.

For the solution of incompressible Navier-Stokes equations, the LSFEM
based on the first-order velocity-pressure-vorticity formulation is a powerful
technique: together with, for example, Newton's linearization, using CO fi-
nite elements to discretize the equations and minimizing the L2 norm of the
equation residuals leads to a symmetric and positive-definite algebraic system
which can be effectively solved by simple matrix-free iterative methods; this
is a minimization problem rather than a saddle-point problem, the choice of
approximating spaces is thus not subject to the restriction of the LBB condi-
tion; in other words, simple equal-order interpolation with respect to a single
grid for all dependent variables and test functions may be used; only easy
algebraic boundary conditions are imposed, no artificial numerical boundary
conditions for the vorticity need to be devised at boundaries at which the
velocity is specified; accurate vorticity approximations are obtained; neither
upwinding nor adjustable parameters are needed; all variables are solved in
a fully-coupled manner, neither operator splitting nor projection, which may
lead to difficulty of convergence and appearance of spurious vortexes (Gresho
and Chan 1995), are involved.
A possible objection to LSFEM is that LSFEM involves more degrees of
freedom than the Galerkin-type methods based on the velocity-pressure for-
mulation. However, a fair comparison should take into account the size of a
problem that can be solved in the available storage of a computer. As shown
in this chapter, the diagonal preconditioned conjugate gradient method gives
satisfactory results for the symmetric positive-definite systems obtained by
LSFEM. Here only five global vectors need to be stored. Conversely, the
Galerkin-type methods lead to non-symmetric discrete system~. Generally,
GMRES method (see e.g. Saad 1986) is the best choice for solving large
non-symmetric algebraic systems. GMRES typically needs to store 10", 30
global vectors (Brussino and Sonnad 1989). Moreover, the success of GM-
RES depends on using sophisticated preconditioning techniques such as the
incomplete LU factorization which implies that the assemblage of the global
matrix (or at least a block of global matrix) is necessary. Obviously, the
storage requirements can be prohibitive for very large problems.
The least-squares method based on the first-order velocity-pressure-
vorticity formulation also provides a new mathematical tool for theoretical
analysis of the Navier-Stokes equations. The div-curl structure of this for-

mulation allows us to derive all possible boundary conditions and to prove
their permissibility. The least-squares method and the div-curl method are
systematic and consistent methods for deriving second-order versions of the
Navier-Stokes equations and their additional boundary conditions without
generating spurious solutions.
The papers by Jiang and Chang (1990), Jiang (1992), and Jiang and
Povinelli (1990) are the first to introduce the LSFEM based on the velocity-
pressure-vorticity formulation. Subsequently, Jiang et al. (1994a) and Jiang
et al. (1995) applied it to steady-state three-dimensional problems. The mer-
its of LSFEM have been further demonstrated by Lefebvre et al. (1992)
for two-dimensional unstructured triangular meshes; by Tang and Tsang
(1993, 1994, 1997) for two-dimensional flows with thermal convection, doubly-
diffusive flows and three-dimensional Rayleigh-Benard convection; by Tang
et al. (1995) for three-dimensional lid-driven cavity flows; and by Yu et al.
(1996c) for three-dimensional Marangoni-Benard convection. Jiang and Son-
nad (1994) demonstrated that the LSFEM can be easily implemented with
p-version finite elements. Chan et el. (1995) presented impressive results ob-
tained by using the spectral element version of LSFEM.
The theoretical analysis of the least-squares method in the first-order
velocity-pressure-vorticity formulation based on the div-curl theory, the
rigorous derivation of permissible non-standard boundary conditions, and
the derivation of second-order velocity-pressure-vorticity equations appeared
first in Jiang et al. (1994b). The proof of the sub-optimality of the least-
squares method for the velocity (wall) boundary condition case in Sect. 8.2.2
is originally presented in Jiang (1998).
Chang and Jiang (1990) tried to analyze the least-squares method for
the Stokes equations in the first-order velocity-pressure-vorticity formulation
by using the method developed by Aziz et al. (1985) based on the ADN
theory. Bochevand Gunzburger (1994) pointed out that the analysis in Chang
and Jiang (1990) is incorrect for the the velocity boundary condition case.
According to the ADN theory, the functional being minimized in that case
should be
K-(v, q, r) = IIV'q + V' x rllg + IIV' . rllg + IIr - V' x vll~ + IIV' . vll~. (8.98)
Note that this functional involves products of second derivatives of the ve-
locity, and thus the corresponding method is not practical due to the need of
C 1 elements for the approximation of the velocity. In order to overcome this
difficulty, by considering the inverse inequality (2.56) for finite element shape
functions they suggest that the norm II . 111 in (8.98) might be simulated by
h- 1 11 ·110 where h is an appropriate measure of the grid size. Therefore, the
following simple weighted functional is recommended by them:
Their numerical experiments support this idea. Their formulation was ap-
plied to boundary control problems (Bochev and Bedivan 1997). The same
weighted functional (without the \l . T term) was also proposed by Harbord
and Gellert (1991). However, the weighted functional (8.99) perhaps has more
theoretical value than practical value, because (1) for real world problems,
the mesh is often nonuniform, then the question is how to choose the mesh
size h; (2) for practical problems, the boundary conditions are not always
the pure standard velocity condition, they can be mixed with anyone listed
in Table 8.1; (3) more important, in Sect. 4.11 we point out that the least-
squares finite element method with Gaussian quadrature is equivalent to the
least-squares finite element collocation method. In order to obtain a good
approximate solution, the number of Gaussian points must be selected such
that one solves a determined or a slightly overdetermined collocated residual
equations. As discussed in Sect. 4.11, for a determined set of linear alge-
braic equations, weighting has no effect on the least-squares solution. That
is, in practical computations we must do our best to make the weighting have
minimal effect.
Chang (1990) and Chang et al. (1995) also proposed a least-squares
method for the Stokes equations based on the velocity-velocity derivatives-
pressure formulation. This formulation achieves optimal rate of convergence
in the HI norm for the velocity boundary condition case. However, it has too
many variables.
As pointed out originally by Lighthill (1986), velocity and vorticity are
the most suitable variables from the viewpoint of a fluid dynamic description
of incompressible viscous flows. Therefore, the first-order velocity-pressure-
vorticity formulation is preferred for the least-squares method.
9. Convective Thansport
Convective transport phenomena are governed by hyperbolic equations. Con-

vection processes arise in such diverse problems as fluid flow in water re-
sources, oil, gas, and geothermal reservoir simulation, in heat and mass trans-
fer in chemical and nuclear engineering, and air pollution in atmospheric envi-
ronment. Such effects are also present in the convection-diffusion equations,
the Navier-Stokes equations or the vorticity-transport equations of classic
fluid dynamics.
In Chap. 2 we have studied convective transport problems through a sim-
ple example in one dimension. There, it is demonstrated that the central
difference method as well as the intimately related Galerkin finite element
method lead to oscillatory results, and the use of upwinding strategies in
these methods is necessary to represent the uni-directional character of the
propagation phenomenon and to suppress numerical oscillations; it is also
shown that special treatment is not needed in LSFEM, and the upwinding
mechanism is automaticly and naturally generated in LSFEM.
The conclusions drawn from one-dimensional problems are also correct for
multi-dimensional problems studied in this chapter. Here we shall first study
the LSFEM for steady-state pure convection problems with smooth solutions,
and compare the LSFEM with the Galerkin finite element method and the
streamline upwinding Petrov-Galerkin (SUPG) method. We shall prove that
the LSFEM has the same stability estimate as the original equation, namely,
in LSFEM the streamline derivative is well controlled. Numerical convergence
rates are given to show that the LSFEM is almost optimal.
Then we use this LSFEM as a framework to develop the L1 method and
the iteratively reweighted least-squares finite element method (IRLSFEM) to
obtain non-oscillatory and non-diffusive solutions for problems with contact
discontinuities. These new methods produce a highly accurate numerical so-
lution that has a sharp discontinuity in one element. A number of examples
solved by using triangular and bilinear elements are presented to demonstrate
that the method can convect contact discontinuities without error.
Finally we deal with transient problems and compare the LSFEM with
the Taylor-Galerkin method.
202 9. Convective Transport
9.1 Steady-State Problems

We consider the following steady-state convection equation:
up +u = f in 0, (9.1a)
where 0 is a bounded convex domain in lR3 with a piecewise smooth bound-
ary r, u = u(x, y, z) is the dependent variable (e.g., the concentration),
{3 = (/31, /32, /33) is a specified convection vector which may be constant or
spatially-varying, up = {3. Vu denotes the derivative in the (3 direction, and
f E L 2 (0) is a given source function. The inflow boundary lin is defined by
lln = {(x, y, z) E r : n(x, y, z) . {3< O},
r
where n is the outward unit normal to at point (x, z) E y, r.
A boundary
value problem for (9.1a) is given by specifying the dependent variable u on
lln. Assume that, for simplicity without loss of generality, we require
u=O on lln. (9.1b)
For the first-order equation (9.1a) the characteristic equation (4.47) takes
the form:
(9.2)
If al and a2 are arbitrarily given real numbers, we always can solve (9.2)
to obtain a real root a3. Therefore, (9.1a) is hyperbolic. The streamlines
corresponding to the given velocity field {3 = (/31. /32, /33) are determined by
the curves :z:(s) , :z: = (x,y,z), where :z:(s) is the solution of the following
system of ordinary differential equations:
dx
-ds = /31, (9.3a)
dy
-ds = /32, (9.3b)
dz
-ds = /33. (9.3c)
These curves are the characteristics, since their normal direction is (a1' a2, (3).
By virtue of the chain-rule
d au dx au dy au dz
ds (u(:z:(s» = ax ds + ay ds + az ds
au au au
/31 ax + /32 ay + /33 az = (3. Vu,
i.e., along each characteristic the partial differential equation (9.1) is reduced
to an ordinary differential equation:
d
ds u(:z:(s» + u(:z:(s» = o. (9.4)
901 Steady-State Problems 203
The concentration u at any point (x, y, z) can then be determined by inte-

gration along the characteristic passing through (x, y, z) starting on I1no
Throughout this chapter we also use the following notations:
(u, v) = i uvn {3ds, 0
(u, v)out = r
Jrout
uvn {3ds,
0
where
rout = {(x, y) E r : n(x, y) {3
0 ~ O}o
We recall Green's formula
(u,8, v) = (u,v) - (u,v,8), (905)
and thus
1 2
(u,8,u) = 2"l u lr o (9.6)
Further we also define the function space
S = {u E Hl([}) : u = 0 on lin},
and the corresponding finite element subspace Sh, Le. Sh is the space of
continuous piecewise polynomial functions of order ro From the finite element
interpolation theory (Theorem 405) we have: Given a function u E Hr+l([}),
there exists an interpolant Ihu E Sh such that
lIu -lhullo ::; Chr+lllullr+I. (907a)
IIVu - vlIhulio ::; Chrllullr+lo (907b)

Moreover, if u is smooth enough in Ii, then
lu -lIhulr::; Chr+1Ilullr+l. (907c)
The inequality (907c) will be used only for the error estimate of the Galerkin
method, and has nothing to do with LSFEM. We refer to Cialet (1991) for
its proofo
In the error analysis below we will often use the inequality
1 2
2ab ::; £a2 + _b , (908)
c
for a, b real numbers and c > 00
9.1.1 The Classic Galerkin Method
Now let us analyze the following classic Galerkin method for problem (9.1):
Find Uh E Sh such that
(9.9)
Since the exact solution satisfies (9.1), we also have
(9.10)
By subtracting (9.9) from (9.10) we obtain the following orthogonality for
the error e = U - Uh:
(9.11)
Let Ihu E Sh be the interpolant of U satisfying (9.7) and write P = U - Ihu
and "I = Ihu - Uh so that e = P + "I. Then, by using (9.5), (9.6), (9.11) and
(9.8) we have
1
21el} + IIel1 2 = (efJ + e, e) = (efJ + e, p) + (efJ + e, "I)
= (efJ'p) + (e,p) = -(e,pfJ) + (e,p) + (e,p)
212212 212
~ IlpfJllo + 411ello + IPlr + 41elr + Ilpllo + 411ello. (9.12)
By moving all terms related to e into the left-hand side, the inequality (9.12)
becomes
1212 22 2
41elr + 2"e"o ::; IIp/311o + IPlr + IIpllo· (9.13)
Recalling (9.7) we have

IIpfJllo + IPlr + IIplio ~ Ch r llull r +l' (9.14)
From (9.13) and (9.14) it is easy to obtain the error estimate for the classic
Galerkin method:
(9.15)
which is one order lower than optimal. Furthermore, for the continuous prob-
lem (9.1), we have the following stability estimate:
(9.16)
This stability estimate follows by applying the least-squares method to (9.1a),
see Sect. 9.1.3. By letting Vh = Uh in (9.9) it is easy to obtain the stability
estimate for the classic Galerkin method:
(9.17)
which implies that the classic Galerkin method has no control of IIUh,/3l1o.
This explains why the Galerkin solution is oscillatory.
9.1 Steady-State Problems 205
9.1.2 The SUPG Method
In order to get better accuracy and stability, methods incorporating some

form of upwinding have appeared, see e.g., papers by Dendy (1974), Wahlbin
(1974), Christie et al. (1976), Brooks and Hughes (1982), Johnson, et al.
(1984), Morton and Parrot (1980). Below we shall follow Johnson (1987) to
analyze the streamline upwinding Petrov-Galerkin (SUPG) method (Hughes
1987) or the streamline diffusion method (Johnson 1987). The term "Petrov-
Galerkin" is used to indicate that the test functions are no longer the same
as the trial functions for the approximation. The term "streamline upwind"
comes form the term f3 . V'v in the test functions. The SUPG variational
statement is: Find Uh E Sh such that
(Uh,fj + Uh, Vh + hVh,fj) = (I, Vh + hVh,fj) (9.18)
The orthogonality condition for the error is
(efj + e, Vh + hVh,fj) = 0 (9.19)
By using (9.6) it is easy to show that
lIello2 + hiIefjllo2 + -2-

1 + hi 12
er = (efj + e, e+ hefj). (9.20)
On the other hand, by using (9.19) and (9.8) we have

(efj + e, e + hefj) = (efj, p) + (e, p) + h(efj, Pfj) + h(e, Pfj)
h 212122
< 411efjllo + h- IIpllo + '4l1ello + II plio
h 2 21222
+ 411efjllo + hllpfjll + '4llello + h Ilpfjllo' (9.21)
Gathering (9.20) and (9.21), moving the terms related to e into the left-hand
side, we obtain the error estimate for the SUPG method:
(1Iell~ + hllefjll~ + (1; h) lei})! $ Ch r +! Ilullr+1' (9.22)
The error estimate (9.22) implies that

Ilell $ Chr +!lIullr+1, (9.23a)
Ilefjll $ Chrllullr+1' (9.23b)

Thus the L 2-error is nearly optimal, while the L2-error of the derivative in
the streamline direction is optimal.
By taking Vh = Uh in (9.18) we obtain the corresponding stability estimate
for the SUPG method:
(9.24)
which is better than that for the Galerkin method. However, the streamline
derivative in the SUPG method is still less controlled than that in the original
problem (cf. (9.16)). The major weakness of the SUPG method in practical
calculation is the non-symmetry of the resulting algebraic equations that
makes the solution of large-scale problems difficult.
In recent years, Hughes and coworkers have been promoting the Galerkin/
Least-Squares method (Hughes et al. 1989). In this method, which is more
general than the SUPG method and applicable to a wide variety of other
problem types, squares of residuals are added to the classic Galerkin method.
These terms yield improved stability properties with respect to the classic
Galerkin method without degrading the accuracy. For problem (9.1) the for-
mulation of the Galerkin/Least-Squares method is: Find Uh E Sh such that
(Uh,{3 + Uh, Vh) + h(Uh,{3 + Uh, Vh,{3 + Vh)
= (j, Vh) + h(j, Vh,{3 + Vh) VVh E Sh. (9.25)
It is easy to show that the mathematical properties (9.23) and (9.24) are still
valid for the Galerkin/Least-Squares method.
9.1.3 The Least-Squares Finite Element Method
Now let us apply LSFEM to (9.1). For an arbitrary trial function v E S,

we define the residual function R = V{3 + v - f . According to the general
formulation given in Sect. 4.8, for problem (9.1) the least-squares variational
formulation is: Find U E S such that
(U{3 + u, v{3 + v) = (j, v{3 + v) Vv E S. (9.26)
The corresponding LSFEM has the following form: Find Uh E Sh such that
(Uh,{3 + Uh, Vh,{3 + Vh) = (j, Vh,{3 + Vh) VVh E Sh. (9.27)
Since the residual of the approximate solution R(Uh) = Uh,{3 + Uh - f =
e{3 + e, we can obtain the error estimates from Theorem 4.7 :
IIR(Uh)IIo = IIe{3 + ello :5 Chr llullr+l, (9.28a)
IIelio :5 Ch r llullr+l, (9.28b)
which show that the residual estimate is optimal, but the error estimate
for e is one order lower than optimal. In numerical tests (see below) we have
observed that the accuracy of the least-squares method is higher than the rth
order. It is still an open question whether a better theoretical error estimate
for general two- or three-dimensional problems can be obtained.
By using Green's formula (9.5) and the boundary condition (9.1b), esti-
mate (9.28a) can be rewritten as
(lIell~ + Ile{3ll~ + (e,e)out}! :5 Ch r llullr+l, (9.29)
which shows that the error estimate for e{3 is optimal.
By taking v = U in (9.26), we can obtain the stability estimate for the
continuous problems:
9.1 Steady-State Problems 207
Ilullo + lI ut3llo + lulr :::; 0111110. (9.30)

By taking Vh = Uh in (9.27), we can obtain the stability estimate for LSFEM
solution:
(9.31)
The estimate (9.31) is of the same structure as estimate (9.30) for the original
problem (9.1). It means that the least-squares method has better control of
the streamline derivative than the SUPG. We also note that the bilinear form
in (9.27) is symmetric and coercive. Therefore, the matrix of the resulting
algebraic system is symmetric and positive definite. This is a very impor-
tant advantage of the least-squares method over other methods in practical
computation.
Numerical Results. We choose the following model problem:
au au .
ax + ay =sm(x+y) in n, (9.32a)
u=o (9.32b)
where n = {(x,y) E 1R?: 0 < x < 1,0 < y < I} is the unit square, and
rin = {(x, y) E r : x = 0 or y = O}, in which r is the boundary. This
problem has a smooth exact solution u = sin(x)sin(y).
A uniform meshes with n x n bilinear elements is employed. At first, one-
point Gaussian quadrature was used for calculating element matrices. As
pointed out in Sect. 4.11, in this case, the LSFEM is equivalent to the least-
squares finite element collocation method with one collocation point at the
center of each element. It is easy to check that in such a collocation method,
the number of discretized algebraic equations is equal to n 2 ; while the number
of unknowns is also equal to Nnode - Nbc = (n + 1)2 - 2 x n - 1 = n 2 • In
other words, in such a case we solve a determined system. The numerical
result for the convergence rate is shown in Fig. 9.1. The optimal rate, i.e.
lIelio '" O(h2), is observed. The numerical rate of convergence with the 2 x 2
Gaussian rule is also included in Fig. 9.1. In this case, the LSFEM solves an
overdetermined system. The convergence rate is around O(h1.75), which is
suboptimal.
We also repeated the numerical tests with specified extra boundary con-
ditions on the outflow boundary rout = {(x, y) E r : x = 1 or y = I}. In this
case, the least-squares method with 2 x 2 Gaussian rule gives the optimal
rate of convergence Ilello '" O(h2) (Fig. 9.1). .
From these numerical results we may conclude that the LSFEM for the
hyperbolic equation has an optimal or near optimal rate of convergence de-
pending on the number of Gaussian points in the calculation of element ma-
trices. More Gaussian points yield slightly less optimal results, because the
least-squares method is not able to make the residual of each equation in the
overdetermined system equal to zero.
....... x IX I
............ I 2X2 EX
6.5
-- 0 2X2
~ 5.5
r.q
"-
t.!>
C
'-'l
I 4.5
3.5
1.5 2.5
-[De(H)
Fig. 9.1. Computed convergence rate for the pure convection problem (from Jiang
1993)
9.2 Contact Discontinuity
9.2.1 Introduction
We shall consider the following steady-state boundary value problem:

Uf3=O inn, (9.33a)
U = g on Iin, (9.33b)
where g is the specified data on the inflow boundary Fin. The characteristics of
problem (9.33) are the streamlines defined by (9.3), and the analytic solution
of problem (9.33) is constant along a characteristic. The value of this constant
is equal to the given value of g at the intersection of this characteristic and the
inflow boundary. Thus the solution will be discontinuous with a jump across
a characteristic curve for two-dimensional cases or a characteristic surface for
three-dimensional cases, if the boundary data g is discontinuous.
Usually one uses finite difference or finite element methods based on a
me~ which may not be adapted to fit the characteristics of the particular
problem. In such a case, if the exact solution has a jump discontinuity (con-
tact discontinuity) across a characteristic, all conventional finite difference
and finite element methods will produce approximate solutions which either
oscillate or smear out a sharp front. Finding accurate approximations of the
discontinuous solutions of hyperbolic equations has been a persistent difficult
task in modern numerical mathematics and computational physics.
9.2 Contact Discontinuity 209
This trouble comes from the fact that all existing conventional methods
are based on discretization of the following equation:
au + f32-
f31-
au + f33-
au = 0 in n (9.34)
ax ay az
in the Cartesian coordinates instead of (9.33a) in the streamline coordinates.
If the boundary data 9 is discontinuous, then (9.33a) and (9.34) are not equiv-
alent mathematically. Equation (9.33a) admits a solution that is discontinu-
ous in the direction a: = (Q b Q2, Q3) which is orthogonal to the streamline
direction (3, because in (9.33a) there is no derivative term with respect to
the a: direction. However, if the solution is discontinuous, (9.34) and its dis-
cretized version do not hold, since at least one of the derivatives with respect
to the coordinate direction approaches infinity across the jump. Common
methods do not account about this trouble, and force (9.34), which looses
meaning in the "shock" cells or elements where the front is located, to be
satisfied everywhere, and this leads to an oscillatory and diffused solution
around the contact front.
If we can identify the "shock" elements, and permit the equations in
the "shock" elements not to be satisfied while requiring that the equations
in remaining elements be satisfied exactly, the solution will then not have
oscillations. This idea can be realized by minimizing the L1 norm of the
residuals of the overdetermined linear algebraic equations.
The L1 idea can be explained as followings. In tp.e usual L2 (least-squares)
curve fitting approach, the L2 procedure does its best in the sense of least-
squares of the residual to make the curve pass by all of the data. If the data
are smooth, the L2 fitting leads to a very good approximation. However, if the
data contain abrupt changes, the L2 procedure will produce an oscillatory and
diffuse curve around sharp changes. In such a case, the L2 fitting makes the
use of individual datum equally important. The tendency of L1 fitting is to
give up the outliers in the data and to require the remaining data be satisfied
exactly. Therefore, L1 fitting is the choice for discontinuous functions. The
same thing happens in the L2 and L1 solutions of discretized hyperbolic
equations. The L1 approach translates into a capacity to totally give up the
equations in the "shock" elements, in which the discretized scheme is not
valid, while making the residuals in the smooth elements be zero exactly.
9.2.2 The L1 Solution to Linear Algebraic Equations
To reveal some important properties of the L1 method, we considered the L1

solution of the following overdetermined linear algebraic equations:
k12
k22
!::) (::) = (~:), (9.35)
k nrn Urn In
or simply
kiu = Ii, i=I, ... ,n, (9.36)
where the number of equations n is greater than the number of unknowns
m, and the rank of the augmented matrix (see (4.81)) equals to m + 1. The
L1 method is a special case of the general Lp (1 ~ p < 00) methods that
minimize the following summation of the pth powered absolute value of the
residuals:
Ip(u) = W11kuU1 + k12U2 + ... + k1mum - /tIP
+ W21k21U1 + k22U2 + ... + k2mum - hiP
+
+ Wnlkn1U1 + kn2U2 + ... + knmum - InI P, (9.37)
where (Wi> 0, i = 1, ... , n) are the weighting factors. We have already stud-
ied the case p = 2 in Sect. 4.11. Since 12(u) is a continuously differentiable
function of u, the minimizer of 12(u) can be found easily by using the cal-
culus, and the L2 minimizer is the solution of the normal equation (4.83).
However, the situation in the case p = 1 becomes difficult. In fact, it is not
a simple task to find a L1 minimizer. Since the residuals are linear functions
of u, It (u) is a piecewise linear function of u, and its derivatives with re-
spect to u are piecewise constant. In other words, the L1 norm is not globally
differentiable. Therefore the calculus is useless for finding the L1 minimizer,
except for the problems with only one unknown. It is for this reason that
people rely on linear programming to deal with L1 problems.
In the rest of this section we review some basic knowledge about the
L1 solution to the linear algebraic equations. More details can be found in
Bloomfield and Steiger (1983).
Let us first consider the simplest overdetermined system with only one
unknown:
k 1u = It,
k2u = 12,
= ... ,
knu = In, (9.38)
where we assume that the rank of the augmented matrix is 2, and ki (i =
1, ... , n) is not equal to zero. The L1 solution problem is to find a minimizer
of the L1 distance function
n n
11(u) =L Ikiu - Iii = L
IRi(U)I· (9.39)
i=1 i=1
Now imagine that /i/ki ~ 1i+1/ki+1, which can always be arranged by
renumbering the data. If we restrict u to the interval (fq/kq, I q+1/kq+1) ,
11 (u) in (9.39) becomes
q n
It(u) = L Ikil(u - fi/ki) - L Ikil(U -/i/ki ). (9.40)
i=1 i=q+l
Differentiation reveals that
dIt(u) = ~ Ikil- ~ Ikil,

du ~ .L..J
0=1 t=q+l
which is a constant that cannot decrease if q increase. Since It (u) ~ 0 is
continuous, It (u) must be piecewise linear and with a non-decreasing deriva-
tive, as shown in Fig. 9.2. As revealed by Fig. 9.2, when u increases in the
given data range, 11 (u) always decreases first, then increases. The minimizer
always exists, even though dI1(u)/du may not be zero.
If dIt (u ) / du = 0 for an interval (fq/ kq, f q+1 / kq+1), any u in the closure
of this interval minimizes 11 (U ). This proves the following lemma.
Lemma 9.1 I 1 (u) in (9.39) has a minimizer u = fi/ki for some i = 1, ... , n,
say i = q. Thus, the Ll solution to (9.38) satisfies exactly at least one equa-
tion, i.e., the residual Rq(u) is zero.
11
:&/k, f:dk. folk. f../k.
u
Fig. 9.2. Graph of h(u)
This motivates a crude algorithm:
Algorithm 9.1 First, compute Ui = /i/k i , i = 1, ... , nj Then, evaluate

11 (Ui), i
= 1, ... , n and find the minimum, say 11 (uq), and the minimizer
uq •
A distinct feature could be understood in this simplest context. As men-

tioned, u can be non-unique. For example, any u E [1,2] is the Ll solution
to
u = 1,
u = 2. (9.41 )
The next is an important theorem on the L1 solution to system (9.35).
Theorem 9.1 (The Existence of the L1 Minimizer) There exists a minimizer

U E lRm of I1(u) = E~=1IkiU - Iii = E~=1IRi(U)1 for which ~(u) = 0 for
at least m values of i, say il, ... , i m .
Prool: Assume that the initial u satisfies exactly some equations in (9.35). Let
Zu = {i : Ii = kiu} and suppose that the number of independent equations
in Zu is equal to s > O. Because s < m, we can choose v -# 0 E lRm such
that kiv = 0, Vi E Zu, and kiv -# 0 for some i f/. Zu' We then consider
u(t) = u+tv t E lR.
L IWi -tzil, (9.42)

i!i!'Zu
where Wi = Ii - kiu = Ri(U) -# 0 and Zi = kiv. Because Zi -# 0 for some

i f/. Zu, Lemma 9.1 applies to show that the minimizer of (9.42) is tq =
w q / Zq, q f/. Zu. Note also that tq -# 0, since Wi -# 0, Vi f/. Zu'
In passing from the current solution u satisfying s < m equations to u(tq ),
the L1 criterion has not increased because I1(u) = h(u(O)) ~ h(u(tq )). The
new solution satisfies s + 1 equations. Since the argument applies whenever
s < m, the theorem is proved. 0
When m = 1 Theorem 9.1 reduces to Lemma 9.1.

Theorem 9.1 implies that the minimizer u can be computed using the
following crude algorithm:
Algorithm 9.2 For each distinct subset J = {i1, ... , jm} of {1, ... , n} of size
m, when possible solve kiu = Ii, i E J for u, U is the u that minimizes 11.
The need to solve C::, linear equation systems of size m is a measure of

the difficulty of the L1 method. All current practical algorithms utilize the
linear programming characterization in Theorem 9.1 in a more sensible way
but are still very expensive. The details of linear programming algorithms is
beyond the scope of this book, we refer the reader to Bloomfield and Steiger
(1983).
At this stage we should not worry about the efficiency of the 11 method.
We appreciate its important and unique feature: For an overdetermined sys-
tem of linear equations the 11 solution exactly satisfies some equations and
permits the remaining equations not satisfied.
9.2.3 The L1 Finite Element Method
In this section we shall combine the 11 concept with finite element inter-
polation to obtain highly accurate and non-oscillatory solutions for contact
discontinuities. The 11 method must be based on an overdetermined sys-
tem. Fortunately, it is trivial to have an overdetermined system in the fi-
nite element context. As discussed in Sect. 4.11, the LSFEM with numerical
quadrature is equivalent to the weighted least-squares finite element collo-
cation method, in which the equation residuals are first collocated at the
interior points in each element, then the algebraic system is approximately
solved by the weighted least-squares method. The Gaussian points for calcu-
lating the element matrices in LSFEM correspond to the collocation points
in the collocation method. If the order of the Gaussian quadrature or the
number of quadrature points is appropriately chosen, the LSFEM amounts
to solving an overdetermined system. For the same reason, the 11 finite el-
ement method with the Gaussian quadrature is equivalent to the 11 finite
element collocation method.
Let us consider problem (9.33). The 11 method is based on solving a
weighted 11 problem: Find the minimizer Uh of
Nelem NCauss
11 (uh) = L (L
j=11=1
Wl w dRdlJ(€z,7]I)I).,
J
(9.43)
in which
(9.44)
and RI stands for the residual at each Gaussian point, NGauss denotes the
number of Gaussian points, WI is the weight of the Gaussian quadrature,
WI is an additional weighting factor, IJI is the determinant of the Jacobian
matrix, and (€I, 7]1) is the local coordinates of the Gaussian points. As usual,
Uh can be expressed as
Nnode
Uh(€, 7]) = L
1/Jm(€,7])U m, (9.45)
m=1
where "Nnode" is the number of nodes in an element, 1/Jm denotes the shape
functions, and Um is the nodal values. In order to make problem (9.43) mean-
ingful, the number of Gaussian points NGauss should be chosen such that
Nelem x NGauss is greater than the number of the total unknown nodal val-
ues.
Constant Convection Field. We consider the following two-dimensional

problem with a constant convection vector:
au au n,
ax + tan(,8) ay = 0 in (9.46a)
where n = {(x, y) E IR2 : 0 < x < 1, 0 < y < I} is the unit square with the
boundary r. The inflow boundary conditions are
U =2 on n = {(x, y) E r: x = O}, (9.46b)
U = 1 on r 2 = {(x, y) E r :x > 0 and y = O}. (9.46c)
Equation (9.46) represents uniform flow along straight lines inclined at an
angle of ,8 with respect to the x-axis. The jump discontinuity occurs along
the line y = xtan(,8). In this case, the analytic solution is
U = 2 on and above the line y = xtan(,8),
U = 1 below the line y = xtan(,8).
Consider a uniform n x n mesh generated by linear triangular elements,
such as that shown in Fig. 9.3. We use the finite element collocation method
with one Gaussian point in each triangle. In this approach there are 2n2
elements for n x n grids, so we have 2n 2 equations. Since there are (n + 1)2
nodal values and (2n + 1) boundary conditions, the number of unknowns is
(n + 1)2 - (2n + 1) = n 2 • That is, the number of equations is two times
of the number of unknowns. Therefore, the Ll method amounts to solving
an overdetermined system. It does not make sense to take more collocation
points in each element, because in a linear triangular element aUh/aX and
aUh/ay are constant, and thus the residuals at different points in an element
are the same. Now the Lp norm of the residuals is defined as
Nelem
Ip = L WjIRjIP, (9.47)
j=1
where the Gaussian weights and the Jacobians have been suppressed, since
they are constant and thus have no effect. The general Lp method is based on
minimizing the total Lp norm of the equation residuals in the whole domain.
Here we must emphasize the words "total" and ''whole'', since the correct
solution or the minimizer of the total Lp norm may not minimize the Lp
norm for each element or for a local subdomain.
For two typical linear triangles shown in Fig. 9.4, the residuals of (9.46a)
can be expressed as
Rupper = Une - Unw + tan (,8) (Unw - Usw ), (9.48a)
Rlower = Use - Usw + tan(,8) (Une - Use), (9.48b)
in which the uniform mesh size h has no effect and thus has been suppressed.
6
3Q---------~---------Q9
2~--------~---------e8
Fig. 9.3. A 2 x 2 mesh with eight tri-

1"'---------.....----------41 7 angular elements
As the simplest example, we assume that (3 = 35° and the domain is

divided into two triangles shown in Fig. 9.4. Due to the inflow boundary
condition, we know that
The unknown is Une = U*. By using (9.48) the L1 norm of this problem can
be written as
11(U*) = IU* - UL + "I(UL - UL)I + IUR - UL + "I(U* - UR)I, (9.49)
where "I = tan(35°).
Unw~--------------..QUne
, ,
,,
,
,,
upper
, ,,
triangle ,,,
,,
,,,
,
,,
: 75' Fig. 9.4. Two typical linear tri-
,
angular elements
Usw t'J-------.....'--"'-o4) Use
A
By substituting UL = 2 and UR = 1 into (9.49) we have

11(U*) = IU* - 21 + I"IU* - (1 +"1)1· (9.50)
According to Algorithm 9.1 the feasible solutions of U* are 2 and (1 + "1)1"1.
When {3 = 35°, then (1+"1)1"1 = 2.4281. Since h(2) = 0.2998 < h(2.4281) =
0.4281, the minimizer of 11 in (9.50) is U* = 2, and the equation in the upper

triangle is exactly satisfied.
In the above example, if /3 = 75°, then (1 + 'Y)h = 1.2679, and
11 (1.2679) = 0.7321 is less than It (2) = 2.7321. Therefore, U* = 1.2679
is the minimizer, and the equation residual in the lower triangle is equal to
zero exactly. Although, in this case U* equals neither 2 nor 1, it is still a cor-
rect solution. Since U* should be equal to the given boundary value at the
point A in Fig. 9.4, and according to the linear interpolation UA = 1.2679.
Clearly, for these simple examples with both /3 ~ 45° and /3 > 45° the
L1 method produces correct solutions.
As another example, we choose a uniform 2 x 2 mesh with eight triangles
illustrated in Fig. 9.3 to analyze. For simplicity, assume that all boundary
data are given in advance, namely, the conditions on the outflow boundary
are also prescribed. In this case, referring to Fig. 9.3, the boundary conditions
are the following:
U1 = U2 = U3 = U6 = Ug = UL = 2,
U4 = U7 = Us = UR = 1.
In this problem, the only unknown is the nodal value Us = U* at the middle
node 5.
By using (9.47) and- (9.48) the Lp norm of this problem is given by
Ip(U*) = W11U* - UL + 'Y(UL - U*)IP
+ W2 IU* - UL + 'Y(UL - UL)IP
+ W3IUR - UL + 'Y(U* - UR)IP
+ W4IUR - U* + 'Y(U* - UR)IP
+ WSIUR - U* + 'Y(UL - UR)IP
+ W6IUL - UL + 'Y(UL - U*)IP. (9.51)
At first let us examine the case p = 1 with Wi = 1. This is also the simplest
L1 minimization problem that we have studied in the previous section. Due
to Lemma 9.1, the minimizer exists. As an exercise we would like to use
Algorithm 9.1 to find the minimizer. According to the standard form (9.39),
we may write It (U*) as:
It(U*) = 1(1 - 'Y)U* - (1 - 'Y)ULI
+ IU* - ULI
+ I'YU* - (UL - (1 - 'Y)UR) I
+ 1(1 - 'Y)U* - (1 - 'Y)UR) I
+ IU* - ('YUL + (1 - 'Y)UR) I
+ I'YU* - 'YULI· (9.52)
Substituting 'Y =
0.7002, UL = 2 and UR = 1 into (9.52), and using the
first part of Algorithm 9.1 we find that the candidates for the minimizer are
2,2,2.428,1,1.700 and 2 which are the solution of the collocated equation in

the corresponding element. A further computation reveals that II (2) = 0.8994
is the minimum. The correct solution U* = 2 is the Ll minimizer. In this
case, three equations taken from the elements 1,2,6 are exactly satisfied,
whereas other three equations from the elements 3, 4, 5 are given up.
15.0
\
- - L1
\\ --- L2
10.0 \
\
\
,so
5.0
Fig. 9.5. Graph of

0.0 Jp(U*)
0.0 1.0 2.0 3.0
u*
In fact, it is easy to find the minimizer of the Lp norm in (9.52) by the

graphical method. Figure 9.5 shows Ip(U*), Wi = 1 for p = 1,2. From Fig.
9.5 we clearly see that It reaches a minimum at the exact solution U* = 2.0,
and 12 has a minimum at U* = 1.94 which is a good approximation of the
correct solution.
In the next numerical experiment for the original problem (9.46) we still
choose a uniform 2 x 2 mesh with eight triangles shown in Fig. 9.3. This time
the boundary data are given only on the inflow boundary:
U1 = U2 = U3 = UL = 2,
U4 = U7 = UR = 1.
Now the unknowns are the nodal values U5 , U6 , Us and Ug at the nodes 5,6,8,
and 9, respectively. In this case, the equations in the elements 7 and 8 must
be taken into account. The Ll finite element method corresponds to the Ll
finite element collocation method which deals with eight equations in four
unknowns. By using Algorithm 9.2 or the linear programming algorithm of
Barrodale and Roberts (Bloomfield and Steiger 1983), one can find the Ll
solution: U5 = U6 = Ug = 2, Us = 1 which are correct discontinuous solutions
for the problem.
9.2.4 The Iteratively Reweighted LSFEM
The L1 solutions are non-oscillatory, highly accurate and right up to the

edge of the discontinuity. However, rigorous L1 minimization based on linear
programming is expensive; for large practical problems we need an efficient
method. Since the LSFEM discussed in Sect. 9.1.3 produces a very good ini-
tial approximation to the exact discontinuos solution, we can use this initial
information to find "shock" elements where the absolute value of the residuals
are larger than that in the smooth elements. Then we use the least-squares
method again. But this time we put a small weight for the equation residuals
in the "shock" elements to suppress their interference, and repeat this pro-
cedure a few times until a convergent discontinuous solution is reached. This
is the iteratively reweighted least-squares finite element method.
Reweighting must be based on an overdetermined system, because weight-
ing has no effect for determined linear equations as explained in Sect. 4.11.1.
We have emphasized many times that the LSFEM with numerical quadrature
is equivalent to the weighted least-squares finite element collocation method;
the LSFEM with an appropriate order of the Gaussian quadrature amounts
to solving an overdetermined system.
Let us consider problem (9.33). The iteratively reweighted least-squares
method is based on repeatedly solving a weighted least-squares problem: Find
the minimizer Uh of
Nelem NGau ••
I(uh) = L (L W1wI(RI)2I J (el,1}I) I);, (9.53)
;=1 1=1
in which
1
WI = (I RI 16previous + f )' (9.54)
where WI denotes the weight set, which depends on the information from the
previous step, f is a very small positive number, for example f = 1.0E-20,
to prevent an overflow in computation, and all other notations have been
defined in (9.43) and (9.44).
The IRLSFEM would begin with the initial weight WI = 1. This first
step is nothing but the least-squares method introduced in Sect. 9.1.3. The
result then determines a new set of weights by (9.54). In the second iteration,
the residual IRzI is larger in the "shock" elements. Thus the weight WI for
the "shock" elements is smaller, and their influence becomes less important.
This procedure is repeated until IIUhcurrent - uhprevlou.11 is small. Our numer-
ical experiments reveal that the difference between the residuals of "shock"
elements and those of their neighboring elements in the first least-squares
solution is not significant enough. We put the sixth power in (9.54) in or-
der to additionally increase the importance of "smooth" elements and reduce
the contamination of "shock" elements, and also accelerate the convergence.
This is reasonable, since we want to eliminate completely equations which
will have nonzero residuals from the system. This trick is applicable because
the non-weighted least-squares method is good enough to locate the "shock"
elements. That is, in the results of LSFEM, the absolute value of the residuals
in the "shock" elements is always greater than that in other elements.
We may use another simple and reliable "shock" indicator - the variation
of nodal values in each element - instead of the residual. The variation is
defined as
Nnode
v= L IUm -Um - 11 U o = UNnode. (9.55)
m=1
Therefore, the following weight is suggested:
1015 if IVI~revious < 10- 7 ;
W/= { 1
otherwise. (9.56)
I VI:reV!OUB
Here some measures have been taken to prevent overflow. The advantage of
using the variation as a "shock" indicator is as follows: Once the jump in
the boundary data is given, we may know the exact values of the variation
in the "shock" elements in advance. There are only a few possible values,
which depend on the type of finite element and are independent of the shape
and size of the particular element, and have no relation with the location of
quadrature points.
The implementation of this reweighted least-squares method is relatively
straightforward. If a least-squares finite element code is already available, it
needs only a few additional lines of FORTRAN statements.
9.2.5 Numerical Results of IRLSFEM
Constant Convection Field. We consider (9.46) with {3 = 35° as an exam-

ple. Most of the computational results presented in this section are obtained
in double precision on a PC-386. A direct solver with variable band-width is
used to obtain the solution of the resulting linear algebraic equations. The
computing time can be significantly shortened by using the preconditioned
conjugate gradient method, since the least-squares solution is already close
to the accurate solution and final iterations are performed often just for cor-
recting one or two nodal values which have not yet reached 15-digit accuracy.
Many numerical experiments were carried out by using linear triangular
elements on both structured and unstructured meshes and also by using bi-
linear elements on uniform meshes, from very coarse (1 x 1, 2 x 2 and 5 x 5)
to fine (100 x 100) meshes. In all cases, we obtained perfect discontinuous
solutions with nodal values of correct 15-digits. These solutions have neither
oscillation nor diffusion. The transition over the discontinuity is accurately
located in the vicinity of the line y = xtan({3), and is accomplished across
just one element.
For triangular elements, we use one-point Gaussian quadrature. The

IRLSFEM results for n = 5 (50 triangles) are listed in Table 9.1. In this
table the number at the left lower corner is the nodal value at x = 0 and
y = 0; the number at the right upper corner is the nodal value at x = 1 and
y = 1; the rest of the numbers are the nodal values at the corresponding lo-
cations. This solution is obtained after 5 iterations and is correct to 15 digits.
The IRLSFEM solution for n = 15 (450 triangles) is illustrated in Fig. 9.6.
Table 9.1. Nodal values of IRLSFEM solution for constant convection problem
(50 triangles) (from Jiang 1993)
2.00000000000000 2.00000000000000 2.00000000000000 2.00000000000000 2.00000000000000 2.00000000000000

2.00000000000000 2.00000000000000 2.00000000000000 2.00000000000000 2.00000000000000 2.00000000000000
2.00000000000000 2.00000000000000 2.00000000000000 2.00000000000000 2.00000000000000 2.00000000000000
2.00000000000000 2.00000000000000 2.00000000000000 2.00000000000000 1.00000000000000 1.00000000000000
2.00000000000000 2.00000000000000 1.00000000000000 1.00000000000000 1.00000000000000 1.00000000000000
2.00000000000000 1.00000000000000 1.00000000000000 1.00000000000000 1.00000000000000 1.00000000000000
Fig. 9.6. Contours of IRLSFEM solution for constant convection problem (50
triangles) (from Jiang 1993)
For bilinear elements we use 2 x 2 quadrature. In each element we may

write the finite element approximation of U as a bilinear function:
Uh(X , y) = a + bx + cy + dxy .
Thus the residual is

OUh OUh
Rh = ax + tan(,8) oy = b + tan(,8)c + d(y + xtan(,8)),
which means that the four discretized equations at four Gaussian points are
independent in this case. (If the flow is inclined at an angle of 45 0 or 135 0 with
respect to the x-axis, we have three independent equations, because the lo-
cation of Gaussian points is symmetric.) All together we have 4n 2 equations
involving n 2 unknown nodal values. Therefore, we deal with an overdeter-
mined system.
The contours of the least-squares solution on a mesh with 40 x 40 bilinear
elements are illustrated in Fig. 9.7. This approximate solution is reasonably
good, although the discontinuity is smeared out. Taking this initial least-
squares solution, and after 8 steps of processing, we obtained a clean, non-
diffusive solution illustrated in Fig. 9.8.
Fig. 9.7. Contours of LSFEM solution for constant convection problem (40 x 40
bilinear elements) (from Jiang 1993)
Spatially Varying Convection Field. Following Deconinck et al. (1991),

we considered problem (9.33) in the unit square with a circular convection
field:
(31 = y, (9.57a)
(32 = 0.5 - x, (9.57b)
and boundary conditions:

U(O, y) = 0, (9.57c)
Fig. 9.B. Contours of IRLSFEM solution for constant convection problem (40 x 40
u(x, 1) = 0, x 2 0.5 (9.57d)

o x<0.17;
u(x, 0) = {1 0.17 < x < 0.33; (9.57e)
o 0.33 2 x < 0.5.
The mesh with 100 x 100 uniform bilinear elements is employed. The size of
the elements in this mesh is 0.01 (comparing with 0.005 in the mesh used
by Deconinck et al. 1991). Therefore, we have modified the data a little bit
in (9.57e) in order to make them consistent with our COarser mesh. In the
least-squares finite element solution with 2 x 2 quadrature, as seen in Fig.
9.9, the input distribution (the left half of the lower boundary) is smeared
quite a bit by the time it reaches the outflow (the right half of the lower)
boundary. Starting from this diffused solution, we still obtained a completely
non-oscillatory and non-diffusive solution with correct jumps across just one
element. However, the location of computed contact discontinuities on the
outflow boundary has deviation of one or two grids from the exact solu-
tion. As indicated in Sect. 9.1.3, we may use reduced integration (one-point
quadrature) to obtain a better initial solution which is oscillatory but con-
tains correct information about the location of discontinuities. Starting from
this oscillatory solution, after 8 reweighted iterations with 2 x 2 quadrature
we obtain a perfect 14-digit correct discontinuous solution shown in Fig. 9.10.
The distribution of u on the bottom boundary of the domain is shown in Fig.
9.11. To our knowledge, no other currently available methods can produce
such a sharp and highly accurate resolution.
Remark. The L1 method and the iteratively reweighted LSFEM are de-
signed for problems with discontinuous solutions and obviously cannot be
Fig. 9.9. Contours of LSFEM solution for circular convection problem (100 x 100
Fig. 9.10. Contours of IRLSFEM solution for circular convection problem (100 x
100 bilinear elements) (from Jiang 1993)
9. Convective Transport
I-
~ -'- I I I I I I I I
!boO 0.2 0.4- 0.6 O. 1.0
X
Fig. 9.11. Boundary distribution of u for circular convection problem (from Jiang
1993)
used for problems with purely smooth solutions such as problem (9.32). In
the smooth case the L1 method will take elements with larger gradients as
"shock" elements and completely ignore them, and will then yield a wrong
discontinuous solution. For problems with smooth data, we should use the
ordinary LSFEM.
If the given data 9 in problem (9.33) are varying along the boundary
I1n with large gradients and a very small jump, any method will have dif-
ficulty. This is related to the numerical measure of discontinuity which is
different from the mathematical definition of discontinuity. That is, we must
distinguish discontinuity from large gradients. The distinction can be realized
easily by using fine meshes such that the difference between the nodal values
at any two neighboring nodes on I1n is less than the jump and by specifying
an appropriate level for a particular problem. Only if the variation indicator
of an element defined in (9.55) exceeds this level, should the contribution of
this element be eliminated.
The choice ofthe sixth power in (9.54) or (9.56) is based on our experience.
In fact, the method is not sensitive to the number of the power. The 3rd,
4th, 5th, 7th ... powers, all of them, work well. The only difference is that the
number of iterations to convergence is different. Here the essential issue is
how to completely eliminate the equations in the "shock" elements, and it
doesn't matter what means are employed.
Lowrie and Roe (1994) tried to analyze the L1 method and the itera-
tively reweighted least-squares method, and claimed that they had "proved"
a "distressing theorem" which says that correct discontinuos solutions cannot
9.3 Transient Problems 225
minimize any weighted residuals and the minimizer of any weighted residuals
cannot be a correct solution. Clearly, their statement is incorrect, because it
is against the residual minimization theorem (Theorem 4.2) which is rigor-
ously proved in a very general situation. In particular, their "mathematical
analysis" is erroneous. They mistakenly chose a segment of solution to inves-
tigate, and found that the correct solution does not minimize the Ll norm of
a sub domain, and hence made their conclusion. As pointed out in Sect. 9.2.3,
the minimizer of the global Ll norm may not minimize the local Ll norm of
a subdomain. Moreover, the Ll norm is the summation of the absolute values
of the element residuals, and thus is a piecewise linear function; therefore as
emphasized in Sect. 9.2.2, to find a Ll minimizer is not a simple task that can
be performed just by using easy calculus which they adopted. Unfortunately,
in their calculation of the derivative of IRil with respect to the unknown, the
sign of the absolute value was completely ignored.
9.3 Transient Problems
In this section we consider transient convection problems:

au
at +.B' Vu = 0 in !l x (0, T), (9.58a)
u= 9 on Iln x (0, T), (9.58b)
u = Uo in!l at t = 0, (9.58c)
where the convective velocity vector f3 is assumed known and divergence-

free in !l, and is time-independent for simplicity. The smooth boundary data
9 is prescribed only On the inflow boundary Iln' and the initial value Uo is
sufficiently smooth.
9.3.1 The Taylor-Galerkin Method
The classic Galerkin variational problem is to find u E S = {Hl(!l) : u =

9 on rin} for eacht, such that
\:Iv E V = {Hl(!l) : v = 0 On Iln}, (9.59)
together with the initial condition

u(O) = uo.
For convective transport problems, as in the steady-state case, the classic
Galerkin finite element method suffers from spurious oscillations in the same
way as the central finite differencing, see an example in Sect. 2.7.5. Moti-
vated by backward differencing to reflect the 'upstream' dependence of the
solution, the Petrov-Galerkin method and the streamline upwind Petrov-

Galerkin (SUPG) method were developed. Their formulations are similar to
those in the steady-state case (see Sect. 9.1.2).
One of appropriate approaches for transient problems is the Taylor-
Galerkin Method developed by Donea (1984). It is motivated by the ideas of
the Lax-Wendroff scheme in the finite difference method. Let us briefly de-
scribe the Taylor-Galerkin method. Since (9.58a) defines an evolution state-
ment, there must exist a Taylor expansion
1 2 n 1
u n+1 = un + Lltunt + _Llt
2 u tt + _Llt
6 3 unttt + O{Llt4) , (9.60)
where un is for u{x, t n ), Llt = tn+l - tn, and the subscript "t' denotes the
order of temporal derivative at tn. Equation (9.58a) permits restatement of
the successive derivatives with respect to time in (9.60) as
Ut = -{3 . \1u = -u/3, (9.61a)
Utt = -{3 . \1Ut = {3 . \1{{3 . \1u) = u/3{3, (9.61b)
Uttt = Ut/3{3' (9.61c)
Substituting (9.61) into the Taylor series (9.60) and rearranging some
terms yields the following semidiscrete equation:
( 1 - "61 Llt20{3{3 )(u +Llt_u

n 1 n )
= -u3
1
+ 2Lltu3/3 + O{Llt3 ) , (9.62a)
or
(9.62b)
where o{3 denotes the directional derivative {3 . \1.

Testing (9.62) against v E V and using Green's formula (9.5) we obtain
the Taylor-Galerkin variational statement: Find U E S such that
n 1 2 ((u n+1 -
( U +Llt- un ,V) 1
+ "6 Llt Llt
un)
{3' V{3
)
Vv E V. (9.63)
For simplicity of exploration we consider a scalar, one-dimensional version
of problem. In the case of a uniform mesh of linear elements, (9.63) takes the
following form at an interior node j:
[1 + ~(1 - c2 )82 ] (Uj+l - Uj)
(9.64)
where c = {3LJ.t/h is the CFL (Courant-Friedrichs-Lewy) number, and 82 is

the standard notation for the central difference operators, namely,
(8 2 U)j = Uj+l - 2Uj + Uj- 1 •
The scheme in (9.64) represents a third-order accurate time-marching
method. Its stability condition is c ~ 1. The condition for numerical sta-
bility is c ~ 1/(2v'2) = 0.353 for the two-dimensional version, and c ~
1/(3V3) = 0.192 for the three-dimensional version. Many other forms of the
Taylor-Galerkin method with different numerical properties are also available
(Quartapelle 1993).
In general, the Taylor-Galerkin method is very efficient, and has been
successfully applied in the solution of various problems. However, it is worth
mentioning some minor distractions of the method. Since the term (u n +1 , v)
introduces the mass matrix, the Taylor-Galerkin method requires inversion
of the mass matrix. To maintain the explicit character of the method, one
may use the lumped (diagonal) mass matrix. The method thus suffers from
more severe stability limitations. Furthermore, the Taylor-Galerkin method
is essentially a high-order scheme, and hence may promote oscillations at dis-
continuities. Artificial dissipation can be introduced to suppress oscillations,
but the form of this added term is not unique and the associated parameters
must be specified.

To introduce the essential ideas behind LSFEM, we consider again the pro-
totype scalar first-order hyperbolic equation (9.58). With time-differencing
(9.58a) through the () method, the resulting semidiscrete problem is
un+1 _ un
LJ.t + [(1 - (})u~ + (}u~+lJ = 0 (9.65)
with 0 ~ () ~ 1. As mentioned in Sect. 8.6, () = 1 corresponds to the backward-
Euler differencing scheme and has first-order accuracy O(LJ.t); () = 1/2 repre-
sents the Crank-Nicolson scheme and leads to second-order accuracy O(LJ.t 2 ).
We are noW ready to apply LSFEM. We need only to write (9.65) in the
standard form of the first-order system (4.48), then use the computer program
based on the general formulation given in Sect. 4.8 to find the solution for a
particular problem.
It is useful to understand how the method works. For this purpose we
deduce the least-squares variational formulation and its associated Euler-
Lagrange equation. For any admissible un+1(x) E S, we obtain from (9.65)
the residual R, and the least-squares functional becomes
J( un+l) = In R 2d{} = I un+~~ un + [(1 - (})u~ + (}u~+l II:.

J (9.66)
Applying the stationary condition 8I = 0, and setting 8u n +l = v, we obtain

the least-squares variational statement for (9.65): Find u n +1 E S such that
(un+! + OLltu~+l, V + OLltv{3)

= ( un - (1 - O)Lltu~, V + OLltv{3 ) Vv E V. (9.67)
The least-squares method (9.67) has the property of unconditional stability

for 1/2 ~ () ~ 1.
Clearly (9.67) can be interpreted as a Petrov-Galerkin weighted-residual
statement for (9.65) with the test function
v = (1 + ()Llt{){3)v,
More important, we note that the convective velocity (3 enters explicitly
in this test function so that this form is analogous to the SUPG method.
Hence, the effect of the least-squares procedure in two or three dimensions
is to add numerical dissipation preferentially in the local flow direction in
a manner similar to streamline upwinding. However, by contrast with the
SUPG method and the Galerkin/Least-Squares method described in Sect.
9.1.2, the least-squares method does not contain free parameters.
For transient problems, the LSFEM based on the increment form is useful.
For simplicity, assuming that the boundary condition (9.58b) is independent
of time, introducing the increment ¢ = Llu = un+! - un, and considering
that the increment ¢ satisfies the homogeneous boundary condition on the
inflow boundary, the formulation (9.67) may be rewritten in the Ll-form: Find
¢ = Llu E V such that
(¢ + OLlt¢{3, V + ()Lltv{3) = -Llt(u~, v + OLltv{3) Vv E V. (9.68)
By using Green's formula (9.5) it is easy to show that
II¢II5 + ()2 Llt2 II ¢{3115 + ()Lltl¢lJ. = II¢ + ()Llt¢{3115 v¢ E V, (9.69)
which implies that the bilinear form in (9.68) is bounded below in some sense,
and thus the resulting matrix in LSFEM is symmetric and positive definite.
Error Estimates. Now let us analyze the LSFEM based on (9.68): Find
¢h E Vh such that
(¢h + OLlt¢h,{3, Vh + ()Lltvh,{3) = -Llt(u~, Vh + OLltvh,{3) VVh E Vh.
(9.70)
From (9.70) and (9.68) we obtain the following orthogonality condition for
the error e = ¢ - ¢h:
(9.71)
Let Ih¢ E Vh be the finite element interpolant of ¢ satisfying (9.7) and write
P = ¢ - Ih¢ and 'fl = Ih¢ - ¢h so that e = P + 'fl. Then, by using (9.71) we
have
lie + ()Llte{3115 = (e + ()Llte{3, P + OLltp{3)
< lie + ()Llte{3l1ollp + ()Lltp{3) 110,
or
(9.72)
From (9.7), (9.72) and (9.69) we obtain
lIell~ + 02Llt2I1e,8l1~ + OLltlel~ ~ lip + OLltp,8)II~
~ C(h 2 (r+1) + 02Llt2h2r)lIcPlI~+1' (9.73)
where C is a general constant independent of hand cP, and may have a
different value when it appears in different places. If the time-step Llt = O(h),
we can then use (9.73) to establish the optimal error estimates for each time-
step solution:
Ilello ~ Ch r +1llcPllr+b (9.74a)
lIe,8l1o ~ C hr llcPllr+1, (9.74b)
lelr ~ Ch r +1/2I1cPllr+1' (9.74c)
Numerical Properties. It is instructive to derive the Euler-Lagrange equa-

tion corresponding to the variational statement (9.68). Separating terms and
using Green's formula (9.5), we obtain, on simplification,
((1- OLltO,8)[(l + OLltO,8)cP + Lltu3J, v) + boundary term = 0, (9.75)

so that the Euler-Lagrange equation is
2 2 (U n+1 - un) (9.76)
(1 - 0 Llt 0,8,8) Llt = -(1 - OLlto,8)u3·
Note that (9.76) can also be written in the form

un+1 - un (U n+1 - un)
Llt + U{Jn - n 2 2
OLltu{3{3 - 0 Llt 0f3f3 Llt = O. (9.77)
The LSFEM can be interpreted as a Galerkin method based on (9.77);
whereas the Taylor-Galerkin method is a Galerkin method based on (9.62b).
The form of (9.62b) and the Euler-Lagrange equation (9.77) from LSFEM
with 0 = 1/2 differ very slightly in the last term (factor 1/6 versus 1/4).
Some features of the qualitative behavior of the least-squares solution may
be inferred from the structure of (9.77). If the first two terms are interpreted
as an approximation to the operator Ut+u,8, then the next term is a numerical
viscosity and the final term is a higher-order effect. The numerical viscosity
varies linearly with Llt and the high-order correct depends on 02Llt2Ut,8,8 or
equivalently 02Llt2Uttt or _0 2Llt2u,8,8,8.
The numerical properties of LSFEM can be analyzed by considering the
linear hyperbolic equation with constant coefficient in one dimension, namely,
Ut + (3ux = o. (9.78)
Consider a finite element discretization of the spatial domain and piece-

wise global basis {4>}, see Sect. 2.5. Introducing the finite element expan-
sion Uh(X, t) = L Uj (t)4>j (x) and test functions Vh = 4>i(X) for U and v in
(9.67, and simplifying yield a fully discrete system of algebraic equations for
U n+ = {Uj (tn+1)} at each time increment. For a representative interior
node j, we have
[In (4)i4>j +,82 L1t2024>i,x4>j,x)dx] (Uj+1 - Uj)

= [In (-,8L1t4>i4>j,x - ,82 L1t204>i,x4>j,x)dx] Uj. (9.79)
The case for linear elements over a uniform mesh is important and readily
amenable to analysis. Combining element contributions for two linear ele-
ments adjacent to node j, and arranging terms to correspond to the order in
(9.76), we obtain the nodal equation
[1 + G-02c2)82](Uj+1_ Uj)
(9.80)
A standard von Neumann stability analysis can now be applied to the
recurrence relation (9.80) for LSFEM formulation. Consider a solution to
(9.78) of the form
(9.81)
where k is the wave number (wavelength>. = 27r/k) of mode eFi'kx so that
u(x, t + L1t) = u(x, t)e-Fi'k{jilt, (9.82)
where G = e-Fi'k{jilt is the complex amplification factor for the exact solu-
tion. The nodal values of the finite element solution can be written as
(9.83)
Ujn+1 -- an+1 eFIkjh . (9.84)

Substituting (9.83) and (9.84) into (9.80) and simplifying, we obtain the
usual form of recurrence relation an+l = GLSan with the amplification factor
Zl
GLS = Z2' (9.85)
where
Zl = [1- 4G - 02c2)sin2(k2h)] - 40c2sin2(k2h) - V-lcsin(kh),

If IZ21 > IZ11 or equivalently IZ212_IZl12 > 0, then IGLSI < 1 and the scheme
is stable. Using the above expressions and simplifying,
IZ212 -IZd 2 = 4c2sin2 (~) {O [~ + 40c2(20 - 1)]
1
for-<O<l.
2- -
Hence, the scheme is stable if ~ ~ 0 ~ 1 at all CFL (Courant-Friedrichs-
Lewy) number.
In the limit as kh --t 0 we have the asymptotic expansion for GLS :
GLS = 1 - Hckh - Oc2(kh)2 + H(Pc3(kh)3 + O((kh)4).
For 0 = 1/2, GLS = e-v:::rckh + O((kh)3) so the scheme is second-order
accurate in the time domain, as anticipated.
The amplification factor IGLS I determines the growth or decay of modes in
the solution. The control of oscillation is also important, and this is influenced
by both the relative amplification and the phase error of the modes. The phase
error can be expressed as arg(GLs)/(-ckh) in which
-1 [Im(G Ls )]
arg(GLs) = tan Re(GLs ) '
The numerical properties of the scheme are shown in Fig. 9.12, given the polar
diagrams of the phase and amplitude errors versus kh for several values of
the CFL number c.
Relative Phase Error Amplification Factor
Relative Phase Error Amplification Factor
Fig. 9.12. Numerical properties of LSFEM with a Crank-Nicolson time discretiza-

tion (J = 1/2 (upper) and a backward-Euler time discretization (J = 1 (lower):
(~) c = 0.25, (0) c = 0.5, (0) C= 0.75, (x) C= 1.0, (*) C= 1.5 (from Donea and
Quartapelle 1992)
The Crank-Nicolson LSFEM has a rather accurate phase response pro-

vided c :5 1. This approach is suitable for transient problems with continuous
solutions. One may think that the method would be expensive, because of its
implicit nature, for each small time-step, the inversion of matrix is required.
Fortunately, as explained in Sect. 8.6, the opposite is true; a small time-step is
preferred. Since the resulting algebraic equations by the least-squares method
are symmetric and positive definite, simple iterative methods, such as the
preconditioned conjugate gradient method (see Chap. 15) can be employed.
When the time-step is small, the present solution is close to the solution at
the previous step which is taken as the initial guess in the iterative method,
therefore very few iterations are needed to obtain the solution in the next
step.
Although the backward-Euler LSFEM has low phase accuracy, it could
be useful for computing steady-state solutions and discontinuous solutions.
9.3.3 Numerical Examples of LSFEM
Propagation of a Sine Wave. In Fig. 9.13, the numerical solution for a

propagating sine 'bump' is shown using LSFEM (() = 0.5) and the Taylor-
Galerkin scheme described previously. The calculations employ a mesh of 50
linear elements on (0,1). The initial profile and propagated profile at t = 0.6
are shown in each case for calculations at a CFL number c = Llt/Llx = 0.75.
Both methods perform well, having only a slight oscillatory 'undershoot' at
the base, and exhibit little numerical diffusion. In the analysis we prove that
the least-squares method is unconditionally stable. To demonstrate this point,
the problem is recomputed at the CFL (Courant-Friedrichs-Lewy) number
c = 1.25 > 1.00 to give profile in Fig. 9.13. The oscillation following the
wave is more pronounced and there is some dissipation at the leading edge.
However, the peak value and quality of the results are preserved, and the
calculation is stable. The Taylor-Galerkin method is unstable and diverges
at c> 1.
Propagation of a Front. The propagation of a front is a well-known
problem - a Heaviside unit step function propagates from the left end into
the domain. The initial discontinuity is approximated on the first element
(slope=50). Results for the least-squares method (() = 0.5) and the Taylor-
Galerkin method are given in Fig. 9.14, at t = 0.5 with c = 0.75. As in the
previous case, both methods perform relatively well with the least-squares re-
sults again having a post-cursor oscillation of large amplitude and the Taylor-
Galerkin method having both pre- and post-cursor oscillations.
Rotating Cone. The rotating cone problem by Long and Peper (1981) has
been the standard problem to test numerical schemes for convective trans-
port. A cosine hill of height 1.0 rotates in a clockwise direction with a flow
field given by
i
\\
\,
\\
\
0.50
\
u
0.25
0.00+----l--~~:::f_---'t7----
-0.25+---..,......--....,..----,---.,-----.
0.00 0.20 0.40 0.60 0.80 1.00
Fig. 9.13. Propagation of a sine wave, comparison of LSFEM (0 = 0.5) with the
Taylor-Galerkin method, initial condition at t = 0 (left) and solutions at t = 0.6:
-, LS, c = 0.75; - - -, TG, c = 0.75; -. -, LS, c = 1.25 (from Carey and Jiang
1988)
1.00.,-------d-/
i
\I
0_75 \
\
\
i
i
\
I
0.00 L........................................i.>.,.<=-------
V
-0.25+---..,......--....,----,-----.---......,
0.00 0.20 0.40 0.60 0.80 1.00
Fig. 9.14. Propagation of a front, comparison of LSFEM (0 = 0.5) with the Taylor-
Galerkin method, initial condition at t = 0 (left) and solutions at t = 0.5: -, LS,
c = 0.75; - - -, TG, c = 0.75 (from Carey and Jiang 1988)
(31(X,y) = wy,
(32 (X, y) = -wx. (9.86)
The flow domain is a square. The lower-left and the upper-right coordinates
of the domain are (-16, -16) and (16,16), respectively. The peak of the hill
is initially located at (-8,0), and the initial distribution of the concentration
is as follows:
u(x y) = { ~(1 + cos~d) d < 4, (9.87)
'0 d~ 4.
where d is the distance from the peak. The angular velocity w is adjusted so
that one revolution takes 300 time-steps. This corresponds to a CFL number
of 0.16755 at the peak of the rotating cone.
The Crank-Nicolson scheme for time discretization together with LSFEM
has been applied to this problem by Burrell et al. (1995). Figure 9.15 shows
the computed distribution of the concentration by using 32 x 32 nine-node
quadratical (Q2) elements after 1,2 and 4 and 6 revolutions. The quality of the
solution can be recognized by noting that the peak maximum is maintained
at about 1.0 throughout the course of six revolutions.
Rotating Puff in a Parabolic Angular Velocity Flow Field. This prob-
lem was originally proposed by Odman and Russell (1993) for further testing
numerical methods, and solved by Burrell et al. (1995). In this problem, the
initial puff concentration is located at (-8,0) and is given by
(9.88)
Both x and y range from -16 to 16. The flow field is given as follows:
x2 +y2)
(31 (x, y) = wyJx 2 + y2 ( 1 - W2 ' (9.89a)
(9.89b)
The angular velocity is set to 0.01 so that one full revolution takes 240
time-steps. This corresponds to a CFL number of 0.2094 at the peak of the
puff. The parameter W is chosen as 14.3. As compared with the results of
Odman and Russell (1993), the initial puff distribution in (9.88) has much
steeper gradients than that in the rotating cone problem, and the analytical
solution under the conditions (9.88) and (9.89) also has steeper gradients
around the puff after one revolution.
The analytical solution which can be obtained by the method of charac-
teristics is shown in Fig. 9.16 at different stages of a revolution. Notice that
after one revolution, the concentration distribution is much distorted from its
initial Gaussian distribution, and parts of distribution have steep gradients.
Figure 9.17 shows the results of LSFEM using the Crank-Nicolson scheme
and 32 x 32 nine-node quadratic elements. The results compare well with the
analytic solution in Fig. 9.16.
c
c
1.IXI
LOO
0 .'711
QAI5
0 .<4
CU7
•
0~7
Fig. 9 .1 5. Concentration distribution of the rotating cone after (a) one, (b) two ,
(c) four and (d) six revolutions by using the Crank-Nicolson LSFEM and 32 x 32
quadratic elements (from Burrell et al. 1995)
(a) (b)
(c) (d)
Fig. 9.16. Analytical solution for the rotating puff in a parabolic angular velocity
flow after (a) 0.25, (b) 0.5, (c) 0.75 and (d) 1.0 revolution (from Burrell et al. 1995)
(a) (b)
(c) (d)
Fig. 9.17. Concentration distribution of the rotating puff computed by the Crank-
Nicolson LSFEM and 32 x 32 quadratic elements after (a) 0.25, (b) 0.5, (c) 0.75
and (d) 1.0 revolution (from Burrell et al. 1995)
Water-Oil Displacement. As a numerical illustration of moving contact

discontinuities, we consider the water-oil displacement problem in a 5-spot
pattern. A displacement front propagates from the water injection well at the
lower-left corner towards the oil production well at the top-right corner. The
flow domain is assumed homogeneous, and the velocity field is then given by
the solution of Laplace's equation for this source-sink system with symmetry
(no flow) conditions on the sides to enforce periodicity:
x x-I
f31(X'Y)=x 2 +y2 (x-l)2+(y-l)2'
y y-l
f32(X,y) = X2+y2 - (x-l)2+(y-l)2' (9.90)
Using this specified velocity field in the least-squares finite element analysis,
the finite-element system follows directly from the introduction of the finite
element expansion for u into (9.67) with () = 1. The unit square domain is
discretized to a uniform 40x40 grid of bilinear elements with the initial data
u(x, y, 0) = 0 and the injection value u(O, 0, t) = 1 for t ~ O. The equi-spaced
solution contours for concentration u(x, y, t) are shown in Fig. 9.18 at t = 0.05
and 0.3 and the fixed time-step Llt = 0.0025. We note that there is numerical
dissipation of the propagating front and no oscillation .
•
Fig. 9.18. Concentration contours for the water-oil displacement problem: (a) at
t = 0.05, (b) at t = 0.30 by using the backward-Euler LSFEM and 40 x 40 bilinear
elements, .jt = 0.005 (from Jiang and Povinelli 1990)
The LSFEM described in Sect. 4.8 can be used for the solution of both
steady-state and time-dependent convective transport problems. The LS-
FEM naturally and properly accounts for the role of the characteristics in
multi-dimensional hyperbolic equations. The LSFEM automaticly acts in a
manner similar to upwinding and requires no free parameters. The method
has nearly optimal or optimal rate of convergence. The backward-Euler and
the Crank-Nicolson LSFEM are unconditionally stable. Although the gov-
erning hyperbolic equations are non-selfadjoint, the method still produces
symmetric and positive definite matrix systems, and hence iterative methods
such as the conjugate gradient method can be employed. In particular, for
transient problems smaller time-steps are allowed for higher accuracy without
the penalty of increased computing time.
For pure convection problems with contact discontinuities, conventional
finite difference and finite element solutions in general exhibit large spurious
oscillations even far from the jumps and often are not close to the exact so-
lution. New procedures based on the L1 concept and the iteration of LSFEM
for the solution of contact discontinuities have been developed. The overde-
termined algebraic system is inherently obtained by choosing an appropriate
number of Gaussian points in the formation of element matrices. Through L1
minization or reweighting in the L2 method, the contamination of "shock"
elements is eliminated. These finite element methods capture discontinuities
in bands of elements that are only one element wide on both coarse and fine
meshes. The solution of this method has neither smearing nor oscillation, and
has superior accuracy. The iterative reweighted LSFEM is simple, robust and
efficient.
The LSFEM is general, very simple and easy to formulate and program.
This lays down the foundation of the unified LSFEM for complex phenomena
such as (1) convection-diffusion with small or vanishing diffusivity where
convection dominates the fluid flow; (2) transonic flows in which the flow
in subsonic regions is governed by elliptic equations and in supersonic bulbs
by hyperbolic equations; and (3) two-fluid flows where the location of the
interface is governed by pure convection of the so called color function. In
all these cases, the LSFEM has a single unified formulation. However, other
methods need different schemes in different regions or separate schemes for
different equations.
The idea of LSFEM for convection problems was first appeared in Nguyen
and Reynen (1984). They presented a space-time LSFEM for the advection-
diffusion problems. Their numerical results show that the use of upwinding
techniques or the Taylor-Galerkin approach in finite elements is not necessary
when the least-squares weak formulation is extended into the time domain
using standard shape functions. Donea and Quartapelle (1992) compared
the space-time LSFEM with the Crank-Nicolson LSFEM described in Sect.
9.3.2, and found out that the space-time approach is less accurate and more
dissipative.
The LSFEM with the backward-Euler and Crank-Nicolson time dis-
cretization was first published in Carey and Jiang (1988). This work was
originally based on stimulating discussions between Srinivas Cheri and Jiang.
Later, Li (1990) proposed a characteristic LSFEM. An accurate method for
treating transient convection problems was introduced by Park and Liggett
(1990, 1991) by combining the Taylor-Galerkin and least-squares concepts.
Due to the presence of second-order spatial derivatives, elements of C 1 type,
such as the Hermite cubic element must be used in this Taylor LSFEM. This
method represents a valuable step towards simulations using relatively coarse
meshes.
Chen (1992) provided an error analysis of the Crank-Nicolson LSFEM
and her version of the method for a general linear first-order hyperbolic sys-
tems, namely, the Friedrichs system (Friedrichs 1958). The optimal error es-
timate given in Sect. 9.3.2 is a simplified version of her results. The analysis
for steady-state problems in Sect. 9.1.3 was given in Jiang (1991, 1993).
The radical Ll procedure for non-oscillatory discontinuous solutions was
first proposed by Lavery (1988, 1989) for one-dimensional problems in the
finite difference context. Because standard finite differencing leads to deter-
mined linear algebraic systems, in order to obtain an overdetermined system
Lavery relies on non-traditional tricks, such as gradually adding a small vis-
cous term to the one-dimensional Burger equation. However, it is very difficult
to extend these tricks to two-dimensional problems.
The Ll method based on overdetermined systems generated by numeri-
cal quadrature in the finite element context for multi-dimensional problems
including an inexpensive solution method - the iterative reweighted LSFEM,
was proposed by Jiang (1991, 1993). This Ll approach is much more easy
and general.
10. Incompressible Inviscid Rotational Flows
Incompressible inviscid rotational flows are governed by the incompressible

Euler equations. This system of equations, in spite of the simplicity of the
physical model from which they have been deduced, gives rise to complicated
mathematical problems. Many fundamental questions concerning the exis-
tence, uniqueness and smoothness of their solutions are still open. The study
of these challenging problems is a matter of current research. The discussion
of these theoretical problems is beyond the scope of this book. In this chapter
we concern ourselves only with the numerical solution of the incompressible
Euler equations.
Interest in the numerical solution of the incompressible Euler equations
can be justified at least from two aspects: (1) the capability of simulating
vortex dominated inviscid flows; (2) as a first step towards the simulation of
high Reynolds number flows.
Numerical solution of the incompressible Euler equations is also challeng-
ing. Firstly, the incompressible Euler equations are of first order. As explained
in Chaps. 2 and 9, the classic Galerkin method and the closely related central
difference method, when dealing with the first-order space derivatives, lead
to non-self-adjointness and produce oscillatory solutions. Secondly, the in-
compressible Euler equations are neither elliptic nor hyperbolic. This makes
it difficult to design appropriate finite difference formulae. Thirdly, in con-
ventional methods, the incompressibility equation needs special treatments,
such as staggered grids in the finite difference context and non-equal order
elements for velocity and pressure in the finite element context, etc. There-
fore, it is not surprising that the numerical solution of the incompressible
Euler equations have been obtained mainly by spectral methods and vortex
methods.
In this chapter we first introduce the conventional velocity-pressure for-
mulation and the velocity-pressure-vorticity formulation of the incompress-
ible Euler equations. Then, we use the div-curl method developed in Chap.
5 to derive the transport equation for the vorticity and the Poisson equa-
tion for the pressure. We shall describe a splitting method to construct the
solution of the equations in time by solving the first-order equations of vortic-
ity, velocity and pressure sequentially. Based on the concept of this approach
242 10. Incompressible Inviscid Rotational Flows
we introduce an alternate velocity-pressure-vorticity formulation suitable for

LSFEM. Finally, we apply LSFEM and show some numerical results.
10.1 Incompressible Euler Equations
10.1.1 The Velocity-Pressure Formulation
For simplicity, we consider fluid flow in a fixed bounded domain il with a

r
piecewise smooth boundary in the presence of conservative external forces
f acting on the fluid. The flow of an incompressible fluid of null viscosity is
governed by the incompressibility equation:
in il x (0, TJ, (IO.la)
and the momentum equation:
au + (u. V)u + Vp = f
at in il x (0, TJ, (IO.lb)
where u(x, t) is the velocity vector, p(x, t) is the pressure divided by the
constant density of the fluid.
Equation (IO.lb) allows the pressure to be correct up to any constant. To
determine the pressure uniquely we require that the mean pressure over il is
zero, namely,
!npdX=O. (IO.lc)
The statement of the problem is completed by the prescription of suitable

boundary and initial conditions. A typical boundary condition consists in
specifying the normal component of velocity:
n·u=g on r x (O,Tj, (1O.ld)
where 9 is a given function of the location on the boundary and the time
t. Since the fluid has no viscosity, the tangential components of velocity on
the solid surface need not be specified. The boundary value of the normal
component of the velocity 9 must satisfy the global conservation condition:
l gdr =0 in (0, T]. (IO.le)
The initial condition consists in the specification of the velocity field at

t = 0:
u(x,O) = UO(x) in il. (1O.lf)
Moreover, the initial velocity field is assumed to be divergence-free:
V . uO = 0 in il. (IO.lg)
10.1 Incompressible Euler Equations 243
Finally, the boundary and initial data 9 and uO must be compatible:

(10.lh)
Equations (1O.1a) and (1O.1b) are the usual velocity-pressure formulation
of the incompressible Euler equations.
10.1.2 The Velocity-Pressure-Vorticity Formulation
The vorticity field is fundamental in studying the behavior of rotational flows,

so that it is natural to pose the governing equations of incompressible inviscid
rotational flows in the velocity-pressure-vorticity formulation:
au
at + {u· V)u + Vp = f in {} x {O, TJ, (10.2a)
V·w=O in {} x (0, T), (10.2b)

w-Vxu=O in {} x (0, T), (1O.2c)
in {} x (0, T), (10.2d)
which can be obtained by deleting the viscous term from the transient Navier-
Stokes equations (8.64). The boundary condition (10.ld) and the initial con-
dition (1O.lf) should be supplemented to (10.2). In three dimensions system
(10.2) has eight equations in seven unknowns, i.e., three components of the ve-
locity, three components of the vorticity and the pressure. As in Sect. 8.2.1, by
introducing a dummy variable we can show that in three dimensions (10.2b)
is not redundant, and thus system (10.2) is not overdetermined.
In order to underline some important features of the flow and develop
numerically implement able algorithms, we shall derive a form of the incom-
pressible Euler equations in terms of the velocity and vorticity. By taking the
total pressure b = P + (u 2 + v 2 + w 2 ) /2 as an independent variable instead of
the pressure p, (10.2a) can be rewritten as
au
at - U xw + Vb = f in {} x (0, T). (10.3)
Assuming that the velocity u is smooth enough, by virtue of the div-curl
theorem (Therem 5.2), (10.3) is equivalent to the following system:
Vx
au
(at - u xw + Vb - f) = 0 in {} x (0, T), (10.4a)
au
V . (at - u x w + Vb - f) = 0 in {} x (0, T), (1O.4b)
au
n· ( - - u x w + Vb - f) = 0 on r x (O,T). (1O.4c)
at
By noting that the conservative force f has a potential V, namely, f = - VV,
and using the vector identity (A.6), (10.4a) can be written as
ow + (u· V)w -
- (w· V)u = 0 in n X (O,T]. (10.5)
at
Equations (lO.4b) and (lO.4c) are the Poisson equation for the total pressure
with its Neumann boundary condition:
Llb = V . (u x w) +V .f in n x (0, T], (10.6a)
ob og
an =n·(uxw)+n·f- at onrx (O,T]. (1O.6b)
It is clear from the above derivation that the computation of the pressure
can be separated from that of the velocity and the vorticity.
Now we can write the governing equations of incompressible inviscid ro-
tational flows in the following form:
-ow + (u . V)w - (w . V)u = 0 in n x (O,Tj, (1O.7a)

at
in n x (O,T], (1O.7b)
(1O.7c)
Vxu=w inn x (O,Tj, (1O.7d)

in n x (O,Tj, (1O.7e)
n·u=g on r x (O,T]. (10.7f)

We can use a splitting method to find the solution of system (10.7). At
first, from the given velocity field at the previous time step, we calculate the
vorticity at the boundary, and solve (1O.7a) and (10. 7b) to obtain the vorticity
field in the domain at the current time step. Then, by using the computed
vorticity we can solve the div-curl system (10.7d), (1O.7e) and (1O.7f) to
update the velocity field. If it is necessary, we can solve the Poisson equation
(10.6) to obtain the pressure from the computed velocity and vorticity.
Let us discuss more details about the above procedure. If we consider two-
dimensional problems, we can shed more light on the mathematical properties
of the Euler equations (1O.7a) and (10.7b). In two dimensions (10.7a) and
(10. 7b) become much simpler: only the third component of the vorticity w =
W z is present, and thus (10.7b) is automatically satisfied and the term (w· V)u
in (1O.7a) vanishes. Therefore, the Euler equation for the vorticity in two
dimensions becomes
ow
-+(u·V)w=O in n x (O,T], (10.8)
at
which implies that in two dimensions, the vorticity is simply transported by
the velocity field. When the velocity field at the previous time step is sub-
stituted, then (10.8) becomes a pure hyperbolic convection equation studied
in Sect. 9.3, and thus the time-marching LSFEM can be employed to obtain
10.1 Incompressible Euler Equations 245
the solution for the vorticity with an optimal rate of convergence provided
that the time step is properly chosen.
By contrast in three dimensions, due to the existence of the term (w·
V')u in (1O.7a), vorticity is no longer conserved along the trajectories of the
particles. Moreover, this term is responsible for the difficulties which arise
in the construction of a global solution of the Euler equation. Since w is
associated with the gradient of the velocity, we may conjecture that (w· V')u
is of the order w 2 and ow / f)t w 2 • Because the ordinary differential equation
I'J
aX = X2, (1O.9a)
f)t
X(O) = Xo > 0 (10.9b)

has solutions that blow up in finite time, it is not easy to exclude a priori
situations where the vorticity becomes infinite in a finite time at some point
of space.
At the second step, where we use the given current vorticity to obtain
the current velocity, we solve a div-curl system that has been thoroughly
investigated in Chap. 5. If the LSFEM is utilized, the rate at which the
velocity solution converges is optimal.
At the third step, the pressure is uniquely determined by the Poisson
equation (10.6) and condition (lO.lc) from the known velocity and vorticity.
In fact, when the velocity solution is available, we may directly solve (10.2a)
under condition (lO.lc) to obtain the pressure p by using the least-squares
method. Let a = -(au/at+u. V'u- f) be given, the least-squares variational
statement is to find pES = {Hl(n) : jnpdx = O} such that
(V'p, V'q) = (a, V'q) Vq E S. (10.10)
By virtue of the Poincare inequality (C.l), we know that
IIpll~ $ ClIV'pll~ Vq E S. (10.11)
That is, the bilinear form in (10.10) is coercive. From Theorem 4.8, we confirm
that the solution for pressure by LSFEM has an optimal rate of convergence.
Based on the above heuristic considerations, we may conclude that: (1)
in two dimensions the solution of the incompressible Euler equations can be
constructed uniquely; (2) for each time step the solution for the velocity,
vorticity and pressure by the time-marching LSFEM is optimal; (3) the gov-
erning equations of the incompressible inviscid rotational flows can also be
written in the following first-order velocity-pressure-vorticity formulation:
au
at + (u· V')u + V'p = f in n x (0, TJ, (10.12a)
ow
-at + (u· V')w - (w· V')u = 0 in n x (O,Tj, (10.12b)
in n x (O,Tj, (1O.l2c)
w-'VXU=O in n x {O,Tj, (10.12d)
'V·U=O in n x {O, TJ, (1O.12e)

with proper initial and boundary conditions on the velocity field.
10.2 Energy Conservation

Since there is no viscosity in the mathematical model of incompressible in-
viscid flows, that is, the fluid has neither internal friction nor friction with
the boundaries, the energy defined as
(1O.13)
is expected to be conserved during the motion.

For simplicity we consider the fluid flow in finite container at rest so that
the boundary data 9 = 0 in (1O.1d). We assume that the solution u of the
Euler equation is smooth; more precisely, we suppose
u E Cl in n x {O, Tj. (1O.14)
Then by using (1O.3) and f = - 'VV
~~ = (u, Ut) = (u, u x w) - (u, 'V{b + V»).

The first term in the right-hand side of the above equation equals zero, since
this is a triple product ofthree vectors u, u and w. By using Green's formulae
(B.1), the incompressibility condition 'V. u = 0 and the boundary condition
n . u = 0, we have
(u, 'V{p+ V») = (n· u,p+ V) = O.
This achieves the proof of the energy conservation:
dE =0. (1O.15)
dt

Let us apply LSFEM to approximate the solution of the Euler equations in
two dimensions. The time-dependent incompressible Euler equations (10.12)
in two-dimensional Cartesian coordinates can be written as:
au + oy
AX
av = 0 in n x (0, TJ, (1O.16a)
in n x {O,Tj, (10.16b)
8v 8v 8v 8p
at + u 8x + V 8y + 8y = fy in il x (0, TJ, (10.16c)
8u 8v
---+w=O in il x (O,Tj, (1O.16d)
8y 8x
8w 8w 8w
-+u-+v-=O in il x (O,Tj. (10.16e)
8t 8x 8y
In Sect. 10.1 we point out that one could use the splitting method to con-
struct the solution. Of course, one may solve all five equations in (10.16)
simultaneously at each time-step. Numerical tests conducted by Wu et al.
(1994), and Wu and Jiang (1995b) show that the simultaneous solution of
(10.16a)-(10.16e) generally results in fast convergence and good accuracy.
When the vorticity field has discontinuities such that the spatial derivative
of the vorticity approaches infinity across the discontinuities, we simply do
not include (10.16e) in the computation.
Before applying LSFEM, the equations should be discretized in the time
domain. As usual, the general () form can be utilized:
8un+! 8v n+!
-8- + -8- = 0 in il, (1O.17a)
x y
un+1 ___
_-..,. un + () (un+!
8u _n_
+1 + V n+! 8u n_
_ +! 8 pn+1 )
+ __
..1t 8x 8y 8x
()) ( U n - n
8u+ 8un+8-pn ) fn+l
+(1 - vn - = in il, (10.17b)
8x 8y 8x x
vn+1 _ v n + () (un+!
____ 8v _n_
+! + vn+! 8v n_
_ +1 8 pn +!)
+ __
Llt 8x 8y 8y
()) ( u n - n
8v+ 8v n+8-pn ) _ f n+1
+(1 - vn - - Y in il, (lO.17c)
8x 8y 8y
in il, (1O.17d)
in il, (1O.17e)
where the superscript 'n' denotes the previous time-step and 'n + l' the
current time-step.
Usually, two choices of (), () = 1/2 or () = 1, can be made in the computa-
tion. () = 1/2 represents the Crank-Nicolson scheme, provides second-order
accuracy in time, and is used for true transient problems. 0 = 1 represents

the backward-Euler scheme, gives only first-order accuracy in time, and is
used for a time-marching approach to obtain steady-state solutions. The nu-
merical scheme is unconditionally stable for both choices of 0, thus there is
no limitation on the size of the time-step. When steady-state solutions are
of interest, we may use a large time-step to accelerate the convergence. If
transient solutions are sought, however, we alway choose the time step so
that the largest element CFL number is close to unity to avoid large errors
introduced by the time discretization.
The convective terms in (10.17) can be linearized by Newton's method (see
Sect. 8.3). To ensure time-accuracy at each time-step, Newton's linearization
is performed until convergence is reached. For example, u n + l aun + l jax is
approximated as:
( n+l) a(u n + l )[k+l] ~ (n+l) a(u n +1 )[k+1]

u [k+1] ax ~ u [k] ax
+( n+l) a(U n +1)[k] (n+l) a(Un+l)[k]

u [Hl] ax - u [k] ax ' (10.18)
where k stands for the iteration count of the linearization and (u n+1 ) [0] = un.
System (10.17), after linearization, can be written in standard matrix
form as:
Al
au + A2 au + Ao!! = 1
f'l- f'l- (10.19)
vx vy -
or'
in which
0 0
(~[~I
at +0 08u
..1... 08u 0
8x 8y
(
..1... + 08v
Ikl
!!= Ao = 08v 0
8x at 8y
0 0 0
08u
8x
08u
8y 0
1.
o o
It r
n+l n+l
!
0 0 1 0
o~L
Ou 0 1 Ov 0 0
( 1
Ou 0 1
A,~ ~ -1
A2~ Ov
0 0 0
0 0 0 0
o
f Xn + l + un
at (1 _ O)(u 8u
_
8x
+V 8u
8y
+ !!1!.)n
8x
+ O(u 8u
8x
+V 8u)n+l
8y [k]
_
I = r+
y
l + vatn _ (1 - O)(u 8x
8v +V 8v
8y
+ !!1!.)n
8y
+ O(u 8v
8x
+v 8v)n+l
8y [k]
o
wn _ 8w + v 8w)n + O(u 8w + v 8w)n+l
at (1 _ O)(u ax 8y 8x 8y [k]
The first-order system (10.19) is then discretized in space following the stan-
dard LSFEM procedures given in Sect. 4.8.
10.4 Numerical Results of LSFEM 249
10.4 Numerical Results of LSFEM

Standing Vortex. This problem was originally suggested by Gresho and
Chan (1988), and was chosen by Tezduyar et al. (1992c) to test their SUPG
method. This standing vortex flow has been computed by Wu and Jiang
(1995b) by using LSFEM. The purpose of this test is to indicate how much
numerical dissipation an approximation procedure introduces. The fluid is
incompressible and inviscid, and is confined in a 1 x 1 container. The ini-
tial condition, which is also the exact solution, consists of an axisymmetric
velocity profile with zero radial velocity:
Ur =0
and with the circumferential velocity given as
5r if r ~ 0.2,
U(} = { 2 - 5r if 0.2 < r ~ 0.4,
o if r > 0.4,
where r is the distance from the center of the container. The exact solution
for the pressure p and the vorticity w can be obtained by solving the incom-
pressible Euler equations in polar coordinates. In Cartesian coordinates the
exact solution can be expressed as if r ~ 0.2, then
U -5y,
v 5x,
p = 12.5r 2 + C1,
w 10;
if 0.2 < r ~ 0.4, then
U = -2y/r + 5y,
v = 2x/r - 5x,
p 12.5r 2 - 20r + 4log(r) + C2,
w = 2/r -10;
where
C2 = -12.5 * 0.4 * 0.4 + 20.0 * 0.4 2 - 4.0 * log(0.4),
C1 = C2 - 20.0 * 0.2 + 4.0 * log(0.2),
if r > 0.4, then all variables are equal to zero.
In the LSFEM computation, the mesh consists of 20 x 20 uniform bilinear
elements. A time-step of ..:1t = 0.05 is used that corresponds to a maximum
element CFL number of 1.0. At each time-step three Newton's linearizations
are employed. For all LSFEM computations in this chapter one-point Gaus-
sian quadrature is used for evaluating the element matrices, and the solution
at Gaussian points is redistributed by the element area to the nodes to obtain
the final solutions.
(a)
(b)
(c)
Fig. 10.1. Solution of the standing vortex problem: (a) Contours of vorticity, (b)
Absolute value of velocity, (c) Pressure, left-analytical solutions; right-numerical
solutions (from Wu and Jiang 1995b)
Solutions of the pressure, velocity and vorticity after 600 time steps that
corresponds to t = 30 when the fluid in r < 2 has traveled 24 cycles are shown
in Fig. 10.1. The numerical solutions and the exact solutions compare very
well particularly for the velocity and pressure. Since in this case the vorticity
is discontinuous, it is reasonable that the vorticity solution is smeared.
From Sect. 10.2 we know that the kinetic energy should be conserved
in this flow. If significant numerical viscosity exists in a scheme, the kinetic
energy of the computed fluid flow will not be conserved. To compare the
numerical dissipation in the LSFEM and the SUPG method (Tezduyar et al.
1992c), Fig. 10.2 illustrates the history of the kinetic energy as the percentage
of the original. Clearly, the LSFEM maintains very good accuracy for this
test case all the time, and has almost no dissipation. Even after a very long
period of time t = 30, 99.8% of the kinetic energy is still retained.
104.0 r--,--.,--:---;--;----;-..,.---.-,--...,.----:--.,
r"'T" ··t······I········· ···(······1···· r' '!"r"

i
r'"
100.0 \ L-t---j·_j+ -i-I·I-I-I· . .

~ 96.0
32
o
CD -+-.-~--;.--+-+--+-+--+-;.-~--~-- ..
l
~
8. 88.0
"or' .
84.0 '----'----'--'---'---'----'---'----'--~-'---'-~
o 100 200 300 400 500 600
time step
Fig. 10.2. Time history of kinetic energy, - LSFEM, ... Tezduyar et al. (1992c)
(from Wu and Jiang 1995b)
Vortex Propagation. To further test the LSFEM we consider the problem

of vortex propagation in uniform flow. The vortex described in the previous
example is initially superimposed on the uniform flow. This problem has an
exact solution which describes the vortex propagation downstream in the x-
direction at the speed of the uniform flow. The computational domain for this
problem is a rectangle of one unit width and four units length. A uniform
mesh with 200 x 50 bilinear elements is chosen. The Crank-Nicolson time-
marching scheme with a time-step Llt = 0.02 is used.
The following simple non-reflecting boundary condition for pressure and
vorticity has been applied on the outflow boundary:
¢ = p or w,
so that the vortex can accurately propagate out of the domain without being
artificially reflected back into the computational domain to contaminate the
rest of the flow field. This property at the outflow boundary is important in
many practical applications.
The computed contours of pressure and absolute value of the velocity at
different times are shown in Fig. 10.3. The distribution of the pressure and
the vertical velocity at the center line at different times is illustrated in Fig.
lOA. As demonstrated in these figures, the solution of LSFEM is of high
accuracy and has no visible smearing.
'----__110 I
L---IIL---_._I
'-----_IIL-----.J
.I
(a) (b)
Fig. 10.3. Vortex propagation: the computed solutions at different times: (a) Pres-
sure, (b) Absolute value of the velocity (from Wu and Jiang 1995b)
Shear Flow Past Solid Bodies. We first consider steady-state shear flow
past a circular cylinder. The center of this circular cylinder is placed at the
origin of the rectangular coordinates. The cylinder is exposed to uniform
shear flow with the velocity expressed by
u = Uo +woY,
v = 0,
where Uo and Wo are the given constants. The analytical solution to this
problem (Batchelor 1970) is
/\
I "\
0.5
I \
I \
&> I \
·u
.,
.Q 0.0
\ I
>
\ I
-0.5 \ I
\ I \ I
-1.0
\I ',;
-1.5
0.0 1.0 2.0 3.0 4.0
0.0
... -----r---------,
\!
~ / "
\ ( ,
\ I '.
f \ I \
.," \ I
\
o.~ -0.5
\
\ (
I
\
\ (
~ : \ I
\ ...../ \./
Fig. 10.4. Vortex propagation: solutions at the center line (from Wu and Jiang
1995b)
1 2 2 Y 4 (x 2 - y2)
"2WOY + uoY - uoa r2 + woa 4r 4 '
81/J
u =
8y
where 1/J is the stream function, a is the radius of the circular cylinder and
r = (x 2 + y2)1/2.
The computational domain is a circular ring. The distance between the
outer boundary and the surface is 12 times the diameter of the cylinder.
The finite element mesh consists of 4302 bilinear elements with 4318 nodes.
Figure 10.5a shows a part of the mesh near the cylinder. The velocity and
the vorticity of uniform shear flow are prescribed on the inflow boundary;
the pressure (Poo = 0) is specified on the outflow boundary. The undisturbed
uniform flow is taken as an initial solution. A converged solution is obtained
after six Newton's linearizations.
In Fig. 10.5b the calculated pressure distribution on the cylinder surface is
compared with the analytical distribution. In Fig. lO.5c and d, the computed
streamlines in the vicinity of the cylinder are compared with the analytical
streamlines. The LSFEM results show excellent agreement with the analytical
solutions.
5 .0 .---~--.-~---.--~--.--~--,
00
-5.0
-10.0
-15.0 L-~_-,--~_-,--~_-,--~-.I
-1.0 -0.5 0.0 0.5 1.0
(a) (b)
(c) (d)
Fig. 10.5. Shear flow past a circular cylinder: (a) Finite element mesh, (b) Pressure
distribution on the surface (. LSFEM, - analytical), (c) Analytical streamlines,
(d) Computed streamlines (from Wu and Jiang 1995b)
We then consider the same type of flow past a NACA0012 airfoil. The
outer boundary is 20 chords away from the airfoil. A mesh with 3521 bilinear
elements and 3640 nodes is used. There are 170 nodes on the surface of
the airfoil. The mesh near the airfoil is shown in Fig. 1O.6a. The computed
distribution of the pressure coefficient C p = (p - Poo)/O.5 on the surface is
shown in Fig. 1O.6b.
(a)
0.5 r----~------...,...---_r- _ __,
0.0
Q.
()
-0.5
-1.0 '--- - -'-------'_ _ _ -'-_ _ ----L_ _- 1
0.0 0.2 0.4 0.6 0.8 1.0

x
(b)
Fig. 10.6. Shear flow past a NACA0012 airfoil: (a) Finite element mesh, (b) Pres-
sure distribution on the surface (from Wu and Jiang 1995b)
Uniform Flow Past an Ellipse. The LSFEM is further tested on the

problem of uniform flow past an ellipse. The original problem was proposed
by Pulliam (1989) to test Euler codes on compressible flows. Although this
problem looks simple at first sight, it turns out to be quite challenging compu-
tationally. It was demonstrated by Pulliam (1989), to the surprise of many,
that calculations done by almost all Euler codes available at the time for
flows over cylinders and ellipses at angle of attack produced lifting solutions,
and the solutions suffered from a general lack of consistency across mesh re-
finements, artificial viscosity parameters and algorithm types (e.g., central
differences, upwind differences, implicit methods, multigrid schemes, direct
solvers). Moreover, different converged solutions with lift varying from large
positive to large negative values can be obtained, even within the framework
of a single code and a single grid with varying algorithm parameters. Hafez
and Brucker (1991) attribute the above trouble to contamination caused by
artificial viscosity and vorticity due to discretization errors, and hence pro-
posed a finite difference scheme on staggered grids with averaging of variables.
Winterstein and Hafez (1993) suggested a way to avoid such difficulty by ad-
justing the location of the trailing edge stagnation point to produce zero lift
solutions. This approach is effective, but may be cumbersome to implement.
(a) (b)
Fig. 10.7. Uniform flow (0 = 5°) past an ellipse: (a) Finite element mesh, (b)
Computed pressure contours (from Wu and Jiang 1995b)
Compressibility is not essential in this problem, therefore we consider a

steady-state, inviscid, incompressible flow calculation. The problem definition
is a 6 : 1ellipse at an angle of attack a = 5°. Assuming that initial and
boundary conditions are irrotational and contain no circulation, one would
expect that the inviscid flow at any angle of attack would remain irrotational,
not generate any circulation, and therefore be nonlifting.
In the LSFEM computation conducted by Wu and Jiang (1995b), the
outer boundary of the computational domain is 8 chords away from the center
of the ellipses; the free stream values of all variables are imposed on the
outer boundary. The converged steady-state solution is obtained after six
1.0
0.5
0.0
0.
()
I
• LSFEM
-0.5
- - analytical
-1.0
-0.4 -0.2 0.0 0.2 0.4 0.6

X/chord
Fig. 10.S. Uniform flow (0 = 5°) past an ellipse: the pressure coefficient distribu-
tion on the surface (from Wu and Jiang 1995b)
Newton's linearizations. A part of the mesh with 238 nodes on the surface
and the computed contours of the pressure are illustrated in Fig. 10.7a and b,
respectively. Figure 10.8 demonstrates that the computed pressure coefficient
on the surface is compared very well with the analytical solution. It is clear
that the calculated flow is nonlifting and attached to the solid surface. We
note that in the LSFEM no special treatment is needed.
The solution of the incompressible Euler equations for inviscid rotational

flows by using conventional finite difference and finite element methods is
difficult, since the governing equations are neither elliptic nor hyperbolic,
and no physical dissipation exists. Usually artificial dissipation is required for
numerical stability; this contaminates the solution, leading to a deterioration
of accuracy, loss of kinetic energy, and generation of artificial vorticity and
thus false values for the lift.
This chapter demonstrates that the LSFEM based on the velocity-
pressure-vorticity formulation is free of excessive numerical dissipation by
showing that the kinetic energy for an inviscid fluid in a closed system is
fully conserved over a long period of time, and excellent agreement between
the LSFEM solution and the exact solution is observed. It is also shown that
the LSFEM without any special treatment does not produce lift for asym-
metric flow conditions.
11. Low-Speed Compressible Viscous Flows
In this chapter, low-speed compressible viscous flows are of interest. This sub-
ject has been neglected in finite element simulations, but has been intensively
studied using finite difference and finite volume methods.
We shall show that by employing the velocity, pressure, vorticity, temper-
ature, and heat flux as independent variables, the governing equations of this
type of fluid flows can be written as an almost-linear first-order system. In
this system, the principle part is the same div-curl-grad operator as that for
the incompressible flow-heat coupling problems studied in Sect. 8.7. There-
fore, the mathematical properties, such as the ellipticity for steady-state cases
and the permissible boundary conditions of this system are exactly the same
as that for incompressible viscous flows. Application of LSFEM based on this
system to compressible buoyant flows are provided. The presentation of this
chapter mainly follows the works of Yu et al. (1995a, 1996a,b).
11.1 Introduction
Low-speed flows with significant temperature variations are compressible due
to the density variation induced by heat addition. For example, significant
heat addition occurs in combustion related flow fields; inside chemical vapor
deposition reactors, strong heat radiation also results in significant density
variation. Although the flow speed is low, one must employ the compressible
flow equations to simulate such flows.
It is well known that the simple explicit time-marching method, which
can readily handle high-speed compressible flows for both steady-state and
time-dependent problems, fails miserably when applied to low-speed or in-
compressible flows. This is due to the fact that for stability, the time step
must be chosen inversely proportional to the largest eigenvalue of the system
which is approximately the speed of sound for slow flows. Thus, this method is
very time consuming. For incompressible flows, the speed of sound approaches
infinity, thus simple explicit methods do not work at all. Another equivalent
explanation of this difficulty is that the incompressible Navier-Stokes equa-
tions do not contain any time derivative of the pressure, hence the pressure
variation propagates infinitely fast. To overcome this difficulty, Chorin (1968)
260 11. Low-Speed Compressible Viscous Flows
added an artificial time derivative of the pressure into the continuity equa-
tion together with a multiplicative parameter {3. The free parameter {3 is then
chosen so as to reach the steady state rapidly. This idea can be extented by
adding the pressure time derivative to the momentum equations and by in-
troducing a second free parameter a. With these artificial terms the transient
nature of the system is changed, and the steady state can be reached quickly
by time-marching methods. Based on an analogy with the conjugate gradient
method such a method is called the preconditioned method, since the object is
to reduce the condition number of the matrix. Recently, noteworthy progress
in simulating low-speed compressible flows has been achieved by using this
preconditioning technique in the context of finite difference and finite volume
methods, see e.g., Merkle and Choi (1987, 1988), Choi and Merkle (1993),
Turkel (1987, 1993) and van Leer et al. (1991). However, the convergence of
this preconditioned method is dependent on the choice of the free parame-
ters. The optimal parameters depend on the dimensionalization, boundary
conditions and particularly the inflow conditions of the problem. In addition,
in the preconditioned equation set, one must specify the pressure boundary
condition which usually is derived based on the boundary layer assumption.
For recirculating flows, however, this approximate boundary condition poses
a significant error.
Since for small Mach numbers the compressible equations basically have
the same mathematical properties as the incompressible equations, the mixed
Galerkin finite element method discussed in Sect. 8.1.1 is suitable for low-
speed flows, as demonstrated by Einset and Jensen (1992) for flows inside
a chemical vapor deposition furnace. It has been mentioned many times in
this book that in the setting of the mixed Galerkin finite element method,
only certain combinations of the approximation functions for velocity and
pressure are acceptable for stable solutions. i.e., the LBB condition must be
satisfied. While the LBB condition is cherished for its mathematical elegance,
the condition renders no easy verification. For three-dimensional calculations,
few combinations of shape functions are acceptable. In addition, the final
coefficient matrix is nonsymmetric, and hence the inversion of such matrices
is not trivial.
All the above mentioned difficulties associated with conventional methods
have promoted the development of LSFEM for low-speed flow problems.
11.2 Two-Dimensional Case

11.2.1 The Compressible Navier-Stokes Equations
For simplicity, we assume that the gas is ideal and Newtonian, and the phys-
ical properties (Viscosity J.t, thermal conductivity k and the constant pressure
specific heat Cp ) are constant throughout the flow field. The assumptions
outlined above lead to the following compressible Navier-Stokes equations:
11.2 Two-Dimensional Case 261
ap ap ap (au
-+u-+v-+p -+-av) =0 in n x (0, T], (ll.la)
at ax ay ax ay
au au au ap a [au 2 (au av)]
p-+pu-+PV-+-=J..l-
at ax ay ax ax 2ax- - -3 -+-
ax ay
a (au av)
+J..l- n x (0, T],
ay -+-
ay ax in (11.1b)
av +pu-
av av ap a (au av)
p-
at ax +pv- ax -ay +-
ay + -ay =J..l- ax
a [av -
+J..l- -2 (au
- + -av)] - pg n x (0, T],
ay 2-ay 3 ax ay in (11.1c)
in n x (0, T], (IUd)
(11.1e)
where p is the density, u and v are the velocity components in the respective
directions, () is the temperature, and tP is the viscous dissipation. Note that
the coordinate system is chosen so that gravity acts in the negative y direc-
tion. Equation (ll.la) is the continuity equation; (11.1b) and (ll.lc) are the
momentum equations; and (ll.ld) is the energy equation.
In order to reduce (11.1) to a first-order system, the following new vari-
ables are introduced:
'0- au av (ll.2a)
- ax + ay'
av au
W=---, (11.2b)
ax ay
a()
qx = -k ax' (11.2c)
a()
qy = -k ay' (1l.2d)
where'D is the dilatation which represents a measure of the compressibility, w

is the vorticity, and qx and qy are the heat conduction fluxes in the respective
directions. As a result, a set of first-order equations in Q x (0, T] are obtained:
ap ap ap
at + u ax + v ay + p'D = 0, (11.3a)
au
p at
au au ap
+ pu ax + pv ay + ax = f.J, 3 ax
(4 a'D aw)
- ay , (11.3b)
av
p at
av av
+ pu ax + pv ay + ay = f.J,
ap (43 a'D
ay + ax
aw)
- pg, (11.3c)
a() a() a() ( ap ap ap )

pCp at + pCpu ax + pCpv ay - at + u ax + v ay
4 2 2 (au av au av)] aqx aqy
= f.J, [ 3'D +w +4 ay ax - ax ay - ax - ay - pgv. (11.3d)
As pointed out in Sect. 6.4, the equation rot(qx,qy) = 0, i.e.,
aqy _ aqx =
ax ay
° (11.4)
should be added to the above first-order equations to make the system have
good mathematical properties.
The above governing equations (11.2)-(11.4) are closed by the equation
of state
p = pR(), (11.5)
where R is the gas constant.
To nondimensionalize the equations (11.2)-(11.5), the following dimen-
sionless variables are introduced:
- p u v
p=-, ii= Uoo ' v=U'
Poo 00
- 'DL _ wL -I p'
'D=-, w=-, =--rJ2'
Uoo Uoo P
Poo 00
x
X= L'
- qy
qy = PooVoo
TT ()
00
Cp '
where Poo, Uoo , ()oo, and L are reference values of density, velocity, tem-
perature, and length scale. Note that special care is taken to deal with the
pressure. Since in low-speed flows the pressure distribution is rather uniform,

pressure can be decomposed into a uniform background p* plus a variation
p', namely, p = p* + p', where p* = PooROoo . The background pressure p*
then can be dropped out in the spatial derivatives. The pressure variation p'
exists due to the flow velocity, and hence is nondimensionalized by a reference
kinetic energy PooU!. Then the nondimensionalized system of equations can
be expressed as:
8p 8p 8p
at + U8x + v 8y + pV = 0, (11.6a)
8u
p at
8u
+ pu 8x + pv 8y +
8u 8p' 1
8x = Re
(48V
'3 8x -
8w)
8y , (11.6b)
8v 8v 8v 8p' 1 (48V 8W) p

(1l.6c)
p at + pu 8x + pv 8y + 8y = Re '3 8y + 8x - 2€Fr'
80 80 80 ( 1)M2 (8 pl pl
(-y - 1)M2
P at + PU-8x + pv 8y - "{ - -at- + u-8p' 8 )
8-y = .;....:....--::Re~-
8-x + v-
[ ~V2 + w2 + 4 (8U 8v _ 8u 8V)] _ 8qx _ 8qy _ (-y -1)M2

3 8y 8x 8x 8y 8x 8y 2€Fr pv,
(1l.6d)
v- 8u 8v (1l.6e)
- 8x + 8y'
8v 8u
w---- (11.6f)
- 8x 8y'
1 8e
qx = -Pe 8x' (1l.6g)
1 80
qy = -Pe 8y' (11.6h)
8qy _ 8qx _ 0
(11.6i)
8x 8y-'
1 + "{M2p' = pO. (11.6j)
Note that the dimensionless bar notation has been suppressed in the above
equation system for convenience. The dimensionless numbers in these equa-
tions are defined as
M- Uoo Ra= 2€gL3
-~' /la '
v
Pr= -,
a
Re = Jlli1Fr
Pr '
Pe = RePr,
k C
a = PooCp ' 'Y = C: '
where M is the Mach number, Fr the Froude number, Ra the Rayleigh num-
ber, Pr the Prandtl number, Re the Reynolds number, Pe the Peclet number,
a the thermal diffusivity, and 'Y the ratio of specific heats. The temperature
difference parameter € is defined as
(h - ()e
€ = ()h + ()e' (11.7)
where ()h and ()e are the specified hot and cold temperatures in the thermal
convection problem, respectively.
11.2.2 The First-Order System for Low-Speed Flows
In (l1.6d) energy contributions from the pressure changes, viscous dissipation

and gravity effects are proportional to M2. Thus for low-Mach (M ~ 0.3)
number flows these effects become negligible. In addition, in the nondimen-
sionalized equation of state (l1.6j) the M2 term may also be neglected, hence
the density and temperature become reciprocals of each other. With strong
heat addition, the temperature and thus the speed of sound are high; the as-
sumption of low Mach number can be widely applied to combustion phenom-
ena and material processing procedures. Therefore, we obtain the first-order
equations governing the low-speed flow:
8p 8p 8p
8t + u 8x + v 8y + pV = 0, (l1.8a)
p8u +pu8u +pv8u + 8p' = ~ (~8V _ 8W), (l1.8b)

at 8x 8y 8x Re 38x 8y
8v 8v 8v 8p' 1 (48V 8W) p

p 8t + pu 8x + pv 8y + 8y = Re '3 8y + 8x - 2€Fr' (l1.8c)
8() 8() 8() 8qx 8qy

p 8t + pu 8x + pv 8y + 8x + 8y = 0, (l1.8d)
V_8u 8v
- 8x + 8y' (l1.8e)
8v 8u
W=--- (l1.8f)
8x 8y'
1 8()
qx = -Pe 8x' (l1.8g)
1 {)()
qy = -Pe {)y' (11.8h)
{)qy _ {)qx _ 0
{)x {)y - ,
(11.8i)
1 = p(). (1l.8j)
Both the original time-dependent quasi-linear first-order system (11.6)

and the above simplified time-dependent quasi-linear first-order system can
be directly used for the computation of low-speed or incompressible flows
(Yu et al. 1995a). As usual, the time-derivatives can be discretized by the
backward-Euler or Crank-Nicolson differences, the nonlinear terms can be
treated by Newton's method, then the LSFEM can be employed. Note that
it is trivial to include the algebraic equation (11.6j) or (11.8j) into the LSFEM
formulation.
11.2.3 The Div-Curl-Grad Formulation
In order to reveal the mathematical properties of the above first-order system

(11.8) as well as the permissible boundary conditions, we consider the steady
state case. To proceed, the reciprocal correlation of temperature and density
is used to obtain the following equation:
(11.9)
Substituting (11.9) into the continuity equation (11.8a), choosing the tem-
perature as a primitive variable, and replacing the density by the reciprocal
of temperature lead to
{)() {)()
u {)x + v 8y = ()V. (11.10)
As a result, the dilatation V can be expressed by the following algebraic

equation:
(11.11)
The left hand side of (11.10) is the material derivative of temperature, which
can be substituted into the energy equation (11.8d), and we obtain
8qx8qy 'D - 0 (11.12)
8x+8y+ - .
The above equation directly correlates the compressibility effects with the
heat fluxes for low-speed flows. The nonlinear convective terms of the en-
ergy equation (1l.8d) in terms of the temperature now become an algebraic
expression in V.
Similarly, to transform the nonlinear convective terms of the momentum

equations into algebraic expressions, the total pressure b is introduced:
(11.13)
The convective terms of the momentum equations can be reformulated as
au au ap' _ ab _ vw qx Pe ( 2 2)
Pu ax + Pv ay + ax - ax () + 2()2 u + v ,
(11.14a)
av av ap' ab uw qyPe 2 2
Pu ax + Pv ay + ay = ay + 7i + 2()2 (u +v ). (11.14b)
By introducing another new variable B = Reb - (4/3)'0, a new set of first-

order equations is obtained for (u, v, B, w, (), qx, qy):
au av Pe
ax + ay = -7) (uqx + vqy) , (11.15a)
av au
---=W,
ax ay
(11.15b)
aw
ay +
aB
ax
= Re [vw _ qx Pe (
() 2()2 u
2+ 2)]
V ,
(11.15c)
aw aB '
--+-=-Re [uw
-+-qyPe
( u 2 +v)
2 ]
- -Re
-, (11.15d)
ax ay () 2()2 2fFr()
a()
ax = -Peqx, (11.15e)
a()
ay = -Peqy, (11.15f)
aqx aqy Pe ( )
ax + ay = +7) uqx +vqy , (11.15g)
aqy _ aqx = o. (11.15h)

ax ay
These equations can be presented concisely by the notation of vector analysis:
(11.16a)
rot u = w, (11.16b)
curl w + "VB = /, (11.16c)

(11.16d)
rot q = 0, (ll.16e)
"VO = -Peq, (11.16f)
where the notations ofrot and curl have been defined in Sect. 6.4.1; the right
hand side vector / in (11.16c) is defined as
~ _ q.. ~e(u2 +v 2) )
/-Re
-
( 8 28
_:!!!!! _ qy~e(u2 +v2) _ _ 1_ .
8 28 2eFr8
Note that all right hand sides in (11.16) are algebraic, and thus they have
nothing to do with the classification of this equation system.
The principle part of system (11.16) consists of a Stokes operator (11.16a)-
(11.16c) for the velocity vector, the scalar B and the vorticity, and a div-
curl-grad operator (11.16d)-(11.16f) for the temperature and heat fluxes. As
such, we arrive at an almost-linear first-order system with eight equations
involving seven unknowns: u, v, B, w, 0, qx and qy. The inconsistency be-
tween the number of the unknowns and the number of equations results in an
"overdetermined" problem. However, as emphasized many times in this book,
this "overdetermined" problem is a notion borrowed from linear algebra. For
partial differential equations, this interpretation leads to a misconception.
By introducing a dummy variable K, into the div-curl-grad system (11.16d)-
(11.16f) as explained in Sect. 6.4.1, it is easy to show that the system is elliptic
and properly determined (see Yu et al. 1995a and 1996a,b for details).
In this first-order elliptic system augmented by a dummy variable there
are eight unknowns governed by eight equations, thus on each boundary
four boundary conditions are required. To facilitate the discussion of bound-
ary conditions, the system of equations is divided into two groups: the flow
equations (11.16a)-(11.16c), and the heat equations (11.16d)-(11.16f). Ac-
cordingly, by virtue of the knowledge given in Sects. 6.6 and 8.2.2, we can
list some (not all) permissible boundary conditions for each group in Table
11.1.
Table 11.1. Boundary conditions for two-dimensional problems

Wall u=v=O e = given, n x q = given
n· q = given,
(II: = 0)
Specified u = given, v = given e = given, n x q = given
Inlet (Outlet) n· q = given, (II: = 0)
Symmetry v=O, w=O qy = 0, (II: = 0)
In Table 11.1, n denotes the outward normal vector for the boundary;
n . q and n x q are the normal and tangential components of q. Without
losing generality, the symmetry condition is assumed to be with respect to
the x axis. Note that for certain combinations, a null boundary condition for
the dummy variable f<i, is invoked in order to make the system (augmented by
the dummy variable) well posed. It should be emphasized however that this
is only for the purpose of discussion, because the dummy variable is not used
in the numerical computation. Therefore, these null boundary conditions are
put in parentheses.
In the conventional second-order velocity-vorticity method used by Ern
and Smooke (1993), there have been endeavors to derive wall conditions for
the vorticity (see Sect. 8.8.2). For the preconditioning technique, one always
needs to impose a wall condition for pressure. Here, we show that since only
two boundary conditions are required from the flow equations, no wall bound-
ary condition for vorticity or pressure is needed because the no-slip condition
(u = v = 0) is enough to make the system well posed. Similarly, no boundary
condition for vorticity is needed for specified inflow or outflow conditions.
For the heat equations, we list only two types of boundary conditions: (1)
the specified temperature condition; and (2) the specified heat flux condition.
A linear combination of the two is also permissible (see Remark in Sect. 6.4.2).
For the first case, it is convenient to impose an additional condition for heat
flux tangential to the wall. This tangential heat flux condition can be deduced
from the specified wall temperatures. For the second case, we activate a null
boundary condition for f<i, in addition to the specified normal heat flux. Note
again that f<i, is a dummy variable, and the adoption of this pseudo boundary
condition poses no theoretical difficulty.
The almost-linear first-order system (11.16) of eight equations and seven

unknowns can be written as
(11.17)
where A1 and A2 are constant matrices; each entry of the vector S is a

nonlinear algebraic expression in seven unknown variables to be solved, i.e.,
where Uj,j = 1"",7 are the unknown variables. These nonlinear terms are
linearized by Newton's method in the following fashion:
s~+l = s? + L (88~i. )n 8uj

7
(11.18)
j=l J
or
sn+1 = Sn + A~8:!!. (11.19)

where the superscript n denotes the previous iteration step and n + 1 is the
current step. 8uj = uj+1 - uj is the increment in the flow variables in each
Newton's iteration. After manipulation, we obtain a new set of equations in
matrix form:
(11.20)
To proceed, the governing equations are cast into the following operator form
ready for finite-element discretization:
L8:!! = 1, (11.21)
where the linear operator L is defined as
L = Al :x + A2 ~ + A~, (11.22)
and the right hand side vector is

aun aun
-f = -AI-=- - A 2 -=- - Sn.
ax ay (11.23)
In each iteration step the standard linear first-order system (11.21) can be
solved by LSFEM, see Sect. 4.8.
Buoyancy-Driven Gas Flows in Two Dimensions. The numerical study

conducted by Yu et al. (1995a, 1996a) is the simulation of buoyancy-driven
gas flows in a square enclosure. The configuration consists of two insulated
horizontal walls and two vertical walls at different temperatures. The grav-
itational force is in the negative y direction. The boundary conditions are:
u = v = qy = 0 everywhere; 0 = Oh on the left wall and 0 = Oe on the right
wall. This problem has been extensively studied based on the incompress-
ible flow equations with the Boussinesq approximation, which is appropriate
only for small temperature differences (see Sect. 8.7.1). In practice, however,
a large temperature difference is frequently encountered in gas flows, and
the compressible formulation must be employed. Previously, Chenoweth and
Paolucci (1986) used a SIMPLE type method and calculated the flow field.
The heat transfer correlations are deduced and reported. By using the pre-
conditioning technique, Choi and Merkle (1993) also successfully calculated
the flow field. Their results compared favorably with Chenoweth's data.
Flow features of buoyancy-driven cavity flow depend on the Prandtl num-
ber Pr, the Rayleigh number Ra, the Froude number Fr, the aspect ratio of
the cavity, and the temperature difference parameter f. In the study by Yu et
al. (1995a, 1996a), four Rayleigh numbers, Ra = 103 , 104, 105 , and 106 , are
considered with a temperature difference parameter f = 0.6. In all four cases,
the Prandtl number Pr = 0.71 (air), the Proude number and the aspect ratio
are unity. The variable B is specified to be zero at the center of the bottom.
For the grid refinement study, three meshes (32 x 32, 64 x 64 and 128 x 128)
were used. In all three meshes, grid lines were clustered near all four walls
to resolve high gradients of the flow properties. In all calculations, nine-node
quadratic elements are used, and the integration is performed using 2 x 2
Gaussian quadrature.
In the computation there are two loops of iterations: the outer loop up-
dates the coefficient matrices and source terms (see (11.21)) by Newton's
method; while the inner loop solves the variable increment O!! using the Ja-
cobi preconditioned conjugate gradient (JCG) method (see Chap. 15).
Figure 11.1 shows typical convergence numbers for the inner iterations by
the JCG method. The case shown here is Ra = 106 with 128 x 128 mesh.
Figure 11.1 shows that the error drops to lower than the sixth decimal digit
in about 300 JCG iterations. For these calculations, the specified criteria for
stopping the inner iterations is that error ~ 10- 7 or 300 iterations, whichever
is satisfied first. The error in the JCG method is defined as the marching dis-
tance of the CG method divided by the absolute value of the global unknown
vector.
-3.0 r---- ---r------...-------,
-4.0
g
w
0' -5.0
..-
!
-6.0
-7.0 ' - - - - - - - - - ' - - - - - - - - - ' - - - - - - - '

0.0 100.0 200.0 300.0
No. of Step 01 CO Method
Fig. 11.1. Typical convergence history of inner iterations by the JCG method,
Ra = 106 ,128 X 128 mesh (from Yu et al. 1996a)
Figure 11.2 shows typical convergence behavior of the outer loop by New-
ton's method for the same case. In about six iterations, the magnitude of
O!! reduces by about seven orders of magnitude. Since the criterion for the
inner iteration by the JCG method is set at 10- 7 , the outer iterations level
1.0
G---e ContInuity
~ X-Momentum
_ -4.0 .---. Y-Momentum

~I
+--4Enetgy
'0'
j
·1.0
.- :--;.- = --: -_ .....-

., ...°O''="0-------'5..... o.o-------J
0 - - - - - - ,...... ,5.0
Number of 1"Ime _
Fig. 11.2. Typical convergence history of outer iterations by Newton's method,

Ra = 106 ,128 x 128 mesh (from Yu et al. 1996a)
off at approximately the same order of magnitude. Figure 11.2 also shows
quadratic convergence, which is a typical characteristic of Newton's method.
Figure 11.3 shows a comparison of the present result with previous data
reported by Chenoweth et al. (1986). The x-axis is the Rayleigh number on
a logarithmic scale, and the y-axis is the Nusselt number. Flow with large
Rayleigh number results in enhanced heat transfer by natural convection,
and therefore a larger Nusselt number is obtained. For all twelve calculations
with four Rayleigh numbers and three meshes, favorable agreements were
obtained. Only slight improvements were found for solutions using the fine
mesh.
Figure 11.4 shows a comparison of the predicted heat flux on the cold wall
for the case of Ra = 106 by using three different meshes. A slight discrepancy
can be observed for the solution between the 32 x 32 mesh and the other two
meshes. For 64 x 64 and 128 x 128 meshes, the solution is essentially same.
In Fig. 11.5, streamlines of simulated flow fields for different Rayleigh
numbers are presented. The streamlines are obtained by plotting constant
contours of the stream function 'lj;. The distribution of 'lj; is obtained by solving
the following equations by LSFEM:
o'lj; u
ox 8'
20.0 ~----r---~-"'---~---'------'
o 32 X 32
15.0 0 64 X 64
o 128 X 128
- - Chenoweth et al.
i 10.0
5.0
0.0
0.0 2.0 4.0 6.0 8.0
Log 10 (Ra)
Fig. 11.3. Comparison of the calculated Nusselt numbers with Chenoweth and
Paolucci's correlation (from Yu et al. 1996a)
1.0
0.8
0.6
>-
0.4 32 X 32
64 X 64
128 X 128
0.2
0.0
0.000 0.010 0.020 0.030
RIght Heat Rule
Fig. 11.4. Mesh refinement calculations at Ra = 106 (from Yu et al. 1996a)

(a) Ra = 10 3 (b) Ra = 104
(c) Ra = 105
Fig. 11.5a-d. Streamlines of 2D buoyancy-driven gas flows (from Yu et al. 1996a)
: ~"----..::~~~~=:':~
___ ...........................
/./.;'----
L/,~
,
.......... " ...... _____ ----~ ~\
I,,,, .................. ...... _____ ~
III , ~ ....... """ ........ . ... ______ ....,'\

I , , . . .. • , , '" ... .. .. _ .................."'\
I, , • . . . . • __. '. ___ \\\
I,., .. . , ..... " "\\
" ... . . . . . .. ' '''\
f,. .. ... ' ''1
I .... ,' .... "1
I,. .. .. .'. " 1
. .. .. .,
',\" . . .. ...., . .
\\.. • • .. • ..
. ... "-.I' f . . . . .. .
... _- --......
,\,~_,_._.
,. - ...... -- - :- " -' ~.. ~\ ~- .' .'.,.,""1
_' •••
'., '. __ - .... .. , I. ' • • • ,
\, ...... - ................................ ,.
,------- ..... - - - -: :
n .. . ,__....
---~
:~.:::.:;.::..- f~
~~~~~g ~
(a) velocity vectors (b) isothermal contours
o o
( c) vorticity contours (d) dilatation contours

Fig. 11.6a-d. Numerical results for 2D buoyancy-driven gas flow at Ra 106
(from Yu et al. 1996a)
11.3 Three-Dimensional Case 275
Since this is a post-processing procedure, u, v, and 0 are known throughout

the flow field. To solve the above equation system, a null boundary condition
for 1/J is imposed.
It is well known that the Boussinesq approximation displays a fully anti-
symmetric flow field with respect to the center of the cavity, see Fig. 8.22. The
present calculation based on the compressible formulation shows an asymmet-
ric flow field which has been observed experimentally. For Ra = 103 and 10 4 ,
a shift of the vortex center towards the cold wall is observed. At Ra = 105
and 106 , secondary rolls embedded in the primary eddy are observed. Note
that for Ra = 106 , four secondary vortices are observed. Although not shown,
it is interesting to note that only two embedded vortices were resolved if the
32 x 32 mesh was used. The result of the 64 x 64 mesh is about the same as
that of the 128 x 128 mesh.
Velocity vectors, isothermal contours, vorticity contours and dilatation
contours of the simulated flow field at Ra = 106 are presented in Fig. 11.6.
All plots presented here are obtained by using the 128x 128 mesh. The velocity
vectors in Fig. 11.6a show that for large Rayleigh numbers, the flow motion is
most vigorous in the vicinity of the walls. In Fig. 11.6b, isothermal contours
show steep temperature gradients near heat conducting walls. For the case of
large Rayleigh numbers, the overall heat transfer is enhanced by fluid motion.
Figure 11.6c shows the vorticity contours. It is obvious that the distribution
of vorticity profiles along the walls is quite complex. In general, the vorticity
and its derivatives along the walls cannot be predetermined. Figure 11.6d
shows the contours of the compressibility effect V which is of interest for
physical interpretation. The dilatation V can be calculated by using (11.11)
in a post-processing procedure. Note that the dilatation V is null along the
wall. It indicates that the flow is incompressible on the walls even though the
flow field inside the enclosure is compressible. This can be easily verified by
inspecting (11.11). For high Rayleigh number flows, the compressible region is
restricted to near the lower-left and upper-right corners with steep gradients
on both vertical and horizontal walls.
11.3 Three-Dimensional Case
11.3.1 The Compressible Navier-Stokes Equations
The procedure for deriving the first-order equations for three-dimensional

low-speed flows is essentially the same as in two dimensions. Therefore, here
we give only a brief derivation, the details can be found in Yu et al. (1996b).
We consider the steady-state case. The steady-state three-dimensional com-
pressible viscous flows are governed by the following Navier-Stokes equations:
(u· V')p + p(V' . u) = 0 in n, (11.24a)
in fl, (1l.24b)
pCp(u. \1)0 = (u· \1)p + qj + kL1B - pgv in fl, (11.24c)
where
The coordinate system is chosen so that the gravity is in the negative y

direction, and the body force term in the momentum equations is denoted
by f = (0, -pg, O)T. As in the two-dimensional case, all physical properties
are assumed to be constant throughout the flow field.
In order to cast the equations to a first-order system, the following new
variables are introduced:
'D = \1. u, (11.25a)
w = \1 x u, (11.25b)
q = -k\1B, (11.25c)
where 'D is the dilatation, W = (wx, wy , wz ) is the vorticity vector, and

q = (qx, qy, qz) is the heat flux vector. As in the two-dimensional case, by
introducing a pressure variation p' and a uniform background pressure p*,
we obtain the dimensionless first-order equations:
(u· \1)p + p'D = 0, (11.26a)
p(u· \1)u + \1p' + Rle \1 x W - R4 \1'D - f = 0, (11.26b)

3 e
p(u· \1)B + \1. q - b- 1)M2 [(u. \1)p' + -.!. - pv] = 0, (11.26c)

Re 2EFr
W - \1 x u = 0, (1l.26d)
1
q + Pe \1B = 0, (11.26e)
\1 x q = 0, (11.26f)
\1. W = 0, (1 1. 26g)
(11.26h)
Note that in the above system the dimensionless bar notation has been sup-
pressed for convenience. The dimensionless body force in the momentum
equation is f = (O, -pj{2fFr), 0). Also note that the irrotational condition
(11.26f) for the heat flux and the solenoidal condition (11.26g) for the vortic-
ity are added to make the system have better mathematical properties, see
Chaps. 6 and 8.
11.3.2 The Div-Curl-Grad Formulation
For low-speed flows (M ~ 0.3), the pressure derivative terms, the viscous
dissipation terms, and the buoyancy term in the energy equation (11.26c)
become negligible. In addition, according to the equation of state (11.26h),
the density and temperature become reciprocals of each other and we have
(11.9). Substituting (11.9) into the mass conservation equation (11.26a) leads
to
(u· \l)O = OV. (11.27)
Here the density is replaced by the reciprocal of temperature. As a result,
the dilatation V can be expressed by the following algebraic equation:
OV = -Pe(u· q). (11.28)
The left hand side of (11.28) is the material derivative of temperature, which
can be substituted into the energy equation (11.26c) to obtain
(11.29)
Similarly, in order to transform the nonlinear convective terms of the
momentum equations into algebraic expression, the total pressure b is intro-
duced:
b = p' + ;0 (u· u). (11.30)

Then the convective terms in the momentum equation can be reformulated
as
U XW Pe
p(u· \l)u + \lp = \lb - -0- + 202 q(u· u),
I
(11.31)
By introducing another new variable B = Reb - (4j3)V we finally obtain an

almost-linear first-order system:
(11.32a)
\l x u = w, (11.32b)
\l·w = 0, (11.32c)
v x w + VB = Re [U; w - :O~q(u. u) + (0, - 2€~Fr'0) T] , (11.32d)

Pe
V . q = O(u, q), (11.32e)
Vxq = 0, (11.32f)
VB = -Peq. (11.32g)
Here all left hand sides are linear first-order derivatives; and all right hand
sides are algebraic, and thus they have nothing to do with the classification
of this system.
This set of equations consists of a div-curl system (11.32a) and (11.32b)
for the velocity, a generalized div-curl system (11.32c) and (11.32d) for the
scalar B and the vorticity, and a div-curl-grad system (11.32e)-(11.32g) for
the temperature and heat flux. Although this set has fifteen equations with
eleven unknowns, it is elliptic and determined (see Chaps. 6 and 8).
For the purpose of discussing the boundary conditions, we divide the sys-
tem of equations into two groups: the flow equations (11.32a)-(11.32d) and
the heat equations (11.32e)-(11.32g). Any combination of the permissible
boundary conditions for the flow equations listed in Table 8.1 and the per-
missible boundary conditions for the heat equations discussed in Sect. 6.4.2 is
permissible for low-speed equations in the div-curl-grad formulation (11.32).
Some of these combinations are listed in Table 11.2.
Table 11.2. Boundary conditions for three-dimensional problems

Wall u=v=w=O () = given, n x q = given
n·q=given
Specified u = given, v = given, () = given, n x q = given
Inlet (Outlet) w=given n· q = given
Symmetry n . 'II. = 0, n x w = 0 n·q=O
Buoyancy-Driven Gas Flows in Three Dimensions. A simulation of

buoyancy-driven gas flows in a cubic container by using LSFEM was per-
formed by Yu et al. (1996b). As shown in Fig. 11.7, the configuration con-
sists of four insulated walls and two vertical walls at different temperatures
Bh and Be. Figure 11.7 also illustrates the specified boundary conditions. In
this study, four Rayleigh numbers, Ra = 103 , 104 , 105 , and 5 x 105 , are
considered with a temperature difference parameter E = 0.6. For all four
cases, the Prandtl number Pr = 0.71 (air), the Froude number and the aspect
ratio are unity. For the grid refinement study, three meshes (16 x 16 x 8,
32 x 32 x 16 and 64 x 64 x 32) were used. Fluid flows are assumed symmetric
with respect to the central x - y plane, and half of the grid nodes are used
in the z direction. In all three meshes, grid lines were clustered near the
walls to resolve high gradients of the flow properties. In all calculations,
trilinear elements with one-point Gaussian quadrature are used. In addition,
the calculation is carried out by using the solution of coarse mesh as initial
guess for the fine mesh solution.
insulated wall
y u=v=w=qy=O
hot cold
6=6h 6=6c
u=v=w=qy=qz=O u=v=w=qy=qz=O
I I
I I
I I ____
r--
~x
I
I /
1//
r----- go
/ --~
/
z
/ symmetric plane
w=c.ox=c.oy=qz=O
Fig. 11.7. Schematic of natural convection inside a cubic enclosure
In the computation there are two loops of iterations: the outer loop up-
dates the coefficient matrices and source terms by Newton's method; while
the inner loop solves the variable increment 15!! by using the JCG method.
Typically, it takes about 10 to 15 global iterations to reduce 15!! to about
eight to ten orders of magnitude. The limitation of the global convergence is
due to the prescribed criterion for the inner iterations. Usually, two to three
hundred inner iterations are used for each global iteration.
Figure 11.8 shows the distribution of the u velocity at the central vertical
line for Ra = 105 using three meshes, respectively. Little difference is observed
between solutions for the 32 x 32 x 16 mesh and the 64 x 64 x 32 mesh.
In another test, the error of overall heat transfer obtained by integrating
qx over the hot and cold conducting surfaces is evaluated. Due to the conser-
vation of energy, the integrated heat fluxes on the cold and hot walls should
o16 X 16 X 8
0.8 32 X 32 X 16
- - - - 64 X 64 X 32
0.6
>-
0.4
0.2
0.0
-0.20 -0.10 0.00 0.10 0.20
U velocity
Fig. 11.8. Velocity u distribution along the vertical centerline at Ra = 105 (from
Yu et al. 1996b)
be equal. The error tabulated in Table 11.3 is the difference between the two
integrated heat fluxes normalized by their average.
Table 11.3. Errors of overall heat transfer (%) (from Yu et al. 1996b)
Ra Mesh 17x17x9 32x32x17 64x 64 x32
103 - 2.040 1.029 0.206
104 3.164 1.143 0.732
105 2.410 1.510 1.175
5x105 3.326 1.203 0.910
Figure 11.9 shows the temperature contours on several two-dimensional

cross sections for the case Ra = 105 • For the y - z planes near the conducting
surfaces, several local hot and cold regions are observed.
Figure 11.10 shows the velocity vectors on the middle x - y plane for flow
fields at different Rayleigh numbers. In all cases, there is only one dominant
vortex with its center biased to the cold wall. This situation contrasts with
that in two-dimensional fluid flows, see Fig. 11.5. Figure 11.11 shows the
velocity vectors on several x - z planes for Ra = 105 . The corner vortices
near the hot and cold surfaces with the stronger pair near the hot wall are
observed.
Fig. 11.9. Temperature contours of 3D buoyancy-driven gas flow on several two-

dimensional cross sections at Ra = 10 5 (from Yu et al. 1996b)
(a) Ra = 103
(c) Ra = 105 (d) Ra = 10 6

Fig. 1l.10a-d. Velocity vectors of 3D buoyancy-driven gas flow on the central
x - y plane (from Yu et al. 1996b)
(a) y = 0.39 (b) y 0.45
(c) y = 0.50 (d) y = 0.56

Fig. 1lolla-d. Velocity vectors of 3D buoyancy-driven gas flow on several x - z
planes at Ra = 105 (from Yu et al. 1996b)
The computation with Ra higher than a half million was also conducted.
No steady-state solution could be obtained; this means that the flow may
become unstable for Ra higher than a half million.
By introducing the vorticity and the heat flux as additional variables, the
governing equations for low-speed compressible viscous flows can be written
as an almost-linear first-order system. The principle part of this system is
exactly the same as that for incompressible flow-heat coupling problems. It
consists of div-curl-grad operators. Consequently, the steady-state governing
equation system for low-speed flows is elliptic, and the required boundary
conditions become verifiable.
In contrast to conventional approaches, the LSFEM based on the quasi-
linear or almost linear first-order system evades the difficulty of the lack
of a timEHierivative of pressure in the continuity equation, and no special
treatments, such as preconditioning, staggered grids, or operator-splitting
. are needed. Moreover, due to the merit of LSFEM, the coefficient matrix
is symmetric positive definite; its solution can be conducted by an element-
by-element Jacobi preconditioned conjugate gradient method. The precondi-
tioning matrix in LSFEM is automatically chosen by the preconditioned CG
method itself after discretization, instead of the free choice of only two pa-
rameters to precondition the time derivative terms in the partial differential
equations. Numerical solutions with good resolution for two and three di-
mensional compressible buoyant flows at various Rayleigh numbers have been
obtained by LSFEM. No previously reported results showed such resolution.
This illustrates the merits of LSFEM: (1) no artificial boundary condition for
pressure is used; (2) no added artificial damping is employed; and (3) first-
order derivative variables such as vorticity and heat fluxes are discretized to
the same order of accuracy as the velocity, pressure, and temperature.
12. Two-Fluid Flows
Numerical simulation of multi-fluid flows presents a challenge, because the

fluid properties are discontinuous across the fluid interface. To overcome this
difficulty, fluids of different properties are identified through the use of a
continuous field variable - the color function. The color function assigns a
unique constant to each fluid. Interfaces between different fluids are distinct
due to sharp gradients of the color function. The evolution of the interfaces
is governed by the convective equation of the color function, while the fluid
motion is governed by the incompressible Navier-Stokes equations. There-
fore, conventional approaches are composed of two distinct methodologies,
namely, a flow equation solver which is usually based on staggered grids,
operator-splitting or projection methods; and a pure convection equation
solver to identify the material by Lagrangian or upwind methods. Since these
two totally different numerical techniques must be incorporated together,
simulating two-fluid flows is regarded as a very complex problem.
In this chapter, we shall show that the LSFEM can handle the color func-
tion and the fluid variables in a unified manner without special treatment.
Various benchmark tests are given to demonstrate that the LSFEM can suc-
cessfully capture the interface and flow features. The material for this chapter
is mainly taken from Wu et al. (1996).
12.1 Introduction
Many engineering problems involve multi-fluid/interfacial flows. Injection
molding, metal casting, crystal growth and spray atomization are some sig-
nificant examples. At the interface of different fluids, surface tension exists as
a result of uneven molecular forces. The interface behaves in a way similar to
a thinly stretched membrane. The prediction of the evolution of the interface
and the treatment of the interface conditions have been a challenging task
for numerical simulations.
Most existing numerical methods for multi-fluid/free-surface flows fall into
two categories: (1) those which use a fixed grid; and (2) those which allow
the grid to deform in time so that it remains surface-intrinsic.
In the first category, the computational grid is fixed throughout the cal-
culation. An additional variable is used to identify the interface (front). Ex-
286 12. Two-Fluid Flows
amples of such methods are the marker and cell (MAC) method proposed
by Harlow and Welch (1965), the volume of fluid (VOF) method by Hirt
and Nichols (1981), and the level set method by Zhu and Sethian (1992).
The MAC method uses massless marker particles which travel with the fluid
to trace the fluids and the interface. The VOF method modifies the MAC
method by replacing the discrete marker particles with a continuous field
variable - the color function or the level set function. This function assigns
a unique constant (color) to each fluid. At fluid interfaces this color function
has a sharp gradient. Numerical methods in this category are sometimes re-
ferred to as "front capturing" methods. Such methods possess great flexibility
in handling large deformations and topological changes, as demonstrated by
Daly (1967) and Harlow and Shannon (1967). The most difficult task with
the front capturing approach is to accurately identify the interface and to
impose the interface condition; these are exemplified by the elaborate work
of Daly (1969). This difficulty can be alleviated by using a continuum surface
force (CSF) model proposed by Brackbill et al. (1992). The CSF model in-
terprets surface tension as a continuous, three-dimensional body force across
an interface, rather than as a boundary condition on the interface. The com-
puter implementation of the CSF model is therefore relatively simple com-
pared with other approaches. The combination of the VOF method (or the
level set method) and the CSF model has been used by a number of authors
to simulate multi-phase phenomena involving surface tension and complex
topological changes, see e.g., Richards et al. (1994), Lafaurie et al. (1994),
Sussman et at. (1994), and Chang et al. (1996). A detailed description of the
CSF model will be given in the next section.
For methods in the second category, see e.g., Pritt and Boris (1979), Fyfe
et al. (1988), Jue and Ramaswamy (1992), Tezduya et al. (1992a,b), which are
referred to as "front tracking" methods, imposing the interface condition is
easy compared to the first, because the interface always coincides with mesh
sides. However, it requires frequent updating of the computational mesh,
which can be a complex and time-consuming procedure. In particular, it
encounters severe difficulty when the flow experiences severe distortions and
complex topological changes.
Another approach which can be regarded as a combination of the above
is the front-tracking method introduced by Unverdi and Tryggvason (1992).
This approach uses a fixed, structured grid to represent the flow field. A
separate, unstructured grid is used to represent the interface. The interface
is explicitly tracked and kept at a constant thickness of the order of the
mesh size. This ensures that the interface will not be smeared by numerical
diffusion. Much success has been achieved in solving a variety of two-fluid
flow problems using this approach (Nobari and Tryggvason 1994a,b). The
difficulty with this approach is the handling of complex topological changes.
In this chapter, numerical solutions to problems involving two immiscible
fluids are sought. A large number of such problems deal with the interaction
12.2 Continuum Surface Force Model 287
between a liquid and gas or air, which are often simply treated as free-surface
problems. In the free-surface formulation the flow equations are solved only
for the liquid, and zero traction is assumed on the interface. In this chapter
such problems are treated as true two-fluid cases. The VOF approach and
a modified version of the CSF model proposed by Jacqmin (1995) are used
in the simulation. The LSFEM is used to discretize the governing system of
equations.
12.2 Continuum Surface Force Model

Consider the effect of surface tension on a fluid interface. The pressure jump
across the interface between two fluids (labeled 1 and 2) due to surface tension
can be expressed by the Laplace formulas (Landau and Lifshitz 1959):
P2 - P1 = o-K., (12.1)
in which 0- is the surface tension coefficient (only constant 0- is considered),
K. = Rl1 + R21 is the Gaussian curvature of the interface, where R1 and R2
are the principal radii of curvature of the surface. The higher pressure is in
the fluid on the concave side of the interface, since surface tention results in
a net normal force directed toward the center of curvature of the interface.
Consider two fluids, fluid 1 and fluid 2, separated by an interface at time
t. The two fluids are distinguished by some characteristic function:
<71, in fluid 1;
<7(x) = { <72, in fluid 2; (12.2)
(<71 + <72)/2, at the interface.
The CSF model is a means of treating surface tension effects in the VOF
method. By using this model, the difficulty in imposing the interface condition
(12.1) was alleviated. The basic idea of the CSF model is to regard the
interface between two fluids as a transition region with a finite thickness,
instead of a zero-thickness membrane. By using the CSF model, the interface
condition (12.1) no longer needs to be explicitly imposed, as it is already
implied in the momentum equations.
Consider replacing the discontinuous characteristic function by a smooth
variation of fluid color C(x) from <71 to <72 over a distance of O(h), where h
is a length comparable to the average finite element mesh size. This replaces
the interface by a thin continuous transition layer, where <71 ~ C ~ <72.
Accordingly, the surface tension effect is interpreted as a continuous body
force spread across the transition region:
0-
f = [CJ K. \lC, (12.3)
which acts as a source term in the momentum equations. In the above for-
mulation, [CJ denotes the jump of C across the interface; the curvature K. is
calculated from
It = -(V· n), (12.4)

where n is the unit normal to the surface, which is obtained from
VC (12.5)
n = IVCI.
By using the vector equality (A.l), the x-component of the body force
can be written as
a [ ( VC )] ac
Ix = - [C] V· IVCj ax
= a [
- [C]
(ac vc ) (ac) vc ]
v· ax Ivcl - V ax . Ivcl
a [ (ac vc ) a ]
- [C] v· ax Ivcl - ax Ivcl
a[a ( 1 ac ac ) a ( 1 ac ac)
= - ax IVCj ax ax - Ivcl + ay IVCj ax ay
[C]
a ( 1 ac ac)] (12.6)
+ az Ivcl ax az .
In general, the volumetric body force caused by the surface tension is ex-
pressed as:
f ,.-
- aTij
aXj' (12.7)
in which the stress tensor Tij is related to the color function C by:
Tij _~ _1_ (ac ac _ fJ .. ac ac)
[C] IVCj aXi aXj '3 aXk aXk
a( 1 acac
- [C] IVCI aXi aXj - fJij Ivcl ,
) (12.8)
where fJij is the Kronecker delta. This formulation for the body force was first
derived by Jacqmin (1995). The advantage of using the formulation given by
(12.7) and (12.8) instead of the original CSF model (12.3) is that (12.7)
and (12.8) do not require the explicit calculation of the normalized gradient
term in the right hand side of (12.5), whose definition is not clear when the
denominator IVCj approaches zero. In (12.7) and (12.8), both T and fare
well defined in the whole domain, and naturally vanish when IVCj becomes
zero. An additional advantage of using the stress tensor T is that it can be
regarded as part of the momentum flux. In many numerical procedures T can
be used directly, and there is no need to calculate f.
12.3 The First-Order Governing Equations 289
12.3 The First-Order Governing Equations

12.3.1 Rectangular Coordinates
The motion of both fluids is governed by a Newtonian incompressible fluid

flow model. Let a be the fluid domain with a piecewise smooth boundary r.
The governing equations in the velocity-pressure--vorticity form in rectangu-
lar coordinates are:
in a, (12.9a)
au
P at + P (u . V') u + V'p + J.t (V' x w)
- (V'J.t. V'u + V'J.t. (V'U)T) = f in a, (12.9b)
w-V'xu=O in a, (12.9c)
V'·w=O ina, (12.9d)
in which P is the density, u is the velocity vector, p is the pressure, w is
the vorticity vector, J.t is the dynamic viscosity, and f is the body force,
which generally consists of the surface tension effect given by (12.7) and the
gravitational force. The terms in the last pair of brackets on the left hand
side represent the effect of non-uniform viscosity.
The fluids are identified by different values of the color function C, which
is convected by the flow field:
ac
at + (u . V')C = O. (12.10)
Fluid properties such as the density and the viscosity are assumed to be
distributed in the same manner as C, i.e.,
P = PI + CP22 -- PI ( )
C C - C1 ,
1
(12.11a)
J.t = J.t1 + CJ.t22 -- J.t1 ( )

C C - C1 .
1
(12.11b)
The governing equations (12.9) and (12.10) are first discretized in time.
The backward-Euler difference scheme is used:
in a, (12.12a)
in a, (12.12b)
in a, (12.12c)
in fl, (12.12d)
in fl, (12.12e)
where the superscript 'n' denotes the previous time-step and 'n + l' denotes
the current time-step.
The above system of equations (12.12) is further linearized. To ensure
time-accuracy for time-dependent problems, linearization iterations are per-
formed within each time-step (typically three iterations are used). For steady
state problems only one linearization is performed in each time-step. Let k
denote the number of linerization, the linearization is carried out as follows:
\7 . u~r = 0, in fl, (12.13a)
u n +1
n+! [kJ
P[k-IJ Llt
+ P[k-lJ
n+1 (n+1
u[k-IJ'
n)
Y u[kJ
n+1 + nY P[kJ
n+1 + n+! \7
Il[k-IJ
n+1
x w[kJ
=n n+1 n n+1 n n+1

Y ll[k-lJ . Y u[k-IJ + Y Il[k-IJ'
(n u[k-lJ )T
Y
n+1
n+1 n+1 un
+I[k-IJ + P[k-IJ ..1t in fl, (12.13b)
n+1 n n+1 - 0 in fl, (12.13c)

w[kJ - Y x u[kJ -
n
y,w[kJ
n+l
= 0 . n
lllu, (12.13d)
e n+1 en
~
..1t
+ (u n[kJ+1 . \7) en+! _
[kJ -
[k-IJ
..1t in fl, (12.13e)
n+1 - en II n+1 - lin and u n+1 - un

in which e [OJ - '''''[oJ -,... [OJ - .
At this stage the standard LSFEM procedure is employeded for spatial
discretization. We note that the solution of the flow field u~r, p~r, w~r
does not require knowledge of e~t; thus for each linearization, (12.13a)-
(12.13d) are solved first. Then the newly obtained u~r is used in (12.13e)
to solve for e~tl. We use reduced integration (one point Gaussian quadra-
ture for bilinear elements) in the solution of (12.13a)-(12.13d). The reason is
that, as pointed out in Sect. 4.11, the LSFEM with Gaussian quadrature is
equivalent to the least-squares finite element collocation method; the use of
reduced integration makes the total number of collocation points compatible
with the total number of unknowns and has proved to result in better accu-
racy. For (12.13e), however, we have used exact numerical integration (2 x 2
Gauss points for bilinear elements), because using reduced integration some-
times produces oscillatory solutions for the color function. Such oscillations
will further result in unacceptable errors in the tension force, which is ob-
tained by twice differentiating the color functions. In order to avoid excessive
12.3 The First-Order Governing Equations 291
numerical diffusion and to maintain time-accuracy, a time-step is chosen so

that the corresponding CFL number is less than or close to unity for true
transient problems. If only steady state results are of interest, much larger
time-steps are used. A matrix-free Jacobi-preconditioned conjugate gradient
method has been used to solve the algebraic equations.
The body force term f~~lll in (12.13b) is calculated using (12.7) and
(12.8). The finite element solution of T obtained from (12.8) is discontinuous
across element boundaries. In order to use (12.7) to obtain the body force f,
the T field needs to be spatially continuous. Such a continuous field can be
obtained by treating the discontinuous field with various recovery procedures
(Zienkiewicz and Zhu 1992 and the references therein). In our numerical tests,
only bilinear elements are used for the discretization and a simple averaging
method proposed by Zienkiewicz and Zhu (1987) is used for the recovery
procedure. For higher order elements, the superconvergent patch recovery
(Zienkiewicz and Zhu 1992) should be used. The recovery procedure is also
used to obtain a continuous f field.
12.3.2 Cylindrical Coordinates
The Navier-Stokes equations given by (12.9a) and (12.9b) can be written in

cylindrical coordinates as:
8ur
8r
+ !u + ! 8ue + 8u
r r r 8(} 8z
z = 0 in n, (12.14a)
8u r u~ 8u 1 8u 8u 8p
p - - p-
at r
+ pur -8rr + PUe-- r
r 8(}
+ pu z -8zr +-
8r
+J.L (!r 8w
8(}
z _ 8we) _ 2 8 J1. 8u r _ 8J1.
8z 8r 8r r 8(}
! (!r 8u80r + 8ue
8r
_ ue)
r
_ 8J1. (8u r + 8u z ) = Ir in n, (12.14b)

8z 8z 8r
+J1. (8w r _ 8W z )
8z 8r
_ 8J1.
8r
(!r 8u8(}r + 8ue
8r
_ u e ) _ ~ 8J1. (! 8 u e + u r )
r r 8(} r 8(} r
_ 8J1. (8u e +!8U z ) =Ie in n, (12.14c)

8z 8z r 8(}
+p. (OW() + ~W() _ ~ OWr) _ Op. (Our + ou z )

or r r of) or 0z or
_~op. (OU() +~ouz) _2°p.ou z =1z in n. (12.14d)

r of) oz r of) oz oz
The definition (12.9c) of w is given as:
Wr _ ~ oU z
r of)
+ OU()
oz
= 0
in n, (12.15a)
W() _ OUr + oU z = 0 in n, (12.15b)

oz or
OU() 1 1 OUr
Wz - -
or
- -U()
r
+- - =0
r of)
in n. (12.15c)
The compatibility condition (12.9d) in this system becomes:

oWr 1 1 OW() oW z
-+-wr+--+-=O inn. (12.16)
or r r of) OZ
The stress components due to surface tension are:
0' ( 1 oC oC )
Trr = - [C] IV'CI or a;: -1V'C1 , (12.17a)
0' ( 1 1 OC oC )
TIJIJ = - [CJ IV'CI r2 of) of) - IV'CI , (12.17b)
0' ( 1 OC oC ) (12.17c)
Tzz = - [CJ 1V'C1 oz oz - 1V'C1 ,
0' ( 1 1 oC OC) (12.17d)
Tr() = T()r = - [CJ 1V'C1 ~ or of) ,
1 1 oC OC)
IV'CI ~ of) a; ,
0' (
T()z = Tz() = - [C] (12.17e)
0' ( 1 oC OC) (12.17f)

Trz = Tzr = - [C] 1V'C1 or oz '
in which 1V'C1 = (~)2 + u~l + (~/. The body force components

due to the above stress tensor is:
(12.18a)
(12.18b)
12.4 Numerical Examples 293
f z -- 8Trz ~ 8T()z ~ 8Tzz

8r + r 80 + r Trz + 8z . (12.18c)
When the flow is axisymmetric, all the O-derivatives become zero. More-
over, if the flow is non-swirling, u() becomes zero. For such cases the governing
equations are further simplified.
12.4 Numerical Examples
Broken Dam. The broken dam problem has been used by many as a test
case for simulating free-surface problems. Experimental data for this case are
available (Martin and Moyce 1952). Here the problem is solved as a two-fluid
problem involving both water and air. Zero surface tension and slippery walls
(left and bottom sides) are assumed. On the top and right sides zero pressure
is imposed. In addition, if inflow is detected on the top and right sides, the
density of air is imposed as a boundary condition. The computational domain
is 2 units high and 6 units long. Initially, water occupies a 1 x 1 area at the
bottom left corner. The computational mesh consists of 120 x 40 uniform
linear quadrilateral elements. The time-step is Llt = 0.05. The nondimen-
sionalized gravitational acceleration, g, is taken to be unity. The viscosity is
set at 3.05 x 10- 5 for water which is the same choice as in Nakayama and
Mori (1996) and 3.05 x 10- 8 for air. The densities for water and air are 1 and
0.001, respectively.
Figure 12.1 shows free surface profiles (a contour line of density at p =
0.5) and the pressure contours at various times. The calculated water front
location and water column height are compared with the experimental data
in Fig. 12.2. It can be seen that the calculated results are in good agreement
with the experimental data given by Martin and Moyce (1952) and with the
calculation results in Nakayama and Mori (1996).
Two-Liquid Interface. This example is taken from Tezduyar et al. (1992b).
In this problem, a two-dimensional 0.8 x 0.6 box is fully occupied by two
liquids of equal volume. The density of the fluids are 1.0 and 2.0, respectively.
The gravitational acceleration is 0.294. The lighter liquid is placed on top of
the heavier one. Initially the interface is a straight line, with a slope of 0.25.
The dynamical viscosity is 0.001 (the same for both liquids). Zero surface
tension is assumed. The computational mesh consists of 21 x 42 uniform
bilinear elements. A time-step of Llt = 0.25 is used throughout the calculation
which corresponds to a CFL number close to 1 when the velocity reaches its
maximum at approximately t = 6. Slippery wall conditions are used on all
four sides. Figure 12.3 shows the interface profile and velocity field at different
times. Figure 12.4 shows the time history of the interface location on the left
and right hand side walls (relative to and normalized by the average height).
The results agree well with those presented in Tezduyar et al. (1992b).
b I
K I
b: I ~
C I
I -.... I
[ I
k :::. I
[ I
Fig. 12.1. A broken dam, free surface profile and pressure contours, from top to
bottom: t = 0.5, 1.0, 1.5,2.0,2.5,3.0 (from Wu et al. 1996)
5.0 r----r----~--...., 1.0 ~--_---~--...,
•.0 0 .8
>< 3.0 or: 0.6
2.0 0 .•
02~--~--~~--~
2.0 3.0 0 0.0 1 .0 2 .0 3.0
Fig. 12.2. A broken dam, front location and water column height, solid line -
calculated results; dots - experimental data (from Wu et al. 1996)
Fig. 12.3. A two-liquid interface problem, interface profile and velocity field, t =
0, I, 2, 3, 4, 5, 6, 7, 8, 9,10,11,12,13,14, IS, 16, 17, 18, 19, respectively (from Wu et al.
1996)
0.4
0.3 - left hand side

:c
Ol
-- right hand side
'CD 0.2
..c
CD
> 0.1 /-, ,
CO
~ /
/'
,
til
til 0.0
\ /
,,
CD
\ /
C
-0.1
",
0 /
/'
'iii
C
CD -0.2
E
(5
-0.3
-0.4
0.0 5.0 10.0 15.0 20.0 25.0
Fig. 12.4. A two-liquid interface problem, time history of the interface location on
the left and right hand side walls (from Wu et al. 1996)
Oscillating Bubble. In this example the oscillation of a bubble due to

surface tension is studied. Both two-dimensional planar and axisymmetric
cases are considered. The two-dimensional problem was simulated by Fyfe et
al. (1988) using a Lagrangian approach. The computational domain in this
calculation is 4 x 12 units with the symmetry plane/ axis along the longer side.
The computational mesh consists of 40 x 120 uniform linear quadrilateral
elements. Initially the shape of the bubble is elliptical, given by x 2 /4 + z2 =
1. The density of the fluid inside and outside the bubble is 1.5 and 0.5,
respectively. The dynamic viscosity is 0.01 for both fluids. A time-step of
L1t = 0.05 is used in both cases. After the calculation reaches t = 15.0,
viscosity is increased to 1.0 to allow the solution to converge to steady state.
When the steady state is reached the sizes of the bubbles are 1.40 and 1.58,
respectively, while the theoretical values are 1.41 and 1.59. At steady state, it
is verified that the Laplace formula (12.1) for the pressure jump is satisfied.
In Figs. 12.5 and 12.6 the interface shapes at different times are shown
for two-dimensional and axisymmetric cases, respectively. The corresponding
time history ofthe interface locations on the x -axis is shown in Fig. 12.7. The
oscillation periods are estimated (based on the first two cycles) to be 7.6 for
the two-dimensional case and 7.2 for the axisymmetric case. Theoretical so-
lutions of the oscillation periods are available from a linear analysis for small
amplitudes, see Fyfe et al. (1988) and Nobari and Tryggvason (1994) for de-
tails and references, which for this example are 6.1 for the two-dimensional
case and 6.3 for the axisymmetry case. Since in the calculations both non-
linear and viscous effects are present, the theoretical solutions can be used
only as references. The current numerical simulation predicts higher values
of the oscillation periods than the linear theory, which is consistent with the
experience of Fyfe et al. (1988).
0 0 0 0
0 0 0 0
0 0 0 0
0 0 0 0
Fig. 12.5. An oscillating bubble, interface profile for the two-dimensional case,
t = 0,1,2,3,4,5,6,7,8,9,10,11,12,13,14,40, respectively (from Wu et al. 1996)
00 00
000 0
0000
0000
Fig. 12.6. An oscillating bubble, interface profile for the axisymmetric case, t =
0,1,2,3,4,5,6,7,8,9,10,11,12,13,14,40, respectively (from Wu et al. 1996)
2.0 p;;----------.-------_--------,
1.5
)(
1.0
0.5~------~-------~------~
0.0 5.0 10.0 15.0
2.0,----------.-------_--------,
1.8
)( 1.6
1.4
5.0 10.0 15.0
Fig. 12.7. An oscillating bubble, time history of the interface location on the x-
axis. upper: the two-dimensional case; lower: the axisymmetric case (from Wu et
al. 1996)
Fig. 12.8. Coalescence of two initially stationary drops, t = 0.0, 1.0, 1.5,2.0,2.5,3.0,
respectively (from Wu et al. 1996)
Coalescence of Two Initially Stationary Drops. The coalescence of two

drops is a complicated process. The drops are driven by the combined effect
of surface tension, inertia and viscosity. Here the axisymmetry is assumed.
The computational mesh consists of 40 x 120 bilinear elements and is confined
to 0 ~ r ~ 4 and 0 ~ z ~ 12. Initially the two drops, formed by the same
material with radii 1 and 2 respectively, are placed next to each other with
the centers of the drops two percent closer than the summation of the radii.
The overlapped surfaces are assumed to be ruptured at t = O. The fluid
properties for this problem are chosen to be: PI = 0.1, P2 = 2.0, Jl.I = Jl.2 =
0.01, a = 2.5, where the subscript 1 and 2 denote the ambient fluid and the
drops, respectively. Figure 12.8 shows the calculated interface evolution. It
can be observed that at first the opening resulted from the rupture is rapidly
enlarged due to the high curvature at the area where the two drops contact.
After this initial enlargement of the opening, the high curvature remains
mainly in the small drop. As a result, the surface tension quickly pulls the
small drop into the large one. Once the small drop has been completely pulled
in, the inertia, built up during the "pull-in", becomes the dominating driving
force. This brings the small drop further into the large drop and forms a jet
with a vortex ring at its top. These results agree well with the experimental
work by Anilkumar et al. (1991).
Flow in a Pressure Swirl Atomizer. This example deals with the swirling
flow in a pressure swirl atomizer (simplex nozzle). Simplex nozzles are widely
used as fuel atomizers in gas turbine engines. The formation of a conical
liquid sheet is characteristic of such nozzles. Prediction of the thickness of
the liquid sheet and the exit angle for various inlet conditions provides helpful
information in the design process.
The computational domain for the current simulation is shown in Fig.
12.9. The liquid enters into the swirl chamber though a number of inlet slots.
For the present calculation, axisymmetry is assumed. Gravitational effects
are ignored. The computational mesh, shown in Fig. 12.10, consists of 3600
bilinear elements with 3741 nodes. Initially the whole domain is filled with
motionless air. At t > 0 liquid begins to stream into the domain through
the inlet slots. At the inlet, values for the liquid density and velocity are
prescribed. The prescribed values are: U r = -4.8, Ue = 8.0, U z = 3.6, P = 0.1
The density of the air is P = 0.01. The dynamic viscosity for both fluids is
Jl. = 0.005. For nodes on the free boundary, the density of air is specified if
inflow is detected, nothing is imposed if outflow is detected. Slip boundary
conditions are imposed on portions of the wall; and no-slip conditions are
imposed elsewhere on the wall, as shown in Fig. 12.9. The pressure is specified
on the top left corner of the domain. A constant time-step Llt = 0.1 is used
throughout the calculation. As only the steady state solution is of interest, a
linearization iteration is performed only once in each time-step.
Figure 12.10 shows the steady state interface profile. The formation of
the conical liquid sheet is successfully predicted in this simulation. This is a
1{---=--0
'"
'"
....
-~
2.0
4.0
Fig. 12.9. Flow in a pressure swirl atomizer, the problem definition (from Wu et
al. 1996)
Fig. 12.10. Flow in a pressure swirl atomizer, the computational mesh and the
interface profile (from Wu et al. 1996)
preliminary simulation and no attempt has been made to compare computa-

tional results with measured data. At the moment, no experimental data are
available for comparison.
In this chapter a numerical procedure based on a CSF model and the LSFEM
is presented for two-fluid flow problems. Numerical tests carried out on a
number of two-dimensional planar and axisymmetric flows indicate that this
approach is capable of simulating such flow phenomena. The present approach
has the advantage in the ability to handle complex topological changes such as
the breakup of liquid jet. Another advantage is the ability to handle complex
geometrical configurations in practical engineering environments, since the
LSFEM is based on totally unstructured grids. In the presented examples
the interface is typically spread over 3 '" 5 grids. A change of the interface
thickness is also observed in the calculations. The analysis by Haj-Hariri and
Borhan (1994) indicates that the migration velocity is strongly affected by the
smearing of interface. Thus, to ensure good accuracy of the simulation a fine
grid would have to be used. Improvement of the accuracy of the numerical
scheme is expected by introducing higher order discretization schemes in
both time and space. The tests conducted by Yu et al. (1995b) indicate
that discontinuity can be modeled within 3 grids, even when the interface
undergoes very large deformation due to a highly vortical flow field.
13. High-Speed Compressible Flows
This chapter is devoted to high-speed compressible inviscid flows with Mach

numbers generally in excess of 0.6. Such flows, which usually involve the
formation of shocks with characteristic discontinuities, are governed by the
compressible Euler equations. For more than two decades, much attention in
computational fluid dynamics has been focused on the efficient solution of
the compressible Euler equations. This is mainly due to the fact that high-
speed gas flows are of obvious practical importance and the cost of physical
experiments is high. In this area, considerable success has been achieved by
using finite difference and finite volume methods. There exists a large body
of literature, see surveys in Hirsch (1990) and Feistauer (1993). The poten-
tial offered by finite element methods has been realized much later. The
main advantage in the use of finite element approximation here is its capa-
bility for fitting complex geometry and permitting adaptive mesh refinement
(Zienkiewicz and Taylor 1991).
We will show that shocks can be easily captured by the least-squares
method when implemented with implicit time-difference equations. We use
the one-dimensional Burger equation as a model problem to establish various
least-squares schemes, then apply these schemes to the solution of one- and
two-dimensional compressible Euler equations.
13.1 Various Least-Squares Schemes

13.1.1 Non-conservative L2 Scheme
Let us consider a simple one-dimensional scalar, quasi-linear, hyperbolic equa-
tion
au au
at + a(u) ax =0 in [0,1j x (O,Tj, (13.1a)
u(O, t) = g(t) in (0, T], (13.1b)

in [0,1]' (13.1c)
where the speed of wave propagation a is a function of u, g is specified
°
boundary data. Depending on the problem, the boundary data may be given
at x = 1, or specified at both x = and x = 1.
304 13. High-Speed Compressible Flows
The least-squares method to be defined in the following is similar to the

one introduced in Sect. 9.3.2 for linear hyperbolic problems. There we pay
attention to its mathematical properties including the rate of convergence,
amplitude and phase errors; here we emphasize the capability of shock cap-
turing.
For a given time step ..1t = t n+1 - tn, we linearize (13.1a) by setting
an = a(un ). Backward-Euler time differencing leads to an implicit semi-
discretized equation:
(13.2)
The scheme (13.2) is suitable for time-marching to stationary solutions.

For transient problems, to ensure time-accuracy, we may perform a few
iterations at each time-level to improve the wave speed a, then go to the next
time-level:
(13.3)
where k stands for the iteration count, a~r = a( u~r) and u~t = un. In
the following discussion, for neatness and convenience we just use (13.2) to
write the related formulations.
We can now apply the general formulation of LSFEM given in Sect. 4.8
to (13.2) to find the solution un+! at each time-level.
We proceed to discern why this method can capture shocks. For this
reason we deduce the variational statement. The basic least-squares method
for (13.2) amounts to minimizing the L2 norm of the residual R for admissible
un+! in (13.2), i.e., minimizing the objective functional:
r1 1 r
J(u n+1) = Jo R 2 dx = Jo (u n+1 - un
8u n+1
+ ..1tan ----a;-)
2
dx. (13.4)
Taking variations of J with respect to u n +1 and setting v = b'u n + 1 , n = 0

leads to the least-squares variational statement: Find un+! E H = {H1(O, 1) :
u n+1 = g(tn+1) at x = O}, such that
= 11 (v + ..1tan ~~)undx '<Iv E Ho, (13.5)
where Ho = {H1(O, 1) : v = 0 at x = O}. The least-squares method (13.5)

corresponds to a Petrov-Galerkin scheme with test function (v+..1ta n 8vj8x).
Since an is the speed of wave propagation, the second term in the test function
naturally provides an upwinding mechanism, as explained in Chap. 9. If the
problem has a steady-state solution, then the stationary solution obtained by
the least-squares method (13.5) satisfies the following variational statement:
13.1 Various Least-Squares Schemes 305
The first term in (13.6) corresponds to the standard Galerkin variational

statement. The second term, which is proportional to L\t, is positive and acts
as numerical dissipation to stabilize the solution by smoothing out disconti-
nuities.
The scheme (13.5) is an implicit method and thus unconditionally sta-
ble, therefore the time-step can be large. However in general, the time-step
L\t should be chosen such that the CFL (Courant-Friedrichs-Lewy) number
aL\tjh = 0.1 '" 1, where h is the mesh-size. If L\t is too large, the solution
will diffused excessively. If L\t is too small, the solution will have oscillations.
Here, small time-steps do not cause an efficiency problem, because the con-
jugate gradient (CG) method can always be employed due to the positive
definiteness of the resulting matrix. The smaller the time step is, the less CG
iterations are needed.
As an example of stationary problems, we consider the inviscid Burger
equation
au +u au =0 in [0,1] x (0, TJ, (13.7a)

at ax
with boundary data
u(O, t) = 0.8, u(l, t) = -0.8, (13.7b)
and initial data
0.8 0::; x < 0.4
u(x,O) = uO(x) = { 0.8 - 8(x - 0.4) 0.4 ::; x ::; 0.6 (13.7c)
-0.8 x> 0.6
corresponding to an initial slant step.
1.0
\
0.8
0.6
0.4
0.2
::;) 0.0
-0.2
-0.4
-0.6
-0.8
-1.0
1\
0.0 0.2 0.4 0.6 0.8 1.0
X
Fig. 13.1. Application of the non-conservative L2 scheme to the Burger equation:

100 linear elements, Llt = 0.0125, t = 0.20
The slant step steepens as time increases to form a stationary 'shock'

located at x = 0.5. In Fig. 13.1 we show the initial profile and the computed
solution for scheme (13.5) at t=0.20. The computation is performed on a uni-
form mesh of 100 linear elements with fixed time step Llt = 0.0125. One-point
Gaussian quadrature is used in the computation. It is seen that the station-
ary discontinuity or 'shock' can be well captured by the non-conservative L2
scheme.
13.1.2 Non-conservative HI Scheme
The L2 approach (13.5) is similar in nature to Lax-Wendroff and Taylor-

Galerkin methods as demonstrated in Chap. 9. As in these methods, due
to the non-linearity of the governing equations, oscillations can sometimes
not be completely eliminated when discontinuities or shocks form and move,
especially if the mesh is not adaptively refined, or higher-order elements are
used.
Since both the solution and the equation residual become oscillatory as
the solution gradient steepens during shock formation, this suggests that
additional solution-derivative or residual-derivative control could provide a
mechanism for stabilizing the solution. In the context of the least-squares
residual formulation, this can be achieved in several ways: e.g., by adding a
penalty functional to constrain the solution gradients or considering alterna-
tive forms of the functional. A natural modification is the weighted HI-norm
of R:
1= 10 [R2 + p(~:r]dx
1
(13.8)
for the minimization problem, where P is a positive small-scale factor. We

may view (13.8) simply as a multi-objective optimization functional where
the first term represents the principal objective of interest, while the second
term controls the residual-derivative.
We seek to obtain a finite element solution with good shock resolution, and
also suppress the numerical oscillation at the shock due to the large derivative.
The additional functional acts as a control mechanism on the size of the
derivative but should not be so strong that the solution is over-dissipative.
Note, however, that the form in (13.8) will contain a second derivative of
u which implies that Cl elements are· appropriate for a scheme based on
this higher-order statement. Since in practice we want to be able to employ
simpler elements with CO base, we consider a practical approximate form
based on (13.8). Introducing the residual R of (13.2) into (13.8), omitting
the second-order derivative term and the aun lax term, and taking variations,
the resulting variational statement becomes: Find un+! E H = {Hl{O, l) :
un+! = g{tn+!) at x = O}, such that
Vv E Ho, (13.9)
which involves an additional artificial dissipation contribution
( Oa n ) 2 OV OUn+!
{3 1 + Llt ox ox ----a;-'
This term corresponds to adding the stabilization functional
{3la
l
(1 + Llt~~)2 (O~:+! fdx
to the functional in (13.4). Integration by parts reveals that the corresponding
numerical viscosity term in the associated Euler-Lagrange equation is
-{3~ [(1 + Llt Oan ) 2 oun+!].

ox ox ox
That is, for {3 f. 0 we have added an artificial dissipation with a term pro-
portional to (1 + Lltoan/ ox )2 , and the proposed scheme is a specific form of
artificial dissipation technique.
As a numerical example of moving shock problems, we consider the invis-
cid Burger equation (13.7a) with boundary data
u(O, t) = 1.0, u(l, t) = 0.0, (13.lOa)
and initial data
o ~ x < 0.4
u(x, 0) ~ uO(x) ~ { ~ - 5(x - 0.4) 0.4 ~ x ~ 0.6 (13.lOb)
x> 0.6
As time increases, this initial slant step steepens and forms a 'shock' located
at x = 0.6 when t = 0.2. Then the shock moves with a velocity = (1 +0)/2 =
0.5. When t = 0.4, the shock reaches the position x = 0.7.
All numerical results for this problem are obtained on a uniform mesh
of 100 linear elements. As shown in Fig. 13.2a, in the absence of derivative
control ({3 = 0), the calculations are unstable in that, as the shock forms, local
oscillations develop. Figure 13.2b shows the computed solution by scheme
(13.9) at t = 0.4 with fixed time step Llt = 0.01 and parameter {3 = 0.00004;
in the computations, one-point Gaussian quadrature and two iterations at
each time-level (k = 1) are used.
As mentioned many times in previous chapters, the number of Gaussian
points is of importance in LSFEM. In general, the reduced integration is
recommended. But for shock problems, we may use the regular intergration
to smooth solutions. Figures 13.2 (c) and (d) show the effects of two-points
quadrature.
(a) Non-conservative L2-scheme (b) Non-conservative H1-scheme

one-point Gaussian quadrature one-point Gaussian quadrature
1.0 +----...-. 1,0
\~
0.8 0.8
0.6 0.6
:;)
0.4 0.4
0.2 0.2
0.0 0.0
-0.2 '-_'--_'----......."""""---'~_l -0.2
0.0 0 .2 0 .4 0 .6 0 .8 1.0 0.0 0 ,2 0.4 0 .6 0.8 1 .0
X X
(C) Non-conservative L2-scheme (d) Non-conservative H1-scheme
two-point Gaussian quadrature
two-polnt Gaussian quadrature
\
1 . 0+----'!"'""~ 1,0
0 ,8 0 ,8
0.6
:;)
0.6
0,4
0.4
0.2
0.2
0.0 ....._ _ _.,
0.0
-0.2 L..................J'----.........J~.........J~---'_ ___!
0.0 0 .2 0.4 0.6 0.8 1.0 -0.2
0.0 0.2 0 ,4 0.6 0 ,8 1.0
X X
Fig. 13.2. Solution to the Burger equation from initial slant step with 100 uni-
form linear elements: (a) ..1t = 0.02,t = 0.2,k = 0; (b) ..1t = O.OI,t = O.4,fJ =
0.00004,k = 1; (c) Llt = O.OI,t = 0.2 , k = 1; (d) Llt = O.OOl,t = 0.4,,8 =
0.000002, k = 1
13.1.3 Conservative Schemes
The one-dimensional scalar conservative form is

aq
at +
of _
ax -
° in [O,lJ x (0, TJ, (13.11)
where q is an conservative variable, and F is the conservative flux with

aF/aq = a(q). The boundary and initial conditions are similar to (13.1b)
and (13.1c).
Introducing t1q = qn+l_qn as an unknown, and time-differencing applied
to the conservative equation (13.11) through the B method leads to a semi-
discretized equation:
8Fn+1
..1q + B..1t--a;- + (1 - B)..1t ax + ( B - '1)
8Fn
2 O(t1t 2 ) = 0. (13.12)
The flux at time level (n + 1) is obtained by

F n +1
(13.13)
Applying the linearization procedure of (13.13) to the flux derivative aF/ax,
(13.12) becomes
aa n aLl aFn 1
(1 + (}Llt ax )Llq + (}Llta n axq = -Llt ax + (() - 2)O(Llt2). (13.14)
When () = 1, this scheme corresponds to the backward-Euler differencing
scheme and is of first-order accuracy O(Llt) in the sense of the Taylor-series
expansion; for () = 1/2 one obtains the Crank-Nicolson scheme with a second-
order accuracy O(Llt)2.
The corresponding least-squares variational statement is: Find Llu E Ho
such that
11 [(1+ ~~)v + ~~] [(1 + ~~) +

(}Llt (}Llta n (}Llt Llq (}Llta n a~q] dx
-1 [(1 +(}Llt~~)v+(}Lltan~~] [Llta~n]dx

=
1
"Iv E Ho. (13.15)
Applying the idea introduced in Sect. 13.1.2, we may also develop a conserva-
tive approximate H1-residual scheme which can be obtained just by adding
the following term into the right-hand side of (13.15 ):
r
1 ( aan ) 2 av aLlq
Jo {3 1 + 2(}Llt ax ax ax dx.
We note that it is not necessary to write a new LSFEM program to

implement the Hl scheme. In fact, the Hl scheme is equivalent to solving
the following system of first-order differential equations by the L2 method:
aLlq
A1 ax + AoLlq = f in fl, (13.16)
in which
Ao = ( 1 + (}Llt ax
oan )
o '
f = ( -Llt!!..I.::..)
o ax .
The general formulation of LSFEM given in Sect. 4.8 can be directly applied
to solving (13.16).
To obtain time-accurate results, at each time-level we may perform two
or three iterations as discussed in Sect. 13.1.1.
Figure 13.3 shows the computed solutions to the same Burger equation
tested in the previous section with the conservative HI scheme. As expected,
the first-order scheme (0 = 1) produces a diffused shock front, while the
second-order scheme (0 = 0.5) can provide sharp resolution of shocks but
with some oscillations.
(a) Conservative H1-scheme (b) Conservative H1-scheme

first-order in time second-order in time
1.0
0.8
, 1.0
0.8
0.6 0.6
:J :J
0.4 0.4
0.2 0.2
0.0 0.0
-0.2 -0.2
0.0 0.2 0.4 0.6 0.8 1.0 0.0 0.2 0.4 0.6 0.8 1.0
X X
Fig. 13.3. Application of the conservative HI scheme to the Burger equation with
100 uniform linear elements, Llt = 0.016, t = 0.4, k = 2, one-point Gaussian quadra-
ture: (a) first-order (B = 1), (3 = 0.00003; (b) second-order (B = 0.5), (3 = 0.00003
In summary, numerical experiments conducted for the inviscid Burger

equation show that both non-conservative and conservative LSFEM can cap-
ture stationary and moving shocks with correct strength and location. The
selection of time-step size and the iteration at each time-level are most impor-
tant for the overall accuracy of LSFEM for moving shocks. To ensure correct
location and strength of shocks, the time-step size L1t should be chosen such
that the eFL number is not greater than 1; two or three iterations at each
time-level are necessary.
13.2 One-Dimensional Flows

The computational schemes outlined can be extended to high-speed com-
pressible flow problems. In this section we illustrate their performance on a
few relative simple one-dimensional flow problems.
The governing equations for compressible flows can be written in standard
matrix form of first-order system:
au au
at + Al ax = S, (13.17)
where U is the primitive, vector-valued variable, S is a source term, and Al is
a matirx whose entries depend on U. For a given time step L1t = tn+l_ tn, we
13.2 One-Dimensional Flows 311
linearize the problem by setting A~ = Al(Un ). backward-Euler differencing

leads to an implicit time-differenced problem
+ LltAn1 aX
au n + 1 = un + Llt8.
un+! (13.18)
Now we are ready to use the non-conservative formulation of LSFEM given

in Sect. 13.1 to get the solution U n +1 for each time-level.
Isothermal Flow in a Nozzle. The equations governing isothermal flow
in a nozzle constitute a first-order system of the form (13.17) with
u_(pa)
- pau '
Al = ( 2
c -u
a 2 8 = (pc~~~)' (13.19)
where p is the density, u is the velocity, the speed of sound c is normalized
to unit and the cross-sectional area of the nozzle is
a= 1a (x - 2.5)2 a ::; x ::; 5. (13.20)
. + 12.5 '
Numerical results for subsonic inflow and outflow with interior supersonic
flow regime terminating in a shock, using the non-conservative HI scheme,
are shown in Fig. 13.4. The computations are performed on 80 uniform linear
elements with a time-step Llt = 0.5 and f3 = 0.0001. The steady-state solution
is attained after 80 time steps.
Shock Tube Problem. The one-dimensional Euler equations for compress-
ible flow can be expressed as a system in the form (13.17) with
Al = ( a uPO)
u
p-I , 8=0, (13.21 )
a 'Y u
where p is the density, u is the velocity, p is the pressure and 'Y = 1.4 is the
ratio of specific heats. For the shock tube problem the initial data are
U=
1.0)
( 0.0 for x ::; 0.5,
0.125)
U= ( 0.0 for x > 0.5. (13.22)
1.0 0.1
Here the initial density and pressure difference between two sections of the
tube is maintained by a diaphragm which is destroyed at t = O. The objective
is to compute accurate approximations to p, u and p at subsequent times as
the shock and contact discontinuities propagate along the tube. The problem
is solved here using the non-conservative L2 scheme (13.5) with a uniform
mesh of 100 linear elements, a fixed time step Llt = 0.005 and one-point
Gaussian quadrature. The solution profiles for density, velocity and pressure
at t = 0.14 are shown in Fig. 13.5. There is moderate smearing of the 'fronts'.
The solution is neither oscillatory nor unstable.
...
0
0
on
-
>-
~o
HO
O.
0-
-J
W
>
0
on
0
0
0
00 . 00 1. 00 2.00 3.00 4.00 5.00

X
...
0
-
on
>-
~O
HO
Ill':
Z
w
Q
0
on
0
0
0
ciO. OO 1. 00 2.00 3.00 4.00 S.OO

X
Fig. 13.4. Computed solution for isothermal flow in a nozzle using the non-
conservative HI scheme and linear elements: h = 0.125, Llt = 0.5, t = 40, f3 = 0.0001
(from Jiang and Carey 1988)
13.2 One-Dimensional Flows 313
1.0
0.8
>-
I-
enz 0.6
w
Cl 0.4
0.2
0.0
0.0 0.2 0.4 0.6 0.8 1.0
X
1.0
0.8
~ 0.6
C3
g
w 0.4
>
0.2
0.0
0.0 0.2 0.4 0.6 0.8 1.0
X
1.0
0.8
w
c: 0.6
::J
CI)
CI)
w
c: 0.4
a..
0.2
0.0
0.0 0.2 0.4 0.6 0.8 1.0
X
Fig. 13.5. Solutions to the shock tube problem with 100 uniform linear elements,
Llt = 0.005, t = 0.14, k = 1 using a non-conservative L2 scheme
13.3 Two-Dimensional Flows

13.3.1 Non-conservative L2 Scheme
Least-Squares Formulation. The two-dimensional compressible Euler equa-

tions can be written as a first-order system in terms of primitive variables:
(13.23)
where U T = (p,u,v,p) is the vector consisting of primitive variable un-

knowns, and
0
( ~o ~0 ~ p~1)
V
( o v 0:PO)
0
A1=
U 0 ' 0o p-l , V
o 'YP 0 u o
0 'YP v
in which p is the density, (u, v) are the Cartesian velocity components, p is
the pressure, and 'Y is the specific heat ratio. Boundary conditions and an
initial condition are needed to complete the description of the problem.
Introducing .tJ.U = Un+! - un as an unknown vector we linearize the
system (13.23) by neglecting higher-order terms. After time-discretization by
using the backward-Euler difference, system (13.23) becomes
A.tJ.U=! (13.24)
8Un An8Un)
_ - ( An1--+
! -
8x
28y
--'
!!..e.
8y
o
( 1
Llt
+ 8x
8u + 8v)
8y
'Y~
in which I is the identity matrix. Here we put .tJ.t in Ao. In this way, the
arithmetic operation count will be reduced. For steady-state problems, the
derivative terms in Ao can also be ignored.
Note that even for capturing stationary shocks, least-squares methods
must be based on time-marching algorithms such as formulation (13.24).
Because of a lack of the entropy contraint condition, the original compressible
Euler equations (13.23) are not well posed in the sense of admitting both
compression and expansion shocks. The direct application of least-squares
methods to steady-state Euler equations is suitable only for subsonic flows; for
13.3 Two-Dimensional Flows 315
supersonic flows an artificial viscosity term must be added (see examples given
by Laminie 1994). As discussed in Sect. 13.1, the least-squares procedure
for time-discretized equations inherently generates numerical dissipation to
exclude non-physical expansion shocks.
Grid Adaptation. For the compressible Euler equations, the least-squares
method is naturally diffusive, no explicit artificial viscosity is added to the
formulation. In general, the inherent numerical dissipation produced by the
least-squares method does not allow shocks to be sharply resolved, unless
fine grids are used. However, shock resolution can be significantly improved
by adapting the grid to the solution. Taghaddosi et al. (1997) have success-
fully obtained high quality shock solutions by combining the LSFEM with a
directional-adaptive remeshing method. In the following we briefly describe
the idea of their approach.
Their edge-based moving-node method (r-method) is originally developed
by Ait-Ali-Yahia et al.(1996). It uses second-order derivatives of a given flow
variable as an error indicator. In this approach, the number of both ele-
ments and nodes is fixed, connectivity is conserved, and the error is equally
distributed over element edges. This anisotropic refinement where more reso-
lution is introduced along those direction with rapidly changing flow variables
is particularly useful for directional flow phenomena, such as shock waves.
Let us first consider a one-dimensional problem, in which the solution
variable U is approximated by the linear interpolation Uh. If quadratic in-
terpolation Uh is available and the nodal error is zero, then the local error
of linear interpolation over an element can be estimated as the difference
between the quadratic and linear one:
, ~ d2uh
Ee = Uh - Uh = '2 (he -~) dx 2 ' (13.25)
e
where is the local element coordinate and he the element length. The overall
error in the element may be measured by the root-mean-square value of Ee:
ERMS =( (he E; d~)! = _1_h 2 d2Uh I . (13.26)

Jo
1
e he yf120 e dx 2 e
An optimal mesh may be defined as one for which the error is equally dis-
tributed over elements, thus the following criteria should be satisfied by each
element:
h 21 d2uh
e dx2
Ie = C
'
(13.27)
where C is a positive constant.

Extending this idea to the two-dimensional case, the second derivative in
(13.26) is replaced by the Hessian tensor:
8 2- )
~
8x8y
(13.28)
a;:~"
whose value is calculated for all nodes throughout the domain. The value
of u at the middle point of each element edge can be obtained by linear
interpolation. Then the second derivative along any edge through its middle
point can be calculated by a transformation of coordinates.
Since the solution is obtained by using linear elements, the quadratic solu-
tion Uh inside each element is not available. Therefore, the second derivatives
have no representation inside an element. However, one may investigate the
solution Uh in the elements surrounding node i. This yields an estimate of
the second derivatives. For example,
f Uh A. ·do f Uh A.. dO
uh,xyli ~ Jn~ ;~;~ = - Jnil, ';~;~ , (13.29)
n, ' ni '
where oi represents the elements sharing node i, and cPi is a piecewise con-
tinuous linear function with a value unity at node i and null at other nodes.
To equally distribute the error over the entire domain, a moving-node
method based on a spring analogy is used (Gnoffo 1983). Here the mesh
is interpreted as a network of springs, where each edge is considered as a
fictitious spring with its stiffness representing the measure of the error, see
Fig. 13.6. The equilibrium of forces in this spring system will then determine
the movement of each node.
j ~ passive node
j
Fig. 13.6. Local spring network corresponding to node i
In the spring network, the new position of node i is determined by the

potential energy of the system:
p = ~)~i - ~j)2kij, (13.30)
j
where ~ is the position vector, and the stiffness kij is defined as:
(13.31)
in which u~ is the second derivative along the edge (~i - ~j) at its mid-
dle point. Minimizing P in (13.30) with respect to ~i yields the following
equation:
~)x7'+l - xj+1)kij+l = 0, (13.32)

j
which describes the equilibrium state of a spring network at the present

adaptive iteration m + 1. By lagging x and k ij at the previous iteration m,
(13.32) becomes
~(xi - xj)kij
LlXi = '"' . k~ . (13.33)
L.J) 0)
The new position of node i is then updated by the expression:

x~+1
o = xm
• + aLlx.· , (13.34)
where a is the relaxation parameter.
The iteration process (13.34) is applied to all internal and boundary nodes.
The movement of boundary nodes should be restricted to maintain the geo-
metric integrity of the domain. The moving-node scheme is applied to nodal
points in a sweeping manner. To avoid formation of elements with a negative
or nearly zero Jacobian, the quality of newly oriented elements should be
checked during each nodal movement. The number of iterations per adaptive
cycle is chosen to be in the range of m = 200 '" 400 to obtain an appropriately
adapted mesh.
Shock Reflection. A standard test problem corresponding to the reflection
of a shock from a solid wall is depicted in Fig. 13.7. The boundary conditions
are:
1.0 )
u= ( 2.9 for upstream,
0.0
0.7143
1.7 )
U = ( 2.6193 for upper boundary.
-0.5063
1.5282
A shock emanates from the upper left corner; this shock is reflected at the
lower wall where v = 0, and the downstream boundary conditions remain
free for outflow. The initial data were prescribed as constant at values given
on the upper boundary and the specific heat ratio is 'Y = 1.4.
In the initial calculation, a uniform 60 x 20 mesh of bilinear elements was
used. In the first two adaptive cycles, the solution was obtained with a time
step Llt = 0.1. The numerical viscosity is reduced beginning at the third
cycle by reducing the time step to 0.05. The resulting algebraic equations are
solved by using the Jacobi preconditioned conjugate gradient method. Figure
13.8 shows the pressure contours and the grids after each adaptation. The
improvements in the shock resolution after adaptation is quite evident in Fig.
13.9.
Moo = 2.9
110
Fig. 13.7. Shock reflection from a solid wall: the computation domain (from
Taghaddosi et al. 1997)
1 I~l Irnlil~! ~I IiI ~l mil l l l l l l ml l lm:

initial solution (llt = 0.1)
1st adaptation (llt = 0.1)
I~
3rd adaptation (llt = 0.05)
1:S:Z
5th adaptation (llt = 0.05)
Fig. 13.8. Evolution of the grid and the pressure contours during adaptation for
shock reflection problem (from Taghaddosi et al. 1997)
3 . 5.-------~--~----~--~--~--~,_--~
2 .....-.......... - '_ .. ········ · 1···············")""

j .... • -_... ----._.-_ ......
1.5
1 ............... ;._.. . . !
··· __·!-············--···1'·
/
O.5+----r---T--~----+----r---T--~r_--4J
o 0.5 1.5 2 2.5 3 3.5 4
x
Fig. 13.9. Pressure distribution at y = 0.5 before and after adaptation for shock
reflection problem (from Taghaddosi et al. 1997)
Transonic Channel Flow. Taghaddosi et al. (1997) also considered the

transonic flow in a channel with a 10% circular arc bump. The original mesh
consists of bilinear elements, with 32 elements uniformly distributed on the
bump, and 16 elements on each side of it, centrally clustered with respect to
the bump. The height of the channel is divided into 16 elements which are
clustered toward the bottom wall, with the minimum element size on the wall
equal to 0.03125. The Mach number at inlet is Moo = 0.675, which.is large
enough to create a supersonic bulb on the bump followed by a shock. The
inlet boundary conditions are p = 1.0, u = 0.675, v = 0.0. At the outflow
boundary only p = 1.5282 is specified. On the lower and upper walls, the
no-penetration boundary condition is imposed.
Figure 13.10 shows the initial mesh and Mach number contours and adap-
tive results with the time step reducing from 0.3 to 0.1. In Fig. 13.11 the final
adaptive solution of the Mach number distribution on the walls is compared
to those of Ni (1982) and Eidelman (1984). The position of the shock is ap-
proximately at 72% of the chord, and the maximum Mach number is 1.323,
both in good agreement with these results. However, there is a deviation in
the Mach number distribution due to a viscous effect near the lower wall
(limited to the first row of the elements).
Supersonic Channel Flow. The second test problem is the supersonic flow
over a 4% circular arc bump placed in a channel. The height of the channel
and its length, ahead and after the bump, are equal to the chord lenth. The
boundary condition at the inlet is U T = (1.0, 1.65,0.0,0.7143). On the walls
the normal component of the velocity vector is zero. The exit boundary is
l~iE I
initial solution (~t = 0.3)
I~I
1st adaptation (Dot = 0.3)
I dig? I
2nd adaptation (~t = 0.1)
Fig. 13.10. Grids and Mach number contours before and after adaptation for
transonic channel flow (from Taghaddosi et al. 1997)
abapled LSi
1.5 i" -'--,-' Ni el. lJ.
Eidelman . •
1.25
ci
Z
.c
:;l
::2 0.75
0.5 -.
0.25 ""'-r-- ,- ,.,

0
0 0.5 1.5 2 2.5 3
x
Fig. 13.11. Mach number distribution on the lower and upper walls for transonic
channel flow (from Taghaddosi et al. 1997)
left free. The initial mesh consists of 64 x 16 uniformly distributed bilinear

elements, with 16 elements in the y-direction, 22 elements on the bump, and
21 on each side of it.
The adaptive meshes and solutions after five cycles of adaptation are
shown in Fig. 13.12. During the adaptation, the time step is also reduced. All
shocks, especially the strongest leading-edge shock, are sharply captured. Fig-
ure 13.13 illustrates the improvement in shock resolution, where the leading-
edge shock is quite sharp, and the trailing-edge and the reflected shock profiles
are close to vertical.
13.3.2 Conservative Scheme
Least-Squares Formulation. The LSFEM described in Sect. 13.3.1 is

based on a nonconservative formulation. Here we would like to construct a
conservative LSFEM. The Euler equations governing two-dimensional com-
pressible inviscid flows can be written in conservative form as
oq of oG _ 0
ot+ox+oy- , (13.35a)
where
pu2Pu+p ) G- pv
puv )
( - ( pv2 +p , (13.35b)
F = (p::-~)u ' (pe + p)v
in which e is the total energy, and for the case of perfect gas the equation of
state is
(13.35c)
Retaining the conservative variables as an intermediate step, we first con-
vert (13.35) (temporarily) into the following nonconservative form:
oq - oq - oq
-ot + A 1 -ox + A 2 -oy = 0, (13.36a)
with
1 0
_ 1;Y(u2 +0v 2) _ u 2 (3 - ,)u -;Yv
Al= ( 2
-uv V U
(;y(u 2 + v 2) - ,e)u € _ ;yu2 -;yuv ,u

Z). (13.36b)
n'
0 1
- ( -uv
0 v u
A2 = (13.36c)
!;y(u2 + v2) _ v2 -;yu (3 - ,)v
(;y(u 2 + v 2) - ,e)v -;yuv € _ ;yv 2 ,v
in which
initial solution (tlt = 0.1)
1st adaptation (tlt = 0.1)
3rd adaptation (tlt = 0.05)
5th adaptation (tlt = 0.05)

Fig. 13.12. Evolution of the grid and the pressure contours during adaptation for
supersonic channel flow (from Taghaddosi et al. 1997)
1.1,-----:-----r----...,.....--------- .
~o adapt.
loa ..
4th
5th
0.9 .. ~.- ...
0 .8 ,.,...,., ..... _....1 .. __ _
0.7 ..... _·····_·_···t········· ··r···
0 .6 ~ ....... ,.... "......... ,........ .
0.5 .......................,..•.... _... i ........
0.4 +---+---+---+---+---+--- -1
o 0.5 1.5 2 2.5 3
x
Fig. 13.13. Pressure distribution at y = 0.2 before and after adaptation for super-
sonic channel flow (from Taghaddosi et al. 1997)
"I = 'Y -1, (13.36d)
Introducing the unknown increment in conservative variables .t1q =

qn+1 _ qn, and following the same procedure as in the derivation of (13 .14),
we obtain the time-discretized system:
A.t1q = J (13.37a)
with
- -na -na -n _ (apn aG n )
A = Al ax + A2 ay + A o, -- -
f- ax+ay'
-
I aA n aA n
A~ = .t1t + ax'" + ayY, (13.37b)
in which I is the unity matrix. Then the conservative least-squares variational

statement is:
-n
( Aov -nOV -nOV -n -na.t1q -na.t1q)
+ Al ax + A2 ay' A o.t1q + Al ax + A2 ay
- n - nOV - n av aFn aGn)

=- ( A ov+A I -+A 2 - , --+-- (13.38)
ax ay ax ay
We may use the conservative variables at the previous time level to cal-
culate the nodal values of components of flux F n and G n , then use a finite
element approximation to calculate apn lax and aG nlay. Once the steady
conservation law
(13.39)
is satisfied, the increment Llq becomes zero, and the calculation is terminated.
Our numerical experiments on the shock wave reflection problem show that
there is no essential difference between the results of nonconservative and
conservative LSFEM.
Lefebvre et al. (1993) applied scheme (13.38) to problems of transonic and
supersonic flows on triangular meshes. In their approach, a local time step is
calculated in each element according to
h
Llt = CFL-,- , (13.40)
I'Imax
where h is the element size, Amax is the maximum eigenvalue of the present
hyperbolic system (see, e.g., Hirsch 1990), and CFL (Courant-Friedrichs-
Levy) number is a user specified constant. The time step is chosen so as
to obtain a uniform CFL number of 5 throughout the mesh. The resulting
algebraic equations is solved by the incomplete Choleski conjugate gradient
method.
Transonic Flow Past an Airfoil. The first example is transonic flow past
a NACA0012 airfoil with free stream Mach number of 0.95. A structured
O-type mesh of quadratic (P2) elements employing 160 nodes around the
surface of the airfoil and 49 nodes in the normal direction is used. A detail of
the mesh in the vicinity of the airfoil is shown in Fig 13.14. The pressure and
Mach number distribution are shown in Fig. 13.15. The oblique shocks are
reasonably well captured and compare favorably with highly accurate results
of this test problem obtained by Pullian and Barton (1985).
Fig. 13.14. Mesh of quadratic elements used for the solution of the transonic flow
past a NACA0012 airfoil, Nnode=7840, Nelem=3840 (from Lefebvre et al. 1993)
(a) pressure coefficient
0 .& ,....-.,--r--r-,.-.--,--r-.,--,---,r-T"""
....
0.'
0 .2 .' ~ '-"' .
:
0 .0
a. - 0 .2 1-'-+--+--+-+-+-+- I-'--+--+----1I-'--t--.-
u f-;"-=c~
I -0.' r-t--+-t-t-+-t-r-',....-t--ll--t--t
- 0 .& F--+-+----1-+-+-+-~+-+-if-+-~
-1.ol-+-+----I-+-+-+- t-+ _+-I--t--t

- \.21-+-+----1-+-+-+-~+_+-I-+-~
-1 .'0 ~:L-~~:--:.L...~-+',..."L:-:1::--+',.-,J'::-,"""-,J
.0 0 . ' 0 .2 O.l 0 .' 0 .5 0 ,6 0 . 7 0 .8 0 ,9 I.,
1.0 1.2
X
(b) Mach number
I .'
.... ....
.... .... ~-
1.2
.-,' I'- I- •
.:
1.0
0 .8
~~
~
0 .'
0 .'
0 .2
o·~.o 0.' 0 .2 0 .3 0.' 0 .5 0 .6 0 , 7 o.a 0 ,9 1.0 " 1.2

X
Fig. 13.15. Transonic flow past a NACA0012 airfoil, Moo = 0.95, (a) Pressure
coefficient distribution and contours, (b) Mach number distribution and contours
(from Lefebvre et al. 1993)
(a) adapted mesh
(b) solution
..
Z.O
L r-=-tPl
.
It
/
.
Q. 1.0
\
,,
U 01
01 . \
\
,
Q.
\
00
'-..J ~ ... ..
-o! I.' _ ' .0 -0.' 0 ,0 0 _' 1.0 '-,
x
.,
' ,0 1
I
r
l"
) ,0 ~
, I
"
Z"
0
Z,O
J
I"
.
I.:'
. 1//
0,'
....
'\ .... .. 0
,,
~.o • 0
-1.0 0 ,0
•
Fig. 13.16. Supersonic flow past a cylinder, Moo = 3, (a) Adapted mesh, (b)
Pressure and Mach number solution (from Lefebvre et al. 1993)
Supersonic Flow Past a Cylinder. Lefebvre et al. (1993) also combined

the LSFEM with adaptive mesh refinement to improve the quality of the
computed solution. In their computation, the error indicator is defined as
Ee
be = , (13.41)
maxEe
where Ee is calculated from the equation residual:
(13.42)
in which ile is the element area. The refinement strategy is then to refine all
these elements for which the indicator is larger than a certain specified value.
Each triangle, for which refinement is needed, is subdivided into four smaller
triangles, and to avoid the problem of "hanging nodes", transition elements
are introduced. After the refinement, the sides of the elements are replaced
by springs of unit stiffness and a few relaxation iterations are used to move
the nodes until nodal equilibrium of forces is achieved, as described in Sect.
13.3.!.
This refinement technique is applied to supersonic flow past a cylinder.
The free stream Mach number is 3, and due to the assumed symmetry,
only one half of the cylinder is considered. The initial mesh consists of 1028
quadratic (P2) elements and 2145 nodes. The adapted mesh and the steady-
state solutions are presented in Fig. 13.16.
We have demonstrated that the general LSFEM given in Sect. 4.8, when ap-
plied to semi-discretized compressible Euler equations obtained by various
implicit time-difference schemes, can capture shocks in high-speed compress-
ible flows. In contrast to other methods, the LSFEM does not use upwinding,
Riemann solvers, flux splitting or staggered grids as building blocks. There-
fore, the LSFEM is very simple. The implicit nature of LSFEM does not
cause problems with computational efficiency, because the conjugate gra-
dient method can be employed to solve the resulting positive and definite
matrix. The resolution of the computed results can be significantly improved
by using adaptive mesh refinement. The equation residual or the recovered
second-order derivative of a given flow variable can serve as a reliable error
indicator for refinement.
The time-marching LSFEM for high-speed compressible flows was orig-
inally proposed in Jiang and Carey (1988, 1990) and Jiang and Povinelli
(1990). The research group led by K. Morgan (Lefebvre et al. 1992, 1993) and
the group led by W.G. Habashi (Taghaddosi et al. 1997) have demonstrated
that by coupling the least-squares method with adaptive mesh refinement,
shocks can be captured with high resolution using relatively coarse grids.
The LSFEM proposed by Chattot et al. (1982), Bruneau (1991), Bruneau

and Laminie (1993) and Laminie (1994) is based on the steady compressible
Euler equations in conservation form. In this approach an artificial viscosity
term is needed to eliminate expansion shocks.
Part IV
LSFEM in Electromagnetics
14. Electromagnetics
In spite of the fact that computational electromagnetics (CEM) has been

applied to the prediction of many effects in electromagnetics and to the design
of all kinds of devices for three decades, the success of CEM is still limited in
the sense that many computational methods are inefficient and even produce
erroneous solutions.
The occurrence of spurious solutions in computational electromagnetics
is well known. The notable feature of these fictitious solutions has been their
violation of the divergence-free conditions in cases where the physical solution
is completely solenoidal. It is commonly believed that these erroneous solu-
tions are caused by numerical inaccuracies. In this chapter we will reveal that
the trouble of spurious solutions in computational electromagnetics is really
caused by incorrect mathematical formulations due to misunderstanding of
the first-order Maxwell equations which although were established more than
one hundred years ago, and by incorrect derivation and use of the second-
order curl-curl equations. Spurious solutions can only be avoided by using a
correct analytical formulation of the problem to be solved.
The original full Maxwell equations in electromagnetics constitute a first-
order system with two curl equations and two divergence equations. Unfor-
tunately, many people in the CEM community consider the divergence equa-
tions in the Maxwell equations as "redundant" for time-varying problems,
consequently most numerical methods in CEM solve only two first-order curl
equations or the second-order curl-curl equations.
By studying the div-curl structure we will demonstrate that the full first-
order Maxwell equations are not "overspecifieded" , and the divergence equa-
tions must always be included to maintain the ellipticity of the system in the
space domain, to guarantee the uniqueness of the solution and the accuracy
of the numerical methods, and to eliminate spurious solutions.
We will show that the common derivation and use of the second-order
curl-curl equations are incorrect. We will use the div-curl method introduced
in Chap. 5 to derive the correct second-order Maxwell equations and their
boundary conditions, and use the least-squares method to rigorously establish
correct variational formulations.
In this chapter we will also show that satisfaction of divergence equations
and elimination of spurious solutions can be achieved easily by application
332 14. Electromagnetics
of the node-based LSFEM. Examples of numerical solutions by the LSFEM

for static, time-harmonic and transient electromagnetic fields are given to
demonstrate that the LSFEM is efficient and free of spurious solutions.
14.1 The First-Order Maxwell Equations

The most widely used numerical method for the solution of time-dependent
electromagnetic problems has been the finite difference time-domain (FD-
TD) scheme first proposed by Yee (1966) and extensively utilized and refined
by Taflove and Umashankar (1989), Kunz and Luebbers (1993) and Taflove
(1995) as well as other researchers (see a survey by Shlager and Schnei-
der 1995). In the Yee scheme, only two Maxwell curl equations are solved.
Some other time-domain methods are also based on two Maxwell curl equa-
tions, such as the finite volume time-domain method (FV-TD) developed by
Shankar et al. (1989) and Noack and Anderson (1992), the finite difference
and finite volume methods by Shang (1995) and Shang and Gaitonde (1995),
and the finite element time-domain method (FE-TD) by Cangellaris et al.
(1987), Madsen and Ziolkowski (1988), Lee and Madsen (1990), Ambrosiano
et al. (1994), Morgan et al. (1996) and Lee et al. (1997).
As pointed out in Chap. 2, it is difficult to deal with the first-order dif-
ferential operators by conventional methods. This is the reason why FD-TD
needs a uniform staggered grid and FV-TD relies on upwinding schemes.
FD-TD has problems near curved surfaces. Both FD-TD and FV-TD have
difficulty for extension to high-order versions.
FV-TD has been based on the shock-capturing methodology used in com-
putational fluid dynamics (CFD). Shocks will be generated in high-speed
compressible fluid flows due to the nonlinearity of the governing equations
(Chap. 13). However, the Maxwell equations are linear wave equations, and
hence no shocks occur in electromagnetics. Therefore, one may ask why this
expensive CFD method should be promoted in CEM.
In the past, very few people realized that the divergence-free conditions
are really not satisfied in these time-domain solutions. Wu and Jiang (1995a,
1996) gave some evidence that clearly shows the significant violation of the
divergence-free condition near the boundary of scatterers in the solutions
of the curl equations. Kangro and Nicolaides (1997) also found that time
marching solutions of the Maxwell curl equations are contaminated by spu-
rious stationary components.
The first-order full Maxwell equations have a mathematical structure in
which the fundamental ingredient is the div-curl system that looks "overspec-
ified". A similar situation exists in fluid dynamics (Chap. 8). By introducing
a dummy variable, however, it can be shown that the div-curl system is not
"overspecified". Here we use this technique to study the full Maxwell equa-
tions and show that they are properly determined, that is, the two divergence
equations should not be ignored in either the static or time-varying case.
14.1 The First-Order Maxwell Equations 333
14.1.1 Basic Equations
The Maxwell equations are a set of fundamental equations governing all

macroscopic electromagnetic phenomena. For general time-varying fields, the
original first-order full Maxwell equations can be written as
V' x E + 8(J.lH) = _Kimp in [2, (Faraday's Law) (14.1a)

8t
V'xH- 8(cE) -aE = Jimp in [2, (Maxwell- Ampere's Law)(14.1b)
8t
V' . (cE) = pimp in [2, (Gauss's Law - electric) (14.1c)
V' . (J.lH) = 0 in [2, (Gauss's Law - Magnetic) (14.1d)
where [2 c 1R? is a bounded and simply connected domain with a piece-wise

smooth boundary r = r 1 U r2 ; either r 1 or r2 , not both, may be empty; E
and H are the electric and magnetic field intensities respectively, pimp is the
imposed source of electric charge density, and Jimp and Kimp are imposed
sources of electric and magnetic current density, respectively. All imposed
sources are given functions of the space and time coordinates.
In system (14.1) we have already made use of the constitutive relations
D=cE, B=J.lH, J=aE,
where D is the electric flux density, B is the magnetic flux density and J
is the electric (eddy) current density; the constitutive parameters c, J.l and a
denote, respectively, the permittivity, permeability and conductivity of the
medium. These parameters are tensors for anisotropic media, and may be
functions of position and time, and may also depend on the field intensities.
For simplicity, we first consider isotropic and homogeneous media, therefore
they are constant scalars. We will study anisotropic media in Sect. 14.2.4.
At the interface between two media, for example, medium (+) and
medium (-), the boundary conditions can be expressed as
n x (E+ - E-) = 0, (14.2a)
n· (D+ - D-) = p~mp (14.2b)
for electric fields, and similarly,

n x (H+ - H-) = J~mp, (14.2c)
(14.2d)
for magnetic fields, where n is the unit vector normal to the interface, pointing
from medium (-) to medium (+), p~mp is the imposed surface charge density
and J~mp is the imposed surface electric current density.
The boundary conditions can be reduced to a special case when one of the
media, say medium (-), becomes a perfect conductor. Since a perfect conduc-
tor cannot sustain a field within it, the corresponding boundary conditions
for a perfectly conducting wall becomen
n x E=O onn, (14.3a)
n . (J.LH) = 0 on n, (14.3b)
where E and H are the fields exterior to the conductor. Similarly, for a
r
perfect magnetic wall 2 we have
(14.3c)
n· (eE) = 0 on r 2. (14.3d)
For transient problems, the initial conditions on E and H should also be

provided.
To allow system (14.1) under boundary conditions (14.3) to have a so-
lution, the source terms must be square integrable and satisfy the following
solvability conditions:
'V . Kimp =0 in il, (14.4a)
n·Kimp =0 (14.4b)
l n.KimPdr=O, (14.4c)
'V. Jimp + 8pimp + (~)pimp = 0 in il, (14.4d)

8t e
n·Jimp =0 (14.4e)
We remark that the solvability conditions (14.4a), (14.4b), (14.4d) and
(14.4e) can be obtained by applying the div-curl theorem (Theorem 5.2) to
the Maxwell curl equations (14.1a) and (14.1b).
14.1.2 Determinacy
The original Maxwell equations (14.1), for the three-dimensional case, con-
sists of eight first-order equations but with only six unknown vector com-
ponents; and for two-dimensional transverse electric (TE) and transverse
magnetic (TM) cases, four equations involving only three unknowns. That
is, the number of equations is larger than the number of unknown functions.
By taking the divergence of the Faraday and Ampere laws one can see that
two divergence equations will be satisfied for all time if they are satisfied ini-
tially. For these two reasons, in the CEM community it has been traditionally
believed that the full first-order Maxwell equations are "overspecified", and
therefore the two divergence equations are regarded as "auxiliary" or "de-

pendent" (see e.g., Stratton 1941, p.6; Kong 1990, p.3; Kunz and Luebbers
1993, p.ll; Umashankar and Taflove 1993, p.38; and Taflove 1995, p.53-54),
and often neglected in numerical computation. This misconception is the true
origin of spurious modes and inaccurate solutions in computational electro-
magnetics; they can be avoided only by using correct analytic formulations.
To show this point of view, we consider the Maxwell equations (14.1)
augmented by the variables 'P and x:
V'P + V x E + 8(~~) = _Kimp in [2, (14.5a)
8(eE) .
Vx + V x H - ~ - erE = Jlmp in [2, (14.5b)
V· (eE) = pimp in [2, (14.5c)
V . (J.LH) = 0 in [l, (14.5d)
n xE =0 on r 1, (14.5e)
on r 1, (14.5f)
nxH=O (14.5g)
'P = 0, n· (eE) = 0 (14.5h)
The introduction of the variables 'P and X is purely for showing that the
Maxwell equations are not "overspecified". They do not enter into computa-
tion in contrast to the method proposed by Assous et al. (1993).
We shall prove that 'P and X in (14.5) are identically zeros, Le., system
(14.5) is equivalent to system (14.1). In fact, by virtue of the div-curl theorem
(Theorem 5.2), (14.5a) and (14.5b) are equivalent to the following equations:
V x [V'P + V x E + 8(~~) + Kimp] = 0 in [2, (14.6a)
V . [V'P + V x E + 8(':) + Kimp] = 0 in [2, (14.6b)
n· [V'P + V x E + 8(~H) + Kimp] = 0 on r 1, (14.6c)
n x [V 'P + V x E + 8(~~) + Kimp] = 0 on r2, (14.6d)
Vx [Vx + V x H - 8(;~) - erE - Jimp] = 0 in [2, (14.7a)
8~E) ~p]
V· [VX+VxH-~-erE-J =0 in [2, (14.7b)
nx [V'x+V'XH- 8~~) _aE_Jimp] =0 (14.7c)
8(IEE)
n· [V'X+V'xH-~-aE-J
imp] =0 (14.7d)
Taking into account the divergence-free condition (14.5d) and the solvability
condition (14.4a), from (14.6b) we find that
Llcp = 0 in [2. (14.8a)
Taking into account the boundary condition (14.5e), Theorem 5.5, the bound-
ary condition (14.5f) and the solvability condition (14.4b), from (14.6c) we
obtain
n·V'cp=O onn. (14.8b)
From (14.5h) we have
cp=O (14.8c)
System (14.8) implies that cp == 0 in [2. Similarly, we can show that X == 0 in
[2. Therefore, cp and X in (14.5) are really dummy variables, and thus system
(14.5) is an equivalent formulation of system (14.1).
The first-order system (14.5) has eight equations, eight unknowns, and
four boundary conditions on each part of the boundary, and thus it is properly
determined. This is valid for static, transient and time-harmonic cases.
In the static case, the time-derivative terms in (14.5a) and (14.5b) dis-
appear, and aE is included into the given current density. System (14.5)
becomes two independent div-curl systems for the electric field and the mag-
netic field, respectively. It is well known that each div-curl system is elliptic
(Sect. 5.2).
In the time-harmonic case, when the time factor e jwt is used and sup-
pressed, the time-derivative terms become the zero-order terms, and system
(14.5) becomes two coupled div-curl systems. The coupling is through the
zero-order terms. The principle part, namely, the first-order derivative terms
which classify the system, still have the div-curl structure, and thus the whole
system is elliptic.
In the transient case, the whole system (14.5) is hyperbolic. However, in
time-domain numerical methods, the time-derivative terms are discretized by
either explicit or implicit finite differences, hence the time-derivative terms
become the zero-order terms in the space domain. For each time-step, the
time-discretized system is still elliptic.
In summary, in all cases, system (14.5) is properly determined, and is el-
liptic in the space domain. Since system (14.1) is equivalent to system (14.5),
system (14.1) is indeed properly determined and also elliptic in the space
domain. Therefore, the divergence equations (14.1c), (14.1d) and the bound-
ary conditions (14.3b) and (14.3d) are not "redundant", and must always be
taken into account.
14.1.3 Importance of Divergence Equations
The importance of the divergence equations (14.1c) and (14.1d) in computa-

tional electro magnetics can be further explained as the following.
(1) The original first-order full Maxwell equations (14.1a)-(14.1c) reflect gen-
eral and independent laws of physics. These laws cannot be deduced from each
other. They govern all electromagnetic phenomena, no matter whether the
problem is static, time-harmonic or transient.
The inconsistency between the number of unknowns and the number of
equations in the full first-order Maxwell equations results in the so-called
"overspecified" problem. However, this "overspecified" problem is a notion
borrowed from linear algebra. For partial differential equations, this interpre-
tation leads to a misconception.
(2) By taking the divergence of (14.1a), one can claim only that 8[Y' .
(J-LH)]/8t = 0, namely, Y' . (J-LH) = F(x) which can be any function of
the space coordinates. In (14.1a) there is no information about this function,
that is, Gauss's law (the magnetic flux density must be divergence free) can
not be induced by the Faraday's law. Of course, if the divergence of J-LH is
zero at the beginning, it will be identically zero forever. The problem then
is how to set Y' . (J-LH) = 0 initially. Let us examine the common practice
for non-homogeneous boundary condition problems: letting the initial field
intensities be zero in the domain, and the boundary conditions be correctly
given on the boundary. In this case, the divergence-free condition is signifi-
cantly violated near the boundary at the first time-step of the computation
and will be violated forever if the divergence-free condition is not enforced.
If one really can set the divergence to be zero at the beginning, it is in fact
equivalent to adding a divergence-free equation into the system. The discus-
sion for the electric field runs along the same line. For similar reason, the
boundary conditions (14.3b) and (14.3d) are not "dependent".
From the above discussion we know why the solution of curl equations is
contaminated by stationary spurious solutions. Fortunately, erroneous near-
field solutions and incorrect far-field solutions still lead to correct ReS re-
sults, since static solutions don't radiate. However, in other areas such as in
plasma physics and hyperfrequency devices technology, erroneous solutions
are unacceptable.
(3) From the mathematical point of view, the neglect of the divergence equa-
tions destroys both the ellipticity of the Maxwell equations in the space do-
main and the uniqueness of the solution. In each curl system there are only
three (odd) equations and three (odd) unknowns that cannot be elliptic in
the ordinary sense. The discretized system based on the curl equations with-
out special treatment (such as the use of edge elements) cannot be positive-
definite. This explains why spurious solutions occur and iterative methods
do not work for the discretized curl equations.
(4) For time-harmonic problems the curl equations alone will admit infinite
number of eigenfunctions corresponding to the frequency w = 0 which is
the so called infinitely degenerate eigenvalue. The inclusion of divergence

equations will exclude this completely non-physical situation and guarantee
that only the trivial solution E = 0 and H = 0 correspond to w = O.
(5) The time marching method is often an effective approach to solve steady-
state non-linear problems where the material properties depend on the elec-
tromagnetic fields. The curl equations alone are not adequate for this ap-
proach.
14.2 The Second-Order Maxwell Equations

In electromagnetics, there are mainly two reasons why the second-order curl-
curl equations are often employed. First, in the curl-curl equations the electric
field and the magnetic field are decoupled. Second, it is difficult to deal with
non-self-adjoint first-order derivatives numerically by conventional methods,
while the second-order partial differential operators can be easily treated, for
example, by the classic Galerkin method.
There is a vast body of reports about spurious solutions associated with
numerical solution of the curl-curl equations in the context of the finite ele-
ment method, see e.g., the references in Jin (1993) and Silvester and Pelosi
(1994). A majority of spurious solutions have been found in eigenvalue anal-
yses. A spurious mode does not correspond to the physical modes which the
waveguide or resonator under consideration actually supports. The spurious
mode problem is severe and often renders the numerical solution useless. The
spurious solutions have been also revealed in boundary-value problems, see,
e.g., Crowley et al. (1988), Pinchuk et al. (1988), Wong and Cendes (1988,
1989), and Paulsen and Lynch (1991).
The phenomenon of spurious solutions for the curl-curl equations is not
exclusively associated with the finite element method. This phenomenon has
been also reported in the context of the finite difference method, see e.g., Corr
and Davies (1972), Schwieg and Bridges (1984) and Su (1985); the boundary
element method, see e.g., Ganguly and Spielman (1977) and Swaminathan et
al. (1992); and the spectral method, see Farrar and Adams (1976). This fact
itself undermines the common belief that the spurious solution is a result of
a particular numerical process.
The popular engineering approach to removing spurious vector modes in
the curl-curl equations is to modify the variational functional by penaliz-
ing the non-zero divergence. The key to success with this so-called penalty
method, first used by Hara et al. (1983) and Rahman and Davies (1984),
depends on the choice of a correct penalty factor - values too small or too
large do not eliminate spurious solutions. Unfortunately, this is an ad hoc
and problem-dependent treatment and there has been a lack of systematic
study of the rationale for selecting this parameter for general problems.
Recently, the edge element method of Nedelec (1980), see e.g., Jin (1993)
and the references therein, has been advocated. It is believed that many mal-
14.2 The Second-Order Maxwell Equations 339
adies in CEM could be cured by using the edge element method. The edge
elements allow the normal component to jump across material interfaces and
do not yield conflicting conditions at sharp corners. However, (1) such an
approach can only be used in the simple divergence-free case for isotropic
media; (2) the vector basis functions for the general quadrilateral elements,
which are desired for modeling complex geometry with higher solution accu-
racy than triangles, are in fact not divergence-free (Jin 1993, p.240); (3) edge
elements violate the normal field continuity between adjacent elements in the
homogeneous material domain, this will cause a stability problem for numer-
ical modeling in plasma physics (Assous et al. 1993); (4) the accuracy of edge
elements is lower than that of the nodal elements for the same number of un-
knowns, or the computational cost of edge elements is much higher than that
of nodal elements for the same accuracy (Mur 1994 and Monk 1993); (5) the
edge element interpolation itself cannot solve singularity problems at sharp
corners, the singularity problems can be solved only by the use of singular
elements, high-order interpolations (p-version elements) or fine meshes; (6)
the edge element method also needs non-conventional meshing and display
programs which are not normally available.
The curl-curl equations are derived from the first-order Maxwell curl
equations by applying the curl operator. As pointed out above the curl equa-
tions alone cannot determine a unique solution. Moreover, the curl-curl equa-
tions obtained by simple differentiation without additional equations and
boundary conditions admit more solutions than do its progenitors.
In order to derive an equivalent higher-order system from a system of
vector partial differential equations, one should use the div-curl method that
is based on Theorem 5.2: if a vector is divergence-free and curl-free in a
domain, and its normal component or tangential components on the bound-
ary are zero, then this vector is identically zero. In other words, the curl
and the divergence operators must act together with appropriate boundary
conditions to ensure that there are no spurious solutions in the resulting
higher-order equations. In this section, this div-curl method introduced in
Chap. 5 is employed to derive the second-order system of time-dependent
Maxwell equations and its boundary conditions; and to show that the diver-
gence equations and additional boundary conditions must be appended to the
curl-curl equations, and the Helmholtz-type equations must be solved with
divergence conditions enforced on the corresponding part of boundary. We
shall establish the Galerkin formulation corresponding to the Helmholtz-type
equations. We shall see that this Galerkin formulation is of the same form
as the popular Galerkin/penalty method with the penalty parameter s = 1.
Or more precisely, the parameter s should be chosen such that the resulting
equation becomes equivalent to the Helmholtz-type equation in homogeneous
regions. We shall also give a simple least-squares look-alike method to obtain
a correct variational formulation which rigorously justifies choosing s = 1 in
the penalty method.
14.2.1 The Div-Curl Method
Assume that the field intensities and the sources in system (14.1) are suf-
ficiently smooth. By virtue of the div-curl theorem (Theorem 5.2), system
(14.1) is equivalent to
V x [V x E + {)(~~) + Kimp] = 0 in fl, (14.9a)
V· [V x E+ {)(~H) + Kimp] =0 in fl, (14.9b)
n· [V x E + {)(~H) + Kimp] = 0 on n, (14.9c)
n x [V x E + {)(~~) + Kimp] = 0 on r2, (14.9d)
V x [V x H - {)(;~) - aE - Jimp] = 0 in fl, (14.ge)
V· [V x H - {)(;~) - aE - Jim p] = 0 in fl, (14.9f)
n x [V x H - {)(;~) - a E - Jimp] = 0 on n, (14.9g)
n· [V x H - {)(;~) - a E - Jimp] = 0 on n, (14.9h)
V· (e:E) = pimp in fl, (14.9i)

V . (J.LH) = 0 in fl, (14.9j)
n xE = 0 on rl, (14.9k)
(14.91)
n xH = 0 on r2, (14.9m)
n· (e:E) = 0 on r2. (14.9n)
Due to solvability conditions (14.4), divergence equations (14.9i), (14.9j),
and boundary conditions (14.9k)-(14.9n), we may eliminate (14.9b), (14.9c),
(14.9f) and (14.9h), and rewrite system (14.9) as
V x [V x E + {)(~~)] = -V X Kimp in fl, (14.10a)
V x [V x H - {)(;~) - aE] = V X Jimp in fl, (14.lOb)
V. (e:E) = pimp in fl, (14.lOc)

\1 . (J.LH) = 0 in il, (14.10d)

n xE = 0 on n, (14.lOe)
n . (J.LH) = 0 on n, (14.10f)
n x (\1 x H) = n x Jimp on n, (14.10g)
n x H=O on r2, (14.10h)
n . (eE) = 0 on r 2 , (14.lOi)
n x (\1 x E) = -n x Kimp on r 2• (14.10j)
Obviously, system (14.10) is completely equivalent to system (14.1), the val-
idation of (14.10) guarantees the validation of system (14.1). Therefore, we
can use the curl equations in system (14.1) to decouple E and H in system
(14.10), we then obtain
\1 x (\1 x E) 8[8~E)]
+ J.L-
8t
- - + aE = -\1 X
8t
.
K1mp
8Jim p
-J.L--at"" in il, (14.11a)
\1 . (eE) = pimp in il, (14.11b)

n x E=O on n, (14.11c)
n· (eE) = 0 on r2, (14.11d)
n x (\1 x E) = -n x Kimp (14.11e)
and
\1 x (\1 xH) + (e!... + a) a(J.LH) =- (e!... + a) Kimp

at at 8t
+\1 X Jimp in il, (14.12a)
(14.12b)
(14.12c)
n x (\1 x H) = n x Jimp onn, (14.12d)
nxH=O (14.12e)
We note that the curl-curl equations in (14.11) and (14.12) do not have
any information about the divergence of the field intensities, and hence they
cannot stand alone; they must be supplemented by the divergence equations
and the additional natural boundary conditions. In other words, the curl-curl
equations admit more solutions than the first-order full system. This is the
real reason that the numerical methods based on the curl-curl equations will
give rise to spurious solutions.
It is difficult to solve a second-order curl-curl equation (14.11a) mixed
with an explicit constraint of the first-order divergence equation (14.11b).
We should look for a simple way. By virtue of Theorem 5.4 and the vector
identity (A.4), system (14.11) can be reduced to
-L1E + J.L~ [a(cE) + aE] = -\1 X Kimp _ J.L aJimp

at at at
_G)\1pimp in il, (14.13a)
in il, (14.13b)
nxE=O (14.13c)
\1 . (cE) = pimp (14.13d)
n· (cE) = 0 (14.13e)
n x (\1 X E) = -n X Kimp (14.13f)
It can be shown that (14.13b) may be eliminated (Sect. 14.2.3). That is, the
divergence equation (14.13b) is implicitly satisfied by the Helmholtz-type
equation (14.13a) with the boundary conditions. Therefore, system (14.13)
can be further simplified as
a [a(cE)] . aJimp
-L1E + J.L at ---at + aE = -\7 X K1mp -11---at
_G)\1pimp in il, (14.14a)
nxE=O (14.14b)
\1. (cE) = pimp on rl , (14.14c)
n· (cE) = 0 on r 2, (14.14d)
n X (\1 X E) = -n X Kimp (14.14e)
Similarly, we can have
-L1H + (c~ + a) a(J.LH) = -(c~ + a) Kimp

at at at
+\1 X Jimp in il, (14.15a)
n . (J.LH) = 0 on rl , (14.15b)
n x (\1 x H) = n x Jimp (14.15c)
nxH=O (14.15d)
(14.15e)
Since we are dealing with a second-order problem in the time-domain,
in addition to initial conditions for E and H, we need initial conditions for
aE/at and aH/Ot which can be obtained by using (14.1a) and (14.1b).
We note that the divergence equations are required to be satisfied only on
a part of boundary. This was first observed by Boyse et al. (1992) for a special
case. We will rigorously prove this in Sect. 14.2.3 by using the least-squares
method. The Helmholtz-type equations (14.14a) and (14.15a) can be found in
most text books on electromagnetics. However, it seems that all these books
(except the papers by Boyse et al. 1992, Mayergoyz and D'Angelo 1993)
claim that the Helmholtz-type equation must be solved with the divergence
equation satisfied in the whole domain. The rigorous derivation using the
div-curl method shows that the Helmholtz-type equation can stand alone,
and the divergence equation should be satisfied only on a part of boundary.
The advantages of using the Helmholtz-type equation over the curl-curl
equation are obvious: one avoids the difficulty involving explicit satisfaction
of the divergence equations, instead one solves three decoupled second-order
equations with coupled boundary conditions. We also should remark here that
the Helmholtz-type equations (14.14a) and (14.15a) are valid only for homo-
geneous and isotropic material regions. For inhomogeneous or anisotropic
materials, we still can use the div-curl method. However, the correct second-
order equations do not have LlE and LlH terms.
14.2.2 The Galerkin Method
One may elect to use, for example, the finite difference method, to solve
the Helmholtz-type equations (14.14) or (4.15). Usually, the finite difference
method is based on rectangular structured grids. In this case, for example,
the divergence equation (14.15e) can be simplified as the Neumann boundary
condition:
a
-Hn=O
an
For complex geometry it is not straightforward to implement the Neumann
boundary condition in the finite difference method. By using the finite ele-
ment method based on a variational principle, only the essential boundary
conditions should be explicitly imposed, all natural boundary conditions in-
cluding divergence conditions on the boundary will be satisfied automatically
by the variational process. In the following we derive the variational formu-
lation corresponding to (14.14).
By taking into account the vector identity (A.4), the Galerkin formulation
associated with (14.14) is: Find E E £ such that
+ (- ~ [~. E -
pimp]) pimp
E* + (~ . E - - g - ' n . E*) n
-g- ,
( ~
+Ji- at
[a(gE)
at + ,
aE] E*)
+ Ji- at '
(aJimp E*) = 0 (14.16)
for all E* E e, where e = {E E [Hl(nw : nxE = 0 on n, n·E = 0 on n}.

By virtue of Green's formula (B.3) and (B.5), the statement (14.16) can be
simplified to a more symmetric form: Find E E such thate
(~ x E, ~ x E*) + (~ . E, ~. E*) + (Ji-! [a(~E) + aE], E*)
= _(KimP, ~ x E*) + (pi:P, ~. E*) - (Ji- !JimP,E*) (14.17)
for all E* E e.
For time-harmonic eigenvalue problems with a = 0, the variational for-
mulation takes the form
(~x E, ~ x E*) + (~. E, ~. E*) -w 2Ji-g(E,E*) = 0, (14.18)
where w is the angular frequency.
The formulations for the magnetic field are analogous: Find H E 1£ such
that
(V xH,V xH*)+(V·H,V.H*)+ ([c! +a]a(~~),H*)

(14.19)
for all H* E 1£, where 1£ = {H E [Hl(nw : n x H = 0 on r 2 , n· H =

o on rd. For time-harmonic eigenvalue problems with a = 0, the variational
formulation takes the form
(~x H, ~ x H*) + (~. H, ~. H*) -w 2Ji-g(H,H*) = O. (14.20)
The variational formulations (14.17) and (14.18) are of the same structure
as the most popular Galerkin/penalty formulations in the literature. How-
ever, in contrast to the commonly used penalty formulation, there is no free
parameter in the Galerkin formulations (14.17) and (14.18). In other words,
the penalty parameter s should be chosen such that the Euler-Lagrange equa-
tion associated with the variational formulation becomes the Helmholtz-type
equation (14.14a).
When (14.18) is discretized, its first two terms generate a positive- definite
stiffness matrix by virtue of Theorem 5.3, and (E, E*) generates a mass ma-
trix. The equation (14.18) then becomes a well-posed generalized eigenvalue
problem.
If the second term in (14.18), which is related to the divergence-free con-

dition, is omitted, one obtains the commonly used incorrect variational for-
mulation that corresponds to solving only the curl-curl equation. One can
see that in this case the stiffness matrix is not positive-definite in the dis-
cretized e space, and thus iterative solution methods do not work; moreover,
there exits an eigenvalue w = 0 of infinite multiplicity. This trouble is caused
by incorrect mathematical formulation. In the correct formulation (14.18),
due to Theorem 5.2, there is only a trivial solution E = 0 corresponding to
w = O. In other words, the variational formulation (14.18) will not give rise
to spurious modes.
We emphasize again that the spurious solutions in the computation of
resonator, waveguide, scattering wave and eddy current problems are really
caused by wrong analytical formulations.
14.2.3 The Least-Squares Look-Alike Method
In Sect. 14.2.1 the div-curl method is employed to derive the second-order

(Helmholtz-type) Maxwell equations and their boundary conditions that
guarantee no spurious solutions. But we cannot yet determine whether the
divergence equations should be specified on a part of boundary or on the
entire boundary. In this section we give a more powerful method to derive
equivalent higher-order equations and rigorously prove the statement made
in Sect. 14.2.1.
Consider the following div-curl system for the electric field:
x E = _ a(Il-H) _ Kimp .
'r'7
v at n
III H, (14.21a)
(imp
"·E=- inn, (14.21b)
c
n x E= 0 on n, (14.21c)
n· (cE) = 0 on r2 , (14.21d)
where H is assumed to be known and to satisfy (14.1b) and (14.1d) as well as
the boundary conditions (14.3b) and (14.3c), and the source terms satisfy the
solvability conditions (14.4a)-{14.4e). In other words, when the magnetic field
and the sources are given, the solution of (14.21) will give the corresponding
electric field.
Obviously, system (14.21) is a typical div-curl system that can be treated
easily by the least-squares method, see the details in Sect. 5.4. To proceed,
we define a quadratic functional:
I: e -+ JR.,
I{E) = II" x E + a(~~) + Kimpl12 + II"· E - pi:P r (14.22)
The minimization of I with respect of E leads to the variational formulation:
( \1 x E + 8(J.LH) + Kimp \1 x E*)

8t '
pimp
+ ( \1. E - -c-' \1 . E
*) = 0, (14.23)
where E* = aE E E.
By using Green's formula (B.5) and considering the fact that H satisfies
(14.1b) and (14.3c), the H related term in (14.23) can be written as
( 8(J.LH)
8t '
\1 x E*) = (8(\1 x H) E*)
J.L at ' +
(8(J.LH)
at ,n x
E*)
r
= ( J.L ~ [8(eE)
m at +0- E + Jimp] , E*) . (14.24)
Therefore, from (14.23) we obtain the variational formulation:
(\1 x E, \1 x E*) + (\1. E, \1. E*) + (J.L! [8~E) + aE], E*)
(14.25)
which is exactly the same as (14.17). By using Green's formula, from (14.25)
we can obtain the Euler-Lagrange equation (14.14a) and the natural bound-
ary condition (14.14c) and (14.14e). That is, the correctness of (14.14) or
(14.15) is completely proved.
Now we understand that if the field intensities are sufficiently smooth,
then the variational formulation (14.25), the Helmholtz-type equation (14.14a)
with its boundary conditions, and the first-order system (14.21) are equiv-
alent to one another. However, the finite element method based on (14.25)
has advantages: (1) the sources are required only to be square integrable; (2)
the test and trial functions from standard finite element spaces are required
to satisfy only the essential boundary conditions (14.21c) and (14.21d); (3)
the divergence equation (14.21b) is automatically satisfied,
We remark that the procedure of deriving formulation (14.25) in this sec-
tion is not a true least-squares approach, because (1) we have assumed that
H is given and satisfies (14.1b), and hence H is not subject to the varia-
tion; (2) the true least-squares method always leads to a symmetric bilinear
form; here the a related term is not symmetric. Even so, this procedure
is mathematically justifiable. It is nothing but a rigorous method to estab-
lish the Galerkin variational formulation corresponding to the Helmholtz-
type equations (14.14a) and their boundary conditions. All derivations pro-
vided in this section have rigorously proved that the penalty parameter in
the Galerkin/penalty method should be chosen such that it generates the
Helmholtz-type equation in homogeneous isotropic material regions.
14.2.4 Anisotropic Media
For simplicity we consider anisotropic and homogeneous nonconductors. The

time-varying form of Maxwell equations are
'V x E + {)(~H) = _Kimp in il, (14.26a)
'V x H - {)(~E) = Jimp in il, (14.26b)
'V. (eE) =0 in il, (14.26c)

'V . (p.H) = 0 in il. (14.26d)
We also consider the homogeneous boundary conditions:
nxE=O on rl, (14.26e)
n· (p.H) = 0 onn, (14.26f)

nxH=O on r 2, (14.26g)
n· (eE) = 0 on r2. (14.26h)

Of course, the source terms must satisfy the following solvability conditions:
'V . Kimp =0 in il, (14.27a)
n·Kimp =0 on r l , (14.27b)
l n.KimPdr=O, (14.27c)
" . Jimp = 0 in il, (14.27d)

n·Jimp =0 on r2, (14.27e)
In. JimPdr = O. (14.27f)
The permittivity e and the permeability I' are real symmetric positive-
definite matrices, i.e., 3 x 3 tensors in three-dimensions. Their inverse matrices
exist and are denoted by e- l and 1'-1, respectively. We may choose their
maximum eigenvalues as their norms denoted by lei and 11'1, respectively.
We always can decompose the matrix I' such that
I' = p.!(p.!)T. (14.28)
We would like to use the least-squares method to derive the second-order
equations for the electric field and to establish the corresponding variational
formulation. Consider the following div-curl system for the electric field:
a(ILH) _Kimp
\1xE= in n, (14.29a)
at
\1. (eE) = 0 in n, (14.29b)
nxE=O on r 1 , (14.29c)
n· (eE) = 0 on r2, (14.29d)
where H is assumed to be known and to satisfy the equations (14.26b) and

(14.26d) as well as the boundary conditions (14.26f) and (14.26g).
We define a quadratic functional:
J:E~lR,
J(E) = 11L1//1L-!(\1 x E+ a(~~) + K imp)//2

+lel- 2 11\1. (eE)112, (14.30)
where E = {E E [H1(n)j3 : n x E = 0 on n,
n· (eE) = 0 on n}.
The minimization of J with respect to E leads to the variational formu-
lation:
IILI (IL-! [\1 x E; + a(~~) + Kimp] , IL-! \1 x E*)

+lel- 2 (\1 . (eE), \1 . (eE*)) = 0, (14.31)
where E* = ~E E E.
Upon using a relation similar to (14.24), from (14.31) we finally obtain
the variational formulation:
11L1(1L- 1 \1 x E, \1 x E*) + ler 2(\1. (eE), \1. (eE*))
+IILI(!: (eE), E*) = -11L1(1L- 1 Kimp, \1XE*) -IILI (! Jimp, E* ).(14.32)
The correctness of (14.32) can be verified by considering two facts. First,

if the medium is nonconductive and isotropic without imposed electric charge
density, (14.32) reduces to (14.25). Second, upon using the technique given
by Saranen (1982), one can further prove the coerciveness of the bilinear
form represented by the first two terms in (14.32); in other words, when
discretized, (14.32) leads to a well-posed dynamic problem (or generalized
eigenvalue problem in time-harmonic cases) with symmetric positive-definite
stiffness and mass matrices.
From the variational formulation (14.32) by using Green's formulae we can
deduce the associated Euler-Lagrange equation and boundary conditions:
14.3 Electrostatic Fields 349
= -IJLIV' X (JL-lKimP) -IJLlgtJimp, in il, (14.33a)
nxE=O on rl , (14.33b)
V'·(eE)=O on r l , (14.33c)
n· (eE) = 0 on r 2 , (14.33d)
n x (JL-IV' x E) = -n x (JL-IKimp) on r 2• (14.33e)
We remark that both (14.32) and (14.33) can be generalized to spatially
variable media.
Similarly, we can obtain the variational formulation for the magnetic field:
Find H E 1£ such that
lei (e-IV' x H, V' x H*) + IJLI- 2 (V' . (JLH) , V' . (JLH*))
+Iel (:t22 (JLH) , H*) = lei (e- l Jimp, V' x H*) -lei (gt Kimp, H*) (14.34)
for all H* E 1£, where 1£ = {H E [H I (il)]3 : n x H = 0 on r 2, n· (JLH) =
o on rd.
By using the variational formulation we can show that the magnetic field
satisfies the following equation and boundary conditions:
82
lelV' x (e-IV' x H) -IJLI- 2 JLV'[V" (eH)] + lel-2 (JLH)
8t
in il, (14.35a)
n· (eH) = 0 (14.35b)
(14.35c)
nxH=O (14.35d)
V' . (eH) = 0 (14.35e)
14.3 Electrostatic Fields
When the field quantities do not vary with time, we have a static field. In
this case, there is no interaction between electric and magnetic fields, and
therefore we can separate either an electrostatic case or a magnetostatic case.
In the electrostatic case, the governing equations are

'iJ x E = 0 in il, (14.36a)
'iJ. (gE) = pimp in il, (14.36b)
n xE = 0 on re , (14.36c)
n·E= 0 on r a, (14.36d)
n x E+ =n x E- on l1nt, (14.36e)
on r int , (14.36f)
where remay be a perfectly conducting surface or a far-field boundary, rs

is the plan of symmetry, and l1nt is the interface between two media.
14.3.1 Electric Potential
By introducing the electric scalar potential ¢ such that

E=-'V¢, (14.37)
then the equation (14.36a) is satisfied. From the rest of equations in (14.36)
we obtain
- 'iJ . (g'iJ¢) = pimp in il, (14.38a)
(14.38b)
8¢ =0 on r a, (14.38c)
8n
where gimp is a given constant voltage. The equation (14.38) is the well-
known Poisson equation with Dirichlet and Neumann boundary conditions
The classic Galerkin finite element method can be employed to obtain the
approximate solution of ¢ with an optimal accuracy. However, as we have
pointed out many times, the calculated electric field intensity E by numerical
differentiation of ¢ is of lower-order accuracy and discontinuous across the
element boundary.
System (14.36) is a typical div-curl system. In Sect. 5.2 we have shown by in-
troducing a dummy variable {} that in the three-dimensional case this system
is properly determined and elliptic. Now let us apply the least-squares method
to solve the div-curl system (14.36). We construct the following quadratic
functional:
I : E ----+ JR,
I(E) = Ilv X EII~ + Ilv .E _ pi:P II:, (14.39)
where E = {E E [Hl(il)]3 : n x E = 0 on r e , n· E = 0 on ra}. Taking the

variation of I with respect to E, and letting 6E = E* and 8I = 0, we obtain
the least-squares variational formulation: Find E E E such that
B(E, E*) = L(E*) VE* E E, (14.40)
where
B(E, E*) = (V x E, V x E*) + (V . E, V . E*),
imp
L(E*) = (7,V.E*).
Due to Theorem 5.7 the LSFEM based on (14.40) has an optimal rate of
convergence:
(14.41)
where r is the order of polynomials in the finite element interpolation.
It is instructive to derive the Euler-Lagrange equations associated with
the least-squares weak formulation (14.40) which can be rewritten as: Find
E E E such that
imp
(VxE, VxE*)+(V.E- 7 , V.E*) =0 VE* E E. (14.42)
By using Green's formulae (B.3) and (B.5), the equation (14.40) can be con-
verted to
(V x (V x E),E*) + (V x E, n x E*)
+(-V[V. E - pi:P ], E*) +(V. E _ pi:P, n· E*) = O. (14.43)

Taking into account (A.4) and that E* satisfies the boundary conditions
(14.36c) and (14.36d), from (14.43) we obtain
imp
[-6E+V(7]' E*) +(VxE, nxE*)r.
pimp
+ ( V · E - - , n·E
*) =0 (14.44)
e ro
for all admissible E* E E, hence we have the Euler-Lagrange equation and
pimp)
6E=V ( - in il, (14.45a)
e
n x E= 0, (14.45b)
n·E=O, n x (V x E) = 0 on Fa. (14.45c)

We may write (14.45) more explicitly as:
a (pimp)
6Ex = - - - in il, (14.46a)
aX c
a- (pimp)
6EY =ay - in il, (14.46b)
c
6Ez = -
a (pimp) in il, (14.46c)
aZ -c-
aEn pimp
El = 0, E2 = 0, - - = - - on Fe, (14.46d)
an c
E
n = °'an =
aEl 0,
an = 0,
aE2
on
r
a (14.46e)
where 1 and 2 denote the mutual-orthogonal tangential directions on the

boundary surface. Now it is clear that the least-squares method (14.40) cor-
responds to solving three uncoupled Poisson equations (14.46a)-{14.46c) with
three original Dirichlet boundary conditions and three additional Neumann
boundary conditions. In fact, the original first-order equations (14.36a) and
(14.36b) serve as the additional boundary conditions here. We have already
observed this in Chap. 2.
We know that it is difficult to solve the first-order div-curl system (14.36)
by conventional methods. Now one may employ the finite difference method
or the classic Galerkin finite element method to solve an equivalent second-
order system (14.46) without much difficulty. However, the LSFEM based
on (14.40) is the easiest method, because only the simple original boundary
conditions (14.36c) and (14.36d) need to be dealt with.
In practical electrostatic problems, a constant electric voltage gimp is often
prescribed on a part of boundary. In this case we may use LSFEM to solve
the following first-order div-curl-grad system:
VxE=O in il, (14.47a)
V. (cE) = pimp in il, (14.47b)
V¢-E=O in il, (14.47c)
¢ = gimp on Fe, (14.47d)
nxE=O on Fe, (14.47e)
n·E=O on Fa, (14.47f)
(14.47g)
(14.47h)
(14.47i)
As discussed in Chap. 6, the curl equation (14.47a), which seems redun-
dant, must be included to ensure an optimal rate of convergence for the field
intensity and good numerical properties for iterative solvers.
Microstrip Line. As an example, let us apply LSFEM to a two-dimensional
problem of the shielded microstrip transmission line illustrated in Fig. 14.1.
This problem is taken from Jin (1993, p.98). When the microstrip line oper-
ates at low frequency, its capacitance and inductance can be obtained from a
static analysis, which amounts to solving (14.47) by assuming a certain po-
tential, say 1 volt, on its strip and a different potential, say zero volts, on the
shielding conductor. Due to its symmetric geometry, the domain of analysis
is reduced to half by specifying Ex = 0 at the plane of symmetry. On the
conducting surfaces, we impose n x E = 0 as shown in Fig. 14.1. It is impor-
tant not to specify the field intensity at the sharp corners of the strip. The
finite element mesh consisting of 949 linear quadrilateral elements is shown
in Fig. 14.2. The nodes at the material interface are doubly numbered. This
is a small-scale problem, so a direct solver is employed to solve the resulting
algebraic equations. For each interface node we add the following term
Q[(q,+ - q,-)2 + (Et - E;)2 + (c+ E: - c- E;)2]
<I>=O,Ex=O
<1>=0
Ex=O Ey=O
'<1>= 1,Ex=0
C\l=O,Ex=O
Fig. 14.1. Shielded microstrip line
W-
J
A-\\
\\
\ \ \
~c--
\ \\'\.J....\..
\
~ -
f-
II
~
~
~
~H
1--'-- j--l-
I-
I-- H l-
I-- jl7'lli
H ~kk<
~ ;4:
.x Fig. 14.2. The finite element mesh
of a shielded microstrip line
into the variational functional (14.39) to enforce the interface condition,

where Q: is a large number, say 105 - lO lD . In this example, we take 10+ = 10
for the medium (+) in the lower part, and c = 1 for the medium (-) in
the upper part. As emphasized in Sect. 4.11.3, reduced integration should be
used to calculate the finite element matrix. Here we employ the one-point
Gaussian quadrature. The nodal solution of the field intensity has some os-
cillations. However, the solution of the field intensity at Gaussian points is
smooth. Therefore, we redistribute the field intensity at Gaussian points into
the nodes by averaging according to element areas to obtain the final nodal
solutions of the field intensity. The computed potential contours are plotted
in Fig. 14.3. The nodal field intensity vectors are given in Fig. 14.4.
Fig. 14.3. Computed potential

contours in a shielded microstrip
line
14.4 Magnetostatic Fields 355
I •• , ••••••••• •• '
,
, ,
. I
•
I
, ' ,
I
I
If
,
••
...... .
••••••
• , ......
•
.
.. .
I \ I
I
I
I •
I',
t
. .. ... . .
, . .
f ' ' ., ••••• • •
, I I •••••• • • , • •
• ' , I I I , , , • • • • '• • •
i(i {U[iff[l\-·;-\:.· --i\\ •.

I ' , I , . ...
i I I I , , •••
',',
11/~""""--------" " " "'" ..... .
/, ~...:.::.:: : : : : ::: : : : : :
- ............. ....... ........ ....: :':.: :. :. ~
Fig. 14.4. The computed E

field of a shielded microstrip line
14.4 Magnetostatic Fields
The magnetostatic fields are governed by the following div-curl system:
'\l x H = Jimp in fl, (14.48a)
'\l . (p,H) =0 in fl, (14.48b)
(14.48c)
(14.48d)
(14.48e)
on r int , (14.48f)
where n
is a perfectly conducting electric wall or a symmetric plane, r 2 is
a perfect magnetic wall, and nnt is an interface between two media without
imposed surface electric current. The given electric current density should
satisfy the solvability conditions:
'\l. Jimp = 0 in fl, (14.49a)
In. Jimp ds =0 on r. (14.49b)

14.4.1 Magnetostatic Vector Potential
System (14.48) is of first order, and thus is difficult to solve directly by the
classic Galerkin method. In order to convert (14.48) into a system of second-
order equations, usually a vector potential A is introduced and is defined
as
J.LH=V x A. (14.50)
In this way, the divergence equation (14.48b) is automatically satisfied. Sub-
stituting (14.50) into (14.48a) yields
vx (1 Vx A) = JimP. (14.51)
This, however, does not determine A uniquely, because if A is a solution to

(14.51), any function that can be written as A' = A + Vf is also a solution
regardless of the form of f. Thus, to determine A uniquely, one has to impose
a condition on its divergence, that is
V· A = O. (14.52)
Such a condition is called the gauge condition.
Obviously, the introduction of the magnetostatic vector potential A does
not bring much benefits at all. One avoids the divergence equation (14.48b),
but gets another one (14.52); the new div-curl system for A, i.e., (14.50)
and (14.52), has the same div-curl structure as system (14.48), and thus still
needs to be converted into a second-order system which can be solved by
conventional methods; moreover, the magnetic field intensity H obtained by
numerical differentiation of A has lower accuracy and is discontinuous across
the element boundary in the homogeneous medium region.
If one insists on using the magnetostatic vector potential A, then we
suggest using the least-squares method to solve the following system:
VxA=J.LH inn, (14.53a)
V·A=O inn, (14.53b)
nx A=O on r, (14.53c)
where H should satisfy the equation (14.48a), and for simplicity we consider
the magnetostatic fields in a perfect conducting wall. The boundary condition
(14.53c) is justified from the following consideration: according to Theorem
5.5, from (14.53c) we have
n . (V x A) = 0 on r,
which is equivalent to (14.48c) due to the definition of A.
We construct the following functional:
I : 1£ ---+ JR,
14.4 Magnetostatic Fields 357
leA) = IIV' X A - JLHII~ + IIV' . AII~, (14.54)

in which 1£ = {A E [Hl(n)j3 : n x A = 0 on r}. Taking the variation of I
with respect to A, and letting 8A = A * and OJ = 0, we obtain
(V' x A, V' x A*) + (V'. A, V'. A*) = (JLH, V' x A*). (14.55)
By using Green's formulae (B.5) and taking into account (14.48a) and that
A * satisfies the boundary condition (14.53c), the right-hand side term in
(14.55) can be written as
(JLH, V' x A*) = (V' x JLH, A*) + (JLH, n x A*)
= (JLJimp, A*).
Therefore, the least-squares variational formulation is: Find A E 1£ such that
(V' x A, V' x A*) + (V'. A, V'. A*) = (JLJimp, A*) VA* E 1£. (14.56)
Obviously, the least-squares method amounts to minimizing the following
functional:
leA) = ~ [IIV' x AII~ + IIV" AII~] - (JLJimp, A). (14.57)
In fact, (14.57) can be obtain directly from (14.54).
For magnetostatic problems, it is recommended that one solve the div-curl

system (14.48) by LSFEM in order to obtain directly the magnetic intensity
vector H. The computed magnetic intensity vector has an optimal accuracy
and is continuous across the element boundary. Moreover, the amount of
computational work to obtain H is the same as to obtain A.
Bus-Bar. As an example, let us consider the two-dimensional problem of a
bus-bar illustrated in Fig. 14.5. To exploit the symmetry, we analyze a quarter
of the domain (0 ~ x ~ 1.0, ~ Y ~ 1.0). We apply the perfectly conducting
electric wall condition n . H = 0 to the outer boundary, and the magnetic
symmetry condition n x H = 0 on the symmetric planes. The field is excited
by an imposed current density Jimp = 10 in the region 0 ~ x ~ 0.5, ~ Y ~ 0.5
and zero elsewhere. The iron is assumed to be isotropic, having a relative
permeability JL = 1000, the relative permeability of the surrounding material
is set to 1. The domain is divided into 400 uniform bilinear elements. As
in the electrostatic case, the nodes at the interface are given two numbers,
and the least-squares method is employed to enforce the interface condition.
One-point Gaussian quadrature is used to evaluate the element matrices. The
computed magnetic field vectors are depicted in Fig. 14.6.
J=O
j.Fl
Hy=O H:r=O
J=10
j.FlOOO
Fig. 14.5. Bus-bar
-----_
.... -.- .................................
, ,
'"--_ ,
~~ \
~""- .............................. '" \
""
....................... \ I
.. . . . , . . . "'" , \ \
!--............._ ...... , ..... " " , \ I
!---~, \ I
~
_
.. !::-..'~""'" \ \ , 1
~ !:-..
~~~~~;"\\\\\, I
..........., ........" ' - " " " " " \ \ \ \ I
.. ''''\\\\\ I
'"-...... ~ ~~~ ~ ~ ~~ X\ , t
--- _ "'"-_, \. . . " ~ K\~,,~ ~ ! ~

---_...... , " \
_ .......... , " \ \
I~ ~
l~ ~~ ~ I ~
--'\\\
.....
-' ,
, ,\ \
\
\
I
\ \
I
Fig. 14.6. The computed
H field of a bus-bar
14.5 Time-Harmonic Fields
14.5.1 Three-Dimensional Time-Harmonic Waves
For three-dimensional time-harmonic fields, the first-order full Maxwell equa-

tions can be written as
v x E + jWJ1.H = _Kimp in il, (14.58a)
V x H - jweE = Jimp in il, (14.58b)

14.5 Time-Harmonic Fields 359
V·E=O in fl, (14.58c)

V·H=O in fl, (14.58d)
where the time factor ejwt is used and suppressed, w is the given angular
frequency and not equal to the resonant frequencies of this problem, E and H
are the complex electric and magnetic field intensities respectively, Jimp and
Kimp are imposed harmonic sources of electric and magnetic current density
respectively. For simplicity, f and J.L are constant scalars for homogeneous
isotropic media. The field equations are supplemented by the homogeneous
nxE=O on rI, (14.59a)
n·H=O on r I , (14.59b)
nxH=O on r 2 , (14.59c)
n·E=O on r 2 • (14.59d)
where n is an electric wall, and r2 is a magnetic symmetry wall.
To allow system (14.58) to have a solution, the source terms cannot be
arbitrary, they must satisfy the following solvability conditions:
V·Kimp=O in fl, (14.60a)
n·Kimp =0 on rI, (14.60b)
£ n.KimPdr=O, (14.60c)
V. Jimp = 0 in fl, (14.60d)

n.Jimp =0 on r 2 , (14.60e)
In. JimPdr = O. (14.60f)
As in the time-varying cases, the solvability conditions (14.60a), (14.60b),

(14.60d) and (14.60e) can be derived by applying the div-curl method to
the curl equations (14.58a) and (14.58b), respectively. The solvability condi-
tions (14.60c) and (14.60f) can be obtained by applying the Gauss divergence
theorem to (14.60a) and (14.60d), respectively.
Separating the real and imaginary parts in system (14.58) leads to
V x Er - wJ.LHi = _K~mp in fl, (14.61a)
V x Ei +WJ.LH r = _K~mp in fl, (14.61b)

V x Hr +weEi = J~mp in fl, (14.61c)
V x Hi -weEr = J~mp in fl, (14.61d)

V'. Er =0 in Q, (14.61e)
V'. Ei = 0 in Q, (14.61£)
V'·Hr=O in Q, (14.61g)
V'. Hi =0 in Q. (14.61h)
Obviously, system (14.61) is elliptic, since its principle part consists of four
div-curl systems. For the solution of (14.61) the least-squares variational
formulation is: Find u = (E r , E i , H r, Hi) E 1/. such that
B(u,v) = L(v) Vv = (E;,E;,H;,H;) E 1/., (14.62)
where 1/. = {u E [Hl(Q)]3 x [Hl(QW x [Hl(QW x [Hl(Q)j3 : n x E =
n, n, r
o on n . H = 0 on n x H = 0 on 2 , n . E = 0 on 2 }, and B(·, .) is r
the bilinear form
B(u, v) = (V' x Er - WILH i , V' x E; - WILH;)
+ (V' x Ei +wILHr. V' x E; +wILH;)
+ (V' x Hr +weEi , V' x H; + weE;)
+ (V' x Hi - weEr, V' x H; - weE;)
+ (V'. E r , V' . E;) + (V' . E i , V' . E;)
+ (V'. H r , V'. H;) + (V'. Hi, V'. H;), (14.63a)
and L(·) is the linear form
L(v)
(14.63b)
14.5.2 Time-Harmonic TE Waves
For time-harmonic TE waves the first-order Maxwell equations are

· H 8Ey 8Ex
JWIL z + -8
x
- -8
y
=0 . n
In J&, (14.64a)
· *E 8Hz 0
JWe x - 8y = in Q, (14.64b)
· *E
JWe y + 8H
8x
z
=
0 in Q, (14.64c)
8Ex + 8Ey = 0 in Q, (14.64d)

8x 8y
in which e* = er + jei = e- ja /w is the complex permittivity. For a complete
description of TE wave problems, appropriate boundary conditions should be
included. One may consider, for example,
Hz = const on r, (14.64e)
on r. (14.64f)
Condition (14.64e) is an inhomogeneous version corresponding to (14.59c),
and (14.64f) is a 2D version of (14.59d). We also note that the boundary
conditions (14.64e) and (14.64f) satisfy the boundary compatibility condition
on r, (14.65)
which is obtained by taking the operation n· to the equations (14.64b) and

(14.64c).
In system (14.64) there are three unknowns and four equations, and thus
the divergence-free condition (14.64d) seems "redundant". By introducing a
dummy variable f) into system (14.64), we have
· H aEy aEx 0 .
JWJ.L z+-ax
--a
y
= InH,
n
(14.66a)
JWe
· *Ex+-
af) - -
ax
aH-z =
ay
0 in n, (14.66b)
· *E
JWe y+ af) aHz
ay + ax = 0 in n, (14.66c)
in n. (14.66d)
By applying the operation ajax to the equation (14.66b) and the operation
ajay to the equation (14.66c), and by adding the results together we obtain
the Laplace equation for f):
a2{} a2{} in n.
ax 2 + ay2 = 0 (14.67a)
By taking the operation n· to (14.66b) and (14.66c) and using the boundary
compatibility condition (14.65) we obtain
af)=O
an on
r. (14.67b)
From (14.67) we know that f) = const, that is, system (14.64) is completely
equivalent to the augmented system (14.66) with four equations involving
four unknowns. Since system (14.66) consists of two two-dimensional div-curl
systems, and thus is elliptic. Therefore, system (14.64) is not 'overdetermined'
but indeed properly determined and elliptic.
For numerical calculation, separating the real and imaginary parts in
(14.64a)-(14.64d) leads to
-wJ.LHzi + a::r _ a:;r = 0 in n, (14.68a)

aHzr
-w(erExi + eiExr) - ---oy =0 in fl, (14.68b)
aHzr
-W(erEyi + eiEyr) + ---a;- = 0 in fl, (14.68c)
aExr + aEyr = 0 in fl, (14.68d)

ax ay
H aEyi _ aExi - 0 in fl,

wJ.L zr + ax ay- (14.68e)
aHzi
w (erExr - eiExi ) - BY =0 in fl, (14.68f)
aHzi
w (erEyr - eiEyi ) + --a;- =0 in fl, (14.68g)
aExi + aEyi = 0 in fl. (14.68h)

ax ay
Of course, in (14.68) the medium properties are different for different medium
regions.
au au
Al ax + A2 ay + Aou = j, (14.69)
in which
0 0 1 0 0 0
0 0 0 0 0 0
1 0 0 0 0 0
0 1 0 0 0 0
(14.70a)
0 0 0 0 0 1
0 0 0 0 0 0
0 0 0 1 0 0
0 0 0 0 1 0
0 -1 0 0 0 0
-1 0 0 0 0 0
0 0 0 0 0 0
0 0 1 0 0 0
(14.70b)
0 0 0 0 -1 0
0 0 0 -1 0 0
0 0 0 0 0 0
0 0 0 0 0 1
0 0 0 -Wf1 0 0
0 -WEi 0 0 -WEr 0
0 0 -WEi 0 0 -WEr
0 0 0 0 0 0
Ao= Wf1 0 0 0 0 0
(14.70c)
0 WEr 0 0 -WEi 0
0 0 WEr 0 0 -WEi
0 0 0 0 0 0
0 Hzr
0 Exr
0 Eyr
/= 0
U=
Hzi
(14.70d)
0 Exi
0 Eyi
At the interface r int between two contiguous media (+) and (-) the
following general conditions should be satisfied:
n x E+ =n x E- on r int , (14.71a)
(14.71b)
n· (E*+ E+) = n· (E*- E-) (14.71c)
n· (f1+ H+) = n· (f1- H-) (14.71d)
For two-dimensional TE waves, the interface conditions (14.71a) and
(14.71c) become
nx E yr xr -- nx E-
+ - ny E+ yr - ny E-
xr' (14.72a)
(14.72b)
nx(E; Etr - Et E~) + ny(E; E:r - ti E~)

= nx(E;:- E;r - Ei E;i) + ny(E;:- E;r - Ei E;i), (14.72c)
= nx(Ei E;r + E;:- E;;i) + ny(Ei E;r + E;:- E;i). (14.72d)

For two-dimensional TE waves, the interface condition (14.71d) is automati-
cally satisfied, and (14. 71b) becomes
Hz+-H-
- z· (14.72e)
In the LSFEM the treatment of the interface conditions is not difficult.
As in other node-based finite element methods, the nodes on the interface
should be double-numbered. If a direct solver is employed for solving the
discretized system, two approaches are available: a simple way is to include

the interface conditions into the least-squares functional as discussed in Sect.
14.3.2; a better way is to use the conditions (14.72a)-(14.72e) to modify the
global stiffness matrix in the discretized system. If the conjugate gradient
method is used, one just simply chooses the unknowns related to the medium
(+) (or (-)) as the true unknowns and keeps the conditions (14.72a)-(14.72e)
satisfied for each solution vector.
Since the general formulation of LSFEM has been given in Sect. 4.8, it
is not necessary to write down the special one for the problem discussed in
this section. One only needs to substitute the coefficients of (14.69) and the
boundary conditions into a general-purpose LSFEM code.
We consider two test problems that are taken from Paulsen and Lynch
(1991) (see also Jin 1993, pp. 167-170), in which the spurious solutions given
by the curl-curl formulation as well as the correct solutions are illustrated.
Split Cylinder. The first example is a cylinder (R=25) which is split
into two regions having different complex permittivity. For the top region,
g;: = 3.0, gt = -5.0 and J.L+ = 1.0; for the bottom region, g;; = 1.0,
gi = 0.0 and J.L- = 1.0. This cylinder is excited by a uniform Hz Ir = (1,0)
(with w = 0.05) imposed on the outer boundary. All variables in this problem
are discretized by 932 bilinear elements with 1016 nodes shown in Fig. 14.7a.
One-point Gaussian quadrature is used for evaluating the element matrices.
The contours of the computed real and imaginary magnetic field intensity
are shown in Fig. 14.7b and c, respectively. The vector plots of the real and
imaginary electric field intensity are illustrated in Fig. 14.7d and e, respec-
tively.
Off-center Cylinder. The second example ia a smaller off-center cylinder
(R=O.I) embedded in a larger cylinder (R=0.25). The material properties for
the outer region are g;: = 0.0981, gt = -0.0196 and J.L+ = 1.0; for the inner
region g;; = 1.0, gi = 0.0 and J.L- = 1.0. A uniform Hzlr = (1, -0.15) (with
w = 44.7) is imposed on the outer boundary. Figure 14.8a shows the mesh
with 2027 bilinear elements and 2165 nodes. The contours of the computed
real and imaginary magnetic field intensity are shown in Fig. 14.8b and c,
respectively. The vector plots of the real and imaginary electric field intensity
are illustrated in Fig. 14.8d and e, respectively.
As expected all computed results by LSFEM are free of spurious modes.
14.6 Transient Scattering Waves

In this section we consider the computation of scattered waves due to the
existence of perfectly conducting bodies exposed to plane incident waves in
free space as an example to illustrate how to use LSFEM to solve time-
dependent problems and to show the difference between the solutions with
and without enforcement of the divergence-free condition.
14.6 Transient Scattering Waves 365
Fig. 14.7. (a) The split cylinder and the mesh, (b) Contours of constant magnetic
field intensity Hr , (c) Contours of constant magnetic field intensity Hi, (d) Vectors
of the computed electric field intensity E r , (e) Vectors of the computed electric
field intensity Ei (from Jiang et al. 1996)
Fig. 14.S. (a) The off-center cylinder, (b) Contours of constant magnetic field
intensity H r , (c) Contours of constant magnetic field intensity Hi, (d) Vectors of
the computed electric field intensity E r , (e) Vectors of the computed electric field
intensity Ei (from Jiang et al. 1996)
14.6.1 TM and TE Waves
For two-dimensional transient transverse magnetic (TM) waves, the first-

order Maxwell equations can be written as
aEz aHx -0 n
ay + J.L at - in H, (14.73a)
_ aE aHy
ax +lI
,.. at =0
z (14.73b)
in il,
_ aHy + aHx + c aEz = 0 in il, (14.73c)

ax ay at
aHx + aHy =0 in il. (14.73d)
ax ay
The divergence-free condition (14.73d) is often ignored in usual time-domain
computation.
The field intensity variables are conveniently split into those of the inci-
dent field and of the scattered field:
Ez = E~ +E;, (14.74a)
H=Hi+H s , (14.74b)
where the superscript "i" denotes the incident field, and "s" denotes the
scattered field. The incident waves are allowed to propagate in their analytical
form. The scattered waves are determined by solving the Maxwell equations
with appropriate boundary conditions on the surface of the scatterer and on
the far-field.
On the surface of a perfectly conducting body, the tangential components
of the electric intensity and the normal component of the magnetic intensity
are zero, i.e., the boundary conditions (14.3a) and (14.3b) should be satisfied.
When the TM scattered formulation is considered, they become:
(14.75a)
(14.75b)
Since the Maxwell equations are now solved in a finite domain, a proper
far-field boundary condition has to be applied to ensure that waves will not
artificially reflect back and contaminate the near-field solution. Here we adopt
the following absorbing boundary condition:
(14.76)
where c = 1/ M is the wave velocity, n is the outward normal unit vector to

the far-field boundary, p is the radius of the chosen far-field boundary, and if>
is any component of E;, H; and H;. After the time derivative is discretized
by finite differences, this absorbing boundary condition can be easily enforced

on the far-field boundary by adding the corresponding squared terms into the
variational functional.
In electromagnetic scattering problems normally only the solution at the
near-field is of interest. Indeed radar cross section (RCS) calculations require
only the field intensities on the surface of the scatterer. Because the absorbing
boundary condition (14.76) is only an approximation of the true absorbing
boundary condition, the computational domain needs to be larger than those
using higher-order absorbing conditions. However, at the far-field it is only
required that the waves propagate out and do not reflect back to contaminate
the near field solutions, the accuracy of the solution there is not of interest.
For this reason it is most efficient to refine the mesh locally near the surface
of the scatterer and use a coarse mesh in the far-field. The use of such non-
uniform grids is easily accommodated in the LSFEM, since the calculation
is carried out on totally unstructured meshes. Due to the use of non-uniform
grid and large elements near the far-field boundary, the elements placed in
the part of the computational domain far away from the scatterer surface
contributes only to a small proportion of the total element number. Thus
the present approach still provides a very good approximation of the field
variables while maintaining the efficiency. We remark that this refinement
strategy is not new. Ambrosiano et al. (1994) and Vinh et al. (1992) had
used grids with large size variation and got satisfactory RCS. We also want
to emphasis that this concept of local refinement differs from that based on
uniform distribution of error, which is widely used in solid mechanics and
other fields.
Similarly, the two-dimensional transient transverse electric (TE) waves
should satisfy the Maxwell equations:
ay + ~",aE
_ aHz
atx = 0
in il, (14.77a)
(14.77b)
(14.77c)
(14.77d)
and the boundary conditions:

(14.78a)
(14.78b)
14.6.2 Time-Discretization
Equations (14.73) or (14.77) are first discretized in time by using the in

Crank-Nicolson scheme which provides second-order accuracy in time. Al-
though this scheme is unconditionally stable and thus poses no limitation on
the time-step, the error becomes large if a very large time-step is used. Thus
care should be taken when choosing the size of the time-step. To maintain
the accuracy in the time-domain, we typically use a time-step corresponding
to a CFL number between 1 and 2 for the smallest element.
After applying the time discretization to (14.73) and (14.77), we have,
respectively,
1 aE,;+1 1 aE'; H:;+1 - H;
28Y + 2 ay + J.t Llt = 0, (14.79a)
____
1 aEn+l
z _____
z
1 aEn +J.t Hn+1
Y
- HnY =0, (14.79b)
2 ax 2 ax Llt
1 ( aH n+1
2 Y + aHn+l)
x + 1 (aHnY + aHn)
x +c En+l
Z
- EnZ 0
ax ay 2" - ax 8y Llt =,
(14.79c)
(14.79d)
and
aHzn+l _ _
1 _::"-_ 1 aHn
__z + IE: En+1
x
- Enx = 0, (14.80a)
2 ay 2 ay Llt
(14.80b)
~(aE;+1 _ aE;+l) + ~(aE; _ aE;) + H';+1- H; I/. = 0,

2 ax ay 2 ax ay r- Llt (14.80c)
aEn+1 aEn+l
tf;-+-jy=0, (14.80d)
where the superscript n denotes the nth time-step. Equations (14.79) and
(14.80) can be rewritten in a compact matrix form as:
au au
A1ax + A2 ay + Aou = j, (14.81)
where for TM waves:

370
U=
14. Electromagnetics
(E~f'
Hx
Hy
, /=
( _l~+~&
2
1 (8H y
2 8x
8y
1!t§... + J.l&
2 8x
_ 8H" )
8y
L\t
L\t
+ e!b..
L\t
r '
0
A2~ U
1
(~~ ~t)
0 0
~).
0 0
A1 =
e,
1
0 "2
1 0
1
Ao~ ~l}
J.l L\t
0
o '
r
e L\t 0
0 0 0
and for TE waves:
l~+e~
(H'f' ( 2 ay L\t
+ S
_l.aH.
2 ax
e
L\t
U= Ex , /=
Ey
_12 (~
ax
- ~
ay
) + J.l&
L\t
'
0
n ~). (T D'
1
0 0
A1 = 0
0 A2~ 0
1
-"2
1 a
1
Ao~ ( ~,
e L\t
J.l L\t
0
0
el,o ) .
. 0 0 0
At this stage it becomes clear that once one has a general purpose L8-
FEM code based on the standard first-order system (14.81), the only required
programming work is to write a subroutine to supply the matrices A, Ai and
/, and the boundary conditions.
We use a Jacobi-preconditioned conjugate gradient method to solve the
resulting algebraic equation system. By using this method, the iterations can
be conducted in such a manner that there is no need to form the element
matrices and to assemble the global matrix K. This greatly reduces the re-
quirement for computer memory. We have found that five conjugate gradient
iterations are enough to guarantee the accuracy of the solution in our calcu-
lations. The use of such a small number of iterations can be attributed to the
fact that when the time-step is small, the solution in the previous time-step
serves as a very good initial guess for the next step, thus the conjugate gra-
dient method needs fewer iterations than the case when a larger time-step is
14,6 Transient Scattering Waves 371
used. Therefore, although the method is implicit, its computational speed is

competitive with an explicit method.
14.6.3 Numerical Examples
In the following we present several test cases of scattering of plane incident

wave by perfect conducting bodies. The incident sinusoidal wave is given by:
Ez,i = Eo sin k(x cos a + y sin a - ct),
, Ez,i cos a
Hy"=-----
J.LC
for the TM case; and
Hz,i = Ho sin k(x cos a + y sina - ct),
, Hz,i sina
EX,t = - - - - - ,
€C
, Hz,icos a
EY"= - - - -
€c
for the TE case, where c is the wave velocity, k is the wave number, a is the
angle of incidence.
Numerical results are presented in terms of the surface current (for TM
case) and the radar cross section (RCS). The calculation ofthese requires the
field variables in the frequency-domain, thus the Fourier transform is per-
formed to transfer the field variables from the time-domain to the frequency-
domain.
The surface current J 8 for the TM case is defined as
InxHtl
J =
8 IHil '
where Hi and Ht are the incident and total magnetic fields in the frequency-
domain, respectively.
The RCS for the TM wave, STM' is defined as:
· 27rp 1E:(p,
STM (0) = 11m E'
0) 12 ,
p--+oo ~
where E: and E! are the scattered and incident electric fields, respectively,
in the frequency-domain, p is the distance from the center of the scattering
object, and 0 is the angle of observation. Note that the calculation of STM
from the above expression requires the knowledge of E:
at an infinite distance
from the scatterer. This is not available, since the Maxwell equations are
solved in a finite domain. However, the far-field solution can be obtained

from the distribution on a near-field surface (the most convenient one being
the surface of the scatterer) by a transformation using Green's function, as
described by Shankar et al. (1989). This transformation is adopted to obtain
the ReS.
For TE wave, the ReS STE is defined as:
· 2 1H;(p, 0) 12
STE (0) = 11m
p-+oo
trp H'~
The calculation of STE follows the same procedure as in the TM case.

Circular Cylinder. The first example deals with a scattering field due to
a perfect conducting circular cylinder. Both TM and TE cases at various
wavelength are considered. The definition of the problem is given in Fig.
14.9. This problem allows an analytical solution in a series form, see, e.g.,
Umashankar and Taflove (1993). Due to the symmetry of this problem, only
half of the domain is analyzed. The computational mesh shown in Fig. 14.10
consists of 2435 bilinear elements and 2538 nodes, and 142 divisions on the
cylinder surface. Figures 14.11 and 14.12 illustrate the calculated Res. The
agreement between the LSFEM and the analytic solutions on ReS is obvious.
The distributions of the scattered field variables are shown in Fig. 14.13.
Fig. 14.9. Scattering by a circular cylinder: problem definition (from Wu and Jiang
1996)
Fig. 14.10. Scattering by a circular cylinder: finite element mesh (from Wu and
Jiang 1996)
ka= 1, TM case
10' , - - - - - - - - - - - - - - - - ,
~ 10'
a:
10'
0 30 60 90 120 150 180
angle
ka=5, TM case
10'
\
1-- anat(b~
- LSFEM
\
(j)
() 10°
a:
\;~.-
10·'
0 30 60 90 120 150 180
angle
ka=10, TM case
10'
1- analytical \
~
- LSFEM
(j)
() 10°
a:
".
1\;......--~
• ••M
~
10·'
0 30 60 90 120 150 180
angle
Fig. 14.11. ReS for the circular cylinder (TM mode) (from Wu and Jiang 1996)
ka=l, TE case
10'
'" ~ ...
(f)
()
a:
10°
"-.. _
...../
I-analyticall
- LSFEM
10"
0 30 60 90 120 150 180
angle
ka=5, TE case
10'
10°
(f)
() 10"
a:
10.2
1- analytical 1
- LSFEM
10"
0 30 60 90 120 150 180
angle
ka=10, TE case
10'
\ ~--"-
100
vrv~
(f)
() 10"
a:
10.2
•
I=~:I
10.3
0 30 60 90 120 150 180
angle
Fig. 14.12. ReS for the circular cylinder (TE mode) (from Wu and Jiang 1996)
Fig. 14.13. Scattered fields for the circular cylinder (Ez, Hz, Hy contours and H
vectors), TM mode, ka = 5 (from Wu and Jiang 1996)
Square Cylinder. The second example concerns scattering by a square

cylinder defined in Fig. 14.14. The TM case with ka = 1 is considered.
The computational domain is divided into 2749 bilinear quadrilateral ele-
ments with 2874 nodes (Fig. 14.15) . Figure 14.16 shows the computed sur-
face current distribution. Comparison is made with the results by Shankar
et al. (1989) and that obtained by Umashankar and Taflove (1993) using the
method of moments (MOM). The instantaneous Ez contours are shown in
Fig. 14.17.
y
e
"'----L--I-_ _ _...:x
EZ.i~
I" 2a ~I
Fig. 14.14. Scattering by a square cylinder: problem definition (from Wu and Jiang
1996)
Fig. 14.15. Scattering by a square cylinder: finite element mesh (from Wu and
Jiang 1996)
5~---------------,
.. LSFEM
-MOM
• Shankar
o~----~------~------~----~
o 45 90 135 180
angle (degree)
Fig. 14.16. Normalized surface current for the square cylinder (from Wu and Jiang
1996)
Fig. 14.17. Scattered Ez contours for the square cylinder (from Wu and Jiang
1996)
2a
Fig. 14.18. Scattering by a NACA0012 airfoil: problem definition (from Wu and

Jiang 1996)
NACA0012 Airfoil. The LSFEM is also tested for two cases of scattering
TM wave by a NACA0012 airfoil defined in Fig. 14.18. The angles of incidence
are 0 and 90 degrees; and the values of ka are ka = 10 and ka = 1011",
respectively. Figure 14.19 shows the computational mesh which consists of
1782 bilinear elements and 1912 nodes. There are 156 divisions on the surface
of the airfoil. Figures 14.20 and 14.21 show the computed RCS. The result
in the case of 90 degree incidence is compared with those by Shankar et al.
(1989) and Vinh et al. (1992). Generally, fair agreement is observed. Note
that we have used a very coarse mesh and a very small domain. Finally Fig.
14.22 shows the contours of Ez for the 0 degree incidence case.
Fig. 14.19. Scattering by a NACA0012 airfoil: finite element mesh (from Wu and
Jiang 1996)
NACA0012, 0 degree incidence
(f)
()
a:
o 30 60 90 120
angle
Fig. 14.20. RCS for the NACA0012 airfoil (0 degree incidence, ka = 10) (from Wu
and Jiang 1996)
105
- - - LSFEM
104 --.
--
Vinh (lax-Wendrotf)
Vinh (Crank-Nicolson)
.c .--_ .. _.- Shankar
0,
c:
Q) 103
(j)
>
ctl
102
~
(J)
0
a: 10'
10°
10-'
0 90 180 270 360
angle
Fig. 14.21. RCS for the NACA0012 airfoil (90 degree incidence, ka = 1071") (from
Wu and Jiang 1996)
Fig. 14.22. Scattered Ez contours for the NACA0012 airfoil (0 degree incidence,
ka = 10) (from Wu and Jiang 1996)
14.6.4 Influence of Divergence Equations
To illustrate the influence of the inclusion of divergence equation, we present

here a comparison of two groups of numerical solutions, both obtained by us-
ing LSFEM: the first group is obtained by solving the full Maxwell equations,
while the second group is obtained by solving the sole two curl equations. The
case of TM waves scattered by a circular cylinder is considered. The values
of ka used are ka = 1 and ka = 10. Figure 14.23 shows a comparison of the
contours of the instantaneous field variables for ka = 10 between the group
1 and the group 2_ It is clearly revealed that without enforcing divergence
Fig. 14.23. Comparison of the solutions of. the full Maxwell equations (left) and
the two curl equations (right), TM case, ka=lO, E z , Hx, Hy respectively (top to
bottom) (From Wu and Jiang 1996)
conditions significant spurious patterns exist for Hx and Hy near the surface.
These spurious patterns are similar to those in Figs. 2-b and 2-c of Vinh
et al. (1992) . Further calculation shows that the group 2 solutions possess
very large divergence of H in the vicinity of the scatterer surface. For the
case ka = 1 the absolute value of V' . H reaches its maximum of 21.28 in
an element adjacent to the surface. On the other hand, the maximum value
of V' . H for the group 1 is 0.054, which occurs near the outer boundary.
Since the divergence-free condition for E is automatically satisfied, almost
identical Ez distributions are obtained with the two formulations.
We should remark here that though group 1 and group 2 solutions differ
significantly, very little difference was observed in the ReS calculated based
on the two solutions. This is due to the fact that the erroneous part of the
solution is static, and the static field does not radiate. However, the erro-
neous solutions of the field intensities caused by neglecting the divergence
conditions cannot be accepted, for example, in plasma computations and in
the computation of impedance in digital circuits and electronic packaging.
14.7 Conclusion Remarks 381
14.7 Conclusion Remarks

In this chapter we have shown that:
(1) The system of the first-order full Maxwell equations seems "overspecified",
because it has more equations than unknowns. By taking into account its div-
curl structure and introducing the dummy variables, it proves to be properly
determined and elliptic in the space domain. The information provided by
the divergence equations is not completely contained in the curl equations.
Therefore, the divergence equations must be explicitly included in the first-
order system to assure the uniqueness of the solution in steady-state cases,
to exclude the infinitely degenerate eigenvalue in time-harmonic cases, and
to guarantee the accuracy of the numerical solution for time-varying cases.
(2) The least-squares method and the div-curl method are mathematically
rigorous tools for derivation of correct second-order Maxwell equations and
their boundary conditions. The curl-curl equations cannot stand alone, they
must be supplemented by divergence equations and additional natural bound-
ary conditions to eliminate spurious solutions.
(3) When the field intensities are smooth enough, the Helmholtz-type equa-
tions with appropriate natural boundary conditions, derived by the div-curl
method or the least-squares method, can guarantee implicit satisfaction of
divergence equations. For the solution of the Helmholtz-type equations di-
vergence conditions of the electric field and the magnetic field need to be
enforced only on the electric wall and the magnetic symmetry wall, respec-
tively.
(4) The variational formulation corresponding to the Helmholtz-type equa-
tions can be derived by using the least-squares look-alike method. This
formulation theoretically demonstrates that the penalty parameter in the
Galerkinjpenalty method should be chosen such that the Euler-Lagrange
equation is the Helmholtz-type equation in homogeneous regions. The ad-
vantage of this formulation is that the trial and test functions from standard
node-based finite element spaces need to satisfy only the essential boundary
conditions.
(5) The node-based least-squares finite element method (LSFEM) can be
used to solve both static and time-varying first-order Maxwell equations di-
rectly and efficiently with divergence equations satisfied easily. Introduction
of vector potentials and the gauge condition (except for multi-layer mate-
rials), edge elements (except at interfaces), staggered grid, upwinding and
non-equal-order elements, etc. are unnecessary.
The ideas presented in this chapter first appeared in Jiang et al. (1996),
Wu and Jiang (1996) and Jiang (1997). Many LSFEM numerical results for
scattering problems have been reported by Wu et al. (1994) and Wu and
Jiang (1995a). Hillion (1997) gave a simple example to show that one has to
work with divergence equations.
The application of LSFEM to three-dimensional stationary and static
magnetic fields can be found in Lager and Mur (1996) and Lager (1996). In
their approach, edge elements are placed at interfaces to ensure that all local
continuity conditions can be met, and nodal elements are used elsewhere.
In the past, Assous et al. (1993) realized the importance of divergence
equations in the time-domain Maxwell equations and correctly worked with
second-order wave equations. Paulsen and Lynch (1991) and Boyse et al.
(1992) first gave a correct variational formulation corresponding to the
Helmholz-type operator in homogeneous regions.
Part V
Solution of Discrete Equations

15. The Element-by-Element Conjugate
Gradient Method
Application of the finite element method to a continuum problem results in

a linear system of algebraic equations. The system can be solved by using
either direct elimination methods or iterative methods.
Direct elimination methods are most extensively used in finite element
calculations, and have been highly refined (Carey and Oden 1983b). They
provide the solution after a fixed number of steps and are less sensitive to the
conditioning of the matrix. Nevertheless, these methods are less appealing
for large problems as they require the global matrix to be assembled and
factored, and thus demand prohibitively large amounts of computing time
and storage.
Iterative methods have been receiving increased attention for very large
systems and for use on parallel computers. In this chapter we study a well-
known iterative method - the conjugate gradient (CG) method suitable for
symmetric positive definite systems of linear equations arising from LSFEM.
Since many excellent books about the CG method are available (see, e.g.,
Hageman and Young 1981, Axelsson and Barker 1984, Johnson 1987, Golub
and Loan 1989 and Axelsson 1994), our attention is focused on basic concepts
and matrix-free element-by-element implementation of the CG method.
15.1 Element-by-Element Technique
The main computations in a traditional finite element analysis involve cal-

culating element contributions, assembling the global system from these con-
tributions, and solving the resulting system. The element matrices are small
and dense, and the resulting global matrix is large and sparse due to the
local nature of the finite element basis. Several sparse elimination techniques
have been developed for solving the linear system efficiently, but cost and
hardware limitations still restrict the size of the problem.
The element-by-element sequence of calculations in a finite element pro-
gram and the dense structure of the element matrices suggest that techniques
which utilize these features might be advantageous. The phrase element-by-
element refers to a particular data structure wherein information is stored
and maintained at the element level than assembled into a global data struc-
386 15. The Element-by-Element Conjugate Gradient Method
ture. In this approach matrix-vector multiplications are carried out at the

element level and assemblage is performed on the resulting vector.
To introduce the essential idea of the element-by-element approach, let
us consider a symmetric positive definite system of the form:
KU=F. (15.1)
Most iterative methods for the solution of (15.1) can be described by the
general formula:
Un+! = Un - Q-l(KU n - F), (15.2)
where Q is a non-singular preconditioning matrix, designed to accelerate
convergence of the iteration. For example, if the main diagonal of K is used
to construct a diagonal matrix Q, we have the well-known Jacobi iteration.
In a typical finite element analysis, the matrix K is sparse and may be
assembled from element contributions as
Nelem
K= L Ke , (15.3)
e=l
in which Ke is an N x N matrix (where N is the total number of degrees-

of-freedom of the problem) and consists of the element matrix K e expanded
to the full global system size, and Nelem is the number of elements. Note
that the non-zero entries of Ke are in the appropriate rows and columns as
determined by the global node numbering, where K e is dense of size ne x ne
for an element with ne local degrees-of-freedom. In practice, only the band
or envelope of K might be stored, but this would still contain many zeros.
Next, we note that in the main calculation of the basic iterative method
the residual
Rn=KUn-F
in (15.2) requires computation of the matrix-vector multiplication KU n .
From (15.3) we can write
(15.4)
An
where U e is an 'expanded' vector with non-zero values only in those com-
ponents corresponding to nodes of element e. Only non-zero entries of each
element matrix and element vector enter in the sum in (15.4). Hence the
individual matrix products V; for the sum in (15.4) can be computed as
dense element matrix-vector products at the element level rather than in the
expanded form shown. That is, we may calculate
(15.5)
independently and concurrently, and accumulate the vectors Y e into appro-
priate positions of the global vector yn for (15.4).
15.2 Matrix-Free Algorithm 387
We note that the associated vectors in the operation of matrix-vector

multiplication are stored globally, not element-wise.
15.2 Matrix-Free Algorithm
If several iterations are carried out, then the element matrices may be saved
in a compact form. In fact, it is not even imperative that we store the element
matrices in cases where storage is extremely limited, since we can perform
the matrix-vector multiplication without forming the element matrices.
To illustrate the idea of matrix-free algorithm, we consider the computa-
tion of (15.5), i.e., the product Ve of an element matrix Ke by an element
vector U e , where the element matrix is given by (4.59); that is, we wish to
evaluate the expression
(15.6)
When we perform numerical integration, we replace integrals by weighted

sums of the integrands evaluated at Gaussian points. We therefore need to
evaluate the following expression at Gaussian points
(A~l' A~2' ... ,A~Nnf(A~I' A~2' ... ,A~NJUe, (15.7)

where A~j is given by (4.61), and
U e = ((Ub U2, ... , umh, (Ub U2, ... , umh, ... , (UI, U2, ... , Um)Nn ) T, (15.8)
in which all notations have been defined in Sect. 4.8.
Now two algorithms can be chosen. Both of them avoid formation and
storage of the element matrices. In the first algorithm, one forms the matrix
A~j, and computes
Te = (A~l' A~2, ... , A~Nn)Ue, (15.9a)

and then
Ve = (A~b A~2' ... , A~NJT Te· (15.9b)
This approach benefits academic researchers for quick tests of new ideas,
since the operations in (15.9) can be programmed in a general setting without
knowledge of A. For a new system of partial differential equations, one needs
very little work - only to add a subroutine to provide the entries of the
matrices AI, A 2, A3 and Ao.
However, the matrices AI, A 2, A3 and Ao may contain many zero entries,
and zero-related operations are wasteful, thus the above approach may be
slow. Therefore, for commercial applications, we recommend the following
algorithm which needs more programming work initially but runs much faster.
388 15. The Element-by-Element Conjugate-Gradient Method
By using (4.57) we can verify that

AUh(el, Til, (I) = (A'l/ll, A1/J2, ... , A1/JN,JUe, (15.10)
in which the left-hand side term AUh is a vector with Neq components eval-
uated at the Gaussian point (ez, T/l, (I), where Neq is the number of equations
in the first-order system Au = /. Also by using formula (15.9b) we can write
an explicit expression for the vector components of Ve. Therefore, we do not
need to form A1/Jj, we can directly compute
re = AUh(el, T71, (I), (15.11)
and then the components of Ve. This approach is more efficient than the
first one, because the multiplication of a matrix and vector is avoided and all
zero-related operations are pre-eliminated.
The diagonal entries of the element stiffness matrix consist of the diagonal
entries of the matrix (A1/Jj)T (A1/Jj) Therefore, the diagonal preconditioner Q
can be calculated also in matrix-free manner in the same routine as the
formation of V.
In matrix-free algorithms one still needs to store the values of shape func-
tions and their derivatives at Gaussian points for each element. Of course,
even storing these values is not imperative at the expense of computer time.
15.3 The Conjugate Gradient Method

The matrix-free element-by-element notion can be exploited with any residual
based iterative method. These fundamental iterative methods may also be
accelerated by the conjugate gradient method which was first presented by
Hestenes and Stieffel (1952). The popularity of the CG method is due to
its attractive properties: (1) the method will give the exact solution after at
most N steps in the absence of roundoff errors; in practice, the convergence to
an acceptable accuracy can be achieved with far few steps than the number
N; (2) the rate of convergence can be significantly improved with various
preconditioning techniques; (3) the method is parameter-free, i.e., the user is
not required to empirically choose parameters.
15.3.1 The Steepest Descent Method
Since the CG method can be regarded as a modification of the steepest de-

scent method, we first consider the steepest descent method as applied to the
linear system (15.1). Let (U, V) be an inner product in lRN. The problem
of solving (15.1) is equivalent to the problem of finding the minimizer of the
quadratic form:
1
g(U) = 2(U, KU) - (F, U). (15.12)
15.3 The Conjugate Gradient Method 389
This is obvious, because we obtain (15.1) from minimizing a quadratic form

in the least-squares method, or we simply note that
~(KU - F)T K-1(KU - F) = ~(U, KU) - (F, U) + ~(F, K- 1F),

where the last term is constant. In fact, the steepest descent method can
be viewed as a least-squares method, and the CG method can be viewed as
a generalized least-squares method where the minimization takes place on a
particular vector space, i.e., the Krylov space which is spanned by the vectors
(Ro,KRO, ... ,KnRo), where
RO=KUo-F
is the residual for the initial vector UO (Axelsson 1994).
The gradient of g(U) is given by
\lg(U) = KU - F.
The direction represented by the vector \l g(U) is the direction for which
the form g(U) at the point U has the greatest instantaneous rate of change.
If un is some approximation to the exact solution 0, then an improved
approximation U n+1 can be obtained by moving in the direction of - \lg(U)
to a point where g(U n +1 ) is minimal, that is,
U n+1 = Un - Tn \lg(Un ),
in which Tn is chosen to minimize g{U n+1). Using (15.12), it is easy to see
that
(Rn,Rn )
Tn = (Rn,KRn ) ,
where
Rn = \lg(Un ) = KU n - F
denotes the nth residual. Hence the steepest descent method can be expressed
in the form:
Rn=Kun-F, (15.13a)
(Rn,Rn )
Tn = (Rn,KRn ) , (15.13b)
U n+1 = Un - TnR n , (15.13c)

where n = 0, 1, ... and UO is arbitrary.
It can be shown that the required number of iterations in the steepest
descent method to reduce the initial error IUO - 01 by a certain given factor
f ~ 0 is proportional to the condition number ~(K) and the number of
decimals in f:
1
n ~ ~{K)log-. (15.14)
f
In Sect. 2.10, we have shown that for LSFEM K,(K) = O(h- 2 ) and thus
here we would have n = O(h- 2 ), i.e., a very large number of iterations have
to be performed. However, by choosing the direction vectors differently, one
obtains a more efficient method - the CG method.
15.3.2 The Conjugate Gradient Method
Let successive approximations to the exact solution be given by

U n+1 = Un + TnD n , (15.15)
where D n is a direction vector. For the CG method, we let DO = -Ro and
D n+1 = _Rn+1 + (3n Dn for n ~ 0,
where (3n is chosen so that D n+1 is K -conjugate to D n , i.e., (Dn+ 1 , K Dn) =

O. Obviously,
(R n+1,KD n )
(3n = (Dn,KDn) .
As before, choosing Tn to minimize g(U n+1 ), we obtain

(Dn,R n )
Tn = - (Dn,KD n )"
It can be shown that the following orthogonality or conjugate orthogo-
nality properties hold:
(R n +1, Rj) =0 o~ j ~ n, (15.16a)
(Rn +1, Dj) =0 o~ j ~ n, (15.16b)
o ~j ~ n. (15.16c)
By using the K-orthogonality and the linear independence of the Dj vec-
tors, the Nth residual RN can be shown to be orthogonal to N linearly
independent vectors and hence is the null vector. Therefore, in the absence
of round-off errors the method produces the solution in no more than N
iterations.
From computational considerations, we can have better formulas for the
CG method. Using
D n = _Rn + (3n_l Dn -l,
KD n = ~(Rn+1 _
R n ),
Tn
and orthogonality properties (15.16), we have
_(Rn,Dn) = (Rn, R n ),
(R n+1,KDn ) = .2..(Rn+l,Rn+1_ Rn) = .2..(Rn+1,Rn+1),

Tn Tn
and
Tn(Dn,KD n ) = (Dn, R n+1 _ Rn) = _(Dn,Rn) = (Rn , Rn).
Therefore, Tn and f3n can be given equivalently by
(Rn,Rn )
Tn = (Dn,KD n ), (15.17)
(R n+1 , Rn+ 1)
f3n = (Rn, Rn) . (15.18)
Multiplying (15.15) by K and subtracting the vector F form both sides, we

obtain
R n+1 = R n + TnKDn.
Note that with the formulas (15.17) and (15.18), there is no need to com-
pute the inner product (R n , Dn) and (Rn+1, K Dn). Furthermore, the inner
product (Rn+1 , Rn+1) can be used to test when to stop the iterations. Then
the conjugate gradient method has the form:
(Rn,Rn )
Tn = (Dn,KDn)' (15.19a)
U n+1 = Un + TnD n , (15.19b)

R n+1 = R n + TnKD n , (15.19c)
(Rn+1, Rn+l)
f3n = (Rn,Rn) , (15.19d)
D n+1 = _Rn+l + f3n Dn (15.1ge)

for n = 0, 1, ... until (Rn+1 , Rn+1) ~ f. The computer implementation ofthis
algorithm can be described as follows:
U:=Uo; R:=F;
R:= KU - R; 80:= (R,R);
IF 80 ~ f THEN STOP;
D:=-R;
IT: B:=KD;
T := 80/(D, B);
U:=U+TD;
R=R+TB; 81:= (R,R);
IF 81 ~ f THEN STOP;
f3 := 81/80; 80 := 81;
D:= -R+f3D;
GOTO IT;
It can be shown that to reduce the error IU n - ill to less than f times
the initial error IUO - ill, the required number of iteration necessary in the
CG method is roughly given by
1 1
n ~ 2v'K(K)log~, (15.20)
which should be compared with K(K) in the case of the steepest descent
method. Thus, for large K(K), the conjugate gradient method is much more
efficient than the steepest descent method. For a typical application of LS-
FEM, the required number of iterations is proportional to order h- 1 which
is greatly superior to h- 2 for the steepest descent method.
15.3.3 The Preconditioned Conjugate Gradient Method

To construct the preconditioned version of the CG method, we multiply both
side of (15.1) by a matrix Q-l to obtain
Q-l KU = Q-l F, (15.21)
where Q is symmetric positive definite and is an approximation to K. There
exists a nonsingular matrix W such that Q = WTW. That is, W is the
Cholesky factorization of Q. To use the above CG method it is necessary
to make (15.21) symmetric. This can be done by multiplying both sides of
(15.21) by W. Consequently, (15.21) is replaced by
ku = P, (15.22)
where
k = WQ-l KW- 1 , u = WU and P = WQ-1F.
System (15.22) is called a preconditioned system. If K(W- T KW- 1) < <
K(K), then the CG method based on (15.22) will converge much faster than
the same method applied to (15.1). If we apply the CG method to the pre-
conditioned system (15.22), we obtain the scheme:
(Bn,QRn )
Tn = (Dn, KDn)' (15.23a)
U n+1 = Un + TnD n , (15.23b)

B n+1 = Bn+TnQ-1KDn , (15.23c)
(B n+1, QBn+1)
f3n = (Bn, QBn) , (15.23d)
D n+1 = _Rn+1 + f3nDn. (15.23e)

The corresponding algorithm takes the form:

U:= UO; R= KU -P;
B:= Q-1R;
D:= -B; 80:= (R,B);
IF 80 ~ f. THEN STOP;
IT: B:=KD;
T := 80/(D, B);
U:= U +TD;
R=R+TB;
B:= Q-1R; 81 := (R,B);
IF 81 ~ f. THEN STOP;
f3 := 81/80; 80:= 81
D:= -B+f3D;
GOTO IT;
The statement B := Q-l R should be interpreted as solving the system
Q B = R. If the main diagonal of K is chosen to construct a diagonal matrix
Q, we have the well-known Jacobi preconditioned CG method (JCG). The
best choice would be Q = K = WTW with WTW the Cholesky factor-
ization of K, in which case ~(W-T KW- 1) = 1. However, this results in
a method which is not different from a direct solver. Since K is a sparse
matrix, we may require W to have the same sparsity as that of K. This
leads to an approximate Cholesky factorization of K. For example, we may
allow the entry Wij of W to be non-zero only if the corresponding entry k ij
of K is non-zero. This is a common variant of the so-called incomplete fac-
torization which takes only O(N) operations with considerable reduction of
the condition number, that is, ~(W-TKW-l) = O(h- 1 ) (Axelsson 1994).
We should mention that, although various incomplete factorization pre-
conditioning techniques can significantly reduce the number of iterations,
their overall performance should be evaluated by considering the cost of ad-
ditional memory requirement and total computer time.
Most LSFEM results presented in this book are obtained by using the
JCG method, since the diagonal pre conditioner is the simplest. Only five
N-dimensional arrays are needed for B, U, R, D and Q in the JCG method.
15.3.4 Numerical Results and Comparisons
The experiments conducted by Jiang (1986) and Carey and Jiang (1986) show
that, even for small-scale (several hundred unknowns) LSFEM computations,
the element-by-element JCG method performs better than the sparse direct
solvers in storage requirement and computer time, particularly for non-linear
problems.
To show that the matrix-free LSFEM-JCG is an efficient method, Tang

and Tsang (1995) compared its performance with the LSFEM-LINPACK
(DPBFA with BLAS level 1 using Cholesky decomposition) and the Galerkin
FEM-NAG (FOILBF, F04LDF using LU decomposition) for four types
of two-dimensional flows: lid-driven cavity flow (LDCF, see Sect. 8.3.1),
thermally-driven cavity flow (TDCF, see Sect. 8.7.1), Rayleigh-Benard con-
vection (RBC, see Sect. 8.7.2) and doubly-diffusive flow (DDF, see Sect.
8.7.4). For the LSFEM computations, a mesh with 50 x 50 non-uniform
bilinear elements was used for LDCF, TDCF and DDF, and a mesh with
50 x 25 non-uniform bilinear elements for RBC. For the mixed Galerkin FEM
(GFEM) computations, linear velocity and constant pressure elements were
used. In these tests the Crank-Nicolson time marching scheme with Llt = 0.5
and Newton linearization were used. The tolerance for the steady state solu-
tion was set as
max IU~-l - U~I
l~i~N t t
< 10- 5 ,
where Ui is the ith component of U. The stopping criterion for JCG was
error < 10- 6 for LDCF and RBC, and error < 10- 7 for TDCF and DDF.
The error is defined as the marching distance of the CG method divided by the
absolute value of the global unknown vector. The flows were all impulsively
started. Table 15.1 shows that LSFEM-JCG is fast and requires much less
storage than both LSFEM-LINPACK and GFEM-NAG.
Table 15.1. Comparison of total CPU time and computer storage of LSFEM and
GFEM (from Tang and Tsang 1995)
Flow Method Solver Degree of Total CPU Stopping Memmory
Freedom Time(sec) Time (Mb)
LSFEM JCG 10404 1795 80 1.07
LDCF LINPACK 10404 11426 80 18.42
GFEM NAG 7702 5111 80 30.39
LSFEM JCG 18207 16404 130 1.57
TDCF LINPACK 18207 64982 130 55.02
GFEM NAG 10303 18022 130 53.31
LSFEM JCG 9282 1336 75 0.80
RBC LINPACK 9282 8756 100 15.06
GFEM NAG 5228 1791 100 14.50
LSFEM JCG 26010 14510 180 2.07
DDF LINPACK 26010 98397 179 111.52
GFEM NAG 12904 49574 180 82.86
They also compared the matrix-free LSFEM-JCG with FIDAP's mixed

formulation of the GFEM for a lid-driven cavity flow with Re = 5000. A non-
uniform mesh system with 30 x 30 biquadratic elements were used. The time
step was 0.5 for LSFEM, and 0.25 for the GFEM, respectively (the Newton's
method in the GFEM does not converge for Llt = 0.5). The LSFEM-JCG
required 1.3 Mb memory, whereas the GFEM in FIDAP required about 11
Mb. The CPU time on a HP-720 workstation were 8756 seconds and 39257
seconds for LSFEM and GFEM, respectively.
The matrix-free LSFEM-JCG has been successfully implemented on the
parallel computer CRAY-T3D by J. Wu (1994). Table 15.2 shows the speedup
for a typical computation of two-dimensional incompressible viscous flow.
Table 15.2. Speedup on CRAY-T3D

No. Processors 1 4 8
Time (sec) 510 154 80
Speedup 1 3.31 6.38
The LSFEM gives rise to symmetric, positive definite systems of linear al-
gebraic equations. This system of equations can be efficiently solved by the
matrix-free element-by-element preconditioned conjugate gradient method.
The matrix-free element-by-element CG method proves to be very attrac-
tive when solving large problems, because
(1) The need for assemblage, storage and factorization of the global matrix
is circumvented, and thus the total storage and computational costs are low;
(2) For direct methods, it is advisable that the elements and nodes be num-
bered judiciously to reduce the bandwidth for both storage and efficiency. In
some cases, this is difficult to accomplish and one must rely on a sophisti-
cated preprocessor. Moreover, once the mesh in a local area is changed or
modified, as in adaptive refinement procedures, the elements and nodes must
be renumbered if a good band structure is to be preserved. However, for the
element-by-element CG method, the mesh structure and the numbering of
nodes can be arbitrary, the amount of storage is independent of meshing and
node numbering, and depends only on the number and the type of elements
in the mesh;
(3) Since element contributions are computed independently, the element-by-
element CG method can be easily implemented in parallel on multi-processors
without any special partitioning of the domain, topology of the mesh, or node
numbering;
(4) An interpolation of the coarse-mesh solution can serve as a very good
initial guess for the fine-mesh solution.
396 15. The Element-by-Element Conjugate Gradient Method
(5) The CG method is efficient for non-linear applications, such as incom-

pressible Navier-Stokes equations, where a sequence of linear problems is to
be solved, the method offers the possibility of adapting the iteration sequence
to improve overall efficiency in the coupled iteration of linear subproblems
within the main nonlinear iteration sequence. That is, the solution of the pre-
vious nonlinear iteration step can be taken as an initial guess for the solution
of the next step to reduce the computing time. The same reasoning applies
to implicit time marching procedures for transient problems; the solution for
the previous time step can serve as an good initial guess for the next time
step, hence an implicit time marching computation with very small time step,
which is preferable due to its accuracy, becomes inexpensive.
The idea of using element-by-element data structures was first proposed
by Fox and Stanton (1968) and Fried (1969a,b, 1970) stemming from the
additive property of the finite element functionals.
Various applications of the element-by-element technique can be found in
the works by Hughes et al. (1983a,b and 1987), Ortiz et al. (1983), Jiang and
Carey (1984), Hayes and Devloo (1985, 1986), Winget and Hughes (1985),
Jiang (1986), Carey and Jiang (1986) Hayes (1989), Wathen (1989), Shakib et
al. (1889), Tezduyar and Liou (1989), Reddyet al. (1992) and among others.
Parallel implementation of the element-by-element scheme can be found in
Carey (1986), Carey et al. (1988), Barragy and Carey (1988), and Foresti et
al. (1990). The rapid operation of the matrix-vector product based on the
matrix-free element by element notion and p-version tensor-product shape
functions is described in Sonnad et al. (1990) and Jiang and Sonnad (1994).
Appendices
A. Operations on Vectors
\7 . (qv) = q\7 . v + \7q. v, (A.24)
\7 x (qv) = q\7 x v + \7q x v, (A.25)
\7 . (u x v) = (\7 x u) . v - u· (\7 x v), (A.26)
\7 x \7 x v = \7(\7 . v) - Llv, (A.27)
1
v x (\7 x v) = 2\7(v 2 ) - (v· \7)v, (A.28)
\7 x (u x v) = (v· \7)u - v(\7 . u) - (u· \7)v + u(\7 . v). (A.29)
B. Green's Formula
Assume that u, v and q are smooth enough. Integrating (A.I) and using the
Gauss divergence theorem lead to
(\7. v, q) + (v, \7q) = (n· v, q). (B.I)
Substituting v = Vp into (B.I) yields
(Llp, q) + (Vp, Vq) = (n· Vp, q). (B.2)
Substituting q = V . u into (B.I) yields
(V·v, V·u)+(v, V(V·u)) =(n·v, V·u). (B.3)
Replacing v by V x v in (B.I) leads to
(V x v, Vq) = (n· (V x v), q). (B.4)
Integrating (A.3) and using the Gauss divergence theorem lead to
(\7 x u, v) - (u, V x v) = (n x u, v). (B.5)
Substituting u = \7 q into (B.5) yields
(\7 x v, \7q) = -(n x \7q, v) = (\7q, n x v). (B.6)
Replacing v by \7 x v in (B.5) yields
(V x u, \7 x v) - (u, V x V x v) = (n x u, \7 x v). (B.7)
398 Appendices
C. Poincare Inequality
Let {1 be a bounded domain with a piecewise C1 boundary r, then
Ilplll " c {IIVpll~ + (In pdx) '} Vp E H'(Il), (C.1)
IIplll " c {IIVpll~ + (l pdx) '} Vp E H'(Il). (C.2)
D. Lax-Milgram Theorem
Let V be a Hilbert space with corresponding norm 11·llv, let a(.,.) :

V x V -+ 1R be a bilinear form, and let l : V -+ 1R be a linear form such that
(1) a(·,·) is symmetric,
(2) a(·, .) is continuous, i.e., there exists a constant M > 0 such that
la(u,v)1 ~ Mllullvllvllv Vu,v E V,
(3) a(·,·) is V-elliptic, i.e., there exists a constant a > 0 such that
a(v,v) ~ allvll~ Vv E V,
(4) l is continuous, i.e., there exists a constant M > 0 such that
Il(v)1 ~ Allvllv VVEV.
Then the abstract variational problem: find an element u such that
UEV,
a(u,v) = l(v) VvE V,

has one and only one solution.
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dure for practical engineering analysis. Int. J. Num. Meth. Engrg. 24, 337-357
Zienkiewicz, D.C., Taylor, RL. (1988): The Finite Element Method, 4th ed., Vol. 1
(McGraw-Hill, London)
Zienkiewicz, D.C., Taylor, RL. (1991): The Finite Element Method, 4th ed., Vol. 2
(McGraw-Hill, London)
Zienkiewicz, D.C., Zhu, J.Z. (1992): The superconvergent patch recovery and a
posteriori error estimates. Part 1: the recovery technique. Int. J. Num. Meth.
Engrg. 33, 1331-1364
Index
H- 1 method 53 - mixed 108

L1 finite element method 213 - natural 25,69,93,343
L1 fitting 209 - Neumann 89,90,94,343,350,352
L1 method 53, 209, 210, 222 - non-reflecting 251
L1 minimizer 210,212,225 - outflow 141,172,251,254
L1 norm 209 - perfect magnetic 334, 355
inf 49 - perfectly conducting 334,355,357,
1R 17 359,367
sup 49 - permissibility 137
- permissible 267,278
adaptive mesh refinement 327 - symmetric plane 138
- error indicator 315,327 - wall 142
adaptive remeshing 315 boundary-value problem
airfoil 117 - second-order elliptic 97
amplification 231 bounded inverse theorem 51,69,71,
angular frequency 359 79,137
area averaging 146,354 Boussinesq approximation 175, 189,
Aubin-Nitsche trick 27,72,110 275
buoyancy 175,176,183
basic iterative method 386 buoyancy ratio 190
- preconditioning matrix 386 Burger equation 305,307,310
- - Jacobi 386
bilinear concomitant 69 capillary number 184
bilinear form 38,91,360 Cauchy sequence 47
- coerciveness 39,71,109,139,142, CFL (Courant-Friedrichs-Lewy)
348 number 171,227,231,232,248,249,
- symmetric 38, 68 291,305,310,324,369
- symmetry 41 characteristic
Biot number 186 - direction 66
boundary compatibility condition - equation 66, 202
102,361 - surface 66
boundary condition 137 characteristic LSFEM 240
- absorbing 367 characteristics 202,208
- Dirichlet 350,352 Cholesky factorization 392, 393
- essential 25,69,93,343,346,381 color function 285-287,289
- far-field 367 compatibility equation 102
- inclined solid surface 123 concentration 189
- inflow 140,225,254 conductivity 333
- interface 333,355,357 conjugate gradient (CG) method 28,
- magnetic symmetry 357,359 172,177,181,188,305,324,364,388,
- Marangoni 184, 185 390-392
414 Index
- element-by-element 110,385,388, domain

393,395,396 - convex 82,83
- matrix-free 151, 156,291 - multiply connected 95
- preconditioned 392 - simply connected 82
- - incomplete factorization 393 dummy variable 86,90,95, 103, 105,
- - Jacobi 151,270,279,317,370,393 108,133,267,335,361,381
- preconditioner 388
conservative edge element 338,381
- flux 308 eigenvalue problem 344
- form 308 - generalized 344
- variable 308 electric
constitutive relation 333 - charge density 333
continuum surface force (CSF) 286, - current density 333,359
287 - field intensity 333,350,359
convection - flux density 333
- double-diffusive 188 - potential 350
- Marangoni-Benard 185 electro magnetics
- natural 176 - Ampere's law 333
- onset 179, 188 - bus-bar 357
- Rayleigh-Benard 178 - Faraday's law 333, 337
- - pattern selection 179 - Gauss's law - electric 333
- rotating cone 232 - Gauss's law - magnetic 333,337
- rotating puff 234 - incident field 367
- steady-state 202 - microstrip transmission line 353
- surface-tension-driven 183 - radar cross section (RCS) 368,371,
- transient 225 378
- water-oil displacement 238 - scattered field 367
convective equation 285 - scattered wave 364
convergence 207 - scatterer 368
- optimal 91,93,140, 143,351,353 - scattering
- suboptimal 143 -- circular cylinder 372
curvature 287 -- NACA0012 airfoil 378
- Gaussian 287 - - square cylinder 376
- mean 83 - sharp corner 353
- principal radii 82, 287 - surface current 371
- time-harmonic 358
dilatation 262,265,275-277 - - TE wave 360
direct solver 363 - transient
discontinuity 306 -- TE wave 368,370,371
- contact 208 -- TM wave 367,369,371
- jump 214 electrostatic field 349
dissipation 251 electrostatics 97
- artificial 307 element matrix 68, 72
- numerical 22,305,315 energy conservation 246
div-curl method 88, 104, 105,339, equal-order finite elements 36, 42, 68,
343,359,381 99,102,110,112,131,140
div-curl structure 381 error estimate 26,42,71,91,99,109,
div-curl theorem 195,243,334,335, 204-206,229
340 - in L2 norm 27
divergence equation 89-92,336,337, - pointwise 27
340-343,345,346,356,379,381 Euler equations
divergence-free condition 194,332, - compressible 311,314
336,337,345,361,364,367,380 - incompressible 245, 246
Index 415
- - velocity-pressure formulation 243 - - classification 66

- - velocity-pressure-vorticity -- elliptic 66,71
formulation 243, 245 -- hyperbolic 66,71
Euler-Lagrange equation 24,69,91, -- mixed 66,71
344,346,351,381 - - strictly elliptic 71
- overdetermined 86,103,132
FIDAP 395 - overspecified 86
finite difference 29 - properly determined 86,95,103,
- central 22,30 133,267,336,361
- upwind 22,30 - quasi-linear 64,122,148,265
finite difference time-domain method - well-posed 78
(FD-TD) 332 fluid flow
finite element - backward-facing step 158
- CO element 57 - broken dam 293
- C 1 element 57 - buoyancy-driven gas 269,278
- area coordinate 59 - coalescence of two drops 300
- basis function 19,21 - driven-cavity 146,150,155
- interpolation error 19,59,63 - free-surface 285,287
- linear tetrahedron 78 - high-speed compressible 310
- linear triangle 78 - incompressible and irrotational 97,
- shape function 18,21,59,68,388 115
- triangular 58,59 - incompressible inviscid rotational
finite element space 56,91 245
- Pr(K) 56 - isentropic 120
- Qr(K) 56 - low-speed compressible viscous 259,
finite element time-domain method 264,275
(FE-TD) 332 - Marangoni-Benard instability 183
finite volume time-domain method - multi-fluid 285
(FV-TD) 332 - nozzle 311
first-order partial differential operator - oscillating bubble 296
66 - pressure swirl atomizer 300
first-order system 33,57,64,69,71, - shear 252
90,103,105,132,248,262,264,276, - shock reflection 317
310,314,388 - shock tube 311
- u - p - w - 0 - q 177, 180, 186, 189 - simplex nozzle 300
- almost-linear 64,168,267,277 - standing vortex 249
- classification 65,87 - subsonic 120
- determinacy 91 - subsonic irrotational 122
div-curl 81,90,92,95,115,135,186, - supersonic 319,327
245,278,332,336,345,347,350,352, - Taylor-Gortler-like vortex 157
355-357,360,361 - thermally driven 177
- - Galerkin formulation 93 - transonic 319
- - least-squares variational formula- - two-fluid 285
tion 93 - two-liquid interface 293
- div-curl-grad 97,102,112,177,186, - uniform flow past an ellipse 255
267,278,352 - von Karman vortex street 172
- elliptic 86,88,103, 108,267,336, - vortex propagation 251
361 - vortex shedding 172
- generalized div-curl 136, 278 fluid interface 287
- grad-div 99,100,111 - Laplace formulas 287
- hyperbolic 202,336 free surface 183,184
- - quasi-linear 303 front
- linear 64,269 - capturing method 286
416 Index
- tracking method 286 - unknown vector 21

Froude number 264, 270 gradient theorem 85
function Grashof number
- integrable 12 - solute 190
- square integrable 12 - thermal 190
function space 47 Green's formula 69, 137, 139,397
- H~div il),98
- H (il) 12,48 heat conduction 97,175,189
- H1(il) 12,48 heat flux 177, 186,262,276
- Hm(il) 12,13
- H-1(il) 49 immiscible fluids 286
- H1/2(r) 49 inequality
- HJ(il) 48 - Poincare 55, 139
- L1(il) 48 - Cauchy 13, 54, 55
- L2(il) 12,48 - Friedrichs 13, 26, 28, 53 101 137
- Cm(il) 11 - Friedrichs first div-curl ' 84 i09 139
- H1(il) 49 - Friedrichs second div-curl '95 '
- L2(il) 49 - Poincare 398
- Banach space 47 - Schwarz 12, 48, 53, 63
- complete 47 - Sobolev 13, 27
- dual space 49 - triangle 12
- Hilbert space 48 infinitely degenerate eigenvalue 338,
- - inner product 12,48,49 381
- Lebesque space Lp(il) 48 integration by parts 69
- normed 47 interface 285,353,363
- product space 49 ~nterface condition 286,287,354,363
- Sobolev space 48 mverse estimate 28
- trace space 49 iteratively reweighted LSFEM 218
222 '
functional
- Lagrangian 131
- quadratic 16,38,67,90 kinematic viscosity 130, 146
Krylov space 389
Galerkin method 4 Kutta condition 117, 118
- classic 14, 15,20, 29, 204, 225, 338 Laplace equation 361
350,352,356 '
Lax-Milgram theorem 79,398
- Galerkinfleast-squares 132, 206, LBB condition 33,37,44 99 102 131
228 260 ' , , ,
- G~lerkinfpenalty 344,346,381 least-squares finite element collocation
- IDlXed 31,33,44,99,130,260,394
method 76,77,116,207,213 218
- Petrov-Galerkin 16,205 226 228 290 ' ,
304 ' , ,
level set 286
- streamline diffusion 205
Lewis number 190
- streamline upwinding Petrov-
linear algebraic equations 73
Galerkin (SUPG) 205, 228, 251 - determined 75
- Taylor-Galerkin 226, 232 - least-squares method 73
gauge condition 356,381 - normal equation 73,74,210
Gaussian point 110,388
- overdetermined 74,75,209,213
Gaussian quadrature 72 , 116 , 144 , 218,221 '
177,181,207,218,220,270,279,290, - - L1 solution 209
307,311,354,357,364 - rank condition 74,75
global
- underdetermined 74 102
- load vector 21
- matrix 21,68
l~near form 37,91,360'
lmear operator equation 51
Index 417
- well posed 52 - - velocity-pressure formulation 146

linearization 125 - - velocity-pressure-stress formula-
- Newton's method 149,171,177, tion 168
181,188,248,249,254,257,268,270, - - velocity-pressure-vorticity
279,394 formulation 148,197
- successive substitution 122, 149, - - velocity-total pressure-vorticity
177 formulation 167,194
- second-order velocity-vorticity
Mach number 120,121,264 formulation 196
magnetic Neumann stability analysis 230
- current density 333,359 node numbering 386
- field intensity 333,356, 359 non-equal-order finite elements 145
- flux density 333 non-uniform grid 368
magnetostatic field 355 norm 12,48,49, 54
Marangoni number 186 - equivalence 52
marker and cell method 286 - semi-norm 13,49, 54
mass flux 189 numerical differentiation 350,356
mass matrix 344 numerical viscosity 229
mass transfer equation 189
matrix odd-even decoupling 22
- augmented 73,210 operator
- condition number 28,69 - adjoint 50,69
- rank 35,73,210 - boundary algebraic 67
matrix-vector multiplication 386, 387 - bounded above 50
matrix-free algorithm 387,388, 394 - bounded below 39,51,52,68,71,91,
Maxwell equations 140
- ellipticity 337 - continuous 50
- first-order 332-334,337,381 - curl 82
- - curl equations 334,337, 339 - divergence 82
-- transient 367,368 - domain 50
- second-order 381 - gradient 82
-- curl-curl equations 338,339,341, - inverse 51, 70
381 - Laplacian 82
-- Helmholtz-type equation 339, - linear 50
342-346,381 - non-self-adjoint 69
- time-harmonic 358,360 - self-adjoint 51,69,194
- time-varying 347 operator-splitting 285
- uniqueness 337 orthogonal condition 26,41,70
medium orthogonal decomposition 93
- anisotropic 343,347
- homogeneous 333,343,346,359 Peclet number 176, 264
- inhomogeneous 343 parallel computation
- isotropic 333,339,343,346,359 - speedup 395
- nonconductor 347 penalty method 131,338,339
penalty parameter 339,344,346,381
Navier-Stokes equations permeability 333,347
- compressible 260,275 permittivity 333,347
- incompressible 175,189,285 - complex 360
-- axisymmetric 152 phase error 231
- - boundary condition 149, 168 piecewise smooth boundary 47
- - three-dimensional 153 Poisson equation 90,94,350,352
- - time-dependent 170 - pressure 193,196
-- two-dimensional 149 - uncoupled 90,92,93
418 Index
potential 97 - velocity-pressure-vorticity formula-

Prandtl number 176, 184, 264, 269, tion 132
279 -- well-posedness 137
preconditioning technique 260, 268 - velocity-velocity derivatives-pressure
pressure coefficient 118, 121 formulation 199
projection method 285 Strouhal number 174
surface charge density 333
rank condition 37 surface electric current density 333
ratio of specific heats 264 surface tension 175,183,287,288
Rayleigh number 177, 190,264,269, - coefficient 287
279
- critical 178 Taylor LSFEM 240
Rayleigh-Ritz method 32, 78, 98 temperature 97
reduced integration 102,110,116,117, test function 15, 16,21,205,346,381
125,145,146,290,307,354 thermal
residual 15, 16, 38, 64, 67 - capillary effect 183
residual minimization method 52 - capillary force 175
residual minimization theorem 52 - diffusion speed 176
Reynolds number 146, 176,264 - diffusivity 264
- stratification instability 183
saddle-point 33, 131 time discretization
Schmit number 190 - 8 method 170,227,247,308
second-order system 69,88,92 - backward-Euler scheme 171,188,
- curl-curl equation 89,90 232,248,289,304,309,311,314
- derived 90 - Crank-Nicolson scheme 170,181,
shock 311 227,232,234,247,251,309,369,394
- moving 307 total pressure 243,266
- stationary 306 trial function 15, 16, 19, 205, 346, 381
solvability condition 86,87,89,334,
unconditional stability 228
336,340,347,355,359
space-time LSFEM 239 unconditionally stable 369
splitting method 244 unstructured mesh 368
spurious variable
- mode 345,364 - dual 31,98
- pattern 380 - primal 31,98
- solution 25,90,95,337,338,342, variational formulation 67
364,381 variational principle
- stationary solution 337 - basic lemma 14
stability 33 vector potential 356,381
stability estimate 40,204-206 volume of fluid method 286
staggered grids 285 vorticity 132
steepest descent method 388, 389, 392
Stokes equations 184 wave velocity 367
- second-order velocity-vorticity weighted residual
formulation 193 - form 4
- velocity-pressure formulation 130 - method 14

The Least-Squares Finite Element Method Theory and Applications in Computational Fluid Dynamics and Electromagnetics

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Scientific Computation

Springer-Verlag Berlin Heidelberg GmbH

With 130 Figures and 11 Tables

The Rayleigh-Ritz finite element method, which is based on the principle of

elements, symmetric positive-definite matrices, and optimal rates of conver-

Chapter 12 presents the simulation of two-fluid flows. To capture inter-

I would like to express my sincere gratitude to Dr. Louis A. Povinelli,

Cleveland, January 1998 Bo-nan Jiang

Part I. Basic Concepts of LSFEM

2. First-Order Scalar Equation in One Dimension ........... 11

3. First-Order System in One Dimension . . . . . . . . . . . . . . . . . . .. 31

Part II. Fundamentals of LSFEM

4. Basis of LSFEM .......................................... 47

6. Div-Curl-Grad System ......................... : . . . . . . . .. 97

Part III. LSFEM in Fluid Dynamics

7. Inviscid Irrotational Flows ................................ 115

8. Incompressible Viscous Flows ............................. 129

9. Convective Transport ..................................... 201

9.2.4 The Iteratively Reweighted LSFEM ................. 218

10. Incompressible Inviscid Rotational Flows ................. 241

11. Low-Speed Compressible Viscous Flows .................. 259

12. Two-Fluid Flows .......................................... 285

13. High-Speed Compressible Flows . . . . . . . . . . . . . . . . . . . . . . . . . . 303

13.2 One-Dimensional Flows ................................. 310

Part IV. LSFEM in Electromagnetics

14. Electromagnetics ......................................... 331

Part V. Solution of Discrete Equations

15. The Element-by-Element Conjugate Gradient Method . ... 385

15.3.4 Numerical Results and Comparisons ................ 393

Appendices ............................... .................... 397

Index ......................................................... 413

Basic Concepts of LSFEM

1.1 Why Finite Elements?

(4) Mathematical foundation. Because of the extensive work on the mathe-

1.2 Why Least-Squares?

In v; (Au - f)dn + v; Budr = 0, (1.3)

In contrast to the Galerkin formulation (1.3) which is only conceptual with-

problem. Although the LSFEM formulation is simple, it offers significant

electromagnetic phenomena, no matter whether the problem is static, time-

In fluid dynamics, convective transport described by first-order derivatives

2.1 A Model Problem

2.2 Function Spaces Hm(fl)

HO({}) = L2({}) = { u : u is defined on {} and

The norm of u is denoted by

Ilullo = {inlu(x)12dX} 1/2. (2.2)

Continuous functions, piecewise continuous functions (particularly, piecewise

(u,v) = 1 u(x)v(x)dx. (2.3)

Now let us prove the Schwarz inequality:

1 (),u + v)2dx = ),21 u2dx + 2), 1 +1

(in uVdx) 2 - in u 2dx·in v2dx ~ 0,

lIullt = {1 (lu(xW + lu'(xW)dx} 1/2. (2.6)

For the function space HI (fl) we also define the semi-norm:

lull = {in lu'(xWdx} 1/2.

Continuous functions C1(fl) and piece-wise differentiable continuous func-

is continuous in [0,1], and its derivative is continuous on [0,1/2] and [1/2,1],

(1) If u E HI (0,1) and u(o) = 0, then the Friedrichs inequality holds