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IF (MOD(N,2).EQ.0) THEN
PHI(I) = TN - 1.
PHIX(I) = TNX
ELSE
PHI(I) = TN - X
PHIX(I)= TNX - 1.
CHAPTER 6. PSEUDOSPECTRAL METHODS FOR BVPS
126

ENDIF
PHIXX(I) = TNXX
100 CONTINUE

[Alternative formulas when X = В±1 ]
ELSE
DO 200 I=1,NBASIS
PHI(I) = 0.
N = I+1
IF (MOD(N,2).EQ.0) THEN
PHIX(I)= SGN(X,1.)*N*N
ELSE
PHIX(I)= N*N - 1
ENDIF
PHIXX(I) = (SGN(X,1.))**N * N*N * (N*N-1.)/3.
200 CONTINUE
ENDIF
RETURN
END

[ADDITIONAL USER-SUPPLIED ROUTINES: D0(X), D1(X), D2(X), F(X) PLUS THE
LINEAR ALGEBRA ROUTINE LINSOLV.]
Chapter 7

Linear Eigenvalue Problems

вЂњIt is not the process of linearization that limits insight. It is the nature of the state that we
choose to linearize about.вЂќ

7.1 Introduction: the No-Brain Method
The default, almost-no-thinking-required method for solving linear eigenvalue problems is
summarized in Table 7.1. There are two difference from a linear boundary value problem:
(i) the matrix equation is solved by a different linear algebra library routine (eigensolve
instead of matrixsolve) and (ii) comparisons for two different N must be mode-by-mode.
There would seem to be no need for a separate chapter on this topic.
Indeed, often eigenproblems are very simple. Unfortunately, there are a variety of com-
plications that can arise. This chapter might be more appropriately titled: вЂњDamage Con-
trol for EigenproblemsвЂќ. No need to read it when solving easy, standard Sturm-Liouville
eigenproblems, but as valuable as a lifevest and a waterproof radio after your code has
been torpedoed by one of the difп¬Ѓculties explained below.
Some of these traps, mines and torpedoes are the following:

1. The QR/QZ algorithm, which costs O(10N 3 ) for an N Г— N matrix, may be too expen-
sive for multidimensional problems.

Table 7.1: Default Method for Eigenproblems

Step No. Procedure
One Apply spectral method to convert differential or integral equation
to a matrix problem, just as for BVP
Two Call a matrix eigensolver from linear algebra library
(The QR/QZ algorithm is a robust blackbox that п¬Ѓnds all eigenvalues
and eigenfunctions without user input except the matrix.)
Three Repeat for different N . Trust only those eigenvalues and eigenfunctions
which are the same for both resolutions

127
CHAPTER 7. LINEAR EIGENVALUE PROBLEMS
128

2. Instead of a discrete, countable inп¬Ѓnity of eigenmodes, there may be a continuous
spectrum, or a few discrete modes plus a continuous spectrum.

3. It may be tedious to compare eigenvalues for different N to reject those which are
numerically inaccurate.

4. Generalized eigenproblems often have a couple of very large eigenvalues which are
physically spurious in the sense of resulting from inconsistent application of boundary
conditions.

5. In hydrodynamic stability theory, weakly unstable or neutral modes may be singular
or very nearly singular on the interior of the computational domain

6. The eigenparameter may occur as a polynomial in an otherwise linear problem.

7. High order differential equations seem to be quite common in eigenproblems and
may have poor numerical conditioning, i. e., large roundoff errors.

In the rest of this chapter, we explain how to survive these shipwrecks. First, though, we
begin with some basic deп¬Ѓnitions and comments on the вЂњno-brainвЂќ strategy of Table 7.1.

7.2 Deп¬Ѓnitions and the Strengths and Limitations of the
QR/QZ Algorithm
Deп¬Ѓnition 17 (Eigenvalue Problem) A LINEAR EIGENVALUE problem is an equation of the
form

(7.1)
Lu = О»M u

where L and M are linear differential or integral operators or are square matrices and О» is a number
called the EIGENV ALUE. The boundary conditions, if any, are homogeneous so that Eq.(7.1) has
solutions only when О» is equal to a set of discrete values or is on a continuous range. When M is
the identity operator so the right side of (7.1) simpliп¬Ѓes to О»u, the problem is said to be a regular
eigenvalue problem; otherwise, it is a вЂњgeneralizedвЂќ eigenproblem.

Deп¬Ѓnition 18 (Eigenvectors/Eigenfunctions) The solutions u to a linear eigenvalue problem
are called вЂњEIGENVECTORSвЂќ (if the operators L and M are matrices) or вЂњEIGENFUNCTIONSвЂќ
(if L and M are differential or integral operators). The eigenvectors are labelled by an index вЂњjвЂќ,
the вЂњMODE NUMBERвЂќ, which is usually chosen so that the corresponding discrete eigenvalues
are ordered from smallest to largest with the lowest j (usually either 0 or 1) corresponding to the
smallest eigenvalue. When the eigenfunctions exist for a continuous interval in О» (not possible
for matrix problems), the eigenfunctions are labelled by О» and are said to be вЂњCONTINUOUSвЂќ
eigenfunctions.

A simple illustration of a differential eigenproblem, later dubbed вЂњExample OneвЂќ, is

(7.2)
uxx + О»u = 0, u(в€’1) = u(1) = 0

which has the exact eigenmodes

cos j ПЂ x , j = positive odd integer
2 (7.3)
uj (x) =
sin j ПЂ x , j = positive even integer
2
7.3. EIGENVALUE RULE-OF-THUMB 129

ПЂ2
2
(7.4)
О»j = j , j = 1, 2, 3, . . .
4
When L and M are matrices, there is good and widely available software for solving
eigenproblems. Indeed, such commands are built-in to languages such as Matlab, Maple
and Mathematica. The Matlab command to п¬Ѓnd both eigenfunctions and eigenvalues is
simply: [Eigenfunctions,Eigenvectors]=eig(L,M). FORTRAN subroutines to do the same
may be found in the public domain EISPACK and LINPACK libraries as well in proprietary
libraries like NAG and IMSL. These codes are very robust, and rarely fail except by being
too expensive.
Library software for the algebraic eigenproblem usually employs an algorithm called
the QZ method (for the generalized eigenproblem) or its cousin the QR scheme (for the
regular eigenproblem). The good news is that (i) these algorithms require as input nothing
but the square matrices that deп¬Ѓne the eigenproblem and (ii) reliably compute all the ma-
trix eigenvalues and eigenfunctions. The bad news is that QR/QZ is slow: for an N Г— N
matrix, the cost is O(10N 3 ) operations. This is an order of magnitude slower than Gaussian
elimination (LU factorization) of a dense matrix of the same size. Unlike almost all other
matrix algorithms, QR/QZ schemes cannot exploit matrix sparsity because zero elements
are all п¬Ѓlled in as the algorithm proceeds.
Gary and Helgason (1970) pointed out that this implies: Hurrah for high order dis-
cretizations! The reason is that high order methods make it possible to resolve a given
number of eigenmodes with much smaller N than with lower order methods. Replacing
a 100-point second order computation by an equally accurate tenth order matrix which is
only 40 Г— 40 reduces the cost of the QR algorithm by a factor of 15!
Orszag (1971b) noted that Chebyshev pseudospectral methods are the ultimate in high
order, and reduce N still further from the values needed by the eighth and tenth order
п¬Ѓnite difference methods of Gary and Helgason.
It is ironic: the QR/QZ algorithm has no direct connection with spectral methods. Nev-
ertheless, when this is the chosen matrix eigensolver, the QR algorithm cries out for a spec-
tral discretization.
On modern workstations, almost all one-dimensional and some two-dimensional and
three-dimensional eigenproblems can be solved efп¬Ѓciently by the pseudospectral/QZ com-
bination. Unfortunately, when one needs to resolve multidimensional modes with lots of
п¬Ѓne structure, or worse still, needs to compute the eigenvalues throughout a multidimen-
sional parameter space, the QR algorithm may be unaffordable.
In later sections, we therefore describe two representative alternatives: the power and
inverse power methods. Both are вЂњlocalвЂќ methods in the sense that they compute only one
eigenvalue at a time. In contrast, the QR/QZ method is вЂњglobalвЂќ because it computes all N
matrix eigenvalues without requiring any input from the user except the matrices theme-
selves. With local methods, it is easy to miss eigenvalues; we offer some cautionary tales
below. However, the cost per point in parameter space is usually an order of magnitude
less than the QR scheme.

7.3 Numerical Examples and the Eigenvalue Rule-of-Thumb
Fig. 7.1 illustrates the errors in computing eigenvalues of Example One ( Eq. 7.2). The
error tolerance is of course both user-dependent and problem-dependent. For the sake of
discussion, we shall arbitrarily deп¬Ѓne a вЂњgoodвЂќ eigenvalue as one whose absolute error is
less than or equal to 0.01, as marked by the horizontal dividing line in the graph.
By this criterion, the 16-point discretization returns seven вЂњgoodвЂќ eigenvalues and nine
вЂњbadвЂќ eigenvalues. Fig. 7.2 compares a вЂњgoodвЂќ (top) and вЂњbadвЂќ eigenfunction as computed
CHAPTER 7. LINEAR EIGENVALUE PROBLEMS
130

5
10

Absolute value of error in j-th eigenmode
0
10

0.01 error level
-5
10

-10
10

-15
10
0 5 10 15
mode number j

Figure 7.1: Example One: Absolute errors in the eigenvalues as given by a 16-point Cheby-
shev pseudospectral discretization. The horizontal dividing line separates the вЂњgoodвЂќ
eigenvalues from the вЂњbadвЂќ where the вЂњgoodвЂќ eigenvalues are deп¬Ѓned (arbitrarily) to be
those whose absolute error is 0.01 or less.

N=16 3rd mode
1
Circles: Exact

0.5

0

-0.5

-1
-1 -0.5 0 0.5 1
N=16 15th mode
1
Solid: Numerical

0.5

0

-0.5

-1
-1 -0.5 0 0.5 1
x

Figure 7.2: Example One: 16-point Chebyshev pseudospectral discretization. Exact (cir-
cles) and numerical (solid) approximations to the eigenmodes. Upper panel: Third Mode.
Lower panel: Fifteenth mode.
7.3. EIGENVALUE RULE-OF-THUMB 131

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