UW AMath High Performance Scientific Computing
AMath 483/583 Class Notes
Spring Quarter, 2013

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Numerical methods for the Poisson problem

The steady state diffusion equation gives rise to a Poisson problem

\(u_{xx} + u_{yy} = -f(x,y)\)

where \(f(x,y)\) is the source term. In the simplest case \(f(x,y) = 0\) this reduces to Laplace’s equation. This must be augmented with boundary conditions around the edge of some two-dimensional region. Dirichlet boundary conditions consist of specifying the solution \(u(x,y)\) at all points around the boundary. Neumann boundary conditions consist of specifying the normal derivative (i.e. the direction derivative of the solution in the direction orthogonal to the boundary) and are used in physical situations where the if the flux of heat or the diffused quantity is known along the boundary rather than the value of the solution itself (for example an insulated boundary has no flux and the normal derivative is zero). We will only study Dirichlet problems, where \(u\) itself is known at boundary points. We will also concentrate on problems in a rectangular domain \(a_x < x < b_x\) and \(a_y < y < b_y\), in which case it is natural to discretize on a Cartesian grid aligned with the axes.

The Poisson problem can be discretized on a two-dimensional Cartesian grid with equal grid spacing \(h\) in the \(x\) and \(y\) directions as

\(U_{i-1,j} + U_{i+1,j} + U_{i,j-1} + U_{i,j+1} - 4u_{ij} = -h^2 f(x_i,y_j)\).

This gives a coupled system of equations with \(n_x n_y\) unknowns, where it is assumed that \(h(n_x+1) = b_x - a_x\) and \(h(n_y+1) = b_y - a_y\). The linear system has a very sparse coefficient matrix since each of the \(n_x n_y\) rows has at most 5 nonzero entries.

If the boundary data varies smoothly around the boundary then it can be shown that solving this linear system gives an approximate solution of the partial differential equation that is \({\cal O}(h^2)\) accurate at each point. There are many books that contain much more about the development and analysis of such finite difference methods.

Iterative methods for the Poisson problem

Simple iterative methods such as Jacobi, Gauss-Siedel, and Successive Over-Relaxation (SOR) are discussed in the lectures and used as examples for implementations in OpenMP and MPI. For three implementation of Jacobi in one space dimension, see

A sample implementation of Jacobi in two space dimensions can be found in $UWHPSC/lectures/lecture1.

Monte Carlo methods for the steady state diffusion equation

Solving the linear system described above would give an approximate solution to the Poisson problem at each point on the grid. Suppose we only want to approximate the solution at a single point \((x_0,y_0)\) for some reason. Is there a way to estimate this without solving the system for all values \(U_{ij}\)? Not easily from the linear system, but there are other approaches that might be used.

We will consider a Monte Carlo approach in which a large number of random walks starting from the point of interest are used to estimate the solution. See Random number generators for a discussion of random number generators and Monte Carlo methods more generally.

We will assume there is no source term, \(f(x,y)=0\) so that we are solving Laplace’s equation. The random walk solution is more complicated if there is a source term.

A random walk starting at some point \((x_0,y_0)\) wanders randomly in the domain until it hits the boundary at some point. We do this many times over and keep track of the boundary value given for \(u(x,y)\) at the point where each walk hits the boundary. It can be shown that if we do this for a large number of walks and average the results, this converges to the desired solution value \(u(x_0,y_0)\). Note that we expect more walks to hit the boundary at parts of the boundary near \((x_0,y_0)\) than at points further away, so the boundary conditions at such points will have more influence on the solution. This is intuitively what we expect for a steady state solution of a diffusion or heat conduction problem.

To implement this numerically we will consider the simplification of a lattice random walk, in which we put down a grid on the domain as in the finite difference discretization and allow the random walk to only go in one of 4 directions in each time step, from a point on the grid to one of its four neighbors. For isotropic diffusion as we are considering, we can define a random walk by choosing 1 of the four neighbors with equal probability in each step.

The code $UWHPSC/codes/project/laplace_mc.py illustrates this. Run this code with plot_walk = True to see plots of a few random walks on a coarse grid, or with plot_walk = False to report the solution after many random walks on a finer grid.

With this lattice random walk we do not expect the approximate solution to converge to the true solution of the PDE, as the number of trials increases. Instead we expect it to converge to the solution of the linear system determined by the finite difference method described above. In other words if we choose \((x_0,y_0) = (x_i, y_j)\) for some grid point \((i,j)\) then we expect the Monte Carlo solution to converge to \(U_{ij}\) rather than to \(u(x_i,y_j)\).

Why does this work? Here’s one way to think about it. Suppose doing this random walk starting at \((x_i,y_j)\) converges to some value \(E_{ij}\), the expected value of \(u\) at the boundary hit when starting a random walk at this point. If \((x_i,y_j)\) is one of the boundary points then \(E_{ij} = U_{ij}\) since we immediately hit the boundary with zero steps, so every random walk starting at this point returns \(u\) at this point. On the other hand, if \((x_i,y_j)\) is an interior point, then after a single step of the random walk we will be at one of the four neighbors. Continuing our original random walk from this point is equivalent to starting a new random walk at this point. So for example any random walk that first takes a step to the right from \((x_i,y_j)\) to \((x_{i+1},y_j)\) has the same expected boundary value as obtained from all random walks starting at \((x_{i+1},y_j)\), i.e. the value \(E_{i+1,j}\). But only 1/4 of the random walks starting at \((x_i,y_j)\) go first to the right. So the expected value over all walks starting at \((x_i,y_j)\) is expected to be the average of the expected value when starting at any of the 4 neighbors. In other words,

\(E_{ij} = \frac 1 4 (E_{i-1,j} + E_{i+1,j} + E_{i,j-1} + E_{i,j+1})\)

But this means \(E_{ij}\) satisfies the same linear system of equations as \(U_{ij}\) (and also the same boundary conditions), and hence must be the same.