ERROR ESTIMATES OF A DIFFERENCE APPROXIMATION METHOD FOR A BACKWARD HEAT CONDUCTION PROBLEM

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APPROXIMATION METHOD FOR A BACKWARD HEAT CONDUCTION PROBLEM

XIANG-TUAN XIONG, CHU-LI FU, ZHI QIAN, AND XIANG GAO Received 22 March 2005; Revised 11 December 2005; Accepted 12 February 2006

We introduce a central diﬀerence method for a backward heat conduction problem (BHCP). Error estimates for this method are provided together with a selection rule for the regularization parameter (the space step length). A numerical experiment is presented in order to illustrate the role of the regularization parameter.

1. Introduction

The backward heat conduction problem (BHCP) is also referred to as the final boundary value problem. In general no solution which satisfies the heat conduction equation with final data and the boundary conditions exists. Even if a solution exists, it will not be continuously dependent on the final data. The BHCP is a typical example of an ill- posed problem which is unstable in numerical simulations and requires special regularization methods. In the context of approximation method for this problem, many ap- proaches have been investigated. Such authors as Latt`es and Lions [6], Showalter [10], Ames [1], Miller [9] have approximated the BHCP by quasi-reversibility methods. In [11], Schr¨oter and Tautenhahn established an optimal error estimate for a special BHCP.

Mera and Jourhmane used many numerical methods with regularization techniques to approximate the problem in [8,5], and so forth. A mollification method has been stud- ied by Hào in [4]. Recently, Liu [7] used a group preserving scheme to solve the backward heat equation numerically. A difference approximation method for solving sideways heat equation was provided by Eldén in [2], where he used a central difference to replace the time derivative in heat equation. In this paper, we consider a special BHCP [4]:

ut(x,t)=uxx(x,t), x∈R, 0< t <1,

u(x, 1)=ϕ(x), x∈R. (1.1)

We want to obtain the temperature distributionu(x,t) for 0< t <1. Since the dataϕ(·) are based on (physical) observations and are not known with complete accuracy, we assume

Hindawi Publishing Corporation

International Journal of Mathematics and Mathematical Sciences Volume 2006, Article ID 45489, Pages1–9

DOI10.1155/IJMMS/2006/45489

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thatϕ(·) andϕ^δ(·) satisfy

ϕ(·)−ϕ^δ(·)≤δ, (1.2)

whereϕ(·) andϕ^δ(·) belong toL²(R),ϕ^δ(·) denotes the measured data andδ denotes the noise level. As usual, assume that there exists an a priori condition for our problem (1.1):

u(·, 0)≤E, (1.3)

whereEis a positive bound. Problem (1.1) has a unique solution according to [3]. In order to use the Fourier transform technique, we define the Fourier transform of function

f(x)(x∈R) as the following:

f(ξ) := 1

√2π _∞

−∞e⁻^ixξf(x)dx, ξ∈R. (1.4) We consider the problem (1.1) inL²-space with respect to the variablex. Then taking Fourier transform with respect tox, the problem (1.1) can be reformulated in frequency space as follows:

u_t(ξ,t)=(iξ)²u(ξ,t), u(ξ, 1) =ϕ(ξ ), ξ∈R. (1.5) The solution to (1.5) is given by

u(ξ,t)=e^ξ²⁽¹⁻^t⁾ϕ(ξ). (1.6) Then by inverse Fourier transform, the unique solution of (1.1) can be expressed:

u(x,t)=_√1 2π

_∞

−∞e^ixξe^ξ²⁽¹⁻^t⁾ϕ(ξ)dξ. (1.7) From (1.6), we can easily see that

u(ξ, 0)=e^ξ²ϕ(ξ ). (1.8)

Since in our problemu(ξ, t) is assumed to be inL²(R), we see that the exact data function

ϕ(ξ) must decay rapidly asξ→ ∞. In the same time, it is easy to see that a small per- turbation in the dataϕ(ξ) may cause dramatically large error in the solution u(ξ, t). In addition, the magnifying factor ise^ξ²; hence, it is a severely ill-posed problem. By using central diﬀerence with step lengthhto approximate the second derivativeu_xx, we can get a regularized problem (with noisy data):

vt(x,t)=v(x+h,t)−2v(x,t) +v(x−h,t)

h² , x∈R, 0< t <1, v(x, 1)=ϕ^δ(x), x∈R.

(1.9) Similarly we can easily get a solution in the frequency space for problem (1.9):

v(ξ,t)=e^{4 sin}²⁽^hξ/²⁾⁽¹⁻^t⁾^/h²ϕ^δ(ξ). (1.10)

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Then by inverse Fourier transform, v(x,t)= 1

√2π _∞

−∞e^ixξe^{4 sin}²^(hξ/2)(1⁻^t)/h²ϕ^δ(ξ)dξ. (1.11) In the forthcoming section, we will see that (1.11) is a stable approximate solution for the problem (1.1).

2. Error estimates

In this section, we will prove error estimates between the exact solution (1.7) and the approximate solution (1.11). The following conclusion is the main result of this paper.

Theorem 2.1. Supposed thatu(x,t) is given by (1.7) with exact dataϕand thatv(x,t) is given by (1.11) with noisy dataϕ^δ. If there exists a boundu(·, 0) ≤Eand the data functions satisfyϕ−ϕ^δ ≤δ, and ifh=2(ln(E/δ))⁻¹^/²is chosen, then the following error estimates can be obtained.

(I) IfE/δ < e³^/², then for 0< t <1,

u(·,t)−v(·,t)≤2E¹⁻^tδ^t. (2.1) (II) IfE/δ≥e^3/2, then

(II-a) for a fixedtsatisfying 1/(3/2) ln(E/δ)< t <1, u(·,t)−v(·,t)≤max

(1−t)

lnE

δ −1/2

3 2 et

3/2

,E¹⁻^tδ^t

+E¹⁻^tδ^t, (2.2) (II-b) for a fixedtsatisfying 0< t≤(1)/((3/2) ln(E/δ)),

u(·,t)−v(·,t)≤max 1−t

3

lnE δ

E¹⁻^tδ^t,E¹⁻^tδ^t

+E¹⁻^tδ^t. (2.3) Proof. By Parseval relation and (1.8), (1.3), and (1.2), we can get

u(·,t)−v(·,t)

=u(·,t)−v(·,t)=e⁽¹⁻^t⁾^ξ²ϕ(ξ) −e⁽¹⁻^t^{)(4 sin}²⁽^ξh/²⁾^/h²⁾ϕ^δ(ξ)

≤e⁽¹⁻^t⁾^ξ²ϕ(ξ) −e⁽¹⁻^t^{)(4 sin}²⁽^ξh/²⁾^/h²⁾ϕ(ξ)

+e⁽¹⁻^t^{)(4 sin}²⁽^ξh/²⁾^/h²⁾ϕ(ξ) −e⁽¹⁻^t^{)(4 sin}²⁽^ξh/²⁾^/h²⁾ϕ^δ(ξ)

=e⁻^tξ²e^ξ²ϕ(ξ) −e⁽¹⁻^t^{)(4 sin}²⁽^ξh/²⁾^/h²⁾e⁻^ξ²e^ξ²ϕ(ξ) +e⁽¹⁻^t^{)(4 sin}²⁽^ξh/²⁾^/h²⁾ϕ(ξ) −e⁽¹⁻^t^{)(4 sin}²⁽^ξh/²⁾^/h²⁾ϕ^δ(ξ)

≤sup

ξ∈R

e⁻^tξ²−e⁽¹⁻^t^{)(4 sin}²⁽^ξh/²⁾^/h²⁾⁻^ξ² u(ξ, 0)

+ sup

ξ∈R

e⁽¹⁻^t^{)(4 sin}²⁽^ξh/²⁾^/h²⁾δ≤sup

ξ∈RA(ξ)E+ sup

ξ∈RB(ξ)δ,

(2.4)

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where

A(ξ) := e⁻^tξ²−e⁽¹⁻^t^{)(4 sin}²⁽^ξh/²⁾^/h²⁾⁻^ξ², B(ξ) :=

e⁽¹⁻^t^{)(4 sin}²⁽^ξh/²⁾^/h²⁾.

(2.5)

Firstly we can estimateB(ξ)δas

B(ξ)δ≤e⁽¹⁻^t⁾⁽⁴^/h²⁾δ. (2.6) According to the selection ofhinTheorem 2.1, we have

B(ξ)δ≤e⁽¹⁻^t^{) ln(}^E/δ⁾δ=E¹⁻^tδ^t. (2.7) Now we will devote to estimatingA(ξ)E,

A(ξ)E= e⁻^tξ²−e⁽¹⁻^t^{)(4 sin}²⁽^ξh/²⁾^/h²⁾⁻^ξ²E

=e⁻^tξ²1−e⁽¹⁻^t^{)(4 sin}²⁽^ξh/²⁾^/h²⁻^ξ²⁾E.

(2.8)

Obviously,

4 sin²(ξh/2)

h² ^≤ξ². (2.9)

Case 1. If|ξ| ≥2/h, hence

e⁽¹⁻^t^{)(4 sin}²⁽^ξh/²⁾^/h²⁻^ξ²⁾≤1, (2.10) furthermore for the selection ofh, we have

A(ξ)E≤e⁻^tξ²E≤e⁻^t⁽⁴^/h²⁾E=E¹⁻^tδ^t. (2.11) Case 2. If|ξ| ≤2/h, from (2.8) and by the inequality 1−e⁻^y≤y(y≥0), we have

A(ξ)≤e⁻^tξ²

ξ²−4 sin²(ξh/2) h²

(1−t). (2.12)

Letr:=h|ξ|/2, and note that 0≤r≤1,ξ²=4r²/h², we have A(ξ)≤e⁻^t⁽⁴^r²^/h²⁾ 1

h²

4r²−4 sin²r(1−t)

=e⁻^t⁽⁴^r²^/h²⁾ 4

h²(r+ sinr)(r−sinr)(1−t)

≤2e⁻^tr²⁽⁴^/h²⁾4

h²(r−sinr)(1−t).

(2.13)

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By using the inequality sinr≥r−(r³/6) (r≥0), we get A(ξ)≤2e⁻^tr²⁽⁴^/h²⁾ 4

h² r³

6(1−t) :=Q(r). (2.14)

We can easily find that the uniqueness maximum of Q(r) attains at the point r0= (3/2t)(h²/4)=

(3/2t)(lnE/δ)⁻¹, then A(ξ)≤Qmax=Q(r0)=(1−t)

lnE

δ

−1/2 3 2te

3/2

, forr0<1. (2.15) Ifr0>1, then maximum ofQ(r) isQ(1), then

A(ξ)≤Qmax=Q(1)=1−t 3

lnE

δ

E⁻^tδ^t. (2.16)

Fromr0=

(3/2)(1/ln(E/δ)/t), note that 0< t <1, hence if (3/2)(1/ln(E/δ))>1, that is, lnE/δ <3/2, thenr0>1. We can conclude that the following hold.

(I) If (E/δ)< e³^/², thenr0>1 is always satisfied. Hence for all ξ∈R, combining (2.11) and (2.16) we have

u(·,t)−v(·,t)≤sup

ξ∈RA(ξ)E+ sup

ξ∈RB(ξ)δ

≤maxQ(1)E,E¹⁻^tδ^t+E¹⁻^tδ^t

=max

(1−t) 3

lnE

δ

+E¹⁻^tδ^t

≤max

(1−t) 3

3

2E¹⁻^tδ^t,E¹⁻^tδ^t

+E¹⁻^tδ^t

≤

max

(1−t) (2, 1)

+ 1

E¹⁻^tδ^t

≤2E¹⁻^tδ^t−→0, forδ−→0.

(2.17)

(II) IfE/δ≥e³^/², then

(II-a) if 1/(3/2) ln(E/δ)< t <1, thenr0≤1 holds, combining (2.11) and (2.15), we have

u(·,t)−v(·,t)

≤sup

ξ∈RA(ξ)E+ sup

ξ∈RB(ξ)δ≤maxQ(r0)E,E¹⁻^tδ^t+E¹⁻^tδ^t

=max

(1−t) 3

2et 3/2

lnE δ

−1/2

,E¹⁻^tδ^t

+E¹⁻^tδ^t−→0, for fixedt,δ−→0;

(2.18)

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(II-b) if 0< t≤1/(3/2) ln(E/δ), thenr0>1 holds, combining (2.11) and (2.16), we have

u(·,t)−v(·,t)

≤sup

ξ∈RA(ξ)E+ sup

ξ∈RB(ξ)δ≤maxQ(1)E,E¹⁻^tδ^t+E¹⁻^tδ^t

=max

(1−t) 3

lnE

δ

+E¹⁻^tδ^t−→0, for fixedt δ−→0.

(2.19)

Thus, the proof of the theorem is completed.

It is easy to see that the space step lengthh is the regularization parameter of this problem. In the conclusion, we give a rule for choosing the regularization parameter, which is very important for the study of ill-posed problems.

3. A numerical example

In this section, by a numerical experiment, we will study how the regularization parame- terhinfluences the approximation.

It is easy to verify that the function u(x,t)=_√ 1

1 + 4te⁻^x²^/⁽¹⁺⁴^t⁾ (3.1) is the unique solution of the initial problem

u_t=u_xx, x∈R,t >0,

u(x, 0)=e⁻^x², x∈R. (3.2)

Hence,u(x,t) given by (3.1) is also the solution of the following backward heat equation for 0≤t <1:

ut=uxx, x∈R, 0≤t <1, u(x, 1)= 1

√5e⁻^x²^/5, x∈R. (3.3)

Lets=1−t,w(x,s)=u(x,t), we have

w_s= −w_xx, x∈R, 0< s <1, (3.4) w(x,s=0)=_√1

5e⁻^x²^/⁵, x∈R. (3.5)

Ifwxxatxiis replaced by a second-order central diﬀerence, then (3.4) becomes w_s(x_i,s)= −1

h²

wx_i+h,s−2wx_i,s+wx_i−h,s. (3.6)

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First let us list some notations:xi=ih, fori= −n,...,0,...,n.wi=wi(s)=w(ih,s). Then (3.6) with the initial condition (3.5) can be discretized as

⎛

⎜⎜

⎝ w−n

... w0

... wn

⎞

⎟⎟

⎠

s

=

⎛

⎜⎜

⎝ 2 h² ⁻

1

h² 0

−1 h²

2 h² ⁻

1 h² . .. . .. . ..

0 −1

h² 2 h²

⎞

⎟⎟

⎠

(2n+1)_×(2n+1)

⎛

⎜⎜

⎜⎝ w−n

... w0

... w_n

⎞

⎟⎟

⎟⎠

, (3.7)

⎛

⎜⎜

⎝ w−n(0)

... w0(0)

... w_n(0)

⎞

⎟⎟

⎠

=

⎛

⎜⎜

⎝

√1 5e⁻^x²⁻ⁿ^/⁵

...

√1 5e⁻^x²⁰^/⁵

...

√1 5e⁻^xⁿ²^/⁵

⎞

⎟⎟

⎠

. (3.8)

This ordinary diﬀerential equation system can easily be solved. In our numerical imple- mentation we use a Runge-Kutta method. A standard ODE solver ode45 in Matlab is such a method.

Now we focus on the numerical experiment. The main aim is to investigate the role of regularization parameterh. We do the numerical experiment in the intervalx∈[−20, 20]

andt∈[0, 1]. This is reasonable in that the initial data at the pointsx= −20, 20 in (3.5) can be considered to be 0 in the computation by noting that the final valueu(x, 1)→0 in (3.3) whenx→ ±∞. To test the accuracy of an approximate solution, we compute the root mean square error (RMSE) by

E(u)= 1

2n+ 1 n i=−n

(v_i−u_i)² (3.9)

at total 2n+ 1 test points at thex-axis, wherevianduiare, respectively, the approximate and exact temperature at a test point. Obviously, (3.9) is to approximateL²norm error.

For convenience, in our numerical experiment the noisy data is generated by

w_i^δ(0)=wi(0) +δ, i= −n,...,n, (3.10) wherewi(0) are the exact data given in (3.8). Thus, Since (3.9), it followsE(w(0))=δ.

FromFigure 3.1, one can see that for fixedδ=0.001, theL²-error attain a minimum at the “optimal”h=2(ln(E/δ))⁻¹^/²≈0.76 (here we takeu(x, 0)L²(_R)=E≈1.1).

FromFigure 3.2, we can see that for a fixedh, theL²-error increase astapproaches 0.

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0.8 1 0.6 0.4 0.2

0 t

1 0.8 0.6 0.4

h 0 0.05 0.1 0.15 0.2 0.25

L2normerror

Figure 3.1. L²-error for varioustandhwith fixedδ=0.001 (“optimal”h=10/13₌. 0.77).

0.8 1 0.6 0.2 0.4

0 t

0.01 0.008 0.006 0.004 0.002 0

δ 0 0.02 0.04 0.06 0.08 0.1 0.12

L2normerror

Figure 3.2. L²-error for varioustandδ(for fixedh=10/13).

Acknowledgments

This work is supported by the National Natural Science Foundation of China (no.

10271050), the Natural Science Foundation of Gansu Province of China (no. 3ZS051- A25-015), and the Fundamental Research Fund for Physics and Mathematics of Lanzhou University (no. Lzu05-05). The authors would like to thank the referees for their valuable comments and suggestions.

References

[1] K. A. Ames, G. W. Clark, J. F. Epperson, and S. F. Oppenheimer, A comparison of regularizations for an ill-posed problem, Mathematics of Computation 67 (1998), no. 224, 1451–1471.

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[2] L. Eld´en, Numerical solution of the sideways heat equation by diﬀerence approximation in time, Inverse Problems 11 (1995), no. 4, 913–923.

[3] L. C. Evans, Partial Diﬀerential Equations, Graduate Studies in Mathematics, vol. 19, American Mathematical Society, Rhode Island, 1998.

[4] D. N. H`ao, A mollification method for ill-posed problems, Numerische Mathematik 68 (1994), no. 4, 469–506.

[5] M. Jourhmane and N. S. Mera, An iterative algorithm for the backward heat conduction problem based on variable relaxtion factors, Inverse Problems in Engineering 10 (2002), no. 4, 293–308.

[6] R. Lattès and J.-L. Lions, Méthode de quasi-réversibilité et applications, Travaux et Recherches Mathématiques, no. 15, Dunod, Paris, 1967, English translation R. Bellman, Elsevier, New York, 1969.

[7] C. S. Liu, Group preserving scheme for backward heat conduction problems, International Journal of Heat and Mass Transfer 47 (2004), no. 12-13, 2567–2576.

[8] N. S. Mera, L. Elliott, L. D. B. Ingham, and D. Lesnic, An iterative boundary element method for solving the one dimensional backward heat conduction problem, International Journal of Heat and Mass Transfer 44 (2001), no. 10, 1973–1981.

[9] K. Miller, Stabilized quasi-reversibility and other nearly-best-possible methods for non-well-posed problems, Symposium on Non-Well-Posed Problems and Logarithmic Convexity (Heriot-Watt University, Edinburgh, 1972), Lecture Notes in Mathematics, vol. 316, Springer, Berlin, 1973, pp. 161–176.

[10] R. E. Showalter, The final value problem for evolution equations, Journal of Mathematical Analysis and Applications 47 (1974), 563–572.

[11] U. Tautenhahn and T. Schr¨oter, On optimal regularization methods for the backward heat equa- tion, Zeitschrift f¨ur Analysis und ihre Anwendungen 15 (1996), no. 2, 475–493.

Xiang-Tuan Xiong: Department of Mathematics, Lanzhou University, Lanzhou 730000, China

E-mail address:[email protected]

Chu-Li Fu: Department of Mathematics, Lanzhou University, Lanzhou 730000, China E-mail address:[email protected]

Zhi Qian: Department of Mathematics, Lanzhou University, Lanzhou 730000, China E-mail address:[email protected]

Xiang Gao: Department of Mathematics, Lanzhou University, Lanzhou 730000, China E-mail address:[email protected]

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