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\title{The Fundamental Theorem of Numerical Analysis}
\author{\large{by Alec Johnson}}
\date{\normalsize{Presented February 1, 2006}}
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\begin{document}
\maketitle
\section{Introduction.}
The {\bf Fundamental Theorem of Numerical Analysis (FTNA)} states
that for a numerical method, {\it consistency plus stability
implies convergence}. These terms are defined, and the statement
is proved, per context. As an abstract statement, it seems to be
a principle rather than a theorem. (Generalized versions of the
theorem shift the work into demonstrating that the hypotheses are
satisfied.)
This exposition will define these terms and explain why this
theorem is true, for a range of contexts.
\section{FTNA notions for generic and initial value problems.}
A {\bf problem} consists of data and an equation that must be
solved for an unknown. An {\bf initial value problem (IVP)}
consists of initial data (and possibly boundary data) and a
differential equation which determines the evolution of the
solution over time. For initial value problems, the Fundamental
Theorem of Numerical Analysis is known as the {\bf Lax-Richtmyer
theorem}.
A {\bf numerical method} for a (continuum) problem is a
discrete problem (more properly a family of discrete
problems indexed by a parameter) whose solution is intended
to approximate the solution of the problem.
%More properly, a numerical
%method is a family of discrete problems indexed by a
%parameter such that the unique solution of the problem
%approximates the solution as the parameter approaches
%some limit (such as zero or infinity).
A {\it numerical algorithm} is
an algorithm for computing the solution of a numerical method.
\footnote{Wikipedia: An algorithm is a finite set of instructions
for accomplishing some task which, given an initial state, will
terminate in a corresponding recognizable end-state.}
Solutions to differential equations are generally computed on
a discretized domain called a {\bf mesh}. Numerical methods
for initial value problems compute a solution at a sequence of
discrete points in time. We refer to computing the solution at a point in
time based on a value at the previous point in time as
applying a {\bf time step} to the value.
To discuss whether a numerical solution approximates the solution
of a problem, we need (1) a measure of the distance between a
numerical solution and the exact solution to the problem, and (2)
a method parameter which we can use to vary the numerical method.
For differential equations this parameter is typically some
measure of the {\bf mesh size}. The finer the mesh, the greater
the potential of the numerical method to accurately represent the
exact solution.
A numerical method is said to {\bf converge} to a solution
if the distance between the numerical solution and the exact solution
goes to zero as the method parameter approaches some limit
(e.g. the mesh size goes to zero). Convergence is the
desired property of a numerical method.
To have any hope of convergence, the {\it problem} itself must be
stable, or {\bf well-posed}. Perturbing the data of a problem
produces a resulting perturbation in the solution of the problem.
Assume that there is a measure defined on these perturbations.
%(This may be relative or absolute magnitude, depending on the situation.)
Refer to the ratio of the magnitude of the perturbation in the
solution divided by the magnitude of the perturbation in the data as {\bf
the error growth factor}. If the error growth factor is bounded
independent of the perturbation (sufficiently small) in the
initial data, then we say the problem is {\it well-posed}. In
particular, an initial value problem is {\it well-posed} (over a
finite time interval) if the factor by which an initial error can
grow is bounded.
To have any hope of convergence, the {\it numerical method}
must also be {\bf stable}. This means that the error growth
factor is bounded independent of the method parameter or
perturbation of the initial data. For a discretized initial
value problem, stability means that the factor by which an
initial error can grow is bounded independent of the mesh size
(for any allowed mesh).
Stability is purely a property of the numerical method and is
independent of the problem. Likewise, well-posedness is purely
a property of the problem and is independent of the numerical
method. To have any hope of establishing convergence, it is
necessary to establish some kind of connection between the
problem and the numerical method. This connection is called
consistency.
Roughly speaking, a numerical method is said to be {\bf
consistent} with a problem if the exact solution to the
problem approximately satisfies the discretized problem. This
is \emph{not} the same as saying that the exact solution to
the problem approximately equals the exact solution to the
discretized problem. For a differential equation, consistency
means that a solution to the initial value problem approximately
satisfies the discretized equation as the mesh size goes to zero.
For an initial value problem, consistency means that the error
committed by the numerical algorithm over a single time step is small.
We will make the notion of consistency more precise below.
The beauty of consistency is that it is a local property, and
hence easy to verify, whereas convergence is a global property.
The fundamental theorem of numerical analysis says that
consistency plus stability implies convergence.
For an initial value problem, the fundamental theorem simply says
that if the error committed on each time step is small enough,
and if the rate of error growth is bounded, than the error in
the solution will remain small. Intuitively this is obvious.
The rest of this exposition attempts to make these ideas more
precise for this case.
\section{Initial Value Problems: The Lax-Richtmyer Theorem}
Consider the initial value problem
\begin{displaymath}
(P)\ \ \left\{ \begin{array}{ll}
y'=Ly & 0 \le t \le T \\
y(0)=y_0 &
\end{array} \right.
\end{displaymath}
and the associated family of numerical methods
indexed by the number of time steps $N \in \mathbf{N}$
or by the size of each time step $k= T/N$,
\begin{displaymath}
\textrm{(M)} \ \ \left\{ \begin{array}{ll}
Y_{n+1} = L_k Y_n & 0 \le n \le N \\
Y_0 = y_0.
\end{array} \right.
\end{displaymath}
Let $t_n$ denote the $n$th time point: $t_n = nk$.
Let $y_n$ denote the value of the exact solution
at time $t_n$: $y_n = y(t_n)$.
We will assume that the method (M) is {\bf stable}. This means that
there is a bound $B$ (independent of $k$)
on the factor by which error can grow over the
duration of the time interval $T$. If the operator $L_k$ is linear,
to demonstrate stability it is sufficient to show that
$(\exists B<\infty)\ (\forall k)$
$$\|L_k\|\ \le e^{Bk}.$$
(Equivalently $\|L_k\|\ \le 1+Bk$.)
For then $\|Y_N\|/\|Y_0\| \le \|L_k^N\| \le \|L_k\|^N \le e^{BkN} \le e^{BT}
=: S $.
We will assume also that (P) and (M) are {\bf consistent of order m}.
This means that the error committed by the
numerical algorithm over a single time step is small:
$\|y_{n+1}-L_k y_n\| \le k^{m+1}C$ (for some $C<\infty$),
where $C$ is {\it independent} of $n$ (i.e. time).
We will show that $Y_N$ converges to $y_N$ as $k \to 0$.
Define the {\bf local truncation error} $d_n$ to be
the difference between the value predicted by applying
a time step to the exact solution and the value of
the exact solution at the incremented
time point $t_{n+1}$: $$d_n = L_k y_n - y_{n+1}.$$
The {\bf (accumulated) error} $e_n$ is simply the
difference between the exact solution and the numerical
solution: $$e_n = Y_n - y_n$$
If $L_k$ is a linear operator, then the error at the
incremented time point $t_{n+1}$ equals the local truncation
error (which is limited by consistency) plus the
application of a time step to the accumulated error:
$ e_{n+1} = Y_{n+1} - y_{n+1} = L_k Y_n - y_{n+1}
= (L_k Y_n - L_k y_n) + (L_k y_n - y_{n+1})$. That is:
$$ e_{n+1} = L_k e_n + d_n.$$
This equation is the essense of the proof.
It is a linear difference equation.
The truncation error $d_n$ is the forcing function.
By linearity, the error introduced by the forcing
function at each time step grows indepently.
By stability, the growth in the error introduced by
$d_0$ is bounded by $S<\infty$. By consistency,
the error introduced by $d_0$ is bounded by $C k^{m+1}$.
So after all $N$ time steps, the error introduced
by $d_0$ is still bounded by $SC k^{m+1}$. For any
$0 < n \le N$, the error introduced by $d_n$ has less
time to grow than the error introduced by $d_0$.
Since there are $N$ time steps, the total accumulated
error $e_N$ is therefore bounded by
$SC N k^{m+1} = SC (T/k) k^{m+1} = (SCT) k^m$.
So on the time interval $0 \le t \le T$ the error
never exceeds $(SCT) k^m$.
i.e. the global (truncation) error is of order $k^m$.
This is what it means for the method to have convergence
of order $m$.
Exercise: The above proof unsharply assumes that $Y_0 = y_0$.
Modify it to work under the weaker assumption that
$\|Y_0(k) - y_0\| \le k^m C$ (some C).
\section{Extension to nonlinear operators.}
The fundamental theorem of numerical analysis can
be extended and applied to operators $L$ which are
nonlinear but sufficiently smooth by local linearization.
An operator $L$ (say a differential operator on a Banach space of functions)
is smooth if it can be locally approximated
by a linear operator $DL$, called its derivative: \\
$L(y+\Delta y) = L(y) + DL(\Delta y) + O(\|\Delta y\|^2)$.
In this case the error growth equation becomes: \\
$e_{n+1} = d_n + L_k(y_n+e_n) - L_k(y_n) \\
= d_n + (DL_k|_{y_n})(e_n) + (1/2)(D^2 L_k)|_{y_n+te_n})(e_n\otimes e_n)$.
\section {Bibliography}
\begin{itemize}
\item Richtmyer and Morton. Difference Methods for Initial Value Problems,
second edition (\copyright 1967).
\item R. LeVeque. Finite Volume Methods for Hyperbolic Problems (2002),
\S 8.2 - \S 8.3.
\end{itemize}
\end{document}