Past exam of the mathematics course of the University of Cambridge / 2010 / ii / Paper 3 / 39A (Numerical Analysis)

Take the boundary-fitted grid $h=1/(M+1)$ and assume the standard consistency of a numerical method hypothesis $u\in C^4(\overline{\Omega })$ with bounded fourth partial derivatives. Taylor expansion along each coordinate, including a bounded fourth-order remainder, gives the five-point Laplacian truncation errorThe numerical equation and exact grid values therefore imply $A_h\mathbf{e}=\mathbf{\tau }$, where $A_h=-{\Delta }_h$ with zero boundary values. Its discrete sine transform eigenvectors are $\sin (\pi rih)\sin (\pi sjh)$, $1\le r,s\le M$, and its eigenvalues areThe one-dimensional sine vectors form an orthogonal basis, hence so do their tensor products. The least eigenvalue occurs at $r=s=1$. Since $\sin (\pi h/2)\ge h$ for $0<h\le 1$, ${\lambda }_{11}\ge 8$, so the Euclidean operator norm of $A_h^{-1}$ is at most $1/8$. There are $M^2$ residual components, and $Mh<1$, givingThe factor $M$ matters: pointwise second-order consistency of a numerical method becomes first order in the unweighted Euclidean grid norm.

The PDF does not explicitly impose regularity on the exact solution. Without such a hypothesis its unrestricted error claim is false. Here is a counterexample, with a classical solution smooth in the open square and continuous with zero boundary values:The sampled numerical solution separates as $v_i\sin (\pi jh)$. Its error $e_i=v_i-g(ih)$ solves $Ae=\tau$, where $A=-{\Delta }_{h,x}+{\lambda }_{y}I$ and ${\lambda }_y=4h^{-2}{\sin }^2(\pi h/2)$. The one-dimensional residual is ${\tau }_i={\Delta }_{h,x}g(ih)-g^{\prime \prime }(ih)+({\pi }^2-{\lambda }_y)g(ih)$. At the first node,The leading coefficient is strictly negative. Moreover $g^{\prime \prime \prime \prime }<0$ on $(0,1)$, so the triangular-average formula for the second difference and concavity of $g^{\prime \prime }$ give ${\Delta }_{h,x}g\le g^{\prime \prime }$. Thus the positive part of every residual is at most $C{h}^2$. The matrix $A$ has a nonnegative inverse, and its first diagonal inverse entry is at least $1/(2h^{-2}+{\lambda }_y)$, as follows from the nonnegative Neumann expansion of its tridiagonal matrix. The discrete comparison principle bounds the inverse image of the residual's positive part by $C{h}^2$, while the negative first residual gives $e_1\le -c\sqrt{h}+C{h}^2$. Hence $|e_1|\ge c^{\prime }\sqrt{h}$ for small $h$. Since ${\sum }_{j=1}^M{\sin }^2(\pi jh)=1/(2h)$, the full Euclidean error is bounded below by a positive constant. It cannot be $O(h)$. Thus the boxed estimate holds for the intended smooth solution class; a regularity condition is genuinely necessary.