Clarke’s Third Law: Any sufficiently advanced technology is indistinguishable from magic.

– Arthur C. Clarke

One of the most important things about modern computational methods is their nonlinear approach to solving problems. **These methods are easily far more important to the utility of modeling and simulation in the modern world than high performance computing**. The sad thing is that little or no effort is going into extending and improving these approaches despite the evidence of their primacy. Our current investments in hardware are unlikely to yield much improvement whereas these methods were utterly revolutionary in their impact. The lack of perspective regarding this reality is leading to vast investment in computing technology that will provide minimal returns.

In this case the nonlinearity is the use of solution adaptive methods that apply the “best” method adjusted to the local structure of the solution itself. **In many cases the methods are well grounded in theory, and provided the essential push of improvement in results that have powered computational physics into a powerful technology**. Without these methods we would not have the capacity to reliably simulate many scientifically interesting and important problems, or utilize simulation in the conduct of engineering. The epitome of modeling and simulation success is computational fluid dynamics (CFD) where these nonlinear methods have provided the robust stability and stunning results capturing imaginations. In CFD these methods were utterly game changing and the success of the entire field is predicated on their power. **The key to this power is poorly understood, and too often credited to computing hardware instead of the real source of progress: models, methods and algorithms with the use of nonlinear discretizations being primal.**** **

And a step backward, after making a wrong turn, is a step in the right direction.

― **Kurt Vonnegut**

Unfortunately, we live in an era where the power of these methods and algorithms is under-utilized. Instead we see an almost complete emphasis on computing hardware as the route toward progress. This emphasis is naïve, and ultimately limits the capacity of computing, modeling and simulation to become a boon to society. Our current efforts are utterly shallow intellectually and almost certainly bound to fail. This failure wouldn’t be the good kind of failure since the upcoming crash is absolutely predictable. **Computing hardware is actually the least important and most distant aspect of computing technology necessary for the success of simulation**. High performing computers are absolutely necessary, but woefully insufficient for success. A deeper and more appreciative understanding of nonlinear methods for solving our models would go a long way to harnessing the engine of progress.

When one thinks about these things that almost immediately comes to mind with nonlinear methods is the term “*limiters*”. Often limiters are viewed as being a rather heavy-handed and crude approach to things. A limiter is a term inherited from the physics community where physical effects in modeling and simulation need to be limited to stay within some prescribed physical bounds. For example keeping transport within the limit of the speed of light for radiation transport. Another example would be a limit keeping positive-definite quantities such as density or pressure, positive. **In nonlinear methods the term limiter often can be interpreted as limiting the amount of high-order method used in solving an equation**. It has been found that without limits high-order methods produce anomalous effects (e.g., oscillations, solutions outside bounds, non-positivity). The limiter becomes a mixing parameter for high-order and low-order method for solving a transport equation. Usually the proviso is that the low-order method is guaranteed to produce a physically admissible solution.

All theories are legitimate, no matter. What matters is what you do with them.

― Jorge Luis Borges

*To keep from falling into the old traps of how to talk about things, let’s take a deeper look at how these things work, and why. Also explore the alternatives to limiters and the ways everything needs to work together to be effective. There is more than one way to make it all work, but the recipe ends up being quite the same at the high end*.

Ideally, we would like to have highly accurate, very stable, and completely reliable computations. The fundamental nature of our models of the universe conspire to make this far from a trivial task. **Our models being comprised of mathematical expressions then are governed by mathematical realities. These realities in the form of fundamental theorems provide a foundation upon which excellent numerical methods may be built**. Last week I discussed the Lax Equivalence theorem and this is a good place to start. There the combination of consistency and stability imply convergence of solutions. Consistency is having numerical accuracy if at least first order, but higher than first order accuracy will be more efficient. Stability is the nature of just getting a solution that hangs together (doesn’t blow up as we compute it). **Stability is something so essential to success that it supersedes anything else when it is absent**. Next in our tour of basic foundational theorems is Godunov’s theorem, which tells us a lot about what is needed. In its original form it’s a bit of a downer, you can’t have a linear method be higher than first-order accurate and non-oscillatory (monotonicity preserving). **The key concept is to turn the barrier on its head, you can have a nonlinear method be higher than first-order accurate and non-oscillatory**. This is then the instigation for the topic of this post, the need and power of nonlinear methods. I’ll posit the idea that the concept may actually go beyond hyperbolic equations, but the whole concept of nonlinear discretizations is primarily applied to hyperbolic equations.

A few more theorems help to flesh out the basic principles we bring to bear. A key result is the theorem of Lax and Wendroff that shows the value of discrete conservation. If one has conservation then you can show that you are achieving weak solutions. **This must be combined with picking the right weak solution, as there are actually infinitely many weak solutions, all of them wrong save one**. The task of getting the right weak solution is produced with sufficient dissipation, which produces entropy. **Key results are due to Osher who attached the character of (approximate) Riemann solvers to the production of sufficient dissipation to insure physically relevant solutions**. As we will describe there are other means to introducing dissipation aside from Riemann solvers, but these lack some degree of theoretical support unless we can tie them directly to the Riemann problem. Of course most of us want physically relevant solutions although lots of mathematicians act like this is not a primal concern! There is a vast phalanx of other theorems of practical interest, but I will end this survey with a last one by Osher and Majda with lots of practical import. Simply stated this theorem limits the numerical accuracy we can achieve in regions affected by a discontinuous solution to first-order accuracy. The impacted region is bounded by the characteristics emanating from the discontinuity. This puts a damper on the zeal for formally high order accurate methods, which needs to be considered in the context of this theorem.

Whenever a theory appears to you as the only possible one, take this as a sign that you have neither understood the theory nor the problem which it was intended to solve.

― Karl Popper

I will note that we are focused on hyperbolic equations because they are so much harder to solve. It remains an open question as to how much all of this applies to parabolic or elliptic equations. I suspect it does albeit to a less degree because those equations are so much more forgiving. **Hyperbolic equations are deeply unforgiving and cause you to pay for all sins many times over**. For this reason hyperbolic equations have been a pacing aspect of computational modeling where nonlinear methods have allowed progress and to some degree tamed the demons.

Let’s return to the idea of limiters and act to dissuade the common view of limiters and their intrinsic connection to dissipation. The connection there is real, but less direct than commonly acknowledged. **A limiter is really a means of stencil selection in an adaptive manner separate from dissipation**. They may be combined, but usually not with good comprehension of the consequences. Another way to view the limiter is a way of selecting the appropriate bias in the stencil used to difference an equation based upon the application of a principle. The principle most often used for limiting is some sort of boundedness in the representation, which may equivalently be associated with selecting a smoother (nicer) neighborhood to execute the discretization on. The way an equation is differenced certainly impacts the nature and need for dissipation in the solution, but it is indirect. Put differently, the amount of dissipation needed with the application of a limiter varies both with the limiter itself, but also with the dissipation mechanism, but the two are independent. This does get into the whole difference between flux limiters and geometric limiters, a topic worth some digestion.

In examining the topic of limiters and nonlinear stabilization we find an immediate and significant line of demarcation between two philosophical tenets. The first limiters came from limiting fluxes in the method of flux corrected transport. An alternative approach is found through extending Godunov’s method to higher order accuracy, and involves the limiting of the geometric reconstruction of variables. **In the case of flux limiting, the accuracy and dissipation (e.g. stabilization) are mixed together while the geometric approach separates these effects into independent steps**. The geometric approach puts bounds on the variables being solved, and then relies on an agnostic approach to the variables for stabilization in the form of a Riemann solver. Both approaches are successful in solving complex systems of equations and have their rabid adherents (I favor the reconstruct-Riemann approach). The flux form can be quite effective and produces better extensions to multiple dimensions, but can also involve heavy-handed dissipation mechanisms.

If one follows the path using geometric reconstruction several aspects of nonlinear stabilization may be examined more effectively. Many of the key issues associated with the nonlinear stabilization are crystal clear in this context. **The clearest example is monotonicity of the reconstruction. It is easy to see how the reconstructed version of the solution is bounded (or not) compared to the local variable’s bounds**. It is generally appreciated that the application of monotonicity renders solutions relatively low order in accuracy. This is most acute at extrema in the solution where the accuracy degrades to first-order intrinsically. What becomes even more enabled by looking at the geometric reconstruction is moving beyond monotonicity to stabilization that provides better accuracy. The derivation of methods that do not degrade accuracy at extrema, but extend the concept of boundedness appropriately is much clearer with a geometric approach. Solving this problem effectively is a key to producing methods with greater numerical accuracy and better efficiency computationally. While this may be achieved via flux limiters with some success there are serious issues in conflating geometric fidelity with dissipative stabilization mechanisms.

The needs for dissipation in schemes are often viewed with significant despair by parts of the physics community. Much of the conventional wisdom would dictate that dissipation-free solutions are favored. **This is rather unfortunate because dissipation is the encoding of powerful physics principles into methods rather than some sort of crude numerical artifice**. Their specific and bounded dissipative character governs most complex nonlinear systems. If the solution has too little dissipation, the solution is not physical. As such, dissipation is necessary and its removal could be catastrophic.

The first stabilization of numerical methods was found with the original artificial viscosity (developed by Robert Richtmyer to stabilize and make useful John Von Neumann’s numerical method for shock waves). The name “artificial viscosity” is vastly unfortunate because the dissipation is utterly physical. Without its presence the basic numerical method was utterly and completely useless leading to a catastrophic instability (almost certainly helped instigate the investigation of numerical stability along with instability in integrating parabolic equations). **Physically most interesting nonlinear systems produce dissipation even in the limit where the explicit dissipation can be regarded as vanishingly small**. This is true for shock waves and turbulence where the dissipation in the inviscid limit hasremarkably similar forms structurally. Given this basic need, the application of some sort of stabilization is an absolute necessity to produce meaningful results both from a purely numerical respect and the implicit connection to the physical World. I’ve written recently on the use of hyperviscosity as yet another mechanism for producing dissipation. Here the artificial viscosity is the archetype of hyperviscosity and its simplest form. As I’ve mentioned before the original turbulent subgrid model was also based directly upon the artificial viscosity devised by Richtmyer (often misattributed to Von Neumann although their collaboration clearly was important).

The other approach to stabilization is at first blush utterly different in approach, but upon deep reflection completely similar and complementary. For other numerical methods the use of Riemann solvers can be used to provide stability. A Riemann solver uses the nature of a local (approximate) exact physical solution to resolve a flow locally. **In this way the nature of the physical propagation of information provides a more stable representation of the solution. It turns out that the Riemann solution will produce an implicit dissipative effect that impacts the solution much like artificial viscosity would**. The real power is exploiting this implicit dissipative effect to provide real synergy where each may provide complementary views of stabilization. For example a Riemann solver produces a complete image of what modes in a solution must be stabilized in a manner that might inform the construction of an improved artificial viscosity. On the other hand artificial viscosity applies to nonlinearities often ignored by approximate Riemann solvers. Finding an equivalence between the two can produce more robust and complete Riemann solvers. As is true with most things, true innovation can be achieved through an openmind and a two way street.

Perhaps I will attend to a deeper discussion of how high-order accuracy connects to these ideas in next week’s post. I’ll close with a bit of speculation. In my view one of the keys to the future is how to figure out how to efficiently harness high-order methods for more accurate solutions with sufficient robustness. New computing platforms dearly need the computational intensity offered by high-order methods to keep themselves busy in auseful manner because of exorbitant memory access costs. **Because practical problems are ugly with all sorts of horrible nonlinearities and effectively singular features, the actual attainment of high-order convergence of solutions is unachievable**. Making high-order methods both robust enough and efficient enough under these conditions has thus far eluded our existing practice.

Extending the ideas of nonlinear methods to other physics is another direction needed**. For example, do any of these ideas apply to parabolic equations with high-order methods?** There are some key ideas of physically relevant solutions, but parabolic equations are generally so forgiving no focus is given. The question of whether something like Godunov’s theorem applying to high-order solution of parabolic equations is worth asking (I think a modified version of it might well). I will not that some non-oscillatory schemes do apply to extremely nonlinear parabolic equations exhibiting wave-like solutions.

The last bit of speculation will apply to the application of these ideas to common methods for solid mechanics. Generally it has been found that artificial viscosity is needed for stabling integrating solid mechanical models. Unfortunately this is using the crudest and least justified philosophy of artificial viscosity. **Solid mechanics could deeply utilize the principles of nonlinear methods to very great effect. Solid mechanics is basically a system hyperbolic equations abiding by the full set of foundational conditions elucidated earlier in the post**. As such everything should follow as a matter of course. Today this is not the case and my belief is that the codes suffer greatly from a lack of robustness and deeper mathematical foundation for the modeling and simulation capability.

**The success of modeling and simulation as a technological tool and engine of progress would be well served by focus on nonlinear discretization lacking almost entirely from our current emphasis on hardware**.

The reasonable man adapts himself to the world: the unreasonable one persists in trying to adapt the world to himself. Therefore all progress depends on the unreasonable man.

― George Bernard Shaw

References

VonNeumann, John, and Robert D. Richtmyer. “A method for the numerical calculation of hydrodynamic shocks.” *Journal of applied physics* 21.3 (1950): 232-237.

Lax, Peter D., and Robert D. Richtmyer. “Survey of the stability of linear finite difference equations.” *Communications on Pure and Applied Mathematics* 9.2 (1956): 267-293.

Godunov, Sergei Konstantinovich. “A difference method for numerical calculation of discontinuous solutions of the equations of hydrodynamics.”*Matematicheskii Sbornik* 89.3 (1959): 271-306.

Lax, Peter, and Burton Wendroff. “Systems of conservation laws.”*Communications on Pure and Applied mathematics* 13.2 (1960): 217-237.

Osher, Stanley. “Riemann solvers, the entropy condition, and difference.”*SIAM Journal on Numerical Analysis* 21.2 (1984): 217-235.

Majda, Andrew, and Stanley Osher. “Propagation of error into regions of smoothness for accurate difference approximations to hyperbolic equations.”*Communications on Pure and Applied Mathematics* 30.6 (1977): 671-705.

Harten, Amiram, James M. Hyman, Peter D. Lax, and Barbara Keyfitz. “On finite‐difference approximations and entropy conditions for shocks.”*Communications on pure and applied mathematics* 29, no. 3 (1976): 297-322.

Boris, Jay P., and David L. Book. “Flux-corrected transport. I. SHASTA, A fluid transport algorithm that works.” *Journal of computational physics* 11.1 (1973): 38-69.

Zalesak, Steven T. “Fully multidimensional flux-corrected transport algorithms for fluids.” *Journal of computational physics* 31.3 (1979): 335-362.

Van Leer, Bram. “Towards the ultimate conservative difference scheme. V. A second-order sequel to Godunov’s method.” *Journal of computational Physics* 32.1 (1979): 101-136.

Van Leer, Bram. “Towards the ultimate conservative difference scheme. IV. A new approach to numerical convection.” *Journal of computational physics*23.3 (1977): 276-299.

Liu, Yuanyuan, Chi-Wang Shu, and Mengping Zhang. “High order finite difference WENO schemes for nonlinear degenerate parabolic equations.”*SIAM Journal on Scientific Computing* 33.2 (2011): 939-965.

Katate Masatsuka

said:Hi Bill,

I’m Hiro. I enjoy your blog very much.

>do any of these ideas apply to parabolic equations with high-order methods?

I like this question because I can say “Yes”.

In my hyperbolic method, all techniques developed for hyperbolic problems directly apply to diffusion/viscous terms. I’d expect limiters to play key roles for diffusion/viscous problems under certain circumstances.

Hiro

http://www.hiroakinishikawa.com

Bill Rider

said:Hiro,

I should have thought about your work earlier. Thanks for the reminder. One can always look at things as a hyperbolic system and then the connections should be obvious. The question once you get that out of the way is translating back into the classical forms… For example heat conduction, for the classical parabolic form what sort of form would Godunov’s theorem take? I have a hunch, but haven’t crunched through the details.