NAG Library Function Document
nag_pde_parab_1d_fd (d03pcc)
1 Purpose
nag_pde_parab_1d_fd (d03pcc) integrates a system of linear or nonlinear parabolic partial differential equations (PDEs) in one space variable. The spatial discretization is performed using finite differences, and the method of lines is employed to reduce the PDEs to a system of ordinary differential equations (ODEs). The resulting system is solved using a backward differentiation formula method.
2 Specification
#include <nag.h> 
#include <nagd03.h> 
void 
nag_pde_parab_1d_fd (Integer npde,
Integer m,
double *ts,
double tout,
void 
(*pdedef)(Integer npde,
double t,
double x,
const double u[],
const double ux[],
double p[],
double q[],
double r[],
Integer *ires,
Nag_Comm *comm),


double u[],
Integer npts,
const double x[],
double acc,
double rsave[],
Integer lrsave,
Integer isave[],
Integer lisave,
Integer itask,
Integer itrace,
const char *outfile,
Integer *ind,
Nag_Comm *comm, Nag_D03_Save *saved,
NagError *fail) 

3 Description
nag_pde_parab_1d_fd (d03pcc) integrates the system of parabolic equations:
where
${P}_{i,j}$,
${Q}_{i}$ and
${R}_{i}$ depend on
$x$,
$t$,
$U$,
${U}_{x}$ and the vector
$U$ is the set of solution values
and the vector
${U}_{x}$ is its partial derivative with respect to
$x$. Note that
${P}_{i,j}$,
${Q}_{i}$ and
${R}_{i}$ must not depend on
$\frac{\partial U}{\partial t}$.
The integration in time is from ${t}_{0}$ to ${t}_{\mathrm{out}}$, over the space interval $a\le x\le b$, where $a={x}_{1}$ and $b={x}_{{\mathbf{npts}}}$ are the leftmost and rightmost points of a userdefined mesh ${x}_{1},{x}_{2},\dots ,{x}_{{\mathbf{npts}}}$. The coordinate system in space is defined by the value of $m$;
$m=0$ for Cartesian coordinates,
$m=1$ for cylindrical polar coordinates and $m=2$ for spherical polar coordinates. The mesh should be chosen in accordance with the expected behaviour of the solution.
The system is defined by the functions
${P}_{i,j}$,
${Q}_{i}$ and
${R}_{i}$ which must be specified in
pdedef.
The initial values of the functions
$U\left(x,t\right)$ must be given at
$t={t}_{0}$. The functions
${R}_{i}$, for
$\mathit{i}=1,2,\dots ,{\mathbf{npde}}$, which may be thought of as fluxes, are also used in the definition of the boundary conditions for each equation. The boundary conditions must have the form
where
$x=a$ or
$x=b$.
The boundary conditions must be specified in
bndary.
The problem is subject to the following restrictions:
(i) 
${t}_{0}<{t}_{\mathrm{out}}$, so that integration is in the forward direction; 
(ii) 
${P}_{i,j}$,
${Q}_{i}$ and the flux ${R}_{i}$ must not depend on any time derivatives; 
(iii) 
the evaluation of the functions ${P}_{i,j}$,
${Q}_{i}$ and ${R}_{i}$ is done at the midpoints of the mesh intervals by calling the pdedef for each midpoint in turn. Any discontinuities in these functions must therefore be at one or more of the mesh points ${x}_{1},{x}_{2},\dots ,{x}_{{\mathbf{npts}}}$; 
(iv) 
at least one of the functions ${P}_{i,j}$ must be nonzero so that there is a time derivative present in the problem; and 
(v) 
if $m>0$ and ${x}_{1}=0.0$, which is the left boundary point, then it must be ensured that the PDE solution is bounded at this point. This can be done by either specifying the solution at $x=0.0$ or by specifying a zero flux there, that is ${\beta}_{i}=1.0$ and ${\gamma}_{i}=0.0$. See also Section 9. 
The parabolic equations are approximated by a system of ODEs in time for the values of ${U}_{i}$ at mesh points. For simple problems in Cartesian coordinates, this system is obtained by replacing the space derivatives by the usual central, threepoint finite difference formula. However, for polar and spherical problems, or problems with nonlinear coefficients, the space derivatives are replaced by a modified threepoint formula which maintains secondorder accuracy. In total there are ${\mathbf{npde}}\times {\mathbf{npts}}$ ODEs in the time direction. This system is then integrated forwards in time using a backward differentiation formula method.
4 References
Berzins M (1990) Developments in the NAG Library software for parabolic equations Scientific Software Systems (eds J C Mason and M G Cox) 59–72 Chapman and Hall
Berzins M, Dew P M and Furzeland R M (1989) Developing software for timedependent problems using the method of lines and differentialalgebraic integrators Appl. Numer. Math. 5 375–397
Dew P M and Walsh J (1981) A set of library routines for solving parabolic equations in one space variable ACM Trans. Math. Software 7 295–314
Skeel R D and Berzins M (1990) A method for the spatial discretization of parabolic equations in one space variable SIAM J. Sci. Statist. Comput. 11(1) 1–32
5 Arguments
 1:
$\mathbf{npde}$ – IntegerInput

On entry: the number of PDEs in the system to be solved.
Constraint:
${\mathbf{npde}}\ge 1$.
 2:
$\mathbf{m}$ – IntegerInput

On entry: the coordinate system used:
 ${\mathbf{m}}=0$
 Indicates Cartesian coordinates.
 ${\mathbf{m}}=1$
 Indicates cylindrical polar coordinates.
 ${\mathbf{m}}=2$
 Indicates spherical polar coordinates.
Constraint:
${\mathbf{m}}=0$, $1$ or $2$.
 3:
$\mathbf{ts}$ – double *Input/Output

On entry: the initial value of the independent variable $t$.
On exit: the value of
$t$ corresponding to the solution values in
u. Normally
${\mathbf{ts}}={\mathbf{tout}}$.
Constraint:
${\mathbf{ts}}<{\mathbf{tout}}$.
 4:
$\mathbf{tout}$ – doubleInput

On entry: the final value of $t$ to which the integration is to be carried out.
 5:
$\mathbf{pdedef}$ – function, supplied by the userExternal Function

pdedef must compute the functions
${P}_{i,j}$,
${Q}_{i}$ and
${R}_{i}$ which define the system of PDEs.
pdedef is called approximately midway between each pair of mesh points in turn by nag_pde_parab_1d_fd (d03pcc).
The specification of
pdedef is:
void 
pdedef (Integer npde,
double t,
double x,
const double u[],
const double ux[],
double p[],
double q[],
double r[],
Integer *ires,
Nag_Comm *comm)


 1:
$\mathbf{npde}$ – IntegerInput

On entry: the number of PDEs in the system.
 2:
$\mathbf{t}$ – doubleInput

On entry: the current value of the independent variable $t$.
 3:
$\mathbf{x}$ – doubleInput

On entry: the current value of the space variable $x$.
 4:
$\mathbf{u}\left[{\mathbf{npde}}\right]$ – const doubleInput

On entry: ${\mathbf{u}}\left[\mathit{i}1\right]$ contains the value of the component ${U}_{\mathit{i}}\left(x,t\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{npde}}$.
 5:
$\mathbf{ux}\left[{\mathbf{npde}}\right]$ – const doubleInput

On entry: ${\mathbf{ux}}\left[\mathit{i}1\right]$ contains the value of the component $\frac{\partial {U}_{\mathit{i}}\left(x,t\right)}{\partial x}$, for $\mathit{i}=1,2,\dots ,{\mathbf{npde}}$.
 6:
$\mathbf{p}\left[{\mathbf{npde}}\times {\mathbf{npde}}\right]$ – doubleOutput

On exit: ${\mathbf{p}}\left[{\mathbf{npde}}\times \left(\mathit{j}1\right)+\mathit{i}1\right]$ must be set to the value of ${P}_{\mathit{i},\mathit{j}}\left(x,t,U,{U}_{x}\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{npde}}$ and $\mathit{j}=1,2,\dots ,{\mathbf{npde}}$.
 7:
$\mathbf{q}\left[{\mathbf{npde}}\right]$ – doubleOutput

On exit: ${\mathbf{q}}\left[\mathit{i}1\right]$ must be set to the value of ${Q}_{\mathit{i}}\left(x,t,U,{U}_{x}\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{npde}}$.
 8:
$\mathbf{r}\left[{\mathbf{npde}}\right]$ – doubleOutput

On exit: ${\mathbf{r}}\left[\mathit{i}1\right]$ must be set to the value of ${R}_{\mathit{i}}\left(x,t,U,{U}_{x}\right)$, for $\mathit{i}=1,2,\dots ,{\mathbf{npde}}$.
 9:
$\mathbf{ires}$ – Integer *Input/Output

On entry: set to $1\text{ or}1$.
On exit: should usually remain unchanged. However, you may set
ires to force the integration function to take certain actions as described below:
 ${\mathbf{ires}}=2$
 Indicates to the integrator that control should be passed back immediately to the calling function with the error indicator set to ${\mathbf{fail}}\mathbf{.}\mathbf{code}=$ NE_USER_STOP.
 ${\mathbf{ires}}=3$
 Indicates to the integrator that the current time step should be abandoned and a smaller time step used instead. You may wish to set ${\mathbf{ires}}=3$ when a physically meaningless input or output value has been generated. If you consecutively set ${\mathbf{ires}}=3$, then nag_pde_parab_1d_fd (d03pcc) returns to the calling function with the error indicator set to ${\mathbf{fail}}\mathbf{.}\mathbf{code}=$ NE_FAILED_DERIV.
 10:
$\mathbf{comm}$ – Nag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to
pdedef.
 user – double *
 iuser – Integer *
 p – Pointer
The type Pointer will be
void *. Before calling nag_pde_parab_1d_fd (d03pcc) you may allocate memory and initialize these pointers with various quantities for use by
pdedef when called from nag_pde_parab_1d_fd (d03pcc) (see
Section 2.3.1.1 in How to Use the NAG Library and its Documentation).
 6:
$\mathbf{bndary}$ – function, supplied by the userExternal Function

bndary must compute the functions
${\beta}_{i}$ and
${\gamma}_{i}$ which define the boundary conditions as in equation
(3).
The specification of
bndary is:
void 
bndary (Integer npde,
double t,
const double u[],
const double ux[],
Integer ibnd,
double beta[],
double gamma[],
Integer *ires,
Nag_Comm *comm)


 1:
$\mathbf{npde}$ – IntegerInput

On entry: the number of PDEs in the system.
 2:
$\mathbf{t}$ – doubleInput

On entry: the current value of the independent variable $t$.
 3:
$\mathbf{u}\left[{\mathbf{npde}}\right]$ – const doubleInput

On entry:
${\mathbf{u}}\left[\mathit{i}1\right]$ contains the value of the component
${U}_{\mathit{i}}\left(x,t\right)$ at the boundary specified by
ibnd, for
$\mathit{i}=1,2,\dots ,{\mathbf{npde}}$.
 4:
$\mathbf{ux}\left[{\mathbf{npde}}\right]$ – const doubleInput

On entry:
${\mathbf{ux}}\left[\mathit{i}1\right]$ contains the value of the component
$\frac{\partial {U}_{\mathit{i}}\left(x,t\right)}{\partial x}$ at the boundary specified by
ibnd, for
$\mathit{i}=1,2,\dots ,{\mathbf{npde}}$.
 5:
$\mathbf{ibnd}$ – IntegerInput

On entry: determines the position of the boundary conditions.
 ${\mathbf{ibnd}}=0$
 bndary must set up the coefficients of the lefthand boundary, $x=a$.
 ${\mathbf{ibnd}}\ne 0$
 Indicates that bndary must set up the coefficients of the righthand boundary, $x=b$.
 6:
$\mathbf{beta}\left[{\mathbf{npde}}\right]$ – doubleOutput

On exit:
${\mathbf{beta}}\left[\mathit{i}1\right]$ must be set to the value of
${\beta}_{\mathit{i}}\left(x,t\right)$ at the boundary specified by
ibnd, for
$\mathit{i}=1,2,\dots ,{\mathbf{npde}}$.
 7:
$\mathbf{gamma}\left[{\mathbf{npde}}\right]$ – doubleOutput

On exit:
${\mathbf{gamma}}\left[\mathit{i}1\right]$ must be set to the value of
${\gamma}_{\mathit{i}}\left(x,t,U,{U}_{x}\right)$ at the boundary specified by
ibnd, for
$\mathit{i}=1,2,\dots ,{\mathbf{npde}}$.
 8:
$\mathbf{ires}$ – Integer *Input/Output

On entry: set to $1\text{ or}1$.
On exit: should usually remain unchanged. However, you may set
ires to force the integration function to take certain actions as described below:
 ${\mathbf{ires}}=2$
 Indicates to the integrator that control should be passed back immediately to the calling function with the error indicator set to ${\mathbf{fail}}\mathbf{.}\mathbf{code}=$ NE_USER_STOP.
 ${\mathbf{ires}}=3$
 Indicates to the integrator that the current time step should be abandoned and a smaller time step used instead. You may wish to set ${\mathbf{ires}}=3$ when a physically meaningless input or output value has been generated. If you consecutively set ${\mathbf{ires}}=3$, then nag_pde_parab_1d_fd (d03pcc) returns to the calling function with the error indicator set to ${\mathbf{fail}}\mathbf{.}\mathbf{code}=$ NE_FAILED_DERIV.
 9:
$\mathbf{comm}$ – Nag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to
bndary.
 user – double *
 iuser – Integer *
 p – Pointer
The type Pointer will be
void *. Before calling nag_pde_parab_1d_fd (d03pcc) you may allocate memory and initialize these pointers with various quantities for use by
bndary when called from nag_pde_parab_1d_fd (d03pcc) (see
Section 2.3.1.1 in How to Use the NAG Library and its Documentation).
 7:
$\mathbf{u}\left[{\mathbf{npde}}\times {\mathbf{npts}}\right]$ – doubleInput/Output

On entry: the initial values of $U\left(x,t\right)$ at $t={\mathbf{ts}}$ and the mesh points
${\mathbf{x}}\left[\mathit{j}1\right]$, for $\mathit{j}=1,2,\dots ,{\mathbf{npts}}$.
On exit: ${\mathbf{u}}\left[{\mathbf{npde}}\times \left(\mathit{j}1\right)+\mathit{i}1\right]$ will contain the computed solution at $t={\mathbf{ts}}$.
 8:
$\mathbf{npts}$ – IntegerInput

On entry: the number of mesh points in the interval $\left[a,b\right]$.
Constraint:
${\mathbf{npts}}\ge 3$.
 9:
$\mathbf{x}\left[{\mathbf{npts}}\right]$ – const doubleInput

On entry: the mesh points in the spatial direction. ${\mathbf{x}}\left[0\right]$ must specify the lefthand boundary, $a$, and ${\mathbf{x}}\left[{\mathbf{npts}}1\right]$ must specify the righthand boundary, $b$.
Constraint:
${\mathbf{x}}\left[0\right]<{\mathbf{x}}\left[1\right]<\cdots <{\mathbf{x}}\left[{\mathbf{npts}}1\right]$.
 10:
$\mathbf{acc}$ – doubleInput

On entry: a positive quantity for controlling the local error estimate in the time integration. If
$E\left(i,j\right)$ is the estimated error for
${U}_{i}$ at the
$j$th mesh point, the error test is:
Constraint:
${\mathbf{acc}}>0.0$.
 11:
$\mathbf{rsave}\left[{\mathbf{lrsave}}\right]$ – doubleCommunication Array

If
${\mathbf{ind}}=0$,
rsave need not be set on entry.
If
${\mathbf{ind}}=1$,
rsave must be unchanged from the previous call to the function because it contains required information about the iteration.
 12:
$\mathbf{lrsave}$ – IntegerInput

On entry: the dimension of the array
rsave.
Constraint:
${\mathbf{lrsave}}\ge \left(6\times {\mathbf{npde}}+10\right)\times {\mathbf{npde}}\times {\mathbf{npts}}+\left(3\times {\mathbf{npde}}+21\right)\times {\mathbf{npde}}+7\times {\mathbf{npts}}+54$.
 13:
$\mathbf{isave}\left[{\mathbf{lisave}}\right]$ – IntegerCommunication Array

If
${\mathbf{ind}}=0$,
isave need not be set on entry.
If
${\mathbf{ind}}=1$,
isave must be unchanged from the previous call to the function because it contains required information about the iteration. In particular:
 ${\mathbf{isave}}\left[0\right]$
 Contains the number of steps taken in time.
 ${\mathbf{isave}}\left[1\right]$
 Contains the number of residual evaluations of the resulting ODE system used. One such evaluation involves computing the PDE functions at all the mesh points, as well as one evaluation of the functions in the boundary conditions.
 ${\mathbf{isave}}\left[2\right]$
 Contains the number of Jacobian evaluations performed by the time integrator.
 ${\mathbf{isave}}\left[3\right]$
 Contains the order of the last backward differentiation formula method used.
 ${\mathbf{isave}}\left[4\right]$
 Contains the number of Newton iterations performed by the time integrator. Each iteration involves an ODE residual evaluation followed by a backsubstitution using the $LU$ decomposition of the Jacobian matrix.
 14:
$\mathbf{lisave}$ – IntegerInput

On entry: the dimension of the array
isave.
Constraint:
${\mathbf{lisave}}\ge {\mathbf{npde}}\times {\mathbf{npts}}+24$.
 15:
$\mathbf{itask}$ – IntegerInput

On entry: specifies the task to be performed by the ODE integrator.
 ${\mathbf{itask}}=1$
 Normal computation of output values u at $t={\mathbf{tout}}$.
 ${\mathbf{itask}}=2$
 One step and return.
 ${\mathbf{itask}}=3$
 Stop at first internal integration point at or beyond $t={\mathbf{tout}}$.
Constraint:
${\mathbf{itask}}=1$, $2$ or $3$.
 16:
$\mathbf{itrace}$ – IntegerInput

On entry: the level of trace information required from nag_pde_parab_1d_fd (d03pcc) and the underlying ODE solver.
itrace may take the value
$1$,
$0$,
$1$,
$2$ or
$3$.
 ${\mathbf{itrace}}=1$
 No output is generated.
 ${\mathbf{itrace}}=0$
 Only warning messages from the PDE solver are printed.
 ${\mathbf{itrace}}>0$
 Output from the underlying ODE solver is printed. This output contains details of Jacobian entries, the nonlinear iteration and the time integration during the computation of the ODE system.
If ${\mathbf{itrace}}<1$, then $1$ is assumed and similarly if ${\mathbf{itrace}}>3$, then $3$ is assumed.
The advisory messages are given in greater detail as
itrace increases.
 17:
$\mathbf{outfile}$ – const char *Input

On entry: the name of a file to which diagnostic output will be directed. If
outfile is
NULL the diagnostic output will be directed to standard output.
 18:
$\mathbf{ind}$ – Integer *Input/Output

On entry: indicates whether this is a continuation call or a new integration.
 ${\mathbf{ind}}=0$
 Starts or restarts the integration in time.
 ${\mathbf{ind}}=1$
 Continues the integration after an earlier exit from the function. In this case, only the arguments tout and fail should be reset between calls to nag_pde_parab_1d_fd (d03pcc).
Constraint:
${\mathbf{ind}}=0$ or $1$.
On exit: ${\mathbf{ind}}=1$.
 19:
$\mathbf{comm}$ – Nag_Comm *

The NAG communication argument (see
Section 2.3.1.1 in How to Use the NAG Library and its Documentation).
 20:
$\mathbf{saved}$ – Nag_D03_Save *Communication Structure

saved must remain unchanged following a previous call to a
Chapter d03 function and prior to any subsequent call to a
Chapter d03 function.
 21:
$\mathbf{fail}$ – NagError *Input/Output

The NAG error argument (see
Section 2.7 in How to Use the NAG Library and its Documentation).
6 Error Indicators and Warnings
 NE_ACC_IN_DOUBT

Integration completed, but a small change in
acc is unlikely to result in a changed solution.
${\mathbf{acc}}=\u2329\mathit{\text{value}}\u232a$.
 NE_ALLOC_FAIL

Dynamic memory allocation failed.
See
Section 2.3.1.2 in How to Use the NAG Library and its Documentation for further information.
 NE_BAD_PARAM

On entry, argument $\u2329\mathit{\text{value}}\u232a$ had an illegal value.
 NE_FAILED_DERIV

In setting up the ODE system an internal auxiliary was unable to initialize the derivative. This could be due to your setting
${\mathbf{ires}}=3$ in
pdedef or
bndary.
 NE_FAILED_START

acc was too small to start integration:
${\mathbf{acc}}=\u2329\mathit{\text{value}}\u232a$.
 NE_FAILED_STEP

Error during Jacobian formulation for ODE system. Increase
itrace for further details.
Repeated errors in an attempted step of underlying ODE solver. Integration was successful as far as
ts:
${\mathbf{ts}}=\u2329\mathit{\text{value}}\u232a$.
Underlying ODE solver cannot make further progress from the point
ts with the supplied value of
acc.
${\mathbf{ts}}=\u2329\mathit{\text{value}}\u232a$,
${\mathbf{acc}}=\u2329\mathit{\text{value}}\u232a$.
 NE_INCOMPAT_PARAM

On entry, ${\mathbf{m}}=\u2329\mathit{\text{value}}\u232a$ and ${\mathbf{x}}\left[0\right]=\u2329\mathit{\text{value}}\u232a$.
Constraint: ${\mathbf{m}}\le 0$ or ${\mathbf{x}}\left[0\right]\ge 0.0$
 NE_INT

ires set to an invalid value in call to
pdedef or
bndary.
On entry, ${\mathbf{ind}}=\u2329\mathit{\text{value}}\u232a$.
Constraint: ${\mathbf{ind}}=0$ or $1$.
On entry, ${\mathbf{itask}}=\u2329\mathit{\text{value}}\u232a$.
Constraint: ${\mathbf{itask}}=1$, $2$ or $3$.
On entry, ${\mathbf{m}}=\u2329\mathit{\text{value}}\u232a$.
Constraint: ${\mathbf{m}}=0$, $1$ or $2$.
On entry, ${\mathbf{npde}}=\u2329\mathit{\text{value}}\u232a$.
Constraint: ${\mathbf{npde}}\ge 1$.
On entry, ${\mathbf{npts}}=\u2329\mathit{\text{value}}\u232a$.
Constraint: ${\mathbf{npts}}\ge 3$.
 NE_INT_2

On entry,
lisave is too small:
${\mathbf{lisave}}=\u2329\mathit{\text{value}}\u232a$. Minimum possible dimension:
$\u2329\mathit{\text{value}}\u232a$.
On entry,
lrsave is too small:
${\mathbf{lrsave}}=\u2329\mathit{\text{value}}\u232a$. Minimum possible dimension:
$\u2329\mathit{\text{value}}\u232a$.
 NE_INTERNAL_ERROR

An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact
NAG for assistance.
An unexpected error has been triggered by this function. Please contact
NAG.
See
Section 2.7.6 in How to Use the NAG Library and its Documentation for further information.
Serious error in internal call to an auxiliary. Increase
itrace for further details.
 NE_NO_LICENCE

Your licence key may have expired or may not have been installed correctly.
See
Section 2.7.5 in How to Use the NAG Library and its Documentation for further information.
 NE_NOT_CLOSE_FILE

Cannot close file $\u2329\mathit{\text{value}}\u232a$.
 NE_NOT_STRICTLY_INCREASING

On entry, mesh points
x appear to be badly ordered:
$\mathit{I}=\u2329\mathit{\text{value}}\u232a$,
${\mathbf{x}}\left[\mathit{I}1\right]=\u2329\mathit{\text{value}}\u232a$,
$\mathit{J}=\u2329\mathit{\text{value}}\u232a$ and
${\mathbf{x}}\left[\mathit{J}1\right]=\u2329\mathit{\text{value}}\u232a$.
 NE_NOT_WRITE_FILE

Cannot open file $\u2329\mathit{\text{value}}\u232a$ for writing.
 NE_REAL

On entry, ${\mathbf{acc}}=\u2329\mathit{\text{value}}\u232a$.
Constraint: ${\mathbf{acc}}>0.0$.
 NE_REAL_2

On entry, ${\mathbf{tout}}=\u2329\mathit{\text{value}}\u232a$ and ${\mathbf{ts}}=\u2329\mathit{\text{value}}\u232a$.
Constraint: ${\mathbf{tout}}>{\mathbf{ts}}$.
On entry, ${\mathbf{tout}}{\mathbf{ts}}$ is too small:
${\mathbf{tout}}=\u2329\mathit{\text{value}}\u232a$ and ${\mathbf{ts}}=\u2329\mathit{\text{value}}\u232a$.
 NE_SING_JAC

Singular Jacobian of ODE system. Check problem formulation.
 NE_TIME_DERIV_DEP

Flux function appears to depend on time derivatives.
 NE_USER_STOP

In evaluating residual of ODE system,
${\mathbf{ires}}=2$ has been set in
pdedef or
bndary. Integration is successful as far as
ts:
${\mathbf{ts}}=\u2329\mathit{\text{value}}\u232a$.
7 Accuracy
nag_pde_parab_1d_fd (d03pcc) controls the accuracy of the integration in the time direction but not the accuracy of the approximation in space. The spatial accuracy depends on both the number of mesh points and on their distribution in space. In the time integration only the local error over a single step is controlled and so the accuracy over a number of steps cannot be guaranteed. You should therefore test the effect of varying the accuracy argument,
acc.
8 Parallelism and Performance
nag_pde_parab_1d_fd (d03pcc) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
nag_pde_parab_1d_fd (d03pcc) makes calls to BLAS and/or LAPACK routines, which may be threaded within the vendor library used by this implementation. Consult the documentation for the vendor library for further information.
Please consult the
x06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this function. Please also consult the
Users' Note for your implementation for any additional implementationspecific information.
nag_pde_parab_1d_fd (d03pcc) is designed to solve parabolic systems (possibly including some elliptic equations) with secondorder derivatives in space. The argument specification allows you to include equations with only firstorder derivatives in the space direction but there is no guarantee that the method of integration will be satisfactory for such systems. The position and nature of the boundary conditions in particular are critical in defining a stable problem. It may be advisable in such cases to reduce the whole system to firstorder and to use the Keller box scheme function
nag_pde_parab_1d_keller (d03pec).
The time taken depends on the complexity of the parabolic system and on the accuracy requested.
10 Example
We use the example given in
Dew and Walsh (1981) which consists of an ellipticparabolic pair of PDEs. The problem was originally derived from a single thirdorder in space PDE. The elliptic equation is
and the parabolic equation is
where
$\left(r,t\right)\in \left[0,1\right]\times \left[0,1\right]$. The boundary conditions are given by
and
The first of these boundary conditions implies that the flux term in the second PDE,
$\left(\frac{\partial {U}_{2}}{\partial r}{U}_{2}{U}_{1}\right)$, is zero at $r=0$.
The initial conditions at
$t=0$ are given by
The value
$\alpha =1$ was used in the problem definition. A mesh of
$20$ points was used with a circular mesh spacing to cluster the points towards the righthand side of the spatial interval,
$r=1$.
10.1 Program Text
Program Text (d03pcce.c)
10.2 Program Data
None.
10.3 Program Results
Program Results (d03pcce.r)