Partial Differential Equations

& waves
Professor Sir Michael Brady FRS FREng

Michaelmas 2005
 Analysing physical systems
Formulate the most appropriate mathematical model for the
system of interest this is very often a PDE
Diffusion of charge, flow of heat, absorption of a drug
Propagation of waves across water, electrical networks,
with/without loss of energy
steady state no further change in stress analysis,
heat or fluid flow,
Figure out the appropriate boundary conditions, apply them
We will recall from ODEs: a single equation can have lots of very
different solutions, the boundary conditions determine which
Solve the PDE
In this course, solutions will be analytic = algebra & calculus
Real life is not like that!! Numerical solutions include finite difference
and finite element techniques
This is what a large part of Engineering science & practice is about.
 but why partial differential
equations
A physical system is characterised by its state at any point
in space and time
u ( x, y, z , t ), temperature in here, now
u
State varies over time:
t
2u
State also varies over space: things like
xy
Surely, we need to relate these variations to each othere.g.
u u 2
=k 2
t x
How do we relate spatial variations
to temporal variations?
Constituent equations which you met in vector
calculus embody physical constraints such as
conservation of mass,
conservation of enthalpy
In the case of an insulated, diffusing distribution of
heat, the equation (which we will derive later) is:
u 2u 2u 2u
= k 2 + 2 + 2
t x y z
That is, the spatial change is directly proportional k to
the temporal change
Dont panic! Well work mostly in one spatial dimension
 An example of a PDE:
the one-dimensional heat equation

u 2 u
2
=c
t x 2

K
In this case : c =
2

K = thermal conductivi ty
= specific heat
= density of the material
 Another example:
the one-dimensional wave
equation

u 2
2 u
2
= c
t 2
x 2

T
In this case : c 2 =

T = tension in the string
= mass/unit length of the string
 Background to this course
Partial differentiation
Electrical
Ordinary Differential engineering
Equations Partial Differential
Equations
Mechanical
Fourier series engineering

Numerical methods Civil

engineering
Vector calculus
Biomedical
We now give brief reminders of partial differentiation,
ODEs, and Fourier series. Please re-read the
engineering
relevant parts of Kreysig if you are shaky on some
particular part
 Partial derivatives*
Consider the function : u ( x, y ) = a ( x y ) + cxy + d
2 2

u
Partial derivative with respect to x : = 2ax + cy
x
u
Notation : ux
x
From which:
u xx = 2 a
u xy = c

* Please refer to Kreysig, 8th Edition,

pages A57 A60 for a refresher
 Partial differentiation with respect to y
u ( x, y ) = a( x 2 y 2 ) + cxy + d
u y = 2ay + cx
u yy = 2a
u yx = c
Evidently, changing the order of differentiation makes
no difference:
u u
=
y x x y
This is the case whenever u varies smoothly with
respect to x and y. This is almost always so.
 Chain rule*
Suppose that we are given a function C (u , v)
where u = u ( x, y ) and v = v( x, y )
C C
The total variation in C is dC = du + dv
u v

From which we find

C x = Cu u x + C v v x
C y = Cu u y + C v v y
*Kreysig, 8th Edition, page 444
 Ordinary differential equations
dy
First order + ay = 0 y = Ae ax
dx Kreysig, 8th Edn, pp 19-21

d2y dy
Second order* a 2
+ b +c=0 am 2 + bm + c = 0
dx dx
Auxiliary equation

Case 1: real, unequal roots 1 , 2 y = Ae 1x + Be 2 x

Case 2 : real, equal roots y = ( Ax + B)e x
Case 3 : complex roots a j y = e ax ( A cos x + B sin x)

*Kreysig, 8th Edn, Chapter 2

 Homogeneous equations:
superposition of solutions
The terms on the left side of : y ' '+ p ( x) y '+ q ( x) y = r ( x)
contain the unknown function y ( x) or one of its derivative s.
If r ( x) = 0, the ODE is then called homogeneou s

Fundamental theorem* about homogeneous ODEs:

if y1 ( x) and y2 ( x) are solutions to a given ODE, then
c1 y1 ( x) + c2 y2 ( x) is also a solution, where ci are constants.
More generally, any linear superposition of solutions
c y ( x)
i
i i

is a solution.

*Kreysig, 8th Edn, p66

 How we use superposition of solutions
d2y
Consider: 2
ky = 0 where k can be +ve, -ve, 0
dx
x x
k > 0, say k = 2
y = Ae + Be
k =0 y = Cx + D
k < 0, say k = 2
y = E cos x + F sin x
We superpose these solutions, and leave it to analysis
of the boundary conditions to help us figure out which bits
are relevant in any given case
y = ( Ae x + Be x ) + (Cx + D ) + ( E cos x + F sin x )
x
For example, if we are told: y 0, as x , then y = Be
 Partial Differential Equations generally have many
different solutions
Recall the function we used in our reminder of partial derivatives:

u ( x, y ) = a ( x 2 y 2 ) + cxy + d
This choice was not random! Recall that we showed:

2u 2u
= 2a and = 2a
x 2
y 2

Evidently, the sum of these two is zero, and so the function u(x,y) is a solution
of the partial differential equation:

u u
2 2
+ 2 =0 Laplaces Equation
x 2
y
 A completely different solution to
Laplaces Equation
Consider the entirely different function: v ( x , y ) = e y
cos x
2v y
We find = e cos x
x 2

and 2v y
= e cos x
y 2

2v 2v
So that the function v(x,y) also satisfies + 2 =0
x y
2

Evidently, by superposition : u ( x, y ) + v( x, y ) is also a solution

Boundary conditions determine the solution in any particular
case
Showing that particular functions satisfy particular PDEs is the subject of Q1, Q2 on the first tutorial sheet
 An example of applying specific boundary conditions

Consider the superposition of the two solutions u(x,y)+v(x,y)

suppressing constants, which would make no difference:

u ( x , y ) = Ae y cos x + B( x 2 y 2 ) + Cxy + D (1)

And, suspending reality for a moment, suppose this represents the

stress in an infinite plate with a circular hole:
y

F F

By considering x and y at infinity, it is clear that for (1) to be a physically

plausible solution, then because the stress must remain finite, we conclude that
B = C = 0.
 How Fourier series enter the game
Anticipating lecture 2, suppose we are solving a specific case of the Heat
Equation, to find the temperature of a bar of length L. We will find that the
solution is given (in that case) by the temperature
kq 2t
T ( x, t ) = Ae sin qx
Applying the problem-specific boundary condition that the end of
the bar (x=L) is maintained at zero temperature, we have
A sin qL = 0, so that A = 0 or sin qL = 0.

We are not interested in the first of these, so qL = n , that is : q = n
L

Every value of n corresponds to a solution, so we use

superposition to find the general solution:
kn 2 2
t
nx We then apply Fourier series
T (x,t) =
n=0
Ane L2
sin
L to solve for the An
 Fourier series* in 3 steps
1. Fourier theory asserts that for any periodic function, f(), with period
2, coefficients an and bn can be found such that

f ( ) = an cos n + bn sin n
n =0 n =1

2. Many functions of interest are not specified as periodic; but they can be
made so by judicious choices
T T
To T0

x x
=
L - T0 L

3. To find the constants an and bn, we proceed in one of two ways:

a. Look up the solution in HLT
b. Figure them out from first principles using orthogonality relations
Well do both in the next lecture *Kreysig, 8th Edn, Sections 10.1-10.4, p526
A page scanned
from HLT
 How to apply orthogonality relationships

Suppose we are told that : f ( ) = an cos n + bn sin n
n =0 n =1

The orthogonality relationships massively simplify finding the coefficients. We

first multiply the function f(), by cosm and integrate between 0 and 2
2 2 2
f ( ) cos md =
1 1 1
2
0 2
0 n =0
an cos n cos md +
2
0 n =1
bn sin n cos md

Reversing the orders of summation and integration on the right hand side gives

2 2 2
f ( ) cos md =
1 1 1
2 2

n =0
an cos n cos md +
2

n =1
bn sin n cos md
0 0 0

This is zero unless m=n This is always zero

2 2
f ( ) cos md =
1 1 am
giving
2
0
2
0
am cos m cos md =
2
 2 2
f ( ) cos md =
1 1 am
giving
2 0
2
0
am cos m cos md =
2

so 2

f ( )cos md
1
am =
0
Similarly,
2

f ( ) sin md
1
bm =
0

These are the coefficients for the full-range series, ie those for which 0 < < 2.
Orthogonality relationships also hold for half-range series (ie those for which 0
< < ) which are also useful. They are

f ( ) cos nd f ( ) sin nd
2 2

an = bn =
0 0
 Three equations dominate
Diffusion (or heat) equation
Diffusion problems, transient heat
1 u u2
= 2 transfer, concentration in fluids,
t x transient electric potential
Laplaces (or potential) equation
2u 2u
+ 2 =0 Steady state problems in stress
x 2
y analysis, heat transfer,
electrostatics, fluid flow..
Wave Equation
u2
2 u
2
Wave phenomena in mechanical
=c systems (vibrations), fluids,
t 2
x 2
electricity..
 The general second order PDE
A( x, y )u xx + B ( x, y )u xy + C ( x, y )u yy +
D( x, y )u x + E ( x, y )u y + F ( x, y )u = G ( x, y )

Elliptic, if B 4 AC <0
2
Laplace
Parabolic, if B 2 4 AC = 0 Diffusion

Hyperbolic, if B 4 AC > 0
2 Wave

The three PDEs arise most frequently in practice, and they

cover the most interesting basic PDEs
 Overview of the Course
1. General introduction, revision of partial differentiation, ODEs, and
Fourier series
2. Wave equation in 1D part 1: separation of variables, travelling
waves, dAlemberts solution
3. Heat equation in 1D: separation of variables, applications
4. limitation of separation of variables technique. Sometimes, one
way to proceed is to use the Laplace transform
5. Laplaces equation: first, separation of variables (again), Laplaces
equation in polar coordinates, application to image analysis
6. Wave equation in 1D part 2: phase and transverse velocity,
characteristic impedance, wave number, circular fequency,
standing waves; impedance boundaries, lossy (dispersive) waves,
amplitude modulation
7. Water waves
8. Another look at separation of variables: Sturm-Liouville Equations
and orthogonal functions. Legendre and Bessel functions.
 Moral of the tale: read the notes AND
Books Kreysig. K has more detail, fewer jokes

1. Kreyszig Advanced Engineering Mathematics 8th Edition. Very big,

impresses fellow students, mostly unread but can support a stereo or
three pints. Most of the course follows the treatment in this book.
2. James: Advanced Modern Engineering Mathematics. Again
comprehensive, perhaps a bit easier than Kreyszig. Somewhat duller
and less impressive for your tutor.
3. Main Vibrations and Waves in Physics. Used, with James for waves
section. Unlikely that your tutor will believe that you bought it, or
even read it.
4. Pain The Physics of Vibrations and Waves, ditto Main.
5. Pearson Partial Differential Equations. Wonderful book, if you are
a mathematician at a US ivy league university. No pictures.
Generally dull.
 Reminder of the orthogonality relations*

The orhogonality relations exploit values of integrals like:

2
1
2
0
cos n cos md

is periodic with period 2, and n and m are integer.

First take the case m n.
2 2

[cos(m + n ) + cos(m n ) ]d
1 1
2
0
cos n cos md =
4 0
2
1
m + n sin(m + n ) + m n sin(m n ) = 0
1 1
=
4 0

*Kreysig 8th Edn, page 530 & A3

Now take the case m = n.
2 2 2

1
cos 2 nd =
1
(1 + cos 2n )d = 1 +
1
sin 2 n =
1
2 0
4 0
4 2n 0 2

We can do similar things for sinn sinm and sinn cosm

and so obtain the orthogonality relationships:

1
2
(
= 0 .5 for m = n 1 when m = n = 0 )
2
0
cos n cos m d
= 0 for m n

1
2
(
= 0.5 for m = n 0 when m = n = 0 )
2
0
sin n sin md
= 0 for m n

2
1
2
0
sin n cos md = 0 for all m , n