Engineering Analysis\Partial Differential Equations Dr. Herman A.

Mahmoud

Partial Differential Equations

Definition:

A partial differential equation (PDE) is any equation involving a function of more than one
independent variable and at least one partial derivative of that function.

Only the simplest physical system can be modeled by ordinary differential equations (ODEs),
whereas many physical problems from fluid mechanics, chemistry, electromagnetism, heat
transfer, rigid body dynamics and elasticity are modelled by PDE's in particular second order.

In general, PDEs are much more difficult to solve analytically than ODEs. They may sometimes
be solved using a Bäcklund transformation, characteristics, Green's function, integral
transform, Lax pair, Laplace transform, separation of variables, or when all else fails (which it
frequently does), numerical methods such as finite differences, finite elements are used.

Independent variables typically include one or more space dimensions and possible time
dimension as well.

Partial derivatives with respect to independent variables are denoted by subscripts, for
example:

• ut=∂u/∂t
• uxy=∂u/∂x∂y
• uxx=∂2u/∂x2

Examples of PDEs:

u  2u
1.  c2 2 One-dimensional heat conduction equation
t x
u 2 u  2u 
2
2. c  2  2 Two-dimensional heat conduction equation
t  x y 
 2u  2u
3.  0 Two-dimensional Laplace equation
x 2 y 2
 2u  2u  2u
4.   0 Three-dimensional Laplace equation
x 2 y 2 z 2
 2u 2  u
2
5.  a One-dimensional wave equation
t 2 x 2
 2u 2 u  2u 
2
6.  a 
 x 2 y 2  Two-dimensional wave equation
t 2  

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Engineering Analysis\Partial Differential Equations Dr. Herman A. Mahmoud

 2u  2u
7.   f ( x, y ) Two-dimensional Poison equation
x 2 y 2
u  2u
8.  cv 2 One-dimensional consolidation equation
t z

Classification of Partial Differential Equations (PDEs)

Generally, PDEs can be classified based on:

1. Order: The order of a PDE is the order of the highest partial derivative in the equation.

Examples:
u  2u u u u  3u
a.  2nd order b.  1st order c.  u 3  sin x 3rd order
t x 2 t x t x

2. Degree: the degree of a PDE is the highest exponent of the highest derivative in the
equation.

Examples:
2
u  2u u   2u  u
a.  st
1 degree b.  2  2nd degree
t x 2 t  x  y

3. Number of independent variables.

Examples:
u  2u u  2u 1 u 1  2u
a.  2 variables x and t b.    3 variables t, r and θ
t x 2 t r 2 r r r 2  2

4. Linearity: a PDE is linear if it is of the first degree in the unknown function u (i.e.,
dependent variable) and its partial derivatives. Otherwise it is nonlinear.

Examples:
 2u t  u
2
 2u u
a.  e  sin t linear b. u  0 non-linear
t 2 x 2 x 2 t

 2u  2u u u
c.  y 0 linear d. x  y  u2  0 non-linear
x 2 y 2 x y

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5. Homogeneity: a PDE is called homogenous if after writing the terms in order, the right
hand side is zero (i.e., f(x,y)=0).

Examples:

 2u  2u  2u  2u
a.   f ( x, y ) non-homogeneous b.   u  0 homogeneous
x 2 y 2 t 2 x 2

6. Type of coefficients: If the coefficients in front of each term involving the dependent
variable and its derivatives are independent of the variables (dependent or independent),
then that PDE is one with constant coefficients.

Examples:

 2u 2  u
2
 2u  2u
1.  x 0 variable coefficient b.  C 0 constant coefficient
x 2 y 2 x 2 t 2

7. Canonical forms for 2nd order linear PDEs: the standard form for 2nd order linear PDE is
written as follows:

Auxx  Buxy  Cu yy  Dux  Eu y  Fu  G

where A, B, C, D, E, F, and G are either real constants or real-valued functions of x and/or

y.
Based on the value of discriminant B2-4AC, 2nd order linear PDEs are classified into:
• B2-4AC>0: hyperbolic (e.g., wave equation)
Hyperbolic PDEs describe time-dependent, conservative physical processes, such
convection that are not evolving toward steady state.

• B2-4AC=0: parabolic (e.g., heat equation)

Parabolic PDEs describe time-dependent, dissipative physical process, such as
diffusion, that are evolving toward steady-state.

• B2-4AC<0: elliptic (e.g., Laplace equation)

Elliptic PDEs describe processes that have already reached steady-state, and hence
are time-independent.

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Examples:

1. The wave equation

 2u  2u
a 2
 a2 is constant
x 2 t 2
Is hyperbolic (with y t) B2-4AC = 0 – 4(a2) (-1) = 4a2 > 0

2. Heat conduction equation

 2u u c2 is constant
c 2

x 2 t
Is parabolic (with y t) B2-4AC = 0 – 4(c2) (0) = 0

3. The Laplace equation

 2u  2u
 0
x 2 y 2
Is elliptic since B2-4AC = 0 – 4(1) (1) = -4 < 0

Note: In this course and for simplicity we will consider only linear and second order PDEs
associated with only two independent variables either:
• Two space variables, denoted by x and y, or
• One space variable denoted by x and one time variable denoted by t

Boundary and initial conditions:

In order to solve PDEs boundary and initials conditions should be given. Time-dependent PDEs
(e.g. wave equation) involve both initial values and boundary values. Whilst steady-state PDEs
involve only boundary values.

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Solution of PDEs by Separating Variables Method

The solution for a second order linear PDE is obtained through the following steps:

1. By the “method of separating variables” or product method, setting u(x,t)= X(x).T(t), then
we obtain from PDE two ODEs, one for X(x) and the other one for T(t).
2. Determine solutions of these ODEs that satisfy the boundary conditions.
3. Finally, using Fourier series, we compose the solutions found in step 2 to obtain a solution
of PDE satisfying both boundary and initial conditions.

1) One-dimensional wave equation

The wave equation models vibration in steel plates, and oscillations along elastic strings of
homogeneous materials.

 2u 2  u
2
T
a , a2 
t 2 x 2 

Where T is tension and ρ is density of the string material. The string is placed along x- direction,
stretched to length L, and fixed at the ends x=0 and x=L. The string is then distorted and at some
instant, say time t=0, it is released to allow is to vibrate.

The problem is to determine the vibration of the string, that is, to find deflection u(x,t) at any
point x and at any time t>0.

• Boundary conditions\ a. u (0, t) = 0 b. u (L, t) = 0 for t>0

• Initial conditions\ a. u (x, 0) = f(x) b. ut (x, 0) = g(x) ,0 ≤ x ≤ L
u
 g (x ) (initial velocity)
t x ,0

Solution:

Step 1

By the "method of separating variables" or product method, setting u(x,t) = X(x). T(t), we obtain
from PDE two ODEs, one for X and other for T.

Where:

X = Function of x and,
T= Function of t

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u(x,t) = X.T

Differentiating the above equation with respect to x and t and substituting it in PDE form
 u 2  u
2 2

 t 2  a x 2  .
 
u2
 2u
 X  T '' , and  X '' T
t 2 x 2
 2u 2  u
2

and  a
t 2 x 2
 X  T ''  a 2 X '' T Re arrange it ,
T '' X ''
 now we separate PDE
a 2T X
Both sides of the above equation must be equal to constant denoted by k

Thus, T2 ''  X ''  k

aT X

Multiplying by the denominators gives immediately two ODEs.

T ''
k  T '' a 2 k  T  0
a 2T
and ,
X ''
k  X '' k  X  0
X
Now we have three possible values for k:

✓ CASE 1 k > 0 , assume k = λ2

✓ CASE 2 k < 0 , assume k = -λ2
✓ CASE 3 k = 0 , assume k= λ2=0

Step 2
Satisfying the boundary conditions to determine the solution.

CASE 1 k = λ2

T '' a 2 2  T  0
r2  a2   2  0  r   a
T  T (t )  C1e at  C2 e  at

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and ,
X ''  2 X  0
r2   2  0  r  
X  X ( x )  C3 e  x  C 4 e   x
u( x, t )  X  T  (C1ect  C2e  ct )(C3e x  C4e   x )

Now we have to find the values of C1, C2, C3 and C4

u(0,t) = 0

0  (C1e at  C2 e  at )(C3  C4 )

C3  C4  0  C3  C4

u(L,t) = 0

0  (C1e at  C2 e  at )(C3e  L  C4 e   L )

C3 e  L  C 4 e   L  0
C 4 e  L  C 4 e   L  0
C4 ( e  L  e   L )  0
C4  0  C3  C 4  0
X  0  u( x, t )  0

There are no solutions for CASE 1, try to solve CASE 2 and CASE 3

CASE 2 k = -λ2

T '' a 2 2  T  0
r 2  a 2 2  0  r   a i
T  T (t )  A cos a t  B sin a t
and ,
X ''  2 X  0
r2   2  0  r  i
X  X ( x )  A1 cos  x  B1 sin  x
 u( x, t )  ( A cos a t  B sin a t )( A1 cos  x  B1 sin  x )

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u(0,t) = 0

0  ( A cos a t  B sin a t )( A1  0)
A1  0
u( x, t )  ( A cos a t  B sin a t )( B1 sin  x )
 ( A cos a t  B sin a t )(sin  x )

u (L,t) = 0

0  ( A cos a t  B sin a t )(sin  L)

n
sin  L  0 ,  L  n   , n  1,2,3,4,5........
L
an an n
u( x, t )  ( A cos t  B sin t )(sin x)
L L L

an n an n
u( x, t )   A cos t  sin x  B sin t  sin x
n 1 L L L L

Step 3

Substitute initial conditions to find full solution for the PDE.

u(x,0) = f(x)

n n
f ( x )   A  1  sin x  B  0  sin x
n 1 L L

n
f ( x )   A sin x
n 1 L
2L n
A  Bn   f (x )sin xdx
L0 L
u
 g ( x)
t
x ,o

u  an an n an an n

  A  sin t  sin x  B cos t  sin x
t n1 L L L L L L

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
an n
g ( x)   0  B   1  sin x
n 1 L L
an 2 L n
B.   g ( x ).sin xdx
L L0 L
2 L n
B  g ( x ).sin xdx
an 0 L

Example

 2u  2u
4 2, 0 x  ,t  0
t 2 x
u(0, t )  u( , t )  0, t0
u( x,0)  x 2 (  x ), 0 x 
u
( x,0)  0, 0 x 
t

a2  4 a2 L 
f ( x )  x 2 (  x ) g ( x)  0

2L n
A  Bn   f ( x )sin xdx
L0 L
2 
n
A   x 2 (  x ).sin xdx
 0 
2 
n n
  ( x .sin   x .sin  x )dx
2 3

 0

  x 2 x 2 
2
x3
 cos nx  2 sin nx  3 cos nx  cos nx  
2 n n n n
  2 
  3x 6x 6 
sin nx  3 cos nx  4 sin nx 0


 n 2 n n 

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2  (3n 2 x 2  2 n 2 x  6)sin nx  (  n 3 x 3   n 3 x 2  6nx  2 n )cos nx  

  0 
 n4 
2  0  ( n 3 3  n 3 3  6 n  2 n )cos n 0  ( 2 n ) 
   
 n4 n4
2  4 2 
 cos n 
  n 3
n 3 
4
A   3 2cos n  1
n

for odd n (1,3,5,....)

4
A
n3

for even n (2, 4,6,....)

12
A 
n3

g (x )  0  B  0

cn  n cn  n
u (x , t )   A cos t .sin x  B sin t .sin x
n 1 L L L L

2n  n 2n  n
u (x , t )   A cos t .sin x  0.sin t .sin x
n 1    

4
u (x ,t )    (2cos n   1).cos 2nt .sin nx  0.sin 2nt .sin nx
n 1 n3

4
   3 (2cos n   1).cos 2nt .sin nx
n 1 n

4
   3 (2(1) n  1).cos 2nt .sin nx
n 1 n
or
 
4 12
u (x ,t )   3
cos 2 nt .sin nx   3
cos 2nt .sin nx
n 1,3,5,.. n n  2,4,6,.. n

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2. One- dimensional heat conduction equation

The one-dimensional heat conduction equation models the flow of temperature in a body in
space and it written as follows.

u  2u
 c2 2
t x
u(0, t )  0 , u( L, t )  0 for t  0 (boundary conditions )
u( x,0)  f ( x ) 0 x L (initial conditions )

L
x=0 x=L
u(0,t) u(L,t)
=0 =0
The constant c2 is called thermal diffusivity and it is equal to c2=K/ρσ, K is thermal conductivity,
σ is specific heat and ρ is the density of material used.

The heat equation is called diffusion equation when used to modelling chemical diffusion
processes of one substance or a gas into in another.

Solution

Step 1

Let
u( x, t )  X  T

Where :
X  function of x
T  function of t
u  2u
 X T ' , 2  X '' T Sub. in heat equation
t x
T' X ''
X  T '  c 2 X '' T  2  k
c T X

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CASE 1: k<0 k=-λ2

T' X ''
   2
c T
2
X
T'
  2  T '  c 2  2T  0
c T
2

 r  c 2 2  0 , r  c 2 2
T  C1e  c  t
2 2

and ,
X ''
  2  X ''  2 X  0
X
 r2   2  0 , r   i
X  A cos  x  B sin  x
u( x, t )  ( A cos  x  B sin  x )  C1e  c  t  ( A cos  x  B sin  x )  e  c  t
2 2 2 2

Step 2

Now satisfying the boundary conditions,

u(0, t )  0
0  ( A cos   0  B sin   0)  e  c  t
2 2

0  Ae  c  t  A0
2 2

Therefore,
u( x, t )  Be  c  t  sin  x
2 2

u( L, t )  0
0  B  e  c  t  sin  L
2 2

sin  L  0   L  n
n

L
  2 n 2 c2t
n  n c
n
2 2 2

x   Bn  e L  sin
t
 u( x, t )  Be L2
 sin
2
x
L n 1,2,3,.. L

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Step 3
Substitute initial conditions to find full solution for the PDE.

u( x,0)  f ( x )
   2n2c2
n 
n
  B  1  sin
.0
f ( x)  Bn  e L2
 sin x  f ( x)  n
x
n 1,2,3,.. L n 1,2,3,.. L
2L n
Bn   f ( x )  sin xdx
L0 L

Example:

u  2u
 , 0 x  , t  0,
t x 2
u (0, t )  u ( , t )  0 , t  0,
f (x )  u (x ,0)  x 2 , 0  x ,

Solution:
c2  1 , L  , f ( x)  x 2
2L n
Bn   f ( x )  sin xdx
L0 L
2 2 n 2 2
  x  sin x   x sin nxdx
 0   0

2  2nx sin nx  (2  n 2 x 2 )cos nx  2  0  (2  n  )cos n 2 

2 2

  
0 
   3
 n3    n 3
n 

 3 ( 2  n 2 2 )cos n  2
2
, n  1,2,3,4,.........
n
Bn  3 ( 2  n 2 2 )( 1) n  2
2
n

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2( n 2 2  4)
for odd n (1,3,5,.....) Bn 
 n3
2
for even n (2,4,6,.....) Bn 
n
  2n2c2
n 5  n
n
2 2
 
u( x, t )   Bn  e x   Bn  e   sin
t t
 sin
2
L2
x
n 1 L n 1 

2  1
  Bn  e  sin nx   3 [( 2  n 2 2 )( 1) n  2]  e 5 n t  sin nx
5 n t 2 2

n 1  n1 n
or
2 
( n 2 2  4) 5 n t 
1 5 n t
u ( x, t )         e  sin nx
2 2
e sin nx 2
 n1,3,5,.. n3 n  2,4,6,.. n

3. Two-dimensional Laplace equation

 2u  2u
 0 (uxx  u yy  2u  0)
x 2 y 2

Note that the equation has no dependence on time, just on the spatial variables x and y. This
means that Laplace’s Equation describes steady state situations such as:

• Steady state temperature distributions

• Steady state stress distributions
• Steady state potential distributions (it is also called the potential equation)
• Steady state flow of an ideal fluid (incompressible, irrotational and inviscid fluid

The solution aims at computing the distribution u(x,y) over a plane area subjected to a certain
boundary conditions.

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Engineering Analysis\Partial Differential Equations Dr. Herman A. Mahmoud

Example: Temperature distribution analysis

y
u(x, b)=f(x)

u(0, y)=0 b
u(a,y)=0

a x
u(x,0)=0

Where u(x, y) is temperature distribution

Boundary conditions:-

u(0,y) = 0 for 0 ≤ y ≤ b
u(x,0) = 0 for 0 ≤ x ≤ a
u(a,y) = 0 for 0 ≤ y ≤ b
u(x,b) = f(x) for 0 ≤ x ≤ a

Solution:

Step 1

 2u  2u
 0
x 2 y 2
let u( x, y )  X ( x )  Y ( y )
 X '' Y  X  Y ''  0
X '' Y '' X '' Y ''
and  0   k
X Y X Y

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Engineering Analysis\Partial Differential Equations Dr. Herman A. Mahmoud

CASE k < 0 (k = -λ2)

X '' Y ''
   2
X Y
therefore
X ''
  2  X ''  2 X  0  r 2   2  0
X
r  i
 X ( x )  A cos  x  B sin  x
and ,
Y ( y )  c1e  y  c2 e   y
so,
u( x, y )  ( A cos  x  B sin  x )( c1e  y  c2e   y )

Step 2:
Satisfy boundary conditions

u(0,y) = 0

0  ( A cos   0  B sin   0)( c1e  y  c2 e   y )

 0  A( c1e  y  c2 e   y )
it possible in case A  0
therefore,
u( x, y )  B sin  x ( c1e  y  c2 e   y )
satisfy sec ond boundary u ( x,0)  0
 0  B sin  x ( c1e  0  c2 e   0 )  B sin  x ( c1  c2 )
 c1  c2  0  c2   c1
therefore,
u( x, y )  B sin  x ( c1e  y  c1e   y ) , rearrange it
e y  e   y
 B1 sin  x  sinh  y ,(sinh  y  and B1  2c1 B )
2

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Engineering Analysis\Partial Differential Equations Dr. Herman A. Mahmoud

Step 3
Substitute other boundary conditions to determine the values of λ and B1

u(a,y) = 0

0  B1 sin  a  sinh  y
we have solution in one case only
sin  a  0   a  n
n
 , n  1,2,3,4,........
a
and
n n
u( x, y )  B1 sin x  sinh y
a a

n n
  B1 sin x  sinh y , Fourier sin e series
n 1 a a

Now satisfy final boundary condition u( x, b)  f ( x)


n n
 f ( x )   B1 sin x  sinh b
n 1 a a
L
n n
Bn   f ( x )  sin xdx , Bn  B1 sinh b
0 L a
so,

n b 2 a n
B1 sinh   f ( x )sin xdx
a a0 a
2 a
n
B1   f ( x )sin xdx
n b 0 a
a  sinh
a

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Engineering Analysis\Partial Differential Equations Dr. Herman A. Mahmoud

Example
Assume f(x) = 1 , a=4 and b= 4

2 4
n 1 2 n
B1   1.  sin xdx     cos 4

n 4 sinh n n  4 
0

4  sinh 0 4
4
 ( 1) n  1
2 2
 cos n  1  
n  sinh n n  sinh n
4
for odd n B1 
n  sinh n
for even n B1  0


n n
u( x, y )   B1 sin x  sinh y
n 1 a a

n n
 ( 1) n  1 sin
2
  x  sinh y
n 1 n  sinh n 4 4
4  1 (2n  1) (2n  1)
  sin x  sinh y
 n1 (2n  1)sinh(2n  1) 4 4

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Engineering Analysis\Partial Differential Equations Dr. Herman A. Mahmoud

4. One-dimensional consolidation equation ( Terzaghi’s equation)

This equation describes the settlement of a saturated clay layer and dissipation of the excess pore
water pressure with time.

u  2u
 cv 2
t z

Where u is the excess pore water pressure in the soil, t is the time of load applied, z is the depth
of clay layer, and cv is the coefficient of consolidation.

Permeable layer (e.g., sand)

Clay layer (2-way drainage) z

Permeable layer (e.g., sand)

Example
In an open clay layer of 2d thickness (i.e., z=2d), find the final distribution of excess pore water
pressure u(z, t) given:

u(0,t)=u(2d,t) =0 t>0 (boundary conditions)

u(z,0)=u0 0<z<2d (initial conditions)

Solution
Step 1

u  2u
 cv 2
t z
let u( z, t )  Z ( z )  T (t )
 Z  T '  cv Z '' T
1 T ' Z ''
and  k
cv T Z

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Engineering Analysis\Partial Differential Equations Dr. Herman A. Mahmoud

CASE 1: k < 0 (k = -λ2)

1 T ' Z ''
   2
cv T Z
therefore
Z ''
  2  Z ''  2 Z  0  r 2   2  0
Z
r  i
 Z ( z )  A cos  z  B sin  z
and ,
1 T'
  2
cv T
T (t )  c1e  c  t
2
v

so,
u( z, t )  ( A cos  z  B sin  z )e  c  t
2
v

Step 2:
Satisfy boundary conditions

u(0,t) = 0

0  ( A cos   0  B sin   0)e  c  t

2
v

 0  A cos0  A0
 u( z, t )  B sin  z  e c  t
2
v

u( z, t )  B sin  z  e  c  t
2
v

satisfy sec ond boundary u(2d ,0)  0

 0  B sin(  2d )  e  c  t B  0, sin(  2d )  0
2
v

n
2 d  n  
2d
 n
n
2

  c   t
u( z, t )  B sin  z   e  2d  n  1,2,3,...........
v

 2d 
 n
n
2

  c   t
 u( z, t )   bn sin  z   e  2d 
v

n 1  2d 

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Engineering Analysis\Partial Differential Equations Dr. Herman A. Mahmoud

Step 3
Substitute initial conditions to determine full solution.

u(z,0) = u0


 n 
u( z,0)   bn sin  z   1  u0
n 1  2d 
2 2d n
bn   u0 sin zdz
2d 0 2d
u  2 d n  2d
bn  0  cos z
d  n 2d  0
2u0 2u
bn  cos n  cos0  0 ( 1) n  1
n n
4u
for n  1,3,5,7............bn  0
n
for n  2,4,6,8............bn  0

 (2n  1)   c  2 d  t

( 2 n 1) 
2

4u0
 u( z, t )   ze
v
sin 
n 1 (2n  1)  2d 

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