Numerical methods for solving

the heat equation, the wave

equation and Laplace’s equation
(Finite difference methods)

Mona Rahmani

January 2019
 Numerical methods are important tools to simulate
different physical phenomena.

Numerical simulation of a rotor

Numerical simulation of flow around a
Courtesy of NASA’s Ames Research Centre Porsche 956

Courtesy of NASA’s Ames Research Centre

Finite Difference Methods
• Idea: Use finite difference quotients to approximate the
derivatives in the PDE.

• Remember that the definition of the derivative of a function f(x) is:

• If is sufficiently small:
First derivative approximations
Now, consider the Taylor series expansion of

From which we can find

The truncation error

A forward difference approximation

With first order accuracy

 First derivative approximations

How can we improve the accuracy of approximation of ?

Subtract the second line from the first line and solve for

The truncation error

A central difference approximation

With second order accuracy

Second derivative approximations

Again consider the two Taylor series expansions:

This time add the two lines together and solve for

The truncation error

A central difference approximation

With second order accuracy

Solving the 1D heat equation

Consider the initial-boundary value problem:

Boundary conditions (B. C.’s):

Initial condition (I. C.):

Step 1- Define a discretization in space and time: t

time step
k+1,

time step
k,
x0 = 0 xN = 1.0
x
Solving the 1D heat equation
Step 2 - Discretize the PDE. Use a forward difference scheme for the
time derivative and a central difference scheme for the space
derivative:

Or:

Which in the index notation is:

Solving the 1D heat equation
Step 3 - Write the discrete equations for all nodes in a matrix
format and solve the system:
 Solving the 1D heat equation
Step 3 - Write the discrete equations for all nodes in a matrix
format and solve the system:

The boundary conditions

Solving the 1D heat equation
The discrete approximation of the 1D heat equation:

Numerical stability - for this scheme to be numerically stable,

you have to choose sufficiently small time steps

Numerical accuracy - the numerical accuracy of this scheme is first

order in time and second order in space, i.e. the error scales linearly
with and quadratically with .
Solving the 1D wave equation
Consider the initial-boundary value problem:

Boundary conditions (B. C.’s):

Initial conditions (I. C.’s):

Step 1- Define a discretization in space and time: t

time step
k+1,

time
step k,
time
step k-1, xN = 1.0
x0 = 0
x
Solving the 1D wave equation
Step 2 - Discretize the PDE. Use a central difference scheme
for both time and space derivatives:

Solving for gives:

The Courant numer

Solving the 1D wave equation
Step 3 - Write the discrete equations for all nodes in a matrix
format and solve the system:

A three-level scheme in time

Solving the 1D wave equation
Step 3 - Write the discrete equations for all nodes in a matrix
format and solve the system:
Solving the 1D wave equation
Step 3 - Write the discrete equations for all nodes in a matrix
format and solve the system:

The boundary conditions

 Solving the 1D wave equation
A note on time advancing at t =0:
Since the numerical scheme involves three levels of time steps, to advance
to , you need to know the nodal values at and .

Use the two initial conditions to write a new numerical scheme

at :

I.C. 1:
I.C. 2:
Or:
Discrete wave equation
at :

Combine them:
Solving the 1D wave equation
The discrete approximation of the 1D wave equation:

Numerical stability - for this scheme to be numerically stable,

you have to choose sufficiently small time steps

Numerical accuracy - the numerical accuracy of this scheme is

second order in time and second order in space, i.e. the error scales
quadratically with and .
Solving Laplace’s equation
Consider the boundary value problem:

Boundary conditions (B. C.’s):

Step 1- Define a discretization in x and y:

y y

x x
0 1
The numerical mesh

The physical domain N+1 points in x direction,

M+1 point in y direction

 Solving Laplace’s equation
Step 2 - Discretize the PDE. Use a central difference scheme
for space derivatives in x and y directions:

If :

The node (n,m) is linked to its 4 neighbouring nodes as illustrated in the finite difference
stencil:

• This finite difference stencil is valid for the

interior of the domain:

• The boundary values are found from the

boundary conditions.
Solving Laplace’s equation
Step 3 - Solve the system by Jacobi iteration:

Take successive neighbour averages at each iteration k+1 th:

Until there is small change in the solution (i.e. the solution has converged), as
measured by:
Matlab codes for numerical solutions of the
heat, the wave and Laplace’s equations:

• You can program the methods explained before in Matlab

(of course, there are many other options, e.g. Python, C+
+, Fortran, etc.)

• All the Matlab codes are uploaded on the course

webpage.

• For each code, you only need to change the input data
and maybe the plotting part. The solver is already there!

• Figures will normally be saved in the same directory as

where you saved the code.
The Matlab code for the 1D heat equation

PDE:

Set the diffusion coefficient here

Set the domain length here

B.C.’s:
Tell the code if the B.C.’s prescribe the value of u
(Dirichlet type ) or its derivative (Neumann type)

Set the values of the B.C.’s on each side I.C.:

Specify an initial value as a function of x

Specify the number of grid points, i.e. N+1,

remember increasing N increases the accuracy.

Set the initial and final time of the

computation. (T_final should be large
enough to get a steady state solution)

Set the number of time steps to be taken to

go from t_0 to t_final. Remember if this
number is too low, you might get a
numerical instability.
 The Matlab code for the 1D heat equation

Results: PDE:

0.8 B.C.’s:

0.6 Time increasing

I.C.:
u(x,t)

0.4

0.2 The steady-state solution

0
0 0.2 0.4 0.6 0.8 1
x
The Matlab code for the 1D wave equation

PDE:

Set the wave speed here

Set the domain length here

B.C.’s:
Tell the code if the B.C.’s prescribe the value of u
(Dirichlet type ) or its derivative (Neumann type)
I.C.’s:
Set the values of the B.C.’s on each side

Specify the initial value of u and the initial

time derivative of u as a function of x

Specify the number of grid points, i.e. N+1.

Set the initial and final time of the

computation.

Set the number of time steps to be

taken to go from t_0 to t_final.
The Matlab code for the 1D wave equation
Results:
1
PDE:
0.5
u(x,t)

B.C.’s:
-0.5

-1
0 0.2 0.4 0.6 0.8 1 I.C.’s:
x
Standing waves
The Matlab code for Laplace’s equation

PDE:

Specify the domain size here

B.C.’s:

Set the types of the 4 boundary

Set the B.C.’s on each side of the

rectangle

Specify the number of grid points in x and

y directions, i.e. N+1 and M+1.
The Matlab code for Laplace’s equation
Results:
PDE:
2
1.5
1.5

1
1

0.5 B.C.’s:
0 0.5
2
3
1 2
1 0
y 0 0 x
2 1.8

1.6

1.5 1.4

1.2

1 1
y

0.8

0.5 0.6

0.4

0 0.2
0 1 2 3
x