Part 8

Partial Differential Equations

1
Partial Differential Equations

2
 Partial Differential Equations
• A partial differential equation (PDE) involves
two or more independent variables.
For example:
1. Laplace equation  2
f  2
f
 2 0
x 2
y
2. Diffusion equation  2 f f
k 2 
x t
3. Wave equation  2 y 1 2 y
 2 2
x 2
c t
3
 Classification of PDEs

Linear Second order PDEs are important sets of

equations that are used to model many systems in
many different fields of science and engineering.

Classification is important because:

– Each category relates to specific engineering problems.
– Different approaches are used to solve these
categories.

4
 Linear Second Order PDEs
Classification

A second order linear PD E (2 - independen t variable s)

A u xx  B u xy  C u yy  D  0,
A, B, and C are functions of x and y
D is a function of x, y , u, u x , and u y
is classified based on (B 2  4 AC) as follows :
B 2  4 AC  0 Elliptic
B 2  4 AC  0 Parabolic
B 2  4 AC  0 Hyperbolic
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 Linear Second Order PDE
Examples (Classification)

 2u ( x , y )  2u ( x , y )
Laplace Equation  0
x 2
y 2

A  1, B  0, C  1  B 2  4 AC  0
 Laplace Equation is Elliptic
One possible solution : u ( x, y )  e x sin y
u x  e x sin y , u xx  e x sin y
u y  e x cos y , u yy   e x sin y
u xx  u yy  0
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 Linear Second Order PDE
Examples (Classification)

 2u ( x , t )  u ( x , t )
Heat Equation   0
x 2
t
A   , B  0, C  0  B 2  4 AC  0
 Heat Equation is Parabolic
______________________________________
 2
u ( x , t )  2
u( x, t )
Wave Equation c 2
 0
x 2
t 2

A  c 2  0, B  0, C  1  B 2  4 AC  0
 Wave Equation is Hyperbolic
7
 Boundary Conditions for PDEs

• To uniquely specify a solution to the PDE, a set of

boundary conditions are needed.
• Both regular and irregular boundaries are possible.

t
 u( x, t ) u( x, t )
2
Heat Equation :   0
x 2
t region of
u(0, t )  0 interest

u(1, t )  0
u( x,0)  sin(  x ) 1 x

8
 The Solution Methods for PDEs

• Analytic solutions are possible for simple and special

(idealized) cases only.

• To make use of the nature of the equations, different

methods are used to solve different classes of PDEs.

• The methods discussed here are based on the finite

difference technique.

9
 Partial Differential Equations
1. Finite Difference Method

• Similar to the ODE, central divided

differences are substituted for the partial
derivatives in the original equation.
• Thus a partial differential equation is
transformed into a set of simultaneous
algebraic equations that can be solved by the
methods described earlier.

10
 Partial Differential Equations
The Central divided differences
f f i 1, j  f i 1, j f f i , j  1  f i , j 1
 
x 2  x y 2  y
2 f f i 1, j  2 f i , j  f i 1, j 2 f f i , j 1  2 f i , j  f i , j 1
 
x 2
x 2 y 2
y 2
y
i,j+1

i-1,j i,j i+1,j

i,j-1
x

11
 Chapter 29

Elliptic Equations

12
 Elliptic Equations

A second order linear PDE (2 - independen t variable s x , y )

A u xx  B u xy  C u yy  D  0,
A, B, and C are functions of x and y
D is a function of x, y , u, u x , and u y

is Elliptic if B 2  4 AC  0

13
 Laplace Equation

Laplace equation appears in several engineering problems

such as:
– Studying the steady state distribution of heat in a body.
– Studying the steady state distribution of electrical charge in a
body.

 T ( x, y )  T ( x, y )
2 2
  f ( x, y )
x 2
y 2

T : steady state temperatu re at point (x, y)

f ( x, y ) : heat source (or heat sink)
14
 Laplace Equation

 2 T ( x, y )  2 T ( x, y )
  f ( x, y )
x 2
y 2

A  1, B  0, C  1
B 2  4 AC  4  0 Elliptic

• Temperature is a function of the position (x and y)

• When no heat source is available f(x,y)=0

15
 Finite Difference: Elliptic Equations

• Because of its simplicity and general relevance to

most areas of engineering, we will use a heated
plate as an example for solving elliptic PDEs.

16
Figure 29.1

17
Figure 29.3

18
The Laplacian Difference Equations
 2T  2T
 2 0
x 2
y Laplace Equation
 2T Ti 1, j  2Ti , j  Ti 1, j O[(x)2]

x 2 x 2
 2T Ti , j 1  2Ti , j  Ti , j 1
 O[(y)2]
y 2
y 2

Ti 1, j  2Ti , j  Ti 1, j Ti , j 1  2Ti , j  Ti , j 1

 0
x 2
y 2

x  y
Laplacian difference
Ti 1, j  Ti 1, j  Ti , j 1  Ti , j 1  4Ti , j  0 equation.
Holds for all interior points
19
 Example 29.1

It is required to determine the steady state temperature at

all points of a heated sheet of metal. The edges of the
sheet are kept at a constant temperature: 100, 50, 0, and
75 degrees.

100

75 50

The sheet is divided to

5X5 grids.
20
Example 29.1: Figure 29.4

21
• In addition, boundary conditions along the edges must be
specified to obtain a unique solution.
• The simplest case is where the temperature at the boundary is
set at a fixed value, Dirichlet boundary condition.
• A balance for node (1,1) is:
T21  T01  T12  T10  4T11  0
T01  75
T10  0
 4T11  T12  T21  0
• Similar equations can be developed for other interior points
to result a set of simultaneous equations.

22
 Example
Known
To be determined
T1, 4  100 T2, 4  100 T3, 4  100
T1, 3 T2 ,3
T0,3  75 T3,3
T4,3  50
T1, 2 T2, 2
T0, 2  75
T3, 2 T4, 2  50

T1,1 T2 ,1 T3,1
T0,1  75 T4,1  50

T1, 0  0 T2, 0  0 T3,0  0

23
 First Equation
Known
To be determined
T1, 4  100 T2, 4  100
T1, 3 T2 ,3
T0,3  75

T1, 2 T2, 2
T0, 2  75

T0,3  T1, 4  T1, 2  T2,3  4T1,3  0

75  100  T1, 2  T2,3  4T1,3  0

24
 Another Equation
Known
To be determined
T1, 4  100 T2, 4  100 T3, 4  100
T1, 3 T2 ,3 T3,3

T1, 2 T2, 2 T3, 2

T1,3  T2,4  T3,3  T2,2  4T2,3  0

T1,3  100  T3,3  T2,2  4T2,3  0

25
 Solution
The Rest of the Equations

 4 1 0 1   T1,1   75 
    
1 4 1 0 1   T2,1   0 
 0 1 4 0 0 1   T   50 
   3,1   
1 0 0 4 1 0 1   T1,2   75 
 1 0 1 4 1 0 1  T    0 
   2, 2   
 1 0 1 4 0 0  1  T3,2   50 
  1 0 0 4  1 0   T   175 
   1,3   
  1 0  1 4  1  T2,3  100 
    
  1 0  1 4   3,3  
T 150 
26
• The result is a set of nine simultaneous equations with nine
unknowns:

4T11  T21  T12  75

 T11  4T21  T13  T22 0
 T21  4T31  T32  50
 T11  4T12  T22  T13  75
 T21  T12  4T22  T32  T23 0
 T31  T22  4T32  T33  50
 T12  4T13  T23  175
 T22  T13  4T23  T33  100
 T32  T23  4T33  150

27
 Chapter 30

Parabolic Equations

32
Review: Partial Differential Equations
• A partial differential equation (PDE) involves
two or more independent variables.
For example:
1. Laplace equation  2
f  2
f
 2 0
x 2
y
2. Diffusion equation  2 f f
k 2 
x t
3. Wave equation  2 y 1 2 y
 2 2
x 2
c t
33
 Parabolic Equations

A second order linear PDE (2 - independen t variable s x , y )

A u xx  B u xy  C u yy  D  0,
A, B, and C are functions of x and y
D is a function of x, y, u, u x , and u y

is parabolic if B 2  4 AC  0

34
 Parabolic Problems

 T ( x, t )  2 T ( x, t )
Heat Equation : 
t x 2
T (0, t )  T (1, t )  0
T ( x,0)  sin(  x ) ice ice
x
* Parabo lic problem ( B 2  4 AC  0)
* Boundary conditions are needed to uniquely specify a solution.

35
 Finite Difference Methods

• Divide the interval x into sub-intervals, each of width h

• Divide the interval t into sub-intervals, each of width k
• A grid of points is used for
the finite difference solution
• Ti,j represents T(xi, tj) t
• Replace the derivates by
finite-difference formulas

36
Heat conduction equation

37
 1. Explicit method

• Heat conduction equation:

• Spatial discretization:

• Temporal discretization:

38
Example 30.1

39
40
 Convergence and stability

• Convergence : the finite-diff results

approach true solution as Δt and Δx
approach zero
• Stability: errors at any stage of the
computation are not amplified, but
are attenuated as the computation
progresses
• Convergence and stability criteria
for explicit scheme:

41
 2. Simple implicit method

• Heat conduction equation:

• Spatial discretization:

• Temporal discretization:

42
Example 30.2

43
44
 3. Crank Nicolson method

• Heat conduction equation:

• Spatial discretization:

• Temporal discretization:

45
Example 30.3

46
47
Comparison Solution of the Heat Equation

• Analytical solution:

48
Comparison Solution of the Heat Equation
1. Explicit Method:
Simple, Stability Problems.
2. Implicit Method:
Stable, convergent, large time step can lead
to inaccurate approximation
3. Crank-Nicolson Method:
Involves the solution of a Tridiagonal system
of equations, Stable.

49