NUMME2016 Chap1-2 Updated PDF

Master SMA : MENUM
Early (!) Preliminary

Version
Grgory LEGRAIN
c 2013 - 20XX Grgory Legrain

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First printing, March 2013
Contents
Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
1.1
The different models
1.1.1
1.1.2
1.1.3
1.1.4
Physical model . . . . . .
Mathematical model .
Numerical model . . . .
Computational model
1.2
Classical sources of error
1.2.1
1.2.2
1.2.3
Mathematical model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
Numerical model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
Computational model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
1.3
Example: Thermal equilibrium of a bar
1.3.1
1.3.2
1.3.3
1.3.4
Physical model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Mathematical model (see later in the course) . . . . . . . . . . . . . . .
Numerical model (objective of this course, see chapter 3 and 6)
Computational model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Classification of PDEs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
2.1
Some terminology
2.1.1
2.1.2
Ordinary Differential Equations (ODE) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15

Partial Differential Equations (PDEs) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
2.2
Classification of the PDEs
2.2.1
2.2.2
2.2.3
2.2.4
2.2.5
2.2.6
Characteristic curves . . . . . . . . . . . . . .
First order PDEs . . . . . . . . . . . . . . . . . . .
Initial values and boundary conditions
Well-posedness example . . . . . . . . . . .
Hyperbolic PDEs . . . . . . . . . . . . . . . . . .
Parabolic PDEs . . . . . . . . . . . . . . . . . . .
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21
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25
26
28
30
2.2.7
2.2.8
Elliptic PDEs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
2.3
Examples
2.3.1
2.3.2
Advection-Diffusion equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
The Euler-Tricomi PDE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
2.4
Boundary Value Problem
2.4.1
2.4.2
2.4.3
2.4.4
2.4.5
2.4.6
Dirichlet Problem . . .
Neumann Problem .
Mixed Problem . . . . .
Robin Problem . . . . .
Eigen-Value Problem
Examples . . . . . . . . .
Finite Difference Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
3.1
Thermal equilibrium equations
3.1.1
3.1.2
Field equations and boundary conditions . . . . . . . . . . . . . . . . . . . . . . . . . . 46

Uni-dimensional equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
3.2
Approximation of the differential operators
3.2.1
3.2.2
3.2.3
3.2.4
Approximation of first order derivatives . . .

Geometrical interpretation . . . . . . . . . . . .
Second order derivative . . . . . . . . . . . . . .
Local approximation error (constant step)
3.3
Convergence, Stability, Consistency
3.3.1
3.3.2
3.3.3
3.3.4
Consistency . .
Convergence
Stability . . . . .
Lax Theorem .
3.4
Resolution of a problem using the finite difference method
56
3.5
Prescribing the boundary conditions
57
3.5.1
3.5.2
Dirichlet boundary conditions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57

Neumann boundary conditions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58
3.6
2D (3D) Finite Difference Approximation
3.6.1
3.6.2
Discretization of the operator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59

Boundary conditions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
Weak formulation of a PDE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65
4.1
Concept of admissible spaces
65
4.2
Properties of the Fourier Law
66
4.3
Weak formulation
66
4.4
Minimum principle, variational formulation
69
4.4.1
4.4.2
Minimization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70
Relation between the different approaches . . . . . . . . . . . . . . . . . . . . . . . . . 72
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40
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54
54
55
55
59
4.5
Weighted residuals
72
4.5.1
4.5.2
4.5.3
4.5.4
Residual . . . . . . . . . . . . . . .
Integral form of the residual
Weak integral form . . . . . .
Variants . . . . . . . . . . . . . . .
Approximated solution of a PDE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75
5.1
Collocation methods
5.1.1
5.1.2
Point collocation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76
Sub-domain collocation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77
5.2
Least square approach
78
5.3
Galerkin approach
78
5.4
An example
81
5.4.1
5.4.2
5.4.3
Point Collocation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82
Subdomain Collocation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83
Galerkin Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83
Finite elements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85
6.1
Mesh
6.1.1
Some terminology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
6.2
Direct approach for finite elements
6.2.1
6.2.2
6.2.3
6.2.4
6.2.5
6.2.6
Interpolation of a field over an element . . . . .

Construction of the approximated field . . . . .
Discrete weak formulation . . . . . . . . . . . . . . . .
Homogeneous Dirichlet boundary conditions
Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2D direct finite elements . . . . . . . . . . . . . . . . .
6.3
Mapped finite elements
6.3.1
6.3.2
Parent element . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109

Computation of the gradients . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119
6.4
Technical aspects
6.4.1
Integration of the stiffness matrix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 120
6.5
Extension to higher dimensions
121
6.6
Extension to vectorial fields
121
6.7
Programming the finite elements
121
6.7.1
6.7.2
6.7.3
6.7.4
6.7.5
Mesh . . . . . . . . . . . .
Dofs numbering . . . .
Elementary matrices
Assembly . . . . . . . . .
Vector Assembly . . .
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 127
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. 121
. 122
. 123
. 124
. 124
1 Introduction
This is the first version of the Menum course notes. Please note that the content
of this document has not been completely proofed (the objective is to give you
some written informations to prepare the exam).
There are still some todos in the text
Some notations may not be consistent across the document.
Some assertions still need references
There may be some typos
The meaning of some sentences may be hazardous.
Anyway, I will greatly appreciate any feedback about this ducument.
We are interested in the development of numerical schemes to find the solution of
physical problems that have no analytical solution. This is the purpose of the field of
mechanics called computational mechanics 1 . In this course, we will focus on physical
processes that can be represented by means of partial differential equations (PDEs), as a
vast majority of the applications in physics are relying on such equations. The need
for the use of computational approaches stems from the fact that state of the art tools
in mathematics are unable to solve 99% of concrete applications. If physicians want
to gain further insight in their models, then numerical tools are essential. Indeed,
these tools are used for obtaining quantitative prediction of physical phenomena.
With respect to experiments, that are used to obtain quantitative descriptions. Some
differences between the two approaches are listed in table 1.1. In addition, the costs of
the two approaches can be compared (see table 1.2). However, note that simulations
are never 100% safe because of (1) the lack of knowledge on the input data; (2) the
mathematical equations behind the model may be inadequate and (3) the accuracy
of the results is limited by the available computing power. Note also that numerical
simulations have to be fed by means of experimental results as material properties
are usually needed in the models. Finally, human being are a key point in simulation,
as the user is responsible not only of setting-up the mathematical and numerical
models, but also of the interpretation of the results, which is mandatory.
1 And
also computational physics in physics.
Introduction
8
Experiments
Simulations
Quantitative description of phenomena using measurement

N For a limited set of quantities
N At a limited number of points and
time instants
N For a limited range of problems and
operating conditions
Quantitative prediction of phenomena

using softwares
N For all desired quantities
N With high resolution in space and
time
N For virtually any problem and operating conditions
Limitations: unable to measure inside

solids, flow disturbance caused by the
probes
Limitations: sensitive to model errors,

discretization dependency, implementation issues
Table 1.1: Comparison between experimental and numerical approaches.

Experiments
Simulations
N Expensive
N Slow (setup and runtime)
N Sequential
N Single purpose
N Cheaper
N Faster
N Parallel
N Multiple purpose
Table 1.2: Comparison between experimental and numerical approaches.

The objective of this course is not only to present various numerical methods, but
also to understand the feature of these methods. One key-point of these features is the
accuracy of the method. Indeed, a numerical solution is only an approximation of a
phenomenon. Approximation means that there is an error in the numerical solution.
It is impossible to make it vanish in practice, so that the objective is to control it. To
understand the different sources of error that may arise in this process and master
them, we shall first list the different models that we will have to deal with.
1.1
The different models

Usually, four different models will have to be considered (see figure 1.1):
1. The physical model;
2. The mathematical model;
3. The numerical model;
4. The computational model;
1.1.1
Physical model
It is the definition of the problem in engineering words: problem statement, parametrization. Basically, it consists in setting-up the problem to be solved. The questions that
will arise at this points are:
What is known about the flow/material
What physical phenomena need to be taken into account ?
Geometry / boundary conditions ?
What is the objective of the simulation ?
1.1 The different models
Physical model
Mathematical model (continuous)
Numerical model (algebraic)
Numerical
resolution
Computational model
Numerical solution
Figure 1.1: Models chain
Example 1.1 Insulating a wall: Physical model.
Inside
x
Outside
Objective: Compute heat loss Thermal flux q( x ) (W.m2 )

Unknown variables :
I Temperature field T ( x ) (K,C)
I Thermal flux q( x ) (W.m2 )
I Stationary problem : no time dependency
Physical laws:
I Only interested in conduction effects along x
I Flux conservation along x
I Constitutive law between T and q: Fourier law
Physical properties:
I Thermal conductivity: K (Wm1 K 1 )
Loading:
I Heat source f by means of Joule effect (Wm3 )
Boundary conditions:
Introduction
10
I Prescribed temperature for x = 0 : T0

I Exchange with the environment: h (Wm2 K 1 ) and T
Output: T ( x ) and q( x )
1.1.2
Mathematical model
It is the translation of the physical model in mathematical expressions; The objectives
are the following:
Formulate the mathematical equations that govern the problem
Formulate the constitutive equations
Specify Initial/Boundary conditions
Simplify these equations to reduce the complexity of the equations
I Symmetries
I 1D, 2D, 3D ?
I Neglected terms ?
Example 1.2 Insulating a wall: Mathematical model.
Domain of interest x [0, L]

Thermal equilibrium div (q) r = 0
Material law: q = K T
Final equation in 1D:
d2 T
+r = 0
dx2
x [0, L]
I T (0) = T D
I q( L) = h( T ( L) T )
1.1.3
Numerical model
It is the construction of an algebraic model that can be solved on a computer. The
mathematical model is discretized (represented by a set of discrete coefficients) to be
handled by a computer. The following modelization choices have to be considered (see
later in the course for a presentation of these methods):
1. Mesh generation (decomposition into cells/elements):
Structured/Unstructured, geometry of the elements
Mesh generation approach
Mesh size
2. Choice of a numerical method
Finite differences/volumes/elements, Galerkin
High/Low order
3. Choice of a time discretization
Implicit/Explicit, stability
1.2 Classical sources of error
11
Example 1.3 Insulating a wall: Numerical model.
Choice: Use finite differences (see chapter 3);

Discretize space with cells (1D segments here);
Use the summits of the cells as sampling points;
L
U0
Uj
UN
x0
xj
xN
Approximate the differential operators using the discrete values of the unknown
Take into account the boundary conditions in the scheme;
Find the structure of the corresponding matricial system:
[K ] { T } = { R}
1.1.4
Computational model
It is the computer implementation of the numerical model.
Usually, errors will arise both when writing the different models and when transforming information from one model to another one. The model chain arising in the
numerical resolution of a physical problem is presented in figure 1.1.
1.2
1.2.1
Classical sources of error

Mathematical model
The error of the mathematical model is the difference between the exact solution
of the mathematical model and the real behaviour. Usually, the errors are coming
from the introduction of too much simplifications:
Dimension of the modelization: 1D, 2D, 3D ?
Does time-dependency has to be taken into account ?
Are there large displacements ?
What is the behaviour of the material ?
Are there any physical couplings ?
Example 1.4 Falling ball. Consider a ball that falls from a given altitude h (see
figure below).
Introduction
12
ball
V
z
The physical model of this problem is the following :
Parameters
Ball Weight
Ball diameter
Ambiant air physical characteristics
Gravity g
Initial speed V0 = 0
Initial height h
Physical concepts
Conservation of linear momentum
Using Newtons second law, the acceleration is shown to be equal to g (the

acceleration of gravity). Thus we get that:
V = gt
Now, some experiments have been done, and the solution of the mathematical
model is compared to these experiments (see figure below).
1.2 Classical sources of error
13
450
Model
Experiments
400
350
Speed
300
250
200
150
100
50
0
10
20
Time
30
40
50
As seen in this figure, the mathematical model and the experiments give diverging results when the time increases (although the two curves match a the beginning).
This stems from the fact that the mathematical model was not sufficiently rich:
the friction of air was not taken into account. In fact, this friction produces an
additional force that is opposed the gravity and proportional to V 2 , giving back the
experimental behaviour.

1.2.2
Numerical model
The error of the numerical model is the difference between the exact solution of
the mathematical model and the exact solution of the numerical model. Usually,
this error can be due to the following causes:
Choice of the numerical method (in particular, adequacy between the numerical
method and the equations that have to be solved)
Choice of the resolution algorithm (for example, in the case nonlinear equations,
a linearization process have to be considered: this process induces additional
errors in the numerical model)
Influence of the geometrical discretization
Example 1.5 Pressurized cylinder. Consider a cylinder subjected to an homoge-
neous internal pressure, the symmetry of both loading and geometry imposes that
the displacement in the cylinder is radial (see the figure below (a)). The solution of
the numerical model which approximates both the geometry and the equations of
the problem does not gives exactly a radial displacement (see figure (b)).
Introduction
14
er
u( M)
er
u( M)
M
Numerical solution
(a)
Initial shape
Final shape
(b)
Ideal geometry
Discrete geometry
1.2.3
Computational model
The error of the numerical model are errors that arise during the resolution of the
algebraic system: bad conditioning, programming mistakes.
The objective in computational mechanics is to master all these sources or error,
and more precisely errors on the numerical and computational model.
1.3
Example: Thermal equilibrium of a bar

Consider the equilibrium of a bar made of steel whose geometry is given in figure 1.2.
The different models involved in the numerical solution of this problem are detailed in
the following sections.
f
T0
Figure 1.2: Thermal equilibrium of a bar
1.3.1
Physical model
Geometry: Straight bar of length L and rectangular section A;
Unknowns:
I Temperature;
I Thermal flux / ex ;
I Stationary problem ?
Physical laws:
qL
ex
1.3 Example: Thermal equilibrium of a bar
1.3.2
15
I Conservation of thermal flux / ex ;

I Fourier law between the gradient of the temperature and the flux.
Physical properties: Thermal conductivity K;
Thermal solicitations: f by Joule effect;
I Prescribed temperature T0 for x = 0;
I Prescribed flux q L for x = L.
Objective: Find T and q (flux) verifying the physical laws and boundary conditions on the domain of interest.
Mathematical model (see later in the course)

Hypothesis:
1D model (neglect effects in the (ey ,ez ) plane)
Select the temperature as principal unknown
Consider the problem as stationary
Thus, the mathematical equations describing the problem are the following:
Flux conservation:
dq A
f A=0
dx
; f >0
(1.1)
Fourier law:
q( x ) = K
dT
dx
(1.2)
1. T (0) = T0 ;
2. q( L) = q L .
Exact Solution:
T ( x ) = T0

qL
f
x+
Lx x2 /2
K
K
(1.3)
Weak Form (if needed) (see later, chapter 4):

Z L
dT
0
1.3.3
dx
dT
dx
dx
Z L
0
f T dx + T ( L) q L = 0
T C(0)
(1.4)
Numerical model (objective of this course, see chapter 3 and 6)

Field (or equations) discretization scheme:
Galerkin approximation;
Finite Differences;
Finite Elements;
Finite Volumes.
Space discretization: Split the bar into a collection of sampling points (finite
differences) or elements (finite elements).
16
1.3.4
Introduction
Computational model
This is the program of the numerical scheme selected above (see practical works and
homeworks).
2 Classification of PDEs
The main objective of numerical methods is to translate mathematical models into a

discretized form (numerical model). Various numerical methods exist and they may
not be adapted to the resolution of any mathematical model. In fact, their accuracy
depends strongly on the structure of the PDE arising from the mathematical model.
This is why the classification of the PDEs is mandatory, as it enables to know how the
solution to capture will behave.
2.1
Some terminology
In this section, some terminology concerning differential equations is presented. The
objective is to introduce some notations that will be used through this chapter.
2.1.1
Ordinary Differential Equations (ODE)

An ordinary differential equation (called ODE in the following) is an equation which states a
relationship between a function (y in the following) of a single independent variable (space x or
time t in the following) and the total derivation of this function with respect to the independent
variable. The independent variable are named x or t (for resp. space and time), as they
usually appear in engineering problems. The order of the ODE is the highest-order
derivative in the differential equation. For example, a general first order ODE can be
written as:
dy
= f (t, y)
(2.1)
dt
As we are dealing with total derivatives, the differentiation can be denoted as a prime
superscript:
y0 = f (t, y)
(2.2)
For higher order ODEs, the (n) iest order differentiation can be denoted as the (n)
superscript:
dy
= y (1)
dt
d2 y
= y (2)
dt2
(2.3)
Classification of PDEs
18
The general nth order ODE for y(t) has the form:
an y(n) + an1 y(n1) + + a2 y00 + a1 y0 + a0 y = F (y, t)
(2.4)
The solution of the ODE is the function y(t) or y( x ) that satisfies the ODE in the
domain of interest denoted as D (t) or D ( x ). In some special cases, the solution of the
ODE can be expressed analytically, but in the vast majority of problems in science the
solution can only be obtained by means of numerical methods. A linear ODE is an
ODE in which all the derivatives appear in linear form and none of the coefficients
depends on the dependent variable y. However, the coefficients can depend on the
independent variable: in this case the ODE is a variable-coefficient linear ODE. For
example:
y0 + y = F (t)
(2.5)
is a linear constant coefficient first-order ODE. And:

y0 + t y = F (t)
(2.6)
is a linear variable coefficient first-order ODE. Now, if the coefficients depend on the
dependent variable, or if the derivatives appear in a non-linear form, the ODE is said
non-linear:
y y0 + y = F (t)
(2.7)
0 2
(y ) + y = F (t)
(2.8)
A homogeneous ODE is one in which each term involves the dependent variable or
one of its derivatives. On the contrary, a non-homogeneous ODE contains additional
source term that do not involve the dependent variable:
y0 + y = 0
0
y + y = F (t)
Homogeneous
(2.9)
non Homogeneous
(2.10)
The general solution of an ODE contains one or more integration constants. The
number on constants is related to the order of the ODE (in fact, it is equal to the order
of the ODE !). Only a family of solutions is obtained: the particular member of the
family which is of interest is obtained by considering auxiliary conditions. In order to
determine all the constants, the number of auxiliary conditions must be equal to the
order of the ODE. ODEs can be classified in two types:
initial value ODEs;
boundary value ODEs;
If auxiliary conditions are given at the same value of the independent variable, the
ODE is said initial-value ODE. This is depicted in figure 2.1. The domain of interest
D (t) of initial-value ODE is open. If the auxiliary conditions are given at two different
value of the independent variable (or at the beginning and the end of the domain of
interest), the ODE is said boundary-value ODE and an interpretation is depicted in
figure 2.2.
2.1 Some terminology
19
y(t)
y(t)
y0
t0
t
Figure 2.1: Initial-value ODE. = auxiliary condition.
y( x )
y2
y( x )
y1
x1
x2
Figure 2.2: Boundary-value ODE. = auxiliary conditions.

Initial value ODEs are usually associated to propagative problems in open domains
(t [t0 , [) for which the known information (initial value) is marched forward in
time or space from the initial state. Boundary value ODEs are usually associated to
equilibrium problems in closed domain (x [ x1 , x2 ]) for which the known information
(boundary values) are specified at two end points of the solution domain.
Some examples
In this section, we present some example of ODEs arising from physics.

The 1D stationary heat equation:
dq
f =0
dx
(2.11)
where q is the thermal flux along the 1D bar, and f is an internal heating
source. This equation can be written in term of the temperature field T and the
conductivity K of the material:
d2 T
+f =0
dx2
(2.12)
20
Position of a pendulum:
d2
+ g sin( ) = 0
dt2
(2.13)
where gives the position of the pendulum and g is the acceleration of gravity.
If the displacement can be considered as small, the equation can be simplified in:
d2
+ g = 0
dt2
(2.14)
Catenary (the catenary is the curve that represents the shape of a wire under its
own weight):
d2 y
g
=
2
dx
T0

1+
dy
dx
2
(2.15)
where y is the equation of the curve, is the linear weight of the wire, g is the
acceleration of gravity and T0 is the initial tension in the wire.
Bar under its own weight:
d2 u
+g=0
dx2
(2.16)
where E is the Young modulus of the material, u is the displacement of a given

point along the bar, and g is the acceleration of gravity.
2.1.2
Partial Differential Equations (PDEs)

A partial differential equation (denoted PDE in the following) is an equation stating a relationship between a function ( f in the following) of two or more independent variables (x, y, z
or x, y, z, t in the following) and the partial derivatives of this function with respect to these
independent variables. Here is three examples of PDEs involving two independent
variables:
2 f
2 f
+
=0
x2
y2
f
2 f
= 2
t
x
2
2 f
2 f
=
c
t2
x2
Laplace equation
(2.17)
Diffusion equation
(2.18)
Wave equation
(2.19)
(2.20)
More compact notations can be used by using subscripts to represent partial derivatives:
f xx + f yy = 0
f t = f xx
2
f tt = c f xx
(2.21)
(2.22)
(2.23)
2.1 Some terminology
21
As for ODEs, the solution f ( x, y) or f ( x, t) of the PDE is the particular function in

the family of solutions that satisfies the auxiliary conditions on the boundary of the
domain of interest D ( x, y) or D ( x, t) (note that this family of solution satisfies the
PDE in the domain of interest). As for ODEs, a few number of PDEs can be solved
analytically or in a closed-form. The vast majority of engineering PDEs has to be solved
by mean of numerical methods. The above PDEs can be extended to four independent
variables:
f xx + f yy + f zz = f = 0
(2.24)
f t = ( f xx + f yy + f zz ) = f
(2.25)
f tt = c ( f xx + f yy + f zz ) = c f
(2.26)
where is the laplacian operator. The order of a PDE is the highest-order derivative
appearing in the equation.Thus, the above equations are second order PDEs. A large
number of physical problems are governed by second-order PDEs, so that we will be
interested in this class of PDEs. However, some physical problems can be governed
by first or fourth order PDEs (for example, transport problems are driven by first
order PDEs, and plate and shells by fourth order PDEs). Equations (2.24-2.26) are all
linear PDEs, as the partial derivatives appear in linear form and none of the coefficient
depend on the dependent variable f . The PDE can be linear with variable coefficients
if they depend of the independent variable:
a f t + bx f x = 0
f fx + b fy = 0
Linear, variable coefficients
(2.27)
Non-linear
(2.28)
PDEs are said homogeneous if each term involves the dependent variables or one of
its derivatives. On the contrary, a non-homogeneous PDEs contains additional source
term that do not involve the dependent variable:
f xx + f yy + f zz = 0
Homogeneous Laplace equation
(2.29)
Non-homogeneous
(2.30)
f xx + f yy + f zz = F ( x, y, z)
The non-homogeneous Laplace equation is called Poisson equation. Note that the
appearance of a source term in the PDE does not change its general features, nor
it usually changes the numerical scheme used to approximate the solution. The
behaviour of a physical system can also be governed by a system of PDEs involving
several dependent variables:
a f t + bgx = 0
(2.31)
Agt + B f x = 0
(2.32)
This system consists of two coupled PDEs in two independent variables (x and t) for
determining two dependent variables f ( x, t) and g( x, t).
In the following, we will be mainly interested in two types of PDEs:
1. Quasi-linear (i.e. linear in the highest-order derivative) second-order nonhomogeneous PDEs in two independent variables:
A f xx + B f xy + C f yy + D f x + E f y + F f = G
(2.33)
Where the coefficients A to C may depend on x, y, f x , f y , the coefficients D to F

may depend on x, y and f , and the source term G may depend on x and y.
22
2. Quasi-linear first-order non-homogeneous PDEs in two independent variables:

a ft + b fx = c
(2.34)
Where a, b and c may depend on x, t and f .
Classification of the PDEs

For the sake of clarity, we will focus on non-homogeneous second order quasi-linear
PDEs of two independent variables ( x, y). This family of PDEs can be written in the
following form:
A f xx + B f xy + C f yy + D f x + E f y + F f = G
(2.35)
The classification of this a PDE in this form depends on the sign of the discriminant
= B2 4 A C:
> 0 : Hyperbolic PDE ;
= 0 : Parabolic PDE ;
< 0 : Elliptic PDE.
The terminology elliptic, hyperbolic and parabolic is related to the theory of quadrics
(see figure 2.3) which can be described by a second order algebraic equation:
Ax2 + Bxy + Cy2 + Dx + Ey + F = 0
(2.36)
The structure of this equation resembles to the structure of (2.35). Depending on the
discriminant = B2 4 A C, the quadric is classified as:
> 0 : Hyperbola ;
= 0 : Parabola ;
< 0 : Ellipse.
Ellipse
Parabola
Hyperbola
10
3
2
5
2.2
1
5
3
10
3
4
10
15
20
25
20
15
10
10
15
20
Figure 2.3: Conics

The analogy to the classification of PDEs is thus obvious, but there is no other significance to the terminology. We are now interested in the impact of this classification on
2.2 Classification of the PDEs
23
the allowable and/or required initial and boundary conditions, but also on the effect it
has on the choice of numerical methods employed to solve these equations. This classification is also deeply related to the notion of characteristics of a PDE. Characteristics
are (n 1)-dimensional hyper-surfaces1 in a n-dimensional hyperspace that have very special
features. Characteristics are strongly related to information propagation in the domain
of interest.
2.2.1
Characteristic curves
A simple example
To illustrate the influence of characteristics, we consider a two-dimensional space ( x, t)

and the convection of a property f of a fluid particle in one dimension (advection
equation):
ft + u fx = 0
(2.37)
where u is the velocity of the fluid (assumed constant). This equation represents the
motion of a conserved scalar field f as it is advected by a known velocity field u. For
example, f could be related to the concentration of a pollutant which is transported
by a fluid flow. A moving fluid particle carries (convects) its maximum, momentum,
energy, concentration with it as it moves through space. If x (t) stands for the location
of the particle, it is related to the velocity of the flow by the following relation:
dx
=u
dt
(2.38)
Then, the path of the particle is easy to obtain:

x ( t ) = x0 +
Z t
t0
u(t) dt
(2.39)
Along this pathline, the convection equation can be written as:

ft + u fx = ft +
dx
df
fx =
=0
dt
dt
(2.40)
The last expression is obtained by using the expression of the total derivative of
f : d f = f t dt + f x dx. This last expression yields to f ( x (t), t)=cste along the pathline2 .As a consequence, the property f is transported along the path-line, which
is the characteristic path associated to the PDE. Equation (2.38) is generally called
characteristic equation. The physical significance of the characteristic path (or path-line)
is apparent in this case (path of propagation of the fluid property f ). Equation (2.40) is
generally called compatibility equation: it is the ordinary differential equation which
holds along the characteristic path. The graphical interpretation of the path-line is
given in figure 2.4(a).
1 The
prefix hyper stands from the fact that the space we may work in ( x, y, z, t) have more than three
dimensions.
2 The solution is written f ( x ( t ), t ) as on the path-line x is not arbitrary: it must verify equation (2.39).
x depends explicitly on t: x = x (t).
24
t
Pathline
dx
=u
dt
x
f ( x, t1 )
t1
(a)
f ( x, t1 )
x
f ( x, t0 )
f ( x, t0 )
pathline
t0
(b)
Figure 2.4: (a) Pathline, (b) Triangular property convection
To illustrate further the property of characteristic path as the path of propagation

in a convection problem, consider the triangular property distribution illustrated in
figure 2.4(b). As the fluid moves to the right at a constant velocity u, each particle
(grey circle) carries with it its value of the property f . Consequently, the triangular
property simply moves (i.e. convects) to the right with a constant convection velocity
u, unchanged in magnitude and shape. The apex of the triangle which is a point of
discontinuous slope in the property distribution convects as a discontinuity in slope at
the convection velocity u.
Quasi-linear second order PDEs
Now, we move back to Quasi-linear second order PDEs (eq.(2.35)). One of the procedures to find the characteristics of such a PDE consists in studying the evolution
of discontinuities in the derivatives of the solution. As a matter of fact, we saw that
discontinuities in the derivatives, if they exist, must propagate along characteristics.
One of the approach is to answer the following question Are there any path in the
solution domain D ( x, y) passing through a general point P along which the second derivatives
of f ( x, y) are multi-valued or discontinuous ? Such paths, if they exist are the characteristics. One relationship for determining f xx , f yy and f xy is given by the PDE itself
(eq.(2.35)). Two more relationship are obtained by applying the chain rule to determine
25
the total derivatives of f x and f y :

d( f x ) = f xx dx + f xy dy
(2.41)
d( f y ) = f yx dx + f yy dy
(2.42)
These three equations can be written in matrix form:

D f x E fy F G
f xx
A B C
dx dy 0 f xy =
d( f x )
d( f y )
f yy
0 dx dy
(2.43)
The above system of equations can be solved to yield unique values of f xx , f yy and f xy ,
unless the determinant of the matrix vanishes. In this case, the second derivatives of
f ( x, y) are either infinite (which is physically meaningless) or they are indeterminate
(thus multi-valued or discontinuous, which is what we are looking for). This yields to
the following characteristic equation:
A(dy)2 Bdx dy + C (dx )2 = 0
(2.44)
Dividing the equation by dx2 and setting B = B and X = dy/dx, we obtain:

A X 2 + B X + C = 0
(2.45)
This equation can be solved and we get:
B B2 4AC
dy
=
dx
2A
(2.46)
This equation is the differential equation of two families of curves in the xy plane
(because of the signs). Along these two families of curves, the second derivatives of
f ( x, y) may be multi-valued or discontinuous. These two families, if they exist are the
characteristic paths of the original PDE (eq.(2.35)). These two families of curves can be
complex, double real, or real and distinct according to the sign of the discriminant (see
table 2.1).
These characteristic paths in the solution domain leads to the concept of domain of
Negative
Zero
Positive
Complex
Double real
Real and distinct
Classification
Elliptic
Parabolic
Hyperbolic.
Table 2.1: Classification of PDEs and corresponding characteristic curves

dependence and range of influence. Consider a point P in the solution domain D ( x, y).
The domain of dependence of P is the region of the solution domain upon which the
solution at point P, f ( x p , y p ) depends. The range of influence of point P is the region
of D ( x, y) in which the solution f ( x, y) is influenced by the solution at point P. We
saw that Parabolic and Hyperbolic PDEs have real characteristics, which means that
they have specific domains of dependence and range of influence (as the information
transfer is guided along the characteristic paths). On the contrary, Elliptic PDEs have
26
no real characteristic path. Consequently, they have no specific domain of dependence

and range of influence. In fact, the entire solution domain of an elliptic PDE is both
domain of dependence and range of influence. Figure 2.5 illustrates this concept (the
way these figures are obtained will be detailed in the next sections).
y
y
P
Figure 2.5: domain of dependence (red), domain of influence (blue), both (grey) for the
different class of PDEs.
Remarks:
The study of coupled quasi-linear first order non-homogeneous PDEs lead to the
same classification;
It has been shown that characteristic path, when they exist, introduce preferred
path for information propagation. The speed of the propagation of the information through the domain depends on the slope of the characteristics;
Physical problems governed by PDEs with real characteristics are called propagation problems. Thus, parabolic and hyperbolic PDEs govern propagation
problems;
If no real characteristic path can be exhibited, there are no preferred path of
information propagation. In this case, the domain of dependence, and range
of influence of every point is the entire solution domain. The solution at one
point depends on the solution at all the other points of the domain (also, this
point influence the whole domain). Since there are no curves along which the
derivative can be discontinuous, the solution must be continuous on the whole
domain.
Physical problems governed by elliptic PDEs are equilibrium problems.
2.2.2
First order PDEs

We consider again quasi-linear first order PDEs, as only a particular case was considered in section 2.2.1. A general first order PDE is thus considered:
a( x, t, f )
f
f
+ b( x, t, f )
= c( x, t)
t
x
(2.47)
Like in the case of second-order PDEs, we look for characteristics as curves along
f
f
which the derivatives of f ( t and x ) can be multivalued. Two equations have to
be written: The first one is the PDE itself, and the second one is related to the total
derivative of f :
df =
f
f
dt +
dx
t
x
(2.48)

This system can be written in a matrix form:

a
b
ft
c
=
dt dx f x
df
27
(2.49)
A non-unique solution to this system can be obtained only is the determinant of the
matrix vanishes:
a dx b dt = 0
(2.50)
Which implies the following characteristic equation:

dx
b
=
dt
a
(2.51)
The compatibility equation is obtained by introducing the characteristic equation into

the PDE:
a
dx f
f
+a
=c
t |{z}
dt x
(2.52)
df
=c
dt
(2.53)
Note that the last equation was obtained by comparing eqns (2.48) and (2.52), and that
the PDE becomes an ODE on the characteristic path. Since a and b are real functions,
the characteristic path always exist. This is why, a single quasi-linear first-order PDE is
always hyperbolic.
2.2.3
Initial values and boundary conditions

The resolution of the PDE gives a family of solutions (more precisely, the PDE alone
(without any auxiliary boundary or initial conditions) will either have an infinity of
solutions or have no solution). The particular member of interest of this family is specified by the auxiliary conditions that are imposed on the differential equation (infinity
of solutions). Moreover, the choice of these auxiliary conditions has an influence on
the solvability of the problem (no solutions). For a PDE based mathematical model
of a physical system to give useful results, it is generally necessary to formulate that
model as what mathematicians call a well posed PDE problem. A PDE problem is said
to be well posed if:
1. A solution to the problem exists;
2. The solution is unique;
3. The solution depends continuously on the problem data. (In a PDE problem,
the problem data consists of (i) the coefficients in the PDE; (ii) the functions
appearing in boundary and initial conditions; and (iii) the region on which the
PDE is required to hold.)
If one of these conditions is not satisfied, the PDE problem is said to be ill-posed. In
practice, the question of whether a PDE problem is well posed can be difficult to settle.
Roughly speaking the following guidelines apply:
The auxiliary conditions imposed must not be too many or a solution will not
exist;
28
The auxiliary conditions imposed must not be too few or the solution will not be
unique;
The kind of auxiliary conditions must be correctly matched to the type of the
PDE or the solution will not depend continuously on the data.
More specific guidelines can be stated for second order linear PDE problems.
For steady-state equilibrium problems, auxiliary conditions consist of boundary
conditions on the entire boundary of the closed solution domain (for a more detailed
analysis on these boundary conditions, see section 2.4). These boundary conditions
must be specified at each point of the the boundary of the solution domain. For
propagation problems (either steady or unsteady), these auxiliary conditions consist
of conditions along the time boundary plus boundary conditions on the physical
boundary of the solution domain. Remark that no auxiliary condition can be applied
on the open boundary in time. In particular, if first-order derivatives in time are
present in the PDE, only one initial condition is required along the time boundary:
f ( x, y, z, 0) = F ( x, y, z)
on the time boundary
(2.54)
If second order time derivatives appear in the PDE, two initial conditions are required
on both f and f t :
f ( x, y, z, 0) = F ( x, y, z) on the time boundary
(2.55)
f
( x, y, z, 0) = G ( x, y, z) on the time boundary
(2.56)
t
Note that a proper specification of the type and number of auxiliary conditions is
necessary to obtain a well posed problem. In particular:
Elliptic PDEs :
1. The solution domain D ( x, y) must be closed;
2. A single boundary condition must be specified on the boundary of the spacial
domain. Typical boundary conditions are presented in section 2.4. The type
of boundary condition can vary from point to point on the boundary, but at
any given point only one BC can be specified.
Parabolic PDEs :
1. The solution domain D ( x, t) must be open in the time direction;
2. Initial conditions must be imposed along the time boundary for t = 0;
3. A single boundary condition must be specified on the boundary of the spacial
domain.
Hyperbolic PDEs :
1. The solution domain D ( x, t) must be open in the time direction;
2. Initial conditions must be imposed along the time boundary for t = 0.
3. A single boundary condition must be specified on the boundary of the spatial
domain. These boundary conditions must match correctly the initial conditions if the information reaches boundary for a given time, otherwise the
problem is ill-posed.
2.2.4
Well-posedness example
Consider the following ODE defined for x [0, 1]:
y xx + 2 y = 1
(2.57)
29
Consider now, the following three problems, depending on different auxiliary conditions:
Problem I Eq.(2.57) and y(0) = 0, y(1) = 0;
Problem II Eq.(2.57) and y(0) = 0, y x (1) = 0;
Problem III Eq.(2.57) and y(0) = 0, y(1) = 22 ;
One can verify that the general solution of (2.57) is the following:
y( x ) = A sin(x ) + B cos(x ) +
1
2
(2.58)
Constants A and B are determined by the boundary conditions:

Problem I
y(0) = 0 B + 12 = 0
y(1) = 0 B + 12 = 0
The matrix form of the linear system given above is:

0 1
0 1
1
2
A
=
B
12
(2.59)
Obviously, the matrix in this equation is singular, and the vector in the RHS does
not belong to the column space of the matrix. It means that the linear system has no
solution.
Problem II
y(0) = 0 B + 12 = 0
y0 (1) = 0 A = 1

0 1
0
1
2
A
=
B
1
(2.60)
The matrix of this system is non-singular, which means that A and B are unique
(with A = 1 and B = 12 in this case). Thus, we found the unique solution of the
problem.
Problem III
y(0) = 0 B + 12 = 0
y(1) = 22 B + 12 = 22

0 1
0 1
1
2
A
=
1
B
2
(2.61)
Like for problem I, the matrix in this equation is singular. However, the RHS vector
belong to the column space of the matrix (it can be written as a linear combination
of the columns of the matrix). Thus, the solution is the following: A = arbitrary and
B = 12 . We just proved that the ODE has an infinite number of solutions. The
example above has illustrated the influence of the BCs on the well-posedness of a
problem.
30
Hyperbolic PDEs
In this section, we will restrict ourselves to the wave equation.
2
2 u
2 u
c
=0
t2
x2
(2.62)
It is easy to show that in this case we can write A = c2 , B = 0 and C = 1. The roots
of the characteristic function finally gives two straight lines with opposite slopes.
Range of influence / domain of dependence
Hyperbolic PDEs are common in propagation problems in which the solution in the
domain of interest is marched forward from the initial state, guided and modified by
the boundary conditions. In the case of hyperbolic PDEs, the physical information
propagates at finite speed (see the slope of the characteristic curves). As a result, the
solution at given point P and time t only depends on the solution in a finite domain
of dependence. To understand the shape of these domains, consider Figure 2.7: For
example, information at point M can be marched along both forward and backward
wave. If it always follows the forward one, then its state will be marched to M1 for
time t1 , than M2 for time t2 , and so on... Finally, the information arrives at point P. The
principle is the same for points N and Q that eventually influence point P by means
of both backward and forward waves. Using the same rationale, one can deduce the
shape of the range of influence.
Open
boundary
March
c = a
solution
at time t
c=a
c=a=
dx
dt
c = a =
dx
dt
Boundary condition
Range of
influence
Boundary condition
2.2.5
Domain of
dependence
Initial conditions
Figure 2.6: General features of Hyperbolic PDEs
31
P
M3
t3
(Wont influence P)
M2
t2
M1
t1
M
Figure 2.7: Illustration of the construction of the domain of dependence.

Qualitative properties
Here are some features concerning this PDE (for the linear case):
In a system modelled with a hyperbolic PDE, the information travels at finite
speed (called wave-speed in the case of the wave equation), see the slope of the
characteristics. The information is not transmitted until the wave arrives at a
given space-time point P.
As hyperbolic PDEs have finite information speed, explicit schemes3 (who have
their own numerical information speed) are well adapted (although implicit
schemes are also usable) ;
Initial solutions are required in order to obtain a well posed problem: u( x, t) =
f ( x ) for t = 0 for first order PDEs plus u
t ( x, 0) = g ( x ) for t = 0 for second order
PDEs;
Typical analytical solutions of 1D wave equation take the form u( x, t) = F ( x
ct) + G ( x + ct). F and G can be obtained by means of the auxiliary conditions.
For example, if those auxiliary conditions are u( x, 0) = f ( x ) and u
t ( x, 0) = g ( x ),
R x+ct
f ( x ct)+ f ( x +ct)
1
then u( x, t) =
+ 2c xct g(s)ds. If the domain is infinite and the
2
auxiliary conditions are initial conditions only, then we have u( x, t) = 12 ( f ( x
ct) + f ( x + ct)).
the solution at time t can be obtained knowing the solution at time t0 ;
No smoothing: if the initial conditions or the boundary conditions are discontinuous, the discontinuity is propagated along characteristics in the domain without
3 Remark
that the notion of explicit and implicit discretization schemes is below the scope of this
section. What you can retain is that the solution in an explicit scheme at a given point and time ti is
expressed explicitly in terms of the known solution at time ti1 of neighbours points. On the contrary in
an implicit scheme, solution at a given point and time ti is expressed implicitly in terms of the unknown
solution at time ti of neighbours points. Thus, the information travels from neighbour points to neighbour
in explicit schemes, leading to its own numerical speed.
32
any attenuation ;
The solution of the PDE cannot be smoother than the B.C. or I.C. ;
For non-linear hyperbolic PDEs, even smooth B.C. and I.C. can lead to discontinuous or non smooth solutions (shock waves for example).
Hyperbolic PDEs are usually associated to conservative problems
Illustration: First order Hyperbolic PDEs
As seen above, the advection equation is hyperbolic of order one :

u
u
+c
=0
t
x
(2.63)
This PDE can be used to model the evolution of the concentration of a pollutant in
a fluid flow with velocity c. The solutions of the advection equation will verify the
properties above. To illustrate the behaviour of such a PDE, consider equation (2.63),
with the following initial and boundary conditions:
u( x, 0) = f ( x )
u(, t) = 0
(2.64)
(2.65)
The solution is thus simply:

u( x ) = f ( x c t)
(2.66)
It can be verified that inserting the solution back into equation (2.63) leads to zero.
Representative solutions of this problem are illustrated in figures 2.8 and 2.9 respectively for the smooth an non-smooth cases. As stated above, the solution propagates
through the domain, and remain as smooth as it was at initial time.
Figure 2.8: Hyperbolic PDE (eqn. (2.63)), smooth case (left to right: increasing time)
2.2.6
Parabolic PDEs
In this section, we will restrict ourselves to the transient heat equation.
u
2 u
2 = 0
t
x
(2.67)
It is easy to show that in this case we can write A = , B = 0 and C = 0. The only root
of the characteristic equation is thus zero
Like Hyperbolic PDEs, Parabolic PDEs are representative of propagation problems in

which the solution in the domain of interest is marched forward from the initial state,
guided and modified by the boundary conditions. In the case of parabolic PDEs, the
physical information propagates at infinite speed (see the slope of the characteristic
curves). As a result, the solution at given point P and time t in influenced by all the
other points of the spatial domain and is influenced by (or influences) the solution in
the entire space-time domain (see figure 2.10).
33
2.5
u(x) for various time
2.0
1.5
1.0
0.5
0.0
10
12
Figure 2.9: Hyperbolic PDE (eqn. (2.63)), non smooth case (left to right: increasing
time)
Typical analytical solution
The transient heat equation (2.67) is also called diffusion equation. We now illustrate
the case where the spatial domain is [0, L], with BC and IC are chosen as:
u( x, 0) = f ( x )
(2.68)
u(0, t) = u( L, t) = 0
(2.69)
The solution of this PDE has the following form:

2 2
nx n t
L2
u( x, t) = Dn sin
e
L
n =1
(2.70)
with:
Dn =
2
L
Z L
0
f ( x ) sin
nx
L
dx
(2.71)
To obtain this expression, the solution is searched as a product of a time function

and a spatial function: u( x, t) = u x ( x ) ut (t) (separation of variables). Replacing this
expression in (2.67), one gets:
ut (t),t
u x ( x ),xx
=
ut (t)
ux (x)
(2.72)
As the LHS depends only on t and the RHS on x, both expressions must be equal to a
common constant value . We obtain:
ut (t),t = ut (t)
x
u ( x ),xx = u ( x )
(2.73)
(2.74)
34
March
Open
boundary
Range of influence
dx
=
c=
dt
P
c=
dx
=
dt
Domain of dependence
Initial conditions
Boundary condition
Boundary condition
Figure 2.10: General features of Parabolic PDEs

It is easy to show that must be strictly positive in order to ensure physically sound
solutions (otherwise the solution vanishes on the whole domain of interest D ( x, t)).
Solving eqns (2.73) and (2.74) for > 0, we obtain:
ut (t) = Aet
u x ( x ) = B sin( x ) + C cos( x )
(2.75)
(2.76)
where constants A, B and C areobtained thanks to the BCs and IC. BCs for x = 0 and
L give respectively C = 0 and = n L . Every solution (because n is arbitrary) is in
the form:
2 2
nx n t
L2
un ( x, t) = Dn sin
e
L
(2.77)
where Dn = An Bn . As the PDE is linear, every linear combination of (2.77) verifies

the PDE and the BCs. The general solution is thus:

+
kx k2 22 t
e L
(2.78)
u( x, t) = Dk sin
L
k =1
Coefficients Dk are given by means of the initial condition:

+
kx
f ( x ) = u( x, 0) = Dk sin
L
k =1
(2.79)
This expression is exactly the expression of the Fourier decomposition of f ( x ) 4 . Thus,

4 Roughly
speaking, the Fourier decomposition of a function f ( x ) consists in writing it as a weighted

sum of trigonometric functions. For example, a periodic sawtooth function s( x ) can be approximated as:
s( x ) =
n =1
(1)n+1
n
sin(nx )
35
we have:
2
Dk =
L
Z L
0

f ( x ) sin
kx
L

dx
(2.80)
Qualitative properties
Thanks to this analytical solution, it is possible to draw some insight on the behaviour
of the solutions of parabolic PDEs:
Parabolic PDEs have two real repeated characteristic curves with zero slopes.
They can be seen like hyperbolic PDEs in the limit where the information
propagation speed is infinite.
Parabolic PDEs have infinite information speed (because of the shape of the
range of influence), thus explicit schemes5 (who have their own finite numerical
information speed) are not adapted (they can be considered, but with stability
issues in mind). Implicit schemes are the most adapted schemes in this case;
From figure 2.10, one can seen that the value of the solution at point P depends
on the entire solution domain from previous time (we say upstream), including
the horizontal line passing through P.
From the same figure, the solution at point P influences the entire solution for
the rest of the time (we say downstream), including the horizontal line passing
through P.
On the contrary, the solution at point P does not influence upstream of the
horizontal line through P and is not influenced by the solution downstream of
this line.
Natural damping of high spatial frequencies : if k is big (fast spatial variations
of the solution), the exponential term in the analytical solution will become
extremely small in the early evolution of the time variable. Consequently, the
solution tends to forgets the details of the initial solution (high frequencies)
rather than its global shape (the exponential decrease is steeper for large k as the
coefficient in the exponential is bigger for large k) ;
Any local perturbation influences the entire downstream domain (because of the
shape of the range of influence), but with decreasing magnitude with increasing
distance from the source of the perturbation ;
the solution progresses in the temporal direction and diffuses (i.e. enlarges) in
the spatial direction.
Parabolic PDEs are usually associated to dissipative problems;
Unlike hyperbolic PDEs, it is not possible, from a solution at time t to obtain
the solution at time t0 (t0 < t) (nonreversible). Replacing t by t in the equation
leads to a negative diffusion coefficient, and the PDE becomes unstable.
5 Remark
that the notion of explicit and implicit discretization schemes is below the scope of this
course. What you can retain is that the solution in an explicit scheme at a given point and time ti is
expressed explicitly in terms of the known solution at time ti1 of neighbours points. On the contrary in
an implicit scheme, solution at a given point and time ti is expressed implicitly in terms of the unknown
solution at time ti of neighbours points. This allows to take into account the infinite speed of information.
36
Illustration
To illustrate the behaviour of such a PDE, consider equation (2.67), with the following
initial and boundary conditions :

k
u( x, 0) = sin
(2.81)
x
L
u( L, t) = 0
(2.82)
The solution is simply:

u( x ) = e
( k
L x) t
sin
k
x
L

(2.83)
The solution is illustrated in figures 2.11 and 2.13 respectively for the smooth an nonsmooth cases. Figures 2.11 and 2.14 illustrates how the high frequencies are damped
with respect to low one, and figure 2.13 illustrated the diffusion of the signal in space.
Finally, the example of the advection diffusion is presented in figure 2.15. This PDE
(see later, equation 2.85) contains both hyperbolic and parabolic terms, which leads to
a behaviour which propagates in space (like hyperbolic solutions), but with support
enlargement (diffusion).
1.0
0.5
0.0
0.5
1.0
1.0
10
10
x - low frequency
0.5
0.0
0.5
1.0
x - high frequency
Figure 2.11: Parabolic PDE, smooth case with increasing time (top: low frequency,
bottom: high frequency). Notice how high frequencies are damped with respect to low
frequencies. (top and bottom curves are plotted for the same time steps)
2.2.7
Elliptic PDEs
As stated above, Elliptic PDEs have no real characteristics, and are associated to stationary equilibrium problems. Consequently, the information propagates instantaneously
37
1.5
1.0
0.5
0.0
0.5
1.0
1.5
10
Figure 2.12: Fourier decomposition of a square wave (1, 4 and 32 terms)

in the solution domain, every point influences the whole domain and the whole
domain is influenced by all the points (including the boundaries).
Illustration
The Laplace equation is an elliptic PDE :

2 u 2 u
+ 2 =0
x2
y
(2.84)
Remark that the variable t (time) was replaced by y because the classical interpretation
of this equation is bi-dimensional thermal conductivity in a body.
This class of PDEs is classical in mechanics (thermal conductivity, linear elasticity,
electrostatics...) ;
The solution is conditioned by the B.C., and the whole domain is influenced by
them (no timescale) ;
The solution is as smooth as the B.C.
2.2.8
Conclusion
The main features of the differences families of PDEs are summarized in Table 2.2.
Now that we can write the mathematical model of the physical problem we want to
solve, we can try to approximate its solution. The objective is to obtain a discretized
expression of the former PDE. In the following, we will restrict ourselves to elliptic
PDEs, and consider two approximation schemes : the finite differences and the finite
elements.
38
1.5
1.0
0.5
0.0
0.5
1.0
1.5
10
Figure 2.13: Parabolic PDE, non smooth case (top to bottom: increasing time)
2.3
2.3.1
Examples
Advection-Diffusion equation
In this section, we will consider a more complex example to show how the behaviour
of a PDE can evolve, depending on the physics. Lets consider a river with water flow
speed v( x, t). A pollutant source is located inside the river, and we are interested in
the pollutant concentration c( x, t) in the water. The PDE that drives the pollutant
concentration is:
c
2 c
c
+v
=k 2
t
x
x
(2.85)
where v is the water velocity and k is the diffusion coefficient of the pollutant in the
water. The first and second terms of (2.85) represent a hyperbolic PDE of order one
whereas the first and third term represent a parabolic PDE. Thus, the behaviour of the
solution will be mixed between parabolic and hyperbolic. In fact, it will depend on the
so called Peclet number:
Pe =
vL
k
(2.86)
where L is the characteristic length of the river. Those coefficient will manage the
influence of the advection over the diffusion in equation (2.85). Lets now consider
some cases :
1. Stationary case:
2 c
Small Pe 0 = 2 (elliptic PDE of one variable)
x
c
2 c
Medium Pe v
= k 2 (elliptic PDE of one variable)
x
x
c
= 0 (hyperbolic PDE of order one)
Large Pe v
x
2.3 Examples
2.0
1.5
1.0
0.5
0.0
0.5
1.0
1.5
0
1.0
0.8
0.6
0.4
0.2
0.0
0.2
0.4
0.6
0.8
0
0.6
0.4
0.2
0.0
0.2
0.4
0.6
0
39
10
10
10
Figure 2.14: Parabolic PDE, smooth case (top plot to bottom plot: increasing time,
same time-steps). Notice how high frequencies are damped in the bottom plot: it tends
to the blue curve which contains only the low frequencies.
2. Transient case:
c
2 c
= k 2 (parabolic of order 2)
t
x
c
c
2 c
Medium Pe
+v
= k 2 (parabolic of order 2)
t
x
x
c
c
Large Pe
+v
= 0 (hyperbolic PDE of order one)
t
x
Thus, depending on the speed of the water and its diffusivity (which can vary from
point to point !), the behaviour of the PDE will be completely modified.
Small Pe
2.3.2
The Euler-Tricomi PDE

The Euler Tricomi PDE which arise for trans-sonic flows (below the speed of sound)
has the following expression:
u,xx xu,yy = 0
(2.87)
In this case, the coefficients defining the discriminant are A = 1, B = 0 and C = x.

Thus, = 4x, which means that the PDE will be hyperbolic for x > 0 and elliptic
otherwise.
40
0.6
0.5
0.4
0.3
0.2
0.1
0.0
10
12
14
16
18
Figure 2.15: Advection-diffusion equation
2.4
Boundary Value Problem

We have seen that ODEs could be classified as initial value ODEs or boundary value
ODEs depending on the way the auxiliary conditions are prescribed. This classification
can be extended to PDEs, using the same rationale. Initial value PDEs are obtained if
an initial condition is given on the time boundary and marched in time to make the
problem evolve. On the contrary, Boundary Value Problems are based on boundary
conditions on the whole boundary of the space domain. A vast literature has focused
on proving whether a BVP is well posed or not. In this section, we focus on the
classification of BVPs depending on the choice of boundary conditions.
Example 2.1 Insulating a wall: Physical model. Consider the following elliptic
PDE :
u = 0
( x, y) D ( x, y)
(2.88)
together with some auxiliary conditions on the boundary D ( x, y) of the domain of

interest:
u( x, y) = f ( x, y)( x, y) D ( x, y)
(2.89)
where f ( x, y) is a given function. This problem is a BVP.

On the contrary, consider the wave equation :
u,tt u,xx = 0
( x, t) D ( x, t)
(2.90)
2.4 Boundary Value Problem

y
41
Domain D ( x, y)
Boundary condition
Boundary condition
Boundary condition
Closed boundary
Boundary condition
Figure 2.16: General features of Elliptic PDEs
River
Pollution source
c(x,t)=0
Flow
Figure 2.17: Pollutant in a river.

with u( x, 0) = f ( x ) and u,x ( x, 0) = g( x ) (usually, D ( x, t) is such that x ] , +[,
and t [t0 , +[). This problem is an initial value PDE.
The following problems corresponds to a so-called initial-boundary-value Problem:
u,tt u,xx = 0 ( x, t) D ( x, t)
u( x, 0) = u0 ( x )
(2.91)
u0 ( x, 0) = u00 ( x )
u( x, t) = f ( x, t) x on the spatial bnd.

In this case, D ( x, t) is closed in space and open is time.
Let be a domain of Rn (n = 1, 2 or 3), and be the boundary of the domain

(see figure 2.18). Let L be a differential operator and consider the following PDE:
Lu( x, t) = f ( x, t)
(2.92)
We want to solve this PDE in which u( x, t) is the unknown, and f ( x, t) is known on
42
Propagation of the information
Domain of dependence
Elliptic
Equilibrium
(Poisson,
Laplace)
2 complex
Whole domain
Domain of influence
Whole domain
Numerical problems
Efficiency of the
algorithm
Dirichlet, Neu- Dirichlet, Neu- Dirichlet1 , Neumann, Mixed
mann, Mixed
mann1 , Mixed1
No
Yes
Yes
Physical problem
Boundary conditions
Initial conditions
Parabolic
Hyperbolic
Evolution (Diffu- Evolution
sion)
(Waves
and
Convection)
2 real (double)
2 real (distinct)
Infinite
Finite
Present and past Past between the
characteristics
Present and fu- Future between
ture
characteristics
Stability
Stability
1: Only where the information enters
Table 2.2: Summary of the features of the three class of PDEs

R. We have to add initial and boundary conditions, and depending thee B.C., the
problem can be named :
Dirichlet problem if u is imposed on the whole ;
Neumann problem if a combination of the components of u (gradient of u) is
imposed on the whole ;
Mixed (Dirichlet - Neumann) problem if u and u are imposed on two disjointed parts of ;
Robin (Fourier) problem if a linear combination of u and u is imposed on ;
Eigen-Value problem.
2.4.1
Dirichlet Problem
The problem is written as :

L(u) = f x
u = g x
(2.93)
where g( x, t) has to be C 0 (continuous).

2.4.2
Neumann Problem
L(u) = f x
u
= g x
n
(2.94)
where g( x, t) has to be C 0 (continuous) and n is the unit outward vector normal to .
43
Figure 2.18: Domain of interest.

2.4.3
Mixed Problem
L(u) = f x
= g x
a( x, t) u + b( x, t)
n
a( x, t) = 0, b( x, t) 6= 0 on N
a( x, t) 6= 0, b( x, t) = 0 on D
= D N , D N =
(2.95)
where g( x, t) has to be C 0 (continuous), n is the unit outward vector normal to =,

and the functions a( x, t) and b( x, t) must be also C 0 . This problem is also called
Dirichlet-Neumann problem. Note that a( x, t) or b( x, t) vanishes at any point of : the
boundary condition is either Dirichlet or Neumann, not both (see the difference with
Robin BCs).
2.4.4
Robin Problem
L(u) = f x
u
a( x, t) u + b( x, t)
= g x
n
(2.96)
where g( x, t) has to be C 0 (continuous), n is the unit outward vector normal to , and

the functions a( x, t) and b( x, t) must be also C 0 . This problem is also called Fourier
problem. With respect to mixed BCs, a weighted combination of Dirichlet boundary
conditions and Neumann boundary conditions is prescribed on the same part of the
boundary.
2.4.5
Eigen-Value Problem
They are stationary problems (but they also hold for waves) for which the solution
exists only for specific conditions (values of a certain parameter ). They are defined
44
in closed domains. The problem is written as :
L(u) + u = 0
(2.97)
In this case, we look for the Eigen-values of the operator L.

Example 2.2 Eigenvalue problem: displacement of the membrane of a drum.
The out of plane displacement of the membrane of a drum is characterized by the

following eigenvalue problem:
2 u 2 u
+ 2 + u = 0
x2
y
In this case, the differential operator which is applied to u( x, y) is:
L() =
2 2
+ 2
x2
y
2.4.6
Examples
f
T0
0
TL
L
dT
q
=
dx
k
dT
q
=
dx
k
L
T0
0
q
dT
=
dx
k
L
Dirichlet
Neumann
Mixed
Figure 2.19: Illustration of the different type of boundary conditions

Consider the BVP defining heat conduction in a 1D bar of length L subjected to
internal heating f (see figure 2.19) :

d k dT + f = 0
dx
dx
+ B.C. on
(2.98)
where = { x = 0 and x = L} here.

Dirichlet
d
dx
dT
dx
+f =0
T (0) = T0
T ( L) = TL
k
(2.99)

Neumann
h
Mixed
dT
d
dx k dx + f = 0
dT
dx (0) = q0 /k
dT
dx ( L ) = q L /k
d
dx
dT
dx
(2.100)
+f =0
T (0) = T0
dT
dx ( L ) = q L /k
45
(2.101)
Eigen Value

d
dT
k
+T = 0
dx
dx
(2.102)

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Early (!) Preliminary

c 2013 - 20XX Grgory Legrain

The different models

Classical sources of error

Example: Thermal equilibrium of a bar

Ordinary Differential Equations (ODE) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15

Classification of the PDEs

Boundary Value Problem

Finite Difference Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45

Thermal equilibrium equations

Field equations and boundary conditions . . . . . . . . . . . . . . . . . . . . . . . . . . 46

Approximation of the differential operators

Approximation of first order derivatives . . .

Convergence, Stability, Consistency

Resolution of a problem using the finite difference method

Prescribing the boundary conditions

Dirichlet boundary conditions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57

2D (3D) Finite Difference Approximation

Discretization of the operator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59

Weak formulation of a PDE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65

Concept of admissible spaces

Properties of the Fourier Law

Minimum principle, variational formulation

Approximated solution of a PDE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75

Least square approach

Direct approach for finite elements

Interpolation of a field over an element . . . . .

Mapped finite elements

Parent element . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109

Integration of the stiffness matrix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 120

Extension to higher dimensions

Extension to vectorial fields

Programming the finite elements

also computational physics in physics.

Quantitative description of phenomena using measurement

Quantitative prediction of phenomena

Limitations: unable to measure inside

Limitations: sensitive to model errors,

Table 1.1: Comparison between experimental and numerical approaches.

Table 1.2: Comparison between experimental and numerical approaches.

The different models

1.1 The different models

Example 1.1 Insulating a wall: Physical model.

Objective: Compute heat loss Thermal flux q( x ) (W.m2 )

I Prescribed temperature for x = 0 : T0

Domain of interest x [0, L]

1.2 Classical sources of error

Example 1.3 Insulating a wall: Numerical model.

Choice: Use finite differences (see chapter 3);

Classical sources of error

Using Newtons second law, the acceleration is shown to be equal to g (the

1.2 Classical sources of error

Example: Thermal equilibrium of a bar

Figure 1.2: Thermal equilibrium of a bar

1.3 Example: Thermal equilibrium of a bar

I Conservation of thermal flux / ex ;

Mathematical model (see later in the course)

Weak Form (if needed) (see later, chapter 4):

Numerical model (objective of this course, see chapter 3 and 6)

The main objective of numerical methods is to translate mathematical models into a

Ordinary Differential Equations (ODE)

is a linear constant coefficient first-order ODE. And: