PDEs - Slides

Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Part II
20401
Tony Shardlow
1 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Outline
1
Separation of variables for heat eqn.
2
Wave equation
3
DAlemberts solution
4
Laplaces equation
5
Particular solns
6
Sturm-Liouville theory
7
Wave equation on a disc
2 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Outline
1
2
Wave equation
3
DAlemberts solution
4
Laplaces equation
5
Particular solns
6
7
3 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
The heat equation
Consider
heat equation for time t [0, T] and space x [0, ]
u
t
u
xx
= f (x, t) in (0, ) (0, T]
with initial condition u
0
(x)
u(x, 0) = u
0
(x) for all x [0, ]
and Dirichlet boundary conditions.
u(0, t) = g(t), u(, t) = h(t) for all t > 0
where > 0 is a constant, and f (x, t), u
0
(x), g(t) and h(t)
are given functions.
4 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
The heat equation
Consider
u
t
u
xx
= f (x, t) in (0, ) (0, T]
0
(x)
u(x, 0) = u
0
(x) for all x [0, ]
0
(x), g(t) and h(t)
5 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
The heat equation
Consider
u
t
u
xx
= f (x, t) in (0, ) (0, T]
0
(x)
u(x, 0) = u
0
(x) for all x [0, ]
0
(x), g(t) and h(t)
6 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
The heat equation
Consider
u
t
u
xx
= f (x, t) in (0, ) (0, T]
0
(x)
u(x, 0) = u
0
(x) for all x [0, ]
0
(x), g(t) and h(t)
7 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Separation of Variables
Homogeneous case
When
forcing f = 0 and boundary terms g = h = 0.
For homogeneous eqns, our method is
Write u(t, x) = T(t)X(x),
nd ODEs for T and X,
solve the ODEs,
put everything together with linear superposition.
8 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Homogeneous case
When
forcing f = 0 and boundary terms g = h = 0.
For homogeneous eqns, our method is
Write u(t, x) = T(t)X(x),
nd ODEs for T and X,
solve the ODEs,
put everything together with linear superposition.
9 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Separation of Variables (SoV)
Write u as a product of functions X(x) and T(t),
u(x, t) = X(x)T(t).
Substitute into the heat equation u
t
= u
xx
, with u
t
= XT
and u
xx
= X
T.
X(x)T
(t) =X
(x)T(t)
(t)
T(t)
=
X
(x)
X(x)
.
1
T
..
function of t
=
X
X
..
function of x
= separation constant .
Constant must be independent of t, x for equality.
10 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Separation of Variables (SoV)
Write u as a product of functions X(x) and T(t),
u(x, t) = X(x)T(t).
Substitute into the heat equation u
t
= u
xx
, with u
t
= XT
and u
xx
= X
T.
X(x)T
(t) =X
(x)T(t)
(t)
T(t)
=
X
(x)
X(x)
.
1
T
..
function of t
=
X
X
..
function of x
Constant must be independent of t, x for equality.
11 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Boundary conditions for X
Substitute u(x, t) = X(x)T(t) into the boundary conditions.
The Dirichlet conditions u(0, t) = u(, t) = 0 imply that
u(0, t) = X(0)T(t) = 0
u(, t) = X()T(t) = 0
_
and hence (assuming T(t) = 0).
X(0) = 0, X() = 0.
Eigenvalue problem for X
Find X(x) = 0 and such that
X
= X
X(0) = 0; X() = 0
_
.
This is known as an eigenvalue problem, where is an eigenvalue
and X(x) is the associated eigenfunction.
12 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
u(0, t) = X(0)T(t) = 0
u(, t) = X()T(t) = 0
_
X(0) = 0, X() = 0.
X
= X
X(0) = 0; X() = 0
_
.
13 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
u(0, t) = X(0)T(t) = 0
u(, t) = X()T(t) = 0
_
X(0) = 0, X() = 0.
X
= X
X(0) = 0; X() = 0
_
.
14 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Soln for X: Case = 0
If = 0, then
X
= 0,
and X(x) = ax + b for some parameters a, b.
Boundary condition X(0) = 0 implies that X(0) = b = 0
and hence b = 0.
Boundary condition X() = 0 implies that X() = a = 0
and hence a = 0.
Hence = 0 corresponds to X(x) = 0.
Thus = 0 is not an eigenvalue, as X(x) must not equal zero.
15 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
If = 0, then
X
= 0,
and hence b = 0.
and hence a = 0.
16 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
If = 0, then
X
= 0,
and hence b = 0.
and hence a = 0.
17 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
If = 0, then
X
= 0,
and hence b = 0.
and hence a = 0.
18 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Soln for X: Case =
2
> 0
If =
2
> 0, then
X
=
2
X,
and X(x) = a cosh(x) +b sinh(x) for some parameters a, b.
Boundary condition X(0) = 0 implies that
X(0) = a cosh(0) + b sinh(0) = a = 0 and hence a = 0.
Boundary condition X() = 0 implies that
X() = b sinh() = 0. As sinh() = 0 for = 0, we have
b = 0.
Hence > 0 corresponds to X(x) = 0. Not eigenvalues as
X(x) must be non-zero.
19 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Soln for X: Case =
2
> 0
If =
2
> 0, then
X
=
2
X,
b = 0.
20 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Soln for X: Case =
2
> 0
If =
2
> 0, then
X
=
2
X,
b = 0.
21 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Solution for X: Case
=
2
< 0
With =
2
, we have X
=
2
X.
This has solution for constants A, B
X(x) = Acos(x) + B sin(x).
The left end condition X(0) = 0 implies that
X(0) = Acos(0) + B sin(0) = A = 0.
The right end condition X() = 0 gives
X() = B sin() = 0. Hence =
n
for all positive

integers n. We choose B = 1.
The soln to the eigenvalue problem is
n
=
_
n
_
2
; X
n
= sin
nx
, n = 1, 2, 3, . . .
22 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
=
2
< 0
With =
2
, we have X
=
2
X.
X(0) = Acos(0) + B sin(0) = A = 0.
X() = B sin() = 0. Hence =
n
for all positive

n
=
_
n
_
2
; X
n
= sin
nx
, n = 1, 2, 3, . . .
23 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
=
2
< 0
With =
2
, we have X
=
2
X.
X(0) = Acos(0) + B sin(0) = A = 0.
X() = B sin() = 0. Hence =
n
for all positive

n
=
_
n
_
2
; X
n
= sin
nx
, n = 1, 2, 3, . . .
24 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
=
2
< 0
With =
2
, we have X
=
2
X.
X(0) = Acos(0) + B sin(0) = A = 0.
X() = B sin() = 0. Hence =
n
for all positive

n
=
_
n
_
2
; X
n
= sin
nx
, n = 1, 2, 3, . . .
25 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
=
2
< 0
With =
2
, we have X
=
2
X.
X(0) = Acos(0) + B sin(0) = A = 0.
X() = B sin() = 0. Hence =
n
for all positive

n
=
_
n
_
2
; X
n
= sin
nx
, n = 1, 2, 3, . . .
26 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
=
2
< 0
With =
2
, we have X
=
2
X.
X(0) = Acos(0) + B sin(0) = A = 0.
X() = B sin() = 0. Hence =
n
for all positive

n
=
_
n
_
2
; X
n
= sin
nx
, n = 1, 2, 3, . . .
27 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Solve for T
1
T
= =
X
X
We have found
n
=
_
n
_
2
Hence the equation for T is
T
=
n
T.
which has general solution
T
n
(t) = e
n
t
= e
(
n
)
2
t
.
HOMEWORK
You can now try Problem 1 and 2
28 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Solve for T
1
T
= =
X
X
We have found
n
=
_
n
_
2
T
=
n
T.
T
n
(t) = e
n
t
= e
(
n
)
2
t
.
HOMEWORK
29 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Solve for T
1
T
= =
X
X
We have found
n
=
_
n
_
2
T
=
n
T.
T
n
(t) = e
n
t
= e
(
n
)
2
t
.
HOMEWORK
30 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Solve for T
1
T
= =
X
X
We have found
n
=
_
n
_
2
T
=
n
T.
T
n
(t) = e
n
t
= e
(
n
)
2
t
.
HOMEWORK
31 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
SoV solutions are
We found
X
n
(x) = sin(nx/) T
n
(t) = e
(n/)
2
t
and hence the following are solns of heat eqn
u
n
(x, t) =X
n
(x) T
n
(t)
=e
(
n
)
2
t
sin
nx
, n = 1, 2, . . . .
Superposition
As heat equation is linear and homogeneous, principle of
superposition applies. Linear combinations
u(x, t) =
n=1
a
n
e
(
n
)
2
t
sin
nx
for coecients a
n
are also solutions.
32 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
SoV solutions are
We found
X
n
(x) = sin(nx/) T
n
(t) = e
(n/)
2
t
and hence the following are solns of heat eqn
u
n
(x, t) =X
n
(x) T
n
(t)
=e
(
n
)
2
t
sin
nx
, n = 1, 2, . . . .
Superposition
As heat equation is linear and homogeneous, principle of
superposition applies. Linear combinations
u(x, t) =
n=1
a
n
e
(
n
)
2
t
sin
nx
for coecients a
n
are also solutions.
33 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Initial conditions for heat
equation
u(x, t) =
n=1
a
n
e
(
n
)
2
t
sin
nx
obeys the heat equation and boundary conditions.

To determine a
n
, put t = 0 so that
u(x, 0) = u
0
(x) =
n=1
a
n
sin
nx
and exploit the very important orthogonality relation

Orthogonality
We say two functions , : [0, ] R are orthogonal if
_

0
(x) (x) dx = 0.
34 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
equation
u(x, t) =
n=1
a
n
e
(
n
)
2
t
sin
nx

To determine a
n
, put t = 0 so that
u(x, 0) = u
0
(x) =
n=1
a
n
sin
nx

Orthogonality
_

0
(x) (x) dx = 0.
35 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
equation
u(x, t) =
n=1
a
n
e
(
n
)
2
t
sin
nx

To determine a
n
, put t = 0 so that
u(x, 0) = u
0
(x) =
n=1
a
n
sin
nx

Orthogonality
_

0
(x) (x) dx = 0.
36 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Orthogonality for sin(nx/)
Using trig identities (as in rst lecture),
_

0
sin(mx/) sin(nx/) dx =
_
0, n = m,
/2, n = m.
Thus sin(nx/) are orthogonal if n = m. If we assume any
initial condition can be written as
u
0
(x) =
n=1
a
n
sin
nx
the orthogonality relation allows us to determine a

n
.
This series is known as a Fourier sine series and a
n
are known
as Fourier coecients.
37 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
_

0
_
0, n = m,
/2, n = m.
u
0
(x) =
n=1
a
n
sin
nx

n
.
n
are known
38 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
_

0
_
0, n = m,
/2, n = m.
u
0
(x) =
n=1
a
n
sin
nx

n
.
n
are known
39 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
_

0
_
0, n = m,
/2, n = m.
u
0
(x) =
n=1
a
n
sin
nx

n
.
n
are known
40 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Determining Fourier coecients
Given
u
0
(x) =
n=1
a
n
sin
nx
multiply by sin(mx/) and integrate over [0, ];

_

0
u
0
(x) sin
mx
dx =
_

0
n=1
a
n
sin
nx
sin
mx
dx
Apply the orthogonality relation, all terms in the sum for
n = m disappear because
_
0
sin(nx/) sin(mx/) = 0. Thus,
_

0
u
0
(x) sin
mx
dx =
_

0
a
m
sin
mx
sin
mx
dx =

2
a
m
as
_
0
sin
2
(mx/) dx = /2.
41 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Given
u
0
(x) =
n=1
a
n
sin
nx

_

0
u
0
(x) sin
mx
dx =
_

0
n=1
a
n
sin
nx
sin
mx
dx
_
0
_

0
u
0
(x) sin
mx
dx =
_

0
a
m
sin
mx
sin
mx
dx =

2
a
m
as
_
0
sin
2
(mx/) dx = /2.
42 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Given
u
0
(x) =
n=1
a
n
sin
nx

_

0
u
0
(x) sin
mx
dx =
_

0
n=1
a
n
sin
nx
sin
mx
dx
_
0
_

0
u
0
(x) sin
mx
dx =
_

0
a
m
sin
mx
sin
mx
dx =

2
a
m
as
_
0
sin
2
(mx/) dx = /2.
43 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Fourier series
Many functions can be written as Fourier series.
Theorem: Dirichlet (1829)
Let u(x) be such that u(x) and u
(x) are piecewise continuous

(i.e., continuous except for a nite number of points) on [0, ]:
Then we may write
u(x) =
n=1
a
n
sin
nx
,
at all points x of continuity, for Fourier coecients
a
n
=
2
_

0
u(x) sin
n x
dx.
44 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Expansion for initial data
Write the initial data u
0
(x) as a Fourier sine series
u
0
(x) =
n=1
a
n
sin
nx
with Fourier coecients given by

a
n
=
2
_

0
u
0
(x) sin
nx
dx.
We give examples of u
0
(x) and the corresponding Fourier
coecients.
HOMEWORK
You can now try Problem 2 up to Problem 6
45 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Expansion for initial data
Write the initial data u
0
(x) as a Fourier sine series
u
0
(x) =
n=1
a
n
sin
nx
with Fourier coecients given by

a
n
=
2
_

0
u
0
(x) sin
nx
dx.
We give examples of u
0
(x) and the corresponding Fourier
coecients.
HOMEWORK
You can now try Problem 2 up to Problem 6
46 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Example: hat function for initial
data
So far used that u obeys heat equation with given boundary
conditions
u
t
u
xx
=0
u(0, t) = u(, t) = 0 t > 0.
Now take initial data to be the hat function
u(x, 0) = u
0
(x) =
_
2
x 0 x

2
2
2
x

2
x
0
/2

1
\
\
\
\
\
47 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Example: hat function for initial
data
So far used that u obeys heat equation with given boundary
conditions
u
t
u
xx
=0
u(0, t) = u(, t) = 0 t > 0.
Now take initial data to be the hat function
u(x, 0) = u
0
(x) =
_
2
x 0 x

2
2
2
x

2
x
0
/2

1
\
\
\
\
\
48 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
expansion for hat function
example
a
n
=
2
_

0
u
0
(x) sin
nx
dx
where u
0
(x) is the hat function on [0, ].
n even; Then (x) = sin(nx/) is anti-symmetric about
x = /2 (so (/2 x) = (/2 + x)).
As hat function is symmetric about x = /2,
and sin(nx/) is anti-symmetric about x = /2,
the product sin(nx/)u
0
(x) is anti-symmetric about x = /2.
Then integral a
n
= 0.
We write a
2r
= 0 where n = 2r .
49 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
example
a
n
=
2
_

0
u
0
(x) sin
nx
dx
where u
0
x = /2 (so (/2 x) = (/2 + x)).
0
Then integral a
n
= 0.
We write a
2r
= 0 where n = 2r .
50 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
example
a
n
=
2
_

0
u
0
(x) sin
nx
dx
where u
0
x = /2 (so (/2 x) = (/2 + x)).
0
Then integral a
n
= 0.
We write a
2r
= 0 where n = 2r .
51 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
example
a
n
=
2
_

0
u
0
(x) sin
nx
dx
where u
0
x = /2 (so (/2 x) = (/2 + x)).
0
Then integral a
n
= 0.
We write a
2r
= 0 where n = 2r .
52 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
ctd.
n odd. Then (x) = sin(nx/) is symmetric about
x = /2. Then
a
n
= 2
2
_
/2
0
2x
sin
nx
dx =
8
2
I ,
where
I =
_
x
n
cos
nx
_
/2
0
+

n
_
/2
0
cos
nx
dx
=
_

2
n
2
2
sin
nx
_
/2
0
=
2
(1)
r
n
2
2
, n = 2r + 1
Finally, if n = 2r + 1, a
2r +1
=
(1)
r
8
(2r + 1)
2
2
.
53 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
ctd.
x = /2. Then
a
n
= 2
2
_
/2
0
2x
sin
nx
dx =
8
2
I ,
where
I =
_
x
n
cos
nx
_
/2
0
+

n
_
/2
0
cos
nx
dx
=
_

2
n
2
2
sin
nx
_
/2
0
=
2
(1)
r
n
2
2
, n = 2r + 1
2r +1
=
(1)
r
8
(2r + 1)
2
2
.
54 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
ctd.
x = /2. Then
a
n
= 2
2
_
/2
0
2x
sin
nx
dx =
8
2
I ,
where
I =
_
x
n
cos
nx
_
/2
0
+

n
_
/2
0
cos
nx
dx
=
_

2
n
2
2
sin
nx
_
/2
0
=
2
(1)
r
n
2
2
, n = 2r + 1
2r +1
=
(1)
r
8
(2r + 1)
2
2
.
55 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
ctd.
x = /2. Then
a
n
= 2
2
_
/2
0
2x
sin
nx
dx =
8
2
I ,
where
I =
_
x
n
cos
nx
_
/2
0
+

n
_
/2
0
cos
nx
dx
=
_

2
n
2
2
sin
nx
_
/2
0
=
2
(1)
r
n
2
2
, n = 2r + 1
2r +1
=
(1)
r
8
(2r + 1)
2
2
.
56 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Fourier coecents for hat
function
0
/2

1
\
\
\
\
\
has Fourier coecients given by
a
n
=
2
_

0
u
0
(x) sin
nx
dx.
=
_
0, n = 2r
8
2
(1)
r
(2r +1)
2
n = 2r + 1.
57 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
The solution of heat eqn with
hat function initial condition is
u(x, t) =
n=1
a
n
e
(
n
)
2
t
sin
nx
0
/2

1
\
\
\
\
\
a
n
=
_
0, n = 2r
8
2
(1)
r
(2r +1)
2
, n = 2r + 1
Hence, the soln of heat equation is
u(x, t) =
8
r =0
(1)
r
(2r + 1)
2
e
(2r +1)
2
2
t/
2
sin
(2r + 1)x
58 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Plot of solution
0 0.2 0.4 0.6 0.8 1
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
x
t
e
m
p
e
r
a
t
u
r
e
Example 1.1
59 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Example: constant fn for initial
data
Consider heat eqn with Dirichlet boundary conditions
u
t
u
xx
, =0
u(0, t) = u(, t) =0
with constant initial condition
u(x, 0) = u
0
(x) = 1 0 x 1
Then u
0
(x) has Fourier coecients given by
a
n
=
2
_

0
u
0
(x) sin
nx
dx.
=
2
_
2
1
,
0
2
,
2
3
,
0
4
,
2
5
,
0
6
, . . .
_
=
2
1 (1)
n
n
.
60 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Example: constant fn for initial
data
Consider heat eqn with Dirichlet boundary conditions
u
t
u
xx
, =0
u(0, t) = u(, t) =0
with constant initial condition
u(x, 0) = u
0
(x) = 1 0 x 1
Then u
0
(x) has Fourier coecients given by
a
n
=
2
_

0
u
0
(x) sin
nx
dx.
=
2
_
2
1
,
0
2
,
2
3
,
0
4
,
2
5
,
0
6
, . . .
_
=
2
1 (1)
n
n
.
61 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Soln of heat equation with
constant initial condition
u(x, t) =
n=1
a
n
e
(
n
)
2
t
sin
nx
0
1
a
n
=
4
1 (1)
n
n
u(x, t) =
n=1
a
n
e
2
n
2
/
2
t
sin
nx
62 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Summary
u(x, t) =
n=1
a
n
e
(
n
)
2
t
sin
nx
What have we learned?

1
All modes decay exponentially in time; u 0 as t .
2
High frequency waves decay faster than low frequency
ones.
3
The bigger is, the faster the decay.
HOMEWORK
You can now try Problem 7
63 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Summary
u(x, t) =
n=1
a
n
e
(
n
)
2
t
sin
nx

1
2
ones.
3
HOMEWORK
64 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Summary
u(x, t) =
n=1
a
n
e
(
n
)
2
t
sin
nx

1
2
ones.
3
HOMEWORK
65 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Summary
u(x, t) =
n=1
a
n
e
(
n
)
2
t
sin
nx

1
2
ones.
3
HOMEWORK
66 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Outline
1
2
Wave equation
3
DAlemberts solution
4
Laplaces equation
5
Particular solns
6
7
67 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
The wave equation
Consider the homogeneous wave equation
u
tt
u
xx
= 0 in (0, ) (0, T]
with boundary conditions
u(0, t) = 0 u(, t) = 0 for all t > 0
and initial conditions
u(x, 0) = u
0
(x); u
t
(x, 0) = u
1
(x) x [0, ].
PDE is homogeneous (as RHS zero) and boundary conditions
are homogeneous.
There are two initial conditions, because u
tt
is 2nd order,
for given functions u
0
(x) and u
1
(x). Non-homogeneous initial
conditions.
68 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
The wave equation
Consider the homogeneous wave equation
u
tt
u
xx
= 0 in (0, ) (0, T]
with boundary conditions
u(0, t) = 0 u(, t) = 0 for all t > 0
and initial conditions
u(x, 0) = u
0
(x); u
t
(x, 0) = u
1
(x) x [0, ].
PDE is homogeneous (as RHS zero) and boundary conditions
are homogeneous.
There are two initial conditions, because u
tt
is 2nd order,
for given functions u
0
(x) and u
1
(x). Non-homogeneous initial
conditions.
69 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Substitute u(x, t) = X(x)T(t) into u
tt
= u
xx
,
X(x)T
(t) =X
(x)T(t)
T
(t)
T(t)
=
X
(x)
X(x)
.
T
(t)
T(t)
. .
function of t
=
X
(x)
X(x)
. .
function of x
The constant is independent of x and t.
70 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Substitute u(x, t) = X(x)T(t) into u
tt
= u
xx
,
X(x)T
(t) =X
(x)T(t)
T
(t)
T(t)
=
X
(x)
X(x)
.
T
(t)
T(t)
. .
function of t
=
X
(x)
X(x)
. .
function of x
The constant is independent of x and t.
71 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
The boundary conditions u(0, t) = u(, t) = 0 imply that
X(0) = 0 = X()
assuming T(t) = 0.
Eigenvalue problem for X(x)
Find all eigenfns X(x) (non-zero) and eigenvalues such that
X
= X, X(0) = X() = 0.
The solution is (same as for heat eqn)
n
=
_
n
_
2
; X
n
= sin
nx
, n = 1, 2, 3, . . .
72 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
The boundary conditions u(0, t) = u(, t) = 0 imply that
X(0) = 0 = X()
assuming T(t) = 0.
Eigenvalue problem for X(x)
Find all eigenfns X(x) (non-zero) and eigenvalues such that
X
= X, X(0) = X() = 0.
The solution is (same as for heat eqn)
n
=
_
n
_
2
; X
n
= sin
nx
, n = 1, 2, 3, . . .
73 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Solution for T
T
(t)
T(t)
= =
X
(x)
X(x)
and =
2
n
= (n/)
2
. Hence
T
=
2
n
T =
n
2
2
T,
and the general solution is
T
n
(t) = a
n
cos
nt
+ b
n
sin
nt
, n = 1, 2, . . . .
for some constants a
n
, b
n
.
In contrast to heat equation, there are two independent solns.
74 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Solution for T
T
(t)
T(t)
= =
X
(x)
X(x)
and =
2
n
= (n/)
2
. Hence
T
=
2
n
T =
n
2
2
T,
T
n
(t) = a
n
cos
nt
+ b
n
sin
nt
, n = 1, 2, . . . .
n
, b
n
.
75 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Solution for T
T
(t)
T(t)
= =
X
(x)
X(x)
and =
2
n
= (n/)
2
. Hence
T
=
2
n
T =
n
2
2
T,
T
n
(t) = a
n
cos
nt
+ b
n
sin
nt
, n = 1, 2, . . . .
n
, b
n
.
76 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Solution for T
T
(t)
T(t)
= =
X
(x)
X(x)
and =
2
n
= (n/)
2
. Hence
T
=
2
n
T =
n
2
2
T,
T
n
(t) = a
n
cos
nt
+ b
n
sin
nt
, n = 1, 2, . . . .
n
, b
n
.
77 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
SoV soln of wave equation are
u
n
(x, t) = X
n
(x) T
n
(t) =
_
a
n
cos
nt
+ b
n
sin
nt
_
sin
nx
Superposition
As wave equation is linear and homogeneous,
u(x, t) =
n=1
_
a
n
cos
nt
+ b
n
sin
nt
_
sin
nx
.
is a solution for coecients a
n
, b
n
.
78 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
SoV soln of wave equation are
u
n
(x, t) = X
n
(x) T
n
(t) =
_
a
n
cos
nt
+ b
n
sin
nt
_
sin
nx
Superposition
As wave equation is linear and homogeneous,
u(x, t) =
n=1
_
a
n
cos
nt
+ b
n
sin
nt
_
sin
nx
.
n
, b
n
.
79 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Initial condition for wave
equation
To determine coecients a
n
, b
n
, set t = 0 so that
u(x, 0) =
n=1
a
n
sin
nx
= u
0
(x) .
Then, using orthogonality of sin functions
a
n
=
2
_

0
u
0
(x) sin
nx
dx.
Dierentiating term by term,
u
t
(t, x) =
n=1
_
na
n
sin
nt
+
nb
n
cos
nt
_
sin
nx
.
Set t = 0 and apply initial condition u
t
(0, x) = u
1
(x),
(
n
) b
n
=
2
_

0
u
1
(x) sin
nx
dx.
80 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
equation
n
, b
n
, set t = 0 so that
u(x, 0) =
n=1
a
n
sin
nx
= u
0
(x) .
a
n
=
2
_

0
u
0
(x) sin
nx
dx.
u
t
(t, x) =
n=1
_
na
n
sin
nt
+
nb
n
cos
nt
_
sin
nx
.
t
(0, x) = u
1
(x),
(
n
) b
n
=
2
_

0
u
1
(x) sin
nx
dx.
81 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
equation
n
, b
n
, set t = 0 so that
u(x, 0) =
n=1
a
n
sin
nx
= u
0
(x) .
a
n
=
2
_

0
u
0
(x) sin
nx
dx.
u
t
(t, x) =
n=1
_
na
n
sin
nt
+
nb
n
cos
nt
_
sin
nx
.
t
(0, x) = u
1
(x),
(
n
) b
n
=
2
_

0
u
1
(x) sin
nx
dx.
82 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
equation
n
, b
n
, set t = 0 so that
u(x, 0) =
n=1
a
n
sin
nx
= u
0
(x) .
a
n
=
2
_

0
u
0
(x) sin
nx
dx.
u
t
(t, x) =
n=1
_
na
n
sin
nt
+
nb
n
cos
nt
_
sin
nx
.
t
(0, x) = u
1
(x),
(
n
) b
n
=
2
_

0
u
1
(x) sin
nx
dx.
83 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Wave eqn: example 1
Consider the wave equation and boundary conditions
u
tt
u
xx
=0
u(0, t) = u(, t) =0 t > 0.
with the initial conditions
u(x, 0) = u
0
(x) =
_
2
x 0 x

2
2
2
x

2
x ,
u
t
(x, 0) = u
1
(x) = 0.
0
/2

1
\
\
\
\
\
84 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
equation: example I
0
/2

u
0
\
\
\
\
\
The hat function u
0
a
n
=
8
2
_
1
1
2
,
0
2
2
,
1
3
2
,
0
4
2
,
1
5
2
,
0
6
2
,
1
7
2
, . . .
_
.
The zero function u
1
= 0 has coecients
b
n
= 0 for all n.
Thus,
u(x, t) =
8
2
_
cos
t
sin
x

1
9
cos
3t
sin
3x
+
1
25
. . .
_
85 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
equation: example I
0
/2

u
0
\
\
\
\
\
The hat function u
0
a
n
=
8
2
_
1
1
2
,
0
2
2
,
1
3
2
,
0
4
2
,
1
5
2
,
0
6
2
,
1
7
2
, . . .
_
.
The zero function u
1
= 0 has coecients
b
n
= 0 for all n.
Thus,
u(x, t) =
8
2
_
cos
t
sin
x

1
9
cos
3t
sin
3x
+
1
25
. . .
_
86 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
equation: example I
0
/2

u
0
\
\
\
\
\
The hat function u
0
a
n
=
8
2
_
1
1
2
,
0
2
2
,
1
3
2
,
0
4
2
,
1
5
2
,
0
6
2
,
1
7
2
, . . .
_
.
The zero function u
1
= 0 has coecients
b
n
= 0 for all n.
Thus,
u(x, t) =
8
2
_
cos
t
sin
x

1
9
cos
3t
sin
3x
+
1
25
. . .
_
87 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Solution of wave equation:
example I
In other words, function u
0
(x) has Fourier series
u
0
(x) =
n=1
a
n
sin
nx
, a
n
=
_
0, n = 2r
8
2
(1)
r
(2r +1)
2
, n = 2r + 1
u
1
(x) has Fourier series
u
1
(x) =
n=1
b
n
sin
nx
, b
n
= 0.
Solution u(x, t) =
n=1
a
n
cos(nt/) sin(nx/)
where a
n
given above.
88 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Wave eqn: example 2
Consider the wave equation and boundary conditions
u
tt
u
xx
=0
u(0, t) = (, t) =0 t > 0
with the initial conditions
u(x, 0) = u
0
(x) = 0
u
t
(x, 0) = u
1
(x) = sin
x
.
0
6
6
6
6
6
89 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Soln of wave equation: example
2
u(x, t) =
n=1
_
a
n
cos
nt
+ b
n
sin
nt
_
sin
nx
.
u
0
(x) = 0, u
1
(x) = sin
x
.
The condition u
0
(x) = 0 implies that a
n
= 0 for all n.
The condition u
1
(x) = sin(x/)
u
1
6
6
6
6
6
(
n
) b
n
= {1, 0, 0, . . .} b
n
=

_
1
1
,
0
2
,
0
3
,
0
4
, . . .
_
.
Thus,
u(x, t) =

sin
t
sin
x
.
90 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
2
u(x, t) =
n=1
_
a
n
cos
nt
+ b
n
sin
nt
_
sin
nx
.
u
0
(x) = 0, u
1
(x) = sin
x
.
The condition u
0
n
= 0 for all n.
The condition u
1
(x) = sin(x/)
u
1
6
6
6
6
6
(
n
) b
n
= {1, 0, 0, . . .} b
n
=

_
1
1
,
0
2
,
0
3
,
0
4
, . . .
_
.
Thus,
u(x, t) =

sin
t
sin
x
.
91 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
2
u(x, t) =
n=1
_
a
n
cos
nt
+ b
n
sin
nt
_
sin
nx
.
u
0
(x) = 0, u
1
(x) = sin
x
.
The condition u
0
n
= 0 for all n.
The condition u
1
(x) = sin(x/)
u
1
6
6
6
6
6
(
n
) b
n
= {1, 0, 0, . . .} b
n
=

_
1
1
,
0
2
,
0
3
,
0
4
, . . .
_
.
Thus,
u(x, t) =

sin
t
sin
x
.
92 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Outline
1
2
Wave equation
3
DAlemberts solution
4
Laplaces equation
5
Particular solns
6
7
93 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
DAlemberts solution
Suppose the initial conditions are
u(x, 0) = u
0
(x), u
t
(x, 0) = u
1
(x) = 0.
Then b
n
= 0 and
u(x, t) =
n=1
a
n
cos
nt
sin
nx
.
From the identity
cos
nt
sin
nx
=
1
2
_
sin
n(x t)
+ sin
n(x + t)
_
,
we see
u(x, t) =
1
2
n=1
a
n
sin
n(x t)
+
1
2
n=1
a
n
sin
n(x + t)
.
94 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
DAlemberts solution
u(x, 0) = u
0
(x), u
t
(x, 0) = u
1
(x) = 0.
Then b
n
= 0 and
u(x, t) =
n=1
a
n
cos
nt
sin
nx
.
From the identity
cos
nt
sin
nx
=
1
2
_
sin
n(x t)
+ sin
n(x + t)
_
,
we see
u(x, t) =
1
2
n=1
a
n
sin
n(x t)
+
1
2
n=1
a
n
sin
n(x + t)
.
95 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
DAlemberts solution
u(x, 0) = u
0
(x), u
t
(x, 0) = u
1
(x) = 0.
Then b
n
= 0 and
u(x, t) =
n=1
a
n
cos
nt
sin
nx
.
From the identity
cos
nt
sin
nx
=
1
2
_
sin
n(x t)
+ sin
n(x + t)
_
,
we see
u(x, t) =
1
2
n=1
a
n
sin
n(x t)
+
1
2
n=1
a
n
sin
n(x + t)
.
96 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Travelling waves
u(x, t) =
1
2
n=1
a
n
sin
n(x t)
. .
Fourier series of u
0
(x) with xxt
+
1
2
n=1
a
n
sin
n(x + t)
. .
Fourier series of u
0
(x) with xx+t
The solution of
u
tt
= u
xx
, u(0, x) = u
0
(x), u
t
(0, x) = 0.
is
u(x, t) =
1
2
u
0
(x t) +
1
2
u
0
(x + t)
sum of left and right travelling waves
97 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Travelling waves
u(x, t) =
1
2
n=1
a
n
sin
n(x t)
. .
Fourier series of u
0
(x) with xxt
+
1
2
n=1
a
n
sin
n(x + t)
. .
Fourier series of u
0
(x) with xx+t
The solution of
u
tt
= u
xx
, u(0, x) = u
0
(x), u
t
(0, x) = 0.
is
u(x, t) =
1
2
u
0
(x t) +
1
2
u
0
(x + t)
sum of left and right travelling waves
98 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
DAlembert t = 0
t = 0 u(x, 0) =
1
2
u
0
(x 0) +
1
2
u
0
(x + 0).
0

2
0

2

t = 0
u
0
u
"
"
"
"
"b
b
b
b
b "
"
"
"
"b
b
b
b
b
%
%
%
%
%
%%e
e
e
e
e
ee
99 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
DAlembert t = /5
t = /5 u(x, /5) =
1
2
u
0
(x /5) +
1
2
u
0
(x +/5).
t =

5
"
"
"b
b
b
b
b
b
b "
"
"
"
"
"
"b
b
b
%
%
%
% e
e
e
e
100 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
DAlembert t = 2/5
t = 2/5 u(x, 2/5) =
1
2
u
0
(x 2/5) +
1
2
u
0
(x + 2/5).
t =
2
5
"b
b
b
b
b
b
b
b
b "
"
"
"
"
"
"
"
"b
%
% e
e
101 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
DAlembert t/2
t = /2 u(x, /2) =
1
2
u
0
(x /2) +
1
2
u
0
(x +/2).
t =

2
"
"
"
"
"
"
"
"
"
" b
b
b
b
b
b
b
b
b
b
102 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Summary soln of wave equation
u(x, t) =
n=1
_
a
n
cos
nt
+ b
n
sin
nt
_
sin
nx
.
1
All Fourier modes oscillate in time forever.
2
High frequency waves oscillate faster than low frequency
ones.
For the heat equation, each Fourier mode sin(nx/) decays
exponentially.
For the wave equation, the magnitude of each Fourier mode
sin(nx/) stays the same.
103 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Outline
1
2
Wave equation
3
DAlemberts solution
4
Laplaces equation
5
Particular solns
6
7
104 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Laplaces equation
u
xx
+ u
yy
= 0 (x, y) (0, ) (0, )
u( x) = g( x) for all x .
where denotes boundary of .
u(0, y) = g
L
(y),
u(, y) = g
R
(y),
u(x, 0) = g
B
(x),
u(x, ) = g
T
(x).
x = 0 x =
y = 0
y =
g
B
g
T
g
L
g
R
105 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Laplaces equation
u
xx
+ u
yy
= 0 (x, y) (0, ) (0, )
u(0, y) = g
L
(y),
u(, y) = g
R
(y),
u(x, 0) = g
B
(x),
u(x, ) = g
T
(x).
x = 0 x =
y = 0
y =
g
B
g
T
g
L
g
R
106 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Laplaces equation
u
xx
+ u
yy
= 0 (x, y) (0, ) (0, )
u(0, y) = g
L
(y),
u(, y) = g
R
(y),
u(x, 0) = g
B
(x),
u(x, ) = g
T
(x).
x = 0 x =
y = 0
y =
g
B
g
T
g
L
g
R
107 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Example
u
xx
+ u
yy
= 0 (x, y)
u(0, y) = 0 0 y ,
u(, y) = 0 0 y ,
u(x, 0) = 0 0 x ,
u(x, ) = 1 0 < x < .
0
1
0 0
PDE and three of the boundary conditions are homogeneous.
Apply the SoV method to the homogeneous eqns.
Satisfy nal BC by using superposition.
108 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Example
u
xx
+ u
yy
= 0 (x, y)
u(0, y) = 0 0 y ,
u(, y) = 0 0 y ,
u(x, 0) = 0 0 x ,
u(x, ) = 1 0 < x < .
0
1
0 0
PDE and three of the boundary conditions are homogeneous.
Apply the SoV method to the homogeneous eqns.
Satisfy nal BC by using superposition.
109 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Substitute
u(x, y) = X(x)Y(y)
into u
yy
= u
xx
.
(y)
Y(y)
. .
function of y
=
X
(x)
X(x)
. .
function of x
= constant .
Thus
Y
= =
X
X
.
110 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Substitute
u(x, y) = X(x)Y(y)
into u
yy
= u
xx
.
(y)
Y(y)
. .
function of y
=
X
(x)
X(x)
. .
function of x
= constant .
Thus
Y
= =
X
X
.
111 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Substitute
u(x, y) = X(x)Y(y)
into u
yy
= u
xx
.
(y)
Y(y)
. .
function of y
=
X
(x)
X(x)
. .
function of x
= constant .
Thus
Y
= =
X
X
.
112 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
With the boundary conditions u(0, y) = u(, y) = 0, we see
X(0) = X() = 0
X
= X, X(0) = X() = 0.
The solution to the eigenvalue problem is
n
=
_
n
_
2
, X
n
= sin
nx
, n = 1, 2, 3, . . .
113 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Solution for Y
For Y,
Y
=
n
2
2
Y
with general solution
Y
n
= a
n
sinh
ny
+ b
n
cosh
ny
, n = 1, 2, . . . .
The condition u(x, 0) = X(x)Y(0) = 0
implies Y(0) = 0 and hence b
n
= 0.
Then
Y
n
= a
n
sinh
_
ny
_
.
114 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Solution for Y
For Y,
Y
=
n
2
2
Y
Y
n
= a
n
sinh
ny
+ b
n
cosh
ny
, n = 1, 2, . . . .
n
= 0.
Then
Y
n
= a
n
sinh
_
ny
_
.
115 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Solution for Y
For Y,
Y
=
n
2
2
Y
Y
n
= a
n
sinh
ny
+ b
n
cosh
ny
, n = 1, 2, . . . .
n
= 0.
Then
Y
n
= a
n
sinh
_
ny
_
.
116 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Solution for Y
For Y,
Y
=
n
2
2
Y
Y
n
= a
n
sinh
ny
+ b
n
cosh
ny
, n = 1, 2, . . . .
n
= 0.
Then
Y
n
= a
n
sinh
_
ny
_
.
117 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
SoV solns of Laplaces eqn
u
n
(x, y) = a
n
sinh
ny
sin
nx
.
Superposition
As Laplaces equation is linear and homogeneous and u
n
derived from three homogeneous boundary conditions,
u(x, y) =
n=1
a
n
sinh
ny
sin
nx
.
n
.
118 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Apply boundary condition for
y =
To determine a
n
, apply boundary condition u(x, ) = 1.
Set y = ,
u(x, ) =
n=1
a
n
sinh(n) sin
nx
= g
T
(x).
Multiply by sin mx/ and integrate
a
m
sinh(m)
2
=
_

0
g
T
(x) sin
mx
dx.
Hence
a
m
=
2
sinh(m)
_

0
g
T
(x) sin
mx
dx.
119 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Final solution
g
T
(x) = 1, 0 < x < 1
Thus
sinh(n) a
n
=
4
_
1
1
,
0
2
,
1
3
,
0
4
,
1
5
,
0
6
, . . .
_
.
Finally, we have the solution
u(x, t) =
4
_
sinh(
y
)
sinh
sin
x
+
sinh(
3y
)
3 sinh 3
sin
3x
+. . .
_
HOMEWORK
120 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Final solution
g
T
(x) = 1, 0 < x < 1
Thus
sinh(n) a
n
=
4
_
1
1
,
0
2
,
1
3
,
0
4
,
1
5
,
0
6
, . . .
_
.
Finally, we have the solution
u(x, t) =
4
_
sinh(
y
)
sinh
sin
x
+
sinh(
3y
)
3 sinh 3
sin
3x
+. . .
_
HOMEWORK
121 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Plot of solution
u(x, t) =
4
_
sinh(
y
)
sinh
sin
x
+
sinh(
3y
)
3 sinh 3
sin
3x
+. . .
_
0
0.5
1
0
0.5
1
0
0.5
1
potential solution and grid
potential solution contours
0 0.5 1
0
0.2
0.4
0.6
0.8
1
122 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Outline
1
2
Wave equation
3
DAlemberts solution
4
Laplaces equation
5
Particular solns
6
7
123 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
The heat equation:
inhomogeneous
u
t
u
xx
= f (x, t)
u(x, 0) = u
0
(x).
When f , g, or h are non-zero, the equation is said to be
inhomogeneous.
Particular solution
A particular solution u
p
(x, t) is such that
u
t
u
xx
= f (x, t)
No initial conditions applied to u
p
.
Then v = u u
p
obeys the homogeneous heat equation and it
can be found by Separation of Variables.
124 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
The heat equation:
inhomogeneous
u
t
u
xx
= f (x, t)
u(x, 0) = u
0
(x).
When f , g, or h are non-zero, the equation is said to be
inhomogeneous.
Particular solution
A particular solution u
p
(x, t) is such that
u
t
u
xx
= f (x, t)
No initial conditions applied to u
p
.
Then v = u u
p
obeys the homogeneous heat equation and it
can be found by Separation of Variables.
125 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Example
u
t
u
xx
= 0
u(0, t) = 1, u(, t) = 0
u(x, 0) = x/ .
Inhomogeneous, as the left boundary conditions is non-zero.
Put u
p
=
x
1. Then
u
p
t
= u
p
xx
, u
p
(0, t) = 1, u
p
(, t) = 0.
Let v(t, x) = u(t, x) u
p
(x). Then,
v
t
v
xx
= 0
v(0, t) = 0, v(, t) = 0
v(x, 0) = 1
126 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Example
u
t
u
xx
= 0
u(0, t) = 1, u(, t) = 0
u(x, 0) = x/ .
Put u
p
=
x
1. Then
u
p
t
= u
p
xx
, u
p
(0, t) = 1, u
p
(, t) = 0.
p
(x). Then,
v
t
v
xx
= 0
v(0, t) = 0, v(, t) = 0
v(x, 0) = 1
127 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Example
u
t
u
xx
= 0
u(0, t) = 1, u(, t) = 0
u(x, 0) = x/ .
Put u
p
=
x
1. Then
u
p
t
= u
p
xx
, u
p
(0, t) = 1, u
p
(, t) = 0.
p
(x). Then,
v
t
v
xx
= 0
v(0, t) = 0, v(, t) = 0
v(x, 0) = 1
128 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
We found already the solution for v,
v(x, t) =
2
_
e
2
t
sin
x

1
2
e
4
2
2
t
sin
2x
+. . .
_
(see section on SoV for homogeneous heat eqn)
and so
Solution
u(x, t) =
x
1 +
2
_
e
2
t
sin
x
1
2
e
4
2
2
t
sin
2x
+. . .
_
129 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
We found already the solution for v,
v(x, t) =
2
_
e
2
t
sin
x

1
2
e
4
2
2
t
sin
2x
+. . .
_
(see section on SoV for homogeneous heat eqn)
and so
Solution
u(x, t) =
x
1 +
2
_
e
2
t
sin
x
1
2
e
4
2
2
t
sin
2x
+. . .
_
130 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
The Poisson equation
(u
xx
+ u
yy
) = f (x, y) (3.14)
u( x) = g( x) x , (3.15)
where f (x, y) and g( x) are given functions.
Particular soln
a particular solution u
p
is a soln with g( x) = 0,
_
u
p
xx
+ u
p
yy
_
= f (x, y)
u
p
( x) = 0 x .
_
The v = u u
p
can be found by SoV techniques.
131 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
The Poisson equation
(u
xx
+ u
yy
) = f (x, y) (3.14)
u( x) = g( x) x , (3.15)
where f (x, y) and g( x) are given functions.
Particular soln
a particular solution u
p
is a soln with g( x) = 0,
_
u
p
xx
+ u
p
yy
_
= f (x, y)
u
p
( x) = 0 x .
_
The v = u u
p
can be found by SoV techniques.
132 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Particular soln
_
u
p
xx
+ u
p
yy
_
= f (x, y)
u
p
( x) = 0 x .
Look for a double Fourier series solution:
u
p
(x, y) =
n=1
m=1
d
nm
sin
nx
sin
my
,
for constants d
nm
.Then
_
u
p
xx
+ u
p
yy
_
=
n=1
m=1
d
nm
2
(n
2
+ m
2
) sin
nx
sin
my
.
133 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Particular soln
_
u
p
xx
+ u
p
yy
_
= f (x, y)
u
p
( x) = 0 x .
Look for a double Fourier series solution:
u
p
(x, y) =
n=1
m=1
d
nm
sin
nx
sin
my
,
for constants d
nm
.Then
_
u
p
xx
+ u
p
yy
_
=
n=1
m=1
d
nm
2
(n
2
+ m
2
) sin
nx
sin
my
.
134 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Example
Suppose that f (x, y) = 1. Then,
f (x, y) =
_

n=1
a
n
sin
nx
__

m=1
b
m
sin
my
_
=
n=1
m=1
(a
n
b
m
) sin
nx
sin
my
.
where
a
n
= b
n
=
4
_
1
1
,
0
2
,
1
3
,
0
4
,
1
5
,
0
6
, . . .
_
.
Comparing Fourier series,
d
nm
=
(a
n
b
m
)
2
(n
2
+ m
2
)
2
=
16
4
_
_
1
1

1
2
, 0,
1
3

1
10
, . . .
0, 0, 0, . . .
1
3

1
10
, 0,
1
33

1
18
, . . .
.
.
.
.
.
.
.
.
.
_
_
.
135 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Example
Suppose that f (x, y) = 1. Then,
f (x, y) =
_

n=1
a
n
sin
nx
__

m=1
b
m
sin
my
_
=
n=1
m=1
(a
n
b
m
) sin
nx
sin
my
.
where
a
n
= b
n
=
4
_
1
1
,
0
2
,
1
3
,
0
4
,
1
5
,
0
6
, . . .
_
.
Comparing Fourier series,
d
nm
=
(a
n
b
m
)
2
(n
2
+ m
2
)
2
=
16
4
_
_
1
1

1
2
, 0,
1
3

1
10
, . . .
0, 0, 0, . . .
1
3

1
10
, 0,
1
33

1
18
, . . .
.
.
.
.
.
.
.
.
.
_
_
.
136 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Plot of soln
The solution is
u
p
(x, y) =
n=1
m=1
d
nm
sin
nx
sin
my
.
0
0.5
1
0
0.5
1
0
0.02
0.04
0.06
0.08
temperature solution
isotherms
0 0.5 1
0
0.2
0.4
0.6
0.8
1
137 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Outline
1
2
Wave equation
3
DAlemberts solution
4
Laplaces equation
5
Particular solns
6
7
138 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Given
1
p: (0, 1) R, with p(x) > 0 for all x,
2
q: (0, 1) R and w : (0, 1) R with w(x) > 0 for all x.
Sturm-Liouville eigenvalue problem
Find eigenvalues and eigenfunctions y such that
d
dx
(p
dy
dx
) + qy = wy for 0 < x < 1,
0
y(0)
0
y
(0) = 0;
1
y(1) +
1
y
(1) = 0;
_
_
_
where
0
,
0
,
1
,
1
0 are given; e.g.,
y
(0) = 0; y(1) = 0.
for
0
=
1
= 0 and
0
= 1 =
1
139 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Square integrable fns
Let V be the space of square-integrable functions,
f V
_
1
0
f
2
dx < ,
and we write (, ) : V V R. The L
2
inner product is
(a, b) =
_
1
0
ab dx, which maps products of functions dened on
(0, 1) onto real numbers.
Then, can write
_
1
0
sin nx sin mx dx =
_
0, n = m
1/2, n = m
as
n
(x) = sin(nx) and (
n
,
m
) =
_
0, n = m
1/2, n = m.
140 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
SturmLiouville operator
From the Sturm-Liouville dierential equation
d
dx
(p
dy
dx
) + qy = wy for 0 < x < 1,
y
(0) = 0; y(1) = 0.
_
_
_
()
we dene the dierential operator
Ly = (py
+ qy.
The operator has two key properties:
1
L is a self-adjoint operator:
(Lu, v) = (u, Lv) u, v.
2
L is a positive operator if q(x) 0 for x (0, 1) :
(Lu, u) > 0, u = 0.
141 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Sturm-Liouville Theorem
The eigenvalues satisfying () are real and distinct and
1
<
2
< . . . <
n
< . . .
with
n
as n . If q(x) > 0, then
1
> 0.
There is one linearly independent eigenfunction y =
k
associated with each eigenvalue
k
, and
k
(x) has exactly
k 1 zeros in (0, 1).
142 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
SL Theorem ctd.
Dene
(
n
, w
m
) =
_
1
0
w(x)
n
(x)
m
(x) dx = 0, n = m.
The eigenfunctions are orthogonal with respect to the
weighted inner product, that is
(
n
, w
m
) =
_
1
0
w(x)
n
(x)
m
(x) dx = 0, n = m.
Any function f (x) such that
_
1
0
f (x)
2
dx < is
f (x) =
k=1
c
k
k
(x)
with coecients c
k
=
(f ,w
k
)
(
k
,w
k
)
.
143 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Orthogonal polynomials
(
n
, w
m
) =
_
1
0
w(x)
n
(x)
m
(x) dx = 0, n = m.
1
This generalizes Fourier modes,
k
= sin(kx), to cases
when w = 1.
2
Important examples are of eigenfunctions
k
are
Bessel functions ,
Legendre polynomials,
Chebyshev polynomials,
Hermite polynomials,
Jacobi polynomials.
HOMEWORK
144 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Orthogonal polynomials
(
n
, w
m
) =
_
1
0
w(x)
n
(x)
m
(x) dx = 0, n = m.
1
This generalizes Fourier modes,
k
= sin(kx), to cases
when w = 1.
2
Important examples are of eigenfunctions
k
are
Bessel functions ,
Legendre polynomials,
Chebyshev polynomials,
Hermite polynomials,
Jacobi polynomials.
HOMEWORK
145 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Outline
1
2
Wave equation
3
DAlemberts solution
4
Laplaces equation
5
Particular solns
6
7
146 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Wave equation on a disk
We want to nd u(r , t) such that
u
tt
= u
rr
+
1
r
u
r
(r , t) (0, 1) (0, ]
u
r
(0, t) = 0; u(1, t) = 0 t (0, ]
u(r , 0) = u
0
(r );
u
t
(r , 0) = 0 r [0, 1].
Derived by converting the wave equation in two dimensions
u
tt
= u
xx
+ u
yy
to polar coordinates and assuming radial symmetry.
147 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Substitute u(r , t) = R(r )T(t) into u
tt
= u
rr
+
1
r
u
r
.
RT
= R
T +
1
r
R
T
T
T
=
R
R
+
R
rR
=
Hence
d
dr
(r
dR
dr
) =
_
rR
+ R
_
= rR, r (0, 1)
R
(0) = 0; R(1) = 0
_
_
_
together with
T
= T, t [0, ]
supplemented with the initial conditions.
148 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
tt
= u
rr
+
1
r
u
r
.
RT
= R
T +
1
r
R
T
T
T
=
R
R
+
R
rR
=
Hence
d
dr
(r
dR
dr
) =
_
rR
+ R
_
= rR, r (0, 1)
R
(0) = 0; R(1) = 0
_
_
_
together with
T
= T, t [0, ]
149 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
tt
= u
rr
+
1
r
u
r
.
RT
= R
T +
1
r
R
T
T
T
=
R
R
+
R
rR
=
Hence
d
dr
(r
dR
dr
) =
_
rR
+ R
_
= rR, r (0, 1)
R
(0) = 0; R(1) = 0
_
_
_
together with
T
= T, t [0, ]
150 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Eigenvalue problem for R
Compare the Sturm-Liouville problem
d
dx
(p
dy
dx
) + qy = wy, x (0, 1)
y
(0) = 0; y(1) = 0
_
_
_
()
to
d
dr
(r
dR
dr
) = r R, r (0, 1)
R
(0) = 0; R(1) = 0
_
_
_
Since r > 0, we have a non-negative weight function w = r .
From S-L theory, there exist eigenvalues = a
2
< 0 and
associated with eigenfunctions R
n
satisfying
(R
n
, r R
m
) = 0, n = m.
151 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
d
dx
(p
dy
dx
) + qy = wy, x (0, 1)
y
(0) = 0; y(1) = 0
_
_
_
()
to
d
dr
(r
dR
dr
) = r R, r (0, 1)
R
(0) = 0; R(1) = 0
_
_
_
2
< 0 and
n
satisfying
(R
n
, r R
m
) = 0, n = m.
152 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
d
dx
(p
dy
dx
) + qy = wy, x (0, 1)
y
(0) = 0; y(1) = 0
_
_
_
()
to
d
dr
(r
dR
dr
) = r R, r (0, 1)
R
(0) = 0; R(1) = 0
_
_
_
2
< 0 and
n
satisfying
(R
n
, r R
m
) = 0, n = m.
153 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
d
dx
(p
dy
dx
) + qy = wy, x (0, 1)
y
(0) = 0; y(1) = 0
_
_
_
()
to
d
dr
(r
dR
dr
) = r R, r (0, 1)
R
(0) = 0; R(1) = 0
_
_
_
2
< 0 and
n
satisfying
(R
n
, r R
m
) = 0, n = m.
154 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Bessel functions
d
dr
(r
dR
dr
) =r R = a
2
rR,
R
(0) =0, R(1) = 0.

The general solution is given by
R(r ) = AJ
0
(r a) + BY
0
(r a)
where J
0
and Y
0
are known as the zero order Bessel functions
of the rst and second kind respectively.
155 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Bessel functions
d
dr
(r
dR
dr
) =r R = a
2
rR,
R
(0) =0, R(1) = 0.

The general solution is given by
R(r ) = AJ
0
(r a) + BY
0
(r a)
where J
0
and Y
0
are known as the zero order Bessel functions
of the rst and second kind respectively.
156 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Apply boundary conditions
R(r ) =AJ
0
(r a) + BY
0
(r a)
R
(r ) =aAJ
0
(r a) + aBY
0
(r a)
R
(0) = 0. Substituting r = 0 gives B = 0. Hence

R(r ) = AJ
0
(r a)
R(1) = 0. Substituting r = 1 gives
AJ
0
(r a) = 0 a = x
1
, x
2
, x
3
, . . .
1
= x
2
1
,
2
= x
2
2
,
3
= x
2
3
, . . .
where x
1
, x
2
, . . . are the roots of J
0
(r ).
157 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
R(r ) =AJ
0
(r a) + BY
0
(r a)
R
(r ) =aAJ
0
(r a) + aBY
0
(r a)
R

R(r ) = AJ
0
(r a)
AJ
0
(r a) = 0 a = x
1
, x
2
, x
3
, . . .
1
= x
2
1
,
2
= x
2
2
,
3
= x
2
3
, . . .
where x
1
, x
2
0
(r ).
158 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
R(r ) =AJ
0
(r a) + BY
0
(r a)
R
(r ) =aAJ
0
(r a) + aBY
0
(r a)
R

R(r ) = AJ
0
(r a)
AJ
0
(r a) = 0 a = x
1
, x
2
, x
3
, . . .
1
= x
2
1
,
2
= x
2
2
,
3
= x
2
3
, . . .
where x
1
, x
2
0
(r ).
159 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
R(r ) =AJ
0
(r a) + BY
0
(r a)
R
(r ) =aAJ
0
(r a) + aBY
0
(r a)
R

R(r ) = AJ
0
(r a)
AJ
0
(r a) = 0 a = x
1
, x
2
, x
3
, . . .
1
= x
2
1
,
2
= x
2
2
,
3
= x
2
3
, . . .
where x
1
, x
2
0
(r ).
160 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Solution to eigenvalue problem
AJ
0
(r a) = 0 a = x
1
, x
2
, x
3
, . . .
0 5 10 15 20
0.5
0
0.5
1
x
1
x
2
x
3
J
0
(x)
Since = a
2
then we have innitely many eigenvalues
1
= x
2
1
,
2
= x
2
2
,
3
= x
2
3
, . . .
and associated eigenvectors
R
1
= J
0
(rx
1
), R
2
= J
0
(rx
2
), R
3
= J
0
(rx
3
), . . . .
161 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Solution for T and nal soln
T
T
= ,
n
= x
2
n
; R
n
= J
0
(rx
n
) n = 1, 2, 3, . . .
Solving T
= x
2
n
T gives
T
n
= c
n
cos x
n
t + d
n
sin x
n
t, n = 1, 2, . . . .
The general solution is
u(r , t) =
n=1
T
n
(t)R
n
(r ) =
n=1
(c
n
cos x
n
t + d
n
sin x
n
t)J
0
(rx
n
),
with coecients c
n
and d
n
determined from the initial
conditions.
162 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Solution for T and nal soln
T
T
= ,
n
= x
2
n
; R
n
= J
0
(rx
n
) n = 1, 2, 3, . . .
Solving T
= x
2
n
T gives
T
n
= c
n
cos x
n
t + d
n
sin x
n
t, n = 1, 2, . . . .
The general solution is
u(r , t) =
n=1
T
n
(t)R
n
(r ) =
n=1
(c
n
cos x
n
t + d
n
sin x
n
t)J
0
(rx
n
),
with coecients c
n
and d
n
determined from the initial
conditions.
163 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
Apply initial condition
u(r , t) =
n=1
(c
n
cos x
n
t + d
n
sin x
n
t)J
0
(rx
n
)
Dierentiate term by term and set t = 0, to see
u
t
(r , 0) = 0
implies d
n
= 0.
Set t = 0 gives
u(r , 0) =
n=1
c
n
J
0
(rx
n
) = u
0
(r ).
Using S-L theory,
c
n
=
(u
0
, w R
n
)
(R
n
, w R
n
)
=
(u
0
, r J
0
(rx
n
))
(J
0
(rx
n
), r J
0
(rx
n
))
.
HOMEWORK
164 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
u(r , t) =
n=1
(c
n
cos x
n
t + d
n
sin x
n
t)J
0
(rx
n
)
u
t
(r , 0) = 0
implies d
n
= 0.
Set t = 0 gives
u(r , 0) =
n=1
c
n
J
0
(rx
n
) = u
0
(r ).
Using S-L theory,
c
n
=
(u
0
, w R
n
)
(R
n
, w R
n
)
=
(u
0
, r J
0
(rx
n
))
(J
0
(rx
n
), r J
0
(rx
n
))
.
HOMEWORK
165 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
u(r , t) =
n=1
(c
n
cos x
n
t + d
n
sin x
n
t)J
0
(rx
n
)
u
t
(r , 0) = 0
implies d
n
= 0.
Set t = 0 gives
u(r , 0) =
n=1
c
n
J
0
(rx
n
) = u
0
(r ).
Using S-L theory,
c
n
=
(u
0
, w R
n
)
(R
n
, w R
n
)
=
(u
0
, r J
0
(rx
n
))
(J
0
(rx
n
), r J
0
(rx
n
))
.
HOMEWORK
166 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
u(r , t) =
n=1
(c
n
cos x
n
t + d
n
sin x
n
t)J
0
(rx
n
)
u
t
(r , 0) = 0
implies d
n
= 0.
Set t = 0 gives
u(r , 0) =
n=1
c
n
J
0
(rx
n
) = u
0
(r ).
Using S-L theory,
c
n
=
(u
0
, w R
n
)
(R
n
, w R
n
)
=
(u
0
, r J
0
(rx
n
))
(J
0
(rx
n
), r J
0
(rx
n
))
.
HOMEWORK
167 / 168
Part II
20401
Separation of
variables for
heat eqn.
Wave
equation
DAlemberts
solution
Laplaces
equation
Particular
solns
Sturm-
Liouville
theory
Wave
equation on a
disc
u(r , t) =
n=1
(c
n
cos x
n
t + d
n
sin x
n
t)J
0
(rx
n
)
u
t
(r , 0) = 0
implies d
n
= 0.
Set t = 0 gives
u(r , 0) =
n=1
c
n
J
0
(rx
n
) = u
0
(r ).
Using S-L theory,
c
n
=
(u
0
, w R
n
)
(R
n
, w R
n
)
=
(u
0
, r J
0
(rx
n
))
(J
0
(rx
n
), r J
0
(rx
n
))
.
HOMEWORK
168 / 168

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Part II

for all positive

for all positive

for all positive

for all positive

for all positive

for all positive

obeys the heat equation and boundary conditions.

and exploit the very important orthogonality relation

obeys the heat equation and boundary conditions.

and exploit the very important orthogonality relation

obeys the heat equation and boundary conditions.

and exploit the very important orthogonality relation

the orthogonality relation allows us to determine a

the orthogonality relation allows us to determine a

the orthogonality relation allows us to determine a

the orthogonality relation allows us to determine a

multiply by sin(mx/) and integrate over [0, ];

multiply by sin(mx/) and integrate over [0, ];

multiply by sin(mx/) and integrate over [0, ];

(x) are piecewise continuous

with Fourier coecients given by

with Fourier coecients given by

What have we learned?

What have we learned?

What have we learned?

What have we learned?

(0) =0, R(1) = 0.

(0) =0, R(1) = 0.

(0) = 0. Substituting r = 0 gives B = 0. Hence

(0) = 0. Substituting r = 0 gives B = 0. Hence

(0) = 0. Substituting r = 0 gives B = 0. Hence

(0) = 0. Substituting r = 0 gives B = 0. Hence

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