Methods

Topic 9

Partial Differential Equations

(PDEs)
Lectures 37-39

KFUPM
(Term 101)
Section 04
Read 29.1-29.2 & 30.1-30.4
CISE301_Topic9

Lecture 37
Partial Differential
Equations

CISE301_Topic9

Partial Differential Equations (PDEs).

What is a PDE?
Examples of Important PDEs.
Classification of PDEs.

Partial Differential
Equations
A partial differential equation (PDE) is an
equation that involves an unknown function
and its partial derivatives.

Example :
2 u ( x, t ) u ( x, t )

2
t
x
PDE involves two or more independent variables
(in the example x and t are independent variables)
CISE301_Topic9

Notation
2 u ( x, t )
u xx
x 2
2 u ( x, t )
u xt
x t
Order of the PDE order of the highest order derivative.

CISE301_Topic9

Linear PDE
Classification

A PDE is linear if it is linear in the unknown

function and its derivatives

Example of linear PDE :
2 u xx 1 u xt 3 utt 4 u x cos(2t ) 0
2 u xx 3 ut 4 u x 0
Examples of Nonlinear PDE
2 u xx u xt 2 3 utt 0
u xx 2 u xt 3 ut 0
2 u xx 2 u xt ut 3 ut 0
CISE301_Topic9

Representing the Solution of a

PDE

Three Independent
main ways to represent
the solution
(Two
Variables)

Different curves are

used for different
values of one of the
independent variable

CISE301_Topic9

T ( x1 , t1 )

T=5.2

t1

T=3.5
x1

Three dimensional
plot of the function
T(x,t)

The axis represent

the independent
variables. The value
of the function is
displayed at grid
points
6

Heat Equation
ice

ice

x
Thin metal rod insulated
everywhere except at the
edges. At t =0 the rod is
placed in ice

2 T ( x, t ) T ( x, t )

0
2
x
t
T (0, t ) T (1, t ) 0
T ( x,0) sin( x)
CISE301_Topic9

Temperature

Different curve is
used for each value
of t
Temperature at
different x at t=0

Position x

Temperature at
different x at t=h

Examples of PDEs
PDEs are used to model many systems in
many different fields of science and
engineering.
Important Examples:

Laplace Equation
Heat Equation
Wave Equation

CISE301_Topic9

Laplace Equation
2u ( x , y , z ) 2u ( x , y , z ) 2u ( x , y , z )

0
2
2
2
x
y
z
Used to describe the steady state distribution of
heat in a body.
Also used to describe the steady state
distribution of electrical charge in a body.

CISE301_Topic9

Heat Equation
2u 2u 2u
u( x, y , z, t )

2 2
2
t
y
z
x

The function u(x,y,z,t) is used to represent

the temperature at time t in a physical body
at a point with coordinates (x,y,z)
is the thermal diffusivity. It is sufficient to
consider the case = 1.
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10

Simpler Heat Equation

2

T ( x, t ) T ( x, t )

t
x 2

T(x,t) is used to represent the temperature

at time t at the point x of the thin rod.

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11

Wave Equation
2
2
2

2u ( x , y , z , t )

u
2
c
2 2
2
2
t
y
z
x

The function u(x,y,z,t) is used to represent the

displacement at time t of a particle whose
position at rest is (x,y,z) .
The constant c represents the propagation
speed of the wave.
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12

Classification of PDEs
Linear Second order PDEs are important
sets of equations that are used to model
many systems in many different fields of
science and engineering.

Classification is important because:

Each category relates to specific engineering

problems.
Different approaches are used to solve these
categories.

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13

Linear Second Order PDEs

Classification
A second order linear PDE (2 - independent variables)
A u xx B u xy C u yy D 0,
A, B, and C are functions of x and y
D is a function of x, y , u, u x , and u y
is classified based on (B 2 4 AC) as follows :

CISE301_Topic9

B 2 4 AC 0

Elliptic

B 2 4 AC 0

Parabolic

B 2 4 AC 0

Hyperbolic
14

Linear Second Order PDE

Examples (Classification)
Laplace Equation

2u ( x , y ) 2u ( x , y )

0
2
2
x
y

A 1, B 0, C 1 B 2 4 AC 0
Laplace Equation is Elliptic
One possible solution : u( x, y ) e x sin y
u x e x sin y , u xx e x sin y
u y e x cos y , u yy e x sin y
u xx u yy 0
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15

Linear Second Order PDE

Examples (Classification)
2u ( x , t ) u ( x , t )
Heat Equation

0
2
t
x
A , B 0, C 0 B 2 4 AC 0
Heat Equation is Parabolic
______________________________________
2
2

u
(
x
,
t
)

u ( x, t )
2
Wave Equation c

0
2
2
x
t
A c 2 0, B 0, C 1 B 2 4 AC 0
Wave Equation is Hyperbolic
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16

Boundary Conditions for

PDEs

To uniquely specify a solution to the PDE,

a set of boundary conditions are needed.
Both regular and irregular boundaries are
possible.
t

2u( x, t ) u ( x, t )
Heat Equation :

0
2
t
x
u(0, t ) 0
u(1, t ) 0
u( x,0) sin( x )
CISE301_Topic9

region of
interest

17

The Solution Methods for

PDEs

Analytic solutions are possible for simple

and special (idealized) cases only.

To make use of the nature of the

equations, different methods are used to
solve different classes of PDEs.

The methods discussed here are based on

the finite difference technique.

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18

Lecture 38

Parabolic
Equations

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Parabolic Equations
Heat Conduction Equation
Explicit Method
Implicit Method
Cranks Nicolson Method
19

Parabolic Equations
A second order linear PDE (2 - independent variables x , y )
A u xx B u xy C u yy D 0,
A, B, and C are functions of x and y
D is a function of x, y, u, u x , and u y
is parabolic if

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B 2 4 AC 0

20

Parabolic Problems
Heat Equation :
T (0, t ) T (1, t ) 0
T ( x,0) sin( x )

T ( x, t ) 2 T ( x, t )

t
x 2
ice

ice
x

* Parabolic problem ( B 2 4 AC 0)
* Boundary conditions are needed to uniquely specify a solution.

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21

Finite Difference
Methods

Divide the interval x into sub-intervals,

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

Replace the derivates by

finite-difference formulas

CISE301_Topic9

x
22

Finite Difference Methods

Replace the derivatives by finite difference formulas
2T
Central Difference Formula for 2 :
x
2T ( x, t ) Ti 1, j 2Ti , j Ti 1, j Ti 1, j 2Ti , j Ti 1, j

2
2
x
( x )
h2
T
Forward Difference Formula for
:
t
T ( x, t ) Ti , j 1 Ti , j Ti , j 1 Ti , j

t
t
k
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23

Solution of the Heat

Equation

Two solutions to the Parabolic Equation

(Heat Equation) will be presented:
1. Explicit Method:
Simple, Stability Problems.
2. Crank-Nicolson Method:
Involves the solution of a Tridiagonal system
of equations, Stable.

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24

Explicit Method
T ( x, t ) 2T ( x, t )

t
x 2
T ( x, t k ) T ( x, t ) T ( x h, t ) 2T ( x, t ) T ( x h, t )

k
h2
k
T ( x, t k ) T ( x, t ) 2 T ( x h, t ) 2T ( x, t ) T ( x h, t )
h
k
Define 2
h
T ( x, t k ) T ( x h, t ) (1 2 ) T ( x, t ) T ( x h, t )
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25

Explicit Method
How Do We Compute?
T ( x, t k ) T ( x h, t ) (1 2 ) T ( x, t ) T ( x h, t )
means
T(x,t+k)

T(x-h,t)

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T(x,t)

T(x+h,t)

26

Convergence and
Stability

T ( x, t k ) can be computed directly using :

T ( x, t k ) T ( x h, t ) (1 2 ) T ( x, t ) T ( x h, t )
Can be unstable errors are magnified
1
h2
To guarantee stability, (1 2 ) 0 k
2
2
This means that k is much smaller than h
This makes it slow.

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27

Convergence and Stability of the

Solution

Convergence
The solutions converge means that the
solution obtained using the finite difference
method approaches the true solution as the
steps x and t approach zero.

Stability:
An algorithm is stable if the errors at each
stage of the computation are not magnified
as the computation progresses.

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28

Example 1: Heat
Equation
Solve the PDE :
2u(x,t) u(x,t)

0
2
t
x
u(0, t ) u(1, t ) 0
u( x,0) sin( x )

ice

ice
x

Use h 0.25, k 0.25 to find u( x, t ) for x [0,1], t [0,1]

k
2 4
h
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29

Example 1
2 u( x, t ) u ( x, t )

0
2
t
x
u ( x h , t ) 2u ( x , t ) u ( x h , t ) u ( x , t k ) u ( x , t )

0
2
k
h
16 u( x h, t ) 2u( x, t ) u( x h, t ) 4 u( x, t k ) u( x, t ) 0
u ( x , t k ) 4 u ( x h , t ) 7 u ( x , t ) 4 u ( x h, t )

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30

Example 1
u ( x , t k ) 4 u ( x h, t ) 7 u ( x , t ) 4 u ( x h, t )
t=1.0

t=0.75

t=0.5

t=0.25

t=0

x=0.0
CISE301_Topic9

Sin(0.25) Sin(0. 5) Sin(0.75)

x=0.25

x=0.5

x=0.75

x=1.0
31

Example 1
u(0.25,0.25) 4 u(0,0) 7 u(0.25,0) 4 u(0.5,0)
0 7 sin( / 4) 4 sin( / 2) 0.9497
t=1.0

t=0.75

t=0.5

t=0.25

t=0

x=0.0
CISE301_Topic9

Sin(0.25) Sin(0. 5) Sin(0.75)

x=0.25

x=0.5

x=0.75

x=1.0
32

Example 1
u(0.5,0.25) 4 u(0.25,0) 7 u(0.5,0) 4 u(0.75,0)
4 sin( / 4) 7 sin( / 2) 4 sin(3 / 4) 0.1716
t=1.0

t=0.75

t=0.5

t=0.25

t=0

x=0.0
CISE301_Topic9

Sin(0.25) Sin(0. 5) Sin(0.75)

x=0.25

x=0.5

x=0.75

x=1.0
33

Remarks on Example 1
The obtained results are probably not accurate
because :

1 2 7

For accurate results : 1 2 0

h 2 (0.25) 2
One needs to select k

0.03125
2
2
k
For example, choose k 0.025, then 2 0.4
h
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34

Example 1 contd
u( x, t k ) 0.4 u( x h, t ) 0.2 u( x, t ) 0.4 u( x h, t )
t=0.10

t=0.075

t=0.05

t=0.025

t=0

x=0.0
CISE301_Topic9

Sin(0.25) Sin(0. 5) Sin(0.75)

x=0.25

x=0.5

x=0.75

x=1.0
35

Example 1 contd
u(0.25,0.025) 0.4 u(0,0) 0.2 u(0.25,0) 0.4 u(0.5,0)
0 0.2 sin( / 4) 0.4 sin( / 2) 0.5414
t=0.10

t=0.075

t=0.05

t=0.025

t=0

x=0.0
CISE301_Topic9

Sin(0.25) Sin(0. 5) Sin(0.75)

x=0.25

x=0.5

x=0.75

x=1.0
36

Example 1 contd
u (0.5,0.025) 0.4 u(0.25,0) 0.2 u (0.5,0) 0.4 u(0.75,0)
0.4 sin( / 4) 0.2 sin( / 2) 0.4 sin(3 / 4) 0.7657
t=0.10

t=0.075

t=0.05

t=0.025

t=0

x=0.0
CISE301_Topic9

Sin(0.25) Sin(0. 5) Sin(0.75)

x=0.25

x=0.5

x=0.75

x=1.0
37

Crank-Nicolson Method
The method involves solving a Tridiagona l system of linear equations.
The method is stable (No magnification of error).
We can use larger h, k (compared to the Explicit Method).

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38

Crank-Nicolson Method
Based on the finite difference method
1. Divide the interval x into subintervals of width h
2. Divide the interval t into subintervals of width k
3. Replace the first and second partial derivatives with their
backward and central difference formulas respectively :
u( x, t ) u ( x, t ) u ( x, t k )

t
k
2 u ( x , t ) u ( x h , t ) 2u ( x , t ) u ( x h , t )

2
x
h2
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39

Crank-Nicolson Method
2 u( x, t ) u ( x, t )
Heat Equation :

becomes
2
t
x
u ( x h , t ) 2u ( x , t ) u ( x h , t ) u ( x , t ) u ( x , t k )

2
k
h
k
u ( x h , t ) 2u ( x , t ) u ( x h , t ) u ( x , t ) u ( x , t k )
2
h
k
k
k
2 u ( x h, t ) (1 2 2 ) u ( x, t ) 2 u( x h, t ) u ( x, t k )
h
h
h
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40

Crank-Nicolson Method
k
Define 2 then Heat equation becomes :
h
u( x h, t ) (1 2 ) u( x, t ) u( x h, t ) u( x, t k )
u(x-h,t)

u(x,t)

u(x+h,t)

u(x,t - k)
CISE301_Topic9

41

Crank-Nicolson Method
The equation :
u( x h, t ) (1 2 ) u( x, t ) u( x h, t ) u( x, t k )
can be rewritten as :
ui 1, j (1 2 ) ui , j ui 1, j ui , j 1
and can be expanded as a system of equations (fix j 1) :
u0,1 (1 2 ) u1,1 u2,1 u1,0
u1,1 (1 2 ) u2,1 u3,1 u2,0
u2,1 (1 2 ) u3,1 u4,1 u3,0
u3,1 (1 2 ) u4,1 u5,1 u4,0
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42

Crank-Nicolson Method
u( x h, t ) (1 2 ) u( x, t ) u( x h, t ) u( x, t k )
can be expressed as a Tridiagona l system of equations :
u1,1 u1,0 u0,1
u

u
2,0
2,1

u3,0
u3,1

u
u

u
5,1
4,1 4,0
where u1,0 , u2,0 , u3,0 , and u4,0 are the initial temperature values

1 2

1 2

1 2

at x x0 h, x0 2h, x0 3h, and x0 4h

u0,1 and u5,1 are the boundary values at x x0 and x0 5h
CISE301_Topic9

43

Crank-Nicolson Method
The solution of the tridiagonal system produces :
The temperature values u1,1 , u2,1, u3,1 , and u4,1 at t t0 k
To compute the temperature values at t t0 2k
Solve a second tridiagonal system of equations ( j 2)

1 2

1 2

1 2

u1,2 u1,1 u0,2

u

u
2 ,1
2, 2

u3,1
u3,2

u
u

u
5, 2
4,2 4,1

To compute u1,2 , u2,2 , u3,2 , and u4,2

Repeat the above step to compute temperature values at t0 3k , etc.
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44

Example 2
Solve the PDE :
2u( x, t ) u( x, t )

0
2
t
x
u(0, t ) u(1, t ) 0
u( x,0) sin( x )
Solve using Crank - Nicolson method
Use h 0.25, k 0.25 to find u( x, t ) for x [0,1], t [0,1]
CISE301_Topic9

45

Example 2
Crank-Nicolson Method
2 u( x, t ) u( x, t )

0
2
t
x
u ( x h , t ) 2u ( x , t ) u ( x h , t ) u ( x , t ) u ( x , t k )

2
k
h
16 u( x h, t ) 2u( x, t ) u( x h, t ) 4 u( x, t ) u( x, t k ) 0
k
Define 2 4
h
4 u ( x h, t ) 9 u ( x , t ) 4 u ( x h, t ) u ( x , t k )
4 ui 1, j 9 ui , j 4 ui 1, j ui , j 1
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46

Example 2
sin( / 4)

4u0,1 9u1,1 4u2,1 u1,0 9u1,1 4u2,1

4u1,1 9u2,1 4u3,1 u2,0 4u1,1 9u2,1 4u3,1 sin( / 2)

4u2,1 9u3,1 sin(3 / 4)

4u2,1 9u3,1 4u4,1 u3,0

t4=1.0

t3=0.75

t2=0.5

t1=0.25

t0=0

CISE301_Topic9

x0=0.0

u1,4

u2,4

u3,4

u1,3

u2,3

u3,3

u1,2

u2,2

u3,2

u1,1

u2,1

0
0
0

u3,1

Sin(0.25) Sin(0. 5) Sin(0.75)

x1=0.25

x2=0.5

x3=0.75

x4=1.0

47

Example 2
Solution of Row 1 at t1=0.25 sec
The Solution of the PDE at t1 0.25 sec is the solution
of the following tridiagonal system of equations :
9 4
u1,1 sin(0.25 )
4 9 4 u sin(0.5 )

2,1

4 9 u3,1 sin(0.75 )

u1,1 0.21151

u2,1 0.29912

u3,1 0.21151
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48

Example 2:

Second Row at t2=0.5 sec

4u0,2 9u1,2 4u2,2 u1,1 9u1,2 4u2,2

0.21151

4u1,2 9u2,2 4u3,2 u2,1 4u1,2 9u2,2 4u3,2 0.29912

4u2,2 9u3,2 4u4, 2 u3,1
t4=1.0

t3=0.75

t2=0.5

t1=0.25

t0=0

CISE301_Topic9

x0=0.0

4u2,2 9u3,2 0.21151

u1,4

u2,4

u3,4

u1,3

u2,3

u3,3

u1,2

u2,2

u3,2

u1,1

u2,1

0
0
0

u3,1

Sin(0.25) Sin(0. 5) Sin(0.75)

x1=0.25

x2=0.5

x3=0.75

x4=1.0

49

Example 2
Solution of Row 2 at t2=0.5 sec
The Solution of the PDE at t2 0.5 sec is the solution
of the following tridiagonal system of equations :
9 4
u1, 2 u1,1 0.21151
4 9 4 u u 0.29912

2, 2 2,1

4 9 u3,2 u3,1 0.21151

u1, 2

u2, 2
u3, 2

CISE301_Topic9

0.063267
0.089473

0.063267
50

Example 2
Solution of Row 3 at t3=0.75 sec
The Solution of the PDE at t3 0.75 sec is the solution
of the following tridiagonal system of equations :
9 4
u1,3 u1, 2 0.063267
4 9 4 u u 0.089473

2,3 2, 2

4 9 u3,3 u3, 2 0.063267

u1,3 0.018924

u2,3 0.026763

u3,3 0.018924
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51

Example 2
Solution of Row 4 at t4=1 sec
The Solution of the PDE at t4 1 sec is the solution
of the following tridiagonal system of equations :
9 4
u1, 4 u1,3 0.018924
4 9 4 u u 0.026763

2, 4 2, 3

4 9 u3,4 u3,3 0.018924

u1, 4

u2,4
u3, 4
CISE301_Topic9

0.0056606
0.0080053

0.0056606
52

Remarks
The Explicit Method:
One needs to select small k to ensure stability.
Computation per point is very simple but many
points are needed.
Cranks Nicolson:

Requires the solution of a Tridiagonal system.

Stable (Larger k can be used).

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53

Lecture 39

Elliptic
Equations

CISE301_Topic9

Elliptic Equations
Laplace Equation
Solution

54

Elliptic Equations
A second order linear PDE (2 - independent variables x , y )
A u xx B u xy C u yy D 0,
A, B, and C are functions of x and y
D is a function of x, y , u, u x , and u y
is Elliptic if

CISE301_Topic9

B 2 4 AC 0

55

Laplace Equation
Laplace equation appears in several
engineering problems such as:

Studying the steady state distribution of heat in a

body.
Studying the steady state distribution of electrical
charge in a body.
2

T ( x, y ) T ( x, y )

f ( x, y )
2
2
x
y
T : steady state temperature at point (x, y)
f ( x, y ) : heat source (or heat sink)
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56

Laplace Equation
2 T ( x, y ) 2 T ( x , y )

f ( x, y )
2
2
x
y
A 1, B 0, C 1
B 2 4 AC 4 0 Elliptic

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

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

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57

Solution Technique
A grid is used to divide the region of
interest.
Since the PDE is satisfied at each point in
the area, it must be satisfied at each point
of the grid.
A finite difference approximation is
obtained at each grid point.

2 T ( x, y ) Ti 1, j 2Ti , j Ti 1, j

,
2
2
x
x
CISE301_Topic9

2 T ( x, y ) Ti , j 1 2Ti , j Ti , j 1

2
y
y 2
58

Solution Technique
2 T ( x, y ) Ti 1, j 2Ti , j Ti 1, j

,
2
2
x
x
2 T ( x, y ) Ti , j 1 2Ti , j Ti , j 1

2
2
y
y
2 T ( x, y ) 2 T ( x, y )

0
2
2
x
y
is approximated by :
Ti 1, j 2Ti , j Ti 1, j Ti , j 1 2Ti , j Ti , j 1

0
2
2
x
y
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59

Solution Technique
Ti 1, j 2Ti , j Ti 1, j

Ti , j 1 2Ti , j Ti , j 1

( Laplacian Difference Equation)

Assume : x y h
Ti 1, j Ti 1, j Ti , j 1 Ti , j 1 4Ti , j 0
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60

Solution Technique
Ti , j 1
Ti 1, j

Ti , j

Ti 1, j

Ti , j 1
Ti 1, j Ti 1, j Ti , j 1 Ti , j 1 4Ti , j 0
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61

Example
It is required to determine the steady
state temperature at all points of a heated
sheet of metal. The edges of the sheet are
kept at a constant temperature: 100, 50,
0, and 75 degrees.
100
75

The sheet is divided

to 5X5 grids.
CISE301_Topic9

50

0
62

Known

Example
T1, 4 100
T0,3 75

T0, 2 75
T0,1 75

T2, 4 100

T3, 4 100

T1,3

T2,3

T3,3

T4,3 50

T1, 2

T2, 2

T3, 2

T4, 2 50

T1,1

T2,1

T3,1

T4,1 50

T1, 0 0
CISE301_Topic9

To be determined

T2, 0 0

T3, 0 0
63

Known

First Equation
T1, 4 100
T1,3

T0,3 75

T0, 2 75

T1, 2

To be determined

T2, 4 100
T2,3

T2, 2

T0,3 T1, 4 T1, 2 T2,3 4T1,3 0

75 100 T1, 2 T2,3 4T1,3 0
CISE301_Topic9

64

Known

Another Equation
T1, 4 100

T2, 4 100

To be determined

T3, 4 100

T1,3

T2,3

T3,3

T1, 2

T2, 2

T3, 2

T1,3 T2, 4 T3,3 T2, 2 4T2,3 0

T1,3 100 T3,3 T2, 2 4T2,3 0
CISE301_Topic9

65

Solution
The Rest of the Equations
4 1 0 1

1 4 1 0 1

0 1 4

0
0 1

0
4 1 0 1
1 0

1 0 1 4 1 0 1

1 0 1 4
0
0 1

1
0
0
4

1
0

1 0 1 4 1

1
0

1
4

CISE301_Topic9

T1,1

T2,1
T
3,1
T1, 2
T
2, 2
T3,2
T
1,3
T2,3

T3,3

75

0
50

75
0

50
175

100

150

66