Lecture 22

Higher-dimensional PDEs
Relevant section of text: Chapter 7
We now examine some PDEs in higher dimensions, i.e., R
2
and R
3
. In general, the heat and wave
equations in higher dimensions are given by
u
t
= k
2
u (heat equation), (1)

2
u
t
2
= c
2

2
u (wave equation). (2)
The higher-dimensional form of the heat equation comes from the application of the conservation of
thermal energy to regions in R
n
, along with Fouriers law of heat conduction and the Divergence
Theorem. A derivation of the wave equation in higher dimensions would require a detailed discussion
of stress and strain in solids, which we forego.
In what follows, we examine the two-dimensional wave equation, since it leads to some interesting
and quite visualizable solutions.
Vibrating rectangular, homogeneous membrane
The vibration of a thin membrane is, for small displacements, modelled well by the two-dimensional
wave equation

2
u
t
2
= c
2
_

2
u
x
2
+

2
u
y
2
_
. (3)
Here u(x, y, t) represents the displacement of the membrane from its equilibrium position, which is
assumed to be the surface u(x, y) = 0.
The simplest problem is that of a rectangular membrane, represented by the region
0 x L, 0 y H, (4)
which we shall simply denote as D R
2
. Sometimes, we shall also write the above region as [0, L]
[0, H].
151
Well assume that the membrane is clamped, leading to the following boundary conditions on
u(x, y, t):
u(x, 0, t) = 0,
u(L, y, t) = 0,
u(x, H, t) = 0,
u(0, y, t) = 0. (5)
Well also need initial conditions:
u(x, y, 0) = (x, y) (initial displacement)
u
t
(x, y, 0) = (x, y) (initial velocity). (6)
The above boundary conditions are homogeneous if two solutions u
1
(x, y, t) and u
2
(x, y, t) satisfy
the BCs, then a linear combination also satises the BCs. This suggest that we can try the separation
of variables method to produce an innite set of solutions.
Well rst try a separation of spatial and time-dependent solutions:
u(x, y, t) = (x, y)h(t). (7)
Substitution into Eq. (3) yields
h

= c
2

xx
h +c
2

yy
h. (8)
We may separate solutions as follows:
h
c
2
h

=

xx
+
yy

= , > 0, (9)
where we have introduced the negative separation constant , based upon past results. The time-
dependent equation for h(t),
h

+c
2
h = 0, (10)
has oscillatory solutions, which is desirable. (We have skipped a longer analysis of the problem which
would have involved an examination of all cases, i.e., (i) = 0, (ii) < 0 and (iii) > 0.)
The spatial function satises the equation

x
2
+

2

y
2
= , (11)
152
or, simply,

2
+ = 0, (12)
which is a two-dimensional regular Sturm-Liouville eigenvalue equation, with boundary conditions,
(0, y) = 0, (x, 0) = 0, (L, y) = 0, (x, H) = 0. (13)
These are homogeneous BCs, suggesting that we can attempt a separation-of-variables-type solu-
tion for (x, y), i.e.,
(x, y) = f(x)g(y). (14)
(Note that this implies that our original function u(x, y, t) has been separated into three functions,
u(x, y, t) = f(x)g(y)h(t). (15)
We could have started with this form, but it probably would not have been clear why it should work.)
Substitution of (14) into (11) yields
f

g +fg

= fg. (16)
In an attempt to separate variables, we now divide by the term fg to give
f

f
+
g

g
= . (17)
We have separated variables: the rst term involves x and the second term involves y, but this doesnt
allow us to solve for either f or g. What we have to do is to perform another separation a separation
of x and y terms as follows,
f

f
=
g

g
. (18)
Now we have all x-dependent parts on the left and y-dependent parts on the right. We now introduce
a second separation constant:
f

f
=
g

g
= , > 0, (19)
which yields the following equations for f and g:
d
2
f
dx
2
+f = 0, f(0) = f(L) = 0,
d
2
g
dy
2
+ ( )g = 0, g(0) = g(H) = 0. (20)
This is a system of two Sturm-Liouville eigenvalue problems:
153
1. An equation for f with eigenvalue ,
2. An equation for g with eigenvalue .
In fact, the system is coupled because of the appearance of in both eigenvalues. It might seem
somewhat confusing that we have to deal with another separation constant. However, all will be ne
if we proceed systematically.
We can solve the eigenvalue equation for f very easily weve done it many times! The solutions
are
f
n
(x) = sin
_
nx
L
_
,
n
=
_
n
L
_
2
. (21)
For each value of
n
, n = 1, 2, , the equation for g becomes the eigenvalue problem
d
2
g
dy
2
+ (
n
)g = 0, g(0) = g(H) = 0. (22)
For simplicity, well dene

n
=
n
, (23)
so that the above equation becomes
d
2
g
dy
2
+
n
g = 0, g(0) = g(H) = 0. (24)
For each
n
, n = 1, 2, , the solutions are known:
g
nm
(y) = sin
_
my
H
_
, (25)
with eigenvalues

nm
=
_
m
H
_
2
, m = 1, 2, . (26)
Note that we had to introduce another index, m, so that the eigenvalue is now doubly indexed.
We now resubstitute for
nm
in terms of :

n
=
_
m
H
_
2
, (27)
so that the eigenvalues of the 2D Sturm-Liouville equation (11) become

nm
=
_
n
L
_
2
+
_
m
H
_
2
. (28)
154
The associated eigenfunctions will be given by

nm
(x, y) = f
n
(x)g
nm
(y)
= sin
_
nx
L
_
sin
_
my
H
_
. (29)
We now go back to the time-dependent equation for h(t):
h

+c
2
h = 0. (30)
The functions h
nm
(t) associated with the spatial functions
nm
(x, y) will satisfy the equation
h
nm
+
nm
c
2
h
nm
(t) = 0. (31)
The general solution is given by
h
nm
(t) = a
nm
cos(
_

nm
ct) +b
nm
sin(
_

nm
ct). (32)
The product solutions, the normal modes of vibration of the membrane, are given by
u
nm
(x, y, t) =
nm
(x, y)h
nm
(t)
= sin
_
nx
L
_
sin
_
my
H
__
a
nm
cos(
_

nm
ct) +b
nm
sin(
_

nm
ct)
_
, n, m = 1, 2, . (33)
Each mode is composed of a spatial prole
nm
(x) that is modulated in time with frequency

nm
= c
_

mn
= c
_
_
n
L
_
2
+
_
m
H
_
2
_
1/2
. (34)
We now examine the rst few modes nice pictures of these modes are to be found in the textbook.
1. n = m = 1. This is the mode with the lowest frequency,

11
= c
_
_

L
_
2
+
_

H
_
2
_
1/2
. (35)
The spatial prole,

11
(x, y) = sin
_
x
L
_
sin
_
y
H
_
, (36)
has no zeros in the interior of the rectangle. As a result, this mode has no nodes the entire
membrane executes a uniform up-and-down motion.
155
2. n = 2, m = 1. The spatial prole

21
(x, y) = sin
_
2x
L
_
sin
_
y
H
_
, (37)
has a zero at x = L/2, which implies that the vibrational mode has a node along the line
x = L/2, 0 y H. As a result, the membrane is divided into two regions, the displacements
of which will lie on opposite sides of the xy-plane. The frequency of this mode is

21
= c
_
_
2
L
_
2
+
_

H
_
2
_
1/2
. (38)
3. n = 1, m = 2. The spatial prole

12
(x, y) = sin
_
x
L
_
sin
_
2y
H
_
, (39)
has a zero at y = H/2, which implies that the vibrational mode has a node along the line
y = H/2, 0 x L. As a result, the membrane is divided into two regions, the displacements
of which will lie on opposite sides of the xy-plane. The frequency of this mode is

12
= c
_
_

L
_
2
+
_
2
H
_
2
_
1/2
. (40)
Note that if L < H, then
21
>
12
and vice versa. If L = H, then
21
=
12
and the two
modes have the same frequency of vibration. In this case, the membrane is a square, and the
two modes are identical, up to a rotation of /2 around the origin.
4. n = 2, m = 2. As in the previous case, the spatial prole

22
(x, y) = sin
_
2x
L
_
sin
_
2y
H
_
, (41)
has a zero at y = H/2, which implies that the vibrational mode has a node along the line
y = H/2, 0 x L. But it also has a zero at x = L/2, which implies that the mode has a
node along this line. As a result, the membrane is divided into four regions, the displacements
of which will lie on opposite sides of the xy-plane. The frequency of this mode is

12
= c
_
_
2
L
_
2
+
_
2
H
_
2
_
1/2
. (42)
Note that the frequency of this mode,
22
, is greater than the frequencies
12
and
21
.
156
Lecture 23
Vibrating rectangular membrane (conclusion)
In the previous lecture, using separation of variables, we obtained the normal modes of vibration for
this problem,
u
nm
(x, y, t) =
nm
(x, y)h
nm
(t)
= sin
_
nx
L
_
sin
_
my
H
__
a
nm
cos(
_

nm
ct) +b
nm
sin(
_

nm
ct)
_
, n, m = 1, 2, . (43)
Each mode is composed of a spatial prole
nm
(x) that is modulated in time with frequency

nm
= c
_

mn
= c
_
_
n
L
_
2
+
_
m
H
_
2
_
1/2
. (44)
Because of the homogeneous boundary conditions, the general solution to the vibrating membrane
problem may be written as a superposition of these normal mode solutions,
u(x, y, t) =

n=1

m=1

nm
(x, y)h
nm
(t)
=

n=1

m=1
sin
_
nx
L
_
sin
_
my
H
__
a
nm
cos(
_

nm
ct) +b
nm
sin(
_

nm
ct)
_
. (45)
Imposition of the initial condition u(x, y, 0) = (x, y) implies that
(x, y) =

n=1

m=1
a
nm
sin
_
nx
L
_
sin
_
my
H
_
=

n=1

m=1
a
mn

nm
(x, y). (46)
We now make use of the fact that the product basis
nm
(x, y) forms an orthogonal set over the
region D = [0, L] [0, H], i.e.,
_ _
D

n
1
,m
1
(x, y)
n
2
,m
2
(x, y) dxdy =
_
H
0
_
L
0
sin
_
n
1
x
L
_
sin
_
m
1
y
H
_
sin
_
n
2
x
L
_
sin
_
m
2
y
H
_
dxdy
=
__
L
0
sin
_
n
1
x
L
_
sin
_
n
2
x
L
_
dx
_ __
H
0
sin
_
m
1
y
H
_
sin
_
m
2
y
H
_
dy
_
=
_
_
_
L
2
H
2
, (n
1
, m
1
) = (n
2
, m
2
)
0, (n
1
, m
1
) = (n
2
, m
2
).
(47)
157
We also state, without proof, that this product basis sometimes called a tensor product basis is
complete in the function space L
2
[D], the set of functions f : D R (or C) that are square-integrable
on D, i.e.,
_ _
D
|f(x, y)|
2
dA < . (48)
As such, we may multiply both sides of Eq. (46) by
kl
(x, y) for a k 1 and l 1, and integrate over
D to give
a
kl
=
4
LH
_ _
D
(x, y)
nm
(x, y) dxdy. (49)
Likewise, the initial velocity condition,
u
t
(x, y, 0) = (x, y), (50)
yields
b
kl
=
1
c

nm
4
LH
_ _
D
(x, y)
nm
(x, y) dxdy. (51)
This concludes our discussion of the (clamped) rectangular vibrating membrane problem.
The relevance of the vibrating membrane problem to quantum mechanics
The 1D vibrating string and 2D rectangular vibrating membrane problems are quite relevant to quan-
tum mechanics, as we now discuss briey. In one-dimension, the time-dependent Schr odinger equation
for a particle in a box is given by the eigenvalue/BVP,

2
2m
d
2
dx
2
= E, (0) = (L) = 0. (52)
The wavefunction (x) provides a description of a particle that is conned inside a potential We
rewrite Eq. (52) as
d
2
dx
2
+
2mE

2
= 0, (0) = (L) = 0. (53)
The solutions of this BVP are well known to us:

n
=
2mE

2
=
n
2

2
L
2
,
n
(x) = sin

n
x. (54)
This implies the existence of a discrete set of energy eigenvalues,
E
n
=

2
2m
_
n
L
_
2
, n = 1, 2, . (55)
158
In two dimensions, we consider a particle conned in the two-dimensional region [0, L] [0, H]
which is surrounded by potential walls of innite height. The time-dependent Schr odinger equation
for the particle is

2
2m

2
= E, (56)
with the same boundary conditions as the clamped rectangular membrane. It may be rewritten as

2
+
2mE

2
= 0. (57)
We have derived the solutions earlier:

nm
=
2mE
nm

2
=
_
n
L
_
2
+
_
m
H
_
2
,
nm
(x, y) = sin
_
nx
L
_
sin
_
m
H
_
. (58)
The energy eigenvalues of these wavefunctions are
E
nm
=

2
2m
_
_
n
L
_
2
+
_
m
H
_
2
_
. (59)
159
Vibrating circular membrane
Relevant section of text: 7.7
We now consider the problem of a clamped, vibrating circular membrane, i.e., a drum. The
vertical displacement satises the 2D wave equation,

2
u
t
2
= c
2

2
u. (60)
Since the drum is circular, it is convenient to use polar coordinates, i.e., u = u(r, ). We assume that
the drum has radius a > 0. The clamping of the drum along the outer boundary implies the following
boundary condition
u(a, , t) = 0, /2 /2, t 0. (61)
As was the case for Laplaces equation on a circular region, we can impose only one boundary condition
at this time.
In order to determine a unique solution, well need initial conditions, i.e., initial displacement and
velocity:
u(r, , 0) = (r, ),
u
t
(r, , 0) = (r, ). (62)
Since the boundary condition is homogeneous, well try separation of variables, i.e.,
u(r, , t) = (r, )h(t). (63)
Substitution into (60) yields
h

= c
2
(
2
)h. (64)
Separating variables:
h

c
2
h
=

2

= . (65)
This yields the following ODEs:
h

+c
2
h = 0, (66)
and

2
+ = 0. (67)
Note that these ODEs have the same form as those for the rectangular vibrating membrane. If > 0,
the solutions for h(t) are oscillatory, i.e.,
h(t) = c
1
cos(c

t) +c
2
sin(c

t). (68)
160
We now examine the eigenvalue equation (67) for (r, ). In polar coordinates, the Laplacian operator
has the form

2
=
1
r

r
_
r

r
_
+
1
r
2

2
, (69)
so that the eigenvalue equation assumes the form
1
r

r
_
r

r
_
+
1
r
2

2
+ = 0. (70)
We now assume a separation-of-variables solution for , i.e.,
(r, ) = f(r)g(), (a, ) = 0. (71)
Substitution into (70) yields
g
r
d
dr
_
r
df
dr
_
+
f
r
2
d
2
g
d
2
+fg = 0. (72)
Now divide by fg and multiply by r
2
:
r
f
d
dr
_
r
df
dr
_
+
1
g
d
2
g
d
2
+r
2
= 0. (73)
We havent quite separated variables, so we do so now:

1
g
d
2
g
d
2
=
r
f
d
dr
_
r
df
dr
_
+r
2
= , (74)
where we have introduced another separation constant, . This yields the two equations,
d
2
g
d
2
+g = 0, (75)
and
r
d
dr
_
r
df
dr
_
+ (r
2
)f = 0, f(a) = 0. (76)
The equation for g() will have the following periodicity conditions,
g() = g()
dg
d
() =
dg
d
(). (77)
Periodic solutions to (75) exist for 0:
g
m
() = cos(m), m 0 and sin(m), m 1. (78)
The eigenvalues are given by
m
= m
2
.
161
Lecture 24
Vibrating circular membrane (contd)
Relevant section of text: 7.7
We now turn to the radial equation (76) for f(r). If we divide by r, the equation is cast into
Sturm-Liouville eigenvalue form:
d
dr
_
r
df
dr
_

m
2
r
f +rf = 0, 0 < r a. (79)
Here, p(r) = r, q(r) = m
2
/r and (r) = r. Note that r = 0 is a singular point because q(r) is
undened there. As such this Sturm-Liouville eigenvalue problem is not regular. Nevertheless, we
claim that solutions exist for this problem as is the case for regular S-L problems, that is,
1. A set of eigenvalues
nm
, n = 1, 2, 3, , m = 0, 1, 2, ,
2. A set of corresponding eigenfunctions f
nm
: For each xed m, the functions f
nm
(r) are orthogonal
with respect to the weight function (r) = r, i.e.,
_
a
0
f
nm
(r)f
n

m
(r) rdr = 0, for n = n

. (80)
To produce these solutions, we make the change of variable z =

r in Eq. (79). The result is

(Exercise):
z
2
d
2
F
dz
2
+z
dF
dz
+ (z
2
m
2
)F = 0, m = 0, 1, 2, . (81)
where F(z) = f(z/

). (In the lecture, I wrote, erroneously, F(z) = f(

r). Sorry about that!) Note

that this removes the parameter from the ODE of course, it is now hidden in the independent
variable z.
You may recognize Eq. (81) it is Bessels equation, which is studied in AMATH 351. Very briey,
z = 0 is a regular singular point. The standard practice is to assume a Frobenius series solution of
the form
z
p

n=0
a
n
z
n
=

n=0
a
n+p
z
n+p
, a
0
= 0, (82)
where p is to be determined. One substitutes the Frobenius series into Eq. (81), collects like terms
in z
k
, and demands that the series begins with a term that starts with a nonzero term involving a
0
.
The result is a quadratic equation in p. For Eq. (81), the indicial equation for p is
p
2
m
2
= 0 p = m. (83)
162
For m = 0, the two distinct values of p, i.e., p
1
= m and p
2
= m, yield two linearly independent
series solutions,
J
m
(z) = z
m
[a
m,0
+a
m,1
z + ],
Y
m
(z) = J
m
(z) = z
m
[b
m,0
+b
m,1
z + ]. (84)
The actual values of the coecients a
m,i
and b
m,i
are not important for our discussion.
For m = 0, we have p
1
= p
2
= 0, so only one solution is produced by the series solution method:
J
0
(z) = 1 +a
0,1
z + . (85)
A second, linearly independent solution may be produced by the variation of parameters applied to
J
0
(z). The result is the following function
Y
0
(z) =
2

ln z + . (86)
It is also important to mention that for all m 0, the functions J
m
(z) are oscillatory for z > 0.
(Another important result that is shown in AMATH 351 is that as z , the spacing of consecutive
zeros of J
m
(z) approaches .)
For m = 0, 1, 2, , the general solution to the Bessel equation (81) will have the form,
F
m
(z) = c
1
J
m
(z) +c
2
Y
m
(z). (87)
We then transform back to the r variable to produce the general solution f(r) to Eq. (76),
f
m
(r) = c
1
J
m
(

r) +c
2
Y
m
(

r). (88)
We now apply these solutions to the vibrating circular membrane problem. Recall that the
membrane being clamped at r = a, i.e., f(a) = 0, gave us one boundary condition. Before considering
that boundary condition, we consider another condition which deals with the singular nature of the
point r = 0: It is the condition
f must be nite at r = 0, i.e., |f(0)| < . (89)
Recall that we imposed such a condition on solutions to Laplaces equation on the circular disk.
The point r = 0 corresponds to the point z = 0. From a look at the behaviour solutions J
m
(z)
above, we note that, in all cases,
|Y
m
(z)| as z 0. (90)
163
This implies that these functions must be excluded from the general solution f
m
(r) in Eq. (88), i.e.,
c
2
= 0 so that
f(r) = c
1
J
m
(

r). (91)
We now return to the boundary condition f(a) = 0. It becomes the condition,
J
m
(

a) = 0. (92)
Given that the functions J
m
(z) are oscillatory for z > 0, it follows that the argument

a is a zero of
the function J
m
(z). In other words,

a = z
mn
> 0, (93)
where z
mn
denotes the nth zero of the Bessel function J
m
(z). The zeros of the Bessel functions are
presented in standard mathematical tables. (Indeed, the results of this lecture give an idea of why
these zeros are so important.) For example, approximate values of the rst three zeros of J
0
(z) are
z
0,1
= 2.40482, z
0,2
= 5.52007, z
0,3
= 8.65372. (94)
The graph of J
0
(x) for 0 x 20 is presented below. (Just for interests sake, the numerical values
used to plot the graph were computed using the series expansion for J
0
(z).)
-1
-0.75
-0.5
-0.25
0
0.25
0.5
0.75
1
0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
x
Bessel function J_0(x)
For each m 0, the above conditions produce an innite sequence of eigenvalues
mn
given by

mn
=
_
z
mn
a
_
2
, n = 1, 2, . (95)
164
The resulting radial functions,
f
mn
(r) = J
m
(
_

mn
r), (96)
have n positive zeros, with the nth zero located at r = a.
Note: Before going on to construct the full solutions to the clamped vibrating mem-
brane problem, let us stop for a moment and look again at the clamping condition (93)
that produces the eigenvalues
mn
in (95). This condition is analogous to the boundary
condition
sin(

L) = 0, (97)
encountered in the 1D wave equation (clamped string, zero-endpoint conditions), which
implied the result,

L = n, n = 1, 2, , (98)
yielding the eigenvalue condition,

n
=
_
n
L
_
2
, n = 1, 2, . (99)
This was a relatively straightforward result, since the zeros of the sin function are so well
known. Comparing Eqs. (99) with (95),
1. the zeros z
mn
of J
m
(z) correspond to the zeros z
n
= n of sin(z) and
2. a corresponds to L.
The solutions to the clamped vibrating membrane will then have the form
u
mn
(r, , t) = f
mn
(r)g
m
()h
mn
(t), m = 0, 1, 2, , (100)
where
f
mn
(r) = J
m
(
_

mn
r),
g
m
() = a
m
cos m +b
m
sin m,
h
mn
(t) = c
mn
cos(
_

mn
ct) +d
mn
sin(
_

mn
ct). (101)
These solutions correpond to the normal modes of vibration of the circular membrane. We shall return
to them in the next lecture.
165
The general solution to the vibration problem will be given by
u(r, , t) =

m=0

n=1
u
mn
(r, , t). (102)
If we assume that the membrane is initially at rest, i.e., u/t = 0, then the sin(

mn
ct) terms
vanish, so that the general solution can be expressed in the following form,
u(r, , t) =

m=0

n=1
A
mn
J
m
(
_

mn
r) cos(m) cos(
_

mn
ct)
+

m=0

n=1
B
mn
J
m
(
_

mn
r) sin(m) cos(
_

mn
ct). (103)
166