Partial Diffential Equations

Many important physical processes in

nature are governed by PDEs.
To understand the physical behavior of
the model represented by the PDE is
important.
Knowledge of the mathematical character,
properties, and solution of the PDEs is
required.
Physical Classification
Equilibrium Problems: a given PDE is desired in a
closed domain subject to a prescribed set of BCs.
Steady-state temperature distributions,
incompressible inviscid flows, equilibrium stress
distributions in solids (elliptic PDEs).
Steady-State Temperature
Distributions
Laplace!s equation
Solution
Separation of variables (Greenspan, 1961):
T(x, y)=X(x)Y(y)
If a solution of this form can be found that
satisfies both the PDE and the BCs: the
one and only solution to the problem
(Weinberger, 1965)
PDE is reduced to two ODEs.
Solution at any point interior to the domain of
interest depends upon the specified conditions at
all points on the boundary.
Incompressible Inviscid Flows
Laplace!s equation
Solution
Solved by combining two elementary solutions
of Laplaces eqn. that satisfy the BCs.
For a linear PDE, any linear combination of
solutions is also a solution (Churchill, 1941).
Notes
Equilibrium Problems are referred to as jury
problems.
The solution of the PDE at every point in
the domain D depends upon the prescribed
BC at every point on B.
Marching Problems: transient or transient-like
problems where the solution of a PDE is
required on an open domain subject to a set of
ICs and Bcs.
Transient temperature distribution (parabolic
PDEs), displacement of a string (hyperbolic PDEs)
Transient Temperature Distribution
Heat equation
Solution
Separation of variables: T(x, t)=u(x)+v(x,t)
Steady problem sol.+ transient sol. that dies out at
large times.
Displacement of a String
Wave equation
Solution
Solutions for problems of this type usually
require an infinite series to correctly approximate
the initial data.
Mathematical Classification
Mathematical concept of characteristic lines
(2D) or surfaces (3D): along which certain
properties remain constant or certain
derivatives may be discontinuous.
Characteristic lines or surfaces are the
directions where !information" can be
transmitted in physical problems governed
by PDEs.
2nd order linear PDE: a, b, c, d, e, f are functions of
(x,y) only.
(2.15a)
Classification of a 2nd order PDE depends only on
the second derivative terms of the eqn.
The characteristics, if they exist and are real curves
within the solution domain, represent the locus of
points along which the second derivatives may not
be continuous.
Identify Characteristics Curves
May there be locations where the second derivatives are
discontinuous?
Let t be a parameter that varies along a curve C in the x-
y plane. That is, on C, x=x(t) and y=y(t). For
convenience, on C, we define
The curves y(x) that satisfy above eqn are called
the characteristics of the PDE.
Along these curves, the second derivatives are
not uniquely determined by specified u, u
x
, u
y
.
(b
2
-4ac) plays a major role in the nature of the
characteristic curves.
(b
2
-4ac)>0: two distinct families of real
characteristic curves exist (hyperbolic PDE)
(b
2
-4ac)=0: single family of characteristic curves
exist (parabolic PDE)
(b
2
-4ac)<0: no real characteristic curves exist
(elliptic PDE)
PDE in Characteristic Coordinate Form:
(x, y)(, q) nonsingular mapping
Hyperbolic PDE:
u

-u
qq
=h
1
(u

, u
q
, u, , q)
u
q
=h
2
(u

, u
q
, u, , q)
Parabolic PDE:
u

=h
3
(u

, u
q
, u, , q)
or u
qq
=h
4
(u

, u
q
, u, , q)
Elliptic PDE:
u

+u
qq
=h
5
(u

, u
q
, u, , q)
We are assured of a nonsingular mapping, provided that
the Jacobian of the transformation is
nonzero (Taylor, 1955).
Any real nonsingular transformation does not change the
type of PDE.
Hyperbolic PDEs
Two distinct families of characteristics
exist.
Second-order wave equation: u
tt
=c
2
u
xx
-<x<+, u(x,0)=f(x), u
t
(x,0)=g(x)
Solution
Transformation to characteristic coordinates
permits simple integration of the wave equation:
u
q
=0 where =x+ct, q=x-ct.
First term: propagation of the initial data along
the characteristics
Second term: effect of the data within the closed
interval at t=0
Right running characteristic: +(1/c)
Left running characteristic: -(1/c)
Fundamental Property of
Hyperbolic PDE
Limited domain of dependence is bounded
by the characteristics that pass through
the point (x
0
, t
0
).
Any disturbance that occurs outside of this
interval can never influence the solution at
(x
0
, t
0
).
Parabolic PDEs
Parabolic PDEs associated with diffusion
processes.
Solution of parabolic equation at time t
1
depends
upon the entire physical domain (tst
1
), including
any side BCs.
Rayleigh problem: 2-D flat plate impulsively accelerated to
a velocity U from rest.
Similarity solution
(Hansen, 1964)
Growth of this layer is controlled by v and t.
Velocity change in the layer is induced by diffusion of the
plate velocity into the initially undisturbed fluid.
Error function
Elliptic PDEs
The discriminant is negative (b
2
-4ac<0) and
the characteristic differential equation has
no real solution.
It means that there is no real characteristics
exist and it is meaningless to find them.
The solution of elliptic PDE depends upon
conditions on the entire boundary of the
closed domain.
Well-Posed Problem
A unique solution to PDEs cannot be
obtained if the initial data or boundary
conditions is improper used.
A problem involving a PDE to be well-
posed, the solution to the problem must
exist, must be unique, and must depend
continuously upon the initial or boundary
data (Hadamard, 1952).
Different Types of BCs
Dirichlet BCs [u|
B
=f] + PDEs|
D
Dirichlet Problem
Neumann BCs [cu/cn|
B
=f] +PDEs|
D
Neumann Problem
Robin!s BCs: [(cu/cn+ku)|
B
=f] + PDEs|
D
Robin!s Problem
u
Systems of Eqns.
In applying numerical methods to physical
problems, systems of eqns. are frequently
encountered.
The process is governed by a higher-order PDE,
the PDE can usually be converted to a system of
1st order equations.
Wave equation: u
tt
=c
2
u
xx
cv/ct=ccw/cx, cw/ct=ccv/cx where v=cu/ct,
w=ccu/cx
Laplace equation: u
xx
+u
yy
=0
cu/cx=cv/cy, cu/cy=-cv/cx
System of 1st Order Eqns.
Consider curves C on which all but the highest
order derivatives are specified and inquire about
conditions that will indicate that the highest
derivatives are not uniquely determined.
We let a parameter t vary along curves C and use
the Chain rule to write the following Eqns.
Writing the four equations in matrix form:
A unique solution for the first derivatives of u(x, y)
and v(x, y) does not exist if the determinant of
the coefficient matrix is zero.
Classification of 1st order system:
D>0: Hyperbolic system, D=0: Parabolic system,
D<0: Elliptic system.
In 1st order system, if the roots of the
characteristic eqns. are contain both real
and complex parts, then the system is
mixed and may exhibit hyperbolic, parabolic,
and elliptic behavior.
The classification of systems of 2nd order
PDEs is very complex.
It is difficult to determine the mathematical
behavior of these systems except for simple
cases.
Other differential equations of interest
2
nd
equations: Wave equation, Heat
equation, Laplaces equation.
A number of other very important
equations should be mentioned, since tyey
govern common physical phenomena or
they are used as simple models for more
complex problems. In many cases, exact
analytical solutions for these equations
exist.