5th Indo- German Winter Academy

Course 2: Numerical methods and simulation of engineering

problems

Introduction to the characteristics

of partial differential equations
pertinent to simulation of engineering
problems
Akash Mittal
Department of Chemical Engineering
IIT Delhi

Overview
Introduction
Classification
Classification by Characteristics
Solution of PDE
Properties of different PDEs
Some examples from Fluid Mechanics

Introduction

Mathematical Models of continuous physical phenomena

in which a dependent variable is a function of two or
more independent variables.

Involves Partial Differentials of the Dependent variables

with respect to the independent variables.

Order of the highest derivative is called the order of the

equation

Classification of Physical Problems

1. Equilibrium Problems
Steady state conservative systemsfield problems.
Example: Steady state temperature distribution inside a
solid object
2. Propagation Problems

Time dependent spatial distributions initial value

problems

Examples: wave propagation, transient and high speed

fluid flows
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Classification of PDE

Linear PDE first degree in the dependent variable

Homogeneous

PDE each term of the linear

PDE contains either the dependent variable or
its derivative
Non-Homogeneous PDE

Non-Linear PDE
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Linear Second Order PDE in two

independent variable
Second Order PDE can be classified according to the
coefficients of highest order term.

The PDE is:

Elliptic
if
Parbolic
if
Hyperbolic if

B2-4AC <0
B2-4AC=0
B2-4AC >0

Physically relates the information propagation along

characteristics

Examples of PDE
2

u
Parabolic PDE:- The heat equation
= 2
t
x

Hyperbolic PDE: - The wave equation

Elliptic PDE:- the Laplace equation

2u
2u
=c 2
2
t
x

2T 2T
+ 2 =0
2
x
y

General relation between the physical

problems and different type of PDEs

Propagation problems lead to parabolic or

hyperbolic PDEs.

Equilibrium equations lead to elliptic PDE.

Most fluid equations with an explicit time

dependence are Hyperbolic PDEs

For dissipation problem, Parabolic PDEs

8

Physical Applications of Laplace equation

Application

Q[ uxx+uyy+uzz=Q(x,y,z)]

Steady state temperature in a

solid

temperature

Heat source/volume

Static deflection of a thin

membrane in two dimensions

deflection

pressure

electrostatics

Electrostatic
potential

Charge/unit volume

Incompressible irrotational flow Velocity

in two or three dimensions
potential

Mass source
strength/volume

Two-D incompressible Steady

flow

Stream
function

-Vorticity

Newtonian gravitation

Gravitational
potential

Mass density
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Classification by Characteristics

Characteristics are curves in the space of the independent

variables along which the governing PDE has only total
differentials.

For the first order equation a

u
u
+b
= c
t
x

Seek the solution of type u=u(x(t),t)

Total Derivative of u is

du u dx u
=
+
dt
x dt
t

10

Classification by Characteristics

Let dx/dt=b/a and du/dt=c/a

This gives us the solutions :x=x0+b/a*t

u=u0+c/a*t

for the initial conditions u(x0,0)=u0

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Classification by Characteristics

Characteristics are lines

with constant slope as
shown in the plane of
independent variables x,t.
If c=0 then u becomes
constant.

For non-constant c, u grows linear in time along the characteristics.

Define u(x,0)=f(x). At any time u can be constructed according to the
solution on the characteristic.

The figure represents the contour

plot. The straight lines are given by
the lines that have the same value
of u . u is constant along these
lines
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II Order Equation

Consider the second order equation

Define

Total Differential can be written as:

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II Order Equation

From definition

Comparing the equations we get

Solution to dy/dx are called the characteristics of
the problem
14

Characteristics of II order PDE

Considering different PDEs

Hyperbolic PDE: B2-4AC>0

Parabolic PDE: B2-4AC=0
Elliptic PDE: B2-4AC<0

2 real solutions
1 real solutions
no real solutions

For time dependent Compressible fluid without dissipation , the PDE is

hyperbolic with two real characteristics. They are lines in space time
along which information propagates.

15

Solution of Partial Differential

Equation
Find a Function which

is continuous on the boundary of D

has those derivatives in the interior of D

satisfies the equation in the interior of D

Where D is some region defined by independent

variables
16

Conditions

There are number of solutions satisfying the

PDE

For a physical system other conditions will be

imposed too.

Boundary Conditions:- specific values of u at the

boundary

Initial Conditions: - condition specified at t=0.

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Boundary Conditions

Dirichlet conditions with u=f on R

Neumann conditions with

u
= f
n

or u
s

=g

on

Mixed (Robin) conditions.

Dirichlet conditions can only be applied if the solution is

known on the boundary and if 6 is analytic.
These are frequently used for the flow (velocity) into a
domain. More common are Neumann conditions.
R= domain, dR =boundary, n and s are vectors normal and along the
surface, f and g are functions on the boundary.

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Well posed problem

Existence :-For any sufficiently smooth data functions

(say from the initial conditions) there is a solution u of the
system of equations.

Uniqueness:- There is at most one function u satisfying

the system of equations, for given data.

Continuity :- The solutions u corresponding to data which

differ by small amounts in the appropriate norms, also
differ by small amounts.

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Principle of Superposition

If u1 and u2 are solutions of a linear

homogeneous partial differential equation in
some region D, then
u=c1u1+c2u2
where c1 and c2 are any constants, then u is
also a solution of that equation in D.

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Important Properties of different PDEs

Domain of influence and dependence

Role of Characteristics

Role of Boundary and initial Conditions

21

Domain of influence and

dependence

Consider the solution to the parabolic

heat equation

At time tp the B.C.s at x=0 and L

influences the solution at xp. The
solution at (tp,xp) also influences the
solution in the future. Thus semiinfinite strip above t=tp is called
domain of influence and all the points
where t<=tp comprises of domain of
dependence
22

Parabolic PDE

Consider the one dimensional heat equation:

u
2u
=
x 2
t

with boundary and initial conditions

u (t , L) = ul

u (t ,0 ) = u 0

u (0, x) = g ( x)

Solution can be represented as a field in a semi-infinite strip.

Characteristics: only one characteristic, so interpretation in terms of
characteristic is useless as small perturbation influences the entire
domain.
Initial Conditions: typical Dirichlet conditions are used
Boundary Conditions: Mixed conditions are possible but Neumann
conditions must agree with the initial conditions
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Solution of Parabolic PDE

Separation of Variables

Obtain two ordinary differential equations

Determine

solution to those two equations

that satisfy the B.C

Using

Fourier Series compose those solutions

which also satisfy the initial conditions

Use of Fourier Integrals and Transforms

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Elliptic PDE

Model of steady state heat conduction in

two dimensional domain
Laplace equation T + T = 0

T ( x ,0 ) = T 1

T (W , y ) = T 2

T ( x,3) = T 3

T (0, y ) = T 4

The solution at position xp,yp

influences the solution at all
other points in the domain.
This means that there is no
time dependence
Entire Region is the Domain of
Influence and Dependence

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Properties

Characteristics: no real characteristics

Maximum minimum principle: With

constant coefficients, both the max and min are

assumed on the boundary dR

Any disturbance influences the entire domain

Boundary Condition: can be of any type.
No initial conditions as equation is independent
of the time
26

Solution to Laplace equation

Use of complex analysis a the complex number

a+ib satisfies the laplace equation

Method of separation of variables

Determine the problem type:

Neumann

Problem
Dirichlet Problem
27

Method of Discretization

Equilibrium Equation (elliptical) can be discritized using

Finite element Method

PDE is solved for each small elements using

approximations like Minimization of P.E or Variational
Principle

Combining equations from each element Overall Linear

system of equations are developed

They are then solved using methods like Gauss

elimination for banded matrix
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Hyperbolic PDE
2u
2u
Consider t he one dimensional Wave
=c
2
2

x
Equation with boundary conditions
u
= g ( x)
t t =0

u (t ,0) = u 0 u (t , L) = ul

Solution is semi-infinite strip as shown in

the figure. The state of the solution at
time tp and position xp influences the
solution at all other points in the wedge of
space-time labeled domain of influence

Wedge is defined by two characteristics

29

Role of characteristics and

Boundary/Initial Conditions
Any point in the space is the origin of two
characteristics
At any point in the space it takes two
characteristics to define the problem
uniquely.

30

Relation between Characteristic

and Boundary Condition

Various situations for which a solution is uniquely defined

31

Examples from Fluid Mechanics

One-Dimensional Flow ut + uux +

Constitute

c2

x = 0

a first order system of hyperbolic

type.
Method of characteristic can be applied
Characteristics can be viewed as curves
across which the derivatives of the flow
quantities u and p can jump while u and p
themselves remain constant
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Steady Supersonic Flow

M=mach
The

number and for supersonic flow M>1

PDE is hyperbolic D>0

Characteristic

curves exist and are called Mach Lines

Across

these characteristic curves, the partial

derivatives of the velocity components need not be
continuous.

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Summary

Importance of classification of PDE

Physical Interpretation of different PDE

Different methods of solving PDE

Method of characteristics for Hyperbolic

equations
34

References

Kreyszig E. Advanced Engineering Mathematics, 8th edition, John

Wiley and Sons, Inc.

Garabedian R. Partial Differential Equations, John Wiley and Sons,

Inc.

Kevorkian J. Partial Differential Equations Analytical Solution

Techniques ,the Wadsworth &Brooks/Cole Mathematics Series

Harpham C. Partial Differential Equations, Loughborough

University ,May 1997

Andrew J. Bernoff An introduction to partial differential equations

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