# Chapter 12 Partial Differential Equations

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1 Chapter 12 Partial Differential Equations Advanced Engineering Mathematics Wei-Ta Chu National Chung Cheng University 1

2 Basic Concepts of PDEs

3 Partial Differential Equation A partial differential equation (PDE) is an equation involving one or more partial derivatives of an (unknown) function, call it u, that depends on two or more variables, often time t and one or several variables in space. The order of the highest derivative is called the order of the PDE. Just as was the case for ODEs, secondorder PDEs will be the most important ones in applications. 3

4 Partial Differential Equation We say that a PDE is linear if it is of the first degree in the unknown function u and its partial derivatives. We call a linear PDE homogeneous if each of its terms contains either u or one of its partial derivatives. 4

5 Example 1 (1) (2) (3) (4) One-dimensional wave equation One-dimensional heat equation Two-dimensional Laplace equation Two-dimensional Poisson equation (5) (6) Two-dimensional wave equation Three-dimensional Laplace equation 5 Here c is a positive constant, t is time, x, y, z are Cartesian coordinates, and dimension is the number of these coordinates in the equation.

6 (7) Partial Differential Equation A solution of a PDE in some region R of the space of the independent variables is a function that has all the partial derivatives appearing in the PDE in some domain D containing R, and satisfies the PDE everywhere in R. In general, the totality of solutions of a PDE is very large. For example, the functions which are entirely different from each other, are solutions of (3). 6

7 Partial Differential Equation We shall see that the unique solution of a PDE corresponding to a given physical problem will be obtained by the use of additional conditions arising from the problem. For instance, this may be the condition that the solution u assume given values on the boundary of the region R ( boundary conditions ). Or, when time t is one of the variables, u (or or both) may be prescribed at t=0 ( initial conditions ). 7

8 Theorem 1 Fundamental Theorem on Superposition If u 1 and u 2 are solutions of a homogeneous linear PDE in some region R, then with any constants c 1 and c 2 is also a solution of that PDE in the region R. 8

9 Example 2 Find solutions u of the PDE depending on x and y. Solution. Since no y-derivatives occur, we can solve this PDE like. In Sec. 2.2, we would have obtained with constant A and B. Here A and B may be functions of y, so that the answer is with arbitrary functions A and B. We thus have a great variety of solutions. Check the result by differentiation. 9

10 Example 3 Find solutions u=u(x,y) of the PDE Solution. Setting, we have,,, and by integration with respect to x, here, f(x) and g(y) are arbitrary. 10

11 12.2 Modeling: Vibrating String, Wave Equation 11

12 Modeling We want to derive the PDE modeling small transverse vibrations of an elastic string, such as a violin string. We place the string along the x-axis, stretch it to length L, and fasten it at the ends x=0 and x = L. We then distort the string, and at some instant, call it t=0, we release it and allow it to vibrate. The problem is to determine the vibrations of the string, that is, to find its deflection u(x,t) at any point x and at any time t>0; see Fig

13 Modeling u(x,t) will be the solution of a PDE that is the model of our physical system to be derived. This PDE should not be too complicated, so that we can solve it. Reasonable simplifying assumptions are as follows. 13

14 Modeling Physical Assumptions The mass of the string per unit length is constant ( homogeneous string ). The string is perfectly elastic and does not offer any resistance to bending. The tension caused by stretching the string before fastening it at the ends is so large that the action of the gravitational force on the string can be neglected. The string performs small transverse motions in a vertical plane; that is, every particle of the string moves strictly vertically and so that the deflection and the slope at every point of the string always remain small in absolute value. 14

15 Derivation of the PDE of the Model We consider the forces acting on a small portion of the string (Fig. 286). This method is typical of modeling in mechanics and elsewhere. Since the string offers no resistance to bending, the tension is tangential to the curve of the string at each point. Let T 1 and T 2 be the tension at the endpoints P and Q of that portion. Since the points of the string move vertically, there is no motion in the horizontal direction. Hence the horizontal components of the tension must be constant. 15

16 (1) Derivation of the PDE of the Model Using the notation shown in Fig. 286, we thus obtain In the vertical direction we have two forces, namely, the vertical components and of T 1 and T 2 ; here the minus sign appears because the component that P is directed downward. 16

17 Derivation of the PDE of the Model By Newton s second law the resultant of these two forces is equal to the mass of the portion times the acceleration, evaluated at some point between and ; here is the mass of the undeflected string per unit length, and is the length of the portion of the undeflected string. ( is generally used to denote small quantities) Hence 17

18 Derivation of the PDE of the Model Using (1), we can divide this by (2) Now are slopes of the string at and Here we have to write partial derivatives because u also depends on time t. Dividing (2) by, we thus have 18

19 Derivation of the PDE of the Model If we let approach zero, we obtain the linear PDE This is called the one-dimensional wave equation. We see that it is homogeneous and of the second order. The physical constant is denoted by (instead of c) to indicate that this constant is positive, a fact that will be essential to the form of the solutions. Onedimensional means that the equation involves only one space variable, x. 19

20 12.3 Solution by Separating Variables. Use of Fourier Series 20

21 (1) One-Dimensional Wave Equation The model of a vibrating elastic string consists of the one-dimensional wave equation for the unknown deflection u(x,t) of the string, a PDE that we have just obtained, and some additional conditions, which we shall now derive. 21

22 (2) One-Dimensional Wave Equation Since the string is fastened at the ends x=0 and x=l, we have the two boundary conditions Furthermore, the form of the motion of the string will depend on its initial deflection (deflection at time t=0), call it f(x), and on its initial velocity (velocity at t=0), call it g(x). 22

23 (3) One-Dimensional Wave Equation We thus have two initial conditions where. We now have to find a solution of the PDE (1) satisfying the conditions (2) and (3). This will be the solution of our problem. (1) (2) 23

24 One-Dimensional Wave Equation Step 1. By the method of separating variables or product method, setting u(x,t)=f(x)g(t), we obtain from (1) two ODEs, one for F(x) and the other one for G(t). Step 2. We determine solutions of these ODEs that satisfy the boundary conditions (2). Step 3. Finally, using Fourier series, we compose the solutions found in Step 2 to obtain a solution of (1) satisfying both (2) and (3), that is, the solution of our model of the vibrating string. 24

25 (4) Step 1 (1) In the method of separating variables, or product method, we determine solutions of the wave equation (1) of the form which are a product of two functions, each depending on only one of the variables x and t. This is a powerful general method that has various applications in engineering mathematics. Differentiating (4), we obtain 25 where dots denote derivatives with respect to t.

26 Step 1 (1) By inserting this into the wave equation (1) we have Dividing by and simplifying gives The variables are now separated, the left side depending only on t and the right side only on x. Hence both sides must be constant because, if they were variable, then changing t or x would affect only one side, leaving the other unaltered. Thus, say 26

27 (5) (6) Step 1 Multiplying by the denominators gives immediately two ordinary DEs Here, the separation constant k is still arbitrary. 27

28 (7) (8) Step 2 (5) We now determine solutions F and G of (5) and (6) so that u=fg satisfies the boundary conditions (2), that is We first solve (5). If, then, which is of no interest. Hence and then by (7), We show that k must be negative. For k=0 the general solution of (5) is, and from (8) we obtain a=b=0, so that F=0 and u=fg=0, which is of no interest. 28

29 Step 2 (5) For positive a general solution of (5) is and from (8) we obtain F=0 as before. Hence we are left with the possibility of choosing k negative, say,. Then (5) becomes and has as a general solution From this and (8) we have 29

30 (9) Step 2 (8) We must take since otherwise F=0. Hence Thus (n integer) Setting B=1, we thus obtain infinitely many solutions, where (10) (n = 1, 2, ) These solutions satisfy (8). [For negative integer n we obtain essentially the same solutions, except for a minus sign, because ] 30

31 Step 2 (6) (11*) We now solve (6) with resulting from (9), that is, A general solution is Hence solutions of (1) satisfying (2) are, written out (11) (n = 1, 2, ) (1) 31 (2)

32 Step 2 (11) (n = 1, 2, ) These functions are called the eigenfunctions, or characteristic functions, and the values are called the eigenvalues, or characteristic values, of the vibrating string. The set is called the spectrum. 32

33 (11) (n = 1, 2, ) Step 2 Discussion of Eigenfunctions. We see that each u n represents a harmonic motion having the frequency cycles per unit time. This motion is called the nth normal mode of the string. The first normal mode is known as the fundamental mode (n=1), and the others are known as overtones; musically they give the octave, octave plus fifth, etc. Since in (11) at 33 the nth normal mode has n-1 nodes, that is, points of the string that do not move; see Fig. 287.

34 Step 2 Figure 288 shows the second normal mode for various values of t. At any instant the string has the form of a sine wave. When the left part of the string is moving down, the other half is moving up, and conversely. For the other modes the situation is similar. 34

35 Step 2 Tuning is done by changing the tension T. Our formula for the frequency of u n with [see (3), Sec. 12.2] confirms that effect because it shows that the frequency is proportional to the tension. T cannot be increased indefinitely, but can you see what to do to get a string with a high fundamental mode? (Think of both L and.) Why is a violin smaller than a double-bass? 35

36 (11) (n = 1, 2, ) Step 3 The eigenfunctions (11) satisfy the wave equation (1) and the boundary conditions (2) (string fixed at the ends). A single u n will generally not satisfy the initial conditions (3). But since the wave equation (1) is linear and homogeneous, it follows from Fundamental Theorem 1 in Sec that the sum of finitely many solutions u n is a solution of (1). To obtain a solution that also satisfies the initial conditions (3), we consider the infinite series (with as before) (12) 36

37 (13) (14) (3) Step 3 Satisfying Initial Condition (3a) (Given Initial Displacement). From (12) and (3a) we obtain Hence we must choose the B n s so that u(x,0) becomes the Fourier sine series of f(x). Then, by (4) in Sec. 11.3, 37

38 (3) Step 3 Satisfying Initial Conditions (3b) (Given Initial Velocity). Similarly, by differentiating (12) with respect to t and using (3b), we obtain Hence we must choose the s so that for t=0 the derivative becomes the Fourier sine series of g(x). Thus, again by (4) in Sec. 11.3, 38

39 Step 3 Since, we obtain by division (15) Result. Our discussion shows that u(x,t) given by (12) with coefficients (14) and (15) is a solution of (1) that satisfies all the conditions in (2) and (3), provided the series (12) converges and so do the series obtained by differentiating (12) twice termwise with respect to x and t and have the sums and, respectively, which are continuous. 39

40 (16) Step 3 Solution (12) Established. According to our derivation, the solution (12) is at first a purely formal expression, but we shall now establish it. For the sake of simplicity we consider only the case when the initial velocity g(x) is identically zero. Then the are zero, and (12) reduces to It is possible to sum this series, that is, to write the result in a closed or finite form. 40

41 (13) Step 3 For this purpose we use the formula [see (11), App. A3.1] Consequently, we may write (16) in the form (17) These two series are those obtained by substituting x-ct and x+ct, respectively, for the variable x in the Fourier sine series (13) for f(x), Thus 41

42 Step 3 42 Where f* is the odd periodic extension of f with the period 2L (Fig. 289). Since the initial deflection f(x) is continuous on the interval and zero at the endpoints, it follows from (17) that u(x,t) is a continuous function of both variables x and t for all values of the variables. By differentiating (17) we see that u(x,t) is a solution of (1), provided f(x) is twice differentiable on the interval, and has onesided second derivatives at x=0 and x=l, which are zero. Under these conditions u(x,t) is established as a solution of (1), satisfying (2) and (3) with g(x)=0.

43 Step 3 Generalized Solution. If and are merely piecewise continuous (see Sec. 6.1), or if those onesided derivatives are not zero, then for each t there will be finitely many values of x at which the second derivatives of u appearing in (1) do not exist. Except at these points the wave equation will still be satisfied. We may then regard u(x,t) as a generalized solution, as it is called, that is, as a solution in a broader sense. For instance, a triangular initial deflection as in Example leads to a generalized solution. 43

44 Step 3 Physical Interpretation of the Solution (17). The graph of is obtained from the graph of by shifting the latter ct units to the right (Fig. 290). This means that represents a wave that is traveling to the right as t increases. Similarly, represents a wave that is traveling to the left, and u(x,t) is the superposition of these two waves. 44

45 Example 1 Find the solution of the wave equation (1) satisfying (2) and corresponding to the triangular initial deflection and initial velocity zero. (Figure 291 shows on the top.) 45

46 Example 1 Solution. Since g(x)=0, we have in (12), and from Example 4 in Sec we see that the B n are given by (5), Sec Thus (12) takes the form For graphing the solution we may use u(x,0)=f(x) and the above interpretation of the two functions in the representation (17). This leads to the graph shown in Fig

47 47 Example 1

48 12.5 Modeling: Heat Flow from a Body in Space. Heat Equation 48

49 49 (1) Heat Equation Physical assumptions 1. The specific heat and the density of the material of the body are constant. No heat is produced or disappears in the body. 2. Heat flows in the direction of decreasing temperature, and the rate of flow is proportional to the gradient of the temperature; that is, the velocity v of the heat flow in the body is of the form time is the temperature at a point and 3. The thermal conductivity K is constant, as is the case for homogeneous material and nonextreme temperatures.

50 Heat Equation Let T be a region in the body bounded by a surface S with outer unit normal vector n such that the divergence theorem (Sec. 10.7) applies. Then is the component of v in the direction of n. Hence is the amount of heat leaving T (if at some point P) or entering T (if at P) per unit time at some point P of S through a small portion of S of area. Hence the total amount of heat that flows across S from T is given by the surface integral 50

51 (2) Heat Equation Using Gauss s theorem (Sec. 10.7), we now convert our surface integral into a volume integral over the region T. Because of (1) this gives [use (3) in Sec. 9.8] Here is the Laplacian of u. 51

52 Heat Equation On the other hand, the total amount of heat in T is with as before. Hence the time rate of decrease of H is This must be equal to the amount of heat leaving T because no heat is produced or disappears in the body. From (2) we thus obtain 52

53 Heat Equation Since this holds for any region T in the body, the integrand (if continuous) must be zero everywhere. That is, This is the heat equation. It gives the temperature u(x,y,z,t) in a body of homogeneous material in space. The constant c 2 is the thermal diffusivity. K is the thermal conductivity, the specific heat, and the density of the material of the body. 53

54 Heat Equation The is the Laplacian of u and, with respect to the Cartesian coordinates x, y, z, is The heat equation is also called the diffusion equation because it also models chemical diffusion processes of one substance or gas into another. 54

55 12.6 Heat Equation: Solution by Fourier Series 55

56 (1) One-Dimensional Heat Equation Consider the temperature in a long thin metal bar or wire of constant cross section and homogeneous material, which is oriented along the x-axis and is perfectly insulated laterally. Then besides time, u depends only on x, so that the Laplacian reduces to, and the heat equation becomes the one-dimensional heat equation 56

57 One-Dimensional Heat Equation We shall solve (1) for some important types of boundary and initial conditions. We have the boundary conditions (2) Furthermore, the initial temperature in the bar at time t=0 is given, say, f(x), so that we have the initial condition (3) Here we have f(0)=0 and f(l)=0 because of (2). 57

58 One-Dimensional Heat Equation We shall determine a solution u(x,t) of (1) satisfying (2) and (3) one initial condition will be enough, as opposed to two initial conditions for the wave equation. Steps Separation of variables Use of Furier series 58

59 (4) Step 1. Two ODEs From the Heat Equation Substitution of a product u(x,t)=f(x)g(t) into (1) gives with and To separate the variables, we divide by, obtaining The left side depends only on t and the right side only on x, so that both sides must equal to constant k. You may show that for k=0 or k>0 the only solution u=fg satisfying (2) is. 59

60 Step 1. Two ODEs From the Heat Equation For negative k=-p 2 we have from (4) (5) (6) Multiplication by the denominators immediately gives the two ODEs 60

61 Step 2. Satisfying the Boundary Conditions (2) We first solve (5). A general solution is (7) From the boundary conditions (2) it follows that Since would give u=0, we require F(0)=0, F(L)=0 and get F(0)=A=0 by (7) and then, with (to avoid ); thus, 61

62 Step 2. Satisfying the Boundary Conditions (2) All this was literally the same as in Sec From now on it differs since (6) differs from (6) in Sec We now solve (6). For, as just obtained, (6) becomes (8) It has the general solution, where is a constant. Hence the functions 62 are solutions of the heat equation (1), satisfying (2). These are the eigenfunctions of the problem.

63 Step 3. Solution of the Entire Problem. Fourier Series To obtain a solution that also satisfies the initial condition (3), we consider a series of these eigenfunctions (9) From this and (3) we have 63

64 (10) Step 3. Solution of the Entire Problem. Fourier Series Hence for (9) to satisfy (3), the s must be the coefficients of the Fourier sine series, as given by (4) in Sec. 11.3; thus 64

65 Example 1 Sinusoidal Initial Temperature Find the temperature u(x,t) in a laterally insulated cooper bar 80 cm long if the initial temperature is and the ends are kept at. How long will it take for the maximum temperature in the bar to drop to? Physical data for cooper: density 8.92 g/cm 3, specific heat cal/(g ), thermal conductivity 0.95 cal/(cm sec ) 65

66 Example 1 Sinusoidal Initial Temperature The initial condition gives Hence, by inspection or from (9), we get B 1 =100, B 2 =B 3 = =0. In (9) we need, where [cm 2 /sec]. Hence we obtain The solution (9) is Also, when [sec -1 ] 66

67 Example 2 Speed of Decay Solve the problem in Example 1 when the initial temperature is and the other data are as before. Solution. In (9), instead of n=1 we now have n=3., so that the solution now is Hence the maximum temperature drops to in which is much faster. 67

68 Example 2 Speed of Decay Had we chosen a bigger n, the decay would have been still faster, and in a sum or series of such terms, each term has its own rate of decay, and terms with large n are practically 0 after a very short time. The curve in Fig. 295 corresponding to t=0.5 looks almost like a sine curve; that is, it is practically the graph of the first term of the solution. 68

69 Example 3 Triangular Initial Temperature in a Bar Find the temperature in a laterally insulated bar of length L whose ends are kept at temperature 0, assuming that the initial temperature is (10*) Solution. From (10) we get Integration gives B n =0 if n is even, 69

70 Example 3 Triangular Initial Temperature in a Bar Hence the solution is Figure 295 shows that the temperature decreases with increasing t, because of the heat loss due to the cooling of the ends. 70

71 (2*) Example 4 Bar with Insulated Ends Find a solution formula of (1), (3) with (2) replaced by the condition that both ends of the bar are insulated. Solution. Physical experiments show that the rate of heat flow is proportional to the gradient of the temperature. Hence if the ends x=0 and x=l of the bar are insulated, so that no heat can flow through the ends, we have and the boundary conditions 71

72 Example 4 Bar with Insulated Ends Since, this gives. Differentiating (7), we have, so that (11) The second of these conditions gives. From this and (7) with A=1 and B=0 we get. With G n as before, this yields the eigenfunctions corresponding to the eigenvalues. 72

73 Example 4 Bar with Insulated Ends The latter are as before, but we now have the additional eigenvalue and eigenfunction which is the solution of the problem if the initial temperature f(x) is constant. This shows the remarkable fact that a separation constant can very well be zero, and zero can be an eigenvalue. Furthermore, whereas (8) gave a Fourier sine series, we now get from (11) a Fourier cosine series (12) 73

74 Example 4 Bar with Insulated Ends Its coefficients result from the initial condition (3), in the form (2), Sec. 11.3, that is, (13) 74

75 Example 5 Triangular Initial Temperature in a Bar with Insulated Ends Find the temperature in the bar in Example 3, assuming that the ends are insulated (instead of being kept at temperature 0) Solution. For the triangular initial temperature, (13) gives A 0 =L/4 and Hence the solution (12) is 75

76 Example 5 Triangular Initial Temperature in a Bar with Insulated Ends We see that the terms decrease with increasing t, and as ; this is the mean value of the initial temperature. This is plausible because no heat can escape from this totally insulated bar. In contrast, the cooling of the ends in Example 3 led to heat loos and, the temperature at which the ends were kept. 76

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