ChewMA1506-14 Ch8 PDF

Chapter 8
Partial Differential equations

PDEs
MA1506
Mathematics II
Chew T S MA1506-14 Chapter 8 1
In this Chapter, we will study
(1)
Method of separation of variables (MSV)
(2)
Solution of wave equation (Two versions)
(b) dAlemberts method
1
( , ) sin cos
n
n
n n
y x t A x c t
L L

=
( (
| | | |
=
| |
( (
\ . \ .

0
2
( )sin
L
n
n
A f x x dx
L L
| |
=
|
\ .
where
(a)By MSV
| |
1
( , ) ( ) ( )
2
y x t f x ct f x ct = + +
(3) Solution of Heat equation
2
2
1
( , ) sin
n
c t
L
n
n
n
u x t A x e
L
| |

|
\ .
=
(
| |
=
|
(
\ .

0
2
( )sin
L
n
n
A f x x dx
L L
| |
=
|
\ .
where
Notation
( , ) u x y
x
x
u
denoted by
( , ) u x y
y
y
u
denoted by
2
2
( , ) u x y
x
xx
u
denoted by
2
( , ) u x y
y x

xy
u
denoted by
Partial Differential Equations
0
xx
u u =
0
x y
u xu + =
y xx
u u =
yy xx
u u =
0
xx yy
u u + =
Equations above involving partial derivatives
are called partial differential equations
By method of separation of variables, we
assume that solution ( , ) u x y can be written as
( , ) ( ) ( ) u x y X x Y y =
Hence
'
( ) ( )
x
u X x Y y =
'
( ) ( )
y
u X x Y y =
' '
( ) ( )
xy
u X x Y y =
''
( ) ( )
xx
u X x Y y =
''
( ) ( )
yy
u X x Y y =
8.1 SV for PDE
8.1 Separation of variables for PDE N L pp 7-12
In this section, , we study one simple case
by method of separation of variables.
Example
solve
0
x y
u xu + =
Solution
Let ( , ) ( ) ( ) u x y X x Y y =
Then
' '
( ) ( ) ( ) ( ) 0 X x Y y xX x Y y + =
Hence
' '
1 ( ) ( )
( ) ( )
X x Y y
x X x Y y
=
holds for any x and y
Use method of S V to
8.1 SV for PDE
Therefore
' ' '
0
0
( ) 1 ( ) ( )
( ) ( ) ( )
Y y X x Y y
x X x Y y Y y
= = for any fixed
0
y
Thus
' '
1 ( ) ( )
constant
( ) ( )
X x Y y
k
x X x Y y
= = =
holds for any x and y
So
'
X kxX =
'
Y kY =
8.1 SV for PDE
for any fixed k
Solve the above two 1
st
order ODE, get
2
/2
( )
kx
X x Ae = ( )
ky
Y y Be
=
Hence
( , ) ( ) ( ) u x y X x Y y =
2 2
/2 /2 kx ky kx ky
ABe e Ce e

= =
8.1 SV for PDE
USEFUL FACTS for studying wave and heat equations
USEFUL FACTS
Sturm-Liouville equation
consider
() +() = 0
with initial conditions
(0) = 0,
(0) = 0
Then we know that zero is a solution.
Zero is the only solution.
Now, if we replace the above initial conditions by
boundary conditions
Then we have Sturm-Liouville equation
() +() = 0
(0) = 0, () = 0
(0) = 0, () = 0
We shall write down solutions of
Sturm-Liouville equation without proofs.
Case 1
< 0
Zero is the only solution
Case 2
= 0
Case 3
> 0
There are two subcases
Subcase 1 When

2
, = 1,2, . . .
USEFUL FACTS
Subcase 2
=

2
, = 1,2, . . .
=

2
, = 1,2, . . .
called eigenvalue For each
there exists nonzero solution
called eigenfunction
USEFUL FACTS
() = sin

This case is very important
1.
if
n m
n m =
1
sin sin
L
L
n m
x x dx
L L L

| | | |
=
| |
\ . \ .
0
1
if
where m, n are positive integers
USEFUL FACTS
Some special integrals
1
cos cos
L
L
n m
x x dx
L L L

| | | |
=
| |
\ . \ .
2.
0
1
if
if
n m
n m =
1
sin cos 0
L
L
n m
x x dx
L L L

| | | |
=
| |
\ . \ .
3.
for any positive
integers m, n
where m, n are positive integers
You dont have to spend time on working out
Examples 1, 2,3.
Just need to know the results.
Use 1, 2 and 3,

2
1
(sin 4sin2 23cos3 ) x x x dx

+ +
2 2 2
1 4 23 = + +
we get
expand
USEFUL FACTS
1. Odd function f(x) : symmetric w.r.t. origin
2. Even function f(x): symmetric w.r.t. y-axis
USEFUL FACTS
Odd and even functions
() = (
)

() = (
)

3. sinx, sinx are odd, where is any real number
4. cosx, cosx are even, where is any real number
USEFUL FACTS
5.
oddeven=odd function
oddodd=even function
eveneven=even function
6.
( ) 0
L
L
odd dx
sin( ) 0
L
L
x dx
sin cos 0
L
L
n m
x x dx
L L

| | | |
=
| |
\ . \ .
for any integers n, m

odd
even
means
multiplication
USEFUL FACTS
7.
0
( ) 2 ( )
L L
L
even dx even dx
=

8. Let f be odd.
()sin

= 2 ()sin

0

odd odd
USEFUL FACTS
sin() =
sin(
)
2

cos(
)
2
sin() =
2sin(
)
2
+
2
2
2
)cos(
3

9.
11.
sin() =
1
cos
10.
USEFUL FACTS

2
1
cos (1 cos2 )
2
x x = +
2
1
sin (1 cos2 )
2
x x =
1
sin cos sin2
2
x x x =
1
sin sin [cos( ) cos( )]
2
x y x y x y = +
1
cos cos [cos( ) cos( )]
2
x y x y x y = + +

1
sin cos [sin( ) sin( )]
2
x y x y x y = + +
12.
13.
cos ( 1)
n
n =
1,2,3,... n =
cos(2 1) 0
2
n

=
1,2,3,... n =
USEFUL FACTS
cos(
2
) =
14.
1
sin(2 1) ( 1)
2
n
n

+
=
sin 0 n =
1,2,3,... n =
1,2,3,... n =
USEFUL FACTS
sin(
2
) =
sin(
2
) =
8.2 Wave Equation
8.2 wave equation
Elastic string of length L
tightly stretched
The string is set in motion.
It vibrates in vertical plane.
Animation slide
Let be vertical displacement at pt , at time
( , ) y x t
x t
Let
c
be constant velocity of propagation
of wave along string
8.2 wave equation
Animation slide
x
We have
2
( , ) ( , )
xx tt
c y x t y x t =
where
0 , 0 x L t < < >
with boundary conditions:
(0, ) 0, ( , ) 0, for all 0 y t y L t t = = >
with initial conditions:
( ,0) ( ), ( ,0) 0, where 0
t
y x f x y x x L = = < <
Initial position Initial velocity
8.2 wave equation
Now we shall use the method of S V
to solve the above wave equation
Solution
By MSV, let
( , ) ( ) ( ) y x t u x v t =
Then
( , ) ( ) ( )
xx
y x t u x v t
=
( , ) ( ) ( )
tt
y x t u x v t
=
Hence
2
( , ) ( , )
xx tt
c y x t y x t =
implies
2
( ) ( ) ( ) ( ) c u x v t u x v t

=
8.2 wave equation
Therefore
2
( ) 1 ( )
( ) ( )
u x v t
u x c v t

=
holds for
ALL x, and t
So
2
( ) 1 ( )
( ) ( )
u x v t
u x c v t

= =
for any fixed
Hence
( ) ( ) 0 u x u x
+ =
2
( ) ( ) 0 v t c v t
+ =
For convenience, we use -
8.2 wave equation
Now we shall solve
( ) ( ) 0 u x u x
+ =
(0, ) 0, ( , ) 0, for all 0 y t y L t t = = >
i.e., (0) ( ) 0, ( ) ( ) 0, for all 0 u v t u L v t t = = >
i.e.,
(0) 0, ( ) 0 u u L = =
8.2 wave equation
So now we solve
( ) ( ) 0 u x u x
+ =
with boundary conditions: (0) 0, ( ) 0 u u L = =
Recall the above equation is
Sturm-Liouville equation.
=

2
, = 1,2, . . .
When
() = sin

8.2 wave equation
now look at corresponding
For
2
( ) ( ) 0 v t c v t
+ =
The general solution is
( ) cos sin
n n
n n
v t A c t B c t
L L
( (
| | | |
= +
| |
( (
\ . \ .

However, from one of the initial conditions
( ,0) 0
t
y x = i.e.,
(0) 0 v
=
we have 0
n
B =
=

2
, = 1,2, . . .
8.2 wave equation
So for each n,
sin cos
n
n n
A x c t
L L
( (
| | | |
| |
( (
\ . \ .

is a solution of the given PDE
with boundary conditions and initial condition
( ,0) 0
t
y x =
1
sin cos
m
n
n
n n
A x c t
L L

=
( (
| | | |
| |
( (
\ . \ .

Hence
is again a solution
8.2 wave equation
1
( , ) sin cos
n
n
n n
y x t A x c t
L L

=
( (
| | | |
=
| |
( (
\ . \ .

In fact
is the general solution of the given PDE
Now we shall use the 2
nd
initial condition

to find the value of
n
A
( ,0) ( ) y x f x =
8.2 wave equation
1 1
( ) ( ,0) sin cos 0 sin
n n
n n
n n n
f x y x A x c A x
L L L

= =
( ( (
| | | | | |
= = =
| | |
( ( (
\ . \ . \ .

1
( ) sin
n
n
n
f x A x
L
=
(
| |
=
|
(
\ .

How to find
n
A
where 0 x L < <
First note that
1
sin
n
n
n
A x
L
=
(
| |
|
(
\ .

is an odd function define on (-L, L). Now we extend

f defined on (-L,L) s.t. f is odd
8.2 wave equation
Hence we have
1
( ) sin
m
m
m
f x A x
L
=
(
| |
=
|
(
\ .

where L x L < <

1
1
1
( )sin
1
sin sin
1
sin sin
L
L
L
m
L
m
L
m
L
m
n
n
f x x dx
L L
m n
A x x dx
L L L
m n
A x x dx
L L L
A
=
| |
|
\ .
| |
| | | |
=
| |
|
\ . \ .
\ .
( (
| | | |
=
| |
( (
\ . \ .

=

8.2 wave equation
0
1
( )sin
2
( )sin
L
n
L
L
n
A f x x dx
L L
n
f x x dx
L L
| |
=
|
\ .
| |
=
|
\ .
Now we shall give one example to show how to

shorten the presentation
8.2 wave equation
Example 1
2
( , ) ( , )
xx tt
c y x t y x t =
0 , 0 x t < < >
(0, ) 0, ( , ) 0, for all 0 y t y t t = = >
( ,0) , ( ,0) 0, where 0
t
y x x y x x = = < <
Solve the following wave equation
Solution
By MSV, let
( , ) ( ) ( ) y x t u x v t =
8.2 wave equation
Now we solve
( ) ( ) 0 u x u x
+ =
(0) 0, ( ) 0 u u = =
=

2
=
2
, = 1,2, . . .
When
() = sin()
Then we get ( ) ( ) 0 u x u x
+ =
2
( ) ( ) 0 v t c v t
+ =
8.2 wave equation
For
2
( ) ( ) 0 v t c v t
+ =
The general solution is
( )
2
( ) cos
n
v t A c t
(
=
(

with initial condition
(0) 0 v
=
=

2
=
2
, = 1,2, . . .
() =
cos
8.2 wave equation
( ) ( )
1
( , ) sin cos
n
n
y x t A nx nct
=
=

Now we shall use the 2
nd
initial condition

n
A
( ,0) y x x =
Then
8.2 wave equation
( )
0
2
sin
n
A x nx dx
=

sin() =
sin(
)
2

cos(
)

Use formula
=
2
sin
0

=
2
sin(
)
2

cos(
)
=
2

cos(
)

= -
2
(1)
=
2
(1)
+1

8.2 wave equation
(, ) =
2
1
+1
sin cos
=1

is the solution of wave equation


and initial conditions:
2
( , ) ( , )
xx tt
c y x t y x t = 0 , 0 x t < < >
(0, ) 0, ( , ) 0, for all 0 y t y t t = = >
( ,0) , ( ,0) 0, where 0
t
y x x y x x = = < <
8.2 wave equation
Summary
1
( , ) sin cos
n
n
n n
y x t A x c t
L L

=
( (
| | | |
=
| |
( (
\ . \ .

0
2
( )sin
L
n
n
A f x x dx
L L
| |
=
|
\ .
Solution of wave equation

8.2 wave equation
Example 2
2
( , ) ( , )
xx tt
c y x t y x t =
0 , 0 x t < < >
(0, ) 0, ( , ) 0, for all 0 y t y t t = = >
( ,0) sin(10 ), ( ,0) 0, where 0
t
y x x y x x = = < <
Solution
( ) ( )
1
( , ) sin cos
n
n
y x t A nx nct
=
=
8.2 wave equation

( )
0
2
sin(10 )sin
1
sin(10 )sin( )
n
A x nx dx
x nx dx

=
=
where
Hence
10
1, 0, if 10
n
A A n = =
Or we can get the above result
by comparing the coefficients
See next slide
8.2 wave equation
odd odd
( )
1
sin(10 ) sin
n
n
x A nx
=
=
( )
1
( ) sin
n
n
f x A nx
=
=
10
1, 0, if 10
n
A A n = =
Hence
( ) ( )
( , ) sin 10 cos 10 y x t x ct =
So
8.2 wave equation
2
( , ) ( , )
xx tt
c y x t y x t =
0 , 0 x L t < < >
(0, ) 0, ( , ) 0, for all 0 y t y L t t = = >
( ,0) ( ), ( ,0) 0, where 0
t
y x f x y x x L = = < <
dAlemberts solution of the wave equation
Then solution (given by dAlembert) is
| |
1
( , ) ( ) ( )
2
See Appendix and tutorial 11
8.2 wave equation
Revisit Example 2
2
( , ) ( , )
xx tt
c y x t y x t =
0 , 0 x t < < >
(0, ) 0, ( , ) 0, for all 0 y t y t t = = >
( ,0) sin(10 ), ( ,0) 0, where 0
t
y x x y x x = = < <
by dAlemberts solution
8.2 wave equation
The solution (given by dAlembert) is
| |
1
( , ) ( ) ( )
2
In this Example 2 ,
( ) sin(10 ) f x x =
Hence | | | |
1
( , ) sin 10( ) sin 10( )
2
y x t x ct x ct ( = + +

L =
( ) ( )
( , ) sin 10 cos 10 y x t x ct =
Recall by MSV, the solution is
| |
1
sinAcosB sin(A ) sin(A )
2
B B = + +
These two solutions are equivalent which can be proved by the following formula
8.3 Heat Equation
Heat-conducting rod with length L
0
L
( , ) u x t represents temperature at point x,
at time t
Let
2
c
be thermal diffusivity
We have
2
( , ) ( , )
t xx
u x t c u x t =
where 0 , 0 x L t < < >
(0, ) 0, ( , ) 0, for any 0 u t u L t t = = >
0 0
Temperatures are always ZERO at both end points
with initial condition:
( ,0) ( ), where 0 u x f x x L = < <
Initial distribution of temperature given by f(x)
8.3 Heat Equation
Now we shall use the method of S V
to solve the above heat equation
Solution
By MSV, let
( , ) ( ) ( ) u x t X x T t =
Then
( , ) ( ) ( )
xx
u x t X x T t
=
( , ) ( ) ( )
t
u x t X x T t
=
Hence
2
( , ) ( , )
t xx
u x t c u x t =
implies
2
( ) ( ) ( ) ( ) X x T t c X x T t

=
8.3 Heat equation
Therefore
2
( ) 1 ( )
( ) ( )
X x T t
X x c T t

=
holds for
ALL x, and t
So
for any fixed
Hence
( ) ( ) 0 X x X x
+ =
2
( ) ( ) 0 T t c T t
+ =
For convenience, we use -
2
( ) 1 ( )
( ) ( )
X x T t
X x c T t

= =
8.3 Heat Equation
Now we shall solve
(0) 0, X( ) 0 X L = =
( ) ( ) 0 X x X x
+ =
Recall the above equation is
Sturm-Liouville equation.
When
=

2
, = 1,2, . . .
8.3 Heat Equation
( )
sin
n
X x x
L
(
| |
=
|
(
\ .

For
2
( ) ( ) 0 T t c T t
+ =
A solution is
2
2
( )
n
c t
L
T t e
| |
|
\ .
=
=

2
, = 1,2, . . .
8.3 Heat Equation
So for each n,
2
2
sin
n
c t
L
n
n
A x e
L
| |
|
\ .
(
| |
|
(
\ .

is a solution of the given heat equation
with boundary conditions
2
2
1
sin
n
m
c t
L
n
n
n
A x e
L
| |
|
\ .
=
(
| |
|
(
\ .

Hence
is again a solution
8.3 Heat Equation
2
2
1
( , ) sin
n
c t
L
n
n
n
u x t A x e
L
| |

|
\ .
=
(
| |
=
|
(
\ .

In fact
Now we shall use the initial condition

n
A
( ,0) ( ) u x f x =
8.3 Heat Equation
2
2
0
1 1
( ) ( ,0) sin sin
n
c
L
n n
n n
n n
f x u x A x e A x
L L

| |

|
\ .
= =
( (
| | | |
= = =
| |
( (
\ . \ .

1
( ) sin
n
n
n
f x A x
L
=
(
| |
=
|
(
\ .

How to find
n
A
where 0 x L < <
First note that
1
sin
n
n
n
A x
L
=
(
| |
|
(
\ .

is an odd function define on (-L, L). Now we extend

f defined on (-L,L) s.t. f is odd
8.3 Heat Equation
Hence we have
1
( ) sin
m
m
m
f x A x
L
=
(
| |
=
|
(
\ .

where L x L < <

1
1
1
( )sin
1
sin sin
1
sin sin
L
L
L
m
L
m
L
m
L
m
n
n
f x x dx
L L
m n
A x x dx
L L L
m n
A x x dx
L L L
A
=
| |
|
\ .
| |
| | | |
=
| |
|
\ . \ .
\ .
( (
| | | |
=
| |
( (
\ . \ .

=

8.3 Heat Equation
0
1
( )sin
2
( )sin
L
n
L
L
n
A f x x dx
L L
n
f x x dx
L L
| |
=
|
\ .
| |
=
|
\ .
0
2
( )sin
L
n
n
A f x x dx
L L
| |
=
|
\ .
Heat Equation
Summary
2
2
1
( , ) sin
n
c t
L
n
n
n
u x t A x e
L
| |

|
\ .
=
(
| |
=
|
(
\ .

Solution of Heat equation

Suppose ( ) 2 1, 0 f x x x L = + < <
8.3 Heat Equation
Example 1
0
0 0
2
(2 1)sin
4 2
sin sin
L
n
L L
n
A x x dx
L L
n n
x x dx x dx
L L L L

| |
= +
|
\ .
| | | |
= +
| |
\ . \ .

2
2
1
( , ) sin
n
c t
L
n
n
n
u x t A x e
L
| |

|
\ .
=
(
| |
=
|
(
\ .

sin() =
sin(
)
2

cos(
)

Use the following formulae we can find

sin() =
1
cos
8.3 Heat Equation
cos ( 1)
n
n =
Example 2
Suppose = 3, () = sin(10
)

0
2
( )sin
L
n
n
A f x x dx
L L
| |
=
|
\ .
1
( ) sin
n
n
n
f x A x
L
=
(
| |
=
|
(
\ .

Now find

We shall compare coeff.
sin(10) =
sin

3

=1

Note that if
10 =

3

then
= 30
So
30
= 1,
= 0, 30
Example 3
= 3, () = sin

2
Suppose
Now find

We cant compare coeff., since we cant find
positive integer n such that
/2 =

3

0
2
( )sin
L
n
n
A f x x dx
L L
| |
=
|
\ .
So use
1
( ) sin
n
n
n
f x A x
L
=
(
| |
=
|
(
\ .

Use the following formula to evaluate the above integral

sinA sin =
1
2
cos(A B) cos(A +
)

End
Chapter 8
0
xx
u u =
0
x y
u xu + =
y xx
u u =
yy xx
u u =
0
xx yy
u u + =
Appendix
1
st
order PDE
2
nd
order PDE
Order of PDE
0
xx
u u =
0
x y
u xu + =
0
y xx
u u =
0
yy xx
u u =
0
xx yy
u u + =
The following are homogeneous PDE
Homogeneous PDE
2
xx
u u y =
2
x y
u xu + =
y xx
u u xy =
4
yy xx
u u =
sin
xx yy
u u x + =
The following are nonhomogeneous PDE
Nonhomogeneous PDE
0
xx
u u =
0
x y
u xu + =
0
y xx
u u =
0
yy xx
u u =
0
xx yy
u u + =
The following homogeneous PDE are
called linear PDE
Since for each of the above PDEs, if v and w are
solutions, then we can check that
v w +
is again a solution
Linear PDE
2
xx
u u y =
2
x y
u xu + =
y xx
u u xy =
4
yy xx
u u =
sin
xx yy
u u x + =
The following nonhomogeneous PDE are
called linear PDE
since the corresponding homogeneous PDE is
linear
Remarks on dAlemberts solution
1
( ) sin
n
n
n
f x A x
L
=
(
| |
=
|
(
\ .

1
( , ) sin cos
n
n
n n
y x t A x c t
L L

=
( (
| | | |
=
| |
( (
\ . \ .

In discussion of wave equations, we have

sin

cos

=
1
2
sin

( + + sin

(
| |
1
( , ) ( ) ( )
2
By formula
Hence
Note that the original f is defined on [0,L]. First we need to
extend f to be defined on [-L,L] such that f is odd. Secondly,
we need to extend f to be defined on the whole real line by
assuming f is 2L periodic. Hence f(x+ct), f(x-ct) are well
defined
End
Chapter 8
Remarks on dAlemberts solution cont.
( ) ( )
( ) ( 2 ) f is 2L periodic
( ) ( )
( ) ( ) f is odd
0
f L ct f L ct
f L ct f L ct L
f L ct f L ct
f L ct f L ct
+ +
= + +
= + +
= + +
=

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Chapter 8

Partial Differential equations

for any integers n, m

is an odd function define on (-L, L). Now we extend

where L x L < <

Now we shall give one example to show how to

is the general solution of the given PDE

Solution of wave equation

8.2 wave equation

is an odd function define on (-L, L). Now we extend

where L x L < <

Solution of Heat equation

Use the following formula to evaluate the above integral

In discussion of wave equations, we have

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