SOLUTION OF

Partial Differential Equations

(PDEs)
Mathematics is the Language of Science
PDEs are the expression of processes that occur
across time & space: (x,t), (x,y), (x,y,z), or (x,y,z,t)

Partial Differential Equations (PDE's)

A PDE is an equation which

includes derivatives of an unknown
function with respect to 2 or more
independent variables

Partial Differential Equations (PDE's)

PDE's describe the behavior of many engineering phenomena:
Wave propagation
Fluid flow (air or liquid)
Air around wings, helicopter blade, atmosphere
Water in pipes or porous media
Material transport and diffusion in air or water
Weather: large system of coupled PDE's for momentum,
pressure, moisture, heat,
Vibration
Mechanics of solids:
stress-strain in material, machine part, structure
Heat flow and distribution
Electric fields and potentials
Diffusion of chemicals in air or water
Electromagnetism and quantum mechanics
3

Partial Differential Equations (PDE's)

Weather Prediction
heat transport & cooling
advection & dispersion of moisture
radiation & solar heating
evaporation
air (movement, friction, momentum, coriolis forces)
heat transfer at the surface
To predict weather one need "only" solve a very large systems of
coupled PDE equations for momentum, pressure, moisture, heat,
etc.
4

Modelizacin Numrica del Tiempo

360x180x32 x nvar

resolucin

Conservacin de energa, masa,

momento, vapor de agua,
ecuacin de estado de gases.

v = (u, v, w), T, p, = 1/ y q

1/t

Duplicar la resolucin espacial supone incrementar el tiempo

de cmputo en un factor 16

Condicin inicial

H+0

D+0
sbado 15/12/2007 00

H+24

D+1

D+2

D+3

D+4

D+5
5

Partial Differential Equations (PDE's)

Learning Objectives
1) Be able to distinguish between the 3 classes of 2nd order, linear
PDE's. Know the physical problems each class represents and
the physical/mathematical characteristics of each.
2) Be able to describe the differences between finite-difference and
finite-element methods for solving PDEs.
3) Be able to solve Elliptical (Laplace/Poisson) PDEs using finite
differences.
4) Be able to solve Parabolic (Heat/Diffusion) PDEs using finite
differences.
6

Partial Differential Equations (PDE's)

Engrd 241 Focus:
Linear 2nd-Order PDE's of the general form
2u

2u
2u
A 2 +B
+C 2 +D =0
xy
x
y
u(x,y), A(x,y), B(x,y), C(x,y), and D(x,y,u,,)
The PDE is nonlinear if A, B or C include u, u/x or u/y,
or if D is nonlinear in u and/or its first derivatives.
Classification
B2 4AC < 0 > Elliptic
(e.g. Laplace Eq.)
B2 4AC = 0 > Parabolic
(e.g. Heat Eq.)
B2 4AC > 0 > Hyperbolic (e.g. Wave Eq.)
Each category describes different phenomena.
Mathematical properties correspond to those phenomena.
7

Partial Differential Equations (PDE's)

Elliptic Equations (B2 4AC < 0) [steady-state in time]
typically characterize steady-state systems (no time derivative)
temperature
torsion
pressure
membrane displacement
electrical potential
closed domain with boundary conditions expressed in terms of

u
u
(in terms of

u(x, y),

and

u
)
y

Typical examples include

0

Laplace Eq.
u u
2u
+
=
u u
2
2 D(x, y, u,
, ) Poisson Eq.
x
y

x y

A = 1, B = 0, C = 1

==> B2 4AC = 4 < 0

Elliptic PDEs

Boundary Conditions for Elliptic PDE's:

Dirichlet:

u provided along all of edge

Neumann:

u provided along all of the edge (derivative

in normal direction)

Mixed:

u provided for some of the edge and

u
for the remainder of the edge

Elliptic PDE's are analogous

to Boundary Value ODE's
9

Elliptic PDEs
u(x,y =1) or u/y given on boundary

u(x=0,y)
or
u/x
given
on
boundary

Estimate
u(x)
from
Laplace
Equations

u(x=1,y)
or
u/x
given
on
boundary

u(x,y =0) or u/y given on boundary

x
10

Parabolic PDEs
Parabolic Equations (B2 4AC = 0) [first derivative in time ]
variation in both space (x,y) and time, t
typically provided are:
initial values:
u(x,y,t = 0)
boundary conditions:
u(x = xo,y = yo, t) for all t
u(x = xf,y = yf, t) for all t

all changes are propagated forward in time, i.e., nothing goes

backward in time; changes are propagated across space at
decreasing amplitude.

11

Parabolic PDEs
Parabolic Equations (B2 4AC = 0)

[first derivative in time ]

Typical example: Heat Conduction or Diffusion

(the Advection-Diffusion Equation)
u
2u
u
1D :
= k 2 + D(x, u, )
t
x
x

A = k, B = 0, C = 0 > B2 4AC = 0
2u 2u
u u
u
2D :
= k 2 + 2 + D(x, y, u, , )
x y
t
y
x

= k 2u + D
12

Parabolic PDEs

u(x=0,t)
given
t
on
boundary
for all t

Estimate
u(x,t)
from
the Heat
Equation

u(x=1,t)
given
on
boundary
for all t

u(x,t =0) given on boundary

as initial conditions for u/t

x
13

Parabolic PDEs

c(x,t) = concentration
at time, t, and distance, x.
x=0

x=L

An elongated reactor with a single entry and exit point

and a uniform cross-section of area A.
A mass balance is developed for a finite segment x
along the tank's longitudinal axis in order to derive a
differential equation for concentration (V = A x).
14

Parabolic PDEs

x=0

x=L

c
c(x)
c(x)
V
= Q c(x) Q c(x) +
x D A
t
x
x

Flow in
Flow out
Dispersion in
c(x) c(x)
+ DA
+
x k V c(x)
x x
x
Decay
Dispersion out
reaction

As t and x ==> 0

c
c
2c Q c
==>
=D 2
kc
A x
t
t
x
15

Hyperbolic PDEs
Hyperbolic Equations (B2 4AC > 0)

[2nd derivative in time ]

variation in both space (x, y) and time, t

requires:
initial values: u(x,y,t=0), u/t (x,y,t = 0) "initial velocity"
boundary conditions:
u(x = xo,y = yo, t) for all t
u(x = xf,y = yf, t) for all t

all changes are propagated forward in time, i.e., nothing goes

backward in time.

16

Hyperbolic PDEs
[2nd derivative in time]

Hyperbolic Equations (B2 4AC > 0)

Typical example: Wave Equation

1D :

2u
x

1 2u
2

c t

+ D(x, y, u,

u u

x t

)=0

A = 1, B = 0, C = -1/c2 ==> B2 4AC = 4/c2 > 0

Models
vibrating string
water waves
voltage change in a wire
17

Hyperbolic PDEs

u(x=0,t)
given
t
on
boundary
for all t

Estimate
u(x,t)
from
the Wave
Equation

u(x=1,t)
given
on
boundary
for all t

u(x,t =0) and u(x,t=0)/t

given on boundary
as initial conditions for 2u/t2
Now PDE is second order in time
18

Numerical Methods for Solving PDEs

Numerical methods for solving different types of PDE's reflect the different
character of the problems.
Laplace - solve all at once for steady state conditions
Parabolic (heat) and Hyperbolic (wave) equations.
Integrate initial conditions forward through time.

Methods
Finite Difference (FD) Approaches (C&C Chs. 29 & 30)

Based on approximating solution at a finite # of points, usually

arranged in a regular grid.
Finite Element (FE) Method (C&C Ch. 31)
Based on approximating solution on an assemblage of simply shaped
(triangular, quadrilateral) finite pieces or "elements" which together
make up (perhaps complexly shaped) domain.
In this course, we concentrate on FD
applied to elliptic and parabolic equations.
19

Finite Difference for Solving Elliptic PDE's

Solving Elliptic PDE's:

Solve all at once

Liebmann Method:
Based on Boundary Conditions (BCs) and finite
difference approximation to formulate system of
equations
Use Gauss-Seidel to solve the system
0
Laplace Eq.

u u
u u
+
=

D(x, y, u, , ) Poisson Eq.

2
2
x
y

x y
2

20

Finite Difference Methods for Solving Elliptic PDE's

1. Discretize domain into grid of evenly spaced points
2. For nodes where u is unknown:
2u
x2
2u
y2

=
=

u i 1, j 2u i, j + u i +1, j

( x ) 2
u i, j1 2u i, j + u i, j+1

( y) 2

+ O( x 2 )
+ O( y 2 )

w/ x = y = h, substitute into main equation

2

u
x

u
y

u i 1, j + u i +1, j + u i, j1 + u i, j+1 4u i, j

+ O(h 2 )

3. Using Boundary Conditions, write, n*m equations for

u(xi=1:m, yj=1:n) or n*m unknowns.
4. Solve this banded system with an efficient scheme. Using
Gauss-Seidel iteratively yields the Liebmann Method.
21

Elliptical PDEs
The Laplace Equation

The Laplace molecule

=0

j+1

j-1

If x = y then

i-1

i+1

Ti+1, j + Ti1, j + Ti, j+1 + Ti, j1 4Ti, j = 0

22

Elliptical PDEs
The Laplace molecule: Ti+1, j + Ti1, j + Ti, j+1 + Ti, j1 4Ti, j = 0
T = 100o C

T = 0o C

1,1

1,2

1,3

2,1

2,2

2,3

3,1

3,2

3,3

The temperature distribution

can be estimated by discretizing
the Laplace equation at 9 points
and solving the system of linear
equations.

T = 100o C

T = 0o C
T11

T12

T13

T21

T22

-4
1

0
1
0
0

0
0
0

1
-4
1
0
1
0
0
0
0

0
1
-4
0
0
1
0
0
0

1
0
0
-4
1
0
1
0
0

0
1
0
1
-4
1
0
1
0

T23

0
0
1
0
1
-4
0
0
1

T31

0
0
0
1
0
0
-4
1
0

T32

0
0
0
0
1
0
1
-4
1

T33

0 T11 -100
0 T12 -100
0 T13 -200
0 T21 0
0 T22 = 0
1 T23 -100
0 T31 0
1 T32 0
-4 T33 -100

Excel
23

Solution of Elliptic PDE's: Additional Factors

Primary (solve for first):
u(x,y) = T(x,y) = temperature distribution
Secondary (solve for second):
T
T
and q y = k
heat flux: q x = k
x
y
obtain by employing:

T Ti+1, j Ti1, j
T Ti, j+1 Ti, j1

x
y
2x
2y
then obtain resultant flux and direction:
qy
2
2

1
qn = qx + q y
= tan
qx > 0
qx
1 q y
= tan +
qx < 0
qx
(with in radians)

24

Elliptical PDEs: additional factors

T = 100o C
50.0 71.4 85.7

T = 0o C

28.6

50

14.3 28.6

T = 0o C

71.4
50

T = 100o C

Ti +1, j Ti1, j
T
k
q x = k
x
2x
Ti, j+1 Ti, j1
T
k
q y = k
y
2y
k' = 0.49 cal/scmC

At point 2,1 (middle left):

qx ~ -0.49 (50-0)/(210cm) = -1.225 cal/(cm2s)
qy ~ -0.49 (50-14.3)/(210cm) = -0.875cal/(cm2s)
q n = q x 2 + q y 2 = 1.2252 + 0.8752 = 1.851 cal /(cm 2 s)
1 q y

1 0.875
o
o
o
= tan = tan
=
+
=
35.5
180
215.5

1.225
qx
25

Solution of Elliptic PDE's: Additional Factors

Neumann Boundary Conditions (derivatives at edges)
employ phantom points outside of domain
use FD to obtain information at phantom point,
T1,j + T-1,j + T0,j+1 + T0,j-1 4T0,j = 0 [*]

If given

T
x

then use

to obtain

T T1, j Ti 1, j
=
x
2 x
T1, j = T1, j 2 x

Substituting [*]: 2T1, j 2 x

T
x

T
+ T0, j+1 + T0, j1 4 T0, j = 0
x

Irregular boundaries
use unevenly spaced molecules close to edge
use finer mesh
26

Elliptical PDEs: Derivative Boundary Conditions

The Laplace molecule: Ti+1, j + Ti1, j + Ti, j+1 + Ti, j1 4Ti, j = 0
T = 100o C

T = 75o C

1,1

1,2

1,3

2,1

2,2

2,3

3,1

3,2

3,3

Derivative (Neumann) BC at (4,1):

T T3,1 - T5,1
=
y
2y

T = 50o C

T
T5,1 = T3,1 2y
y

Insulated ==> T/ y = 0

Substitute into:

T4,2 + T4,0 + T3,1 + T5,1 4T4,1 = 0

To obtain:

T
T4,2 T4,0 + 2T3,1 2y
4T4,1 = 0
y
0

27

Parabolic PDE's: Finite Difference Solution

Solution of Parabolic PDE's by FD Method
use B.C.'s and finite difference approximations to formulate
the model

integrate I.C.'s forward through time

for parabolic systems we will investigate:
explicit schemes & stability criteria
implicit schemes
- Simple Implicit
- Crank-Nicolson (CN)
- Alternating Direction (A.D.I), 2D-space

28

Parabolic PDE's: Heat Equation

Prototype problem, Heat Equation (C&C 30.1):

1D

T
2T
=k 2
t
x

Find T(x,t)

2T 2T
T
2D
= k 2 + 2
Find T(x,y,t)

t
y
x
Given the initial temperature distribution
as well as boundary temperatures with
k'
= Coefficient of thermal diffusivity
k=
C
k' = coefficient of thermal conductivity
where: C = heat capacity
= density
29

Parabolic PDE's: Finite Difference Solution

Solution of Parabolic PDE's by FD Method
1. Discretize the domain into a grid of evenly spaces points
(nodes)

2. Express the derivatives in terms of Finite Difference

Approximations of O(h2) and O(t) [or order O(t2)]
2T

2T

x 2

y2

T
t

Finite
Differences

3. Choose h = x = y, and t and use the I.C.'s and B.C.'s

to solve the problem by systematically moving ahead in
time.

30

Parabolic PDE's: Finite Difference Solution

Time derivative:

Explicit Schemes (C&C 30.2)

Express all future (t + t) values, T(x, t + t), in
terms of current (t) and previous (t - t)
information, which is known.
Implicit Schemes (C&C 30.3 -- 30.4)
Express all future (t + t) values, T(x, t + t), in
terms of other future (t + t), current (t), and
sometimes previous (t - t) information.

31

Parabolic PDE's: Notation

Notation:
Use subscript(s) to indicate spatial points.
Use superscript to indicate time level: Tim+1 = T(xi, tm+1)

Express a future state, Tim+1, only in terms of the present state, Tim
T
2T
1-D Heat Equation:
=k
t
x 2
2 T Tim1 2Tim + Tim+1
2
=
+
O(

x)
Centered FDD
2
2
x
(x)
T Tim+1 Tim
=
+ O(t)
Forward FDD
t
t
Solving for Tim+1 results in:

Tim +1 = Tim + (Ti-1m 2Tim + Ti+1m)

with = k t /(x)2

Tim +1 = (1-2) Tim + (Ti-1m + Ti+1m )

32

Parabolic PDE's: Explicit method

t = 6 10

10

t = 5 10

10

t = 4 10

10

t = 3 10

10

t = 2 10

10

t=1
t=0

10

10
10

10

15

20
15
10
Initial temperature

10

10
33

Parabolic PDE's: Example - explicit method

T
2T
=k
Example: The 1-D Heat Equation
t
x 2

100 C

I.C.'s: T(0 < x < 10, t = 0) = 0

B.C.'s: T(x = 0, all t) = 100
T(x = 10, all t) = 50
with = k t / (x)2 = 0.262
Tim +1 = Tim +

Tim1 2Tim + Tim+1

X=0

t
Heat Eqn.
Example

0 C

50 C

k = 0.82 cal/scmoC, 10-cm long rod,

t = 2 secs, x = 2.5 cm (# segs. = 4)

X = 10 cm

)
34

Parabolic PDE's: Example - explicit method

T
2T
=k
Example: The 1-D Heat Equation
t
x 2
Tim +1 = Tim + Tim1 2Tim + Tim+1

Starting at t = 0 secs. (m = 0), find results at t = 2 secs. (m = 1):

T11 = T10 + (T00 +T10 +T20 ) = 0 + 0.262[1002(0)+0] = 26.2

T21 = T20 + (T10 +T20 +T30 ) = 0 + 0.262[02(0)+0] = 0
T31 = T30 + (T20 +T30 +T40 ) = 0 + 0.262[02(0)+50] = 13.1
From t = 2 secs. (m = 1), find results at t = 4 secs. (m = 2):

T12 = T11 + (T01 +T11 +T21 ) = 26.2+0.262[1002(26.2)+0] = 38.7

T22 = T21 + (T11 +T21 +T31 ) = 0+0.262[26.22(0)+13.1] = 10.3
T32 = T31 + (T21 +T31 +T41 ) =13.1 + 0.262[02(13.1)+50] = 19.3
35

Parabolic PDE's: Explicit method

t=6
t=4
t=2

Left
Bndry
100C

26.2

13.1

Right
Bndry
50C

t=0
0 C
Initial temperature
T11 = T10 + (T00 2T10 +T20 ) = 0 + 0.262[1002(0)+0] = 26.2
T21 = T20 + (T10 2T20 +T30 ) = 0 + 0.262[02(0)+0] = 0
T31 = T30 + (T20 2T30 +T40 ) = 0 + 0.262[02(0)+50] = 13.1
36

Parabolic PDE's: Explicit method

t=6
t=4
t=2

Left
Bndry
100C

38.7 10.3 19.3

26.2

13.1

Right
Bndry
50C

t=0
0 C
Initial temperature
T12 = T11 + (T01 2T11 +T21 ) = 26.2 + 0.262[1002(26.2)+0] = 38.7
T22 = T21 + (T11 2T21 +T31 ) = 0 + 0.262[26.22(0)+13.1] = 10.3
T32 = T31 + (T21 2T31 +T41 ) = 13.1 + 0.262[02(13.1)+50] = 19.3
37

Parabolic PDE's: Stability

We will cover stability in more detail later, but we will show that:
The Explicit Method is Conditionally Stable :

For the 1-D spatial problem, the following is the stability condition:
1
(x) 2
=

or
t
2
2
2k
(x)
1/2
can still yield oscillation (1D)
1/4
ensures no oscillation (1D)
= 1/6
tends to optimize truncation error
kt

We will also see that the Implicit Methods are unconditionally

stable.
Excel: Explicit
38

Parabolic PDE's: Explicit Schemes

Summary: Solution of Parabolic PDE's by Explicit Schemes

Advantages: very easy calculations,

simply step ahead
Disadvantage: low accuracy, O (t)
accurate with respect to time
subject to instability; must use "small" t's
requires many steps !!!

39

Parabolic PDE's: Implicit Schemes

Implicit Schemes for Parabolic PDEs

Express Tim+1 terms of Tjm+1, Tim, and possibly also Tjm

(in which j = i 1 and i+1 )
Represents spatial and time domain. For each new time,
write m (# of interior nodes) equations and simultaneously
solve for m unknown values (banded system).

40

The 1-D Heat Equation:

T
2T
=k
t
x 2

Simple Implicit Method. Substituting:

2T
x

Tim1+1 2Tim+1 + Tim+1+1

(x)

+ O(x) 2

T Tim+1 Tim
=
+ O(t)
t
t

Centered FDD
Backward FDD

results in: Tim1+1 + (1 + 2 )Tim +1 Tim+1+1 = Tim

with = k

(x) 2
1. Requires I.C.'s for case where m = 0: i.e., Ti0 is given for all i.
2. Requires B.C.'s to write expressions @ 1st and last interior
nodes (i=0 and n+1) for all m.
41

Parabolic PDE's: Simple Implicit Method

t = 6 10

10

t = 5 10

10

t = 4 10

10

t = 3 10

10

t = 2 10

10

t=1
t=0

10

10
10

10

15

20
15
10
Initial temperature

10

10
42

Parabolic PDE's: Simple Implicit Method

Explicit Method

m+1

Tim +1 = Tim + Tim+1 2Tim + Tim1

m
i-1

i+1

Simple Implicit Method

m +1

Tim = Tim1+1 + (1 + 2 ) Tim +1 Tim+1+1

m
i-1

i+1

with = k

t
(x)

for both
43

Parabolic PDE's: Simple Implicit Method

t=6
t=4
t=2

Right
Bndry
50C

Left
Bndry
100C

t=0
0 C
Initial temperature
At the Left boundary:

(1+2)T1m+1 - T2m+1 = T1m + T0m+1

Away from boundary: -Ti-1m+1 + (1+2)Tim+1 - Ti+1m+1 = Tim

At the Right boundary: (1+2)Tim+1 - Ti-1m+1 = Tim + Ti+1m+1
44

Parabolic PDE's: Simple Implicit Method

m = 3; t = 6
Left
Bndry
m = 1; t = 2 100C
m = 2; t = 4

T11

m = 0; t = 0

Let = 0.4

T21

T31

0 C
Initial temperature

T41

Right
Bndry
50C

1
0 T1 40
1.8 -0.4 0
-0.4 1.8 -0.4 0 T 1 0

2 =
0 -0.4 1.8 -0.4 T 1 0

3
0
0
-0.4
1.8

T 1 20
4
T11
27.6
T21 6.14
1 =

T3 4.03
1 12.0
T4

At the Left boundary: (1+2)T11 - T21 = T10 + T01

1.8 T11 0.4 T21 = 0 + 0.8*100 =
Away from boundary:

-Ti-11 + (1+2)Ti1 Ti+11 = Ti0

-0.4 T11 + 1.8 T21 0.4 T31 = 0 =
-0.4 T21 + 1.8 T31 0.4 T41 = 0 =

At the Right boundary: (1+2)T31 T21 = T30 + T41

1.8 Tim+1 0.4 Ti-1m+1 = 0 + 0.4*50) =

40
0
0

20
45

Parabolic PDE's: Simple Implicit Method

m = 3; t = 6
Left
Bndry
m = 1; t = 2 100C
m = 2; t = 4

T12

m = 0; t = 0

Let = 0.4

23.6

T22
6.14

T3

4.03

0 C
Initial temperature

T4

12.0

Right
Bndry
50C

2
0 T1 78.5
1.8 -0.4 0
-0.4 1.8 -0.4 0 T 2 6.14

2 =

0 -0.4 1.8 -0.4 T 2 4.03

3
0 -0.4 1.8
32.0
2
0
T4
T12

38.5
T22 14.1
2=

T3 9.83
2 20.0
T4
2

At the Left boundary: (1+2)T12 - T22 = T11 + T0

1.8 T12 0.4 T22 = 23.6+ 0.4*100 =
Away from boundary:

-Ti-12 + (1+2)Ti2 Ti+12 = Ti1

-0.4*T12+ 1.8*T22 0.4*T32 = 6.14 =
-0.4*T22 + 1.8*T32 0.4*T42 = 4.03 =

At the Right boundary: (1+2)T32 T42 = T31 + T42

1.8*T32 0.4*T42 = 12.0 + 0.4*50 =
Excel: Implicit

78.5
6.14
4.03

32.0
46

Parabolic PDE's: Crank-Nicolson Method

Implicit Schemes for Parabolic PDEs
Crank-Nicolson (CN) Method (Implicit Method)
Provides 2nd-order accuracy in both space and time.
Average the 2nd-derivative in space for tm+1 and tm.

2T
x 2

1 Tim1 2Tim + Tim+1 Tim1+1 2Tim+1 + Tim+1+1

2
O(
x)
=
+
+

2
2
2
(x)
(x)

T Tim+1 Tim
=
+ O(t 2 )
t
t

(central difference in time now)

Tim1+1 + 2(1 + )Tim +1 Tim+1+1 = Tim1 + 2(1 )Tim Tim+1

Requires I.C.'s for case where m = 0: Ti0 = given value, f(x)

Requires B.C.'s in order to write expression for T0m+1 & Ti+1m+1
47

Parabolic PDE's: Crank-Nicolson Method

xi-1
tm+1
tm+1/2
tm

xi

xi+1

Left
Bndry
100C

Right
Bndry
50C

0 C
Initial temperature
Tim1+1 + 2(1 + )Tim +1 Tim+1+1 = Tim1 + 2(1 )Tim Tim+1

Crank-Nicolson
48

Parabolic PDE's: Implicit Schemes

Summary: Solution of Parabolic PDE's by Implicit Schemes
Advantages:
Unconditionally stable.
t choice governed by overall accuracy.
[Error for CN is O(t2) ]
May be able to take larger t fewer steps
Disadvantages:
More difficult calculations,
especially for 2D and 3D spatially
For 1D spatially, effort same as explicit
because system is tridiagonal.

49

Stability Analysis of Numerical Solution to Heat Eq.

Consider the classical solution of the Heat Equation:
T
2T
=k 2
t
x
To find the form of the solutions, try:
T(x, t) = e at sin(x)

Substituting this into the Heat Equation yields:

- a T(x,t) = - k 2 T(x,t)
OR

a = k 2

T(x, t) = e

k2 t

sin(x)

Each sin component of the initial temperature distribution

decays as
exp{- k 2 t)
50

Stability Analysis
Consider FD schemes as advancing one step with a
"transition equation":
{Tm+1} = [A] {Tm}

with

{ }

with [A] a function of = k t / (x)2

Tm = T1m ,T2m ,L ,Tim ,L ,Tnm T

with zero boundary conditions

First step can be written:
{T1} = [A] {T0}
w/ {T0} = initial conditions
Second step as:
{T2} = [A] {T1} = [A]2{T0}
and mth step as:
{Tm } = [A] {Tm-1} = [A]m{T0}
(Here "m" is an exponent on [A])
51

Stability Analysis
{Tm } = [A]m{T0}

For the influence of the initial conditions and any rounding

errors in the IC (or rounding or truncation errors introduced
in the transition process) to decay with time, it must be the
case that || A || < 1.0
If || A || > 1.0, some eigenvectors of the matrix [A] can grow
without bound generating ridiculous results. In such cases
the method is said to be unstable.
Taking r = || A || = || A ||2 = maximum eigenvalue of [A] for
symmetric A (the "spectral norm"), the maximum
eigenvalue describes the stability of the method.
52

Stability Analysis
Illustration of Instability of Explicit Method (for a simple case)

Consider 1D spatial case: Tim+1 = Ti-1m + (1- 2)Tim + Ti+1m

Worst case solution: Tim = r m(-1) i

(high frequency x-oscillations

in index i)

Substitution of this solution into the difference equation yields:

r m+1 (-1) i = r m (-1) i-1 + (1-2) r m (-1) i + r m (-1) i+1
r = (-1) -1 + (1-2) + (-1) +1

or

r=14

If initial conditions are to decay and nothing explodes, we need:

1 < r < 1 or
0 < < 1/2.
For no oscillations we want:
0< r <1
or
0 < < 1/4.
53

Stability of the Simple Implicit Method

Consider 1D spatial:
Worst case solution:

+1
m+1
m+1
m
Tim
+
(1
+
2

)T

T
=
T
i
i +1
i
1
i

Tim = r m ( 1)

Substitution of this solution into difference equation yields:

i 1

r m+1 ( 1)

i +1

+ (1 2 ) r m+1 ( 1) r m+1 ( 1)

= r m ( 1)

r [ (1)1 + (1 + 2) (1)+1] = 1
or

r = 1/[1 + 4 ]

i.e.,

0 < r < 1 for all > 0

54

Stability of the Crank-Nicolson Implicit Method

Consider:
+1
m+1
m+1
m
m
m
Tim
+
2(1
+

)T

T
=

T
+
2(1

)T
+

T
1
i
i+1
i1
i
i+1

Worst case solution:

Tim = r m ( 1)

Substitution of this solution into difference equation yields:

i 1

r m+1 ( 1)

i +1

+ 2 (1 + ) r m+1 ( 1) r m+1 ( 1)
r

i 1

( 1)

+ 2 (1 ) r

=
i

( 1)

+ r

i +1

( 1)

r [ (1)1 + 2(1 + ) (1)+1] = (1)1 + 2(1 ) + (1)+1

or

r = [1 2 ] / [1 + 2 ]

i.e.,

| r | < 1 for all > 0

55

Stability Summary, Parabolic Heat Equation

Roots for Stability Analysis of Parabolic Heat Eq.
1.00

r(explicit)
r(implicit)
r(C-N)
analytical

0.50

0.00
0

0.25

0.5

0.75

1.25

-0.50

-1.00

56

Parabolic PDE's: Stability

Implicit Methods are Unconditionally Stable :
Magnitude of all eigenvalues of [A] is < 1 for all values of .
x and t can be selected solely to control the overall accuracy.
Explicit Method is Conditionally Stable :
kt
1
(x) 2

or t
Explicit, 1-D Spatial: =
2
2
2k
(x)
1/2
can still yield oscillation (1D)
1/4
ensures no oscillation (1D)
= 1/6
tends to optimize truncation error

Explicit, 2-D Spatial:

kt
h2

h2
or t
4k

(h = x = y)
57

Parabolic PDE's in Two Spatial dimension

2D

2T 2T
T
= k 2 + 2
x
t
y

Explicit solutions :
Stability criterion

Find T(x,y,t)

(x) 2 + (y)2
t
8k

if h = x = y ==>

kt
h

or

h2
t
4k

Implicit solutions : No longer tridiagonal

58

Parabolic PDE's: ADI method

Alternating-Direction Implicit (ADI) Method

Provides a method for using tridiagonal matrices for solving

parabolic equations in 2 spatial dimensions.
Each time increment is implemented in two steps:

first direction

second direction
59

Parabolic PDE's: ADI method

Provides a method for using tridiagonal matrices for solving
parabolic equations in 2 spatial dimensions.
Each time increment is implemented in two steps:
t+1

Explicit
Implicit

yi+1

yi
yi-1
xi-1

yi+1

yi
yi-1
xi-1

t+1/2
xi

xi+1
t

xi

xi+1

first half-step

second half-step
ADI example
60