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Volume 1 MaShematScal Modslling


Computational Heat Transfer

Volume 1 Mathematical Modelling

A. A. Samarskii P. N. Vabishchevich

Russian Academy of Sciences, Moscow

JOHN WILEY & SONS Chichester New York Brisbane Toronto Singapore

Computational Heat Transfer Volume 1 Mathematical Modelling A. A. Samarskii P. N. Vabishchevich Russian Academy of
Computational Heat Transfer Volume 1 Mathematical Modelling A. A. Samarskii P. N. Vabishchevich Russian Academy of
Computational Heat Transfer Volume 1 Mathematical Modelling A. A. Samarskii P. N. Vabishchevich Russian Academy of
Computational Heat Transfer Volume 1 Mathematical Modelling A. A. Samarskii P. N. Vabishchevich Russian Academy of


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Preface ................................................


Introduction ...........................................


Mathematical Modelling ..................................


Use of Computers for Mathematical Modelling ...............


Computational Experiment ................................


Numerical Modelling of Heat Transfer Processes ..............


Mathematical Models of Physics of Heat ...............


Heat Conduction in Solids


Closing Relations




Convective Heat Transfer


Thermal Radiation of Solids


Thermoelasticity .........................................


Bibliography and Comments ...............................


Analytical Methods of Heat Transfer ..................


Dimensionless Analysis ...................................


Analytical Solution of Linear Problems ......................


Exact Solutions of Nonlinear Problems


Asymptotic Methods of Heat Transfer



S t a t i o n a r y P r o b l e m s of Heat Transfer .................. Boundary Value Problems for Second-order Elliptic

Problems ...............................................

Construction of Difference Schemes ......................... Uniform Convergence of Difference Schemes .................. Convergence of Difference Schemes in an Energetic Space ..... Direct Methods for Solving Grid Equations .................. Iterative Methods of Linear Algebra ........................ Iterative Methods for Solving Grid Equations ................


Numerical Solution of Problems in Irregular Domains .........


Nonlinear Problems of Stationary Heat Transfer ..............


Bibliography and Comments ...............................


Nonstationary Problems of Heat Trasfer ............... Boundary Value Problems for Second-Order Parabolic

Equations ...............................................

Difference Schemes for Nonstationary Problems .............. Uniform Convergence of Difference Schemes for the Heat

Equation ................................................

Theory of Stability of Difference Schemes ................... Stability and Convergence of Difference Schemes for the Heat

Equation ................................................

Asymptotical Stability of Difference Schemes for the Heat

Equation ................................................ Hyperbolic Heat Equation .................................

Regularization of Difference Schemes ....................... Nonlinear Nonstationary Problems .........................

Bibliography and Comments ...............................

Economical Difference Schemes for Nonstationary

Heat Conduction Problems ............................


Implementation of Implicit Schemes on a Computer ..........


The Method of Alternating Directions ......................


Factorized Difference Schemes for the Heat Equation


Additive Difference Schemes ...............................


Locally One-dimensional Difference Schemes



Heat Conduction Problems with Phase Transi-

tions ...................................................


Variable Domain Methods .................................


Fixed Domain Methods ...................................


Transformation of Dependent Variables


Quasi-Stationary Stefan Problem ..........................


Modelling of Phase Transitions in Binary Alloys


Bibliography and Comments


Index ...........................................


Dedicated to the memory of Nikolai Nikolaevich Govorun


This book, published in two volumes, is devoted to mathematical modelling of heat transfer problems. Recently considerable progress in scientific re- search has been made due to powerful computational means involving both computers and numerical methods. Conventional analytical methods of applied mathematics are currently considered only to be auxiliary tools. Computational experiment employed in modern research involves three stages, namely the model, algorithm and computer code. The authors give a comprehensive review of methods employed in modern applied mathematics and describe the technology of computational experiment applied to the physics of heat, a thoroughly developed branch of science. The book is intended for both experts in mathematical modelling and those studying the field. The book might be of interest to specialists in mathematical modelling applied to other branches of science than heat transfer. The latter problems, on the one hand, are of keen interest, and the corresponding problems are studied thoroughly. On the other hand, mathematical models employed in heat transfer problems are very diverse and, hence, can he considered as typical of a wide range of investigations. The book can be used as a textbook for graduate students whose major is applied mathematical modelling. Depending on the audience, the emphasis in the course can be put on either theoretical or applied topics related to numerical methods. Some classes of applied problems can be comprehensively studied in optional or special courses. We hope that researchers dealing with numerical simulation will also find the subject matter useful. The reason is that a considerable portion of the material has not yet been published in monographs or textbooks. The presentation is based on conventional mathematics familiar to students specializing in applied mathematics. Elements of the operator theory in finite-dimensional Hilbert spaces comprise the core of the mathematical tools employed. We use only a minimal amount of mathematics that is necessary for a thorough and comprehensive consideration of numerical methods applied in mathematical physics. The authors think that the book can be useful for training engineering students. This is why we emphasized the algorithmic aspect of numerical methods, which affected the choice of topics covered and the style of



presentation. We describe the solution of some particular problems, report the results and include the codes in the text to make the book useful to a large audience of readers. A great number of books for engineers are devoted to numerical simulation of various heat transfer problems. The authors of many of them consider only foundations of numerical mathematics to make their texts understandable for engineers. In addition, a lot of references to original works are given without any attempt to analyse them. We tried to match the state-of-the- art in the theory and applications of numerical methods rather than to cover these topics superficially. From our viewpoint, training of specialists in applied fields should be based on this, somewhat more advanced, mathematical level. Nowadays numerical simulation is intensively used for solving twwdimen- sional nonstationary nonlinear problems in mathematical physics. Therefore we selected as the examples tw+dimensional problems that are well studied and securely treated in practice , although in simple computational domains. Computational algorithms considered are used as a base for original investi- gations of more complex problems. Control problems and inverse heat exchange problems are important applied problems. This book is probably the only one available at the moment where all three basic problems of mathematical physics, namely the direct, control and inverse problems for partial differential equations, are considered in great detail. The theory of numerical methods of mathematical physics develops in several directions. First, we should mention finite difference and finite element methods. The former are considered throughout the book. The two approaches differ in the way problems are discretized, i.e. constructing systems of algebraic equations. For regular grids in regular domains studied in the book, the difference between the two, if any, is minor. Another reason in favour of difference methods is a wide experience in solving numerically nonstationary nonlinear problems for partial differential equations, in particular heatjmass transfer problems. This book is concerned with several aspects of applied mathematical research. This first volume is divided into seven chapters. In the Introduction (Chapter 1) we describe in general applied mathematical modelling and use of computational tools. In Chapter 2, we briefly describe mathematical models of physics of heat and classify the principal problems. We mainly selected the material associated with heatjmass exchange involving solids. Therefore, important applied problems of heatjmass exchange via radiation, for example, are only considered in an approximation of surface radiation. A study of an applied problem starts with conventional (analytical) methods of applied mathematics. Much attention is paid to the solution of simplified problems. Some illustrative examples of implementation of analytical methods in typical heat transfer problems are given in Chapter 3.



Chapters 4-6 comprise the core of the book. They deal with the solution of classical heat transfer problems by finite difference methods. In Chapter 4 we describe the numerical solution of stationary problems. We first recall some fundamental results of the theory of partial differential equations. In particular, we formulate the classical maximum principle for stationary equations, which has a clear thermophysical interpretation. We construct difference equations so that they preserve the main properties of a differential problem. We discuss the construction of difference schemes for stationary problems and describe both direct and iterative methods for finding an approximate solution. The same topics are covered in Chapters 5 for nonstationary problems. We pay particular attention to general stability theory for difference schemes. In order to examine particular schemes, we verify whether necessary and sufficient conditions, formulated as simple operator inequalities, are satisfied. Economical difference schemes (schemes of alternating directions, locally one- dimensional schemes, etc.) are considered in Chapter 6. Chapters 7-10 deal with numerical simulation of specific problems of heat exchange. The presentation is based on the difference methods studied for solving stationary and nonstationary problems in heat transfer. In Chapter 7 we study heat transfer problems with phase transitions involving a solid phase. We consider the classical Stefan problem and discuss modelling of melting/solidification of binary alloys. In the second volun~eof this book, starting with Chapter 8, solution techniques for complicated heat transfer problems are presented. In Chapter 8 we investigate special features of heat radiation from the surface of a solid. For example, when modelling heat exchange in a concave body, it is necessary to take into account radiation from separate parts of the boundary. Convective heat transfer problems (Chapter 9) comprise an important class of heat exchange problems. For these problems we introduce general families of monotonic difference schemes, for which the maximum principle holds. The heat/mass transfer is considered in the Boussinesq approximation. We discuss the solution of these problems both in the natural variables 'velocity- pressure' and in the variables 'vortex-stream function'. We also suggest the boundary layer approximation. In Chapter 10 numerical methods are used to solve problems in thermoelasticity. For example, the thermoelastic state of a solid with a rectangular cross-section and that of a thin plate are simulated. Thermal process control problems are covered in Chapter 11. We briefly discuss gradient methods, which are the base for numerical solution of the control problems. We distinguish control problems for steady- and unsteady- state sources of heat and for various quality criteria (functionals). Problems of controlling the boundary regime constitute another important class of applications.



The main classes of inverse problems are presented in Chapter 12. The heat conduction problems are solved approximately for the cases in which initial values, boundary regimes or coefficients in equations are recovered. Stability of the solution is studied by perturbation of either original differential (quasi-inversion methods) or difference (regularization of difference schemes) equations. Chapter 13 deals with practice of numerical modelling by the methods presented. We take actual two-dimensional problems of heat transfer as examples. First, we pose a problem and separate the dimensionless parameters of that problem. Then we construct in detail numerical algorithms and give FORTRAN codes. Finally, we describe computational results and present program source listings. Throughout the book, except for the sections Bibliography and Comments, there are no references to other works. We used more space than usual to make the presentation complete. As a result, the book became more convenient for study. No systematic analysis of existing literature on the subject is attempted. We only referred to the work that we used in the book and that can be used by the reader as well to study certain topics more carefully. There are several reasons for not presenting references to original work. In any case, the choice of reference literature from the vast variety of publications would reflect the authors' preferences, demand some research of priority, etc. In particular, the extended list of references would inevitably include more work by Russian authors. We worked on this book in the stimulating and creative atmosphere of the Chair of Computational Methods at the Department of Computational Mathematics and Cybernetics at the M. V. Lomonosov Moscow State University and the Institute of Mathematical Modelling of the Russian Academy of Sciences. We are grateful to our colleagues and disciples for their assistance at different stages of the work. The authors are particularly indebted to M. M. Makarov for his help in preparing the FORTRAN codes listed in the book. In view of the complexity of the work undertaken and inevitable omissions, the authors will appreciate all criticism and suggestions concerning the book.

Aleksander 4. Samarskii Petr N. Vabishchevich


We start by discussing the general problems of implementation of mathe- matical methods in research. Numerical modelling and computers are cur- rently widely used and contribute substantially to theoretical investigation. Since actual experiments become available, we need to relate experiment with theoretical investigations. Therefore, we can speak of new methods of research that combine theoreti- cal and experimental approaches and are based on up-twdate mathematical modelling. The tools of research considered here involve computational experiment that is supposed to he the most advanced stage of mathematical modelling because of the availability of computers and numerical methods for analysing mathematical models. We shall briefly describe various types of mathematical modelling, empha- sizing specific features of using the conventional tools of applied mathematics in modern research and the role of computational algorithms and associated software.

1.1 Mathematical Modelling

Modelling has been widely employed when solving applied problems in different branches of technology and is based on studying the properties and characteristics of various objects using natural or artificial analogues (models). Thus, modelling, in this wide context, implies constructing some models and analysing these models after they have been constructed. Any model involves simplification of an object being modelled. A model cannot embrace all properties of an object and is only intended to render those that are of interest. In other words, a model is simpler than the original object and, what is most important, the model is more convenient and easier to handle than the object.



In order to investigate an object in detail, several models are employed, each of them simulating some of its characteristics, and even the same property can be studied by different models. Models vary in the extent of qualitative and quantitative adequacy as to the object studied, and modelling turns out to be successful if an adequate model or a set of models has been chosen. Logically, this choice is subjective and is based on all available experimental and theoretical knowledge of the object as well as on all the previous experience in modelling. Various models can be classified into physical and mathematical models. Mathematical models are most typical ideal (theoretical) models for investiga- tion in natural sciences. Physical models are material (objective) models that simulate some number of properties of the object studied and are of the same nature as this object. A model of an object rather than the object itself is studied experimentally in physical modelling. Physical models have an important advantage over mathematical ones, namely, they can possess those properties of an object that, for some reason, cannot be incorporated into mathematical models. For example, this is the case if there is no mathematical model or available models are so complicated that they cannot be analysed with the required degree of completeness. Thus, physical modelling is sometimes the only way we can obtain reliable information about an object. Physical modelling is based on the theory of similarity. In addition to geometrical similarity (similarity of shape), physical similarity between the model and the object is required. This implies that the values of physical quantities for the object should be proportional to those for the model at the corresponding points of space and at the corresponding moments in time. The main idea of this type of modelling is that the values of some dimensionless similarity criteria should be the same for the model and the object. In mathematical modelling, the analysis of mathematical models of an object replaces the investigation of properties and characteristics of the object proper. Mathematical models are studied by means of applied mathematics. Currently, computers are widely used for mathematical modelling as well as methods of numerical analysis. Nowadays mathematical concepts are often used in natural sciences, humanities, and technology. Some people even use the extent to which mathematics is used in a branch of science to judge the level of development of this branch. The familiar aphorism says: 'The more mathematics is involved, the more scientific is the knowledge.' At the first stage we neglect the specific nature of a phenomenon, generalize it, and isolate its mathematical form (i.e. construct a mathematical model). At the second stage we investigate mathematical models as purely mathe matical abstract objects and use the general purpose mathematical tools as well as those specially constructed for the purpose. Computers and numerical



methods now make it possible to study mathematical models. At the third stage we interpret a model, i.e. render a specific meaning to mathematical abstractions. An expert in applied mathematical modelling in collaboration with experts in an applied area always recognizes their practical application. Mathematical modelling is somewhat heuristic because a mathematical rather than an actual experiment is carried out. Instead of studying an effect on the object, we study the mathematical model parametrically, i.e. how the solution depends on parameters. This experiment supplements an actual experiment, which allows us to better understand a phenomenon or a process.

1.2 Use of Computers for Mathematical Modelling

The advent of computers and rapid development of numerical analysis have substantially enlarged the possibilities of mathematical modelling. With the aid of computers and numerical methods we can solve a lot of problems that could not be solved before with sufficient accuracy, and in a reasonable time period realize large projects in science and technology. As an example note that computers are used for launching and monitoring space vehicles, processing the data from seismic prospecting of minerals, numerical modelling of aerodynamical properties of an aircraft, contour computer tomography in medicine, and so on. Computers have even found application in pure mathematics; we only mention compelling computations on a computer, solution of the famous four-colour problem, etc. New branches of knowledge based on using computational tools are rapidly developing for theoretical investigation of applied problems. In this connection, we should mention computational physics, computational geometry, and computational algebra which logically include computational heat transfer. Investigation of mathematical models essentially involves qualitative ana- lysis and derivation of an exact or an approximate solution. Computers can be used not only to find an approximate solution numerically but also to investigate a mathematical model qualitatively. Qualitative investigation starts with dimensional analysis. The problem is reduced to a dimensionless form in order to decrease the number of parameters that define the problem. Some dimensionless parameters turn out to he small or large, and the problem can then he substantially simplified and its specific features taken into account when developing numerical methods for its solution. The mathematical model itself can he complicated and nonlinear and often cannot be studied by conventional methods of applied mathematics. Therefore, in most cases simpler (but still relevant to the original problem)



models are used for qualitative analysis. In this case, we speak of model (or simplified) problems for the main mathematical problem (models for a model). When qualitatively investigating a mathematical problem, much attention is paid to how well it is posed. First of all, the existence of a solution is studied. The corresponding strict results (existence theorems) ensure that the model is correct. Besides, constructive proofs of the existence theorem for a problem can often be used as a basis for approximate methods for solving the problem itself. Stability of solution with respect to small perturbations in initial data is important in applied mathematical modelling. Inverse problems are of- ten unstable, and this should be taken into account when constructing approximate solutions. Nonlinear mathematical models can have multiple solutions. Qualitative analysis of mathematical models includes the study of branching points, bifurcations of solutions, problems of how to single out the desired solu- tion, etc. Methods of qualitative analysis for different types of mathematical models have been developed to different extents. For example, qualitative methods led to the most impressive results for ordinary differential equations. Qualitative methods are also employed in the theory of partial differential equations, although to a smaller extent. An important example we should mention is the maximum principle for second-order parabolic and elliptic equations, which is related to mathematical models of heat transfer. This principle can be used to qualitatively investigate mathematical models based on partial differential equations. An exact or approximate solution is found by analytical or numerical methods. Classical examples of analytical methods include the method of separation of variables and the method of integral relations for linear problems in mathematical physics. Methods of linearization and different versions of perturbation methods are significant for nonlinear mathematical models. This approach is based on asymptotic expansions with respect to a certain small parameter. Much consideration is given to these methods when studying singularly perturbed problems. Qualitative behaviour of a nonlinear problem can be well represented by some of its specific solutions. Specific solutions are sought using automodel variables and the results of group analysis applied to equations that underlie the mathematical model. Complex nonlinear multiparameter models can be investigated on a com- puter by numerical methods. Unlike an analytical solution, which provides explicit dependence on some initial data of the problem, numerical methods require repetitive solution of the problem for every value of a parameter. However, an analytical solution can rarely be found for nonlinear problems,



fundamental postulates and comparing these corollaries with experimental data. Fundamental models cannot be derived from an experiment; however, they can be suggested by one. Corollaries of fundamental models, which we call applied models, should be compared with experiment. This comparison is a criterion for the suitability of the fundamental model itself. Creation of a new fundamental model leads to revision of general laws and the very theoretical ground of the science. Mathematical methods are logically used for investigating corollaries of fundamental models. This is why we usually discuss applied mathematical modelling, which implies that we deal, to a certain extent, with applied mathematical models. The modern stage of development of mechanics, physics, and technology is characterized by complex fundamental models that lead to more and more complex and more advanced mathematical models. However, possibilities of mathematical methods increase as well. Let us make some remarks on using mathematical methods in experiments. An experimenter, in the most general scheme of his or her investigation, affects the object studied, collects information about the results of this influence, and processes it. Results of each experiment are processed statistically. Empiric relationships that interpolate the experimental data to some accuracy are constructed to assess qualitatively the influence of distinct factors (parameters). In this case, we speak of using approximating mathematical models in which there are no significant mathematical models. Deriving criterion dependencies in physics of heat gives an example of approximating models. Nowadays, more and more advanced devices are used in experiment. These devices necessarily perturb a phenomenon or a process studied. In order to get rid of these perturbations, a mathematical model of a device is constructed. Experimental investigations are often carried out by integrated measuring and computing systems that can obtain, store, and process experimental data. When processing experimental data, we often deal with inverse problems. Methods for numerical solution of these problems are now rapidly developing. Thus, computational means are used more and more widely on the stage of processing and interpreting experimental data.

1.3 Computational Experiment

Theoretical and experimental studies are to a great extent autonomous. If fundamental models are common and approved, we can pose the problem of a closer relationship between theoretical and experimental investigations. We mean thereby a new integrating technology of scientific research called

computational ezpen'rnent.






TI investigation



under study

of the model

Fig. 1.1.

Let us first give a general scheme of computational experiment and then briefly describe its main stages. A more detailed description of computational experiment is presented in the following chapters. We think a computational experiment to be, in a narrow sense, the creation and investigation of mathematical models for an object studied by computational means. In this sense a computational experiment basically includes the triad 'model- algorithm-code'. In a wide (methodological) sense, we consider computational experiment to be a new technology of scientific research. The main stages of computational experiment are shown in Fig. 1.1. We only deal with deterministic objects, inherent to heat transfer. For probabilistic objects, different mathematical means are used. Firstly, a mathematical model is constructed for the object studied. The model is based on conventional fundamental models. Numerical experiment actually assumes an investigation of a group of close models. Firstly, a simple model is constructed that, however, is significant and complete from the viewpoint of description of processes studied and closeness to experimental data. This model is then refined in the computational experiment, new parameters are involved, etc. Hence, we can (moreover, must) speak of a set, more exactly an ordered set (hierarchy), of mathematical models, each describing reality with a certain accuracy. We should attain agreement with experiment within the framework of the simplest model. As soon the mathematical model is constructed, it is preliminarily in- vestigated by the standard means of applied mathematics. The essence of computational experiment is to investigate mathematical models on computers by numerical methods. However, we now discuss only the pre liminary investigation of the mathematical model. At this stage, the well- posedness of the problem is studied as completely as possible to the level of accuracy accepted in mathematics. The essence of the preliminary investigation is to single out test (simplified) problems and study them thoroughly, because the complete mathematical



model is very complicated. Test mathematical problems are constructed in computational experiment for two purposes: firstly, to qualitatively investigate the complete problem (and, hence, the object under study) and, secondly, to test numerical algorithms for approximate solution of the complete problem. When qualitatively investigating test (simplified) problems, multiplicity of solutions, their stability, etc. are studied. Specific solutions of essentially nonlinear problems, asymptotic solutions, etc. are important as well. Thus, conventional mathematical tools are used at this stage. The next stage of computational experiment includes construction of a discrete problem and a numerical method for its solution. The mathematical model usually involves partial differential equations (the kernel of the mathematical model) or systems of differential and algebraic equations. Numerical algorithms are constructed and studied by means of numerical analysis. There are two trends in scientific research here. According to traditions (paradigm) of pure mathematics, some investigators study discrete models and numerical methods for their analysis without any reference to applied modelling, realization on a computer, or solving an applied problem. They rigorously prove the existence of solutions for discrete problems, derive theoretical estimates of the discrepancy of an approximate solution, and study the convergence of the iterative process. Scientists that belong to the applied direction in numerical analysis use a somewhat different ('physical') level of accuracy, which operates with such nonstrict concepts as 'practical convergence', 'real grids', etc. Requirements for complete severity in applied mathematical modelling do not lead to good results. Numerical experiment has two characteristics, which should be taken into account when creating adequate software. The first one is multivariant computation within the framework of a fixed mathematical model, while the second is availability of several models. It is impossible to get by with one computer code because it is necessary that this code be easily transformed to solve similar problems (for a set of models). Software for computational experiment includes applications software and applications packages. Applications software is designed for solving similar problems (with respect to their mathematical nature) from the same branch. It includes libraries of program modules, more or less independent, that comprise applications programs. In applications software, programs are constructed from modules by hand. In applications packages, system software is used to construct programs, thus this process is essentially automatic. Software packages can be trea- ted as a technology for solving problems within the framework of com- putational experiment. They can be effectively used to accumulate and make the best use of available software and increase the productivity


Then, in the cycle of a computational experiment, a series of test com- putations is performed on a computer for different values of parameters of the problem. Applied specialists then analyse and interpret the data obtained. The results are processed taking account of theoretical views and experimental data. This is done, to a large extent, using traditions of classical actual experiment. The experimental data are represented as tables, graphs, photographs of display, films, etc. It should he kept in mind that the amount of information to process and detail the results obtained in computational experiment is incomparably larger than in the actual experiment. Problems associated with storing and processing information in computational experiment become more and more important. When analysing the results, one resolves whether the mathematical mo- del and its numerical realization have been chosen successfully. If neces- sary, models and numerical methods are refined, and the whole cycle of computational experiment repeated. To characterize computational experiment as a whole, it is very important to note that it is universal. Therefore this technology can easily be extended to include investigation of other objects. This is a characteristic of mathematical modelling, which is due to the fact that many phenomena and processes have the same mathematical models. Since computational experiment is general-purpose, it allows researchers to use the accumulated experience of mathematical modelling and banks of numerical algorithms and software to solve new problems quickly and effectively. The second characteristic of computational experiment as a technology of scientific research is its interdisciplinary character. We constantly emphasize this when saying that an applied mathematician has actually combined a theorist and an experimenter to reach the common goal faster. Numerical experiment can be considered as a convenient form of cooperation in mental activity to increase its productivity. Theorist, experimenter, applied mathematician, and programmer work together in the united cycle of computational experiment. We can mention the following advantages of computational experiment as compared with actual experiment. Firstly, computational experiment is carried out even when actual experiment is impossible. As an example, we can investigate heat processes with thermonuclear parameters (explosion of a nuclear bomb is now the only way to attain these ~ararneters). Secondly, computational experiment sharply decreases the costs of research and saves time. This is due to the fact that computations are multivariant and mathematical models for simulating real conditions are easy to modify. Development of new products and technologies is associated with hard, expensive, and long procedure. It is this stage where computational means substantially economize on time and money.



Data of experimental investigations are used for calibration of mathematical



Following a

accuracy control of





solutions to




investigation, we affect


mathematical model and process the results (this is why we speak of experiment, although computational). It is rare that we control the accuracy of our 'device' by comparing it with a standard. Following a trend of theoretical investigation, in computational experiment we deal with a mathematical model rather than with the object itself. These common features are considered as additional arguments in favour of treating computational

experiment in a wide (methodological) sense as an integrating technology of scientific research. Computational experiment should be considered as a new technology of scientific research in future, as a trend, as a logic in the development of research organization. Currently it is generally realized in a narrow sense, along the chain 'customer-applied mathematician'. A closer relationship between theoretical and experimental investigations in a unique technology of scientific research is now a clearly defined trend. It is remarkable that computational experiment is the major link in this methodology. Let us now briefly describe the main branches of science and technology in which computational experiment is employed. We pay much attention to classification of types of experiment with respect to applications and types of mathematical models involved. This self-consistent classification helps a researcher to use adequate mathematical means for investigating mathematical models. Mathematical modelling has been traditionally developed within the context of fundamental sciences, namely in mechanics and physics. These sciences are characterized by the highest level of theoretical investigations (in other words, by the highest level of using mathematics). Modern mathematical methods, including numerical methods, have been successfully introduced in these sciences. For example, there are conventional mathematical models employed in heat physics as well as the collection of basic problems. Therefore, primary attention is paid there to construction of computational algorithms and creation of versatile software. The mathematical arsenal of an engineer or technologist is substantially poorer. Up to now, scientific knowledge in technology is introduced indirectly. New ideas first appear in fundamental sciences, then they are transformed in an applied branch, and only after that are they employed in specific technology projects and developments. This refers first of all to implementation of modern mathematical methods of theoretical investigation, mathematical modelling, and computational experiment. This approach to transforming ideas into a specific scientific and technology solution or a new technology is unwarrantedly long and wasteful.

In modern conditions, mathematical methods should be universally intro- duced in science and technology. Mathematical modelling of technological processes is expected to he of great benefit and actually leads to a new qualitative level of technology. Technology and industry are the fertile ground for mathematical modelling. We specify three main types of computational experiment, namely sear- ching, optimizing, and diagnostic experiments. This classification is made, on the one hand, with respect to application fields and, on the other, with respect to the nature of mathematical models employed. In order to explain this, let us consider each type in more detail. The usual approach to studying a new process or phenomenon is to construct a mathematical model and to perform computations while varying parameters of the problem. This type of computational experiment is called a searching experiment. If the mathematical model is based on partial differential equations, a direct problem of mathematical physics is investigated and solved within the cycle of computational experiment. As a result, we describe observable phenomena, predict the behaviour of the object studied under different, probably unreal, conditions. This type

of computational experiment

is typical



in fundamental

sciences. On the other hand, an optimizing computational experiment can be taken as the main one when mathematically simulating technological processes. It includes solving an optimization problem to reduce expenses, lighten construction, etc. The corresponding optimal control or optimization problem is posed for the mathematical problem formulated. A typical example is provided by optimal control problems for equations of mathematical physics, e.g. for boundary control, where boundary conditions are chosen so as to minimize the appropriate functional (the quality functional). In this case, multivariant computations are carried out to adjust control parameters, which results in an optimal, in a sense, solution. When processing data of actual experiments, a diagnostic computational experiment is employed. Additional indirect measurements are used to draw a conclusion about internal links of a phenomenon or process. If the structure of a mathematical model for the process studied is specified, an identification problem is posed, e.g. coefficients of the model are determined. Diagnostic computational experiment usually corresponds to an inverse problem of mathematical physics. We often encounter a situation in which there is no mathematical model for the process or phenomenon studied, and it is impossible to construct such a model. This situation is typical, in particular, for processing data of an actual experiment. Then processing is made in a 'black-box' regime and we deal with approximating models.



Thus, direct problems are correspondent with computational experiment, optimization problems with optimizing experiment, and inverse problems with diagnostic experiment.

1.4 Numerical Modelling of Heat Transfer Processes

Let us use the simplest model of heat transfer, namely the onedimensional heat equation, to specify types of computational experiment and describe main classes of problems of applied modelling. Let us consider a thin cylindrical rod with thermally insulated lattice surface. We assume that one end is thermally insulated, while a specific thermal regime is specified at the other. The temperature T(x, t) is determined by the heat equation

In equation (1) c is specific heat capacity, p is density, and k is thermal conductivity. Additionally, we pose the boundary conditions

and the initial conditions

T(x, 0) = To(x).


We study the influence of nonlinear thermal coefficients c = c(T), p = p (t), and k = k(T) on the process of heat propagation along the rod, i.e. we consider a direct initial boundary value problem (1)-(4). Even in this simple problem one can observe striking phenomena because the mathematical model is nonlinear. In particular, a heat wave propagates at a finite speed. This investigation can he related to a searching computational experiment. Let us consider an optimization problem within the framework of the same equations governing the process. We assume that it is necessary to maintain the temperature at the point x = 1 close to a given function g(t) controlling the temperature at the other end (a boundary control problem). In terms of mathematics, this problem is formulated as follows. Find a control v(t) such that the quality functional



where t,,, is the time of observation, is minimal. Here T(x,t) is specified as a solution of equation (1) equipped with conditions (2)-(4). Such a minimization problem is typical of an optimization computational experiment. Of course, this is the simplest formulation of the prohlem. The actual situation can be aggravated by more complex equations, quality functionals, which can be nonunique, etc. In such complicated situations one often has to limit oneself to the simplest search methods for solving optimization prohlems. Finally, let us consider one example to illustrate a diagnostic experiment. We pose a problem to find a boundary (thermal) regime at the left end of the rod (with x = 0) which is inaccessible for direct measurements. In addition, the temperature (i.e. the function g(t)) at the other end (with x = 1) is measured with an error. In terms of mathematics, the problem is formulated in the same fashion as the above optimal control problem. We should find a function u(t)

for which the functional in (5) is minimal, given additional

restrictions (1)-(4).

In this case, we have a typical inverse prohlem in an extremal formulation. In the theory of inverse problems this prohlem is considered as an inverse boundary value problem of heat conduction. It is absolutely necessary to demonstrate specific features of optimization (synthesis) problems as opposed to inverse problems. We have seen that both these problems have the same mathematical form (i.e. they are posed identically). However, there are principal differences between them. First of all, note that in both cases we are dealing with ill-posed problems. A problem is said to be well-posed (in the classical sense) if a solution of the problem exists, is unique, and continuously depends on initial data. If any of these conditions is not satisfied, the problem is ill-posed. We do not discuss here the existence of a solution. Instead, let us study the consequences resulting from the breakdown of the other conditions of well-posedness in optimization and inverse problems. Assume a solution to be nonunique. In optimization problems this is favourable, because we get several (and, probably, many) solutions to the problem. We thus have a good choice and can, in addition, optimize our solution with respect to some other parameters or characteristics. In the case of inverse problems, the situation is completely different. Nonuniqueness of solution to the inverse problem implies that we cannot solve the problem in the formulation chosen. We should refine (complete the formulation), and in the case of processing data of an actual experiment additional data are needed. A similar situation occurs if the solution is unstable with respect to small perturbations of initial data (small perturbations of the function g(t) in our illustrative example). Large perturbations of v(t) lead to small perturbations for the optimization and inverse problems. This is favourable for optimization problems, in which we should find a control u(t), because we can substantially vary the control and only slightly affect the quality functional. However, in

  • 1 Mathematical Models of Physics of Heat

We study temperature field and heat transfer from some parts of a rigid body

to its other parts. The temperature field at a time moment t is specified by the temperature distribution in the body, i.e. by a function T = T(x, y,z, t),

where (x, y, z) are Cartesian coordinates. In the simplest case

heat flow is

directed from the higher-temperature region to a region in which temperature

is lower.

There are three main types of heat transfer, namely

  • (a) heat conduction, that is heat transfer due to interaction between micro- particles of bodies that are in contact;

  • (b) convection, that is heat transfer, caused by movement of the substance. This type of heat transfer is observed in moving media (fluids or gases);

  • (c) mdantaon, that is a process in which energy is transmitted as electromag- netic waves. In numerous applied problems heat is transferred by two or three of

these mechanisms concurrently (complex heat transfer). When describing convection it is necessary to take into account heat conduction between different parts of a continuous medium (heat and mass transfer). Radiation can be accompanied by heat conduction, convection, etc. Such complicated processes occur, for instance, in phase transitions or chemical reactions. In the case of heat conduction in solids, the thermal effects can be significant. In this chapter we present reference material and give basic mathematical models of heat transfer. The main heat equation is written in several orthogonal coordinate systems. Much attention is paid to boundary conditions and conditions at the contact between different media (junction conditions).



The classical Stefan problem is considered to be basic for modelling melting and solidification. In more general situations more complex models are needed. As an example, we shall describe some special features of modelling binary alloys. Considerable difficulties arise when modelling radiative heat transfer. Because of the large dimension of the problem, it is very difficult to use complete models. Therefore, simpler models become important, e.g. diffusion approximation and radiative heat transfer approximation. In this book, we consider the simplest models of radiation from the surface of a rigid body as basic ones. Describing convection is associated with modelling the motion of a medium. The Navier-Stokes equation in the Boussinesq approximation for this purpose is most frequently used in the theory of heat and mass transfer. Further simplification involves the use of parabolized equations, boundary layer approximation, etc. Deformation of rigid bodies subjected to heat is described by equations of therm~elasticit~. The mathematical model is based on the heat condition equation supplemented by thermoelasticity equations. We should specifically mention simpler models used, for example, for describing the stressed state of thin plates, shells, etc.

2.1 Heat Conduction in Solids


The basic assumption of the heat conduction theory, known as the Fourier law, is that heat flow is proportional to temperature gradient in a homogeneous immobile medium, i.e. q = -kgradT, where k is thennal conductivity. To derive the heat transfer equation, let us rewrite the energy conservation law

where f represents the capacity of internal heat sources, c is specific heat capacity, and p is the density of the medium. If we substitute the expression for the heat flow into (I), we can write the basic differential heat equation


  • cp- at

= div(k grad T) + f.


The coefficients and the right-hand side in this equation can vary in space (inhomogeneous medium). In this case we have c = c(x,y, z), p = p(x, y, 2).



k = k(x,y, z), and f = f(x,y,z), and the heat equation becomes a secoud- order linear parabolic equation. The thermal properties of a medium usually depend on temperature, i.e. c = c(T), p = p(T), k = k(T), and f = f(T). Thus, we come to a quasi-linear heat equation. If the thermal properties of the medium do not depend on space variables (homogeneous medium), the heat equation (2) can be written as

Here a = k/(cp) is the themal daflusivity and A = divgrad is the Laplace operator. Another special case of the heat equation (2) corresponds to steady-state temperature fields. The stationary heat equation looks like (aT/at = 0 in (2))

and is a secoud-order elliptic equation. The heat equation (2) is appropriately modified for modelling heat transfer in a moving medium (in a moving coordinate system). Namely, the partial derivative with respect to time a/at is replaced by the complete derivative with respect to time (substantive derivative)



  • - = -



+ v grad,

where v is the local velocity of the medium. Therefore, the heat equation for a moving medium is written as

= div(k grad 2')

+ f.


Here the term with vgradT defines temperature change due to convection.

The heat equation in a usual (Cartesian) coordinate system (x,y,z) is

derived from the above invariant form (equations (2)-(5))

- -1,


  • g- ax' ay' az






provided that



Hence, (2) can be rewritten as







(6)) we








coordinates, for which XI

= x, xz = y, x3 = 2, gl = 1, g* = 1, and g3 = 1.

For a cylindrical coordinate system we obtain XI

= T, xz = (o, x3 = t, g~ = 1,

gz = T, and g3 = 1. According to (8) and (9), the heat equation (2) becomes

Similarly, for a spherical coordinate system we get XI

= T, xz

= 0, x3

= p,

g, = 1, gz = T, and g3 = r sin0. Therefore the heat equation is written as



TZ aTa(~g)+&m






T sin o sip

sm 0 alp





f g)


Formulae (10) and (11) can also be used to obtain the corresponding expressions for the curl and Laplacian operators in cylindrical and spherical coordinates.


We presented the heat equation for the case in which the medium is isotropic. Thermal characteristics of many solids (e.g. crystals or composite materials) are anisotropic, i.e. their properties are different in different directions. In this case the heat conduction is a second-order tensor rather than a scalar. For the heat conductivity tensor k we have

and this tensor is symmetrical (k,,

= kyr, k,,

= k,,, etc.).

The heat equation preserves its form (2) when (14) is taken into account. In coordinate-wise form we obtain

  • cp- aT



  • =- a (kzc g + kzy - + kzz -









( k,,-+k

+ - a~a(





+ k,,







+ k,,




instead of (6)

+ f



In the case of an anisotropic medium and constant thermal characteristics, anisotropic heat equation (14) is simplified by taking into account the symmetry of heat conductivity tensor k and becomes

This equation contains mixed derivatives; we can get rid of them by passing to a new Cartesian coordinate system (x',y', z') in which (16) has the simplest form, namely

The coordinate axes (z',y',zi)

are said



the principal axes of


conduction, while the coefficients k,, , k,,, and k,, are said to be the principal heat conductivities.


The Fourier law is based on the assumption that heat propagates in a medium at infinite speed (the gradient and density of heat flow correspond to each other at each moment in time). For high-intensity unsteady heat processes it is necessary to take into account that heat propagates with a finite speed (the inertia) and to add by the Fourier law an extra term

where 7, = const is the relaxation time of heat stresses. In order to derive the heat equation, we substitute (18) into (1) to obtain

Equation (19) is hyperbolic and is said to be the hyperbolic heat equation.

  • 2.1.5 PROBLEMS

1. Write the heat equation in an orthogonal coordinate system for a moving homogeneous medium.



Solution. Consider the heat equation


an arbitrary


curvilinear coordinate system. Taking into

account (8) and (ll), we obtain

2. Transform the heat equation for a moving homogeneous medium to a self-adjoint form, given that curlv = 0 (irrotational potential motions).

Solution. We again consider (20). It is not self-adjoint

because of the

convective term vgradT. In order to eliminate this term, let us try to

represent the solution as

and choose an appropriate function R(x, y, 2, t). If curl v = 0, any velocity field can be represented as v = grad O, where O is the velocity potential. We take account of (21) and rewrite the heat equation



us select the function


so that

Rgrad O


2agradR, e.g. R


exp(Of(2a)). Then unknown u

we obtain the desired

equation for determining the

This equation no longer contains terms with first derivatives with respect to space variables.



2.2 Closing Relations


The temperature distribution in a medium at different moments in time is determined by a partial differential equation (the heat equation). In

order to specify the temperature

field T(x, y, z, t) uniquely, it

is necessary

to formulate additional (closing) relations because a solution of a partial differential equation is defined to within an arbitrary function. To eliminate this arbitrariness, we formulate some additional relations, i.e. we specify the solution itself, some of its directional derivatives, etc. at some points. The temperature field is always calculated in a certain space domain. For simplicity, we only consider the case in which the computational domain R, where we search for a solution of the heat equation, remains unchanged.

For definiteness, we assume that the process of heat transfer is studied

starting from the time



solution of heat













We thus search

the cylinder





equation (2) of

Section 2.1

{(x,y,z,t)l (x,Y,~) E 0, 0 < t < t,,,), i.e.


cp - at
cp -

= div(kgradT) + f,

(x, y, z, t) E Q.

This equation involves partial derivatives with respect to both space and time variables. Therefore, additional conditions have to be specified on some sets of the spatial domain fl and the time interval (0, t,,,), i.e. on some sets of the points from cylinder Q. Boundary value problems are usually posed for the heat equation. In this case, additional conditions are specified on the boundary of Q. Conditions on the lateral surface of the cylinder Q correspond to those with respect to space variables (on the boundary of the spatial domain), hence they are called boundary conditions. Conditions on the bottom base of Q are said to be initial


More complicated conditions can be specified as well. For instance, instead of initial conditions for t = 0, we can specify additional conditions on another section of the cylinder Q, i.e. for some t = t*. In other words, the set of points on which additional conditions are given can also lie inside Q. Some of these possibilities are discussed in the following, where we specify the main types of problems for the heat equation. It is generally assumed that the temperature field is specified at the initial moment in time, i.e.



When considering high-intensity processes described by hyperbolic heat equation (19) of Section 2.1, it is necessary to specify two conditions with respect to time. For example, the temperature and the rate at which it changes with time are given at the initial moment. This allows us to specify the condition

along with (2). Specifying conditions like (2) in applied modelling requires direct measure- ments at a fixed moment in time. Such measurements are not always possible. Hence, other approaches can be used. For example, conditions at the final moment in time may be appropriate for (I), that is we specify the condition


= Trn(x,y,z),

(x,Y,~)E 0,


instead of (2). In this case, the temperature field must be restored at a previous moment in time t < t,,,, given condition (4). We have thus formulated a retrospective problem for the heat equation. General boundary conditions for the heat equation are divided into three kinds. The simplest situation occurs when the temperature field is given on the boundary an (first-kind boundary conditions), i.e.

T(x,Y,z,~)= g(~,~,x,t), (x,Y,z,~)E r, (5)

where I' is the lateral surface of 0, r = {(x, y, z, t)I (x, y, z) E 80, 0 < t <} ,.,, First-kind conditions (5) are also called the Dirichlet conditions. Second-kind boundary conditions (the Neumann conditions) correspond to specifying the heat flow on the boundary. This condition for the heat equation (1) in an isotropic medium is written as

where alan denotes the external, with respect to the domain 0,normal to the boundary 80. A more complicated situation occurs when we pose second-kind boundary conditions for the heat equation in an anisotropic medium (see equation (15) of Section 2.1). Let cos(n,x), cos(n, y), and cos(n,z) be the direction cosines of the external normal. The flow is specified by the equation



which corresponds to differentiation along the normal. The second-kind boundary condition is written as

and generalizes condition (6) (specifying a/av = kalan) for the case of anisotropic media. A third-kind boundary condition simulates convective heat transfer between the surface of a rigid body and the environment which has the temperature T,.It is usually assumed that the heat flow is proportional to the temperature difference between the surface and environment, consequently, for an isotropic medium we get

where a is the heat transfer coeficient. The appropriate condition in the case

of anisotropic media [see (a)] is formulated


The third-kind boundary conditions can be treated as the most general of the above conditions. These conditions can be written as

Then (10) yields second-kind condition (6) as a -+ 0 and, conversely, first-kind condition (5) as a + co.


Conditions on the interface between two media with different thermal properties, i.e. junction conditions, are worth considering separately. We first focus on the question as to what junction conditions are natural for the heat equation, i.e. follow from this equation itself, and hence should not be formulated explicitly. In this case, contact conditions are determined only by discontinuities of thermal characteristics observed when passing the interface between the media. Suppose that the plane z = 0 is the interface berween two homogeneous media. We mark thermal characteristics of the medium that fills the half-space z > 0 by plus and those for the second medium (with z < 0) by minus. Let us consider the heat equation in the form



in which the coefficients are discontinuous at x = 0, namely

Taking into account the discontinuity of the coefficients of (ll), it is logical to expect that the solution of the equation itself (temperature T) is continuous, while the first derivatives of the solution are discontinuous. We thus write the continuity condition for temperature at the interface between two media

where the brackets denote the jump at the interface. In our case [TI =

T(x + 0, y, z) - T(x -

0, y, 2). Now we only have to formulate the junction

conditions for the first derivatives of temperature. In order to derive realistic (natural) junction

conditions for the heat

equation (11) with discontinuous coefficients (12) we can separate a bounded region 6s on the interface and integrate the original heat equation (11) over the domainof width ZE, namely 0, = {(x, y,z)1 -E < x < E, (y,z) E 65). We take account of the continuity of temperature (condition (13)) and finiteness of discontinuities as E -+ 0 and obtain

Since the element 6S is arbitrary, we find the junction condition in the form

The junction condition (14) reflects the continuity of heat flow. Natural junction conditions are written in the same fashion (see (13) and (14)) on an arbitrary interface S between two media, which is an internal boundary of the domain a. They reflect the continuity of temperature and heat flow and are written as

The junction conditions (15) and (16) are the conditions of ideal contact. We emphasize once again that (15) and (16) are natural conditions for (11) with discontinuous coefficients (12). This implies that they are embedded into the



equation itself so that there is no need to formulate them separately every time. In the case of an anisotropic medium, the condition of continuity of heat flow in the form

(x,y,z) E S,


where the notation of (7) is used, is employed instead of (16). If the ideal contact conditions (continuity of temperature and heat flow) are not satisfied on the interface between two media, then some junction conditions needed for closure of the heat equation in each medium should be formulated specifically. These junction conditions reflect special features of thermal processes on the contact boundary and peculiarities of behaviour of the solution to the problem when passing the interface and may not be included in the heat equation. Let us consider several options. Suppose there exists a surface heat source with capacity qs on the inter- face S. Then the temperature continuity assumption holds, i.e. (15) is satis- fied, while the heat flow has a discontinuity. Instead of homogeneous junction condition (16) we should write a nonhomogeneous condition

The conjunction conditions (15) can be included in the heat equation written in the whole computational domain without separating the contact boundary S. The surface heat source is taken into account by introducing an additional term in (ll), namely

In equation (19) ds is a surface delta-function specified such that



asP(x, y, z) dxdy dz =


P(x, y, t)ds

Other types of junction conditions are also used in computational heat physics, e.g. the condition of concentrated heat capacity, in which temperature is continuous, while the discontinuity of the heat flow is determined by the

where cs is the lumped heat capacity of the contact. The junction conditions (15) and (20), in which the surface delta-function is used, are included in the heat equation similar to (19).



Conditions of nonideal contact deserve much attention in applied research. They are realized, for example, if two rough rigid bodies are in contact with each other but not tightly enough together. The heat flow is continuous for a nonideal contact, which results from the law of conservation of energy. We thus have one junction condition, namely condition (16). Temperature has a discontinuity when passing through the boundary of the nonideal contact, with the height of the step being proportional to the heat flow, i.e.

where the coefficient of contact heat transfer a is associated with the contact conditions.


Let us specify basic classes of problems for the heat equation. Firstly, we consider boundary value problems, in which the corresponding boundary and initial conditions are given. For instance, we can pose a first-kind boundary value problem when the equation is supplemented with initial condition (2) and first-kind boundary condition (5). Similarly, we can pose a second-kind problem, in which (6) is used instead of (5), or a third-order problem, in which condition (9) is employed. We can specially separate the case in which boundary couditions of one kind are given on a part of the boundary aO1 and boundary conditions of another

kind on the remaining part couditions for (1) can be

a02 (80, = a0 \ aOl). For example, boundary

where r,


{(x, y, z, t)

I(x, y, z)

E a%,

0 < t

< t,,,),



1,2. We thus

have mixed boundary conditions and a mixed boundary value problem. The class of boundary value problems that we have just described is

characterized by additional conditions that are set on the boundary

aR (the

lateral surface of r) and for t = 0 (initial conditions). This is an important

class of problems for the heat equation, which is thoroughly studied in the theory of partial differential equations. These boundary value problems belong to the class of Hadamard well-posed problems. Recall that a problem for a partial differential equation is said to he a well-posed problem if the following three conditions are satisfied:

(1) the problem has a solution;



(2) this solution is unique; (3) the solution continuously depends on coefficients of the equation and additional (boundary and initial) conditions. If at least one of these conditions is not satisfied, the problem is ill-posed. Condition (3), which says that the solution should be stable with respect to small perturbations in the initial parameters, is most frequently violated. Considering boundary value problems from the viewpoint of cause-and- effect relations allows us to classify boundary value problems as direct problems for the heat equation. Breakdown of cause-and-effect relations in inverse problems often manifests itself in the ill-posedness of an inverse problem. Inverse problems for the heat equation involve incomplete boundary or initial conditions and/or an incomplete equation (e.g. the coefficients, the right-hand side, or the computational domain are not determined). Instead, some additional information is given about the solution, the equation, the domain, etc. It should be kept in mind that there are many quite different ways to give this additional information. Below we discuss some possibilities. In the simplest inverse problem of heat transfer conditions (4) for the time t,,, are specified instead of initial conditions (2) for t = 0 (a retrospective problem or a problem with inverse time). Boundary value problems for the heat equation in which boundary conditions are incomplete are important for practice. For instance, suppose that two conditions are given on a part 8% of the boundary and no conditions are given on the remaining part 802, i.e.

This situation occurs when the part an, is for some reason inaccessible for direct measurements of temperature and heat flow.



Additional information in inverse heat transfer problems can he merely information about temperature and/or heat flow at internal points of the computational domain R and/or on its boundary, like in direct heat transfer problems. We separate a class of problems in which unknowns are determined by searching for a minimum of one or several functionals. These problems are actually problems of conditional minimization, in which the restrictions are such that the minimum is searched for among the solutions of a boundary value problem for the heat equation. We thus deal with optimization problems for the heat equation. For example, the inverse problem in which it is necessary to restore the boundary regime in (I), (2), (22), and (23) can also be formulated as an optimization problem. We denote



where u is the sought-for function. We denote the solution of heat equation (I), supplied with initial condition (2) and boundary conditions (22) and (24), by T = T(u;x, y, 2, t). We find the boundary regime on rz (the function w) from the condition (see (23))


J(w) = min J(u),



Optimal control problems for the heat equation are formulated in the same way. Minimization problem (25), (26) on the set of restrictions (I), (2), (22), (24) is interpreted in this case as follows. Find a boundary thermal regime (24) (optimal regime) that would provide necessary quality (functional (26)). We thus separated three main classes of problems for the heat equation. The first includes standard boundary value problems, i.e. direct problems of heat transfer. The second class of applied problems includes inverse problems of heat transfer. The third class includes optimization and optimal control problems.


1. Suppose we have an isotropic medium, in which there is a homogeneous inclusion with the boundary S. Let the heat conductivity of the inclusion be much greater than that of the medium. The inclusion supplies the medium with an amount of heat Qs(t). Consider the heat transfer in the medium and pose necessary boundary conditions on the boundary of the inclusion. Solution. Since the heat conductivity of the inclusion is much greater than that of the medium, we may assume that the temperature on the boundary S is constant, i.e.

This temperature is defined by an additional integral relation. By the law of conservation of energy, we have

Conditions (27) and (28) are desired nonlocal conditions on the boundary S of the inclusion.



We can

take into account the

condition (28)


capacity of the inclusion to refine

where M is the mass of the inclusion and c is its specific heat. 2. Formulate the conditions of ideal contact for the heat equation in moving media. Solution. We consider heat equation (5) of Section 2.1, which, for conve- nience, can be rewritten for each distinct medium as

Reasoning as in the above, we arrive at the following junction conditions:

where u, is the normal velocity component.

2.3 Phase Transitions


We consider solid-liquid phase transitions, the examples of these being solidification and melting in metallurgy. The mathematical models of these processes contain moving surfaces of phase transition that are unknown beforehand. That is, we deal with problems with free (unknown) boundaries. The main assumption that underlies the modelling of solid-liquid phase transitions is that the phase transition occurs at a given, fixed temperature of the phase transition T*. Let us denote the interface between two phases by S(t). This interface divides the computational domain R into two subdomains:

the domain W(t) = {(x, y, z) E R, T(x, y,z, t) > T'} filled with the liquid, in which the temperature is greater than the phase transition temperature, and

the domain

W(t) =

{(x,y,z)l (x, y,z) E 0, T(x, y,z,t) < T'} filled with the

solid phase (see Fig. 2.1). We use similar notation for thermal characteristics

of each phase.



Let us write the corresponding heat equation. In the solid phase we have

where Q-

= {(x,y, z, t)l (x,y, z) E R-,

0 < t < t,.,).

In the liquid phase we

additionally take into account convective heat transfer to get



We are interested in boundary conditions on the interface S of the phase transition. Firstly, the continuity of temperature is assumed on this boundary of contact between two media, i.e.



The phase transition is accompanied by a release/absorption of a certain amount of heat. Therefore the heat flow is discontinuous on the phase transition boundary and is defined by the equation

Here L is the phase transition enthalpy and V. is the normal velocity of the phase transition boundary. As mentioned above, we assume that the phase transition occurs at a constant temperature T'. Hence the interface is determined at each moment

in time as

follows: S = S(t) = {(x,y, t) E 0,T(x, y, z, t) = T') or, in other

words, the first-kind conditions

hold on the interface

Fig. 2.1.



Conditions (1)-(3) are called the Stefan conditions and the corresponding problem for equations (1) and (2) is referred to as the Stefan problem. In this problem, processes in both phases are studied; and the problem is also called the two-phase Stefan problem. The extreme case of this problem is when the temperature field in one of the phases is known (the temperature equals the phase transition temperature). We thus should find the temperature field only for one phase, i.e. we deal with the monophase Stefan problem. In this case, the unknown phase transition boundary S is external rather than internal. For example, assume that the domain 0- is filled with the solid phase at temperature T*. Then in order to find the temperature in the liquid phase, we use equation (2) in a variable domain R+(t) supplied with the following conditions on S:

Conditions like (6) and (7) are typical for the monophase Stefan problem. In some cases the Stefan approximation is inappropriate. Various improve-

ments of mathematical models for phase transitions

are actively discus-



the literature. Without

going into details, we mention

the main

point. The Stefan condition in (5) is based on the assumption that the temperature instantly levels to the phase transition temperature, which actually corresponds to the assumption that the velocity of the phase transition is unbounded. This assumption is not valid in some cases, e.g. in the problem of describing high-intensity thermal processes (the hyperbolic heat equation). To avoid this, we can use a more general third-kind condition instead of the first-kind condition in (5). To derive this condition we should describe the kinetics of the phase transition. For example, the condition

  • I k+ - + a* (T" - T*)= 0,



(2,y, z) E S(t),


which bounds heat flows toward the phase transition boundary, can be used instead of (6) in the monophase problem. Condition (8) is used along with (7), which expresses the law of conservation of energy for any motion of the interface.


The formulation of the Stefan problem can be generalized so that conditions (3)-(5) are included in the heat equation itself. This is very important from the viewpoint of constructing efficient computational algorithms. We have already discussed how to include nonhomogeneous junction conditions on a given



interface in the equation itself (see (19) in Section 2.2). The Stefan problem

is complicated because the unknown phase interface S itself is unknown.

Let us explain how we can pass from equations (1) and (2) equipped with

conditions (3)-(5) to a single heat equation. According to (18) and (19) in

Section 2.2, we can rewrite (1) and (2) as the single equation


(g+ v grad T


= div(k grad T) - 6sLV. + f,

(x y


t) E Q.


Near the boundary of the phase transition we introduce local orthogonal

coordinates (x', y', 2') with unit metric coefficients. The surface delta-function

hs in these coordinates becomes 6s = 6(x1 - xb), where the equation

z' = xb defines the boundary S. Similarly, the velocity of the free surface

is V, = dx'ldt. The Stefan conditions in (5) correspond to T = T(x', t) and

T(xb, t) = T* in the new coordinates. Taking this into account, we obtain


= 6 (x' - xb) - dx' dt


= 6 (T - T') -


Substitution of (10) into (9) yields the desired equation

(cp + L6(T - T*))

= div(kgradT) + f,

(x,~,z,t)E Q.


Equation (10) is remarkable because it does not include the unknown

boundary of the phase transition explicitly. Taking into account the heat

of phase transition amounts to specifying the effective heat capacity

ceR = c + p-'L6(T - T*). Effective numerical procedures for approximate

solution of the Stefan problem are based on quasi-linear heat equation (11).


We single out the problem with phase transitions. Consider a stationary

temperature field in a moving medium. Let the medium move at a constant

velocity vo along the vector s. Then v = vo = uos in equation (11). The

stationary temperature field T = T(x, y, z) with the phase transition taken

into account is defined by the equation

vo(cp + L6(T - T*)) - aT


= div(k gradT) + f,

(x, y, z) E 0.


Thus, it is typical of the quasi-stationary Stefan problem that the temperature

field in each subdomain (in R+ and W) is described by the second-order

elliptic equation (12) and that the interface is immovable but unknown.




The Stefan problem above refers to the case in which a pure substance undergoes a phase transition. However, the solidification/melting of impure substances and multicomponent systems is very important in practice. Let us dwell on the case of an alloy of two substances. If we consider hardening, one of the substances changes state at one temperature and the other at another, different temperature (i.e. we have two phase transition temperatures). Therefore there exists a temperature interval in which one part of the substance is in liquid state while the other is in solid state (two-phase zone). Let the subscript 0 denote the first substance and the subscript 1 the second and let C be the concentration of the second substance. The processes that occur in this situation are schematically shown in the diagram of phase state in Fig. 2.2. For C = 0 and C = 1 (only one substance is present) the phase transition occurs at a given phase transition temperature (To* and Ti, respectively). For an intermediate concentration C', solidification starts at a certain temperature Zi,(Ct) (liquidus temperature) and is completely finished at a temperature TSoI(C1)(solidus temperature). Thus, the simplest model for a binary alloy can be based on specifying this characteristic temperature interval. The computational domain now consists of three subdomains (Fig. 2.3), namely Q+(t), filled with the liquid phase, R- filled with the solid phase, and Ri(t), where solidification occurs and two phases coexist, i.e. R*(t) =

{(x, y,z)l (x, y,z) E R, T,,I

< T

< Zi,}.

Let *(T)

denote the part of the

solid phase at temperature T. Then the heat equation becomes




Fig. 2.2.


Fig. 2.3.



Evidently, equation (13) yields equation (11) for a pure substance, where we have

and T' = Tli, = T.,,. Equation (13) is the basis for the simplest quasi- equilibrium model the two-phase zone. In special cases, the width of the two-phase zone may turn out to be much smaller than a typical linear dimension in the problem. Then we can restrict our analysis to the simplest assumption of a given temperature of the phase transition for every concentration (T* = Tli, = T.,I):

When modelling alloys, it is often necessary to consider disproportionation of an impurity due to phase transitions (especially in the liquid phase). Without going into details we will consider a representative problem of a narrow two-phase zone. The temperature field is described by equations (1) and (2) closed by conditions (3) and (4) on the phase transition boundary S, which is determined by (14). The problem of determining the concentration is formulated similarly. In particular, the diffusion equations are in this case




  • -- a-'


+ div (vC')

- div

(D-grad C-) ,

= div





(x, y, z, t)

E Q-,


(x, y, z,


E Q',


where Dt and D- are diffusivities in liquid and solid phases, respectively. Let us formulate the simplest conditions on the phase transition boundary for concentration. The concentration of impurity is discontinuous on the phase transition boundary, and it is usually assumed that approximately we have


= kcf,

(x, y, z) E S,


where k is a coefficient that describes the distribution of impurity. For definiteness we assume that condition (14), which defines the phase transition boundary, is written for C+. The law of conservation of mass can be used to write the junction condition for flows (v = 0 on S in equation (16))



We take into account (17) and rewrite this condition as follows:

The junction conditions (17) and (18) complete diffusion equations (15) and (16). Of course, we can set different conditions on the boundary of the computational domain, but these will not he discussed here.


1. Formulate conditions for the velocity in the liquid phase o n t h e phase transition boundary taking into account the density jump. Solution. If the density is continuous on the phase transition boundary, we obtain a natural condition v = 0, (x, y,z) E S, for the velocity in the liquid phase. Changes in density (the density typically decreases) when passing from the solid into the liquid phase lead to a nonzero velocity along the normal to the phase transition boundary (expansion of substance). At the same time, the tangent component remains zero, i.e.

The law of conservation of mass gives the following relationship between u, and the velocity V. of the phase transition boundary:

This implies u,, = vn = (I - 5)vn, (x,g,z) E S.


Conditions (19) and (20) completely define the velocity of the liquid phase on the phase transition boundary. 2. In the quasi-stationary Stefan problem for a homogeneous medium, transform the heat equation so as to get rid of convective terms (terms including directional derivatives along 1). Solution. The stationary heat equation

holds in separate subdomains 0+ and 0-. Let us consider the expression


  • - div(R grad T) = aAT +



(grad R, grad T)



We compare it with (21) and choose a function R(x, y,z) so that


- R gradR = vo.


Equation (22) holds for any constant vector vo if

where r


xi + yj + zk.

desired equation

Substitution of (22) and

(23) into (21) yields the


div(RgradT) + R - acp

= 0,

(x, y, z) E RC U 0-.

Thus, we have obtained a self-adjoint equation in each separate subdomain.

2.4 Convective Heat Transfer


Convective heat transfer is due to motions of the medium itself. It is very

important when considering heat transfer in a fluid (melt). Mathematical

models of heat transfer in this case should be supplemented by models of

motion of the medium itself and by equations of continuum mechanics. Let

us present typical models of motion at a heat-conducting medium which are

widely employed in practical research.

We consider heat transfer in a fluid (a gas). The law of conservation of mass

yields the continuity equation


In many cases (if medium motions are slow as compared with the speed of

sound) the density of the fluid can be assumed to be constant for the whole

medium at any moment in time (the model of an incompressible fluid). In this

case equation (1) becomes

divv = 0.


We use the notation v = (u,v, w) for the velocity components. Equations

of motion for a viscous medium (the Nauier-Stokes equations) are written as




(3), f

= (f,,

fy, fz) is the vector of mass forces and a,

are components of

the symmetric tensor of viscous tensions. For an incompressible Newtonian fluid we get

where q is the viscosity. Substitution of (4) into (3) yields the desired equations of motion for an incompressible viscous fluid. The Navier-Stokes equations for a homogeneous medium, in which all characteristics are constant, reduce to

If we take into account compressibility of the medium, we obtain an extra term in equation (5), namely

where ( is the second viscosity. It is usually simply assumed that E = 0. The continuity equation and the Navier-Stokes equations describe motion of the medium. We only have to write the heat equation in the fluid. This equation has the simplest form for an incompressible medium

cPp( g + v grad T

= div(k grad T)+ n@.


Here c, is the specific heat at constant pressure and q@ is the term that describes the dissipation of energy to beat due to viscosity or viscous friction. The quantity @ can be expressed as

The allowance for the compressibility of the medium refines the dissipative function @ and brings about an additional term to heat equation (7). The system of equations (2), (5), and (7) is basic for modelling convective motions of viscous homogeneous media. The unknowns are temperature T,



velocity v, and pressure p. The density is assumed to be given. This system is closed by the appropriate boundary and initial conditions. For example, the homogeneous conditions

can be posed on the boundary of the computational domain, i.e. the uwpenet- ration (vn = 0) and no-slip (v x n = 0) conditions of rigid wall are satisfied. The system of (2), (5), and (7) is peculiar in the sense that there is no equation for pressure while there are, actually, two equations (vector equation (5) and scalar equation (2)) for the velocity. The same partially refers to boundary and initial conditions (see e.g. (9)). We can eliminate pressure from the equation of motion (5). For this purpose we use the relation

vgradv =


gradvZ - v x curlv.


We substitute (10) into (5) assuming that p and 7 are constant and apply the curl operation to both sides to obtain


  • - - curl(v x curlv) = vA curlv + curlf,



where u = qlp is the kinematic viscosity. We thus arrive at the system of equations (2) and (11) to determine the velocity.


Let us consider in more detail the case in which thermal and hydrodynamic characteristics of a moving fluid do not depend on one of the coordinates, e.g. on z. We thus come to a two-dimensional (in space) problem of heat and mass transfer. Such planar flows are usually simulated using 'vorticity' and 'stream function' coordinates rather than physical (natural) coordinates, that is velocity and pressure. The continuity equation for an incompressible fluid (2) becomes

Equation (12) implies that the velocity components u and u can be expressed


terms of

the stream function

streamlines), namely

li, (the lines li, =


are said




is essential that


continuity equation (12) holds in this representation



The vorticity for two-dimensional flows is introduced as follows:

We take into account (13) to get

We take equations of motion in the form (13) and rewrite the convective term in (15) in somewhat different form:

We take into account (13) and rewrite the convective term in (15) in a somewhat different form:

in terms of the Jacobian of the mapping (w,$) --, (x, y). The system of equations (14) and (15) is the desired system that governs motions of a viscous incompressible fluid in the vortex and stream function variables. We substitute (14) into (15) to eliminate the vorticity and obtain a single quasi-parabolic fourth-order equation for the stream function (the $-equation)

The heat equation is transformed similarly

where the dissipative function Q is

Passing to the vortex-stream function variables simplifies the original equations. In particular, instead of three equations (the continuity equation and two equations for the velocity components) we get two standard equations of mathematical physics, namely elliptic equation (14) for the stream function



and parabolic equation (15) for the vorticity. However, it is difficult to pose boundary conditions in these new variables. For example, the uonleakage and attachment conditions (see (9)) yield two conditions for the stream function

Ij, = const,


-- - o,


(5,~) E an.


We thus have two conditions for equation (16) but no condition for the vorticity. Besides, the constant in (17) is mast likely to be unknown (e.g. for flows in multiply connected domains) and to be determined from additional conditions (see Problem 2).


Much attention in theoretical and applied investigations of heat and mass transfer is paid to free convection, i.e. the motion of a fluid in the gravity field, accounted for by an inhomogeneity of the temperature field. The fluid is usually assumed to be incompressible and changes in density are only taken into account when specifying the gravity forces. The temperature and density are reckoned from steady-state equilibrium values To = const and

po = const. Therefore T = To + T' and p = po +p', where T' and p '

are small.

The behaviour of density versus temperature is described by the following equation for p': p ' = -poPT', where P is the coeficient of thermal expansion.

Navier-Stokes equations (5) are linearized provided that f = pg, where g is the vector of free fall acceleration. In a linear approximation (the Boussinesq approximation) we get

The equation for temperature is taken as

The system of equations (2), (IS), and (19) is a base for describing free- convection ruotions of a fluid when equipped with appropriate boundary and initial conditions.

  • 2.4.4 OTHER MODELS

Steady flow of a homogeneous fluid in a tube of arbitrary cross-section is an important applied model of heat and mass transfer. We assume that a con- stant temperature regime is maintained on the boundary. Let the axis of the



tube be directed along the z-axis. The velocity of the fluid is directed along the z-axis and is a function of the coordinates x and y. Similarly, T = T(z, y). Under these assumptions the continuity equation (2) is an identity, while (5) yields

Equations (20) and (21) imply that pressure is constant on a section of the tube, and since u = u(x, y), it follows from (20) that dpldz = const = 6p/l, where 6p is the known pressure drop across the tube and 1 is the length of the tube. The Poisson's equation (20) for longitudinal velocity is considered on a section of the tube 0 and is augmented by the attachment boundary condition

= 0,

(z, Y) E an.


Similarly, using (7) and (8) we derive the equation for the temperature in a homogeneous fluid

The boundary condition is

T = To = const,

(x,y) E an.


Equation (24) together with boundary condition (25) specifies the tempera- ture field, provided that the velocity field is already calculated from equation (20) equipped with condition (23). In both cases we deal with the classical Dirichlet problem for the Poisson equation. Many simplified models are based on the assumption that changes in velocity and temperature in the longitudinal direction are small, e.g. a thin layer model and a model of film flows. The most widespread model of this kind is the boundary layer model. Consider, as an example, a flow of a viscous heat-conducting incompressible fluid over a thin plate (Fig. 2.4). We direct the x-axis along the plate and the y-axis across the plate. There exists a thin layer near the boundary in which the flow undergoes substantial changes (the fluid slows down). This thin region


Fig. 2.4.


Fig. 2.5.

adjacent to the boundary of the body is called a boundary layer. Similar changes are observed in the flow at the entrance of a thin slot (Fig. 2.5). We assume the flow to be steady and planar (two-dimensional) and write the boundary layer equations for the flow over the plate as follows:

Equations (26) and (27) are supplemented by the corresponding boundary conditions. It follows (see equation (26)) that the boundary layer approximation is essentially based on neglecting second derivatives in the longitudinal direction. A heat boundary layer is considered similarly. We assume that the incoming flow has a certain constant temperature. Then the stationary heat equation in this moving homogeneous medium becomes

where a is the thermal diffusivity. Reduced Navier-Stokes equations, similar to boundary layer equations (26)-(28), underlie many applied investigations. In particular, many classes of free-convection flows can be studied within the boundary layer approximation.



1. Derive the equation for pressure for modelling planar flows of an incompressible fluid in the stream function and vorticity variables. Solution. We apply the operator div to the equation of motion (5), take into account the incompressibility constraint (2) to obtain the Poisson equation for pressure. In the planar case, equations of motion are

We differentiate (29) with respect to x and (30) with respect to y and take into account (12) to derive

Substitution of (13) into (31) yields

2. Formulate conditions on a rigid boundary to uniquely specify the stream function when modelling planar flows in a multiply connected domain. Solution. Suppose that a doubly connected domain Cl has an internal boundary y and an external boundary r. The stream function is constant on both parts of the boundary (see (17)). The velocity components are specified by the first derivatives of the stream function in (13). We thus can determine the stream function, neglecting a constant. We put

11, =


(x, Y) E



$ = const,

(x, y) E



To find an unknown constant in (34), let us use the following relation on the boundary y





-= as T%'

E 7,

where atas is the longitudinal derivative. Equation (35) follows from equa- tions of motion (29) and (30) and the attachment and nonleakage conditions on the boundary y.



Pressure should condition



defined on y, therefore

(35) implies the

which completes boundary conditions (33) and (34). An additional condition like (36) can also be formulated on the external boundary r. Note that condition (35) as well as the similar condition


be considered

as boundary conditions for determining pressure


equation (32)) provided that the velocity field and, hence, the vorticity w,

is given.

2.5 Thermal Radiation of Solids



Heated bodies radiate energy into the environment in the form of elec- tromagnetic waves. The quanta of energy propagate at the speed c and are characterized by the wavelength X or frequency v, where c = Xu. The energy carried by a quantum is hv, where h is the Planck constant. Let E denote the integral density for the flux of energy of surface radiation passing through a unit surface area. This quantity for a unit frequency interval is called the spectral (monochromatic) density and denoted by E,,

Radiation incident on a body is partially reflected, partially absorbed, and partially passes through the body. When radiation is absorbed completely, we deal with an absolutely black body. Mathematical models of radiative heat transfer are complicated and difficult for numerical modelling mainly because multidimensional transport equations need to be used. In some cases we can restrict ourselves to simpler models, e.g. a multigroup diffusion approximation and approximations of radiative heat transfer and an optically thin layer. We mainly deal with heat processes in solids, which are opaque for heat rays unless very thin. Therefore we can assume that only the surfaces of solids are



involved in heat exchange processes. This substantially simplifies models of

radiative heat transfer.

The spectrum of black-body radiation with temperature T is determined

by the Planck law


E,, = 2~-



exp(mv/T) - 1'

where m is a constant.

According to (1) and (2) the integral density of the energy flux is

E =


E, dv = uT4.


Equation (3) expresses Stefan-Boltzmann law and u is a constant known as

the Stefan-Boltzmann constant.

Of course, bodies never absorb radiation completely, and a coefficient of

'blackness' E (E < 1) is introduced in the Planck and Stefan-Boltzmann


to describe the fraction of radiation that is absorbed by a hody. For example,

the equation

E = EUT~


is used for the flux density instead of (3). The coefficient of blackness is usually

taken to be a constant, although in a more general case, it may vary with

temperature, i.e. E = E(T).



The simplest description of radiative heat exchange, based on the Stefan-

Boltzmann law in the form (3) (or (4)), can be used to pose conjugate problems

in which heat is transferred due to heat conduction and radiation concurrently.

We use the standard heat equation inside the rigid hody and refine the

boundary conditions so as to take into account radiation and absorption.

Let us first consider an isolated single rigid convex body R with the

boundary Xl. Inside the body heat is transferred is due to thermal conduction;

therefore (see (2.1))




= div(kgradT) + f,

(x,y, z) E R.


We take into account only the radiation of the rigid hody itself and convective

heat exchange with the environment and formulate the third-kind boundary

conditions on the boundary aR




+ a(T - T,) + EUT~= 0,

(x,y,Z) E dR.




Boundary condition (6) has to be refined if radiation of the environment, external radiation, etc. are present. A refinement is also needed for a nonconvex boundary an, when it is necessary to take into account absorption from some parts of the boundary (self-irradiation). We see that mathematical models of heat transfer in rigid bodies with allowance for radiation are not much more complicated than those in which heat is transferred due to thermal conduction solely. We should only mention that boundary condition (6) is essentially nonlinear. With the Stefan-Boltzmann law taken into account, the boundary condition in the approximation of an absolutely black body and an environment is written as follows:

This condition can be rewritten as an ordinary condition of convective heat transfer aT

k-+a,(T-T,)=O, an



but thermal conductivity is then nonlinear, namely

a, = a + O(T- T,) (T2+ T:)



The boundary value problem for (5) with conditions (7) and (8) is closest to standard heat transfer problems discussed in Section 2.2.


We have already discussed how to describe heat transfer for an isolated body taking into account its own radiation. In the theory of radiative heat transfer, much attention is paid to the case in which we have many bodies separated by a medium which is transparent for radiation. When formulating boundary conditions in this case, it is essential to take into account not only internal radiation but also radiation from the other bodies. This situation is similar to the case of a nonconvex rigid body 0, for which the self-absorption of internal radiation has to be taken into account. For example, assume that the bodies are absolutely black and the radiation is isotropic, i.e. its intensity does not depend on the direction. The Stefan- Boltzmann law (3) gives an expression for the density of flux of radiation from the surface of a rigid body along all the directions in a half-space. The flux of radiation from a body in some direction is proportional to the flux in the normal direction and to the cosine of the angle between the normal to the surface and this direction (the Lambert law).



Fig. 2.6.

Let n(M) denote the normal to the surface aR at a point M and r(M, P) denote the distance between the points M and P on the surface (Fig. 2.6). The resulting radiation flux is comprised of the flux of the proper radiation and the absorbed flux. Therefore, by the law of conservation of energy, we write

where cos(n(M),r) is the cosine of the angle between the normal and the line segment that joins the points M and P. The integration in (9) is over aW = aW(M), i.e. over a part of the boundary 0 that can be seen from the point M. We have thus obtained equation (9) to determine the density of flux of radiation. The temperature field inside the bodies is defined by heat eqna- tion (5). The boundary condition becomes

The model of (5), (9), and (10) is simplified if we consider rigid bodies with isothermal surfaces. In this case, the radiation flux on the surface of each distinct body is constant. Consequently, (9) yields algebraic relations that determine the fluxes.


1. Consider two limiting cases for the Planck law, namely when

mu << 1 and

mu >> 1.

Solution. In the first case, in which mu << 1, we use the expansion

The Rayleigh-Jeans

law says



In the case of mu >> 1 we neglect the unity in the denominator of the Planck formula to obtain

This formula is known as the Wien displacement law.

2. Formulate junction conditions for a nonideal thermal contact

taking into account radiation into a gap.

Solution. We consider the gap to be a transparent medium. The law of conservation of energy implies the continuity of heat fluxes (see (6) in Section 2.2), expressed as

The contact heat exchange condition remains the same as usual (see (21) in Section 2.2):

If the bodies in contact are not absolutely black, the conditions are written similarly (see the Stefan-Boltzmann law (4)).

2.6 Thermoelasticity


Being subjected to heat, rigid bodies extend. This effect of linear expansion of rigid bodies is described within the framework of linear elasticity theory. We present the basic equations of thermoelasticity, which include an equation for displacements in rigid body and equations for temperature distribution. Let u = (u,v,w) denote the displacement of particles in a rigid body with respect to the equilibrium position. Equations of motion for the rigid body are



The components of the tensor of elastic tensions are written as

where X and p are Lame' coefficients which describe elastic properties of the medium. The terms involving temperature govern motions of the elastic

medium due

to thermal effects. In addition, we have y = (3X + 2p)a. Here

cu is the coefficient of linear expansion, responsible for temperature effects. In equation (I), as usual, p is the density of the medium and f is the vector of volume forces, known beforehand.

We assume the medium to be homogeneous, substitute (2) into (I), and obtain the Lam6 equations

The system of hyperbolic second-order equations (3) is supplemented by the appropriate boundary and initial conditions. For instance, it is logical to specify the initial displacement and the velocity:

To set the simplest boundary condition for the Lam6 system of equations would be to specify displacements on the boundary of the computational domain, e.g.






Thus, given a temperature




medium, the




determined by the boundary value problem like that in (3)-(6). A heat equation for a rigid homogeneous body that takes into account compressibility is somewhat different from usual and looks like (neglecting internal sources of heat)




The second term in the left-hand side of (7) is small for rigid bodies and is often neglected. The heat equation (7) with appropriate boundary conditions can be used to determine the temperature field, given deformations. Equations (3) and (7) comprise the system of equations of thermoelasticity. It is logical to distinguish stationary thermoelasticity problems as a separate class. For the case of stationary problems the system of (3) and (7) is significantly simpler:

In the elasticity theory (as well as in problems of thermoelasticity) it is often important to reformulate the original problem for displacements in terms of new variables. In the following, we suggest some possibilities of this kind.


The representation in terms of solutions to ordinary second-order equations describing oscillations is the most important among possible representations of solutions to thermoelasticity problems.

We seek a solution to (3) with f

= 0 in the form

u = grad ip + curl Q.

We use the identity

A = grad div - curl curl,

to rewrite (3) with f = 0 as


p -


= (A + 2p) grad div u - p curl curl u - y grad T.

Substitution of (10) into (11) yields



This implies that ip can be found from the equation

We thus have a vector equation for Q, namely



Thus, the dynamical problem of calculating thermoelastic state is reduced to solving second-order hyperbolic equations (12) and (13) and parabolic equation (7). Equation (12) describes the propagation of longitudinal waves (expansion waves) at speed cl = ((A + z~)/~)'/'.Similarly, equation (13) describes distribution of transverse waves (displacement waves) at speed

cz = (wIP)'~~.


Let us discuss planar deformations in more detail. In this case, we have






and u depend only on x and y. We consider the state of


in which there

are no mass forces, i.e.



0 in

(8). Then we

can introduce the Airy stress function 11, such that

We obtain a biharmonic equation for the stress function, namely

In (14) u denotes the Poisson coeficient,



A/(2(A + p))


112. We

take into account the simplest stationary heat equation in (7) and derive the homogeneous biharmonic equation for the stress function

This biharmonic equation is widely used in the elasticity theory; therefore, it can be considered as a basic model (equation (14)). Note that in the planar case we have



= -

+ 2-






ay4 '

It should be noted that a hyperbolic second-order equation (the equation of oscillations in (12) and (13)) and systems of hyperbolic equations (the Lam6 equations in (3)) are other basic models of the elasticity theory.

  • 2.6.4 THIN PLATES













deformation of thin plates and shells and membranes. Let us formulate the equations that describe the thermoelastic state of a thin plate. We consider an elastic cylinder of a small height h subjected to stress. We choose the Cartesian coordinate system so that r = 0 is the medium plane



of the cylinder and consider small deflections of this cylindrical plate under normal loads and the combined action of heat. The constant deflections of a fixed-width plate are governed by the Sofi Jermen equation

DAAw = q - AMT,


where D is the cylindrical rigidity, q = q(x, y) is the load, and MT is the bending moment due to thermal actions. The value MT can be represented as

The temperature field is determined by the corresponding heat equation (stationary heat equation (9)). In the simplest case, in which the temperature is constant over any section, we get MT = 0, i.e. such thermal actions do not lead to displacements along the normal to the plate. The effect of inertial forces reduces to the following refinement of (15):

Equation (17) is supplemented by nonstationary heat equation (7).


1. Derive an expression for the deformation of an infinite elastic

medium in which the temperature field is T = T(x, y,z) # To = const,


(x,Y,~E a, and T(x,Y,~)=TO, (X,Y,~)

Solution. A steady thermoelastic state is described by the equation (see


(A + 2p) grad div u - p curl curl u = y grad T.

This equation has a particular solution

The velocity u specified by (18) and (19) can be represented as



where r = ((x - x')~+ (y - y')Z + (Z - z')~)~/~.

NOWwe take into account (19)

to obtain

because the temperature is constant outside the domain R.

2. Derive a stationary equation for a stressed thin plate in the

case of a nonuniform temperature field in the transverse direction,

neglecting heat transfer in the longitudinal direction.

Solution. Under the posed ideal conditions, the heat equation (9) reduces


The integration of (20) and the substitution of the result into (16) yields

This expression is used in equation (15). Thus, temperature gradients in the

transverse direction lead to a deflection of the thin plate.

  • 2.7 Bibliography and Comments


  • 2.1 Mathematical models of heat conduction are considered in classical manuals [3, 5, 7, 11, 121.

  • 2.2 Formulations of boundary value problems for heat equations are discussed in textbooks on equations of mathematical physics (see e.g. 1161). Inverse problems of heat transfer are most completely covered in [I, 21.

  • 2.3 Problems in which phase changes occur are briefly discussed in textbooks

[3, 111. More detailed bibliography is presented in

Chapter 7.

  • 2.4 General models of heat and mass transfer are discussed in [6, 8, 10, 131 (see also Chapter 9).

  • 2.5 Models of radiation, in much more general terms (not only radiation from the surface of rigid bodies), are considered in [5, 14, 151.

  • 2.6 Among all manuals on the elasticity theory we mention 14, 9, 171. Papers




1. Alifanov 0 .M. (1988) Inverse Problems of Heat Transfer [in Russian]. Mashino-

stroenie, Moscow.


Beck J. V., Blackwell B. & St. Clair C., Jr. (1985) Inverse Heat Conduction,

Ill-Posed Problems. John Wiley & Sons, New York.



Carslow H. S. & Jaeger J. C. (1959) Conduction of Heot in Solids, 2nd edn. Oxford

Univ. Press, London.


Green A. E. & Zerna W. (1968) Theoretical Elasticity. University Press, Oxford.


Isachenko V. P., Osipova V. A. & Sukomel A. S. (1981) Heot Transfer [in Russian].

~ner~oizdat, Moscow.


Jaluria Y. (1980) Natural Convection. Heat and Moss Ransfer. Pergamon Press,



Kutateladze S. S. (1979) Basics of Heat 7hnsfer [in Russian]. Atomizdat, Moscow.


Landau L. D. & Lifshitz E. M. (1987) Fluid Mechanics, 2nd edn. Pergamon Press,







Lifshitz E. M.


Theory of Elasticity. Pergamon Press,



Loitsyanskii L. G. (1973) Mechanics of Fluids and Solids [in Russian]. Nauka,



Luikov A. V. (1968) Analytical Heot Difusion

Theory. Academic Press, New



Luikov A. V. (1972) Heat and Moss linnsfer [in Russian]. Onergiya, Moscow.


Schlichting H. (1968) Boundary-layer Theory, 6th edn. Translated by J. Kestin.

McGraw-Hill, New York.



Siege1 R. & Howell J. (1981) Thermal Radiative Heat Tmnsfer. McGraw-Hill,

New York.


Sparow E. M. & Sess R. D. (1971) Radiative Heat Ronsfer [Russian translation].




Tikhonov A. N. & Samarskii A. A. (1977) Equations of Mathematical Physics

[in Russian]. Nauka, Moscow.



Timoshenko S. P. & Goodier J. P. (1970) Theory of Elasticity. McGraw-Hill,

New York.

Analytical Methods of Heat Transfer

Heat transfer problems are studied, in simple cases, by classical analytical

methods of applied mathematics. Computers and numerical methods are

employed to solve more complex problems. Analytical methods are also used

in the course of numerical solution to preliminarily examine a mathematical

model and test computational algorithms.

To investigate an applied mathematical model, it is necessary, first, to pass

to dimensionless variables. This would allow us to analyse the problem, i.e. to

single out small or large parameters. In dimensionless variables the number

of parameters of the problem is less than in the original variables, which is

extremely important for multiparameter investigation of an applied model.

For example, if we deal with an optimization problem, we can significantly

reduce the dimension of the minimization problem. Similarity criteria can be

used to compare results of different experiments and clear up similarity of


The most advanced analytical methods of heat transfer are developed for

solving linear problems. These methods with multiple parameters comprise

thus far most of the space in textbooks on theoretical heat transfer. For

example, the method of separation of variables and methods of integral

transforms are commonly used for solving boundary value problems.

Exact solutions of nonlinear problems are worthy of notice. These particular

solutions allow us to analyse special features of a problem due to its

nonlinearity. Some exact solutions of nonlinear problems in beat transfer can

be found when searching for self-similar solutions. The group analysis can be

involved in a more general situation. We should also mention some functional

transforms, which can be used to pass from certain nonlinear problems to



linear ones. The problem is then reduced to finding general solutions of these

linear problems.

Among approximate methods of applied mathematics we should mention

perturbation methods. An approximate analytical solution can in certain cases

be constructed by separating a small parameter. The most important results

in this way are obtained by homogenization theory. This theory can be nsed

to compute effective characteristics of composite media with small inclusions.

Asymptotic methods are widely nsed in the theory of heat transfer.

As an example, we present the investigation of a regular thermal regime

corresponding to a developed stage of the process.

3.1 Dimensionless Analysis


It is logical that in practice we desire to use a unique system of units. Such

a system for mathematical modelling and computations is a dimensionless

system of units. This choice of a system of units is meaningful and is not

simply made for convenience of unification.

Rounding-off errors determined by the hardware always occur when solving

a problem on a computer. In order to reduce a contribution of rounding-off

errors into an approximate solution, the problem is scaled. The modulus

of the desired solution must not be too large. For this reason, desired

quantities are multiplied by the corresponding scaling factors, i.e. the problem

is transformed. By passing to dimensionless variables the problem is scaled so

that dimensionless quantities vary approximately from -1 to 1.

The second reason in favour of dimensionless variables is that they allow

us to separate small (large) parameters of the problem. It is in dimensionless

variables that we can compare terms with one another. The small (large)

parameters are used to construct simplified mathematical models and analyse

the problem asymptotically (i.e. find an approximate solution).

Finally, introducing dimensionless parameters, we reduce the total number

of parameters of the mathematical model, which is extremely important for

numerical modelling. Therefore we can investigate the influence of a group of

parameters on the solution by studying the influence of a smaller group of

parameters on this solution.

Consider the simplest model of heating a cylinder rod of the length 1 with a

thermally insulated lateral surface. For simplicity, we only consider the case in

which the thermal characteristics of the rod (as well as the other parameten

of the problem) are constant. Heat transfer is described by a one-dimensional

heat equation, namely



where we use the standard notation (see Chapter 2). We assume that the base

of the cylinder is subjected to heat exchange with a medium at the tempera-

ture T,





+ a(T - T,) = 0,

x = 0.


Let the heat flow be specified on the other end of the rod, i.e

In addition, we assume that the initial temperature of the rod is other than

that of the environment, e.g.

These are all the necessary boundary and initial conditions for (1)


The problem in (1)-(4) is characterized by the following set of parameters:

I, c, p, k, f, a,T , and q.

The solution to even this simple problem depends

on eight parameters, namely T = T(x, t;1 , c, p, k,f,a, T., q). Thus, it is not

always possible to study the influence of each of the parameters. Usually most

of the parameters are fixed and only some of them can vary in a small range.

Therefore, it is often sufficient to study the influence of one parameter while

the others are fixed.

We should first choose characteristic quantities (values) for scaling in order

to pass to a dimensionless problem. This choice is not always obvious and

depends on the specific problem. It is reasonable to use common techniques

of scaling for a certain branch of investigation.

In the problem considered we can take the length of the rod 1 for scaling the

spatial variable x. We use the same letters for dimensionless quantities but

supply them with primes. Then x = lx', where x' is a dimensionless variable. If

the rod is not heated strongly, we can take the temperature of the medium T,

for scaling temperature, i.e. T = T,T', where T' is dimensionless temperature.

Similarly, let t = tot', where a typical time interval to is not yet defined.

We substitute these formulm into heat equation (1) and obtain the equation

cp12 aT'


  • --=- + Os,



0 < 2'

< 1,


> 0,




in the dimensionless variables. Equation (5) contains a dimensionless fraction

(dimensionless parameter) 0s = 12f/(kT,), that is called the Ostrogradskii


Let us now define the time scale to = cp12/k. Then the heat equation is

additionally simplified





+ Os,


0 < sf < 1,


> 0.

to include only one parameter (the Ostrogradskii number).

Let us now derive dimensionless boundary and initial conditions. According

to (2)

where Bi = allk is the Biot number. Similarly, condition (3) becomes

where Kr = ql/(kT,) is the Kirpichev number. The initial condition is written

The problem in the dimensionless variables (5)-(9)

three dimensionless parameters, namely




is characterized by

Kr. Note



have only three rather than eight parameters for the problem, i.e. T' =

T'(xf, t'; 0s ,Bi , Kr ). Logically, the problem in the dimensionless variables

is much simpler for investigation.

In order to transfer to dimensional quantities we should actually multiply

dimensionless solutions by dimensional factors. It is dimensionless variables

that reveal similarity of different problems. Indeed, let us have two problems

with different linear sizes and thermal parameters. Assume that they are

written identically in dimensionless variables. Then the problems are similar,

i.e. they differ only in scale factors. Therefore it is easy to pass from one

problem to the other.


Rewriting a problem in dimensionless variables, we can separate small

(large) parameters and, hence, simplify the problem. In the simplest case

of (1)-(4), for example, third-kind boundary conditions are realized for x = 0.

The question arises as to under what conditions of cooling can we pass from

these conditions to first- or second-kind boundary conditions. The boundary

regime in dimensionless variables is only specified by the Biot number. If



Bi >> 1 in (7), we can put

T' = 1 for x' = 0 (a first-kind boundary condition).

Conversely, if Bi << 1, we get a second-kind boundary condition aT1/az' = 0

for x' = 0. A more precise answer to the question of the boundary regime can

be given according to the experience of modelling. For instance, if Bi < 0.01,

the simplified boundary condition holds to within several per cent.

The second example of parametric analysis of (1)-(4) is associated with

the question as to when we can pass from nonstationary equation (1) to a

stationary equation. Assume that a thermal process is considered in the time

interval from 0 to t,,,.

Then it is sufficient to compare the typical time of

heat transfer to = cp12/k with t,,,. If t,, >> to, we can use the stationary

equation instead of (1). In this case we can take t,,, for scaling time. As a

result we get the equation

with the small parameter E = tO/tmaxinstead of (6). Evidently, the non-

stationary character of (10) manifests itself for small time intervals, namely

the small parameter at the time derivative makes the equation singularly


We can similarly investigate the influence of the source in (1). If 0s << 1, it

can be neglected. In the opposite case of 0s >> 1 we come across a singularly

perturbed problem, and if we are not interested in boundary effects, we can

neglect heat conduction in the original equation (1).

We can thus simplify the original mathematical problem and investigate

the qualitative behaviour of its solution by parametric investigation of the

problem in dimensionless variables. We should emphasize that we only use

minimal mathematical tools for the analysis.


1. Separate a dimensionless parameter responsible for convective

heat transfer.

Solution. The model equation is

where u is the velocity of the medium. The corresponding dimensionless

equation (see (6)) is



The Pe'clet number Pe = ulcp/k is the desired dimensionless parameter.

The typical time







1/11. Then

the equation in

dimensionless variables appears in a somewhat different way, namely

2. Find the conditions under which the heat of phase change can be neglected while modelling heat transfer.

Solution. Let us reduce the appropriate one-dimensional monophase Stefan

problem to a dimensionless form. The latent heat L is taken into account by

the condition (see Section 2.3)

where x = q(t) is the interface.

We reduce (11) to a dimensionless form and separate a dimensionless

number Ste = L/(cp), which is called the Stefan number. If Ste << 1, the

heat release due to a phase transition can be neglected.

3.2 Analytical Solution of Linear Problems


Henceforth the linear heat equation written in the form


c(x) - at
c(x) -

= div (k(x) gradu) + f(x, t),

x E 0,

t > 0


is the basic mathematical model. We consider general 3-D problems as well

as problems of smaller dimensions; therefore x =

(XI,22,. . .


m = 1,2,3.

Equation (1) describes (see Section 2.1) heat transfer via conduction in a

nonhomogeneous isotropic medium.

Equation (1) is supplemented by the initial condition

and a homogeneous boundary condition, e.g. by the first-kind condition

It is important for the method of separation of variables that the boundary

condition is homogeneous. Therefore, if we deal with a problem with generic



boundary conditions, we should first pass to the problem with homogeneous


The essence of the method of separation of variables (the Fourier method)

is the construction of particular solutions of (1) that can be represented as a


u(x, t) = B(t)u(x),


where each factor depends on its own variable. Let us first consider the case

of a homogeneous equation (i.e. f (2, t) = 0 in (1)). We substitute (4) into (1)

and derive the equations for B(t) and v(x)

div (k(xgradv)) + Xc(x)u = 0,

x E 0,


According to (3), equation (5) is supplemented by the boundary condition

U(X)= 0,

E an.


The problem of (5) and (7) has nontrivial solutions only for some X

and is referred to as a spectral problem (the Sturm-Lioville problem). The

corresponding values of X are said to be eigenvalues and the corresponding

solutions u(x) are called eigenfunctions.