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Heat diffusion equation

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The diffusion equation is a partial differential equation which describes density fluctuations in a material undergoing diffusion. The equation can be written as:

u(r,t)

= D(u(r,t), r)u(r,t) ,

t

(7.1)

where u(r,t) is the density of the diffusing material at location r = (x, y, z) and time

t. D(u(r,t), r) denotes the collective diffusion coefficient for density u at location r.

If the diffusion coefficient doesnt depend on the density, i.e., D is constant, then

Eq. (7.1) reduces to the following linear equation:

u(r,t)

= D2 u(r,t) .

t

(7.2)

Equation (7.2) is also called the heat equation and also describes the distribution of

a heat in a given region over time.

Equation (7.2) can be derived in a straightforward way from the continuity equation, which states that a change in density in any part of the system is due to inflow

and outflow of material into and out of that part of the system. Effectively, no material is created or destroyed:

u

+ = 0,

t

where is the flux of the diffusing material. Equation (7.2) can be obtained easily

from the last equation when combined with the phenomenological Ficks first law,

which assumes that the flux of the diffusing material in any part of the system is

proportional to the local density gradient:

= D u(r,t) .

59

Consider an IVP for the diffusion equation in one dimension:

u(x,t)

2 u(x,t)

=D

t

x2

on the interval x [0, L] with initial condition

u(x, 0) = f (x),

(7.3)

x [0, L]

(7.4)

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

t > 0 .

(7.5)

Let us attempt to find a nontrivial solution of (7.3) satisfying the boundary conditions (7.5) using separation of variables [4], i.e.,

u(x,t) = X(x)T (t) .

Substituting u back into Eq. (7.3) one obtains:

1 T (t) X (x)

=

.

D T (t)

X(x)

Since the right hand side depends only on x and the left hand side only on t, both

sides are equal to some constant value ( sign is taken for convenience reasons).

Hence, one can rewrite the last equation as a system of two ODEs:

X (x) + X(x) = 0,

T (t) + D T (t) = 0.

(7.6)

(7.7)

Let us consider the first equation for X(x). Taking into account the boundary conditions (7.5) one obtains (T (t) 6= 0 as we are loocking for nontrivial solutions)

u(0,t) = X(0)T (t) = 0 X(0) = 0 ,

That is, the problem of finding of the solution of (7.3) reduces to the solving of

linear ODE and consideration of three different cases with respect to the sign of :

1. < 0:

X(x) = C1 e

+ C2 e

Taking into account the boundary conditions one gets C1 = C2 = 0, so for < 0

only the trivial solution exists.

2. = 0:

X(x) = C1 x + C2

Again, due to the boundary conditions, one gets only trivial solution of the problem (C1 = C2 = 0).

3. > 0:

Substituting of the boundary conditions leads to the following equations for the

constants C1 and C2 :

X(0) = C1 = 0 ,

2

n

X(L) = C2 sin( L) = 0 sin( L) = 0 n =

,

L

Hence,

X(t) = Cn sin

n = 1, 2, . . . .

n

x .

L

That is, the second equation for the function T (t) takes the form:

2

n

n

T (t) = 0 T (t) = Bn exp D

t ,

T (t) + D

L

L

where Bn is constant.

Altogether, the general solution of the problem (7.3) can be written as

2

n

n

u(x,t) = An sin

t ,

x exp D

L

L

n=1

An = const.

In order to find An one can use the initial condition (7.4). Indeed, if we write the

function f (x) as a Fourier series, we obtain:

f (x) =

n

n

x = An sin

x ,

L

L

n=1

n=1

Z

n

2 L

An = Fn =

d .

f ( ) sin

L 0

L

Fn sin

ZL

2

n

n

n 2

d sin

u(x,t) =

t .

x exp D

f ( ) sin

L

L

L

n=1 L 0

(7.8)

u

3

kQ

Q

6

Q

Qu

u

u

difference scheme (7.9) for

solving the 1-d diffusion

equation (7.3).

t j+1

tj

The FTCS Explicit Method

Consider Eq. (7.3) with the initial condition (7.4). The first simple idea is an explicit

forward in time, central in space (FTCS) method [28, 22] (see Fig. (7.1)):

j

u 2ui + ui1

uij+1 uij

,

= D i+1

t

x2

t

or, with = D x

2

j+1

ui

= (1 2 ) ui + (ui+1 + ui1 ) .

j

(7.9)

In order to check the stability of the schema (7.9) we apply again the ansatz (1.21)

(see Sec. 1.3), considering a single Fourier mode in x space and obtain the following

equation for the amplification factor g(k):

g2 = (1 2 )g + 2g cos(kx) ,

from which

kx

.

2

The stability condition for the method (7.9) reads

g(k) = 1 4 sin2

|g(k)| 1

1

1 x2

t

.

2

2 D

(7.10)

Although the method (7.9) is conditionally stable, the derived stability condition (7.10), however, hides an uncomfortable property: A doubling of the spatial

resolution x requires a simultaneous reduction in the time-step t by a factor of

four in order to maintain numerical stability. Certainly, the above constraint limits

us to absurdly small time-steps in high resolution calculations.

The next point to emphasize is the numerical dispersion. Indeed, let us compare

the exact dispersion relation for Eq. (7.3) and relation, obtained by means of the

schema (7.9). If we consider the perturbations in form exp(ikx i t) the dispersion

20

i t/

15

by means of the schema (7.9)

for different values of ,

compared with the exact dispersion relation for Eq. (7.3).

10

exact

=0.1

=0.2

=0.3

=0.4

5

0

0

0.2

0.4

0.6

k x/

0.8

i = D k2 .

On the other hand, the FTCS schema (7.3) leads to the following relation

kx

ei t = 1 4 sin2

,

2

or, in other words

2 kx

.

i t = ln 1 4 sin

2

The comparison between exact and numerical disperion relations is shown on

Fig. (7.2). One can see, that both relations are in good agreement only for kx 1.

For > 0.25 the method is stable, but the values of can be complex, i.e., the

Fourier modes drops off, performing damped oscillations (see Fig. (7.2) for = 0.3

and = 0.4). Now, if we try to make the time step smaler, in the limit t 0 (or

0) we obtain

sin2 kx

2

kx

= k2 Dt

i t 4 sin2

2 ,

2

kx

2

i.e., we get the correct dispersion relation only if the space step x is small enougth

too.

The first idea to improve the approximation order of the schema is to use the central

diferences for the time derivative of Eq. (7.3), namely [28]

j

u 2ui + ui1

uij+1 uij1

,

= D i+1

2t

x2

or, with = D t/x2

j

j

.

uij+1 = uij1 + 2 ui+1

2uij + ui1

(7.11)

Unfortunately, one can show that the schema (7.11) is unconditional unstable. Indeed, amplification factor g(k) in this case fulfilles the following equation:

g2 + 2 g 1 = 0,

= 4 sin2

kx

,

2

giving

g1,2 =

p

2 + 1.

Since |g2 (k)| > 1 for all values of k, the schema (7.11) is absolut unstable.

The DuFort-Frankel Method

Let us consider one of many alternative algorithms which have been designed to

overcome the stability problems of the simple FTCS and Richardson methods. We

modify Eq. (7.9) as (see Fig. (7.3)) [28]

j

j+1

+u

j1

u 2 i 2 i

uij+1 uij1

= D i+1

2t

x2

j+1

uij+1 =

+ ui1

1 j1

j

j

,

ui+1

+ ui1

ui +

1+

1+

(7.12)

where = 2D t/x. When the usual von Neumann stability analysis is applied

to the method (7.12), the amplification factor g(k) can be found from

(1 + )g2 2g cos(kx) + ( 1) = 0 .

It can be easily shown, that stability condition is fulfilled for all values of , so the

method (7.12) is unconditionally stable. However, this does not imply that x and

t can be made indefinitely large; we must still worry about the accuracy of the

u

3

kQ

6Q

Q

u

Qu

t j+1

t j1

q

xi1

xi

q

xi+1

u

e

u

k

Q

3

6

Q

Q

Qu

BTCS method (7.13).

tj

t j+1

tj

method. Indeed, consider the Taylor expansion for Eq. (7.3) by means of (7.12):

j

j

ui+1

uij+1 uij1 + ui1

x2

x2

2x4

D

2t 4

2

2

ut

x uxx +

uttt + . . . =

uxxxx t utt

utttt + . . .

3!

x2

4!

4!

4

2

t

t

utt + O

.

ut + O(t 2 ) = Duxx + O(x2 ) D

2

x

x2

j+1

ui

j1

ui

2t

=D

2

2

2 t

.

O t , x ,

x2

For cosistency, t/x 0 as t 0 and x 0, so (7.12) is inconsistent. This

constitutes an effective restriction on t. For large t, however, the scheme (7.12)

is consistent with another equation of the form

D utt + ut = D uxx .

One can try to overcome problems, described above by introducing an implicit

method. The simplest example is a BTCS (backward in time, central in space)

method (see Fig. 7.4) [29]. The differential schema reads:

j+1

u j+1 2uij+1 + ui1

uij+1 uij

+ O(t, x2 ) ,

= D i+1

t

x2

t j+1

t j+ 1

u

q

qu

u

xi

xi1

xi+1

t j1

j+1

j+1

uij = ui+1

(1 + 2 )uij+1 + ui1

.

(7.13)

2 1

2 kx

.

g(k) = 1 + 4 sin

2

That is, the schema (7.13) is unconditionally stable. However, the method has order

of accuracy O(t, x2 ), i.e., first order in time, and second in space. Is it possible

to improve it? The answer to is given below.

An implicit scheme, introduced by J. Crank and P. Nicolson in 1947 [6] is based on

the central approximation of Eq. (7.3) at the point (xi , t j + 12 t) (see Fig. (7.5)):

uij+1 uij

2 t

2

j+ 1

j+ 1

j+ 1

u 2 2 ui 2 + ui12

= D i+1

.

x2

The approximation used for the space derivative is just an average of approximations in points (xi , t j ) and (xi , t j+1 ):

n

n

n

(un+1 2un+1

+ un+1

un+1

uni

i

i1 ) + (ui+1 2ui + ui1 )

i

.

= D i+1

t

2 x2

j+1

j+1

+ 2(1 + )uij+1 ui1

= unj+1 + 2(1 )uij + unj1 .

ui+1

(7.14)

All terms on the right-hand side of Eq. (7.14) are known. Hence, the equations

in (7.14) form a tridiagonal linear system

Au = b .

30

25

0.8

20

0.6

15

0.4

10

0.2

heat distribution after the time

T = 30, calculated with the

FTCS method (7.9).

0

0

0.5

x

g(k) =

1 (1 coskx)

.

1 + (1 coskx)

Since and 1 cos k x are positive, the denominator of the last expression is

always greater than the numerator. That is, the absolute value of g is less than one,

i.e., the method (7.14) is unconditionaly stable.

7.1.3 Examples

Example 1

Use the FTCS explicit method (7.9) to solve the one-dimensional heat equation

ut = uxx ,

on the interval x [0, L], if the initial heat distribution is given by u(x, 0) = f (x),

and the temperature on both ends of the interval is u(0,t) = Tl , u(L,t) = Tr . Other

parameters are choosen according to the table below:

Space interval

Amount of space points

Amount of time steps

Boundary conditions

Initial heat distribution

The result of the calculation is shown on Fig 7.6.

L=1

M = 10

T = 30

Tl = Tr = 0

f (x) = 4x(1 x)

200

0.8

150

0.6

100

0.4

50

diffusion of the initial Gauss

pulse, calculated with the

BTCS implicit method (7.13).

0.2

0

5

0

x

Example 2

Use the implicit BTCS method (7.13) to solve the one-dimensional diffusion equation

ut = uxx ,

on the interval x [L, L], if the initial distribution is a Gauss pulse of the

form u(x, 0) = exp(x2 ) and the density on both ends of the interval is given as

ux (L,t) = ux (L,t) = 0. For the other parameters see the table below:

Space interval

Space discretization step

Time discretization step

Amount of time steps

L=5

x = 0.1

t = 0.05

T = 200

Example 3

Use the Crank-Nicolson method (7.14) to solve the one-dimensional heat equation

ut = 1.44 uxx ,

on the interval x [0, L], if the initial heat distribution is u(x, 0) = f (x) and again,

the temperature on both ends of the interval is given as u(0,t) = Tl , u(L,t) = Tr .

Other parameters are choosen as:

Space interval

Space discretization step

Time discretization step

Amount of time steps

Boundary conditions

Initial heat distribution

L=1

x = 0.1

t = 0.05

T = 15

Tl = 2, Tr = 0.5

f (x) = 2 1.5x + sin( x)

15

2

10

t

1.5

5

heat distribution, calculated

with the Crank-Nicolson

method (7.14).

0

0

0.5

x

0.5

Let us consider the solution of the diffusion equation (7.2) in two dimensions

2

u

u 2u

,

(7.15)

+

=D

t

x2 y2

where u = u(x, y, t), x [ax , bx ], y [ay , by ]. Suppose, that the inittial condition is

given and function u satisfies boundary conditions in both x- and in y-directions.

As before, we discretize in time on the uniform grid tn = t0 + nt, n = 0, 1, 2, . . ..

Futhermore, in the both x- and y-directions, we use the uniform grid

xi = x0 + i x ,

i = 0, , M ,

y j = y0 + j y ,

j = 0, , N ,

bx ax

,

M+1

by ay

y =

.

N +1

x =

The FTCS Method in 2D

In the case of two dimensions the explicit FTCS scheme reads

n

un+1

i j ui j

=D

x2

y2

n

n

n

n

n

un+1

i j = (ui+1 j + ui1 j ) + (ui j+1 + ui j1 ) + (1 2 2 )ui j .

The ansatz

(7.16)

ky y

kx x

4 sin2

.

g(k) = 1 4 sin2

2

2

In this case the stability condition reads

1

.

2

(7.17)

t

x2 y2

.

2D(x2 + y2 )

t

x2

,

4D

To overcome the stability restriction of the FTCS method (7.16), we can use an

implicit BTCS schema in the two-dimensional case. The schema reads:

n

un+1

i j ui j

=D

n+1

n+1

un+1

i+1 j 2ui j + ui1 j

x2

n+1

n+1

un+1

i j+1 2ui j + ui j1

y2

or

n+1

n+1

n+1

n+1

n

(un+1

i+1 j + ui1 j ) + (1 + 2 + 2 )ui j (ui j+1 + ui j1 ) = ui j .

(7.18)

Moreover, suppose that Dirichlet boundary conditions are given, that is, all values

u0 j , u4 j , ui0 , ui4 are known. Suppose also that n = 1 and define = 1 + 2 + 2 .

Then the approximation above leads to the neun algebraic equations:

u223 + u213 u212 = u113 + u203 + u214,

(u232 + u212) + u222 (u223 + u221) = u122 ,

u221 + u231 u232

2

u22 + u232 (u233 + u231)

u223 + u233 u232

= u132 + u142 ,

= u133 + u244 + u234.

Formally, one can rewrite the system above to the matrix form Au = b, i.e.,

2 1

u11

u11 + u201 + u210

0 0 0 0 0 0

1

2

0 0 0 0 0 u212

2 1 u12 +2 u02 2

0 0 0 0 0 u 2

u121 + u220

21

0 0 0 0 u 2 =

u

22

22

1 + u2

0 0 0 0 0 u 2

u

23

24

23

0 0 0 0 0 0 u2 u1 + u2 + u2

31 31

41

30

0 0 0 0 0 u 2

u132 + u242

32

1

2

2

1

0 0 0 0 0 0

u33

u33 + u44 + u34

The matrix A is a five-band matrix. Nevertheless, despite of the fact that the schema

is absolute stable, two of five bands are desposed so far apart from the main diagonal,

that simple O(n) algorithms like TDMA are difficult or even impossible to apply.

The idea of the ADI-method (alternating direction implicit) is to alternate direction

and thus solve two one-dimensional problem at each time step [17]. The first step

keeps y-direction fixed:

n+1/2

ui j

unij

t/2

=D

n+1/2

n+1/2

ui+1 j 2ui j

n+1/2

+ ui1 j

x2

n+1

n+1

un+1

i j+1 2ui j + ui j1

y2

.

n+1/2

un+1

i j ui j

t/2

=D

n+1/2

n+1/2

ui+1 j 2ui j

n+1/2

+ ui1 j

x2

Dt

,

2x2

Dt

.

2y2

y2

.

Than we get:

n+1/2

n+1/2

ui+1 j + (1 + 2 )ui j

n+1/2

(7.19)

n+1/2

n+1/2

n+1

n+1

un+1

i j+1 + (1 + 2 )ui j ui j1 = ui+1 j + (1 2 )ui j

n+1/2

+ ui+1 j .

Instead of five-band matrix in BTCS method (7.18), here each time step can be

obtained in two sweeps. Each sweep can be done by solving a tridiagonal system

of equations. The ADI-method is second order in time and space and is absolute

stable [11] (however, the ADI method in 3D is conditional stable only).

7.2.2 Examples

Use the ADI method (7.19) to solve the two-dimensional diffusion equation

t u(r, t) = u(r, t) ,

where u = u(r, t), r R2 on the interval r [0, L] [0, L], if the initial distribution

is a Gauss pulse of the form u(x, 0) = exp(20 (x L/2)2 20 (y L/2)2 ) and

the density on both ends of the interval is given as ur (0, t) = ur (L, t) = 0. Other

parameters are choosen according to the table below.

Space interval

Amount of points

Time discretization step

Amount of time steps

Solution of the problem is shown on Fig. (7.9).

L=1

M = 100, (x = y)

t = 0.001

T = 40

(a)

(b)

0.8

0.8

0.6

0.6

y

0.4

0.4

0.2

0.2

0

0

0.2

0.4

0.6

0.8

0

0

0.2

0.4

0.6

0.8

0.6

0.8

(c)

(d)

1

0.8

0.8

0.6

0.6

y

0.4

0.4

0.2

0.2

0

0

0.5

x

0

0

0.2

0.4

x

Fig. 7.9 Numerical solution of the two-dimensional diffusion equation 7.2 by means of the ADI

method (7.19), calculated at four different time moments: (a) t=0; (b) t=10; (c) t=20; (d) t=40.

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