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Classification of Equations – Characteristics

Consider an element of fluid moving in two dimensional space denoted as point P below.
The path of P is indicated by the line AB. The position variable is s so that an incremental
distance along AB is ds.
y Let the governing equations be represented
by the following relations,
B
∂u ∂u ∂v ∂v
ds a1 + b1 + c1 + d1 = f1
dy ∂x ∂y ∂x ∂y

∂u ∂u ∂v ∂v
dx a2 + b2 + c2 + d2 = f2
x ∂x ∂y ∂x ∂y
A
Here, u,v are independent variables which
could represent velocity components. The
terms a,b,c,d,f are coefficients which could
be functions of x,y. At every point in the domain u,v and all their derivatives are finite
with unique values. The objective will be to determine if there are lines in the domain
along which u,v have derivative that, although finite, are indeterminant (characteristic
lines). In a supersonic flow, these lines would be Mach lines and shock waves. Along
such lines derivatives of u,v are indeterminant. Across such lines these derivatives are
discontinuous. These can be found by realizing that u,v are functions of x,y so that their
differentials can be written as,
∂u ∂u ∂v ∂v
du = dx + dy dv = dx + dy
∂x ∂y ∂x ∂y
All four equations can be written as
 a1 b1 c1 d1  ∂u ∂x f1
 a b c d  ∂u ∂y  f 2
 2 2 2 2 
⋅ =
dx dy 0 0   ∂v ∂x  du
   
 0 0 dx dy   ∂v ∂y  dv

Any derivative can be used to determine the presence of characteristic lines, as an

example ∂u/∂x is used. By Cramer’s rule,
a1 b1 c1 d1 f1 b1 c1 d1
∂u B a b2 c2 d 2 f b2 c2 d 2
= , A= 2 , B= 2
∂x A dx dy 0 0 du dy 0 0
0 0 dx dy dv 0 dx dy

The derivative is indeterminant when ∂u/∂x = 0/0, or at least when the determinant of A
is zero. This means that if the proper direction for P is chosen, dx,dy, the value of |A| will
be identically zero. The determinant of A is,
a(dy)2 + b(dxdy) + c(dx)2 = 0
a = (a1c2 − a2c1) b = −(a1d2 − a2d1 + b1c2 − b2c1) c = (b1d 2 − b2d1)
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This equation can be written as,

2
 dy   dy 
a  + b  + c = 0
 
dx  dx 
This equation therefore provides the slopes of the characteristic lines emanating from P,
if they exist. This expression is quadratic in dy/dx. Therefore, the slopes are,
dy − b ± b2 − 4ac
=
dx 2a
The nature of these characteristic lines varies as the value of the descriminant changes,
D = b2 – 4ac.
Equation Classification
if D > 0 - two distinct, real characteristic lines exist, the governing
equations are called, Hyperbolic
if D = 0 - one line exists, the governing equations are called,
Parabolic
if D < 0 - the characteristic lines are complex and do not exist in
reality, the governing equations are called, Elliptic

Eigenvalue Method for systems of equations

A general procedure can be formulated for systems of equations based on the calculation
of eigenvalues of a matrix. Consider the system below,
∂u ∂u ∂v ∂v
a1 + b1 + c1 + d1 =0
∂x ∂y ∂x ∂y
∂u ∂u ∂v ∂v
a2 + b2 + c2 + d2 =0
∂x ∂y ∂x ∂y
Writing the solution vector as,
r u 
W = 
v 
the equations become
r r
 a1 c1  ∂W  b1 d1  ∂W
a + =0
 2 c2  ∂x b2 d 2  ∂y
or r r
∂W ∂W
[K ] + [M ] = 0
∂x ∂y
Solving, r r
∂W ∂W
+ [K ] [M ]
−1
=0
∂x ∂y
setting,
[N ] = [K ]−1[M ]
so that r r
∂W ∂W
+ [N ] =0
∂x ∂y
Diagonalizing the N matrix, we can replace it with the Eigenvector matrix,
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r r
∂W ∂W
[N ] = [λ ]
∂y ∂y
so r r
∂W ∂W
+ [λ ] =0
∂x ∂y
Replacing the N matrix with the eigenvector matrix effectively decouples all of the
equations. We can then solve for the individual characteristic lines,
∂W1 ∂W
+ λ1 1 = 0
∂x ∂y
dy
= −λ1
dx

The form of the eigenvalues determines the character of the equations. If the eigenvalues
are real, the system is hyperbolic. If the are complex, the system is elliptic. It is also
possible to have a mixed set of eigenvalues in a mixed hyperbolic-elliptic system.

One equation classification

Some problems are described by a single governing equation such as Laplace’s equation.
Considering a general equation of the form,
aφxx + bφxy + cφ yy + dφx + eφ y + fφ = g ( xy)
where a,b,c,d,e,f,g can be functions of x,y,φ,φx,φy. The classification is done in a similar
manner to the characteristic calculation done previously,

if b2-4ac > 0 - two distinct, real characteristic lines exist, the governing
equations are called, Hyperbolic
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if b -4ac = 0 - one line exists, the governing equations are called, Parabolic
if b2-4ac < 0 - the characteristic lines are complex and do not exist in reality, the
governing equations are called, Elliptic

Elliptic Equations
Elliptic equations are often called equilibrium problems since the result directly from
conservation arguments. An example of an elliptic equation is Laplace’s equation, which
can be used for stress analysis in a solid, steady state heat conduction in a solid, and
potential flow problems. As an example, consider the one dimensional steady heat
conduction in a metal rod with temperatures held fixed at both ends.

T
insulated q=0
To solution
T=To T=TL
TL
x=xo x=xL x

x=xo x=xL
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The governing equation is,

∂ 2T
=0
∂x2
The solution is a straight line whose character is defined by the values at the end points
only. Note that sources are not present. If one had been added, the solution at every point
on the bar would have effected. This is a property of elliptic systems, disturbances have
influence over the entire domain. In numerical analysis, solvers for elliptic equations
must allow information to propagate in all directions at once.

Parabolic Equations
Parabolic equations can be classified as marching problems since their solutions contain a
real characteristic line. Solutions are found my moving forward in an appropriate
dimension determined by the characteristic. In the previous example of a one dimensional
heated rod, if the profile had been allowed to change in time through a transient term, the
system would have been parabolic, t=0

∂T ∂ 2T To
=α 2
∂t ∂x t=∞
TL
solution x
The necessary conditions for a unique solution
would have been the end conditions as with the x=xo x=xL
elliptic equations, but for the parabolic solution an
initial solution is needed. In this example, an initial solution at t=0 would be necessary.
Parabolic systems are ones with significant amounts of dissipation. In this example the
marching variable is time. The solution is marched from the initial solution at t=0 to the
desired end point. A zone of dependence is established in this manner since in the
example above, a sudden disturbance can only effect the temperature profile at later
points in time.

Hyperbolic Equations
Hyperbolic equations admit wave-like solutions and exhibit a domain of dependence
similar to the parabolic equations. However, this domain of dependence is in space rather
than time. As an example, supersonic airfoil is described by a hyperbolic system of
equations. Disturbance cannot travel upstream since the oncoming velocity is greater than
the speed of sound. Another example is the second order wave equation,
∂φ 2 ∂ φ
2
=c
∂t ∂x 2
where the constant c is the wave speed. Again, the end conditions along with an initial
profile are required for a unique solution. As an example, consider the movement of an
initial displacement on a taut string. If the initial solution at time t = 0 is defined by
φ(x,t=0)=f(x), φ’(x,t=0)=g(x) then the solution has the form of two waves moving in
opposite directions,
x + ct
φ ( x, t ) = [ f ( x − ct ) + f ( x + ct )] +
1 1
2 ∫ g (s)ds
2c x −ct
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t=∆t
t=0

To TL
x x

x=xo x=xL x=xo x=xL

The implication is that at some point x,t1 the value of φ depends on information inside the
interval x-ct1 to x+ct1. Initial conditions outside this domain do not effect the local
solution at x,t1. Therefore a zone of dependence is created around x,t1,

Values at x,t1 are effected by values in t t

the domain of dependence only, defined
by the characteristic lines. The value at zone of
x,t1 effects values in the zone of influence
influence, again bounded by the
characteristic lines. Again, time is the t1 (x,t1)
marching variable.
domain of
dependance

(x-ct1) (x+ct1

Summary

Equation Type Example Conditions Domain Solution

Elliptic ∂T ∂T
2 2 Boundary only Closed domain Always
+ =0
∂y 2 ∂x 2 smooth
Parabolic ∂T ∂ 2T Boundary + Open domain in Always
=α 2
∂t ∂x initial t smooth
Hyperbolic ∂φ ∂ 2φ Boundary + Open domain in May be
= c2 2
∂t ∂x initial t and x discontinuous