SOLUTION OF

Partial Differential Equations

(PDEs)

Mathematics is the Language of Science

PDEs are the expression of processes that occur

across time & space: (x,t), (x,y), (x,y,z), or (x,y,z,t)

1
Partial Differential Equations (PDE's)

A PDE is an equation which

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

2
Partial Differential Equations (PDE's)
PDE's describe the behavior of many engineering phenomena:
– Wave propagation
– Fluid flow (air or liquid)
Air around wings, helicopter blade, atmosphere
Water in pipes or porous media
Material transport and diffusion in air or water
Weather: large system of coupled PDE's for momentum,
pressure, moisture, heat, …
– Vibration
– Mechanics of solids:
stress-strain in material, machine part, structure
– Heat flow and distribution
– Electric fields and potentials
– Diffusion of chemicals in air or water
– Electromagnetism and quantum mechanics
3
Partial Differential Equations (PDE's)

Weather Prediction
• heat transport & cooling
• advection & dispersion of moisture
• radiation & solar heating
• evaporation
• air (movement, friction, momentum, coriolis forces)
• heat transfer at the surface

To predict weather one need "only" solve a very large systems of

coupled PDE equations for momentum, pressure, moisture, heat,
etc.

4
Modelización Numérica del Tiempo

360x180x32 x nvar Conservación de energía, masa,

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

v = (u, v, w), T, p, ρ = 1/α y q

resolución ∝ 1/Δt
Duplicar la resolución espacial supone incrementar el tiempo
de cómputo en un factor 16

Condición inicial H+0 H+24

D+0 D+1 D+2 D+3 D+4 D+5
sábado 15/12/2007 00 5
Partial Differential Equations (PDE's)

Learning Objectives

1) Be able to distinguish between the 3 classes of 2nd order, linear

PDE's. Know the physical problems each class represents and
the physical/mathematical characteristics of each.

2) Be able to describe the differences between finite-difference and

finite-element methods for solving PDEs.

3) Be able to solve Elliptical (Laplace/Poisson) PDEs using finite

differences.

4) Be able to solve Parabolic (Heat/Diffusion) PDEs using finite

differences.

6
Partial Differential Equations (PDE's)
Engrd 241 Focus:
Linear 2nd-Order PDE's of the general form
∂ 2u ∂ 2u ∂ 2u
A 2 +B +C 2 +D =0
∂x ∂x∂y ∂y
u(x,y), A(x,y), B(x,y), C(x,y), and D(x,y,u,,)
The PDE is nonlinear if A, B or C include u, ∂u/∂x or ∂u/∂y,
or if D is nonlinear in u and/or its first derivatives.
Classification
B2 – 4AC < 0 ––––> Elliptic (e.g. Laplace Eq.)
B2 – 4AC = 0 ––––> Parabolic (e.g. Heat Eq.)
B2 – 4AC > 0 ––––> Hyperbolic (e.g. Wave Eq.)
• Each category describes different phenomena.
• Mathematical properties correspond to those phenomena.
7
Partial Differential Equations (PDE's)
Elliptic Equations (B2 – 4AC < 0) [steady-state in time]
• typically characterize steady-state systems (no time derivative)
– temperature – torsion
– pressure – membrane displacement
– electrical potential
• closed domain with boundary conditions expressed in terms of
∂u ∂u ∂u
u(x, y), (in terms of and )
∂η ∂x ∂y
Typical examples include
2 2 ⎧ 0
∂ u ∂ u ⎪ Laplace Eq.
∇2u ≡ 2
+ =
2 ⎨ − D(x, y, u,
∂u ∂u
∂x ∂y ⎪ , ) Poisson Eq.
⎩ ∂x ∂y

A = 1, B = 0, C = 1 ==> B2 – 4AC = – 4 < 0

8
Elliptic PDEs
Boundary Conditions for Elliptic PDE's:

Dirichlet: u provided along all of edge

Neumann: ∂ u provided along all of the edge (derivative

∂η in normal direction)

Mixed: u provided for some of the edge and

∂u
for the remainder of the edge
∂η

Elliptic PDE's are analogous

to Boundary Value ODE's

9
Elliptic PDEs
u(x,y =1) or ∂u/∂y given on boundary

Estimate
u(x=0,y) u(x=1,y)
u(x)
or or
y ∂u/∂x from ∂u/∂x
given Laplace given
on Equations on
boundary boundary

u(x,y =0) or ∂u/∂y given on boundary

x

10
Parabolic PDEs

Parabolic Equations (B2 – 4AC = 0) [first derivative in time ]

• variation in both space (x,y) and time, t
• typically provided are:
– initial values: u(x,y,t = 0)
– boundary conditions: u(x = xo,y = yo, t) for all t
u(x = xf,y = yf, t) for all t

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

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

11
Parabolic PDEs
Parabolic Equations (B2 – 4AC = 0) [first derivative in time ]
• Typical example: Heat Conduction or Diffusion
(the Advection-Diffusion Equation)
∂u ∂ 2u ∂u
1D : = k 2 + D(x, u, )
∂t ∂x ∂x

A = k, B = 0, C = 0 –> B2 – 4AC = 0

∂u ⎡ ∂ 2u ∂ 2u ⎤ ∂u ∂u
2D : = k ⎢ 2 + 2 ⎥ + D(x, y, u, , )
∂t ⎢⎣ ∂ x ∂ y ⎦⎥ ∂x ∂y

= k ∇2u + D

12
Parabolic PDEs

Estimate
u(x=0,t) u(x=1,t)
u(x,t)
given given
t from on
on
boundary the Heat boundary
for all t Equation for all t

u(x,t =0) given on boundary

as initial conditions for ∂u/∂t
x

13
Parabolic PDEs

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

x=0 Δx x=L

• An elongated reactor with a single entry and exit point

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

14
Parabolic PDEs

x=0 Δx x=L
Δc ⎡ ∂ c(x) ⎤ ∂ c(x)
V = Q c(x) − Q ⎢c(x) + Δx ⎥ − D A
Δt ⎣ ∂x ⎦ ∂x
Flow in Flow out Dispersion in
⎡ ∂c(x) ∂ ∂c(x) ⎤
+ DA⎢ + Δx ⎥ − k V c(x)
⎣ ∂x ∂x ∂x ⎦ Decay
Dispersion out
reaction

Δc ∂c ∂ 2c Q ∂c
As Δt and Δx ==> 0 ==> =D 2 − − kc
Δt ∂t ∂x A ∂x

15
Hyperbolic PDEs

Hyperbolic Equations (B2 – 4AC > 0) [2nd derivative in time ]

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

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

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

backward in time.

16
Hyperbolic PDEs
Hyperbolic Equations (B2 – 4AC > 0) [2nd derivative in time]

• Typical example: Wave Equation

∂ 2u 1 ∂ 2u ∂u ∂u
1D : 2
− 2 2
+ D(x, y, u, , )=0
∂x c ∂t ∂x ∂t

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

• Models
– vibrating string
– water waves
– voltage change in a wire

17
Hyperbolic PDEs

Estimate
u(x=0,t) u(x=1,t)
u(x,t)
given given
t from on
on
boundary the Wave boundary
for all t Equation for all t

x
u(x,t =0) and ∂u(x,t=0)/∂t
given on boundary
as initial conditions for ∂2u/∂t2
Now PDE is second order in time

18
Numerical Methods for Solving PDEs
Numerical methods for solving different types of PDE's reflect the different
character of the problems.
• Laplace - solve all at once for steady state conditions
• Parabolic (heat) and Hyperbolic (wave) equations.
Integrate initial conditions forward through time.

Methods
• Finite Difference (FD) Approaches (C&C Chs. 29 & 30)
Based on approximating solution at a finite # of points, usually
arranged in a regular grid.
• Finite Element (FE) Method (C&C Ch. 31)
Based on approximating solution on an assemblage of simply shaped
(triangular, quadrilateral) finite pieces or "elements" which together
make up (perhaps complexly shaped) domain.
In this course, we concentrate on FD
applied to elliptic and parabolic equations.

19
Finite Difference for Solving Elliptic PDE's

Solving Elliptic PDE's:

• Solve all at once
• Liebmann Method:
– Based on Boundary Conditions (BCs) and finite
difference approximation to formulate system of
equations
– Use Gauss-Seidel to solve the system
2 2
∂ u ∂ u ⎪
⎧ 0 Laplace Eq.
+ = ⎨ ∂u ∂u
∂x
2
∂y
2 − D(x, y, u, , ) Poisson Eq.
⎪⎩ ∂x ∂y

20
Finite Difference Methods for Solving Elliptic PDE's
1. Discretize domain into grid of evenly spaced points
2. For nodes where u is unknown:
∂ 2u u i −1, j − 2u i, j + u i +1, j
= + O( Δ x 2 )
∂ x2 ( Δx ) 2
∂ 2u u i, j−1 − 2u i, j + u i, j+1
= + O( Δ y 2 )
∂ y2 (Δ y) 2
w/ Δ x = Δ y = h, substitute into main equation
2 2
∂ u ∂ u u i −1, j + u i +1, j + u i, j−1 + u i, j+1 − 4u i, j
2
+ 2
= 2
+ O(h 2 )
∂x ∂y h
3. Using Boundary Conditions, write, n*m equations for
u(xi=1:m, yj=1:n) or n*m unknowns.
4. Solve this banded system with an efficient scheme. Using
Gauss-Seidel iteratively yields the Liebmann Method.
21
Elliptical PDEs
2 2
∂ u ∂ u
The Laplace Equation 2
+ 2
=0
∂x ∂y

The Laplace molecule j+1

j-1
i-1 i i+1

If Δx = Δy then Ti+1, j + Ti−1, j + Ti, j+1 + Ti, j−1 − 4Ti, j = 0

22
Elliptical PDEs
The Laplace molecule: Ti+1, j + Ti−1, j + Ti, j+1 + Ti, j−1 − 4Ti, j = 0
T = 100o C
The temperature distribution
1,1 1,2 1,3 can be estimated by discretizing
T = 0o C
2,1 2,2 2,3
T = 100o C the Laplace equation at 9 points
3,1 3,2 3,3
and solving the system of linear
equations.
T = 0o C
T11 T12 T13 T21 T22 T23 T31 T32 T33

⎧ ⎫
⎡-4 1 0 1 0 0 0 0 0 ⎤⎥ ⎧⎪ T11 ⎫⎪ ⎪-100 ⎪
⎢1
⎢ -4 1 0 1 0 0 0 0 ⎥ ⎪ T12 ⎪ ⎪-100 ⎪
⎢0 1 -4 0 0 1 0 0 0 ⎥ ⎪ T13 ⎪ ⎪-200 ⎪
⎢1 0 0 -4 1 0 1 0 0 ⎥ ⎪⎪ T21 ⎪⎪ ⎪⎪ 0 ⎪⎪
⎢0 1 0 1 -4 1 0 1 0 ⎥ ⎨T22 ⎬ = ⎨ 0 ⎬
⎢0 0 1 0 1 -4 0 0 1 ⎥⎥ ⎪T23 ⎪ ⎪-100 ⎪
⎢
⎢0 0 0 1 0 0 -4 1 0 ⎥ ⎪⎪ T31 ⎪⎪ ⎪⎪ 0 ⎪⎪
⎢0 0 0 0 1 0 1 -4 1 ⎥ ⎪T32 ⎪ ⎪ 0 ⎪
⎢⎣ 0 0 0 0 0 1 0 1 -4⎥⎦ ⎪⎩T33 ⎪⎭ ⎪-100 ⎪ Excel
⎩ ⎭
23
Solution of Elliptic PDE's: Additional Factors
• Primary (solve for first):
u(x,y) = T(x,y) = temperature distribution
• Secondary (solve for second):
∂T ∂T
heat flux: q x = −k ′ and q y = − k ′
∂x ∂y
obtain by employing:
∂ T Ti+1, j − Ti−1, j ∂ T Ti, j+1 − Ti, j−1
≈ ≈
∂x 2Δx ∂y 2Δy
then obtain resultant flux and direction:
2 2 − ⎛ qy ⎞
qn = qx + q y 1
θ = tan ⎜ ⎟ qx > 0
⎝ qx ⎠
−1 ⎛ q y ⎞
θ = tan ⎜ ⎟ + π qx < 0
⎝ qx ⎠
(with θ in radians) 24
Elliptical PDEs: additional factors
T = 100o C ∂T Ti +1, j − Ti−1, j
q x = −k′ ≈ −k′
∂x 2Δx
50.0 71.4 85.7
∂T Ti, j+1 − Ti, j−1
T = 0o C T = 100o C q y = −k′ ≈ −k′
28.6 50 71.4
∂y 2Δy
14.3 28.6 50
k' = 0.49 cal/s⋅cm⋅°C
T = 0o C

At point 2,1 (middle left):

qx ~ -0.49 (50-0)/(2⋅10cm) = -1.225 cal/(cm2⋅s)
qy ~ -0.49 (50-14.3)/(2⋅10cm) = -0.875cal/(cm2⋅s)

q n = q x 2 + q y 2 = 1.2252 + 0.8752 = 1.851 cal /(cm 2 ⋅ s)

−1 ⎛ q y
⎞ −1 ⎛ −0.875 ⎞ o o o
θ = tan ⎜ ⎟ = tan ⎜ ⎟ = 35.5 + 180 = 215.5
⎝ qx ⎠ ⎝ −1.225 ⎠
25
Solution of Elliptic PDE's: Additional Factors
Neumann Boundary Conditions (derivatives at edges)
– employ phantom points outside of domain
– use FD to obtain information at phantom point,
T1,j + T-1,j + T0,j+1 + T0,j-1 – 4T0,j = 0 [*]

If given
∂T
then use ∂ T T1, j − Ti −1, j
=
∂x ∂x 2Δ x
∂T
to obtain T−1, j = T1, j − 2 Δ x
∂x
∂T
Substituting [*]: 2T1, j − 2 Δ x + T0, j+1 + T0, j−1 − 4 T0, j = 0
∂x
Irregular boundaries
• use unevenly spaced molecules close to edge
• use finer mesh
26
 Elliptical PDEs: Derivative Boundary Conditions
The Laplace molecule: Ti+1, j + Ti−1, j + Ti, j+1 + Ti, j−1 − 4Ti, j = 0
T = 100o C
Derivative (Neumann) BC at (4,1):
1,1 1,2 1,3 ∂T T3,1 - T5,1
=
T = 75o C
2,1 2,2 2,3
T = 50o C ∂y 2Δy
3,1 3,2 3,3 ∂T
T5,1 = T3,1 − 2Δy
Insulated ==> ∂T/ ∂y = 0 ∂y

Substitute into: T4,2 + T4,0 + T3,1 + T5,1 − 4T4,1 = 0

To obtain:
∂T
T4,2 − T4,0 + 2T3,1 − 2Δy − 4T4,1 = 0
∂y
0
27
Parabolic PDE's: Finite Difference Solution

Solution of Parabolic PDE's by FD Method

• use B.C.'s and finite difference approximations to formulate
the model
• integrate I.C.'s forward through time
• for parabolic systems we will investigate:
– explicit schemes & stability criteria
– implicit schemes
- Simple Implicit
- Crank-Nicolson (CN)
- Alternating Direction (A.D.I), 2D-space

28
Parabolic PDE's: Heat Equation
Prototype problem, Heat Equation (C&C 30.1):
∂T ∂ 2T
1D =k 2 Find T(x,t)
∂t ∂x
∂T ⎛ ∂ 2T ∂ 2T ⎞
2D = k⎜ 2 + 2 ⎟ Find T(x,y,t)
∂t ⎜ ⎟
⎝∂x ∂y ⎠
Given the initial temperature distribution
as well as boundary temperatures with
k'
k= = Coefficient of thermal diffusivity
Cρ
⎧⎪k' = coefficient of thermal conductivity
where: ⎨C = heat capacity
⎪⎩ ρ = density

29
Parabolic PDE's: Finite Difference Solution

Solution of Parabolic PDE's by FD Method

1. Discretize the domain into a grid of evenly spaces points
(nodes)
2. Express the derivatives in terms of Finite Difference
Approximations of O(h2) and O(Δt) [or order O(Δt2)]

∂ 2T ∂ 2T ∂T Finite
∂x 2 ∂ y2 ∂t Differences

3. Choose h = Δx = Δy, and Δt and use the I.C.'s and B.C.'s

to solve the problem by systematically moving ahead in
time.

30
Parabolic PDE's: Finite Difference Solution

Time derivative:
• Explicit Schemes (C&C 30.2)
Express all future (t + Δt) values, T(x, t + Δt), in
terms of current (t) and previous (t - Δt)
information, which is known.
• Implicit Schemes (C&C 30.3 -- 30.4)
Express all future (t + Δt) values, T(x, t + Δt), in
terms of other future (t + Δt), current (t), and
sometimes previous (t - Δt) information.

31
Parabolic PDE's: Notation
Notation:
Use subscript(s) to indicate spatial points.
Use superscript to indicate time level: Tim+1 = T(xi, tm+1)
Express a future state, Tim+1, only in terms of the present state, Tim
∂T ∂2T
1-D Heat Equation: =k
∂t ∂x 2
∂ 2 T Tim−1 − 2Tim + Tim+1 2
2
= 2
+ O( Δ x) Centered FDD
∂x (Δx)
∂ T Tim+1 − Tim
= + O(Δt) Forward FDD
∂t Δt
Solving for Tim+1 results in:
Tim +1 = Tim + λ(Ti-1m − 2Tim + Ti+1m) with λ = k Δt /(Δx)2
Tim +1 = (1-2λ) Tim + λ (Ti-1m + Ti+1m )
32
Parabolic PDE's: Explicit method
t = 6 10 10

t = 5 10 10

t = 4 10 10

t = 3 10 10

t = 2 10 10

t=1
10 10
t=0
10 10 15 20 15 10 10 10
Initial temperature
33
Parabolic PDE's: Example - explicit method
∂T ∂2T
Example: The 1-D Heat Equation =k
∂t ∂x 2
k = 0.82 cal/s·cm·oC, 10-cm long rod,
t
Δt = 2 secs, Δx = 2.5 cm (# segs. = 4) t

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

Example

100° C
B.C.'s: T(x = 0, all t) = 100°

50° C
T(x = 10, all t) = 50°

with λ = k Δt / (Δx)2 = 0.262

X=0 0° C X = 10 cm

Tim +1 = Tim + λ ( Tim−1 − 2Tim + Tim+1 )

34
 Parabolic PDE's: Example - explicit method
∂T ∂2T
Example: The 1-D Heat Equation =k
∂t ∂x 2
( )
Tim +1 = Tim + λ Tim−1 − 2Tim + Tim+1

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

T11 = T10 + λ(T00 +T10 +T20 ) = 0 + 0.262[100–2(0)+0] = 26.2°
T21 = T20 + λ(T10 +T20 +T30 ) = 0 + 0.262[0–2(0)+0] = 0°
T31 = T30 + λ(T20 +T30 +T40 ) = 0 + 0.262[0–2(0)+50] = 13.1°
From t = 2 secs. (m = 1), find results at t = 4 secs. (m = 2):
T12 = T11 + λ(T01 +T11 +T21 ) = 26.2+0.262[100–2(26.2)+0] = 38.7°
T22 = T21 + λ(T11 +T21 +T31 ) = 0+0.262[26.2–2(0)+13.1] = 10.3°
T32 = T31 + λ(T21 +T31 +T41 ) =13.1 + 0.262[0–2(13.1)+50] = 19.3°

35
Parabolic PDE's: Explicit method
t=6

t=4 Left Right

Bndry Bndry
t=2 100°C 50°C
26.2° 0° 13.1°
t=0
0 °C
Initial temperature

T11 = T10 + λ(T00 – 2T10 +T20 ) = 0 + 0.262[100–2(0)+0] = 26.2°

T21 = T20 + λ(T10 – 2T20 +T30 ) = 0 + 0.262[0–2(0)+0] = 0°
T31 = T30 + λ(T20 – 2T30 +T40 ) = 0 + 0.262[0–2(0)+50] = 13.1°

36
Parabolic PDE's: Explicit method
t=6

t=4 Left Right

Bndry 38.7° 10.3° 19.3° Bndry
t=2 100°C 50°C
26.2° 0° 13.1°
t=0
0 °C
Initial temperature

T12 = T11 + λ(T01 – 2T11 +T21 ) = 26.2 + 0.262[100–2(26.2)+0] = 38.7°

T22 = T21 + λ(T11 – 2T21 +T31 ) = 0 + 0.262[26.2–2(0)+13.1] = 10.3°
T32 = T31 + λ(T21 – 2T31 +T41 ) = 13.1 + 0.262[0–2(13.1)+50] = 19.3°

37
Parabolic PDE's: Stability
We will cover stability in more detail later, but we will show that:

The Explicit Method is Conditionally Stable :

For the 1-D spatial problem, the following is the stability condition:
kΔt 1 (Δx) 2
λ= 2
≤ or Δt ≤
(Δx) 2 2k
λ ≤ 1/2 can still yield oscillation (1D)
λ ≤ 1/4 ensures no oscillation (1D)
λ = 1/6 tends to optimize truncation error

We will also see that the Implicit Methods are unconditionally

stable.
Excel: Explicit
38
Parabolic PDE's: Explicit Schemes

Summary: Solution of Parabolic PDE's by Explicit Schemes

Advantages: very easy calculations,

simply step ahead

Disadvantage: – low accuracy, O (Δt)

accurate with respect to time
– subject to instability; must use "small" Δt's
Î requires many steps !!!

39
Parabolic PDE's: Implicit Schemes

Implicit Schemes for Parabolic PDEs

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

40
 ∂T ∂2T
The 1-D Heat Equation: =k
∂t ∂x 2

Simple Implicit Method. Substituting:

∂2T Tim−1+1 − 2Tim+1 + Tim+1+1

2
= 2
+ O(Δx) 2 Centered FDD
∂x (Δx)
∂ T Tim+1 − Tim
= + O(Δt) Backward FDD
∂t Δt
Δt
results in: −λTim−1+1 + (1 + 2λ )Tim +1 − λTim+1+1 = Tim with λ = k
(Δx) 2
1. Requires I.C.'s for case where m = 0: i.e., Ti0 is given for all i.
2. Requires B.C.'s to write expressions @ 1st and last interior
nodes (i=0 and n+1) for all m.
41
Parabolic PDE's: Simple Implicit Method
t = 6 10 10

t = 5 10 10

t = 4 10 10

t = 3 10 10

t = 2 10 10

t=1
10 10
t=0
10 10 15 20 15 10 10 10
Initial temperature
42
Parabolic PDE's: Simple Implicit Method

Explicit Method
m+1
(
Tim +1 = Tim + λ Tim+1 − 2Tim + Tim−1 )
m
i-1 i i+1

Simple Implicit Method

m +1
Tim = −λTim−1+1 + (1 + 2λ ) Tim +1 − λTim+1+1
m
i-1 i i+1
Δt
with λ = k 2
for both
(Δx)
43
Parabolic PDE's: Simple Implicit Method
t=6

t=4 Left Right

Bndry Bndry
t=2 100°C 50°C

t=0
0 °C
Initial temperature

At the Left boundary: (1+2λ)T1m+1 - λT2m+1 = T1m + λ T0m+1

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

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

44
 Parabolic PDE's: Simple Implicit Method
⎧ 1⎫
m = 3; t = 6 ⎡ 1.8 -0.4 0 0 ⎤ ⎪ T1 ⎪ ⎧40 ⎫
⎢-0.4 1.8 -0.4 0 ⎥ ⎪T 1 ⎪ ⎪ 0 ⎪
⎢ ⎥ ⎪⎨ 2 ⎪⎬ = ⎪⎨ ⎪⎬
m = 2; t = 4 Left Right ⎢ 0 -0.4 1.8 -0.4 ⎥ ⎪T 1 ⎪ ⎪ 0 ⎪
Bndry Bndry ⎢ ⎥⎪ 3 ⎪ ⎪ ⎪
⎣ 0 0 -0.4 1.8 ⎦ ⎪T 1 ⎪ ⎩20 ⎭
m = 1; t = 2 100°C 50°C ⎩ 4 ⎭
T11 T21 T31 T41 ⎧ T11 ⎫
⎪ ⎪ ⎧27.6 ⎫
m = 0; t = 0 ⎪⎪T21 ⎪⎪ ⎪⎪6.14 ⎪⎪
0 °C ⎨ 1⎬ = ⎨ ⎬
Let λ = 0.4 Initial temperature ⎪T3 ⎪ ⎪4.03 ⎪
⎪ 1 ⎪ ⎪⎩12.0 ⎪⎭
⎩⎪T4 ⎭⎪
At the Left boundary: (1+2λ)T11 - λT21 = T10 + λT01
1.8 T11 – 0.4 T21 = 0 + 0.8*100 = 40
Away from boundary: -λTi-11 + (1+2λ)Ti1 – λTi+11 = Ti0
-0.4 T11 + 1.8 T21 – 0.4 T31 = 0 = 0
-0.4 T21 + 1.8 T31 – 0.4 T41 = 0 = 0

At the Right boundary: (1+2λ)T31 – λT21 = T30 + λT41

1.8 Tim+1 – 0.4 Ti-1m+1 = 0 + 0.4*50) = 20
45
 Parabolic PDE's: Simple Implicit Method
⎧ 2⎫
m = 3; t = 6 ⎡ 1.8 -0.4 0 0 ⎤ ⎪ T1 ⎪ ⎧78.5 ⎫
⎢-0.4 1.8 -0.4 0 ⎥ ⎪T 2 ⎪ ⎪6.14 ⎪
Left Right ⎢ ⎥ ⎪⎨ 2 ⎪⎬ = ⎪⎨ ⎪
⎬
m = 2; t = 4 T22 ⎢ 0 -0.4 1.8 -0.4 ⎥ ⎪T 2 ⎪ ⎪4.03 ⎪
Bndry T12 T31 T41
Bndry ⎢ ⎥⎪ 3 ⎪ ⎪
⎣ 0 0 -0.4 1.8 ⎦ 32.0 ⎪⎭
⎪⎩T4 ⎪⎭ ⎩
2
m = 1; t = 2 100°C 50°C
23.6 6.14 4.03 12.0
⎧ T12 ⎫
m = 0; t = 0 ⎪ ⎪ ⎧38.5 ⎫
0 °C ⎪⎪T22 ⎪⎪ ⎪⎪14.1 ⎪⎪
Let λ = 0.4 Initial temperature ⎨ 2⎬= ⎨
⎪T3 ⎪ ⎪9.83 ⎪
⎬
⎪ 2 ⎪ ⎪⎩20.0 ⎪⎭
⎪⎩T4 ⎪⎭
At the Left boundary: (1+2λ)T12 - λT22 = T11 + λT0 2

1.8 T12 – 0.4 T22 = 23.6+ 0.4*100 = 78.5

Away from boundary: -λTi-12 + (1+2λ)Ti2 – λTi+12 = Ti1
-0.4*T12+ 1.8*T22 – 0.4*T32 = 6.14 = 6.14
-0.4*T22 + 1.8*T32 – 0.4*T42 = 4.03 = 4.03

At the Right boundary: (1+2λ)T32 – λT42 = T31 + λT42

1.8*T32 – 0.4*T42 = 12.0 + 0.4*50 = 32.0
Excel: Implicit 46
Parabolic PDE's: Crank-Nicolson Method
Implicit Schemes for Parabolic PDEs
Crank-Nicolson (CN) Method (Implicit Method)
Provides 2nd-order accuracy in both space and time.
Average the 2nd-derivative in space for tm+1 and tm.

∂2T 1 ⎡ Tim−1 − 2Tim + Tim+1 Tim−1+1 − 2Tim+1 + Tim+1+1 ⎤ 2

= ⎢ + ⎥ + O( Δx)
∂x 2 2 ⎢⎣ (Δx) 2
(Δx) 2
⎥⎦
∂ T Tim+1 − Tim
= + O(Δt 2 ) (central difference in time now)
∂t Δt

−λTim−1+1 + 2(1 + λ )Tim +1 − λTim+1+1 = λTim−1 + 2(1 − λ)Tim − λTim+1

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

Requires B.C.'s in order to write expression for T0m+1 & Ti+1m+1
47
Parabolic PDE's: Crank-Nicolson Method
xi-1 xi xi+1

tm+1 Left Right

tm+1/2 Bndry Bndry
tm 100°C 50°C

0 °C
Initial temperature

−λTim−1+1 + 2(1 + λ )Tim +1 − λTim+1+1 = λTim−1 + 2(1 − λ)Tim − λTim+1

Crank-Nicolson
48
Parabolic PDE's: Implicit Schemes

Summary: Solution of Parabolic PDE's by Implicit Schemes

Advantages:
• Unconditionally stable.
• Δt choice governed by overall accuracy.
[Error for CN is O(Δt2) ]
• May be able to take larger Δt Î fewer steps

Disadvantages:
• More difficult calculations,
especially for 2D and 3D spatially
• For 1D spatially, effort ≈ same as explicit
because system is tridiagonal.

49
Stability Analysis of Numerical Solution to Heat Eq.
Consider the classical solution of the Heat Equation:
∂T ∂ 2T
=k 2
∂t ∂x
To find the form of the solutions, try:
T(x, t) = e − at sin(ωx)
Substituting this into the Heat Equation yields:
- a T(x,t) = - k ω2 T(x,t)
OR a = k ω2
− kω2 t
⇒ T(x, t) = e sin(ωx)
Each sin component of the initial temperature distribution
decays as
exp{- k ω2 t)
50
Stability Analysis
Consider FD schemes as advancing one step with a
"transition equation":
{Tm+1} = [A] {Tm} with [A] a function of λ = k Δt / (Δx)2
with { }
Tm = ⎢T1m ,T2m ,L ,Tim ,L ,Tnm ⎥ T
⎣ ⎦
with zero boundary conditions
First step can be written:
{T1} = [A] {T0} w/ {T0} = initial conditions
Second step as:
{T2} = [A] {T1} = [A]2{T0}
and mth step as:
{Tm } = [A] {Tm-1} = [A]m{T0}
(Here "m" is an exponent on [A])

51
Stability Analysis

{Tm } = [A]m{T0}

• For the influence of the initial conditions and any rounding

errors in the IC (or rounding or truncation errors introduced
in the transition process) to decay with time, it must be the
case that || A || < 1.0

• If || A || > 1.0, some eigenvectors of the matrix [A] can grow

without bound generating ridiculous results. In such cases
the method is said to be unstable.

• Taking r = || A || = || A ||2 = maximum eigenvalue of [A] for

symmetric A (the "spectral norm"), the maximum
eigenvalue describes the stability of the method.
52
Stability Analysis
Illustration of Instability of Explicit Method (for a simple case)
Consider 1D spatial case: Tim+1 = λTi-1m + (1- 2λ)Tim + λTi+1m
Worst case solution: Tim = r m(-1) i (high frequency x-oscillations
in index i)
Substitution of this solution into the difference equation yields:
r m+1 (-1) i = λ r m (-1) i-1 + (1-2λ) r m (-1) i + λ r m (-1) i+1
r = λ (-1) -1 + (1-2λ) + λ (-1) +1
or r=1–4λ
If initial conditions are to decay and nothing “explodes,” we need:
–1 < r < 1 or 0 < λ < 1/2.
For no oscillations we want:
0< r <1 or 0 < λ < 1/4.
53
Stability of the Simple Implicit Method
+1 m+1 m+1
Consider 1D spatial: −λTim
−1 + (1 + 2λ )Ti − λ Ti +1 = Ti
m

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

Substitution of this solution into difference equation yields:

i −1 i i +1 i
−λr m+1 ( −1) + (1 − 2λ ) r m+1 ( −1) − λr m+1 ( −1) = r m ( −1)

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

or r = 1/[1 + 4 λ]
i.e., 0 < r < 1 for all λ > 0

54
 Stability of the Crank-Nicolson Implicit Method
Consider:
+1 m+1 m+1
−λTim
−1 + 2(1 + λ )Ti − λTi+1 = λT m
i−1 + 2(1 − λ )Ti
m
+ λT m
i+1

i
Worst case solution: Tim = r m ( −1)
Substitution of this solution into difference equation yields:
i −1 i i +1
−λr m+1 ( −1) + 2 (1 + λ ) r m+1 ( −1) − λr m+1 ( −1) =
i −1 i i +1
λr m
( −1) + 2 (1 − λ ) r m
( −1) + λr m
( −1)
r [–λ (–1)–1 + 2(1 + λ) – λ (–1)+1] = λ (–1)–1 + 2(1 – λ) + λ (–1)+1
or r = [1 – 2 λ ] / [1 + 2 λ]
i.e., | r | < 1 for all λ > 0
55
Stability Summary, Parabolic Heat Equation
Roots for Stability Analysis of Parabolic Heat Eq.

1.00
r(explicit)
r(implicit)
r(C-N)
0.50
analytical

r 0.00
0 0.25 0.5 0.75 1 1.25

-0.50

-1.00
λ

56
Parabolic PDE's: Stability
Implicit Methods are Unconditionally Stable :
Magnitude of all eigenvalues of [A] is < 1 for all values of λ.
Î Δx and Δt can be selected solely to control the overall accuracy.

Explicit Method is Conditionally Stable :

kΔt 1 (Δx) 2
Explicit, 1-D Spatial: λ = 2
≤ or Δt ≤
(Δx) 2 2k
λ ≤ 1/2 can still yield oscillation (1D)
λ ≤ 1/4 ensures no oscillation (1D)
λ = 1/6 tends to optimize truncation error

Explicit, 2-D Spatial: kΔt 1 h2

λ= ≤ or Δt ≤
h2 4 4k
(h = Δx = Δy)

57
Parabolic PDE's in Two Spatial dimension
∂T ⎛ ∂ 2T ∂ 2T ⎞
2D = k⎜ 2 + 2 ⎟ Find T(x,y,t)
∂t ⎜∂x ∂ y ⎟⎠
⎝

Explicit solutions :
(Δx) 2 + (Δy)2
Stability criterion Δt ≤
8k
kΔt 1 h2
if h = Δx = Δy ==> λ= 2
≤ or Δt ≤
h 4 4k

Implicit solutions : No longer tridiagonal

58
Parabolic PDE's: ADI method

Alternating-Direction Implicit (ADI) Method

• Provides a method for using tridiagonal matrices for solving

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

first direction second direction

59
Parabolic PDE's: ADI method
• Provides a method for using tridiagonal matrices for solving
parabolic equations in 2 spatial dimensions.
• Each time increment is implemented in two steps:

Explicit tγ+1
Implicit
yi+1
yi tγ+1/2
yi-1
xi-1 xi xi+1
yi+1
yi tγ
yi-1
xi-1 xi xi+1
first half-step second half-step

ADI example
60