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Reference Books

E. Kreyszig, Advanced Engineering Mathematics,

Ch. 11. (CH12 9th Ed)

Jain and Iyengar: Sec 9.5

Introduction

Let u be a variable which depends on independent variables x, y

and related to them by a relation of the form

u f ( x, y)

If the function on right is differentiable partially with respect to

x and y respectively, we write partial derivatives of u as

First Order Partial Derivatives

u u

ux , uy

x y

Second Order Partial Derivatives

2u 2u 2u

u xx , u xy , u yy

x 2 x y y 2

An equation containing x, y, u, ux , uy , that is, F ( x, y, u, ux , u y ) 0

is a First Order partial differential equation.

The equation is linear, if it is linear in ux, uy.

An equation containing x, y, u, ux, uy,, uxx, uxy, uyy that is,

F ( x, y, u, ux , u y , uxx , uxy , u yy ) 0

is a Second Order partial differential equation.

The second order PDE is linear, if it is linear in derivative terms.

If each term of a PDE contains dependent variable or its partial

derivative, the equation is said to be Homogeneous; otherwise

it is said to be Non-Homogeneous.

In most of applications the quantities involved (dependent

variable and coefficients) are functions of position defined by

the coordinates x, y, z and time t.

Classification of Linear Second Order PDEs

Consider the second order, linear homogeneous partial differential equation

2u 2u 2u u u

A B C D E Fu 0

x 2 xy y 2 x y

where A, B, C, D, E and F are functions of x, y or constants.

Elliptic if B 2 4 AC 0

Parabolic if B 2 4 AC 0

Hyperbolic if B 2 4 AC 0

prescribed so that problem is well formulated and has a unique solution.

Some Important linear Partial Differential Equations

2u 2 2

u One dimensional Wave equation.

c

2

t x 2 Hyperbolic

2

u 2 u One dimensional diffusion (or heat) equation.

c

t x 2 Parabolic

0

x 2 y 2 Elliptic

2u 2u 2u

2

c Two dimensional Wave equation.

t 2 2 2

x y

0 Three dimensional Laplace equation.

2 2 2

x y z

All these equations are Homogeneous.

2u 2u

f ( x, y) Two dimensional Poisson equation.

2 2

x y

This is a Non-homogeneous equation.

A solution of a PDE in some region R of the space of

independent variables is a function, which has all the derivatives

appearing in PDE and satisfies the equation everywhere in R.

In general, the totality of solutions of a PDE is very large.

For example 2-D Laplace equation

2u 2u

0 has the following solutions:

2 2

x y

u x2 y2 u e x cos y u ln( x 2 y 2 )

These solutions are entirely different from each other.

However we can find unique solutions by using the additional

conditions defined in the problem, such as

Boundary Conditions: The dependent variable u and its

derivatives are known on the boundary of the region.

Initial Conditions: When time t is one of the variables, the

dependent u and its derivatives are known at some fixed time,

usually at t = 0.

As in the case of homogeneous linear ordinary differential

equations, we can construct more solutions of a homogeneous

linear partial differential equation by using

Linearity or Superposition Principle.

PDE in some region R, then u = c1 u1 + c2 u2 with any constants

c1 and c2 is also a solution of that equation in R.

Solution of Second order PDE with

constant coefficients

Method of Separation of Variables or Fourier Method

Let in a PDE with constant coefficients u be the dependent variable and x, y be

the independent variables.

We propose a solution of PDE in the form of product of a function of x and a

function y.

We take u ( x, y ) X ( x)Y ( y )

Then we have

u u 2u 2u

XY X Y XY X Y X Y X Y

x x y y x 2 y 2

du du d 2u d 2u

where X Y X Y

dx dy dx 2 dy 2

ODEs which are solved for X and Y.

Example

Using the method of separation of variables solve the hyperbolic equation

2u 2u

16

2

t x 2

Taking u ( x, t ) X ( x) T (t )

we get

T X

X T 16 X T or

16T X

Now left hand side is a function of t alone and right hand side is function x

alone.

Therefore both left and right hand sides must be equal to a constant .

It maybe 0 or k2 or - k2

Case I : Constant is zero

In this case we have T 0 X 0

Integrating we get T at b X cx d

u ( x, y ) Axt Bx Ct D

Case 2 When constant is k2, we obtain

X k 2 X T 16k 2T

X ae kx be kx T ce 4kt de 4t

X k 2 X T 16k 2T

u AB cos( kx ) cos( 4kt )

Vibrating string and Wave equation

Mechanical disturbance propagates through a material medium

(solid, liquid, or gas) in the form of a wave at a wave speed

which depends on the elastic and inertial properties of that

medium. There are two basic types of wave motion for

mechanical waves: longitudinal waves and transverse waves.

In a Longitudinal wave the particle displacement is parallel to

the direction of wave propagation.

In a Transverse wave the particle displacement is perpendicular

to the direction of wave propagation.

of an elastic string.

We place the string along x-axis, stretch it to length L, and fix it

at the ends x = 0 and x = L.

We then distort it vertically, and at some instant, say, t = 0, we

release it and allow it to vibrate.

u

O x L X

Problem:

To determine the vibrations of the string, or

To find the deflection u(x, t) at any point x and at any time t > 0.

We first establish a differential equation which will be a

mathematical model of our physical system.

As two independent variables are involved, it will be a Partial

differential equation.

To obtain a simple equation, we make simplifying assumptions:

1. The mass of the string per unit length is constant (i.e. The

String is homogenous).

2. The string is perfectly elastic and does not offer any resistance

to bending.

3. The tension caused by stretching the string before fixing it is

so large that the action of gravitational force on the string can

be neglected.

4. When released, the string performs small motion in a vertical

plane; that is, every particle of the string moves strictly

vertically and the deflection and the slope at every point of the

string always remain small in absolute value.

u

T2

Q

P

T1

O x x+x L X

not offer any resistance to bending, the tension is tangential to the

curve of string at each point.

Let T1 and T2 be the tension at the endpoints P and Q of that portion

making angles and with horizontal.

Since the particles of the string move vertically only, hence the

horizontal component of the force due to tension must vanish.

T2 cos T1 cos 0

or T2 cos T1 cos T (1)

For the motion in the vertical direction, we apply Newton’s

second law of motion

The mass of the portion of the string times the acceleration must

be equal to the vertical component of the force.

2

x u

T2 sin T1 sin

t 2

Using (1), we divide left side by T and the terms on right by

T2 cos and T1 cos respectively, and obtain

x 2 u T2 sin T1 sin

tan tan ( 2)

T t 2 T2 cos T1 cos

u

Now tan is the slope of the string at x , therefore tan

x x

u

Similarly tan

x x x

From (2) therefore

2u 1 u u

T t 2 x x x x x x

Letting x approach zero, we obtain

2u 2 2

u 2 T

c , c

t 2

x 2

This is the equation which governs our problem and is known

as One dimensional wave equation.

The nature of motion of the string is given by the solution of

this equation which satisfies the conditions imposed by the

physical system.

In the present case, string is fixed at the ends. Therefore

u(0, t ) 0, u( L, t ) 0 for all t 0. Boundary Conditions

The form of the motion will depend on the initial deflection

and initial velocity of the string

Denoting the initial deflection by f(x) and initial velocity by

g(x), we obtain the two Initial Conditions

u

u( x , 0) f ( x ), g ( x ).

t t 0

dimensional wave equation or the PDE

2u 2

2 u

c (1)

2 2

t x

where u(x, t) satisfies

Boundary Conditions:

u(0, t ) 0, u( L, t ) 0 for all t 0. ( 2)

Initial Conditions:

u

u( x , 0) f ( x ), g ( x ). (3)

t t 0

Solution :

We apply method of Separation of Variables.

Let the solution of the wave equation (1) be

u( x , t ) F ( x ) G ( t ) ( 4)

By differentiating (4), we obtain

2u d 2G 2u d 2F

F FG and G F G

t 2 dt 2 x 2 dx 2

Here the ‘dots’ indicate derivative with respect to time t, and

‘primes’ indicate derivatives with respect to space variable x.

Using these expressions for derivatives in (1), we get

G F

2

FG c F G or

2 F

c G

Now left side depends on t only and right depends on x only,

therefore

G F

k

2 F

c G

This gives two ordinary linear homogeneous equations

F k F 0 (5)

and

G k c 2G 0 (6)

The constant k is arbitrary.

Boundary Conditions:

Using (4) in boundary conditions (2), we get

u(0, t ) F (0)G( t ) 0, u( L, t ) F ( L)G( t ) 0 for all t 0.

If G ( t ) 0, then u( x , t ) 0 and this solution is of no interest. Thus

G ( t ) 0 and

F (0) 0, F ( L) 0 (7)

These are boundary conditions for (5).

Now we solve

F k F 0 (5)

where F(x) satisfies the boundary conditions

F (0) 0, F ( L) 0 (7)

F ax b

Applying (7), we get a = 0, b = 0 and therefore F = 0.

This is of no interest because then u ≡ 0.

Case II: If k is positive, we take k = µ2. Then the general

solution is

F ae x be x

Applying (7), we get a = 0, b = 0 and therefore F = 0.

As before we are not interested in this solution.

Only alternative left is that of negative k.

Case III: k is negative, and we take k = -p 2. Then (5)

becomes F p2 F 0

Its general solution is F ( x ) a cos px b sin px

Applying boundary conditions (7), we get

F (0) a 0, and F ( L) b sin pL 0

We must have b ≠ 0, otherwise F ≡ 0. Hence sin pL 0

n

Therefore pL n so that p .

L

Thus we obtain infinitely many independent solutions

n

Fn ( x ) sin x, n 1, 2, 3, ..........

L

We consider only positive integers n, because negative integers

give the same solutions since sin( x ) sin x .

Solution of Equation (6)

2

n 2

Now with k taking the values k p n , the equation

(6) becomes L

cn

G n2G 0, where n

L

A general solution is

Gn ( t ) An cos n t Bn sin n t

can be written as

n

un ( x , t ) Fn ( x )Gn ( t ) ( An cos n t Bn sin n t ) sin x

L

n 1, 2, 3, ..................

Satisfying the Initial Conditions (3)

A single solution un(x, t) in general does not satisfy the initial

conditions. Applying the principal of superposition, we construct

the complete solution in the form of infinite series

n

u( x , t ) un ( x , t ) ( An cos n t Bn sin n t ) sin x

n 1 n 1

L

Applying Initial Conditions (3)

n

u( x , 0) An sin x f ( x) (8)

n 1

L

u n

Bn n sin x g( x ). (9)

t t 0 n 1 L

m

Multiplying (8) by sin x and integrating with respect to x

L

from 0 to L, we get

L L

n m m

An sin L x sin L xdx f ( x )sin L x dx

n 1 0 0

L

n m

Now for m n sin L

x sin

L

xdx 0

0

L L 2

n m n L

and for m n, sin x sin xdx sin x dx

0

L L

0

L 2

L

2 m

Therefore Am f ( x )sin x dx

L L

0

Similarly

L L

2 m 2 m

Bm

Lm g ( x )sin

L

x dx

m c g( x )sin

L

x dx

0 0

Thus the complete solution of One dimensional Wave equation

2u 2

2 u

c (1)

2 2

t x

satisfying the boundary conditions

u(0, t ) 0, u( L, t ) 0 for all t 0. ( 2)

and initial conditions

u

u( x , 0) f ( x ), g ( x ). (3)

is t t 0

n c n c n

u( x , t ) ( An cos L

t Bn sin

L

t ) sin

L

x

n 1

where

L L

2 m 2 m

L g( x )sin

Am f ( x )sin x dx , B x dx

L m

m c L

0 0

Observe that from the equations (8) and (9) we have

n

An sin L x f ( x ) (8.1)

n 1

n

Bn n sin L x g( x ). (9.1)

n 1

cn

where n

L

L L

2 m 2 m

Am f ( x )sin x dx , Bm g( x )sin L x dx

L L m c

0 0

The infinite series in (8.1) and (9.1) are the Fourier Sine Series

for f(x) and g(x) respectively.

Definitions:

The solutions

n

un ( x , t ) ( An cos n t Bn sin n t ) sin x

L

cn

with n , n 1, 2, 3, .................. of the PDE

L

2u 2

2 u

c

2

t x 2

satisfying the boundary conditions

u(0, t ) 0, u( x , L) 0 for all t 0

are called Eigenfunctions (or characteristic functions) and

the values n are called eigenvalues (or characteristic values).

Example: A string stretched to length L between two points

on x-axis is initially deflected to form a triangle with base on x

axis as shown in the figure.

k

If the initial velocity is zero,

determine the deflection of the string

at point x at time t > 0. O X

L L

2

2u 2 2

u

c (1)

2 2

t x

where u(x, t) satisfies

Boundary Conditions: u(0, t ) 0, u( L, t ) 0 for all t 0. ( 2)

u

Initial Conditions: u( x , 0) f ( x ), g( x ). (3)

t t 0

We know that the complete solution of the system of equation

(1) to (3) is given by

n c n c n

u( x , t ) ( An cos t Bn sin t ) sin x

n 1

L L L

where

L L

2 m 2 m

L g( x )sin

Am f ( x )sin x dx , B x dx

L m

m c L

0 0

In the present problem

2k

f ( x) x when 0 x L

L 2

2k

( L x ) when L

xL and g( x ) 0

L 2

Therefore

L2 L

2 2k m m

L L L

Am x sin x dx 2k

( L x )sin x dx

L L

0 L

2

L2 L

4k m m

2

Am x sin x dx ( L x )sin x dx

L 0 L L

L

2

4k L2 m L2 m

Am cos( ) sin( )

L 2m

2 2 m

2 2 2

L2 m L2 m L2

cos( ) sin( ) sin( m )

2m 2 m

2 2 2 m

2 2

4k m

Am 2 sin( 2 ) sin(m )

m

2 2

8k

A2m 1 ( 1)m 1 , A2m 0, m 1, 2, 3, ........

( 2m 1) 2 2

L

2 m

and Bm

m c g ( x )sin

L

x dx 0

0

( 2n 1) c ( 2n 1)

u( x , t ) A2n 1 cos t sin x

n 1

L L

8k ct x 1 3 ct 3 x

u( x , t ) cos sin cos sin

2

L L 3 2 L L

1 5 ct 5 x

cos sin ............

2

5 L L

Diffusion Equation

2

u 2 u

c (1)

t x 2

Let the solution of the diffusion equation (1) be

u( x , t ) F ( x ) G ( t ) ( 2)

By differentiating (2), we obtain

u dG 2u d 2F

F FG and G F G

t dt x 2 dx 2

Using these expressions for derivatives in (1), we get

G F

FG c 2 F G 2

cG F

Now left side depends on t only and right depends on x only,

therefore

G F

k

2 F

c G

This gives two ordinary linear homogeneous equations

F k F 0 (3)

and

G kc 2G 0 (4)

The constant k is arbitrary.

We first solve the equation (4) for different values of k.

Case I For k = 0, the equation (4) reduces to

G 0 Therefore G constant.

Hence u does not vary with time. This solution is of little

practical interest.

kc 2 t

Case II For k ≠ 0, the equation (4) has the basic solution e .

Since c2 and t are positive, this solution becomes infinite if k > 0,

and remains finite and tends to zero with the passage of time if k is

negative.

Therefore the natural choice is that k should be negative and we

take k = - p2. Then the basic solution of (4) is

p2 c 2 t

e .

The equation (3) now becomes F p2 F 0

Therefore from (2), we obtain the general solution of (1) as

p2 c 2 t

u( x , t ) F ( x ) G( t ) [a cos px b sin px] e

The constants a, b and p are determined using Initial and Boundary

conditions.

Example

A thin rod of length L is first immersed in boiling water so

that its temperature is 1000C throughout, then it is removed

from the water at time t = 0 and its ends are immediately put in

ice so that they are kept at temperature 00C. Find the

temperature at a point of the rod at a subsequent time.

time t.

Then u(x, t) satisfies

2

u 2 u

Heat equation c (1)

t x 2

To solve (1) by separation of variables we take

u( x , t ) F ( x ) G ( t )

Then from (1) we get

G F

F G c 2 F G or

2 F

c G

Now left side depends on t only and right depends on x only,

therefore G F

p2

c 2G F

This gives two ordinary linear homogeneous equations

F p2 F 0 ( 4)

and

G p 2 c 2G 0 (5)

The constant p is arbitrary.

The general solutions of (4) and (5) respectively are.

F ( x ) a cos px b sin px

p2 c 2 t

G( t ) Ae

Therefore the general solution of (1) is

p2 c 2 t

u( x , t ) F ( x ) G( t ) [a cos px b sin px ]e

Applying the boundary conditions

p2 c 2 t

u(0, t ) a e 0 a0

p2 c 2 t sin pL 0

u( L, t ) b sin pLe 0

n

pL n or p , n 1, 2, 3, ..............

L

Thus for each n we get a solution

n x p2 c 2 t

un ( x , t ) bn sin e

L

Combining all these solutions, we get the solution

n x p2 c 2 t

u( x , t ) un ( x , t ) bn sin e (6)

n 1 n 1

L

n x

u( x , 0) bn sin

L

100

n 1

m x

Multiplying the above equation by sin and integrating

with respect to x from 0 to L, we get L

L L

n x m x m x

bn sin L

sin

L

dx 100 sin

L

dx

n 1 0 0

L 100 L

bm [1 cos m ]

2 m

Laplace Equation

2u 2u 2u

0

2 2 2

x y z

This equation is a special case of 3D heat equation

u 2

u 2

u 2

u

c2

t 2 2

z

2

x y

when c2 → ∞.

It then gives steady state temperature distribution in a body.

Laplace equation also arises in many problems of Engineering

and Physics which deal with Potential Theory.

The solution of Laplace equation is a Harmonic Function and

defines Potential related to the problem.

Problem

A rectangular plate with insulated surface is 8cm wide and is so long

as compared to its width that it may be considered of infinite length

without introducing an appreciable error. If temperature along one

short edge y = 0 at time t = 0 is given by

x

u( x , 0) 10 sin , 0 x 8.

8

while the long edges x = 0 and x = 8 as well as the other short edge

are kept at 00C. Determine the steady state temperature u(x, y) at the

point (x, y) of the plate.

Y

X

o X=8

The steady state temperature u(x, y) is the solution of 2D Laplace

equation 2u 2u

0

x 2 y 2

satisfying the boundary conditions

x

u( x , 0) 10 sin , 0 x 8.

8

u(0, y ) 0 u(8, y ) y 0 Lim u( x , y ) 0

y

We take u( x , y ) F ( x ) G ( y )

d 2F d 2G

Then Laplace equation takes the form GF 0

2 2

dx dy

1 d 2F 1 d 2G

Separating the variables we get

F dx 2 G dy 2

Since x and y are independent variables, this result holds only if

each side is equal to a constant, say k.

Then we have two ordinary differential equations

d 2F d 2G

kF 0 and kG 0

2 2

dx dy

We solve these equations for

(a) k=0 (b) k = p2 > 0 (c) k = - p2 < 0

For k = 0 we get

F axb and G cyd

For k = p2 > 0, we get

F a e px b e px and G c cos py d sin py

For k = - p2 < 0, we get

F a cos px b sin px and G c e py d e py

Therefore the possible solutions are

u( x , y ) FG (a x b)(c y d ) (1)

u( x, y ) FG (a cos px b sin px )(c e py d e py ) (3)

We will select one which is consistent with given boundary

conditions

x

u( x , 0) 10 sin , 0 x 8. ( 4)

8

u(0, y ) 0 y0 (5)

u(8, y ) 0 y0 ( 6)

Lim u( x , y ) 0 ( 7)

y

Solution (2) cannot satisfy BC (7). Solution (1) cannot satisfy BC

(5) and (6) for all values of y. Therefore the only possible choice is

solution (3).

Applying the boundary conditions, we get

x

u( x, 0) (a cos px b sin px )(c d ) 10 sin (8)

8

u(0, y ) a (c e py d e py ) 0 (9)

y y

From (9) a = 0, from (11) c = 0. Then from (10) we get sin 8 p 0

n

p , n 1, 2, 3.............

8

From (8) we get x

b d sin px 10 sin

8

To satisfy this we must take n =1, then bd = 10

y

Hence u( x , y ) (b sin px )(d e py ) 10 sin

x

8

e

8

Vibrations of Circular Membrane

and many other appliances. Hence their great importance.

Whenever a circular membrane is plane and its material is elastic,

but offers no resistance to bending its vibrations are governed by

2D wave equation

2u 2

2 u u

2

c

t 2 2 2

x y

Since the membrane is Circular, we take the wave equation in

terms of polar coordinates

2u 2 u 1 u 1 2 u

2

c (1)

t 2 2 r r 2

2

r r

We solve the problem by separating the variables.

First Separation: Substituting u( r , , t ) F ( r , ) G( t ), we get

1 d 2G 1 2 F 1 F 1 2F

2 2 F r 2 r r r 2 2

c G dt

As r, , t are independent, this holds only if each side is a

constant. We take

1 d 2G 1 2 F 1 F 1 2F

p2

c 2G dt 2 F r 2 r r r 2 2

so that

d 2G

2G 0 where cp ( 2)

2

dt

2F 1 F 1 2F

p2 F 0 (3)

r 2 r r r 2 2

Second Separation: Substituting F ( r , ) E ( r ) H ( ) in (3) and

separating the variables, we get

r 2 d 2 E 1 dE 2

1 d 2

H

p E

E dr 2 r dr H d 2

As r, are independent variables, the above equation holds if

each side is equal to a constant, say k2, then

d2H

k2H 0 ( 4)

d 2

2

2 d E dE

r r r 2 p2 k 2 E 0 (5)

dr 2 dr

i t

Two independent solutions of (2) are e

The general solution of (4) is

H a cos k b sin k

Since r, are polar coordinates, and

( r , ) and ( r , 2n ) n 1, 2, 3, ...........

are coordinates of the same point, therefore solution of (4) must

be periodic with period 2π. Hence k = n = 1, 2, 3, 4………. and

H a cos n b sin n

The equation (5) now becomes

2

d E dE

r 2

2

r ( r 2 2

p n 2

)E 0

dr dr

This is a Bessel equation of order n and argument pr.

As we interested in a solution which remains finite for all values

of r, we take

H J n ( pr )

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