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- Modeling and Simulation of Dynamic Systems
- Adv Math Project
- Suggested Solution to Assignment 1_MATH4220
- Suggested Solution to Assignment 1_MATH4220.pdf
- A Novel Approach for Solving the Fisher Equation u
- m2k_dfq_nrdhom
- MATH4220.pdf
- 442 Syl 2012
- 7. Non-Homogeneous Linear Equations
- d,e
- Classification
- Partial Differential Equation - Wikipedia, The Free Encyclopedia
- Nsds 11 Small
- Slides 09
- FourierTransforms
- Accuracy
- Ordinary Differential Equations course notes
- Lecture 2 NPDE
- Appendix - ODE Review
- Inversi Pyton Paper

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Contents

1 INTRODUCTION 1

3.2 PROBLEMS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20

i

Abstract

Chapter 1

INTRODUCTION

with its derivatives. In applications, the functions usually represent physical quantities,

the derivatives represent their rates of change, and the equation defines a relationship

between the two. Because such relations are extremely common, differential equations

play a prominent role in many disciplines including engineering, physics, economics, and

biology. In pure mathematics, differential equations are studied from several different

perspectives, mostly concerned with their solutionsthe set of functions that satisfy the

equation. Only the simplest differential equations are solvable by explicit formulas;

If a closed-form expression for the solution is not available, the solution may be

1

numerically approximated using computers. The theory of dynamical systems puts

many numerical methods have been developed to determine solutions with a given

degree of accuracy

Differential equations first came into existence with the invention of calculus

by Newton and Leibniz. Isaac Newton listed three kinds of differential equations

dy

= f (x)

dx

dy

= f (x, y)

dx

∂y ∂y

x1 + x2 =y

∂x1 ∂x2

He solves these examples and others using infinite series and discusses the non-

y ′ + P (x)y = Q(x)y n

2

1.3 PARTIAL DIFFERENTIAL EQUATION

change with respect to continuous variables. For example, the position of a rigid body

is specified by six parameters,[1] but the configuration of a fluid is given by the con-

forth. The dynamics for the rigid body take place in a finite-dimensional configuration

space; the dynamics for the fluid occur in an infinite-dimensional configuration space.

This distinction usually makes PDE’s much harder to solve than ordinary differential

equations (ODE’s), but here again, there will be simple solutions for linear problems.

Classic domains where PDE’s are used include acoustics, fluid dynamics, electrody-

namics, and heat transfer. A partial differential equation (PDE) for the function u(x1,

∂ 2u ∂ 2u

∂u ∂u

f x1 , . . . xn ; u, ,... ; ,... ... =0

∂x1 ∂xn ∂x1 ∂x1 ∂x1 ∂xn

If f is a linear function of u and its derivatives, then the PDE is called linear. Common

examples of linear PDE’s include the heat equation, the wave equation, Laplace’s equa-

simple PDE is

∂u

(x, y) = 0

∂x

This relation implies that the function u(x,y) is independent of x. However, the equa-

tion gives no information on the function’s dependence on the variable y. Hence the

3

general solution of this equation is

du

(x) = 0

dx

where c is any constant value. These two examples illustrate that general solutions

additional conditions must generally be specified on the boundary of the region where

the solution is defined. For instance, in the simple example above, the function f(y)

solutions of ordinary differential equations has a very satisfactory answer with the

PicardLindelof theorem, that is far from the case for partial differential equations. The

CauchyKowalevski theorem states that the Cauchy problem for any partial differential

equation whose coefficients are analytic in the unknown function and its derivatives,

has a locally unique analytic solution. Although this result might appear to settle the

existence and uniqueness of solutions, there are examples of linear partial differential

equations whose coefficients have derivatives of all orders (which are nevertheless not

analytic) but which have no solutions at all: see Lewy (1957). Even if the solution of a

partial differential equation exists and is unique, it may nevertheless have undesirable

4

properties. The mathematical study of these questions is usually in the more powerful

∂ 2u ∂ 2u

+ =0

∂x2 ∂y 2

fied as parabolic, hyperbolic and elliptic. Others, such as the EulerTricomi equation,

have different types in different regions. The classification provides a guide to appro-

priate initial and boundary conditions and to the smoothness of the solutions.

Equations of first order: Linear equations of second order Assuming uxy = uyx

the general linear second-order PDE in two independent variables has the form

where the coefficients A, B, C... may depend upon x and y. If A2 + B 2 + C 2 > 0 over a

region of the xy-plane, the PDE is second-order in that region. This form is analogous

Ax2 + 2Bxy + Cy 2 + · · · = 0

More precisely, replacing x by X, and likewise for other variables (formally this is done

same degree, with the top degree (a homogeneous polynomial, here a quadratic form)

5

Equation of second order: Just as one classifies conic sections and quadratic forms

into parabolic, hyperbolic, and elliptic based on the discriminant B 2 − 4AC , the

same can be done for a second-order PDE at a given point. However, the discrim-

2B rather than B; formally, the discriminant (of the associated quadratic form) is

(2B)2 − 4AC = 4(B 2 − AC) , with the factor of 4 dropped for simplicity. B 2 − AC < 0

the coefficients allow, within the interior of the region where the equation and solutions

are defined. For example, solutions of Laplace’s equation are analytic within the do-

main where they are defined, but solutions may assume boundary values that are not

smooth. The motion of a fluid at subsonic speeds can be approximated with elliptic

point can be transformed into a form analogous to the heat equation by a change of in-

dependent variables. Solutions smooth out as the transformed time variable increases.

The EulerTricomi equation has parabolic type on the line where x = 0. B 2 − AC > 0

equation. The motion of a fluid at supersonic speeds can be approximated with hyper-

bolic PDE’s, and the EulerTricomi equation is hyperbolic where x > 0. If there are

6

second order has the form

n X

n

X ∂ 2u

Lu = ai,j plus lower-order terms = 0

i=1 j=1

∂xi ∂xj

The classification depends upon the signature of the eigenvalues of the coefficient matrix

ai,j

Parabolic:The eigenvalues are all positive or all negative, save one that is zero.

Hyperbolic:There is only one negative eigenvalue and all the rest are positive, or there

is only one positive eigenvalue and all the rest are negative.

Ultra hyperbolic:There is more than one positive eigenvalue and more than one

negative eigenvalue, and there are no zero eigenvalues. There is only a limited theory

7

Chapter 2

DERIVATION OF HEAT

EQUATION

The heat equation is derived from Fourier’s law and conservation of en-

ergy(cannon 1984). By Fourier’s law, rate of flow of heat energy per unit area through

q = −k∆u

where k is the thermal conductivity and u is the temperature. In one dimension, the

∂u

q = −k

∂x

In the absence of work done , a change in internal energy per unit volume in the

8

is the ordinary difference operator with respect to time , not the laplacian with respect

to space) That is

∆Q = cp ρ

∆u where cp is the specific heat capacity and ρ is the mass density of the material.

∆Q = cp ρu

x+∆x t+∆t x+∆x

∂u

Z Z Z

cp ρ [u(ξt + ∆t) − u(ξt + ∆t)]dη = k dξdτ

x−∆x t−∆t x−∆x ∂τ

where the fundamental theorem of calculus was used.If no work is done and there are

neither heat sources nor sinks is accounted for entirely in the interval [x−∆x, x+∆x] is

t+∆t Z t+∆t Z x+∆x 2

∂u ∂u ∂ u

Z

k (x + ∆x, τ ) − (x − ∆x, τ )dτ = k 2

dξdτ

t−∆t ∂t ∂t t−∆t x−∆x ∂ξ

Z t+∆t Z x+∆x

[cp ρ − kuξξ ]dξdτ = 0

t−∆t x−∆x

This is true for any rectangle [t − ∆t, t + ∆t] × [x − ∆x, x + ∆x] By the fundamental

k ∂u k ∂ 2u

ut = uxx or =

cp ρ ∂t cp ρ ∂x2

9

which is the heat equation, where the coefficient(often denoted α ) α = k/cp ρ is called

thermal diffusivity. An additional term may be introduced into the equation to account

for radiative loss of heat which depends upon the excess temperature u = T → Ts at a

given point compound with the surrounding. At low excess temperature the radiative

∂u k ∂ 2u

= − µu

∂t cp ρ ∂x2

At high excess temperature, however the Stefan-Boltzmann law gives a net radiative

heat loss proportional to T 4 −Ts4 , and the above equation is inaccurate.For large excess

form

∂u ∂ 2u

= α( 2 ) − mu4

∂t ∂x

a material, p is the sectional perimeter of the bar and A is its cross sectional area.

USING A ROD CASE: Heat is the energy transferred from one body to another

due to a difference in temperature (better) heat is the kinetic energy of the molecule

that compose the material. Consider a long uniform tube surrounded by an insulating

material like stir form along its length, so that can flow in and only from its two ends

There are two physical principle principle governing the motion of heat

(a) The total heat energy H contained in a uniform homogeneous body is related to

10

H = ks M T

where ks is the specific heat capacity of the material (a measurable constant specific

to the material from with the body is made). More generally, in a situation for which

Z

H(t) = ks ρ(x)T (x, t)dx − − − − − − − − − − − − − (1)

v

(b) The rate of heat transfer across a portion S of the boundary of a region R of the

body is proportional directional derivatives of T across the boundary and the area of

constant

Z

Heat f lux across S = σ ∇T.nds − − − − − − − − − − − −(2)

s

Where n = n(x) is the direction normal to the surface of constant at the point x, and

σ is another specific to the material from with the body is constructed σ is called

R

Heat f lux entering or leaving a region = σ R

∇.∇T dx − − − − − − − − − −(3)

This should be the total rate at which heat at which heat enter or leaves the region

R,which in turn should correspond to the rate of change of the total amount of heat

dH ∂T

Z

= ks ρ dx − − − − − − − − − − − − − − − −(4)

dT R ∂t

11

Equating (3) and (4) we obtain

∂T

Z Z

σ ∇.∇T dx = ks ρ dx

R R ∂t

Since the region R can be chosen arbitrarily , the two integrand must coincide at every

ρks ∂T

∇2 T − =0

σ ∂t

In such situations we can assume that the temperature really depends on the position

∂ 2T ∂ 2T ∂ 2T ∂ 2T

∇2 T ≡ + + ≈

∂x2 ∂y 2 ∂z 2 ∂x2

∂T ∂ 2T

− α2 2 = 0 − − − −(5)

∂t ∂x r

ρks

where, α =

σ

σ

(replacing the ratio ρks

) by α2 will prove convenient later on.

or We will now derive the heat equation with the heat equation with an external source

12

• The rod is literally insulated ,so that heat flows only in the x-direction

• The rod is sufficiently thin so that the temperature within particular cross section

is constant

These last two assumptions are used to allow us to treat the problem as one-dimensional.

As we will see the first assumptions is not absolutely necessary , but it does simplify

that the heat within segment of the rod [x, x + ∆x] satisfies the following

Net changes inside [x, x + ∆x] = Net inward flux across boundaries + Total heat gen-

Z b

cρAu(s, t)ds

a

where c is the thermal capacity of the rod (also known as specific heat ) ρ is the density

of the rod, and A is the cross sectional area of the rod.In view of our assumptions c , ρ

and A are constants. Also, recall that the flux from the left to right at x = a is given

by −kux (a, t) , where k is the thermal conductivity of the rod. Putting all these facts

Z x+∆x Z x+∆x

cρA ut (s, t)ds = kA[ux (x + ∆x, t) − ut (x, t) + A f (s, t)ds

x x

where f (x, t) is the amount of heat generated by the external source per unit of length

per unit of time. Note that we must use inward flux , which is why the flux term at

13

x = L must be negated. Applying the Fundamental a theorem of calculus ”in reverse”

Z b

f (b) − f (a) = f ′ (s)ds

a

Z x+∆x Z x+∆x

cρ ut (s, t)ds = kuxx (s, t) + f (s, t)ds

x x

Rearranging yields

Z x+∆x

cρ ut (s, t)ds − α2 uxx (s, t) − F (s, t)ds = 0

x

k 1

where, α2 = cρ

, F (x, t) = cρ

f (x, t) are the diffusivity of the rod and the heat source

density respectively.

Since this equation holds on an arbitrary segment of the rod it follows that the integrand

ut = α2 uxx + F (x, t)

but inversely proportional to the thermal capacity and the density. Physically, this

makes sense because the more an object tends to store heat, and the denser it is, the

more difficult it should be for heat energy to diffuse through the object, whereas the

better the ability of the material to conduct heat, the easier it should be for heat energy

14

2.2 HEAT EQUATION PROPERTIES

obtain a solution formula depending on the given initial data, similar to the case of the

wave equation. However , the method that we used to arrive at D’Alambert’s solution

for the wave IVP do not yield much for the heat equation. To see this, recall that the

heat equation is parabolic type and hence, it has only one family of characteristic lines.

kuxx + . . . .... = 0

where the dots stand for the lower order terms then you can see that the coefficients

A=kB=C=0

√

dt B± ∆

= =0

dt 2A

characteristic lines are not very helpful, since they are parallel to the axis.Thus,one

cannot trace points in the xt plane along the characteristic to the x axis along which

the initial data is defined. Notice that there is also no way to factor the heat equation

into first order equation, either , so the method used for the wave equation do not shed

15

any light on the solution of the heat equation. Instead, we will study the properties of

the heat equation and use the gained knowledge to devise a way of reducing the heat

equation to an ODE, as we have done for every PDE, as we have solved so far

16

Chapter 3

ANALYTICAL SOLUTION OF

HEAT EQUATION

SOLUTION OF HEAT EQUATION

first-order equations, although more generally the method of characteristics is valid for

any hyperbolic partial differential equation. The method is to reduce a partial differen-

tial equation to a family of ordinary differential equations along which the solution can

be integrated from some initial data given on a suitable hyper surface. The equations

in the problems we have investigated so far are all linear and the terms containing the

unknown function and its derivatives have constants coefficients. The only exception

17

is the type of problem when we need to make use of polar coordinates, but in such

problems the polar radius is present in some of the coefficients in a very specific way,

∂T ∂ 2T

− α2 2 = 0............(1)

∂t ∂t

which might correspond to a situation where a long rod with an initial temperature

distribution f (x) has its two end inserted into difficult heat baths that are maintained

at different temperatures.

Since we expect that eventually t → ∞ the rod will eventually reach a steady state

where Tss (x) is the (as yet undetermined )final steady state temperature distribution

since even for large t , T (x, t) must still satisfy (1), (2) , we have for sufficiently large

∂Tss ∂ 2 Tss

0= − α2 = 0..............(3)

∂t ∂x2

18

The differential equation

∂ 2 Tss

, Tss = Ax + B

∂x2

T2 − T1 T2 − T1

B = T1 and A = T hus Tss (x) = x + T1 .................(5)

L L

Evidently , τ (x, t) represents the discrepancy between the actual solution and the final

solution. Plugging the right hand of (6) into equation (1) and (2) we find (nothing

d2 Tss ∂Tss

again dx2

=0= ∂t

)

∂τ ∂ 2τ

− α2 2 = 0

∂t ∂x

And

T2 −T1

f (x) = T (x, 0) = Tss (x)+τ (x, 0) = L

x+T1 +τ (x, 0) =⇒ τ (x, 0) = f (x)− T2 −T

L

1

x−T1

∂τ ∂ 2τ

− α2 2 = 0

∂t ∂x

T2 −T1

where F (x) = f (x) − L

x − T1

19

In other words, a PDE /BVP of the form (5),(6),(7). We can thus conclude from the

∞ nπ

αnπ 2

X

)t

τ (x, t) = cn e−( L sin x dx

n=0

L

Where

L

2 nπ

Z

cn = F (x)sin x dx

L 0 L

2

T2 −T1 −( αnπ )t

sin( nπ

P∞

T (x, t) = L

x + n=0 cn e

L

L

x)dx where,

2

RL T2 −T1

cn = L 0

(f (x) − L

x − T1 )sin( nπ

L

x)dx

3.2 PROBLEMS

∂u ∂ 2u

= ; 0 < x < 1,

∂t ∂x2

u(0, t) = u(1, t) = 0,

u(x, 0) = sinπx

Solution:

Given

∂u ∂ 2u

= ..............(1)

∂t ∂x2

20

u(0, t) = u(1, t) = 0, u(x, 0) = sinπx.............(2)

Let u(x,t)=X(x)T(t)——(3)

∂u

= XT ′

∂t

∂ 2u

= X ′′ T

∂x2

T′ X ′′

XT ′ = X ′′ T =⇒ =

T X

Since X is a function of x and T is a function of t and they are equal. So they must

be equal to constant

T′ x′′

∴ = = −λ2 (say)

T x

X ′′ T′

∴ = −λ2 and = −λ2

X T

=⇒ X ′′ + λ2 X = 0...............(4)

=⇒ T ′ + λ2 T = 0............(5)

Solution of (4)

X ′′ + λ2 x = 0 can be written as m2 + λ2 = 0

21

by solving the quadratic equation we get roots as 0 + iλx

we get

c1 cosλx + c2 sinλx

2 t)

m = c3 e(−λ

2

u(x, t) = (c1 cosλx + c2 sinλx)(c3 e(−λ t) )

2

=⇒ u(x, t) = (Acosλx + Bcosλx)e(−λ t) ...........(6)

[where A = c1 c3 and B = c2 c3 ]

2 t)

u(0, t) = (Acosλ(0) + Bsinλ(0))e(−λ

2 t)

=⇒ Ae(−λ =0

2 t)

∴ A = 0[since e(−λ 6= 0]

22

Again

2 t)

u(1, t) = (Acosλ + Bsinλ)e(−λ

2 t)

=⇒ 0 = Bsinλe(−λ

=⇒ sinλ = sinnπ

∴ λ = nπ

2 π2 t

u(x, t) = e−n Bsin(nπx)............ (7)

2

u(x, t) = e−λ t sinπx

∂u ∂ 2u

= ;0 < x < 1

∂t ∂x2

u(0, t) = u(1, t) = 0

u(x, 0) = sinπx

23

Solution:

Given

∂u ∂ 2u

= .........(1)

∂t ∂x2

1 1

∂u nπx ∂ 2u nπx

Z Z

sin dx = 2

sin dx..........(2)

0 ∂t 1 0 ∂x 1

R1

Let, v = v(n, t) = 0

u(x, t)sin(nπx)dx

1 1

∂v ∂u ∂ 2u

Z Z

=⇒ = sin(nπx)dx = sin(nπx)dx...............(3)

∂t 0 ∂t 0 ∂x2

1 1

∂u ∂u

Z

=⇒ sin(nπx) − nπcosnπx .dx

∂t 0 0 ∂t

1

∂v

Z

=⇒ = 0 − n2 π 2 u(x, t)sin(nπx)dx [∴ U (0, t) = U (1, t) = 0]

∂t 0

dv

=⇒ = −n2 π 2 v [ f rom (3)]

dt

dv

=⇒ = −n2 π 2 dt

v

=⇒ ln v = −n2 π 2 t + ln A

24

2 π2 t

=⇒ v = Ae−n ............(4)

2 π2 t

=⇒ v(n, t) = Ae−n

=⇒ v(n, 0) = A(at t = 0)

R1

=⇒ 0

u(x, 0)sin(nπx)dx = A

R1

=⇒ 0

sin(πx)sin(nπx) = A[U (x, 0) = sinπx]

1

1

Z

=⇒ 2sin(πx)sin(nπx)dx

2 0

1

1

Z

=⇒ cos(nπ − π)xdx − cos(nπ + π)xdx

2 0

1 1

1 1

Z Z

=⇒ A = cos(nπ − π)xdx − cos(nπ − π)xdx

2 0 2 0

1 1

1 cos(nπ − π)x 1 cos(nπ + π)x

=⇒ A = −

2 nπ − π 0 2 nπ + π) 0

1 cos(nπ − π) cos(nπ + π)

=⇒ A = −

2 (nπ − π) nπ + π)

1 −n2 π2 t cos(nπ − π) cos(nπ + π)

=⇒ v = e −

2 (nπ − π) nπ + π)

25

By inverse sine transformation we get

∞

2 X 1 −n2 π2 t cos(nπ − π) cos(nπ + π)

u(x, t) = e − sinnπx

1 n=1 2 (nπ − π) nπ + π)

∞

X

−n2 π 2 t cos(nπ − π) cos(nπ + π)

u(x, t) = e − sinnπx

n=1

(nπ − π) nπ + π)

26

Conclusion

In this dissertation we have considered the second order heat equation. First we

have shown that fundamentals of heat equation, and analytical solution by separation

27

Reference

University Press

(ELSEVIER) 2004

28

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