MATH 115

ADVANCED ENGINEERING
MATHEMATICS
PARTIAL DIFFERENTIAL EQUATIONS

• PDEs are models of various physical and geometric

problems, arising when the unknown functions (the
solutions) depend on two or more variables, usually
on time t and one or more space variables.
• Some problems in dynamics, elasticity, heat
transfer, electromagnetic theory, and quantum
mechanics require PDEs.
• A partial differential equation (PDE) is an equation
involving one or more partial derivatives of an
(unknown) function, call it u, that depends on two or
more variables, often time t and one or several
variables in space.
PARTIAL DIFFERENTIAL EQUATIONS

• The order of the highest derivative is called the

order of the PDE.
• Just as for ODEs we say that a PDE is linear if it is
of the first degree in the unknown function u and its
partial derivatives.
• We call a linear PDE homogeneous if each of its
terms contains u or one of its partial derivatives.
PARTIAL DIFFERENTIAL EQUATIONS
• Example:

• All the equations above are linear.

• All the equations are homogeneous except equation (4).
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• A solution of a PDE in some region R of the space of the
independent variables is a function that has all the partial
derivatives appearing in the PDE in some domain D containing R,
and satisfies the PDE everywhere.
• Often one merely requires that the function is continuous on
the boundary of R, has those derivatives in the interior of R,
and satisfies the PDE in the interior of R.
• In general, the totality of solutions of a PDE is very large.
– For example, the functions

– which are entirely different from each other, are solutions

of  2u  2u
 0
x 2 y 2
PARTIAL DIFFERENTIAL EQUATIONS
• The unique solution of a PDE corresponding to a given physical
problem will be obtained by the use of additional conditions
arising from the problem.
• For instance, when t is one of the variable, u may be
prescribed at t = 0 (‘initial condition’).
– Example:
d2y dy
 4 y  0 suchthat x  0, y  0, 3
dx 2 dx
• Or this is the condition that the solution u assume given the
values on the boundary of the region R (boundary conditions).
– Example:

y   2 y   3 y  9 x suchthat y0  1, y 1  2

PARTIAL DIFFERENTIAL EQUATIONS
• Superposition theorem:
PARTIAL DIFFERENTIAL EQUATIONS
• Example:
 1. Solve uxx  u  0 like an ODE

• Answer:
PARTIAL DIFFERENTIAL EQUATIONS
• Example:
 Solve like an ODE

• Answer:
PARTIAL DIFFERENTIAL EQUATIONS
• Exercise:
• Solve for u(x, y) by treating the PDE as an ODE

• Exercise:
• Verify that the given function is a solution of the indicated
PDE.
PARTIAL DIFFERENTIAL EQUATIONS
• Answer:

• Answer:
PARTIAL DIFFERENTIAL EQUATIONS
• Exercise:
• Verify that the function


u x , y   a ln x  y  b
2 2

• satisfies the Laplace’s equation and determine a and b so that
u satisfies the boundary conditions
u  110 on the circle x 2  y 2  1
• and
u  0 on the circle x  y  100
2 2
PARTIAL DIFFERENTIAL EQUATIONS

• Answer:

u x , y   110 
110
ln 100

ln x 2  y 2 
 PARTIAL DIFFERENTIAL EQUATIONS
• MODELING: VIBRATING STRING, WAVE EQUATION
– As a first important PDE let us derive the equation modeling
small transverse vibrations of an elastic string, such as a violin
string.
– We place the string along the x-axis, stretch it to length L,
and fasten it at ends x = 0 and x = L.
– We then distort the string, and at some instant, call it t=0, we
release it and allow it to vibrate.

– The problem is to determine the vibrations of the string, that

is, to find its deflection at any point x and at any time t > 0.
PARTIAL DIFFERENTIAL EQUATIONS
• Physical Assumptions:
– The mass of the string per unit length is constant.
– The tension caused by stretching the string is so large that
the action of gravitational force on the string can be
neglected.
– The string performs small transverse motions in a vertical
plane; that is every particle of the string moves strictly
vertically and so that deflection and the slope at every
point of the string always remain small in absolute value.
– Under these assumptions we may expect solutions u(x, t)
that describe the physical reality sufficiently well.
PARTIAL DIFFERENTIAL EQUATIONS
• To obtain the PDE, we consider the forces acting on a small
portion of the string.

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

portion. Since the points of the string move vertically, there
is no motion in the horizontal direction, hence the horizontal
components of the tension must be constant. That is
(eqn 1)
PARTIAL DIFFERENTIAL EQUATIONS
• In the vertical direction, we use Newton’s second law.

• That is the resultant of the vertical components of the tension

is equal to the mass ρΔx of the portion times the acceleration .
• Hence,
(eqn 2)
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• Dividing the equation by the result in (eqn 1)

(eqn 3)
• Since tanα and tanβ are the slopes at x and x + Δx

• Dividing (eqn 2) by Δx, we have

• If we let Δx approach zero, we obtain the PDE.

PARTIAL DIFFERENTIAL EQUATIONS
• SOLUTION OF THE WAVE EQUATION BY SEPARATING
VARIABLES: USE OF FOURIER SERIES
• The model of a vibrating elastic spring consists of the one-
dimensional wave equation

for the unknown deflection of the string

• Since the string is fastened at the ends x = 0 and x = L, we
have two boundary conditions
PARTIAL DIFFERENTIAL EQUATIONS
• Furthermore, the form of the motion will depend on its initial
deflection, call it f(x), and on its initial velocity, call it g(x).
• We thus have two initial conditions

where
u
ut 
t

• We need to find a solution of the PDE satisfying the two

conditions.
PARTIAL DIFFERENTIAL EQUATIONS
• We shall do this in three steps, as follows.
• Step 1: By the method of separating variables, setting

u x, t   F  x Gt 
we obtain two ODEs, one for F(x) and the other one for G(t).
• Step 2: We determine solutions of these ODEs that satisfy
the boundary conditions.
• Step 3: Using Fourier series, we use the solution in step 2 to
obtain a solution to the PDE satisfying both the boundary and
initial conditions.
PARTIAL DIFFERENTIAL EQUATIONS
• STEP 1: TWO ODEs
• In the method of separating variables, we determine solutions
of the wave equation of the form
u x, t   F  x Gt 
• Differentiating, we have

where dots denotes derivatives with respect to t and primes

derivatives with respect to x.
 PARTIAL DIFFERENTIAL EQUATIONS
• Inserting this to the wave equation, we have

• Separating the variables, we have

• Both sides must be constant so

• Multiplying by the denominators gives immediately two ODEs

and
•
•
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• STEP 2: SATISFYING THE BOUNDARY CONDITIONS
• Solving for F and G in
u x, t   F  x Gt 
• using the boundary conditions

u0, t   F 0 Gt   0 uL, t   F LGt   0

• If G = 0, then u = FG = 0, which is of no interest.

• If G ≠ 0, then F(0) = 0 and F(L) = 0
PARTIAL DIFFERENTIAL EQUATIONS
• Solving F   kF  0

• If k = 0, the general solution is

F  ax  b
which lead to a = b = 0, so F = 0 and u = FG = 0, which is of no
interest.

• If k = α2, the general solution is

F  Aex  Be x
which also lead to F = 0.
PARTIAL DIFFERENTIAL EQUATIONS
• If k = -p2, the general solution is
F  Acos px  B sin px

• which lead to F(0) = A = 0, and F(L) = BsinpL = 0.

• Hence sinpL = 0.
• Thus n
p
L
• Setting B = 1, we thus obtain infinitely many solutions ,
F  x   Fn  x 
where
n
Fn  x   sin x
L
PARTIAL DIFFERENTIAL EQUATIONS
• Solving G  c 2kG  0

• If k = - p2, then
  c 2 p2G  0 or G
G    G  0 where n  cp  cn
n L

• So a general solution is given by

Gn t   Bn cos nt  Bn * sin nt

• Therefore, the solution to the wave equation is
n
un  x , t   Bn cos nt  Bn * sin nt sin x
L
PARTIAL DIFFERENTIAL EQUATIONS
• STEP 3: SATISFYING THE INITIAL CONDITIONS
• A single un will generally not satisfy the initial conditions.
• But since the wave equation is linear and homogeneous, it
follows that the sum of infinitely many solutions u is a solution.
• To obtain a solution that also satisfies the initial conditions, we
consider the infinite series

• Given initial displacement, we have

which is a Fourier sine series, that gives Bn

PARTIAL DIFFERENTIAL EQUATIONS
• Given initial velocity (initial condition 2), we have

which is also a Fourier sine series, that gives Bn*

or
PARTIAL DIFFERENTIAL EQUATIONS
• Therefore the final solution to the wave equation is given by
n
un  x , t   Bn cos nt  Bn * sin nt sin x
L
with coefficients
and

• For the sake of simplicity, we consider only the case when the
initial velocity is zero, thus

or
PARTIAL DIFFERENTIAL EQUATIONS
• Example:
• Vibrating string if the initial deflection is triangular
• Find the solution of the wave equation corresponding to the
triangular initial deflection

and initial velocity is zero.

• Answer:
PARTIAL DIFFERENTIAL EQUATIONS
• Exercise:
• Find for the string of length L = 1 and c2 = 1 when the initial
velocity is zero and the initial deflection is as follows:
a. k sin 2πx

b. kx (1 – x)

0.1
c.
0.5 1
PARTIAL DIFFERENTIAL EQUATIONS
• Answer:

a.

b.

c.
PARTIAL DIFFERENTIAL EQUATIONS
• HEAT EQUATION: SOLUTION BY FOURIER SERIES
• The heat equation is given by

• which gives the temperature in a body of homogeneous

material.
• Here c2 is the thermal diffusivity, K the thermal conductivity,
σ the specific heat, and ρ the density of the material. is
the Laplacian of u, and given by

• The heat equation is also called diffusion equation.

PARTIAL DIFFERENTIAL EQUATIONS
• Consider the temperature in a long thin metal bar or wire of
constant cross section and homogeneous material, which is
oriented along the x-axis and is perfectly insulated laterally,
so that heat flows in the x direction only.

• Then u depends only on x and time t, and the heat equation

becomes the one-dimensional heat equation
PARTIAL DIFFERENTIAL EQUATIONS
• Solving the equation for some important types of boundary
conditions.
• We begin with the case in which the ends x=0 and x=L of the
bar are kept at temperature zero, so that we have the
boundary conditions

• Also, the initial temperature in the bar at time t = 0 is given,

say, f(x), so that we have the initial condition

• We need to determine a solution u(x, t) using three steps.

PARTIAL DIFFERENTIAL EQUATIONS
• STEP 1. Separation of variables
• Let

• then

• Equating the ratios to a constant k, we get U=FG=0 for k=0 or

k>0, so

• Multiplication of the denominators lead to the two ODEs

and
PARTIAL DIFFERENTIAL EQUATIONS
• STEP 2. Satisfying the boundary conditions
• The general solution for is given by

• From the boundary conditions

• We have F(0)=0 so A = 0 and F(L)=0 so BsinpL = 0, thus

• Therefore the solution is given by

PARTIAL DIFFERENTIAL EQUATIONS
• To solve We let

• Whose general solution is

• Therefore the solution to the heat equation is given by

PARTIAL DIFFERENTIAL EQUATIONS
• STEP 3. solution of the entire problem. Fourier series.
• To obtain a solution that also satisfy the initial condition, we
consider a series of the eigenfunctions

• Using the initial condition, we have

• Thus, Bn must be the coefficient of the Fourier sine series

PARTIAL DIFFERENTIAL EQUATIONS
• EXAMPLE:

• ANSWER:
• The initial condition gives

• Since
• Solving for
PARTIAL DIFFERENTIAL EQUATIONS
• ANSWER:
• The solution is

• Therefore
PARTIAL DIFFERENTIAL EQUATIONS
• EXAMPLE:
• Solve the problem in example 1 if the initial temperature is

• ANSWER: