Introductionto

Partial DifferentialEquations

8.1 Introduction
A partial differential equation (ror) is a differential equation containing derivatives
involving two or more independent variables. This is in contrast to the ordinary
differehtial equations in the previous chapter which only involved one independent
variable.
Many phenomena in engineering science are described by partial differential
equations. For example a dependent variable such as a displacementor temperature
may vary as a function of time (r) and space (x, y, z).
The solution of partial differential equations for realistic problems is beyond the
scopeof this book, but the subject is coveredin a large number of more advancedtexts,
some of which are mentioned at the end of this chapter. Some of thesetexts describethe
'finite
elementmethod'which is undoubtedly the most widely used method of solution

F.
for partial differential equations at the present time.
The finite clement method is not covered in this book, since the authors have
I already devoted a text to it (Smith and Griffiths 1988). However, some solutions
I
tr involving the'finite difference method', which is much simpler to describe, will be
I presentedfor a selectionof rather elementary examples.

l'
* ;
All that is attempted here is an introductory treatment of the subject.The aim is to
enable the student to recognisecertain types ofpartial differential equation and obtain
some insight into the types of physical phenomena they describe.

8.2 Some definitions

Consider the following second order por, in two independent variables
^a ^a ^t
0'u 0'u 0'u .du du
a**b _ *c ,--+d ^ le ^ *Ju*g:g (8.1)
ox- oxoy oy' ox oy

note the presenc€of 'mixed' derivatives such as that associatedwith the coefficient b.
If a,b,c,...,9 are functions of x and y only, the equation is'linear', but if these
coefficientscontain u or its derivatives, the equation is 'nonlinear'.
The degreeof a por is the power to which the highestderivative is raised,thus eq. 8.1
is first degree.Only linear (first degree)equations will be considered in this chapter.

1ID
 I N T R O D U C T I O NT O P A R T I A LD I F F E R E N T I A E
L OUATTONS 277

shorthandin thestudyofsecondorderpor, is the'Laplace

A regularlyencountered
operator' V2 where
A2r Zc
v' 2Jf :- ! ! - +| ' J
^
) ^ ) in 2 dimensions
ox- oy-
and
azf a2f azf
v'f :;:t+::;+ ^i in 3 dimensions
ox- ov- oz-

Another abbreviation is the'biharmonic operator' Va where

o zao_f ,ao-f
/ oJr _
: dof ,
Ax4a Ax2V-r Ay4

Table 8.1 summarises some commonly encountered poes and the type of physical
situation in which they might arise.

Table8.1.Commontypesof pors in engineering

analysis
Type Equation Application

Laplace'seq. V'f :0 Steadyflow of heat and fluids

Poisson'seq. V'f :f(x,y) Heat/fluidflow with souroesor sinks,torsionalproblems

Diffusioneq. ,'f :#X Transientflow in heat conduction/consolidation

Waveeq. v'f :i# Vibrationproblems,

wavepropagation

Biharmoniceq. Vof : f (r, y) Deformation of thin plates

8.3 First orderequations

Althoughthemajority of engineeringapplicationsinvolvesecondorder pDEr,we start
with a considerationof first order equations,as this will lead to a convenient
introductionto the 'method of characteristics'.
Considerthe first order eouation
0u .0u
a^ lb^ :c (8.2)
ox oy

where a, b and c may be functions of x, y and u, but not derivatives of u.

The following substitutions can be made to simplify the algebra:

du 0u
P:;-' Q:-
ox ov
 278 C H A P T E RB

hence

aP*bq:g (8.3)
A 'solution'to eq.8.2will be an estimateof the valueof u at any point within the
x, y-plane.Thisplaneis knownasthe'solutiondomain',andin orderto find valuesof
u in this rangewe requiresome'initialconditions'in order to get started.
As shownin Fig.8.1,letvaluesof u beknownalongthelineI in thesolutiondomain.
We now consider an arbitrarvlineC whichintersects our initiallineI asshownin Fis.
8.2.

\.";$"
\ *no*n vatuesof u

\-

'initial
Fig. 8.1 Solution domain and conditions'line I

E ( x + 6 x ,y + 6 y )

l t
I

xo
Fig. 8.2 Characteristic line C intersecting line I

Considera smallchangein u alongthelineC betweenpointsD and E. This leadsto

the equation

- du^ du^
du:^ dx*^ dV (8.4)
dx 0y-

which in the limit as 6x--+0 and 6y--+Qbecomes

, du. 0u.
64:;-OX*_ Cly (8.5)
Ox 0y

611:pdx+qdy (8 6)
 I N T R O D U C T I O NT O P A R T I A L D I F F E R E N T I A L
EOUATIONS 279

Eliminatingp betweeneqs 8.3 and 8.6 and rearranglng glves

q(ady - b dx)+(c dx - adu): g (8.7)
This statementwould be true lor any line C, but if wechooseC so that at all points
along its length,the followingcondition is satisfied
ady-bdx:0 (8.8)
d v b
or :--
d x a

then q can also be eliminated from eq.8.7 which becomes

c dx - a du :0 (8.9)

Combining this with eq. 8.8 gives the final relationship along this specialline C as
a
dx dy du
(8.10)
a b c
Thus the original eor given by eq. 8.2 has been reduced to an ordinary differential
equation in x (or y).
This special C-line is called a'characteristic'and it can be shown that within the
solution domain, a family of similar lines exists along which the pnE reduces to an
ordinary differential equation. Along these'characteristics' ordinary differential
equation solution techniquesmay be employed such as those describedin Chapter 7.
Rearrangement of eq. 8.10 gives the first order ordinary differential equations

d y b
,:* Xxo):yo
o x a
( 8 . 1l )
d u c
u(x6): us
d x a

where the initial conditions (xe, y6) and (xe, u6)correspond to valuesof x, y and u at the
point of intersection of the characteristic line C with the initial conditions line I as
shown in Fig. 8.2.
Thus, if we know the value of a6 at any initial point (xo, yo), solution of the ordinary
differential equations given by eq. 8.11 will lead to values of u along the characteristic
line passing through (xo, yo).

Example 8.1

Given the first order poe

du.^,0u
^ tJx--:x*y
ox oy

f i n d u ( 3 , 1 9 ) g i v e nt h e i n i t i a l c o n d i t i o n u ( x , 0 ) : 1 2
 280 C H A P T E RB

Solution8.1

The equationis linear so an analyticalsolution is possiblein this case.Along the

characteristics
dx dy du
| 3x' x+y

, d y ^ a
nence (A)
d*:lr'
du
Y (B)
dt:'+
From (A),y: x3 + k whichis the equationof the family of characteristic
lines.We are
interestedin the characteristicpassingthrough the point (3,19),thus
lg:27 +k
k: -8
y:x3 -8 which is the equationof line C.
The initial valueline I, is the x-axisas shownin Fig. 8.3.The characteristic
line of
interestintersectsthe x-axisat (2,0),at which point the value of u:4.

rr 1'l 1Q\ - ?

Fig. 83 Lines C and I in Example 8.1

Substitutingfor y in equation(B) gives

-du
.:x*x'-8
dx

u:L*t+|xa-8x+K.
However, it is knownthatwhenx: 2,u:4, henceK: 14.Thusalongthecharacteristic
line given by

Y:x3-8

{
 I N T R O D U C T I OTN
O P A R T I A LD I F F E R E N T I A E
L OUATIONS 281

we have the solution

u:f,xa +|x2 -8x* 14.

H e n c ew h e n x : 3 , u : 1 4 . 7 5 .

Example8.2

Giventhe equation
0u
j -xr ;lou
* ux; - o y - u '.

Find the valueof u whenx: l.l on the characteristic

passingthrough the point (1,0)
giventhe initial conditionu(x,0):1.

Solution8.2

Write the equationsalonga characteristic

as
dx
.---F:-:-
dy du
u -u'
Jx
du -u2
-:...: u(l): I
dx Jx
d y u
dx Jx 11):0

For nonlinearequationssuch as this, a numericalsolution will usually be more

convenient.
we require u(1.1)along this characteristicand may use any of the methods
describedin Chapter7.
UsingProgramT.2and thefourth order Runge-Kuttamethodwith a steplengthof
0.1we get
u(1.1):0.9111
l1.l):9.6931

8.4 Secondorder equations

The majority of partial differential equations that are likely to be encountered in
engineeringanalysisare ofsecond order. The concept ofcharacteristic lines introduced
in the precedingsection for first order equations is usedagain here, becauseit leads to
an important means of classifying second order equations.
Consider the generaleq.8.l, but exclude the first derivativeterms and the tetm
 C H A P T E RB

contalnlng u, 1.e.,
^a ^1 ^)
o'u o'u o-u (8.12)
a- +b;-* + cJ* s:o
ox' oxov ov-
We assumefol. no* that the equationis linear,that is the termsa,b,c andg are
functionsof x and y only and not of u or its derivatives.
The followingsubstitutionscan be made to simplify the algebra:
du Ou dzu O2u dzu
'D : - , q::-, f:=--i, 5::--;-, t:{
Ox oy ox' oxoY oY-
hence, ar * bs* ct * g:0 (8.13)

Consideringsmallchangesin p and q with respectto x and y, we can write

Eo, 0n.
dp: dx+ dy: r dx+ sdy
Ax-r fr
(8.14)
oa ocl
dq: dy
Ardx+frdy:sdx+t
Eliminating, una tfrom eqs 8.13and 8.14gives
0 . - . c
(dq-sdx)+s:6
dr)+bs+* (8.l 5)
frtat-r
which after multiplication by dy/dx leads to

-(l;).']-["::fr*f*n#]
'["(:*)' :. (8.l 6)

The only remainingpartial derivatives can be eliminatedby choosingcurvesor

linesin the solution domain satisfying
characteristic

'(#)'-,(fl).':o (8.r7)

Depending on the roots of 8.17 we can classify three different types of poe.

( a \ b 2- 4 a c < 0 E q u a t i o ni s ' E L L I p t I c '

No real characteristic lines exist.
^ 1 t ^ 1 t

"t.ffi*ffi:o
e.s. Laplace's

P o i s s o n*' s* * * : f @ , Y )
ox- oy-

I n b o t hc a s ebs : 0 , a : c : 1 , b 2 - 4 a c : -4
 I N T R O D U C T I OTNO P A R T I A L
D I F F E RE N T I A LE O U A T I O N S 283

'pnnasoLtc'
(b) b 2- 4 a c : 0 Equationis
Characteristics are coincident

^ 1

eq. a#-#:o
e.g.consolidation

In this cASa
e:cv, b:c:0, b 2- 4 a c : 0

(c) b 2 - 4 a c > 0 E q u a t i o ni s ' H Y p r R s o L I c '

Two families of real characteristicsexist

02u | 02u
e.g.waveeq.
a?-F al:u

I n t h i sc a s ec : l , b : 0 , c : - l l k 2 , b z- 4 a c : 4 1 k 2

The characteristicsmethod is most uselul for hyperbolic partial differential

equations,whereessentially of integrationalongthe characteris-
the sametechniques
tics' as was usedfor first order equationscan be employedagain.
The most popularmethodsfor numericalsolutionof all noe', irrespective of their
classification,are the finite elementmethodand the finite method.
difference
The finiteelementmethodis themostversatileapproachandis dealtwith in numer-
ous texts.The finite differencemethod is more appropriateto an introductorytext
and has alreadybeenapplied to ordinary differentialequationsin Chapter7. The
remainderof this chapteris devotedto applicationof the finite differencemethodto
somesimplepnss.Initially, a reviewof the finite differencemethodis presentedfor
more than one independentvariable.

8.5 Finite differences in two dimensions

In thefinitedifference method,derivativesthat occurin thegoverningrnE arereplaced
by their finite differenceequivalents.Thesederivativesare approximatedby various
'grid points' surroundingthe
combinationsof the unknown variable occurringat
location at which a derivativeis required.
Considerin Fig. 8.4 a two-dimensionalCartesiansolution domain, split into
a regular rectangular grid of width ft and height lc. The dependentvariable u is
a functionof the two independentvariablesx and y. The point at whicha derivativeis
in thex-directionandj increases
requiredis giventhe subscriptf,j, wherei increases in
the y-direction.
Any partial derivativemay now beapproximatedusingfinite differencesand all the
expressions given in Tables5.2,5.3 and 5.4are valid.
 284 C H A P T E R8

Fig. 8.4 Two-dimensional finite difference grid

t .

h or example,

/ou\ I
l^ l=;(ui*,,;-ui-r.i)
lox/i; tn
(8.r8)
/au\ I
{\ w; vl =l ;i i ( u iL ,^ j * ' - u i . i - r )

are central difference formulae for first derivatives.

'molecules'
These are conveniently expressedas computational where,

F. (Y,),,=#
o-o,,-ol
lb
,
t^
l
J
c
(#),-*l
@,,
I t-
I
(8.re)

rl
Lt I
Combining these two first derivatives, and letting ft: k, which will always be
assumed unlessstated otherwise, we get

(#.#),,=-[4,,--o] (8.20)

Similarlv. for second derivatives

(8.21)
 I N T R O D U C T I O NT O P A R T I A LD I F F E R E N T I A L
EOUATIONS

leading to the Laplacian'molecule'

v,.,=)[o$"_o] (8.22\

Centraldifference'molecules'
for third andfourth derivativescanbewrittenin theform

(8.23)

(8.24)
'and 'mixed'
derivativesas

0ra,\
ax\ay/,,
:rg)-aI
-oorl
\oxoy / jj
(8.25)

The biharmonic operator can be given as

,ourr-i (8.26)

All these examples used the lowest order central difference form from Table 5.3.
Clearly higher order versions could be devised including forward and back*'ard
difference versions if required.
It makes s€nseto use central difference formulae when possible,as they give the
greatest accuracy in terms of the number of points included.
When using thesecentral differenceformulae, the yth grid point always lies at the
'molecule'.
middle of the This is the point at which a derivative is to be approximated.
'molecule'
and the can be visualised as an overlay to the grid drawn on the
two-dimensional solution domain.
'molecules'
It may be noted that the rectangular nature of the implies that the
solution domains must also be rectangular. Problems with non-rectangular soiution
domains can be tackled using the'molecule'approach, but some assumptionsmust be
made when the boundary crossesbetween grid points. All the examplesshown in this
chapter will involve rectangulardomains.
 286 C H A P T E R8

In summary, the finite difference approach to the solution of linear partial

differential equations can be considered in four steps
(a) Divide the spatial solution domain into a grid. The shapeof the grid should reflect
the nature of the problem and the boundary conditions. The solution will be
sought at the n grid points lying within and on the boundaries of the solution
domain.
(b) Obtain the finite differenceformula that approximately representsthe governing
pos. This may be conveniently written as a computational 'molecule'.
(c) Overlay the'molecule' over each grid point at which a solution is required taking
account of boundary conditions. This will lead to n simultaneous equations.
(d) In the case of the elliptic system in Section 8.4 the equations will be algebraic
equations which can be solved using the linear algebra techniques from Chapter
2. In the caseof the parabolic and hyperbolic systemsin Section 8.4 the equations
will'be ordinary differential equations in time which can be solved using the
techniques from Chapter 7.
In more sophisticatedcomputer-codedimplementationsof finite differencemethods,
all of thesestepsare combined in a single program allowing arbitrary boundary shapes.
The present examples are only illustrativc of what can be achieved.

8.6 Elliptic systems

I

i Problemsgoverned of pos' arecharacterised

by ellipticsystems by closedsolution

F
domains (see Fig. 8.5). The boundary conditions must be known, and the problem
amounts to finding the values of the dependent variable at internal locations.
Numerically, after the finite difference'discretisation'processhas been completed, the
solution of a set of (linear) simultaneous equations is involved.

b;

Fig. 85 for elliptic problems

Example8.j
The rectangularplateshownin Fig. 8.6is subjectedto the boundarytemp€ratures as
indicated.Usea finitedifference
schemeto estimatethesteadystatetemperatures
at the
internalgrid points.
 INTRODUCTION
T O P A R T I A LD I F F E R E N T I A E
LOUATIONS

5cm ("

T T2 T

T5 T
( 20 crn
50'
)
T7 T6 T

"_"*lt
o.J
20 cm

hig. t.C Finite differencegnd for Example g.3

Solution 8.3

The distribution is governed by l,aplace's equation

a2T azT
,.-*-:Q
ox- ov-
By symmetry,it can be statedthat
Tz:T+, Tt:Tt, To:Te
grid is squarewith a sidelengthof 5 cm, hencethe 'molecule'is
The finite difference
givenby

H,,-o]:,
The centreof the moleculeis now placedat eachunknowngrid point in turn to give

Point

I 5 0 + 5 0 + T 2 f- To - 4 T t : g
4 5 0 + T r + T 5* T t - 4 T o : g
5 T4+T2+76 +T8 - 4 T s : 0
a
5 0 + T 4 + T 8+ 0 -471 :Q
8 T 1 + T 5 + T e+ 0 - 4 T t : g
9 f 8 + 1 6 + 0 + 0 - 4 T n : g
 288 CHAPTER8

Using symmetry,we can write this as a matrix product:

' - 4 2 0 0 0 0
- 100
|
o
0
0
-4

I
I
2 - 4 0
0 -4
I

0 1 1 - 4 I
0
2
I
0
0
0
IiLI
l;{I
-50
0
-50
0
- 0 0 0 0 2 - 4 \Tsl \ 0
which is of the form Ax: b.
It is muchmoreconvenient for somecomputational purposes(seeChapter2)iithe
leadingdiagonaltermsin A arepositive.At thesametime,we noticethat A can readily
bemadesymmetricby, for example,multiplyingthe second,fourth and fifth equations
by 2.It c?nalsobe notedthat a featureof finite difference
(andof all'grid') methodsis
that the discretisation
leadsto a bandedstructurefor A. in this casewith a half
bandwidthof 2.
An appropriatesolutiontechniquefrom Chapter2 might thereforebe Program2.4
for symmetric,banded,positivedefinitesystems. The input bandmatrix (in rectangular
form) would be
- 0
0 4
0 -2 8
0 - 2 4
F; * 2 0 8
- 2 - 2 8
0 - 2 4

lr and the b vectorwould be

l l
{100 100 0 100 0 0}'
leadingto the solution

I r,\ (42.86\

I, Tt ,lt 1l :2 5s. 0z0'1I

\',/:\"oo/
|\ r", i I \luzsl
tJq)

just described,
In the example the valueof T wasknownaroundtheentireboundary.
Derivativeboundaryconditionsmayalsoapplyandcanbetackledby theintroduction
 INTRODUCTION
T O P A R T I A LD I F F E R E N T I A E
L OUATIONS 289

of temporarygrid points outsidethe solution domain.A problem of this type was

described
in Example7.12.

Example8.4

The plateshownin Fig.8.7hastemperatures prescribedon threesidesand a derivative

boundaryconditionon the fourth side.Find the steadystatetemperaturedistribution
using finite differences.

11= 100. rz = 50" 13= 10"

Ia = 150' T5 T'1 5

Tz= 2oo" rs re T,,

20 cm

I r o =1 5 0 ' r11 Ttz

ar
lcm
--''at:-ts'

r 1 3 =1 0 0 " Ito= 50" r 1 5= | u

Fig. 8.7 Grid with derivative boundary condition in Example g.4

Solution8.4

By symmetryT, : T, r, Ta: T tz.Introducetwo temporarypointsat T, u and Tr u.The

distributionis governedby Laplace'sequation,but in this casethe grid is not square,
w i t h h : 1 0 c m ,k : 5 c m .
Hence
azT A2T
- * ; , : Q
ox- ov'
wtrlcnin finite differenceform becomes

#o (I - r.; - 2T:,,,+T,* r,i)* * (T,i -, - 2Ti,j + Ii.; *, ) : 0

 290 C H A P T E R8

givingthe computational'molecule'for
this exampleas

[4,d:.
The centre of the molecule is now placed at each unknown grid point in turn to give

Point

5 150 + 200 + T6 +. 4Tg - 1 0 T s : 0

6 T s + 4 0 + T 1 6 + 4 T e- 1 0 T u : 6
8 . 200+4Ts+Ts +4Ts- 1 0 T r : g
9 T8 +4T.6*Tn+4T6 - l 0 T n : 6

Two more equationsare required,so the boundaryconditionsare introducedin

finite differenceform.
Using centraldifferences

Ttu-Tt__r, Trr-Te__,a
"'
20 20

Substituting for Tt6 and T11,and changing the signs of all terms results in the matrix
equation

I ro - l -4 ol fr.) l, gso]
lI - , r o o - 411l1r ./ :t1l - r *|{
-8 0 r0 -l
I I lr,[ | 2001
L o 8- -2 rol lr"J l-:oo/
Again this can be made symmetrical,for example by multiplying the first equation by
2 and dividing the last equation by 2. After these operations, the input matrix for
Program 2.4 becomes

l-o o2ol
*2 l
I - 8o 0 '1 o
0
| |
L-o -r 5l
with b vector

{700 -260 zffi -150}r.

 T O P A R T I A LD I F F E R E N T I A E
INTRODUCTION LOUATIONS 291

Solution of these equations gives

[r,) [ ss.r)
/r.f: J-:z.rf
Hl t-llll
8.7 Parabolicsystems
'conduction'or 'consolidation'
For typical parabolic equations,for examplethe
equation,we requireboundaryconditionstogetherwith initial conditionsin time.The
solutionthenmarchesalongin time for as long as required.Unlike ellipticproblems,
the solutiondomainis'open',(seeFig. 8.8)in thesensethat thereis no limit to the time
value at which a solutioncould be sought.

Boundary
condition
I

Initial condi
Fig. 8.8 Opensolutiondomainfor parabolicproblems

A parabolic problem which often arisesin civil engineeringanalysisis the

consolidationequationin one dimension,where
^ t
o-u ou (8.21)
oz' ot

c,:the coefficientof consolidation(length2/time);u ore pressure(forc;el

z:length coordinate;
length2); and t:time.
If c" werereplacedby a conductivity property, the sameparabolic equation could be
used to govern heat flow in a solid.
It is often convenient to non-dimensionalise eq.8.27 so that a non-dimensional
solution can be obtained which is more generally applicable'
Hence let

z:1,
D'
u:+,
-
Uo'
r:c4
D2
 292 C H A P T E RB

where D: reference length (drainage path length), Uo: reference pressure (initial
pressureat r:0)i and T:dimensionless time known as the'time factor'.
The derivatives can be written as

du 0u0Z I 0u
0z dZOz DaZ
(8.28)
azu a /au\ a az /au\
t - t : _ _ t _ t - _ _
| Ozu
azt 0z \dz) dZ dz \d=) D2 aZ2

0u du dT c, Au
also (8.2e)
dt 0I 0r frar
and (8.30)
!:UUo
After substitutioninto eq.8.27we get
c, a2$lud c, 0(UU6)
D, Ozr-:F ar

,nence a z u a u (8.3l)
aF: aT
whichis thedimensionless
formof eq.8.27.

I
F}
8.7.1 Stability of finite differences

Equation 8.27is readily expressedin finite differenceform. Using central differencesfor

the second derivative in space,we get

t
9 l = (ui - 1,i-2ui.;r ui*r,;) (8.32)
# *
- i

where the subscript i refers to changesin z and subscriptj refers to changes in r.

'semi-discretisation'
This of the spacevariables,applied over the whole spacegrid
leadsto a set of ordinary differentialequations in the time variable. Any of the methods
described in Chapter 7 could be used to integrate these sets of equations but in this
introductory treatment we shall apply finite differencesto the time dimension as well.
Using a simple forward differencesehemefor the first time derivative, i.e. 0:0 in
Section 7.3.1.8,we get

0 u l
= (8.33)
O, nluti+t-ui.i)
Equations8,32and 8.33can be substitutedinto eq. 8.27and rearrangedto give

v vAa .
tti.i-r =ui ;* -i;(u; - t,j-2ui,1*Ui* (8.34)
r.j)
/2"
 I N T R O O U C T I O NT O P A R T I A LD I F F E R E N T I A E
LOUATIONS ,o2

This type of relationshipis termed'explicit'becausethe valueof u at the new time

levelis expressedsolelyin termsof valuesof u at theimmediatelyprecedingtime level.
However, as with all 'explicit' approaches,numerical stability is conditional on
a satisfactorycombination of spatial and temporal step lengths being employed.
Numerical instability occurswhen a perturbation(or error) introducedat a certain
stagein the steppingproceduregrows uncontrollablyat subsequentsteps.
It canbe shownthat numericalstabilityis only guaranteed in thisexplicitmethodif
c"lt I
- a (8.35)
Z7 L

Example8-5

.The insulatedrod shownin Fig. 8.9is initially at 0" at all pointsalongits lengthexcept
at the left-handendwhichis maintainedat 100"C.Usefinitedifferences to computethe
temperaturevariation as a function of position and time.

0 (0,r) = 100"c Length of rod: I

Fig. 8.9 Heat conduction problem from Example 8.5

Solution8.5

Governingequation
^ a t
,O-Q OQ
K;--;:-7-
ox- ot

where /c: conductivity; 4:temperature;x:space dimension;

t:time.
See Fig. 8.9.

Boundary conditions d(0,4: 100'C: do

#@,t):0'C/m (zerogradientat insulatedend)

ox

Initial condition t'(x,0):Q"6 for 0<x<L

After arranging the equation in non-dimensional form we get

azo ao
axr: ar
y l l l s y sN : L , Q = O k t
6o": L'
 294 C H A P T E R8

with boundary conditions o(0,T):1,

aa( 1 ,
T):0
*
and initial condition @(X,O;:6 f o r 0 < X < 1 .

Expressingthe dimensionless
equationin finite difference
form to give

a,*r.):#(e,.i*,-e,,i)
#r*,- t,1-2ei;*

Q;,ia 1 : Q;.i * - r,r - 2Qi.J+ Qi + t.j)

#rr*,

The stabilityrequirementis that lTl/X2 <{. If we let lTl/X2:} then the formula
simplifiei to

Qi,;* t:* ( @ i -r , ; * o , * r , ; )

Let lX:0.2 and /T:0.02 and setout resultsin tabularform as shownin Table 8.2.
(Insteadof applyingthe full temp€ratureof O:1.0 at T:0.0 and X:0.0, it is
sometimesrecommended that half is appliedat T:0.0 and the remainderat T: /7.)
The condition that AAIAX:0 at X:1 is maintainedby including the fictitious
valuesat X:1.2 which by centraldifferences, are maintainedat the samevaluesas
thoseat X:0.8.

Tgble 8.2. Tabulated values of O:f(X,T)

0.0 0.2
" l
0.0 0.5 0.0 0.0 0.0 0.0 0.0 0.0
0.02 1.0 0.25 0.0 0.0 0.0 0.0 0.0
0.04 1.0 0.50 0.125 0.0 0.0 0.0 0.0
0.06 1.0 0.563 0.25 0.063 0.0 0.0 0.0
0.08 1.0 0.625 0.313 0.125 0.031 0.0 0.031
0.10 1.0 0.656 0.375 o.t72 0.063 0.031 0.063
0.12 1.0 0.688 0.414 0.219 0.102 0.063 0.102
0.14 1.0 0.707 0.453 0.258 0.141 0.102 0.141

Example 8.6

A specimen of uniform saturated clay 240mm thick is placed in a conventional

consolidation cell with drains at top and bottom. A suddenincrement of vertical stress
of 200 kN/m2 is applied. If the coefficientof consolidation is c,:16 m2/yr estimate the
excesspore pressuredistribution after I hour.
 T O P A R T I A LD I F F E R E N T I A E
INTROOUCTION L OUATIONS 295

Solution8.6
form (seep. 291)
Solvethe dimensionless
A2U AU
a7: ar
The stabilityrequirementis that lT llzz < | so let lT:0.02, AZ:0.2 which leadsto
the finite differenceequation
Ui , i * r : I ( U i - r , i * U , * r , i )
In orderto find how manydimensionlesstime stepsarerequiredto reachonehour,
we needthe relationshipbetweenT and f, i.e.
r A t
/T:""=-;' where D:reference length
t L)'

:0.12m due to symmetry

lt:O-O2x0.122 x 365x 24110:0.252 hr, henceone hour is reachedafter approx-

imatelyfour dimensionlesstime steps.Using the finite differenceequation,computed
valuesof U aregivenin Table8.3assumingtheboundaryconditionat thesymmetrical
'mid-plane'is dufdz:0.

TableE3.Tabulated
values
of U:f(2,7) fromExample
8.6
T 0.0 0.02 0.04 0.06 0.08

0.0 0.0 0.0 0.0 0.0 0.0

0.2 1.0 0.5 0.5 0.375 0.375
0.4 1.0 1.0 0.75 o.75 0.625
0.6 1.0 1.0 1.0 0.875 0.875
0.8 1.0 1.0 1.0 1.0 0.9375
1.0 1.0 1.0 1.0_ t.0 1.0
_ _
1.2 1.0 1.0 1.0 r.0 0.9375

W h e nT : 0 . 0 8 , t : 1 . 0 1 hr, and the solution is plotted in Fig.8.l0 after multiplica-

tion bv the initial load intensity 200 kN/m2.

8.8 Hyperbolicsystems
Hyperbolic systemsusually involve propagation phenomena,for example as described
by the wave equation. The displacementsof a vibrating string are given by
^ a ^ t
^ o-D o't)
c'7--;:;-; (8.36)
ox' ot'

wherec2:Tlp; T:tension in the string;andp:rn&SSper unit length.

 C H A P T E RB

Excesspore pressure kN / m2
100 200

48
72
n^^.* 96
mm 120
144
168
192
ato

240
Fig. 8.1.0 Excesspore pressuredistributionfrom Example8.6

Longitudinal vibration displacementsof a rod are given by

^, ^t
^o-u o-u
a- -- _
(8.37)
dx' ot'

where c2:Elp; E:Young's modulus; and p:p25s per unit volume.

Clearly these one{imensional examples can be extended to two or three
dimensions, in which case the Laplacian operator can be used, i.e.
i
t
Ir:
1-a
c'V'u-
02u
o--
ot'
(8.38)

As with parabolic systems, it is often convenient to non-dimensionalise the

one-dimensionalwave equation. With referenceto eq. 8.36,by making the substitutions

u x c t
V:-, X: - and T:=
D 6 ' L L

where u6 is an initial displacement and L is a referencelength; we can write

I
t o2o (ox\2 a'u I o2u
dx2 \0x/ Ox' L2 aX2
(8.3e)
o2u /aT\z
- | -a2u
:- c2 -d2u
and -:l
dt' \ Ar/ aT2 L2 AT2

, a2v o2v
.-:-
nenC€ (8.40)
o2t' ot-

The finite differenceform of this equationcan be written as

l 1
V t - t ,1- 2 Vi .1+ Yi n t .i \ : ( V ,i.- , - 2 Vi , i+ Vt , i* r ) (8.41)
/ X, lTz

-
 INTRODUCTION
T O P A R T I A LD I F F E R E N T I A L
EQUATIONS

wherethe subscripti refersto changesin X and subscriptj refersto changesin T. lx

and AT are the dimensionless steplengthsin X and T respectively.
Rearrangemento[ eq. 8.41 gives

AT2
lV
/
i.)+ r : - r.i - zv1j + Vi * r,) - Vi,j - | + zvi,j
/(Vi
r/
(8.42)
7 yz
If we arrangefor aX: lT then eq.8.42simplifiesconsiderablyto become
Vi,j* t: Vi- r,j-V1,i- 1* Vla 1,i (8.43)
whichalsoturnsout to be theexactsolution!Other valuesof the ratio /'f//X could be
used,but stability is only guaranteedif it is lessthan one.

8.7
.Example
Solvethe waveequation
azu azu
axt: aT,
intherange0<X<1,0<Tsubjecttothefollowinginitialandboundaryconditions
At X:0 and X:1, U:2 sin(nTl5)for all T
When T:0, U -dUl0T:0 for all X.

Solution8.7

chooselx: ar:0.1 and takeaccountof symmetry.The finite difference equarion

8.43requiresinformationfrom two precedingstepsin order to proceed.In order to
computethe resultcorresponding to T:0.1 theassumption wasmadethat no change
in the valuesof U had occurred.This is equivalentto a simpleEuler stepbasedon rhe
initial conditionthat 0Ul0T:0 for all X. Applicationof eq.8.43leadsto the resul:,r
shownin Table 8.4.
Note that againthis solutionhasinvolved'explicit'finitedifferences in !hc l::.s

Table 8.4.Tabulatedvaluesof U:f(2, T) from Example8.7

0.2 0.3 0.4 0.5

r\
0.0 0.0 0.0 0.0 0.0 0.0 0.0
0.1 0 . 12 5 6 0.0 0.0 0.0 0.0 00
0.2 0.2507 0 . 12 5 6 0.0 0.0 0.0 0.0
0.3 0.3748 0.2507 0.r256 0.0 0.0 0.0
0.4 0.4974 0.3748 0.2507 0.r2s6 0.0 0.0
0.5 0.6180 0.4974 0.3748 0.2507 0.1256 0.0
0.6 0.7362 0.6180 0.4974 0.3748 0.2507 0.:,s1:
u. I 0.8516 0.7362 0.6180 Q.4974 0.5004 0.501i
298 C H A P T E RB

variable.The stabilityrestrictionsattachedto this kind of methodcan be removedby

'bindingtogether'the
solutionsat two (or more)timelevelsin whatarecalled'implicit'
differenceschemes.Numericallythesemeanthat a setof simultaneous equationshasto
besolvedon eachtime step,involvingagainthelinearalgebralibrarysubroutines from
Chapter2.

8.9 Exercises
Given the equation
r0z 0z
\ -/ x o- - +xz -o: v - z ' ,

u.. " .rurn.n"al methodto estimate 43.5,y)on the characteristic

through(3,0)giventhat
7:l at all pointson the x-axis.
Answer:0.783.

Given
z(xp- yzq): y2- x2
where
dz 0z
p:- ano q: ^
ox ov
For the characteristic passingthrough(1, l) estimatethe valueof y and z whenx: 1.5given
t h a t4 1 , 1 ) : 1 .
Answer:O.'1Q2,0.562.

Find the steadystatetemperaturedistributionin the squareplate shown:

v

(0,1)

(1,0)
subjectto boundaryconditions:
At x:0 T:100
x: I T:0
/:0 T:100
r:l T:0
Laplace'sequationgovernsthe behaviour.

{
 I N T R O D U C T I O NT O P A R T I A LD I F F E R E N T I A E
LOUATIONS

Use a two-dimensionalfinite differencegrid of sidelength0.25.

Answer:Tt:85.71 T2:T.4:71.43 Tr:50.00 fi: Tz:50.00
Tg:14.29 Ta:Ta:29j7

4 The figurebelowrepresents
thecross-section
of an 8 cm squarebar subjected
to puretorsion

The stressfunction / is found to be distributedacrossthe bar accordingto poisson,s

equation
^t ,
o-@ o'a
-ox'
t + - +ov'
2:0

ci""o ttr"t d:0 on the boundaries,find its valueat thc internalgrid points.
A n s w e rQ
: t:Qt:Qg:ds:5.5 cm2 Qz:6t:Qe :Qa:7 crn2 er:9 cm,

5 The variationof a quantity I with respectto Cartesiandirectionsx and y, is definedby

the
fourth order differentialequation
alT
- + _ _ :alT o
dx4 av4
St".ting f.o-.first principles,derivethe finite differenceform ofthis equationat the point
(x;,1) assuminga squaremesh.
Using the finite differenceapproximation you havederived,find the value for I at the
centreofthe squareareaABCD shownin thefigureusingtheboundaryconditionsgivenand
a meshspacingof unity.

1 2 1

l
Boundaryconditions:
t l
t
t l
t AB: T:0,
a2T
r:-10
oy'
C DT: : 0 ,
A2T

#:-rO
r
D
t BC: T:0,
a'r
_:_5O
ox
DA:T:0,
#:rO
Answer: 15.833

6 The steadytwo-dimensional
distributionin a heatconductingmaterialis givenby Laplace's
equation
a zT a2T
-r--O
o)(- ov-
300 C H A P T E R8

whereT is temperatureand x, y represcntthe Cartesiancoordinatesystem.Using a finite

T,,T2,T3and Ta for the metalplate
form of this equation,lind temperatures
difference
shown in the figure.

02T
: -4 alongBC
Al
T in "C.
Dimensionsin metres,temperatures

The thermal energy, Q, stored in the plate is calculated from

g:pcIr av,
where Q is in joules (J), p is density (: 8000 kg/mt), c is specific heat capacity of the material
(:1000J/kgfC), and dll is an increment of volume (m3). If the thickness of the plate is
50 mm, use the repcated trapezium rule to estimate 0.
A n s w e r :T r : T t : 7 7 . 3 3 , T 2 : f . 1 : 3 4 , Q : 1 . 5 5 g I

7 The steadythree-dimensionaltemperature distribution in a heat conducting material may be

described by Laplace's equation

o.T
yn -r *1 : - * - ; , 0 2 "T* ,, a- :20T,
ox- ov' oz'

where T i, t"-p"."tu.e and x, y, and zrepresent the Cartesian coordinate system. Derive
a finite diffcrence form of this equation at the point (x,, y r z) assuming a cubic mesh.
Use this approximatioq and a grid spacing of 0.5, to determine the temperature at the
centre of a cube of unit dimensions, given that

v2T:0, 0<x, y,z<l;

OT
T ( 0 , y , 2 ) : 1 0 0 ^, ( t , Y , z ) : - 2 0 , 0 < Y , z 3 l ;
ox
T(x,0, z):dQ, T(x, l,z):7Q, 0< x, z 3l;
T ( x ,y , 0 ) : 5 0 , T ( x ,y , 1 ) : 5 0 , 0 < x , y < l .

If the latter bounCaryconditionswerereplacedby

AT AT
^ ( x , y , 0 ) :^ ( x , y , 1 ) : 0 , 0 < x , y < l
oz oz

how could the analysisbe simplified?

Answer:Tr:60.29, changein boundaryconditionsleadsto two-dimensional
analysis.
 I N T R O D U C T I O NT O P A R T I A LD I F F E R E N T I A E
LOUATIONS 301

A horizontal clay stratum of thickness 5 m is subjected to a loading which produces

a
pressuredistribution which varies from p kN/m2 at the top to 0.5 p
kN/m2 at tire bottom.
By subdividing the soil into five layers and using stepsofone month, use
a finite difference
approximation to estimate the excesspore pressuresafter five months-
What is the percentagedegree of consolidation at this time?
Let c,:3 m2/yr, assume double drainage.
N.B. The degree of consolidation at time f is given by

, , - ( A s - A , )o/ o,
v?--
AO

where ,4e and A, are the areas of the pore pressure distributions
at time t:0 and
t respectively.
Answer: 54Y:o

9 classifyeachof the followingequationsas elliptic,hyperboricor paraboric

'
,,A2u d2u^
( a )^ - : - ; = : o..du d2u
( b )- + * : s
ox- oy' ax dxoy

. 02u O2u A2u

(c) --2: ^-*2-:x*3y
ox- oxoy oy-

02u ^ O2u O2u

(.' .d. l - + 3-+4,r+5
Ou Ou
Ox' dxdY dy' ; _ 2 - ]0y
A, + 4"-u : 2 x _ 6 y

,^, d'u n' d 2 u . d 2 u ^ ,., Oru A2u d2u

(e'
ox, uay* ayr:o
(f) +aroy-u.
or, #:o
02u O2u ^O2u
(, 8, )- * 6 - . *9,-:0
ox- oxoy oy'
Answer:H, H, E, E, H, H, P

I0 A functionu(x,l) is to satisfythe diflerentialequation

^t ^t
o'u o'u
Ar': Ot'
i n t h e d o m a i n0 < x < 1 0
0<t<co
The following boundary/initial conditions apply:

0u
u ( 0 I, ): a x ( 1 0 t, ) : 0 for all I

u(x,0):x(20-x) for0<x<10
du
(x,0):0 for0<x<10
u,
T a k e/ x : / t : 2 a n d f i n d u ( x , 2 0 )f o r x : 2 , 4 , 6 , g .
Answer:u(2,20): -36, u(4,20): -64, u(6,20): -84, u(8,20): _96.
 302 C H A P T E RB

8.10 Furtherreading
Burden, R.L. and Faires, J.D. (1989).Numerical Analysis,4th edn, PWS-Kent, Boston, Massachusetts.
Chapra, S.C.and Canale, R.P. (1988\-Numerical Methoils for Engineers,2ndedn, McGraw-Hill, New York.
Cheney, W. and Kincaid, D. (1985). Numerical Mathematics and Computing, 2nd edn, Brooks/Cole,
Monterey, California.
Forsythe, G. and Wasow, W.(1960)- Finite Diference Methods for Partial Dffirential Equations, Wiley, New
York.
i
Frobcrg, C.E. (1985). Nunterical Mathematics, Benjamin/Cummings, Menlo Park, California.
Gladwell, I. and Wait, R. (eds) (1979). A Survey of Nutnerical Methods for Partial Diferential Equations,
Oxford University Press,Oxford.
Lapidus, L. and Pinder, G. (1982). Numerical Solution of Partial Diferential Equations in Science and
Engineering, Wiley, New York.
Mitchell, A.R. (1969). Computatiotal Methods in Partial Diferential Equations, Wiley, New York.
Ralston, A. and wilfi H.s. (1967). Mathematical Methods for Digital computers, wiley, New york.
Richtmyer, R. and Morton, K. (1967). Diference Methods for Initial Value Problems,2nd edn, Wiley, New
York.
Salvadoh, M.G. and Baron, M.L. (1961). Nunerical Methods in Engineering, Prentice-Hall, Englewood
Cliffs, New Jersey.
Schwarz, H.R. (1989).Numerical Analysis, Wiley, New york.
Shoup, T.E. (1979).A Practical Guide to Computer Methods for Engineers,Prentice-Hall, Englewood Cliffs,
New Jersey.
Smith, G.D. (1985). Nwrerkal Solution of Partial Diferentia! Equations,3rd cdn, Oxford University prcss,
I-ondon.
Smith, I.M. and Griffiths, D.V. (1988).Programming the Finite Element Method,2nd edn, Wiley, New york.
zienkiewicl o.c. (1989). The Finite Element Method,4th edn, McGraw-Hilt. Maidcnhead.

flI

l,
h;