Partial Differential Equations Introduction General Features of Partial Differential Equations Classification of Partial Differential Equations Classification of Physical Problems Elliptic Partial Differential Equations Parabolic Partial Differential Equations Hyperbolic Partial Differential Equations The Convection-Diffusion Equation Initial Values and Boundary Conditions Well-Posed Problems Summary lL1_ INTRODUCTION Partial differential equations (PDEs) atise in all fields of engineering and science. Most real physical processes are governed by partial differential equations. In many cases, simplifying approximations are made to reduce the governing PDEs to ordinary differ- ential equations (ODEs) or even to algebraic equations. However, because of the ever increasing requirement for more accurate modeling of physical processes, engineers and scientists are more and more required to solve the actual PDEs that govern the physical problem being investigated, Part IM is devoted to the solution of partial differential equations by finite difference methods. For simplicity of notation, the phrase partial differential equation frequently will be replaced by the acronym PDE in Part IIL. This replacement cenerally makes the text flow502 Part lil The objectives of Part Il are: 1. To present the general features of partial differential equations 2. To discuss the relationship between the type of physical problem being solved, the classification of the corresponding governing partial differential equation, and the type of numerical method required 3. To present examples to illustrate these concepts. 1.2 GENERAL FEATURES OF PARTIAL DIFFERENTIAL EQUATIONS A partial differential equation (PDE) is an equation stating a relationship between a function of two or more independent variables and the partial derivatives of this function with respect to these independent variables. The dependent variable f is used as a generic dependent variable throughout Part III, In most problems in engineering and science, the independent variables are either space (x, y, z) or space and time (x, y, z, t). The dependent variable depends on the physical problem being modeled. Examples of three simple partial differential equations having two independent variables are presented below: (iII.1) (11.2) (mm.3) Equation (111.1) is the two-dimensional Laplace equation, Eq. (U11.2) is the one-dimen- sional diffusion equation, and Eq, (IIl,3) is the one-dimensional wave equation. For simplicity of notation, Eqs. (111.1) to (11.3) usually will be written as Sx thy =9 (IL4) f= fe i) Sa= Che (IIL.6) where the subscripts denote partial differentiation. The solution of a partial differential equation is that particular function, f(x, y) or (x, which satisfies the PDE in the domain of interest, D(x, y) or D(x, 1), respectively, and satisfies the initial and/or boundary conditions specified on the boundaries of the domain of interest. In a very few special cases, the solution of a PDE can be expressed inPartial Differential Equations 503 where V? is the Laplacian operator, which in Cartesian coordinates is z ez ez ae tae Equation (II1.5), which is the one-dimensional diffusion equation, in four independent variables is =U Sec thy +hz) =4VF (am.9) The parameter at is the diffusion coefficient. Equation (III.6), which is the one-dimensional wave equation, in four independent variables is Sn =O fee thy the) =O VF (uL.10) The parameter c is the wave propagation speed. Problems in two, three, and four independent variables occur throughout engineering and science. Equations (II1.4) to (III.10) are all second-order partial differential equations. The order of a PDE is determined by the highest-order derivative appearing in the equation. A large number of physical problems are governed by second-order PDEs. Some physical problems are governed by a first-order PDE of the form of, + bf, =0 (1.11) where a and b are constants. Other physical problems are govemed by fourth-order PDEs such as Sreox +hesy + hay = 9 (11.12) Equations (II1.4) to (111.12) are all Jinear partial differential equations. A linear PDE is one in which all of the partial derivatives appear in linear form and none of the coefficients depends on the dependent variable. The coefficients may be functions of the independent variables, in which case the PDE is a linear, variable coefficient, PDE. For example, af, + bxf, =0 (11.13) where a and b are constants, is a variable coefficient linear PDE, whereas Eqs. (IIL.4) to (111.12) are all linear PDEs. If the coefficients depend on the dependent variable, or the derivatives appear in a nonlinear form, then the PDE is nonlinear. For example, the + of, =0 (11.14) af + bf, =0 (1WL.15) are nonlinear PDEs. Equations (III.4) to (111.15) are all homogeneous partial differential equations. An Peet V= (11.8) SPE eee eee ee ee eee eee eee504 Part Ill Equations (II1.4) to (111.16) are all examples of a single partial differential equation governing one dependent variable. Many physical problems are governed by a system of PDEs involving several dependent variables, For example, the two PDEs af, +g, =0 (i11.17a) Ag, + Bf, =0 (101.176) comprise a system of two coupled partial differential equations in two independent variables (x and f) for determining the two dependent variables, f(x, ¢) and g(x, ¢). Systems containing several PDEs occur frequently, and systems containing higher-order PDEs occur occasionally. Systems of PDEs are generally more difficult to solve numerically than a single PDE. As illustrated in the preceding discussion, a wide variety of partial differential equations exists. Each problem has its own special governing equation or equations and its own peculiarities which must be considered individually. However, useful insights into the general features of PDEs can be obtained by studying three special cases. The first special case is the general quasilinear (i.e., linear in the highest-order derivative) second-order nonhomogeneous PDE in two independent variables, which is Afec + Bhy + Shy + Df. + Ef, + Ff =G (111.18) where the coefficients A to C may depend on x, y, f,, and f,, the coefficients D to F may depend on x, y, and f, and the nonhomogeneous term G may depend on x and y. The second special case is the general quasilinear first-order nonhomogeneous PDE in two independent variables, which is af, + bf, = (111.19) where a, b, and c may depend on x, f, and f. The third special case is the system of two general quasilinear first-order nonhomogeneous PDEs in two independent variables, which can be written as af, + bf, + cg, + dg, =e (111.20a) Af, + Bf, + Ca, + De, = E (11.20b) where the coefficients a to d and A to D and the nonhomogeneous terms e and E may depend on x, t, f, and g. The general features of these three special cases are similar to the general features of all the PDEs discussed in this book. Consequently, these three specialPartial Differential Equations 505 are governed by fourth-order PDEs. The classification of PDEs is most easily explained for a single second-order PDE. Consequently, in the following discussion, the general quasilinear (i.e., linear in the highest-order derivative) second-order nonhomogeneous PDE in two independent variables [i.e., Eq. (I11.18)] is classified first. The classification of the general first-order nonhomogeneous PDE in two independent variables [i.e., Eq. (111.19)] is studied next. Finally, the classification of the system of two quasilinear first- order nonhomogeneous PDEs [i.e., Eq. (Ill.20)] is studied. The classification of higher- order PDEs, larger systems of PDEs, and PDEs having more than two independent variables is considerably more complicated. The general quasilinear second-order nonhomogeneous partial differential equation in two independent variables is [see Eq. (I1.18)] Aes + Bh + Gy + Dh + Ef, + Ff = GE (L21) The classification of Eq. (111.21) depends on the sign of the discriminant, B? ~ 4AC, as follows: B’-44C Classification Negative Elliptic Zero Parabolic Positive Hyperbolic The terminology elliptic, parabolic, and hyperbolic chosen to classify PDEs reflects the analogy between the form of the discriminant, B* — 4C, for PDEs and the form of the discriminant, B? — 44C, which classifies conic sections. Conic sections are described by the general second-order algebraic equation Ax + Bry + OC? + Dx + By +F =0 (11.22) The type of curve represented by Eq. ([1.22) depends on the sign of the discriminant, B’ ~ 4AC, as follows: B—4AC Type of curve Negative Ellipse Zero Parabola Positive Hyperbola The analogy to the classification of PDEs is obvious. There is no other significance to the506 Part Ill have some very special features. The prefix hyper is used to denote spaces of more than three dimensions, that is, xyzt spaces, and curves and surfaces within those spaces. In two- dimensional space, which is the case considered here, characteristics are paths (curved, in general) in the solution domain along which information propagates. In other words, information propagates throughout the solution domain along the characteristics paths. Discontimuities in the derivatives of the dependent variable (if they exist) also propagate along the characteristics paths. If a PDE possesses real characteristics, then information propagates along these characteristics. If no real characteristics exist, then there are no preferred paths of information propagation. Consequently, the presence or absence of characteristics has a significant impact on the solution of a PDE (by both analytical and numerical methods). A simple physical example can be used to illustrate the physical significance of characteristic paths. Convection is the process in which a physical property is propagated (ie., convected) through space by the motion of the medium occupying the space. Fluid flow is a common example of convection. The convection of a property f of a fluid particle in one dimension is governed by the convection equation ftuf, =0 (11.23) where u is the convection velocity. A moving fluid particle carries (convects) its mass, momentum, and energy with it as it moves through space. The location x(t) of the fluid particle is related to its velocity u(¢) by the relationship dx == TT.24) aan (11.24) The path of the fluid particle, calléd its pathline, is given by 7 X=Xp +| u(t) dt (111.25) to The pathline is illustrated in Figure Illa. Along the pathline, the convection equation fi.e., Eq. (II1.23)] can be written as fru =f Eh= which can be integrated to yield f = constant. Consequently, the fluid property f is convected along the pathline, which is the characteristic path associated with the convection equation. Equation (111.24), which is generally called the characteristic equation, is the differential equation of the characteristic path. The physical significance of the pathline (ie., the characteristic path) as the path of propagation of the fluid property ' ae 7 w| | (111.26)Partial Differential Equations 507 Jf is quite apparent for fluid convection. Equation (111.26), which is generally called the compatibility equation, is the differential equation which applies along the characteristic path, To illustrate further the property of a characteristic path as the path of propagation in a convection problem, consider the triangular property distribution illustrated in Figure IIl.1b. As the fiuid particles move to the right at the constant convection velocity u, each particle carries with it its value of the property f. Consequently, the triangular property distribution simply moves (i.e., convects) to the right at the constant convection velocity u, unchanged in magnitude and shape. The apex of the triangle, which is a point of discontinuous slope in the property distribution, convects as a discontinuity in slope at the convection velocity u. This simple convection example illustrates the significance of characteristic paths. Let’s return to the classification of Eq. (IlI.21). Several procedures exist for determining the characteristics, and hence the classification, of PDEs. Because discon- tinuities in the derivatives of the solution, if they exist, must propagate along the characteristics, one approach is to answer the following question: Are there any paths in the solution domain D(x, y) passing through a general point P along which the second derivatives of f(x, y), that is, fir, fy, and f,,, are multivalued or discontinuous? Such paths, if they exist, are the paths of information propagation, that is, the characteristics. One relationship for determining the three second derivatives of f(x, y) is given by the partial differential equation itself, Eq. (111.21). Two more relationships are obtained by applying the chain rule to determine the total derivatives of f, and f,, which are themselves functions of x and y. Thus, Uf) = fee Ce + fy dy (11.27) Uf) =fy thy Y (1.27b) Equations (111.21) and (111.27) can be written in matrix form as follows: AB CVT fa -Df, - Ef, -F +G dx dy 0 fy |= | aK) (111.28) 0 dx dy|| fy df) Equation (111.28) can be solved by Cramer's rule to yield unique finite values of f.,, fy, and Sy, unless the determinant of the coefficient matrix vanishes. In that case, the second derivatives of f(x,y) are either infinite, which is physically meaningless, or they are indeterminate, and thus multivalued or discontinuous. Setting the determinant of the coefficient matrix of Eq. (III.28) equal to zero yields A(dyy — B(dx\(dy) + C(dxy = 0 (11.29) Equation (111.29) is the characteristic equation corresponding to Eq, (111.21). Equation SRI a ae508 Part Ii S(x,y) may be multivalued or discontinuous. These two families of curves, if they exist, are the characteristic paths of the original PDE, Eq. (II.21). The two families of characteristic curves may be complex, real and repeated, or real and distinct, according to whether the discriminant, B’ — 4AC, is negative, zero, or positive, respectively. Accordingly, Eq. (III.21) is classified as follows: B’—44C Characteristic curves _ Classification Negative Complex Elliptic Zero Real and repeated Parabolic Positive Real and distinct Hyperbolic Consequently, elliptic PDEs have no real characteristic paths, parabolic PDEs have one real repeated characteristic path, and hyperbolic PDEs have two real distinct characteristic paths. The presence of characteristic paths in the solution domain leads to the concepts of domain of dependence and range of influence. Consider a point P in the solution domain, D(x, y). The domain of dependence of point P is defined as the region of the solution domain upon which the solution at point P, f(x), ¥,), depends. In other words, /(x,, ¥,) depends on everything that has happened in the domain of dependence. The range of influence of point P is defined as the region of the solution domain in which the solution S(x,y) is influenced by the solution at point P. In other words, f(x,, yp) influences the solution at all points in the range of influence. Recall that parabolic and hyperbolic PDEs have real characteristic paths. Conse- guently, they have specific domains of dependence and ranges of influence. Elliptic PDEs, on the other hand, do not have real characteristic paths. Consequently, they have no specific domains of dependence or ranges of influence. In effect, the entire solution domain of an elliptic PDE is both the domain of dependence and the range of influence of every point in the solution domain. Figure III.2 illustrates the concepts of domain of dependence and range of influence for elliptic, parabolic, and hyperbolic PDEs. Unlike the second-order PDE just discussed, a single first-order PDE is always hyperbolic. Consider the classification of the single general quasilinear first-order non- homogeneous PDE, Eq, (III.19): af, + bf, =e (11.31) og WT NU]Partial Differential Equations 509 The characteristic paths, if they exist, are determined by answering the following question: Are there any paths in the solution domain D(x, £) passing through a general point P along which the first derivatives of f(x, t) may be discontinuous? Such paths, if they exist, are the characteristics of Eq. (11131). One relationship for determining f; and f, is given by Eq. (1131). Another relationship is given by the total derivative of f(t, x): df =fdttf, de (111.32) Equations (111.31) and (111.32) can be written in matrix form as [4 al ~ [s| (1.33) As before, the partial derivatives f, and f, are uniquely determined unless the determinant of the coefficient matrix of Eq. (III.33) is zero. Setting that determinant equal to zero gives the characteristic equation, which is adx—bdt=0 (1.34) Solving Eq. (111.34) for dx/dt gives 2 (135) Equation (III.35) is the differential equation for a family of paths in the solution domain along which f, and f, may be discontinuous, or multivalued. Since a and b are real functions, the characteristic paths always exist. Consequently, a single quasilinear first- order PDE is always hyperbolic. The convection equation, Eq. (III.23), is an example of such a PDE. As a third example, consider the classification of the system of two general coupled quasilinear first-order nonhomogeneous partial differential equations, Eq. (II.20): af, + bf, + cg, + dg, =e (UL.36a) Af, + Bf, + Cg, + Dg, = E (I11.36b) The characteristic paths, if they exist, are determined by answering the following question: Are there any paths in the solution domain D(x, 1) passing through a general point P along510 Part Ill Equations (111.36) and (111.37), which comprise a system of four equations for determining Su fe & and g,, can be written in matrix form as follows: abe aff e ABpcobI||f£|_le a dk 0 Offs, ||] af (01:38) 00 a d&dlg. dg As before, the partial derivatives are uniquely determined unless the determinant of the coefficient matrix of Eq. (III.38) is zero. Setting that determinant equal to zero yields the characteristic equation, which is (aC — Ac)(dx)” — (aD — Ad + bC ~ Be\(dx)(dt) + (6D ~ Bdy(dt? =0 —(IIL.39) Equation (111.39), which is a quadratic equation in dx/dt, may be written as A(dx)? — B(dx\(at) + C(aty’ = 0 (11.40) where A = (aC — Ac), B = (aD — Ad + bC — Bc), and C = (6D — Bd). Equation (111.40) can be solved by the quadratic formula to yield (1.41) dt 24 Equation (111.41) is the differential equation for two families of curves in the xt plane, corresponding to the + signs. Along these two families of curves, the first derivatives of f(x, 1) and g(x,¢) may be multivalued. These two families of curves, if they exist, are the characteristic paths of the original system of PDEs, Eq. (11.36). The slopes of the two families of characteristic paths may be complex, real and repeated, or real and distinct, according to whether the discriminant, B’ — 44, is negative, zero, or positive, respectively. Accordingly, Eq. (III.36) is classified as follows: B-44T Classification Negative Elliptic Zero Parabolic Positive Hyperbolic In summary, the physical interpretation of the classification of a partial differential equation can be explained in terms of its characteristics. If real characteristics exist, preferred paths of information propagation exist. The speed of propagation of information Pee ee eee eee eee eee eee eee eee ree eee eeePartial Differential Equations 511 solution at all the other points. Since there are no curves along which the derivatives may be discontinuous, the solution throughout the entire solution domain must be continuous. Physical problems governed by PDEs that have complex characteristics are equilibrium problems. Thus, elliptic PDEs govern equilibrium problems. These concepts are related to the classification of physical problems in the next section. The significance of the classification of a PDE as it relates to the numerical approximation of the PDE is as follows. For an elliptic PDE which contains only second-order spatial derivatives, there are no preferred physical information propagation paths. Consequently, all points are dependent on all other points and all points influence all other points. This physical behavior should be accounted for in the numerical approxima- tion of the PDE. For a parabolic PDE which contains only second-order spatial derivatives, the preferred physical information propagation paths are lines (or surfaces). of constant time (or constant timelike variable). In other words, at each time (or timelike variable) level, all points are dependent on all other points and all points influence all other points. This physical behavior should be accounted for in the numerical approximation of the PDE. For a hyperbolic PDE which contains only first-order spatial derivatives, distinct physical information propagation paths exist. Physical information propagates along these distinct physical propagation paths. This physical behavior should be accounted for in the numerical approximation of the PDE. Elliptic and parabolic PDEs exist which contain first-order spatial derivatives in addition to second-order spatial derivatives, In such cases, the physical behavior associated with the second-order spatial derivatives is the same as before, but the physical behavior associated with the first-order spatial derivatives acts similarly to the behavior of the first- order spatial derivatives in a hyperbolic PDE. This physical behavior should be accounted for in the numerical approximation of such PDEs. I.4_ CLASSIFICATION OF PHYSICAL PROBLEMS Physical problems fall into one of the following three general classifications: 1, Equilibrium problems 2. Propagation problems 3. Eigenproblems Each of these three types of physical problems has its own special features, its own particular type of governing partial differential equation, and its own special numerical solution method. A clear understanding of these concepts is essential if meaningful numerical solutions are to be obtained. 1.4.1 Equilibrium Problems PRP e Cee eee ee eee ete eee eae ae eae512 Part Ill Domain of dependence and Range of influence Figure III.3. Solution domain for an equilibrium problem. points. Figure IIL.3 illustrates the closed solution domain D(x, y) and its boundary B. Consequently, equilibrium problems are solved numerically by relaxation methods. A classical example of an equilibrium problem governed by an elliptic PDE is steady heat diffusion (i.e., conduction) in a solid (see Section IIL5). The governing PDE is the Laplace equation VT =0 (0.42) where 7’ is the temperature of the solid. In two dimensions, Eq. (II1.42) is Tz + Dy =0 (1.43) Along the boundary B, the temperature 7(x, y) is subject to the boundary condition aT +bT, =c¢ (11.44) at each point on the boundary, where 7,, denotes the derivative normal to the boundary. Equilibrium problems arise in all fields of engineering and science. Equilibrium problems in partial differential equations are analogous to boundary-value problems in ordinary differential equations, which are considered in Chapter 8. L.4.2 Propagation Problems Propagation problems are initial-value problems in open domains (open with respect to one of the independent variables) in which the solution f(x, r) in the domain of interest D(x, #) is marched forward from the initial state, guided and modified by boundary conditions. Propagation problems are governed by parabolic or hyperbolic PDEs. Propa- gation problems in PDEs are analogous to initial-value problems in ODEs, which are considered in Chapter 7. The _tajority | of propagation problems are unsteady problems. The diffusion eee eeePartial Differential Equations 513 in which the initial property distribution at location yo, f(x, ¥) = F(@), is marched forward in space in the y direction. The general features of these two PDEs, Eqs. (IIl.45a) and (IIL45b), are identical, with the space coordinate y in Eq. (III.45b) taking on the character of the time coordinate ¢ in the diffusion equation. Consequently, the marching direction in a steady-state space propagation problem is called the timelike direction, and the corresponding coordinate is called the timelike coordinate. The space direction in which diffusion occurs [i.e., the x direction in Eqs. (I11.45a) and (III.45b)] is called the spacelike direction, and the corresponding coordinate is called the spacelike coordinate. In the present discussion, unsteady and steady propagation problems are considered simulta- neously by considering the time coordinate in the diffusion equation, Eq. (III.45a), to be a timelike coordinate, so that Eq. (III.45a) models both unsteady and steady propagation problems. The solution of a propagation problem is subject to initial conditions specified at a particular value of the timelike coordinate and boundary conditions specified at each point on the spacelike boundary. The domain of interest D(x, f) is open in the direction of the timelike coordinate. Figure III.4 illustrates the open solution domain D(x, t) and its boundary B which is composed of the initial time boundary and the two physical boundaries. Propagation problems are initial-value problems, which are solved by marching methods. A classical example of a propagation problem governed by a parabolic PDE is unsteady heat diffusion in a solid (see Section III.6). The governing PDE is the diffusion equation: T,=0VT (uL.46) where T is the temperature and « is the thermal diffusivity of the solid. In one space dimension, Eq. (111.46) is T, = 0D y (11.47) Since Eq. (111.47) is first order in time, values of 7 must be specified along the initial time boundary. Since Eq. (111.47) is second order in space, values of T must be specified along both space boundaries, Parabolic PDEs have real repeated characteristics. As shown in Section III.6 for the diffusion equation, parabolic PDEs have specific domains of dependence and ranges of influence and infinite information propagation speed. Thus, the solution at each point in tf Open boundary March514 Part Ill the solution domain depends on a specific domain of dependence and influences the solution in a specific range of influence. In two variables (e.g., space x and time f), parabolic PDEs have two real repeated families of characteristics. As illustrated in Figure IIL.5, both families of characteristics have zero slope in the xt plane, which corresponds to an infinite information propagation speed. Consequently, parabolic PDEs behave like hyperbolic PDEs in the limit where the information propagation speed is infinite. Thus, the solution at point P depends on the entire solution domain upstream of and including the horizontal line through point P itself. The solution at point P influences the entire solution domain downstream of and including the horizontal line through point P itself. However, the solution at point P does not depend on the solution downstream of the horizontal line through point P, nor does the solution at point P influence the solution upstream of the horizontal line through point P. Numerical methods for solving propagation problems governed by parabolic PDEs must take the infinite information propagation speed into account. A classical example of a propagation problem governed by a hyperbolic PDE is acoustic wave propagation (see Section III.7). The governing PDE is the wave equation =a VP’ (IIL.48) where P’ is the acoustic pressure (ie., the pressure disturbance) and a is the speed of propagation of small disturbances (i.e., the speed of sound), In one space dimension, Eq. (111.48) is Pi, = &P%, (111.49) Since Eq. (III.49) is second order in time, initial values of both P’ and P; must be specified along the initial time boundary. Since Eq. (III.49) is second order in space, values of P’ must be specified along both space boundaries. Hyperbolic PDEs have real distinct characteristics. As shown in Section III.7 for the wave equation, hyperbolic PDEs have finite domains of dependence and ranges of influence and finite information propagation speed. Thus, the solution at each point in the solution domain depends only on the solution in a finite domain of dependence and influences the solution only in a finite range of influence. In two variables (e.g., space x and time 1), hyperbolic PDEs have two real and distinct families of characteristics. As illustrated in Figure III.6, both families of March } Open boundaryPartial Differential Equations 515 characteristics have finite slope in the x’ plane, which corresponds to a finite information speed. For acoustic fields, these two real families of characteristics are the right-running (ie., in the positive x direction) and left-running (.e., in the negative x direction) acoustic waves. These characteristics are illustrated in Figure 111.6 at a particular point P. The characteristics have finite information propagation speed, thus giving rise to a finite domain of dependence and a finite range of influence for each point in the solution domain. The solution at point P depends only on the solution within the domain of dependence defined by the characteristics from the upstream portion of the solution domain. The solution at point P influences only the solution within the range of influence defined by the downstream propagating characteristics. The portion of the solution domain outside of the domain of dependence and the range of influence of point P neither influences the solution at.point P nor depends on the solution at point P. Numerical methods for solving propagation problems governed by hyperbolic PDEs must take the finite information propagation speed into account. From the above discussion, it is seen that propagation problems are governed by either a parabolic or a hyperbolic PDE. These two types of PDEs exhibit many similarities (e.g., an open boundary, initial data, boundary data, domains of dependence, and ranges of influence). Both types of problems are solved numerically by marching methods. However, there are significant differences in propagation problems governed by parabolic PDEs and hyperbolic PDEs, due to the infinite information propagation speed associated with parabolic PDEs and the finite information propagation speed associated with hyperbolic PDEs. These differences must be accounted for when applying marching methods to these two types of partial differential equations. Propagation problems arise in all fields of engineering and science. Propagation problems governed by hyperbolic PDEs are somewhat analogous to initial-value problems in ODEs, while propagation problems governed by parabolic PDEs share some of the features of both initial-value and boundary-value problems in ODEs. Table III.1 summarizes the general features of PDEs as presented in this section. IL4.3 Eigenproblems Eigenproblems are special problems in which the solution exists only for special values (ie., eigenvalues) of a parameter of the problem. The eigenvalues are to be determined in March Open boundary516 Part tit Table IIL.1 General Features of Partial Differential Equations Type of physical problem Equilibrium Propagation Mathematical. Elliptic Parabolic Hyperbolic classification of the PDE Characteristics Complex Real and repeated Real and distinct Information ‘Undefined Infinite Finite propagation speed Domain of Entire Present and Past solution dependence solution entire past domain between, domain solution domain characteristics Range of Entire Present and Future solution influence solution entire future domain between domain solution domain characteristics Type of Relaxation Marching Marching numerical method addition to the corresponding configuration of the system. Eigenproblems for PDEs are analogous to cigenproblems for ODEs, which are considered in Section 8.9, Eigen- problems for PDEs are not considered in this book. 1.5 ELLIPTIC PARTIAL DIFFERENTIAL EQUATIONS A classical example of an elliptic PDE is the Laplace equation: Vr=0 (111.50) The Laplace equation applies to problems in ideal fluid flow, mass diffusion, heat diffusion, electrostatics, etc. In the following discussion, the general features of the Laplace equation are illustrated for the problem of steady two-dimensional heat diffusion in a solid. Consider the differential cube of solid material illustrated in Figure 111.7. Heat flow in a solid is governed by Fourier’s law of conduction, which states that aT “6 (u1.s1)518 Part Ill The characteristics associated with Eq. (III.58) are determined by performing a characteristic analysis. In this case, Eq. (111.28) becomes 10 I4f Te 0 ax dy 0 |} tT, |=| az (111.60) o & wl{7,| Lar) The characteristic equation corresponding to Eq. (III.58) is determined by setting the determinant of the coefficient matrix of Eq, (111.60) equal to zero and solving the resulting equation for the slopes of the characteristic paths. Thus, (dy? + (de)? = 0 (111.61) ee tV-1 {IIL.62) Equation (111.62) shows that there are no real characteristics associated with the steady two-dimensional heat conduction equation. Physically, this implies that there are no preferred paths of information propagation, and that the domain of dependence and range of influence of every point is the entire solution domain. The temperature at every point depends on the temperature at all the other points, including the boundaries of the solution domain, and the temperature at each point influences the temperature at all the other points. The temperature distribution is continuous throughout the solution domain because there are no paths along which the derivative of temperature may be discontin- uous. The domain of dependence and the range of influence of point P are illustrated schematically in Figure TIL.3. Another classical example of an elliptic PDE is the Poisson equation, which is the nonhomogeneous Laplace equation. Consider the problem of steady heat conduction in a solid with internal energy generation # (J/s) given by E=Q@,y,.2aV (111.63) where Q is the energy generation rate per unit volume (J/m°-s). For steady heat flow, the sum of the energy transferred to the solid by conduction and the internal energy generation must equal zero. Thus, Eq. (111.56) becomes a(,7 a (aT a(,aT oy —lk— —lk— —[k— = ut a's) +5 (5) “e(hz) 2-8 amen When the thermal conductivity & is constant (Le., neither a function of temperature nor location), Eq. (111.64) becomes eePartial Differential Equations 519 In summary, steady heat conduction is an equilibrium problem and must be solved by relaxation methods. The PDE governing steady heat conduction is a classical example of an elliptic PDE. 1.6 PARABOLIC PARTIAL DIFFERENTIAL EQUATIONS A classical example of a parabolic PDE is the diffusion equation: =p (U.66) The diffusion equation applies to problems in mass diffusion, momentum diffusion, heat diffusion, etc. The general features of the diffusion equation are illustrated for the problem of unsteady one-dimensional heat diffusion in a solid. Consider the heat diffusion analysis presented in Section III.5. The net flow of heat in the x, y, and z directions is given by Eqs. (1IL.53) to (IIT.55), respectively. For steady- state heat flow, there is no net change in the amount of energy stored in the solid, so the sum of the net heat flow components is zero. In an unsteady situation, however, there can be a net change with time in the amount of energy stored in the solid. The energy £ (J) stored in the solid mass dim (kg) is given by Egos = dm CT = (o aV)CT = (pCT) aV .67) where p is the density of the solid material (kg/m’), dV is the differential volume (m*), 7 is the temperature (K), and C is the specific heat (I/kg-K), which is a physical property of the solid material. The sum of the net heat flow components must equal the time rate of change of the stored energy. Thus, A&pCT) _ a oT a or a or My a ae(Eae) M(B) ba Fe) ames) Equation (111.68) governs the unsteady diffusion of heat in a solid. When the thermal conductivity 4, density p, and specific heat C are all constant (i.e., neither functions of temperature or position), Eq. (IIL.68) simplifies to T= (Ty + Ty + Tz) =aVT (11.69) where «=/pC is the thermal diffusivity (m?/s). Equation (111.69) is the diffusion equation. For unsteady one-dimensional heat diffusion, Eq, (111.69) becomes520 Part lil The characteristics associated with Eq. (III.70) are determined by performing a characteristic analysis. In this case, Eq. (11.28) becomes « 0 OV[T. L ds at 04) T, | =| aT) (0.72) 0 a dt{| T, a(T,) The characteristic equation corresponding to Eq. (III.70) is determined by setting the determinant of the coefficient matrix of Eq. (II.72) equal to zero and solving for the slopes of the characteristic paths. In the present case, this yields adr? =0 (1.73) dt = £0 (1.74) t = constant (1.75) Equation (II1.74) shows that there are two real repeated roots associated with the characteristic equation, and Eq. (IIJ.75) shows that the characteristics are lines of constant time. The speed of propagation of information along these characteristic paths is dx dx e=S=iyate (1.76) Consequently, information propagates at an infinite speed along lines of constant time. This situation is illustrated schematically in Figure IIIS. The information at point P propagates at an infinite speed in both directions. Consequently, the temperature at point P depends on the temperature at all other points in physical space at all times preceding and including the current time, and the temperature at point P influences the temperature at all other points in physical space at all times after and including the current time. In other words, the domain of dependence of point P is the finite region ahead of and including the current time line. The range of influence of point P is the semi-infinite region after and including the current time line. In this regard, the diffusion equation behaves somewhat like an elliptic PDE at each time level. In summary, unsteady heat diffusion is a propagation problem which must be solved by marching methods. The PDE governing unsteady heat diffusion is a classical example of a parabolic PDE. U.7 | HYPERBOLIC PARTIAL DIFFERENTIAL EQUATIONS A classical example of a hyperbolic PDE is the wave equation:Partial Differential Equations 521 McDonald (1985) or Zucrow and Hoffman (1976)], those basic physical laws yield the following system of quasi-linear first-order PDEs: Pp, +V(pV) =0 (1.78) pV, + p(VV)V + VP =0 (mL.79) P,+V-VP —a(p,+ V-Vp) =0 (II.80) where p is the fluid density (kg/m’), V is the fluid velocity vector (m/s), P is the static pressure (N/m*), and a is the speed of propagation of small disturbances (m/s) (i.e. the speed of sound). Equations (II1.78) to (1.80) are restricted to the flow of a pure substance with no body forces or transport phenomena (i.e., no mass, momentum, or energy diffusion). For unsteady one-dimensional flow, Eqs. (11.78) to (111.80) yield: Py + Ply + Mp, = 0 (mL81) pu, + pau, + Py =0 (111.82) P,+uP,—a@(p, + up,) =0 (IIL83) Equations (111.81) to (111.83) are more general examples of the simple one-dimen- sional convection equation ftw, =0 (uLs4) where the property fis being convected by the velocity through the solution domain D(x, 1). Equation (111.84) in three independent variables is rush swe apever= 2 =o aites) where uw, v, and w are the velocity components in the x, y, and z directions, respectively, and the vector onentoe D/Dt is called the substantial derivative: D Dt stunt vptegagtvT (111.86) Equations (111.81) and (111.83) are frequently combined to eliminate the derivatives of density. Thus, P+ uP, + plu, =0 (01.87) Equations (III.81) to (11.83), or Eqs. (111.82) and (IIL.87), are classical examples of a system of nonlinear first-order PDEs. Acoustics is the science devoted to the study of the motion of small amplitude disturbances in a fluid medium. Consider the classical case of infinitesimally small perturbations in velocity, presure, and density in a stagnant fluid. In that case, u=mytu=u P=Py+P p=pto' dy+a’ (11.88)522 Part Ill Equations ({1J.89) and (II1.90) can be combined to solve explicitly for cither the pressure perturbation P’ or the velocity perturbation w. Differentiating Eq. (111.89) with respect to x and Eq. (111.90) with respect to f and combining the results to eliminate 1, yields the wave equation for the pressure perturbation, P’: Pi, = aP (1.91) Differentiating Eq. (IIL89) with respect to ¢ and Eq. (11.90) with respect to x and combining the results to eliminate P,, yields the wave equation for the velocity perturba- tion u: ul, = apul, (ail.92) Equations (111.91) and (111.92) show that the properties of a linearized acoustic field are governed by the wave equation. In terms of the general second-order PDE defined by Eq, (IlL.21), A = 1, B~0, and C = —a3. The discriminant, B? — 4C, is B’ —44C = 0 — 4(1)(-a3) = 4ag > 0 (111.93) Consequently, Eqs. (II1.91) and (11.92) are hyperbolic PDEs. Since Eqs. (H1.91) and (101.92) both involve the same differential operators [i.c., ( Je = @3( Jue], they have the same characteristics. Consequently, it is necessary to study only one of them, so Eq, (111.91) is chosen, The characteristics associated with Eq. (111.91) are determined by performing a characteristics analysis. In this case, Eq. (111.28) becomes 1 0 -& VPP, 0 ade (0 |) Py |=] dP) (mm.94) 0 dt dk Py aPy) The characteristic equation corresponding to Eq. (IIL91) is determined by setting the determinant of the coefficient matrix of Eq. (111.94) to zero and solving for the slopes of the characteristic paths. This yields (axy — ajar = 0 (111.95) Equation (111.95) is a quadratic equation for d¢/dr. Solving for dx/dr gives dx —= 1. G7 8 (111.96) X= 4 agt 97) Equation (111.96) shows ‘that there are two real distinct roots associated with the characteristic equation, and Eq. (III.97) shows that the characteristic paths are straightPartial Differential Equations 523 point P depends only upon the solution within the finite domain of dependence illustrated in Figure IIL.6. Likewise, the perturbation pressure at point P influences the solution only within the finite range of influence illustrated in Figure 116. The finite speed of propagation of information and the finite domain of dependence and range of influence must be accounted for when solving hyperbolic PDEs. Equations (111.89) and (111.90) are examples of a system of two coupled first-order convection equations of the general form: f+ ag, =0 (ILL.99a) 8, + af, =0 (UL.99b) Differentiating Eq, (111.99) with respect to 1, differentiating Eq. (IH.99b) with respect to x and multiplying by a, and subtracting yields the wave equation: Sa = Oh, (1.100) Consequently, the second-order wave equation can be interpreted as a system of two coupled first-order convection equations. In summary, unsteady wave motion is a propagation problem which must be solved by marching methods. The wave equation governing unsteady wave motion is a classical example of a hyperbolic PDE. U8 THE CONVECTION-DIFFUSION EQUATION The Laplace equation and the Poisson equation gover steady diffusion processes. The diffusion equation governs unsteady diffusion processes, The convection equation and the wave equation govern unsteady convection processes. When convection and diffusion are both present in a physical process, the process is governed by the convection-diffusion equation, The unsteady convection-diffusion equation is given by AVN =a VS (1.101) and the steady convection-diffusion equation is given by VU =a VF (41.102) Equations (iI.101) and (II1.102) are both second-order PDEs. Consider the unsteady one-dimensional convection-diffusion equation: SH Uf, = Oh (III.103)524 Part lll This characteristic path is not found in a classical characteristic analysis of the unsteady convection-diffusion equation. Consider the steady two-dimensional convection-diffusion equation: uf, + Uf, = A Sor thy) (U.105) The discriminant of Eq, (111.105) is B? — 44C = —4. Consequently, Eq. (II1.105) is an elliptic PDE, with no real characteristic paths. However, the terms uf, and »f, model physical convection, which has distinct information propagation paths. These information propagation paths are not found in a classical characteristic analysis of the steady convection-diffusion equation. The significance of the above discussion is as follows. When numerically approx- imating PDEs which contain both first-order and second-order spatial derivatives, the different physical behavior associated with the different spatial derivatives should be taken into account. LQ INITIAL VALUES AND BOUNDARY CONDITIONS A differential equation governs a family of solutions. A particular member of the family of solutions is specified by the auxiliary conditions imposed on the differential equation. For steady-state equilibrium problems, the auxiliary conditions consist of boundary conditions on the entire boundary of the closed solution domain. Three types of boundary conditions can be imposed: 1, Dirichlet boundary condition: The value of the function is specified. Ff is specified on the boundary. (111.106) 2. Neumann boundary condition: The value of the derivative normal to the boundary is specified. ¥ is specified on the boundary. (uL.107) 3. Mixed boundary condition: A combination of the function and its normal derivative is specified on the boundary. af + b= is specified on the boundary. (aL. 108) One of the above types of boundary conditions must be specified at each point on the boundary of the closed solution domain. Different types of boundary conditions can be specified on different portions of the boundary.Partial Differential Equations 525 For a PDE containing a second-order time (or timelike) derivative, two initial conditions are required along the time (or timelike) boundary: f(x. y, 2,0) = F(x. y, z) on the time boundary (HL110a) Si y, 2, 0) = G(x, y, z) on the time boundary (UT. 110b) ‘The required boundary conditions on the physical boundaries of the solution domain can be of the Dirichlet type, Eq. (Ill. 106), the Neumann type, Eq, (II1.107), or the mixed type, Eq, (IlI.108). Different types of boundary conditions can be specified on different portions of the boundary. Proper specifications of the type and number of auxiliary conditions is a necessary condition to obtain a well-posed problem, as discussed in Section II.10. 1.10 WELL-POSED PROBLEMS The general features of partial differential equations are discussed in the preceding sections. Elliptic PDEs govern equilibrium problems in closed domains. No real char- acteristics exist. Parabolic PDEs govern propagation problems in open domains. Real repeated characteristics cxist. Hyperbolic PDEs govern propagation problems in open domains. Real distinct characteristics exist. In all three cases, auxiliary conditions (1.¢., initial values and boundary conditions) are required to specify a particular solution of a PDE. The interrelationship between the type of PDE, the auxiliary data, and whether or not a solution exists and is unique gives rise to the concept of a well-posed problem, Hadamard (1923) states that a physical problem is well posed if its solution exists, is unique, and depends continuously on the boundary and/or initial data. For an elliptic PDE, the solution domain D(x, y) must be closed, and continuous boundary conditions must be specified along the entire physical boundary B. The boundary conditions may be of three types: (a) Dirichlet boundary conditions, (b) Neumann boundary conditions, or (c) mixed boundary conditions. For a parabolic PDE, the solution domain D(x, 2) must be open in the time (or timelike) direction, initial data must be specified along the time (or timelike) boundary, and continuous boundary conditions must be specified along the physical boundaries of the solution domain. The boundary conditions can be of the Dirichlet type, the Neumann type, or the mixed type. For a hyperbolic PDE, the solution domain D(x, t) must be open in the time (or timelike) direction, initial data must be specified along the time (or timelike) boundary, and continuous boundary conditions must be specified along the physical boundaries of the solution domain. The boundary conditions can be of the Dirichlet type, the Neumann type,526 Part tit {1.11 SUMMARY The general features of partial differential equations have been presented, and the concept of characteristics has been introduced. Characteristics are the physical paths along which information propagates. Partial differential equations are classified as elliptic, parabolic, or hyperbolic, according to whether there are no real characteristics, real repeated character- istics, or real distinct characteristics, respectively. Examples of several partial differential equations that arise in engineering and science have been presented. The Laplace equation is a classical example of an elliptic PDE, which must be solved by relaxation methods: vr=0 (L111) Chapter 9 is devoted to the solution of the Laplace equation, The diffusion equation is a classical example of a parabolic PDE, which must be solved by marching methods: f=aVye (1.112) Chapter 10 is devoted to the solution of the diffusion equation. The convection equation is a classical example of a hyperbolic PDE, which must be solved by marching methods: FAVS =0 (1.113) Chapter 11 is devoted to the solution of the convection equation. When convection and diffusion are both present, the process is governed by the convection-diffusion equation: HANNS =o VP (0.114) The convection-diffusion equation is a more complicated example of a parabolic PDE, which must be solved by marching methods. Section 10.9 is devoted to the solution of the convection-diffusion equation. Some physica! problems are govemed by a system of convection equations. In some cases, they can be recast as the wave equation: tn =O VG (11.120) The wave equation is a more complicated example of a hyperbolic PDE, which must be solved by marching methods. Section 11.8 is devoted to the solution of the wave equation