Computational Physics: Lecture – V

Partial differential equation

In general, we encounter the following partial differential equations in various concepts in

Physics and Engineering.

Wave equation:

𝜕!𝑢 !
𝜕!𝑢
=𝑐
𝜕𝑡 ! 𝜕𝑥 !

Diffusion equation:

𝜕𝑢 𝜕!𝑢
=𝛼
𝜕𝑡 𝜕𝑥 !

Laplacian equation:

In 3D:
!
𝜕!𝑢 𝜕!𝑢 𝜕!𝑢
∇ 𝑢= + + =0
𝜕𝑥 ! 𝜕𝑦 ! 𝜕𝑧 !

In 2D:
𝜕!𝑢 𝜕!𝑢
∇! 𝑢 = + =0
𝜕𝑥 ! 𝜕𝑦 !

Poisson equation:

∇! 𝑢 = 𝛽

Where 𝛽 can be a constant or a function 𝛽(𝑟⃗, 𝑡). For example, we see this Poisson equation in
the Electrostatics ∇! 𝑢 = 𝜌/𝜀" , where 𝜌 is the charge and 𝜀" is the permittivity of free
space.

Question: How to solve the partial differential equations using numerical schemes?

The partial derivative is exactly written in the same way like that of any ordinary derivative.
Let us start with a simple partial differential equation

𝜕𝑢 𝜕𝑢
+𝑣 =0
𝜕𝑡 𝜕𝑥

Here 𝑢 → 𝑢(𝑥, 𝑡). We can express the time derivative part using the explicit method (Forward
Euler’s scheme) as

𝜕𝑢 𝑢(𝑥, ∆𝑡 + 𝑡) − 𝑢(𝑥) 𝑢#$%& − 𝑢#$

= =
𝜕𝑡 ∆𝑡 ∆𝑡

Note that here 𝑗 index represent the spatial coordinate and 𝑛 represent the temporal (time)
coordinate. Similarly, using the central difference scheme, we can express the spatial derivative
part as
$ $
𝜕𝑢 𝑢(𝑥 + ∆𝑥, 𝑡) − 𝑢(𝑥 − ∆𝑥, 𝑡) 𝑢#%& − 𝑢#'&
= =
𝜕𝑥 2 ∆𝑥 2 ∆𝑥

𝑢#$%& − 𝑢#$ $
𝑢#%& $
− 𝑢#'&
+𝑣 =0
∆𝑡 2 ∆𝑥
𝑣 ∆𝑡 $
𝑢#$%& = 𝑢#$ − $
Q𝑢 − 𝑢#'& R
2 ∆𝑥 #%&

Von Neumann stability analysis

The value of the function 𝑢 at any spatial and temporal coordinate may be expanded in a
finite Fourier series as 𝑢#$ = 𝜉 $ 𝑒 ( * + # . Here 𝑘 𝑗 represent wave number and ℎ is the
increment in the spatial coordinate (∆𝑥).

Substituting 𝑢#$ = 𝜉 $ 𝑒 ( * + # in the above equation we get the following equation. Note that
for a stable method |𝜉| ≤ 1.

𝜉 $%& 𝑒 ( * + # = 𝜉 $ 𝑒 ( * + # − 𝜆 Q𝜉 $ 𝑒 ( * + (#%&) − 𝜉 $ 𝑒 ( * + (#'&)R ,

. ∆0
where 𝜆 = !+
. After some simplification, we get

𝜉 = 1 − 𝜆 Q 𝑒 ( * + − 𝑒 '( * + R

𝑣 ∆𝑡
𝜉 =1− 𝑖 sin(𝑘ℎ)
2ℎ

As |𝜉| ≤ 1 condition needs to be satisfied for the stability of the program, it leads to

. ∆0 ! . ∆0 !
\ ! + ] sin! (𝑘ℎ) ≤ 0 or \!+] ≤ 0

Which is not possible!

Upwind scheme:

In this scheme, we just use the steps like in the Euler’s method,

𝑢#$%& − 𝑢#$ 𝑢#$ − 𝑢#'&

$
+𝑣 =0
∆𝑡 ∆𝑥
This implies,
𝑣 ∆𝑡 $
𝑢#$%& = 𝑢#$ − $
Q𝑢 − 𝑢#'& R
∆𝑥 #

Stability of this scheme is

𝑣 ∆𝑡 $ ( * + #
𝜉 $%& 𝑒 ( * + # = 𝜉 $ 𝑒 ( * + # − Q𝜉 𝑒 − 𝜉 $ 𝑒 ( * + (#'&) R
ℎ
𝑣 ∆𝑡
𝜉 =1− Q1 − 𝑒 '( * + R
ℎ

To maintain the stability condition |𝜉| ≤ 1,

𝑣 ∆𝑡
|𝜉| = ^1 − Q1 − 𝑒 '( * + R^ ≤ 1
ℎ
It implies,

𝑣 ∆𝑡
0< <1
ℎ

It is called Courant- Friedrichs-Lewy (CFL) condition. It a necessary condition for convergence

while solving certain partial differential equations (usually hyperbolic PDEs) numerically. It
helps us to choose the time step and spatial step such a way that that our numerical scheme is
stable and the corresponding results may be valid.

Solving one-dimensional diffusion equation

𝜕𝑢 𝜕!𝑢
=𝛼
𝜕𝑡 𝜕𝑥 !

Explicit method

In this method, the numerical scheme would be the following. The first derivative of the
spatial term can be expressed as
 $
12 2!"# '2!$ 2!$ ' 2!%#
$

13
= 𝑢#4 = ∆3
4
and 𝑢#'& = ∆3

And the corresponding second derivative as

𝜕!𝑢 𝑢#4 − 𝑢#'&

4 $
𝑢#%& − 2 𝑢#$ + 𝑢#'&
$
= =
𝜕𝑥 ! ∆𝑥 ∆𝑥 !

It implies, the numerical scheme for the diffusion equation reads

𝑢#$%& − 𝑢#$ $
𝑢#%& − 2 𝑢#$ + 𝑢#'&
$
=𝛼 ` a
∆𝑡 ∆𝑥 !

𝛼 ∆𝑡 $
𝑢#$%& = 𝑢#$ + Q𝑢 − 2 𝑢#$ + 𝑢#'&
$
R
∆𝑥 ! #%&

Stability:

Take 𝑢#$ = 𝜉 $ 𝑒 ( * + # , and substitute it in the above equation

4 𝛼 ∆𝑡 𝑘ℎ
𝜉 =1− !
sin! c d
ℎ 2

To maintain the stability condition |𝜉| ≤ 1, it implies, −1 < 𝜉 < 1.

4 𝛼 ∆𝑡 𝑘ℎ
−1 < 1 − !
sin! c d < 1
ℎ 2
It gives the condition,

𝛼 ∆𝑡 1
0< !
<
ℎ 2

Implies that the time step should obey the following condition

ℎ!
∆𝑡 ≤
2𝛼

Implicit method
In this method, the numerical scheme can be expressed as

𝑢#$%& − 𝑢#$ $%&

𝑢#%& − 2 𝑢#$%& + 𝑢#'&
$%&
=𝛼 ` a
∆𝑡 ∆𝑥 !
𝛼 ∆𝑡 $%&
𝑢#$ = 𝑢#$%& − Q𝑢 − 2 𝑢#$%& + 𝑢#'&
$%&
R
∆𝑥 ! #%&
&
The corresponding stability analysis leads to the following condition 𝜉 = & ( ∆* -+ .
&% , 567, 8 9
+ ,

: ; ∆0
Implies, +,
≤0

Which is not possible!

Crank-Nicolson method

It is the combination of Explicit and Implicit methods. It reads,

𝑢#$%& − 𝑢#$ 𝛼 𝑢#%&

$
− 2 𝑢#$ + 𝑢#'&
$ $%&
𝛼 𝑢#%& − 2 𝑢#$%& + 𝑢#'&
$%&
= ` a + ` a
∆𝑡 2 ∆𝑥 ! 2 ∆𝑥 !

For this scheme,

4 𝛼 ∆𝑡
1− [1 − cos (𝑘ℎ)]
𝜉= ℎ!
4 𝛼 ∆𝑡
1+ [1 + cos (𝑘ℎ)]
ℎ!

This method is unconditionally stable.

The grid with spatial and temporal steps:

Solving the wave equation

Consider the wave equation

𝜕!𝑢 !
𝜕!𝑢
= 𝑐
𝜕𝑡 ! 𝜕𝑥 !

The numerical scheme for the complete wave equation reads,

𝑢#$%& − 2 𝑢#$ + 𝑢#$'& 𝑢$ − 2 𝑢#$ + 𝑢#'&

! #%&
$
= 𝑐
∆𝑡 ! ∆𝑥 !

We can use one of the above methods, e.g., Crank-Nicolson, and solve the wave equation.