SE301:Numerical Methods

Topic 9
Partial Differential Equations
Dr. Samir Al-Amer
Term 071

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Lect 27: Partial Differential Equations

S Partial Differential Equations (PDE)

S What is a PDE
S Examples of Important PDE
S Classification of PDE

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Partial Differential Equations

A partial differential equation (PDE) is an
equation that involves an unknown function
and its partial derivatives.
Examples :
∂ 2 u ( x, t )
∂ u ( x, t )
=
∂x 2 ∂t
PDE involves two or more independent variables
(in the example x and t are independent variables)
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Notation

∂ 2 u ( x, t )
u xx =
∂x 2
∂ 2 u ( x, t )
u xt =
∂x ∂t
order of the PDE = order of the highest order derivative

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Linear PDE
Classification
A PDE is linear if it is linear in the unknown
function and its derivatives
Example of linear PDE :
2 u xx + 1 u xt + 3 utt + 4 u x + cos(2t ) = 0
2 u xx + −3 ut + 4 u x = 0
Examples of Nonlinear PDE
2 u xx + (u xt ) + 3 utt = 0
2

u xx + 2 u xt + 3 ut = 0
2 u xx + 2 u xt ut + 3 ut = 0
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Representing the solution of PDE

(two independent variables)
S Three main ways to represent the solution
T ( x1 , t1 ) T=5.2

t1 T=3.5

x1
Different curves are Three dimensional The axis represent
used for different plot of the function the independent
values of one of the T(x,t) variables. The value
independent
of the function is
variable
displayed at grid
points
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Heat Equation Different curve is
used for each
value of t

ice ice Temperature Temperature at

x different x at t=0
Thin metal rod insulated
everywhere except at the
edges. At t =0 the rod is
placed in ice

∂ 2 T ( x, t ) ∂ T ( x , t ) Position x
− =0
∂x 2 ∂t Temperature at
T (0, t ) = T (1, t ) = 0 different x at t=h

T ( x, o) = sin(π x)

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Heat Equation
Temperature
T(x,t) Time t
ice ice
T ( x1 , t1 )
x
∂ 2 T ( x, t ) ∂ T ( x , t )
− =0 t1
∂x 2 ∂t
T (0, t ) = T (1, t ) = 0
x1 Position x
T ( x,0) = sin(π x)

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Linear Second Order PDE

Classification
A second order linear PDE (2 - indepent variables)
A u xx + B u xy + C u yy + D = 0,
D is a function of x, y, u x , u y
is classfied based on (B 2 − 4 AC) as follows :
B 2 − 4 AC = 0 Parabolic
B 2 − 4 AC > 0 Hyperbolic
B 2 − 4 AC < 0 Elliptic
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Linear Second Order PDE

Examples ( Classification)
∂ 2 T ( x, t ) ∂ T ( x, t )
Heat Equation k − =0
∂x 2 ∂t
A = k , B = 0, C = 0 ⇒ B 2 − 4 AC = 0
⇒ Heat Equation is Parabolic
______________________________________
∂ 2 u ( x , t ) ∂ 2 u ( x, t )
Wave Equation − =0
∂x 2 ∂t 2
A = 1, B = 0, C = −1 ⇒ B 2 − 4 AC > 0
⇒ Wave Equation is Hyperbolic
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Classification of PDE
Linear Second order PDE are important set of
equations that are used to model many systems
in many different fields of science and
engineering.

Classification is important because

Q Each category relates to specific engineering problems
Q Different approaches are used to solve these categories

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Examples of PDE
PDE are used to model many systems in
many different fields of science and
engineering.
Important Examples:
Q Wave Equation
Q Heat Equation
Q Laplace Equation
Q Biharmonic Equation

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Heat Equation
∂ 2 u ( x, y , z , t ) ∂ 2 u ( x, y , z , t ) ∂ 2 u ( x, y , z , t ) ∂ u ( x, y , z , t )
+ + =
∂x 2
∂y 2
∂z 2 ∂t

The function u(x,y,z,t) is used to represent

the temperature at time t in a physical body
at a point with coordinates (x,y,z) .

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Simpler Heat Equation

∂ 2 u ( x, t ) ∂ u ( x, t )
=
∂x 2 ∂t
x

u(x,t) is used to represent the temperature

at time t at the point x of the thin rod.

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Wave Equation
∂ 2 u ( x, y , z , t ) ∂ 2 u ( x, y , z , t ) ∂ 2 u ( x, y , z , t ) ∂ 2 u ( x, y , z , t )
+ + =
∂x 2 ∂y 2 ∂z 2 ∂t 2

The function u(x,y,z,t) is used to represent the

displacement at time t of a particle whose
position at rest is (x,y,z) .
Used to model movement of 3D elastic body

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Laplace Equation
∂ 2 u( x, y, z, t ) ∂ 2 u( x, y, z, t ) ∂ 2 u( x, y, z, t )
+ + =0
∂x 2 ∂y 2 ∂z 2

Used to describe the steady state distribution of

heat in a body.
Also used to describe the steady state
distribution of electrical charge in a body.

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 Biharmonic Equation
∂ 4 u ( x, y , t ) ∂ 4 u ( x, y , t ) ∂ 4 u ( x, y , t )
+2 + =0
∂x 4 ∂x 2 ∂y 2 ∂y 4

Used in the study of elastic stress.

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Boundary conditions for PDE

S To uniquely specify a solution to the PDE,
a set of boundary conditions are needed.
S Both regular and irregular boundaries are
possible t
∂ 2 u ( x , t ) ∂ u ( x, t )
Heat Equation − =0
∂x 2 ∂t region of
interest
u (0, t ) = 0
u (1, t ) = 0
x
u ( x,0) = sin(π x) 1

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The solution Methods for PDE
S Analytic solutions are possible for simple
and special (idealized) cases only.
S To make use of the nature of the
equations, different methods are used to
solve different classes of PDE.
S The methods discussed here are based on
finite difference technique

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Elliptic Equations
S Elliptic Equations
S Laplace Equation
S Solution

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Elliptic Equations
A second order linear PDE (2 - indepent variables x , y)
A u xx + B u xy + C u yy + D = 0,
where D is a function of x, y, u x , u y

is Elliptic if B 2 − 4 AC < 0

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Laplace Equation
Laplace equation appears is several
engineering problems such as
Q Studying the steady state distribution of
heat in a body
Q Studying the steady state distribution of
electrical in a body
∂ 2 T ( x, y) ∂ 2 T ( x, y)
+ = f ( x, y)
∂x 2 ∂y 2
T :steady state temperature at point (x, y)
f(x, y): heat source (or heat sink)
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 Laplace Equation
∂ 2 T ( x, y) ∂ 2 T ( x, y)
+ = f ( x, y)
∂x 2 ∂y 2
A = 1, B = 0, C = 1
B 2 − 4 AC = −4 < 0 Elliptic
S Temperature is function of the position (x and y)
S When no heat source is available Âf(x,y)=0

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Solution Technique
SA grid is used to divide region of interest
S Since the PDE is satisfied at each point in
the area, it must be satisfied at each point
of the grid.
S A finite difference approximation is
obtained at each grid point.

∂ 2 T ( x, y) Ti +1, j − 2Ti , j + Ti −1, j ∂ 2 T ( x, y) Ti , j +1 − 2Ti , j + Ti , j −1

≈ , ≈
∂x 2 (∆x)2 ∂y 2 (∆y )2

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Solution Technique
∂ 2 T ( x, y) Ti +1, j − 2Ti , j + Ti −1, j
= ,
∂x 2 (∆x)2
∂ 2 T ( x, y) Ti , j +1 − 2Ti , j + Ti , j −1
=
∂y 2 (∆y )2
∂ 2 T ( x, y) ∂ 2 T ( x, y)
⇒ + =0
∂x 2 ∂y 2
is approximated by
Ti +1, j − 2Ti , j + Ti −1, j Ti , j +1 − 2Ti , j + Ti , j −1
+ =0
(∆x) 2
(∆y )2
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Solution Technique

Ti +1, j − 2Ti , j + Ti −1, j Ti , j +1 − 2Ti , j + Ti , j −1

+ =0
(∆x) 2
(∆y ) 2

( Laplacian DifferenceEquation)
assume ∆x = ∆y = h
⇒ Ti +1, j − 4Ti , j + Ti −1, j + Ti , j +1 + Ti , j −1 = 0
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Solution Technique
Ti , j +1

Ti −1, j Ti , j Ti +1, j

Ti , j −1

Ti +1, j − 4Ti , j + Ti −1, j + Ti , j +1 + Ti , j −1 = 0

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Example
It is required to determine the steady
state temperature at all points of a heated
sheet of metal. The edges of the sheet are
kept at constant temperature 100,50, 0
and 75 degrees. 100

75 50

The sheet is divided

by 5X5 grids 0
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 Known

Example To be determined

T1, 4 = 100 T2, 4 = 100 T3, 4 = 100

T1,3 T2,3
T0,3 = 75 T3,3
T4,3 = 50
T1, 2 T2, 2
T0, 2 = 75
T3, 2 T4, 2 = 50

T1,1 T2,1 T3,1

T0,1 = 75 T4,1 = 50

T1,0 = 0 T2, 0 = 0 T3, 0 = 0

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Known

First equation To be determined

T1, 4 = 100 T2, 4 = 100

T1,3 T2,3
T0,3 = 75

T1, 2 T2, 2
T0, 2 = 75

T0,3 + T1, 4 + T1, 2 + T2,3 + −4T1,3 = 0

75 + 100 + T1, 2 + T2,3 + −4T1,3 = 0

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 Example
T1, 4 = 100 T2, 4 = 100
T1,3 T2,3
T0,3 = 75

T1, 2 T2, 2
T0, 2 = 75

T0,3 + T1,4 + T1, 2 + T2,3 − 4T1,3 = 0

75 + 100 + T1, 2 + T2,3 − 4T1,3 = 0

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Known

Another Equation To be determined

T1, 4 = 100 T2, 4 = 100 T3, 4 = 100

T1,3 T2,3 T3,3

T1, 2 T2, 2 T3, 2

T1,3 + T2, 4 + T3,3 + T2, 2 − 4T2,3 = 0

T1,3 + 100 + T3,3 + T2, 2 − 4T2,3 = 0

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Solution
The rest of the equations
⎛ 4 −1 0 −1 ⎞ ⎛ T11 ⎞ ⎛ 75 ⎞
⎜ ⎟⎜ ⎟ ⎜ ⎟
⎜ −1 4 −1 0 −1 ⎟ ⎜ T21 ⎟ ⎜ 0 ⎟
⎜ 0 −1 4 0 0 −1 ⎟ ⎜ T ⎟ ⎜ 50 ⎟
⎜ ⎟ ⎜ 31 ⎟ ⎜ ⎟
⎜ −1 0 0 4 −1 0 −1 ⎟ ⎜ T12 ⎟ ⎜ 75 ⎟
⎜ −1 0 −1 4 −1 0 −1 ⎟ ⎜T ⎟ = ⎜ 0 ⎟
⎜ ⎟ ⎜ 22 ⎟ ⎜ ⎟
⎜ − 1 0 − 1 4 0 0 − 1⎟ ⎜ T32 ⎟ ⎜ 50 ⎟
⎜ ⎟⎜ ⎟ ⎜ ⎟
⎜ − 1 0 0 4 − 1 0 ⎟ ⎜ T13 ⎟ ⎜175 ⎟
⎜ − 1 0 − 1 4 − 1⎟ ⎜ T23 ⎟ ⎜100 ⎟
⎜⎜ ⎟⎜ ⎟ ⎜ ⎟
⎝ − 1 0 − 1 4 ⎟⎠ ⎜⎝ T33 ⎟⎠ ⎜⎝150 ⎟⎠

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Convergence and stability of solution

S Convergence
The solutions converge means that the
solution obtained using finite difference
method approaches the true solution as
the steps ∆x and ∆t approaches zero.
S Stability:
An algorithm is stable if the errors at
each stage of the computation are not
magnified as the computation progresses.

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 Parabolic Equations
S Parabolic Equations
S Heat Conduction Equation
S Explicit Method
S Implicit Method
S Cranks Nicolson Method

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Parabolic Equations
A second order linear PDE (2 - indepent variables x , y)
A u xx + B u xy + C u yy + D = 0,
where D is a function of x, y, u x , u y

is parabolic if B 2 − 4 AC = 0

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 Parabolic Problems

∂ 2 T ( x, t ) ∂ T ( x , t )
Heat Equation − =0
∂x 2 ∂t
T (0, t ) = T (1, t ) = 0
T ( x, o) = sin(π x) ice ice

* Parabolic problem ( B 2 − 4 AC = 0)
* Boundary conditions are needed to uniquely specify a solution

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First order Partial derivative

Finite Difference

Central Forward Backward

difference difference difference
Method Method Method

∂T Ti +1, j − 2Ti , j + Ti −1, j ∂T Ti +1, j − Ti , j ∂T Ti , j − Ti −1, j

= = , =
∂x 2 ∆x ∂x ∆x ∂x ∆x

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 Finite Difference Methods
Replace the derivatives by finite difference formula [ T is function of x and t]
Central Difference Formulas :
∂ T ( x, t ) Ti +1, j − Ti −1, j
≈
∂x 2 ∆x
∂ 2 T ( x, t ) Ti +1, j − 2Ti , j + Ti −1, j
≈
∂x 2 ( ∆x ) 2
∂ 2 u ( x, t ) Ti , j +1 − 2Ti , j + Ti , j −1
≈
∂t 2 ( ∆t ) 2
Forward Difference Formula :
∂ T ( x, t ) Ti +1, j − Ti , j ∂ T ( x, t ) Ti , j +1 − Ti , j
≈ , ≈
∂x ∆x ∂t ∆t
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Finite Difference Methods

New Notation
Central Difference Formulas :
∂ T ( x, t ) Ti +l 1 − Ti −l 1 Superscript for t-axis
≈ And
∂x 2 ∆x Subscript for x-axis
Til-1=T(x,t-∆t)
∂ 2 T ( x, t ) Ti +l 1 − 2Ti l + Ti −l 1
≈
∂x 2 ( ∆x ) 2
∂ 2 T ( x, t ) Ti l +1 − 2Ti l + Ti l −1
≈
∂t 2 ( ∆t ) 2
Forward Difference Formula :
∂ T ( x, t ) Ti +l 1 − Ti l ∂ T ( x, t ) Ti l +1 − Ti l
≈ , ≈
∂x ∆x ∂t ∆t
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Solution of the PDE
∂ 2 T ( x , t ) ∂ T ( x, t )
Heat Equation − =0
∂x 2 ∂t t
T (0, t ) = T (1, t ) = 0
T ( x, o) = sin(π x)

Solution means x

Determine the value of T(x, t) at the grid points

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Solution of the Heat Equation

Two solutions to the Parabolic Equation
(Heat Equation) will be presented
1. Explicit Method:
Simple, Stability Problems
2. Crank-Nicolson Method:
involves solution of Tridiagonal system of
equations, stable.
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Explicit Method
∂ 2 u ( x, t ) ∂ u ( x, t )
− =0
∂x 2 ∂t
u ( x + h, t ) − 2u ( x, t ) + u ( x − h, t ) u ( x, t + k ) − u ( x , t )
2
=
h k
1
2
(u ( x + h, t ) − 2u ( x, t ) + u ( x − h, t ) ) − 1 (u ( x, t + k ) + u ( x, t ) ) = 0
h k
k
Define σ = 2
h
u ( x, t + k ) = σ u ( x + h, t ) + (1 − 2 σ ) u ( x, t ) + σ u ( x − h, t )

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Explicit Method
How do we compute
u ( x, t + k ) = σ u ( x + h, t ) + (1 − 2 σ ) u ( x, t ) + σ u ( x − h, t )
means

u(x,t+k)

u(x-h,t) u(x,t) u(x+h,t)

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Explicit Method
How do we compute
u ( x, t + k ) = σ u ( x + h, t ) + (1 − 2 σ ) u ( x, t ) + σ u ( x − h, t )
means

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Explicit Method
u ( x, t + k ) can be computed directly using
u ( x, t + k ) = σ u ( x + h, t ) + (1 − 2 σ ) u ( x, t ) + σ u ( x − h, t )

can be unstable (errors are magnified )

h2
To guarantee stability (1 − 2 σ ) > 0 or k≤
2
this make it slow

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Crank-Nicolson Method
∂ 2 u ( x, t ) ∂ u ( x, t )
− =0
∂x 2 ∂t
u ( x + h, t ) − 2u ( x, t ) + u ( x − h, t ) u ( x , t ) − u ( x, t − k )
2
=
h k
1
2
(u ( x + h, t ) − 2u ( x, t ) + u ( x − h, t ) ) − 1 (u ( x, t ) + u ( x, t − k ) ) = 0
h k
h2
Define s = , r = 2+ s
k
s u ( x, t − k ) = − u ( x − h, t ) + r u ( x, t ) − u ( x + h, t )

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Explicit Method
How do we compute
su ( x, t − k ) = u ( x + h, t ) + r u ( x, t ) + u ( x − h, t )
means

u(x-h,t) u(x,t) u(x+h,t)

u(x,t - k)

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Crank-Nicolson Method
The equation
s u( x, t − k ) = − u( x − h, t ) + r u( x, t ) − u( x + h, t )
can be expressed as a Tridiagonal system of equations
⎡ r −1 ⎤ ⎡ u1 ⎤ ⎡ b1 ⎤
⎢− 1 r − 1 ⎥ ⎢u ⎥ ⎢b ⎥
⎢ ⎥ ⎢ 2⎥ = ⎢ 2⎥
⎢ − 1 r − 1⎥ ⎢u3 ⎥ ⎢b3 ⎥
⎢ ⎥ ⎢ ⎥ ⎢ ⎥
⎣ − 1 r ⎦ ⎣u4 ⎦ ⎣b4 ⎦

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Crank-Nicolson Method

The method involves solving a Tridiagonal system of linear equations

The method is stable (No magnification of error)
→ We can use larger h, k (compared to the Explicit Method)

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Outlines
S Examples
Q Explicit
method to solve Parabolic PDE
Q Cranks-Nicholson Method

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Heat Equation

∂ 2 u ( x, t ) ∂ u ( x, t )
− =0
∂x 2 ∂t
u (0, t ) = u (1, t ) = 0
u ( x, o) = sin(π x) ice ice

* Parabolic problem ( B 2 − 4 AC = 0)
* Auxiliary conditions are needed to uniquely specify a solution

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Example 1
Solve the PDE
∂ 2u(x,t) ∂u(x,t)
− =0
∂2x ∂t
u (0, t ) = u (1, t ) = 0
u ( x,0) = sin(π x)

Use h = 0.25, k = 0.25 to find u(t, x) for x ∈ [0,1], t ∈ [0,1]

k
σ = 2 =4
h
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Example 1 (cont.)

∂ 2 u ( x, t ) ∂ u ( x, t )
− =0
∂x 2 ∂t
u ( x + h, t ) − 2u ( x, t ) + u ( x − h, t ) u ( x, t + k ) − u ( x, t )
2
− =0
h k
16(u ( x + h, t ) − 2u ( x, t ) + u ( x − h, t ) ) − 4(u ( x, t + k ) + u ( x, t ) ) = 0
u ( x, t + k ) = 4 u ( x + h, t ) − 7 u ( x, t ) + 4 u ( x − h, t )

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Example 1

u ( x , t + k ) = 4 u ( x + h, t ) − 7 u ( x , t ) + 4 u ( x − h, t )

t=1.0 0 0

t=0.75 0 0

t=0.5 0 0
t=0.25 0 0

t=0 0 0
Sin(0.25π) Sin(0. 5π) Sin(0.75π)

x=0.0 x=0.25 x=0.5 x=0.75 x=1.0

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Example 1
u (0.25,0.25) = 4 u (.5,0) − 7 u (.25,0) + 4 u (0,0)
= 4 sin(π / 2) − 7 sin(π / 4) + 0 = −0.9497

t=1.0 0 0

t=0.75 0 0

t=0.5 0 0
t=0.25 0 0

t=0 0 0
Sin(0.25π) Sin(0. 5π) Sin(0.75π)

x=0.0 x=0.25 x=0.5 x=0.75 x=1.0

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Example 1

u (0.5,0.25) = 4 u (0.75,0) − 7 u (0.5,0) + 4 u (0.25,0)

= 4 sin(3π / 4) − 7 sin(π / 2) + 4 sin(π / 2) = −0.1716

t=1.0 0 0

t=0.75 0 0

t=0.5 0 0
t=0.25 0 0

t=0 0 0
Sin(0.25π) Sin(0. 5π) Sin(0.75π)

x=0.0 x=0.25 x=0.5 x=0.75 x=1.0

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Remarks on Example 1
The obtained results are probably not accurate
because 1 − 2σ = −7

For accurate results 1 − 2σ > 0

One need to select k < 0.03125

Let k = 0.025

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Example 1

u ( x, t + k ) = 0.4 u ( x + h, t ) + 0.2 u ( x, t ) + 0.4 u ( x − h, t )

t=0.10 0 0

t=0.075 0 0

t=0.05 0 0
t=0.025 0 0

t=0 0 0
Sin(0.25π) Sin(0. 5π) Sin(0.75π)

x=0.0 x=0.25 x=0.5 x=0.75 x=1.0

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Example 1
u (0.25,0.025) = 0.4 u (0.5,0) + 0.2 u (0.25,0) + 0.4 u (0,0)
= 0.4 sin(π / 2) + .2 sin(π / 4) + 0 = 0.5414

t=0.10 0 0

t=0.075 0 0

t=0.05 0 0
t=0.025 0 0

t=0 0 0
Sin(0.25π) Sin(0. 5π) Sin(0.75π)

x=0.0 x=0.25 x=0.5 x=0.75 x=1.0

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Example 1
u (0.5,0.025) = 0.4 u (0.75,0) + 0.2 u (0.5,0) + 0.4 u (0.25,0)
= 0.4 sin(3π / 4) + .2 sin(π / 2) + 0.4 sin(π / 4) = 0.7657

t=0.10 0 0

t=0.075 0 0

t=0.05 0 0
t=0.025 0 0

t=0 0 0
Sin(0.25π) Sin(0. 5π) Sin(0.75π)

x=0.0 x=0.25 x=0.5 x=0.75 x=1.0

SE301_Topic9 (c)Al-Amer 2005 ٦١

Example 2
Solve the PDE
∂ 2u(x,t) ∂u(x,t)
− =0
∂2x ∂t
u (0, t ) = u (1, t ) = 0
u ( x,0) = sin(π x)

Solve using Crank - Nicolson method

Use h = 0.25, k = 0.25 to find u(t, x) for x ∈ [0,1], t ∈ [0,1]
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Example 2
Crank-Nicolson Method

∂ 2 u ( x, t ) ∂ u ( x, t )
− =0
∂x 2 ∂t
u ( x + h, t ) − 2u ( x, t ) + u ( x − h, t ) u ( x, t ) − u ( x, t − k )
2
=
h k
16(u ( x + h, t ) − 2u ( x, t ) + u ( x − h, t ) ) − 4(u ( x, t ) − u ( x, t − k ) ) = 0
h2
Define s = = 0.25, r = 2 + s = 2.5
k
0.25 u ( x, t − k ) = − u ( x − h, t ) + 2.5 u ( x, t ) − ( x + h, t )
u ( x, t − k ) = − 4 u ( x − h, t ) + 10 u ( x, t ) − 4( x + h, t )
SE301_Topic9 (c)Al-Amer 2005 ٦٣

Example 2
Crank-Nicolson Method

∂2 u(x, t) ∂ u(x, t)
− =0
∂x2 ∂ t
u(x + h, t) − 2u(x, t) + u(x − h, t) u(x, t) − u(x, t − k)
=
h2 k
16(u(x + h, t) − 2u(x, t) + u(x − h, t)) − 4(u(x, t) − u(x, t − k)) = 0
h2
Define s = = 0.25, r = 2 + s = 2.25
k
0.25u(x, t − k) = −u(x − h, t) + 2.25 u(x, t) −(x + h, t)
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Example 2

0.25u (0.0,0.25) = − u (0,0.25) + 2.25 u (0.25,0.25) − u (0.5,0.25)

0.25 sin(0.25π ) = 0 + 2.25 u1 − u2

t=1.0 0 0

t=0.75 0 0

t=0.5 0 0
u1 u2 u3
t=0.25 0 0

t=0 0 0
Sin(0.25π) Sin(0. 5π) Sin(0.75π)

x=0.0 x=0.25 x=0.5 x=0.75 x=1.0

SE301_Topic9 (c)Al-Amer 2005 ٦٥

Example 2

0.25u (0,0.5) = − u (0.25,0.25) + 2.25 u (.5,0.25) − u (0.75,0.25)

0.25 sin(0.5π ) = −u1 + 2.25 u 2 − u3

t=1.0 0 0

t=0.75 0 0

t=0.5 0 0
u1 u2 u3
t=0.25 0 0

t=0 0 0
Sin(0.25π) Sin(0. 5π) Sin(0.75π)

x=0.0 x=0.25 x=0.5 x=0.75 x=1.0

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Example 2

0.25u (0.75,0) = − u (0.5,0.25) + 2.25 u (.75,0.25) − u (1,0.25)

0.25 sin(0.75π ) = −u 2 + 2.25 u3 − 0

t=1.0 0 0

t=0.75 0 0

t=0.5 0 0
u1 u2 u3
t=0.25 0 0

t=0 0 0
Sin(0.25π) Sin(0. 5π) Sin(0.75π)

x=0.0 x=0.25 x=0.5 x=0.75 x=1.0

SE301_Topic9 (c)Al-Amer 2005 ٦٧

Example 2
Crank-Nicolson Method

The solution of the PDE is converted to solution of the

following tridiagonal system
⎡2.25 − 1 ⎤ ⎡ u1 ⎤ ⎡0.25 sin(0.25π )⎤
⎢ − 1 2.25 − 1 ⎥ ⎢u ⎥ = ⎢ 0.25 sin(0.5π ) ⎥
⎢ ⎥ ⎢ 2⎥ ⎢ ⎥
⎢⎣ − 1 2.25⎥⎦ ⎢⎣u3 ⎥⎦ ⎢⎣0.25 sin(0.75π )⎥⎦
⎡ u1 ⎤ ⎡0.21152⎤
⇒ ⎢⎢u2 ⎥⎥ = ⎢⎢ 0.2912 ⎥⎥
⎢⎣u3 ⎥⎦ ⎢⎣ 0.21151⎥⎦
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Example 2
Second Row

0.25u (0.25,0.25) = − u (0,0.5) + 2.25 u (0.25,0.5) − u (0.5,0.5)

0.2115 = 0 + 2.25 u1 − u2

t=1.0 0 0

t=0.75 0 0
u1 u2 u3
t=0.5 0 0
t=0.25 0 0
0.2115 0.2991 0.2115
t=0 0 0
Sin(0.25π) Sin(0. 5π) Sin(0.75π)

x=0.0 x=0.25 x=0.5 x=0.75 x=1.0

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Example 2

The process is continued until the values of

u(x,t) on the desired grid are computed.

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Remarks
The explicit metod:
• one need to select small k to ensure stability
• Computation per point is very simple but many
points are needed.
Cranks Nicolson
• Requires solution of Tridiagonal system
• Stable (larger k can be used).
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