Partial Differential Equations

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Contents:
• Partial differential Equations (PDEs)………………..…….. 13.1, 13.2
• Method of Separation of Variables ………………………... 13.1
• Heat Equation …………………………………………..…. 13.3
• Wave Equation …………………………………...……….. 13.4
• Laplace Equation …………………………………………. 13.5
• Nonhomogeneous Boundary-Value Problems ……………. 13.6

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 Introduction
• An ordinary differential equation (ODE) is an equation that contains derivatives of
an unknown function that depends only on one variable.
• A partial differential equation (PDE) is an equation involving one or more partial
derivatives of an unknown function that depends on two or more variables.
• Modeling of most engineering problems ends up with Partial Differential
Equations (PDEs) as the governing equations.
• ODEs can model only simple physical systems.
• On the other hand, PDEs have a much wider range of applications such as heat
transfer, fluid flow, elasticity, dynamics, vibration, electrostatic potentials, and
quantum mechanics.

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Introduction
• Although most PDEs are solved using numerical approaches such as Finite
Element Methods, Finite Volume Methods, Finite Difference Methods, etc., some
certain kinds of PDEs can be solved analytically.
• In this chapter, we work on some specific linear PDEs and their solutions using
the Fourier Series by Separation of Variables that is one of the analytical
approaches used to solve PDEs.

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 Introduction
• The order of the highest derivative is called the order of the PDE.
• While modeling physical problems, we mostly face the second-order PDEs than
higher orders.
• We call a PDE linear if it is of the first degree in the unknown function (denoted
by u in this course) and its partial derivatives. The coefficient of the function in the
equation and all coefficients of its partial derivatives are either constants or
functions of independent variables.
• A linear PDE is called homogeneous if each of its terms contains either the
function or one of its partial derivatives. Otherwise, the PDE is called
nonhomogeneous.

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Some Linear Second-Order PDEs

Heat equations, 1D and 2D: = = +

Wave equations, 1D and 2D: = = +

Laplace equations, 2D and 3D: + =0 + + =0

( = 0)
Poisson equation, 2D: + = ,

Here, k and c are positive constants, t is time, and x, y, z are Cartesian coordinates.
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 Solutions of PDEs
• In general, there are many solutions to a specific PDE. For instance, the following
functions satisfy the Laplace equation + = 0:
= cos ; = sin cosh ; = − ; = ln +
But they are completely different.
• Similar to an ODE, from known solutions of a homogeneous linear PDE, we can
obtain further solutions by superposition:
• If , , ! ,… " are solutions of a homogeneous linear PDE, then the linear
combination = # +# + #! ! + ⋯ + #" " with any constants # , # , #! … #"
is also a solution of the PDE.

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Initial Conditions & Boundary Conditions

• Finding general solutions of linear second-order PDEs is often difficult and
usually is not useful in applications. Therefore, we focus of finding their unique
(particular) solutions.
• The unique solution to a PDE is obtained by applying the initial condition and/or
boundary condition of the corresponding physical problem.
• When the dependent variable depends on time t, its value and/or its derivatives
at t = 0 are known (initial condition).
• Sometimes the values of the dependent variable and/or its derivatives are known
on the boundary x, y (boundary condition).

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 Initial Conditions & Boundary Conditions
• A boundary-value problem (BVP) is modeled by using time-independent PDE
such as 2D or 3D Laplace equation. A BVP does not need initial condition.
• Based on the type of its boundary condition, a BVP is called:
i. Dirichlet Problem if u is given on boundary (Dirichlet boundary condition),
ii. Neumann Problem if the normal derivative ( / ') is given on boundary
(Neumann boundary condition), or
iii. Robin Problem if u is given on a portion of boundary and the normal derivative is
given on the rest of boundary (Mixed boundary condition).

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Classification of Linear Second-Order PDEs

• In this course, we focus on linear second-order PDEs:

( +) +* ++ +, +- =.

The above PDE can be classified as follows:

• If ) − 4(* > 0, the type of PDE is Hyperbolic (for instance, wave equation).
• If ) − 4(* = 0, the type of PDE is Parabolic (as an example, heat equation).
• If ) − 4(* < 0, the type of PDE is Elliptic (for example, Laplace equation).
• If (, ), * are functions of and , instead of being real constants, a PDE may be
of mixed types, i.e., different types in different regions of the -plane.

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 Classification of Linear Second-Order PDEs
• This classification helps us to set up allowable initial and boundary conditions for
a physical problem.
• Moreover, it helps us to effectively choose suitable numerical methods for a given
problem.
• Example 1

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Method of Separation of Variables

• There are several analytical methods that can be used to find particular solutions
of a linear PDE. In this course, we cover only the method of separation of
variables.
• In the method of separation of variables, the assumption is that the dependent
variable , is a product of two functions, one depending only on x and the
other depending only on y:
, =4 5
• If , is not separable, this method cannot be used.
• Example 2

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 General Solutions of some Linear ODEs

Linear ODE General Solution

77
+ 6 = 0, 6 > 0 = # cos 6 + # sin 6
77
− 6 = 0, 6 > 0 = # 89 + # 9
or = # cosh 6 + # sinh 6
7
+6 =0 =# 89

7
+6 =0 = # 89
7
+@ =
= # 8;< = + 8;< = > ;< = ?

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General Solutions of some Linear ODEs

• As the result of separating variables in a PDE, we repeatedly face the following
two forms of ODEs:
7
+A =0 and 77
+B =0
• The ordinary differential equation 7
+A = 0 has a trivial solution that is
useless. And it has one nontrivial general solution:
=# 8C

• When 0 is known (initial condition), the coefficient c can be determined.

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 Sturm-Liouville Problems
• The general solution to 77 +B = 0 depends on the sign of B. Also, its
particular solution depends on the type of given boundary conditions.
• As you remember from the ODE course, the following boundary-value problem
(BVP) is called a Sturm-Liouville problem:
? ?
D + E +F = 0 , on ,G
? ?
A +A 7
=0
with boundary conditions: N
O G +O 7
G =0
• For our case, 77
+B = 0, D = 1, E = 0, and F = a constant.

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Sturm-Liouville Problems
• One general solution to 77
+B = 0 is = 0 that is called the trivial solution;
this is of no interest.
• As discussed in the previous example, there are three types of general solutions for the
above ODE:
If B = 0: =# +#
If B = 6 > 0: = #! cos 6 + #S sin 6
If B = −6 < 0: = #T cosh 6 + #U sinh 6
• In a Sturm-Liouville problem, three types of general solutions along with the given
boundary conditions are examined to determine the nontrivial particular solution(s).
• Example 3 (Eigenfunctions and Eigenvectors are introduced)

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 Fourier Series (Half-Range Expansion)
• From previous chapter:
Z
V 'Y
= +X " cos
2 D
"[

V 1 \ 2 \ 'Y
= > ? , " = > cos ?
2 D V D V D
Z
'Y
= X G" sin
D
"[
2 \ 'Y
G" = > sin ?
D V D

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Heat, Wave, and Laplace PDEs

• For now, we focus on the following homogeneous linear second-order PDEs:

1D Heat Equation: = a parabolic PDE

1D Wave Equation: = a hyperbolic PDE

2D Laplace Equation: + =0 an elliptic PDE

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 Heat Equation – Derivation
• Here, we will derive a PDE that governs heat transfer by conduction along a rod or
wire. Then, we show how we can solve the PDE to find the temperature ,
at any point and any time.
• Experiment shows that the rate of heat transfer by conduction (∆g/∆ ) through a
layer of constant thickness (∆ ) is proportional to the temperature difference
across the layer (∆ ), proportional to the area (A) normal to the direction of heat
transfer, and inversely proportional to the thickness of the layer (∆ ):
∆g ∆
∝(
∆ ∆
Assumptions: surface of the rod is insulated, and no
heat is being generated or lost within the rod.

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Heat Equation – Derivation

• When ∆ → 0:
?g
= gj = −k(
?
• This is known as Fourier's law. K is the thermal conductivity. We assume that A and K
remain constant. We use a negative sign since / is negative.
At : gj
gj
At +∆ : gj m∆ ≈ gj + ∆ ← Taylor series expansion

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 Heat Equation – Derivation
• Another empirical law gives that the amount of heat stores in a mass m with a
temperature u:
g∝p → g = qp = q r(∆
• σ is the specific heat and ρ is the density. We assume they remain constant.

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Heat Equation – Derivation

• We wish to determine the heat balance inside the slice for a duration of ∆ .
• We assume that no heat is generated or lost inside the slice.
• Heat that stores in the slice:
∆g = qr∆ (∆
• Heat that enters the slice:
gj ∆
• Heat that leaves in the slice:

gj
gj m∆ ∆ ≈ gj + ∆ ∆

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 Heat Equation – Derivation
• Heat balance inside the slice:
gj
gj ∆ = qr∆ (∆ + gj m∆ ∆ = qr∆ (∆ + gj + ∆ ∆

0 = qr∆ − k ∆

uhen ∆ → 0: qr −k =0

k
1+ heat equation: = , =
qr
• is called the thermal diffusivity.
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Heat Equation – Solution

• A particular solution of heat equation, v
= , can be obtained when boundary
and initial conditions are provided.
• Example 4:
One important type of initial and boundary conditions for 1D heat equation is the case in which
both ends of the rod kept at temperature zero (homogeneous boundary conditions) and the
temperature in the rod at t = 0 is given by a function .
0, = 0, w, =0 for all ≥ 0
,0 = for 0 < < w, is given
Find the solution.
• Examples 5 and 6:

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 Wave Equation
• Consider an elastic string along the x-axis stretched to length L and fastened at
both ends. After distorting the string, it is released at some instant (t = 0). Thus,
it will vibrate. The problem is to determine the vibrations of the string, i.e., its
deflection , at any point and at any time > 0.
• To derive the governing equation, we consider the following assumptions:
The string is perfectly elastic and does not resist against bending. The string is
homogeneous (mass per unit length ρ = constant). Compared to the tension in the
string, the action of the gravitational force on the string is negligible. The
displacements u are small compared to the length of the string. The slope of the
curve is small at all points. The vibration takes place in a plane.

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Wave Equation - Derivation

• When a portion of string is cut out, it will be
subjected to two tension forces z and z .
• Based on our assumptions z = z = z.
• Since we assume that the slope of curve is
small, sin { = tan { .
• Second law of Newton in vertical direction:
−z sin { + z sin { = p
−z tan { + z tan { = p

r
−z } +z } = r∆ → = → =
m∆ z
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 Wave Equation – Solution
• A particular solution of wave equation can be obtained when boundary condition
and initial condition are provided.
• Example 7:

Find the solution of the wave equation, = , for the following initial
v
conditions and homogeneous boundary conditions:
0, = 0, w, = 0, >0

,0 = , ,0 = ~ , 0< <w

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Wave Equation – Solution

• Example 8 (A Triangular Initial Deflection):
Find the solution of the wave equation with the following boundary and initial
conditions:
0, = 0, w, = 0, >0

2 w
for 0 < <
,0 = = w 2
2 w
w− for < <w
w 2

, 0 = 0 for 0 < <w

• Example 9 (Vibration of a simply supported beam)

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 Standing Waves
• Consider the wave equation and its separated solutions (Example 5):

, ' = 1,2,3, …
'Y 'Y 'Y
" , = (" cos + )" sin sin
w w w
• Each " is called a standing wave since it has points at which the
string stands still.
• These points are called nodes.

• Nodes occur at = w/', = 0,1,2,3, … ', where sin 'Y /w = 0.

• At points = + 1/2 w/' where sin 'Y /w = ±1, the amplitude is the largest.
• Each " represents a harmonic motion having the frequency " = ' /2w cycles per
unit time.

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Standing Waves
• The first standing wave (' = 1) is called the fundamental
(normal) mode of vibration, and its frequency is the
fundamental frequency or first harmonic.
• Other standing waves are called overtones.
• The 'v• normal mode has ' − 1 nodes.
• A musical instrument can be tuned by changing the string
tension T.

• The frequency formula " = ' z/r/2w shows that the

frequency is proportional to z.

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 Laplace Equation
• One of the most important of all PDEs occurring in applied physics is that associated with
the name of Laplace. Laplace’s equation is named for Pierre-Simon de Laplace who
studied the gravitational attraction of arbitrary bodies in space three decades after the
equation first appeared in 1752 in a paper by Euler on hydrodynamics.

2+ Laplace Equation: + =0

3+ Laplace Equation: + + =0

2+ Poisson Equation: + = ,

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3D Heat Equation – Derivation

• Consider a ∆ ∆ ∆ box. We wish to determine the heat balance inside the box for
a duration of ∆ . We assume that no heat is generated or lost inside the box.
• Heat stores in the box = qp∆ = qr∆ ∆ ∆ ∆
• Heat that enters the box through the left side during ∆ :

gj ∆ = −k∆ ∆ ∆

• Heat that leaves the box through the right side during ∆ (approximated by Taylor
series expansion):
gj
gj m∆ ∆ ≈ gj + ∆ ∆ = gj − k ∆ ∆ ∆ ∆

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 3D Heat Equation – Derivation
• Similarly, the amount of heat enters/leaves the box through other sides can be
determined (y and z directions).
• Heat balance inside the box:
gj + gj + gjƒ ∆ = qr∆ ∆ ∆ ∆ + gj m∆ + gj m∆ + gjƒm∆ƒ ∆

0 = qr∆ ∆ ∆ ∆ − k ∆ ∆ ∆ + + ∆

qr
When ∆ → 0, + + =
k
k
Or: = , =
qr
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2D Laplace Equation − Solution

• Consider a rectangular plate whose edges are at = 0, = , = 0, = G. We wish to
solve the Laplace equation

+ =0

• The problem can be categorized in three different types based on the boundary conditions:
1. Dirichlet problems:
0, = , , =~ , ,0 = - , ,G = .
2. Neumann problems:
0, / = , , / =~ , ,0 / =- , ,G / =.
3. Mixed: a combination of types 1 and 2.

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 2D Laplace Equation − Solution
• To solve the Laplace equation analytically, first we use the separation of variables
approach.
• Then, by satisfying the boundary conditions and using the Fourier series, we can
obtain the solution.
• The superposition principle may be used to obtain the solutions for more
complicated boundary conditions.
• Examples 10 to 13

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Nonhomogeneous Boundary-Value Problems

• So far, we have dealt with homogeneous partial differential equations.

• For heat and wave equations, all boundary conditions were homogeneous although
their initial conditions were nonhomogeneous.
• In engineering practice, we face problems involving nonhomogeneous PDEs.

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 Nonhomogeneous Boundary-Value Problems
• The solutions to the following nonhomogeneous BVPs will be discussed:
1. A time-independent nonhomogeneous PDE with time-independent
nonhomogeneous boundary conditions
2. A time-dependent nonhomogeneous PDE with homogeneous boundary
conditions
3. A time-dependent nonhomogeneous PDE with time-independent
nonhomogeneous boundary conditions
4. A PDE with time-dependent nonhomogeneous boundary conditions.

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Nonhomogeneous Boundary-Value Problems

• The method of separation of variables cannot be directly applied to a
nonhomogeneous boundary-value problem.
1. For a time-independent nonhomogeneous BVP, we use a change of dependent
variable , =… , +† to transform it into two BVPs. One of the BVPs
is an ODE that can be solved directly. And … , is a homogeneous BVP that can
be solved using the separation of variables. Examples 14, 15, 16
2. For a nonhomogeneous BVP with a time-dependent PDE and homogeneous
boundary conditions, we use a technique involving orthogonal series expansions.
Examples 17, 18
• A time-independent nonhomogeneous PDE with homogeneous boundary conditions can
be solved by one of above two methods, but the latter is shorter.

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 Nonhomogeneous Boundary-Value Problems
3. For a nonhomogeneous BVP with a time-dependent PDE and time-independent
nonhomogeneous boundary conditions, we use a change of dependent variable
, = … , + † . Then, a linear function will be obtained for †. And
… , can be found using the technique involving orthogonal series expansions.
Example 19
4. For a BVP with time-dependent boundary conditions, we start with a change of
dependent variable , = … , + † , . We select set † , to be linear
with respect to . Then we use the technique involving orthogonal series expansions
(part 2) to find … , . Example 20

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