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**Section 9.2 - Fourier Series and Convergence
**

• State the deﬁnition of a Piecewise Continuous function.

Answer: f is Piecewise Continuous if the following to conditions are satisﬁed:

1) It is continuous except possibly at some isolated points.

2) The left and right limits f (x

+

) and f (x

−

) exist (ﬁnite) at the points of discontinuity.

For example, Square-Wave functions are piecewise continuous.

But f (x) = sin

1

x

for 0 < x < 1, extended to R periodically, is not piecewise continuous,

since the right limit at zero DNE.

Also f (x) = tanx for 0 < x <

π

2

and for

π

2

< x < π, extended to R periodically, is not

piecewise continuous, since the right and left limits at

π

2

DNE (inﬁnite).

• Deﬁne Fourier Series for functions for a Piecewise Continuous periodic function with

period 2L.

Answer:

f (x) ∼

a

0

2

+

∞

∑

n=1

a

n

cosn

π

L

x +b

n

sinn

π

L

x

where for n ≥0

a

n

=

1

L

L

−L

f (x)cosn

π

L

x dx

and for n ≥1

b

n

=

1

L

L

−L

f (x)sinn

π

L

x dx

• State the deﬁnition of a Piecewise Smooth function.

Answer:

f (x) is Piecewise Smooth if both f (x) and f

**(x) are piecewise continuous.
**

For example, Square-Wave functions are piecewise smooth.

• State the Convergence Theorem for Fourier Series.

Answer:

If f (x) is periodic and piecewise smooth, then its Fourier Series converges to

1) f (x) at each point x where f is continuous.

2)

1

2

( f (x

+

) + f (x

−

)) at each point where f is NOT continuous.

• Compute the Fourier Series of Square-Wave Function with period 2L:

f (x) =

_

+1 0 < x < L

−1 L < x < 2L

For which values of f (x) at the points of discontinuity the Fourier series is convergent

for all x?

1

2

Answer:

a

n

= 0 for all n ≥0, and b

n

=

2

nπ

(1−cosnπ) for all n ≥1. Thus

f (x) =

∑

n=odd

4

nπ

sinn

π

L

x

Note that f (x) is discontinuous at x = integer multiples of L at which the average of left

and right limit of f (x) is zero. Thus by Convergence Theorem f (x) must be 0 at those

points.

• Letting x =

L

2

in the Fourier Series representation of the Square-Wave Function, obtain

the following relation:

∞

∑

k=0

(−1)

k

2k +1

= 1−

1

3

+

1

5

−

1

7

+· · · =

π

4

Answer:

Note that if we let x =

L

2

, then the Fourier series is convergent to f (x) = 1, thus we have

1 = f

_

L

2

_

=

4

π

∞

∑

k=0

sin(2k +1)

π

2

2k +1

=

4

π

∞

∑

k=0

(−1)

k

2k +1

Hence

∞

∑

k=0

(−1)

k

2k +1

= 1−

1

3

+

1

5

−

1

7

+· · · =

π

4

3

Section 9.3 - Fourier Sine and Cosine Series

• Recall f (x) is odd if f (−x) =−f (x), i.e. its graph is symmetric w.r.t y-axis.

Example: x

2n+1

, sinnx for all integers n = 0, the square-wave functions

f (x) =

_

−1 −L < x < 0

1 0 < x < L

• Recall f (x) is even if f (−x) = f (x), i.e. its graph is symmetric w.r.t origin.

Example: x

2n

, cosnx for all integers n.

• Remarks:

1) If f (x) is odd, then

L

−L

f (x)dx = 0 for any L

2) If f (x) is even, then

L

−L

f (x)dx = 2

L

0

f (x)dx for any L

3) If f and g are odd, then f g is even.

4) If f and g are even, then f g is even.

3) If f is odd and g is even, then f g is odd.

• Fourier series of odd functions with period 2L:

a

0

=

1

L

L

−L

f (x)dx = 0, a

n

=

1

L

L

−L

f (x)cosn

π

L

xdx = 0 since f (x)cosn

π

L

x is odd.

b

n

=

1

L

L

−L

f (x)sinn

π

L

xdx =

2

L

L

0

f (x)sinn

π

L

xdx since f (x)sinn

π

L

x is even.

In this case, if f is piecewise smooth, f (x) =∑b

n

sinn

π

L

x only involves sine.

Example: f (x) =

x

2

on (−π, π), then f (x) =∑

∞

n=1

(−1)

n+1

n

sinnx

• Fourier series of even functions with period 2L:

a

n

=

1

L

L

−L

f (x)cosn

π

L

xdx =

2

L

L

0

f (x)cosn

π

L

xdx since f (x)cosn

π

L

x is even.

b

n

=

1

L

L

−L

f (x)sinn

π

L

xdx = 0 since f (x)sinn

π

L

x is odd.

In this case, if f is piecewise smooth, f (x) =

a

0

2

+∑a

n

cosn

π

L

x only involves cosine.

Example: Try f (x) = x

2

on (−π, π).

• Even and odd extensions of a function:

Suppose f is a piecewise continuous function deﬁned on interval (0, L).

Even extension of f to the interval (−L, 0) is

f

E

(x) =

_

f (x) 0 < x < L

f (−x) −L < x < 0

Example: f (x) = x

2

+x +1 on (0, L)

Then

f

E

(x) =

_

x

2

+x +1 0 < x < L

x

2

−x +1 −L < x < 0

Odd extension of f to the interval (−L, 0) is

f

O

(x) =

_

f (x) 0 < x < L

−f (−x) −L < x < 0

4

Example: f (x) = x

2

+x +1 on (0, L)

Then

f

O

(x) =

_

x

2

+x +1 0 < x < L

−x

2

+x −1 −L < x < 0

Remark:

1) f

E

(x) is an even function with Fourier Series of the form

a

0

2

+∑a

n

cosn

π

L

x

Hence f (x) =

a

0

2

+∑a

n

cosn

π

L

x for x in (0, L).

This is called the Fourier cosine series of f

2) f

O

(x) is an odd function with Fourier Series of the form ∑b

n

sinn

π

L

x

Hence f (x) =∑b

n

sinn

π

L

x for x in (0, L).

This is called the Fourier sine series of f

• Remark: Note that for x in (0, L), f (x) = f

E

(x) = f

O

(x).

In many cases we are not concerned about f (x) on (−L, 0), so the choice between (1)

and (2) depends on our need for representing f by sine or cosine.

• Example: f (t) = 1 on (0, π). Compute the Fourier sine and cosine series and graph the

two extensions.

1) The Even extension is f

E

(t) = 1 on (−π, π), period 2π.

Then a

0

= 2, a

n

= 0, b

n

= 0, so the cosine series is just

f (t) =

a

0

2

= 1

2) The Odd extension is f

O

(t) = 1 on (0, π) and −1 on (−π, 0), period 2π.

Then a

0

= a

n

= 0, b

n

=

2

nπ

(1−(−1)

n

), so the cosine series is

f

O

(t) =

∑

n=odd

4

nπ

sinnx

• Example: f (t) = 1−t on (0, 1). Compute the Fourier sine and cosine series and graph

to the to extensions.

1) The Even extension is f

E

(t) = 1−t on (0, 1) and 1+t on (−1, 0), period 2L, L = 1.

Then a

0

= 1, a

n

= 2

1−cosnπ

n

2

π

2

, b

n

= 0, so the cosine series is

f (t) =

1

2

+

∑

n=odd

4

n

2

π

2

cosnπx

2) The Odd extension is f

O

(t) = 1−t on (0, 1) and −1−t on (−1, 0), period 2L, L = 1.

Then a

n

= 0 for all n ≥0 and b

n

=

2

nπ

, so the cosine series is

f (t) =

∞

∑

n=1

2

nπ

sinnπx

• Termwise differentiation of a Fourier series

Theorem: Suppose f (x) is Continuous for all x, Periodic with period 2L, and f

is

5

Piecewise Smooth for all t. If

f (x) =

a

0

2

+

∞

∑

n=1

a

n

cosn

π

L

x +b

n

sinn

π

L

x

then

f

(x) =

∞

∑

n=1

(−a

n

nπ

L

)sinn

π

L

x +(b

n

nπ

L

)cosn

π

L

x

Remarks:

1) RHS it the Fourier series of f

(x).

2) It is obtained by termwise differentiation of the RHS for f (x).

3) Note that the constant term in the FS of f

(x) is zero as

L

−L

f

(x)dx = f (L) − f (−L) = 0

4) The Theorem fails if f is not continuous!

For example: consider f (x) = x on (−L, L)

Then

f (x) = x =

∑

2L

nπ

(−1)

n+1

sinn

π

L

x

if we differentiate

1 =

∑

2

π

(−1)

n+1

cosn

π

L

x

For example equality fails at t = 0 or L!

• Example: Verify the above Theorem for f (x) = x on (0, L) and f (x) =−x on (−L, 0).

Answer:

b

n

= 0 as f is even, a

0

= L, a

n

=

2L

n

2

π

2

((−1)

n

−1). Thus

f (x) =

1

2

L+

∑

n=odd

−

4L

n

2

π

2

cosn

π

L

x

Then term wise derivative gives

f

(x) =

∑

n=odd

4

nπ

sinn

π

L

x

On the other hand, directly computing the derivative of f (x) we have f

(x) =1 on (0, L)

and f (x) = −1 on (−L, 0). Thus a

n

= 0 for all n and b

n

=

2

nπ

(1 −cosnπ) which gives

the same Fourier Series as in above.

• Applications to BVP’s

Consider the BVP of the form

ax

+bx

+cx = f (t), x(0) = x(L) = 0 or x

(0) = x

(L) = 0

• Example:

x

+2x = 1, x(0) = x(π) = 0

Here f (t) = 1, restrict to the interval (0, π) as in Boundary Values.

The idea is to ﬁnd a formal Fourier Series solution of the equation.

Since we want x(0) = x(π) = 0, we prefer to consider the Fourier sine series of x(t) on

the interval (0, π),

x(t) =

∑

b

n

sinnt

6

substitute in the equation and compare the coefﬁcients with that of the sine Fourier

Series of f (t) = 1 which is

f (t) =

∑

n=odd

4

nπ

sinnt

Note that by term wise differentiation,

x

(t) +2x(t) = (2−n

2

)b

n

sinnt

Thus b

n

= 0 for n even and b

n

=

4

πn(2−n

2

)

for n odd. Hence a formal power series of x(t)

is

x(t) =

∑

n=odd

4

πn(2−n

2

)

sinnt

• Example:

x

+2x =t, x

(0) = x

(π) = 0

Here f (t) =t, restrict to the interval (0, π) as in Boundary Values.

Since we want x

(0) = x

**(π) = 0, we prefer to consider the Fourier Cosine Series of
**

x(t) on (0, π),

x(t) =

a

0

2

+

∑

a

n

cosnt

substitute in the equation and compare the coefﬁcients with that of the Cosine FS of

f (t) =t which is

f (t) =

π

2

−

∑

n=odd

4

πn

2

cosnt

Note that by termwise differentiation,

x

(t) +2x(t) = a

0

+(2−n

2

)a

n

cosnt

Thus a

0

=

π

2

, a

n

= 0 for n even and a

n

= −

4

πn

2

(2−n

2

)

for n odd. Hence a formal power

series of x(t) is

x(t) =

π

4

−

∑

n=odd

4

πn

2

(2−n

2

)

cosnt

• Termwise Integration of the Fourier Series.

Theorem: Suppose f (t) is Piecewise Continuous (not necessarily piecewise smooth)

periodic with period 2L with FS representation

f (t) ∼

a

0

2

+

∞

∑

n=1

a

n

cosn

π

L

t +b

n

sinn

π

L

t

Then we can integrate term by term as

t

0

f (x)dx =

t

0

a

0

2

+∑

∞

n=1

a

n

t

0

cosn

π

L

xdx +b

n

t

0

sinn

π

L

xdx

=

a

0

2

t +∑

∞

n=1

a

n

L

nπ

sinn

π

L

x −b

n

L

nπ

(cosn

π

L

x −1)

Note that the RHS is not the Fourier series of LHS unless a

0

= 0.

• Example: Consider f (x) = 1 on (0, π) and f (x) =−1 on (−π, 0), then

f (t) =

∑

n=odd

4

πn

sinnt

7

Then F(t) =

t

0

f (x)dx =t for t ∈ (0, 1) and −t for t ∈ (−π, 0), whose Fourier Series is

F(t) =

1

2

π−

4

π

∑

n=odd

1

n

2

cosnt

Term by term integration gives the same thing!

4

π

∑

n=odd

1

n

2

(1−cosnt) =

4

π

_

∑

n=odd

1

n

2

=

π

2

8

_

−

4

π

∑

n=odd

1

n

2

cosnt

8

Section 9.4 - Applications of Fourier Series

• Finding general solutions of 2nd order linear DE’s with constant coefﬁcients:

Example: x

**+5x = F(t), where F(t) = 3 on (0, π) and −3 on (−π, 0), is odd with
**

period 2π.

We obtain a particular solution in the following way:

Since L =π and the FS of F(t) is ∑

n odd

12

nπ

sinnt,

we may assume x(t) is odd and we consider its Fourier sine series F(t) =∑

∞

n=1

b

n

sinnt.

Substitute in the equation:

x

+5x = (5−n

2

)b

n

sinnt = F(t) =

∑

n odd

12

nπ

sinnt

Hence, comparing the coefﬁcients of sinnt on both sides we get

b

n

=

12

n(5−n

2

)π

if n is odd and zero otherwise.

Thus a particular solution is x(t) =∑

n odd

12

n(5−n

2

)π

sinnt

Deﬁnition: We call this a steady periodic solution, denoted by x

sp

(t).

Thus, if x

1

(t), x

2

(t) are the solutions of the associated homogeneous equation, then the

general solution is

x(t) = c

1

x

1

(t) +c

2

x

2

(t) +x

sp

(t)

= c

1

cos(

√

5t) +c

2

sin(

√

5t) +∑

n odd

12

n(5−n

2

)π

sinnt

• Remark: Consider the equation x

**+9x = F(t). Then when trying to ﬁnd a particular
**

solution we get

x

+9x = (9−n

2

)b

n

sinnt = F(t) =

∑

n odd

12

nπ

sinnt

We can not ﬁnd b

3

as 9−n

2

= 0 for n = 3.

In this case we need to use the method of undetermined coefﬁcients to ﬁnd a function

y(t) such that

y

+9y =

12

3π

sin3t

Take y = At sin3t +Bt cos3t, and substitute to ﬁnd A = 0 and B =−

2

3π

.

Therefore, the general solution is

x(t) = c

1

cos(3t) +c

2

sin(3t) +

∑

n odd,n=3

12

n(9−n

2

)π

sinnt −

2

3π

t cos3t

Deﬁnition: We say in this case a pure resonance occurs.

Remark: To determine the occurrence of pure resonance, just check if for some n,

sinn

π

L

t is a solution of the associated homogeneous equation.

9

• Application: Forced Mass-Spring Systems

Let m be the mass, c be the damping constant, and k the constant of spring. Then

mx

+cx

+kx = F(t)

Consider the case that the external force F(t) is odd or even periodic function.

Remark: If F(t) is periodic for t ≥ 0, it can be arranged to be odd or even by passing

to odd or even extension for values of time t.

Case 1) Undamped Forced Mass-Spring Systems: c = 0

mx

+kx = F(t)

Let ω

0

=

_

k

m

be the natural frequency of the system, then we can write

x

+ω

2

0

x =

1

m

F(t)

Assume F(t) is periodic odd function with period 2L.

Then

F(t) =

∞

∑

n=1

F

n

sinn

π

L

t

Consider the odd extension of x(t), so that

x(t) =

∞

∑

n=1

b

n

sinn

π

L

t

substituting in the equation we get

x

+ω

2

0

x =

_

ω

2

0

−(

nπ

L

)

2

_

b

n

sinn

π

L

t =

1

m

F(t) =

∞

∑

n=1

1

m

F

n

sinn

π

L

t

Thus

_

ω

2

0

−(

nπ

L

)

2

_

b

n

=

1

m

F

n

If for all n ≥1, ω

2

0

−(

nπ

L

)

2

= 0, or equivalently

_

k

m

·

π

L

is not a positive integer, then we

can solve for b

n

as

b

n

=

1

m

F

n

ω

2

0

−(

nπ

L

)

2

Hence we have a steady periodic solution

x

sp

(t) =

∞

∑

n=1

1

m

F

n

ω

2

0

−(

nπ

L

)

2

sinn

π

L

t

Example: If m = 1, k = 5, L =π,

x

+5x = F(t)

then ω

2

0

−(

nπ

L

)

2

= 5−n

2

= 0 for all positive integers n ≥1.

On the other hand, if n

0

=

_

k

m

·

π

L

is a positive integer, then a particular solution is

x(t) =

∞

∑

n=1,n=n

0

1

m

F

n

ω

2

0

−(

nπ

L

)

2

sinn

π

L

t −

F

n

0

2mω

0

t cosω

0

t

10

Example: m = 1, k = 9, L =π,

x

+9x = F(t)

then ω

2

0

−(

nπ

L

)

2

= 9−n

2

= 0 for n = 3. There will be a pure resonance.

Example: m = 1, k = 9, L = 1,

x

+9x = F(t)

then ω

2

0

−(

nπ

L

)

2

= 9 −(nπ)

2

= 0 for all positive integers n. We have a steady periodic

solution.

Case 2) Damped Forced Mass-Spring Systems: c = 0

mx

+cx

+kx = F(t)

Assume F(t) is periodic odd function with period 2L.

Then

F(t) =

∞

∑

n=1

F

n

sinn

π

L

t

For each n ≥1, we seek a function x

n

(t) such that

mx

n

+cx

n

+kx

n

= F

n

sinn

π

L

t = F

n

sinω

n

t

where ω

n

= n

π

L

. Note that there will never be a duplicate solution as c = 0.

Hence using the method of undetermined coefﬁcients, we can show

x

n

(t) =

F

n

_

(k −mω

2

n

)

2

+(cω

n

)

2

sin(ω

n

t −α

n

)

where

α

n

= tan

−1

_

cω

n

k −mω

2

n

_

0 ≤α ≤π

Therefore, we have a steady periodic solution

x

sp

(t) =

∞

∑

n=1

x

n

(t) =

∞

∑

n=1

F

n

_

(k −mω

2

n

)

2

+(cω

n

)

2

sin(ω

n

t −α

n

)

Example: m = 3, c = 1, k = 30, F(t) = t −t

2

for 0 ≤ t ≤ 1 is odd and periodic with

L = 1. Compute the ﬁrst few terms of the steady periodic solution.

3x

+x

+30x = F(t) =

∞

∑

n=1

F

n

sinn

π

L

t =

∑

n=odd

8

n

3

π

3

sinnπt

So, we have

x

sp

(t) = ∑

∞

n=1

F

n

√

(k−mω

2

n

)

2

+(cω

n

)

2

sin(ω

n

t −α

n

)

= ∑

n= odd

8

n

3

π

3

√

(30−3n

2

π

2

)

2

+n

2

π

2

sin(nπt −α

n

)

α

n

= tan

−1

_

nπ

30−n

2

π

2

_

0 ≤α ≤π

The ﬁst two terms are

0..0815sin(πt −1.44692) +0.00004sin(3π3−3.10176) +· · ·

11

Section 9.5 - Heat Conduction and Separation of Variables

• Until now, we studied ODE’s - which involved single variable functions.

In this section will consider some special PDE’s - Differential Equations of several vari-

able functions involving their Partial Derivatives - and we will apply Fourier Series

method to solve them.

• Heat Equations:

Let u(x, t) denote the temperature at pint x and time t in an ideal heated rod that extends

along x-axis. then u satisﬁes the following equation:

u

t

= ku

xx

where k is a constant - thermal difﬁusivity of the material - that depends on the material

of the rod.

Boundary Conditions:

Suppose the rod has a ﬁnite length L, then 0 ≤x ≤L.

1) Assume the temperature of the rod at time t = 0 at every point x is given. Then

we are given a function f (x) such that u(x, 0) = f (x) for all 0 ≤x ≤L.

2) Assume the temperature at the two ends of the rod is ﬁxed (zero) all the time - say by

putting two ice cubes! Then u(0, t) = u(L, t) = 0 for all t ≥0.

Thus we obtain a BVP,

_

¸

_

¸

_

u

t

= ku

xx

u(x, 0) = f (x) for all 0 ≤x ≤L

u(0, t) = u(L, t) = 0 for all t ≥0

Remark: Other possible boundary conditions are, insulating the endpoints of the rod,

so that there is no heat ﬂow. This means

u

x

(0, t) = u

x

(L, t) = 0 for all t ≥0

Remark: Geometric Interpretation of the BVP.

We would like to ﬁnd a function u(x, t) such that on the boundary of the inﬁnite strip

t ≥0 and 0 ≤x ≤L satisﬁes the conditions u = 0 and u = f (x).

Remark: If f (x) is ”piecewise smooth”, then the solution of the BVP is unique.

• Important observations:

1) Superposition of solutions: If u

1

, u

2

, . . . satisfy the equation u

t

= ku

xx

, then so does

any linear combination of the u

i

’s. In other words, the equation u

t

= ku

xx

is linear!

2) Same is true about the boundary condition u(0, t) = u(L, t) = 0 for all t ≥ 0. We

say this is a linear or homogeneous condition.

3) The condition u(x, 0) = f (x) for all 0 ≤x ≤L is not homogenous, or not linear!

12

• General Strategy: Find solutions that satisfy the linear conditions and then take a

suitable linear condition that satisﬁes the non-linear conditions.

• Example: Verify that u

n

(x, t) = e

−n

2

t

sinnx is a solution of u

t

= u

xx

(here k = 1) for any

positive integer n. For example, u

1

(x, t) = e

−t

sinx and u

2

(x, t) = e

−4t

sin2x.

• Example: Use the above example to construct a solution of the following BVP.

_

¸

_

¸

_

u

t

= u

xx

u(0, t) = u(π, t) = 0 for all t ≥0

u(x, 0) = 2sinx +3sin2x for all 0 ≤x ≤π

Answer:

Here L = π. Note that u

n

(x, t) = e

−n

2

t

sinnx also satisfy the linear condition u(0, t) =

u(π, t) = 0. Thus it is enough to take u(x, t) to be a linear combination of u

n

’s that

satisﬁes the non homogenous condition u(x, 0) = 2sinx +3sin2x. Since u

n

(x, 0) =

sinnx, we take

u(x, t) = 2u

1

+3u

2

= 2e

−t

sinx +3e

−4t

sin2x

so that

u(x, 0) = 2e

0

sinx +3e

0

sin2x = 2sinx +3sin2x

Remark: The above method in the example for u

t

=u

xx

works whenever f (x) is a ﬁnite

linear combination of sinx, sin2x, . . .

• Example: Use the above example to construct a solution of the following BVP.

_

¸

_

¸

_

u

t

= u

xx

u(0, t) = u(π, t) = 0 for all t ≥0

u(x, 0) = sin4xcosx for all 0 ≤x ≤L

Solution: Again we have L =π. Note that

f (x) = sin4xcosx =

1

2

sin(4x +x) +

1

2

sin(4x −x) =

1

2

sin5x +

1

2

sin3x

Thus we take

u(x, t) =

1

2

u

3

+

1

2

u

5

=

1

2

e

−9t

sin3x +

1

2

e

−25t

sin5x

• Remark: When f (x) is a not a ﬁnite linear combination of the sine functions, then rep-

resent it as an inﬁnite sum using Fourier sine series.

• Example: Construct a solution of the following BVP.

_

¸

_

¸

_

u

t

= u

xx

u(0, t) = u(π, t) = 0 for all t ≥0

u(x, 0) = 1 for all 0 ≤x ≤π

Answer: Note that f (x) = 1 and L = π, so represent f (x) as a Fourier sine series with

period 2L = 2π

f (x) =

∑

n= odd

4

nπ

sinnx

13

Thus we take

u(x, t) =

∑

n= odd

4

nπ

u

n

(x, t) =

∑

n= odd

4

nπ

e

n

2

t

sinnx

This is a formal series solution of the BVP, one needs to check the convergence, ...

We only take ﬁnitely many terms for many applications.

• In general, to solve the following BVP (k is anything, not necessarily 1, and L is any-

thing, not just π)

_

¸

_

¸

_

u

t

= ku

xx

u(0, t) = u(π, t) = 0 for all t ≥0

u(x, 0) = f (x) for all 0 ≤x ≤L

we observe that

u

n

(x, t) = e

−k(

nπ

L

)

2

t

sinn

π

L

x

satisﬁes the equation u

t

=ku

xx

and the homogenous boundary condition u(0, t) =u(L, t) =

0 for all t ≥0. Thus, represent f (x) as a Fourier sine series with period 2L,

f (x) =

∞

∑

n=1

b

n

sinn

π

L

x

Then

u(x, t) :=

∞

∑

n=1

b

n

u

n

(x, t) =

∞

∑

n=1

b

n

e

−k(

nπ

L

)

2

t

sinn

π

L

x

satisﬁes the non homogenous condition u(x, 0) = f (x) for all 0 ≤x ≤L.

• Case of a rod with insulated endpoints:

Consider the BVP corresponding to a heated rod with insulated endpoint,

_

¸

_

¸

_

u

t

= ku

xx

u

x

(0, t) = u

x

(π, t) = 0 for all t ≥0

u(x, 0) = f (x) for all 0 ≤x ≤L

we observe that for n ≥0,

u

n

(x, t) = e

−k(

nπ

L

)

2

t

cosn

π

L

x

satisﬁes the equation u

t

= ku

xx

and the homogenous boundary condition u

x

(0, t) =

u

x

(L, t) = 0 for all t ≥0.

Remark: for n = 0, we get u

0

= 1 which satisﬁes the linear conditions!

Thus, represent f (x) as a Fourier cosine series with period 2L,

f (x) =

a

0

2

+

∞

∑

n=1

a

n

cosn

π

L

x

Then

u(x, t) :=

a

0

2

+

∞

∑

n=1

a

n

u

n

(x, t) =

a

0

2

+

∞

∑

n=1

a

n

e

−k(

nπ

L

)

2

t

cosn

π

L

x

satisﬁes the non homogenous condition u(x, 0) = f (x) for all 0 ≤x ≤L.

14

• Remarks:

1) In the BVP for heated rod with zero temperature in the endpoints, we have

lim

t→∞

u(x, t) = lim

t→∞

∞

∑

n=1

b

n

e

−k(

nπ

L

)

2

t

sinn

π

L

x = 0

in other words, heat goes away with no insulation, thus temperature is zero at the end!

2) In the BVP for heated rod with insulated endpoints, we have

lim

t→∞

u(x, t) = lim

t→∞

a

0

2

+

∞

∑

n=1

b

n

e

−k(

nπ

L

)

2

t

cosn

π

L

x =

a

0

2

which means, with insulation heat distributes evenly throughout the rod, which is the

average of the initial temperature as

a

0

2

=

1

L

L

0

f (x)dx

15

Section 9.6 - Vibrating Strings and the One-Dimensional Wave Equation

• Consider a uniform ﬂexible string of length L with ﬁxed endpoints,

stretched along x-axis in the xy-plane from x = 0 to x = L.

Let y(x, t) denote the displacement of the points x on the string at time t

(we assume the points move parallel to y-axis).

Then y satisﬁes the One-dimensional wave equation:

y

tt

= a

2

y

xx

where a is a constant that depend on the material of the string and the tension!

Boundary Conditions:

1) Since the endpoints are ﬁxed, y(0, t) = y(L, t) = 0.

2) The initial position of the string y(x, 0) at each x is given as a function y(x, 0) = f (x).

3) The solution also depends on the initial velocity y

t

(x, 0) of the string at each x, given

as a function y

t

(x, 0) = g(x).

Thus we obtain the following BVP

_

¸

¸

¸

_

¸

¸

¸

_

y

tt

= a

2

y

xx

y(0, t) = y(L, t) = 0 for all t ≥0

y(x, 0) = f (x) for all 0 ≤x ≤L

y

t

(x, 0) = g(x) for all 0 ≤x ≤L

• Important Observations:

1) y

tt

= a

2

y

xx

is a linear equation. Thus the superposition of solutions applies.

2) Condition y(0, t) = y(L, t) = 0 is linear.

3) Conditions y(x, 0) = f (x) and y

t

(x, 0) = g(x) are not linear.

• General Strategy: Split the BVP into two problems,

(A)

_

¸

¸

¸

_

¸

¸

¸

_

y

tt

= a

2

y

xx

y(0, t) = y(L, t) = 0 for all t ≥0

y(x, 0) = f (x) for all 0 ≤x ≤L

y

t

(x, 0) = 0 for all 0 ≤x ≤L

(B)

_

¸

¸

¸

_

¸

¸

¸

_

y

tt

= a

2

y

xx

y(0, t) = y(L, t) = 0 for all t ≥0

y(x, 0) = 0 for all 0 ≤x ≤L

y

t

(x, 0) = g(x) for all 0 ≤x ≤L

If y

A

(x, t) and y

B

(x, t) are the respective solutions, then

y(x, t) = y

A

(x, t) +y

B

(x, t)

satisﬁes the original BVP as

y(x, 0) = y

A

(x, 0) +y

B

(x, 0) = f (x) +0 = f (x)

and

y

t

(x, 0) = (y

A

)

t

(x, 0) +(y

B

)

t

(x, 0) = 0+g(x) = g(x)

• Solving a BVP of type (A)

(A)

_

¸

¸

¸

_

¸

¸

¸

_

y

tt

= a

2

y

xx

y(0, t) = y(L, t) = 0 for all t ≥0

y(x, 0) = f (x) for all 0 ≤x ≤L

y

t

(x, 0) = 0 for all 0 ≤x ≤L

16

Verify directly that for all positive integers n, the function

y

n

(x, t) = cosn

π

L

at · sinn

π

L

x

satisﬁes the equation y

tt

= a

2

y

xx

and the linear conditions y(0, t) = y(L, t) = 0 and

y

t

(x, 0) = 0. Thus, by superposition law, we need to ﬁnd coefﬁcients b

n

such that

y(x, t) =

∞

∑

n=1

b

n

y

n

(x, t) =

∞

∑

n=1

b

n

cosn

π

L

at · sinn

π

L

x

satisﬁes y(x, 0) = f (x). Note that

f (x) = y(x, 0) =

∞

∑

n=1

b

n

y

n

(x, 0) =

∞

∑

n=1

b

n

sinn

π

L

x

Thus b

n

’s are the Fourier sine coefﬁcients of f (x).

• Example: Triangle initial position (pulled from the midpoint) with zero initial velocity

Assume a = 1, L =π and f (x) =

_

x if 0 < x <

π

2

π−x if

π

2

< x <π

. Then the BVP is type (A)

(A)

_

¸

¸

¸

¸

¸

¸

_

¸

¸

¸

¸

¸

¸

_

y

tt

= y

xx

y(0, t) = y(π, t) = 0 for all t ≥0

y(x, 0) = f (x) =

_

x if 0 < x <

π

2

π−x if

π

2

< x <π

y

t

(x, 0) = 0 for all 0 ≤x ≤π

Fourier sine series of f (x) is

∞

∑

n=1

4sin

nπ

2

πn

2

sinnx =

∑

n=odd

4(−1)

n−1

2

πn

2

sinnx

Thus, since a = 1 and L =π,

y(x, t) = ∑

∞

n=1

b

n

cosn

π

L

at · sinn

π

L

x

= ∑

∞

n=1

4sin

nπ

2

πn

2

· cosnt · sinnx

= ∑

n=odd

4(−1)

n−1

2

πn

2

· cosnt · sinnx

= ∑

n=odd

4(−1)

n−1

2

πn

2

· cosnt · sinnx

=

4

π

cost sinx −

4

9π

cos3t sin3x +

4

25π

cos5t sin5x +· · ·

• Remark: Using the identity

2sinAcosB = sin(A+B) +sin(A−B)

we can write the solution as

17

y(x, t) = ∑

n=odd

4(−1)

n−1

2

πn

2

· cosnt · sinnx

=

1

2

∑

n=odd

4(−1)

n−1

2

πn

2

· 2cosnt · sinnx

=

1

2

∑

n=odd

4(−1)

n−1

2

πn

2

· (sin(nx +nt) +sin(nx −nt))

=

1

2

∑

n=odd

4(−1)

n−1

2

πn

2

· sinn(x +t) +

1

2

∑

n=odd

4(−1)

n−1

2

πn

2

· sinn(x −t)

=

1

2

f

O

(x +t) +

1

2

f

O

(x −t)

• Solving a BVP of type (B)

(A)

_

¸

¸

¸

_

¸

¸

¸

_

y

tt

= a

2

y

xx

y(0, t) = y(L, t) = 0 for all t ≥0

y(x, 0) = 0 for all 0 ≤x ≤L

y

t

(x, 0) = g(x) for all 0 ≤x ≤L

Verify directly that for all positive integers n, the function

y

n

(x, t) = sinn

π

L

at · sinn

π

L

x

satisﬁes the equation y

tt

= a

2

y

xx

and the linear conditions y(0, t) = y(L, t) = 0 and

y(x, 0) = 0. Thus, by superposition law, we need to ﬁnd coefﬁcients c

n

such that

y(x, t) =

∞

∑

n=1

c

n

y

n

(x, t) =

∞

∑

n=1

c

n

sinn

π

L

at · sinn

π

L

x

satisﬁes y

t

(x, 0) = g(x). Note that by termwise differentiation with respect to variable t

we have

y

t

(x, t) =

∞

∑

n=1

c

n

(n

π

L

a)cosn

π

L

at · sinn

π

L

x

Thus

g(x) = y

t

(x, 0) =

∞

∑

n=1

c

n

(n

π

L

a)sinn

π

L

x

Then c

n

(n

π

L

a)’s are the Fourier sine coefﬁcients of g(x).

Hence c

n

=

π

nLa

· n-th Fourier sine coefﬁcients of g(x)

• Example: Assume a = 1, L =π and g(x) = 1. Then the following BVP is type (B)

(B)

_

¸

¸

¸

_

¸

¸

¸

_

y

tt

= y

xx

y(0, t) = y(π, t) = 0 for all t ≥0

y(x, 0) = 0

y

t

(x, 0) = g(x) = 1 for all 0 ≤x ≤π

Fourier sine series of g(x) = 1 with L =π is

∑

n=odd

4

πn

sinnx

18

Thus, since a = 1 and L =π

y(x, t) = ∑

∞

n=1

c

n

sinn

π

L

at · sinn

π

L

x

= ∑

n=odd

π

nπ(1)

·

4

πn

· sinnt · sinnx

= ∑

n=odd

4

πn

2

· sinnt · sinnx

19

Section 9.7 - Steady-State Temperature and Laplace’s Equation

• Consider the temperature in a 2-dimensional uniform thin plate in xy-plane

bounded by a piecewise smooth curve C.

Let u(x, y, t) denote the temperature of the point (x, y) at time t.

Then the 2-dimensional eat equation states that

u

t

= k(u

xx

+u

yy

)

where k is a constant that depends on the material of the plate.

If we let ∇

2

u = u

xx

+u

yy

, which is called the laplacian of u, then we can write

u

t

= k∇

2

u

Remark: The 2-dimensional wave equation is

z

tt

= a

2

(z

xx

+z

yy

) = a

2

∇

2

z

where z(x, y, t) is the position of the point (x, y) in a vibration elastic surface at time t.

• Case of the steady state temperature: i.e. we consider a 2-dimensional heat equation

in which the temperature does not change in time (The assumption is after a while

temperature becomes steady). Thus

u

t

= 0

Therefore, ∇

2

u = u

xx

+u

yy

= 0.

This equation is called the 2-dimensional Laplace equation.

• Boundary problems and Laplace equation:

If we know the temperature on the boundary C of a plate, as a function f (x, y), can we

determine the temp. at every point inside the plate?

In other word, can we solve the BVP

_

u

xx

+u

yy

= 0

u(x, y) = f (x, y) on the boundary of the plate

This BVP is called a Dirichlet Problem.

• Remark: If the Boundary C is Piecewise Smooth and the function f (x, y) is Nice!, then

Dirichlet Problem has a unique solution.

We will consider the cases that C is rectangular or circular!

• Case of Rectangular Plates:

Suppose the plate is a rectangle positioned in xy-plane with vertices (0, 0), (0, b), (a, b), (a, 0).

Assume we are given the temp. at each side of the rectangle.

Then we have the following type BVP.

20

_

¸

¸

¸

¸

¸

_

¸

¸

¸

¸

¸

_

u

xx

+u

yy

= 0

u(x, 0) = f

1

(x, y), 0 < x < a

u(x, b) = f

2

(x, y), 0 < x < a

u(0, y) = g

1

(x, y), 0 < y < b

u(a, y) = g

1

(x, y), 0 < y < b

• General Strategy:

The main equation u

xx

+u

yy

= 0 is linear, but all of the boundary conditions are non-

linear, the idea is to split this BVP into 4 simpler BVP denotes by A, B, C, D, in which

only one of the boundary conditions in non-linear and apply Fourier series method there,

and and the end,

u(x, y) = u

A

(x, y) +u

B

(x, y) +u

C

(x, y) +u

D

(x, y)

• Solving a type BVP of type (A)

For 0 < x < a and 0 < y < b,

_

¸

¸

¸

¸

¸

_

¸

¸

¸

¸

¸

_

u

xx

+u

yy

= 0

u(x, 0) = f

1

(x, y)

u(x, b) = 0

u(0, y) = 0

u(a, y) = 0

In this case, one can show

u

n

(x, y) = sin

nπ

a

x · sinh

nπ

a

(b−y)

satisﬁes the linear conditions of the BVP.

Recall that sinhx =

1

2

(e

x

−e

−x

) and coshx =

1

2

(e

x

+e

−x

),

so (sinhx)

= coshx and (coshx)

=−sinhx

• Method of separation of variables: To actually ﬁnd u

n

’s

Assume u(x, y) = X(x)Y(y).

Then u

xx

+u

yy

= 0 implies X

Y +XY

= 0.

Thus

X

X

=−

Y

Y

.

Since RHS only depends on y and LHS only depends on x, these fractions must be con-

stant, say −λ.

Then

X

X

=−λ and

Y

Y

=λ.

Thus we obtain X and Y are nonzero solutions of X

+λX = 0 and Y

−λY = 0, such

that Y(b) = 0, X(0) = X(a) = 0

This is an endpoint problem on X,

we seek those values of λ for which there are nonzero solutions X, such that X(0) =

X(a) = 0. The eigen values are λ

n

= (

nπ

a

)

2

and the corresponding eigenfunctions are scalar multiples of X

n

(x) = sin

nπ

a

x.

Now substitute λ

n

= (

nπ

a

)

2

in Y

**−λY = 0 with Y(b) = 0, and solve for Y(y).
**

We obtain the solutions are a scalar multiple of Y

n

(y) = sinh

nπ

a

(b−y).

Hence u

n

(x, y) = X

n

(x)Y

n

(y) = sin

nπ

a

x · sinh

nπ

a

(b−y)

21

• Back to solving a type BVP of type (A)

We want u(x, y) =∑c

n

u

n

(x, y) such that u(x, 0) = f

1

(x).

Hence

f

1

(x) = u(x, 0) =

∑

c

n

u

n

(x, 0) =

∑

c

n

· sin

nπ

a

x · sinh

nπ

a

(b)

Therefore, c

n

· sinh

nπ

a

(b) is the n-th Fourier sine coefﬁcient b

n

of f

1

(x) over interval

(0, a). Hence

c

n

= b

n

/sinh

nπb

a

• Example: Solve the BVP of type (A) if a =b =π and f

1

(x) =1. Compute u(π/2, π/2),

the temp at the center of the rectangle.

Solution: Note that

f (x) =

∑

n=odd

4

nπ

sin

nπ

a

x =

∑

n=odd

4

nπ

sinnx

Thus

u(x, y) =

∑

n=odd

_

4

nπ

/sinh

nπb

a

_

· sin

nπ

a

x · sinh

nπ

a

(b−y)

Then

u(x, y) =

∑

n=odd

_

4

nπsinhnπ

_

· sinnx · sinhn(π−y)

Also note that after computing the ﬁrst few terms and using sinh2t = 2sinht cosht,

u(π/2, π/2) = ∑

n=odd

_

4

nπsinhnπ

_

· sinnπ/2· sinhnπ/2

= ∑

n=odd

_

2

nπsinhnπ/2

_

· sinnπ/2

∼ .25

In fact, one can argue by symmetry that is is exactly .25.

• Case of a semi-inﬁnite strip plate!

Assume the plate is an inﬁnite plate in the ﬁrst quadrant whose vertices are (0, 0) and

(0, b), and u = 0 along the horizontal sides, u(0, y) = g(y) and u(x, y) < ∞ as x →∞.

Apply the separation of variable method to solve the corresponding Dirichlet problem.

Answer:

Let u(x, y) = X(x)Y(y).

Then u

xx

+u

yy

= 0 implies X

Y +XY

= 0.

Thus

X

X

=−

Y

Y

.

Since RHS only depends on y and LHS only depends on x, these fractions must be con-

stant, say λ.

Then

X

X

=λ and

Y

Y

=−λ.

Thus we obtain X and Y are nonzero solutions of X

−λX = 0 and Y

+λY = 0, such

that Y(0) =Y(b) = 0, and u(x, y) = X(x)Y(y) in bounded as x →∞

This is an endpoint problem on Y.

We want those values of λ for which there are nonzero solutions Y, such that Y(0) =

Y(b) = 0.

The eigen values are λ

n

= (

nπ

b

)

2

22

and the corresponding eigenfunctions are scalar multiples of Y

n

(y) = sin

nπ

b

y.

Now substitute λ

n

= (

nπ

b

)

2

in X

**−λX = 0 and solve for X(x).
**

We obtain X

n

(x) = A

n

e

nπ

b

x

+B

n

e

−

nπ

b

x

Since u

n

= X

n

Y

n

and u and Y

n

= sin

nπ

b

y are bounded, then X

n

must be bounded too.

Hence A

n

= 0. Suppress b

n

.

Thus u

n

(x, y) = X

n

(x)Y

n

(y) = e

−

nπ

b

x

· sin

nπ

b

y

Note that u

n

(x, 0) = u

n

(x, b) = 0 and u

n

(x, y) <∞ as x →∞.

Now, to solve the BVP:

We want u(x, y) =∑c

n

u

n

(x, y) such that u(0, y) = g(y).

Hence

g(y) = u(0, y) =

∑

c

n

u

n

(0, y) =

∑

c

n

· (1) · sin

nπ

b

y

Therefore, c

n

is the n-th Fourier sine coefﬁcient b

n

of g(y) over interval (0, b).

• Example: If b = 1 and g(y) = 1, then compute u(x, y).

Solution:

g(y) =

∑

n=odd

4

nπ

sin

nπ

b

x =

∑

n=odd

4

nπ

sinnx

Thus

u(x, y) =

∑

n=odd

4

nπ

· e

−nπx

· sinnπy

• Case of a circular disk:

Using polar coordinates (r, θ) to represent the points in a disk, on can transform the

Laplace equation into

u

rr

+

1

r

u

r

+

1

r

2

u

θθ

= 0

Note that 0 < r < a = the radius of the disk, and 0 <θ < 2π.

It turns out that the solution is of the form

u(r, θ) =

a

0

2

+

∞

∑

n=1

(a

n

cosnθ+b

n

sinnθ)r

n

Boundary conditions: If we know the temp. on the boundary of the disk, want to

determine the temp. inside. To give the temp. on the boundary means to give a function

f (θ) such that

u(a, θ) = f (θ) for 0 <θ < 2π

Thus

f (θ) = u(a, θ) =

a

0

2

+∑

∞

n=1

(a

n

cosnθ+b

n

sinnθ)a

n

=

a

0

2

+∑

∞

n=1

a

n

a

n

cosnθ+a

n

b

n

sinnθ

Therefore a

n

a

n

and a

n

b

n

are the n-th Fourier series coefﬁcient of f (θ) over the interval

(0, 2π).

23

• Example: If f (θ) = 1 on (0, π) and −1 on (π, 2π), and radius r = 1, then compute

u(r, θ).

Answer:

We compute the Fourier series of f (θ) =∑

n=odd

4

nπ

sinnθ.

Thus a

n

= 0 for all n. Hence

u(r, θ) =

a

0

2

+

∞

∑

n=1

(a

n

cosnθ+b

n

sinnθ)r

n

=

∑

n=odd

4

nπ

r

n

sinnθ

• Remark: Intuitively, in the above example u(r, 0) = 0, which is consistent with the

solution: If θ = 0 or π,

u(r, θ) =

∑

n=odd

4

nπ

r

n

sinnθ = 0

• Remark: In the above example, if we change the boundary condition to f (θ) = 1 on

(0, 2π), then intuitively, u(r, θ) =1 everywhere by symmetry. This is consistent with the

actual solution to BVP: In this case, the Fourier coefﬁcients of f are a

0

= 2, a

n

= b

n

= 0

for all n ≥1. Thus u(r, θ) = 1 for all 0 < r < 1 and 0 <θ < 2π.

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