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Topic 9
Partial Differential Equations (PDEs)
Lectures 37-39
KFUPM
(Term 101)
Section 04
CISE301_Topic9 1
Lecture 37
Partial Differential Equations
Partial Differential Equations (PDEs).
What is a PDE?
Examples of Important PDEs.
Classification of PDEs.
CISE301_Topic9 2
Partial Differential Equations
A partial differential equation (PDE) is an
equation that involves an unknown function
and its partial derivatives.
Example :
2 u ( x, t ) u ( x, t )
2
x t
PDE involves two or more independent variables
(in the example x and t are independent variables)
CISE301_Topic9 3
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.
CISE301_Topic9 4
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 2 3 utt 0
u xx 2 u xt 3 ut 0
2 u xx 2 u xt ut 3 ut 0
CISE301_Topic9 5
Representing the Solution of a PDE
(Two Independent Variables)
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 variable
of the function is
displayed at grid
points
CISE301_Topic9 6
Heat Equation Different curve is
used for each value
of t
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,0) sin( x)
CISE301_Topic9 7
Examples of PDEs
PDEs are used to model many systems in
many different fields of science and
engineering.
Important Examples:
Laplace Equation
Heat Equation
Wave Equation
CISE301_Topic9 8
Laplace Equation
2u ( x , y , z ) 2u ( x , y , z ) 2u ( x , y , z )
2
2
2
0
x y z
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.
CISE301_Topic9 9
Heat Equation
u( x, y , z, t ) 2u 2 u 2u
2 2 2
t x y z
CISE301_Topic9 11
Wave Equation
2u ( x , y , z , t ) 2
u 2
u 2
u
2
c 2 2 2
2
t x y z
CISE301_Topic9 12
Classification of PDEs
Linear Second order PDEs are important
sets of equations that are used to model
many systems in many different fields of
science and engineering.
CISE301_Topic9 17
The Solution Methods for PDEs
Analytic solutions are possible for simple
and special (idealized) cases only.
CISE301_Topic9 19
Parabolic Equations
A second order linear PDE (2 - independent variables x , y )
A u xx B u xy C u yy D 0,
A, B, and C are functions of x and y
D is a function of x, y, u, u x , and u y
is parabolic if B 2 4 AC 0
CISE301_Topic9 20
Parabolic Problems
T ( x, t ) 2 T ( x, t )
Heat Equation :
t x 2
T (0, t ) T (1, t ) 0
T ( x,0) sin( x ) ice ice
* Parabolic problem ( B 2 4 AC 0)
* Boundary conditions are needed to uniquely specify a solution.
CISE301_Topic9 21
Finite Difference Methods
Divide the interval x into sub-intervals,
each of width h
Divide the interval t into sub-intervals,
each of width k
t
A grid of points is used for
CISE301_Topic9 24
Explicit Method
T ( x, t ) 2T ( x, t )
t x 2
T ( x, t k ) T ( x, t ) T ( x h, t ) 2T ( x, t ) T ( x h, t )
k h2
k
T ( x, t k ) T ( x, t ) 2 T ( x h, t ) 2T ( x, t ) T ( x h, t )
h
k
Define 2
h
T ( x, t k ) T ( x h, t ) (1 2 ) T ( x, t ) T ( x h, t )
CISE301_Topic9 25
Explicit Method
How Do We Compute?
T ( x, t k ) T ( x h, t ) (1 2 ) T ( x, t ) T ( x h, t )
means
T(x,t+k)
CISE301_Topic9 26
Convergence and Stability
T ( x, t k ) can be computed directly using :
T ( x, t k ) T ( x h, t ) (1 2 ) T ( x, t ) T ( x h, t )
CISE301_Topic9 27
Convergence and Stability of the Solution
Convergence
The solutions converge means that the
solution obtained using the finite difference
method approaches the true solution as the
steps x and t approach zero.
Stability:
An algorithm is stable if the errors at each
stage of the computation are not magnified
as the computation progresses.
CISE301_Topic9 28
Example 1: Heat Equation
Solve the PDE :
2u(x,t) u(x,t)
2
0
x t
u(0, t ) u(1, t ) 0
ice ice
u( x,0) sin( x )
x
u ( x , t k ) 4 u ( x h , t ) 7 u ( x , t ) 4 u ( x h, t )
CISE301_Topic9 30
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)
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)
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)
CISE301_Topic9 34
Example 1 – cont’d
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)
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)
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)
CISE301_Topic9 38
Crank-Nicolson Method
Based on the finite difference method
1. Divide the interval x into subintervals of width h
2. Divide the interval t into subintervals of width k
3. Replace the first and second partial derivatives with their
backward and central difference formulas respectively :
u( x, t ) u( x, t ) u ( x, t k )
t k
2 u ( x , t ) u ( x h , t ) 2u ( x , t ) u ( x h , t )
2
x h2
CISE301_Topic9 39
Crank-Nicolson Method
2 u( x, t ) u ( x, t )
Heat Equation : 2
becomes
x t
u ( x h , t ) 2u ( x , t ) u ( x h , t ) u ( x , t ) u ( x , t k )
2
h k
k
2
u ( x h , t ) 2u ( x , t ) u ( x h , t ) u ( x , t ) u ( x , t k )
h
k k k
2 u ( x h, t ) (1 2 2 ) u ( x, t ) 2 u( x h, t ) u ( x, t k )
h h h
CISE301_Topic9 40
Crank-Nicolson Method
k
Define 2 then Heat equation becomes :
h
u( x h, t ) (1 2 ) u( x, t ) u ( x h, t ) u( x, t k )
u(x,t - k)
CISE301_Topic9 41
Crank-Nicolson Method
The equation :
u( x h, t ) (1 2 ) u( x, t ) u( x h, t ) u( x, t k )
can be rewritten as :
ui 1, j (1 2 ) ui , j ui 1, j ui , j 1
and can be expanded as a system of equations (fix j 1) :
u0,1 (1 2 ) u1,1 u2,1 u1,0
u1,1 (1 2 ) u2,1 u3,1 u2,0
u2,1 (1 2 ) u3,1 u4,1 u3,0
u3,1 (1 2 ) u4,1 u5,1 u4,0
CISE301_Topic9 42
Crank-Nicolson Method
u( x h, t ) (1 2 ) u( x, t ) u( x h, t ) u( x, t k )
can be expressed as a Tridiagonal system of equations :
1 2 u1,1 u1,0 u0,1
1 2 u u
2,1 2, 0
1 2 u3,1 u3,0
u u u
1 2 4,1 4,0 5,1
where u1,0 , u2,0 , u3,0 , and u4,0 are the initial temperature values
at x x0 h, x0 2h, x0 3h, and x0 4h
u0,1 and u5,1 are the boundary values at x x0 and x0 5h
CISE301_Topic9 43
Crank-Nicolson Method
The solution of the tridiagonal system produces :
The temperature values u1,1, u2,1, u3,1 , and u4,1 at t t0 k
To compute the temperature values at t t0 2k
Solve a second tridiagonal system of equations ( j 2)
1 2 u1,2 u1,1 u0,2
1 2 u u
2, 2 2 ,1
1 2 u3,2 u3,1
1 2 u
4,2 4,1u u5, 2
CISE301_Topic9 45
Example 2
Crank-Nicolson Method
2 u( x, t ) u( x, t )
2
0
x 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
k
Define 2 4
h
4 u ( x h, t ) 9 u ( x , t ) 4 u ( x h , t ) u ( x , t k )
4 ui 1, j 9 ui , j 4 ui 1, j ui , j 1
CISE301_Topic9 46
Example 2
4u0,1 9u1,1 4u2,1 u1,0 9u1,1 4u2,1 sin( / 4)
4u1,1 9u2,1 4u3,1 u2,0 4u1,1 9u2,1 4u3,1 sin( / 2)
4u2,1 9u3,1 4u4,1 u3,0 4u2,1 9u3,1 sin(3 / 4)
u1,4 u2,4 u3,4
t4=1.0 0 0
u1,3 u2,3 u3,3
t3=0.75 0 0
u1,2 u2,2 u3,2
t2=0.5 0 0
u1,1 u2,1 u3,1
t1=0.25 0 0
t0=0 0 0
Sin(0.25π) Sin(0. 5π) Sin(0.75π)
x0=0.0 x1=0.25 x2=0.5 x3=0.75 x4=1.0
CISE301_Topic9 47
Example 2
Solution of Row 1 at t1=0.25 sec
The Solution of the PDE at t1 0.25 sec is the solution
of the following tridiagonal system of equations :
9 4 u1,1 sin(0.25 )
4 9 4 u sin(0.5 )
2,1
4 9 u3,1 sin(0.75 )
u1,1 0.21151
u2,1 0.29912
u3,1 0.21151
CISE301_Topic9 48
Example 2:
Second Row at t2=0.5 sec
4u0,2 9u1,2 4u2,2 u1,1 9u1,2 4u2,2 0.21151
4u1,2 9u2,2 4u3,2 u2,1 4u1,2 9u2,2 4u3,2 0.29912
4u2,2 9u3,2 4u4,2 u3,1 4u2,2 9u3,2 0.21151
u1,4 u2,4 u3,4
t4=1.0 0 0
u1,3 u2,3 u3,3
t3=0.75 0 0
u1,2 u2,2 u3,2
t2=0.5 0 0
u1,1 u2,1 u3,1
t1=0.25 0 0
t0=0 0 0
Sin(0.25π) Sin(0. 5π) Sin(0.75π)
x0=0.0 x1=0.25 x2=0.5 x3=0.75 x4=1.0
CISE301_Topic9 49
Example 2
Solution of Row 2 at t2=0.5 sec
The Solution of the PDE at t2 0.5 sec is the solution
of the following tridiagonal system of equations :
9 4 u1, 2 u1,1 0.21151
4 9 4 u u 0.29912
2, 2 2,1
4 9 u3,2 u3,1 0.21151
u1, 2 0.063267
u2, 2 0.089473
u3,2 0.063267
CISE301_Topic9 50
Example 2
Solution of Row 3 at t3=0.75 sec
Cranks Nicolson:
• Requires the solution of a Tridiagonal system.
• Stable (Larger k can be used).
CISE301_Topic9 53
Lecture 39
Elliptic Equations
Elliptic Equations
Laplace Equation
Solution
CISE301_Topic9 54
Elliptic Equations
A second order linear PDE (2 - independent variables x , y )
A u xx B u xy C u yy D 0,
A, B, and C are functions of x and y
D is a function of x, y , u, ux , and u y
is Elliptic if B 2 4 AC 0
CISE301_Topic9 55
Laplace Equation
Laplace equation appears in several
engineering problems such as:
Studying the steady state distribution of heat in a
body.
Studying the steady state distribution of electrical
charge in a body.
2 2
T ( x, y ) T ( x, y )
2
2
f ( x, y )
x y
T : steady state temperatu re at point (x, y)
f ( x, y ) : heat source (or heat sink)
CISE301_Topic9 56
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
CISE301_Topic9 57
Solution Technique
A grid is used to divide the region of
interest.
Since the PDE is satisfied at each point in
the area, it must be satisfied at each point
of the grid.
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
CISE301_Topic9 58
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
CISE301_Topic9 59
Solution Technique
Ti 1, j 2Ti , j Ti 1, j Ti , j 1 2Ti , j Ti , j 1
0
x 2
y 2
Ti 1, j Ti , j Ti 1, j
Ti , j 1
75 50
Example To be determined
T1, 2 T2, 2
T0, 2 75
CISE301_Topic9 64
Known
CISE301_Topic9 65
Solution
The Rest of the Equations
4 1 0 1 T1,1 75
1 4 1 0 1 T2,1 0
0 1 4 0 0 1 T 50
3,1
1 0 0 4 1 0 1 T1, 2 75
1 0 1 4 1 0 1 T 0
2, 2
1 0 1 4 0 0 1 T3,2 50
1 0 0 4 1 0 T 175
1,3
1 0 1 4 1 T2,3 100
1 0 1 4 T
3,3 150
CISE301_Topic9 66