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Partial Differential Equations (PDE)

(Chp. 11)
A PDE is a type of differential equation involving
1)
an unknown function of
2)
several
independent variables and their
3)
partial derivatives .
ODE PDE

The straight `d`s and curly ``s give it a way if used properly. The real test is whether the dependent
variable (function) depends on just one or more independent variables.
Linear vs. non-linear
Linear differential equations do not contain the nonlinear terms which include the
multiplications of the unknown function and its derivatives. Example,
2 2 2 3
3
3
2
3 ; cos ) ( 4 ; cos sin
) , (
y
dx
dy
x e y
dx
dy
x
dx
y d
x y y x
x
y x f
x
+
,
_



y'' + 2y' + e
y
= x is nonlinear because of e
y
.
Any linear ordinary differential equation of degree n can be written as
a0(x)y
(n)
+ a1(x)y
(n-1)
+ ... + an-1(x)y
'
+ an(x)y = g(x)
g(x) is called the force term including no function and its derivatives.
Homogeneous vs. heterogeneous
A differential equation is homogeneous if it contains no force term g(x) = 0 otherwise it is heterogeneous.
Heterogeneous homogeneous

Solution Structure (easy to prove)
For a linear homogeneous equation: any linear combination of special solutions is also a solution.
For a linear heterogeneous equation, its general solution is the corresponding homogeneous equation plus a
special solution of the heterogeneous equation. Therefore, solving a heterogeneous differential equation
usually involves 1) finding the general solution for the corresponding homogeneous equation and 2) find a
special solution for the heterogeneous equation.
Superposition Principle (Linearity): Assume two different solutions of a differential equation, u1 and u2,
have been found. Then the equation is said to have superposition (linearity) if the linear combination u =
c1u1 + c2u2 is also a solution of the equation. A linear homogeneous differential equation obeys the
superposition principle.
1
Classification of the second-order, two-independent-variable PDE with constant coefficients (linear)
) , (
) , ( ) , ( ) , ( ) , ( ) , (
2
2 2
2
2
y x F
y
y x f
e
x
y x f
d
y
y x f
c
y x
y x f
b
x
y x f
a

Classify into 3 types using (b


2
-4ac) and name them following the conic sections of a quadratic function:
c bx ax y + +
2

b
2
-4ac > 0 Hyperbolic (Wave propagation)
b
2
-4ac = 0 Parabolic (Diffusion)
b
2
-4ac < 0 Elliptic (Laplaces eq.)
The solution for each of these equation types is quite different:
Hyperbolic equations produce a propagating disturbance (i.e., the waves) in time and space
Wave:
2
2
2
2
2
) , ( ) , (
x
t x u
c
t
t x u

need 2 initial conditions plus 2 boundary conditions


Parabolic equations produce a smooth-spreading flow (such as the heat/mass diffusion flow of an initial
disturbance) to approaches the systems stationary status.
Diffusion:
2
2
2
) , ( ) , (
x
t x u
c
t
t x u

need 1 initial condition plus 2 boundary conditions


Elliptic equations produce the stationary and energy-minimized state for a system under given boundary
conditions.
Laplaces:
1
) , ( ) , (
2
2
2
2

y
y x u
x
y x u
with 2 boundary conditions
A PDE requires sufficient number of boundary conditions and initial conditions to determine the solution.
Two questions that we will be asking repeatedly of a differential equation in this course are
2
Wave Equation Example the vibrations of an elastic string
Derive the Eq.: Place a string on the x-axis, stretch it to length L, and fix it at two ends x = 0 and x = L.
Assume that the string points can make no horizontal (x-direction) but vertical (transverse) movement.
Let the transverse displacement function u(x, t) to describe the string movement at any point at any time.
Conditions to set the physical system:
a) Boundary conditions x = 0, u(0, t) = 0; x = L, u(L,0) = 0
b) Initial conditions: Distort the string at t = 0 with
a) A initial shape is given u(x, 0) = f(x) ( f(x) is given)
b) The initial velocity at each point is given
) (
) , (
0
x g
t
t x u
t

(g(x) is given)
Find the movement of the string, i.e., to determine the function u(x, t).
(1) Apply a physical law to a small portion of the string [called differential element] to obtain the
differential equation.
Consider Newtons second law on the small portion which has the length of dx and is located at an arbitrary
point x (0 < x < L) [without loss of generality]. The forces cause the movement of dx is the tensions, T1 and
T2 on the ends of the portion that are tangential to the curve at the acting points.
In the xdirection, dx has no movement,


cos
;
cos
n) tensio horizontal (constant cos cos cos cos
1 2
1 2 1 2
T
T
T
T
T T T T T
In the direction perpendicular to x, dx movement is described by u(x, t),

) , (
) ( tan tan
tan sin and tan
cos
sin
sin Replace
] [
) , (
sin sin
2
2
1 2
2
2
1 2
t
t x u
T
dx
T T T T T
ma F
t
t x u
dx T T


From the geometric relation (curve tangent)
function the is Let
) ( ) ( : Formula Taylor
tan tan tan , tan
2
2
, end - left
dx
x
u
x
u
x
u
f
x
u
f
dx
dx
df
f f dx
dx
df
x f dx x f
x
u
x
u
x
u
x
u
x dx x
x
x x dx x x
x
x dx x end right dx x x

+ +


+
+
+ +
2
2
2
2
) , ( ) , (
t
t x u
T x
t u u


2
2
2
2
) , ( ) , (
t
t x u
T x
t u u

3
0
L
f(x)
g(x)
x
Initial velocity
Initial shape
0
0
L x
dx
T
2
u
T
1

x
] [ wave of velocity /
Finally
2
2
2
2
2
m/s T c
x
u
c
t
u

Specify the boundary and initial conditions:


BC: u(0, t) = 0 and u(L, t) = 0
IC: at t = 0, shape
) ( velocity ; ) ( ) 0 , (
0
x g
t
u
x f x u
t

Notice that the physically meaningful solution is only for the interval [0, L] where the real string is located,
but a mathematical solution will apply for - x +. As long as the solution in [0, L] is satisfied, we
will accept it.
Strategy of classic solution
(1) Assume u(x, t) is a product of two functions: one is a function of x, another is a function of t :
u(x, t) = F(x)G(t)
Put u(x, t) = F(x)G(t) into the equation:

) (
) (
) (
) (

) (
) (
) (
) (
) (
) (
) (
) (
) (
) ( ) , (
and ) (
) ( ) , (

2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
x F
x F
t G c
t G
x F
dx
x F d
t G c
dt
t G d
t G
dx
x F d
c x F
dt
t G d
t G
dx
x F d
x
t x u
x F
dt
t G d
t
t x u
xx tt

Because F(x) and G(t) are single independent functions, the above equation must equal a constant!

'




0 ) ( ) (
0 ) ( ) (
.) (const
) (
) (
) (
) (

2
2
t kG c t G
x kF x F
k
x F
x F
t G c
t G
tt
xx
xx tt
(2) Solve F(x) that satisfies the boundary conditions given to u(x, t),

(3) Expand the given initial shape and speed functions (f(x) and g(x) ) into their Fourier series (only sin and
cos functions) then match them.
(1)

(2) Solve F(x) with the original boundary conditions given to u(x, t)
u(0, t) = F(0)G(t) with G(t) 0 F(0) = 0, also from u(L, t) = 0 F(L) = 0.
Therefore,
0 ) ( ) 0 ( with 0 L F F kF F
xx
Try a general solution form: . cos sin ) (
2 1
x C x C x F +
4

,.... 2 , 1 ) sin( sin ) ( ) ( then, (?) 0
0 sin sin ) ( 0 from
sin ) ( sin sin 0 sin 0 ) (
solution) in the term cosine (no sin ) ( 0 0 0 cos 0 sin 0 ) 0 (
: conditions boundary the using and , , determine To
2
1
1
2
1
1 1
1 2 2 1
2 1

n x k x
L
n
x F
L
n
k C
x
L
n
kC x
L
n
L
n
C kF F
L
x n
C x F
L
n
n L L C L F
x C x F C C C F
C C
n
xx
Now C1, C2, , and k are all solved.
Note,there are infinite solutions Fn(x) (n =1,2,) satisfy the F(x) equation and the boundary conditions.

L
x n
t G x F t G t x u
n

sin ) ( ) ( ) ( ) , ( means That can satisfy the boundary conditions with


any G(x) and n.
(3) Solve G(t) to match its equation and the initial conditions of u(x, t)


)! of function a is ) ( ), ( for 0 ) ( ) (
0 ) ( ) ( ) ( 0 ) ( ) (
n
2
2 2 2
n x G
L
cn
t G t G
t G
L
n
c t G t kG c t G
n n tt
tt tt
+

+
Similar to F(x), the general solution form of G(t) is:
) determined be to ' , and ( sin cos ) (
n n n n n n n
B B n t B t B t G +
Put the G(t) unsolved solution and F(x) solved solution into u(x, t)
) )(sin sin cos ( ) ( ) ( ) , ( x
L
n
t B t B x F t G t x u
n n n n n n

+
Apply the first initial condition:

any value ) ( sin ) ( ) (sin ) sin cos ( ) ( ) 0 , (
'
0

n n
t
n n n n
B x f x
L
n
B x f x
L
n
t B t B x f x u
Apply the second initial condition:

) ( sin ' ) (sin ) cos sin ( ) ( ) 0 , ( '
0
x g x
L
n
B g(x) x
L
n
t B t B x g x u
n n
t
n n n n n n

For any given functions g(x), it is impossible to use one sine function, a series of sine function is
needed:
1. For Bn to satisfy the 1
st
initial condition: the given shape f(x) ) ( sin
?
x f x
L
n
B
n


Notice that f(x) is given in [0, L]. According to the Fourier series, if f(x) is expanded oddly into [-L , L]
then, a new function

'

0 - ) (
0 ) (
) ( *
x L x f
L x x f
x f in [-L, L] but in [0, L] f*(x) = f(x) then we expand f*(x) into the
Fourier series ONLY use the result in [0, L]. The Fourier series for f*(x) is,
5


1
*
sin ) (
n
n
x
L
n
b x f

Compare with
) ( sin
?
x f x
L
n
B
n


Bn = bn
For
) ( sin '
?
x g x
L
n
B
n n

, we calculate


1
*
sin ) (
n
n
x
L
n
b x g
to obtain bn then
n n n
b B '
.
Final result

) ( ) ( ) , ( x F t G t x u


1
) ( ) ( ) , (
n
n n
x F t G t x u

1 1
. ) )(sin sin cos ( ) ( ) ( ) , (
n
n n n n
n
n n
x
L
n
t B t B x F t G t x u
Use the initial condition
) ( sin ) ( ) (sin ) sin cos ( ) ( ) 0 , (
1 1
0
x f x
L
n
B x f x
L
n
t B t B x f x u
n
n
n
t
n n n n



L L
L n n
n dx
L
x n
x f
L
xdx
L
n
x f
L
b B
0
2,.... , 1 sin ) (
2
sin ) (
1

Integrals over [-L, 0] and over [0, L] are the same
For the second initial condition:
2,... 1, sin ) (
2
sin ) (
2
) ( sin ) ( ) ( sin ) cos sin (
0 0
1
0
1
0

n xdx
L
n
x g
cn
B xdx
L
n
x g
L
B
x g x
L
n
B x g
L
x n
t B t B
t
u
L
n
L
n n
n
n
n
t
n
n n n n n n
t
Final results

L L
n
n n
n
n
n
n
dx
L
x n
x g
L
B dx
L
x n
x f
L
B
L
x n
L
t cn
B
L
x n
L
t cn
B t x u
0 0
1 1
consts, sin ) (
2
' consts, sin ) (
2
sin sin ' sin cos ) , (
6

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