Review Parabolic PDEs Summary

PARABOLIC PDE S
Dr. Johnson
School of Mathematics

Semester 1 2008

university-log

Dr. Johnson

MATH65241

Review Parabolic PDEs Summary

O UTLINE

R EVIEW PARABOLIC PDE S

Examples The Heat Equation Explicit Method Implicit Method

S UMMARY

university-log

Dr. Johnson

MATH65241

Review Parabolic PDEs Summary

O UTLINE

R EVIEW PARABOLIC PDE S

Examples The Heat Equation Explicit Method Implicit Method

S UMMARY

university-log

Dr. Johnson

MATH65241

Review Parabolic PDEs Summary

O UTLINE

R EVIEW PARABOLIC PDE S

Examples The Heat Equation Explicit Method Implicit Method

S UMMARY

university-log

Dr. Johnson

MATH65241

Review Parabolic PDEs Summary

E LLIPTIC PDE S
Elliptic equations can usually be written in the form wi+1,j 2wi,j + wi1,j wi,j+1 2wi,j + wi,j1 + + = 0, x2 y2 The solution can then be expressed as the solution to the matrix equation Ax = b The general iteration scheme can be written as xk+1 = Pxk + Q

The rate of convergence depends on the spectral radius of university-log the iteration matrix.
Dr. Johnson MATH65241

Review Parabolic PDEs Summary

E LLIPTIC PDE S
Elliptic equations can usually be written in the form wi+1,j 2wi,j + wi1,j wi,j+1 2wi,j + wi,j1 + + = 0, x2 y2 The solution can then be expressed as the solution to the matrix equation Ax = b The general iteration scheme can be written as xk+1 = Pxk + Q

The rate of convergence depends on the spectral radius of university-log the iteration matrix.
Dr. Johnson MATH65241

Review Parabolic PDEs Summary

Examples The Heat Equation Explicit Method Implicit Method

O UTLINE

R EVIEW PARABOLIC PDE S

Examples The Heat Equation Explicit Method Implicit Method

S UMMARY

university-log

Dr. Johnson

MATH65241

Review Parabolic PDEs Summary

Examples The Heat Equation Explicit Method Implicit Method

E XAMPLES
One of the simplest parabolic pde is the diffusion equation which in one space dimensions is u 2 u = 2. t x For two or more space dimensions we have u = 2 u t In the above is some given constant.

university-log

Dr. Johnson

MATH65241

Review Parabolic PDEs Summary

Examples The Heat Equation Explicit Method Implicit Method

E XAMPLES

Another familiar set of parabolic pdes is the boundary layer equations

ux + yy =0, ut + uux + vuy = px + uyy , 0 = py .

university-log

Dr. Johnson

MATH65241

Review Parabolic PDEs Summary

Examples The Heat Equation Explicit Method Implicit Method

O UTLINE

R EVIEW PARABOLIC PDE S

Examples The Heat Equation Explicit Method Implicit Method

S UMMARY

university-log

Dr. Johnson

MATH65241

Review Parabolic PDEs Summary

Examples The Heat Equation Explicit Method Implicit Method

I NITIAL CONDITIONS
For parabolic PDEs we expect, in addition to the boundary conditions, an initial condition at say, t = 0.
t

S x
Dr. Johnson MATH65241

university-log

Review Parabolic PDEs Summary

Examples The Heat Equation Explicit Method Implicit Method

H EAT E QUATION

Let us consider the heat equation u 2 u = 2. t x in the region a x b. Take a uniform mesh in x with xj = a + jx, for j = 0, 1, . . . , n and x = (b a)/n. For the differencing in time we assume a constant step size t so that t = tk = kt.

university-log

Dr. Johnson

MATH65241

Review Parabolic PDEs Summary

Examples The Heat Equation Explicit Method Implicit Method

H EAT E QUATION

Let us consider the heat equation u 2 u = 2. t x in the region a x b. Take a uniform mesh in x with xj = a + jx, for j = 0, 1, . . . , n and x = (b a)/n. For the differencing in time we assume a constant step size t so that t = tk = kt.

university-log

Dr. Johnson

MATH65241

Review Parabolic PDEs Summary

Examples The Heat Equation Explicit Method Implicit Method

H EAT E QUATION

Let us consider the heat equation u 2 u = 2. t x in the region a x b. Take a uniform mesh in x with xj = a + jx, for j = 0, 1, . . . , n and x = (b a)/n. For the differencing in time we assume a constant step size t so that t = tk = kt.

university-log

Dr. Johnson

MATH65241

Review Parabolic PDEs Summary

Examples The Heat Equation Explicit Method Implicit Method

O UTLINE

R EVIEW PARABOLIC PDE S

Examples The Heat Equation Explicit Method Implicit Method

S UMMARY

university-log

Dr. Johnson

MATH65241

Review Parabolic PDEs Summary

Examples The Heat Equation Explicit Method Implicit Method

F IRST ORDER APPROXIMATION

We may approximate our equation by wk+1 wk j j t

wk+1 2wk + wk1 j j j x2

Here wk denotes an approximation to the exact solution j u(x, t) of the pde at x = xj , t = tk . The above scheme is rst order in time O(t) and second order in space O(x)2 . This scheme is explicit because the unknowns at level k + 1 can be computed directly.

university-log

Dr. Johnson

MATH65241

Review Parabolic PDEs Summary

Examples The Heat Equation Explicit Method Implicit Method

F IRST ORDER APPROXIMATION

We may approximate our equation by wk+1 wk j j t

wk+1 2wk + wk1 j j j x2

Here wk denotes an approximation to the exact solution j u(x, t) of the pde at x = xj , t = tk . The above scheme is rst order in time O(t) and second order in space O(x)2 . This scheme is explicit because the unknowns at level k + 1 can be computed directly.

university-log

Dr. Johnson

MATH65241

Review Parabolic PDEs Summary

Examples The Heat Equation Explicit Method Implicit Method

F IRST ORDER APPROXIMATION

We may approximate our equation by wk+1 wk j j t

wk+1 2wk + wk1 j j j x2

Here wk denotes an approximation to the exact solution j u(x, t) of the pde at x = xj , t = tk . The above scheme is rst order in time O(t) and second order in space O(x)2 . This scheme is explicit because the unknowns at level k + 1 can be computed directly.

university-log

Dr. Johnson

MATH65241

Review Parabolic PDEs Summary

Examples The Heat Equation Explicit Method Implicit Method

B OUNDARY CONDITIONS

Let us assume that we are given a suitable initial condition, and boundary conditions of the form u(a, t) = f (t) u(b, t) = g(t). Notice that there is a time lag before the effect of the boundary data is felt on the solution.

university-log

Dr. Johnson

MATH65241

Review Parabolic PDEs Summary

Examples The Heat Equation Explicit Method Implicit Method

S TABILITY C ONDITION
As we will see later this scheme is conditionally stable for where = t . x2 1 2

Note that is sometimes called the Peclet or diffusion number.

university-log

Dr. Johnson

MATH65241

Review Parabolic PDEs Summary

Examples The Heat Equation Explicit Method Implicit Method

O UTLINE

R EVIEW PARABOLIC PDE S

Examples The Heat Equation Explicit Method Implicit Method

S UMMARY

university-log

Dr. Johnson

MATH65241

Review Parabolic PDEs Summary

Examples The Heat Equation Explicit Method Implicit Method

I MPLICIT SCHEME
A better approximation is one which makes use of the most up-to-date information. Taking our approximations at the k + 1 time level we have wk+1 wk j j t
+1 +1 wk+1 2wk+1 + wk1 j j j

x2

university-log

Dr. Johnson

MATH65241

Review Parabolic PDEs Summary

Examples The Heat Equation Explicit Method Implicit Method

I MPLICIT SCHEME
A better approximation is one which makes use of the most up-to-date information. Taking our approximations at the k + 1 time level we have wk+1 wk j j t
+1 +1 wk+1 2wk+1 + wk1 j j j

x2

The unknowns at level k + 1 are coupled together and we have a set of implicit equations to solve.

university-log

Dr. Johnson

MATH65241

Review Parabolic PDEs Summary

Examples The Heat Equation Explicit Method Implicit Method

S YSTEM OF EQUATIONS

Rearrange to get
+1 +1 wk+1 + (1 + 2)wk+1 wk1 = wk , j j j j

for 1 j n 1 Approximation of the boundary conditions gives wk+1 = f (tk+1 ), 0 wk+1 = g(tk+1 ) n

We have a tridiagonal system of equations.

university-log

Dr. Johnson

MATH65241

Review Parabolic PDEs Summary

Examples The Heat Equation Explicit Method Implicit Method

S YSTEM OF EQUATIONS

Rearrange to get
+1 +1 wk+1 + (1 + 2)wk+1 wk1 = wk , j j j j

for 1 j n 1 Approximation of the boundary conditions gives wk+1 = f (tk+1 ), 0 wk+1 = g(tk+1 ) n

We have a tridiagonal system of equations.

university-log

Dr. Johnson

MATH65241

Review Parabolic PDEs Summary

Examples The Heat Equation Explicit Method Implicit Method

P ROPERTIES OF THE SCHEME

We can use direct methods to solve a tridiagonal system of equations. The scheme is only rst order, the same as the explicit scheme. However it is unconditionally stable - there are no restriction on the magnitude of .

university-log

Dr. Johnson

MATH65241

Review Parabolic PDEs Summary

Examples The Heat Equation Explicit Method Implicit Method

P ROPERTIES OF THE SCHEME

We can use direct methods to solve a tridiagonal system of equations. The scheme is only rst order, the same as the explicit scheme. However it is unconditionally stable - there are no restriction on the magnitude of .

university-log

Dr. Johnson

MATH65241

Review Parabolic PDEs Summary

F IRST O RDER M ETHODS FOR PARABOLIC PDE S

The explicit method is the simplest method, taking the difference approximations at tk .
The scheme is rst order in t, The stability condition requires 1/2.

The implicit method takes the difference approximations at tk+1

The scheme is rst order in t, The scheme is unconditionally stable.

Like the modied Euler method for ODEs, we can take our difference equations at tk+1/2 to increase the order of the scheme. Next time - second order schemes. . .
Dr. Johnson MATH65241

university-log

Review Parabolic PDEs Summary

F IRST O RDER M ETHODS FOR PARABOLIC PDE S

The explicit method is the simplest method, taking the difference approximations at tk .
The scheme is rst order in t, The stability condition requires 1/2.

The implicit method takes the difference approximations at tk+1

The scheme is rst order in t, The scheme is unconditionally stable.

Like the modied Euler method for ODEs, we can take our difference equations at tk+1/2 to increase the order of the scheme. Next time - second order schemes. . .
Dr. Johnson MATH65241

university-log

Review Parabolic PDEs Summary

F IRST O RDER M ETHODS FOR PARABOLIC PDE S

The explicit method is the simplest method, taking the difference approximations at tk .
The scheme is rst order in t, The stability condition requires 1/2.

The implicit method takes the difference approximations at tk+1

The scheme is rst order in t, The scheme is unconditionally stable.

Like the modied Euler method for ODEs, we can take our difference equations at tk+1/2 to increase the order of the scheme. Next time - second order schemes. . .
Dr. Johnson MATH65241

university-log