10th INDO-GERMAN WINTER ACADEMY 2011

Classification of Partial Differential Equations and their solution characteristics

Presented by: Akhilesh Kumawat Indian Institute of Technology Roorkee

Outline
Introduction Classification of PDEs Hyperbolic PDE

Parabolic PDE
Elliptic PDE Numerical Methods References

Introduction

What are Partial Differential Equations?

General form of Partial Differential Equation: F(x, y, , u, ux, uy, .., uxx, uyy, uxy, ) = 0

Introduction (contd.)

Order of a PDE : order of the highest order derivative in the equation

Linearity : A PDE is linear if it is linear in the unknown function and all its derivatives with coefficients depending only on the independent variables
Homogeneity : A PDE is called homogeneous if the equation does not contain a term independent of the unknown function and its derivatives.

Some examples

Laplace Equation: 2u = uxx + uyy + uzz = 0 Heat Equation: ut = a2u Wave Equation: utt= a22u Schrdinger Wave Equation Navier-Stokes Equation fluid flow (fluid velocity & pressure)

ODE v PDE

PDE
A relatively simple partial differential equation is ux(x, y)=0

ODE
The analogous ordinary differential equation is u(x)=0

General solution of the above equation is

General solution of the above equation is

u(x, y)=f(y)

u(x)=c

General solution involves arbitrary functions

General solution involves arbitrary constants

Well Posedness

A problem is called well posed, if it satisfies all the following criteria : Existence Uniqueness Stability

Boundary and initial conditions

A boundary condition expresses the behavior of a function on the boundary (border) of its area of definition. An initial condition refers to the behavior of function at time t=to

Three kinds of boundary conditions: Dirichlet conditions with u = f on R Neumann conditions with d/dn(u) = f or d/ds(u) = g on R Mixed (Robin) conditions d/dn(u) + ku = f, k > 0, on R.

Classification

Elliptic Partial Differential Equations

Hyperbolic Partial Differential Equations

Parabolic Partial Differential Equations

Classification

General Formula Auxx + Buxy + Cuyy + Dux +Euy + Fu + G = 0 The discriminant d=B2 (x0, y0) 4A(x0, y0)C(x0, y0)

The PDE is Elliptic if B2-4AC <0 Parabolic if B2-4AC=0 Hyperbolic if B2-4AC >0

Canonical Form

Transformation of independent variables x and y of eq.(1) to new variables , , where = (x, y), = (x, y)
i. Elliptic: u + u =(, , u, u, u ) ii. Parabolic: u = (, , u, u, u ) or u = (, , u, u, u ) iii. Hyperbolic: u u = (, , u, u, u ) or u = (, , u, u, u )

Characteristics

Consider L[u]=f(x, y, u, ux, uy) --(2) where L[u] = a(x, y) uxx + b(x, y) uxy + c(x, y) uyy L[u] is the principle part of the equation =(x, y), =(x, y) Transformed equation: M*u] = g(, , u, u, u ) with principle part M[u]=A(, ) u + B(, ) u + C(, ) u where A=ax2 + bxy + cy2 B=2axx + b(xy + yx) + 2cyy C=ax2+ bxy+ cy2

Characteristics
An integral of an ordinary differential equation is a function whose level curves, (x, y)=k, characterize solutions of the equation implicitly. a(x, y)x2 + b(x, y) xy + c(x, y) y2=0 iff is an integral of the ordinary differential equation a(x, y) yxx - b(x, y) yx + c(x, y)=0 --(3) => yx = [b(x, y) {b2 (x, y) 4a(x, y)c(x, y)} 1/2]/2a An integral curve, (x, y)=k, of (3) is a characteristic curve, and (3) is called the characteristic equation for the partial differential equation (2)

Characteristics

Therefore,
i. Elliptic partial differential equations have no characteristic curves ii. Parabolic partial differential equations have a single characteristic curve iii. Hyperbolic partial differential equations have two characteristic curves

Physical interpretation

Propagation problems lead to parabolic or hyperbolic PDEs. Equilibrium equations lead to elliptic PDE. Most fluid equations with an explicit time dependence are Hyperbolic PDEs For dissipation problem, Parabolic PDEs

Hyperbolic PDEs

Characteristics-two characteristics B2-4AC > 0 Hyperbolic equations produce a propagating disturbance

The simplest example of a hyperbolic equation is the wave equation, utt - uxx = 0, where the variables t and x play the role of time and the spatial coordinate

Hyperbolic PDEs

This equation is also known as the equation of vibration of a string. It is often encountered in elasticity, aerodynamics, acoustics, and electrodynamics The general solution of the wave equation is u(x,t) = F(x-ct) + G(x+ct)

This solution has the physical interpretation of two traveling waves of arbitrary shape that propagate to the right and to the left along the -axis with a constant speed equal to c.

Hyperbolic PDEs
Region of influence: Part of domain, between the characteristic curves, from point P to away from the initial data line Region of dependence: Part of domain, between the characteristic curves, from the initial data line to the point P

Hyperbolic PDEs
Examples: i. utt =a2uxx wave equation (linear wave equation) utt =a2uxx + f(x, t) non-homogeneous wave equation

ii.

iii. utt=a2uxx bu Klein-Gordon equation iv. utt=a2uxx bu + f(x, t) non-homogeneous Klein-Gordon equation

Hyperbolic PDEs

v. utt =a2 (urr + (1/r) ur) + g(r, t) nonhomogeneous wave equation with axial symmetry vi. utt =a2 (urr + (2/r) ur) + g(r, t) non- nonhomogeneous wave equation with central symmetry vii. utt + kut=a2uxx + bw Telegraph equation

Hyperbolic PDEs
DAlemberts solution Change coordinates from x and t to and Thus Hence

Hyperbolic PDEs

Solving the above equations, we get Integrating w.r.t. ,

where is g() an arbitrary function of , Integrating w.r.t , where is F() an arbitrary function of

Finally in terms of x and y,

Physical problem

An elastic string is stretched between two horizontal supports that are separated by length l. The PDE defines vertical displacement of the string at time t. (We are assuming that when we pluck the string, it only vibrates in one direction.)

Parabolic PDEs

Characteristics-only one characteristic

B2-4AC = 0 Initial Conditions- Dirichlet condition Boundary Conditions- mixed conditions

Parabolic PDEs
Equations that are parabolic at every point can be transformed into a form analogous to the heat equation by a change of independent variables. Solutions smooth out as the transformed time variable increases
Region of influence: Part of domain away from initial data line from the characteristic curve

Region of dependence: Part of domain from the initial data line to the characteristic curve

Parabolic PDEs
Examples: i. ut=auxx heat equation (linear heat equation) ii. ut=auxx + f(x, t) non-homogeneous heat Equation
iii. ut=auxx + bux+ cu + f(x, t) convective heat equation with a source

iv. ut=a(urr + (1/r) ur) heat equation with axial symmetry

Parabolic PDEs

v. ut=a(urr + (1/r) ur) + g(r, t) heat equation with axial symmetry (with a source)
vi. ut=a(urr + (2/r) ur) heat equation with central Symmetry vii. ut=a(urr + (2/r) ur) + g(r, t) heat equation with central symmetry (with a source)

viii.iut=-(2/2m) uxx + h(x)u Schrodinger equation (linear schrodinger equation)

Parabolic PDEs
Solution of heat equation : The general Equation

Boundary conditions Initial conditionsLet On substitution we get

Where k is separation constant. So we have With solution

Parabolic PDEs

It is obviously unphysical for the temperature to increase in time without any additional heating mechanism and so we must assume that k is negative =>
which is the simple harmonic motion equation with trigonometric solutions. Thus the solution Applying initial and boundary conditions, we get

Physical problem

Consider a rod of length l that is perfectly insulated. We want to examine the flow of heat along the rod over time.
The two ends of the rod are held at 0 deg C. We denote heat as temperature, and seek the solution to the equation u(x, t): the temperature of x at time t > 0.

Elliptic PDEs

Characteristics-no real characteristics

B2-4AC < 0 Initial Conditions-no initial conditions Boundary Conditions-any type

Elliptic PDEs
Solutions of elliptic PDEs are as smooth as the coefficients allow, within the interior of the region where the equation and solutions are defined. For example, solutions of Laplace's equation are analytic within the domain where they are defined, but solutions may assume boundary values that are not smooth.
Region of Influence: Entire domain Region of Dependence: Entire domain

Elliptic PDEs

1. Laplace equation 2 u = 0. This is a very common and important equation that occurs in the studies of (a) electromagnetism including electrostatics, dielectrics, steady currents, and magneto statics; (b) hydrodynamics (irrotatinal flow of perfect fluid and surface waves); (c) heat flow; (d) gravitation.

Elliptic PDEs
NUMERICAL SOLUTION TO LAPLACE EQUATION Finite Difference Method Finite-difference methods superimpose a regular grid on the region of interest Approximate Laplaces equation at each grid-point The resulting equations are solved by iteration Finite Elements Method divide the problem of interest into a mesh of geometric shapes called finite elements. The potential within an element is described by a function that depends on its values at the cell corners and parameters defining the state of the element Several such cells are assembled to solve the entire problem. The solution can be refined by subdividing the regions of the mesh

Elliptic PDEs
2 . Poisson Equation: u + =0 The two dimensional Poisson equation has the following form: uxx + uyy + f(x, y) = 0 (Cartesian coordinate system) (1/r)(rur) r +(1/r2) uvv + g(r, v) = 0 (polar coordinate system)
Poissons equation is a partial differential equation with broad utility in electrostatics, mechanical engineering and theoretical physics. E.g. In electrostatics: V=-/

Elliptic PDEs
3.Helmholtz Equation: The wave (Helmholtz) and time-independent diffusion equation is of the form uxx + uyy + u = -f(x, y) (Cartesian form) (1/r)(rur) t+(1/r2) uvv + u=-g(r, v) (Cylindrical form) These equations appear in such diverse phenomena as (a) elastic waves in solids including vibrating strings, bars, membranes; (b) sound or acoustics; (c) electromagnetics waves; (d) nuclear reactors.

Elliptic PDEs
Analytic functions: The real and imaginary parts of a complex analytic function both satisfy the Laplace equation. If f(x + i y)=u(x, y) + i v(x, y) is an analytic function, then uxx + uyy =0, vxx + vyy =0 The close connection between the Laplace equation and analytic functions implies that any solution of the Laplace equation has derivatives of all orders, and can be expanded in a power series, at least inside a circle that does not enclose a singularity.

Physical problem

Elliptic Partial Differential Equation Consider a thin metal square plate with dimensions 0.5 meters by 0.5 meters. Two adjacent boundaries are held at a constant 0 deg C. The heat on the other two boundaries increases linearly from 0 deg C to 100 deg C. We want to know what the temperature is at each point when the temperature of the metal has reached steady-state.

Numerical Methods

Objective: Speed, Accuracy at minimum cost Numerical Accuracy (error analysis) Numerical Stability (stability analysis) Numerical Efficiency (minimize cost) Validation (model/prototype data, field data, analytic solution, theory, asymptotic solution Reliability and Flexibility (reduce preparation and debugging time) Flow Visualization (graphics and animations)

Discretization
Time derivatives Almost exclusively by finite-difference methods

Spatial derivatives Finite-difference: Taylor-series expansion Finite-element: low-order shape function and interpolation function, continuous within each element Finite-volume: integral form of PDE in each control volume There are also other methods, e.g. collocation, Spectral method, spectral element, panel Method, boundary element method

Conclusion

General relation between the physical problems and the type of PDEs Propagation problems lead to parabolic or hyperbolic PDEs. Equilibrium equations lead to elliptic PDE. Most fluid equations with an explicit time dependence are Hyperbolic PDEs For dissipation problem, Parabolic PDEs

References References

Numerical Methods for Elliptic and Parabolic Partial Differential Equations by Peter Knabner Lutz Angermann

An Introduction to partial Differential Equations by Yehuda Pinchover and Jacob Rubinstein

Last years lectures Partial Differential Equations by Kreyzig