Computational Mechanics 5 - 1 David Apsley

5. PARTIAL DIFFERENTIAL EQUATIONS SPRING 2005

5.1 Introduction
5.2 Characteristics
5.2.1 First-order equations
5.2.2 Second-order wave equation
5.3 Classification of second-order PDEs
5.3.1 Hyperbolic, parabolic and elliptic PDEs
5.3.2 Domain of dependence and boundary conditions


5.1 Introduction

For ordinary differential equations (ODEs) two numerical strategies have been considered:
forward marching the solution is advanced forward, one step at a time;
finite differences derivatives are approximated by algebraic differences and the
solution is obtained for all points simultaneously.
For any given equation, the solution method is determined by the boundary conditions.

It will be shown that essentially the same two types of solution strategy forward-marching
or all-points-simultaneously may be employed for partial differential equations (PDEs).
However, for PDEs, the equation itself determines the required boundary conditions and
hence the type of solution method.

It will be shown that certain second-order PDEs (which are very common in science and
engineering) can be categorised as hyperbolic, parabolic or elliptic, and that these have very
different types of solution and boundary conditions.

Hyperbolic and parabolic equations are solved by forward-marching techniques advancing
forwards in the direction of one independent variable; (in real applications this is usually the
time, t). Thus, these are often referred to as time-marching methods. Elliptic equations arise
where there is no natural preferred direction of propagation; the independent variables are the
physical space coordinates x and y. In these cases, finite-difference methods are used to solve
simultaneously for all points in the domain.


5.2 Characteristics

PDEs are more complex than ODEs because they contain derivatives with respect to more
than one variable. Wouldnt it be nice if some equation manipulation would allow them to be
reduced to ordinary differential equations? Some equations are, indeed, amenable to such
analysis.

Definition: A characteristic is a curve along which a partial differential equation reduces to
an ordinary differential equation.


Computational Mechanics 5 - 2 David Apsley
5.2.1 First-Order Equations

Example. First-order wave equation with constant wave speed c.
0 on ) ( , 0
0
= = =

t x u u
x
u
c
t
u


Suppose that one follows some particular path x(t). Then, along that line, u = u(x(t),t) is a
function of t only and its total derivative with respect to t is

t
x
x
u
t
u
t
u
d
d
d
d

=

Compare with the original differential equation. This is exactly the same as the LHS provided
that the chosen path satisfies
c
t
x
=
d
d

or
const ct x + = .

Along these lines,
0
d
d
=
t
u
(an ordinary differential equation)
Hence, u propagates unchanged along the lines
constant ct x = . Physically, a wave pulse propagates unchanged with wave speed c.

(Note that, although we have written a total derivative du/dt for that particular path, u is
actually a function of both t and the characteristic . Here, = x
0
, the x value at t = 0.)



Example. First-order wave equation with amplitude-dependent wave speed.
0 on ) ( , 0
0
= = =

t x u u
x
u
u
t
u


Along any line x(t), the total derivative of u is

t
x
x
u
t
u
t
u
d
d
d
d

=

Comparing this with the original equation, choose
lines such that dx/dt = u. Then
u
t
x
t
u
= =
d
d
along 0
d
d
.
i.e. u propagates unchanged along lines ut x x + =
0
.

Note that larger-amplitude waves travel faster; in general such waves will steepen (and
eventually break).


t
x
x
0
x +ct

=
c
o
n
s
t
a
n
t
0

t
x
x
0
x +ut
characteristics
0


Computational Mechanics 5 - 3 David Apsley
Example

2 2
) 0 , ( , 3 x x u y x
y
u
x
x
u
= + =

Find u(3,19).


Solution
We require a path y(x) which will take us from the x-axis
where the boundary conditions are known to the point
(3,19).

Along any curve y(x), the total derivative of u is

x
y
y
u
x
u
x
u
d
d
d
d

= .
By comparing with the given equation, one should choose
the path such that
2
3 /d d x x y = . Hence, the characteristics
are the set of curves
C x y + =
3

The particular characteristic passing through the point (3,19)
is
8
3
= x y

Along this characteristic,

8
d
d
3
+ =
+ =
x x
y x
x
u

and hence, along this characteristic, u varies as
C x x x u + + = 8
4
4
1
2
2
1


The curve 8
3
= x y cuts the x axis at x = 2; at this point the boundary conditions give u = 4.
Substituting these values fixes C = 14. Hence, along the characteristic passing through (3,19)
u is given by
14 8
4
4
1
2
2
1
+ + = x x x u
Thus, the value when x = 3 is

4
59
] 14 8 [ ) 19 , 3 (
3
4
4
1
2
2
1
= + + =
= x
x x x u



Exercise for the willing: show that the general solution is

3 / 4 3
4
3
3 / 2 3
2
1
3 4
4
1
2
2
1
) ( ) ( ) ( y x y x x y x x x u + + + + =
(2,0)
(3,19)
characteristics
y
x
u known


Computational Mechanics 5 - 4 David Apsley
General Method of Characteristics For 1
st
-Order PDEs

The general quasi-linear 1
st
-order PDE is
c
y
u
b
x
u
a =

where a, b, c are functions of x, y, u, and the dependent variable u is given on some initial
curve.

Write the equation as

a
c
a
b
y
u
x
u
=

Now, for any curve y(x):

x
y
y
u
x
u
x
u
d
d
d
d

=
Hence if one chooses characteristic curves y(x) such that
a
b
x
y
=
d
d
, then u will evolve along
these curves according to
a
c
x
u
=
d
d
.

All first-order partial differential equations of the form
c
y
u
b
x
u
a =

(where a, b and c may be functions of x, y and u).have a formal solution and characteristics
given by

a
b
x
y
=
d
d
,
a
c
x
u
=
d
d


For completely, general a, b and c these are simultaneous ordinary differential equations,
which may be solved by the forward-marching techniques of section 2.

The solution and characterised are sometimes summarised as

c
u
b
y
a
x d d d
= =

Computational Mechanics 5 - 5 David Apsley
5.2.2 Second-Order Wave Equation

Under certain circumstances (hyperbolic equations see later) 2
nd
-order PDEs in the plane
may be factorised in such a way as to be soluble by the method of characteristics.

Second-order wave equation:
0
1
2
2
2 2
2
=

t
u
c x
u


If c (we shall see later that this is a wave-speed) is constant, this can be factorised as
0 )
1
)(
1
( =

u
t c x t c x
(*)

We attempt to choose and such that

|
.
|

\
|

|
.
|

\
|

t c x t c x
1
2
1
,
1
2
1

(The factors of arent strictly necessary they happen to be convenient for what follows.)
This can readily be achieved by taking
) (
2
1
, ) (
2
1
= + =
c
t x
which can be inverted to give
ct x ct x + = = ,

Substituting into (*) reduces the wave equation to the simple form
0
2
=

u

This may now be integrated twice (first with respect to , along = constant; then with
respect to along = constant):

) ( d ) (
) (
G f u
f
u
+
(
]
(
=
=

(where f( ) and G( ) are arbitrary). Writing
(
]
(
= d ) ( ) ( f F , the
general solution of the 2-d second-order wave equation is
) ( ) ( ct x G ct x F u + + =

The solution consists of a right-travelling wave ( constant ct x = )
and a left-travelling wave ( constant ct x = + ). F and G can be any
functions. Their precise form will be fixed by appropriate boundary
conditions typically initial boundary conditions: u and u/t
specified everywhere at t = 0.

The key point is that, for this type of equation, information propagates along characteristics.
This must be reflected in the discretisation scheme.
x
t
(x,t)
x
-
c
t
=
c
o
n
s
t
x
+
c
t
=
c
o
n
s
t
zone of
influence
initial data
zone of
dependence


Computational Mechanics 5 - 6 David Apsley
5.3 Classification of Second-Order PDEs

5.3.1 Hyperbolic, Parabolic and Elliptic PDEs

An equation of the form
f
y
c
y x
b
x
a =

+


+

2
2 2
2
2

where a, b, c and f may be functions of x, y, , /x and /y, but not the second
derivatives, is called quasi-linear.

The nature of the differential equation and its analytical or numerical solution is determined
by the value of the discriminant ac b 4
2
.

For constant a, b and c this relates to the ability to factorise it into two first-order
differentials, each of which will have its set of characteristics along which the solution can be
forward-marched. The general analysis is a bit more complex.

The cases are:
0 4
2
> ac b
hyperbolic two sets of characteristics forward-marching solution
0 4
2
= ac b
parabolic one set of characteristics forward-marching solution
0 4
2
< ac b
elliptic no characteristics simultaneous solution for all points

If a, b or c is not constant then it is possible for the governing equations to be of different
types in different parts of the domain.


Examples
(i) =


+

3 4 3
2
2
2
2
2
y x y x

a = 1, b = 4, c = 3;
(b
2
4ac = 4)
hyperbolic
(ii) 0
2
2
=

+
|
|
.
|

\
|

y y y x x

a = 1, b = 1, c = 1;
(b
2
4ac = 3)
elliptic
(iii) =

2
2
2
2
x
y
y
x
a = y, b = 0, c = x;
(b
2
4ac = 4xy)
elliptic in 1
st
/3
rd
quadrants,
hyperbolic in 2
nd
/4
th
quadrants



Computational Mechanics 5 - 7 David Apsley
5.3.2 Domain of Dependence and Boundary Conditions

The nature of the equation determines the required
boundary conditions. For elliptic equations, values of
or its derivative are required on all boundaries of the
domain. Forward-marching schemes are like initial-
value problems in ODEs: For a second-order equation
this means that we require and its forward derivative
on the initial boundary.












Type Example Equation Application(s)
Hyperbolic Wave equation
0
1
2
2
2 2
2
=

t c x

Vibrating string: c
2
= T/
= displacement;
T = tension;
= mass per unit length.

Longitudinal vibration in a rod: c
2
= E/
= displacement;
E = Youngs modulus;
= density.
Parabolic Diffusion equation
2
2
x t

=

Heat equation: = k/ c
P


= temperature;
k = thermal conductivity;
= density;
c
P
= specific heat capacity.

Consolidation equation:
= excess pore pressure.
= coefficient of consolidation.
Elliptic
Poisson equation
(Laplace equation
if RHS = 0)
f
y x
=

2
2
2
2

Steady-state distributions such as:
temperature distribution;
electrostatic potential;
stress distribution;
velocity potential.

(Note the subtle change between t and y for the second independent variable: the former tends
to occur in time-dependent problems).
t
t
y
x
x
x
hyperbolic
parabolic
elliptic

Domain of dependence for
different types of PDE