Solving The Heat Equation

Math 241: Solving the heat equation
D. DeTurck
University of Pennsylvania
September 20, 2012
D. DeTurck
Math 241 002 2012C: Solving the heat equation
1 / 21
1D heat equation with Dirichlet boundary conditions

We derived the one-dimensional heat equation
ut = kuxx
and found that its reasonable to expect to be able to solve for
u(x, t) (with x [a, b] and t > 0) provided we impose initial
conditions:
u(x, 0) = f (x)
for x [a, b] and boundary conditions such as
u(a, t) = p(t) ,
u(b, t) = q(t)
for t > 0.
We showed that this problem has at most one solution, now its
time to show that a solution exists.
D. DeTurck
2 / 21
Linearity
Well begin with a few easy observations about the heat equation
ut = kuxx , ignoring the initial and boundary conditions for the
moment:
D. DeTurck
3 / 21
Linearity
Well begin with a few easy observations about the heat equation
ut = kuxx , ignoring the initial and boundary conditions for the
moment:
Since the heat equation is linear (and homogeneous), a linear
combination of two (or more) solutions is again a solution. So
if u1 , u2 ,. . . are solutions of ut = kuxx , then so is
c1 u1 + c2 u2 +
for any choice of constants c1 , c2 , . . .. (Likewise, if u (x, t) is
a solution of the heat equation that depends (in a reasonable
way) on a parameter , then for any (reasonable) function
f () the function
2
U(x, t) =
f ()u (x, t) d
1
is also a solution.
D. DeTurck
3 / 21
Linearity and initial/boundary conditions

We can take advantage of linearity to address the
initial/boundary conditions one at a time.
D. DeTurck
4 / 21


For instance, we will spend a lot of time on initial-value
problems with homogeneous boundary conditions:

ut = kuxx ,
u(x, 0) = f (x),
D. DeTurck
u(a, t) = u(b, t) = 0.
4 / 21



ut = kuxx ,
u(x, 0) = f (x),
u(a, t) = u(b, t) = 0.
Then well consider problems with zero initial conditions but
non-zero boundary values.
D. DeTurck
4 / 21



ut = kuxx ,
u(x, 0) = f (x),
u(a, t) = u(b, t) = 0.
Then well consider problems with zero initial conditions but
non-zero boundary values.

We can add these two kinds of solutions together to get
solutions of general problems, where both the initial and

boundary values are non-zero.
D. DeTurck
4 / 21
Symmetry
Some more observations:

If u(x, t) is a solution, then so is u(a x, b + t) for any
constants a and b.
Note the with the x but only + with t you cant
reverse time with the heat equation. This shows that the
heat equation respects (or reflects) the second law of
thermodynamics (you cant unstir the cream from your
coffee).
D. DeTurck
5 / 21
Symmetry
Some more observations:

If u(x, t) is a solution, then so is u(a x, b + t) for any
constants a and b.
Note the with the x but only + with t you cant
reverse time with the heat equation. This shows that the
heat equation respects (or reflects) the second law of
thermodynamics (you cant unstir the cream from your
coffee).
If u(x, t) is a solution then so is u(a2 t, at) for any constant a.
Well use this observation later to solve the heat equation in a

surprising way, but for now well just store it in our memory
bank.
D. DeTurck
5 / 21
Polynomial solutions
Now its time to at least find some examples of solutions to
ut = kuxx .
One thing we can try is polynomial solutions. Certainly any
linear function of x is a solution.
D. DeTurck
6 / 21
ut = kuxx .

Next, taking our cue from the initial-value problem, suppose
u(x, 0) = p0 (x) for some polynomial p0 (x), and try to
construct a solution of the form
u(x, t) = p0 (x) + tp1 (x) + t 2 p2 (x) +
D. DeTurck
6 / 21
ut = kuxx .

Next, taking our cue from the initial-value problem, suppose
u(x, 0) = p0 (x) for some polynomial p0 (x), and try to
construct a solution of the form
u(x, t) = p0 (x) + tp1 (x) + t 2 p2 (x) +
We have
ut = p1 (x) + 2tp2 (x) + 3t 2 p3 (x) +

and
uxx = p000 (x) + tp100 (x) + t 2 p200 (x) +
D. DeTurck
6 / 21
So the heat equation tells us:
p1 = kp000 ,
p2 =
k 00 k 2 0000
p =
p ,
2 1
2 0
k 00 k 3 (6)
k n (2n)
p2 =
p0 , . . . , pn =
p
3
3!
n! 0
This process will stop if p0 is a polynomial, and well get a
polynomial solution of the heat equation whose x-degree is
twice its t-degree:
p3 =
u(x, t) = p0 (x) +
kt 00 k 2 t 2 0000
k n t n (2n)
p0 +
p0 + +
p
+ .
1!
2!
n! 0
D. DeTurck
7 / 21
But. . .
The trouble with polynomial solutions, or even with extending the

idea of polynomials to power series in two variables (ick!), is that it
would be very difficult if not impossible to figure out how to
choose the coefficients of the polynomial p0 so that the boundary
values, even simple ones, would be matched at both ends.
There are also tricky convergence questions, etc for power series,
and we dont want to get overwhelmed with these.
D. DeTurck
8 / 21
Separation of variables
A more fruitful strategy is to look for separated solutions of
the heat equation, in other words, solutions of the form

u(x, t) = X (x)T (t).
D. DeTurck
9 / 21

u(x, t) = X (x)T (t).
If we substitute X (x)T (t) for u in the heat equation
ut = kuxx we get:
X
dT
d 2X
= k 2 T.
dt
dx
D. DeTurck
9 / 21

u(x, t) = X (x)T (t).
If we substitute X (x)T (t) for u in the heat equation
ut = kuxx we get:
X
dT
d 2X
= k 2 T.
dt
dx
Divide both sides by kXT and get
1 d 2X
1 dT
.
=
kT dt
X dx 2
D. DeTurck
9 / 21
Separation of Variables
So if u(x, t) = X (x)T (t) then
D. DeTurck
T0
X 00
=
.
kT
X
10 / 21
T0
X 00
=
.
kT
X
In this last equation, everything on the left side is a function
of t, and everything on the right side is a function of x. This
means that both sides are constant, say equal to which
gives ODEs for X and T :
X 00 X = 0
D. DeTurck
T 0 kT = 0
10 / 21
T0
X 00
=
.
kT
X
In this last equation, everything on the left side is a function
of t, and everything on the right side is a function of x. This
means that both sides are constant, say equal to which
gives ODEs for X and T :
X 00 X = 0
T 0 kT = 0
The power of this method comes in the application of
boundary conditions, which we turn to next.
D. DeTurck
10 / 21
Boundary conditions
ODEs for X and T :
X 00 X = 0
T 0 kT = 0
As an example, lets suppose the x-interval goes from 0 to L,
and we have homogeneous Dirichlet conditions:

u(0, t) = u(L, t) = 0 for all t.
D. DeTurck
11 / 21
Boundary conditions
ODEs for X and T :
X 00 X = 0
T 0 kT = 0

u(0, t) = u(L, t) = 0 for all t.
This implies that cant be positive or zero (since solutions
to X 00 X = 0 with 0 cant be zero twice without being
identically zero)
D. DeTurck
11 / 21
Boundary conditions
ODEs for X and T :
X 00 X = 0
T 0 kT = 0

u(0, t) = u(L, t) = 0 for all t.
identically zero)
So let = 2 . The general solution of X 00 + 2 X = 0 is
X = c1 cos x + c2 sin x
D. DeTurck
11 / 21
Boundary conditions
ODEs for X and T :
X 00 X = 0
T 0 kT = 0

u(0, t) = u(L, t) = 0 for all t.
identically zero)
So let = 2 . The general solution of X 00 + 2 X = 0 is
X = c1 cos x + c2 sin x
The easiest way to satisfy the boundary conditions on u is to
insist that X (0) = X (L) = 0. What does this imply?

D. DeTurck
11 / 21
Restrictions on
We have X = c1 cos x + c2 sin x, X (0) = 0, X (L) = 0.
D. DeTurck
12 / 21
Restrictions on
First, note that X (0) = c1 . The condition X (0) = 0 then
forces c1 = 0.
D. DeTurck
12 / 21
Restrictions on
forces c1 = 0.
Now we need to reconcile three things: X = c2 sin x,
X (L) = 0 and we dont want X to be identically zero (i.e., we
want c2 6= 0).
D. DeTurck
12 / 21
Restrictions on
forces c1 = 0.
want c2 6= 0).
This gives a condition on : sin L = 0, or L = n for some
integer n.
D. DeTurck
12 / 21
Restrictions on
forces c1 = 0.
want c2 6= 0).
This gives a condition on : sin L = 0, or L = n for some
integer n.
Since sin(x) = sin x, we need only consider positive
integers n. Thus
=
n
,
L
and
X = c2 sin
n = 1, 2, 3, . . .
nx
,
L
D. DeTurck
n = 1, 2, 3, . . .
12 / 21
Implications for and T

Now, recall that = 2 , and the T equation was
T 0 kT = 0.
D. DeTurck
13 / 21

T 0 kT = 0.
And we know that = n/L for n = 1, 2, 3, . . ., so we have to
solve
n2 k 2
T0 +
T = 0,
n = 1, 2, 3 . . . .
L2
D. DeTurck
13 / 21

T 0 kT = 0.
solve
n2 k 2
T0 +
T = 0,
n = 1, 2, 3 . . . .
L2
The general solution of these are
T = ce n
2 k 2 t/L2
D. DeTurck
n = 1, 2, 3, . . . .
13 / 21

T 0 kT = 0.
solve
n2 k 2
T0 +
T = 0,
n = 1, 2, 3 . . . .
L2
The general solution of these are
T = ce n
2 k 2 t/L2
n = 1, 2, 3, . . . .
Putting this together with our X solutions, we get solutions
u(x, t) of the form:

u(x, t) = bn e n
2 k 2 t/L2
D. DeTurck
sin
nx
,
L
n = 1, 2, 3, . . .
13 / 21
Superposition, again
We can put these solutions together to get solutions of the
form
x
2x
2
2
+ b2 e 4 t/L sin
+
L
L
Nx
2
2
2
+ bN e N k t/L sin
.
L
u(x, t) = b1 e k
2 t/L2
sin
D. DeTurck
14 / 21
Superposition, again
We can put these solutions together to get solutions of the
form
x
2x
2
2
+ b2 e 4 t/L sin
+
L
L
Nx
2
2
2
+ bN e N k t/L sin
.
L
u(x, t) = b1 e k
2 t/L2
sin
This function u(x, t) automatically satisfies the boundary
conditions u(0, t) = u(L, t) = 0, since all of the pieces do.

And it would be great for satisfying initial conditions given in
trigonometric form for example

u(x, 0) = 3 sin
x
3x
6x
2 sin
+ sin
.
L
L
L
D. DeTurck
14 / 21
Taking things to the limit

But what if the initial condition isnt trigonometric? Could we
consider adding together an infinite number of pieces? As in

u(x, t) =
X
n=1
D. DeTurck
bn e n
2 k 2 t/L2
sin
nx
L
15 / 21


u(x, t) =
bn e n
2 k 2 t/L2
sin
n=1
nx
L
Then the initial values would be
f (x) =
X
n=1
D. DeTurck
bn sin
nx
.
L
15 / 21


u(x, t) =
bn e n
2 k 2 t/L2
sin
n=1
nx
L
f (x) =
X
n=1
bn sin
nx
.
L
So the question is, which functions f (x) (for x in the interval
[0, L]) can be expressed as an infinite series of sines?
D. DeTurck
15 / 21


u(x, t) =
bn e n
2 k 2 t/L2
sin
n=1
nx
L
f (x) =
X
n=1
bn sin
nx
.
L
So the question is, which functions f (x) (for x in the interval
[0, L]) can be expressed as an infinite series of sines?

The (somewhat surprising) answer is, ALL OF THEM!
Lets see how this might work in practice (and well take up
the question of proving this claim later).
D. DeTurck
15 / 21
The Fourier ansatz

Just for something concrete, lets suppose we want to solve
the problem
1
ut = uxx , u(0, t) = u(3, t) = 0,
5
for t > 0 and 0 x 3.
D. DeTurck
u(x, 0) = 3x x 2
16 / 21
The Fourier ansatz

Just for something concrete, lets suppose we want to solve
the problem
1
ut = uxx , u(0, t) = u(3, t) = 0, u(x, 0) = 3x x 2
5
Well assume that we can express u as
X
nx
2 2
u(x, t) =
bn e n t/45 sin
3
n=1
(this is the ansatz) and see if we can figure out what the
constants bn should be we know that the boundary
conditions are automatically satisfied, and perhaps we can
choose the bn s so that
X
nx
.
3x x 2 =
bn sin
3
n=1
D. DeTurck
16 / 21
Integrals rather than derivatives

Were trying to find bn s so that
3x x 2 =
X
n=1
bn sin
nx
.
3
By contrast with Taylor series, where you find the coefficients
by integration rather than differentiation.
D. DeTurck
17 / 21
Integrals rather than derivatives

Were trying to find bn s so that
3x x 2 =
bn sin
n=1
nx
.
3
By contrast with Taylor series, where you find the coefficients
by integration rather than differentiation.

Well use two basic facts:
If n 6= m then
sin
0
mx
nx
sin
dx = 0.
3
3
If n = m then
sin
0
nx
mx
sin
dx =
3
3
D. DeTurck
sin2
0
nx
3
dx = .
3
2
17 / 21
Finding the coefficients

Were still trying to find bn s so that
2
3x x =
X
n=1
bn sin
nx
.
3
Motivated by the facts on the previous slide, we multiply both
sides by sin mx
3 and integrate both sides from 0 to 3:
!
3 X
3
mx
nx
mx
2
dx =
sin
dx
bn sin
(3x x ) sin
3
3
3
0
0
n=1
3
X
nx
mx
=
bn
sin
sin
dx
3
3
0
n=1
=
D. DeTurck
3bm
2
18 / 21
Integration by parts
Its an exercise in integration by parts to show that
(3x x 2 ) sin
0
54
mx
dx = 3 3 (1 (1)m )
3
m
D. DeTurck
19 / 21
(3x x 2 ) sin
0
54
mx
dx = 3 3 (1 (1)m )
3
m
Therefore,
36
bm = 3 3 (1 (1)m ) =
D. DeTurck
72
m3 3
m even
m odd
19 / 21
(3x x 2 ) sin
0
54
mx
dx = 3 3 (1 (1)m )
3
m
Therefore,
36
bm = 3 3 (1 (1)m ) =
72
m3 3
m even
m odd
So we arrive at a candidate for the solution:
u(x, t) =
X
n=0
72
(2n + 1)x
2 2
e (2n+1) t/45 sin
3
3
(2n + 1)
3
D. DeTurck
19 / 21
Validating the solution
The series
u(x, t) =
X
n=0
72
(2n + 1)x
2 2
e (2n+1) t/45 sin
3
3
(2n + 1)
3
converges for t 0, and certainly satisfies the boundary

conditions. What about the initial condition
u(x, 0) = 3x x 2 ?
D. DeTurck
20 / 21
The series
u(x, t) =
X
n=0
72
(2n + 1)x
2 2
e (2n+1) t/45 sin
3
3
(2n + 1)
3

u(x, 0) = 3x x 2 ?
Well,
u(x, 0) =
X
n=0
72
(2n + 1)x
sin
2
3
(2n + 1)
3
D. DeTurck
20 / 21
Graphical evidence
Red graph: 3x x 3 , Blue graph: sum
One term:
Three terms:
D. DeTurck
21 / 21
Plotting the solution

Here is a plot of the sum of of the first three terms of the solution:
D. DeTurck
22 / 21
Another example
Now, lets look at a problem with insulated ends:
1
ut = uxx , ux (0, t) = ux (3, t) = 0,
5
D. DeTurck
u(x, 0) = 3x x 2
23 / 21
Another example
Now, lets look at a problem with insulated ends:
1
ut = uxx , ux (0, t) = ux (3, t) = 0, u(x, 0) = 3x x 2
5
This time, with the boundary conditions in mind, well assume
that we can express u as
u(x, t) =
an e n
2 2 t/45
n=0
cos
nx
3
(and see if we can figure out what the constants an should be

the boundary conditions are automatically satisfied, and we
will choose the an s so that
2
3x x =
X
n=0
D. DeTurck
an cos
nx
.
3
23 / 21
Useful integrals
Were trying to find an s so that
3x x 2 =
X
n=0
D. DeTurck
an cos
nx
.
3
24 / 21
Useful integrals
Were trying to find an s so that
3x x 2 =
X
n=0
an cos
nx
.
3
Again, well use two basic facts:

If n 6= m then
cos
0
nx
mx
cos
dx = 0.
3
3
If n = m > 0 then
3
nx
mx
3
nx
cos
dx =
cos2
dx =
3
3
3
2
0
0
3
whereas if n = m = 0 we get 0 12 dx = 3.
3
cos
D. DeTurck
24 / 21
Finding the coefficients

Were still trying to find an s so that
3x x 2 =
X
n=0
bn cos
nx
.
3
Motivated by the facts on the previous slide, we multiply both
sides by cos mx
3 and integrate both sides from 0 to 3. For
m > 0 we get:
!
3
3 X
nx
mx
mx
an cos
(3x x 2 ) cos
dx =
sin
dx
3
3
3
0
0
n=0
3
X
nx
mx
=
an
cos
cos
dx
3
3
0
n=0
3am
2
and we get 3a0 for m = 0.

D. DeTurck
25 / 21
0
mx
9
dx =
(3x x 2 ) cos
2 27
3
m2 2
D. DeTurck
m odd
m=0
m > 0. even
26 / 21
0
mx
9
dx =
(3x x 2 ) cos
2 27
3
m2 2
m odd
m=0
m > 0. even
So we arrive at a candidate for the solution:
u(x, t) =
3 X 36
2nx
2 2
e (2n) t/45 cos

2
2
2
(2n)
3
n=1
D. DeTurck
26 / 21
The series
u(x, t) =
3 X 36
2nx
2 2
e (2n) t/45 cos

2
(2n)2 2
3
n=1

u(x, 0) = 3x x 2 ?
D. DeTurck
27 / 21
The series
u(x, t) =
3 X 36
2nx
2 2
e (2n) t/45 cos

2
(2n)2 2
3
n=1

u(x, 0) = 3x x 2 ?
Well,
u(x, 0) =
3 X 36
2nx
cos
2
2
2
(2n)
3
n=1
D. DeTurck
27 / 21
Graphical evidence
Red graph: 3x x 3 , Blue graph: sum
One term, two terms:
Four terms, thirteen terms:
D. DeTurck
28 / 21
Plotting the solution

Here is a plot of the sum of of the first three terms of the solution:
D. DeTurck
29 / 21
Other boundary conditions
Questions for discussion:

How would you handle boundary conditions ux (0, t) = 0,
u(3, t) = 0?
What about u(0, t) = 0, ux (3, t) = 0?
What about something like u(0, t) = 0, ux (3, t) + u(3, t) = 0?
D. DeTurck
30 / 21

Solving The Heat Equation

Uploaded by

Document Information

Original Description:

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Solving The Heat Equation

Uploaded by

Copyright:

Available Formats

Math 241: Solving the heat equation

September 20, 2012

Math 241 002 2012C: Solving the heat equation

1D heat equation with Dirichlet boundary conditions

Math 241 002 2012C: Solving the heat equation

Math 241 002 2012C: Solving the heat equation

Math 241 002 2012C: Solving the heat equation

Linearity and initial/boundary conditions

initial/boundary conditions one at a time.

Math 241 002 2012C: Solving the heat equation

Linearity and initial/boundary conditions

initial/boundary conditions one at a time.

problems with homogeneous boundary conditions:

Math 241 002 2012C: Solving the heat equation

Linearity and initial/boundary conditions

initial/boundary conditions one at a time.

problems with homogeneous boundary conditions:

Then well consider problems with zero initial conditions but

non-zero boundary values.

Math 241 002 2012C: Solving the heat equation

Linearity and initial/boundary conditions

initial/boundary conditions one at a time.

problems with homogeneous boundary conditions:

Then well consider problems with zero initial conditions but

non-zero boundary values.

solutions of general problems, where both the initial and

Math 241 002 2012C: Solving the heat equation

Some more observations:

Math 241 002 2012C: Solving the heat equation

Some more observations:

Well use this observation later to solve the heat equation in a

Math 241 002 2012C: Solving the heat equation

linear function of x is a solution.

Math 241 002 2012C: Solving the heat equation

linear function of x is a solution.

Math 241 002 2012C: Solving the heat equation

linear function of x is a solution.

ut = p1 (x) + 2tp2 (x) + 3t 2 p3 (x) +

Math 241 002 2012C: Solving the heat equation

So the heat equation tells us:

Math 241 002 2012C: Solving the heat equation

The trouble with polynomial solutions, or even with extending the

Math 241 002 2012C: Solving the heat equation

the heat equation, in other words, solutions of the form

Math 241 002 2012C: Solving the heat equation

the heat equation, in other words, solutions of the form

Math 241 002 2012C: Solving the heat equation

the heat equation, in other words, solutions of the form

Divide both sides by kXT and get

Math 241 002 2012C: Solving the heat equation

So if u(x, t) = X (x)T (t) then

Math 241 002 2012C: Solving the heat equation

So if u(x, t) = X (x)T (t) then

Math 241 002 2012C: Solving the heat equation

So if u(x, t) = X (x)T (t) then

The power of this method comes in the application of

boundary conditions, which we turn to next.

Math 241 002 2012C: Solving the heat equation

As an example, lets suppose the x-interval goes from 0 to L,

and we have homogeneous Dirichlet conditions:

Math 241 002 2012C: Solving the heat equation

As an example, lets suppose the x-interval goes from 0 to L,