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UNIT-5
BOUNDARY VALUE PROBLEMS FOR ORDINARY AND PARTIAL
DIFFERENTIAL EQUATIONS
BVP for ODE
Finite Difference Method to solve Second order Differential Equations
Suppose the second order DE is
 + p(x)
 +q(x)y = f(x) together with the
_______________ (1)
boundary conditions y( = , y( = when x
( ,  ) is to be solved using finite
difference method.
The central difference approximations to the first two derivatives of
 at x =  are
given as follows:

 =

 =


 
 

_____________ (2)


  2
 
 

_____________ (3)




Now replace x by  , y by
 ,
 by (2) and
 by (3) and putting i = 1,2,, (n1),

we get (n1) equations . Now substituting boundary conditions and  -values, there
will be (n1) equations in (n1) unknowns
 ,
,,
 which has to be solved
simultaneously.
Example: Solve
 = x + y with boundary conditions y (0) = y (1) = 0 by dividing the
interval into four sub-intervals by finite difference method.
Soln:
Here  = 0,
 = 0,  = 1 and
 = 0.
Now we have to divide the interval  ,  ) into 4 subintervals.
y0 = 0

y1

y2

y3

x0 = 0

x1

x2

x3

y 4 = y n= 0
x4 = xn = 1

Figure 1: line representation of the given points

Now by dividing the interval  = 0 to  = 1 into 4 subintervals, we get n = 4. See

Figure 1.
Prepared by Dr.P.Venugopal/Maths Dept /SSNCE

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Now replace the derivative
 by formula (3) and x by  , y by
 in the

difference equation and put i = 1, 2 (n1) ,i.e. i = 1,2,3; we get 3 equations
involving  ,  ,  ,  ,  and
 ,
 ,
,
 ,
 .
Now substituting the known values  ,  ,  ,  ,  ,
 and
 in these
equations, we get 3 simultaneous equations involving
 ,
and
 .
Solving them, we get
 = y (0.25) = 0.03488,

= y (0.50) = 0.5632,

 = y (0.75) = 0.05003.

BVP for PDE

Classification of Second order Partial Differential Equations
The general linear second order pde is
A  + B  + C  + D  + E  + Fu = G

_____ (1)

where A, B, C, D, E, F, G are functions of x and y or constants.

The equation (1) is said to be
i. elliptic if B2 4AC < 0
ii. parabolic if B2 4AC = 0
iii. hyperbolic if B2 4AC > 0.

ELLIPTIC EQUATIONS
1.

Laplaces equation

An elliptic equation of the form  +  = 0 is said to be Laplaces equation in two
dimensions.
In this equation replacing the second order derivatives by difference quotients, we get
, 

1

 ,  ,  , !
4 ,

This equation is known as Standard Five Point Formula (SFPF). See Figure 2(a).
Sometimes, we rotate the coordinate system through the angle 45, we get the following
formula.
1
,  ,  ,  ,  , !
4
This is known as Diagonal Five Point Formula (DFPF). See Figure 2 (b).
Prepared by Dr.P.Venugopal/Maths Dept /SSNCE

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ui-1, j+1

ui,j+1

ui+1, j+1

D
ui-1,j

C
ui+1,j

E
A

u i,j

B ui,j-1

u i,j
B
u i+1, j-1

ui-1, j-1 E

(a)

(b)
Figure 2(a) SFPF (b) DFPF

For both these formulas, Value of u at A = average of the values of u at B, C, D and E (See
Figure 2(a) and (b)).
Note: The error in DFPF if 4 times higher than SFPF, so preferably use SFPF whenever
possible.
Method: The problem of elliptic type is solve the equation  +  = 0 over a square
mesh, with given boundary points, we have to find the value of u at the inner grid points.
For this initially we get all the inner mesh point values using SFPF and DFPF (where SFPF
is not possible). Then use only SFPF, and using iteration procedure with the latest available
values, we improve these inner mesh values.
The iterative formula is
, 

1 



",  ,  ,  , #
4

where the superscript of u denotes the iteration number.

This is known as LIEBMANNS iteration process.
We stop the iteration, when all the values of u are same for the two successive iterations.
2.

Poissons equation

An elliptic equation of the form  +  = f (x, y), where f (x, y) is a function of x and y
only, is called POISSONS equation.
This equation can be solved numerically at the interior grid points of a square
network when the boundary values are known.
Replacing the derivatives in the Poisson equation by difference quotients by taking
x = ih, y= jh (since h = k, for a square mesh), it reduces to
,  ,  ,  ,  4, = $ %&$, '$
Now apply this formula at each inner grid point to get a system of equations. Solving these
equations, we get the inner mesh point values.
Prepared by Dr.P.Venugopal/Maths Dept /SSNCE

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PARABOLIC EQUATIONS
One dimensional heat equation
equation.


( )
=
,
(*
( 

()

Taking  = , the equation becomes,

.

( )
( 

where  =

()
(*

,-

is an example of parabolic

= 0.

Our aim is to solve this equation, using the method of finite differences with boundary
conditions u(0.t) = T0, u(l, t) = Tl and the initial condition u(x.0)= f (x), 0 < x < l.
Applying these conditions, we have the values of u at the boundary points (extreme left and
right column, shown in red colour) and the first row (in blue colour).
x
x0 =0

x-direction
x2

x1

xn = l

t-direction

t=0

u(x,0)= f(x)

t1
t2

u(0,t)=T0

u(l,t)=Tl
Figure 3

Now to find the values of u at the inner points, we have two methods:
1.

Bender- Schmidt Method

The formula is

, = 0, + (1 2 0+ 0,

where 0 =

2$

Here k=step size in t-direction and h=step size in x-direction.

4

When 3 = , i.e., when 6 

5

, =

1
2

785
5

, the above formula reduces to

,  , !

This is known as Bender- Schmidt recurrence equation.

Prepared by Dr.P.Venugopal/Maths Dept /SSNCE

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The Schematic diagram is

u i,j
ui-1, j

C
ui+1, j

ui,j+1

Value of u at A = average of the values at B, C

Note: When a one dimensional equation is asked to solve by Bender-Schmidts method and

nothing is mentioned about k (step-size in t-direction), choose k in such a way that 0 = .

2.

Crank-Nicholson Difference Method

The formula is
9

, + ,  (0  1 ,

5

=  ,  , + ( 0  1 ,
5

where 0 =

2$

When 3 = 1, i.e., k = 785 , the above formula reduces to



,  [,  ,  ,  , ]



The Schematic diagram is

ui-1,j E

B
ui-1, j+1

ui+1,j

ui,j+1

ui+1, j+1

Value of u at A = average of the values at B, C, D, E

Note: When a one dimensional equation is asked to solve by Crank-Nicholson method and

nothing is mentioned about k (step-size in t-direction), choose k in such a way that 0 = 1.

NOTE: In Bender- Schmidt recurrence equation, the calculation of

, depends on the

known values of u, hence it is known as EXPLICIT Scheme. But in Crank-Nicholson

method, the calculation of , depends on the known and unknown values of u, hence it is
known as IMPLICIT Scheme.
Prepared by Dr.P.Venugopal/Maths Dept /SSNCE

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HYPERBOLIC EQUATIONS

One dimensional wave equation (vibration of strings) 2   **  0 is an example for
hyperbolic equation. Our aim is to solve this wave equation with boundary
conditions 0, ;  0, <, ;  0 and the initial conditions , 0  %, * , 0  %.
The Explicit formula or scheme to solve wave equation is

, = ,  ,  ,
The Schematic diagram is

ui, j-1

D
B

ui-1,j

ui+1,j

A
ui,j+1

The value of u at A = value of u at B + value of u at C value of u at D

Here as in parabolic type, extreme columns are filled using boundary conditions (here 0 at extreme
columns). Also the first horizontal row is filled as in parabolic type. Now for filling the second
horizontal row, we apply the condition * , 0  % .
1
This implies , = ,  , !.
2


That is two get the second row values, simply apply Bender-Schmidt formula for 0 = . After
getting first two initial row values, we can apply the explicit formula to get the remaining
values of u.


NOTE: This method is stable only if 0 = . Here 0 =

.

. So 0 = . implies k = .
.

Prepared by Dr.P.Venugopal/Maths Dept /SSNCE