Numerical Solution for Parabolic

Partial Differential Equations

CE 28
Lecture Objectives
• Define parabolic differential equations.
• Develop an algorithm in solving parabolic differential equations
numerically.
• Solve for the solution of the heat equation.
 General Form of Second Order Partial Differential
Equations

𝐴𝑢𝑥𝑥 + 𝐵𝑢𝑥𝑦 + 𝐶𝑢𝑦𝑦 + 𝐷𝑢𝑥 + 𝐸𝑢𝑦 + 𝐹𝑢 + 𝐺 = 0

∆ = 𝐵2 − 4𝐴𝐶

∆=0 – Parabolic
∆>0 – Hyperbolic
∆<0 – Elliptic
Consider Heat Equation
𝜕𝑢 𝜕2𝑢
=𝛾 2
𝜕𝑡 𝜕𝑥
on an interval 0 < x < L, t > 0, γ > 0

Boundary Conditions:
𝑢 𝑡, 0 = 𝛼 𝑡 𝑡>0
𝑢 𝑡, 𝐿 = 𝛽 𝑡 𝑡>0

Initial Conditions:
𝑢 0, 𝑥 = 𝑓 𝑥 0≤𝑥≤𝐿
 .
Heat Equation .
.
t7
Notation
𝑢𝑗,𝑘 = 𝑢(𝑡𝑗 , 𝑥𝑘 )
t6
t5

∆𝑡 = 𝑡𝑗+1 − 𝑡𝑗 t4
t3

t2
t1 ∆𝑥 = 𝑥𝑘+1 − 𝑥𝑘
t0
x0 x1 x2 x3 x4 x5 x6 x7 ...
Recall: Finite Difference Approximations
𝑢 𝑥+ℎ −𝑢 𝑥
𝑢′ 𝑥 = +𝑂 ℎ
ℎ

𝜕𝑢 𝑢𝑗+1,𝑘 − 𝑢𝑗,𝑘
= + 𝑂(∆𝑡)
𝜕𝑡 ∆𝑡

′′
𝑢 𝑥 − ℎ − 2𝑢 𝑥 + 𝑢(𝑥 + ℎ) 2
𝑢 𝑥 = 2
+ 𝑂(ℎ )
ℎ

𝜕 2 𝑢 𝑢𝑗,𝑘−1 − 2𝑢𝑗,𝑘 + 𝑢𝑗,𝑘+1 2

= + 𝑂(∆𝑥)
𝜕𝑥 2 (∆𝑥)2
Heat Equation
𝜕𝑢 𝜕2𝑢
=𝛾 2
𝜕𝑡 𝜕𝑥

𝑢𝑗+1,𝑘 − 𝑢𝑗,𝑘 𝑢𝑗,𝑘−1 − 2𝑢𝑗,𝑘 + 𝑢𝑗,𝑘+1

=𝛾
∆𝑡 (∆𝑥)2

𝛾∆𝑡
𝑢𝑗+1,𝑘 = 2
𝑢𝑗,𝑘−1 − 2𝑢𝑗,𝑘 + 𝑢𝑗,𝑘+1 + 𝑢𝑗,𝑘
(∆𝑥)

𝛾∆𝑡
𝑙𝑒𝑡 𝜇 =
(∆𝑥)2
Boundary Conditions:
𝑢𝑗+1,𝑘 = 𝜇𝑢𝑗,𝑘−1 + 1 − 2𝜇 𝑢𝑗,𝑘 + 𝜇𝑢𝑗,𝑘+1 𝑢𝑗,0 = 𝛼𝑗 𝑡>0
𝑢𝑗,𝑛 = 𝛽𝑗 𝑡>0
Heat Equation

𝑢𝑗+1,1 1 − 2𝜇 𝜇 𝑢𝑗,1 𝜇𝛼𝑗

𝑢𝑗+1,2 𝜇 1 − 2𝜇 𝜇 𝑢𝑗,2 0
𝑢𝑗+1,3 𝜇 1 − 2𝜇 𝜇 𝑢𝑗,3 0
𝑢𝑗+1,4 𝜇 1 − 2𝜇 𝜇 𝑢𝑗,4 0
𝑢𝑗+1,5 = 𝜇 1 − 2𝜇 𝜇 𝑢𝑗,5 + 0
𝑢𝑗+1,6 𝑢𝑗,6 0
𝜇 1 − 2𝜇 𝜇
⋮ ⋮ ⋮
⋱ ⋱ ⋱
𝑢𝑗+1,𝑛−1 𝑢𝑗,𝑛−1 𝜇𝛽𝑗
𝜇 1 − 2𝜇
Machine Exercise
𝜕𝑢 𝜕2𝑢
=𝛾 2
𝜕𝑡 𝜕𝑥
Fix the diffusivity 𝛾 = 1.
Initial Condition: 𝑢 0, 𝑥 = 6 sin(𝜋𝑥)
Boundary Conditions: 𝑢 𝑡, 0 = 𝑢 𝑡, 1 = 0.
Compare it with the exact solution:
−𝜋 2𝑡
𝑢 𝑡, 𝑥 = 6 sin 𝜋𝑥 𝑒
Try uniform node spacings.