Neumann Boundary Conditions

Robin Boundary Conditions

The one dimensional heat equation: Neumann and Robin boundary conditions
Ryan C. Daileda

Trinity University

Partial Dierential Equations February 28, 2012

Daileda

The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

The heat equation with Neumann boundary conditions

Our goal is to solve: ut = c 2 uxx , ux (0, t) = ux (L, t) = 0, u(x, 0) = f (x), 0 < x < L , 0 < t, 0 < t, 0 < x < L. (1) (2) (3)

As before, we will use separation of variables to nd a family of simple solutions to (1) and (2), and then the principle of superposition to construct a solution satisfying (3).

Daileda

The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Separation of variables
Assuming that u(x, t) = X (x)T (t), the heat equation (1) becomes XT = c 2 X T . This implies T X = 2 = k, X c T which we write as X kX = 0, T c kT = 0.
2

(4) (5)

The initial conditions (2) become X (0)T (t) = X (L)T (t) = 0, or X (0) = X (L) = 0.
Daileda The heat equation

(6)

Neumann Boundary Conditions

Robin Boundary Conditions

Case 1: k = 2 > 0
The ODE (4) becomes X 2 X = 0 with general solution X = c1 e x + c2 e x . The boundary conditions (6) are 0 = X (0) = c1 c2 = (c1 c2 ), 0 = X (L) = c1 e L c2 e L = (c1 e L c2 e L ). The rst gives c1 = c2 . When we substitute this into the second we get 2c1 sinh L = 0. Since , L > 0, we must have c1 = c2 = 0. Hence X = 0, i.e. there are only trivial solutions in the case k > 0.
Daileda The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Case 2: k = 0
The ODE (4) is simply X = 0 so that X = Ax + B. The boundary conditions (6) yield 0 = X (0) = X (L) = A. Taking B = 1 we get the solution X0 = 1. The corresponding equation (5) for T is T = 0, which yields T = C . We set T0 = 1. These give the zeroth normal mode: u0 (x, t) = X0 (x)T0 (t) = 1.
Daileda The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Case 3: k = 2 < 0
The ODE (4) is now X + 2 X = 0 with solutions X = c1 cos x + c2 sin x. The boundary conditions (6) yield 0 = X (0) = c1 sin 0 + c2 cos 0 = c2 , 0 = X (L) = c1 sin L + c2 cos L. The rst of these gives c2 = 0. In order for X to be nontrivial, the second shows that we also need sin L = 0.

Daileda

The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Case 3: k = 2 < 0
This can occur if and only if L = n, that is = n = n , n = 1, 2, 3, . . . L

Choosing c1 = 1 yields the solutions Xn = cos n x, n = 1, 2, 3, . . . For each n the corresponding equation (5) for T becomes T = 2 T , with n = cn . Up to a constant multiple, the n solution is 2 Tn = e n t .

Daileda

The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Normal modes and superposition

Multiplying these together gives the nth normal mode un (x, t) = Xn (x)Tn (t) = e n t cos n x, n = 1, 2, 3, . . . where n = n/L and n = cn . The principle of superposition now guarantees that for any choice of constants a0 , a1 , a2 , . . .

2

u(x, t) = a0 u0 +
n=1

an un = a0 +
n=1

an e n t cos n x

(7)

is a solution of the heat equation (1) with the Neumann boundary conditions (2).

Daileda

The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Initial conditions
If we now require that the solution (7) satisfy the initial condition (3) we nd that we need

f (x) = u(x, 0) = a0 +
n=1

an cos

nx , 0 < x < L. L

This is simply the cosine series expansion of f (x). Using our previous results, we nally nd that if f (x) is piecewise smooth then a0 = 1 L
L

f (x) dx, an =
0

2 L

f (x) cos
0

nx dx, n 1. L

Daileda

The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Conclusion
Theorem If f (x) is piecewise smooth, the solution to the heat equation (1) with Neumann boundary conditions (2) and initial conditions (3) is given by

u(x, t) = a0 +
n=1

an e n t cos n x,

where

n , n = cn , L and the coecients a0 , a1 , a2 , . . . are those occurring in the cosine series expansion of f (x). They are given explicitly by n = a0 = 1 L
L

f (x) dx, an =
0
Daileda

2 L

f (x) cos
0

nx dx, n 1. L

The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Example 1
Example Solve the following heat conduction problem: 1 ut = uxx , 4 ux (0, t) = ux (1, t) = 0, u(x, 0) = 100x(1 x), 0 < x < 1 , 0 < t, 0 < t, 0 < x < 1.

With L = 1, n = n and f (x) = 100x(1 x) we nd

1

a0 =
0 1

100x(1 x) dx =

50 3

an = 2
0

100x(1 x) cos nx dx =
Daileda

200(1 + (1)n ) , n 1. n2 2

The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Example 1
Since c = 1/2, n = n/2. Plugging everything into our general solution we get u(x, t) = 50 200 2 3

n=1

(1 + (1)n ) n2 2 t/4 e cos nx. n2

As in the case of Dirichlet boundary conditions, the exponential terms decay rapidly with t. We have
t

lim u(x, t) =

50 . 3

Daileda

The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Remarks
At any given time, the average temperature in the bar is u(t) = 1 L
L

u(x, t) dx.
0

In the case of Neumann boundary conditions, one has u(t) = a0 = f . That is, the average temperature is constant and is equal to the initial average temperature. Also in this case lim u(x, t) = a0
t

for all x. That is, at any point in the bar the temperature tends to the initial average temperature.
Daileda The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

The heat equation with Robin boundary conditions

We now consider the problem ut = c 2 uxx , u(0, t) = 0, ux (L, t) = u(L, t), u(x, 0) = f (x), 0 < x < L , 0 < t, 0 < t, 0 < t, 0 < x < L. (8) (9)

In (9) we take > 0. This states that the bar radiates heat to its surroundings at a rate proportional to its current temperature. Recall that conditions such as (9) are called Robin conditions.
Daileda The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Separation of variables
As before, the assumption that u(x, t) = X (x)T (t) leads to the ODEs X kX = 0, T c 2 kT = 0, and the boundary conditions (8) and (9) imply X (0) = 0, X (L) = X (L). Also as before, the possibilities for X depend on the sign of the separation constant k.

Daileda

The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Case 1: k = 0

We have X = 0 and so X = Ax + B with 0 = X (0) = B, A = X (L) = X (L) = (AL + B). Together these give A(1 + L) = 0. Since , L > 0, we have A = 0 and hence X = 0. Thus, there are only trivial solutions in this case.

Daileda

The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Case 2: k = 2 > 0
Once again we have X 2 X = 0 and X = c1 e x + c2 e x . The boundary conditions become 0 = c1 + c2 , (c1 e
L

c2 e

) = (c1 e L + c2 e L ).

The rst gives c2 = c1 , which when substituted in the second yields 2c1 cosh L = 2c1 sinh L.

Daileda

The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Case 2: k = 2 > 0

We may rewrite this as c1 ( cosh L + sinh L) = 0. The quantity in parentheses is positive (since , and L are), so this means we must have c1 = c2 = 0. Hence X = 0 and there are only trivial solutions in this case.

Daileda

The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Case 3: k = 2 < 0
From X + 2 X = 0 we nd X = c1 cos x + c2 sin x and from the boundary conditions we have 0 = c1 , (c1 sin L + c2 cos L) = (c1 cos L + c2 sin L). Together these imply that c2 ( cos L + sin L) = 0.

Daileda

The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Case 3: k = 2 < 0

Since we want nontrivial solutions (i.e. c2 = 0), we must have cos L + sin L = 0 which can be rewritten as tan L = . This equation has an innite sequence of positive solutions 0 < 1 < 2 < 3 <

Daileda

The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Case 3: k = 2 < 0
The gure below shows the curves y = tan L (in red) and y = / (in blue).

The -coordinates of their intersections (in pink) are the values 1 , 2 , 3 , . . .

Daileda The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Remarks
From the diagram we see that: For each n (2n 1)/2L < n < n/L.

As n n (2n 1)/2L.

Smaller values of and L tend to accelerate this convergence.

Daileda

The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Normal modes
As in the earlier situations, for each n 1 we have the solution Xn = sin n x and the corresponding Tn = e n t , n = cn which give the normal modes of the heat equation with boundary conditions (8) and (9) un (x, t) = Xn (x)Tn (t) = e n t sin n x.
2 2

Daileda

The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Superposition
Superposition of normal modes gives the general solution

u(x, t) =
n=1

cn un (x, t) =
n=1

cn e n t sin n x.

Imposing the initial condition u(x, 0) = f (x) gives us

f (x) =
n=1

cn sin n x.

This is a generalized Fourier series for f (x). It is dierent from the ordinary sine series for f (x) since n is not a multiple of a common value.

Daileda

The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Generalized Fourier coecients

To compute the generalized Fourier coecients cn we will use the following fact. Proposition The functions X1 (x) = sin 1 x, X2 (x) = sin 2 x, X3 (x) = sin 3 x, . . . form a complete orthogonal set on [0, L]. Complete means that all suciently nice functions can be represented via generalized Fourier series. This is a consequence of Sturm-Liouville theory, which we will study later. We can verify orthogonality directly, and will use this to express the coecients cn as ratios of inner products.
Daileda The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Generalized Fourier coecients

Assuming orthogonality for the moment, for any n 1 we have the familiar computation

f , Xn

=
m=1

cm sin m x, sin n x cm sin m x, sin n x

m=1

= cn sin n x, sin n x = cn Xn , Xn since the inner products with m = n all equal zero.

Daileda

The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Generalized Fourier coecients

It follows immediately that the generalized Fourier coecients are given by
L

f , Xn cn = = Xn , Xn

f (x) sin n x dx
0 L

. sin n x dx
2

For any given f (x) these integrals can typically be computed explicitly in terms of n . The values of n , however, must typically be found via numerical methods.

Daileda

The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Conclusion
Theorem The solution to the heat equation (1) with Robin boundary conditions (8) and (9) and initial condition (3) is given by

u(x, t) =
n=1

cn e n t sin n x,

where n is the nth positive solution to tan L = ,

n = cn , and the coecients cn are given by cn =

L 0 f (x) sin n x dx . L sin2 n x dx 0
Daileda The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Example 2
Example Solve the following heat conduction problem: ut = 1 uxx , 25 u(0, t) = 0, 0 < x < 3 , 0 < t, 0 < t, 0 < t, 0 < x < 3.

1 ux (3, t) = u(3, t), 2 x u(x, 0) = 100 1 , 3

We have c = 1/5, L = 3, = 1/2 and f (x) = 100(1 x/3).

Daileda

The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Example 2

The integrals dening the Fourier coecients are

3

100
0

x 100(3n sin 3n ) sin n x dx = 3 32 n 3 + cos2 3n . 2

and
0

sin2 n x dx = Hence cn =

200(3n sin 3n ) . 32 (3 + 2 cos2 3n ) n

Daileda

The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Example 2

We can therefore write out the full solution as

u(x, t) =
n=1

200(3n sin 3n ) 2 t/25 e n sin n x, 32 (3 + 2 cos2 3n ) n

where n is the nth positive solution to tan 3 = 2.

Daileda

The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Example 2
Remarks: In order to use this solution for numerical approximation or visualization, we must compute the values n . This can be done numerically in Maple, using the fsolve command. Specically, n can be computed via the command fsolve(tan(mL)=-m/k,m=(2n-1)Pi/(2L)..nPi/L); where L and k have been assigned the values of L and , respectively. These values can be computed and stored in an Array structure, or one can dene n as a function using the -> operator.

Daileda

The heat equation

Neumann Boundary Conditions

Robin Boundary Conditions

Example 2
Here are approximate values for the rst 5 values of n and cn . n 1 2 3 4 5 Therefore u(x, t) = 47.0449e 0.0210t sin(0.7249x) + 45.1413e 0.1113t sin(1.6679x) + 21.3586e 0.2872t sin(2.6795x) + 19.3403e 0.5505t sin(3.7098x) + 12.9674e 0.9015t sin(4.7474x) +
Daileda The heat equation

n 0.7249 1.6679 2.6795 3.7098 4.7474

cn 47.0449 45.1413 21.3586 19.3403 12.9674