Professional Documents
Culture Documents
MTH-203
T. Muthukumar
tmk@iitk.ac.in
I Semester, 2011-12
Contents
Contents
1 Lecture-23
1.1 Eigenvalue Problem . .
1.2 Sturm-Liouville Problem
1.3 Orthogonality . . . . . .
1.4 Singular Problems . . .
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2
2
4
5
6
2 Lecture-24
2.1 Periodic Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.2 Fourier Series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.3 Piecewise Smooth . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
7
7
8
10
3 Lecture-25
3.1 Orthogonality . . . . . . .
3.2 Odd-Even Functions . . .
3.3 Fourier Sine-Cosine Series
3.4 Fourier Integral . . . . . .
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11
11
12
12
13
4 Lecture-26
4.1 PDE-Introduction . .
4.2 Gradient and Hessian
4.3 PDE . . . . . . . . . .
4.4 Types of PDE . . . . .
4.5 PDE-Solution . . . . .
4.6 Well Posedness . . . .
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14
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14
15
15
16
16
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5 Lecture - 27
17
5.1 First order PDE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
5.2 Solving First Order PDE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
6 Lecture - 28
18
6.1 Transport Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
6.2 Cauchy Problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
7 Lecture - 29
21
7.1 Second Order PDE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
7.2 Classification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
7.3 Standard Forms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
8 Lecture - 30
24
8.1 Three Basic Linear PDE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
8.2 Laplace Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
9 Lecture - 31
25
9.1 Dirichlet Problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
9.2 DP On Rectangle . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
10 Lecture - 32
28
10.1 Laplace Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
10.2 Laplacian on a 2D-Disk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
11 Lecture - 33
30
11.1 Laplace Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
11.2 Laplacian on a 3D-Sphere . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
12 Lecture-34
12.1 Eigenvalues of Laplacian
12.2 Computing Eigenvalues
12.3 In Rectangle . . . . . .
12.4 In Disk . . . . . . . . .
12.5 Bessels Function . . . .
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33
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33
33
34
35
13 Lecture - 35
36
13.1 1D Heat Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
13.2 Solving for Circular Wire . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
14 Lecture - 36
39
14.1 1D Wave Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
15 Lecture - 37
41
15.1 Duhamels Principle . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
16 Lecture - 38
44
16.1 dAlemberts Formula . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
Lecture-23
1.1
Eigenvalue Problem
Motivation
Consider the problem,
y 00 (x) + y(x) = 0 x (a, b).
For a given R, we know the general solution, depending on whether < 0, = 0 or > 0.
What if is unknown too?
Note that y 0 is a trivial solution, for all R.
2
Eigenvalue problem
Definition 1.1. For a differential operator L, we say
Ly(x) = y(x)
to be the eigenvalue problem (EVP) corresponding to the differential operator L, where both and y are
unknown.
In an EVP we need to find all R for which the given ODE (equation) is solvable.
Does EVP ring any bell? Any similarity with diagonalisation of matrices from Linear Algebra? Think
about it!
Eigenvalues and Eigen Functions
Example 1.1. For instance, if L =
d2
dx2
Definition 1.2. A R, for which the EVP corresponding to L admits a non-trivial solution y is called
an eigenvalue of the operator L and y is said to be an eigen function corresponding to .
Explicit Computation
Consider the boundary value problem,
y 00 + y = 0 x (0, a)
y(0) = y(a) = 0.
Hence y(x) = e
+ e
Using the boundary condition y(0) = y(a) = 0, we get = = 0 and hence we have no non-trivial
solution corresponding to negative s.
> 0, Positive
Using the boundary condition y(0) = 0, we get = 0 and y(x) = sin( x).
1.2
Sturm-Liouville Problem
Sturm-Liouville Operator
We say an operator L is Sturm-Liouville operator (S-L) if
1 d
d
L=
p(x)
q(x) dx
dx
where p, q : [a, b] R is a continuous functions
such that p(x) > 0 and q(x) > 0
and p is continuously differentiable in (a, b).
If p q 1, we get the operator
d2
.
dx2
Sturm-Liouville Problem
Consider the Sturm-Liouville (S-L) problem,
(
dy
d
p(x)
x (a, b)
dx
dx + q(x)y = 0
y(a) = y(b) = 0.
Note that, for all R, zero is a trivial solution of S-L problem.
Thus, we are interested in s for which S-L problem has non-trivial solutions.
4
1.3
Orthogonality
Inner Product
We define the following inner product in the solution space V0 ,
b
Z
hf, gi :=
Definition 1.4. We say two functions f and g are perpendicular or orthogonal with weight q
if hf, gi = 0.
we say f is of unit length if its norm kf k =
p
hf, f i = 1.
Orthogonality of Eigenfunctions
Theorem 1.5. With respect to the inner product defined above in V0 , the eigen functions corresponding to
distinct eigenvalues of the S-L problem are orthogonal.
Proof
Proof. Let yi and yj are eigen functions corresponding to distinct eigenvalues i and j . We need to show
that hyi , yj i = 0. Recall that L is the S-L operator and hence Lyk = k yk , for k = i, j.Consider
Z
i hyi , yj i =
hLyi , yj i =
qLyi yj dx
a
Z b
dyi
dyi dyj (x)
yj (x) =
p(x)
dx
dx
dx dx
a
a
Z b
d
dyj
yi (x)
p(x)
= hyi , Lyj i = j hyi , yj i.
dx
dx
a
Z
=
=
d
dx
p(x)
1.4
Singular Problems
Singular Problems
What we have seen is the Regular S-L problems.
It is regular because the interval under consideration (a, b) was finite and the functions p(x) and q(x)
were positive and continuous on the whole interval.
We say a problem is Singular,
if the interval is infinite or
interval is finite, but p or q vanish at one (or both) endpoints or
interval is finite, but p or q is discontinuous at one (or both) endpoints.
Legendre Equation
The Legendre equation
(1 x2 )y 00 2xy 0 + y = 0
2x
1x2
and Q(x) =
1x2
a0
2 ,
a3 =
(2)a1
6
k=0
ak xk .
(k(k+1))ak
(k+2)(k+1) .
y(x) = a0 y1 +a1 y2 , where y1 , y2 are infinite series containing only even and odd powers of x, respectively.
In particular, y1 and y2 are solutions to the Legendre equations, by choosing a0 = 1, a1 = 0 and
viceversa.
Legendre Polynomial
Note that, for k 2,
ak+2 =
(k(k + 1) )ak
.
(k + 2)(k + 1)
Hence, for any n 2, if = n(n + 1), then an+2 = 0 and hence every successive (even or odd) term is
zero.
Also, if = 1(1 + 1) = 2, then a3 = 0.
If = 0(0 + 1) = 0, then a2 = 0.
Thus, for each n N {0}, we have n = n(n + 1) and a polynmial Pn of degree n which is a solution
to the Legendre equation.
6
Lecture-24
2.1
Periodic Functions
Periodic Functions
Definition 2.1. A function f : R R is said to be periodic of period T , if T > 0 is the smallest number
such that
f (t + T ) = f (t) t R.
Such functions are also called T -periodic functions.
Example 2.1.
2kt
T
and cos
2kt
T
in (, )
Hence y(x) = e
+ e
Using the boundary condition y() = y(), we get = and using the other boundary condition,
we get = = 0.
Hence we have no non-trivial solution corresponding to negative s.
> 0, Positive
ak yk = a0 0 +
k=0
2.2
k=1
Fourier Series
Fourier Series
Let f : R R be a T -periodic function. We also know that, for any positive integer k, sin
are T -periodic functions.
cos 2kt
T
Can we find sequences {ak } and {bk } in R, and a0 R such that the infinite series
a0 +
X
ak cos
k=1
2kt
T
+ bk sin
2kt
T
2kt
T
and
k=1
k=1
(1)
a0 +
f (t) dt =
!
(ak cos kt + bk sin kt)
k=1
Z
a0 (2) +
dt
k=1
!
(ak cos kt + bk sin kt)
dt
Since the series converges uniformly to f , then we can interchange integral and series. Thus,
Z
f (t) dt = a0 (2) +
Z
X
sin kt dt =
(ak cos kt + bk sin kt) dt
k=1
k N.(Exercise!)
cos kt dt = 0,
Hence,
a0 =
1
2
f (t) dt.
To find the coefficients ak , for each fixed k, we multiply both sides of (1) by cos kt and integrate from
to . Consequently, we get
Z
Z
f (t) cos kt dt = a0
cos kt dt
+
Z
Z
X
j=1
ak cos kt cos kt dt = ak .
Similar argument after multiplying by sin kt gives the formula for bk s. Thus, we derived, for all k N,
Z
1
f (t) cos kt dt
ak =
Z
1
f (t) sin kt dt
bk =
Z
1
f (t) dt.
a0 =
2
Exercises
For any m 0 and n positive integer
cos nt cos mt dt =
Hence,
cos
kt
is of unit length.
, for m = n
0, for m 6= n.
sin nt sin mt dt =
Hence,
sin
kt
, for m = n
0, for m 6= n.
is of unit length.
sin nt cos mt dt = 0.
(2)
k=1
k=1
converge?
If it converges, will it converge to f ?
If so, is the convergence point-wise or uniform etc
are questions one can ask and will not be dealt with in this course.
An Answer
Answering our question, in all generality, is rather difficult at this stage. However, we shall answer it in
a simple version which will suffice our purposes:
Theorem 2.3. If f : R R is a continuously differentiable (derivative f 0 exists and is continuous) T periodic function, then the Fourier series of f converges to f (t), for every t R.
2.3
Piecewise Smooth
Piecewise Smooth
Is continuity necessary for a function to admit Fourier expansion?
Definition 2.4. A function f : [a, b] R is said to be piecewise continuously differentiable if it has a
continuous derivative f 0 in (a, b), except at finitely many points in the interval [a, b] and at each these finite
points, the right-hand and left-hand limit for both f and f 0 exist.
10
Example
Consider f : [1, 1] R defined as f (t) = |t| is continuous. It is not differentiable at 0, but it is
piecewise continuously differentiable.
Consider the function f : [1, 1] R defined as
0,
for t = 0, 1, 1.
It is not continuous, but is piecewise continuous. It is also piecewise continuously differentiable.
Theorem 2.5. If f is a T -periodic piecewise continuously differentiable function,
then the Fourier series of f converges to f (t), for every t at which f is smooth.
At a non-smooth point t0 , the Fourier series of f will converge to the average of the right and left limits
of f at t0 .
Lecture-25
3.1
Orthogonality
Orthogonality
Let V be the real vector space of all 2-periodic real valued continuous function on R.
We introduce an inner product in V . For any two elements f, g V , we define:
Z
hf, gi :=
f (t)g(t) dt.
1
e0 (t) = ,
2
p
hf, f i = 1.
cos kt
sin kt
ek (t) =
and fk (t) = .
Example 3.1. e0 , ek and fk are all of unit length. he0 , ek i = 0 and he0 , fk i = 0. Also, hem , en i = 0 and
hfm , fn i = 0, for m 6= n. Further, hem , fn i = 0 for all m, n.
In this new formulation, we can rewrite the formulae for the Fourier coefficients as:
1
a0 = hf, e0 i,
2
1
1
ak = hf, ek i and bk = hf, fk i.
1
1 X
f (t) = hf, e0 i +
(hf, ek i cos kt + hf, fk i sin kt) .
2
k=1
11
3.2
Odd-Even Functions
3.3
f (t) =
f (t) , for t [T, 0].
bk sin
k=1
bk
1
T
1
T
1
T
2
T
kt
T
where
Z
1 T
kt
=
f (t) sin
dt
T T
T
"Z
#
Z T
0
kt
kt
f (t) sin
dt +
f (t) sin
dt
T
T
T
0
"Z
#
Z T
0
kt
kt
f (t) sin
dt +
f (t) sin
dt
T
T
T
0
Z T
kt
f (t) sin
dt.
T
0
f, sin
kt
T
12
(3)
f (t) =
f (t) , for t [T, 0].
f is, now, an even function which can be extended as a 2T -periodic function to all of R. The Fourier series
of f has no sine coefficients, bk = 0. The restriction of the Fourier series of f to f in the interval [0, T ] gives
the Fourier cosine series of f .
Fourier Cosine Series
f (t) = a0 +
ak cos
kt
T
k=1
where
2
ak =
T
f (t) cos
0
and
1
a0 =
T
3.4
kt
T
(4)
dt
f (t) dt.
0
Fourier Integral
Non-periodic functions
We know that the Fourier series of a 2-periodic function f is given as
f (t) = a0 +
k=1
13
where
a()
b()
Z
1
f (t) cos t dt
Z
1
f (t) sin t dt.
Lecture-26
4.1
PDE-Introduction
Partial Derivatives
Let u : R2 R be a two variable function,then its partial derivative (if limit exists) with respect to x is
given as,
u
u(x + h, y) u(x, y)
ux =
(x, y) := lim
.
h0
x
h
Similarly, one can consider partial derivative w.r.t y-variable and higher order derivatives, as well.
Multi-index Notation
Let = (1 , . . . , n ) be an n-tuple of non-negative integers.Let || = 1 + . . . + n . Consider the
derivative of || order
n
||
1
.
.
.
=
= D .
x1 1
xn n
x1 1 . . . xn n
If = (1, 2) then || = 3 and D =
3
xy 2 .
3
x2 y .
2
xy
4.2
2
yx .
D u=
2u
x21
2u
x2 x1
2u
xn x1
...
...
..
.
...
2u
x1 xn
2u
x2 xn
2u
x2n
nn
14
ux1 x1
ux1 x2
ux1 xn
...
...
..
.
...
uxn x1
uxn x2
uxn xn nn
Example
Example 4.1. Let u(x, y) : R2 R be u(x, y) = ax2 + by 2 . Then
u = (ux , uy ) = (2ax, 2by).
uxx uyx )
2a 0
2
D u=
=
uxy uyy
0 2b
2
4.3
PDE
Definition
Definition 4.1. Let be an open subset of Rn . A k-th order PDE F is a given map
k
F : Rn Rn
k1
. . . Rn R R
(5)
4.4
Types of PDE
Linear PDE
Definition 4.2. We say F is linear if (5) has the form
X
a (x)D u(x) = f (x)
for x ,
||k
for some given function f and a (1 || k). If f 0, we say F is homogeneous, else F is inhomogeneous
or non-homogeneous.
Example
Example 4.3.
1.
a1 (x)uxx + a2 (x)uxy + a3 (x)uyy + a4 (x)ux + a5 (x)uy = a6 (x)u.
2.
xuy yux = u.
15
Semilinear PDE
Definition 4.3. F is said to be semilinear, if it is linear in the highest order, i.e., F has the form
X
a (x)D u(x) + a0 (Dk1 u, . . . , Du, u, x) = 0.
||=k
Example 4.4.
ux + uy u2 .
Quasi and Non-linear
Definition 4.4. We say F is quasilinear if it has the form
X
a (Dk1 u(x), . . . , Du(x), u(x), x)D u
||=k
4.5
PDE-Solution
Notion of Solution
Definition 4.5. We say u : R is a solution to the k-th order PDE (5),
if u is k-times differentiable with the k-th derivative being continuous
and u satisfies the equation (5).
Henceforth, whenever we refer to a function as smooth, we mean that we are given as much differentiability
and continuity as we need.
4.6
Well Posedness
16
Lecture - 27
5.1
5.2
Method of Characteristics
We restrict ourselves to a function of two variables to fix ideas (and to visualize geometrically), however,
the ideas can be carried forward to functions of several variable.
Method of characteristics is a technique to reduce a given first order PDE to a system of ODE and
then solve the ODE using known methods to obtain the solution of the first order PDE.
Linear First Order PDE
Consider first order linear equation of two variable:
a(x, y)ux + b(x, y)uy = c(x, y).
(6)
c(x, y)
0.
Characteristic Equations
Solving the given first order linear PDEF is finding the surface S for which (a(x, y), b(x, y), c(x, y)) lie
on the tangent plane to S at (x, y, z).
The surface is the union of curves which satisfy the property of S.
Thus, for any curve S such that at each point of , the vector V (x, y) = (a(x, y), b(x, y), c(x, y) is
tangent to the curve.
Parametrizing the curve by the variable s, we see that we are looking for the curve = {x(s), y(s), z(s)}
R3 such that
dy
dx
= a(x(s), y(s)),
= b(x(s), y(s)),
ds
ds
dz
and
= c(x(s), y(s)).
ds
Example-Transport Equation
The three ODEs obtained are called characteristic equations. The union of these characteristic (integral)
curves give us the integral surface.
Example: Consider the linear transport equation, for a given constant a,
ut + aux = 0,
x R and t (0, ).
Thus, the vector field V (x, t) = (a, 1, 0). The characteristic equations are
dx
= a,
ds
dt
dz
= 1, and
= 0.
ds
ds
Eliminating the parameter s, we get the curves (lines) x at = a constant and z = a constant.
z = u(x, t) is constant along the lines x at = a constant.
That is, z is a function of x at, it changes value only when you switch between the lines. x at. Thus,
for any function g (smooth enough)
u(x, t) = g(x at)
is a general solution of the transport equation. Because,
ut + aux = g 0 (x at)(a) + ag 0 (x at) = 0.
Also, u(x, 0) = g(x).
6
6.1
Lecture - 28
Transport Equation
As before, the first two ODE will give the projection of characteristic curve in the xt plane, x at =
a constant, and the third ODE becomes
dz(s)
= f (x(s), t(s)).
ds
Lets say we need to find the value of u at the point (x0 , t0 ). The line passing through (x0 , t0 ) with slope
1/a is given by the equation x at = , where = x0 at0 .
If z has to be on the integral curve, then z(s) = u( + as, s).
Hence set z(s) := u( + as, s) and let (s) = + as be the line joining (, 0) and (x0 , t0 ) as s varies from
0 to t0 .
The third ODE becomes,
dz(s)
= f ((s), s) = f ( + as, s).
ds
Integrating both sides from 0 to t0 , we get
Z t0
f (x0 a(t0 s), s) ds = z(t0 ) z(0)
0
6.2
Cauchy Problem
Cauchy Problem
Recall that the general solution of the transport equation depends on the value of u at time t = 0, i.e.,
the value of u on the curve (x, 0) in the xt-plane.
Thus, the problem of finding a function u satisfying the first order PDE
a(x, y)ux + b(x, y)uy = c(x, y).
such that u is known on a curve in the xt-plane is called the Cauchy problem.
The question that arises at this moment is that: Does the knowledge of u on any curve lead to
solving the first order PDE.
The answer is: No.
Non-Characteristic Boundary Data
Suppose, in the transport problem, we choose the curve = {(x, t) | x at = 0}, then we had no
information to conclude u off the line x at = 0.
The characteristic curves should emanate from to determine u.
Thus, only those curves are allowed which are not characteristic curves, i.e., (a, b) is nowhere tangent
to the curve.
19
Definition 6.1. We say = {1 (r), 2 (r)} R2 is noncharacteristic for the Cauchy problem
a(x, y)ux + b(x, y)uy = c(x, y) (x, y) R2
u =
on
if is nowhere tangent to (a(1 , 2 ), b(1 , 2 )), i.e.,
(a(1 , 2 ), b(1 , 2 )) (20 , 10 ) 6= 0.
If is not noncharacteristic, then the Cauchy problem is not well-posed.
Transport Equation: IVP
For any given (smooth enough) function : R R,
ut + aux = 0
x R and t (0, )
u(x, 0) = (x) x R.
We know that the general solution of the transport equation is u(x, t) = g(x at) for some g. In the IVP,
in addition, we want the initial condition u(x, 0) to be satisfied. Thus,
u(x, 0) = g(x) = (x).
Thus, by choosing g = , we get the precise solution of the IVP.
Let be the (boundary) curve where the initial value is given, i.e., {(x, 0)}, the x-axis of xt-plane.
We have been given the value of u on . Thus, (, ) = {(x, 0, (x))} is the known curve on the solution
surface of u.
We parametrize the curve with r-variable, i.e., = {1 (r), 2 (r)} = {(r, 0)}.
is non-characteristic, because (a, 1) (0, 1) = 1 6= 0.
Thus, in this setup the ODEs are:
dt(r, s)
dz(r, s)
= 1, and
=0
ds
ds
dx(r, s)
= a,
ds
with initial conditions,
x(r, 0) = r,
t(r, s) = s + c2 (r)
We solve for r, s in terms of x, t and set u(x, t) = z(r(x, t), s(x, t)).
r(x, t) = x at and s(x, t) = t.
Therefore, u(x, t) = z(r, s) = (r) = (x at).
20
Lecture - 29
7.1
7.2
Classification
(7)
wy
6 0,
=
zy
because a nonvanishing Jacobian ensures the existence of a one-to-one transformation between (x, y)
and (w, z).
We get
ux
uw wx + uz zx ,
uy
uw wy + uz zy ,
uxx
uyy
uxy
b(w, z)
c(w, z)
22
7.3
Standard Forms
uxy = D(x,
y, u, ux , uy )
= D/2B. The above form is the first standard form of second order hyperbolic equation.
where D
If we introduce the linear change of variable X = x + y and Y = x y in the first standard form, we
get the second standard form of hyperbolic PDE
uXX uY Y = D(X,
Y, u, uX , uY ).
If the given second order PDE (7) is such that A = B = 0, then (7) is of parabolic type and a division
by C (since C 6= 0) gives
uyy = D(x,
y, u, ux , uy )
= D/C. The above form is the standard form of second order parabolic equation.
where D
If the given second order PDE (7) is such that A = C and B = 0, then (7) is of elliptic type and a
division by A (since A 6= 0) gives
b(w, z)
c(w, z)
23
Hyperbolic
If B 2 AC > 0, then to make a = c = 0, we need that wx /wy and zx /zy are roots of the quadratic
equation A 2 + 2B + C = 0.
B B 2 AC
.
=
A
Thus,
B + B 2 AC
zx
B B 2 AC
wx
=
and
=
.
wy
A
zy
A
Along the curve such that w = a constant, we have
0=
dw
dy
= wy
+ wx
dx
dx
dy
dy
dy
zx
x
= w
and hence dx
wy . Similarly, dx = zy . The characteristic curve is given by dx = .
In the parabolic case, B 2 AC = 0 and we have = B/A. Thus, we solve along the curve w = a
constant,
dy
=
dx
and choose z such that the Jacobian J 6= 0.
In the elliptic case, B 2 AC < 0. Thus, has a real and imaginary part. We solve
dy
=
dx
and choose the real part of the solution to be w and imaginary part to be the z.
Lecture - 30
8.1
2
i=1 x2i
Pn
The heat equation for a homogeneous material is ut (x, t) c2 u(x, t) = 0, for t 0 and c is a non-zero
constant.
The wave equation with normalised constants is
utt (x, t) c2 u(x, t) = 0
for t 0.
Superposition Principle
The three basic II order PDE are linear and satisfies the superposition principle: If u1 , u2 are solutions
of these equations, then
1 u1 + 2 u2
is also a solution, for all constants 1 , 2 R.
24
8.2
Laplace Equation
u = 0
A one dimensional Laplace equation is a ODE and is solvable with solutions u(x) = ax + b for some
constants a and b.
But in higher dimensions solving Laplace equation is not so simple. For instance, a two dimensional
Laplace equation
uxx + uyy = 0
has the trivial solution as all one degree polynomials of two variables.
In addition, xy, x2 y 2 , ex sin y and ex cos y are all solutions to Laplace equation.
Harmonic Functions
Definition 8.1. A n-variable function u whose second order derivatives exist and are continuous is said to
be harmonic if u(x) = 0 in the domain of x.
Studying harmonic functions is beyond the scope of this course, we shall just state one important property
of harmonic functions.
Maximum Principle
Theorem 8.2 (Maximum Principle). Let be a bounded open subset of Rn . Let u : R be a continuous
function which is twice continuously differentiable in , such that u is harmonic in . Then
max u = max u.
Lecture - 31
9.1
Dirichlet Problem
9.2
DP On Rectangle
Separation of Variable
We begin by looking for solution u(x, y) whose variables are separated, i.e., u(x, y) = v(x)w(y).
Substituting this form of u in the Laplace equation, we get
v 00 (x)w(y) + v(x)w00 (y) = 0.
Hence
v 00 (x)
w00 (y)
=
.
v(x)
w(y)
Since LHS is function of x and RHS is function y, they must equal a constant, say . Thus,
w00 (y)
v 00 (x)
=
= .
v(x)
w(y)
Solving for v
Using the boundary condition on u, u(0, y) = g(0, y) = g(a, y) = u(a, y) = 0, we get v(0)w(y) =
v(a)w(y) = 0.
If w 0, then u 0 which is not a solution to (8). Hence, w 6 0 and v(0) = v(a) = 0. Thus, we need
to solve,
00
v (x) = v(x), x (0, a)
v(0)
= v(a)
= 0,
the eigen value problem for the second order differential operator.
Solving Eigen Value Problem
Note that the can be either zero, positive or negative.
If = 0, then v 00 = 0 and the general solution is v(x) = x + , for some constants and .
Since v(0) = 0, we get = 0, and v(a) = 0 and a 6= 0 implies that = 0.
Thus, v 0 and hence u 0.
But, this can not be a solution to (8).
> 0, Positive
+ e
a = 0.
< 0, Negative
If < 0, then set =
We need to solve
v 00 (x) + 2 v(x)
v(0)
=0
x (0, a)
= v(a) = 0.
y (0, b)
uk = k sin
kx
a
sinh
ky
a
is a solution to (8).
The general solution is of the form (principle of superposition) (convergence?)
X
kx
ky
sinh
.
k sin
u(x, y) =
a
a
k=1
h(x) = u(x, b) =
k sinh
k=1
kb
a
sin
kx
a
10
10.1
Lecture - 32
Laplace Equation
1 2
1
r
+ 2 2
:=
r r
r
r
where r is the magnitude component and is the direction component.
10.2
Laplacian on a 2D-Disk
1 2u
1r r
r u
=0
in
r + r 2 2
u(r, + 2) = u(r, ) in
u(1, ) = g()
on
(9)
r d
v dr
dv
1 d2 w
r
=
.
dr
w d2
Since LHS is a function of r and RHS is a function of , they must equal a constant, say .
28
Solving for w
We need to solve the eigen value problem,
00
w () w() = 0
R
w( + 2)
= w() .
Note that the can be either zero, positive or negative.
If = 0, then w00 = 0 and the general solution is w() = + , for some constants and . Using
the periodicity of w,
+ = w() = w( + 2) = + 2 +
implies that = 0. Thus, the pair = 0 and w() = is a solution.
> 0, Positive
If > 0, then
w() = e
+ e
Solving for v
For the k s, we solve for vk , for each k = 0, 1, 2, . . .,
d
dvk
r
r
= k 2 vk .
dr
dr
For k = 0, we get v0 (r) = log r + . But log r blows up as r 0 and we wanted a u well behaved
near origin.
Thus, we must have the = 0. Hence v0 .
29
Cauchy-Euler Equation
For k N, we need to solve for vk in
d
r
dr
dvk
r
dr
= k 2 vk .
ds
= 1 and
Use the change of variable r = es . Then es dr
d
dr
d ds
ds dr
1 d
es ds .
d
Hence r dr
=
d
ds .
a0 X
+
ak rk cos(k) + bk rk sin(k) .
2
k=1
a0 X
g() =
+
[ak cos(k) + bk sin(k)] .
2
k=1
11
11.1
Lecture - 33
Laplace Equation
1
2
2
:= 2
r
+ 2
sin
+ 2 2
.
r r
r
r sin
r sin 2
where r is the magnitude component, is the inclination (elevation) in the vertical plane and is the
azimuth angle (in the direction in horizontal plane.
30
11.2
Laplacian on a 3D-Sphere
Laplacian on a Sphere-3D
Consider the unit sphere in R3 ,
= {(x, y, z) R3 | x2 + y 2 + z 2 < 1}
and is the boundary of sphere of radius one.
The DP is to find u(r, , ) : R which is well-behaved
1 2 u
1
r 2 r r r + r 2 sin sin
1
u
+ r2 sin
2 2
u(r, + 2, + 2)
u(1, , )
=0
= u(r, , )
= g(, )
in
in
on
(10)
+ 2 2
=0
2
2
r dr
dr
r sin d
d
r sin d2
and hence
1 d
v dr
r2
dv
dr
=
1 d
w sin d
sin
dw
d
1
d2 z
2 d2 .
z sin
Since LHS is a function of r and RHS is a function of (, ), they must equal a constant, say .
Azimuthal Symmetry
If Azimuthal symmetry is present then z() is constant and hence
We need to solve for w,
dz
d
= 0.
R
sin w00 () + cos w0 () + sin w() = 0
w( + 2) = w() .
Set x = cos .
Then
dx
d
= sin
w0 () = sin
dw
d2 w
dw
and w00 () = sin2 2 cos
dx
dx
dx
31
Legendre Equation
In the new variable x, we get the Legendre equation
(1 x2 )w00 (x) 2xw0 (x) + w(x) = 0 x [1, 1].
We have already seen that this is a singular problem (while studying S-L problems). For each k
N {0}, we have the solution (wk , k ) where
k = k(k + 1)
and wk () = Pk (cos ).
Solving for v
For the k s, we solve for vk , for each k = 0, 1, 2, . . .,
dvk
d
r2
= k(k + 1)vk .
dr
dr
For k = 0, we get v0 (r) = /r + . But 1/r blows up as r 0 and we wanted a u well behaved near
origin.
Thus, we must have the = 0. Hence v0 .
Cauchy-Euler Equation
For k N, we need to solve for vk in
d
dr
r
2 dvk
= k(k + 1)vk .
dr
ds
Use the change of variable r = es . Then es dr
= 1 and
d
dr
d ds
ds dr
ak rk Pk (cos ).
k=0
ak Pk (cos ).
k=0
g()Pk (cos ) d.
32
1 d
es ds .
d
Hence r dr
=
d
ds .
12
12.1
Lecture-34
Eigenvalues of Laplacian
12.2
Computing Eigenvalues
Specific Domains
Though the theorem assures the existence of eigenvalues for Laplacian, it is usually difficult to compute
them for a given .
In this course, we shall compute the eigenvalues when is a 2D-rectangle and a 2D-disk.
12.3
In Rectangle
(x, y)
(x, y) .
Separation Of Variable
We look for solutions of the form u(x, y) = v(x)w(y) (variable separated).
Substituting u in separated form in the equation, we get
v 00 (x)w(y) v(x)w00 (y) = v(x)w(y).
Hence
w00 (y)
v 00 (x)
=+
.
v(x)
w(y)
Since LHS is function of x and RHS is function y and are equal they must be some constant, say .
We need to solve the EVPs
v 00 (x) = v(x)
12.4
In Disk
u
1 2u
1
= u(r, )
(r, )
r r r r r 2 2
u() = u( + 2) R
u(a, ) = 0
R.
We look for solutions of the form u(r, ) = v(r)w() (variable separated).
34
a = 0.
r dr
dr
r
Hence dividing by vw and multiplying by r2 , we get
r d
dv
1
r
w00 () = r2 .
v dr
dr
w
r d
v dr
r
dv
dr
+ r2 =
1 00
w () = .
w
a0
2
Solving for v
For each k N {0}, we have the equation,
d
dv
r
r
+ (r2 k 2 )v = 0.
dr
dr
d
d
=x .
dr
dx
12.5
Bessels Function
2
/a2 and y(x) = Jk (x).
Hence a = zkl and so kl = zkl
Therefore, v(r) = Jk (zkl r/a).
For each k, l N {0}, we have
ukl (r, ) = Jk (zkl r/a) sin(k) or Jk (zkl r/a) cos(k)
and kl =
2
zkl
/a2 .
35
13
13.1
Lecture - 35
1D Heat Equation
u
u
=
(x)
t
(x)(x) x
x
where (x) is the alertspecific heat at x, (x) is density of bar at x and (x) is the thermal conductivity
of the bar at x.
If the bar is homogeneous, i.e, its properties are same at every point, then
2u
u
=
t
x2
with , , being constants.
IVP for Heat Equation
Let L be the length of a homogeneous rod insulated along sides and its ends are kept at zero temperature.
Then the temperature u(x, t) at every point of the rod, 0 x L and time t 0 is given by the
equation
u
2u
= c2 2
t
x
where c is a constant.
The temperature zero at the end points is given by the Dirichlet boundary condition
u(0, t) = u(L, t) = 0.
Also, given is the initial temperature of the rod at time t = 0, u(x, 0) = g(x), where g is given (or
known) such that g(0) = g(L) = 0.
Dirichlet Problem for Heat Equation
Given g : [0, L] R such that g(0) = g(L) = 0, we look for all the solutions of the Dirichlet problem
in (0, L) (0, )
ut (x, t) c2 uxx (x, t) = 0
u(0, t) = u(L, t) = 0
in (0, )
v 00 (x)
w0 (t)
=
.
c2 w(t)
v(x)
36
kx
L
e(kc/L) t ,
X
k=1
uk (x, t) =
k sin
k=1
kx
L
e(kc/L) t .
X
k=1
k sin
kx
L
Since g(0) = g(L) = 0, we know that g admits a Fourier Sine expansion and hence its coefficients k
are given as
Z
kx
2 L
k =
g(x) sin
.
L 0
L
37
13.2
where c is a constant.
We note that now u(, t) is 2-periodic in the variable . Thus,
u( + 2, t) = u(, t) R, t 0.
Let the initial temperature of the wire at time t = 0, be u(, 0) = g(), where g is a given 2-periodic
function.
IVP
Given a 2-periodic function g : R R, we look
ut (, t) c2 u (, t)
u( + 2, t)
u(, 0)
in R (0, )
in R (0, )
on R {t = 0}.
2 2
c t
u(, t) =
2 2
a0 X
+
[ak cos(k) + bk sin(k)] ek c t .
2
k=1
38
Particular Solution
We now use the initial temperature on the circle to find the particular solution. We are given u(, 0) =
g().
Thus,
g() = u(, 0) =
a0 X
+
[ak cos(k) + bk sin(k)]
2
k=1
14
14.1
Lecture - 36
1D Wave Equation
u(0, t) = u(L, t) = 0
u(x, 0) = g(x)
ut (x, 0) = h(x)
to solve
in
in
in
in
(0, L) (0, )
[0, )
[0, L]
(0, L)
v 00 (x)
w00 (t)
=
= .
2
c w(t)
v(x)
kx
L
[ak cos(kct/L) + bk sin(kct/L)] sin
k=1
kx
L
T /
2L
and the frequency of higher modes are integer multiples of the this frequency.
40
ak sin
k=1
kx
L
Since g(0) = g(L) = 0, we know that g admits a Fourier Sine expansion and hence its coefficients ak
are given as
Z
kx
2 L
g(x) sin
ak =
.
L 0
L
Differentiating u w.r.t t, we get
ut (x, t) =
(kc/L) [bk cos(kct/L) ak sin(kct/L)] sin
k=1
Thus,
h(x) = ut (x, 0) =
X
bk kc
k=1
and
bk =
2
kc
h(x) sin
sin
kx
L
kx
L
kx
L
.
.
Exercises!
Solve the wave equation for
2D Rectangle.
2D Disk.
15
15.1
Lecture - 37
Duhamels Principle
Duhamels Principle
Recall that we have studied the homogeneous IVP for heat and wave equation with non-zero initial
condition.
Duhamelss principle states that one can obtain a solution of the inhomogeneous IVP for heat and
wave from its homogeneous IVP.
41
ut (x, t) c2 u(x, t)
u(x, t)
u(x, 0)
= f (x, t)
=0
=0
ws (x, s) = f (x, s)
Since t (s, ), introducing a change of variable
wt (x, r) c2 w(x, r)
w(x, r)
w(x, 0)
in (0, )
in (0, )
on .
ws (x, t) ds =
w(x, t s) ds
0
Proof
Let us prove that u defined as
Z
w(x, t s) ds
u(x, t) =
0
w(x, t s) ds
ut (x, t) =
t 0
Z t
d(t)
=
wt (x, t s) ds + w(x, t t)
dt
0
d(0)
w(x, t 0)
dt
Z t
=
wt (x, t s) ds + w(x, 0).
0
Z
ut (x, t)
wt (x, t s) ds + w(x, 0)
=
0
=
0
42
Similarly,
Z
w(x, t s) ds.
u(x, t) =
0
Thus,
ut c2 u =
Z
f (x, t) +
wt (x, t s) c2 w(x, t s) ds
f (x, t).
u(x, 0) = ut (x, 0)
is u(x, t) =
Rt
0
in (0, )
in (0, )
in .
w(x, t s) ds
w(x, t s) = 0
in (0, )
w(x,
0)
=
0
on
wt (x, 0) = f (x, t) on .
Example
Consider the wave equation
u(x, 0) = ut (x, 0) = 0
in (0, ) (0, )
in (0, )
in (0, ).
w(0, t) = w(, t) = 0
w(x, 0) = 0
wt (x, 0) = sin 3x
in
in
in
in
(0, ) (0, )
(0, )
(0, )
(0, ).
k=1
43
Hence
w(x, 0) =
ak sin(kx) = 0.
k=1
k=1
1
sin(3ct) sin(3x).
3c
w(x, t s) ds
Z t
1
sin(3c(t s)) sin 3x ds
3c 0
Z
sin 3x t
sin(3c(t s)) ds
3c
0
sin 3x cos(3c(t s)) t
|0
3c
sin 3x
(1 cos 3ct) .
9c2
0
=
=
=
=
16
16.1
Lecture - 38
dAlemberts Formula
ut (x, 0) = h(x)
in R (0, )
in R {t = 0}
in R {t = 0},
+c
c
u = utt c2 uxx = 0.
t
x
t
x
We set v(x, t) =
c x
u(x, t) and hence
vt (x, t) + cvx (x, t) = 0
44
in R (0, ).
Since u(x, 0) = g(x) and a = c, in our case the solution reduces to,
Z
u(x, t)
f (x + c(t s) cs) ds
g(x + ct) +
0
Z
=
f (x + ct 2cs) ds
Z
1 xct
f (y) dy
g(x + ct) +
2c x+ct
Z x+ct
1
g(x + ct) +
f (y) dy.
2c xct
g(x + ct) +
=
=
=
=
Z x+ct
1
(h(y) cg 0 (y)) dy
g(x + ct) +
2c xct
1
g(x + ct) + (g(x ct) g(x + ct))
2
Z x+ct
1
+
h(y) dy
2c xct
Z x+ct
1
1
(g(x ct) + g(x + ct)) +
h(y) dy
2
2c xct
If c = 1, we have
1
1
u(x, t) = (g(x t) + g(x + t)) +
2
2
This is called the dAlemberts formula.
45
x+t
h(y) dy.
xt