Applied Partial Differential Equations: With Fourier...

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English reprint edition copyright © 2005 by Pearson Education Asia Limited and China Machine

Press.

Original English language title: Applied Partial Differential Equations ; with Fourier Series and

Boundary Value Problems, Fourth Edition (ISBN 0-13-065243-I) by Richard Haberman, Copyright ©

2004. 1998, 1987, 1983.

All rights reserved.

Published by arrangement with the original publisher, Pearson Education, Inc., publishing asPrentice Hall.

For sale and distribution in the People's Republic of China exclusively (except Taiwan, Hong Kong

SAR and Macau SAR).

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Contents

[Ill 125- iii

1 Heat Equation 1

1.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1

1.2 Derivation of the Conduction of Heatin a One-Dimensional Rod . . . . . . . . . . . . . . . .. . . . . . . 2

1.3 Boundary Conditions . . . . . . . . . . . . . . . . . . . . . . . . . . 12

1.4 Equilibrium Temperature Distribution . . . . . . . . . . . . . . . . 14

1.4.1 Prescribed Temperature . . . . . . . . . . . . . . . . . . . . 14

1.4.2 Insulated Boundaries . . . . . . . . . . . . . . .. . . . . .. 16

1.5 Derivation of the Heat Equationin Two or Three Dimensions . . . . . . . . . . . . . . .. . . . . . . 21

2 Method of Separation of Variables 352.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 352.2 Linearity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 362.3 Heat Equation with Zero Temperatures at Finite Ends . . . . . . . 38

2.3.1 Introduction . . . . . . . . . . . . . . . . . .. . . . . .. . . 382.3.2 Separation of Variables . . . . . . . . . . . . . . . . . . . . . 392.3.3 Time-Dependent Equation . . . . . . . . . . . . . . . . . . . 41

2.3.4 Boundary Value Problem . . . . . . . . . . . . . . . . . . . 422.3.5 Product Solutions and the Principle of Superposition . . . . 472.3.6 Orthogonality of Sines . . . . . . . . . . . . . . . . .. . . . 50

and InterpretationSolution2 3 7 - Formulation ,. . ,

of an Example . . . . . . . . . . . . . . . . . . . ... . . .. 512.3.8 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54

2.4 Worked Examples with the Heat Equation: Other Boundary ValueProblems . . . . . . . . . . . . . . . . . . . . . . . .. . . . . .. .. 59

2.4.1 Heat Conduction in a Rod with Insulated Ends . . . . . . . 592.4.2 Heat Conduction in a Thin Circular Ring . . . . . ... .. 632.4.3 Summary of Boundary Value Problems . . . . . . . .. ... 68

2.5 Laplace's Equation: Solutions and Qualitative Properties . . . ... 71

2.5.1 Laplace's Equation Inside a Rectangle . . . . . . . . . ... 71

vi Contents

2.5.2 Laplace's Equation for a Circular Disk . . . . . . . . . .. . 762.5.3 Fluid Flow Past a Circular Cylinder (Lift) . . . . . . . . .. 802.5.4 Qualitative Properties of Laplace's Equation . . . . . . . . . 83

3 Fourier Series 893.1 Introduction . . . . . . . . . . . . . . . . . . . .. .

.... . .. . . . 89

3.2 Statement of Convergence Theorem . . . . . . ... . . . . .. . . . 913.3 Fourier Cosine and Sine Series . . . . . . . . . .. . . . . . . . . . . 96

3.3.1 Fourier Sine Series . . . . . . . . . . . . . . . . . . . . . . . 963.3.2 Fourier Cosine Series . . . . . . . . . . . . . . . . . . . . . . 1063.3.3 Representing f (x) by Both a Sine and Cosine Series . . . . 1083.3.4 Even and Odd Parts . . . . . . .. .. . .. . . . . .... . 1093.3.5 Continuous Fourier Series . . . . . . . . . . . . . . . . . . . 111

3.4 Term-by-Term Differentiation of Fourier Series . . . . . . . . . .. . 1163.5 Term-By-Term Integration of Fourier Series . . . . . . . . . . . . . 1273.6 Complex Form of Fourier Series . . . . . . . . . . . . . . . . . ... 131

4 Wave Equation: Vibrating Strings and Membranes 1354.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . 1354.2 Derivation of a Vertically Vibrating String . . . . . . . . . . . . . . 1354.3 Boundary Conditions . . . . . . . . . . . . . . . . . . . . . . . . . . 1394.4 Vibrating String with Fixed Ends . . . . . . . . . . . . . . . . . . . 1424.5 Vibrating Membrane . . . . . . . . . . . . . . . . . . . . . . . . . . 1494.6 Reflection and Refraction of Electromagnetic

(Light) and Acoustic (Sound) Waves . . . . . . . . . . . . . . . . . 1514.6.1 Snell's Law of Refraction . . . . . . . . .. . . . .. . . . .. 1524.6.2 Intensity (Amplitude) of Reflected and Refracted Waves . . 1544.6.3 Total Internal Reflection . . . . . . . . . .. . . . . . . . . . 155

5 Sturm-Liouville Eigenvalue Problems 1575.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . .. .. . . 1575.2 Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 158

5.2.1 Heat Flow in a Nonuniform Rod . . . . . . .. . . . .. .. 1585.2.2 Circularly Symmetric Heat Flow . . . .. . . . . . . . . . . 159

5.3 Sturm-Liouville Eigenvalue Problems . . . . . . . . .. . .. .. . . 1615.3.1 General Classification . . . . .. . . . . . .. . . . ... . . 1615.3.2 Regular Sturm-Liouville Eigenvalue Problem . . . . .. . . 1625.3.3 Example and Illustration of Theorems . .. . . . .. . .. . 164

5.4 Worked Example: Heat Flow in a Nonuniform Rod without Sources 1705.5 Self-Adjoint Operators and Sturm-Liouville Eigenvalue Problems . 1745.6 Rayleigh Quotient . . . . . . . . . . . . . . . .. . . . . . . . . ... 1895.7 Worked Example: Vibrations of a Nonuniform String . . .. . . . . 1955.8 Boundary Conditions of the Third Kind . . . . . . . . . .. . 1985.9 Large Eigenvalues (Asymptotic Behavior) . . . . . . . . . . . . . . . 2125.10 Approximation Properties . . . . . . . . . . . . . . . . . . . .. . . 216

Contents vii

6 Finite Difference Numerical Methods for PartialDifferential Equations 2226.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2226.2 Finite Differences and Truncated Taylor Series . . . . . . . .. . . . 2236.3 Heat Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 229

6.3.1 Introduction . . . . . . . . . . . . . . . . .. . . . . . . . . . 2296.3.2 A Partial Difference Equation .. . . . . . . . . . . . .. . . 2296.3.3 Computations . . . . . . . . . . . . . . . . . . . . .. . . . . 2316.3.4 Fourier-von Neumann Stability Analysis . . . . . . . . . .. 2356.3.5 Separation of Variables for Partial Difference

Equations and Analytic Solutionsof Ordinary Difference Equations . . . . .. . . . . . . . . . 241

6.3.6 Matrix Notation . . . . . . . . . . . . . . . . . . . . . . . . 2436.3.7 Nonhomogeneous Problems . . . . . . . .. . . . . . . . . . 2476.3.8 Other Numerical Schemes . . . . . . . . . . . . . . . . . . . 2476.3.9 Other Types of Boundary Conditions . . . . . . . . . . . . . 248

6.4 Two-Dimensional Heat Equation . . . . . . . . . .. .. . . .. . . . 2536.5 Wave Equation . . . . . . . . . .. . . . . . . . . . . . . . . . . . . 2566.6 Laplace's Equation . . . . . . . . . . . . . . . . .. . . . . . . . .. 2606.7 Finite Element Method . . . . . . . . . . . . .. . . . . . . . . . . . 267

6.7.1 Approximation with Nonorthogonal Functions(Weak Form of the Partial Differential Equation) . . . .. 267

6.7.2 The Simplest Triangular Finite Elements . . . .. . . . . . . 270

7 Higher Dimensional Partial Differential Equations 2757.1 Introduction . . . . . . . 2757.2 Separation of the Time Variable . . . . . . . . . . . . . . . . . . . . 276

7.2.1 Vibrating Membrane: Any Shape . . . . . . . . . . . . . . . 2767.2.2 Heat Conduction: Any Region . . . . . . . . . . . . . . . . . 2787.2.3 Summary . . . . . . . . . . . . . . . . . . . ... . ..... 279

7.3 Vibrating Rectangular Membrane . . . . . . . . . ... . .. . .. . 2807.4 Statements and Illustrations of Theorems

for the Eigenvalue Problem V20 + Aq = 0 . . . . . . . .. . .. .. 2897.5 Green's Formula, Self-Adjoint Operators and Multidimensional

Eigenvalue Problems . . . . . .. . . . . . . . . . . . . . . .. . . . 2957.6 Rayleigh Quotient and Laplace's Equation . . . . . . . . . . . . . . 300

7.6.1 Rayleigh Quotient . . . . . . . . . . . . . . . . .. . . . . . 3007.6.2 Time-Dependent Heat Equation and Laplace's

Equation . . . . . . . . . . . . . . . . . . . . . . . ... . .. 3017.7 Vibrating Circular Membrane

and Bessel Functions . . . . . . . . . . . . . . . .. . . . ...... 3037.7.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . 3037.7.2 Separation of Variables . . . . . . . . . . . . . . . . .. ... 3037.7.3 Eigenvalue Problems (One Dimensional) . . . . . . . . . . . 3057.7.4 Bessel's Differential Equation . . . .. . . .. . .. . .. . . 3067.7.5 Singular Points and Bessel's Differential Equation ...... 307

viii Contents

7.7.6 Bessel Functions and Their Asymptotic Properties(nearz=0) . . . . . . . . . . . . . . . . . . . .. . . .. . 308

7.7.7 Eigenvalue Problem Involving Bessel Functions . . .. .. . 3097.7.8 Initial Value Problem for a Vibrating Circular

Membrane . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3117.7.9 Circularly Symmetric Case . . . . . . . . . . . . . . .. . . . 313

7.8 More on Bessel Functions . . . . . . . . . . . . . . . . . . . .. . . . 3187.8.1 Qualitative Properties of Bessel Functions . . . . . .. . . . 3187.8.2 Asymptotic Formulas for the Eigenvalues . . . . . .. . . . 3197.8.3 Zeros of Bessel Functions and Nodal Curves . . . . . . . . . 3207.8.4 Series Representation of Bessel Functions . . . . . . . ... 322

7.9 Laplace's Equation in a Circular Cylinder . .. . . . . . . . . . . . 3267.9.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . 3267.9.2 Separation of Variables . . . . . . . . . . . . . . . . . . . . . 3267.9.3 Zero Temperature on the Lateral Sides

and on the Bottom or Top . . . . . . . . . . . . . . . . . . . 3287.9.4 Zero Temperature on the Top and Bottom . . . . . . . .. . 3307.9.5 Modified Bessel Functions . . . . . . . . . . . . . . . . .. . 332

7.10 Spherical Problems and Legendre Polynomials . . . . . . . . . . . . 3367.10.1 Introduction . . . . . . . . . . . . . . . . . . . ... . . .. . 3367.10.2 Separation of Variables and One-Dimensional

Eigenvalue Problems . . . . . . . . . . . . . . . . . . . . . . 3377.10.3 Associated Legendre Functions and Legendre

Polynomials . . . . . . . . . . . . . . . . . . . . . . . . . .. 3387.10.4 Radial Eigenvalue Problems . . . . . . . . . . . . . . .. . . 3417.10.5 Product Solutions, Modes of Vibration,

and the Initial Value Problem . . . . . . . . . . . . . . . . . 3427.10.6 Laplace's Equation Inside a Spherical Cavity . . . . . . . . 343

8 Nonhomogeneous Problems 3478.1 Introduction . . . . . . . . . . . . . . . . . . . .. . . . . . . . ... 3478.2 Heat Flow with Sources

and Nonhomogeneous Boundary Conditions . . . . . . . . .. ... 3478.3 Method of Eigenfunction Expansion with Homogeneous Boundary

Conditions (Differentiating Series of Eigenfunctions) . .. . .. ... 3548.4 Method of Eigenfunction Expansion Using Green's Formula (With

or Without Homogeneous Boundary Conditions) . . . . . .. . . .. 3598.5 Forced Vibrating Membranes and Resonance . . . . . . . . . . . . . 3648.6 Poisson's Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . 372

9 Green's Functions forTime-Independent Problems 3809.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . .. . . . . .. 3809.2 One-dimensional Heat Equation . . . . . . . . .. . . . . .. . . .. 3809.3 Green's Functions for Boundary Value Problems for Ordinary Dif-

ferential Equations . . . . . . . . . . . . . . . . . .. . . . . ... . 385

Contents ix

9.3.1 One-Dimensional Steady-State Heat Equation . . . . . . . . 3859.3.2 The Method of Variation of Parameters . . . . . . . . . . . 3869.3.3 The Method of Eigenfunction Expansion

for Green's Functions . . . . . . . . . . .. . . ... . . . . . 3899.3.4 The Dirac Delta Function and Its Relationship

to Green's Functions . . . . . . . . . . . . . . . . . . . . . . 3919.3.5 Nonhomogeneous Boundary Conditions . . . . . . . . . . . 3979.3.6 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . 399

9.4 Fredholm Alternative andGeneralized Green's Functions . . . . . . . . . . . . . . . . . . . . . 4059.4.1 Introduction . . . . . .. . . . . . . . .. . . . . . . . . . . . 4059.4.2 Fredholm Alternative . . . . . . . . . . . . . . . . . . . . . . 4079.4.3 Generalized Green's Functions . . . . . . . . . . . . . . . .. 409

9.5 Green's Functions for Poisson's Equation . . . . . . . . . . . . . . . 4169.5.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . 4169.5.2 Multidimensional Dirac Delta Function

and Green's Functions . . . . . . . . . . . . . . . . . . . . . 4179.5.3 Green's Functions by the Method of Eigenfunction

Expansion and the Fredholm Alternative . . . . . . . . . . . 4189.5.4 Direct Solution of Green's Functions

(One-Dimensional Eigenfunctions) . . . . . . . . . . . . ... 4209.5.5 Using Green's Functions for Problems

with Nonhomogeneous Boundary Conditions . . . . . . . . . 4229.5.6 Infinite Space Green's Functions . . . . . . . . . . . . . . . 4239.5.7 Green's Functions for Bounded Domains

Using Infinite Space Green's Functions .. . . . . . . . . . . 4269.5.8 Green's Functions for a Semi-Infinite Plane (y > 0)

Using Infinite Space Green's Functions:The Method of Images . . . . . . . . . . . . . . . . . . . . . 427

9.5.9 Green's Functions for a Circle: The Method of Images . . . 4309.6 Perturbed Eigenvalue Problems . . . . . . . . . . . . . . . . . . . . 438

9.6.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . 4389.6.2 Mathematical Example . . . . . . . . . . . . . . . . . . . . . 4389.6.3 Vibrating Nearly Circular Membrane . . . . . . . . . . . . . 440

9.7 Summary . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . 443

10 Infinite Domain Problems:Fourier Transform Solutions of Partial Differential Equations 44510.1 Introduction . . . . . . . . . . . 44510.2 Heat Equation on an Infinite Domain . . . . . . . . .. . . . . . . . 44510.3 Fourier Transform Pair . . . . . . . . . .. . . . . . . . . . . . . . . 449

10.3.1 Motivation from Fourier Series Identity . . . . . . . . . . . . 44910.3.2 Fourier Transform . . . . .. . . . . . . . . . . . . . . . .. 45010.3.3 Inverse Fourier Transform of a Gaussian . . . . . . .. . . . 451

10.4 Fourier Transform and the Heat Equation . . . . . . . . .. . . . . 45910.4.1 Heat Equation . . . . . . . . . . . . . . . . . . . . . . . . . 459

x Contents

10.4.2 Fourier Transforming the Heat Equation:Transforms of Derivatives . . . . . . . . . . . . . . . . 464

10.4.3 Convolution Theorem . . . . . . . . . . . . . . . . . . . . 46610.4.4 Summary of Properties of the Fourier Transform . . . . . . 469

10.5 Fourier Sine and Cosine Transforms:The Heat Equation on Semi-Infinite Intervals . . . . . . . . . . . . . 47110.5.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . 47110.5.2 Heat Equation on a Semi-Infinite Interval I . . . . . . . . . 47110.5.3 Fourier Sine and Cosine Transforms . . . . . . . . . . . . . 47310.5.4 Transforms of Derivatives . . . . . . . . . . . . . . . . . . . 47410.5.5 Heat Equation on a Semi-Infinite Interval II . . . . . . . . . 47610.5.6 Tables of Fourier Sine and Cosine Transforms . . . . . . . . 479

10.6 Worked Examples Using Transforms . . . . . . . . . . . . . . . . . . 48210.6.1 One-Dimensional Wave Equation

on an Infinite Interval . . . . . . . . . . . . . . . . . . . . . 48210.6.2 Laplace's Equation in a Semi-Infinite Strip . . . . . . . . . . 48410.6.3 Laplace's Equation in a Half-Plane . . . . . . . . . . . . . . 48710.6.4 Laplace's Equation in a Quarter-Plane . . . . . . . . . . . . 49110.6.5 Heat Equation in a Plane

(Two- Dimensional Fourier Transforms) . . . . . . . . . . . . 49410.6.6 Table of Double-Fourier Transforms . . . . . . . . . . . . . 498

10.7 Scattering and Inverse Scattering . . . . . . . . . . . . . . . . . . . 503

11 Green's Functions for Wave and Heat Equations 50811.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50811.2 Green's Functions for the Wave Equation . . . . . . . . . . . . . . . 508

11.2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . 50811.2.2 Green's Formula . . . . . . . . . . . . . . . . . . . . . . . . 51011.2.3 Reciprocity . . . . . . . . . . . . . . . . . . . . . . . . . . . 51111.2.4 Using the Green's Function . . . .. . . . . .. . . . . .. . 5131.1.2.5 Green's Function for the Wave Equation . . . . . . . . . . . 51511.2.6 Alternate Differential Equation for the Green's

Function . . . . . . . . . . . . . . . . . . . . . . . . . ... . 51511.2.7 Infinite Space Green's Function for the

One-Dimensional Wave Equation and d'Alembert'sSolution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 516

11.2.8 Infinite Space Green's Function for the Three-Dimensional Wave Equation (Huygens' Principle) . . . ... 518

11.2.9 Two-Dimensional Infinite Space Green's Function . . . . . . 52011.2.10 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . 520

11.3 Green's Functions for the Heat Equation . . . . . . . . . . . . . . . 52311.3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . 52311.3.2 Non-Self-Adjoint Nature of the Heat Equation . . . . . . . . 52411.3.3 Green's Formula . . . . . . . . . . . . . . . . . . . . . . . . 52511.3.4 Adjoint Green's Function . . . . . . . . . . .. . . . . .. . 52711.3.5 Reciprocity . . . . . . . . . . . . . . . . . . . . . . . . . . . 527

Contents xi

11.3.6 Representation of the SolutionUsing Green's Functions . . . . . . . . . . . . . . . .. . . . 528

11.3.7 Alternate Differential Equation for the Green's Function . 53011.3.8 Infinite Space Green's Function for the Diffusion

Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53011.3.9 Green's Function for the Heat Equation

(Semi-Infinite Domain) . . . . . . . . . . . . . . . . . . . . . 53211.3.10 Green's Function for the Heat Equation

(on a Finite Region) . . . . . . . . .. . . . . . . . . . . . . 533

12 The Method of Characteristics for Linear and Quasilinear WaveEquations 53612.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53612.2 Characteristics for First-Order Wave Equations . . . . . .. . . . . 537

12.2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . 53712.2.2 Method of Characteristics for First-Order

Partial Differential Equations . . . . . . . . . . . . . . . . . 53812.3 Method of Characteristics for the One-Dimensional Wave Equation 543

12.3.1 General Solution . . . . . . . . . . . . . . . . . . . . . . . . 54312.3.2 Initial Value Problem (Infinite Domain) . . . . . . . . . . . 54512.3.3 D'alembert's Solution . . . . . . . . . . . . . . . . . . . . . 549

12.4 Semi-Infinite Strings and Reflections . . . . . . . . . . . . . . . . . 55212.5 Method of Characteristics

for a Vibrating String of Fixed Length . . . . . . . . . . . . . . . . 55712.6 The Method of Characteristics

for Quasilinear Partial Differential Equations . . . .. . . . . . . . . 56112.6.1 Method of Characteristics . . . . . . . . . . . . . . . . . . . 56112.6.2 Traffic Flow . . . . . . . . . . . . . . . . . . . . . . . . . . . 56212.6.3 Method of Characteristics (Q = 0) . . . . . . . . . . . . . . 56412.6.4 Shock Waves . . . . . . . . . . . . . . . .. . . . . . . .. . 56712.6.5 Quasilinear Example . . . . . . . . . . . . . . . . . . . . . . 579

12.7 First-Order NonlinearPartial Differential Equations . . . . . . . . . . . . .. . . . . . . . 58512.7.1 Eikonal Equation Derived from the Wave Equation . . . . . 58512.7.2 Solving the Eikonal Equation in Uniform Media

and Reflected Waves . . . . . . . . . . . . . . . . . . . . . . 58612.7.3 First-Order Nonlinear Partial Differential Equations . . . . 589

13 Laplace Transform Solution of Partial Differential Equations 59113.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59113.2 Properties of the Laplace Transform . . . . . . . . . . . . . . . . . . 592

13.2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . 59213.2.2 Singularities of the Laplace Transform . . . . . . . . .. . . 59213.2.3 Transforms of Derivatives . . . . . . . . . . . . . .. .. . . 59613.2.4 Convolution Theorem . . . . . . . . . . . . . . . . . . . . . 597

xii Contents

13.3 Green's Functions for Initial Value Problemsfor Ordinary Differential Equations .. .. . .. . . . . . . . . . . . 601

13.4 A Signal Problem for the Wave Equation . . .. .... .. . .. . . 60313.5 A Signal Problem for a Vibrating String

of Finite Length . . .. . . . . . . . .. . . . .. . . .. .. . . . . . 60613.6 The Wave Equation and its Green's Function . . . . . . . . . . . . 61013.7 Inversion of Laplace Transforms Using

Contour Integrals in the Complex Plane . . . . . . . . . . . . . . . 61313.8 Solving the Wave Equation Using

Laplace Transforms (with Complex Variables) . . . .. . .. .. . . 618

14 Dispersive Waves: Slow Variations, Stability, Nonlinearity, andPerturbation Methods 62114.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62114.2 Dispersive Waves and Group Velocity . .. . . . . . .. . . . .. . . 622

14.2.1 `Raveling Waves and the Dispersion Relation . . . . . . . . 62214.2.2 Group Velocity I . . . . . . ... ... . . .... . . . . . . 625

14.3 Wave Guides . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62814.3.1 Response to Concentrated Periodic Sources

with Frequency w f . . . . . . . . . . . . . . . . . ... . . . . 63014.3.2 Green's Function If Mode Propagates . . . . .. ... . . .. 63114.3.3 Green's Function If Mode Does Not Propagate . . . . . . . 63214.3.4 Design Considerations . . . .. . . . . .. . .. . . . . . .. 632

14.4 Fiber Optics . . . . . . . . . . . . . . .. .. . . . . .. .. . . . . . 63414.5 Group Velocity II

and the Method of Stationary Phase . . . . . . . . . . . . . . . . . 63814.5.1 Method of Stationary Phase .. .. . . . . . .. .. . . .. . 63914.5.2 Application to Linear Dispersive Waves . . . . . . . . . . . 641

14.6 Slowly Varying Dispersive Waves (Group Velocity and Caustics) . . 64514.6.1 Approximate Solutions of

Dispersive Partial Differential Equations . . .. . .. .. . . 64514.6.2 Formation of a Caustic . . . .. . . . . .. . .. . ... .. . 648

14.7 Wave Envelope Equations(Concentrated Wave Number) . . . . . . . . . . . . . . . . . . . . . 65414.7.1 Schrodinger Equation . . . . . . . .. .. . .... .. ... 65514.7.2 Linearized Korteweg-de Vries Equation . . . . . . . . . . . . 65714.7.3 Nonlinear Dispersive Waves:

Korteweg-deVries Equation . . . . . . . . . . . . . . . . . . 65914.7.4 Solitons and Inverse Scattering .. . . . . .... .. .. .. 66214.7.5 Nonlinear Schrodinger Equation . . . . . . . . . . . . . . . . 664

14.8 Stability and Instability . . . . . . .. .. .. . . . . ... . . . . .. 66914.8.1 Brief Ordinary Differential Equations

and Bifurcation Theory . . ... ... .. . .. . ... ... 66914.8.2 Elementary Example of a Stable Equilibrium

for a Partial Differential Equation ... . . . . . .... ... 676

Contents xii i

14.8.3 Typical Unstable Equilibrium for a PartialDifferential Equation and Pattern Formation . . . . . . . . 677

14.8.4 Ill posed Problems . . . . . . . . . . . . . . . . . . . . . . . 67914.8.5 Slightly Unstable Dispersive Waves and the

Linearized Complex Ginzburg-Landau Equation . . . . . . . 68014.8.6 Nonlinear Complex Ginzburg-Landau Equation . . . . . . . 68214.8.7 Long Wave Instabilities . . . . . . . . . . . . . . . . . . . . 68814.8.8 Pattern Formation for Reaction-Diffusion Equations

and the Turing Instability . . . . . . . . . . . . . . . . . . . 68914.9 Singular Perturbation Methods:

Multiple Scales . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69614.9.1 Ordinary Differential Equation:

Weakly Nonlinearly Damped Oscillator . . . . . . . . . . . . 69614.9.2 Ordinary Differential Equation:

Slowly Varying Oscillator . . . . . . . . . . . . . . . . . . . 69914.9.3 Slightly Unstable Partial Differential Equation

on Fixed Spatial Domain . . . . . . . . . . . . . . . . . . . . 70314.9.4 Slowly Varying Medium for the Wave Equation . . . . . . . 70514.9.5 Slowly Varying Linear Dispersive. Waves

(Including Weak Nonlinear Effects) . . . . . . . . . . . . . . 70814.10 Singular Perturbation Methods: Boundary Layers Method of Matched

Asymptotic Expansions . . . . . . . . . . . . . . . . . . . . . . . . . 71314.10.1 Boundary Laver in an

Ordinary Differential Equation . . . . . . . . . . . . . . . . 71314.10.2 Diffusion of a Pollutant Dominated by Convection . . . . . 719

Bibliography

Answers to Starred Exercises

Index

726

731

751

Chapter 1

Heat Equation

1.1 IntroductionWe wish to discuss the solution of elementary problems involving partial differ-ential equations, the kinds of problems that arise in various fields of science andengineering. A partial differential equation (PDE) is a mathematical equationcontaining partial derivatives, for example,

5 +35x =0. (1.1.1)

We could begin our study by determining what functions u(x, t) satisfy (1.1.1).However, we prefer to start by investigating a physical problem. We do this fortwo reasons. First, our mathematical techniques probably will be of greater inter-est to you when it becomes clear that these methods analyze physical problems.Second, we will actually find that physical considerations will motivate many of ourmathematical developments.

Many diverse subject areas in engineering and the physical sciences are domi-nated by the study of partial differential equations. No list could be all-inclusive.However, the following examples should give you a feeling for the type of areasthat are highly dependent on the study of partial differential equations: acoustics,aerodynamics, elasticity, electrodynamics, fluid dynamics, geophysics (seismic wavepropagation), heat transfer, meteorology, oceanography, optics, petroleum engineer-ing, plasma physics (ionized liquids and gases), and quantum mechanics.

We will follow a certain philosophy of applied mathematics in which the analysisof a problem will have three stages:

1. Formulation2. Solution3. Interpretation

We begin by formulating the equations of heat flow describing the transfer ofthermal energy. Heat energy is caused by the agitation of molecular matter. Two

1

2 Chapter 1. Heat Equation

basic processes take place in order for thermal energy to move: conduction and con-vection. Conduction results from the collisions of neighboring molecules in whichthe kinetic energy of vibration of one molecule is transferred to its nearest neighbor.Thermal energy is thus spread by conduction even if the molecules themselves donot move their location appreciably. In addition, if a vibrating molecule moves fromone region to another, it takes its thermal energy with it. This type of movementof thermal energy is called convection. In order to begin our study with relativelysimple problems, we will study heat flow only in cases in which the conduction ofheat energy is much more significant than its convection. We will thus think ofheat flow primarily in the case of solids, although heat transfer in fluids (liquidsand gases) is also primarily by conduction if the fluid velocity is sufficiently small.

1.2 Derivation of the Conduction of Heatin a One-Dimensional Rod

Thermal energy density. We begin by considering a rod of constant cross-sectional area A oriented in the x-direction (from x = 0 to x = L) as illustrated inFig. 1.2.1. We temporarily introduce the amount of thermal energy per unit volumeas an unknown variable and call it the thermal energy density:

e(x, t) __ thermal energy density.

We assume that all thermal quantities are constant across a section; the rod is one-dimensional. The simplest way this may be accomplished is to insulate perfectlythe lateral surface area of the rod. Then no thermal energy can pass through thelateral surface. The dependence on x and t corresponds to a situation in whichthe rod is not uniformly heated; the thermal energy density varies from one crosssection to another.

O(x,t)7T)

0

z

V U 1x=0 x x+Ox x=L

Figure 1.2.1 One-dimensional rod with heat energy flowing intoand out of a thin slice.

Heat energy. We consider a thin slice of the rod contained between x and x+Ox as illustrated in Fig. 1.2.1. If the thermal energy density is constant throughoutthe volume, then the total energy in the slice is the product of the thermal energy

1.2 Conduction of Heat in One-Dimension 3

density and the volume. In general, the energy density is not constant. However, ifOx is exceedingly small, then e(x, t) may be approximated as a constant throughoutthe volume so that

heat energy = e(x, t)A Ax,

since the volume of a slice is A Ax.

Conservation of heat energy. The heat energy between x and x + Oxchanges in time due only to heat energy flowing across the edges (x and x+Ox) andheat energy generated inside (due to positive or negative sources of heat energy).No heat energy changes are due to flow across the lateral surface, since we haveassumed that the lateral surface is insulated. The fundamental heat flow process isdescribed by the word equation

rate of change heat energy flowingof heat energy = across boundaries + heat energy generated

.in time per unit time inside perunit

t time.

This is called conservation of heat energy. For the small slice, the rate of changeof heat energy is

[e (x, t) A Ax] ,

where the partial derivative T is used because x is being held fixed.

Heat flux. Thermal energy flows to the right or left in a one-dimensionalrod. We introduce the heat flux:

heat flux (the amount of thermal energy per unittime flowing to the right per unit surface area).

If O(x, t) < 0, it means that heat energy is flowing to the left. Heat energy flowingper unit time across the boundaries of the slice is O(x, t)A-O(x+Ax, t) A, since theheat flux is the flow per unit surface area and it must be multiplied by the surfacearea. If O(x, t) > 0 and O(x + Ox, t) > 0, as illustrated in Fig. 1.2.1, then the heatenergy flowing per unit time at x contributes to an increase of the heat energy inthe slice, whereas the heat flow at x + Ox decreases the heat energy.

Heat sources. We also allow for internal sources of thermal energy:

.Q(x, t) = heat energy per unit volume generated per unit time,


perhaps due to chemical reactions or electrical heating. Q(x, t) is approximatelyconstant in space for a thin slice, and thus the total thermal energy generated perunit time in the thin slice is approximately Q(x, t)A Ax.

Conservation of heat energy (thin slice). The rate of change ofheat energy is due to thermal energy flowing across the boundaries and internalsources:

at [e(x, t)A Ax] : c(x. t)A - O(x + Ax, t)A + Q(x, t)A Ax. (1.2.1)

Equation (1.2.1) is not precise because various quantities were assumed approxi-mately constant for the small cross-sectional slice. We claim that (1.2.1) becomesincreasingly accurate as Ax --+ 0. Before giving a careful (and mathematically rigor-ous) derivation, we will just attempt to explain the basic ideas of the limit process,Ax 0. In the limit as Ax -+ 0, (1.2.1) gives no interesting information, namely,0 = 0. However, if we first divide by Ax and then take the limit as Ax -+ 0, weobtain

8e = O(x, t) - 4(x + Ax, t)+ Q(x (1.2.2)

at nzmo AX, t),

where the constant cross-sectional area has been cancelled. We claim that thisresult is exact (with no small errors), and hence we replace the in (1.2.1) by = in(1.2.2). In this limiting process, Ax 0, t is being held fixed. Consequently, fromthe definition of a partial derivative,

ae 00 +n= -1 at ax

(1.2.3)

Conservation of heat energy (exact). An alternative derivation ofconservation of heat energy has the advantage of our not being restricted to smallslices. The resulting approximate calculation of the limiting process (Ax , 0) isavoided. We consider any finite segment (from x = a to x = b) of the Qriginal one-dimensional rod (see Fig. 1.2.2). We will investigate the conservation of heat energyin this region. The total heat energy is fa e(x, t)A dx, the sum of the contributionsof the infinitesimal slices. Again it changes only due to heat energy flowing throughthe side edges (x = a and x = b) and heat energy generated inside the region, andthus (after canceling the constant A)

dtje dr. 0(a, t) - q5(b, t) + dx.

a(1.2.4)

Technically, an ordinary derivative d/dt appears in (1.2.4) since fQ e dx dependsonly on t, not also on x. However,

fb 6dtedx=J -dx,a


t 4)(b, t)

0 x = a x=b L

Figure 1.2.2 Heat energy flowing intoand out of a finite segment of a rod.

if a and b are constants (and if e is continuous). This holds since inside the integralthe ordinary derivative now is taken keeping x fixed, and hence it must be replacedby a partial derivative. Every term in (1.2.4) is now an ordinary integral if we noticethat

4)(a, t) - 4)(b, t) = -J

b aodx

(thisl being valid if 0 is continuously differentiable). Consequently,

10e 84 \\&+8x-QIdx=O.f' \

This integral must be zero for arbitrary a and b; the area under the curve must bezero for arbitrary limits. This is possible only if the integrand itself is identicallyzero.2 Thus, we rederive (1.2.3) as

ae __ 046Q8t 8x

(1.2.5)

Equation (1.2.4), the integral conservation law, is more fundamental than thedifferential form (1.2.5). Equation (1.2.5) is valid in the usual case in which thephysical variables are continuous.

A further explanation of the minus sign preceding 84)/Ox is in order. For exam-ple, if 84)/8x > 0 for a < x < b, then the heat flux 0 is an increasing function ofx. The heat is flowing greater to the right at x = b than at x = a (assuming thatb > a). Thus (neglecting any effects of sources Q), the heat energy must decreasebetween x = a and x = b, resulting in the minus sign in (1.2.5).

'This is one of the fundamental theorems of calculus.2Most proofs of this result are inelegant. Suppose that f (x) is continuous and fa f (x) dx = 0

for arbitrary a and b. We wish to prove f (x) = 0 for all x. We can prove this by assuming thatthere exists a point xo such that f(xo) # 0 and demonstrating a contradiction. If f(xo) # 0 andf(x) is continuous, then there exists some region near xo in which f(x) is of one sign. Pick aand b to be in this region, and hence fa f(x)dx j4 0 since f (x) is of one sign throughout. Thiscontradicts the statement that fa f(x)dx = 0, and hence it is impossible for f(xo) # 0. Equation(1.2.5) follows.


Temperature and specific heat. We usually describe materials bytheir temperature,

u(x, t) = temperature,

not their thermal energy density. Distinguishing between the concepts of tempera-ture and thermal energy is not necessarily a trivial task. Only in the mid-1700s didthe existence of accurate experimental apparatus enable physicists to recognize thatit may take different amounts of thermal energy to raise two different materials fromone temperature to another larger temperature. This necessitates the introductionof the specific heat (or heat capacity):

specific heat (the heat energy that must be supplied to a unitmass of a substance to raise its temperature one unit).

In general, from experiments (and our definition) the specific heat c of a materialdepends on the temperature u. For example, the thermal energy necessary to raisea unit mass from 0°C to 1°C could be different from that needed to raise the massfrom 85°C to 86°C for the same substance. Heat flow problems with the specificheat depending on the temperature are mathematically quite complicated. (Exer-cise 1.2.6 briefly discusses this situation.) Often for restricted temperature intervals,the specific heat is approximately independent of the temperature. However, exper-iments suggest that different materials require different amounts of thermal energyto heat up. Since we would like to formulate the correct equation in situationsin which the composition of our one-dimensional rod might vary from position toposition, the specific heat will depend on x, c = c(x). In many problems the rod ismade of one material (a uniform rod), in which case we will let the specific heat cbe a constant. In fact, most of the solved problems in this text (as well as otherbooks) correspond to this approximation, c constant.

Thermal energy. The thermal energy in a thin slice is e(x, t)A Ox. How-ever, it is also defined as the energy it takes to raise the temperature from a referencetemperature 0° to its actual temperature u(x, t). Since the specific heat is inde-pendent of temperature, the heat energy per unit mass is just c(x)u(x, t). We thusneed to introduce the mass density p(x):

p(x) = mass density (mass per unit volume),

allowing it to vary with x, possibly due to the rod being composed of nonuniformmaterial. The total mass of the thin slice is pA Ax. The total thermal energy inany thin slice is thus c(x)u(x, t) pA Ax, so that

e(x, t) A Ax - c(x)u(--, t)pA Ax.


In this way we have explained the basic relationship between thermal energy andtemperature:

e(x,t) = c(x)p(x)u(x,t). (1.2.6)

This states that the thermal energy per unit volume equals the thermal energyper unit mass per unit degree times the temperature times the mass density (massper unit volume). When the thermal energy density is eliminated using (1.2.6),conservation of thermal energy, (1.2.3) or (1.2.5), becomes

Ou 00c(x)P(x)

tat 8x +Q-(1.2.7)

Fourier's law. Usually, (1.2.7) is regarded as one equation in two unknowns,the temperature u(x, t) and the heat flux (flow per unit surface area per unit time)m(x, t). How and why does heat energy flow? In other words, we need an expressionfor the dependence of the flow of heat energy on the temperature field. First wesummarize certain qualitative properties of heat flow with which we are all familiar:

1. If the temperature is constant in a region, no heat energy flows2. If there are temperature differences, the heat energy flows from the hotter

region to the colder region.3. The greater the temperature differences (for the same material), the greater

is the flow of heat energy.4. The flow of heat energy will vary for different materials, even with the same

temperature differences.

Fourier (1768-1830) recognized properties 1 through 4 and summarized them (aswell as numerous experiments) by the formula

_ -Koax,

(1.2.8)

known as Fourier's law of heat conduction. Here 8u/8x is the derivative of thetemperature; it is the slope of the temperature (as a function of x for fixed t); itrepresents temperature differences (per unit length). Equation (1.2.8) states thatthe heat flux is proportional to the temperature difference (per unit length). If thetemperature u increases as x increases (i.e., the temperature is hotter to the right),09u/8x > 0, then we know (property 2) that heat energy flows to the left. Thisexplains the minus sign in (1.2.8).

We designate the coefficient of proportionality Ko. It measures the ability of thematerial to conduct heat and is called the thermal conductivity. Experiments


indicate that different materials conduct heat differently; K° depends on the partic-ular material. The larger Ko is, the greater the flow of heat energy with the sametemperature differences. A material with a low value of K° would be a poor con-ductor of heat energy (and ideally suited for home insulation). For a rod composedof different materials, K° will be a function of x. Furthermore, experiments showthat the ability to conduct heat for most materials is different at different temper-atures, K°(x,u) . However, just as with the specific heat c, the dependence on thetemperature is often not important in particular problems. Thus, throughout thistext we will assume that the thermal conductivity K° only depends on x, Ko(x).Usually, in fact, we will discuss uniform rods in which K° is a constant.

Heat equation. If Fourier's law, (1.2.8), is substituted into the conservationof heat energy equation, (1.2.7), a partial differential equation results:

au au}cp 5 ax K° ax J + Q (1.2.9)

We usually think of the sources of heat energy Q as being given, and the onlyunknown being the temperature u(x, t). The thermal coefficients c, p, K° all dependon the material and hence may be functions of x. In the special case of a uniform rod,in which c, p, K° are all constants, the partial differential equation (1.2.9) becomes

au a2ucp at =

K° axe + Q.

If, in addition, there are no sources, Q = 0, then after dividing by the constant cp,the partial differential equation becomes

au a2uat = kaxe

where the constant k,

(1.2.10)

k= K°cp

is called the thermal diffusivity, the thermal conductivity divided by the productof the specific heat and mass density. Equation (1.2.10) is often called the heatequation; it corresponds to no sources and constant thermal properties. If heatenergy is initially concentrated in one place, (1.2.10) will describe how the heatenergy spreads out, a physical process known as diffusion. Other physical quan-tities besides temperature smooth out in much the same mariner, satisfying thesame partial differential equation (1.2.10). For this reason (1.2.10) is also knownas the diffusion equation- For example, the concentration u(x, t) of chemicals(such as perfumes and pollutants) satisfies the diffusion equation (1.2.8) in certainone-dimensional situations.


Initial conditions. The partial differential equations describing the flow ofheat energy, (1.2.9) or (1.2.10), have one time derivative. When an ordinary differ-ential equation has one derivative, the initial value problem consists of solving thedifferential equation with one initial condition. Newton's law of motion for the posi-tion x of a particle yields a second-order ordinary differential equation, md2x/dt2 =forces. It involves second derivatives. The initial value problem consists of solvingthe differential equation with two initial conditions, the initial position x and theinitial velocity dx/dt. From these pieces of information (including the knowledge ofthe forces), by solving the differential equation with the initial conditions, we canpredict the future motion of a particle in the x-direction. We wish to do the sameprocess for our partial differential equation, that is, predict the future temperature.Since the heat equations have one time derivative, we must be given one initialcondition (IC) (usually at t = 0), the initial temperature. It is possible that theinitial temperature is not constant, but depends on x. Thus, we must be given theinitial temperature distribution,

u(x,0) = f(x).

Is this enough information to predict the future temperature? We know the initialtemperature distribution and that the temperature changes according to the partialdifferential equation (1.2.9) or (1.2.10). However, we need to know that happensat the two boundaries, x = 0 and x = L. Without knowing this information, wecannot predict the future. Two conditions are needed corresponding to the secondspatial derivatives present in (1.2.9) or (1.2.10), usually one condition at each end.We discuss these boundary conditions in the next section.

Diffusion of a chemical pollutant. Let u(x, t) be the density orconcentration of the chemical per unit volume. Consider a one dimensional region(Fig. 1.2.2) between x = a and x = b with constant cross-sectional area A. Thetotal amount of the chemical in the region is fQ u(x, t)A dx. We introduce the fluxO(x, t) of the chemical, the amount of the chemical per unit surface flowing to theright per unit time. The rate of change with respect to time of the total amountof chemical in the region equals the amount of chemical flowing in per unit timeminus the amount of chemical flowing out per unit time. Thus, after canceling theconstant cross-sectional area A, we obtain the integral conservation law for thechemical concentration:

fbdu(x, t) dx = 6(a, t) - 0(b, t). (1.2.11)

Since fQ u(x, t) dx = fa u dx and 0(a, t) - 5(b, t) fQ a dx, it follows thatfQ ( + ) dx = 0. Since the integral is zero for arbitrary regions, the integrandmust be zero, and in this way we derive the differential conservation law for thechemical concentration:


8u e0 _8t+ -8x0' (1.2.12)

In solids, chemicals spread out from regions of high concentration to regions of lowconcentration. According to Fick's law of diffusion, the flux is proportional toSi the spatial derivative of the chemical concentration:

(1.2.13)

If the concentration u(x, t) is constant in space, there is no flow of the chemical.If the chemical concentration is increasing to the right (au > 0), then atoms ofchemicals migrate to the left, and vice versa. The proportionality constant kis called the chemical diffusivity, and it can be measured experimentally. WhenFick's law (1.2.13) is used in the basic conservation law (1.2.12), we see that thechemical concentration satisfies the diffusion equation:

8u 82uOt = k 8x2 , (1.2.14)

since we are assuming as an approximation that the diffusivity is constant. Fick'slaw of diffusion for chemical concentration is analogous to Fourier's law for heatdiffusion. Our derivations are quite similar.

EXERCISES 1.2

1.2.1. Briefly explain the minus sign:

(a) in conservation law (1.2.3) or (1.2.5) if Q = 0(b) in Fourier's law (1.2.8)(c) in conservation law (1.2.12),

(d) in Fick's law (1.2.13)

1.2.2. Derive the heat equation for a rod assuming constant thermal propertiesand no sources.

(a) Consider the total thermal energy between x and x + Ox.(b) Consider the total thermal energy between x = a and x = b.

1.2.3. Derive the heat equation for a rod assuming constant thermal propertieswith variable cross-sectional area A(x) assuming no sources by consideringthe total thermal energy between x = a and x = b.


1.2.4. Derive the diffusion equation for a chemical pollutant.

(a) Consider the total amount of the chemical in a thin region between xand x + Ax.

(b) Consider the total amount of the chemical between x = a and x = b.

1.2.5. Derive an equation for the concentration u(x, t) of a chemical pollutant ifthe chemical is produced due to chemical reaction at the rate of au(,3 - u)per unit volume.

1.2.6. Suppose that the specific heat is a function of position and temperature,c(x, u).

(a) Show that the heat energy per unit mass necessary to raise the temper-ature of a thin slice of thickness Ax from 0° to u(x, t) is not c(x)u(x, t),but instead fo c(x, u) du.

(b) Rederive the heat equation in this case. Show that (1.2.3) remainsunchanged.

1.2.7. Consider conservation of thermal energy (1.2.4) for any segment of a one-dimensional rod a < x < b. By using the fundamental theorem of calculus,

aab

jbf (x) dx = f (b),

derive the heat equation (1.2.9).

*1.2.8. If u(x, t) is known, give an expression for the total thermal energy containedin a rod (0 < x < L).

1.2.9. Consider a thin one-dimensional rod without sources of thermal energywhose lateral surface area is not insulated.

(a) Assume that the heat energy flowing out of the lateral sides per unitsurface area per unit time is w(x, t). Derive the partial differentialequation for the temperature u(x, t).

(b) Assume that w(x, t) is proportional to the temperature difference be-tween the rod u(x, t) and a known outside temperature -y(x, t). Derivethat

cp at ax(Koe / - A [u(x, t) - y(x, t))h(x), (1.2.15)

where h(x) is a positive x-/dependent proportionality, P is the lateralperimeter, and A is the cross-sectional area.

(c) Compare (1.2.15) to the equation for a one-dimensional rod whoselateral surfaces are insulated, but with heat sources.

(d) Specialize (1.2.15) to a rod of circular cross section with constant ther-mal properties and 0° outside temperature.


*(e) Consider the assumptions in part (d). Suppose that the temperaturein the rod is uniform [i.e., u(x,t) = u(t)]. Determine u(t) if initiallyu(0) = uo.

1.3 Boundary Conditionsin solving the heat equation, either (1.2.9) or (1.2.10), one boundary condition(BC) is needed at each end of the rod. The appropriate condition depends on thephysical mechanism in effect at each end. Often the condition at the boundarydepends on both the material inside and outside the rod. To avoid a more difficultmathematical problem, we will assume that the outside environment is known, notsignificantly altered by the rod.

Prescribed temperature. In certain situations, the temperature of theend of the rod, for example, x = 0, may be approximated by a prescribed tem-perature,

u(0, t) = us(t), (1.3.1)

where uB(t) is the temperature of a fluid bath (or reservoir) with which the rod isin contact.

Insulated boundary. In other situations it is possible to prescribe theheat flow rather than the temperature,

-Ko(0) - (0, t) = 0(t), (1.3.2)

where 0(t) is given. This is equivalent to giving one condition for the first derivative,Ou/8x, at x = 0. The slope is given at x = 0. Equation (1.3.2) cannot be integratedin x because the slope is known only at one value of x. The simplest example of theprescribed heat flow boundary condition is when an end is perfectly insulated(sometimes we omit the "perfectly"). In this case there is no heat flow at theboundary. If x = 0 is insulated, then

a(0, t= 0.x

Newton's law of cooling. When a one-dimensional rod is in contact atthe boundary with a moving fluid (e.g., air), then neither the prescribed temperaturenor the prescribed heat flow may be appropriate. For example, let us imagine avery warm rod in contact with cooler moving air. Heat will leave the rod, heatingup the air. The air will then carry the heat away. This process of heat transfer iscalled convection. However, the air will be hotter near the rod. Again, this is acomplicated problem; the air temperature will actually vary with distance from therod (ranging between the bath and rod temperatures). Experiments show that, as agood approximation. the heat flow leaving the rod is proportional to the temperature

1.3. Boundary Conditions 13

difference between the bar and the prescribed external temperature. This boundarycondition is called Newton's law of cooling. If it is valid at x = 0, then

-Ko(0) (0, t) = -H[u(O, t) - UB(t)J, (1.3.4)

where the proportionality constant H is called the heat transfer coefficient (orthe convection coefficient). This boundary condition3 involves a linear combinationof u and Ou/8x. We must be careful with the sign of proportionality. If the rodis hotter than the bath [u(0, t) > UB(t)], then usually heat flows out of the rod atx = 0. Thus, heat is flowing to the left, and in this case the heat flow would benegative. That is why we introduced a minus sign in (1.3.4) (with H > 0). The sameconclusion would have been reached had we assumed that u(0, t) G uB(t). Anotherway to understand the signs in (1.3.4) is to again assume that u(0, t) > uB(t). Thetemperature is hotter to the right at, x = 0, and we should expect the temperatureto continue to increase to the right. Thus, Ou/8x should be positive at x = 0.Equation (1.3.4) is consistent with this argument. In Exercise 1.3.1 you are askedto derive, in the same manner, that the equation for Newton's law of cooling at aright end point x = L is

-Ko(L)

a-(L, t) = H[u(L, t) - uB(t)J, (1.3.5)

where uB(t) is the external temperature at x = L. We immediately note thesignificant sign difference between the left boundary (1.3.4) and the right boundary(1.3.5).

The coefficient H in Newton's law of cooling is experimentally determined. Itdepends on properties of the rod as well as fluid properties (including the fluidvelocity). If the coefficient is very small, then very little heat energy flows acrossthe boundary. In the limit as H -+ 0, Newton's law of cooling approaches theinsulated boundary condition. We can think of Newton's law of cooling for H # 0 asrepresenting an imperfectly insulated boundary. If H oo, the boundary conditionapproaches the one for prescribed temperature, u(0, t) = tB(t). This is most easilyseen by dividing (1.3.4), for example, by H:

Ko) ax(O't) = -[u(O,t) -UB(t)]

Thus, H -, oo corresponds to no insulation at all.

Summary. We have described three different kinds of boundary conditions.For example, at x = 0,

u(0, t) = uB(t) prescribed temperature-Ko(0) (0, t) _ ¢(t) prescribed heat flux-Ko(O)"u(O,t) _ -H[u(O,t) - uB(t)] Newton's law of cooling

3For another situation in which (1.3.4) is valid, see Berg and McGregor [1966].


These same conditions could hold at x = L, noting that the change of sign (-Hbecoming H) is necessary for Newton's law of cooling. One boundary conditionoccurs at each boundary. It is not necessary that both boundaries satisfy the samekind of boundary condition. For example, it is possible for x = 0 to have a prescribedoscillating temperature

u(0, t) = 100 - 25 cos t,

and for the right end, x = L, to be insulated,

ax(L,t)=0.

EXERCISES 1.3

1.3.1. Consider a one-dimensional rod, 0 < x < L. Assume that the heat en-ergy flowing out of the rod at x = L is proportional to the temperaturedifference between the end temperature of the bar and the known externaltemperature. Derive (1.3.5) (briefly, physically explain why H > 0).

*1.3.2. Two one-dimensional rods of different materials joined at x = x0 are said tobe in perfect thermal contact if the temperature is continuous at x = xo:

u(xo-, t) = u(xo+, t)

and no heat energy is lost at x = xo (i.e., the heat energy flowing out of oneflows into the other). What mathematical equation represents the lattercondition at x = xo? Under what special condition is 8u/8x continuous atx = xo?

*1.3.3. Consider a bath containing a fluid of specific heat c f and mass density p fthat surrounds the end x = L of a one-dimensional rod. Suppose thatthe bath is rapidly stirred in a manner such that the bath temperatureis approximately uniform throughout, equaling the temperature at x =L, u(L, t). Assume that the bath is thermally insulated except at its perfectthermal contact with the rod. where the bath may be heated or cooled bythe rod. Determine an equation for the temperature in the bath. (This willbe a boundary condition at the end x = L.) (Hint: See Exercise 1.3.2.)

1.4 Equilibrium Temperature Distribution1.4.1 Prescribed TemperatureLet us now formulate a simple, but typical, problem of heat flow. If the ther-mal coefficients are constant and there are no sources of thermal energy. then thetemperature u(x, t) in a one-dimensional rod 0 < x < L satisfies

z

8t = kax2. (1.4.1)

1.4. Equilibrium Temperature Distribution 15

The solution of this partial differential equation must satisfy the initial condition

u(x,0) = f(x) (1.4.2)

and one boundary condition at each end. For example, each end might be in contactwith different large baths, such that the temperature at each end is prescribed:

u(0,t) = Ti(t)u(L, t) = T2(t). (1.4.3)

One aim of this text is to enable the reader to solve the problem specified by (1.4.1-1.4.3).

Equilibrium temperature distribution. Before we begin to attacksuch an initial and boundary value problem for partial differential equations, wediscuss a physically related question for ordinary differential equations. Supposethat the boundary conditions at x = 0 and x = L were steady (i.e., independentof time),

u(0, t) =Ti and u(L,t) =T2,

where Ti and T2 are given constants. We define an equilibrium or steady-statesolution to be a temperature distribution that does not depend on time, that is,u(x, t) = u(x). Since 8/8t u(x) = 0, the partial differential equation becomesk((92u/8x2) = 0, but partial derivatives are not necessary, and thus

d2udx2 = 0.

The boundary conditions are

u(0) = Tiu(L) = T2.

(1.4.4)

(1.4.5)

In doing steady-state calculations, the initial conditions are usually ignored. Equa-tion (1.4.4) is a rather trivial second-order ordinary differential equation (ODE).Its general solution may be obtained by integrating twice. Integrating (1.4.4) yieldsdu/dx = C1, and integrating a second time shows that

u(x)=Clx+C2. (1.4.6)

We recognize (1.4.6) as the general equation of a straight line. Thus, from theboundary conditions (1.4.5) the equilibrium temperature distribution is the straightline that equals Tt at x = 0 and T2 at x = L, as sketched in Fig. 1.4.1. Geomet-r ically there is a unique equilibrium solution for this problem. Algebraically, we


can determine the two arbitrary constants, C1 and C2, by applying the boundaryconditions, u(O) = T1 and u(L) = T2:

u(O) = T1 implies T1 = C2

u(L)=T2 implies T2 = C1L + C2.(1.4.7)

It is easy to solve (1.4.7) for the constants C2 = T1 and C1 = (T2 - T1)/L. Thus,the unique equilibrium solution for the steady-state heat equation with these fixedboundary conditions is

u(x)=Ti+T2LT1 X.

T1

T2

iI Figure 1.4.1 Equilibrium temperature

x = 0 x = L distribution.

(1.4.8)

Approach to equilibrium. For the time-dependent problem, (1.4.1) and(1.4.2), with steady boundary conditions (1.4.5), we expect the temperature distri-bution u(x, t) to change in time; it will not remain equal to its initial distributionf (x). If we wait a very, very long time, we would imagine that the influence of thetwo ends should dominate. The initial conditions are usually forgotten. Eventually,the temperature is physically expected to approach the equilibrium temperaturedistribution, since the boundary conditions are independent of time:

slim u(x, t) = u(x) = T1 + T2 L T100

(1.4.9)

In Sec. 8.2 we will solve the time-dependent problem and show that (1.4.9) issatisfied. However, if a steady state is approached, it is more easily obtained bydirectly solving the equilibrium problem.

1.4.2 Insulated Boundaries

As a second example of a steady-state calculation, we consider a one-dimensionalrod again with no sources and with constant thermal properties, but this time withinsulated boundaries at x = 0 and x = L. The formulation of the time-dependent

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