Finite Difference

Methods in
Heat Transfer
Finite Difference
Methods in
Heat Transfer
Second Edition

M. Necati Özişik
Helcio R.B. Orlande
Marcelo José Colaço
Renato Machado Cotta
CRC Press
Taylor & Francis Group
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 To Teresa, Fernanda, and Arthur Orlande (HRBO)

To José Colaço (in memorium), Alice B. Colaço, and Roberta Viegas (MJC)

To Carolina, Bianca (in memorium), Victor, Clara, and Gabriel (RMC)

Contents

Preface ....................................................................................................................xv
Preface—First Edition..........................................................................................xix

1. Basic Relations ................................................................................................ 1

1.1 Classification of Second-Order Partial Differential Equations ...... 2
1.1.1 Physical Significance of Parabolic, Elliptic, and
Hyperbolic Systems................................................................. 4
1.2 Parabolic Systems ................................................................................. 5
1.3 Elliptic Systems .....................................................................................7
1.3.1 Steady-State Diffusion............................................................. 7
1.3.2 Steady-State Advection–Diffusion ........................................ 7
1.3.3 Fluid Flow................................................................................. 8
1.4 Hyperbolic Systems .............................................................................. 8
1.5 Systems of Equations ........................................................................... 9
1.5.1 Characterization of System of Equations...........................10
1.5.2 Wave Equation.......................................................................11
1.6 Boundary Conditions ......................................................................... 12
1.7 Uniqueness of the Solution ............................................................... 15
Problems..........................................................................................................18

2. Discrete Approximation of Derivatives ...................................................23

2.1 Taylor Series Formulation .................................................................24
2.1.1 Finite Difference Approximation of First Derivative.......25
2.1.2 Finite Difference Approximation of Second
Derivative................................................................................27
2.1.3 Differencing via Polynomial Fitting ...................................28
2.1.4 Finite Difference Approximation of Mixed Partial
Derivatives ..............................................................................29
2.1.5 Changing the Mesh Size.......................................................31
2.1.6 Finite Difference Operators..................................................33
2.2 Control Volume Approach................................................................ 34
2.3 Boundary and Initial Conditions ..................................................... 38
2.3.1 Discretization of Boundary Conditions with
Taylor Series ........................................................................... 40
2.3.1.1 Boundary Condition of the First Kind ...............41
2.3.1.2 Boundary Conditions of the Second and
Third Kinds.............................................................41

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viii Contents

2.3.2 Discretization of Boundary Conditions with

Control Volumes....................................................................42
2.3.2.1 Boundary Condition of the First Kind ...............43
2.3.2.2 Boundary Condition of the Second Kind ..........44
2.3.2.3 Boundary Condition of the Third Kind ............. 44
2.4 Errors Involved in Numerical Solutions .........................................46
2.4.1 Round-Off Errors ...................................................................46
2.4.2 Truncation Error ....................................................................46
2.4.3 Discretization Error ............................................................... 47
2.4.4 Total Error ..............................................................................47
2.4.5 Stability.................................................................................... 48
2.4.6 Consistency.............................................................................48
2.5 Verification and Validation ............................................................... 49
2.5.1 Code Verification ...................................................................50
2.5.2 Solution Verification..............................................................54
Problems..........................................................................................................58
Notes................................................................................................................62

3. Methods of Solving Systems of Algebraic Equations..........................65

3.1 Reduction to Algebraic Equations ...................................................65
3.2 Direct Methods.................................................................................... 70
3.2.1 Gauss Elimination Method ..................................................71
3.2.2 Thomas Algorithm ................................................................ 72
3.3 Iterative Methods................................................................................75
3.3.1 Gauss–Seidel Iteration...........................................................75
3.3.2 Successive Overrelaxation ....................................................79
3.3.3 Red-Black Ordering Scheme ................................................81
3.3.4 LU Decomposition with Iterative Improvement ..............83
3.3.5 Biconjugate Gradient Method..............................................83
3.4 Nonlinear Systems ..............................................................................84
Problems..........................................................................................................88

4. One-Dimensional Steady-State Systems .................................................97

4.1 Diffusive Systems................................................................................97
4.1.1 Slab...........................................................................................97
4.1.2 Solid Cylinder and Sphere ...................................................98
4.1.3 Hollow Cylinder and Sphere.............................................105
4.1.4 Heat Conduction through Fins ......................................... 110
4.1.4.1 Fin of Uniform Cross Section ............................112
4.1.4.2 Finite Difference Solution ...................................113
4.2 Diffusive–Advective Systems ........................................................116
4.2.1 Stability for Steady-State Systems.....................................118
4.2.2 Finite Volume Method........................................................119
4.2.2.1 Interpolation Functions.......................................121
Problems........................................................................................................124
Contents ix

5. One-Dimensional Transient Systems..................................................... 129

5.1 Diffusive Systems..............................................................................129
5.1.1 Simple Explicit Method ...................................................... 130
5.1.1.1 Prescribed Potential at the Boundaries ............ 131
5.1.1.2 Convection Boundary Conditions..................... 132
5.1.1.3 Prescribed Flux Boundary Condition ...............133
5.1.1.4 Stability Considerations ......................................134
5.1.1.5 Effects of Boundary Conditions on Stability...136
5.1.1.6 Effects of r on Truncation Error ........................137
5.1.1.7 Fourier Method of Stability Analysis ...............138
5.1.2 Simple Implicit Method...................................................... 146
5.1.2.1 Stability Analysis .................................................147
5.1.3 Crank–Nicolson Method .................................................... 148
5.1.3.1 Prescribed Heat Flux Boundary Condition .....151
5.1.4 Combined Method .............................................................. 152
5.1.4.1 Stability of Combined Method ..........................154
5.1.5 Cylindrical and Spherical Symmetry ............................... 155
5.1.6 Application of Simple Explicit Method ...........................156
5.1.6.1 Solid Cylinder and Sphere ................................. 156
5.1.6.2 Stability of Solution .............................................160
5.1.6.3 Hollow Cylinder and Sphere .............................162
5.1.7 Application of Simple Implicit Scheme ...........................164
5.1.7.1 Solid Cylinder and Sphere ................................. 164
5.1.7.2 Hollow Cylinder and Sphere .............................165
5.1.8 Application of Crank–Nicolson Method..........................166
5.2 Advective–Diffusive Systems..........................................................169
5.2.1 Purely Advective (Wave) Equation ..................................169
5.2.1.1 Upwind Method ..................................................170
5.2.1.2 MacCormack’s Method.......................................172
5.2.1.3 Warming and Beam’s Method...........................173
5.2.2 Advection–Diffusion Equation .......................................... 179
5.2.2.1 Simple Explicit Scheme.......................................179
5.2.2.2 Implicit Finite Volume Method .........................182
5.3 Hyperbolic Heat Conduction Equation......................................... 185
5.3.1 Finite Difference Representation of Hyperbolic
Heat Conduction Equation ................................................186
Problems........................................................................................................190

6. Transient Multidimensional Systems .................................................... 207

6.1 Simple Explicit Method ...................................................................207
6.1.1 Two-Dimensional Diffusion...............................................208
6.1.2 Two-Dimensional Transient Convection–Diffusion .......213
6.1.2.1 FTCS Differencing................................................213
6.1.2.2 Upwind Differencing...........................................214
6.1.2.3 Control Volume Approach................................. 215
x Contents

6.2 Combined Method............................................................................219

6.3 ADI Method.......................................................................................220
6.4 ADE Method......................................................................................224
6.5 An Application Related to the Hyperthermia Treatment
of Cancer ............................................................................................ 228
Problems........................................................................................................243
Notes..............................................................................................................251

7. Nonlinear Diffusion................................................................................... 253

7.1 Lagging Properties by One Time Step .......................................... 254
7.2 Use of Three-Time-Level Implicit Scheme....................................256
7.2.1 Internal Nodes......................................................................257
7.2.2 Limiting Case R = 0 for Cylinder and Sphere................258
7.2.3 Boundary Nodes..................................................................259
7.3 Linearization ......................................................................................261
7.3.1 Stability Criterion ................................................................ 263
7.4 False Transient...................................................................................264
7.4.1 Simple Explicit Scheme.......................................................266
7.4.2 Simple Implicit Scheme ...................................................... 267
7.4.3 A Set of Diffusion Equations .............................................267
7.5 Applications in Coupled Conduction and Radiation
in Participating Media .....................................................................268
7.5.1 One-Dimensional Problem with Diffusion
Approximation .....................................................................268
7.5.2 Solution of the Three-Dimensional Equation
of Radiative Transfer...........................................................272
Problems........................................................................................................285

8. Multidimensional Incompressible Laminar Flow ............................... 291

8.1 Vorticity-Stream Function Formulation ........................................ 291
8.1.1 Vorticity and Stream Function .......................................... 292
8.1.2 Finite Difference Representation of Vorticity-Stream
Function Formulation .........................................................295
8.1.2.1 Vorticity Transport Equation .............................296
8.1.2.2 Poisson’s Equation for Stream Function .......... 297
8.1.2.3 Poisson’s Equation for Pressure ........................298
8.1.3 Method of Solution for ω and ψ .......................................298
8.1.3.1 Solution for a Transient Problem ...................... 298
8.1.3.2 Solution for a Steady-State Problem.................299
8.1.4 Method of Solution for Pressure .......................................301
8.1.5 Treatment of Boundary Conditions..................................302
8.1.5.1 Boundary Conditions on Velocity..................... 302
8.1.5.2 Boundary Conditions on ψ ................................ 303
8.1.5.3 Boundary Condition on ω ..................................304
Contents xi

8.1.5.4 Boundary Conditions on Pressure .................... 307

8.1.5.5 Initial Condition ................................................... 307
8.1.6 Energy Equation ..................................................................308
8.2 Primitive Variables Formulation .................................................... 309
8.2.1 Determination of the Velocity Field: The
SIMPLEC Method................................................................ 314
8.2.2 Treatment of Boundary Conditions..................................320
8.2.2.1 Pressure .................................................................321
8.2.2.2 Momentum and Energy Equations...................325
8.3 Two-Dimensional Steady Laminar Boundary Layer Flow ........329
Problems........................................................................................................332

9. Compressible Flow..................................................................................... 339

9.1 Quasi-One-Dimensional Compressible Flow ............................... 339
9.1.1 Solution with MacCormack’s Method .............................342
9.1.2 Solution with WAF-TVD Method.....................................348
9.2 Two-Dimensional Compressible Flow .......................................... 354
Problems........................................................................................................358

10. Phase Change Problems ............................................................................361

10.1 Mathematical Formulation of Phase Change Problems ............. 363
10.1.1 Interface Condition.............................................................. 364
10.1.2 Generalization to Multidimensions ..................................365
10.1.3 Dimensionless Variables..................................................... 366
10.1.4 Mathematical Formulation .................................................367
10.2 Variable Time Step Approach for Single-Phase
Solidification ......................................................................................368
10.2.1 Finite Difference Approximation ......................................369
10.2.1.1 Differential Equation ......................................... 370
10.2.1.2 Boundary Condition at x = 0...........................370
10.2.1.3 Interface Conditions .......................................... 371
10.2.2 Determination of Time Steps .............................................371
10.2.2.1 Starting Time Step Δt0 ......................................371
10.2.2.2 Time Step Δt1 ..................................................... 371
10.2.2.3 Time Step Δtn ..................................................... 372
10.3 Variable Time Step Approach for Two-Phase Solidification .....374
10.3.1 Finite Difference Approximation ......................................376
10.3.1.1 Equation for the Solid Phase ...........................376
10.3.1.2 Boundary Condition at x = 0...........................376
10.3.1.3 Equation for the Liquid Phase.........................377
10.3.1.4 Interface Conditions .......................................... 377
10.3.2 Determination of Time Steps .............................................377
10.3.2.1 Starting Time Step Δt0 ......................................378
10.3.2.2 Time Step Δt1 ..................................................... 379
10.3.2.3 Time Steps Δtn, (2 ≤ n ≤ N – 4)...................... 380
xii Contents

10.3.2.4 Time Step ΔtN-3 ..................................................380

10.3.2.5 Time Step ΔtN–2 .................................................381
10.3.2.6 Time Step ΔtN–1 .................................................382
10.4 Enthalpy Method ..............................................................................383
10.4.1 Explicit Enthalpy Method: Phase Change with
Single Melting Temperature ..............................................385
10.4.1.1 Algorithm for Explicit Method........................386
10.4.1.2 Interpretation of Enthalpy Results..................387
10.4.1.3 Improved Algorithm for Explicit Method .....388
10.4.2 Implicit Enthalpy Method: Phase Change with
Single Melting Temperature ..............................................389
10.4.2.1 Algorithm for Implicit Method........................ 390
10.4.3 Explicit Enthalpy Method: Phase Change over a
Temperature Range ............................................................. 392
10.5 Phase Change Model for Convective–Diffusive Problems.........392
10.5.1 Model for the Passive Scalar Transport Equation.......... 395
10.5.2 Model for the Energy Equation.........................................398
Problems........................................................................................................409

11. Numerical Grid Generation......................................................................411

11.1 Coordinate Transformation Relations............................................ 413
11.1.1 Gradient ................................................................................415
11.1.2 Divergence ............................................................................415
11.1.3 Laplacian ...............................................................................416
11.1.4 Normal Derivatives ............................................................. 416
11.1.5 Tangential Derivatives ........................................................417
11.2 Basic Ideas in Simple Transformations ......................................... 419
11.3 Basic Ideas in Numerical Grid Generation and Mapping .........422
11.4 Boundary Value Problem of Numerical Grid Generation .........429
11.5 Finite Difference Representation of Boundary
Value Problem of Numerical Grid Generation ............................436
11.6 Steady-State Heat Conduction in Irregular Geometry ...............439
11.7 Steady-State Laminar Free Convection in Irregular
Enclosures—Vorticity-Stream Function Formulation..................445
11.7.1 The Nusselt Number...........................................................454
11.7.2 Results ................................................................................... 455
11.8 Transient Laminar Free Convection in Irregular
Enclosures—Primitive Variables Formulation .............................457
11.9 Computational Aspects for the Evaluation of Metrics ...............461
11.9.1 One-Dimensional Advection–Diffusion Equation .......... 461
11.9.2 Two-Dimensional Heat Conduction in a
Hollow Sphere .....................................................................465
Problems........................................................................................................469
Notes..............................................................................................................473
Contents xiii

12. Hybrid Numerical–Analytical Solutions................................................477

12.1 Combining Finite Differences and Integral Transforms ............. 479
12.1.1 The Hybrid Approach ........................................................480
12.1.2 Hybrid Approach Application: Transient Forced
Convection in Channels...................................................... 481
12.2 Unified Integral Transforms............................................................489
12.2.1 Total Transformation ..........................................................491
12.2.2 Partial Transformation ........................................................493
12.2.3 Computational Algorithm..................................................497
12.2.4 Test Case ...............................................................................501
12.3 Convective Eigenvalue Problem..................................................... 505
Problems........................................................................................................517

Appendix A. Subroutine Gauss .....................................................................527

Appendix B. Subroutine Trisol ......................................................................529

Appendix C. Subroutine SOR ........................................................................ 531

Appendix D. Subroutine BICGM2................................................................ 533

Appendix E. Program to Solve Example 10.1..............................................541

Bibliography........................................................................................................545

Index ..................................................................................................................... 565

Preface

Computational methods for the solution of heat transfer problems have

evolved significantly since the publication of the first edition of Professor
M. Necati Özişik’s book, Finite Difference Methods in Heat Transfer. In the
meantime, the application of computational techniques to analysis and design
in thermal engineering has become a common practice. Nowadays, several
commercial computer codes, which can be applied to problems involving sin-
gle or coupled heat transfer modes, multiple scales, and multiple physical
phenomena, are available. Therefore, as the computational methods have
gone beyond academic research to become practical engineering tools, under-
standing their fundamentals and limitations has become mandatory for engi-
neering undergraduate students and practitioners.
Professor Özişik’s finite difference book was published in 1994 and was
intended as a textbook for advanced senior or graduate courses. It covered
the basic discretization techniques and presented applications to transient
and steady-state problems in conduction and convection heat transfer. This
second edition of Finite Difference Methods in Heat Transfer includes new
and updated methods, applications, examples, and proposed problems.
Chapters and sessions have been rearranged with the objective of making
the text clearer and more organized, without losing the identity and the most
important contents of the original book. As in the first edition, required
mathematical derivations have been kept to a minimum, but the methods
are sufficiently detailed in the book to be readily applied by the reader.
The modifications introduced in the second edition include, among others,
the concepts of verification and validation; detailed discretizations of boun-
dary conditions; new methods for the solution of linear systems of equations;
new model equations, such as for quasi-one-dimensional compressible flow;
algorithms for pressure-velocity coupling in laminar incompressible flows, such
as the SIMPLEC method; modern methods for the solution of hyperbolic
systems based on solution features; the discretization and solution of the
equation of radiative transfer; phase change problems with convection in
the liquid phase and with a solute dispersed in the base material; numerical
grid generation in cylindrical and polar coordinates; and recent advance-
ments in the hybrid analytical–numerical generalized integral transform
technique (GITT). Seventy-two new proposed problems have been included
in the second edition to allow the reader to have practical experience with the
added topics.
Although Chapters 5 through 9 have been reorganized in terms of the
physical phenomena for which the finite difference method is intended, the
same structure of the original book has been kept with respect to the basic
and advanced materials covered. Chapters 1 through 6 contain basic material

xv
xvi Preface

that can be used in a senior-level undergraduate course or an entry-level

graduate course for the student’s first contact with discretization techniques
by finite differences and their application to elliptic, parabolic, and hyper-
bolic problems. More involved material is covered in Chapters 7 through 12,
which can be used in an advanced course of finite differences at the graduate
level.
Chapter 1 introduces the classification of second-order partial differential
equations and presents examples of elliptic, parabolic, and hyperbolic
physical equations. The discretization of partial derivatives using the Taylor
series approach is presented in Chapter 2. In that chapter, the discretization
of partial differential equations by the finite control volume approach is also
introduced. (We keep the same notation as the original book, where finite
volume was considered a discretization approach instead of a method by
itself.) The discretization of boundary conditions of the first, second, and
third kinds is also described in Chapter 2, both for Taylor series and control
volume discretization approaches. The concepts of verification and valida-
tion of computer codes are discussed in Chapter 2, and techniques for code
and solution verification are presented, based on the ASME verification and
validation standard.* Direct and iterative methods for the solution of systems
of algebraic equations, which result from the finite difference discretization
of the original continuous problems, are presented in Chapter 3. Chapters
4 through 6 deal with the application of finite difference methods to one-
dimensional steady-state problems, one-dimensional transient problems,
and transient multidimensional problems, respectively. Discretization
schemes specific for each kind of problem are presented in detail in these
chapters, which are organized in a sequence of increasing difficulty for a bet-
ter understanding by the reader. Steady-state multidimensional diffusion
problems are considered as a special case of the transient problems in the
notes of Chapter 6.
Nonlinear diffusion problems are addressed in Chapter 7, while Chapters 8
and 9 deal with incompressible and compressible flows, respectively. The sol-
ution of phase change problems is examined in Chapter 10, where both diffu-
sive and advective–diffusive problems are considered. The elliptic numerical
grid generation technique is described in Chapter 11, together with the trans-
formation relations for several operators. Although this technique generates
structured grids, which lack the geometrical flexibility of unstructured grids,
it readily allows for the extension of the methods presented in the previous
chapters to problems in irregular geometries. Finally, Chapter 12 presents
the generalized integral transform technique as an alternative hybrid
numerical–analytical approach, which utilizes the finite difference method
in its numerical portion, as covered in earlier chapters.

*
ASME V&V 20-2009 (2009), Standard for Verification and Validation in Computational Fluid
Dynamics and Heat Transfer, ASME, New York.
Preface xvii

This book is accompanied by software for elliptic numerical grid genera-

tion and solution of transient diffusion problems in two-dimensional geome-
tries, including doubly connected regions. Boundary conditions are allowed
to vary pointwise, and the temperature profile can be obtained at some
specified time for the entire domain or for some point in the domain as a
function of time. The software and its user guides can be downloaded from:
http://colaco.freeshell.org/books/Ozisik/.
Writing the new edition of a book is a difficult task, especially when the
single author of the previous edition cannot be consulted about the conven-
ience of adding new authors and modifying his original work.* It is necessary
to update and include new material without losing the characteristics of the
original work, which was not conceived or written by the authors responsi-
ble for the new edition. Under these circumstances, we consider completely
inappropriate the situation, rather common nowadays, where the names of
new edition authors, who were not authors of a previous edition, appear
ahead of the name of the deceased author of the original work. Therefore,
we prefer that this second edition of Finite Difference Methods in Heat Transfer
always be considered as Professor Özişik’s book, which we contributed to by
updating and enlarging his original material. Professor Özişik dedicated his
life to education and research in heat transfer and was an iconic worldwide
leader in thermal sciences. He published more than 300 research papers in
international journals and conferences. He was the author of 11 books,
most of them are best sellers that were reedited several times and published
in different languages.
The invitation by Mr. Jonathan W. Plant, Executive Editor for Mechanical,
Aerospace & Nuclear Engineering from CRC Press/Taylor & Francis Group,
to write this second edition of Finite Difference Methods in Heat Transfer, was
greatly appreciated. It was a great honor to receive an invitation to work on
this prestigious book, originally conceived and written by our former friend
and advisor. We are also indebted to Professor Afshin J. Ghajar, the Heat
Transfer Series Editor for CRC Press/Taylor & Francis, for his encourage-
ment and support as we pursued this challenging task.
The revision work was originally divided in closely equal parts among the
three new coauthors (HRBO, MJC, and RMC). However, RMC was nomina-
ted as president of the National Commission of Nuclear Energy in Brazil, a
government key position, which drastically reduced the time available for
him to complete his share of work. Therefore, HRBO and MJC offered to take
on more than half of the work still attributed to RMC, which allowed for the
timely conclusion of the new edition. RMC is deeply grateful to his coauthors
and editors for their help and understanding.

*
Professor M. Necati Özis
¸ ik passed away on October 4, 2008.
xviii Preface

We are also thankful for the cooperation of the CRC Press/Taylor &
Francis Group editorial staff. We would like to express our deepest gratitude
for the continuous financial support provided by agencies of the Brazilian
government, including CNPq, CAPES, FAPERJ, and ANP/PRH37.

Helcio R.B. Orlande

Marcelo José Colaço
Renato Machado Cotta
Preface—First Edition

In recent years, with ever growing availability of high speed, large capacity
computers, the interest in the use of numerical methods, such as the finite dif-
ference and finite element methods, for solving problems governed by differ-
ential equations has increased significantly. Many complicated engineering
problems can now be solved with computers at a very little cost in a very
short time. Therefore, practicing engineers and engineering students are
interested more than ever in strengthening their background in the use of
numerical techniques.
The finite difference and finite element methods are now two universally
used approaches for solving linear and nonlinear differential equations gov-
erning engineering problems. Depending on the nature of the problem each
method has its advantages. Finite difference methods are simple to formu-
late, can readily be extended to two- or three-dimensional problems, are easy
to learn and apply. The finite element method has the flexibility in dealing
with problems involving irregular geometry. However, with the advent of
numerical grid generation technique, the finite difference method now pos-
sesses the geometrical flexibility of the finite element method while maintain-
ing the simplicity of the conventional finite difference technique.
This book presents the finite difference techniques and their use in the sol-
ution of engineering problems governed by differential equations, with par-
ticular emphasis on applications in the areas of heat transfer and fluid flow.
A variety of topics covered include the steady-state and transient problems
of heat conduction, duct flow, convective-diffusive systems, nonlinear diffu-
sion, hyperbolic heat conduction, melting–solidification, theory and applica-
tion of the numerical grid generation techniques, and the hybrid method of
solution.
The order of coverage of the material gradually advances from the elemen-
tary treatment of the subject given in Chapters 1 through 5, to more general
applications presented in Chapters 6 through 10; finally more recent topics
such as the numerical grid generation technique and the hybrid method of
solution are treated in Chapters 11 and 12. Therefore, this book can be used
for self-study and is useful as a text for a senior-level elective or first semester
graduate-level course.
The required mathematics background needed to follow the material in
this book is limited to elementary calculus except for Chapters 11 and 12,
for which familiarity with partial differential equations is needed.
Chapter 1 gives a classification of second-order partial differential
equations and discusses the physical significance of parabolic-, hyperbolic-,
and elliptic-type partial differential equations in relation to the physical prob-
lem governed by them. Chapter 2 presents a step-by-step description of

xix
xx Preface—First Edition

discretization procedure by using Taylor series and the control-volume

approach. Chapter 3 describes the salient features of various algorithms for
solving systems of algebraic equations resulting from the discretization of
partial differential equations governing the physical problem. Chapter 4 is
an introduction to the application of finite differences with examples chosen
from one-dimensional steady-state diffusive and convective-diffusive sys-
tems. Chapter 5 presents various finite difference schemes, such as the explicit,
implicit, combined, etc. methods for solving one-dimensional time-dependent
diffusion problems. Chapter 6 describes the application of finite difference tech-
niques for the solution of typical two-dimensional problems of diffusion and
convection.
Chapter 7 illustrates the use of finite difference methods for solving two-
dimensional steady-state diffusion, velocity, and temperature fields. Chapter
8 is concerned with the solution of hyperbolic heat conduction problems while
Chapter 9 presents the methods of solving nonlinear diffusion problems.
Chapter 10 is devoted to the solution of one-dimensional melting or solidifi-
cation problems for materials having a single phase-change temperature as
well as phase-change taking place over a temperature range. Chapter 11
presents the fundamentals of numerical grid generation technique to trans-
form an irregular physical region into a regular computational domain. The
problem is solved in the regular domain by the application of the standard
finite-differences and the results are transformed back to the physical domain
by numerical coordinate transformation. The application is illustrated by rep-
resentative examples. Finally, Chapter 12 presents a hybrid approach that
combines the generalized integral transform technique and finite differences
for the solution of multidimensional transient and steady-state heat transfer
problems containing variable coefficients in the differential equation and/or
boundary conditions, as well as nonlinear diffusion–convection type prob-
lems. The application of the hybrid method is illustrated with problems chos-
en in the area of transient forced convection in a parallel-plate duct, and
pertinent recent references are cited.
I would like to acknowledge valuable discussion with Dr. Woo-Seung Kim
during the preparation of this manuscript.
I dedicate this book to my wife, Gül, without her patience and understand-
ing this project would not have been realized.

M. Necati Özişik
1
Basic Relations

Numerical methods are useful for solving fluid dynamics, heat and mass
transfer problems, and other partial differential equations of mathematical
physics when such problems cannot be handled by exact analysis techniques
because of nonlinearities, complex geometries, and complicated boundary
conditions. The development of high-speed digital computers significantly
enhanced the use of numerical methods in various branches of science and
engineering. Many complicated problems can now be solved at a very little
cost and in a very short time with the available computing power.
Presently, the finite difference method (FDM), the finite volume method (FVM),
and the finite-element method (FEM) are widely used for the solution of par-
tial differential equations of heat, mass, and momentum transfer. Extensive
amounts of literature exist on the application of these methods for the solu-
tion of such problems. Each method has its advantages depending on the
nature of the physical problem to be solved, but there is no best method
for all problems. For instance, the dimension of the problem is an important
factor that deserves some consideration because an efficient method for one-
dimensional problems may not be so efficient for two- or three-dimensional
problems. FDMs are simple to formulate and can readily be extended to
two- or three-dimensional problems. Furthermore, FDM is very easy to learn
and apply for the solution of partial differential equations encountered in the
modeling of engineering problems for simple geometries. For problems
involving irregular geometries in the solution domain, the FEM is known
for having more flexibility because the region near the boundary can readily
be divided into subregions. A major drawback of FDM used to be its difficulty
to handle effectively the solution of problems over arbitrarily-shaped complex
geometries because of interpolation between the boundaries and the interior
points, in order to develop finite difference expressions for nodes next to
the boundaries. More recently, with the advent of numerical grid genera-
tion approaches, the FDM has become comparable to FEM in dealing
with irregular geometries, while still maintaining the simplicity of the
standard FDM.
In this book, we are concerned with the use of FDMs for the solution of
heat, mass, and momentum transport problems encountered in engineering
applications. Despite the simplicity of the finite difference representation of
governing partial differential equations, it requires considerable experience
and knowledge to select the appropriate scheme for a specific problem in hand.
The type of partial differential equations, the number of physical dimensions,

1
2 Finite Difference Methods in Heat Transfer

the type of coordinate system involved, whether the governing equations and
boundary conditions are linear or nonlinear, and whether the problem is
steady-state or transient are among the factors that affect the type of numerical
scheme chosen from a large number of available possibilities. The tailoring of a
numerical method for a specific problem in hand is an important first step in
the numerical solution with a FDM. In this chapter, we present a classification
of partial differential equations encountered in the mathematical formulation of
heat, mass, and momentum transfer problems, and we discuss the physical sig-
nificance of such a classification in relation to the numerical solution of the
problem.

1.1 Classification of Second-Order Partial

Differential Equations
In the solution of partial differential equations with finite differences, the
choice of a particular finite differencing scheme also depends on the type of
partial differential equation considered. Generally, partial differential equa-
tions are classified into three categories: elliptic, parabolic, and hyperbolic. To
illustrate, we consider the following general second-order partial differential
equation with two independent variables x, y, as presented by Forsythe and
Wasow (1967):

∂2 ϕ ∂2 ϕ ∂2 ϕ ∂ϕ ∂ϕ
A + B + C +D +E + Fϕ + Gðx, yÞ = 0: (1.1)
∂x2 ∂x∂y ∂y2 ∂x ∂y

Here, we assume a linear equation (this restriction is not essential), that

is, the coefficients A, B, C, D, E, and F, and the known source term G are
functions of the two independent variables x, y but not of the dependent
variable ϕ.
For heat and mass transfer and fluid flow problems, the generalized
dependent variable ϕ denotes a specific dependent variable such as tempera-
ture, concentration, velocity component, density, or pressure. The mathematical
character of the partial differential equation (1.1) depends on the coefficients of
the higher order terms, A, B, and C. The partial differential equation (1.1) at a
point (x0, y0) is called:
Elliptic, if B2 − 4AC < 0, (1.2a)

Parabolic, if B2 – 4AC = 0, (1.2b)

Hyperbolic, if B2 – 4AC > 0. (1.2c)

Basic Relations 3

For example, the steady-state heat conduction equation with no energy

generation and constant properties is shown as follows:

∂2 T ∂2 T
+ = 0, (1.3a)
∂x2 ∂y2

where the two-dimensional Laplace’s equation is elliptic as verified by setting

A = 1, B = 0, and C = 1. The steady-state heat conduction equation with
energy generation is

∂2 T ∂2 T 1
+ + gðx, yÞ = 0, (1.3b)
∂x2 ∂y2 k

which is Poisson’s equation and also is elliptic.

The one-dimensional time-dependent heat conduction equation

∂2 T 1 ∂T
= , (1.4)
∂x2 α ∂t
is parabolic, as can be verified by letting the independent variable t be repre-
sented by y and setting A = 1, B = 0, and C = 0.
The second-order wave equation

∂2 ϕ 1 ∂2 ϕ
= , (1.5)
∂x2 c2 ∂t2
where t is the time, x is the space variable, and c is the wave propagation speed,
is hyperbolic, as can be verified by letting the independent variable t be
1
represented by y and setting A = 1, B = 0, and C = − 2 .
c
The non-Fourier heat conduction equation

∂2 T 1 ∂2 T 1 ∂T
= + , (1.6)
∂x2 c2 ∂t2 α ∂t
which is a second-order damped wave equation, is also hyperbolic.
For simplicity, we consider the partial differential equation (1.1) in only
two independent variables (x, y). The extension to three or more independent
variables is straightforward.
For example, the three-dimensional, steady-state heat conduction equation

∂2 T ∂2 T ∂2 T 1
+ + + gðx, y, zÞ = 0, (1.7)
∂x2 ∂y2 ∂z2 k

is elliptic.
4 Finite Difference Methods in Heat Transfer

The two-dimensional, transient heat conduction equation

∂2 T ∂2 T 1 1 ∂T
+ 2 + gðx, y, tÞ = , (1.8)
∂x 2 ∂y k α ∂t

is parabolic.

1.1.1 Physical Significance of Parabolic, Elliptic, and Hyperbolic Systems

In the foregoing discussion, we considered a purely mathematical criterion
given by equations (1.2a)–(1.2c) to classify the second-order partial differen-
tial equation (1.1) into parabolic, elliptic, and hyperbolic categories. We now
discuss the physical significance of such a classification in the computational
and physical aspects.
Consider, for example, the steady-state heat conduction equation (1.3a) or (1.3b),
which has second-order partial derivatives in both x and y variables. The
conditions at any given location are influenced by changes in conditions at
both sides of that location, whether the changes are in the x variable or in
the y variable. Thus, the steady-state heat conduction equation is elliptic in
both x and y space coordinates and is simply called elliptic. The main charac-
teristic of the elliptic equation is that it models a steady-state or equilibrium
diffusion process and requires the specification of appropriate boundary con-
ditions at all boundaries.
Now let us consider the one-dimensional, time-dependent heat conduction
equation (1.4), which has a second-order partial derivative in the x variable
and a first-order partial derivative in the time variable. The conditions at any
given location x are influenced by changes in conditions at both sides of that
location; hence, the equation is regarded elliptic in the x variable. However,
in the time variable t, the conditions at any instant are influenced only by
changes taking place in conditions at times earlier than that time; hence,
the equation is parabolic in time and is called parabolic. Note that the equa-
tion is called parabolic if there exists at least one coordinate (i.e., time or space)
in which the conditions at any given location (i.e., time or space) are
influenced by changes in conditions only at one side (i.e., earlier time or
upstream) of that location. The main characteristic of the parabolic equation
is that it models a transient state or evolution diffusion process and requires
the specification of appropriate boundary conditions at all boundaries plus
an initial condition at the starting point of the evolution process. As the tem-
perature field at any time is not affected by the temperature field at later
times, one starts with a given initial temperature field and marches forward
to compute the temperature fields at successive time steps.
In the case of a hyperbolic equation, such as the hyperbolic heat conduction
equation (1.6), it exhibits a wavelike propagation of the temperature field
with a finite speed, in contrast to the infinite speed of propagation associated
with the parabolic heat conduction equation (1.4). Therefore, the solution of
Basic Relations 5

hyperbolic equations with finite differences requires special considerations

and special schemes. The main characteristic of the hyperbolic equation (1.6)
is that it models a transient state or evolution propagation process and requires
the specification of appropriate boundary conditions at all boundaries plus
initial conditions at the starting point of the evolution process—both for the
potential and its first derivative in time.

1.2 Parabolic Systems

There is a wide variety of engineering problems that are governed by partial
differential equations of the parabolic type. Instead of testing them each time
in order to determine whether an equation is parabolic or not, it is convenient
to introduce a sufficiently general parabolic differential equation from which
numerous other parabolic equations of transport phenomena can be obtained
as special cases.
The general parabolic conservation equation governing the behavior of some
unknown potential ϕ in the two-dimensional rectangular coordinates system
(y and z space variables) can be written in conservative form as*



∂ ∂ ∂ ∂ ∂ϕ ∂ ∂ϕ
ðγϕÞ + ðβvϕÞ + ðβwϕÞ = C + C + S, (1.9)
∂t ∂y ∂z ∂y ∂y ∂z ∂z

where ϕ is the general dependent variable, Γ is the generalized diffusion

coefficient, β and γ are specified coefficients, and S is the specified volumetric
source term. In addition, v and w are the velocity components in the y and z
directions, respectively. This can readily be generalized for the three space
variables, x, y, and z.
The first term on the left-hand side of equation (1.9) represents the unsteady
term, and the second and third terms represent advection. On the right-hand
side of this equation, the first and second terms represent diffusion, and the
last term represents the volumetric source.
The physical significances of the dependent variable ϕ, the coefficients
β, γ, Γ, and the source term S depends on the physical nature of the problem
considered. The following examples illustrate this matter:

* The conservative form implies that the coefficients of the derivative terms are either constant or,
if variable, that their derivatives do not appear in the equation. For example, in the case of a
heat conduction equation with space-dependent thermal conductivity, the conservative form is
given as

∂T ∂ ∂T
ρCp = k ;
∂t ∂x ∂x
and the nonconservative form as

∂T ∂2 T ∂k ∂T
ρCp =k 2 + :
∂t ∂x ∂x ∂x
6 Finite Difference Methods in Heat Transfer

(1) For two-dimensional, transient heat conduction with constant heat

capacity, we set:
ϕ ≡ T, temperature
γ ≡ ρCp, heat capacity
β ≡ 0 no motion
Γ ≡ k, thermal conductivity
S ≡ g, volumetric energy generation rate

Then equation (1.9) becomes



∂T ∂ ∂T ∂ ∂T
ρCp = k + k + g: (1.10)
∂t ∂y ∂y ∂z ∂z

(2) For two-dimensional, transient, convection–diffusion with constant

heat capacity, we set:
ϕ ≡ T, temperature
γ ≡ ρCp, heat capacity
β ≡ ρCp, heat capacity
Γ ≡ k, thermal conductivity
S ≡ g, volumetric energy generation rate

Then equation (1.9) takes the following form:

 


∂T ∂ ∂ ∂ ∂T ∂ ∂T
ρCp + ðvTÞ + ðwTÞ = k + k + g: (1.11)
∂t ∂y ∂z ∂y ∂y ∂z ∂z

(3) For two-dimensional, transient, mass advection–diffusion without

mass retention effects, we set:
ϕ ≡ C, mass concentration
β=γ=l
Γ ≡ D, diffusion coefficient
S ≡ S*, mass generation rate per unit volume

Then equation (1.9) becomes



∂ ∂ ∂ ∂ ∂C ∂ ∂C
ðCÞ + ðvCÞ + ðwCÞ = D + D + S : (1.12)
∂t ∂y ∂z ∂y ∂y ∂z ∂z

In the foregoing examples, we considered applications of equation (1.9) for

different cases in heat and mass transfer. The momentum equations, for
example, are readily obtained from equation (1.9) by proper interpretation
of the coefficients β, γ, and the source term S.
Basic Relations 7

1.3 Elliptic Systems

The problems of steady-state diffusion, convection–diffusion, and some fluid
flow problems are governed by partial differential equations that are elliptic.
To illustrate this matter, we present the governing differential equations for
each of these three types of problems in the two-dimensional rectangular
coordinates system. The generalization to three dimensions is straightforward.

1.3.1 Steady-State Diffusion

The problems of steady-state heat or mass diffusion are governed by the
Poisson equation, which is elliptic and can be written in the following form:



∂ ∂ϕ ∂ ∂ϕ
C + C + S = 0, (1.13)
∂x ∂x ∂y ∂y

where
ϕ = unknown scalar potential that can represent the temperature T or the
mass concentration C,
Γ = generalized diffusion coefficient that can represent the thermal conduc-
tivity k or the mass diffusion coefficient D,
S = specified volumetric source term that can be energy generation rate g
or mass production rate S*, per unit volume.
For example, for heat conduction, equation (1.13) becomes



∂ ∂T ∂ ∂T
k + k + g = 0, (1.14)
∂x ∂x ∂y ∂y

and for mass diffusion, it takes the form



∂ ∂C ∂ ∂C
D + D + S = 0: (1.15)
∂x ∂x ∂y ∂y

1.3.2 Steady-State Advection–Diffusion

The problems of steady-state heat or mass transfer involving advection and
diffusion are also governed by elliptic partial differential equations that can
be written in the form



∂ ∂ ∂ ∂ϕ ∂ ∂ϕ
ðβuϕÞ + ðβvϕÞ = C + C + S, (1.16)
∂x ∂y ∂x ∂x ∂y ∂y

where the unknown potential ϕ, the generalized diffusion coefficient Γ, and

the source term S have been defined previously. The coefficient β is taken as
8 Finite Difference Methods in Heat Transfer

β = ρCp for heat transfer and β = 1 for mass transfer. In addition, u and v are
velocity components in the x and y directions, respectively.
For example, for heat transfer in an incompressible flow, equation (1.16)
becomes  


∂ ∂ ∂ ∂T ∂ ∂T
ρCp ðuTÞ + ðvTÞ = k + k + g, (1.17a)
∂x ∂y ∂x ∂x ∂y ∂y
and for mass transfer, it takes the form



∂ ∂ ∂ ∂C ∂ ∂C
ðuCÞ + ðvCÞ = D + D + S : (1.17b)
∂x ∂y ∂x ∂x ∂y ∂y

We note that equation (1.13) is obtainable from equation (1.16) by setting

β = 0 in the latter.

1.3.3 Fluid Flow

The equations governing the steady-state subsonic forced compressible flow
of an isothermal Newtonian fluid in the two-dimensional rectangular coordi-
nates system are given by
x-momentum



∂ ∂ ∂p ∂ ∂u ∂ ∂u
ðρuuÞ + ðρvuÞ = − + μ + μ , (1.18)
∂x ∂y ∂x ∂x ∂x ∂y ∂y

y-momentum



∂ ∂ ∂p ∂ ∂v ∂ ∂v
ðρuvÞ + ðρvvÞ = − + μ + μ , (1.19)
∂x ∂y ∂y ∂x ∂x ∂y ∂y

and the continuity equation

∂ ∂
ðρuÞ + ðρvÞ = 0, (1.20)
∂x ∂y

where µ is the viscosity, p is the pressure, and ρ is the density. These are a set
of three nonlinear coupled elliptic partial differential equations for the three
unknowns, u, v, and p. The system is closed when the proper boundary condi-
tions are specified and the equation of state is provided that relates ρ to T and p.

1.4 Hyperbolic Systems

Problems governed by hyperbolic partial differential equations are encoun-
tered in a number of applications in heat and fluid flow. For example, transi-
ent heat conduction associated with laser pulses of extremely short duration,
Basic Relations 9

extremely high rates of change of temperature or heat fluxes, or extremely

low temperatures approaching absolute zero may be governed by the hyper-
bolic heat conduction equation (1.6) instead of by the customarily used para-
bolic heat conduction equation (1.4).
The simplest hyperbolic equation is the first-order linear wave equation
given by
1 ∂u ∂u
+ = 0, c > 0, (1.21)
c ∂t ∂x
which governs the wave propagation in the x direction with a speed c. Other
examples of hyperbolic systems include the classical, second-order linear
wave equation, which can be obtained from equation (1.21),

∂2 u 2∂ u
2
= c , c > 0, (1.22)
∂t2 ∂x2
for the propagation of sound waves and the hyperbolic heat conduction equation

∂2 T ∂T ∂2 T
τ + = α , (1.23a)
∂t2 ∂t ∂x2
where the relaxation time τ is defined as
α
τ= : (1.23b)
c2
Equation (1.23a) has resulted by combining the non-Fourier heat flux model,
∂q ∂T
τ +q= −k , (1.24)
∂t ∂x
with the energy equation
∂q ∂T
− = ρCp , (1.25)
∂x ∂t
in order to eliminate the heat flux q. We note that for τ = 0, equation (1.23a)
reduces to the classical diffusion equation.

1.5 Systems of Equations

In many engineering applications, the physical processes are governed by a
system of equations rather than by a single equation. When such equations
are to be solved numerically, it is often convenient to combine them into a
compact vector form. In some situations, a higher-order partial differential
equation can be converted into a system of first-order equations.
10 Finite Difference Methods in Heat Transfer

Consider a system of first-order partial differential equations in the two

independent variables (x,t) expressed in the vector form as
∂T ∂FðTÞ
+ + H = 0, (1.26)
∂t ∂x
where T is the unknown component vector, F(T) is a given vector that is a
function of T, and H is a given source term vector.
For simplicity, we choose a system consisting of two equations; then various
vectors in equation (1.26) are defined as
     
T1 F1 ðTÞ H1
T= , FðTÞ = ,H= , (1.27a,b,c)
T2 F2 ðTÞ H2

2 3 2 3
∂T1 ∂F1
∂T 6 ∂t 7 6 7
7, ∂F = 6 ∂x 7:
=6
4 5 4 (1.28a,b)
∂t ∂T2 ∂x ∂F2 5
∂t ∂x
The generalization to a system of more than two equations is a straight-
forward matter.
Equation (1.26) can be expressed in the quasilinear form as
∂T ∂T
+A + H = 0, (1.29)
∂t ∂x
where the Jacobian matrix A, for the case of two equations, is given by
2 3
∂F1 ∂F1
∂FðTÞ 6 ∂T1 ∂T2 7
A= =6
4 ∂F
7: (1.30)
∂T 2 ∂F 5
2
∂T1 ∂T2

1.5.1 Characterization of System of Equations

An understanding of the behavior of a system of equations, namely, whether
it is hyperbolic or elliptic, is important in the selection of an appropriate finite
difference scheme for its solution. The system given by equation (1.29) is
hyperbolic if the eigenvalues of the coefficient matrix A are all real and distinct
and elliptic if they are all complex (Richtmyer and Morton 1967; Zahmanoglou
and Thoe 1976).
We now generalize this system [equation (1.29)] for the case of two
independent spatial variables (x, y) expressed in the form

∂T ∂T ∂T
+A +B + H = 0, (1.31)
∂t ∂x ∂y
Basic Relations 11

where A and B are the coefficient matrices. Richtmyer and Morton (1967)
identify the system [equation (1.31)] as being hyperbolic in the x direction
if the eigenvalues of A are real and distinct. Similarly, the behavior of the sys-
tem [equation (1.31)] is said to be hyperbolic in the y direction if the eigen-
values of the matrix B are real and distinct. Therefore, it is possible for the
system to exhibit hyperbolic behavior in (x, t) and elliptic behavior in (y, t)
or vice versa, depending on the nature of the coefficient matrices A and B.

1.5.2 Wave Equation

Consider the wave equation (1.22) written as

∂2 u 2∂ u
2
− c = 0: (1.32a)
∂t2 ∂x2
For a constant c, let
∂u ∂u
u1 = and u2 = c ; (1.32b,c)
∂t ∂x
so that equation (1.32a) can be split-up into two first-order equations in the form
∂u1 ∂u2
−c = 0; (1.33a)
∂t ∂x

∂u2 ∂u1
−c = 0; (1.33b)
∂t ∂x
and the resulting two equations can be expressed in the matrix form as
∂U ∂U
+A = 0, (1.34a)
∂t ∂x
where
   
u1 0 −c
U= and A = (1.34b,c)
u2 −c 0

The wave equation (1.32a) is hyperbolic; therefore, the aforementioned

split-up form should also retain its hyperbolic character. The eigenvalues
of the matrix A are determined from
det { A – λ I } = 0 (1.35a)
where I is the identity matrix. This result leads to
λ2 – c2 = 0 (1.35b)
which gives the eigenvalues as λ1 = c and λ2 = −c. Thus, as expected, the
system is hyperbolic because the eigenvalues are real and distinct.
12 Finite Difference Methods in Heat Transfer

1.6 Boundary Conditions

To identify the various types of linear boundary conditions, we introduce the
following definitions:
boundary condition of the first kind: ϕ = prescribed (1.36a)

∂ϕ
boundary condition of the second kind: C = prescribed (1.36b)
∂n

∂ϕ
boundary condition of the third kind: C + hϕ = prescribed (1.36c)
∂n
∂
where denotes differentiation along the outward drawn normal to the
∂n
boundary surface, that is,
∂ϕ
= rϕ  n: (1.37)
∂n
The boundary conditions of the first, second, and third kinds are also com-
monly referred to as Dirichlet, Neumann, and Robin boundary conditions,
respectively.
When the right-hand sides of equations (1.36a)–(1.36c) vanish, boundary
conditions are said to be homogeneous.
Let the vector n be represented in Cartesian coordinates as
n = ðli + mj + nkÞ, (1.38)

where i, j, and k denote the unit vectors along the positive x, y, and z direc-
tions, respectively, and l, m, and n are the direction cosines of the vector n.
∂ϕ
Therefore, in Cartesian coordinates, reduces to
∂n
∂ϕ ∂ϕ ∂ϕ ∂ϕ
=l +m +n : (1.39)
∂n ∂x ∂y ∂z

Equation (1.39) can be further simplified if the boundary coincides with a

surface of constant x, y, or z coordinates. Figure 1.1 illustrates such a case, for
boundaries at x = 0 and x = L, where n = −i and n = i, respectively. Therefore,
for this case, we have
∂ϕ ∂ϕ
=− at x = 0, (1.40a)
∂n ∂x

∂ϕ ∂ϕ
= at x = L: (1.40b)
∂n ∂x
Basic Relations 13

∇φ ∇φ

n = –i n=i

∇φ . n ∇φ . n

x=0 x x=L x

FIGURE 1.1
Illustration for the normal derivative.

Example 1.1
In a heat conduction problem, derive the boundary condition at a differ-
ential element dA of a surface that is remotely heated by a heat flux
qsup and exchange heat by convection and radiation with the surround-
ings. No heat is generated at the surface. The surface exchanges heat
by convection with a heat transfer coefficient h to a gas that is at the tem-
perature T∞. The gas is supposed to be transparent to radiation. The
emissivity of the surface is ε and it exchanges heat by radiation with a
surrounding surface at the temperature Tsurr. The figure shown here illus-
trates the physical situation under analysis.

qsup
Surrounding surface
Tsurr

qcond.n n
qconv
h, T∞

qcond

qrad
dA

Solution
The energy balance at the surface, by taking into account that a surface
has no mass and therefore does not accumulate heat, is written as

ðqcond  n + qsup ÞdA = ðqconv + qrad ÞdA, (a)

14 Finite Difference Methods in Heat Transfer

where n is the unit vector normal to the surface. The conduction heat flux
vector can be obtained from Fourier’s Law as

qcond = − krT, (b)

so that

∂T
qcond  n = − krT  n = − k : (c)
∂n
Note that qcond · n was assumed as a positive quantity in the energy
balance [Equation (a)]. By also writing the convective and the radiative
heat fluxes as positive quantities, in accordance with the provided infor-
mation that heat is lost (and not gained) by convection and radiation, we
have, respectively,

qconv = hðT − T1 Þ, (d)

qrad = εσðT4 − T4surr Þ, (e)

where σ = 5.67 × 10−8 W/m2K4 is the Stefan–Boltzmann constant (Özişik

1985). Equations (c)–(e) are then substituted into Equation (a), which is
rearranged to yield

∂T
k + hT + εσT4 = qsup + hT1 + εσT4surr , (f)
∂n
which is a nonlinear boundary condition because of radiation.
If it is assumed that T ≈ Tsurr, radiation can be linearized in the form
(Özişik 1985)

qrad = hrad ðT − Tsurr Þ, (g)

where

hrad = 4εσT3surr (h)

is the heat transfer coefficient for radiation. By using Equation (g) instead
of Equation (e) for the radiative flux, the energy balance given by Equa-
tion (a) becomes

∂T
k + hcomb T = qsup + hT1 + hrad Tsurr , (i)
∂n
which is a linear boundary condition of the third kind, in the same form
as equation (1.36c). In Equation (i), hcomb is the combined heat transfer
coefficient due to convection and linearized radiation, that is,

hcomb = h + hrad : (j)

Basic Relations 15

Equation (i) shows that a third kind boundary condition is obtained as

long as there is heat transfer by convection and/or linearized radiation at
the surface.
When the heat flux qsup is imposed by an electrical resistance in direct
contact with the surface, and not remotely such as illustrated by the
accompanying figure, there is no heat transfer by convection and by radi-
ation over the surface. Thus, Equation (i) reduces to

∂T
k = qsup , (k)
∂n

which is a linear boundary condition of the second kind, in the same form
as equation (1.36b). Whereas a boundary condition of the third kind
involves convective and/or linearized radiation, a boundary condition
of the second kind is obtained by an imposed heat flux over the surface,
without convection and radiation heat transfer.
The boundary condition of the first kind [see equation (1.36a)],

T = T1 , (l)

can be obtained as a special case of equation (i), when the heat transfer
coefficient is very large, such as for convection with phase change
(e.g., boiling or condensation) and qsup = 0. Alternatively, the boundary
condition of the first kind results in cases where the surface is in direct
contact with a thermal reservoir maintained at T∞.

1.7 Uniqueness of the Solution

The study of uniqueness and existence of solutions for a given system of
equations is not frequently considered in engineering simulations. However,
it is instructive to examine some simple situations in order to illustrate the
implications of such matter.
Consider a steady-state heat conduction problem with energy generation
in a finite, closed domain given by
1
r2 T + g = 0 in the region (1.41a)
k
∂T
= 0 on all boundaries, (1.41b)
∂n
∂
where denotes the derivative along the outward drawn normal to the
∂n
boundary surface. Just by physical considerations, we conclude that such a
16 Finite Difference Methods in Heat Transfer

problem cannot have a steady-state solution because the energy generated in

the medium has no way to escape as all boundaries are insulated; the tem-
perature is bound to increase continuously with time.
Let us now consider another steady-state heat conduction problem in a
finite domain, with no energy generation in the medium but with all boun-
daries subjected to prescribed heat fluxes. The mathematical formulation of
this problem is given by

r2 T = 0 in the region (1.42a)

∂T
k = f on all boundaries, (1.42b)
∂n

where f is a function of the boundary position. Again, by physical reason-

ing, we conclude that this problem cannot have a steady-state solution
unless the amount of heat entering the medium through part of the boun-
dary surfaces is equal to the amount of heat leaving the domain through the
rest of the boundary surfaces. Even so, if such a condition is satisfied, the
steady-state solution for the problem is unique only to within an addi-
tive constant, that is, T(r) + c, where the arbitrary constant, c, vanishes
both in the differential equation and in the boundary condition given by
equations (1.42a) and (1.42b).
For a number of physical, nonlinear boundary value problems, multiple
solutions exist or no solution exists (Kubicek and Hlavacek 1983). For a nonlin-
ear boundary value problem, it is difficult to prove rigorously the existence of a
solution. There are physical problems that do not possess a solution for partic-
ular values of the parameters. In many engineering problems, nonlinearities are
frequently caused by chemical reactions, radiation effects, dependence of the
rate, equilibrium, and transport coefficients on concentration and temperature,
as well as by viscous energy dissipation. A strong, exothermic, autocatalytic
reaction or radiation effects may give rise to multiple steady-state solutions.
Consider, for example, the nonlinear boundary value problem governing the
explosion of a solid explosive material given in the form

d2 y 1 dy
+ = − δ ey 0 < R < 1 (1.43a)
dR2 R dR
subject to the boundary conditions

dy
= 0 at R = 0, (1.43b)
dR

y = 0 at R = 1: (1.43c)
Basic Relations 17

B
15

10

δ
–3 –2 –1 1 2

–5

–10

–15

FIGURE 1.2
Roots of equation (1.44b).

The solution of this nonlinear problem is given in the form (Kubicek and
Hlavacek 1983)
8B=δ
y = ln , (1.44a)
ðB R2 + 1Þ2

where the constant B is determined from

8B=δ
= 1, (1.44b)
ðB + 1Þ2

which gives the following two roots:

pffiffiffiffiffiffiffiffiffiffiffiffi
− 4 + 2 4 − 2δ + δ
B1 = − (1.45a)
δ
pffiffiffiffiffiffiffiffiffiffiffiffi
4 + 2 4 − 2δ − δ
B2 = : (1.45b)
δ
It can be seen from Figure 1.2 that, for δ < 2, equation (1.44b) has two
distinct real roots; hence, the problem [equation (1.43)] has two solutions
for this range of δ. For δ = 2, there is only one root, B = 1; hence, the prob-
lem has only one solution. Finally, for δ > 2, the problem possesses no
solution.
18 Finite Difference Methods in Heat Transfer

PROBLEMS

1.1. Consider the following differential equation:

∂2 T ∂2 T
x + = 0:
∂x2 ∂y2

This equation can be elliptic, hyperbolic, or parabolic depending

on whether x > 0, x < 0, or x = 0, respectively. Explain when this
equation is elliptic, hyperbolic, and parabolic.
1.2. Consider the following partial differential equation:

∂T ∂T ∂2 T
+A − B 2 = 0,
∂x ∂y ∂y

where A and B are constants. Specify whether this equation is

elliptic, hyperbolic, or parabolic.
1.3. Consider the following partial differential equation:

∂2 T ∂2 T ∂2 T
A + B + C = 0:
∂x2 ∂x∂y ∂y2
Determine the nature of this equation for the following cases:
i. A = 1, B = 3, and C = 2
ii. A = 1, B = –2, and C = 1
iii. A = 1, B = 3, and C = 3
1.4. Determine the nature of the following partial differential equations:
∂2 T ∂2 T 1
ðiÞ + + gðx, yÞ = 0
∂x2 ∂y2 k

∂2 T ∂2 T ∂T
ðiiÞ − + =4
∂x 2 ∂x∂y ∂y

1.5. Consider slug flow (i.e., uniform flow velocity) for forced convection
inside a circular tube. The energy equation in dimensionless form,
including the effects of axial heat conduction in the fluid, is given by


∂T 1 ∂ ∂T 1 ∂2 T
= R + ,
∂X R ∂R ∂R ðPeÞ2 ∂X2

where R and X are radial and axial dimensionless coordinates,

respectively, and Pe is the Peclet number. Discuss the nature of
this equation for the values of the Peclet number being finite
and Pe → ∞.
Basic Relations 19

1.6. Consider Burger’s equation given by

∂u ∂u ∂2 u
+u =υ 2 ,
∂t ∂x ∂x
where u is the velocity, t the time, x the coordinate, and υ the
kinematic viscosity of the fluid. Discuss the nature of this equation.
1.7. For extremely short times (i.e., picosecond or shorter) or at tem-
peratures near absolute zero, the effects of finite speed of propa-
gation become important and heat conduction is governed by the
following equation:

1 ∂2 T 1 ∂T ∂2 T
+ = ,
c2 ∂t2 α ∂t ∂x2

where c is the wave propagation speed. In the standard heat

conduction, c is regarded as infinite, and this equation reduces to the
usual heat conduction equation. Discuss the nature of this equation.
1.8. Determine the nature of the following two-dimensional energy
equation for flow in a parallel plates channel:
 


∂T ∂ ∂ ∂ ∂T ∂ ∂T
ρCp + ðuTÞ + ðvTÞ = k + k + g,
∂t ∂x ∂y ∂x ∂x ∂y ∂y

where T is the temperature, t is the time, x and y are the axial

and transversal coordinates, respectively, u and v are the velocity
components, and g is the energy generation rate.
1.9. A plane wall, confined to the region 0 ≤ x ≤ L, is subjected to a
heat supply at a rate of qo W/m2 at the boundary surface x = 0 and
dissipates heat by convection with a heat transfer coefficient h∞
W/(m2 °C) into an ambient air at temperature T∞ from the boundary
surface at x = L. Write the boundary conditions at x = 0 and x = L.
1.10. Consider a two-dimensional heat conduction problem in a rectangu-
lar shape confined to the region 0 ≤ x ≤ a, 0 ≤ y ≤ b. Write the math-
ematical formulation of boundary conditions for the following cases:
i. Boundary at x = 0: Heat is removed at a constant rate of qo
W/m2.
ii. Boundary at x = a: Heat is dissipated by convection with a
heat transfer coefficient ha into the ambient air at constant
temperature T∞.
iii. Boundary at y = 0: Kept insulated.
iv. Boundary at y = b: Heat is supplied into the solid at a rate
of qb W/m2.
20 Finite Difference Methods in Heat Transfer

1.11. A spherical shell has an inside radius R = r1 and outside radius

R = r2. At the inside surface, it is heated electrically at a rate of
q1 W/m2, and at the outside surface, heat is dissipated by convec-
tion with a heat transfer coefficient h2 into an ambient air at a con-
stant temperature T∞. Write the boundary conditions.
1.12. A copper bar of radius R = b is initially at a uniform temperature Ti.
The heating of the rod begins at time t = 0 by the passage of electric
current that generates heat throughout the rod at a constant rate of
go W/m3. The rod dissipates heat by free convection with a heat
transfer coefficient h = C(T − T∞)1/4 into the ambient fluid at
constant temperature T∞. Assuming constant thermal conductivity
k for the solid and one-dimensional time-dependent problem, write
the mathematical formulation of this heat conduction problem.
1.13. Show that the following three different forms of the differential
operator in the spherical system are equivalent:


1 d 2 dT 1 d2 d2 T 2 dT
2 dR
R = 2
ðRTÞ = +
R dR R dR dR2 R dR

1.14. Determine the nature of the following convection–diffusion

equation:
 


∂ ∂ ∂ ∂T ∂ ∂T
ρCp ðuTÞ + ðvTÞ = k + k + g:
∂x ∂y ∂x ∂x ∂y ∂y

1.15. Set up the mathematical formulation of the following heat

conduction problems:
i. A slab in 0 ≤ x ≤ L is initially at a temperature F(x). For
times t > 0, the boundary at x = 0 is kept insulated and
the boundary at x = L dissipates heat by convection into a
medium at zero temperature.
ii. A semi-infinite region 0 ≤ x < ∞ is initially at a temperature
F(x). For times t > 0, heat is generated in the medium at a
constant rate of go W/m3, while the boundary at x = 0 is
kept at zero temperature.
iii. A solid cylinder 0 ≤ R ≤ b is initially at a temperature F(R).
For times t > 0, heat is generated in the medium at a rate of g
(R), W/m3, while the boundary at R = b dissipates heat by
convection into a medium at zero temperature.
iv. A solid sphere 0 ≤ R ≤ b is initially at temperature F(R). For
times t > 0, heat is generated in the medium at a rate of g(R),
W/m3, while the boundary at R = b is kept at a uniform tem-
perature To.
Basic Relations 21

1.16. A one-dimensional unsteady inviscid compressible flow is

described by the equations
∂ ∂
ðρÞ + ðρuÞ = 0;
∂t ∂x
∂ ∂
ðρuÞ + ðρ + ρu2 Þ = 0;
∂t ∂x
∂ ∂
ðEt Þ + ½ðEt + pÞu = 0;
∂t ∂x

where ρ is density, u is velocity, p is pressure, and Et is the total

energy. Write these equations in the matrix system form.
1.17. ∂2 u ∂2 u
The Laplace equation 2 + 2 = 0 is an elliptic equation. Split
∂x ∂y
up this equation into two first-order equations, examine the
eigenvalues of the coefficient matrix, and show that the eigen-
values are both complex (i.e., λ1 = +i and λ2 = –i), which is con-
sistent with the elliptic nature of the problem.
1.18. Determine whether the following system of equations is elliptic
or hyperbolic:
∂T ∂T
+A = 0,
∂x ∂y

where
   
T1 0 −1
T= , A= :
T2 1 0
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