PART 4

Introduction
 LESSON 1
Introduction to Partial Differential
Equations
~ ~~~ ~~ ~ ~

PURPOSE OF LESSON: To show what partial differential equations

are, why they are useful, and how they are solved; also included is a brief
discussion on how they are classified as various kinds and types. An over-
view is given of many of the ideas that will be studied in detail later.

Most physical phenomena, whether in the domain of fluid dynamics, electricity,

magnetism, mechanics, optics, or heat flow, can be described in general by
partial differential equations (PDEs); in fact, most of mathematical physics are
PDEs. It’s true that simplifications can be made that reduce the equations in
question to ordinary differential equations, but, nevertheless, the complete
description of these systems resides in the general area of PDEs.

What Are PDEs?

A partial differential equation is an equation that contains partial derivatives.
In contrast to ordinary differentialequations (ODES),where the unknown func-
tion depends only on one variable, in PDEs, the unknown function depends on
several variables (like temperature u(x,t) depends both on location x and
time t ) .
Let’s list some well-known PDEs; note that for notational simplicity we have
called

A Few Well-Known PDEs

u, = u,, (heat equation in one dimension)
u, = u, + u,, (heat equation in two dimensions)
1 1
u,, + -u,
r
+-
r2
u,, = 0 (Laplace’s equation in polar coordinates)

introduction to Partial Dlfferentiai Equations 3

 u, = u, + u, + u,, (wave equation in three dimensions)
u, = u,, + aut + pu (telegraph equation)

Note on the Examples

The unknown function u always depends on more than one variable. The variable
u (which we differentiate) is called the dependent variable, whereas the ones we
differentiate with respect to are called the independent variables. For example,
it is clear from the equation

that the dependent variable u(x,t) is a function of two independent variables x

and t, whereas in the equation
1 1
u, = u, + -u,
r
+ -u,e
r2

u(rJ8,t)depends on r, 8, and t.

Why Are PDEs Useful?

Most of the natural laws of physics, such as Maxwell’s equations, Newton’s law
of cooling, the Navier-Stokes equations, Newton’s equations of motion, and
Schrodinger’s equation of quantum mechanics, are stated (or can be) in terms
of PDEs, that is, these laws describe physical phenomena by relating space and
time derivatives. Derivatives occur in these equations because the derivatives
represent natural things (like velocity, acceleration, force, friction, flux, current).
Hence, we have equations relating partial derivatives of some unknown quantity
that we would like to find.
The purpose of this book is to show the reader two things
1. How to formulate the P D E from the physical problem (constructing the
mathematical model).
2. How to solve the PDE (along with initial and boundary conditions).
We wait a few lessons before we start the modeling problem; now, a brief
overview on how PDEs are solved.

How Do You Solve a Partial Differential Equation?

This is a good question. It turns out that there is an entire arsenal of methods
available to the practitioner; the most important methods are those that change
PDEs into ODES. Ten useful techniques are

4 introduction
 1. Separation of Variables. This technique reduces a PDE in n variables
to n ODES.
2. Integral Transforms. This procedure reduces a PDE in n independent
variables to one in n - 1 variables; hence, a PDE in two variables could
be changed to an ODE.
3. Change of Coordinates. This method changes the original PDE to an
ODE or else another PDE (an easier one) by changing the coordinates
of the problem (rotating the axis and things like that).
4. Transformation of the Dependent Variable. This method transforms
the unknown of a PDE into a new unknown that is easier to find.
5 . Numerical Methods. These methods change a PDE to a system of
difference equations that can be solved by means of iterative techniques
on a computer; in many cases, this is the only technique that will work.
In addition to methods that replace PDEs by difference equations, there
are other methods that attempt to approximate solutions by polynomial
surfaces (spline approximations).
6 . Pertubation Methods. This method changes a nonlinear problem into
a sequence of linear ones that approximates the nonlinear one.
7. Impulse-response Technique. This procedure decomposes initial and
boundary conditions of the problem into simple impulses and finds the
response to each impulse. The overall response is then found by adding
these simple responses.
8. Integral Equations. This technique changes a PDE to an integral equa-
tion (an equation where the unknown is inside the integral). The integral
equation is then solved by various techniques.
9. Calculus of Variations Methods. These methods find the solution to
PDEs by reformulating the equation as a minimization problem. It turns
out that the minimum of a certain expression (very likely the expression
will stand for total energy) is also the solution to the PDE.
10. Eigenfunction Expansion. This method attempts to find the solution
of a PDE as an infinite sum of eigenfunctions. These eigenfunctions are
found by solving what is known as an eigenvalue problem corresponding
to the original problem.

Kinds of PDEs
Partial differential equations are classified according to many things. Classifiz
cation is an important concept because the general theory and methods
of solution usually apply only to a given class of equations. Six basic classifi-
cations are
1. Order ofthe PDE. The order of a PDE is the order of the highestpartial
derivative in the equation, for example,

u, = u,, (second order)

Introduction to Partlal Dlfferential Equations 5

 u, = u, (first order)
u, = uu,,, + sin x (third order)

2. Number of Variables. The number of variables is the number of inde-

pendent variables, for example,

u, = u, (two variables: x and t )

1 1
u, = u,, + -u,
r + -+, (three variables: r , 0, and t )
3. Linearity. Partial differential equations are either h e a r or nonlinear.
In the linear ones, the dependent variable u and all its derivatives appear
in a linear fashion (they are not multiplied together or squared, for ex-
ample). More precisely, a second-order linear equation in two variables
is an equation of the form

(1.1)
1 Au,, + . _ + Dux
Bu,~,+ Cu,, + Eu, + Fu = G I
where A, B, C, D, E, F, and G can be constants or given functions of
x and y ; for example,

u,,= e-'u, +sin t (linear)

uu,, + u, = 0 (nonlinear)
u,, +yu,, = 0 (linear)
xu, + yu, + u2 = 0 (nonlinear)

4. Homogeneity. The equation (1.1) is called homogeneous if the right-

hand side G(x,y) is identically zero for all x and y . If G(x,y) is not
identically zero, then the equation is called nonhomogeneous.
5. Kinds of Coefficients. If the coefficients A, B, C,D,E , and Finequation
(1.1) are constants, then (1.1) is said to have constant coefficients (other-
wise, variable coefficients).
6 . Three Basic Types of Linear Equations. All linear PDEs like equation
(1.1) are either
(a) parabolic
(b) hyperbolic
(c) elliptic
Parabolic. Parabolic equations describe heat flow and diffusion processes
and satisfy the property B2 - 4AC = 0.
Hyperbolic. Hyperbolic equations describe vibrating systems and wave mo-
tion and satisfy the property B2 - 4AC > 0.
Elliptic. Elliptic equations describe steady-stare phenomena and satisfy the
property Bz - 4AC < 0.

6 Introduction
Examples.
(a) u, = u, BZ - 4AC = 0 (parabolic)

(b) u, = u,, B2 - 4AC = 4 (hyperbolic)

(c) uh = 0 B2 - 4AC = 1 (hyperbolic)

(4 uxx + uyy = 0 B2 - 4AC = -4 (elliptic)

(e) yu,, + uvy = 0 B2 - 4AC = parabolic

-4y
I
elliptic for y > 0
for y = 0
hyperbolic for y < 0
(In the case of variable coefficients, the situation can change from point to
point.)

NOTES
1. In general, B2 - 4AC is a function of the independent variables; hence, an
equation can change from one basic type to another throughout the domain
of the equation (although it’s not common).
2. The general linear equation (1.1) was written with independent variables
x and y. In many problems, one of the two variables stands for time and
hence would be written in terms of x and t.
3. A general classification diagram is given in Figure 1.1.

Order

Kinds of coefficients
(linear equations)

Homogeneity Nonhomogeneous
(linear equations)

(linear equations)

FIGURE 1.I Classification diagram for partial differential equations.

Introduction to Partial Differential Equatlons 7

PROBLEMS

1. Classify the following equations according to all the properties we've dis-
cussed in Figure 1.1:

(a) u, = u,, +2u, + u

(b) u, = u,, + e-'
(c) u, + +
3uXy ury = sin x
(d) urt = U U , , , ~ + e-'

2. How many solutions to the PDE u, = u,, can you find? Try solutions of the
form u(x,t) = em b r . +

3. If u l ( x , y ) and u2(x,y) satisfy equation (l.l),then is it true that the sum

satisfies it?; if yes, prove it.
4. Probably the easiest of all PDEs to solve is the equation

Can you solve this equation? (Find all functions u ( x , y ) that satisfy it.)
5. What about the PDE

Can you find all solutions u ( x , y ) to this equation? (How many are there?)
How does this compare with an ODE like

insofar as the number of solutions is concerned?

OTHER READING
1. Elementary Partial Differential Equations by P. W. Berg and J. L. McGregor. Holden-
Day, 1966. Clearly written with several n i E goblems; a nice book to own.
2. Analysis and Solution of Partial Differential Equations by R. L . Street. Brooks-Cole, 1973.
A well-written text covering many of the topics we will cover in this book.

8 Introduction