Linear Change of Variables The Method of Characteristics Summary

Solving First Order PDEs

Ryan C. Daileda

Trinity University

Partial Differential Equations

January 21, 2014

Daileda First Order PDEs

Linear Change of Variables The Method of Characteristics Summary

Solving the transport equation

Goal: Determine every function u(x, t) that solves
∂u ∂u
+v = 0,
∂t ∂x
where v is a fixed constant.
Idea: Perform a linear change of variables to eliminate one partial
derivative:
α = ax + bt,
β = cx + dt,
where:
x, t : original independent variables,
α, β : new independent variables,
a, b, c, d : constants to be chosen “conveniently,”
must satisfy ad − bc 6= 0.
Daileda First Order PDEs
Linear Change of Variables The Method of Characteristics Summary

We use the multivariable chain rule to convert to α and β

derivatives:

u ∂u ∂u ∂α ∂u ∂β ∂u ∂u
= + =a +c ,
∂x ∂α ∂x ∂β ∂x ∂α ∂β
α β
∂u ∂u ∂α ∂u ∂β ∂u ∂u
= + =b +d .
x t x t ∂t ∂α ∂t ∂β ∂t ∂α ∂β

Hence
   
∂u ∂u ∂u ∂u ∂u ∂u
+v = b +d +v a +c
∂t ∂x ∂α ∂β ∂α ∂β
∂u ∂u
= (b + av ) + (d + cv ) .
∂α ∂β

Daileda First Order PDEs

Linear Change of Variables The Method of Characteristics Summary

Choosing a = 0, b = 1, c = 1, d = −v , the original PDE becomes

∂u
= 0.
∂α
This tells us that

u = f (β) = f (cx + dt) = f (x − vt)

for any (differentiable) function f .

Theorem
∂u ∂u
The general solution to the transport equation +v = 0 is
∂t ∂x
given by
u(x, t) = f (x − vt),
where f is any differentiable function of one variable.

Daileda First Order PDEs

Linear Change of Variables The Method of Characteristics Summary

Example
∂u ∂u
Solve the transport equation +3 = 0 given the initial
∂t ∂x
condition
2
u(x, 0) = xe −x , −∞ < x < ∞.

Solution: We know that the general solution is given by

u(x, t) = f (x − 3t).

To find f we use the initial condition:

2
f (x) = f (x − 3 · 0) = u(x, 0) = xe −x .

Thus
2
u(x, t) = (x − 3t)e −(x−3t) .

Daileda First Order PDEs

Linear Change of Variables The Method of Characteristics Summary

Example
∂u ∂u
Solve 5 + = x given the initial condition
∂t ∂x
u(x, 0) = sin 2πx, −∞ < x < ∞.

Solution: As above, we perform the linear change of variables

α = ax + bt,
β = cx + dt,

and find that

   
∂u ∂u ∂u ∂u ∂u ∂u
5 + =5 b +d + a +c
∂t ∂x ∂α ∂β ∂α ∂β
∂u ∂u
= (a + 5b) + (c + 5d) .
∂α ∂β

Daileda First Order PDEs

Linear Change of Variables The Method of Characteristics Summary

We choose a = 1, b = 0, c = 5, d = −1. Then α = x and so the

PDE becomes
∂u
= α.
∂α
Integrating yields

α2 x2
u= + f (β) = + f (5x − t).
2 2
The initial condition tells us that
x2
+ f (5x) = u(x, 0) = sin 2πx.
2
If we replace x with x/5, we get

2πx x2
f (x) = sin − .
5 50

Daileda First Order PDEs

Linear Change of Variables The Method of Characteristics Summary

Therefore
x2 2π(5x − t) (5x − t)2
u(x, t) = + sin −
2 5 50
xt t2 2π(5x − t)
= − + sin .
5 50 5

Remark: In general, a linear change of variables can always be

used to convert a PDE of the form
∂u ∂u
A +B = C (x, y , u)
∂x ∂y
into an “ODE,” i.e. a PDE containing only one partial derivative.

Daileda First Order PDEs

Linear Change of Variables The Method of Characteristics Summary

Interpreting the solutions of the transport equation

If we plot the solution u(x, t) = f (x − vt) in the xu-plane, and
animate t:
f (x) = u(x, 0) is the initial condition (concentration);
u(x, t) is a traveling wave with velocity v and shape given by
u = f (x).

Daileda First Order PDEs

Linear Change of Variables The Method of Characteristics Summary

In three dimensions (xtu-space):

The graph of the solution is the surface obtained by
translating u = f (x) along the vector v = hv , 1i;
The solution is constant along lines (in the xt-plane) parallel
to v.

Daileda First Order PDEs

Linear Change of Variables The Method of Characteristics Summary

Characteristic curves

Goal: Develop a technique to solve the (somewhat more general)

first order PDE
∂u ∂u
+ p(x, y ) = 0. (1)
∂x ∂y

Idea: Look for characteristic curves in the xy -plane along which

the solution u satisfies an ODE.

Consider u along a curve y = y (x). On this curve we have

d ∂u ∂u dy
u(x, y (x)) = + . (2)
dx ∂x ∂y dx

Daileda First Order PDEs

Linear Change of Variables The Method of Characteristics Summary

Comparing (1) and (2), if we require

dy
= p(x, y ), (3)
dx
then the PDE becomes the ODE
d
u(x, y (x)) = 0. (4)
dx
These are the characteristic ODEs of the original PDE.
If we express the general solution to (3) in the form ϕ(x, y ) = C ,
each value of C gives a characteristic curve.
Equation (4) says that u is constant along the characteristic
curves, so that

u(x, y ) = f (C ) = f (ϕ(x, y )).

Daileda First Order PDEs

Linear Change of Variables The Method of Characteristics Summary

The Method of Characteristics - Special Case

Summarizing the above we have:

Theorem
The general solution to
∂u ∂u
+ p(x, y ) =0
∂x ∂y
is given by
u(x, y ) = f (ϕ(x, y )),
where:
dy
ϕ(x, y ) = C gives the general solution to = p(x, y ), and
dx
f is any differentiable function of one variable.

Daileda First Order PDEs

Linear Change of Variables The Method of Characteristics Summary

Example
∂u ∂u
Solve 2y + (3x 2 − 1) = 0 by the method of characteristics.
∂x ∂y

Solution: We first divide the PDE by 2y obtaining

∂u 3x 2 − 1 ∂u
+ = 0.
∂x 2y ∂y
| {z }
p(x,y )

So we need to solve
dy 3x 2 − 1
= .
dx 2y
This is separable:
2y dy = 3x 2 − 1 dx.

Daileda First Order PDEs

Linear Change of Variables The Method of Characteristics Summary

Z Z
2y dy = 3x 2 − 1 dx

y2 = x3 − x + C .

We can put this in the form y 2 − x 3 + x = C and hence

u(x, y ) = f y 2 − x 3 + x .

Remark: This technique can be generalized to PDEs of the form

∂u ∂u
A(x, y ) + B(x, y ) = C (x, y , u).
∂x ∂y

Daileda First Order PDEs

Linear Change of Variables The Method of Characteristics Summary

Example
∂u ∂u
Solve +x = u.
∂x ∂y

As above, along a curve y = y (x) we have

d ∂u ∂u dy
u(x, y (x)) = + .
dx ∂x ∂y dx
Comparison with the original PDE gives the characteristic ODEs
dy
= x,
dx
d
u(x, y (x)) = u(x, y (x)).
dx

Daileda First Order PDEs

Linear Change of Variables The Method of Characteristics Summary

The first tells us that

x2
y= + y (0),
2
and the second that

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

Combining these gives

 
x2
u(x, y ) = f y− ex .
2

Daileda First Order PDEs

Linear Change of Variables The Method of Characteristics Summary

Summary

Consider a first order PDE of the form

∂u ∂u
A(x, y ) + B(x, y ) = C (x, y , u). (5)
∂x ∂y

When A(x, y ) and B(x, y ) are constants, a linear change of

variables can be used to convert (5) into an “ODE.”

In general, the method of characteristics yields a system of

ODEs equivalent to (5).

In principle, these ODEs can always be solved completely to give

the general solution to (5).

Daileda First Order PDEs