Separation of Variables for Higher Dimensional Heat Equation

1. Heat Equation and Eigenfunctions of the Laplacian: An 2-D Example

Objective: Let Ω be a planar region with boundary curve Γ. Consider heat conduction
in Ω with fixed boundary temperature on Γ:

(PDE) ut − k(uxx + uyy ) = 0 (x, y) in Ω, t > 0,

(BC) u(x, y, t) = 0 (x, y) on Γ, t > 0,
(IC) u(x, y, 0) = f (x, y) (x, y) in Ω.

(IDEA: Separation of Variables) We look for solutions of (PDE)-(BC) whose spatial

structure of the temprature distribution remains invariant with time. In these solutions only
the amplitudes of the temprature distribution may change with time. Mathematically, we try
to classify all nontrivial solutions of the following form:

u(x, y, t) = T (t)Φ(x, y) 6≡ 0.

(THE EQUATIONS FOR PRODUCT SOLUTIONS) Plugging u = T (t)Φ(x, y) in

(PDE)-(BC) we see: There is a constant α such that

(∗) T ′ (t) − kαT (t) = 0 t > 0;

(∗∗) Φxx + Φyy − αΦ = 0 (x, y) in Ω,
(∗ ∗ ∗) Φ=0 (x, y) on Γ.

We look for solutions of (*)-(**)-(***) that are 6≡ 0. Here, (*) and (**) are deduced from
(PDE), and (***) follows from (BC). Equation (∗) is easy to solve. The main issue now is to
solve the eigenvalue problem (∗∗)-(∗ ∗ ∗).
(EIGENVALUES AND EIGENFUNCTIONS) Now focus on the boundary value
problem (**)-(***) for Φ(x, y). The solution structure of this problem depends on the parameter
value α. It can be shown that for most choices of α, (**)-(***) only has the trivial solution
Φ(x, y) ≡ 0. The special values of α admiting nontrivial solutions are called eigenvalues of
(**)-(***), and in that case, the corresponding nontrivial solutions Φ(x, y) 6≡ 0 are called
eigenfunctions.
Unfortunately, for a general domain Ω, it’s impossible to write down the eigenvalues and
eigenfunctions of (∗∗)-(∗ ∗ ∗) in explicit form. We do, however, have a mathematical theorem
about this eigenvalue problem:
THEOREM. (i) The eigenvalues of (∗∗)-(∗∗∗) form a sequence of negative numbers {αn }∞
n=1
such that
0 > α1 > α2 ≥ α3 ≥ α4 ≥ · · · , lim αn = −∞.
n→∞

(ii) The corresponding eigenfunctions Φn (x, y) are smooth functions in Ω.

(iii) RR
Φ1 > 0 does not change sign in Ω.
(iv) Ω Φm (x, y)Φn (x, y)dxdy = 0 for m 6= n.
Let α = αn be one of the eigenvalues. We now solve equation (*), which becomes

T ′ (t) − kαn T (t) = 0 t > 0.

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The solutions are
T (t) = Constant · ekαn t .
(CLASSIFICATION OF PRODUCT SOLUTIONS) Thus, a product solution of
(PDE)-(BC) must be a constant multiple of

un (x, t) = ekαn t Φn (x, y), n = 1, 2, 3, · · · .

(FROM PRODUCT SOLUTIONS TO GENERAL SOLUTIONS) The general

solutions of (PDE)-(BC) are linear combinations of the product solutions:
∞
X
u(x, t) = an ekαn t Φn (x, y),
n=1

where an are constants.

(SOLUTION FORMULA FOR THE INIT-BDRY VAL PROBLEM) To obtain
the solution of the initial-boundary value problem (PDE)-(BC)-(IC), we now need to use (IC)
to determine the values of an . Let t = 0:
∞
X
(FOURIER) f (x, y) = an Φn (x, y).
n=1

The coefficients an can be expressed in terms of f (x, y). The derivation is similar to the 1-D
case. Details follow: Multiply both sides of (FOURIER) by Φm (x, y) and integrate over Ω:
ZZ ∞
X ZZ
f (x, y)Φm (x, y)dxdy = an Φn (x, y)Φm (x, y)dxdy
Ω n=1 Ω
ZZ
= am Φm (x, y)2 dxdy,
Ω

by Property (iv) of the above theorem.

This finally gives the solution of the initial-boundary value problem (PDE)-(BC)-(IC):
∞
X
u(x, t) = an ekαn t Φn (x, y),
n=1

where RR
ΩRR
f (x, y)Φn (x, y)dxdy
an = n = 1, 2, 3, · · · .
Φ (x, y)2dxdy
Ω n

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 2. The Case of a Rectangular Ω
Objective: Solve the initial-boundary value problem (PDE)-(BC)-(IC), for the case where
Ω is the rectangle {0 < x < a, 0 < y < b}:
(PDE) ut − k(uxx + uyy ) = 0 0 < x < a, 0 < y < b, t > 0,
u(x, 0, t) = 0, u(x, b, t) = 0 0 < x < a, t > 0,

(BC)
u(0, y, t) = 0, u(a, y, t) = 0 0 < y < b, t > 0,
(IC) u(x, y, 0) = f (x, y) 0 < x < a, 0 < y < b.

THE EIGENVALUE PROBLEM (∗∗)-(∗ ∗ ∗) can be solved by further separation

of variables: Thanks to the special symmetry of the rectangular domain, we can obtain explicit
expressions for the eigenvalues and eigenfunctions. As matter of fact, the eigenfunctions of the
product form:
Φ(x, y) = X(x)Y (y)
will produce all eigenvalues. Although, in general there might be eigenfunctions of non-product
forms, those non-product eigenfunctions are linear comibinations of product eigenfunctions. In
this sense, we only need to solve (∗∗)-(∗ ∗ ∗) for product functions Φ(x, y) = X(x)Y (y). This
will separate the 2-D eigenvalue problem (∗∗)-(∗ ∗ ∗) to two 1-D eigenvalue problems which we
know how to solve.
An ALTERNATIVE APPROACH is to start from the beginnning with product solu-
tions of the form:
u(x, y, t) = T (t)X(x)Y (y) 6≡ 0.
Plugging u = T (t)X(x)Y (y) in (PDE)-(BC) we see: there are constants λ and µ such that
(∗) T ′ (t) + k(λ + µ)T (t) = 0 t > 0;
(♥)x X ′′ (x) + λX(x) = 0 (0 < x < a), X(0) = X(a) = 0;
(♥)y Y ′′ (y) + µY (y) = 0 (0 < y < b), Y (0) = Y (b) = 0.
We know how to solve 1-D eigenvalue problem (♥)x : If and only if λ is one of the following
values
λm = (mπ/a)2 , m = 1, 2 · · · ,
problem (♥)x has nontrivial solutions which are constant multiples of
Xm (x) = sin(mπx/a).
Another 1-D eigenvalue problem (♥)y is solved similarly: If and only if µ is one of the following
values
µn = (nπ/b)2 , n = 1, 2 · · · ,
problem (♥)y has nontrivial solutions which are constant multiples of
Yn (y) = sin(nπy/b).
For λ = λm and µ = µn , we now solve equation (*), which becomes
T ′ (t) + k(λm + µn )T (t) = 0 t > 0.

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The solutions are

T (t) = Constant · e−k(λm +µn )t = Constant · e−k[(mπ/a) ]t .

2 +(nπ/b)2

(CLASSIFICATION OF PRODUCT SOLUTIONS) Thus, a (triple-factor) product

solution of (PDE)-(BC) must be a constant multiple of

um,n (x, y, t) = sin(mπx/a) sin(nπy/b)e−k[(mπ/a) ]t ,

2 +(nπ/b)2
m, n = 1, 2, 3, · · · .

(SOLUTION FORMULA FOR THE INIT-BDRY VAL PROBLEM) The solution

of the initial-boundary value problem (PDE)-(BC)-(IC) is given by:
∞ X
∞
am,n sin(mπx/a) sin(nπy/b)e−k[(mπ/a) ]t ,
2 +(nπ/b)2
X
u(x, t) =
m=1 n=1

where
Ra Rb
x=0 y=0
f (x, y) sin(mπx/a) sin(nπy/b)dxdy
am,n = Ra Rb
x=0 y=0
{sin(mπx/a) sin(nπy/b)}2 dxdy

a b
4  mπx   nπy 
Z Z
= f (x, y) sin sin dxdy.
ab x=0 y=0 a b

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 EXERCISES

[1] Consider the 2-D heat equation in a rectangle, with top and bottom sides insulated, and
left and right boundary temperature fixed at 0:

(1) ut − uxx − uyy = 0 0 < x < a, 0 < y < b, t > 0,

(2i) uy (x, 0, t) = 0, uy (x, b, t) = 0 0 ≤ x ≤ a, 0 ≤ y ≤ b, t > 0,
(2ii) u(0, y, t) = 0, u(a, y, t) = 0 0 ≤ y ≤ b, t > 0,
(3) u(x, y, 0) = f (x, y) 0 < x < a, 0 < y < b.

(a) Find all nontrivial solutions u(x, y, t) to (1)-(2) of the form

u(x, y, t) = X(x)Y (y)T (t).

(b) Find the Fourier series solution formula for (1)-(2)-(3) with the general initial data
f (x, y).
(c) Find the Fourier series formula in the case where

f (x, y) = xy.

[2] Consider the 3-D heat equation in a 3-D box with insulated boundary conditions:

(4) ut − uxx − uyy − uzz = 0 0 < x < a, 0 < y < b, 0 < z < c, t > 0,
(5) ux (0, y, z, t) = ux (a, y, z, t) = uy (x, 0, z, t) = uy (x, b, z, t)
= uz (x, y, 0, t) = uz (x, y, c, t) = 0 0 < x < a, 0 < y < b, 0 < z < c, t > 0,
(6) u(x, y, z, 0) = f (x, y, z) 0 < x < a, 0 < y < b, 0 < z < c.

(a) Find all nontrivial solutions u(x, y, z, t) to (4)-(5) of the form

u(x, y, z, t) = X(x)Y (y)Z(z)T (t).

(b) Find the Fourier series solution formula for (4)-(5)-(6) with the general initial data
f (x, y, z).

ANSWERS:
 mπx   nπy 
e−[(mπ/a) +(nπ/b) ]t , where m is any positive in-
2 2
[1] (a) u(x, y, t) = C sin cos
a b
teger, n is any nonnegative integer, and C is any nonzero constant.

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 ∞ X
∞  mπx   nπy 
e−[(mπ/a) +(nπ/b)2 ]t
X 2
(b) u(x, y, t) = am,n sin cos ,
m=1 n=0
a b
where
a b
2  mπx 
Z Z
am,0 = f (x, y) sin dxdy (m ≥ 1)
ab x=0 y=0 a
Z a Z b
4  mπx   nπy 
am,n = f (x, y) sin cos dxdy (m ≥ 1, n ≥ 1)
ab x=0 y=0 a b

∞
X ab(−1)m+1  mπx  2
(c) u(x, y, t) = sin e−(mπ/a) t
m=1
mπ a
∞ X
∞
4ab(−1)m {1 − (−1)n }  mπx   nπy 
e−[(mπ/a) +(nπ/b)2 ]t
X 2
+ sin cos
m=1 n=1
mn2 π 3 a b
 mπx   nπy  
kπz
e−[(mπ/a) +(nπ/b) +(kπ/c) ]t , where
2 2 2
[2] (a) u(x, y, z, t) = C cos cos cos
a b c
m, n, k are any nonnegative integers and C is any nonzero constant.
∞ X ∞ X ∞  mπx   nπy   
X kπz −[(mπ/a)2 +(nπ/b)2 +(kπ/c)2 ]t
(b) u(x, y, z, t) = am,n,k cos cos cos e ,
m=0 n=0 k=0
a b c
where
a b c
1
Z Z Z
a0,0,0 = f (x, y, z)dxdydz
abc x=0 y=0 z=0
Z a Z b Z c
2  mπx 
am,0,0 = f (x, y, z) cos dxdydz (m ≥ 1)
abc x=0 y=0 z=0 a
Z a Z b Z c
2  nπy 
a0,n,0 = f (x, y, z) cos dxdydz (n ≥ 1)
abc x=0 y=0 z=0 b
Z a Z b Z c  
2 kπz
a0,0,k = f (x, y, z) cos dxdydz (k ≥ 1)
abc x=0 y=0 z=0 c
Z a Z b Z c
4  mπx   nπy 
am,n,0 = f (x, y, z) cos cos dxdydz (m ≥ 1, n ≥ 1)
abc x=0 y=0 z=0 a b
Z a Z b Z c  
4  nπy  kπz
a0,n,k = f (x, y, z) cos cos dxdydz (n ≥ 1, k ≥ 1)
abc x=0 y=0 z=0 b c
Z a Z b Z c  
4  mπx  kπz
am,0,k = f (x, y, z) cos cos dxdydz (m ≥ 1, k ≥ 1)
abc x=0 y=0 z=0 a c
Z a Z b Z c  
8  mπx   nπy  kπz
am,n,k = f (x, y, z) cos cos cos dxdydz
abc x=0 y=0 z=0 a b c
(m ≥ 1, n ≥ 1, k ≥ 1)