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Partial Differential Equations Handout: 1 Boundary-Value Problems
Partial Differential Equations Handout: 1 Boundary-Value Problems
Peyam Tabrizian
Monday, November 28th, 2011
This handout is meant to give you a couple more examples of all the techniques
discussed in chapter 10, to counterbalance all the dry theory and complicated ap-
plications in the differential equations book! Enjoy! :)
1 Boundary-Value Problems
Find the values of λ (eigenvalues) for which the following differential equa-
tions has a nonzero solution. Also find the corresponding solutions (eigen-
functions)
y 00 + λy = 0
y(0) = 0, y 0 (π) = 0
√
The auxiliary polynomial is r2 + λ = 0, which gives r = ± −λ. Now we
need to proceed with 3 cases:
1
Case 1: λ < 0
Then λ = −ω 2 , where ω > 0, so: r = ±ω, and the general solution is:
Aωeωπ + Aωe−ωπ = 0
Cancelling out A 6= 0 (otherwise B = 0 and Y (y) = 0), we get:
eωπ + e−ωπ = 0
Multiply by eωπ :
e2ωπ + 1 = 0
e2ωπ = −1
However, this doesn’t have a solution because e2ωπ > 0, contradiction.
2
Case 3: λ > 0. Then λ = ω 2 , where ω > 0.
y(t) = B sin(ωt)
Then
y 0 (t) = ωB cos(ωt)
So y 0 (π) = 0 gives:
ωB cos(ωπ) = 0
Cancelling out ω and B (because ω > 0, and because B 6= 0, otherwise B = 0
and Y (y) = 0), we get:
cos(ωπ) = 0
π
Which tells you that ωπ = 2
+ πM , where M is an integer, so:
1
ω = M + , (M = 0, 1, 2 · · · )
2
Answer:
This tells you that the eigenvalues are:
2
2 1
λ=ω = M+ , (M = 0, 1, 2, · · · )
2
And the corresponding eigenfunctions are:
1
y(t) = B sin(ωt) = BM sin M+ t
2
3
2 Separation of variables
Use the method of separation of variables to ut = uxx to convert
the PDE into two differential equations
Suppose u(x, t) = X(x)T (t)
X 00 (x) T 0 (t)
=
X(x) T (t)
00
Now notice that XX(x)(x)
only depends on x, but also, by the above equation only
depends on t, hence it is a constant:
X 00 (x)
=λ
X(x)
which gives X 00 (x) = λX(x) .
T 0 (t) X 00 (x)
Moreover: T (t)
= X(x)
= λ, so T 0 (t) = λT (t) .
3 Fourier series
3.1 Find the Fourier series of f (x) = x2 on the interval (−3, 3)
Here (−T, T ) = (−3, 3), so T = 3
∞
X πM x πM x
f (x) = AM cos + BM sin
M =0
3 3
4
R3 R3
−3
f (x)dx −3
x2 dx 54
A0 = R3 = = 3 =3
1dx 6 6
−3
R3 πM x
R3 πM x
f (x) cos dx x2 cos dx 3
Z
−3 3 −3 3 2 2 πM x
AM = R3 = = x cos dx
πM x 3 3 3
−3
cos2 3
dx 0
πM x
where we used the fact that x2 cos 3
is even!
54/Handouts/Tabular Integration.png
5
3
"
πM x
! πM x
! πM x
!#3
− cos − sin
sin
Z
2 πM x 2
x2 cos dx = +x2 3
−2x 3 +2 3
3 3 3 πM πM 2 πM 3
0 3 3 3 0
!
2 − cos(πM )
= (−6)
3 πM 2
3
9(−1)M
2
= (6)
3 (πM )2
36(−1)M
= 2 2
π M
6
3.2 To which function does the Fourier series of f converge to?
x −2 < x < 0
f (x) =
1 0≤x<2
f ((−2)+ ) + f (2− ) −2 + 1 1
= =−
2 2 2
Putting everything together, we find that the F.S. converges to F, where:
1
−2 x = −2
x −2 <x<0
1
F(x) = 2
x=0
1 0<x<2
1
−2 x=2
Note: Technically, F is a periodic fuction of period 4, so you’d have to ‘repeat’
the graph, just like the picture below!
54/Handouts/Convergence.png
7
8
4 Fourier cosine and sine series
Same thing as before, except that we’re expressing a function only in terms of cos
or only in terms of sin. The formulas are almost the same, except that we need to
multiply things by 2 and we only integrate from 0 to T .
2 π
Z
Am = x cos(mx)dx
π 0
π Z π
2 sin(mx) sin(mx)
= x − dx
π m 0 0 m
π
2 − cos(mx)
= 0−
π m2
0
2 cos(mπ) 1
= − 2
π m2 m
2
= ((−1)m − 1)
πm2
2
Hence Am = πm2
((−1)m − 1)
∞
π X 2
x“=” + ((−1)m − 1) cos(mx)
2 m=1 πm2
9
Now notice that if m is even, then (−1)m − 1 = 0, and hence Am = 0. And if
−4
m is odd,then (−1)m − 1 = −2, so Am = πm 2
Therefore:
∞
π X −4
x“ = ” + cos(mx)
2 m=1,modd πm2
∞
π 4X −4
x“ = ” − cos((2k − 1)x)
2 π k=1 π(2k − 1)2
This is because every odd number m ≥ 1 can be written as m = 2k − 1, where
k = 1, 2, · · · .
And if m 6= 0:
2 π
Z
Bm = x sin(mx)dx
π 0
π Z π
2 cos(mx) − cos(mx)
= −x − dx
π m 0 0 m
π
2 sin(mx)
= −π cos(mπ) +
π m2 0
2
= (−π(−1)m )
π
= 2(−1)m+1
10
∞
X
x“ = ” 2(−1)m+1 sin(mx)
m=1
11
5 The Heat equation
Problem: Solve the following heat equation:
∂u ∂ 2u
= 0 < x < 1, t > 0
∂t ∂x2
(5.1)
u(0, t) = u(1, t) = 0 t>0
u(x, 0) = x 0<x<1
Plug (5.2) into the differential equation (5.1), and you get:
X 00 (x) T 0 (t)
= (5.3)
X(x) T (t)
00
Now XX(x)
(x)
only depends on x, but by (5.3) only depends on t, hence it is
constant:
X 00 (x)
=λ
X(x) (5.4)
X 00 (x) =λX(x)
Also, we get:
T 0 (t)
=λ
T (t) (5.5)
T 0 (t) =λT (t)
12
but we’ll only deal with that later (Step 4)
Step 2:
Consider (5.4):
X 00 (x) = λX(x)
Note: Always start with X(x), do NOT touch T (t) until right at the end!
Step 3: Eigenvalues/Eigenfunctions
The auxiliary polynomial of (5.6) is p(λ) = r2 − λ
Then:
r2 − λ = 0 ⇒ r2 − ω 2 = 0 ⇒ r = ±ω
Therefore:
13
Now use X(0) = 0 and X(1) = 0:
X(0) = 0 ⇒ A = 0 ⇒ X(x) = Bx
X(1) = 0 ⇒ B = 0 ⇒ X(x) = 0
≡
0, because otherwise u(x, t) ≡ 0)
Again, a contradiction (we want X
r2 − λ = 0 ⇒ r2 + ω 2 = 0 ⇒ r = ±ωi
Which gives:
Eigenvalues:λ = −ω 2 = −(πm)2 (m = 1, 2, · · · )
(5.7)
Eigenfunctions:X(x) = sin(ωx) = sin(πmx)
14
Step 4:
Deal with (5.5), and remember that λ = −(πm)2 :
fm e−(πm)2 t
T 0 (t) = λT (t) ⇒ T (t) = Aeλt = T (t) = A m = 1, 2, · · ·
Step 5:
Take linear combinations:
∞ ∞
fm e−(πm)2 t sin(πmx)
X X
u(x, t) = T (t)X(x) = A (5.8)
m=1 m=1
Step 6:
Use the initial condition u(x, 0) = x in (5.1):
∞
X
u(x, 0) = A
fm sin(πmx) = x on(0, 1) (5.9)
m=1
Now we want to express x as a linear combination of sines, so we have to use
a sine series (that’s why we used A
fm instead of Am ):
Z 1
fm = 2
A x sin(πmx)dx
1 0
1 Z 1 !
cos(πmx) cos(πmx)
= 2 −x − − dx
πm 0 0 πm
Z 1
cos(πm) cos(πmx)
= 2 − + dx
πm 0 πm
1 !
(−1)m
sin(πmx)
= 2 − +
πm (πm)2 0
2(−1)m+1
= (m = 1, 2, · · · )
πm
15
Step 7:
Conclude using (5.10)
∞
X 2(−1)m+1 −(πm)2 t
u(x, t) = e sin(πmx) (5.10)
m=1
πm
16
6 The Wave equation
Problem: Solve the following wave equation:
∂ 2u ∂ 2u
= 0 < x < π, t>0
∂t2 ∂x2
u(0, t) = u(π, t) = 0 t>0
(6.1)
u(x, 0) = sin(4x) + 7 sin(5x) 0<x<π
∂u (x, 0) =
2 sin(2x) + sin(3x) 0<x<π
∂t
Plug (6.2) into the differential equation (6.1), and you get:
X 00 (x) T 00 (t)
= (6.3)
X(x) T (t)
00
Now XX(x)
(x)
only depends on x, but by (6.3) only depends on t, hence it is
constant:
X 00 (x)
=λ
X(x) (6.4)
X 00 (x) =λX(x)
Also, we get:
17
T 00 (t)
=λ
T (t) (6.5)
T 00 (t) =λT (t)
but we’ll only deal with that later (Step 4)
Step 2:
Consider (6.4):
X 00 (x) = λX(x)
Note: Always start with X(x), do NOT touch T (t) until right at the end!
Step 3: Eigenvalues/Eigenfunctions
The auxiliary polynomial of (6.6) is p(λ) = r2 − λ
Then:
18
r2 − λ = 0 ⇒ r2 − ω 2 = 0 ⇒ r = ±ω
Therefore:
X(0) = 0 ⇒ A = 0 ⇒ X(x) = Bx
X(π) = 0 ⇒ B = 0 ⇒ X(x) = 0
≡
0, because otherwise u(x, t) ≡ 0)
Again, a contradiction (we want X
r2 − λ = 0 ⇒ r2 + ω 2 = 0 ⇒ r = ±ωi
Which gives:
19
X(π) = 0 ⇒ B sin(ωπ) = 0 ⇒ sin(ωπ) = 0 ⇒ ω = m, (m = 1, 2, · · · )
Eigenvalues:λ = −ω 2 = −m2 (m = 1, 2, · · · )
(6.7)
Eigenfunctions:X(x) = sin(ωx) = sin(mx)
Step 4:
Deal with (6.5), and remember that λ = −m2 :
T 00 (t) = λT (t)
Aux: r2 = −m2 ⇒ r = ±mi (m = 1, 2, · · · )
T (t) = A
fm cos(mt) + B
fm sin(mt)
Step 5:
Take linear combinations:
∞
X ∞
X
u(x, t) = T (t)X(x) = Am cos(mt) + Bm sin(mt) sin(mx)
f f (6.8)
m=1 m=1
Step 6:
Use the initial condition u(x, 0) = sin(4x) + 7 sin(5x) in (6.1):
∞
X
u(x, 0) = A
fm sin(mx) = sin(4x) + 7 sin(5x) on(0, π) (6.9)
m=1
20
Note: At this point you would usually have to find the sine series of a function
(see section 4). But here we’re very lucky because we’re already given a linear
combination of sines!
A
f4 = 1 (coefficient of sin(4x))
A
f5 = 7 (coefficient of sin(5x))
A
fm = 0 (for all other m)
Step 7:
Use the initial condition: ∂u
∂t
(x, 0) = 2 sin(2x) + sin(3x) in (6.1)
First differentiate (6.8) with respect to t:
∞
∂u X
(x, t) = −mAm sin(mt) + mBm cos(mt) sin(mx)
f f (6.10)
∂t m=1
Again, usually you’d have to calculate Fourier sine series, but again we’re
lucky because the right-hand-side is already a linear combination of sines!
Equating coefficients, you get:
2B
f2 = 2 (coefficient of sin(2x))
3B
f3 = 1 (coefficient of sin(3x))
Bfm = 0 (for all other m)
That is:
21
B
f2 = 1 (coefficient of sin(2x))
f3 = 1
B (coefficient of sin(3x))
3
Bm = 0
f (for all other m)
Step 8:
Conclude using (6.8) and the coefficients Am and Bm you found:
∞
X
u(x, t) = A
fm cos(mt) + B
fm sin(mt) sin(mx) (6.12)
m=1
where:
A
f4 = 1
A
f5 = 7
A
fm = 0 (for all other m)
and
B
f2 = 1
f3 = 1
B
3
Bm = 0
f (for all other m)
Note: In this special case, you can write u(x, t) in the following nice form:
1
u(x, t) = sin(2t) sin(2x)+ sin(3t) sin(3x)+cos(4t) sin(4x)+7 cos(5t) sin(5x)
3
(6.13)
But in general, you’d have to leave your answer in the form of (6.8)
22
7 Laplace’s equation
Problem: Solve the following Laplace equation:
∂ 2u ∂ 2u
+ = 0 0 < x < 1, 0<y<1
∂x2 ∂y 2
u(0, y) = u(1, y) =0 0≤y≤1 (7.1)
0≤x≤1
u(x, 0) = 6 sin(5πx)
u(x, 1) = 0 0≤x≤1
Plug (7.2) into the differential equation (7.1), and you get:
X 00 (x) −Y 00 (y)
= (7.3)
X(x) Y (y)
00
Now XX(x)
(x)
only depends on x, but by (7.3) only depends on y, hence it is
constant:
X 00 (x)
=λ
X(x) (7.4)
X 00 (x) =λX(x)
Also, we get:
23
−Y 00 (y)
=λ
Y (y) (7.5)
Y 00 (y) = − λY (y)
but we’ll only deal with that later (Step 4)
Step 2:
Consider (7.4):
X 00 (x) = λX(x)
Note: Always start with X(x), do NOT touch Y (y) until right at the end!
Step 3: Eigenvalues/Eigenfunctions
The auxiliary polynomial of (7.6) is p(λ) = r2 − λ
24
Then:
r2 − λ = 0 ⇒ r2 − ω 2 = 0 ⇒ r = ±ω
Therefore:
X(0) = 0 ⇒ A = 0 ⇒ X(x) = Bx
X(1) = 0 ⇒ B = 0 ⇒ X(x) = 0
≡
0, because otherwise u(x, y) ≡ 0)
Again, a contradiction (we want X
r2 − λ = 0 ⇒ r2 + ω 2 = 0 ⇒ r = ±ωi
Which gives:
25
X(1) = 0 ⇒ B sin(ω) = 0 ⇒ sin(ω) = 0 ⇒ ω = πm, (m = 1, 2, · · · )
Eigenvalues:λ = −ω 2 = −(πm)2 (m = 1, 2, · · · )
(7.7)
Eigenfunctions:X(x) = sin(ωx) = sin(πmx)
Step 4:
Deal with (7.5), and remember that λ = −(πm)2 :
Y (y) = A fm e−πmy
fm eπmy + B (7.8)
IMPORTANT REMARK: If you leave your answer like that, your algebra
becomes messy! Instead, use the following nice formulas:
ew + e−w
= cosh(w)
2
ew − e−w
= sinh(w)
2
And you get:
Y (y) = A
fm cosh(πmy) + B
fm sinh(πmy) (7.9)
Note: The constants A fm and Bfm are different in (7.8) and (7.9), but it doesn’t
matter because they are only (general) constants!
Step 5:
Take linear combinations:
26
∞
X ∞
X
u(x, t) = Y (y)X(x) = A
fm cosh(πmy) + B
fm sinh(πmy) sin(πmx)
m=1 m=1
(7.10)
Step 6:
Use the initial condition u(x, 0) = 6 sin(5πx) in (7.1):
Note: At this point you would usually have to find the sine series of a function
(see the heat equation example). But here again we’re very lucky because we’re
already given a linear combination of sines!
Equating coefficients (notice this is why we used cosh and sinh instead of
exponential functions), you get:
A
f5 = 6 (coefficient of sin(5πx))
(7.12)
A
fm = 0 (for all other m)
Step 7:
Use the initial condition: u(x, 1) = 0 in (7.1)
Plug in y = 1 in (7.8), and you get:
∞
X
u(x, 1) = A
fm cosh(πm) + B
fm sinh(πm) sin(πmx) = 0 on(0, 1)
m=1
(7.13)
Again, usually you’d have to use a Fourier sine series, but again you’re lucky
because the function is 0, so if you equate the coefficients, you get:
cosh(πm)A
fm + sinh(πm)B
fm = 0 (m = 1, 2, · · · ) (7.14)
27
But now combining (7.10) and (7.18), we get:
For m 6= 5 Am = 0, so:
sinh(πm)B
fm = 0 (7.15)
fm = 0 for m 6= 5.
which gives you B
For m = 5:
cosh(5π)6 + sinh(5π)B
f5 = 0 (7.16)
which gives you:
f5 = − 6 cosh(5π) = −6 coth(5π)
B
sinh(5π)
Step 8:
Conclude using (7.10) and the coefficients Am and Bm you found:
∞
X ∞
X
u(x, y) = Y (y)X(x) = A
fm cosh(πmy) + B
fm sinh(πmy) sin(πmx)
m=1 m=1
(7.17)
where: A fm = 0 if m 6= 5, and A
fm = B f5 = −6 coth(5π) .
f5 = 6, B
Note: In this special case, you can write u(x, t) in the following nice form:
But in general, you’d have to leave your answer in the general form (7.10).
28