Chapter 2 Finite Difference Method for solving Partial Differential

Equations

2.1. Partial Differential Equations (PDE)

Partial differential equations or PDE are equations involving the partial derivatives of a function
with several independent variables. PDE describe an important class of physical phenomena in
science and engineering. These include heat transfer, fluid flow, string and plate vibration and many
electromagnetic phenomena. A linear PDE of order two in two dependent variables is generally
written as follows:

(38)

Where and are functions of or constants not dependent on .

equation 38 is often classified as :
➢ Parabolic equation if
➢ Hyperbolic equation if and
➢ Elliptic equation if
Example of some important PDE :

➢ One dimensional heat equation

➢ two-dimensional Laplace equation

➢ Two-dimensional Poisson equation

➢ Two-dimensional wave equation

2.2. Finite Difference Method (FDM) implementation

To introduce FDM, let's consider the following simple example of an ordinary second-order
differential equation defined on the domain D of Fig. 1

(39)

17
 ➢ is the physical property to be determined
➢ a source term
➢ represent boundary conditions

Figure 1: Domain D

2.2.1. FDM implementation steps

Step 1: Discretize the geometric domain

Let's define equidistant nodes on the domain to obtain interval's (see Fig. 2)

Figure 2 : Geometric discretization

Step 2: Transform the differential equation 39 into an algebraic equation. To do this, consider
consecutive nodes (see Fig. 3)

Figure 3 : Geometric
discretization

The Taylor series expansion of the function is written as follows:

18
 (40)

(41)

Noting that and the two equations 40 and 41 can be rewritten

as follows:

(42)

(43)

By adding the equations 42 and 43 we obtain :

(44)

Rearranging the equation 44 gives us :

(45)

Neglecting the higher-order terms, we obtain the following approximation:

19
 (46)

By writing the equation 46 the error is estimated at:

(47)

The equation 46 must be satisfied at any value of . Identifying with the equation 39 we can write:

(48)

Step 3 : Application of boundary conditions

The equation 48 represents a system of equations for unknowns. Two additional equations
can be obtained by applying the conditions to the two boundaries of the domain.

Step 4: Assembling the equations obtained in matrix form

By assembling all the equations obtained at the various nodes of the geometric domain, we obtain
the following matrix system:

(49)

where is an matrix called the coefficient matrix. is a column vector containing the
unknown values of at the various nodes. is a column vector.
The system of equations 49 is written as follows:

20
 (50)

By comparing 12 with 48 and 49 we find :

(51)

We have:

(52)

The remainder of the coefficients of the matrix are zero. In matrix form we can therefore write:

(53)

Step 5: Solving the matrix system 53 using conventional numerical methods

21