Class 4th Dec

numerical methods for
differential equations and

applications
Supervisor: Camile Fraga Delfino Kunz
December 4th, 2018

What do we have for today?
Introduction to Partial Differential Equations (PDEs);

Advection equation;
Diffusion equation;
Numerical methods for the diffusion equation.
Partial Differential Equations
Classification for 2nd order PDEs

auxx + buxy + cuyy + dux + euy + fu = g
The classification depends on the sign of the discriminant
∆ = b 2 − 4ac:
∆ < 0: elliptic;
∆ = 0: parabolic;
∆ > 0: hyperbolic.
Elliptic: Poisson problem

∇2 u = f
Elliptic equations models typically steady-state or

equilibrium phenomena, there is no temporal dependence.
∇2 is the Laplacian operator and f is a given function;
We seek for a function u(x) that satisfies the equation
with some boundary conditions.
Parabolic: heat/diffusion equation

∂u
= ∇2 u − f
∂t
This equation is known as heat or diffusion equation;

Now u(x, t) varies with time and space;
It requires initial condition u(x, 0) for every x ∈ Ω and
boundary conditions at each time t > 0.
Hyperbolic: wave equation

∂u ∂u
+a =0
∂t ∂x
The equation models wave motion and the solution is

periodic, that is,
u(x, t) = u(x − at, 0)

Conservation equation
In physics, on an isolated system, there are many properties
which are constant over time, for an example: the total
energy, total momentum, and total mass.
Consider the flux of particles on a tube:
Hypothesis:
1) Motion occurs in 1D;
2) Cross-sectional area A is constant.
c(x, t): particles concentration (number/volume);

J(x, t): particles flow (number.area/time);
σ(x, t): source/sink’s density rate (number/volume.time).
The total particles number on the interval [x, x + ∆x] changes

due to:
i) flow of particles going in/out the interval (x, x + ∆x);
ii) introduction or degradation of particles on the interval
(through chemical reaction, for an example).
Now let us translate it into dimensionally correct equation.

Consider:
A: cross-sectional area of the tube;
∆V : volume length element: ∆V = A∆x
Units:
c: number/volume;
J: number/area.time;
σ: number/volume.time.
∂
[c(x, t)A∆x] = J(x, t)A − J(x + ∆x, t)A ± σ(x, t)A∆x
∂t
Observing the units:
1 h number i number number number
.volume = .area − .area ± .volume
time volume time.area time.area volume.time
If A is constant,
∂
A∆x [c(x, t)] = J(x, t)A − J(x + ∆x, t)A ± σ(x, t)A∆x
∂t
∂ J(x, t) − J(x + ∆x, t)
[c(x, t)] = ± σ(x, t)
∂t ∆x
For ∆x → 0, we get:
∂c ∂J
= − ± σ(x, t)
∂t ∂x}
| {z | {z }
source/sink
net motion
If the fluid is moving with velocity v (x, t), the flux of the
particles is
J = c.v
Substituting on the past equation,

∂c ∂
= − [c(x, t)v (x, t)]
∂t ∂x
This is known as advection equation. On many dimensions:
∂c
= −∇(c.v )
∂t
Random motion and diffusion equation
Diffusion is a metabolically cheap process on the cells
level and occurs due to random motion of particles;
The flux due to random motion is proportional to the
local gradient in the particle concentration:
J = −D∇c
this equation is known as Fick’s law.

The constant D is the diffusion coefficient;
The minus sign means that the particles moves away from
the most concentrated local.
In one dimension, J = −D(∂c/∂x), so that,
∂c ∂ ∂c
= D
∂t ∂x ∂x
In more dimensions,
∂c
= ∇(D∇c)
∂t
and if D is constant,
∂c
= D∇2 c
∂t
On the preview approach we got the diffusion equation

through the Fick’s law.
...let us now get it using random walk!

A collection of particles moves randomly with an average

step ∆x every time unity τ ;
Assume that the probability of moving to the left or to
the right are both equal, λ)l = λr = 1/2;
Let c(x, t)∆x be the number of particles on the segment
[x, x + x] time t, then:
c(x, t + τ ) = c(x, t) + λr c(x − ∆, t) − λr c(x, t)

= λl c(x + ∆x, t) − λl c(x, t) (∗)
Writing the Taylor-series expansion:
∂c ∂ 2c τ 2
c(x, t + τ ) = c(x, t) + τ+ 2 + ...
∂t ∂t 2
∂c ∂ 2 c ∆x 2
c(x ± ∆x, t) = c(x, t) ± ∆x + 2 ± ...
∂x ∂x 2
Substituting on (∗), using the fact λ)l = λr = 1/2, and after

some simplifications,
∂c ∂ 2 c τ ∂ 2 c ∆x 2
+ 2 + ... = 2 + ...
∂t ∂t 2 ∂x 2τ
If we write D = ∆x 2 /2τ and take the limit τ → 0 and
∆x → 0, we get:
∂c ∂ 2c
=D 2
∂t ∂x
Diffusion coefficient:
distance2
D=
time
√
Average distance that diffusion acts: ≈ Dt
d2
Average time taken to diffuse a distance d: ≈
D
The diffusion coefficient of oxygen on water is
approximately 10−5 cm2 /sec. So for it diffuse through a
distance of 1m would take 27 years! It means that
diffusion is a local process.
Numerical methods for diffusion equation
Consider the problem:
∂c ∂ 2c


 =D 2, x ∈ (a, b)
 ∂t
 ∂x

 c(a, t) = α , c(b, t) = β , t>0

c(x, 0) = g (x) , x ∈ [a, b]

And the following space discretization for the interval [a, b]:
(n)
Notation: C (xi , t n ) = Ci .
If we consider h = xi − xi−1 , i = 0, . . . , m, and k = t n − t n−1 ,
n = 0, . . . , N, we can take the approximations:
(n+1) (n)
∂Ci C − Ci
≈ i
∂t k
∂ 2 Ci Ci−1 − 2Ci + Ci+1

2
≈
∂x h2
Forward Euler
o(h2 , t);
k
Conditionally stable: h2
≤ 12 .
Cin+1 − Cin h C n − 2C n + C n i
= D i−1 i i
k h2
Backward Euler
o(h2 , t);
Unconditionally stable;
Cin+1 − Cin h C n+1 − 2C n+1 + C n+1 i

= D i−1 i
2
i
k h
Exercise
Show that the method using Forward Euler on the diffusion

equation is o(h2 , t) by calculating the local truncation error:
u(x, t + k) − u(x, t)
τ (x, t) =
k
1
− 2 [u(x − h, t) − 2u(x, t) + u(x + h, t)]
h
References
1. Edelstein-Keshet, L. Mathematical models in biology.

SIAM, 2005.
2. Leveque, R. J. Finite Difference Methods for Ordinary

and Partial Differential Equations. SIAM, 2007.

Class 4th Dec

Uploaded by

Copyright:

Available Formats

Class 4th Dec

Uploaded by

Document Information

Original Description:

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Class 4th Dec

Uploaded by

Copyright:

Available Formats

numerical methods for

differential equations and

Supervisor: Camile Fraga Delfino Kunz

December 4th, 2018

Introduction to Partial Differential Equations (PDEs);

Classification for 2nd order PDEs

Elliptic: Poisson problem

Elliptic equations models typically steady-state or

Parabolic: heat/diffusion equation

This equation is known as heat or diffusion equation;

Hyperbolic: wave equation

The equation models wave motion and the solution is

u(x, t) = u(x − at, 0)

c(x, t): particles concentration (number/volume);

The total particles number on the interval [x, x + ∆x] changes

Now let us translate it into dimensionally correct equation.

Substituting on the past equation,

this equation is known as Fick’s law.

In one dimension, J = −D(∂c/∂x), so that,

On the preview approach we got the diffusion equation

...let us now get it using random walk!

A collection of particles moves randomly with an average

c(x, t + τ ) = c(x, t) + λr c(x − ∆, t) − λr c(x, t)

Writing the Taylor-series expansion:

Substituting on (∗), using the fact λ)l = λr = 1/2, and after

Consider the problem:

∂ 2 Ci Ci−1 − 2Ci + Ci+1

Cin+1 − Cin h C n+1 − 2C n+1 + C n+1 i

Show that the method using Forward Euler on the diffusion

1. Edelstein-Keshet, L. Mathematical models in biology.

2. Leveque, R. J. Finite Difference Methods for Ordinary

You might also like