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Scientific Computing Partial Differential Equations Explicit Solution of Heat Equation.

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Presentation on theme: "Scientific Computing Partial Differential Equations Explicit Solution of Heat Equation."— Presentation transcript:

1 Scientific Computing Partial Differential Equations Explicit Solution of Heat Equation

2 The one-dimensional Heat Equation for the temperature u(x,t) in a rod at time t is given by: where c >0, T>0 are constants One Dimensional Heat Equation

3 We will solve this equation for x and t values on a grid in x-t space: One Dimensional Heat Equation Approximate Solution u ij= u(x i, t j ) at grid points

4 To approximate the solution we use the finite difference approximation for the two derivatives in the heat equation. We use the forward-difference formula for the time derivative and the centered-difference formula for the space derivative: Finite Difference Approximation

5 Then the heat equation (u t =cu xx ) can be approximated as Or, Let r = (ck/h 2 ) Solving for u i,j+1 we get: Finite Difference Approximation

6 Note how this formula uses info from the j-th time step to approximate the (j+1)-st time step: One Dimensional Heat Equation

7 On the left edge of this grid, u 0,j = g 0,j = g 0 (t j ). On the right edge of this grid, u n,j = g 1,j = g 1 (t j ). On the bottom row of the grid, u i,0 = f i = f(x i ). Thus, the algorithm for finding the (explicit) solution to the heat equation is: One Dimensional Heat Equation

8 function z = simpleHeat(f, g0, g1, T, n, m, c) %Simple Explicit solution of heat equation h = 1/n; k = T/m; r = c*k/h^2; % Constants x = 0:h:1; t = 0:k:T; % x and t vectors % Boundary conditions u(1:n+1, 1) = f(x)'; % Transpose, since it’s a row vector u(1, 1:m+1) = g0(t); u(n+1, 1:m+1) = g1(t); % compute solution forward in time for j = 1:m u(2:n,j+1) = r*u(1:n-1,j) + (1-2*r)*u(2:n,j) + r*u(3:n+1,j); end z=u'; mesh(x,t,z); % plot solution in 3-d end Matlab Implementation

9 Usage: f = inline(‘x.^4’); g0 = inline(‘0*t’); g1 = inline(‘t.^0’); n=5; m=5; c=1; T=0.1; z = simpleHeat(f, g0, g1, T, n, m, c); Matlab Implementation

10 Calculated solution appears correct: Matlab Implementation

11 Try different T value: T=0.5 Values seem chaotic Matlab Implementation

12 Why this chaotic behavior? Matlab Implementation

13 Matrix Form of Solution

14 This is of the form Start: u (0) =u(:,0)=f(:) Iterate: Matrix Form of Solution

15 Now, suppose that we had an error in the initial value for u (0), say the initial u value was u (0) +e, where e is a small error. Then, under the iteration, the error will grow like A m e. For the error to stay bounded, we must have Thus, the largest eigenvalue of A must be <= 1. Matrix Form of Solution

16 Let A be a square nxn matrix. Around every element a ii on the diagonal of the matrix draw a circle with radius Such circles are known as Gerschgorin disks. Theorem: Every eigenvalue of A lies in one of these Gerschgorin disks. Gerschgorin Theorem

17 Example: The circles that bound the Eigenvalues are: C 1 : Center point (4,0) with radius r 1 = |2|+|3|=5 C 2 : Center point (-5,0) with radius r 2 =|-2|+|8|=10 C 3 : Center Point (3,0) with radius r 3 =|1|+|0|=1 Gerschgorin Theorem

18 Example: Actual eigenvalues in red Gerschgorin Theorem

19 Example: C 1 : Center point (1,0) radius r 1 = |0|+|7|=7 C 2 : Center point (-5,0) radius r 2 =|2|+|0|=2 C 3 : Center Point (-3,0) radius r 3 =|4|+|4|=8 Gerschgorin Theorem

20 Circles: center=(1-2r), radius = r or 2r. Take largest radius 2r. Then, if λ is an eigenvalue of A, we have Matrix Form of Solution 0 1-2r

21 So, the eigenvalue satisfies: For the error to stay bounded, we need Thus, we need For our first example, we had T=0.1 and so, we expect the solution to be stable. For the second example, T=0.5, we have r =2.5, so the error in the iterates will grow in an unbounded fashion, which we could see in the numerical solution. Matrix Form of Solution


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