2 One Dimensional Heat Equation 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
3 One Dimensional Heat Equation We will solve this equation for x and t values on a grid in x-t space:ApproximateSolution uij=u(xi, tj) at grid points
4 Finite Difference Approximation 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:
5 Finite Difference Approximation Then the heat equation (ut =cuxx ) can be approximated asOr,Let r = (ck/h2) Solving for ui,j+1 we get:
6 One Dimensional Heat Equation Note how this formula uses info from the j-th time step to approximate the (j+1)-st time step:
7 One Dimensional Heat Equation On the left edge of this grid, u0,j = g0,j = g0(tj).On the right edge of this grid, un,j = g1,j = g1(tj).On the bottom row of the grid, ui,0 = fi = f(xi).Thus, the algorithm for finding the (explicit) solution to the heat equation is:
8 Matlab Implementation function z = simpleHeat(f, g0, g1, T, n, m, c)%Simple Explicit solution of heat equationh = 1/n; k = T/m; r = c*k/h^2; % Constantsx = 0:h:1; t = 0:k:T; % x and t vectors% Boundary conditionsu(1:n+1, 1) = f(x)'; % Transpose, since it’s a row vectoru(1, 1:m+1) = g0(t);u(n+1, 1:m+1) = g1(t);% compute solution forward in timefor j = 1:mu(2:n,j+1) = r*u(1:n-1,j) + (1-2*r)*u(2:n,j) + r*u(3:n+1,j);endz=u';mesh(x,t,z); % plot solution in 3-d
14 Matrix Form of Solution This is of the formStart: u(0)=u(:,0)=f(:)Iterate:
15 Matrix Form of Solution 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 Ame.For the error to stay bounded, we must haveThus, the largest eigenvalue of A must be <= 1.
16 Gerschgorin Theorem Let A be a square nxn matrix. Around every element aii on the diagonal of the matrix draw a circle withradiusSuch circles are known as Gerschgorin disks.Theorem: Every eigenvalue of A lies in one of these Gerschgorin disks.
17 Gerschgorin Theorem Example: The circles that bound the Eigenvalues are:C1: Center point (4,0) with radius r1 = |2|+|3|=5C2: Center point (-5,0) with radius r2=|-2|+|8|=10C3: Center Point (3,0) with radius r3=|1|+|0|=1
18 Gerschgorin TheoremExample:Actual eigenvalues in red
19 Gerschgorin Theorem Example: C1: Center point (1,0) radius r1 = |0|+|7|=7C2: Center point (-5,0)radius r2=|2|+|0|=2C3: Center Point (-3,0)radius r3=|4|+|4|=8
20 Matrix Form of Solution Circles: center=(1-2r), radius = r or 2r. Take largest radius 2r. Then, if λ is an eigenvalue of A, we have1-2r
21 Matrix Form of Solution So, the eigenvalue satisfies:For the error to stay bounded, we needThus, we needFor our first example, we had T=0.1 andso, 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.