L.S.

OMALANGA Study Guide Material (APM-4814)

UNIT I: INTRODUCTION TO PARTIAL DIFFERENTIAL EQUATIONS

(PDEs)
Learning Objectives:
After studying this chapter, you should be able:

a. To understand the fundamental concept behind the partial differential

equations (PDEs),
b. To distinguish between the three different classes of second order, linear
PDEs (elliptic, parabolic and hyperbolic PDEs).
c. To know the physical problems each class represents and the physical
(mathematical) characteristics of each.
1. Introduction

Partial differential equations (PDEs) form the basis of very many mathematical
models of physical phenomena, and processes encountering in engineering
problems. More recently their use has spread into economics, image processing
and other, fields. To investigate the predictions of PDE models of such
phenomena it is often necessary to approximate their solution numerically,
commonly in combination with the analysis of simple special cases; while in
some of the recent instances the numerical models play an almost independent
role.
By definition, PDEs are equations that involve functions and its partial
derivatives with respects to two or more independent variables.
PDEs are used to mathematically formulate, and therefore assist the solution of,
physical and other problems involving functions of several variables, such as
wave propagation, elasticity, fluid flow, electrostatics, vibration,
electrodynamics, etc.

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PDEs govern several problems in different fields of science and engineering,
however despite the great spread of partial differential equations, analytical
solutions are not available for many higher differential equations.
The majority of PDEs have no analytical solutions, due to the nature of these
equations as well as nonlinear behaviour encountered.
It should be noted that the differential equations in a certain domain satisfying
given conditions are referred to as boundary-value problems. If one or more of
the boundaries are not known and moving with time, the problem should be then
considered as moving boundary problem.
Moreover, if the governing equation is time independent together with boundary
condition, then the problem is specified as free boundary problem.
A partial differential equation (PDE) for the function u (𝑥1 , 𝑥2 , …, 𝑥𝑛 ) is an
𝜕𝑢 𝜕𝑢 𝜕2 𝑢 𝜕2 𝑢
equation of the form: f (𝑥1 , 𝑥2 , … ; 𝑢, , ,…, , , … ) = 0 (1)
𝜕𝑥1 𝜕𝑥2 𝜕𝑥 1 𝜕𝑥2

2. Basic definitions of PDEs and examples

Let us consider the following partial differential equation:
𝜕𝑢 𝜕𝑢 𝜕2 𝑢
A (x, y, t) + 𝐵 (𝑥, 𝑦, 𝑡) + 𝐶(𝑥, 𝑦, 𝑡) = f (x, y, t) (2)
𝜕𝑡 𝜕𝑥 𝜕𝑦 2

Where:
(x, y, t): Spatial and time independent variables, respectively,
A, B, C: Usually known functions,
u (x, y, t): Dependent unknown variable, usually called potential.
2.1 Homogeneity definition: The given PDE is defined as non-homogeneous
if all its terms contain the dependent variable or its partial derivatives or
homogeneous otherwise.
2.2 Order definition: The order is defined as the highest derivative term that
appears in the given PDE.
2.3 Degree definition: The degree is defined as the highest power of the
highest derivative that appears in the given partial differential equation.

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 2.4 Dimension Definition: The dimension of the given partial differential
equation is defined as the number of the spatial variables it contains.
2.5 Linearity Definition: The given PDE is called linear if the potential
and its derivatives are of first order and there are no products involving
more than these terms or non-linear otherwise.
2.6 Quasi-linearity Definition: The given PDE is called as a quasi-linear if
all the terms with highest order derivatives of dependent variables occur
linearly, that is the coefficients of such terms are functions of only lower
order derivatives of the dependent variables. However, terms with lower
order derivatives can occur in any manner.

𝜕𝑧 𝜕𝑧
Example 1: + = 2z: First-order PDE (linear and homogeneous).
𝜕𝑥 𝜕𝑦

𝜕2 𝑢 𝜕2 𝑢
Example 2: + + 4x + 3y – 4z = 0: Second-order PDE (linear and
𝜕𝑥 2 𝜕𝑦 2

nonhomogeneous).
𝜕2 𝑢 𝜕2 𝑢
Example 3: 𝑥 + 2u + 3𝑢2 = 0: Second-order PDE (linear and
𝜕𝑥 2 𝜕𝑦 2

homogeneous).
𝜕2 𝑢 𝜕2 𝑢 𝜕2 𝑢 𝜕𝑢 2 𝜕𝑢 2
Example 4: 𝑢𝑥 2
+ 𝑢2 𝑥𝑦 + 𝑢𝑦 2
+ ( ) +( ) + 𝑢3 = 0:
𝜕𝑥 𝜕𝑥𝜕𝑦 𝜕𝑦 𝜕𝑥 𝜕𝑦

Second-order PDE (quasi-linear and Homogeneous).

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𝜕2 𝑢 𝜕2 𝑢 𝜕2 𝑢
Example 5: 2
+( ) + = 𝑥 2 + 𝑦 2 : Second order PDE (non-
𝜕𝑥 𝜕𝑥𝜕𝑦 𝜕𝑦 2

linear non homogeneous).

Notation: It is also a common practise to use subscript notation in writing partial

differential equations. For example, the Laplace equation in three-dimensional
space:

𝜕2 𝑢 𝜕2 𝑢 𝜕2 𝑢
2
+ 2
+ = 0 (3) can be written as:
𝜕𝑥 𝜕𝑦 𝜕𝑧 2

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𝑢𝑥𝑥 + 𝑢𝑦𝑦 + 𝑢𝑧𝑧 =0 (4)

In many civil engineering fields, such as structural engineering, water

engineering, geotechnical engineering and others, the majority of the problems
are governed by partial differential equations. By nature, this type of problem is
much more complicated than the previous ordinary differential equations. There
are various major numerical methods for the solution of PDEs, including finite
difference method (FDM), finite element method (FEM), finite volume method
(FVM), method of lines, domain decomposition method, spectral method,
gradient discretization method.
3 Classification of partial differential equations
Partial differential equations are broadly classified as linear and nonlinear. A
linear partial differential equation is one in which all of the partial derivatives
appear in linear form and none of the coefficients depends on the dependent
variables. The coefficient may be function of the independent variables. A non-
linear partial differential equation can be described as a partial differential
equation involving nonlinear terms.
3.1 Types of non-linear partial differential equations
The non-linear partial differential equations describe many different physical
systems, ranging from gravitation to fluid dynamics and have been used in
mathematics to solve problems such as Poincare conjecture and Calabi
conjecture.
A non-linear partial differential equation is known as semi-linear if it is linear in
highest order derivatives and the coefficients of highest order derivatives depend
only on independent variables.

∑ 𝑎𝛽 𝐷 𝛽 𝑢 + 𝑎0 (𝐷 𝑘−1𝑢, … , 𝐷𝑢, 𝑢, 𝑥 ) = 0 (5)

|𝛽 |=𝑘

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A nonlinear partial differential equation is known as quasi-linear if it is linear in
highest order derivatives and the coefficients of highest order derivatives depend
on independent variables as well on lesser order derivatives.

∑ 𝑎𝛽 (𝐷 𝑘−1𝑢, … , 𝐷𝑢, 𝑢, 𝑥 ) 𝐷 𝛽 𝑢 + 𝑎0 (𝐷 𝑘−1𝑢, … , 𝐷𝑢, 𝑢, 𝑥 ) = 0 (6)

|𝛽|=𝑘

A nonlinear partial differential equation is known as fully non-linear if the

coefficients depend on dependent variable or the derivatives appear in nonlinear
form.
Example 6: 𝑓𝑥𝑥 + 𝑓𝑦𝑦 + 𝑓𝑥 + 𝑓𝑦 = f + xy is linear equation
Example 7: 𝑎𝑓𝑥𝑥 + 𝑏𝑓𝑦𝑦 + 𝑓𝑥2 + 𝑓𝑦 = c is semi linear
Example 8: 𝑓𝑥 𝑓𝑥𝑥 + 𝑓𝑦 𝑓𝑦𝑦 + 𝑓𝑥2 + f = 0 is quasilinear
Example 9: 𝑓𝑓𝑥𝑥 + 𝑓𝑦𝑦 + 𝑎𝑓𝑥 + 𝑏𝑓𝑦 = 0 is nonlinear
where a, b are functions of x, y and c is function of x, y and f.
Non-linear partial differential equation can generally be further classified as:
1. Truly nonlinear in the sense that F is nonlinear in the derivative terms:
𝜕𝑢 𝜕𝑢 𝜕2 𝑢
F (𝑥1 , 𝑥1 , 𝑥𝑛 , u, , , ) = 0 (7)
𝜕𝑥1 𝜕𝑥2 𝜕𝑥1 𝜕𝑥2

2. Quasi-linear 1st PDE if nonlinearity in F only involves u but not its

derivative
𝜕𝑢 𝜕𝑢
𝐴1 ( 𝑥1 , 𝑥2 , 𝑢) + 𝐴2 ( 𝑥1 , 𝑥2 , 𝑢) = B ( 𝑥1 , 𝑥2 , 𝑢) (8)
𝜕𝑥1 𝜕𝑥2

3. Quasi-linear 2nd PDE if nonlinearity in F only involves u and its first

derivative but not its second-order derivatives:
𝜕𝑢 𝜕𝑢 𝜕2 𝑢 𝜕𝑢 𝜕 𝜕2 𝑢
𝐴11 ( 𝑥1 , 𝑥2 , 𝑢, , ) 2 + 𝐴12 (𝑥1, 𝑥2 , 𝑢, , ) + 𝐴22(
𝜕𝑥1 𝜕𝑥2 𝜕𝑥1 𝜕𝑥1 𝜕𝑥2 𝜕𝑥1 𝜕𝑥2

𝜕𝑢 𝜕𝑢 𝜕2 𝑢 𝜕𝑢 𝜕𝑢
𝑥1 + 𝑥2 , 𝑢, , ) = 𝐹 (𝑥1 , 𝑥2 , 𝑢 , ) (9)
𝜕𝑥1 𝜕𝑥2 𝜕𝑥22 𝜕𝑥1 𝜕𝑥2

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But further classification into elliptic, hyperbolic, and parabolic equations,
especially for second-order linear equations, is of utmost importance.

3.2 Classification of linear second order PDE based on discriminant

We can write a second order linear partial differential equation (PDE) involving
independent variables x & y in the form:

𝜕2 𝑢 𝜕2 𝑢 𝜕2 𝑢 𝜕𝑓 𝜕𝑓
A
𝜕𝑥 2 +𝐵 𝜕𝑥𝜕𝑦
+𝐶
𝜕𝑦 2
= 𝐹 (𝑥, 𝑦, 𝑓,
𝜕𝑥 𝜕𝑦
, ) (10)
Where the coefficients A, B and C are functions of the independent variables x α
y.
To begin with, let us consider a review of conic curves (ellipse, parabola and
hyperbola): A𝑥 2 + 𝐵𝑥𝑦 + 𝐶𝑦 2 + 𝐷𝑥 + 𝐸𝑦 + 𝐹 = 0 (11)
The classification of partial differential equations depends on the sign of
discriminant 𝐵 2 − 4𝐴𝐶 as follow:
If 𝐵 2 − 4𝐴𝐶 < 0, the partial differential equation is elliptic. (E.g.,
Laplace’s and Poisson equations)
If 𝐵 2 − 4𝐴𝐶 = 0, the partial differential equation is parabolic. (E.g., heat
equation).
If 𝐵 2 − 4𝐴𝐶 > 0, the partial differential equation is hyperbolic. (E.g., wave
equation).
𝜕2 𝑢 𝜕2 𝑢
Example 10 : Laplace equation : + =0
𝜕𝑥 2 𝜕𝑦 2

A= 1, B = 0, C = 1; 𝐵 2 − 4𝐴𝐶 < 0: Therefore, the equation is elliptic.

𝜕2 𝑢 𝜕𝑢
Example 11: One dimension Heat equation: K =
𝜕𝑥 2 𝜕𝑡

A= K, B = 0, C = 0; 𝐵 2 − 4𝐴𝐶 = 0: Therefore, the equation is parabolic.

𝜕2 𝑢 𝜕2 𝑢
Example 12: One dimension Wave equation: = 𝑐2
𝜕𝑡 2 𝜕𝑥 2

A = 1, B = 0, C = -𝐶 2; 𝐵 2 − 4𝐴𝐶 > 0: Therefore, the equation is hyperbolic.

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Some examples of 2-D PDE of the aforementioned categories are as follows:
𝜕2 𝑢 𝜕2 𝑢 𝜕2 𝑢
Example 13: = 𝑐2 ( + ): 2-D wave equation.
𝜕𝑡 2 𝜕𝑥 2 𝜕𝑦 2

𝜕𝑢 𝜕2 𝑢 𝜕2 𝑢
Example 14: = 𝑐2 ( 2
+ ) : 2-D Heat equation.
𝜕𝑡 𝜕𝑥 𝜕𝑦 2

𝜕2 𝑢 𝜕2 𝑢
Example 15: 2
+ = f (x, y): 2-D Poisson’s equation.
𝜕𝑥 𝜕𝑦 2

3.3 Classification by physical problems

Physical problems fall into one of the following general classifications:

3.3.1 Equilibrium Problem: Equilibrium problems are steady state problems in

closed domain D (x, y) in which the solution f (x, y) is governed by an elliptic
partial differential equation subject to boundary conditions specified at each point
on the boundary B of the domain.
Such type of problems has no real characteristic and thus the solution at every
point in the solution domain is influenced by the solution at all other points and
the solution at each points influence the solution at all other points.
Equilibrium problems are solved by method of relaxation numerically.

3.3.2 Propagation Problem: Propagation problems are initial value problems in

open domains. Here by open domain means that open with respect to one of the
independent variables.

Example 16: 𝑓𝑡 = 𝛼𝑓𝑥𝑥 with initial condition f (x, 𝑡0 ) = f (x)

3.3.3 Eigenvalue Problem: Eigenvalue problem are special problems in which

the solution exits only for special values (i.e., eigenvalues) of a parameter of the
problem. The eigenvalues are to be determined in addition to the corresponding
configuration of the system.

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4. Applications of PDEs in civil engineering
Differential equations are extensively involved in civil engineering. Here is a list
of few applications:
4.1 Laplace and Poisson’s equations: They are used to model the steady state
temperature distribution in a plane, the steady state electric field (voltage), the
inviscid fluid flow, the gravitational field.
4.2 Wave equation: It is used to model the vibration of beam or slabs according
to the dimension of the problem, the long water waves in a straight canal, the
torsion oxillations a rod, the longitudinal vibrations of a bar, etc.
4.3 Heat equation: It is used to model time-dependent temperature distribution
along heated bar.
4.4 Advection-diffusion equation: It is used to model the dispersion of tracers
in porous media, and transport of pollutant in rivers, streams, and atmospheres.

Additional readings

1. J. D. Hoffman, “Numerical Methods for Engineers and Scientists,” 2nd

Edition, McGraw-Hill, Inc., New York, 1992.

2. M. Kline, “Mathematical Thought from Ancient to Modern Times,”

Oxford University Press, London, 1972.

3. H. Poincare, “Sur les Equations de la Physique Mathematique,” Rendiconti

del Circolo Mathematico di Palermo, Vol. 8, 1894, pp. 57-155.

Supplementary problems

1. Obtain all cases for the coefficients in the following partial differential
equation: 𝑎𝑢𝑥𝑥 + 𝑏𝑢𝑥𝑥 + 𝑐𝑢𝑥 + 𝑑𝑢𝑦 = 0 to be an elliptic.
Solution:

Firstly, let us make the following general classification:

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 a. The given PDE is homogeneous due to the absence of the function G
b. The given PDE is linear because all coefficients are constants.

Now, let us write the general form of the second order linear partial differential
equation:

𝜕2 𝑢 𝜕2 𝑢 𝜕2 𝑢 𝜕𝑢 𝜕𝑢
A 2
+ 2𝐵 +𝐶 +𝐷 +𝐸 + 𝐹𝑢 = 𝐺 (1)
𝜕𝑥 𝜕𝑥𝜕𝑦 𝜕𝑦 2 𝜕𝑥 𝜕𝑦

After making a comparison between equations (1) and the PDE given in the
question, we can equate the coefficients as follows:

A=a
B=0 (2)
C=b

The general formula: 𝐵 2 – 4AC = 0 (3)

(2) into (3): 𝐵 2 – 4AC = - 4AC (4)

Now then, we have the following different cases:

If a, b > 0, if this will correspond to 𝐵 2 − 4𝐴𝐶 < 0 and so the

equation will be elliptic type.
If a, b will have the opposite sign, this will correspond to 𝐵 2- 4AC > 0
and so the equation will be hyperbolic type.

2. Show that 𝑎𝑢𝑥𝑥 + 𝑏𝑢𝑥𝑥 + 𝑐𝑢𝑦 = 0 is hyperbolic for all possible cases of
its constants.

Solution:

Firstly, let us make the following general classification:

a. The given PDE is homogeneous due to the absence of the function G.

b. The given PDE is linear because all coefficients are constants.

Now, let us write the general form of the second order linear partial differential
equation:

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 𝜕2 𝑢 𝜕2 𝑢 𝜕2 𝑢 𝜕𝑢 𝜕𝑢
A 2
+ 2𝐵 +𝐶 +𝐷 +𝐸 + 𝐹𝑢 = 𝐺 (1)
𝜕𝑥 𝜕𝑥𝜕𝑦 𝜕𝑦 2 𝜕𝑥 𝜕𝑦

The given equation is:

𝑎𝑢𝑥𝑥 + 𝑏𝑢𝑥𝑦 + 𝑐𝑢𝑦 = 0 (2)

A comparison between equation (1) and (2) leads to:

A = a; B = b; C = b (3)

The general formula = 𝐵 2 − 4𝐴𝐶 (4)

By making use of equation (3) and (4):

General formula = 𝐵 2 – 4AC = 𝑏2 > 0 (5)

From equation (5), it can be observed that 𝐵 2- 4AC is always positive for any
value positive or negative for b, therefore the equation is hyperbolic type.
Exercises:
1. Classify the following PDEs using the discriminant method:
𝜕2 𝑢 4𝜕2 𝑢 𝜕2 𝑢
a. 2
− + =0
𝜕𝑥 2𝑥2𝑦 2𝑦 2
𝜕2 𝑢 𝜕2 𝑢
b. 2
+ =0
𝜕𝑥 𝜕𝑦 2

2. Classify the given PDEs by filling the table:

Order Linear/Non- Constant/Non- Homogeneous/
linear constant Inhomogeneous

a. 𝑢𝑡 = 𝑢𝑥𝑥 + 2𝑢𝑥 + 𝑢
b. 𝑢𝑡 = 𝑥𝑢𝑥𝑥 + 𝑒 −𝑡
c. 𝑢𝑥𝑥 + 3𝑢𝑥𝑦 + 𝑢𝑦𝑦 = sin 𝑥
d. 𝑢𝑡𝑡 = 𝑢𝑢𝑥𝑥𝑥𝑥

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3. Find the value of x to make our equation a parabolic equation:

𝜕2 𝑢 𝜕2 𝑢 𝜕2 𝑢
3𝑥 2
− 18 +3
𝜕𝑥 𝜕𝑥𝜕𝑦 𝜕𝑦 2

Multiple choice :
a. 9
b. 7
c. 8
d. 5

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