EEE 484

Finite Differences Method

for
HYPERBOLIC PROBLEMS

Presentation
by
ÖZDEN PARSAK

1
 Content
 Partial Differential Equations (PDE’s)

 Finite Difference Method (FDM)

 Hyperbolic PDE’s – Wave Equation

 Applying FDM to the Wave Equation

 References

2
Partial Differential Equations
 Physical problems that involve more than
one variable are often expressed using
equtions involving partial derivatives. And
it is called Partial Differential Equation
(PDE’s).
 There are three types of partial differential
equations

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Types of Partial Differential
Equations (PDEs)
1) Elliptic:

∂u
2
∂u
2
( x, y ) + 2 ( x, y ) = f ( x, y )
∂x 2
∂t

 Poisson equation, Laplace equation for

steady state.

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Types of Partial Differential
Equations (PDEs)
2) Parabolic:

∂u 2 ∂ u
2
( x, t ) − α ( x, t ) = 0
∂t ∂x 2

 Transient heat transfer, flow and diffusion

equations

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Types of Partial Differential
Equations (PDEs)
3) Hyperbolic:

∂u
2
2 ∂ u
2
( x, t ) − α ( x, t ) = 0
∂t 2
∂x 2

 Transient Wave Equation

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 Content
 Partial Differential Equations (PDE’s)

 Finite Difference Method (FDM)

 Hyperbolic PDE’s – Wave Equation

 Applying FDM to the Wave Equation

 References

7
FINITE DIFFERENCE METHODS

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 Introduction
 For such complicated problems
numerical methods must be employed.
 Finite Difference Method (FDM) is one of
the available numerical methods which
can easily be applied to solve Partial
Differential Equations (PDE’s) with such
complexity.

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 Introduction
 Finite Difference techniques are based
upon approximations of differential
equations by finite difference equations.
 Finite difference approximations:

• have algebraic forms,

• Relate the value of the dependent variable
at a point in the solution region to the values
at some neighboring points.

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 Introduction
Steps of finite difference solution:
 Divide the solution region into a grid of
nodes,
 Approximate the given differential
equation by finite difference equivalent,
 Solve the differential equations subject to
the boundary conditions and/or initial
conditions.

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 Introduction

 Rectangular Grid Pattern

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Finite Difference Schemes
 The derivative of a given function f(x) can be
approximated as:

df ( x0 ) f ( x0 + ∆ x) − f ( x0 )
; Forward Difference Formula
dx ∆x
df ( x0 ) f ( x0 ) − f ( x0 − ∆ x)
; Backword Difference Formula
dx ∆x
df ( x0 ) f ( x0 + ∆ x) − f ( x0 − ∆x)
; Central Difference Formula
dx 2∆ x

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Finite Difference Schemes

f(x)

P B

x0 − ∆x x0 x0 + ∆x x

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 Finite Difference Schemes
 Estimate of second derivative of f(x) at P by using
Central Difference Formula;

∂f ( x0 ) 1 ∂ 2
f ( x ) ( ∆ x ) 3
∂ 3
f ( x0 )
f ( x0 + ∆x) = f ( x0 ) + ∆x + (∆x )2 0
+ + ...
∂x 2! ∂x 2
3! ∂x 3

∂f ( x0 ) 1 ∂ 2
f ( x ) ( ∆ x ) 3
∂ 3
f ( x0 )
f ( x0 − ∆x) = f ( x0 ) − ∆x + (∆x)2 0
− + ...
∂x 2! ∂x 2
3! ∂x 3

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 Finite Difference Schemes
 Adding these equations:
∂ f ( x0 )
2
f ( x0 + ∆x) + f ( x0 − ∆x) = 2 f ( x0 ) + (∆x )2
+ O ( ∆x ) 4

∂x 2

 Assuming that higher order terms are

neglected:
∂2 f f ( x0 + ∆x) − 2 f ( x0 ) + f ( x0 − ∆x)
=
∂x 2
( ∆x ) 2

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Finite Difference Schemes
 To apply the
difference method to
find the solution of a
function Φ( x, t ) the
solution region is
divided into
rectangles:

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Finite Difference Schemes
 Letthe coordinates (x, t) of a typical grid
point or a node be:

x = i∆x, i = 0,1, 2,...

t = j∆t , j = 0,1, 2,...

 The value of Φ at a point:

Φ(i, j ) = Φ (i∆x, j∆t )
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Finite Difference Schemes
 Usingthis notation, the central difference
approximations of Φ at (i, j) are: First
derivative:
∂Φ Φ (i + 1, j ) − Φ (i − 1, j )
;
∂x (i , j ) 2∆x
∂Φ Φ (i, j + 1) − Φ (i, j − 1)
;
∂t (i , j ) 2∆t

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Finite Difference Schemes
 Second derivative:

∂ Φ
2
Φ (i + 1, j ) − 2Φ (i, j ) + Φ (i − 1, j )
;
∂x (i , j )
2
( ∆x ) 2

∂ Φ
2
Φ (i, j + 1) − 2Φ (i, j ) + Φ (i, j − 1)
;
∂t (i , j )
2
(∆t ) 2

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 Content
 Partial Differential Equations (PDE’s)

 Finite Difference Method (FDM)

 Hyperbolic PDE’s – Wave Equation

 Applying FDM to the Wave Equation

 References

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Hyperbolic PDE’s - Wave Equation

 The wave equation which is an example of

Hyperbolic Equation is given by the
differential equation.

∂u2
2 ∂ u
2
( x, t ) − α ( x, t ) = 0
∂t 2
∂x 2

for 0< x<l , t>0

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Hyperbolic PDE’s - Wave Equation
 Boundary conditions subject to the wave
equation are given.

u (0, t ) = u (l , t ) = 0 , for t>0

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Hyperbolic PDE’s - Wave Equation
 Initial conditions subject to the wave equation are
given.

u ( x, 0) = f ( x)
, for 0≤ x≤l
∂u
( x, 0) = g ( x)
∂t

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 Content
 Partial Differential Equations (PDE’s)

 Finite Difference Method (FDM)

 Hyperbolic PDE’s – Wave Equation

 Applying FDM to the Wave Equation

 References

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Applying FDM to the Wave Equation

Select ;
 length step-size h=l/m for m>0
 and time-step size k > 0

The mesh point ( xi , t j ) are defined by

xi = ih i = 0,1,..., m

t j = jk j = 0,1,.....

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Applying FDM to the Wave Equation

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Applying FDM to the Wave Equation

 At any interior mesh point ( xi , t j ) , the

wave equations becomes

∂ 2u ∂ 2
u
( xi , t j ) − α 2
( xi , t j ) = 0
∂t 2
∂x 2

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Applying FDM to the Wave Equation
 The Difference method is applied to the second
partial derivatives using the centred-difference
formula, then we obtain the second order
difference equations;
∂ 2u u ( xi , t j+1 ) − 2u ( xi , t j ) + u ( xi , t j 1−) k 2 4u∂
( xi , t j ) = − ( xµi , j )
∂t 2
k 2
12 t∂
4

for some µ j in (t j −1 , t j +1 ) ,

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 Applying FDM to the Wave
Equation

u ( xi +1 , t j ) − 2u ( xi , t j ) + u ( xi −1 , t j ) h 2 ∂ 4u
( xi , t j ) = − (ψ i , t j
h 2
12 ∂t 4

for some ψ i in ( xi −1 , xi +1 ) .

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 Applying FDM to the Wave
Equation
 Substituting these equations into the wave
equation, we obtain;

u ( xi , t j +1 ) − 2u ( xi , t j ) + u ( xi , t j −1 ) u ( xi +1 , t j ) − 2u ( xi , t j ) + u ( xi −1 , t j )
2
−α 2

k h2

1  2 ∂ 4u 2 2 ∂ u
4

= k ( xi , µ j ) − α h (ς i , t j ) 
12  ∂t 4
∂x 4


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Applying FDM to the Wave Equation
 Neglecting the error term

1  2 ∂ 4u 2 2 ∂ u
4

τ ij =  k ( xi , µ j ) − α h (ς i , t j )
12  ∂t 4
∂x 4

 Then the difference equation

wi , j +1 − 2wi , j + wi , j −1 wi +1, j − 2wi , j + wi −1, j

2
−α 2
2
=0
k h

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Applying FDM to the Wave Equation
 With λ = α k / h , we can solve the difference

equation for wi , j +1 , the most advanced time-step

approximation is to be obtained,

wi , j+ 1 = 2(1 −λ ) wi , j +λ ( wi
2 2
1,+ j +wi 1,−j ) −wi , j 1 −

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Applying FDM to the Wave Equation

wi , j + 1 = 2(1 −λ 2 ) wi , j +λ2 ( wi 1,+ j +wi 1,−j ) −wi , j 1 −

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 Applying FDM to the Wave Equation
This difference equation holds for,
i = 1, 2..., (m − 1) and j = 0,1,.....

From boundary conditions;

w0 j = wmj = 0 for each j = 1, 2,3.....

From initial conditions;

wi 0 = f ( xi ) i = 1, 2,..., ( m − 1)
for each

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 Applying FDM to the Wave Equation
 It is easy to solve that equation when writing this
set of equations in matrix form;
 2(1 − λ 2 ) λ2 0 0 
 w1, j +1     w1, j −1 
 w   λ 2
2(1 − λ 2
) λ 2
  w2, j −1 
 2, j +1   0 0   
 . = − . 
   λ2   . 
 .  
λ2 2(1 − λ 2 )   
 wm −1, j +1   0 0
  wm −1, j −1 
 
 

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 References

Numerical Methods, J. Douglas FAIRES,

Richard L. BURDEN
Brooks Cole; Third edition (June 18, 2002)

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Thanks for your attention!!!

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