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Matthew J. Hancock
Fall 2006
[Dec 5, 2005]
X ′′ + λX = 0 (no BCs)
T ′ = −κλT
where Z
1 ∞ −ω2 κt
K (s, x, t) = e cos (ω (x − s)) dω (5)
π 0
is called the Heat Kernel.
√
The integral for K can be calculated by defining z = ω κt, so that
Z ∞
1 2 x−s
K (s, x, t) = √ e−z cos (bz) dz, b= √ .
π κt 0 κt
Let Z ∞
2
I (b) = e−z cos (bz) dz (6)
0
You can find I (b) from Tables, e.g. Table of Integrals, Series & Products by Grad
shteyn & Ryzhik. But here’s how to calculate it: first, differentiate in b,
Z ∞
′ 2
I (b) = −e−z z sin (bz) dz
0
2
Integrating by parts with U = sin bz, dV = −ze−z , gives
" 2 #∞ Z
′ e−z
b ∞ −z2
I (b) = sin (bz) − e cos (bz) dz
b 2 0
0
b
= 0 − I (b)
2
Thus
dI b
= − db
I 2
Integrating yields
2 /4
I (b) = I (0) e−b
and from (6), Z √
∞
−z 2 π
I (0) = e dz = .
0 2
Therefore, √
π −b2 /4
I (b) = e
2
!
1 1 (x − s)2
K (s, x, t) = √ I (b) = √ exp − (7)
π κt 4πκt 4κt
Since K (s, x, t) decays exponentially as |x| , |s| → ∞ , then a sufficient condition for
a solution is that |f (s)| is bounded above by some constant as |s| → ∞.
and
ut < 0, |x| < ε/2
4
1 1
0.8
0.5
0.6
erf(x)
2
−x
0
e
0.4
−0.5
0.2
0 −1
−5 0 5 −5 0 5
x x
2
Figure 1: Plots of e−x and erf(x).
1 1
u(x,t)/u0( ε=1, κ t=1)
0.8
0.8
u(x,0)/u0 (ε=1)
0.6
0.6
0.4
0.4
0.2
0.2
0 0
−5
0 5 −5 0 5
x x
For |x| > ε/2, u increases and then decreases. Thus ut = 0 when
x + ε/2 εx
ln =
x − ε/2 2κt
2 Fourier Transform
Ref: Guenther & Lee, §5.4 and for background, see §3.4 (in particular p. 78 and 79)
Ref: Myint-U & Debnath §11.1 – 11.4
[Dec 7, 2005]
1
u(x0,t)/u0( ε=1)
0.5
0
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
κt
Figure 3: Plot of u(x, t) for x = 0 (solid), x = ±1/4 (dash) and x = ±3/4 (dot-dash),
for ε = 1.
4.5 0.05
3.5
3
κt
2.5
0.1
2
1.5
0.25
1
0.5 0.2
0.1
0.5
0.05
0
−5 −4 −3 −2 −1 0 1 2 3 4
5
Figure 4: Plot of the level curves of u(x, t), i.e. the curves on which u(x, t) = const.
Numbers indicate the value of u(x, t)/u0 on the level curve. Here ε = 1.
We now introduce the Fourier Transform and show how it is related to the solution
of the Heat Problem on an infinite domain. Consider a function g (x) defined on
−∞ < x < ∞ that satisfies the properties listed above, namely,
g (x) is piecewise smooth on every interval [a, b] of the real line (9)
Z ∞
|g (x)| dx < ∞. (10)
−∞
Z ∞
2
u (x, t) = (A (ω) cos (ωx) + B (ω) sin (ωx)) e−ω κt dω
Z0 ∞ Z ∞
iωx −ω 2 κt 2
= F1 (ω) e e dω + F2 (ω) e−iωx e−ω κt dω, (13)
0 0
where
1 1
F1 (ω) = (A (ω) − iB (ω)) , F2 (ω) = (A (ω) + iB (ω)) .
2 2
We now allow ω to take all real values, i.e., −∞ < ω < ∞, and continue to manipulate
the solution u (x, t). Making the change of variable ω → −ω in the first integral of
(13) gives
Z 0 Z ∞
−iωx −ω 2 κt 2
u (x, t) = F1 (−ω) e e dω + F2 (ω) e−iωx e−ω κt dω
Z−∞
∞
0
2
= F (ω) e−iωx e−ω κt dω, (14)
−∞
where (
F2 (ω) , ω ≥ 0,
F (ω) =
F1 (−ω) , ω < 0.
7
Furthermore, at t = 0, we have
Z ∞
u (x, 0) = f (x) = F (ω) e−iωx dω. (15)
−∞
Comparing Eq. (15) to (12) shows that f (x) is the Inverse Fourier Transform of F (ω),
or equivalently, F (ω) is the Fourier Transform of the initial temperature distribution
f (x). From (11), we have
Z ∞
1
F (ω) = f (x) eiωx dx. (16)
2π −∞
Thus, the FT F maps a function of (x, t) to a function of (ω, t). To transform the
Heat Equation, we must consider how the FT maps derivatives. Note that
Z ∞
∂u 1 ∂u
F = (x, t) e
iωx dx
∂t 2π −∞ ∂t
Z ∞
∂ 1 iωx ∂ ∂
= u (x, t) e dx = F [u] = U (ω, t)
∂t 2π −∞ ∂t ∂t
Also, integration by parts and the fact that u (x, t) → 0 as |x| → ∞ allow us to
calculate the FT of ∂u/∂x,
Z ∞
∂u 1 ∂u
F = (x, t) e
iωx dx
∂x 2π −∞ ∂x
Z ∞
1 iωx ∞ 1
= e u (x, t) −∞ − u (x, t) iωeiωx dx
2π 2π −∞
Z ∞
1 iωx
= −iω u (x, t) e dx
2π −∞
= −iωF [u] = −iωU (ω, t) .
8
Thus, the FT of an x-derivative of a function is mapped to −iω times the FT of the
function. Hence
2
∂ u ∂u
F 2
= −iωF = (−iω)2 F [u] = −ω 2 U (ω, t)
∂x ∂x
We could substitute C (ω) back into (18) and use the Inverse Fourier Transform to
obtain u (x, t). The solution would be the same as that for separation of variables
(recall that uniqueness holds). However, u (x, t) can be obtained almost immediately
using a result called the Convolution Theorem.
One important FT is that of the Gaussian distribution,
h i 1
−βx2 2
F e =√ e−ω /4β
4πβ
Thus, the FT of a Gaussian is a Gaussian. In particular, the IFT of a Gaussian is
h i rπ
−1 −αω 2 2
F e = e−x /4α (19)
α
Let H (ω) = F (ω) G (ω). The Inverse Fourier Transform (IFT) of H (ω) is
Z ∞ Z ∞
1 1
h (x) = f (s) g (x − s) ds = g (s) f (x − s) ds (20)
2π −∞ 2π −∞
The first integral in (20) is called the convolution of f (x) and g (x). In other words,
the IFT of the product of two FTs is the 1/2π times the convolution of the two
functions.
Proof: [optional] The IFT of H (ω) is
Z ∞ Z ∞
−iωx
h (x) = H (ω) e dω = F (ω) G (ω) e−iωx dω
−∞ −∞
10
ut = κuxx , 0≤x<∞
u (x, 0) = f (x) , 0≤x<∞
and f (x), u (x, t) approach zero fast enough as |x| → ∞ so that the integral
Z ∞
|u (x, t)| dx
−∞
To solve this problem, we recall the temperature distribution on the infinite do
main −∞ < x < ∞ due to an initial temperature fe(x) was given by
Z ∞
u (x, t) = K (s, x, t) fe(s) ds
−∞
Note that at x = 0, the Heat Kernel is even in s, i.e. K (s, 0, t) = K (−s, 0, t). Also,
Z ∞
u (0, t) = K (s, 0, t) fe(s) ds
−∞
Thus u (0, t) = 0 if fe(s) is odd. Therefore, the solution to the Heat Problem on the
semi-infinite domain 0 ≤ x < ∞ with zero temperature at x = 0 (u (0, t) = 0) is
Z ∞
u (x, t) = K (s, x, t) fe(s) ds
−∞
11
Similarly, note that the x-derivative of the Heat Kernel is odd at s = 0,
s s2
Kx (s, 0, t) = √ exp − = −Kx (−s, 0, t) ,
2κt 4πκt 4κt
and hence the solution to the Heat Problem on the semi-infinite domain 0 ≤ x < ∞
with an insulated BC at x = 0 (ux (0, t) = 0) is
Z ∞
u (x, t) = K (s, x, t) fe(s) ds
−∞
∂2 ∂2
F [uExx ] = −ω 2 F [uE ] = −ω 2 UE (ω, y) , F [uEyy ] = F [u E ] = UE (ω, y) .
∂y 2 ∂y 2
Hence Laplace’s equation for the steady-state temp uE (x, y) becomes
∂2
2
UE (ω, y) − ω 2 UE (ω, y) = 0
∂y
12
Solving the ODE and being careful about the fact that ω can be positive or negative,
we have
UE (ω, y) = c1 (ω) e−|ω|y + c2 (ω) e|ω|y
where c1 (ω), c2 (ω) are arbitrary functions. Since the temperature must vanish as
y → ∞, we must have c2 (ω) = 0. Thus
Therefore, applying the Convolution Theorem to (23) with F −1 [c1 (ω)] = f (x) and
F −1 e−|ω|y = 2y/ (x2 + y 2 ) gives
Z ∞
1 2y
uE (x, y) = f (s) ds.
2π −∞ (x − s)2 + y 2
13