Questions tagged [parabolic-pde]

A partial differential equation that describes diffusion phenomena.

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3d schrodinger equation weak form

SCHRODINGER’S EQUATION $$-ih u_{t}(x,y,z,t) = \frac{h^2}{2m} u_{xx}(x,y,z,t)+ \frac{e^2}{r}u(x,y,z,t)$$ The potential $\frac{e^2}{r}$ is a variable coefficient. So, let’s take the free Schrodinger ...
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40 views

The physical meaning of conservative mass in diffusion equation

I am working on 1-D mass transient diffusion in a radial domain (spherical object) using finite volume method. My equation reads $$\frac{\partial C}{\partial t} = D\left[\frac{\partial^2 C}{\partial r^...
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140 views

Is there a simple way to add a sparse matrix to an LU decomposition of a dense matrix?

I am solving a parabolic equation in the form: $$ \left( {M \over\tau_j} + A \right) u^{j+1} = M f^j + {u^j \over \tau_j}, $$ where $A$ and $f$ are a dense stiffness matrix and the right hand side of ...
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2answers
139 views

Two-dimensional heat equation with Neumann boundary conditions: any hope to find an analytical solution?

I am looking for references showing how to analytically solve the heat equation with Neumann boundary conditions in two dimensions. So far, I have found the problem solved analytically in one ...
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1answer
112 views

Verification of order of convergence of Implicit Euler Method to numerically solve Black-Scholes PDE

I'm trying to verify the order of convergence for implicit Euler method to numerically solve Black-Scholes PDE. Theory says that it should be $O(\Delta t + \Delta S^2).$ My code is working absolutely ...
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1answer
159 views

Backwards Difference Implicit Method for Nonlinear Parabolic PDE in Python

Original Stack Overflow Question: https://stackoverflow.com/questions/65683788/indexerror-index-31-is-out-of-bounds-for-axis-1-with-size-31?noredirect=1#comment116218335_65683788 PDE: u_t = u_xx + u(...
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1answer
115 views

How to insert a(x) function in non homogeneous parabolic pde for implicit method in Python?

I have the following inhomogeneous parabolic initial/boundary value problem: $$u_{t}(t,x) = (1-x^{2})u_{xx}(t,x)+u(t,x),$$ for $t \in [0,1]$ and $x \in [-1,1]$ $$u(0,x) = \sin(\pi x),$$ for $x \in [-...
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1answer
120 views

Non-Linear advection diffusion with nondifferetiable advection term

I'm looking at Murray's book: Mathematical biology: an introduction , first volume, pag. 404 In particular, I'm interested to solve the following PDE: $$\partial_t u = \partial_x (\text{sign}(x) u) + \...
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2answers
204 views

1D FEM for nonlinear diffusion coefficient

I want to solve with linear finite elements the equation $$\partial_t u = \partial_{x}(a(u)\partial_xu)$$ in the domain $t \in [0,1]$ and $x \in [-L,L]$. Here $a(u)$ is just a function of $u$. ...
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40 views

Effect of reducing flux consistency order at boundary on convergence order

Consider the 1D nonstationary convection-diffusion PDE $$ \begin{alignat}{2} \partial_t u &= -a \partial_x u + D \partial_{xx}u, &\qquad x \in (0,1), t \in (0,T), \\ f(t) &= \left.\left( a ...
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69 views

fixed point iteration on DD method

I have to solve the the problem $u_t+\Delta^2u=f(u)$, where $f(u)$ is non-linear, using domain-decomposition method. My approach is first using fixed point iteration on mixed form i.e to say $u^{k+1}...
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35 views

Convergent Finite Difference Scheme for Parabolic Equation

Consider the PDE $$u_t = b_{11}u_{xx} + 2b_{12}u_{xy} + b_{22}u_{yy},$$ where $b_{11}, b_{22} > 0$, and $b_{12}^2 < b_1b_2$. In Strikwerda's book, the ADI scehme \begin{align*} \left( 1 - \frac{...
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1answer
127 views

Numerically solving nonlinear parabolic stochastic PDEs

For a project I'm doing, I have to numerically solve a nonlinear parabolic stochastic partial differential equation, of the form $$ u_t = u_{xx} + f(u)(u_x)^2 + a(u) + b(u)W(t, x), $$ where primes ...
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1answer
68 views

Stability condition for explicit time FEM for parabolic pdes

If we discretize a parabolic pde to obtain the system of ODE's $\frac{\boldsymbol{B}}{\Delta t} \boldsymbol{u}_k = (\boldsymbol{K} + \frac{\boldsymbol{B}}{\Delta t}) \boldsymbol{u}_{k-1} + \boldsymbol{...
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1answer
81 views

Type of Rosenbrock method by its coefficients

A Fortran code that solves stiff PDE systems contains the following arrays of Rosenbrock-Wanner method coefficients: ...
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1answer
187 views

How suitable is multigrid method for time-dependent PDEs?

For elliptic PDEs (Poisson-type), the multigrid method is very sufficient, but how about time-dependent problems (i.e parabolic or hyperbolic PDEs)? Is it efficient to solve such problems using a ...
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1answer
549 views

Imposing periodic boundary condition for linear advection equation - Node problem

I've spent the whole day trying to figure out what is the correct way to impose (and implement) periodic boundary conditions $u(0,t)=u(1,t)$ for all $t>0$ for the simple advection equation $u_t + v ...
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42 views

Solving Parabolic PDE using Matlab

I have the following pde (Burger's equation) for $\epsilon>0: u_t+u.u_x=\epsilon.u_{xx}$ and $x\in \mathbb{R},t>0$ and the initial condition: $u(x,0)=\phi(x)=1_{(-\infty,0)}(x)$. I want ...
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1answer
339 views

Dirichlet boundary conditions in the 1D Heat Equation

Please consider the assignment I have uploaded on the picture. I am confused about the functions $g_L(t)$, $g_R(t)$ and $\eta(x)$. What are they and how do I find them... My question: Is it possbile ...
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1answer
245 views

Numerically solving a non-linear PDE

I have this non-linear partial differential equation. $$ \frac{\partial C}{\partial t}=\left(\frac{\partial C}{\partial x}\right)^2+C\frac{\partial^2 C}{\partial x^2} $$ I want to use the finite ...
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1answer
94 views

Error for the finite differences scheme — Advection equation

Consider the advection equation (1D in space) $$ \frac{\partial u}{\partial t} + V\, \frac{\partial u}{\partial x}=0 $$ and we solve it numerically on $[0,1]\times [0,1]\ni (t,x)$ using a forward ...
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0answers
56 views

Oscillations when solving parabolic heat equation with FTCS

I'm wondering if someone could help me out, or point me in a direction of how I can understand the following oscillations that occur when I solve the Porous Medium Equation $$u_t = u_{xx}^{m+1}$$ ...
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75 views

Analytic vs discrete understanding of PDE

The PDE I am working with: $$\partial_tu = \nabla \cdot (a(x)\nabla u)-\beta(x)u\\ \partial_nu=0, x \in \Omega \subset \mathbb{R}^2\\ \beta(x)>0$$ Integrate the PDE: $$\int_\Omega \partial_t u=\...
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What will PDE discretization matrix look like for time and space? [duplicate]

Please note: this question is not a duplicate of this question since, while the PDE is the same, the nature of this question is different, i.e. the other question treats a different aspect of this PDE....
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56 views

Discretizing a parabolic PDE with finite volume method

I want to discretize the following parabolic PDE: $$u_t = \nabla\cdot(\alpha(x)\nabla u)- \beta u\\ x\in\Omega \subset \mathbb{R}^2\\ \partial_n u = 0\\ u(t,0) = u_0(x)\ge 0, \alpha(x)>0$$ Given ...
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64 views

Unusual boundary conditions on Matlab

I'm trying to solve the following PDE by Matlab, $$ u_t-\Delta u = 0, \quad \text{in}\quad \Omega\times (0,T) \tag{1} $$ $$ u_t-\Delta_\Gamma u + \partial_\nu u=0,\quad \text{on}\quad \Gamma\times(0,...
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185 views

Finite differences for the one-phase Stefan problem

I am trying to code the one-phase, one-dimensional Stefan problem using finite differences in Matlab, similarly to what has already been done in Mathematica (see https://mathematica.stackexchange.com/...
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1answer
75 views

Physical data for heat equation

I want to implement an algorithm to solve a heat equation, i.e. \begin{align*} \partial_t u - \Delta u = f \text{ in } \Omega\times(0,T)\\ \partial_nu = 0 \text{ in } \partial\Omega \times (0,T)\\ u(0)...
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1answer
238 views

PDEPE nonlinear

I would like to use Matlab's pdepe to solve this system: $$ s_t =(sr)_x + s_{ xx } \\ r_t =(\frac{ A }{ B }r^2+s)_x + \frac{ A }{ -K } r_{ xx } $$ where $A$, $B$ ...
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0answers
243 views

Accuracy of finite difference method for heat equation on a disk

To study an approximation for the heat equation $$\frac{\partial^2 u}{\partial r^2}+\frac{1}{r}\frac{\partial u}{\partial r}+\frac{1}{r^2}\frac{\partial^2 u}{\partial\theta^2}=f(r,\theta)$$ on the ...
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1answer
101 views

Parabolic differential equations with time delay

Let $d_1=1,d_2=2,a_{11}=\frac{5}{13},a_{12}=\frac{22}3,a_{21}=-2,a_{22}=\frac{6}7,\tau=\frac{5}7$, $\psi(t,x)=\cos^42x,\phi(t,x)=\frac{3}{13}x^4\sin^2 3x$, $\Omega=[0,200]$ How to solve: $$\left\{ \...
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2answers
287 views

Trying to compute the error from comparing two arrays

Some context: I am working with the Black-Scholes model.. I have an explicit (Black-Scholes) formula which is the exact solution to my problem. I have written code which implements a finite-difference ...
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0answers
63 views

Growing error from a smooth initial condition for Fisher KPP equation

I'm studying the Fisker-KPP equation on the line (and in $]0, 100[$ numerically): $$ \partial_t u = \Delta_{xx} u + u(1-u) $$ I notice a behavior I don't understand with a smooth initial condition $...
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127 views

How one could choose the value of viscous coefficient for obtaining stable solution of Burgers' equation?

Burgers' equation is a fundamental PDE used in various fields such as number theory, gas dynamics, heat conduction, elasticity, etc. It is crucial especially for developing numerical models for ...
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0answers
84 views

Implementing initial conditions into the solution domain of a 1-D advection-diffusion equation

I have the following PDE. $\frac{\partial c}{\partial t} + v\frac{\partial c}{\partial x} - D\frac{\partial^2 c}{\partial x^2} = 0 \\$. I have discretized it such that i now have $\frac{dC}{dt} = ...
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1answer
195 views

An interesting numerical pde problem

I'm somewhat struggling with how they are getting this scheme. This is a problem from Morton & Mayers book on numerical pde solutions. I think they are using a forward difference approximation for ...
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1answer
263 views

Cauchy problem with a change of variables

Consider an advection-diffusion problem $$u_t+au_{xx}+bu_{x}=0,\quad x>0.$$ Now I want to remove the drift and rewrite the problem for the new domain. I use the change of variables $y=x-bt$, and ...
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1answer
514 views

spurious oscillations Crank-Nicolson

I want to make sure I am clear with all the reasons why oscillations and how wild they get. I will summarize what I understood from the books with respect to the application of the Crank-Nicolson to ...
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4answers
324 views

discretization error for the explicit scheme for heat equation

I am a little confused about the truncation error and what it actually means. So, For example I have an explicit approximation to the heat equation $$\frac{u_{j}^{i+1}-u_{j}^{i}}{\delta t}=\frac{u_{j-...
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2answers
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Help implementing finite difference scheme for heat equation

I am trying to solve the following problem via a finite difference approximation: $u_t = k \, u_{xx}$, on $0 < x < L$ and $t > 0$; $u(0,t) = u(L,t) = 0$; $u(x,0) = f(x)$. I take $u(x,0) = ...
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36 views

explicit scheme stability restriction

Looking at the plain heat equation $u_t=u_{xx}$ the explicit scheme for it would look like the following iteration: $$u_{m,n+1}=\rho u_{m-1,n}+(1-2\rho)u_{m,n}+\rho u_{m+1,n}$$ I noticed this equation ...
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1answer
1k views

heat equation on bounded and unbounded domain

I have been reading about the heat equation and I am confused about uniqueness in the case when the domain is bounded and when it is not. In the book I am following, it is common to write the heat ...
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1answer
137 views

Space-time Galerkin of Burgers changes the convection speed

tldr: Can space-time Galerkin schemes applied to convection-diffusion problems lead to effects on the convection velocity? For time $t\in (0,1)$ and the spatial variable $\xi \in (0,1)$, I am ...
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0answers
76 views

Stability of two PDEs

I have the following two PDEs which I want to check for stability: $$u_t= u_{xx} , \ u(x,0)=1 , \ u_x(1,t)=-hu^4(1,t) , \ u_x(0,t) = 0 $$ $$u_t = u_{xx}-\sin(x+t)+\cos(x+t) , \ u(x,0)=\cos(x) ,\ u_x(...
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3answers
556 views

Algorithm suggestion for PDE - example: heat equation

I want to solve the PDE equation numerically. For this, I started my study with something simple; heat equation $$ \frac{\partial u}{\partial t}=\frac{\partial^2 u}{\partial^2 x} $$ with the initial ...
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2answers
418 views

Looking for a matlab/maple code for plotting the truncation error

On page 18 on this text: http://www.dima.uniroma1.it/users/lsa_adn/MATERIALE/FDheat.pdf , the graph in figure 8 on this page, how would I write a suitable code in matlab or maple that will produce ...
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0answers
142 views

Boundary Conditions for the given PDE

I'm working on the Black-Scholes equation, but I'm pretty new to financial modeling. Right now, I am trying to understand the Black-Scholes PDE. I understand that the Black-Scholes equation is given ...
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1answer
1k views

Heat Equation - PDE

I'm trying to model the Black-Scholes Equation (transformed into a heat equation) using method of lines in Python. The transformed formula is basically \begin{equation*} \frac{\partial u}{\partial ...
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0answers
183 views

Modeling First Order Parabolic PDE (Battery Storage Model)

I'm trying to solve the following first order parabolic partial differential equation, \begin{equation*} X \frac{\partial V}{ \partial Q} = -\frac{1}{2} \sigma^2 \frac{\partial^2 V}{\partial X^2} + ...
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1answer
269 views

Do the class of PDEs that lack initial conditions have a name?

I am trying to think of what this kind of problem is called. I illustrate it with a telegrapher's equation with (hopefully) standard notation. Find $u:\Omega\times \mathbb{R} \to \mathbb{R}$ such ...