Class Nr.

1 The separation of variables method

Initially developed by Joseph Fourier, for solving the heat equation in one dimension.
Remember from a class before, if u : Ω  p0, 8q Ñ R represents the temperature (the heat density) of
a homogeneous material in a domain Ω € Rn , then upx, tq satisfies the system
$
'
&ut
∆u  0, in Ω  p0, 8q,
upx, tq  0, on B Ω  p0, 8q, (1)
'
upx, 0q  u0 pxq,
%
on Ω.
Fourier realized that, since for a fixed time t the problem become a stationary PDE, and the derivatives
are acting on u independently, maybe there is a solution in the form
upx, tq  v ptqwpxq.
By replacing this u in equation (1)1 ,
v 1 ptqwpxq
v ptq∆wpxq  0, in Ω  p0, 8q.
That is, for v, w  0:
v 1 ptq ∆wpxq
v ptq
 wpxq
, @x P Ω, @t ¡ 0.

(Note that u  0 is a possible solution of the PDE, but we are looking for nonzero solutions.)
Then, the only possibility (exercise) is that there exists a constant λ such that
v 1 ptq pxq 
λ, @x P Ω, @t ¡ 0.
v ptq
 ∆w
wpxq
(The minus sign is written just for convenience.)
Therefore we get the following two problems in the time and spatial variables accordingly:
#
v 1 ptq λv ptq  0, t ¡ 0,

∆wpxq  λwpxq, x P Ω.
The general solution of the first problem (an ODE) in the time variable is (integral factor):
v ptq  ce
λt .
Now, the second problem is a “stationary” PDE which have to be complemented with a boundary
condition. Indeed, by the boundary condition for u: 0  upx, tq  v ptqwpxq  ce
λt wpxq for any t ¡ 0, x P
BΩ, we get wpxq  0 for any x P BΩ. That is, w satisfy
#

∆w  λw, x P Ω, (2)
wpxq  0, x P B Ω.
System (2) is known as the eigenvalue problem for the Laplacian with homogeneous ( 0) boundary
condition (observe that the problem is similar to
Ax  λx, with A a matrix).
Solving the eigenvalue problem is, in general, a hard task. That’s why we focus on the simpler cases
first.

1
1.1 The one-dimensional case
We are going to solve the eigenvalue problem for the Laplacian in one-dimension, on the interval p0, lq
which represents the heat distribution on a bar of length l ¡ 0, with a constant zero temperature at the
sides (the bar is expected to cool down when time increases).
In one-dimension, problem (2) becomes
#
w2 pxq λwpxq  0, x P p0, lq,
(3)
wp0q  wplq  0.
Last equation is a linear second order ODE with constant coefficients (a harmonic oscillator). The
general solution has the form ? ?
wpxq  ae
λx be

λx .
We distinguish three cases:
1. λ  0. Then w2 pxq  0 which implies wpxq  c1 x c2 . But the boundary conditions wp0q  wplq  0
imply w  0, a solution we are not interested in (u  0 was neglected from the beginning).
2. λ   0. The boundary condition wp0q  0 implies a 
b, that is, the solution can be written as
? ?
wpxq  ape
λx
e

λx q
?
 2a sinhp
λxq.
?
? is true since
λ P R. Now, if we use the second boundary condition wplq  0 we
This last equality
would get sinhp
λlq  0, or l  0 which is not possible by assumption.
?
3. λ ¡ 0. Since
λ P C, the general solution has the form
? ?
wpxq  ae λix be
λix
? ?
 a sinp λxq b cosp λxq.
Again, by the boundary condition wp0q  0 we get b  0, or
?
wpxq  a sinp λxq.
?
Now, since wplq  0, we have λl  nπ, n P N. That is, there are countable lambdas satisfying the
equation:
nπ 2
λn  l
, n P Z.

This lambdas are known as the eigenvalues of problem (3). The corresponding eigenfunctions are
a
nπ
wpxq  sinp λn xq  sin x .
l
Then we have the particular solutions of the heat equation (1), in one dimension:

nπ
un px, tq  v ptqwpxq  e
l2 t sin x , n P Z.
n2 π 2

l
Since equation (1) is linear, any linear combination of un is also a solution. Then we propose, as a
solution:
8̧
upx, tq  cn un px, tq

n 1
8̧
nπ
 cn e

n2 π 2
t
l2 sin x . (4)

n 1
l

2
Remark 1. Notice that, when t Ñ 8, u Ñ 0; that is, the temperature is tending to zero by the effect of
the zero boundary conditions, as was expected.

Exercise 1. State and prove the Weierstrass M-test.

Exercise 2. The M-test allows us to prove that the series (4) is a solution of the heat equation (1), under
the extra condition: |cn | ¤ M . Indeed,

1. Use the extra hypothesis to prove that u is uniformly convergent in time and space.

2. By the uniform convergence we can derivate, term by term, in time and space once, to get

π2
8̧
nπ
2
n l2π t
ut px, tq 


2 2
c n n e sin x ,
l2 n1 l
8̧
nπ
ux px, tq 
π
cn ne
n2 π 2
l2 t
cos x .
l n 1 l

Repeat the process, and use the extra hypothesis and the M-test to prove the uniform convergence, in
space, of the last series.
Hint: For a t0 ¡ 0, the numerical series °8n1 cnne
n2 π 2
l2
t0
  8.
3. Having the uniform convergence we can derivate again in the x-variable. Conclude then that u P
C 1 pp0, 8q; C 2 p0, lqq and satisfies the heat equation (1).

Going back to the proposed solution (4), if we had the uniform convergence in time, we can take the
limit t Ñ 0 , inside the series to obtain
8̧
nπ
u0 pxq  lim upx, tq  cn sin x .
Ñ0
t

n 1
l

Then integrating both sides of this last equation (if we had uniform convergence) gives
»l 
»l 8̧
nπ 

u0 pxq sin x dx 
jπ jπ
cn sin x sin x dx
0 l 0 n 1 l l
8̧ »l
nπ 

 sin
l
x sin
jπ
l
x dx

n 1 0

 2l cj .
That is, »l
nπ
cn  2
l
u0 pxq sin
l
x dx,
0

which are known as the Fourier coefficients of the function u0 pxq and are well defined for u0 pxq P L1 p0, lq.

Remark 2. Last computations make sense as long as we were working under the uniform convergence
assumption. Then, the natural question now is. What do we need to ask to the function u0 to get uniform
convergence of the series and to validate computations above.

3
Exercise 3. Prove that, for n, m P N,
»l #

nπ
mπ n  m,
x dx 
0,
sin x sin
0 l l l
2
, n  m.

»l #

nπ
mπ n  m,
x dx 
0,
cos x cos
0 l l l
2
, n  m.
»l
nπ
mπ
sin x cos x dx  0.
0 l l
 (
That is, the basis sin nπ l
x , cos nπ
l
x n
is an orthonormal basis on a Hilbert space (L2 p0, lq). We
will discuss this in the next classes.

Exercise 4. Repeat the same arguments presented in this class, to find the solution of the one-dimensional
wave equation: $
'
' utt
uxx  0, in p0, lq  p0, 8q,
'
&
up0, tq  0  upl, tq, on p0, 8q,
'
'
'
upx, 0q  u0 pxq, on p0, lq,
%
ut px, 0q  u1 pxq, on p0, lq.