IEEE Int.

Symposium on Circuits and Systems (ISCAS),Orlando, USA, May/June 1999

SOLUTION OF VECTOR PARTIAL DIFFERENTIAL EQUATIONS BY TRANSFER FUNCTION MODELS R. Rabenstein, L. Trautmann Lehrstuhl f r Nachrichtentechnik I, University of Erlangen-Nuremberg u D-91058 Erlangen, Cauerstr. 7, Germany Email: rabe,traut@nt.e-technik.uni-erlangen.de

ABSTRACT Transfer function models for the description of physical systems have recently been introduced to the eld of multidimensional digital signal processing. They provide an alternative to the conventional representation by partial differential equations (PDE) and are suitable for computer implementation. This paper extends the transfer function approach to vector PDEs. They arise from the physical analysis of multidimensional systems in terms of potential and ux quantities. Expressing the resulting coupled PDEs in vector form facilitates the direct formulation of boundary and interface conditions in their physical context. It is shown how a carefully constructed transformation for the space variable leads to transfer function models for vector PDEs. They are the starting point for the derivation of discrete models by standard methods for one-dimensional systems. The presented functional transformation approach is suitable for a number of technical applications, like electromagnetics, optics, acoustics and heat and mass transfer. 1. INTRODUCTION The conventional tools for the description of time and space dependent physical phenomena are partial differential equations (PDEs). Their derivation usually involves two dependent physical variables: a potential and a ux quantity. The relationship between these quantities can be established from the rst principles of physics. This results in a pair of coupled PDEs. They may be written in a compact form by combining the potential and ux quantities into one vector of unknowns and by arranging the differential operators in matrix notation. This form is called a vector PDE. For the numerical solution of PDEs with Finite-Difference or Finite-Element methods, a scalar form of the PDE is preferred. It results from the system of coupled PDEs by elimination of either potential or ux. The scalar form is more simple than the vector form, since it contains only

one unknown variable and only scalar differential operators. It allows a simple representation of the unkown variable and of the differential operators on a single spatial grid. A Finite-Difference discretization of a vector PDE would require simultaneous operations on and between various grids for the different variables. On the other hand, the numerical integration of PDEs by the wave digital principle [2] relies on the vector form for PDEs. It allows the exploitation of passivity properties of the physical process for the derivation of robust numerical algorithms. Furthermore, since it contains both potential and ux, boundary and interface conditions can be formulated directly in their physical context. Another recently introduced method for the description of multidimensional (MD) physical systems are transfer function models [6]. MD transfer functions are input-output models for physical phenomena with more than one independent variable (e.g. time and space). They allow the effects of initial conditions, boundary conditions, and excitation functions on the resulting output signal to be treated separately. Transfer function models are an excellent starting point for the development of discrete-variable representations of physical systems. They offer the following advantages: suitability for computer implementation by iteration free algorithms, stability in the sense of systems theory, and high numerical accuracy without prohibitively small step sizes [5]. So far, MD transfer function models have only been derived for physical systems described by scalar PDEs. The extension to vector PDEs is shown here. The paper is organized as follows: Section 2 describes the form of a vector PDE with initial and boundary conditions. Section 3 transforms this vector PDE with respect to the time variable. Section 4 constitutes the main part of the paper. It shows the construction of the functional transformation for the space variable. The resulting transfer function model is presented in section 5 and its discretization is discussed in section 6. Section 7 presents a short example.

2. PROBLEM DESCRIPTION 2.1. Initial-Boundary-Value Problem

3. TRANSFORMATION OF THE TIME VARIABLE In the rst step, we apply the Laplace transformation (8) with the frequency variable s and observe the differentiation theorem (9)

t and one space dimension x as independent variables. The potential u(x; t) and the ux i(x; t) are combined into the
vector

We consider an initial-boundary-value problem whith time

y(x; t) =

u(x; t) i(x; t)

(1)

Lfy(x; t)g = Y(x; s) = e?sty(x; t) dt ; 0 LfDty(x; t)g = sY(x; s) ? y(x; 0) :

(8) (9)

The system of coupled PDEs for potential and ux is of the generic form

Dt denotes derivation with respect to time. is a mass or capacitance matrix. is a matrix operator of the form

CDty(x; t) + Ly(x; t) = 0 L

(2)

This removes the time derivatives in (2) and turns the initialboundary value problem (2,4,5) into the boundary value problem (10,11) by introducing the initial value (4) as an additive term into (10).

L = A + BDx: (3) The matrix A contains loss terms and BDx denotes spatial
derivatives. The initial conditions are given by

sCY(x; s) + LY(x; s) fbH Y(xn; s)

= =

Cyi(x)
n(s);

n = 0; 1:

(10) (11)

t = 0: (4) At the endpoints of the interval x0 < x < x1, we set boundary conditions by a suitable combination of potential and ux, expressed by the boundary operator b (H denotes matrix conjugate transpose). H (5) b (xn ; t) = n(t); n = 0; 1:

y(x; 0) = yi(x);

4. TRANSFORMATION OF THE SPACE VARIABLE In the second step, we construct a functional transformation which has similar properties for the space variable as the Laplace transformation has for the time variable: It shall remove the space derivatives described by the differential matrix operator and it shall include the boundary values (5) into the resulting algebraic equation. It is known from scalar PDEs that there is no unique transformation which suits all possible cases. Instead, the transformation kernel has to be adapted to the matrix operator and the boundary value operator b of the specic PDE at hand. We show here how to perform this process. It consists of the exploration of the properties of these operators and the exploitation of these properties for our problem. At rst we introduce the adjoint operator and establish a relationship between and in the form of Green' s formula. Then we consider the eigenvalue problems of both operators. The knowledge of their eigenfunctions enables us to dene the spatial transformation and its inverse. From Green' s formula follows a differentation theorem for the space variable which is similar to (9) for the time variable.

f y

Example: The well-known telegraph equation has voltage u(x; t) and current i(x; t) as potential and ux quantities. For rst order boundary conditions, it is given by (2-5) with

A= g 0 ; B= 0 0 r 1 g L = Dx D x ; f b = r

1 0 1 0

; :

c C= 0 0 l

; (6)
(7)

2.2. Preview The derivation of a transfer function model for vector PDEs follows the same steps as for the scalar case [5, 6]: 1. Apply the Laplace transformation with respect to time. This removes the time derivatives and turns the initialboundary-value problem (2-5) into a boundary value problem for the space variable. 2. Construct a suitable transformation for the space variable which removes the spatial derivatives and turns the boundary value problem into an algebraic equation. 3. To obtain a MD transfer function, solve the algebraic equation for the transform of the solution of the PDE. 4. Derive from this transfer function a discrete model in the form of a MD difference equation which is suitable for computer implementation.

~ L

~ L

4.1. Adjoint matrix operator The properties of the differential operator are most easily shown in conjunction with its adjoint operator

~ (12) L = A H ? B H Dx : ~ L and L are linked by the Lagrange identity ~ VH LY] ? LV]H Y = Dx VH BY]: (13) It holds for any two vectors V and Y and can be shown
using integration by parts.

~ L

4.2. Boundary values The right hand side of (13) can be expressed in terms of the boundary value operator b and the associated operators b, b , and b H H ? H H : (14) = bH b b b The separation of H into b, b , b , and b is not unique. It can be adapted to the kind of boundary condiH corresponds to (11). tions, such that b

~ K(x; ); CK(x; ) = N f ~ f ~ K

(22)

g ~ V BY ~ V g Y ~ V f Y f g V BY f ~ g f g ~ f Y ~ f g g ~

(The asterisk denotes the conjugate complex value and is the Kronecker symbol.) Example: In the example (6,7,15), we obtain for and (x; ) with x0 = 0 and x1 =
2 4

K(x; )
(23)

(r ?

l)(g ?

?(r ?

Example: For the telegraph equation (6) with rst order boundary conditions (7), we obtain H H H H b = b = 1 0 ; b = ? b = 0 1 : (15)

cos( x)

l)

sin( x)

c) +

2 2 4

=0

5;

(r ?

cos( x)

l)

sin( x)

3 5:

(24)

4.5. Spatial transformation

4.3. Scalar product and Green's formula We dene the scalar product between two vectors such that the integration range from x0 to x1 matches the denition range of the PDE in section 2.1 Z x1 (x)H (x) dx : h (x); (x)i = (16) x0

L, we use these results to dene a suitable spatial transforY C ~ K ~ K ~ L C

After investigating the properties of the differential operator

mation and to establish its properties. This spatial transformation is given by a scalar product of (x; s) with the eigenfunctions (x; ) of subject to the weighting matrix . The inclusion of (x; ) and in the denition of the transformation adapts its properties to the problem given by (10,11).

With this scalar product, the Lagrange identity (13) with right hand side (14) turns into the Green' s formula h i x1 H H H (17) ; ? ; = bH b ? b b x0

~ V LY LV Y

~ V g Y g V f Y f ~ Y L ~ L

4.4. Eigenvalue problems

between (x; ); (x) and Y ( ). It is found from Green' s formula (17) for = and by observing that solves the eigenvalue problem (20,21) for ~ = . The result is

~ T fY(x; s)g = Y ( ; s) = K(x; ); CY(x; s) (25) Before applying T fYg to (10,11), we need a relationship ~ K LY ~ V K
Y(

~ K

So far, we have shown the properties of and with respect to arbitrary vectors and . However, for the denition of the spatial transformation, we need the special properties of the eigenfunctions of these operators. Therefore, we set up the following eigenvalue problems for and

~ K(x; ); LY(x; s) =
b(

; s) ? b (

; s)

(26)

with

~ are the eigenvalues of L and L, respectively and ~ ~ (x; ) are the corresponding eigenfunctions. K(x; ) and K Although the eigenvalues and ~ may be different, we ~ write K(x; ) in terms of the eigenvalues of K(x; ).
and

LK(x; fbH K(x; ~~ LK(x; ~bH K(x; f ~

) ) ) )

= CK(x; ) = 0; x = x 0 ; x1 ~ = ~CH K(x; ) = 0; x = x 0 ; x1

~ L

; s) = ~b K(x1 ; gH ~

) 1 (s)?~b K(x0; ) 0 (s)(27) gH ~

(18) (19) (20) (21)

Note that (26) formally agrees with the differentiation theorem of the Laplace transformation (26). The differentiation operator on the left hand side is expressed by the transform of (x) and by a term, which depends on the boundary values. Thus, relation (26) is the key property of the transformation T , since it allows the replacement of the spatial differentiation in (10) by an algebraic expression

sY (

; s) +

Y ( ; s) = yi (

) + b(

; s) : (28)

4.6. Inverse spatial transformation

These eigenvalue problems are a generalization of the SturmLiouville type problems [1, 3]. Their eigenvalues and eigenfuntions have the following properties: The eigenvalues

~ K(x; ) and K(x; ) are biorthogonal functions with respect to the weighting matrix C

~ are discrete. and ~ are related by ~ = .

and

From the biorthogonality of the eigenfunctions and follows the inverse spatial transformation as a series expansion with respect to the eigenfunctions of

~ K

Y(x; s) = T ?1fY ( ; s)g 1 1 X

=
=?1

K L

Y ( ; s)K(x;

):

(29)

1 0.8 0.6

7. EXAMPLE Fig. 1 shows the voltage distribution along an electrical transmission line modelled according to (6,7,15,23,24). The parameters are x0 = 0, x1 = 10km, r = 46:8m /m, g = 0, c = 120pF/m, l = 5:6 H/m. The result displayed has been obtained with a discrete model of (30) and with an inverse transformation (29) truncated to 65 terms. The effects of wave propagation, damping and reection at the boundaries are correctly reproduced in the simulation. The results compare favourably with those obtain by numerical integration according to the MD wave digital principle [4]. 8. CONCLUSION The presented transfer function model for vector partial differential equations (PDEs) constitutes a rather general framework for the description of physics based multidimensional systems. Although presented here in a somewhat restricted form, this method can be generalized further into several directions. It is also applicable to two or three spatial dimensions with a more general form of Green' s formula. Higher order differential equations and space-dependent coefcients are considered with appropriate denitions of the matrix operator and the weighting matrix . Besides initial and boundary values, excitation functions can also be included. This generality makes the functional transformation approach suitable for a number of technical applications, like electromagnetics, optics, acoustics, and heat and mass transfer. Acknowledgement: We would like to thank Peter Steffen for advice, inspiring discussions and encouragement.

u(x,t) [V]

0.4 0.2 0 0.2 0.4 0 8 10

0.1

0.2

0.3

0.4

0.5

t [ms]

x [km]

Figure 1: Voltage distribution along a transmission line 5. TRANSFER FUNCTION MODEL Once an algebraic equation is obtained, the third step is quite straightforward. To represent the PDE (2) by a transfer function model we solve (28) for Y ( ; s)

)yi ( ) + Gb(s; ) b ( ; s) : (30) This model has the terms yi ( ) and b ( ; s) as inputs and the transform of the required solution Y ( ; s) as output.
Y( ; s) = Gi(s;
Each input is multiplied by the transfer functions

Gi(s;

1 ) = Gb(s; ) = s +

(31)

6. DISCRETIZATION In the fourth and last step of section 2.2 we turn the transfer function description of the PDE into a discrete-time and discrete-space model. Since the procedure is analogous to the case of scalar PDEs, a rough sketch is sufcient. With respect to the temporal frequency variable s, the transfer functions in (31) correspond to rst order one-dimensional systems. A discrete time model can thus be obtained by standard analog-to-discrete transformations. Their application to scalar PDEs has been described in [5] and applies in the same fashion to vector PDEs. Space discretization is performed by application of the inversion formula (29) to the output of the discrete time models described above (see [5, Fig. 2]). The summation in (29) is truncated to a reasonable number of terms and evaluated at discrete points xn in the space of interest. In contrast to other methods for the numerical solution of PDEs, the accuracy does not depend on the number and spacing of the spatial gridpoints. This means that the numerical load can be restricted to only those points which are actually of interest. If the solution is required at only one point in space, then it may be computed at this point only with the same accuracy as for a high number of gridpoints.

9. REFERENCES [1] R.V. Churchill. Operational Mathematics. McGraw-Hill, New York, 3. edition, 1972. [2] A. Fettweis. Multidimensional wave-digital principles: From ltering to numerical integration. In Proc. Int. Conf. Acoustics, Speech, and Signal Processing (ICASSP 94), pages VI 173 VI181. IEEE, April 1994. [3] T.W. K rner. Fourier Analysis. Cambridge University Press, o Cambridge, 1988. [4] H. Krau, R. Rabenstein, and M. Gerken. Simulation of wave propagation by multidimensional digital lters. Simulation Practice and Theory, 4:361382, 1996. [5] R. Rabenstein. Discrete simulation models for multidimensional systems based on functional transformations. In J.G. McWhirter and I.K. Proudler, editors, Mathematics in Signal Processing IV. Oxford University Press, 1998. [6] R. Rabenstein. Transfer function models for multidimensional systems with bounded spatial domains. Mathematical and Computer Modelling of Dynamical Systems, 5(1), 1999. In print.