Quasi-Linear PDEs Thinking Geometrically The Method Examples

The Method of Characteristics

Ryan C. Daileda

Trinity University

Partial Differential Equations

January 22, 2015

Daileda Method of Characteristics

Quasi-Linear PDEs Thinking Geometrically The Method Examples

Linear and Quasi-Linear (first order) PDEs

A PDE of the form
∂u ∂u
A(x, y ) + B(x, y ) + C1 (x, y )u = C0 (x, y )
∂x ∂y

is called a (first order) linear PDE (in two variables). It is called

homogeneous if C0 ≡ 0.
More generally, a PDE of the form
∂u ∂u
A(x, y , u) + B(x, y , u) = C (x, y , u)
∂x ∂y

will be called a (first order) quasi-linear PDE (in two variables).

Remark: Every linear PDE is also quasi-linear since we may set

C (x, y , u) = C0 (x, y ) − C1 (x, y )u.

Daileda Method of Characteristics

Quasi-Linear PDEs Thinking Geometrically The Method Examples

Examples
Every PDE we saw last time was linear.
∂u ∂u
1. +v = 0 (the 1-D transport equation) is linear and
∂t ∂x
homogeneous.
∂u ∂u
2. 5 + = x is linear and inhomogeneous.
∂t ∂x
∂u ∂u
3. 2y + (3x 2 − 1) = 0 is linear and homogeneous.
∂x ∂y
∂u ∂u
4. +x = u is linear and homogeneous.
∂x ∂y
Here are some quasi-linear examples.
∂u ∂u
5. (x − y ) + = u 2 is quasi-linear but not linear.
∂x ∂y
∂u ∂u
6. +u = 0 is quasi-linear but not linear.
∂x ∂y
Daileda Method of Characteristics
Quasi-Linear PDEs Thinking Geometrically The Method Examples

Initial data
In addition to the PDE itself we will assume we are given the
following additional information:
A curve γ in the xy -plane on which the values of the solution
u(x, y ) are specified, e.g.
u(x, 0) = x 2 : γ is the x-axis;
u(0, y ) = ye y : γ is the y -axis;
u(x, x 3 − x) = sin x : γ is the graph of y = x 3 − x.
(Optional) The desired domain of the solution, e.g.
{(x, y ) | − ∞ < x < ∞, y > 0},
{(x, y ) | − ∞ < x < y < ∞}.
If one is not given, we seek the largest domain in the xy -plane
possible.
Daileda Method of Characteristics
Quasi-Linear PDEs Thinking Geometrically The Method Examples

A geometric approach

Goal: Develop a technique that will reduce any quasi-linear PDE

∂u ∂u
A(x, y , u) + B(x, y , u) = C (x, y , u) (plus initial data)
∂x ∂y
to a system of ODEs.
Idea: Think geometrically. Identify the solution u(x, y ) with its
graph, which is the surface in xyz-space defined by z = u(x, y ).

The initial data along the curve γ gives us a space curve Γ

that must lie on the graph. We call Γ the initial curve of the
solution.

We will use the PDE to build the remainder of the graph as a

collection of additional space curves that “emanate from” Γ.

Daileda Method of Characteristics

Quasi-Linear PDEs Thinking Geometrically The Method Examples

In Calc. 3, one learns that the normal vector to the surface

z = u(x, y ) is  
∂u ∂u
N= , , −1 .
∂x ∂y

Let F denote the vector field

F = hA(x, y , z), B(x, y , z), C (x, y , z)i

defined by the coefficient functions in the given PDE.

Notice that if u(x, y ) solves the PDE, then on the surface
z = u(x, y ) we have

∂u ∂u
F · N = A(x, y , u) + B(x, y , u) − C (x, y , u) = 0.
∂x ∂y

Daileda Method of Characteristics

Quasi-Linear PDEs Thinking Geometrically The Method Examples

Since
F · N = 0 ⇐⇒ F is perpendicular to N
⇐⇒ F is tangent to the graph z = u(x, y ),

we see that:
The graph of the solution u(x, y ) is made up of integral
curves (stream lines) of the vector field F.

Moral: we can construct the graph of the solution to the PDE by

finding the stream lines of F that pass through the initial curve Γ.

This is equivalent to solving a system of ODEs!

Daileda Method of Characteristics

Quasi-Linear PDEs Thinking Geometrically The Method Examples

The Method of Characteristics

Step 1. Parametrize the initial curve Γ, i.e. write


x = x0 (a),

Γ : y = y0 (a),

z = z0 (a).


Step 2. For each a, find the stream line of F that passes through
Γ(a). That is, solve the system of ODE initial value problems
dx dy dz
= A(x, y , z), = B(x, y , z), = C (x, y , z),
ds ds ds

x(0) = x0 (a), y (0) = y0 (a), z(0) = z0 (a).

These are the characteristic equations of the PDE.
Daileda Method of Characteristics
Quasi-Linear PDEs Thinking Geometrically The Method Examples

The solutions to the system in Step 2 will be in terms of the

parameters a and s:

x = X (a, s), y = Y (a, s), (1)

z = Z (a, s). (2)

This is a parametric expression for the graph of the solution

surface z = u(x, y ) (in terms of the variables a, s).
Step 3. Solve the system (1) for a, s in terms of x, y :

a = Λ(x, y ), s = S(x, y ).

Step 4. Substitute the results of Step 3 into (2) to get the

solution to the PDE:

u(x, y ) = Z (Λ(x, y ), S(x, y )).

Daileda Method of Characteristics

Quasi-Linear PDEs Thinking Geometrically The Method Examples

Example
∂u ∂u
Find the solution to x − 2y = u 2 that satisfies u(x, x) = x 3 .
∂x ∂y

This is a quasi-linear PDE with

A(x, y , u) = x, B(x, y , u) = − 2y , C (x, y , u) = u 2 ,

so we may apply the method of characteristics.

The initial curve Γ can be parametrized as

x = a, y = a, z = a3 .

Hence the characteristic ODEs are

dx dy dz
= x, = −2y , = z 2,
ds ds ds

x(0) = a, y (0) = a, z(0) = a3 .

Daileda Method of Characteristics

Quasi-Linear PDEs Thinking Geometrically The Method Examples

We find immediately that

x(s) = ae s and y (s) = ae −2s . (3)

The equation in z is separable, with solution

a3
z(s) = . (4)
1 − sa3

We now need to solve (3) for a and s. We have x/a = e s so that

y = a(e s )−2 = a(x/a)−2 = a3 /x 2 ⇒ a3 = x 2 y

⇒ a = x 2/3 y 1/3 ,
 
e s = x/a = x 1/3 y −1/3 = (x/y )1/3 ⇒ s = ln (x/y )1/3
1
= ln(x/y ).
3
Daileda Method of Characteristics
Quasi-Linear PDEs Thinking Geometrically The Method Examples

Substituting these into (4) yields the solution to the PDE:

x 2y
u(x, y ) = .
1 − 13 x 2 y ln(x/y )

Remark. There are two main difficulties that can arise when
applying this method:
Solving the system of characteristic ODEs may be difficult (or
impossible), especially if there is coupling between the
equations.
Passing from the parametric to the explicit form of the
solution (i.e. solving for a and s in terms of x and y ) may be
difficult (or impossible), especially is the expressions for x and
y are complicated.

Daileda Method of Characteristics

Quasi-Linear PDEs Thinking Geometrically The Method Examples

Example
∂u ∂u
Find the solution to (x − y ) + = x that satisfies
∂x ∂y
u(x, 0) = f (x).

This PDE is linear, so quasi-linear. The initial curve is given by

x = a, y = 0, z = f (a),

and so the characteristic ODEs are

dx dy dz
= x − y, = 1, = x,
ds ds ds

x(0) = a, y (0) = 0, z(0) = f (a).

Daileda Method of Characteristics

Quasi-Linear PDEs Thinking Geometrically The Method Examples

We see that y (s) = s, which means that the equation for x

becomes
dx dx
= x − s or − x = −s.
ds ds
This is a linear ODE. Multiplying by the integrating factor e −s ,
anti-differentiating, and using the initial condition x(0) = a yields

x(s) = 1 + s + (a − 1)e s .

This means that z satisfies

dz s2
= 1 + s + (a − 1)e s ⇒ z(s) = s + + (a − 1)(e s − 1) + f (a),
ds 2
since z(0) = f (a).

Daileda Method of Characteristics

Quasi-Linear PDEs Thinking Geometrically The Method Examples

Finally, we solve for a and s. We already have s = y so that

x = 1 + s + (a − 1)e s = 1 + y + (a − 1)e y
⇒ a = 1 + (x − y − 1)e −y .

Substituting these into the expression for z we obtain the solution

to the PDE:
y2

u(x, y ) = y + + (x − y − 1)e −y (e y − 1) + f 1 + (x − y − 1)e −y
2
y2

=y+ + (x − y − 1)(1 − e −y ) + f 1 + (x − y − 1)e −y .
2

Remark. When the PDE in question is linear:

The characteristic ODEs for x and y will never involve z.
The characteristic equation for z will always be a linear ODE.

Daileda Method of Characteristics

Quasi-Linear PDEs Thinking Geometrically The Method Examples

Example
∂u ∂u
Find the solution to y −x = e u that satisfies
∂x ∂y
u(0, y ) = y 2 − 1.

This is a quasi-linear PDE with initial curve

x = 0, y = a, z = a2 − 1,

and characteristic ODEs

dx dy dz
= y, = −x, = ez ,
ds ds ds

x(0) = 0, y (0) = a, z(0) = a2 − 1.

Daileda Method of Characteristics

Quasi-Linear PDEs Thinking Geometrically The Method Examples

To decouple the first two equations, we differentiate again:

dx d 2x dy d 2x
=y ⇒ = = −x ⇒ + x = 0.
ds ds 2 ds ds 2
This is a second order linear ODE with characteristic polynomial
r 2 + 1 = 0, whose roots are r = ±i . Consequently

x(s) = c1 cos s + c2 sin s ⇒ y (s) = x ′ (s) = −c1 sin s + c2 cos s.

From x(0) = 0 and y (0) = a we obtain c1 = 0 and c2 = a, so that

finally
x(s) = a sin s, y (s) = a cos s.
Note that we immediately obtain
x
x 2 + y 2 = a2 and = tan s.
y

Daileda Method of Characteristics

Quasi-Linear PDEs Thinking Geometrically The Method Examples

The ODE for z is separable and solving it gives

 2

z = − ln e 1−a − s .

Using the results of the previous slide, we find that the solution to
the original PDE is
  
1−x 2 −y 2 x
u(x, y ) = − ln e − arctan .
y

Remark. We can think of the solutions to the first two

characteristic ODEs

x = X (a, s), y = Y (a, s)

as a change of coordinates. In the preceding example, we see that

we have (essentially) switched to polar coordinates.

Daileda Method of Characteristics

Quasi-Linear PDEs Thinking Geometrically The Method Examples

Example
∂u ∂u
Find the solution to (u + 2y ) +u = 0 that satisfies
∂x ∂y
1
u(x, 1) = .
x
The initial curve can be parametrized by
1
x = a, y = 1, z = ,
a
so that the characteristic ODEs are
dx dy dz
= z + 2y , = z, = 0,
ds ds ds

x(0) = a, y (0) = 1, z(0) = 1/a.

Daileda Method of Characteristics

Quasi-Linear PDEs Thinking Geometrically The Method Examples

We solve for z first, obtaining z(s) = 1/a. The ODE for y then
becomes
dy 1

=z=   s
ds a ⇒ y (s) = + 1.
 a
y (0) = 1


Finally, we substitute these into the ODE for x:

dx 1 2s

= z + 2y = + +2   s s2
ds a a ⇒ x(s) = + + 2s + a.
 a a
x(0) = a


To get the solution to the PDE, we need to express a in terms of x

and y .

Daileda Method of Characteristics

Quasi-Linear PDEs Thinking Geometrically The Method Examples

From y = s/a + 1 we have s = a(y − 1). We plug this into the

expression for x:

s s2
x= + + 2s + a
a a
a(y − 1) (a(y − 1))2
= + + 2a(y − 1) + a
a a
= y − 1 + a((y − 1)2 + 2(y − 1) + 1)
= y − 1 + ay 2 .

x −y +1
So a = and (since z = 1/a) the solution to the PDE is
y2

y2
u(x, y ) = .
x −y +1

Daileda Method of Characteristics