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http://forum.kerbalspaceprogram.com/index.php?/topic/18736-the-oberth-effect-is-simulated-in-ksp/
Your apoapsis will change the most when you burn at the periapsis and vice versa.
Your rocket engines will always add the same amount of energy to your rocket and your rocket will always have the same amount of energy in it but it changes from kinetic to potential and back while you're orbiting.
Kinetic energy is a function of velocity and mass and potential energy is a function of mass and height.
Your rocket fuel is potential chemical energy and will directly affect kinetic energy.
Now it gets interesting; your kinetic energy is highest at the periapsis and lowest at the apoapsis and since your chemical potential energy is always the same, it has the highest proportional kinetic energy change at your apoapsis and the highest potential energy change at the periapsis.
TL;DR
Do your periapsis change burns at apoapsis.
Do your apoapsis change burns at periapsis.
I would like to highlight one particular part
Your fuel has mass. A lot of it on most rockets. That mass has potential and kinetic energy (accumulated during launch). In Kerbin orbit it has not just the 100t, it has 100t accelerated to 2300m/s at particular altitude. Which is a hell of a supersonic bullet. Think huge railgun.
Now burning that fuel on orbit releases not just the chemical energy stored in fuel molecules (like it would on ground), but also the kinetic energy accumulated in fuel earlier on during previous burns. Which is highest at Pe.
Rest assured you don't get energy for free so it is in line with the conservation of energy. You just use up energy stored earlier on at best possible time.
Now prograde and retrograde burns act more "within" existing orbit (unlike radial, which would try to shift the whole thing aside). They can not impact your current position at all, since all you add is speed or brakes on your existing route there. Due to how gravity works they impact the point on orbit exactly opposite to your position the most. In space you work AROUND some gravity well all the time.
The prograde-retrograde impact on orbital altitude is kind of like
0(start)-10-20-30-40-50-60-70-80-90-100%(opposite)-90-80-70-60-50-40-30-20-10-0(end=start)
The impact size is varrying around the orbit. Except it is not linear considering an orbit is a curve.
Furthermore - KSP space is simplified in terms of gravity. It has separated gravity wells or Sphere Of Influence (SOI). And while all transfers are recalculated automatically passing the borders, it may be useful to understand one more thing.
Consider the eccentricity of an orbit. In Kerbin SOI it can easily have Ap and Pe altitude differ 100 times. 672km LKO Pe (600km being Kerbin radius) vs. 67 200km Ap (above Minmus). Which makes for very cheap burns at Ap and Pe because of that eccentricity. Then imagine that Ap and Pe escaping Kerbin SOI and suddenly the eccentricity is just 1..10 on huge solar scale. Which now reduces the opposite side rising-lowering capacity a lot, since more energy is wasted on rising sides as well, while all you need is target area.
And finally - the quicker you escape high gravity well, the less gravity impacts (reduces) your remaining speed. As gravity is m/s per second, or m/s². The closer to the body you are, the higher the gravity. Having high initial speed at Pe adds not just directly to the final altitude, it also reduces the time you spend in high gravity and thus you get smaller negative m/s for a shorter time. Which makes those ellipses grow so disproportionally and infinite short && infinite powerful impulse burns the best ones. They would be also perfectly on target. Unfortunatelly those are impossible. Getting close is what you are looking for.
The cheapest place to change orbit (like rotate) is at Ap, since you have less kinetic energy (velocity, inertia) to fight. But to get to that high Ap with low G and inertia you have to burn at Pe while your kinetic energy is the highest so you escape G quicker and can transfer more kinetic energy from fuel into ships kinetic energy. It is messy indeed.
In the end that whole rocket science gets back to two simple sentences
Wow thanks! Yeah actually I think I've finally understood the concept. I think what troubled me was the whole notion of as if energy was coming out of nowhere but actually the Oberth effect is more a ... well ... an effect rather than a mechanism.
Think about pushing a swing. Not the same though you get different push for the same applied force at different points along the path of the swing.
What I think is important though is to burn what I call "clean" into the flight path marker and not try and bend the orbit. Let the planets and moons bend your orbit but when you burn your engines let your engines burn purely prograde to invest all of it into the craft.
I never bothered with the oberth effect I just try and fly "clean". That si what they call it the people who fly sail planes ... get that ball in the center ... I just translate that into space and you aim straght then burn to invest 100% of energy into your craft.
Firing at PE will raise AP the most and so escaping a SOI is easier ... but after escaping the SOI "then what?".. what was your escape velocity compared to if you just burned .... and got the hell out of dodge to begin with.....
If all you want to do is escape a SOI then burn at PE it be cheap .... but if you are travelling elsewhere after that then .... I just dont get it ...
It can in some cases make a lot of sense to drop your periapsis to gain that sweet dV saving and it plays a pretty big part in ion drives.
(Yes, I know, I said high TWR, but since ions generally work best when 'spooled' or 'wound up' (making multiple laps around the planet and burning at periapsis) ion craft can make use of this too.
TL;DR: ♥♥♥♥ WILL SAVE YOU FUEL, HOMIE G SKILLET PAN