LECTURE NOTES ON

MATHEMATICAL METHODS

Mihir Sen
Joseph M. Powers

Department of Aerospace and Mechanical Engineering

University of Notre Dame
Notre Dame, Indiana 46556-5637
USA

updated
28 March 2011, 10:32am
2

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

Contents

1 Multi-variable calculus 13
1.1 Implicit functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
1.2 Functional dependence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
1.3 Coordinate transformations . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
1.3.1 Jacobians and metric tensors . . . . . . . . . . . . . . . . . . . . . . . 21
1.3.2 Covariance and contravariance . . . . . . . . . . . . . . . . . . . . . . 28
1.4 Maxima and minima . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
1.4.1 Derivatives of integral expressions . . . . . . . . . . . . . . . . . . . . 37
1.4.2 Calculus of variations . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
1.5 Lagrange multipliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46

2 First-order ordinary differential equations 49

2.1 Separation of variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
2.2 Homogeneous equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
2.3 Exact equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
2.4 Integrating factors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
2.5 Bernoulli equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
2.6 Riccati equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
2.7 Reduction of order . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
2.7.1 y absent . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
2.7.2 x absent . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
2.8 Uniqueness and singular solutions . . . . . . . . . . . . . . . . . . . . . . . . 62
2.9 Clairaut equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67

3 Linear ordinary differential equations 69

3.1 Linearity and linear independence . . . . . . . . . . . . . . . . . . . . . . . . 69
3.2 Complementary functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
3.2.1 Equations with constant coefficients . . . . . . . . . . . . . . . . . . . 71
3.2.1.1 Arbitrary order . . . . . . . . . . . . . . . . . . . . . . . . . 71
3.2.1.2 First order . . . . . . . . . . . . . . . . . . . . . . . . . . . 72

3
4 CONTENTS

3.2.1.3 Second order . . . . . . . . . . . . . . . . . . . . . . . . . . 73

3.2.2 Equations with variable coefficients . . . . . . . . . . . . . . . . . . . 74
3.2.2.1 One solution to find another . . . . . . . . . . . . . . . . . . 74
3.2.2.2 Euler equation . . . . . . . . . . . . . . . . . . . . . . . . . 75
3.3 Particular solutions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77
3.3.1 Method of undetermined coefficients . . . . . . . . . . . . . . . . . . 77
3.3.2 Variation of parameters . . . . . . . . . . . . . . . . . . . . . . . . . 79
3.3.3 Green’s functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81
3.3.4 Operator D . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88

4 Series solution methods 91

4.1 Power series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91
4.1.1 First-order equation . . . . . . . . . . . . . . . . . . . . . . . . . . . 92
4.1.2 Second-order equation . . . . . . . . . . . . . . . . . . . . . . . . . . 94
4.1.2.1 Ordinary point . . . . . . . . . . . . . . . . . . . . . . . . . 95
4.1.2.2 Regular singular point . . . . . . . . . . . . . . . . . . . . . 96
4.1.2.3 Irregular singular point . . . . . . . . . . . . . . . . . . . . 100
4.1.3 Higher order equations . . . . . . . . . . . . . . . . . . . . . . . . . . 100
4.2 Perturbation methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102
4.2.1 Algebraic and transcendental equations . . . . . . . . . . . . . . . . . 102
4.2.2 Regular perturbations . . . . . . . . . . . . . . . . . . . . . . . . . . 106
4.2.3 Strained coordinates . . . . . . . . . . . . . . . . . . . . . . . . . . . 109
4.2.4 Multiple scales . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 116
4.2.5 Boundary layers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 118
4.2.6 WKB method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 123
4.2.7 Solutions of the type eS(x) . . . . . . . . . . . . . . . . . . . . . . . . 127
4.2.8 Repeated substitution . . . . . . . . . . . . . . . . . . . . . . . . . . 128
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 128

5 Orthogonal functions and Fourier series 137

5.1 Sturm-Liouville equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . 137
5.1.1 Linear oscillator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 139
5.1.2 Legendre equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . 141
5.1.3 Chebyshev equation . . . . . . . . . . . . . . . . . . . . . . . . . . . 144
5.1.4 Hermite equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 146
5.1.5 Laguerre equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 148
5.1.6 Bessel equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 149
5.1.6.1 First and second kind . . . . . . . . . . . . . . . . . . . . . 150
5.1.6.2 Third kind . . . . . . . . . . . . . . . . . . . . . . . . . . . 153
5.1.6.3 Modified Bessel functions . . . . . . . . . . . . . . . . . . . 153
5.1.6.4 Ber and bei functions . . . . . . . . . . . . . . . . . . . . . 153

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

CONTENTS 5

5.2 Fourier series representation of arbitrary functions . . . . . . . . . . . . . . . 153

Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 160

6 Vectors and tensors 161

6.1 Cartesian index notation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 161
6.2 Cartesian tensors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163
6.2.1 Direction cosines . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163
6.2.1.1 Scalars . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 166
6.2.1.2 Vectors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 166
6.2.1.3 Tensors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 166
6.2.2 Matrix representation . . . . . . . . . . . . . . . . . . . . . . . . . . . 168
6.2.3 Transpose of a tensor, symmetric and anti-symmetric tensors . . . . . 169
6.2.4 Dual vector of a tensor . . . . . . . . . . . . . . . . . . . . . . . . . . 170
6.2.5 Principal axes and tensor invariants . . . . . . . . . . . . . . . . . . . 171
6.3 Algebra of vectors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 175
6.3.1 Definition and properties . . . . . . . . . . . . . . . . . . . . . . . . . 175
6.3.2 Scalar product (dot product, inner product) . . . . . . . . . . . . . . 176
6.3.3 Cross product . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 176
6.3.4 Scalar triple product . . . . . . . . . . . . . . . . . . . . . . . . . . . 177
6.3.5 Identities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 177
6.4 Calculus of vectors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 177
6.4.1 Vector function of single scalar variable . . . . . . . . . . . . . . . . . 177
6.4.2 Differential geometry of curves . . . . . . . . . . . . . . . . . . . . . . 179
6.4.2.1 Curves on a plane . . . . . . . . . . . . . . . . . . . . . . . 180
6.4.2.2 Curves in three-dimensional space . . . . . . . . . . . . . . . 182
6.5 Line and surface integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . . 185
6.5.1 Line integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 185
6.5.2 Surface integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 187
6.6 Differential operators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 188
6.6.1 Gradient of a scalar . . . . . . . . . . . . . . . . . . . . . . . . . . . . 189
6.6.2 Divergence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 191
6.6.2.1 Vectors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 191
6.6.2.2 Tensors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 192
6.6.3 Curl of a vector . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 192
6.6.4 Laplacian . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 193
6.6.4.1 Scalar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 193
6.6.4.2 Vector . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 193
6.6.5 Identities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 193
6.7 Special theorems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 194
6.7.1 Path independence . . . . . . . . . . . . . . . . . . . . . . . . . . . . 194
6.7.2 Green’s theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 195
6.7.3 Divergence theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . 196

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

6 CONTENTS

6.7.4 Green’s identities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 198

6.7.5 Stokes’ theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 199
6.7.6 Leibniz’s rule . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 200
6.8 Orthogonal curvilinear coordinates . . . . . . . . . . . . . . . . . . . . . . . 201
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 202

7 Linear analysis 207

7.1 Sets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 207
7.2 Differentiation and integration . . . . . . . . . . . . . . . . . . . . . . . . . . 208
7.2.1 Fréchet derivative . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 208
7.2.2 Riemann integral . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 209
7.2.3 Lebesgue integral . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 210
7.3 Vector spaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 211
7.3.1 Normed spaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 214
7.3.2 Inner product spaces . . . . . . . . . . . . . . . . . . . . . . . . . . . 223
7.3.2.1 Hilbert space . . . . . . . . . . . . . . . . . . . . . . . . . . 224
7.3.2.2 Non-commutation of the inner product . . . . . . . . . . . . 225
7.3.2.3 Minkowski space . . . . . . . . . . . . . . . . . . . . . . . . 227
7.3.2.4 Orthogonality . . . . . . . . . . . . . . . . . . . . . . . . . . 231
7.3.2.5 Gram-Schmidt procedure . . . . . . . . . . . . . . . . . . . 232
7.3.2.6 Representation of a vector . . . . . . . . . . . . . . . . . . . 233
7.3.2.7 Parseval’s equation, convergence, and completeness . . . . . 241
7.3.3 Reciprocal bases . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 242
7.4 Operators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 246
7.4.1 Linear operators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 246
7.4.2 Adjoint operators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 248
7.4.3 Inverse operators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 252
7.4.4 Eigenvalues and eigenvectors . . . . . . . . . . . . . . . . . . . . . . . 255
7.5 Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 266
7.6 Method of weighted residuals . . . . . . . . . . . . . . . . . . . . . . . . . . 271
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 280

8 Linear algebra 287

8.1 Determinants and rank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 288
8.2 Matrix algebra . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 288
8.2.1 Column, row, left and right null spaces . . . . . . . . . . . . . . . . . 289
8.2.2 Matrix multiplication . . . . . . . . . . . . . . . . . . . . . . . . . . . 291
8.2.3 Definitions and properties . . . . . . . . . . . . . . . . . . . . . . . . 293
8.2.3.1 Diagonal matrices . . . . . . . . . . . . . . . . . . . . . . . 293
8.2.3.2 Inverse . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 295
8.2.3.3 Similar matrices . . . . . . . . . . . . . . . . . . . . . . . . 296
8.2.4 Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 296

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

CONTENTS 7

8.2.4.1 Overconstrained systems . . . . . . . . . . . . . . . . . . . . 296

8.2.4.2 Underconstrained systems . . . . . . . . . . . . . . . . . . . 299
8.2.4.3 Simultaneously over- and underconstrained systems . . . . . 301
8.2.4.4 Square systems . . . . . . . . . . . . . . . . . . . . . . . . . 302
8.2.5 Eigenvalues and eigenvectors . . . . . . . . . . . . . . . . . . . . . . . 304
8.2.6 Complex matrices . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 307
8.3 Orthogonal and unitary matrices . . . . . . . . . . . . . . . . . . . . . . . . 310
8.3.1 Orthogonal matrices . . . . . . . . . . . . . . . . . . . . . . . . . . . 310
8.3.2 Unitary matrices . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 311
8.4 Discrete Fourier Transforms . . . . . . . . . . . . . . . . . . . . . . . . . . . 312
8.5 Matrix decompositions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 319
8.5.1 L · D · U decomposition . . . . . . . . . . . . . . . . . . . . . . . . . 319
8.5.2 Row echelon form . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 321
8.5.3 Q · R decomposition . . . . . . . . . . . . . . . . . . . . . . . . . . . 325
8.5.4 Diagonalization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 326
8.5.5 Jordan canonical form . . . . . . . . . . . . . . . . . . . . . . . . . . 332
8.5.6 Schur decomposition . . . . . . . . . . . . . . . . . . . . . . . . . . . 334
8.5.7 Singular value decomposition . . . . . . . . . . . . . . . . . . . . . . 334
8.5.8 Hessenberg form . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 337
8.6 Projection matrix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 337
8.7 Method of least squares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 338
8.7.1 Unweighted least squares . . . . . . . . . . . . . . . . . . . . . . . . . 339
8.7.2 Weighted least squares . . . . . . . . . . . . . . . . . . . . . . . . . . 340
8.8 Matrix exponential . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 341
8.9 Quadratic form . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 343
8.10 Moore-Penrose inverse . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 346
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 349

9 Dynamical systems 353

9.1 Paradigm problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 353
9.1.1 Autonomous example . . . . . . . . . . . . . . . . . . . . . . . . . . . 354
9.1.2 Non-autonomous example . . . . . . . . . . . . . . . . . . . . . . . . 357
9.2 General theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 358
9.3 Iterated maps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 361
9.4 High order scalar differential equations . . . . . . . . . . . . . . . . . . . . . 364
9.5 Linear systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 366
9.5.1 Homogeneous equations with constant A . . . . . . . . . . . . . . . . 366
9.5.1.1 n eigenvectors . . . . . . . . . . . . . . . . . . . . . . . . . . 367
9.5.1.2 < n eigenvectors . . . . . . . . . . . . . . . . . . . . . . . . 368
9.5.1.3 Summary of method . . . . . . . . . . . . . . . . . . . . . . 369
9.5.1.4 Alternative method . . . . . . . . . . . . . . . . . . . . . . . 369
9.5.1.5 Fundamental matrix . . . . . . . . . . . . . . . . . . . . . . 372

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8 CONTENTS

9.5.2 Inhomogeneous equations . . . . . . . . . . . . . . . . . . . . . . . . 373

9.5.2.1 Undetermined coefficients . . . . . . . . . . . . . . . . . . . 376
9.5.2.2 Variation of parameters . . . . . . . . . . . . . . . . . . . . 376
9.6 Nonlinear equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 377
9.6.1 Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 377
9.6.2 Linear stability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 377
9.6.3 Lyapunov functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 379
9.6.4 Hamiltonian systems . . . . . . . . . . . . . . . . . . . . . . . . . . . 382
9.7 Fixed points at infinity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 385
9.7.1 Poincaré sphere . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 385
9.7.2 Projective space . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 388
9.8 Fractals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 390
9.8.1 Cantor set . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 391
9.8.2 Koch curve . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 391
9.8.3 Menger sponge . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 392
9.8.4 Weierstrass function . . . . . . . . . . . . . . . . . . . . . . . . . . . 393
9.8.5 Mandelbrot and Julia sets . . . . . . . . . . . . . . . . . . . . . . . . 393
9.9 Bifurcations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 394
9.9.1 Pitchfork bifurcation . . . . . . . . . . . . . . . . . . . . . . . . . . . 395
9.9.2 Transcritical bifurcation . . . . . . . . . . . . . . . . . . . . . . . . . 397
9.9.3 Saddle-node bifurcation . . . . . . . . . . . . . . . . . . . . . . . . . 398
9.9.4 Hopf bifurcation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 399
9.10 Lorenz equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 400
9.10.1 Linear stability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 400
9.10.2 Center manifold projection . . . . . . . . . . . . . . . . . . . . . . . . 403
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 407

10 Appendix 415
10.1 Trigonometric relations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 415
10.2 Routh-Hurwitz criterion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 416
10.3 Infinite series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 417
10.4 Asymptotic expansions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 418
10.5 Special functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 418
10.5.1 Gamma function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 418
10.5.2 Beta function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 419
10.5.3 Riemann zeta function . . . . . . . . . . . . . . . . . . . . . . . . . . 419
10.5.4 Error function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 419
10.5.5 Fresnel integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 420
10.5.6 Sine- and cosine-integral functions . . . . . . . . . . . . . . . . . . . . 420
10.5.7 Elliptic integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 421
10.5.8 Gauss’s hypergeometric function . . . . . . . . . . . . . . . . . . . . . 422
10.5.9 δ distribution and Heaviside function . . . . . . . . . . . . . . . . . . 422

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

CONTENTS 9

10.6 Chain rule . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 423

10.7 Complex numbers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 424
10.7.1 Euler’s formula . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 424
10.7.2 Polar and Cartesian representations . . . . . . . . . . . . . . . . . . . 425
10.7.3 Cauchy-Riemann equations . . . . . . . . . . . . . . . . . . . . . . . 426
Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 428

Bibliography 429

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

10 CONTENTS

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

Preface

These are lecture notes for AME 60611 Mathematical Methods I, the first of a pair of courses
on applied mathematics taught at the Department of Aerospace and Mechanical Engineering
of the University of Notre Dame. Until Fall 2005, this class was numbered as AME 561. Most
of the students in this course are beginning graduate students in engineering coming from a
wide variety of backgrounds. The objective of the course is to provide a survey of a variety
of topics in applied mathematics, including multidimensional calculus, ordinary differential
equations, perturbation methods, vectors and tensors, linear analysis, and linear algebra, and
dynamic systems. The companion course, AME 60612, covers complex variables, integral
transforms, and partial differential equations.
These notes emphasize method and technique over rigor and completeness; the student
should call on textbooks and other reference materials. It should also be remembered that
practice is essential to the learning process; the student would do well to apply the techniques
presented here by working as many problems as possible.
The notes, along with much information on the course itself, can be found on the world
wide web at http://www.nd.edu/∼powers/ame.60611. At this stage, anyone is free to
duplicate the notes on their own printers.
These notes have appeared in various forms for the past few years; minor changes and
additions have been made and will continue to be made. Thanks especially to Prof. Bill
Goodwine and his Fall 2006 class who identified several small errors. We would be happy to
hear from you about further errors or suggestions for improvement.

Mihir Sen
[email protected]
http://www.nd.edu/∼msen
Joseph M. Powers
[email protected]
http://www.nd.edu/∼powers

Notre Dame, Indiana; USA

CC BY:
$
= 28 March 2011
\

The content of this book is licensed under Creative Commons Attribution-Noncommercial-No Derivative Works 3.0.

11
12 CONTENTS

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

Chapter 1

Multi-variable calculus

see Kaplan, Chapter 2: 2.1-2.22, Chapter 3: 3.9,

1.1 Implicit functions

We can think of a relation such as f (x1 , x2 , . . . , xn , y) = 0, also written as f (xi , y) = 0, in
some region as an implicit function of y with respect to the other variables. We cannot have
∂f /∂y = 0, because then f would not depend on y in this region. In principle, we can write

y = y(x1 , x2 , . . . , xn ), or y = y(xi ), (1.1)

if ∂f /∂y 6= 0.
The derivative ∂y/∂xi can be determined from f = 0 without explicitly solving for y.
First, from the chain rule, we have
∂f ∂f ∂f ∂f ∂f
df = dx1 + dx2 + . . . + dxi + . . . + dxn + dy = 0. (1.2)
∂x1 ∂x2 ∂xi ∂xn ∂y
Differentiating with respect to xi while holding all the other xj , j 6= i constant, we get
∂f ∂f ∂y
+ = 0, (1.3)
∂xi ∂y ∂xi
so that
∂f
∂y
= − ∂x
∂f
i
, (1.4)
∂xi ∂y

which can be found if ∂f /∂y 6= 0. That is to say, y can be considered a function of xi if

∂f /∂y 6= 0.
Let us now consider the equations

f (x, y, u, v) = 0, (1.5)
g(x, y, u, v) = 0. (1.6)

13
14 CHAPTER 1. MULTI-VARIABLE CALCULUS

Under certain circumstances, we can unravel these equations (either algebraically or numer-
ically) to form u = u(x, y), v = v(x, y). The conditions for the existence of such a functional
dependency can be found by differentiation of the original equations, for example:
∂f ∂f ∂f ∂f
df = dx + dy + du + dv = 0. (1.7)
∂x ∂y ∂u ∂v
Holding y constant and dividing by dx we get
∂f ∂f ∂u ∂f ∂v
+ + = 0. (1.8)
∂x ∂u ∂x ∂v ∂x
In the same manner, we get
∂g ∂g ∂u ∂g ∂v
+ + = 0, (1.9)
∂x ∂u ∂x ∂v ∂x
∂f ∂f ∂u ∂f ∂v
+ + = 0, (1.10)
∂y ∂u ∂y ∂v ∂y
∂g ∂g ∂u ∂g ∂v
+ + = 0. (1.11)
∂y ∂u ∂y ∂v ∂y

Equations (1.8,1.9) can be solved for ∂u/∂x and ∂v/∂x, and Eqs. (1.10,1.11) can be solved
for ∂u/∂y and ∂v/∂y by using Cramer’s1 rule. To solve for ∂u/∂x and ∂v/∂x, we first write
Eqs. (1.8,1.9) in matrix form:

 ∂f ∂f   ∂u   
∂u ∂v ∂x
− ∂f
∂x
∂g ∂g ∂v = ∂g . (1.12)
∂u ∂v ∂x − ∂x

Thus, from Cramer’s rule we have

 ∂f ∂f   ∂f ∂f 

−   −
 ∂x ∂g
∂v 
∂g ∂(f,g)  ∂u ∂x  ∂(f,g)
∂u −  ∂(x,v) ∂v  ∂g − ∂g  ∂(u,x)
=  ∂f∂x ∂f∂v ≡ − ∂(f,g) , = ∂u∂f ∂f∂x ≡ − ∂(f,g) . (1.13)
∂x  ∂u ∂v 
∂x  ∂u ∂v 
∂(u,v) ∂(u,v)
 ∂g ∂g   ∂g ∂g 
∂u ∂v ∂u ∂v

In a similar fashion, we can form expressions for ∂u/∂y and ∂v/∂y:

 ∂f ∂f   ∂f 
 − ∂y ∂v 
  ∂u − ∂f∂y 

 ∂g ∂g  ∂(f,g)  ∂g ∂g  ∂(f,g)
∂u − ∂v  − ∂y
∂(y,v) ∂(u,y)
=  ∂f∂y ∂v
∂f  ≡ − ∂(f,g) , ∂u
=  ∂f ∂f  ≡ − ∂(f,g) . (1.14)
∂y  ∂u ∂v  ∂y  ∂u ∂v 
∂(u,v) ∂(u,v)
 ∂g ∂g   ∂g ∂g 
∂u ∂v ∂u ∂v
1
Gabriel Cramer, 1704-1752, well-traveled Swiss-born mathematician who did enunciate his well known
rule, but was not the first to do so.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

1.1. IMPLICIT FUNCTIONS 15

If the Jacobian2 determinant, defined below, is non-zero, the derivatives exist, and we
indeed can form u(x, y) and v(x, y).
 ∂f ∂f 
∂(f, g)  ∂u 
 6 0.
=  ∂g ∂v
∂g  = (1.15)
∂(u, v) ∂u ∂v

This is the condition for the implicit to explicit function conversion. Similar conditions hold
for multiple implicit functions fi (x1 , . . . , xn , y1 , . . . , ym ) = 0, i = 1, . . . , m. The derivatives
∂fi /∂xj , i = 1, . . . , m, j = 1, . . . , n exist in some region if the determinant of the matrix
∂fi /∂yj 6= 0 (i, j = 1, . . . , m) in this region.

Example 1.1
If
x + y + u6 + u + v = 0, (1.16)
xy + uv = 1. (1.17)
Find ∂u/∂x.
Note that we have four unknowns in two equations. In principle we could solve for u(x, y) and
v(x, y) and then determine all partial derivatives, such as the one desired. In practice this is not always
possible; for example, there is no general solution to sixth order equations such as we have here.
The two equations are rewritten as

f (x, y, u, v) = x + y + u6 + u + v = 0, (1.18)
g(x, y, u, v) = xy + uv − 1 = 0. (1.19)
Using the formula developed above to solve for the desired derivative, we get
 ∂f ∂f 
− 
 ∂x ∂g
∂v 
∂g 
∂u  −
=  ∂f∂x ∂f∂v . (1.20)
∂x  ∂u ∂v 
 ∂g ∂g 
∂u ∂v
Substituting, we get
 
 −1 1 
 
∂u  −y u  y−u
=  5  =
5 + 1) − v
. (1.21)
∂x  6u + 1 1 
 u(6u
 v u
Note when
v = 6u6 + u, (1.22)
that the relevant Jacobian is zero; at such points we can determine neither ∂u/∂x nor ∂u/∂y; thus we
cannot form u(x, y).
At points where the relevant Jacobian ∂(f, g)/∂(u, v) 6= 0, (which includes nearly all of the (x, y)
plane) given a local value of (x, y), we can use algebra to find a corresponding u and v, which may be
multivalued, and use the formula developed to find the local value of the partial derivative.
2
Carl Gustav Jacob Jacobi, 1804-1851, German/Prussian mathematician who used these determinants,
which were first studied by Cauchy, in his work on partial differential equations.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

16 CHAPTER 1. MULTI-VARIABLE CALCULUS

1.2 Functional dependence

Let u = u(x, y) and v = v(x, y). If we can write u = g(v) or v = h(u), then u and v are said
to be functionally dependent. If functional dependence between u and v exists, then we can
consider f (u, v) = 0. So,

∂f ∂u ∂f ∂v
+ = 0, (1.23)
∂u ∂x ∂v ∂x
∂f ∂u ∂f ∂v
+ = 0, (1.24)
∂u ∂y ∂v ∂y
 ∂u ∂v   ∂f   
∂x ∂x ∂u 0
∂u ∂v ∂f = . (1.25)
∂y ∂y ∂v
0

Since the right hand side is zero, and we desire a non-trivial solution, the determinant of the
coefficient matrix, must be zero for functional dependency, i.e.
 ∂u ∂v 
 
∂x
 ∂u ∂x  = 0. (1.26)
 ∂v 
∂y ∂y

Note, since det A = det AT , that this is equivalent to

 ∂u ∂u 
 ∂x ∂y  ∂(u, v)
 ∂v ∂v  =
  ∂(x, y) = 0. (1.27)
∂x ∂y

That is the Jacobian must be zero.

Example 1.2
Determine if

u = y + z, (1.28)
v = x + 2z 2 , (1.29)
w = x − 4yz − 2y 2 , (1.30)

are functionally dependent.

The determinant of the resulting coefficient matrix, by extension to three functions of three vari-
ables, is
   ∂u ∂v ∂w 
 ∂u ∂u ∂u   
 ∂x ∂y ∂z  ∂x ∂x ∂x 
∂(u, v, w)  ∂v ∂v ∂v   ∂u ∂v ∂w 
=  ∂x ∂y ∂z  =  ∂y ∂y ∂y  ,
 (1.31)
∂(x, y, z)  ∂w ∂w ∂w   ∂u ∂v ∂w 
 ∂x ∂y ∂z  ∂z ∂z ∂z

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

1.2. FUNCTIONAL DEPENDENCE 17

 
 0 1 1 
 
=  1 0 −4(y + z) ,
 (1.32)
 1 4z −4y 
= (−1)(−4y − (−4)(y + z)) + (1)(4z), (1.33)
= 4y − 4y − 4z + 4z, (1.34)
= 0. (1.35)

So, u, v, w are functionally dependent. In fact w = v − 2u2 .

Example 1.3
Let

x+y+z = 0, (1.36)
x + y + z 2 + 2xz
2 2
= 1. (1.37)

Can x and y be considered as functions of z?

If x = x(z) and y = y(z), then x./dz and y./dz must exist. If we take

f (x, y, z) = x + y + z = 0, (1.38)
g(x, y, z) = x2 + y 2 + z 2 + 2xz − 1 = 0 (1.39)
∂f ∂f ∂f
df = dz + dx + dy = 0, (1.40)
∂z ∂x ∂y
∂g ∂g ∂g
dg = dz + dx + dy = 0, (1.41)
∂z ∂x ∂y
∂f ∂f dx ∂f dy
+ + = 0, (1.42)
∂z ∂x dz ∂y dz
∂g ∂g dx ∂g dy
+ + = 0, (1.43)
∂z ∂x dz ∂y dz
 ∂f ∂f   dx   ∂f 
∂x ∂y dz − ∂z
∂g ∂g dy = ∂g , (1.44)
∂x ∂y dz − ∂z
T
then the solution matrix (dx/dz, dy/dz) can be obtained by Cramer’s rule:
 ∂f ∂f   
 − ∂z ∂y   −1 1 
 ∂g ∂g  
dx −   −(2z + 2x) 2y  −2y + 2z + 2x
=  ∂f∂z ∂f∂y =   = = −1, (1.45)
dz  ∂x ∂y   1 1 
 2y − 2x − 2z
 ∂g ∂g   2x + 2z 2y 
 
∂x
 ∂f ∂y ∂f   

 ∂x − ∂z  
 1 −1 

∂g ∂g 
dy  −  2x + 2z −(2z + 2x)  0
= ∂x ∂f
∂z
∂f  =   = . (1.46)
dz  ∂x ∂y  
 1 1 
 2y − 2x − 2z
 ∂g ∂g   2x + 2z 2y 
 
∂x ∂y

Note here that in the expression for dx/dz that the numerator and denominator cancel; there is no
special condition defined by the Jacobian determinant of the denominator being zero. In the second,
dy/dz = 0 if y − x − z 6= 0, in which case this formula cannot give us the derivative.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

18 CHAPTER 1. MULTI-VARIABLE CALCULUS

2 -1 x
0
1
1
y
0
1

-1
0.5

-2 0 z
1
-0.5
0.5
z -1
0 0.5
-0.5 0 y

-1 -0.5
-1
-0.5
0
x 0.5
1

Figure 1.1: Surfaces of x + y + z = 0 and x2 + y 2 + z 2 + 2xz = 1, and their loci of intersection

Now, in fact, it is easily shown by algebraic manipulations (which for more general functions are
not possible) that
√
2
x(z) = −z ± , (1.47)
√ 2
2
y(z) = ∓ . (1.48)
2
Note that in fact y − x − z = 0, so the Jacobian determinant ∂(f, g)/∂(x, y) = 0; thus, √ the above
expression for dy/dz is indeterminant. However, we see from the explicit expression y = ∓ 2/2 that
in fact, dy/dz = 0. The two original functions and their loci of intersection are plotted in Figure 1.1.
It is seen that the surface represented by the quadratic function is a open cylindrical tube, and that
represented by the linear function is a plane. Note that planes and cylinders may or may not intersect.
If they intersect, it is most likely that the intersection will be a closed arc. However, when the plane
is aligned with the axis of the cylinder, the intersection will be two non-intersecting lines; such is the
case in this example.
Let’s see how slightly altering the equation for the plane removes the degeneracy. Take now

5x + y + z = 0, (1.49)
2 2 2
x + y + z + 2xz = 1. (1.50)

Can x and y be considered as functions of z? If x = x(z) and y = y(z), then dx/dz and dy/dz must
exist. If we take

f (x, y, z) = 5x + y + z = 0, (1.51)
2 2 2
g(x, y, z) = x + y + z + 2xz − 1 = 0, (1.52)
T
then the solution matrix (dx/dz, dy/dz) is found as before:
 ∂f ∂f   
 − ∂z ∂y   −1 1 
 ∂g ∂g  
dx −   −(2z + 2x) 2y  −2y + 2z + 2x
=  ∂f∂z ∂f∂y =   = , (1.53)
dz  ∂x ∂y   5 1 
 10y − 2x − 2z
 
 ∂g ∂g   2x + 2z 2y 
∂x ∂y

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

1.3. COORDINATE TRANSFORMATIONS 19

1 x
-0.2 0
1 0.2
y
0 0.5
y
0
-1 -0.5
-1
-2
1
1
0.5
z
0
z
0
-0.5

-1
-1
-0.5 -1
0
x 0.5
1

Figure 1.2: Surfaces of 5x+ y + z = 0 and x2 + y 2 + z 2 + 2xz = 1, and their loci of intersection
 ∂f   

 ∂x − ∂f
∂z 
 
 5 −1 

∂g ∂g   2x + 2z −(2z + 2x) 
dy  − ∂z −8x − 8z
= ∂x ∂f  =   = . (1.54)
dz  ∂f   5 1  10y − 2x − 2z
 ∂x ∂y   
 ∂g ∂g   2x + 2z 2y 
∂x ∂y

The two original functions and their loci of intersection are plotted in Figure 1.2.
Straightforward algebra in this case shows that an explicit dependency exists:
√ √
−6z ± 2 13 − 8z 2
x(z) = , (1.55)
√26√
−4z ∓ 5 2 13 − 8z 2
y(z) = . (1.56)
26
These curves represent the projection of the curve of intersection on the x − z and y − z planes,
respectively. In both cases, the projections are ellipses.

1.3 Coordinate transformations

Many problems are formulated in three-dimensional Cartesian3 space. However, many of
these problems, especially those involving curved geometrical bodies, are better posed in a
3
René Descartes, 1596-1650, French mathematician and philosopher.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

20 CHAPTER 1. MULTI-VARIABLE CALCULUS

non-Cartesian, curvilinear coordinate system. As such, one needs techniques to transform

from one coordinate system to another.
For this section, we will take Cartesian coordinates to be represented by (ξ 1, ξ 2 , ξ 3). Here
the superscript is an index and does not represent a power of ξ. We will denote this point
by ξ i, where i = 1, 2, 3. Since the space is Cartesian, we have the usual Euclidean4 formula
for arc length s:

2
2
2
(ds)2 = dξ 1 + dξ 2 + dξ 3 , (1.57)
3
X
2
(ds) = dξ idξ i ≡ dξ i dξ i. (1.58)
i=1

Here we have adopted the summation convention that when an index appears twice, a
summation from 1 to 3 is understood.
Now let us map a point from a point in (ξ 1, ξ 2 , ξ 3 ) space to a point in a more convenient
(x , x2 , x3 ) space. This mapping is achieved by defining the following functional dependen-
1

cies:

x1 = x1 (ξ 1, ξ 2 , ξ 3 ), (1.59)
x2 = x2 (ξ 1, ξ 2 , ξ 3 ), (1.60)
x3 = x3 (ξ 1 , ξ 2 , ξ 3). (1.61)
Taking derivatives can tell us whether the inverse exists.
∂x1 1 ∂x1 2 ∂x1 3 ∂x1 j
dx1 = dξ + 2 dξ + 3 dξ = dξ , (1.62)
∂ξ 1 ∂ξ ∂ξ ∂ξ j
2 2
∂x ∂x ∂x2 3 ∂x2 j
dx2 = dξ 1
+ dξ 2
+ dξ = dξ , (1.63)
∂ξ 1 ∂ξ 2 ∂ξ 3 ∂ξ j
∂x3 1 ∂x3 2 ∂x3 3 ∂x3 j
dx3 = dξ + 2 dξ + 3 dξ = dξ , (1.64)
∂ξ 1 ∂ξ ∂ξ ∂ξ j
 1  ∂x1 ∂x1 ∂x1   
dx ∂ξ 1 ∂ξ 2 ∂ξ 3 dξ 1
 dx2  =  ∂x2 ∂x2 ∂x2 
 ∂ξ1 ∂ξ2 ∂ξ3   dξ 2  , (1.65)
dx3 ∂x3
1
∂x3
2
∂x3
3
dξ 3
∂ξ ∂ξ ∂ξ
i
∂x j
dxi = dξ . (1.66)
∂ξ j
In order for the inverse to exist we must have a non-zero Jacobian for the transformation,
i.e.
∂(x1 , x2 , x3 )
6= 0. (1.67)
∂(ξ 1 , ξ 2, ξ 3 )
4
Euclid of Alexandria, ∼ 325 B.C.-∼ 265 B.C., Greek geometer.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

1.3. COORDINATE TRANSFORMATIONS 21

It can then be inferred that the inverse transformation exists:

ξ 1 = ξ 1 (x1 , x2 , x3 ), (1.68)
ξ 2 = ξ 2 (x1 , x2 , x3 ), (1.69)
ξ 3 = ξ 3 (x1 , x2 , x3 ). (1.70)
Likewise then,
∂ξ i j
dξ i = dx . (1.71)
∂xj

1.3.1 Jacobians and metric tensors

Defining5 the Jacobian matrix J, which we associate with the inverse transformation, that
is the transformation from non-Cartesian to Cartesian coordinates, to be
 ∂ξ1 ∂ξ1 ∂ξ1 
i ∂x1 ∂x2 ∂x3
∂ξ ∂ξ 2 ∂ξ 2 ∂ξ 2 
J = j =  ∂x 1 ∂x 2 ∂x 3 , (1.72)
∂x ∂ξ 3 ∂ξ 3 ∂ξ 3
∂x1 ∂x2 ∂x3

we can rewrite dξ i in Gibbs’6 vector notation as

dξ = J · dx. (1.73)
Now for Euclidean spaces, distance must be independent of coordinate systems, so we
require  i  i 
2 i i ∂ξ k ∂ξ l ∂ξ i ∂ξ i k l
(ds) = dξ dξ = dx dx = dx dx . (1.74)
∂xk ∂xl ∂xk ∂xl
In Gibbs’ vector notation Eq. (1.74) becomes
(ds)2 = dξT · dξ, (1.75)
= (J · dx)T · (J · dx) , (1.76)
= dxT · JT · J · dx. (1.77)
If we define the metric tensor, gkl or G, as follows:
∂ξ i ∂ξ i
gkl = , (1.78)
∂xk ∂xl
G = JT · J, (1.79)
5
The definition we adopt is that used in most texts, including Kaplan. A few, e.g. Aris, define the
Jacobian determinant in terms of the transpose of the Jacobian matrix, which is not problematic since the
two are the same. Extending this, an argument can be made that a better definition of the Jacobian matrix
would be the transpose of the traditional Jacobian matrix. This is because when one considers that the
∂ i
differential operator acts first, the Jacobian matrix is really ∂x j ξ , and the alternative definition is more
∂ 1 ∂ 2 ∂ 3
consistent with traditional matrix notation, which would have the first row as ∂x 1 ξ , ∂x1 ξ , ∂x1 ξ . As long

as one realizes the implications of the notation, however, the convention adopted ultimately does not matter.
6
Josiah Willard Gibbs, 1839-1903, prolific American physicist and mathematician with a lifetime affili-
ation with Yale University.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

22 CHAPTER 1. MULTI-VARIABLE CALCULUS

then we have, equivalently in both index and Gibbs notation,

(ds)2 = dxk gkl dxl , (1.80)
(ds)2 = dxT · G · dx. (1.81)
Now gkl can be represented as a matrix. If we define
g = det (gkl ) , (1.82)
it can be shown that the ratio of volumes of differential elements in one space to that of the
other is given by
√
dξ 1 dξ 2 dξ 3 = g dx1 dx2 dx3 . (1.83)
We also require dependent variables and all derivatives to take on the same values at
corresponding points in each space, e.g. if S [S = f (ξ 1 , ξ 2 , ξ 3) = h(x1 , x2 , x3 )] is a dependent
variable defined at (ξˆ1 , ξˆ2, ξˆ3 ), and (ξˆ1 , ξˆ2, ξˆ3 ) maps into (x̂1 , x̂2 , x̂3 )), we require f (ξˆ1, ξˆ2 , ξˆ3 ) =
h(x̂1 , x̂2 , x̂3 ))
The chain rule lets us transform derivatives to other spaces

 ∂x1 ∂x1 ∂x1


∂ξ 1 ∂ξ 2 ∂ξ 3
∂S ∂S ∂S ∂S ∂S ∂S  ∂x2 ∂x2 ∂x2 
( ∂ξ 1 ∂ξ 2 ∂ξ 3 ) = ( ∂x 1 ∂x2 ∂x3
) ∂ξ 1 ∂ξ 2 ∂ξ 3 , (1.84)
∂x3 ∂x3 ∂x3
∂ξ 1 ∂ξ 2 ∂ξ 3
∂S ∂S ∂xj
= . (1.85)
∂ξ i ∂xj ∂ξ i
∂S ∂S ∂S T


This can also be inverted, given that g 6= 0, to find ∂x 1 , ∂x2 , ∂x3 . The fact that the gradient
operator required the use of row vectors in conjunction with the Jacobian matrix, while the
transformation of distance, earlier in this section, required the use of column vectors is of
fundamental importance, and will be examined further in an upcoming section where we
distinguish between what are known as covariant and contravariant vectors.

Example 1.4
Transform the Cartesian equation
∂S
2
2
1
− S = ξ1 + ξ2 . (1.86)
∂ξ
under the following:
1. Cartesian to linearly homogeneous affine coordinates.
Consider the following linear non-orthogonal transformation:
x1 = 2ξ 1 + ξ 2 , (1.87)
2
x = −8ξ 1 + ξ 2 , (1.88)
x3 = ξ3. (1.89)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

1.3. COORDINATE TRANSFORMATIONS 23

2
ξ
4

1
x = constant
3
2
x = constant
2

0 1
0 1 2 3 4 ξ

Figure 1.3: Lines of constant x1 and x2 in the ξ 1 , ξ 2 plane for affine transformation of example
problem.

This transformation is of the class of affine transformations, which are of the form xi = Aij ξ j +bi . Affine
transformations for which bi = 0 are further distinguished as linear homogeneous transformations. The
transformation of this example is both affine and linear homogeneous.
This is a linear system of three equations in three unknowns; using standard techniques of linear
algebra allows us to solve for ξ 1 , ξ 2 , ξ 3 in terms of x1 , x2 , x3 ; that is we find the inverse transformation,
which is
1 1 1
ξ1 = x − x2 , (1.90)
10 10
4 1 1 2
ξ2 = x + x , (1.91)
5 5
ξ3 = x3 . (1.92)

Lines of constant x1 and x2 in the ξ 1 , ξ 2 plane are plotted in Figure 1.3. The appropriate Jacobian
matrix for the inverse transformation is

 ∂ξ 1 ∂ξ 1 ∂ξ 1

i 1 2 3 ∂x1 ∂x2 ∂x3
∂ξ ∂(ξ , ξ , ξ )  ∂ξ 2 ∂ξ 2 ∂ξ 2 
J= j
= =  , (1.93)
∂x ∂(x1 , x2 , x3 ) ∂x1
∂ξ 3
∂x2
∂ξ 3
∂x3
∂ξ 3
 ∂x1 ∂x2 ∂x

3
1 1
10 − 10 0
4 1
J =  5 5 0. (1.94)
0 0 1

The determinant of the Jacobian matrix is

 
1 1 4 −1 1
− = . (1.95)
10 5 5 10 10

So a unique transformation always exists, since the Jacobian determinant is never zero.
The metric tensor is

∂ξ i ∂ξ i ∂ξ 1 ∂ξ 1 ∂ξ 2 ∂ξ 2 ∂ξ 3 ∂ξ 3
gkl = = + + . (1.96)
∂xk ∂xl ∂xk ∂xl ∂xk ∂xl ∂xk ∂xl

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

24 CHAPTER 1. MULTI-VARIABLE CALCULUS

For example for k = 1, l = 1 we get

∂ξ i ∂ξ i ∂ξ 1 ∂ξ 1 ∂ξ 2 ∂ξ 2 ∂ξ 3 ∂ξ 3
g11 = 1 1
= 1 1
+ 1 1+ 1 1 (1.97)
∂x ∂x
   ∂x  ∂x   ∂x ∂x ∂x ∂x
1 1 4 4 13
g11 = + + (0)(0) = . (1.98)
10 10 5 5 20

Repeating this operation for all terms of gkl , we find the complete metric tensor is
 13 3 
20 20 0
3 1
gkl =  20 20 0, (1.99)
0 0 1
13 1 3 3 1
g = det (gkl ) = − = . (1.100)
20 20 20 20 100
This is equivalent to the calculation in Gibbs notation:

G = JT · J (1.101)
 1 4
  1 1

10 5 0 10 − 10 0
G = − 1 1
0 ·  4 1
0, (1.102)
10 5 5 5
0 0 1 0 0 1
 13 3

20 20 0
3 1
G = 
20 20 0. (1.103)
0 0 1

Distance in the transformed system is given by

2
(ds) = gkl dxk dxl , (1.104)
2 T
(ds) = dx · G · dx, (1.105)
 13 3
 1

200 20dx
(ds)2 = ( dx1 dx2 3
dx3 )  20 1
0   dx2  ,
20 (1.106)
0
0 1 dx3
 13
1 3 2

20 dx + 20 dx
(ds)2 = 3
( dx1 dx2 dx3 )  20 1
dx1 + 20 dx2  , (1.107)
3
dx
2 13
2 1
2
2 3
(ds) = dx1 + dx2 + dx3 + dx1 dx2 . (1.108)
20 20 10
Detailed algebraic manipulation employing the so-called method of quadratic forms reveals that the
previous equation can be rewritten as follows:
2
2
2
2
(ds) = 0.6854 0.9732 dx1 + 0.2298 dx2 + 0.01459 −0.2298 dx1 + 0.9732 dx2 + dx3 .

The details of the method of quadratic forms are delayed until a later chapter; direct expansion reveals
the two forms for (ds)2 to be identical. Note:
• The Jacobian matrix J is not symmetric.
• The metric tensor G = JT · J is symmetric.
• The fact that the metric tensor has non-zero off-diagonal elements is a consequence of the transfor-
mation being non-orthogonal.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

1.3. COORDINATE TRANSFORMATIONS 25

• The distance is guaranteed to be positive. This will be true for all affine transformations in ordinary
three-dimensional Euclidean space. In the generalized space-time continuum suggested by the theory
of relativity, the generalized distance may in fact be negative; this generalized distance ds for an

2
2
2
2
infinitesimal change in space and time is given by ds2 = dξ 1 + dξ 2 + dξ 3 − dξ 4 , where the

2 2
first three coordinates are the ordinary Cartesian space coordinates and the fourth is dξ 4 = (c dt) ,
where c is the speed of light.

Also we have the volume ratio of differential elements as

r
1 2 3 1
dξ dξ dξ = dx1 dx2 dx3 ,
100
1
= dx1 dx2 dx3 .
10
Now

∂S ∂S ∂x1 ∂S ∂x2 ∂S ∂x3

= + + ,
∂ξ 1 ∂x1 ∂ξ 1 ∂x2 ∂ξ 1 ∂x3 ∂ξ 1
∂S ∂S
= 2 1 − 8 2.
∂x ∂x

So the transformed version of Eq. (1.86) becomes

 2  2
∂S ∂S x1 − x2 4 x1 + x2
2 1
−8 2 −S = + ,
∂x ∂x 10 5
∂S ∂S 13 1
2 3 1 2 1
2
2 1 −8 2 −S = x + x x + x2 .
∂x ∂x 20 10 20

2. Cartesian to cylindrical coordinates.

The transformations are

q
2 2
x1 = + (ξ 1 ) + (ξ 2 ) , (1.109)
 2
ξ
x2 = tan−1 , (1.110)
ξ1
x3 = ξ3 . (1.111)

Note this system of equations is non-linear. For such systems, we cannot always find an explicit algebraic
expression for the inverse transformation. In this case, some straightforward algebraic and trigonometric
manipulation reveals that we can find an explicit representation of the inverse transformation, which is

ξ1 = x1 cos x2 , (1.112)
ξ2 = x1 sin x2 , (1.113)
ξ3 = x3 . (1.114)

Lines of constant x1 and x2 in the ξ 1 , ξ 2 plane are plotted in Figure 1.4. Notice that the lines of
constant x1 are orthogonal to lines of constant x2 in the Cartesian ξ 1 , ξ 2 plane. For general transfor-
mations, this will not be the case.
The appropriate Jacobian matrix for the inverse transformation is

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

26 CHAPTER 1. MULTI-VARIABLE CALCULUS

x 2 = π/2
ξ2
x = 3π/4 3 x 2 = π/4
x1 = 3

2 x1 = 2

1 x1 = 1

x2 = π -2 -1 1 2 3 ξ
1
x 2= 0
-3

-1

-2

x 2 = 5π/4 -3
x 2 = 7π/4
2
x = 3π/2

Figure 1.4: Lines of constant x1 and x2 in the ξ 1 , ξ 2 plane for cylindrical transformation of
example problem.

 ∂ξ 1 ∂ξ 1 ∂ξ 1

i 1 2 3 ∂x1 ∂x2 ∂x3
∂ξ ∂(ξ , ξ , ξ )  ∂ξ 2 ∂ξ 2 ∂ξ 2 
J= = =  , (1.115)
∂xj ∂(x1 , x2 , x3 ) ∂x1
∂ξ 3
∂x2
∂ξ 3
∂x3
∂ξ 3
 ∂x1 ∂x2 ∂x3 
cos x2 −x sin x2
1
0
J =  sin x2 x1 cos x2 0. (1.116)
0 0 1
The determinant of the Jacobian matrix is
x1 cos2 x2 + x1 sin2 x2 = x1 . (1.117)
So a unique transformation fails to exist when x1 = 0.
The metric tensor is

∂ξ i ∂ξ i ∂ξ 1 ∂ξ 1 ∂ξ 2 ∂ξ 2 ∂ξ 3 ∂ξ 3
gkl = k l
= k l
+ k l + k l. (1.118)
∂x ∂x ∂x ∂x ∂x ∂x ∂x ∂x
For example for k = 1, l = 1 we get
∂ξ i ∂ξ i ∂ξ 1 ∂ξ 1 ∂ξ 2 ∂ξ 2 ∂ξ 3 ∂ξ 3
g11 = = + + , (1.119)
∂x1 ∂x1 ∂x1 ∂x1 ∂x1 ∂x1 ∂x1 ∂x1
g11 = cos2 x2 + sin2 x2 + 0 = 1. (1.120)
Repeating this operation, we find the complete metric tensor is
 
1 0
0
2
gkl =  0 x1 0, (1.121)
0 0 1
g = det (gkl ) = (x1 )2 . (1.122)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

1.3. COORDINATE TRANSFORMATIONS 27

This is equivalent to the calculation in Gibbs notation:

G = JT · J, (1.123)
   
cos x2 sin x2 0 cos x2 −x1 sin x2 0
G =  −x sin x x cos x2
1 2 1
0  ·  sin x2 x1 cos x2 0, (1.124)
0 0 1 0 0 1
 
1 0
0
2
G =  0 x1 0. (1.125)
0 0 1

Distance in the transformed system is given by

2
(ds) = gkl dxk dxl , (1.126)
2 T
(ds) = dx · G · dx, (1.127)
  1

1 0
0 dx
2
(ds)2 = ( dx1 dx2 dx3 )  0 x1 0   dx2  , (1.128)
0 0 1 dx3
 
dx1

2 1 2 3 1 2
(ds) = ( dx dx dx )  x dx2  , (1.129)
3
dx
2
2
2
2
(ds) = dx1 + x1 dx2 + dx3 . (1.130)

Note:
• The fact that the metric tensor is diagonal can be attributed to the transformation being orthogonal.
• Since the product of any matrix with its transpose is guaranteed to yield a symmetric matrix, the
metric tensor is always symmetric.
Also we have the volume ratio of differential elements as

dξ 1 dξ 2 dξ 3 = x1 dx1 dx2 dx3 .

Now
∂S ∂S ∂x1 ∂S ∂x2 ∂S ∂x3
= + + ,
∂ξ 1 ∂x1 ∂ξ 1 ∂x2 ∂ξ 1 ∂x3 ∂ξ 1
∂S ξ1 ∂S ξ2
= q − ,
∂x1 2 2 ∂x2 (ξ 1 )2 + (ξ 2 )2
(ξ 1 ) + (ξ 2 )
∂S sin x2 ∂S
= cos x2 − .
∂x1 x1 ∂x2
So the transformed version of Eq. (1.86) becomes

∂S sin x2 ∂S
2
cos x2 1
− 1 2
− S = x1 . (1.131)
∂x x ∂x

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

28 CHAPTER 1. MULTI-VARIABLE CALCULUS

1.3.2 Covariance and contravariance

Quantities known as contravariant vectors transform according to

∂ x̄i j
ūi = u. (1.132)
∂xj
Quantities known as covariant vectors transform according to

∂xj
ūi = uj . (1.133)
∂ x̄i
Here we have considered general transformations from one non-Cartesian coordinate system
(x1 , x2 , x3 ) to another (x̄1 , x̄2 , x̄3 ).

Example 1.5
Let’s say (x, y, z) is a normal Cartesian system and define the transformation

x̄ = λx, ȳ = λy, z̄ = λz. (1.134)

Now we can assign velocities in both the unbarred and barred systems:
dx dy dz
ux = uy = uz =
dt dt dt
dx̄ dȳ dz̄
ūx̄ = ūȳ = ūz̄ =
dt dt dt
∂ x̄ dx ∂ ȳ dy ∂ z̄ dz
ūx̄ = ūȳ = ūz̄ =
∂x dt ∂y dt ∂z dt
ūx̄ = λux ūȳ = λuy ūz̄ = λuz
∂ x̄ x ∂ ȳ y ∂ z̄ z
ūx̄ = u ūȳ = u ūz̄ = u
∂x ∂y ∂z
This suggests the velocity vector is contravariant.
Now consider a vector which is the gradient of a function f (x, y, z). For example, let

f (x, y, z) = x + y 2 + z 3

∂f ∂f ∂f
ux = uy = uz =
∂x ∂y ∂z
ux = 1 uy = 2y uz = 3z 2
In the new coordinates  x̄ ȳ z̄  x̄ ȳ 2 z̄ 3
f , , = + 2+ 3
λ λ λ λ λ λ
so
x̄ ȳ 2 z̄ 3
f¯ (x̄, ȳ, z̄) = + 2 + 3
λ λ λ
Now
∂ f¯ ∂ f¯ ∂ f¯
ūx̄ = ūȳ = ūz̄ =
∂ x̄ ∂ ȳ ∂ z̄

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

1.3. COORDINATE TRANSFORMATIONS 29

1 2ȳ 3z̄ 2
ūx̄ = ūȳ = ūz̄ =
λ λ2 λ3
In terms of x, y, z, we have
1 2y 3z 2
ūx̄ = ūȳ = ūz̄ =
λ λ λ
So it is clear here that, in contrast to the velocity vector,
1 1 1
ūx̄ = ux ūȳ = uy ūz̄ = uz
λ λ λ
Somewhat more generally we find for this case that
∂x ∂y ∂z
ūx̄ = ux ūȳ = uy ūz̄ = uz ,
∂ x̄ ∂ ȳ ∂ z̄
which suggests the gradient vector is covariant.

Contravariant tensors transform according to

∂ x̄i ∂ x̄j kl
v̄ ij = v
∂xk ∂xl
Covariant tensors transform according to

∂xk ∂xl
v̄ij = vkl
∂ x̄i ∂ x̄j
Mixed tensors transform according to

∂ x̄i ∂xl k
v̄ji = v
∂xk ∂ x̄j l
Recall that variance is another term for gradient and that co- denotes with. A vector
which is co-variant is aligned with the variance or the gradient. Recalling next that contra-
denotes against, a vector with is contra-variant is aligned against the variance or the gra-
dient. This results in a set of contravariant basis vectors being tangent to lines of xi = C,
while covariant basis vectors are normal to lines of xi = C. A vector in space has two natural
representations, one on a contravariant basis, and the other on a covariant basis. The con-
travariant representation seems more natural, though both can be used to obtain equivalent
results. For the transformation x1 = (ξ 1 )2 + (ξ 2), x2 = (ξ 1) − (ξ 2 )3 , Figure 1.5 gives a sketch
of a set of lines of constant x1 and x2 in the Cartesian ξ 1 , ξ 2 plane, along with a local set of
both contravariant and covariant basis vectors.
The idea of covariant and contravariant derivatives play an important role in mathemat-
ical physics, namely in that the equations should be formulated such that they are invariant
under coordinate transformations. This is not particularly difficult for Cartesian systems,
but for non-orthogonal systems, one cannot use differentiation in the ordinary sense but
must instead use the notion of covariant and contravariant derivatives, depending on the

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

30 CHAPTER 1. MULTI-VARIABLE CALCULUS

2
ξ
1
2
x = 1/16
0.8
2
covariant x = 1/2
basis vectors
0.6
contravariant
basis vectors

0.4

0.2 1
x =1
1
x = 1/2 1
ξ
0.2 0.4 0.6 0.8 1
Figure 1.5: Contours for the transformation x1 = (ξ 1 )2 + (ξ 2), x2 = (ξ 1 ) − (ξ 2)3 along with
a pair of contravariant basis vectors, which are tangent to the contours, and covariant basis
vectors, which are normal to the contours.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

1.3. COORDINATE TRANSFORMATIONS 31

problem. The role of these terms was especially important in the development of the theory
of relativity.
Consider a contravariant vector ui defined in xi which has corresponding components U i
in the Cartesian ξ i . Take wji and Wji to represent the covariant spatial derivative of ui and
U i , respectively. Let’s use the chain rule and definitions of tensorial quantities to arrive at
a formula for covariant differentiation. From the definition of contravariance
∂ξ i l
Ui = u (1.135)
∂xl
Take the derivative in Cartesian space and then use the chain rule:
∂U i ∂U i ∂xk
Wji = = (1.136)
∂ξ j ∂xk ∂ξ j
 
 i  k
 ∂ ∂ξ l 
=  k
 u  ∂x (1.137)
∂x ∂xl  ∂ξ j
| {z }
=U i
 2 i 
∂ ξ l ∂ξ i ∂ul ∂xk
= u + l k (1.138)
∂xk ∂xl ∂x ∂x ∂ξ j
 2 p 
∂ ξ ∂ξ p ∂ul ∂xk
Wqp = u l
+ (1.139)
∂xk ∂xl ∂xl ∂xk ∂ξ q
From the definition of a mixed tensor
∂xi ∂ξ q
wji = Wqp p j (1.140)
∂ξ ∂x
 2 p 
∂ ξ l ∂ξ p ∂ul ∂xk ∂xi ∂ξ q
= u + l k (1.141)
∂xk ∂xl ∂x ∂x ∂ξ q ∂ξ p ∂xj
| {z }
=Wqp

∂ 2 ξ p ∂xk ∂xi ∂ξ q l ∂ξ p ∂xk ∂xi ∂ξ q ∂ul

= u + l q p j k (1.142)
∂xk ∂xl ∂ξ q ∂ξ p ∂xj ∂x ∂ξ ∂ξ ∂x ∂x
2 p
∂ ξ ∂x ∂x l ∂x ∂xk ∂ul
k i i
= u + l j k (1.143)
∂xk ∂xl ∂xj ∂ξ p ∂x ∂x ∂x
2 p i l
∂ ξ k ∂x l i k ∂u
= δ u + δ δ (1.144)
∂xk ∂xl j ∂ξ p l j
∂xk
∂ 2 ξ p ∂xi l ∂ui
= u + j (1.145)
∂xj ∂xl ∂ξ p ∂x
∂x i
i i 7 i
Here, we have used the identity that ∂x j = δj , where δj is the Kronecker delta, δj = 1, i =
i 8 i
j, δj = 0, i 6= j. We define the Christoffel symbols Γjl as follows:
7
Leopold Kronecker, 1823-1891, German/Prussian mathematician.
8
Elwin Bruno Christoffel, 1829-1900, German mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

32 CHAPTER 1. MULTI-VARIABLE CALCULUS

∂ 2 ξ p ∂xi
Γijl = (1.146)
∂xj ∂xl ∂ξ p
and use the term ∆j to represent the covariant derivative. Thus, the covariant derivative of
a contravariant vector ui is as follows:
∂ui
∆j ui = wji = + Γijl ul (1.147)
∂xj

Example 1.6
Find ∇T · u in cylindrical coordinates.9 The transformations are
q
2 2
x1 = + (ξ 1 ) + (ξ 2 )
 2
ξ
x2 = tan−1
ξ1
x3 = ξ3

The inverse transformation is

ξ1 = x1 cos x2
ξ2 = x1 sin x2
ξ3 = x3

This corresponds to finding

∂ui
∆i ui = wii = + Γiil ul
∂xi
Now for i = j

∂ 2ξp ∂xi l
Γiil ul = u
∂xi ∂xl ∂ξ p
∂ 2ξ1 ∂xi l ∂ 2 ξ 2 ∂xi l ∂ 2 ξ 3 ∂xi l
= u + u + u
∂xi ∂xl ∂ξ 1 ∂xi ∂xl ∂ξ 2 ∂xi ∂xl ∂ξ 3

noting that all second partials of ξ 3 are zero,

∂ 2 ξ 1 ∂xi l ∂ 2 ξ 2 ∂xi l
= u + u
∂xi ∂xl ∂ξ 1 ∂xi ∂xl ∂ξ 2
∂ 2 ξ 1 ∂x1 l ∂ 2 ξ 1 ∂x2 l ∂ 2 ξ 1 ∂x3 l
= u + u + u
∂x1 ∂xl ∂ξ 1 ∂x2 ∂xl ∂ξ 1 ∂x3 ∂xl ∂ξ 1
∂ 2 ξ 2 ∂x1 ∂ 2 ξ 2 ∂x2 ∂ 2 ξ 2 ∂x3
+ 1 l 2 ul + 2 l 2 ul + 3 l 2 ul
∂x ∂x ∂ξ ∂x ∂x ∂ξ ∂x ∂x ∂ξ
 ∂ 
∂ξ1
In Cartesian coordinates, we take ∇ ≡  ∂ξ∂ 2 . This gives rise to the natural, albeit unconventional,
9  
∂

∂ξ3
T ∂ ∂ ∂
notation ∇ = ∂ξ1 ∂ξ2 ∂ξ3 .

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

1.3. COORDINATE TRANSFORMATIONS 33

noting that partials of x3 with respect to ξ 1 and ξ 2 are zero,

∂ 2 ξ 1 ∂x1 l ∂ 2 ξ 1 ∂x2
= 1 l 1
u + 2 l 1 ul
∂x ∂x ∂ξ ∂x ∂x ∂ξ
∂ 2 ξ 2 ∂x1 l ∂ 2 ξ 2 ∂x2
+ 1 l 2 u + 2 l 2 ul
∂x ∂x ∂ξ ∂x ∂x ∂ξ
∂ 2 ξ 1 ∂x1 1 ∂ 2 ξ 1 ∂x1 2 ∂ 2 ξ 1 ∂x1 3
= u + u + u
∂x1 ∂x1 ∂ξ 1 ∂x1 ∂x2 ∂ξ 1 ∂x1 ∂x3 ∂ξ 1
∂ 2 ξ 1 ∂x2 ∂ 2 ξ 1 ∂x2 ∂ 2 ξ 1 ∂x2
+ 2 1 1 u1 + 2 2 1 u2 + 2 3 1 u3
∂x ∂x ∂ξ ∂x ∂x ∂ξ ∂x ∂x ∂ξ
∂ 2 ξ 2 ∂x1 1 ∂ 2 ξ 2 ∂x1 2 ∂ 2 ξ 2 ∂x1
+ 1 1 2 u + 1 2 2 u + 1 3 2 u3
∂x ∂x ∂ξ ∂x ∂x ∂ξ ∂x ∂x ∂ξ
∂ 2 ξ 2 ∂x2 1 ∂ 2 ξ 2 ∂x2 2 ∂ 2 ξ 2 ∂x2
+ 2 1 2 u + 2 2 2 u + 2 3 2 u3
∂x ∂x ∂ξ ∂x ∂x ∂ξ ∂x ∂x ∂ξ

again removing the x3 variation

∂ 2 ξ 1 ∂x1 1 ∂ 2 ξ 1 ∂x1 2
= u + u
∂x1 ∂x1 ∂ξ 1 ∂x1 ∂x2 ∂ξ 1
∂ 2 ξ 1 ∂x2 ∂ 2 ξ 1 ∂x2
+ 2 1 1 u1 + 2 2 1 u2
∂x ∂x ∂ξ ∂x ∂x ∂ξ
2 2 1
∂ ξ ∂x ∂ 2 ξ 2 ∂x1
+ 1 1 2 u1 + 1 2 2 u2
∂x ∂x ∂ξ ∂x ∂x ∂ξ
2 2 2
∂ ξ ∂x ∂ 2 ξ 2 ∂x2
+ 2 1 2 u1 + 2 2 2 u2
∂x ∂x ∂ξ ∂x ∂x ∂ξ

substituting for the partial derivatives

= 0u1 − sin x2 cos x2 u2

   
− sin x2 − sin x2
− sin x2 u 1
− x1
cos x2
u2
x1 x1
+0u1 + cos x2 sin x2 u2
   
2 cos x2 1 1 2 cos x2
+ cos x u − x sin x u2
x1 x1
u1
=
x1
So in cylindrical coordinates

∂u1 ∂u2 ∂u3 u1

∇T · u = 1
+ 2+ 3+ 1
∂x ∂x ∂x x
Note: In standard cylindrical notation, x1 = r, x2 = θ, x3 = z. Considering u to be a velocity vector,
we get
       
∂ dr ∂ dθ ∂ dz 1 dr
∇T · u = + + +
∂r dt ∂θ dt ∂z dt r dt

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

34 CHAPTER 1. MULTI-VARIABLE CALCULUS

     
T 1 ∂ dr 1 ∂ dθ ∂ dz
∇ ·u = r + r +
r ∂r dt r ∂θ dt ∂z dt
1 ∂ 1 ∂uθ ∂uz
∇T · u = (rur ) + +
r ∂r r ∂θ ∂z
Here we have also used the more traditional uθ = r dθ 1 2 1 3
dt = x u , along with ur = u , uz = u . For
practical purposes, this insures that ur , uθ , uz all have the same dimensions.

Example 1.7
Calculate the acceleration vector du
dt in cylindrical coordinates.
Start by expanding the total derivative as
du ∂u
= + uT · ∇u.
dt ∂t
Now, we take u to be a contravariant velocity vector and the gradient operation to be a covariant
derivative. Employ index notation to get
du ∂ui
= + uj ∆j ui
dt ∂t  i 
∂ui j ∂u i l
= +u + Γjl u .
∂t ∂xj
After an extended calculation similar to the previous example, one finds after expanding all terms that
 1  1 1  
∂u 3 ∂u1
2 
∂t u1 ∂u
∂x1 + u2 ∂u
∂x 2 + u ∂x 3 −x1 u2
du  2   1 ∂u2 2 2 
=  ∂u ∂t 
+  u ∂x1 + u2 ∂u2 + u3 ∂u3  +  2 u u
∂x ∂x
1 2 .
dt ∂u3 3 3 3
x1
∂t u1 ∂u
∂x1 + u2 ∂u 3 ∂u
∂x2 + u ∂x3
0

The last term is related to the well known Coriolis10 and centripetal acceleration terms. However, these
are not in the standard form to which most are accustomed. To arrive at that standard form, one must
return to a so-called physical representation. Here again take x1 = r, x2 = θ, and x3 = z. Also take
ur = dr 1 dθ 1 2 dz 3
dt = u , uθ = r dt = x u , uz = dt = u . Then the r acceleration equation becomes

dur ∂ur ∂ur uθ ∂ur ∂ur u2θ

= + ur + + uz − .
dt ∂t ∂r r ∂θ ∂z r
|{z}
centripetal

Here the final term is the traditional centripetal acceleration. The θ acceleration is slightly more
complicated. First one writes
          dr dθ
d dθ ∂ dθ dr ∂ dθ dθ ∂ dθ dz ∂ dθ
= + + + + 2 dt dt .
dt dt ∂t dt dt ∂r dt dt ∂θ dt dt ∂z dt r

Now, here one is actually interested du

dt , so both sides are multiplied by r and then one operates to get
θ

       
duθ ∂ dθ dr ∂ dθ dθ ∂ dθ dz ∂ dθ dr dθ
= r +r +r +r +2 ,
dt ∂t dt dt ∂r dt dt ∂θ dt dt ∂z dt dt dt
10
Gaspard-Gustave Coriolis, 1792-1843, French mechanician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

1.3. COORDINATE TRANSFORMATIONS 35

         

∂ dθ dr ∂ dθ dθ r dθ
dt ∂ dθ dz ∂ dθ dr r dθ
dt
= r + r − + r + r +2 ,
∂t dt dt ∂r dt dt r ∂θ dt dt ∂z dt dt r
∂uθ ∂uθ uθ ∂uθ ∂uθ ur uθ
= + ur + + uz + .
∂t ∂r r ∂θ ∂z r }
| {z
Coriolis

The final term here is the Coriolis acceleration. The z acceleration then is easily seen to be
duz ∂uz ∂uz uθ ∂uz ∂uz
= + ur + + uz .
dt ∂t ∂r r ∂θ ∂z

We summarize some useful identities, all of which can be proved, as well as some other
common notation, as follows
∂ξ i ∂ξ i
gkl = (1.148)
∂xk ∂xl
g = det(gij ) (1.149)
gik gkj
= δij (1.150)
ui = gij uj (1.151)
ui = g ij uj (1.152)
uT · v = ui v i = ui vi = gij uj v i = g ij uj vi (1.153)
u×v = ǫijk gjm gkn um v n = ǫijk uj vk (1.154)
 
∂ 2 ξ p ∂xi 1 ip ∂gpj ∂gpk ∂gjk
Γijk = = g + − (1.155)
∂xj ∂xk ∂ξ p 2 ∂xk ∂xj ∂xp
∂ui
∇u = ∆j ui = ui,j = j + Γijl ul (1.156)
∂x
∂ui 1 ∂ √ i

∇T · u = ∆i ui = ui,i = i + Γiil ul = √ gu (1.157)
∂x g ∂xi
 p 
ijk ijk p ijk ∂u p l
∇×u = ǫ uk,j = ǫ gkp u,j = ǫ gkp + Γjl u (1.158)
∂xj
du ∂u ∂ui ∂ui
= + uT · ∇u = + uj j + Γijl ul uj (1.159)
dt ∂t ∂t ∂x
∂φ
∇φ = φ,i = i (1.160)
∂x  
∂ ij ∂φ ∂φ
∇2 φ = T ij
∇ · ∇φ = g φ,ij = j g i
+ Γjjk g ik i (1.161)
∂x ∂x ∂x
 
1 ∂ √ ij ∂φ
= √ j
gg (1.162)
g ∂x ∂xi
ij ∂T ij
∇T = T,k = k
+ Γilk T lj + Γjlk T il (1.163)
∂x
CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.
36 CHAPTER 1. MULTI-VARIABLE CALCULUS

∂T ij 1 ∂ √

∇T · T = T,jij = j
+ Γ i
lj T lj
+ Γj
lj T il
= √ j
g T ij
+ Γijk T jk (1.164)
∂x g ∂x
 i

1 ∂ √ ∂ξ
= √ j
g T kj k (1.165)
g ∂x ∂x

1.4 Maxima and minima

Consider the real function f (x), where x ∈ [a, b]. Extrema are at x = xm , where f ′ (xm ) = 0,
if xm ∈ [a, b]. It is a local minimum, a local maximum, or an inflection point according to
whether f ′′ (xm ) is positive, negative or zero, respectively.
Now consider a function of two variables f (x, y), with x ∈ [a, b], y ∈ [c, d]. A necessary
condition for an extremum is
∂f ∂f
(xm , ym) = (xm , ym ) = 0 (1.166)
∂x ∂y
where xm ∈ [a, b], ym ∈ [c, d]. Next we find the Hessian 11 matrix (Hildebrand 356)
2 2
!
∂ f ∂ f
∂x2 ∂x∂y
H= ∂2f ∂2f (1.167)
∂x∂y ∂y 2

and its determinant D = − det H. It can be shown that

2
f is a maximum if ∂∂xf2 < 0 and D < 0
2
f is a minimum if ∂∂xf2 > 0 and D < 0
f is a saddle if D > 0
Higher order derivatives must be considered if D = 0.

Example 1.8
f = x2 − y 2
Equating partial derivatives with respect to x and to y to zero, we get
∂f
= 2x = 0
∂x
∂f
= −2y = 0
∂y
This gives x = 0, y = 0. For these values we find that
 
 2 0 
D = −  
0 −2 
= 4
Since D > 0, the point (0,0) is a saddle point.

11
Ludwig Otto Hesse, 1811-1874, German mathematician, studied under Jacobi.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

1.4. MAXIMA AND MINIMA 37

1.4.1 Derivatives of integral expressions

Often functions are expressed in terms of integrals. For example
Z b(x)
y(x) = f (x, t) dt
a(x)

Here t is a dummy variable of integration. Leibniz’s12 rule tells us how to take derivatives
of functions in integral form:
Z b(x)
y(x) = f (x, t) dt (1.168)
a(x)
Z b(x)
dy(x) db(x) da(x) ∂f (x, t)
= f (x, b(x)) − f (x, a(x)) + dt (1.169)
dx dx dx a(x) ∂x
Inverting this arrangement in a special case, we note if
Z x
y(x) = y(xo ) + f (t) dt (1.170)
x0
then (1.171)
Z x
dy(x) dx dxo ∂f (t)
= f (x) − f (x0 ) + dt (1.172)
dx dx dx x0 ∂x
dy(x)
= f (x) (1.173)
dx
Note that the integral expression naturally includes the initial condition that when x = x0 ,
y = y(x0 ). This needs to be expressed separately for the differential version of the equation.

Example 1.9
dy
Find dx if
Z x2
y(x) = (x + 1)t2 dt (1.174)
x

Using Leibniz’s rule we get

Z x2
dy(x) 4 2
= ((x + 1)x )(2x) − ((x + 1)x )(1) + t2 dt (1.175)
dx x
 x2
6 5 3 2 t3 
= 2x + 2x − x − x + (1.176)
3 x
x6 x3
= 2x6 + 2x5 − x3 − x2 + − (1.177)
3 3
7x6 4x3
= + 2x5 − − x2 (1.178)
3 3
(1.179)
12
Gottfried Wilhelm von Leibniz, 1646-1716, German mathematician and philosopher of great influence;
co-inventor with Sir Isaac Newton, 1643-1727, of the calculus.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

38 CHAPTER 1. MULTI-VARIABLE CALCULUS

In this case, but not all, we can achieve the same result from explicit formulation of y(x):
Z x2
y(x) = (x + 1) t2 dt (1.180)
x
 x2
t3 
= (x + 1) (1.181)
3 x
 
x6 x3
= (x + 1) − (1.182)
3 3
7 6 4
x x x x3
y(x) = + − − (1.183)
3 3 3 3
dy(x) 7x6 4x 3
= + 2x5 − − x2 (1.184)
dx 3 3
So the two methods give identical results.

1.4.2 Calculus of variations

(See Hildebrand, p. 360)
The problem is to find the function y(x), with x ∈ [x1 , x2 ], and boundary conditions
y(x1 ) = y1 , y(x2 ) = y2 , such that the integral
Z x2
I= f (x, y, y ′) dx (1.185)
x1

is an extremum. If y(x) is the desired solution, let Y (x) = y(x) + ǫh(x), where h(x1 ) =
h(x2 ) = 0. Thus Y (x) also satisfies the boundary conditions; also Y ′ (x) = y ′(x) + ǫh′ (x).
We can write Z x2
I(ǫ) = f (x, Y, Y ′ ) dx
x1
dI
Taking dǫ
, utilizing Leibniz’s rule, we get
Z x2  
dI ∂f ∂x ∂f ∂Y ∂f ∂Y ′
= + + dx
dǫ x1 ∂x ∂ǫ ∂Y ∂ǫ ∂Y ′ ∂ǫ
Evaluating, we find
Z x2  
dI ∂f ∂f ∂f ′
= 0+ h(x) + h (x) dx
dǫ x1 ∂x ∂Y ∂Y ′

Since I is an extremum at ǫ = 0, we have dI/dǫ = 0 for ǫ = 0. This gives

Z x2  
∂f ∂f ′ 
0 = h(x) + h (x)  dx
x1 ∂Y ∂Y ′ 
ǫ=0

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

1.4. MAXIMA AND MINIMA 39

Also when ǫ = 0, we have Y = y, Y ′ = y ′ , so

Z x2  
∂f ∂f ′
0 = h(x) + ′ h (x) dx
x1 ∂y ∂y
Look at the second term in this integral. Since from integration by parts we get
Z x2 Z x2
∂f ′ ∂f
′
h (x) dx = ′
dh
x1 ∂y x1 ∂y
x2 Z x2  
∂f  d ∂f
= h(x) − h(x) dx
∂y ′ x1 x1 dx ∂y ′
The first term above is zero because of our conditions on h(x1 ) and h(x2 ). Thus substituting
into the original equation we have
Z x2   
∂f d ∂f
− h(x) dx = 0 (1.186)
x1 ∂y dx ∂y ′
The equality holds for all h(x), so that we must have
 
∂f d ∂f
− =0 (1.187)
∂y dx ∂y ′
called the Euler13 equation.
While this is, in general, the preferred form of the Euler equation, its explicit dependency
on the two end conditions is better displayed by considering a slightly different form. By
expanding the total derivative term, that is
 
d ∂f ∂2f ∂ 2 f dy ∂ 2 f dy ′
′
(x, y, y ′) = + + (1.188)
dx ∂y ∂y ′ ∂x ∂y ′ ∂y dx ∂y ′ ∂y ′ dx
∂2f ∂2f ′ ∂ 2 f ′′
= + y + y (1.189)
∂y ′ ∂x ∂y ′ ∂y ∂y ′ ∂y ′
the Euler equation after slight rearrangement becomes
∂ 2 f ′′ ∂2f ′ ∂2f ∂f
′ ′
y + ′
y + ′
− = 0 (1.190)
∂y ∂y ∂y ∂y ∂y ∂x ∂y
d2 y dy
fy′ y′ 2 + fy′ y + (fy′ x − fy ) = 0 (1.191)
dx dx
This is a clearly second order differential equation for fy′ y′ 6= 0, and in general, non-linear.
If fy′ y′ is always non-zero, the problem is said to be regular. If fy′ y′ = 0 at any point, the
equation is no longer second order, and the problem is said to be singular at such points.
Note that satisfaction of two boundary conditions becomes problematic for equations less
than second order.
There are several special cases of the function f .
13
Leonhard Euler, 1707-1783, prolific Swiss mathematician, born in Basel, died in St. Petersburg.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

40 CHAPTER 1. MULTI-VARIABLE CALCULUS

1. f = f (x, y)
The Euler equation is
∂f
=0 (1.192)
∂y
which is easily solved:
f (x, y) = A(x) (1.193)
which, knowing f , is then solved for y(x).
2. f = f (x, y ′)
The Euler equation is  
d ∂f
=0 (1.194)
dx ∂y ′
which yields
∂f
=A (1.195)
∂y ′
f (x, y ′) = Ay ′ + B(x) (1.196)
Again, knowing f , the equation is solved for y ′ and then integrated to find y(x).
3. f = f (y, y ′)
The Euler equation is
 
∂f d ∂f ′
− (y, y ) = 0 (1.197)
∂y dx ∂y ′
 2 
∂f ∂ f dy ∂ 2 f dy ′
− + =0 (1.198)
∂y ∂y∂y ′ dx ∂y ′ ∂y ′ dx
∂f ∂ 2 f dy ∂ 2 f d2 y
− − =0 (1.199)
∂y ∂y∂y ′ dx ∂y ′ ∂y ′ dx2
Multiply by y ′ to get
 
′ ∂f ∂ 2 f dy ∂ 2 f d2 y
y − − =0 (1.200)
∂y ∂y∂y ′ dx ∂y ′ ∂y ′ dx2
∂f ′′
Add and subtract ∂y ′y to get
 
′ ∂f ∂ 2 f dy ∂ 2 f d2 y ∂f ∂f
y − ′
− ′ ′ 2 + ′ y ′′ − ′ y ′′ = 0 (1.201)
∂y ∂y∂y dx ∂y ∂y dx ∂y ∂y
Regroup to get
  2  
∂f ′ ∂f ′′ ′ ∂ f dy ∂ 2 f d2 y ∂f ′′
y + ′y − y + + ′y = 0 (1.202)
∂y ∂y ∂y∂y ′ dx ∂y ′ ∂y ′ dx2 ∂y
| {z } | {z }
=df /dx =d/dx(y ′ ∂f /∂y ′ )

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

1.4. MAXIMA AND MINIMA 41

Regroup again to get  

d ′ ∂f
f −y ′ =0 (1.203)
dx ∂y
which can be integrated. Thus

∂f
f (y, y ′) − y ′ =K (1.204)
∂y ′

where K is an arbitrary constant. What remains is a first order ordinary differen-

tial equation which can be solved. Another integration constant arises. This second
constant, along with K, are determined by the two end point conditions.

Example 1.10
Find the curve of minimum length between the points (x1 , y1 ) and (x2 , y2 ).
If y(x) is the curve, then y(x1 ) = y1 and y(x2 ) = y2 . The length of the curve is
Z x2 p
L= 1 + (y ′ )2 dx
x1

The Euler equation is

!
d y′
p =0
dx 1 + (y ′ )2
which can be integrated to give
y′
p =K
1 + (y ′ )2
Solving for y ′ we get
r
′ K2
y = ≡A
1 − K2
from which
y = Ax + B
The constants A and B are obtained from the boundary conditions y(x1 ) = y1 and y(x2 ) = y2 .

Example 1.11
Find the curve through the points (x1 , y1 ) and (x2 , y2 ), such that the surface area of the body of
revolution by rotating the curve around the x-axis is a minimum.
We wish to minimize Z x2 p
I= y 1 + (y ′ )2 dx
x1

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

42 CHAPTER 1. MULTI-VARIABLE CALCULUS

y 2

. 3
y -2

2.5

2
. 2

curve with
1.5
endpoints at
1 (-1, 3.09), (2, 2.26) z
0
which minimizes
0.5 surface area of body
of revolution corresponding
x -2
-1 -0.5 0 0.5 1 1.5 2 surface of
revolution
-1
0
1
x 2

Figure 1.6: Body of revolution of minimum surface area for (x1 , y1 ) = (−1, 3.08616) and
(x2 , y2 ) = (2, 2.25525)
p
Here f (y, y ′ ) = y 1 + (y ′ )2 . So the Euler equation reduces to
∂f
f (y, y ′ ) − y ′ = A
∂y ′
p y′
y 1 + y ′2 − y ′ y p = A
1 + y ′2
p
y(1 + y ′2 ) − yy ′2
A 1 + y ′2 =
p
y = A 1 + y ′2
r 
′ y 2
y = −1
A
x−B
y(x) = A cosh
A
This is a catenary. The constants A and B are determined from the boundary conditions y(x1 ) = y1
and y(x2 ) = y2 . In general this requires a trial and error solution of simultaneous algebraic equations.
If (x1 , y1 ) = (−1, 3.08616) and (x2 , y2 ) = (2, 2.25525), one finds solution of the resulting algebraic
equations gives A = 2, B = 1.
For these conditions, the curve y(x) along with the resulting body of revolution of minimum surface
area are plotted in Figure 1.6.

1.5 Lagrange multipliers

Suppose we have to determine the extremum of f (x1 , x2 , . . . , xm ) subject to the n constraints
gi (x1 , x2 , . . . , xm ) = 0, i = 1, 2, . . . , n (1.205)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

1.5. LAGRANGE MULTIPLIERS 43

Define
f ∗ = f − λ1 g 1 − λ2 g 2 − . . . − λn g n (1.206)
where the λi (i = 1, 2, · · · , n) are unknown constants called Lagrange14 multipliers. To get
the extremum of f ∗ , we equate to zero its derivative with respect to x1 , x2 , . . . , xm . Thus we
have
∂f ∗
= 0, i = 1, . . . , m (1.207)
∂xi
gi = 0, i = 1, . . . , n (1.208)

which are (m+n) equations that can be solved for xi (i = 1, 2, . . . , m) and λi (i = 1, 2, . . . , n).

Example 1.12
Extremize f = x2 + y 2 subject to the constraint 5x2 − 6xy + 5y 2 = 8.
Let
f ∗ = x2 + y 2 − λ(5x2 − 6xy + 5y 2 − 8)
from which
∂f ∗
= 2x − 10λx + 6λy = 0
∂x
∂f ∗
= 2y + 6λx − 10λy = 0
∂y
g = 5x2 − 6xy + 5y 2 = 8

From the first equation

2x
λ=
10x − 6y
which, when substituted into the second, gives

x = ±y
√ √ √ √
The last equation gives the extrema to be at (x, y) = ( 2, 2), (− 2, − 2), ( √12 , − √12 ), (− √12 , √12 ).
The first two sets give f = 4 (maximum) and the last two f = 1 (minimum). The function to be
maximized along with the constraint function and its image are plotted in Figure 1.7.

A similar technique can be used for the extremization of a functional with constraint.
We wish to find the function y(x), with x ∈ [x1 , x2 ], and y(x1 ) = y1 , y(x2 ) = y2 , such that
the integral Z x2
I= f (x, y, y ′) dx (1.209)
x1

is an extremum, and satisfies the constraint

g=0 (1.210)
14
Joseph-Louis Lagrange, 1736-1813, Italian-born French mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

44 CHAPTER 1. MULTI-VARIABLE CALCULUS

x
2 x y 1 -1
y -1 0
1 0 1
0 1 0
2
-1
-1
-2
8 constrained
4
function

6 3

f(x,y) f(x,y)
4 2

1
2

0
0

unconstrained constraint
function function

Figure 1.7: Unconstrained function f (x, y) along with constrained function and constraint
function (image of constrained function)

Define
I ∗ = I − λg (1.211)
and continue as before.

Example 1.13
Extremize I, where Z a p
I= y 1 + (y ′ )2 dx
0

with y(0) = y(a) = 0, and subject to the constraint

Z ap
1 + (y ′ )2 dx = ℓ
0

That is find the maximum surface area of a body of revolution which has a constant length. Let
Z ap
g= 1 + (y ′ )2 dx − ℓ = 0
0

Then let Z a Z a
∗
p p
I = I − λg = ′ 2
y 1 + (y ) dx − λ 1 + (y ′ )2 dx + λℓ
0 0
Z a p
= (y − λ) 1 + (y ′ )2 dx + λℓ
0
Z a  
p λℓ
= (y − λ) 1 + (y ′ )2 + dx
0 a

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

1.5. LAGRANGE MULTIPLIERS 45

x
0.2 0.4 0.6 0.8 1
-0.05
0.2
-0.1
-0.15
-0.2 0
y
-0.25
-0.3 -0.2

y
0.2 0
0 0.25
z 0.5
-0.2 x
0.75
1

Figure 1.8: Curve of length ℓ = 5/4 with y(0) = y(1) = 0 whose surface area of corresponding
body of revolution (also shown) is maximum.

p λℓ
With f ∗ = (y − λ) 1 + (y ′ )2 + a , we have the Euler equation
 
∂f ∗ d ∂f ∗
− =0
∂y dx ∂y ′

λℓ
Integrating from an earlier developed relationship, Eq. (1.204), when f = f (y, y ′ ), and absorbing a
into a constant A, we have

p y′
(y − λ) 1 + (y ′ )2 − y ′ (y − λ) p =A
1 + (y ′ )2

from which
p
(y − λ)(1 + (y ′ )2 ) − (y ′ )2 (y − λ) = A 1 + (y ′ )2

p
(y − λ) 1 + (y ′ )2 − (y ′ )2 = A 1 + (y ′ )2
p
y − λ = A 1 + (y ′ )2
s 2
y−λ
y′ = −1
A

x−B
y = λ + A cosh
A
Here A, B, λ have to be numerically determined from the three conditions y(0) = y(a) = 0, g = 0.
If we take the case where a = 1, ℓ = 5/4, we find that A = 0.422752, B = 12 , λ = −0.754549. For
these values, the curve of interest, along with the surface of revolution, is plotted in Figure 1.8.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

46 CHAPTER 1. MULTI-VARIABLE CALCULUS

Problems
1. If
z 3 + zx + x4 y = 2y 3 ,

(a) find a general expression for  

∂z  ∂z 
, ,
∂x y ∂y x

(b) evaluate  
∂z  ∂z 
, ,
∂x y ∂y x

at (x, y) = (1, 2), considering only real values of x, y, z, i.e. x, y, z ∈ R1 .

(c) Give a computer generated plot of the surface z(x, y) for x ∈ [−2, 2], y ∈ [−2, 2], z ∈ [−2, 2].
You may wish to use ContourPlot3D in the Mathematica software program.

2. Determine the general curve y(x), with x ∈ [x1 , x2 ], of total R x length L with endpoints y(x1 ) = y1
and y(x2 ) = y2 fixed, for which the area under the curve, x12 y dx, is a maximum. Show that if
(x1 , y1 ) = (0, 0); (x2 , y2 ) = (1, 1); L = 3/2, that the curve which maximizes the area and satisfies all
constraints is the circle, (y + 0.254272)2 + (x − 1.2453)2 = (1.26920)2. Plot this curve. What is the
area? Verify that each constraint is satisfied. What function y(x) minimizes the area and satisfies all
constraints? Plot this curve. What is the area? Verify that each constraint is satisfied.
3. Show that if a ray of light is reflected from a mirror, the shortest distance of travel is when the angle
of incidence on the mirror is equal to the angle of reflection.
4. The speed of light in different media separated by a planar interface is c1 and c2 . Show that if the
time taken for light to go from a fixed point in one medium to another in the second is a minimum,
the angle of incidence, αi , and the angle of refraction, αr , are related by

sin αi c1
=
sin αr c2

5. F is a quadrilateral with perimeter P . Find the form of F such that its area is a maximum. What is
this area?
6. A body slides due to gravity from point A to point B along the curve y = f (x). There is no friction
and the initial velocity is zero. If points A and B are fixed, find f (x) for which the time taken will
be the least. What is this time? If A : (x, y) = (1, 2), B : (x, y) = (0, 0), where distances are in
meters, plot the minimum time curve, and find the minimum time if the gravitational acceleration is
g = −9.81 sm2 j.
R1
7. Consider the integral I = 0 (y ′ − y + ex )2 dx. What kind of extremum does this integral have
(maximum or minimum)? What should y(x) be for this extremum? What does the solution of the
Euler equation give, if y(0) = 0 and y(1) = −e? Find the value of the extremum. Plot y(x) for the
extremum. If y0 (x) is the solution of the Euler equation, compute I for y1 (x) = y0 (x) + h(x), where
you can take any h(x) you like, but with h(0) = h(1) = 0.
8. Find the length of the shortest curve between two points with cylindrical coordinates (r, θ, z) = (a, 0, 0)
and (r, θ, z) = (a, Θ, Z) along the surface of the cylinder r = a.
9. Determine the shape of a parallelogram with a given area which has the least perimeter.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

1.5. LAGRANGE MULTIPLIERS 47

10. Find the extremum of the functional

Z 1
(x2 y ′2 + 40x4 y) dx
0

with y(0) = 0 and y(1) = 1. Plot y(x) which renders the integral at an extreme point.
11. Find the point on the plane ax + by + cz = d which is nearest to the origin.
12. Extremize the integral Z 1
y ′2 dx
0
subject to the end conditions y(0) = 0, y(1) = 0, and also the constraint
Z 1
y dx = 1
0

Plot the function y(x) which extremizes the integral and satisfies all constraints.
13. Show that the functions
x+y
u =
x−y
xy
v =
(x − y)2
are functionally dependent.
14. Find the point on the curve of intersection of z − xy = 10 and x + y + z = 1, that is closest to the
origin.
15. Find a function y(x) with y(0) = 1, y(1) = 0 that extremizes the integral
r  2
Z 1 1 + dy
dx
I= dx
0 y
Plot y(x) for this function.
16. For elliptic cylindrical coordinates
ξ1 = cosh x1 cos x2
ξ2 = sinh x1 sin x2
3
ξ = x3
Find the Jacobian matrix J and the metric tensor G. Find the inverse transformation. Plot lines of
constant x1 and x2 in the ξ 1 and ξ 2 plane.
17. For the elliptic coordinate system of the previous problem, find ∇T · u where u is an arbitrary vector.
18. For parabolic coordinates

ξ1 = x1 x2 cos x3
ξ2 = x1 x2 sin x3
1

ξ3 = (x2 )2 − (x1 )2
2
Find the Jacobian matrix J and the metric tensor G. Find the inverse transformation. Plot lines of
constant x1 and x2 in the ξ 1 and ξ 2 plane.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

48 CHAPTER 1. MULTI-VARIABLE CALCULUS

19. For the parabolic coordinate system of the previous problem, find ∇T · u where u is an arbitrary
vector.
20. Find the covariant derivative of the contravariant velocity vector in cylindrical coordinates.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

Chapter 2

First-order ordinary differential

equations

see Kaplan, 9.1-9.3,

see Lopez, Chapters 1-3,
see Riley, Hobson, and Bence, Chapter 12,
see Bender and Orszag, 1.6.

A first-order ordinary differential equation is of the form

F (x, y, y ′) = 0 (2.1)
dy
where y ′ = dx
.

2.1 Separation of variables

Equation (2.1) is separable if it can be written in the form

P (x)dx = Q(y)dy (2.2)

which can then be integrated.

Example 2.1
Solve
8x + 1
yy ′ = , with y(1) = −5.
y
Separating variables
y 2 dy = 8xdx + dx.
Integrating, we have
y3
= 4x2 + x + C.
3

49
50 CHAPTER 2. FIRST-ORDER ORDINARY DIFFERENTIAL EQUATIONS

10

7.5

2.5

x
-10 -5 5 10

-2.5

-5

Figure 2.1: y(x) which solves yy ′ = (8x + 1)/y with y(1) = −5.

The initial condition gives C = − 140

3 , so that the solution is

y 3 = 12x2 + 3x − 140.

The solution is plotted in Figure 2.1.

2.2 Homogeneous equations

An equation is homogeneous if it can be written in the form
y
y′ = f . (2.3)
x
Defining
y
u= (2.4)
x
we get
y = ux,
from which
y ′ = u + xu′ .

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

2.2. HOMOGENEOUS EQUATIONS 51

Substituting in equation (2.3) and separating variables, we have

u + xu′ = f (u) (2.5)
du
u+x = f (u) (2.6)
dx
du
x = f (u) − u (2.7)
dx
du dx
= (2.8)
f (u) − u x
which can be integrated.
Equations of the form  
′ a1 x + a2 y + a3
y =f (2.9)
a4 x + a5 y + a6
can be similarly integrated.

Example 2.2
Solve
y2
xy ′ = 3y + , with y(1) = 4.
x
This can be written as  y   y 2
y′ = 3 + .
x x
Let u = y/x. Then
f (u) = 3u + u2
Using our developed formula, we get
du dx
2
= .
2u + u x
Since
1 1 1
= −
2u + u2 2u 4 + 2u
both sides can be integrated to give
1
(ln |u| − ln |2 + u|) = ln |x| + C.
2
1
The initial condition gives C = 2 ln 32 , so that the solution can be reduced to
 
 y  2 2
 2x + y  = 3 x .
 

This can be solved explicitly for y(x) for each case of the absolute value. The first case
4 3
3x
y(x) =
1 − 23 x2
is seen to satisfy the condition at x = 1. The second case is discarded as it does not satisfy the condition
at x = 1.
The solution is plotted in Figure 2.2.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

52 CHAPTER 2. FIRST-ORDER ORDINARY DIFFERENTIAL EQUATIONS

y
20

15

10

x
-6 -4 -2 2 4 6

-5

-10

-15

-20

y2
Figure 2.2: y(x) which solves xy ′ = 3y + x
with y(1) = 4

2.3 Exact equations

A differential equation is exact if it can be written in the form

dF (x, y) = 0, (2.10)

where F (x, y) = 0 is a solution to the differential equation. The chain rule is used to expand
the derivative of F (x, y) as
∂F ∂F
dF = dx + dy = 0
∂x ∂y
So, for an equation of the form

P (x, y)dx + Q(x, y)dy = 0 (2.11)

we have an exact differential if

∂F ∂F
= P (x, y), = Q(x, y) (2.12)
∂x ∂y
∂2F ∂P ∂2F ∂Q
= , = (2.13)
∂x∂y ∂y ∂y∂x ∂x

As long as F (x, y) is continuous and differentiable, the mixed second partials are equal, thus,

∂P ∂Q
= (2.14)
∂y ∂x

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

2.4. INTEGRATING FACTORS 53

must hold if F (x, y) is to exist and render the original differential equation to be exact.

Example 2.3
Solve
dy ex−y
=
dx ex−y −1



ex−y dx + 1 − ex−y dy = 0
| {z } | {z }
=P =Q
∂P
= −ex−y
∂y
∂Q
= −ex−y
∂x
∂P ∂Q
Since ∂y = ∂x , the equation is exact. Thus

∂F
= P (x, y)
∂x
∂F
= ex−y
∂x
F (x, y) = ex−y + A(y)
∂F dA
= −ex−y + = Q(x, y) = 1 − ex−y
∂y dy
dA
= 1
dy
A(y) = y−C
x−y
F (x, y) = e +y−C = 0
ex−y + y = C

The solution for various values of C is plotted in Figure 2.3.

2.4 Integrating factors

Sometimes, an equation of the form (2.11) is not exact, but can be made so by multiplication
by a function u(x, y), where u is called the integrating factor. It is not always obvious that
integrating factors exist; sometimes they do not. When one exists, it may not be unique.

Example 2.4
Solve
dy 2xy
= 2
dx x − y2
Separating variables, we get
(x2 − y 2 ) dy = 2xy dx.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

54 CHAPTER 2. FIRST-ORDER ORDINARY DIFFERENTIAL EQUATIONS

y
6

C=2
2

C=1

C=0 x
-6 -4 -2 2 4 6

C = -1

C = -2 -2

Figure 2.3: y(x) which solves y ′ = exp(x − y)/(exp(x − y) − 1)

This is not exact according to criterion (2.14). It turns out that the integrating factor is y −2 , so that
on multiplication, we get  2 
2x x
dx − − 1 dy = 0.
y y2
This can be written as  
x2
d +y =0
y
which gives
x2
+ y = C,
y
x2 + y 2 = Cy.
The solution for various values of C is plotted in Figure 2.4.

The general first-order linear equation

dy(x)
+ P (x) y(x) = Q(x) (2.15)
dx
with
y(xo ) = yo
can be solved using the integrating factor
Rx
P (s)ds
e a = e(F (x)−F (a)) .

We choose a such that

F (a) = 0.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

2.4. INTEGRATING FACTORS 55

y
3
C=3

2 C=2

1 C=1

x
-1.5 -1 -0.5 0.5 1 1.5

-1 C = -1

C = -2
-2

C = -3
-3

2xy
Figure 2.4: y(x) which solves y ′(x) = (x2 −y 2 )

Multiply by the integrating factor and proceed:

 Rx   Rx   
P (s)ds dy(x)
Rx
P (s)ds P (s)ds
e a + e a P (x) y(x) = e a Q(x) (2.16)
dx
d  R x P (s)ds   Rx
P (s)ds

product rule: ea y(x) = e a Q(x) (2.17)
dx
d  R t P (s)ds   Rt
P (s)ds

replace x by t: ea y(t) = e a Q(t) (2.18)
Z x dt Z x R
d  R t P (s)ds  t

integrate: ea y(t) dt = e a P (s)ds Q(t)dt (2.19)
xo dt
Rx R xo
Zxox  Rt 
P (s)ds P (s)ds P (s)ds
e a y(x) − e a y(xo ) = e a Q(t) dt (2.20)
xo

which yields
Rx
 R xo
Z x  Rt  
− P (s)ds P (s)ds P (s)ds
y(x) = e a e a yo + ea Q(t)dt . (2.21)
xo

Example 2.5
Solve
y ′ − y = e2x ; y(0) = yo .
Here
P (x) = −1
or
P (s) = −1

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

56 CHAPTER 2. FIRST-ORDER ORDINARY DIFFERENTIAL EQUATIONS

yo = -2
yo = 0
yo = 2
y
3

x
-3 -2 -1 1 2 3

-1

-2

-3

Figure 2.5: y(x) which solves y ′ − y = e2x with y(0) = yo

Z x Z x
x
P (s)ds = (−1)ds = −s|a = a − x
a a
So
F (τ ) = −τ
For F (a) = 0, take a = 0. So the integrating factor is
Rx
P (s)ds
e a = ea−x = e0−x = e−x
Multiplying and rearranging, we get

dy(x)
e−x − e−x y(x) = ex
dx
d

e−x y(x) = ex
dx
d −t

e y(t) = et
Z x dt Z x
d −t

e y(t) dt = et dt
xo =0 dt xo =0
e−x y(x) − e−0 y(0) = e −e x 0

−x
e y(x) − yo = ex − 1
y(x) = ex (yo + ex − 1)
y(x) = e2x + (yo − 1) ex

The solution for various values of yo is plotted in Figure 2.5.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

2.5. BERNOULLI EQUATION 57

2.5 Bernoulli equation

Some first-order nonlinear equations also have analytical solutions. An example is the
Bernoulli1 equation
y ′ + P (x)y = Q(x)y n . (2.22)
where n 6= 1. Let
u = y 1−n ,
so that 1
y = u 1−n .
The derivative is
1  n  ′
y′ = u 1−n u .
1−n
Substituting in equation (2.22), we get
1  n  ′ 1 n
u 1−n u + P (x)u 1−n = Q(x)u 1−n .
1−n
This can be written as
u′ + (1 − n)P (x)u = (1 − n)Q(x) (2.23)
which is a first-order linear equation of the form (2.15) and can be solved.

2.6 Riccati equation

A Riccati2 equation is of the form
dy
= P (x)y 2 + Q(x)y + R(x). (2.24)
dx
Studied by several Bernoullis and two Riccatis, it was solved by Euler. If we know a specific
solution y = S(x) of this equation, the general solution can then be found. Let
1
y = S(x) + . (2.25)
z(x)
thus
dy dS 1 dz
= − 2 (2.26)
dx dx z dx
Substituting into equation (2.24), we get
 2  
dS 1 dz 1 1
− =P S+ +Q S+ +R (2.27)
dx z 2 dx z z
   
dS 1 dz 2 2S 1 1
− =P S + + 2 +Q S+ +R (2.28)
dx z 2 dx z z z
1
Jacob Bernoulli, 1654-1705, Swiss-born member of a prolific mathematical family.
2
Jacopo Riccati, 1676-1754, Venetian mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

58 CHAPTER 2. FIRST-ORDER ORDINARY DIFFERENTIAL EQUATIONS

Since S(x) is itself a solution to equation (2.24), we subtract appropriate terms to get
   
1 dz 2S 1 1
− 2 = P + 2 +Q (2.29)
z dx z z z
dz
− = P (2Sz + 1) + Qz (2.30)
dx
dz
+ (2P (x)S(x) + Q(x)) z = −P (x). (2.31)
dx
Again this is a first order linear equation in z and x of the form of equation (2.15) and can
be solved.

Example 2.6
Solve
e−3x 2 1
y′ = y − y + 3e3x .
x x
One solution is
y = S(x) = e3x ,
Verify:
e−3x 6x 1 3x
3e3x = e − e + 3e3x
x x
e3x e3x
3e3x = − + 3e3x
x x
3e3x = 3e3x
so let
1
y = e3x + .
z
Also we have
e−3x
P (x) =
x
1
Q(x) = −
x
R(x) = 3e3x
Substituting in the equation, we get
 −3x 
dz e 3x 1 e−3x
+ 2 e − z = −
dx x x x
dz z e−3x
+ =− .
dx x x
The integrating factor here is
dx
R
e x = eln x = x
Multiplying by the integrating factor x
dz
x + z = −e−3x
dx

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

2.7. REDUCTION OF ORDER 59

C= -2
C= 0
C= 2
C= -2 C= -1 y
3

2.5

1.5

0.5

x
-1 -0.8 -0.6 -0.4 -0.2 0.2 0.4
-0.5

-1
C= -2 C= -1

exp(−3x)
Figure 2.6: y(x) which solves y ′ = x
− y/x + 3 exp(3x)

d(xz)
= −e−3x
dx
which can be integrated as
e−3x C e−3x + 3C
z= + = .
3x x 3x
Since y = S(x) + z1 , the solution is thus
3x
y = e3x + .
e−3x + 3C
The solution for various values of C is plotted in Figure 2.6.

2.7 Reduction of order

There are higher order equations that can be reduced to first-order equations and then solved.

2.7.1 y absent
If
f (x, y ′ , y ′′) = 0 (2.32)
then let u(x) = y ′ . Thus u′ (x) = y ′′ , and the equation reduces to
 
du
f x, u, =0 (2.33)
dx

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

60 CHAPTER 2. FIRST-ORDER ORDINARY DIFFERENTIAL EQUATIONS

which is an equation of first order.

Example 2.7
Solve
xy ′′ + 2y ′ = 4x3 .
Let u = y ′ , so that
du
x + 2u = 4x3 .
dx
Multiplying by x
du
x2 + 2xu = 4x4
dx
d 2
(x u) = 4x4 .
dx
This can be integrated to give
4 3 C1
u= x + 2
5 x
from which
1 4 C1
y= x − + C2
5 x
for x 6= 0.

2.7.2 x absent
If
f (y, y ′, y ′′ ) = 0 (2.34)
let u(x) = y ′, so that
dy ′ dy ′ dy du
y ′′ = = = u
dx dy dx dy
The equation becomes  
du
f y, u, u =0 (2.35)
dy
which is also an equation of first order. Note however that the independent variable is now
y while the dependent variable is u.

Example 2.8
Solve
y ′′ − 2yy ′ = 0; y(0) = yo , y ′ (0) = yo′ .
du dy du
Let u = y ′ , so that y ′′ = dx = dx dy = u du
dy . The equation becomes

du
u − 2yu = 0
dy

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

2.7. REDUCTION OF ORDER 61

Now
u=0
satisfies the equation. Thus
dy
= 0
dx
y = C
applying one initial condition: y = yo
This satisfies the initial conditions only under special circumstances, i.e. yo′ = 0. For u 6= 0,
du
= 2y
dy
u = y 2 + C1
apply I.C.’s: yo′ = yo2 + C1
C1 = yo′ − yo2
dy
= y 2 + yo′ − yo2
dx
dy
= dx
y 2 + yo′ − yo2
from which for yo′ − yo2 > 0
!
1 y
p tan−1 p = x + C2
yo − yo2
′ yo − yo2
′
!
1 −1 yo
p tan p = C2
yo′ − yo2 yo′ − yo2
!!
p p yo
y(x) = yo′ − yo2 tan x yo′ − yo2 + tan−1 p
yo′ − yo2

The solution for yo = 0, yo′ = 1 is plotted in Figure 2.7.

For yo′ − yo2 = 0,
dy
= y2
dx
dy
= dx
y2
1
− = x + C2
y
1
− = C2
yo
1 1
− = x−
y yo
1
y = 1
yo −x

For yo′ − yo2 < 0, one would obtain solutions in terms of hyperbolic trigonometric functions.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

62 CHAPTER 2. FIRST-ORDER ORDINARY DIFFERENTIAL EQUATIONS

y
3

x
-1.5 -1 -0.5 0.5 1 1.5

-1

-2

-3

Figure 2.7: y(x) which solves y ′′ − 2yy ′ = 0 with y(0) = 0, y ′(0) = 1

2.8 Uniqueness and singular solutions

Not all differential equations have solutions, as can be seen by considering y ′ = xy ln y, with
y(0) = 2. The equation y = eCx is the general solution of the differential equation, but
no finite value of C allows the initial condition to be satisfied. Let’s check this by direct
substitution:

y = eCx , (2.36)
y ′ = CeCx , (2.37)
y eCx
ln y = ln eCx , (2.38)
x x
eCx
= Cx, (2.39)
x
= CeCx , (2.40)
= y′. (2.41)

So the differential equation is satisfied for all values of C. Now to satisfy the initial condition,
we must have

2 = eC(0) , (2.42)
2 = 1? (2.43)

There is no finite value of C that allows satisfaction of the initial condition. The original
differential equation can be written as xy ′ = y ln y. The point x = 0 is singular since at that

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

2.8. UNIQUENESS AND SINGULAR SOLUTIONS 63

point, the highest derivative is multiplied by 0 leaving only 0 = y ln y at x = 0. For the very
special initial condition y(0) = 1, the solution y = eCx is valid for all values of C. Thus for
this singular equation, for most initial conditions, no solution exists. For one special initial
condition, a solution exists, but it is not unique.
Theorem
Let f (x, y) be continuous and satisfy |f (x, y)| ≤ m and the Lipschitz condition |f (x, y) −
f (x, y0 )| ≤ k|y − y0 | in a bounded region R. Then the equation y ′ = f (x, y) has one and
only one solution containing the point (x0 , y0).
A stronger condition is that if f (x, y) and ∂f /∂y are finite and continuous at (x0 , y0 ),
then a solution of y ′ = f (x, y) exists and is unique in the neighborhood of this point.

Example 2.9
Analyze the uniqueness of the solution of

dy √
= −K y, y(T ) = 0.
dt
Here, t is the independent variable instead of x. Taking,
√
f (t, y) = −K y

we have
∂f K
=− √
∂y 2 y
which is not finite at y = 0. So the solution cannot be guaranteed to be unique. In fact, one solution is
1 2
y(t) = K (t − T )2 .
4
Another solution which satisfies the initial condition and differential equation is

y(t) = 0.

Obviously the solution is not unique.

Example 2.10
Consider the equation
dy
= 3y 2/3 , with y(2) = 0.
dx
On separating variables and integrating

3y 1/3 = 3x + 3C

so that the general solution is

y = (x + C)3

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

64 CHAPTER 2. FIRST-ORDER ORDINARY DIFFERENTIAL EQUATIONS

y
1
0.75
0.5
0.25
x
1 2 3 4
-0.25
-0.5
-0.75
-1
y
1
0.75
0.5
0.25
x
1 2 3 4
-0.25
-0.5
-0.75
-1

Figure 2.8: Two solutions y(x) which satisfy y ′ = 3y 2/3 with y(2) = 0

Applying the initial condition

y = (x − 2)3 .
However,
y=0
and 
(x − 2)3 if x ≥ 2
y=
0 if x < 2
are also solutions. These singular solutions cannot be obtained from the general solution. However,
values of y ′ and y are the same at intersections. Both satisfy the differential equation.
The two solutions are plotted in Figure 2.8.

2.9 Clairaut equation

The solution of a Clairaut3 equation

y = xy ′ + f (y ′) (2.44)
3
Alexis Claude Clairaut, 1713-1765, Parisian/French mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

2.9. CLAIRAUT EQUATION 65

can be obtained by letting y ′ = u(x), so that

y = xu + f (u). (2.45)

Differentiating with respect to x, we get

df ′
y ′ = xu′ + u +
u (2.46)
du
df
u = xu′ + u + u′ (2.47)
  du
df
u′ x + = 0. (2.48)
du

There are two possible solutions to this, u′ = 0 or x + df /du = 0. If we consider the first
and take
du
u′ = = 0, (2.49)
dx
we can integrate to get
u=C (2.50)
where C is a constant. Then, from equation (2.45), we get the general solution

y = Cx + f (C) (2.51)

Applying an initial condition y(xo ) = yo gives what we will call the regular solution.
But if we take
df
x+ =0 (2.52)
du
then this equation along with equation (2.45)

df
y = −u + f (u) (2.53)
du
form a set of parametric equations for what we call the singular solution. It is singular
because the coefficient on the highest derivative in Eq. (2.48) is itself 0.

Example 2.11
Solve
y = xy ′ + (y ′ )3 , y(0) = yo
Take
u = y′
then
f (u) = u3
df
= 3u2
du

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

66 CHAPTER 2. FIRST-ORDER ORDINARY DIFFERENTIAL EQUATIONS

y
6 yo = 3

yo = 2
4
yo = 0
(singular) yo = 1
2

x yo = 0
-4 -3 -2 -1 1 2

-2
yo = 0
y o= -1
(singular)
-4
y o= -2
-6 y o= -3

Figure 2.9: Two solutions y(x) which satisfy y = xy ′ + (y ′)3 with y(0) = yo

so specializing y = Cx + f (C) gives

y = Cx + C 3
as the general solution. Use the initial condition to evaluate C and get the regular solution:
yo = C(0) + C 3
C = yo1/3
y = yo1/3 x + yo
1/3 √ 1/3
Note if yo ∈ R1 , there are actually three roots for C: C = yo , (−1/2 ± i 3/2)yo . So the solution
is non-unique. However, if we confine our attention to real valued solutions, there is a unique real
1/3
solution, with C = yo .
The parametric form of the singular solution is
y = −2u3
x = −3u2
Eliminating the parameter u, we obtain
 x 3/2
y = ±2 −
3
as the explicit form of the singular solution.
The regular solutions and singular solution are plotted in Figure 2.9. Note
• In contrast to solutions for equations linear in y ′ , the trajectories y(x; yo ) cross at numerous locations
in the x − y plane. This is a consequence of the differential equation’s non-linearity
• While the singular solution satisfies the differential equation, it satisfies this initial condition only
when yo = 0
• For real valued x and y, the singular solution is only valid for x ≤ 0.
• Because of non-linearity, addition of the regular and singular solutions does not yield a solution to
the differential equation.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

2.9. CLAIRAUT EQUATION 67

Problems
1. Find the general solution of the differential equation

y ′ + x2 y(1 + y) = 1 + x3 (1 + x).

Plot solutions for y(0) = −2, 0, 2.

2. Solve 2
ẋ = 2tx + te−t x2 .
Plot a solution for x(0) = 1.
3. Solve
3x2 y 2 dx + 2x3 y dy = 0.

4. Solve
dy x−y
= .
dx x+y
5. Solve the nonlinear equation (y ′ − x)y ′′ + 2y ′ = 2x.
6. Solve xy ′′ + 2y ′ = x. Plot a solution for y(1) = 1, y ′ (1) = 1.
7. Solve y ′′ − 2yy ′ = 0. Plot a solution for y(0) = 0, y ′ (0) = 3.
8. Given that y1 = x−1 is one solution of y ′′ + x3 y ′ + 1
x2 y = 0, find the other solution.
9. Solve
(a) y ′ tan y + 2 sin x sin( π2 + x) + ln x = 0
(b) xy ′ − 2y − x4 − y 2 = 0
(c) y ′ cos y cos x + sin y sin x = 0
(d) y ′ + y cot x = ex
2
(e) x5 y ′ + y + ex (x6 − 1)y 3 = 0, with y(1) = e−1/2
(f) y ′ + y 2 − xy − 1 = 0
(g) y ′ (x + y 2 ) − y = 0
x+2y−5
(h) y ′ = −2x−y+4

(i) y ′ + xy = y
Plot solutions, when possible, for y(0) = −1, 0, 1.
10. Find all solutions of
(x + 1)(y ′ )2 + (x − y)y ′ − y = 0

11. Find an a for which a unique real solution of

(y ′ )4 + 8(y ′ )3 + (3a + 16)(y ′ )2 + 12ay ′ + 2a2 = 0, with y(1) = −2

exists. Find the solution.

12. Solve
1 2 1
y′ − y + y=1
x2 x

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

68 CHAPTER 2. FIRST-ORDER ORDINARY DIFFERENTIAL EQUATIONS

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

Chapter 3

Linear ordinary differential equations

see Kaplan, 9.1-9.4,

see Lopez, Chapter 5,
see Bender and Orszag, 1.1-1.5,
see Riley, Hobson, and Bence, Chapter 13, Chapter 15.6,
see Friedman, Chapter 3.

3.1 Linearity and linear independence

An ordinary differential equation can be written in the form

L(y) = f (x) (3.1)

where y(x) is an unknown function. The equation is said to be homogeneous if f (x) = 0, giving then

L(y) = 0 (3.2)
d d2
The operator L is composed of a combination of derivatives dx , dx2 etc. L is linear if

L(y1 + y2 ) = L(y1 ) + L(y2 ) (3.3)

and
L(αy) = αL(y) (3.4)
where α is a scalar. The general form of L is

dn dn−1 d
L = Pn (x) n
+ Pn−1 (x) n−1 + . . . + P1 (x) + P0 (x) (3.5)
dx dx dx
The ordinary differential equation (3.1) is then linear.
Definition: The functions y1 (x), y2 (x), . . . , yn (x) are said to be linearly independent when C1 y1 (x)+C2 y2 (x)+
. . . + Cn yn (x) = 0 is true only when C1 = C2 = . . . = Cn = 0.

A homogeneous equation of order n can be shown to have n linearly independent solutions. These are
called complementary functions. If yi (i = 1, . . . , n) are the complementary functions of the equation, then
n
X
y(x) = Ci yi (x) (3.6)
i=1

69
70 CHAPTER 3. LINEAR ORDINARY DIFFERENTIAL EQUATIONS

is the general solution of the homogeneous equation. If yp (x) is a particular solution of equation (3.1), the
general solution is then
Xn
y(x) = yp (x) + Ci yi (x). (3.7)
i=1

Now we would like to show that any solution φ(x) to the homogeneous equation L(y) = 0 can be written
as a linear combination of the n complementary functions yi (x):

C1 y1 (x) + C2 y2 (x) + . . . + Cn yn (x) = φ(x) (3.8)

We can form additional equations by taking a series of derivatives up to n − 1:

C1 y1′ (x) + C2 y2′ (x) + . . . + Cn yn′ (x) = φ′ (x) (3.9)

..
. (3.10)
(n−1) (n−1)
C1 y1 (x) + C2 y2 (x) + ... + Cn yn(n−1) (x) = φ(n−1)
(x) (3.11)

This is a linear system of algebraic equations:

 
y1 y2 ... yn C1
  φ(x) 
 y1′ y ′
2 . .. yn′   C2   φ′ (x) 
 
 .. .. ..   ..  = ..  (3.12)
 . . ... .  .   .

(n−1) (n−1) (n−1)
y1 y2 . . . yn Cn φ(n−1) (x)

For a unique solution, we need the determinant of the coefficient matrix to be non-zero. This particular
determinant is known as the Wronskian1 W of y1 (x), y2 (x), . . . , yn (x) and is defined as
 
 y1 y2 ... yn 
 
 y1′ y2′ ... yn′ 
 
W = .. .. ..  (3.13)

 (n−1). . ... . 

 y (n−1) (n−1)
1 y2 . . . yn 

W 6= 0 indicates linear independence of the functions y1 (x), y2 (x), . . . , yn (x), since if φ(x) ≡ 0, the only
solution is Ci = 0, i = 1, . . . , n. Unfortunately, the converse is not always true; that is if W = 0, the
complementary functions may or may not be linearly dependent, though in most cases W = 0 indeed implies
linear dependence.

Example 3.1
Determine the linear independence of (a) y1 = x and y2 = 2x, (b) y1 = x and y2 = x2 , and (c)
y1 = x2 and y2 = x|x| for x ∈ (−1, 1)
 x 2x 
(a) W =   = 0, linearly dependent.
1 2 
 
 x x2 
(b) W =   = x2 6= 0, linearly independent, except at x = 0.
1 2x 
(c) We can restate y2 as
y2 (x) = −x2 x ∈ (−1, 0]
1
Józef Maria Hoene-Wroński, 1778-1853, Polish-born French mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

3.2. COMPLEMENTARY FUNCTIONS 71

y2 (x) = x2 x ∈ (0, 1)
so that  2 
 x −x2 
W =   = −2x3 + 2x3 = 0 x ∈ (−1, 0]
2x −2x 
 2 
 x x2 
W =   = 2x3 − 2x3 = 0 x ∈ (0, 1)
2x 2x 
Thus W = 0 for x ∈ (−1, 1), which suggests the functions may be linearly dependent. However, when
we seek C1 and C2 such that C1 y1 + C2 y2 = 0, we find the only solution is C1 = 0, C2 = 0; therefore,
the functions are in fact linearly independent, despite the fact that W = 0! Let’s check this. For
x ∈ (−1, 0],
C1 x2 + C2 (−x2 ) = 0,
so we will need C1 = C2 at a minimum. For x ∈ (0, 1),

C1 x2 + C2 x2 = 0,

which gives the requirement that C1 = −C2 . Substituting the first condition into the second gives
C2 = −C2 , which is only satisfied if C2 = 0, thus requiring that C1 = 0; hence, the functions are indeed
linearly independent.

3.2 Complementary functions

This section will consider solutions to the homogeneous part of the differential equation.

3.2.1 Equations with constant coefficients

First consider equations with constant coefficients.

3.2.1.1 Arbitrary order

Consider the homogeneous equation with constant coefficients

An y (n) + An−1 y (n−1) + . . . + A1 y ′ + A0 y = 0 (3.14)

where Ai , (i = 0, . . . , n) are constants. To find the solution of this equation we let y = erx .
Substituting we get

An r n erx + An−1 r (n−1) erx + . . . + A1 r 1 erx + A0 erx = 0. (3.15)

Eliminating the non-zero common factor erx , we get

An r n + An−1 r (n−1) + . . . + A1 r 1 + A0 r 0 = 0 (3.16)

X n
Aj r j = 0. (3.17)
j=0

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

72 CHAPTER 3. LINEAR ORDINARY DIFFERENTIAL EQUATIONS

This is called the characteristic equation. It is an nth order polynomial which has n roots
(some of which could be repeated, some of which could be complex), ri (i = 1, . . . , n)
from which n linearly independent complementary functions yi(x) (i = 1, . . . , n) have to be
obtained. The general solution is then given by equation (3.6).
If all roots are real and distinct, then the complementary functions are simply eri x ,
(i = 1, . . . , n). If, however, k of these roots are repeated, i.e. r1 = r2 = . . . = rk = r,
then the linearly independent complementary functions are obtained by multiplying erx by
1, x, x2 , . . . , xk−1 . For a pair of complex conjugate roots p ± qi, one can use de Moivre’s for-
mula (see Appendix) to show that the complementary functions are epx cos qx and epx sin qx.

Example 3.2
Solve
d4 y d3 y d2 y dy
4
− 2 3
+ 2
+2 − 2y = 0
dx dx dx dx
Substituting y = erx , we get a characteristic equation

r4 − 2r3 + r2 + 2r − 2 = 0

which can be factorized as

(r + 1)(r − 1)(r2 − 2r + 2) = 0
from which
r1 = −1, r2 = 1 r3 = 1 + i r4 = 1 − i
The general solution is

y(x) = C1 e−x + C2 ex + C3′ e(1+i)x + C4′ e(1−i)x

= C1 e−x + C2 ex + C3′ ex eix + C4′ ex e−ix


= C1 e−x + C2 ex + ex C3′ eix + C4′ e−ix
= C1 e−x + C2 ex + ex (C3′ (cos x + i sin x) + C4′ (cos(−x) + i sin(−x)))
= C1 e−x + C2 ex + ex ((C3′ + C4′ ) cos x + i(C3′ − C4′ ) sin x)
y(x) = C1 e−x + C2 ex + ex (C3 cos x + C4 sin x)

where C3 = C3′ + C4′ and C4 = i(C3′ − C4′ ).

3.2.1.2 First order

The characteristic polynomial of the first order equation

ay ′ + by = 0 (3.18)
is
ar + b = 0 (3.19)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

3.2. COMPLEMENTARY FUNCTIONS 73

so
b
r=− (3.20)
a
thus the complementary function for this equation is simply
b
y = Ce− a x (3.21)

3.2.1.3 Second order

The characteristic polynomial of the second order equation

d2 y dy
a 2
+ b + cy = 0 (3.22)
dx dx
is
ar 2 + br + c = 0 (3.23)
Depending on the coefficients of this quadratic equation, there are three cases to be consid-
ered.

• b2 − 4ac > 0: two distinct real roots r1 and r2 . The complementary functions are
y1 = er1 x and y2 = er2 x .

• b2 − 4ac = 0: one real root. The complementary functions are y1 = erx and y2 = xerx .

• b2 − 4ac < 0: two complex conjugate roots p ± qi. The complementary functions are
y1 = epx cos qx and y2 = epx sin qx.

Example 3.3
Solve
d2 y dy
2
−3 + 2y = 0
dx dx
The characteristic equation is
r2 − 3r + 2 = 0
with solutions
r1 = 1, r2 = 2.
The general solution is then
y = C1 ex + C2 e2x

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

74 CHAPTER 3. LINEAR ORDINARY DIFFERENTIAL EQUATIONS

Example 3.4
Solve
d2 y dy
2
−2 +y =0
dx dx
The characteristic equation is
r2 − 2r + 1 = 0
with repeated roots
r1 = 1, r2 = 1.
The general solution is then
y = C1 ex + C2 xex

Example 3.5
Solve
d2 y dy
2
−2 + 10y = 0
dx dx
The characteristic equation is
r2 − 2r + 10 = 0
with solutions
r1 = 1 + 3i, r2 = 1 − 3i.
The general solution is then
y = ex (C1 cos 3x + C2 sin 3x)

3.2.2 Equations with variable coefficients

3.2.2.1 One solution to find another
If y1 (x) is a known solution of

y ′′ + P (x)y ′ + Q(x)y = 0 (3.24)

let the other solution be y2 (x) = u(x)y1 (x). We then form derivatives of y2 and substitute
into the original differential equation. First compute the derivatives:

y2′ = uy1′ + u′ y1 (3.25)

y2′′ = uy1′′ + u′ y1′ + u′ y1′ + u′′ y1 (3.26)
y2′′ = uy1′′ + 2u′ y1′ + u′′ y1 (3.27)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

3.2. COMPLEMENTARY FUNCTIONS 75

Substituting into Eq. (3.24), we get

(uy1′′ + 2u′ y1′ + u′′ y1 ) + P (x)(uy1′ + u′y1 ) + Q(x)uy1 = 0 (3.28)

u′′ y1 + u′ (2y1′ + P (x)y1) + u (y1′′ + P (x)y1′ + Q(x)y1 ) = 0 (3.29)
| {z }
=0
′′ ′
cancel coefficient on u: u y1 + u (2y1′ + P (x)y1 ) = 0. (3.30)

This can be written as a first-order equation in v, where v = u′ :

v ′ y1 + v(2y1′ + P (x)y1) = 0 (3.31)

which is solved for v(x) using known methods for first order equations.

3.2.2.2 Euler equation

An equation of the type
d2 y dy
x22
+ Ax + By = 0, (3.32)
dx dx
where A and B are constants, can be solved by a change of independent variables. Let

z = ln x

so that
x = ez .
Then
dz 1
= = e−z ,
dx x
dy dy dz dy d d
= = e−z so = e−z
dx dz dx dz dx dz
2
     2 
dy d dy −z d −z dy −2z d y dy
= =e e =e −
dx2 dx dx dz dz dz 2 dz
Substituting into the differential equation, we get

d2 y dy
2
+ (A − 1) + By = 0 (3.33)
dz dz
which is an equation with constant coefficients.
In what amounts to the same approach, one can alternatively assume a solution of the
form y = Cxr . This leads to a characteristic polynomial for r of

r(r − 1) + Ar + B = 0. (3.34)

The two roots for r induce two linearly independent complementary functions.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

76 CHAPTER 3. LINEAR ORDINARY DIFFERENTIAL EQUATIONS

Example 3.6
Solve
x2 y ′′ − 2xy ′ + 2y = 0, for x > 0.
With x = ez , we get
d2 y dy
2
− 3 + 2y = 0.
dz dz
The solution is
y = C1 ez + C2 e2z = C1 x + C2 x2 .
Note that this equation can also be solved by letting y = Cxr . Substituting into the equation, we get
r2 − 3r + 2 = 0, so that r1 = 1 and r2 = 2. The solution is then obtained as a linear combination of
xr1 and xr2 .

Example 3.7
Solve
d2 y dy
x2 + 3x + 15y = 0.
dx2 dx
Let us assume here that y = Cxr . Substituting this assumption into the equation yields

x2 Cr(r − 1)xr−2 + 3xCrxr−1 + 15Cxr = 0.

For x 6= 0, C 6= 0, we divide by Cxr to get

r(r − 1) + 3r + 15 = 0.

r2 + 2r + 15 = 0.
Solving gives √
r = −1 ± i 14.
Thus, we see there are two linearly independent complementary functions:
√ √
y(x) = C1 x−1+i 14
+ C2 x−1−i 14
.

Factoring gives
1 √ √ 
y(x) = C1 xi 14 + C2 x−i 14 .
x
Expanding in terms of exponentials and logarithms gives
1 √ √ 
y(x) = C1 (exp(ln x))i 14 + C2 (exp(ln x))−i 14 .
x
1 √ √ 
y(x) = C1 exp(i 14 ln x) + C2 exp(i 14 ln x) .
x
1 √ √ 
y(x) = Ĉ1 cos( 14 ln x) + Ĉ2 sin( 14 ln x) .
x

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

3.3. PARTICULAR SOLUTIONS 77

3.3 Particular solutions

We will now consider particular solutions of the inhomogeneous equation (3.1).

3.3.1 Method of undetermined coefficients

Guess a solution with unknown coefficients and then substitute in the equation to determine
these coefficients.

Example 3.8

y ′′ + 4y ′ + 4y = 169 sin 3x
Thus
r2 + 4r + 4 = 0

(r + 2)(r + 2) = 0

r1 = −2, r2 = −2
Since the roots are repeated, the complementary functions are

y1 = e−2x y2 = xe−2x

For the particular function, guess

yp = a sin 3x + b cos 3x

so
yp′ = 3a cos 3x − 3b sin 3x

yp′′ = −9a sin 3x − 9b cos 3x

Substituting in the differential equation, we get

(−9a sin 3x − 9b cos 3x) + 4 (3a cos 3x − 3b sin 3x) + 4 (a sin 3x + b cos 3x) = 169 sin 3x

(−5a − 12b) sin 3x + (12a − 5b) cos 3x = 169 sin 3x

Equating the coefficients of the sin and cos terms,
    
12 −5 a 0
=
−5 −12 b 169

we find that a = −5 and b = −12. The solution is then

y(x) = (C1 + C2 x)e−2x − 5 sin 3x − 12 cos 3x.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

78 CHAPTER 3. LINEAR ORDINARY DIFFERENTIAL EQUATIONS

Example 3.9
Solve
y ′′′′ − 2y ′′′ + y ′′ + 2y ′ − 2y = x2 + x + 1
Let the particular integral be of the form yp = ax2 + bx + c. Substituting we get
−(2a + 1)x2 + (4a − 2b − 1)x + (2a + 2b − 2c − 1) = 0
For this to hold for all values of x, the coefficients must be zero, from which a = − 12 , b = − 23 , and
c = − 25 . Thus
1
yp = − (x2 + 3x + 5)
2
The solution of the homogeneous equation was found in a previous example, so that the general solution
is
1
y = C1 e−x + C2 ex + ex (C3 cos x + C4 sin x) − (x2 + 3x + 5)
2

A variant must be attempted if any term of f (x) is a complementary function.

Example 3.10
Solve
y ′′ + 4y = 6 sin 2x
Since sin 2x is a complementary function, we will try
yp = x(a sin 2x + b cos 2x)
from which
yp′ = 2x(a cos 2x − b sin 2x) + (a sin 2x + b cos 2x)
yp′′ = −4x(a sin 2x + b cos 2x) + 4(a cos 2x − b sin 2x)

Substituting into the equation, we compare coefficients and get a = 0, b = − 32 . The general solution
is then
3
y = C1 sin 2x + C2 cos 2x − x cos 2x.
2

Example 3.11
Solve
y ′′ + 2y ′ + y = xe−x
The complementary functions are e−x and xe−x . To get the particular solution we have to choose
a function of the kind yp = ax3 e−x . On substitution we find that a = 1/6. Thus the general solution is
1
y = C1 e−x + C2 xe−x + x3 e−x
6

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

3.3. PARTICULAR SOLUTIONS 79

3.3.2 Variation of parameters

For an equation of the kind

Pn (x)y (n) + Pn−1 (x)y (n−1) + . . . + P1 (x)y ′ + P0 (x)y = f (x) (3.35)

we propose
n
X
yp = ui (x)yi (x) (3.36)
i=1

where yi(x), (i = 1, . . . , n) are complementary functions of the equation, and ui (x) are n
unknown functions. Differentiating, we have
n
X n
X
yp′ = u′i yi + ui yi′ .
i=1 i=1
Pn
We set i=1 u′i yi to zero as a first condition. Differentiating the rest
n
X n
X
yp′′ = u′i yi′ + uiyi′′ .
i=1 i=1

Again we set the first term on the right side to zero as a second condition. Following this
procedure repeatedly we arrive at
n
X n
X
(n−2) (n−1)
yp(n−1) = u′iyi + ui yi .
i=1 i=1

The vanishing of the first term on the right gives us the (n − 1)’th condition. Substituting
these in the governing equation, the last condition
n
X n
X  
(n−1) (n) (n−1)
Pn (x) u′i yi + ui Pn y i + Pn−1 yi + ...+ P1 yi′ + P0 yi = f (x)
i=1 i=1 | {z }
=0

is obtained. Since each of the functions yi is a complementary function, the term within
brackets is zero.
To summarize, we have the following n equations in the n unknowns u′i , (i = 1, . . . , n)
that we have obtained:
n
X
u′iyi = 0,
i=1

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

80 CHAPTER 3. LINEAR ORDINARY DIFFERENTIAL EQUATIONS

n
X
u′iyi′ = 0,
i=1
..
. (3.37)
n
X (n−2)
u′i yi = 0,
i=1
n
X (n−1)
Pn (x) u′i yi = f (x).
i=1

These can be solved for u′i , and then integrated to give the ui ’s.

Example 3.12
Solve
y ′′ + y = tan x.
The complementary functions are

y1 = cos x, y2 = sin x

The equations for u1 (x) and u2 (x) are

u′1 y1 + u′2 y2 = 0
u′1 y1′ + u′2 y2′ = tan x.

Solving this system, which is linear in u′1 and u′2 , we get

u′1 = − sin x tan x,

u′2 = cos x tan x

Integrating, we get
Z
u1 = − sin x tan x dx = sin x − ln | sec x + tan x|,
Z
u2 = cos x tan x dx = − cos x.

The particular solution is

yp = u 1 y1 + u 2 y2
= (sin x − ln | sec x + tan x|) cos x − cos x sin x
= − cos x ln | sec x + tan x|

The complete solution, obtained by adding the complementary and particular, is

y = C1 cos x + C2 sin x − cos x ln | sec x + tan x|

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

3.3. PARTICULAR SOLUTIONS 81

3.3.3 Green’s functions

A similar goal can be achieved for boundary value problems involving a more general linear
operator L, where L is given by Eq. (3.5). If on the closed interval a ≤ x ≤ b we have a two
point boundary problem for a general linear differential equation of the form:

Ly = f (x), (3.38)
where the highest derivative in L is order n and with general homogeneous boundary condi-
tions at x = a and x = b on linear combinations of y and n − 1 of its derivatives:

T
T
A y(a), y ′(a), . . . , y (n−1) (a) + B y(b), y ′(b), . . . , y (n−1) (b) =0 (3.39)

where A and B are n × n constant coefficient matrices, then knowing L, A and B, we can
form a solution of the form:
Z b
y(x) = f (s)g(x, s)ds (3.40)
a
This is desirable as
• once g(x, s) is known, the solution is defined for all f including

– forms of f for which no simple explicit integrals can be written

– piecewise continuous forms of f

• numerical solution of the quadrature problem is more robust than direct numerical
solution of the original differential equation

• the solution will automatically satisfy all boundary conditions

• the solution is useful in experiments in which the system dynamics are well charac-
terized (e.g. mass spring damper) but the forcing may be erratic (perhaps digitally
specified)
We now define the Green’s2 function: g(x, s) and proceed to show that with this definition,
we are guaranteed to achieve the solution to the differential equation in the desired form as
shown at the beginning of the section. We take g(x, s) to be the Green’s function for the
linear differential operator L, as defined by Eq. (3.5), if it satisfies the following conditions:
1. Lg(x, s) = δ(x − s)

2. g(x, s) satisfies all boundary conditions given on x

3. g(x, s) is a solution of Lg = 0 on a ≤ x < s and on s < x ≤ b

2
George Green, 1793-1841, English corn-miller and mathematician of humble origin and uncertain edu-
cation, though he generated modern mathematics of the first rank.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

82 CHAPTER 3. LINEAR ORDINARY DIFFERENTIAL EQUATIONS

4. g(x, s), g ′(x, s), . . . , g (n−2) (x, s) are continuous for x ∈ [a, b]

5. g (n−1) (x, s) is continuous for [a, b] except at x = s where it has a jump of 1/Pn (s); the
jump is defined from left to right.

Also for purposes of the above conditions, s is thought of as a constant parameter. In the
actual Green’s function representation of the solution, s is a dummy variable. The Dirac
delta function δ(x − s) is discussed in the appendix and in Sec. 7.20 in Kaplan.
These conditions are not all independent; nor is the dependence obvious. Consider for
example,

d2 d
L = P2 (x) 2 + P1 (x) + Po (x)
dx dx
Then we have
d2 g dg
P2 (x) 2
+ P1 (x) + Po (x)g = δ(x − s)
dx dx
d2 g P1 (x) dg Po (x) δ(x − s)
+ + g =
dx2 P2 (x) dx P2 (x) P2 (x)

Now integrate both sides with respect to x in a small neighborhood enveloping x = s:

Z s+ǫ 2 Z s+ǫ Z s+ǫ Z s+ǫ
dg P1 (x) dg Po (x) δ(x − s)
2
dx + dx + g dx = dx
s−ǫ dx s−ǫ P2 (x) dx s−ǫ P2 (x) s−ǫ P2 (x)

Since P ′s are continuous, as we let ǫ → 0 we get

Z s+ǫ 2 Z Z Z s+ǫ
dg P1 (s) s+ǫ dg Po (s) s+ǫ 1
2
dx + dx + g dx = δ(x − s) dx
s−ǫ dx P2 (s) s−ǫ dx P2 (s) s−ǫ P2 (s) s−ǫ

Integrating
  Z
dg  dg  P1 (s)
Po (s) s+ǫ 1 s+ǫ
− + g|s+ǫ − g|s−ǫ + g dx = H(x − s)|s−ǫ
dx s+ǫ dx s−ǫ P2 (s)
  P2 (s) s−ǫ P2 (s)

Since g is continuous, this reduces to

 
dg  dg  1
− =
dx s+ǫ dx s−ǫ
  P2 (s)

This is consistent with the final point, that the second highest derivative of g suffers a jump
at x = s.
Next, we show that applying this definition of g(x, s) to our desired result lets us recover
the original differential equation, rendering g(x, s) to be appropriately defined. This can be

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

3.3. PARTICULAR SOLUTIONS 83

easily shown by direct substitution:

Z b
y(x) = f (s)g(x, s)ds
a
Z b
Ly = L f (s)g(x, s)ds
a
∂n
L behaves as ∂xn
, via Leibniz’s rule:
Z b
= f (s)Lg(x, s)ds
a
Z b
= f (s)δ(x − s)ds
a
= f (x)

The analysis can be extended in a straightforward manner to more arbitrary systems with
inhomogeneous boundary conditions using matrix methods (c.f. Wylie and Barrett, 1995).

Example 3.13
Find the Green’s function and the corresponding solution integral of the differential equation

d2 y
= f (x)
dx2
subject to boundary conditions
y(0) = 0, y(1) = 0
Verify the solution integral if f (x) = 6x.
Here
d2
L=
dx2
Now 1) break the problem up into two domains: a) x < s, b) x > s, 2) Solve Lg = 0 in both domains;
four constants arise, 3) Use boundary conditions for two constants, 4) use conditions at x = s: continuity
dg
of g and a jump of dx , for the other two constants.
a) x < s

d2 g
= 0
dx2
dg
= C1
dx
g = C1 x + C2
g(0) = 0 = C1 (0) + C2
C2 = 0
g(x, s) = C1 x, x<s

b) x > s

d2 g
= 0
dx2

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

84 CHAPTER 3. LINEAR ORDINARY DIFFERENTIAL EQUATIONS

dg
= C3
dx
g = C3 x + C4
g(1) = 0 = C3 (1) + C4
C4 = −C3
g(x, s) = C3 (x − 1) , x>s
Continuity of g(x, s) when x = s:
C1 s = C3 (s − 1)
s−1
C1 = C3
s
s−1
g(x, s) = C3 x, x<s
s
g(x, s) = C3 (x − 1) , x>s
dg
Jump in dx at x = s (note P2 (x) = 1):
 
dg  dg 
− = 1
dx s+ǫ dx s−ǫ
s−1
C3 − C3 = 1
s
C3 = s
g(x, s) = x(s − 1), x<s
g(x, s) = s(x − 1), x>s
Note some properties of g(x, s) which are common in such problems:
• it is broken into two domains
• it is continuous in and through both domains
• its n − 1 (here n = 2, so first) derivative is discontinuous at x = s
• it is symmetric in s and x across the two domains
• it is seen by inspection to satisfy both boundary conditions
The general solution in integral form can be written by breaking the integral into two pieces as
Z x Z 1
y(x) = f (s) s(x − 1) ds + f (s) x(s − 1) ds
0 x
Z x Z 1
y(x) = (x − 1) f (s) s ds + x f (s) (s − 1) ds
0 x
Now evaluate the integral if f (x) = 6x (thus f (s) = 6s).
Z x Z 1
y(x) = (x − 1) (6s) s ds + x (6s) (s − 1) ds
0 x
Z x Z 1
2


= (x − 1) 6s ds + x 6s2 − 6s ds
0 x

x
1
= (x − 1) 2s3 0 + x 2s3 − 3s2 x
= (x − 1)(2x3 − 0) + x((2 − 3) − (2x3 − 3x2 ))
= 2x4 − 2x3 − x − 2x4 + 3x3
y(x) = x3 − x

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

3.3. PARTICULAR SOLUTIONS 85

Note the original differential equation and both boundary conditions are automatically satisfied by the
solution.
The solution is plotted in Figure 3.1.

y’’ = 6x, y(0) = 0, y(1) = 0 y

y
x 1.5
0.2 0.4 0.6 0.8 1
1

-0.1
0.5

-0.2 x
-2 -1 1 2

-0.5
-0.3
-1

-1.5
3
y(x) = x - x 3
y(x) = x - x
in domain of interest 0 < x < 1 in expanded domain, -2 < x < 2

Figure 3.1: Sketch of problem solution, y ′′ = 6x, y(0) = y(1) = 0.

3.3.4 Operator D
The linear operator D is defined by

dy
D(y) = .
dx
or, in terms of the operator alone,
d
D=
dx
The operator can be repeatedly applied, so that

dn y
Dn (y) = .
dxn
Another example of its use is

(D − a)(D − b)f (x) = (D − a)((D − b)f (x))

 
df
= (D − a) − bf
dx
d2 f df
= − (a + b) + abf
dx2 dx
CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.
86 CHAPTER 3. LINEAR ORDINARY DIFFERENTIAL EQUATIONS

Negative powers of D are related to integrals. This comes from

dy(x)
= f (x) y(xo ) = yo
dx Z x
y(x) = yo + f (s) ds
xo

then

substituting: D(y(x)) = f (x)

apply inverse: D (D(y(x))) = D−1 (f (x))
−1

y(x) = D−1 (f (x))

Z x
= yo + f (s) ds
xo
Z x
−1
so D = yo + (. . .) ds
xo

We can evaluate h(x) where

1
h(x) = f (x) (3.41)
D−a
in the following way
 
1
(D − a) h(x) = (D − a) f (x)
D−a
(D − a) h(x) = f (x)
dh(x)
− ah(x) = f (x)
dx
dh(x)
e−ax − ae−ax h(x) = f (x)e−ax
dx
d −ax

e h(x) = f (x)e−ax
dx
d −as

e h(s) = f (s)e−as
Z x ds Z x
d −as

e h(s) ds = f (s)e−as ds
xo ds
Zxox
e−ax h(x) − e−axo h(xo ) = f (s)e−as ds
xo
Z x
a(x−xo ) ax
h(x) = e h(xo ) + e f (s)e−as ds
Zxox
1
f (x) = ea(x−xo ) h(xo ) + eax f (s)e−as ds
D−a xo

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

3.3. PARTICULAR SOLUTIONS 87

This gives us h(x) explicitly in terms of the known function f such that h satisfies D(h)−ah =
f.
We can iterate to find the solution to higher order equations such as

(D − a)(D − b)y(x) = f (x) y(xo ) = yo , y ′ (xo ) = yo′

1
(D − b)y(x) = f (x)
D−a
(D − b)y(x) = h(x)
Z x
b(x−xo ) bx
y(x) = yo e +e h(s)e−bs ds
xo

Note that Z x
dy
= yobeb(x−xo ) + h(x) + bebx h(s)e−bs ds
dx xo

dy
(xo ) = yo′ = yo b + h(xo )
dx
which can be rewritten as
(D − b)(y(xo )) = h(xo )
which is what one would expect.
Returning to the problem at hand, we take our expression for h(x), evaluate it at x = s
and substitute into the expression for y(x) to get
Z x Z s 
b(x−xo ) bx a(s−xo ) as −at
y(x) = yo e +e h(xo )e +e f (t)e dt e−bs ds
xo xo

Z x Z s 
b(x−xo ) bx ′ a(s−xo ) as
= yo e +e (yo − yo b) e +e f (t)e dt e−bs ds
−at
xo xo
Z x Z s 
b(x−xo ) bx ′ (a−b)s−axo (a−b)s −at
= yo e +e (yo − yo b) e +e f (t)e dt ds
xo xo
Z x Z x Z s 
b(x−xo ) bx ′ (a−b)s−axo bx (a−b)s −at
= yo e + e (yo − yo b) e ds + e e f (t)e dt ds
xo xo xo
Z x Z s 
b(x−xo ) bx ′ ea(x−xo )−xb − e−bxo bx (a−b)s −at
= yo e + e (yo − yo b) +e e f (t)e dt ds
a−b xo xo
Z x Z s 
b(x−xo ) ′ ea(x−xo ) − eb(x−xo ) bx (a−b)s −at
= yo e + (yo − yob) +e e f (t)e dt ds
a−b xo xo
Z xZ s
b(x−xo ) ea(x−xo ) − eb(x−xo ) bx
= yo e ′
+ (yo − yob) +e e(a−b)s f (t)e−at dt ds
a−b xo xo

Changing the order of integration and integrating on s:

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

88 CHAPTER 3. LINEAR ORDINARY DIFFERENTIAL EQUATIONS

Z xZ x
b(x−xo ) ea(x−xo ) − eb(x−xo ) bx
= yo e + (yo′
− yob) +e e(a−b)s f (t)e−at ds dt
a−b xo t
a(x−xo ) b(x−xo ) Z x Z x 
b(x−xo ) ′ e −e bx −at (a−b)s
= yo e + (yo − yob) +e f (t)e e ds dt
a−b xo t
Z x
b(x−xo ) ea(x−xo ) − eb(x−xo ) f (t) a(x−t)

= yo e ′
+ (yo − yob) + e − eb(x−t) dt
a−b xo a − b

Thus we have a solution to the second order linear differential equation with constant
coefficients and arbitrary forcing expressed in integral form. A similar alternate expression
can be developed when a = b.

Problems
1. Find the general solution of the differential equation

y ′ + x2 y(1 + y) = 1 + x3 (1 + x)

2. Show that the functions y1 = sin x, y2 = x cos x, and y3 = x are linearly independent. Find the lowest
order differential equation of which they are the complementary functions.
3. Solve the following initial value problem for (a) C = 6, (b) C = 4, and (c) C = 3 with y(0) = 1 and
y ′ (0) = −3.
d2 y dy
+C + 4y = 0
dt2 dt
Plot your results.
4. Solve
d3 y 2
d y
(a) dx3 − 3 dx 2 + 4y = 0

d4 y 3
d y 2
d y dy
(b) dx4 − 5 dx 3 + 11 dx2 − 7 dx = 12

(c) y + 2y = 6ex + cos 2x

′′

(d) x2 y ′′ − 3xy ′ − 5y = x2 log x.

d2 y
(e) dx2 + y = 2ex cos x + (ex − 2) sin x.
5. Find a particular solution to the following ODE using (a) variation of parameters and (b) undetermined
coefficients.
d2 y
− 4y = cosh 2x
dx2
6. Solve the boundary value problem
d2 y dy
2
+y =0
dx dx
with boundary conditions y(0) = 0 and y(π/2) = −1 Plot your result.
7. Solve
d3 y d2 y dy
2x2
3
+ 2x 2
−8 =1
dx dx dx
with y(1) = 4, y ′ (1) = 8, y(2) = 11. Plot your result.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

3.3. PARTICULAR SOLUTIONS 89

8. Solve
x2 y ′′ + xy ′ − 4y = 6x

9. Find the general solution of

y ′′ + 2y ′ + y = xe−x

10. Find the Green’s function solution of

y ′′ + y ′ − 2y = f (x)

with y(0) = 0, y ′ (1) = 0. Determine y(x) if f (x) = 3 sin x. Plot your result.
11. Find the Green’s function solution of
y ′′ + 4y = f (x)
with y(0) = y(1), y ′ (0) = 0. Verify this is the correct solution when f (x) = x2 . Plot your result.
12. Solve y ′′′ − 2y ′′ − y ′ + 2y = sin2 x.
13. Solve y ′′′ + 6y ′′ + 12y ′ + 8y = ex − 3 sin x − 8e−2x .
14. Solve x4 y ′′′′ + 7x3 y ′′′ + 8x2 y ′′ = 4x−3 .
15. Show that x−1 and x5 are solutions of the equation

x2 y ′′ − 3xy ′ − 5y = 0

Thus find the general solution of

x2 y ′′ − 3xy ′ − 5y = x2

16. Solve the equation

ex
2y ′′ − 4y ′ + 2y =
x
where x > 0.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

90 CHAPTER 3. LINEAR ORDINARY DIFFERENTIAL EQUATIONS

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

Chapter 4

Series solution methods

see Kaplan, Chapter 6,

see Hinch, Chapters 1, 2, 5, 6, 7,
see Bender and Orszag,
see Kervorkian and Cole,
see Van Dyke,
see Murdock,
see Holmes,
see Lopez, Chapters 7-11, 14,
see Riley, Hobson, and Bence, Chapter 14.

This chapter will deal with series solution methods. Such methods are useful in solving both
algebraic and differential equations. The first method is formally exact in that an infinite
number of terms can often be shown to have absolute and uniform convergence properties.
The second method, asymptotic series solutions, is less rigorous in that convergence is not
always guaranteed; in fact convergence is rarely examined because the problems tend to
be intractable. Still asymptotic methods will be seen to be quite useful in interpreting the
results of highly non-linear equations in local domains.

4.1 Power series

Solutions to many differential equations cannot be found in a closed form solution expressed
for instance in terms of polynomials and transcendental functions such as sin and cos. Often,
instead, the solutions can be expressed as an infinite series of polynomials. It is desirable
to get a complete expression for the nth term of the series so that one can make statements
regarding absolute and uniform convergence of the series. Such solutions are approximate
in that if one uses a finite number of terms to represent the solution, there is a truncation
error. Formally though, for series which converge, an infinite number of terms gives a true
representation of the actual solution, and hence the method is exact.

91
92 CHAPTER 4. SERIES SOLUTION METHODS

4.1.1 First-order equation

An equation of the form
dy
+ P (x)y = Q(x) (4.1)
dx
where P (x) and Q(x) are analytic at x = a has a power series solution
∞
X
y(x) = an (x − a)n (4.2)
n=0

around this point.

Example 4.1
Find the power series solution of
dy
=y y(0) = yo
dx
around x = 0. Let
y = a0 + a1 x + a2 x2 + a3 x3 + · · ·
so that
dy
= a1 + 2a2 x + 3a3 x2 + 4a4 x3 + · · ·
dx
Substituting in the equation, we have

(a1 − a0 ) + (2a2 − a1 )x + (3a3 − a2 )x2 + (4a4 − a3 )x3 + · · · = 0

If this is valid for all x, the coefficients must be all zero. Thus

a1 = a0
1 1
a2 = a1 = a0
2 2
1 1
a3 = a2 = a0
3 3!
1 1
a4 = a3 = a0
4 4!
..
.

so that  
x2 x3 x4
y(x) = a0 1 + x + + + + ···
2! 3! 4!
Applying the initial condition at x = 0 gives ao = yo so
 
x2 x3 x4
y(x) = yo 1 + x + + + + ···
2! 3! 4!

Of course this power series is the Taylor1 series expansion of the closed form solution y = yo ex .
For yo = 1 the exact solution and three approximations to the exact solution are shown in Figure
4.1.
1
Brook Taylor, 1685-1731, English mathematician, musician, and painter.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

4.1. POWER SERIES 93

y
y’ = y y = exp( x)
4
y (0) = 1 y = 1 + x + x 2/ 2
3
y=1+x
2

1 y=1

x
-1.5 -1 -0.5 0.5 1 1.5

Figure 4.1: Comparison of truncated series and exact solutions

Alternatively, one can use a compact summation notation. Thus

∞
X
y = an xn
n=0
∞
dy X
= nan xn−1
dx n=0
X∞
= nan xn−1
n=1
X∞
m=n−1 = (m + 1)am+1 xm
m=0
X∞
= (n + 1)an+1 xn
n=0
(n + 1)an+1 = an
a0
an =
n!
∞
X xn
y = a0
n=0
n!
∞
X xn
y = yo
n=0
n!

The ratio test tells us that  

 an+1 
lim   = 1 → 0,
n→∞ an  n + 1
so the series converges absolutely.
If a series is uniformly convergent in a domain, it converges at the same rate for all x in that
domain. We can use the Weierstrass 2 M -test for uniform convergence. That is for a series
∞
X
un (x)
n=0

2
Karl Theodor Wilhelm Weierstrass, 1815-1897, Westphalia-born German mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

94 CHAPTER 4. SERIES SOLUTION METHODS

to be convergent, we need a convergent series of constants Mn to exist

∞
X
Mn
n=0

such that
|un (x)| ≤ Mn

for all x in the domain. For our problem, we take the domain to be −A ≤ x ≤ A, where A > 0.
So for uniform convergence we must have
 n
x 
  ≤ Mn
 n! 

So take
An
Mn =
n!
(Note Mn is thus strictly positive). So
∞ ∞
X X An
Mn =
n=0 n=0
n!

By the ratio test, this is convergent if

 n+1 
 A 
 (n+1)! 
lim  n
≤1
n→∞  A 
(n)! 

 
 A 
lim  ≤1
n→∞ n + 1 

This holds for all A, so in the domain, −∞ < x < ∞ the series converges absolutely and uniformly.

4.1.2 Second-order equation

We consider series solutions of

d2 y dy
P (x) 2 + Q(x) + R(x)y = 0 (4.3)
dx dx

around x = a. There are three different cases, depending of the behavior of P (a), Q(a) and
R(a), in which x = a is classified as a ordinary point, a regular singular point, or an irregular
singular point. These are described below.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

4.1. POWER SERIES 95

4.1.2.1 Ordinary point

If P (a) 6= 0 and Q/P , R/P are analytic at x = a, this point is called an ordinary
P point. The
general solution is y = C1 y1 (x) + C2 y2 (x) where y1 and y2 are of the form ∞ n
n=0 n (x − a) .
a
The radius of convergence of the series is the distance to the nearest complex singularity,
i.e. the distance between x = a and the closest point on the complex plane at which Q/P
or R/P is not analytic.

Example 4.2
Find the series solution of
y ′′ + xy ′ + y = 0 y(0) = yo y ′ (0) = yo′
around x = 0.
x = 0 is an ordinary point, so that we have
∞
X
y = an xn
n=0
X∞
y′ = nan xn−1
n=1
X∞
xy ′ = nan xn
n=1
X∞
xy ′ = nan xn
n=0
X∞
y ′′ = n(n − 1)an xn−2
n=2
X∞
m=n−2 = (m + 1)(m + 2)am+2 xm
m=0
∞
X
= (n + 1)(n + 2)an+2 xn
n=0

Substituting in the equation we get

∞
X
((n + 1)(n + 2)an+2 + nan + an ) xn = 0
n=0

Equating the coefficients to zero, we get

1
an+2 = − an
n+2
so that
   
x2 x4 x6 x3 x5 x7
y = a0 1 − + − + · · · + a1 x − + − + ···
2 4·2 6·4·2 3 5·3 7·5·3
   
x2 x4 x6 ′ x3 x5 x7
y = yo 1 − + − + · · · + yo x − + − + ···
2 4·2 6·4·2 3 5·3 7·5·3
∞ ∞
X (−1)n 2n ′
X (−1)n−1 2n n! 2n−1
y = yo n
x + y o x
n=0
2 n! n=1
(2n)!

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

96 CHAPTER 4. SERIES SOLUTION METHODS

y’’ + x y’ + y = 0, y (0) = 1, y’ (0) = 0

y
2
y = 1 - x /2 + x 4 /8

y = exp (- x 2 /2) (exact)

x
-4 -2 2 4

-1

y = 1 - x 2 /2

Figure 4.2: Comparison of truncated series and exact solutions

The series converges for all x. For yo = 1, yo′ = 0 the exact solution, which can be shown to be
 2
x
y = exp − ,
2

and two approximations to the exact solution are shown in Figure 4.2.

4.1.2.2 Regular singular point

2
If P (a) = 0, then x = a is a singular point. Furthermore, if (x−a)Q P
and (x−a)
P
R
are both
analytic at x = a, this point Pis called a regular singular point. Then there exists at least one
r ∞ n 3
solution of the form (x − a) n=0 an (x − a) . This is known as the Frobenius method. The
radius of convergence of the series is again the distance to the nearest complex singularity.
An equation for r is called the indicial equation. The following are the different kinds of
solutions of the indicial equation possible:

1. r1 6= r2 , and r1 − r2 not an integer. Then

∞
X
r1
y1 = (x − a) an (x − a)n (4.4)
n=0
X∞
y2 = (x − a)r2 bn (x − a)n (4.5)
n=0

3
Ferdinand Georg Frobenius, 1849-1917, Prussian/German mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

4.1. POWER SERIES 97

2. r1 = r2 = r. Then
∞
X
r
y1 = (x − a) an (x − a)n (4.6)
n=0
∞
X
r
y2 = y1 ln x + (x − a) bn (x − a)n (4.7)
n=1

3. r1 6= r2 , and r1 − r2 is a positive integer.

∞
X
r1
y1 = (x − a) an (x − a)n (4.8)
n=0
∞
X
y2 = ky1 ln x + (x − a)r2 bn (x − a)n (4.9)
n=0

The constants an and k are determined by the differential equation. The general solution is
y(x) = C1 y1 (x) + C2 y2 (x) (4.10)

Example 4.3
Find the series solution of
4xy ′′ + 2y ′ + y = 0
around x = 0.
x = 0 is a regular singular point. So we take
∞
X
y = an xn+r
n=0
X∞
y′ = an (n + r)xn+r−1
n=0
X∞
y ′′ = an (n + r)(n + r − 1)xn+r−2
n=0

∞
X ∞
X ∞
X
4 an (n + r)(n + r − 1)xn+r−1 + 2 an (n + r)xn+r−1 + an xn+r = 0
n=0 n=0 n=0
| {z } | {z } | {z }
=4xy ′′ =2y ′ =y
∞
X ∞
X
2 an (n + r)(2n + 2r − 1)xn+r−1 + an xn+r = 0
n=0 n=0
∞
X X∞
m=n−1 2 am+1 (m + 1 + r)(2(m + 1) + 2r − 1)xm+r + an xn+r = 0
m=−1 n=0
X∞ X∞
2 an+1 (n + 1 + r)(2(n + 1) + 2r − 1)xn+r + an xn+r = 0
n=−1 n=0

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

98 CHAPTER 4. SERIES SOLUTION METHODS

The first term (n = −1) gives the indicial equation:

r(2r − 1) = 0

from which r = 0, 21 . We then have

∞
X ∞
X
2 an+1 (n + r + 1)(2n + 2r + 1)xn+r + an xn+r = 0
n=0 n=0

For r = 0
1
an+1 = −an
(2n + 2)(2n + 1)
 
x x2 x3
y1 = a0 1 − + − + ···
2! 4! 6!
1
For r = 2

1
an+1 = −an
2(2n + 3)(n + 1)
 
1/2 x x2 x3
y 2 = a0 x 1− + − + ···
3! 5! 7!
√ √
The series converges for all x to y1 = cos x and y2 = sin x. The general solution is

y = C1 y1 + C2 y2

or √ √
y(x) = C1 cos x + C2 sin x
Note that y(x) is real and non-singular for x ∈ [0, ∞). However, the first derivative
√ √
′ sin x cos x
y (x) = −C1 √ + C2 √
2 x 2 x

is singular at x = 0. The nature of the singularity is seen from a Taylor series expansion of y ′ (x) about
x = 0, which gives
   √ 
1 x 1 x
y ′ (x) ∼ C1 − + + . . . + C2 √ − + ...
2 12 2 x 4
√
So there is a weak 1/ x singularity in y ′ (x) at x = 0.
′
For y(0) = 1, y (0) < ∞, the exact solution and the linear approximation to the exact solution are
shown in Figure 4.3. For this case, one has C1 = 1 to satisfy the condition on y(0), and one must have
C2 = 0 to satisfy the non-singular condition on y ′ (0).

Example 4.4
Find the series solution of
xy ′′ − y = 0

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

4.1. POWER SERIES 99

y
y = cos (x1/2 ) (exact)
1

x
20 40 60 80 100

-1

-2 4 x y’’ + 2 y’ + y = 0

-3 y (0) = 1
y=1-x/2
y ’ (0) <

8
-4

Figure 4.3: Comparison of truncated series and exact solutions

around x = 0.
P∞
Let y = n=0 an xn+r . Then, from the equation
∞
X
r−1
r(r − 1)a0 x + ((n + r)(n + r − 1)an − an−1 ) xn+r−1 = 0
n=1

The indicial equation is r(r − 1) = 0, from which r = 0, 1.

Consider the larger of the two, i.e. r = 1. For this we get

1
an = an−1
n(n + 1)
1
= a0
n!(n + 1)!

Thus
1 1 1 4
y1 (x) = x + x2 + x3 + x + ...
2 12 144
The second solution is
∞
X
y2 (x) = ky1 (x) ln x + bn xn
n=0

Substituting into the differential equation we get

∞ ∞
ky1 X X
− + 2ky1′ + bn n(n − 1)xn−1 − bn xn = 0
x n=0 n=0

Substituting the solution y1 (x) already obtained, we get

   
1 1 2 1 2
0 = −k 1 + x + x + . . . + 2k 1 + x + x + . . .
2 12 2
2

2


+ 2b2 x + 6b3 x + . . . − b0 + b1 x + b2 x + . . .

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

100 CHAPTER 4. SERIES SOLUTION METHODS

Collecting terms, we have

k = b0
 
1 k(2n + 1)
bn+1 = bn − for n = 1, 2, . . .
n(n + 1) n!(n + 1)!

Thus
   
3 2 7 3 35 4 1 2 1 3 1 4
y2 (x) = b0 y1 ln x + b0 1 − x − x − x − . . . + b1 x + x + x + x + ...
4 36 1728 2 12 144
| {z }
=y1

Since the last series is y1 (x), we choose b0 = 1 and b1 = 0. The general solution is
 
1 1 1 4
y(x) = C1 x + x2 + x3 + x + ...
2 12 144
   
1 2 1 3 1 4 3 7 35 4
+C2 x+ x + x + x + . . . ln x + 1 − x2 − x3 − x − ...
2 12 144 4 36 1728

It can also be shown that the solution can be represented compactly as

√ √ √

y(x) = x C1 I1 (2 x) + C2 K1 (2 x) ,

where I1 and K1 are what is known as modified Bessel functions of the first and second kinds, respec-
tively, both of order 1. The function I1 (s) is non-singular, while K1 (s) is singular at s = 0.

4.1.2.3 Irregular singular point

If P (a) = 0 and in addition either (x − a)Q/P or (x − a)2 R/P is not analytic at x = a, this
point is an irregular singular point. In this case a series solution cannot be guaranteed.

4.1.3 Higher order equations

Similar techniques can sometimes be used for equations of higher order.

Example 4.5
Solve
y ′′′ − xy = 0
around x = 0.
Let
∞
X
y= an xn
n=0

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

4.1. POWER SERIES 101

exact y = 1 + x 4 / 24
7
6
5
y’’’ - x y = 0,
4 y(0) = 1,
3 y’ (0) = 0,
y’’ (0) = 0.
2
1
x
-4 -2 2 4

Figure 4.4: Comparison of truncated series and exact solutions

from which
∞
X
xy = an−1 xn
n=1
∞
X
y ′′′ = 6a3 + (n + 1)(n + 2)(n + 3)an+3 xn
n=1

Substituting in the equation, we find that

a3 = 0
1
an+3 = an−1
(n + 1)(n + 2)(n + 3)
which gives the general solution
 
1 4 1 8
y(x) = a0 1 + x + x + ...
24 8064
 
1 4 1 8
+a1 x 1 + x + x + ...
60 30240
 
2 1 4 1 8
+a2 x 1 + x + x + ...
120 86400
For yo = 1, y ′ (0) = 0, y ′′ (0) = 0 the exact solution and the linear approximation to the exact solution are
shown in Figure 4.4. The exact solution is expressed in terms of a generalized hypergeometric function
whose form is non-standard. The software package Mathematica gives more details, and reports the
exact solution as    2
1 3 x
y = HypergeometricPFQ {} , , , .
2 4 64

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

102 CHAPTER 4. SERIES SOLUTION METHODS

4.2 Perturbation methods

Perturbation methods, also known as linearization or asymptotic, techniques are not as
rigorous as infinite series methods in that usually it is impossible to make a statement
regarding convergence. Nevertheless, the methods have proven to be powerful in many
regimes of applied mathematics, science, and engineering.
The method hinges on the identification of a small parameter ǫ, 0 < ǫ << 1. Typically
there is an easily obtained solution when ǫ = 0. One then uses this solution as a seed to
construct a linear theory about it. The resulting set of linear equations are then solved
giving a solution which is valid in a regime near ǫ = 0.

4.2.1 Algebraic and transcendental equations

To illustrate the method of solution, we begin with quadratic algebraic equations for which
exact solutions are available. We can then easily see the advantages and limitations of the
method.

Example 4.6
For 0 < ǫ << 1 solve
x2 + ǫx − 1 = 0
Let
x = x0 + ǫx1 + ǫ2 x2 + · · ·
Substituting in the equation,

2

x0 + ǫx1 + ǫ2 x2 + · · · +ǫ x0 + ǫx1 + ǫ2 x2 + · · · −1 = 0
| {z } | {z }
=x2 =x

expanding the square by polynomial multiplication,

x20 + 2x1 x0 ǫ + x21 + 2x2 x0 ǫ2 + . . . + x0 ǫ + x1 ǫ2 + . . . − 1 = 0
and collecting different powers of ǫ, we get
O(ǫ0 ) : x20 − 1 = 0 ⇒ x0 = 1, −1
1
O(ǫ ) : 2x0 x1 + x0 = 0 ⇒ x1 = − 21 , − 12
O(ǫ2 ) : x21 + 2x0 x2 + x1 = 0 ⇒ x2 = 18 , − 18
..
.
The solutions are
ǫ ǫ2
x = 1− + + ···
2 8
and
ǫ ǫ2
x = −1 − − + ···
2 8
The exact solutions can also be expanded
1 p 
x = −ǫ ± ǫ2 + 4
2
ǫ ǫ2
= ±1 − ± + ...
2 8

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

4.2. PERTURBATION METHODS 103

x
exact 2
3 x +εx-1=0
linear
2

-3 -2 -1 1 2 3 ε
-1

-2
linear
-3
exact

Figure 4.5: Comparison of asymptotic and exact solutions

to give the same results.

The exact solution and the linear approximation are shown in Figure 4.5.

Example 4.7
For 0 < ǫ << 1 solve
ǫx2 + x − 1 = 0
Note as ǫ → 0, the equation becomes singular. Let

x = x0 + ǫx1 + ǫ2 x2 + · · ·

Substituting in the equation we get

2

ǫ x0 + ǫx1 + ǫ2 x2 + · · · + x0 + ǫx1 + ǫ2 x2 + · · · − 1 = 0

Expanding the quadratic term gives

ǫ x20 + 2ǫxo x1 + · · · + x0 + ǫx1 + ǫ2 x2 + · · · − 1 = 0

Collecting different powers of ǫ, we get

O(ǫ0 ) : x0 − 1 = 0 ⇒ x0 = 1
O(ǫ1 ) : x20 + x1 = 0 ⇒ x1 = −1
O(ǫ2 ) : 2x0 x1 + x2 = 0 ⇒ x2 = 2
..
.

This gives one solution

x = 1 − ǫ + 2ǫ2 + · · ·
To get the other solution, let
x
X=
ǫα

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

104 CHAPTER 4. SERIES SOLUTION METHODS

The equation becomes

ǫ2α+1 X 2 + ǫα X − 1 = 0
The first two terms are of the same order if α = −1. With this,

X = xǫ X2 + X − ǫ = 0

We expand
X = X0 + ǫX1 + ǫ2 X2 + · · ·
so
2

X0 + ǫX1 + ǫ2 X2 + · · · + X0 + ǫX1 + ǫ2 X2 + · · · − ǫ = 0



X02 + 2ǫX0 X1 + ǫ2 (X12 + 2X0 X2 ) + · · · + X0 + ǫX1 + ǫ2 X2 + · · · − ǫ = 0
Collecting terms of the same order

O(ǫ0 ) : X02 + X0 = 0 ⇒ X0 = −1, 0

O(ǫ1 ) : 2X0 X1 + X1 = 1 ⇒ X1 = −1, 1
O(ǫ2 ) : X12 + 2X0 X2 + X2 = 0 ⇒ X2 = 1, −1
..
.

to give the two solutions

X = −1 − ǫ + ǫ2 + · · ·
X = ǫ − ǫ2 + · · ·

or
1

x = −1 − ǫ + ǫ2 + · · ·
ǫ
x = 1 − ǫ + ···

Expansion of the exact solutions

1 √

x = −1 ± 1 + 4ǫ
2ǫ
1

= −1 ± (1 + 2ǫ − 2ǫ2 + 4ǫ4 + · · ·)
2ǫ
give the same results.
The exact solution and the linear approximation are shown in Figure 4.6.

Example 4.8
Solve
cos x = ǫ sin(x + ǫ)
π
for x near 2.
Figure 4.7 shows a plot of
cos x and ǫ sin(x + ǫ) for ǫ = 0.1. It is seen that there are multiple
intersections near x = n + 21 π . We seek only one of these.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

4.2. PERTURBATION METHODS 105

x
3

1
asymptotic exact
-1 1 2 3
ε

-1
exact
asymptotic
-2 asymptotic

-3

Figure 4.6: Comparison of asymptotic and exact solutions

f(x)
ε = 0.1 1
cos (x)

......
0.5

ε sin(x + ε)
x
-10 -5 5 10

-0.5

-1

Figure 4.7: Location of roots

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

106 CHAPTER 4. SERIES SOLUTION METHODS

We substitute
x = x0 + ǫx1 + ǫ2 x2 + · · ·
we have
cos(x0 + ǫx1 + ǫ2 x2 + · · ·) = ǫ sin(x0 + ǫx1 + ǫ2 x2 + · · · + ǫ)
Now we expand both the left and right hand sides in a Taylor series in ǫ about ǫ = 0. We note that
a general function f (ǫ) has such a Taylor series of f (ǫ) ∼ f (0) + ǫf ′ (0) + (ǫ2 /2)f ′′ (0) + . . . Expanding
the left hand side, we get
= d/dǫ(cos x)|ǫ=0
z }|  {



cos(x0 + ǫx1 + . . .) = cos(x0 + ǫx1 + . . .)|ǫ=0 +ǫ (− sin(x0 + ǫx1 + . . .)) (x1 + 2ǫx2 + . . .) +...,
| {z } | {z } | {z } | {z } 
=cos x = cos x| =d/dx(cos x)| = dx/dǫ|

ǫ=0 ǫ=0 ǫ=0 ǫ=0

cos(x0 + ǫx1 + . . .) = cos x0 − ǫx1 sin x0 + . . . ,

The right hand side is similar. We then arrive at the original equation being expressed as

cos xo − ǫx1 sin x0 + . . . = ǫ(sin x0 + . . .)

Collecting terms
O(ǫ0 ) : cos x0 = 0 ⇒ x0 = π2
O(ǫ1 ) : −x1 sin x0 − sin x0 = 0 ⇒ x1 = −1
..
.
The solution is
π
x= − ǫ + ···
2

4.2.2 Regular perturbations

Differential equations can also be solved using perturbation techniques.

Example 4.9
For 0 < ǫ << 1 solve
y ′′ + ǫy 2 = 0, with y(0) = 1, y ′ (0) = 0
Let
y(x) = y0 (x) + ǫy1 (x) + ǫ2 y2 (x) + · · ·
y ′ (x) = y0′ (x) + ǫy1′ (x) + ǫ2 y2′ (x) + · · ·
y ′′ (x) = y0′′ (x) + ǫy1′′ (x) + ǫ2 y2′′ (x) + · · ·
Substituting in the equation


2
y0′′ (x) + ǫy1′′ (x) + ǫ2 y2′′ (x) + · · · + ǫ y0 (x) + ǫy1 (x) + ǫ2 y2 (x) + · · · = 0



y0′′ (x) + ǫy1′′ (x) + ǫ2 y2′′ (x) + · · · + ǫ y02 (x) + 2ǫy1 (x)yo (x) + · · · = 0

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

4.2. PERTURBATION METHODS 107

Substituting into the boundary conditions:

y0 (0) + ǫy1 (0) + ǫ2 y2 (0) + · · · = 1

y0′ (0) + ǫy1′ (0) + ǫ2 y2′ (0) + · · · = 0

Collecting terms

O(ǫ0 ) : y0′′ = 0, y0 (0) = 1, y0′ (0) = 0 ⇒ y0 = 1

2
O(ǫ1 ) : y1′′ = 2
−y0 , y1 (0) = 0, y1′ (0) = 0 ⇒ y1 = − x2
4
O(ǫ2 ) : y2′′ = −2y0 y1 , y2 (0) = 0, y2′ (0) = 0 ⇒ y2 = x12
..
.

The solution is
x2 x4
y =1−ǫ + ǫ2 + ···
2 12
For validity of the asymptotic solution, we must have

x2
1 >> ǫ .
2
This solution becomes invalid when the first term is as large or larger than the second:

x2
, 1≤ǫ
2
r
2
|x| ≥ .
ǫ
Using the techniques of the previous chapter it is seen that this equation has an exact solution.
With
dy d2 y dy ′ dy du
u= 2
= = u
dx dx dy dx dy
the original equation becomes
du
u + ǫy 2 = 0
dy
udu = −ǫy 2 dy
u2 ǫ
= − y 3 + C1
2 3
ǫ
u=0 when y=1 so C=
3
r
2ǫ
u=± (1 − y 3 )
3
r
dy 2ǫ
=± (1 − y 3 )
dx 3
dy
dx = ± q
2ǫ 3
3 (1 − y )
Z y
ds
x=± q
2ǫ 3
3 (1 − s )
1

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

108 CHAPTER 4. SERIES SOLUTION METHODS

far-field view close-up view

y y
1
x
-15 -10 -5 5 10 15
0.5 exact
-5

asymptotic x
-6 -4 -2 2 4 6
y’’ + ε y2 = 0 -10
y(0) = 1 -0.5
y’(0) = 0
-15
ε = 0.1 exact -1
asymptotic
-20 -1.5

Figure 4.8: Comparison of asymptotic and exact solutions

It can be shown that this integral can be represented in terms of Gauss’s4 hypergeometric function,
2 F1 (a, b, c, z) as follows:
r
r  
π Γ 13 3 1 1 4 3
x=∓
± y 2 F1 , , ,y
6ǫ Γ 56 2ǫ 3 2 3
It is likely difficult to invert either of the above functions to get y(x) explicitly. For small ǫ, the essence
of the solution is better conveyed by the asymptotic solution. A portion of the asymptotic and exact
solutions for ǫ = p 0.1 are shown in Figure 4.8. For this value, the asymptotic solution is expected to be
invalid for |x| ≥ 2/ǫ = 4.47.

Example 4.10
Solve
y ′′ + ǫy 2 = 0, with y(0) = 1, y ′ (0) = ǫ
Let
y(x) = y0 (x) + ǫy1 (x) + ǫ2 y2 (x) + · · ·
Substituting in the equation and collecting terms
O(ǫ0 ) : y0′′ = 0, y0 (0) = 1, y0′ (0) = 0 ⇒ y0 = 1
2
O(ǫ1 ) : y1′′ = −y02 , y1 (0) = 0, y1′ (0) = 1 ⇒ y1 = − x2 + x
4 3
O(ǫ2 ) : y2′′ = −2y0 y1 , y2 (0) = 0, y2′ (0) = 0 ⇒ y2 = x12 − x3
..
.
The solution is   4 
x2 x x3
− x + ǫ2
y =1−ǫ − + ···
2 12 3
A portion of the asymptotic and exact solutions for ǫ = 0.1 are shown in Figure 4.9. Compared to the
previous example, there is a slight offset from the y axis.

4
Johann Carl Friedrich Gauss, 1777-1855, Brunswick-born German mathematician of tremendous influ-
ence.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

4.2. PERTURBATION METHODS 109

y
1

x
-10 -5 5 10
-1

-2

-3
y’’ + ε y 2 = 0 exact
y(0) = 1
-4 y’(0) = ε
ε = 0.1
-5
asymptotic

Figure 4.9: Comparison of asymptotic and exact solutions

4.2.3 Strained coordinates

The regular perturbation expansion may not be valid over the complete domain of interest.

Example 4.11
Find an approximate solution of the Duffing equation:

ẍ + x + ǫx3 = 0, with x(0) = 1 and ẋ(0) = 0

First let’s give some physical motivation, as also outlined in Section 10.2 of Kaplan. One problem in
which Duffing’s equation arises is the undamped motion of a mass subject to a non-linear spring force.
Consider a body of mass m moving in the horizontal x plane. Initially the body is given a small positive
displacement x(0) = xo . The body has zero initial velocity dx dt (0) = 0. The body is subjected to a
non-linear spring force Fs oriented such that it will pull the body towards x = 0:

Fs = (ko + k1 x2 )x

Here ko and k1 are dimensional constants with SI units N/m and N/m3 respectively. Newton’s second
law gives us
d2 x
m 2 = −(ko + k1 x2 )x
dt
d2 x dx
m + (ko + k1 x2 )x = 0, x(0) = xo , (0) = 0
dt2 dt
Choose an as yet arbitrary length scale L and an as yet arbitrary time scale T with which to scale the
problem and take:
x t
x̃ = t̃ =
L T
Substitute
mL d2 x̃ L dx̃
+ ko Lx̃ + k1 L3 x̃3 = 0 Lx̃(0) = xo , (0) = 0
T 2 dt̃2 T dt̃

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

110 CHAPTER 4. SERIES SOLUTION METHODS

x
6 3
x’’ + x + ε x = 0
4 x(0) = 1, x’(0) = 0

t
20 40 60 80 100

-2

-4
ε = 0.2
-6

Figure 4.10: Numerical solution x(t) to Duffing’s equation.

Rearrange to make all terms dimensionless:

d2 x̃ ko T 2 k1 L2 T 2 3 xo dx̃
2
+ x̃ + x̃ = 0 x̃(0) = , (0) = 0
dt̃ m m L dt̃
Now we want to examine the effect of small non-linearities. Choose the length and time scales such
that the leading order motion has an amplitude which is O(1) and a frequency which is O(1). So take
r
m
T ≡ L ≡ xo
ko

So
d2 x̃ k1 x2o kmo 3 dx̃
+ x̃ + x̃ = 0 x̃(0) = 1, (0) = 0
dt̃2 m dt̃
Choosing
k1 x2o
ǫ≡
ko
we get
d2 x̃ dx̃
+ x̃ + ǫx̃3 = 0 x̃(0) = 1, (0) = 0
dt̃2 dt̃
So our asymptotic theory will be valid for

ǫ << 1 k1 x2o << ko

Now, let’s drop the superscripts and focus on the mathematics. First, a very accurate numerical
approximation to the exact solution x(t) for ǫ = 0.2 is shown Figure 4.10. The so-called phase plane for
this solution, giving x versus dx/dt is shown in Figure 4.11. Note if ǫ = 0, the solution is x(t) = cos t,
and thus dx/dt = − sin t. Thus for ǫ = 0, x2 + (dx/dt)2 = cos2 t+ sin2 t = 1. Thus the ǫ = 0 phase plane
solution is a unit circle. Figure 4.11 displays a small deviation from a circle. This deviation would be
more pronounced for larger ǫ.
Let’s use an asymptotic method to try to capture this solution. Using the expansion

x(t) = x0 (t) + ǫx1 (t) + ǫ2 x2 (t) + · · ·

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

4.2. PERTURBATION METHODS 111

dx
€€€€€€€€€
dt

1.0

0.5

x
-1.0 -0.5 0.5 1.0

-0.5

-1.0

Figure 4.11: Numerical solution in the phase plane, dx/dt versus x, to Duffing’s equation,
ǫ = 0.2.

and collecting terms

O(ǫ0 ) : ẍ0 + x0 = 0, x0 (0) = 1, ẋ0 (0) = 0 ⇒ x0 = cos t
1
O(ǫ1 ) : ẍ1 + x1 = −x30 , x1 (0) = 0, ẋ1 (0) = 0 ⇒ x1 = 32 (− cos t + cos 3t − 12t sin t)
..
.

The difference between the exact solution and the leading order solution, xexact (t) − xo (t) is plotted in
Figure 4.12. The error is the same order of magnitude as the solution itself for moderate values of t.
This is undesirable.
To O(ǫ) the solution is
ǫ
x = cos t + (− cos t + cos 3t − 12t sin t) + · · ·
32
The original differential equation can be integrated once via the following steps


ẋ ẍ + x + ǫx3 = 0,
ẋẍ + ẋx + ǫẋx3 = 0,
 
d 1 2 1 2 ǫ 4
ẋ + x + x = 0,
dt 2 2 4
 
1 2 1 2 ǫ 4 1 2 1 2 ǫ 4 
ẋ + x + x = ẋ + x + x  ,
2 2 4 2 2 4 t=0
1 2 1 2 ǫ 4 1
ẋ + x + x = (2 + ǫ)
2 2 4 4
indicating that the solution is bounded. However, the series has a secular term −ǫ 83 t sin t that grows
without bound. This solution is only valid for t ≪ ǫ−1 .

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

112 CHAPTER 4. SERIES SOLUTION METHODS

Error
6 Numerical - O(1)
4

t
20 40 60 80 100
-2

-4
ε = 0.2
-6

Figure 4.12: Difference between exact and leading order solution to Duffing’s equation

The difference between the exact solution and the leading order solution, xexact (t) − (xo (t) + ǫx1 (t))
is plotted in Figure 4.13. There is some improvement for early time, but the solution is actually worse
for later time. This is because of the secularity.
To have a solution valid for all time, we strain the time coordinate

t = (1 + c1 ǫ + c2 ǫ2 + · · ·)τ

where τ is the new time variable. The ci ’s should be chosen to avoid secular terms.
Differentiating
 −1
dx dτ dx dt
ẋ = =
dτ dt dτ dτ
dx
= (1 + c1 ǫ + c2 ǫ2 + · · ·)−1
dτ
d2 x
ẍ = (1 + c1 ǫ + c2 ǫ2 + · · ·)−2
dτ 2
d2 x
= (1 − 2((c1 ǫ + c2 ǫ2 + · · ·) + 3(c1 ǫ + c2 ǫ2 + · · ·)2 + · · ·))
dτ 2
d2 x
= (1 − 2c1 ǫ + (3c21 − 2c2 )ǫ2 + · · ·)
dτ 2

Furthermore, we write
x = x0 + ǫx1 + ǫ2 x2 + . . .

Substituting in the equation, we get

 
d2 x0 d2 x1 2
2 d x2
+ ǫ + ǫ + · · · (1 − 2c1 ǫ + (3c21 − 2c2 )ǫ2 + · · ·)
dτ 2 dτ 2 dτ 2

+(x0 + ǫx1 + ǫ2 x2 + · · ·) + ǫ(x0 + ǫx1 + ǫ2 x2 + · · ·)3 = 0

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

4.2. PERTURBATION METHODS 113

Error

6 Numerical - [O(1) + O(ε)]

Uncorrected
4

t
20 40 60 80 100
-2

-4 ε = 0.2
-6

Figure 4.13: Difference between exact and uncorrected solution to O(ǫ) for Duffing’s equation

Collecting terms
d2 x0 dx0
O(ǫ0 ) : dτ 2 + x0 = 0, x0 (0) = 1, dτ (0) =0
x0 (τ ) = cos τ
d2 x1 2
O(ǫ1 ) : dτ 2 + x1 = 2c1 ddτx20 − x30 , x1 (0) = 0, dx1
dτ (0) =0
= −2c1 cos τ − cos3 τ
= −(2c1 + 34 ) cos τ − 41 cos 3τ
1
x1 (τ ) = 32 (− cos τ + cos 3τ ) if we choose c1 = − 83

Thus
1
x(τ ) = cos τ + ǫ (− cos τ + cos 3τ ) + · · ·
32
Since
 
3
t = 1 − ǫ + ··· τ
8
 
3
τ = 1 + ǫ + ··· t
8
so that
 
           
 3  1 3 3
x(t) = cos  1 + ǫ + ··· t + ǫ − cos 1 + ǫ + · · · t + cos 3 1 + ǫ + · · · t +···
 8  32 8 8
| {z }
Frequency Modulation (FM)

The difference between the exact solution and the leading order solution, xexact (t) − (xo (t) + ǫx1 (t))
for the corrected solution to O(ǫ) is plotted in Figure 4.14. The error is much smaller relative to the
previous cases; there does appear to be a slight growth in the amplitude of the error with time. This
might not be expected, but in fact is a characteristic behavior of the truncation error of the numerical
method used to generate the exact solution.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

114 CHAPTER 4. SERIES SOLUTION METHODS

Error
6
Numerical - [O(1) + O(ε)]
4 Corrected

t
20 40 60 80 100
-2
ε = 0.2
-4

-6

Figure 4.14: Difference between exact and corrected solution to O(ǫ) for Duffing’s equation

Example 4.12
Find the amplitude of the limit cycle oscillations of the van der Pol equation

ẍ − ǫ(1 − x2 )ẋ + x = 0, with x(0) = A, ẋ(0) = 0, ǫ ≪ 1

Here A is the amplitude and is considered to be an adjustable parameter in this problem.

Let
t = (1 + c1 ǫ + c2 ǫ2 + · · ·)τ,
so that the equation becomes

d2 x dx
(1 − 2c1 ǫ + . . .) − ǫ(1 − x2 ) (1 − c1 ǫ + . . .) + x = 0.
dτ 2 dτ
We also use
x = x0 + ǫx1 + ǫ2 x2 + . . . .
Thus we get
x0 = A cos τ
0
to O(ǫ ). To O(ǫ), the equation is
 
d2 x1 A2 A3
2
+ x1 = −2c 1 A cos τ − A 1 − sin τ + sin 3τ
dτ 4 4

Choosing c1 = 0 and A = 2 in order to suppress secular terms, we get

3 1
x1 = sin τ − sin 3τ.
4 4
The amplitude, to lowest order, is
A=2
so to O(ǫ) the solution is
 

3
1


x(t) = 2 cos t + O(ǫ2 ) + ǫ sin t + O(ǫ2 ) − sin 3 t + O(ǫ2 ) + O(ǫ2 )
4 4

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

4.2. PERTURBATION METHODS 115

x Numerical Solution
2
Method of
Strained Coordinates
1
2
x’’ - ε (1 - x ) + x = 0
t x(0) = 2, x’(0) = 0
10 20 30 40 50

-1 ε = 0.1

-2

Error Error
0.2 Numerical - O(1) 0.2
Numerical - [O(1) + O(ε)]

0.1 0.1

t t
10 20 30 40 50 10 20 30 40 50

-0.1 -0.1

-0.2 -0.2

Figure 4.15: Exact, difference between exact and asymptotic leading order solution, and
difference between exact and corrected asymptotic solution to O(ǫ) for van der Pol equation
for the method of strained coordinates

dx
€€€€€€€€€
dt
2

x
-2 -1 1 2

-1

-2

Figure 4.16: Phase plane solution trajectories for solution of van der Pol equation; d2 x/dt2 −
ǫ(1 − x2 )dx/dt + x = 0, x(0) = 2, dx/dt(0) = 0; ǫ = 1/10.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

116 CHAPTER 4. SERIES SOLUTION METHODS

The exact solution xexact (t), the difference between the exact solution and the asymptotic leading
order solution, xexact (t) − xo (t), and the difference between the exact solution and the asymptotic
solution corrected to O(ǫ): xexact (t) − (xo (t) + ǫx1 (t)) is plotted in Figure 4.15.

4.2.4 Multiple scales

Example 4.13
Solve
d2 x dx
2
− ǫ(1 − x2 ) + x = 0, with x(0) = 0, dx
dt (0) =1
dt dt
Let x = x(τ, τ̃ ), where the fast time scale is

τ = (1 + a1 ǫ + a2 ǫ2 + · · ·)t

and the slow time scale is

τ̃ = ǫt
Since
x = x(τ, τ̃ )
dx ∂x dτ ∂x dτ̃
= +
dt ∂τ dt ∂ τ̃ dt
The first derivative is
dx ∂x ∂x
= (1 + a1 ǫ + a2 ǫ2 + · · ·) + ǫ
dt ∂τ ∂ τ̃
so
d ∂ ∂
= (1 + a1 ǫ + a2 ǫ2 + · · ·) +ǫ
dt ∂τ ∂ τ̃
dx
Applying this operator to dt we get

d2 x 2
2
2∂ x 2 ∂2x 2
2∂ x
= (1 + a 1 ǫ + a 2 ǫ + · · ·) + 2(1 + a 1 ǫ + a 2 ǫ + · · ·)ǫ + ǫ
dt2 ∂τ 2 ∂τ ∂ τ̃ ∂ τ̃ 2
Introduce
x = x0 + ǫx1 + ǫ2 x2 + · · ·
So to O(ǫ), the differential equation becomes

∂ 2 (x0 + ǫx1 ) ∂ 2 (x0 + · · ·)

(1 + 2a1 ǫ + · · ·) + 2ǫ
∂τ 2 ∂τ ∂ τ̃
∂(xo + · · ·)
−ǫ(1 − x2o − · · ·) + (xo + ǫx1 + · · ·) = 0
∂τ
Collecting terms of O(ǫ0 ), we have

∂ 2 x0 ∂x0
+ x0 = 0 with x0 (0, 0) = 0, ∂τ (0, 0) =1
∂τ 2

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

4.2. PERTURBATION METHODS 117

The solution is
x0 = A(τ̃ ) cos τ + B(τ̃ ) sin τ with A(0) = 0, B(0) = 1
The terms of O(ǫ1 ) give

∂ 2 x1 ∂ 2 x0 ∂ 2 x0 ∂x0
+ x1 = −2a1 − 2 + (1 − x20 )
∂τ 2  ∂τ 2 ∂τ ∂ τ̃ ∂τ
′ A 2 2
= 2a1 B + 2A − A + (A + B ) sin τ
4
 
B
+ 2a1 A − 2B ′ + B − (A2 + B 2 ) cos τ
4
A 2 B
+ (A − 3B 2 ) sin 3τ − (3A2 − B 2 ) cos 3τ
4 4
with

x1 (0, 0) = 0
∂x1 ∂x0 ∂x0
(0, 0) = −a1 (0, 0) − (0, 0)
∂τ ∂τ ∂ τ̃
∂x0
= −a1 − (0, 0)
∂ τ̃
Since ǫt is already represented in τ̃ , choose a1 = 0. Then

A 2
2A′ − A + (A + B 2 ) = 0
4
B
2B ′ − B + (A2 + B 2 ) = 0
4
Since A(0) = 0, try A(τ̃ ) = 0. Then

B3
2B ′ − B + =0
4
Multiplying by B, we get
B4
2BB ′ − B 2 + =0
4
B4
(B 2 )′ − B 2 + =0
4
Taking F ≡ B 2 , we get
F2
F′ − F + =0
4
This is a first order ODE in F , which can be easily solved. Separating variables, integrating, and
transforming from F back to B, we get

B2 τ̃
2 = Ce
1 − B4

Since B(0) = 1, we get C = 4/3. From this

2
B= √
1 + 3e−τ̃

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

118 CHAPTER 4. SERIES SOLUTION METHODS

x Numerical Solution
2
Method of Multiple Scales

1 x’’ - ε (1 - x2 ) x’ + x = 0

x(0) = 0, x’(0) = 1
t
10 20 30 40 50
ε = 0.1
-1

-2

Error Error
1 Numerical - O(1) 0.1
Numerical - [O(1) + O(ε)]
Corrected
0.5 0.05

t t
10 20 30 40 50 10 20 30 40 50

-0.5 -0.05

-1 -0.1

Figure 4.17: Exact, difference between exact and asymptotic leading order solution, and
difference between exact and corrected asymptotic solution to O(ǫ) for van der Pol equation
for the method of multiple scales

so that
2
x(τ, τ̃ ) = √ sin τ + O(ǫ)
1 + 3e−τ̃
2

x(t) = √ sin (1 + O(ǫ2 ))t + O(ǫ)
1 + 3e−ǫt
| {z }
Amplitude Modulation (AM)

The exact solution xexact (t), the difference between the exact solution and the asymptotic leading
order solution, xexact (t) − xo (t), and the difference between the exact solution and the asymptotic
solution corrected to O(ǫ): xexact (t) − (xo (t) + ǫx1 (t)) is plotted in Figure 4.17.
Note that the amplitude, which is initially 1, grows to a value of 2, the same value which was
obtained in the previous example. Here, we have additionally obtained the time scale for the growth
of the amplitude change. Note also that the leading order approximation is quite poor for t > 1ǫ , while
the corrected approximation is relatively quite good.

4.2.5 Boundary layers

The method of boundary layers, also known as matched asymptotic expansion, can be used
in some cases. It is most appropriate for cases in which a small parameter multiplies the
highest order derivative. In such cases a regular perturbation scheme will fail since we lose
a boundary condition at leading order.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

4.2. PERTURBATION METHODS 119

dx
€€€€€€€€€
dt
2

x
-2 -1 1 2

-1

-2

Figure 4.18: Phase plane solution trajectories for solution of van der Pol equation; d2 x/dt2 −
ǫ(1 − x2 )dx/dt + x = 0, x(0) = 0, dx/dt(0) = 1; ǫ = 1/10.

Example 4.14
Solve
ǫy ′′ + y ′ + y = 0, with y(0) = 0, y(1) = 1 (4.11)
An exact solution to this equation exists, namely
√
 
  sinh x 1−4ǫ
1−x 2ǫ
y(x) = exp √ 
2ǫ sinh 1−4ǫ
2ǫ

We could in principle simply expand this in a Taylor series in ǫ. However, for more difficult problems,
exact solutions are not available. So here we will just use the exact solution to verify the validity of the
method.
We begin with a regular perturbation expansion

y(x) = y0 + ǫy1 (x) + ǫ2 y2 (x) + · · ·

Substituting and collecting terms, we get

O(ǫ0 ) : y0′ + y0 = 0, y0 (0) = 0, y0 (1) = 1

the solution to which is

y0 = ae−x
It is not possible for the solution to satisfy two boundary conditions. So, we divide the region of interest
0 ≤ x ≤ 1 into two parts, a thin inner region or boundary layer around x = 0, and an outer region
elsewhere.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

120 CHAPTER 4. SERIES SOLUTION METHODS

The solution obtained above is the solution in the outer region. To satisfy the boundary condition
y0 (1) = 1, we find that a = e, so that

y = e1−x + · · ·

In the inner region, we choose a new independent variable X defined as X = x/ǫ, so that the equation
becomes
d2 y dy
2
+ + ǫy = 0
dX dX
Using a perturbation expansion, the lowest order equation is

d2 y0 dy0
2
+ =0
dX dX
with a solution
y0 = A + Be−X
Applying the boundary condition y0 (0) = 0, we get

y0 = A(1 − e−X )

Matching of the inner and outer solutions is achieved by (Prandtl’s5 method)

yinner (X → ∞) = youter (x → 0)

which gives A = e. The solution is

y(x) = e(1 − e−x/ǫ ) + · · · in the inner region

lim y = e
x→∞

and
y(x) = e1−x + · · · in the outer region
lim y = e
x→0

A composite solution can also be written by adding the two solutions and subtracting the common
part.  

y(x) = e(1 − e−x/ǫ ) + · · · + e1−x + · · · − e

y = e(e−x − e−x/ǫ ) + · · ·
The exact solution, the inner layer solution, the outer layer solution, and the composite solution
are plotted in Figure 4.19.

Example 4.15
Obtain the solution of the previous problem

ǫy ′′ + y ′ + y = 0, with y(0) = 0, y(1) = 1 (4.12)

5
Ludwig Prandtl, 1875-1953, German engineer based in Göttingen.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

4.2. PERTURBATION METHODS 121

Outer Layer
y Solution

ε y’’ + y’ + y = 0
2.5
Inner Layer y (0) = 0
Exact Solution
2 Solution y (1) = 1

ε = 0.1
1.5

1 Composite Prandtl’s
Solution Boundary Layer Method

0.5

x
0.2 0.4 0.6 0.8 1

Figure 4.19: Exact, inner layer solution, outer layer solution, and composite solution for
boundary layer problem

to the next order.

Keeping terms of the next order in ǫ, we have

y = e1−x + ǫ((1 − x)e1−x ) + . . .

for the outer solution, and

y = A(1 − e−X ) + ǫ B − AX − (B + AX)e−X + . . .

for the inner solution.

Higher order matching (Van Dyke’s6 method) is obtained by expanding the outer solution in terms
of the inner variable, the inner solution in terms of the outer variable, and comparing. Thus the outer
solution is, as ǫ → 0.


y = e1−ǫX + ǫ (1 − ǫX)e1−ǫX + . . .
= e(1 − ǫX) + ǫe(1 − ǫX)2
ignoring terms which are > O(ǫ2 )
= e(1 − ǫX) + ǫe
= e + ǫe(1 − X)
 x
= e + ǫe 1 −
ǫ
= e + ǫe − ex

Similarly, the inner solution as ǫ → 0 is

 x  x  −x/ǫ 
y = A(1 − e−x/ǫ ) + ǫ B − A − B + A e + ...
ǫ ǫ
= A + Bǫ − Ax
6
Milton Denman Van Dyke, 1922-2010, American engineer and applied mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

122 CHAPTER 4. SERIES SOLUTION METHODS

Error Exact - [O(1) + O(ε)] ε y’’ + y’ + y = 0

0.1
y (0) = 0
0.08
y(1) = 1
0.06
ε = 0.1
0.04
Exact - [O(1) + O(ε) + O(ε2)] Prandtl’s
0.02 Boundary Layer Method
x
0.2 0.4 0.6 0.8 1

Figure 4.20: Difference between exact and asymptotic solutions for two different orders of
approximation for a boundary layer problem

Comparing, we get A = B = e, so that

 
y(x) = e(1 − e−x/ǫ ) + e ǫ − x − (ǫ + x)e−x/ǫ + · · · in the inner region

and
y(x) = e1−x + ǫ(1 − x)e1−x · · · in the outer region
The composite solution is
 
y = e1−x − (1 + x)e1−x/ǫ + ǫ (1 − x)e1−x − e1−x/ǫ + · · ·

The difference between the exact solution and the approximation from the previous example, and the
difference between the exact solution and approximation from this example are plotted in Figure 4.20.

Example 4.16
In the same problem, investigate the possibility of having the boundary layer at x = 1. The outer
solution now satisfies the condition y(0) = 0, giving y = 0. Let

x−1
X=
ǫ
The lowest order inner solution satisfying y(X = 0) = 1 is

y = A + (1 − A)e−X

However, as X → −∞, this becomes unbounded and cannot be matched with the outer solution. Thus,
a boundary layer at x = 1 is not possible.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

4.2. PERTURBATION METHODS 123

y Error
1 ε y’’ - y’ + y = 0 0.1

0.8 y (0) = 0, y(1) = 1 0.08

0.6 ε = 0.1 0.06

0.4 Exact 0.04

0.2 0.02

x x
0 0.2 0.4 0.6 0.8 1 0 0.2 0.4 0.6 0.8 1

Approximate

Figure 4.21: Exact, approximate, and difference in predictions for a boundary layer problem

Example 4.17
Solve
ǫy ′′ − y ′ + y = 0, with y(0) = 0, y(1) = 1
The boundary layer is at x = 1. The outer solution is y = 0. Taking

x−1
X=
ǫ
the inner solution is
y = A + (1 − A)eX + . . .
Matching, we get
A=0
so that we have a composite solution

y(x) = e(x−1)/ǫ + . . .

The exact solution, the approximate solution to O(ǫ), and the difference between the exact solution
and the approximation, are plotted in Figure 4.21.

4.2.6 WKB method

Any equation of the form
d2 v dv
2
+ P (x) + Q(x)v = 0 (4.13)
dx dx
can be written as
d2 y
+ R(x)y = 0 (4.14)
dx2
CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.
124 CHAPTER 4. SERIES SOLUTION METHODS

where
 Z 
1 x
v(x) = y(x) exp − P (s)ds (4.15)
2 0
1 dP 1
R(x) = Q(x) − − (P (x))2 (4.16)
2 dx 4
So it is sufficient to study equations of the form (4.14). The Wentzel,7 Kramers,8 Brillouin,9
(WKB) method is used for equations of the kind

d2 y
ǫ2 = f (x)y (4.17)
dx2
where ǫ is a small parameter. This also includes an equation of the type

d2 y
ǫ2 = (λ2 p(x) + q(x))y (4.18)
dx2
where λ is a large parameter. Alternatively, by taking x = ǫt, equation (4.17) becomes

d2 y
= f (ǫt)y (4.19)
dt2
We can also write equation (4.17) as

d2 y
= g(x)y (4.20)
dx2

where g(x) is slowly varying in the sense that g ′/g 3/2 ∼ O(ǫ).
We seek solutions to equation (4.17) of the form
 Z x 
1 2
y(x) = exp (S0 (s) + ǫS1 (s) + ǫ S2 (s) + · · ·)ds (4.21)
ǫ xo

The derivatives are

dy 1

= S0 (x) + ǫS1 (x) + ǫ2 S2 (x) + · · · y(x)
dx ǫ
2
dy 1 2

2
= S 0 (x) + ǫS 1 (x) + ǫ S 2 (x) + · · · y(x)
dx2 ǫ2  
1 dS0 dS1 dS2
+ +ǫ + ǫ2 + · · · y(x)
ǫ dx dx dx
7
Gregor Wentzel, 1898-1978, German physicist.
8
Hendrik Anthony Kramers, 1894-1952, Dutch physicist.
9
Léon Brillouin, 1889-1969, French physicist.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

4.2. PERTURBATION METHODS 125

Substituting in the equation we get

 
2
dS0
(S0 (x)) + 2ǫS0 (x)S1 (x) + · · · y(x) + ǫ + · · · y(x) = f (x)y(x)
dx

and collecting terms O(ǫ0 ), we have

S02 (x) = f (x)

from which p
S0 (x) = ± f (x)
To O(ǫ1 ) we have
dSo
2S0 (x)S1 (x) + =0
dx
from which
dSo
dx
S1 (x) = −
2So (x)
df
± √1 dx
2 f (x)
S1 (x) = −  p 
2 ± f (x)
df
dx
S1 (x) = −
4f (x)
Thus we get the general solution
 Z x 
1
y(x) = C1 exp (S0 (s) + ǫS1 (s) + · · ·)ds (4.22)
ǫ xo
 Z x 
1
+C2 exp (S0 (s) + ǫS1 (s) + · · ·)ds (4.23)
ǫ xo
Z !
df
1 x p
y(x) = C1 exp ( f (s) − ǫ ds + · · ·)ds (4.24)
ǫ xo 4f (s)
Z !
df
1 x p
+C2 exp (− f (s) − ǫ ds + · · ·)ds (4.25)
ǫ xo 4f (s)
Z f (x) !  Z x 
df 1 p
y(x) = C1 exp − exp ( f (s) + · · ·)ds (4.26)
f (xo ) 4f ǫ xo
Z f (x) !  Z 
df 1 x p
+C2 exp − exp − ( f (s) + · · ·)ds (4.27)
f (xo ) 4f ǫ xo
 Z x   Z 
Ĉ1 1 p Ĉ2 1 xp
y(x) = exp f (s)ds + exp − f (s)ds + · (4.28)
··
(f (x))1/4 ǫ xo (f (x))1/4 ǫ xo

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

126 CHAPTER 4. SERIES SOLUTION METHODS

This solution is not valid near x = a for which f (a) = 0. These are called turning points.

Example 4.18
Find an approximate solution of the Airy10 equation

ǫ2 y ′′ + xy = 0, for x > 0

In this case
f (x) = −x
so that √
S0 (x) = ±i x
and
S0′ 1
S1 (x) = − =−
2S0 4x
The solutions are of the form
 Z Z 
i √ dx
y = exp ± x dx − + ···
ǫ 4x
 
1 2x3/2 i
= exp ± + ···
x1/4 3ǫ

The general approximate solution is

   
C1 2x3/2 C2 2x3/2
y= sin + cos + ···
x1/4 3ǫ x1/4 3ǫ

The exact solution can be shown to be

   
y = C1 Ai −ǫ−2/3 x + C2 Bi −ǫ−2/3 x .

Here Ai and Bi are Airy functions of the first and second kind, respectively.

Example 4.19
Find a solution of x3 y ′′ = y, for small, positive x.
Let ǫ2 X = x, so that X is of O(1) when x is small. Then the equation becomes

d2 y
ǫ2 = X −3 y
dX 2
The WKB method is applicable. We have f = X −3 . The general solution is
   
′ 3/4 2 ′ 3/4 2
y = C1 X exp − √ + C2 X exp √ + ···
ǫ X ǫ X
10
George Biddell Airy, 1801-1892, English applied mathematician, First Wrangler at Cambridge, holder
of the Lucasian Chair (that held by Newton) at Cambridge, Astronomer Royal who had some role in delaying
the identification of Neptune as predicted by John Couch Adams’ perturbation theory in 1845.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

4.2. PERTURBATION METHODS 127

In terms of the original variables

   
3/4 2 3/4 2
y = C1 x exp − √ + C2 x exp √ + ···
x x

The exact solution can be shown to be

    
√ 2 2
y = x C1 I1 √ + C2 K1 √
x x

Here I1 is a modified Bessel function of the first kind of order one, and K1 is a modified Bessel function
of the second kind of order one.

4.2.7 Solutions of the type eS(x)

Example 4.20
Solve
x3 y ′′ = y
for small, positive x. Let y = eS(x) , so that y ′ = S ′ eS , y ′′ = (S ′ )2 eS + S ′′ eS , from which

S ′′ + (S ′ )2 = x−3

Assume that S ′′ ≪ (S ′ )2 (to be checked later). Thus S ′ = ±x−3/2 , and S = ±2x−1/2 . Checking we
get S ′′ /(S ′ )2 = x1/2 → 0 as x → 0, confirming the assumption. Now we add a correction term so that
S(x) = 2x−1/2 + C(x), where we have taken the positive sign. Assume that C ≪ 2x−1/2 . Substituting
in the equation, we have
3 −5/2
x + C ′′ − 2x−3/2 C ′ + (C ′ )2 = 0
2
Since C ≪ 2x−1/2 , we have C ′ ≪ x−3/2 and C ′′ ≪ 32 x−5/2 . Thus

3 −5/2
x − 2x−3/2 C ′ = 0
2
from which C ′ = 34 x−1 and C = 43 ln x. We can now check the assumption on C.
We have S(x) = 2x−1/2 + 43 ln x, so that
 
2
y = x3/4 exp − √ + ···
x

Another solution is obtained by taking S(x) = −2x−1/2 + C(x).

This procedure is similar to that of the WKB method and the solution is identical. The exact
solution is of course the same as the previous example.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

128 CHAPTER 4. SERIES SOLUTION METHODS

4.2.8 Repeated substitution

This technique sometimes works if the range of the independent variable is such that some
term is small.

Example 4.21
Solve
y ′ = e−xy
for y > 0 and large x.
As x → ∞, y ′ → 0, so that y → c (a positive constant). Substituting into the equation, we have

y ′ = e−cx

which can be integrated to get

1
y = c − e−cx
c
Substituting again, we have
  
′ 1 −cx
y = exp −x c − e
c
 x 
= e−cx 1 + e−cx + . . .
c
which can be integrated to give
 
1 1 1
y = c − e−cx − 2 x+ e−2cx + . . .
c c 2c

The series converges for large x.

An accurate numerical solution along with the first approximation are plotted in Figure 4.22.

Problems
1. Solve as a series in x for x > 0 about the point x = 0:

(a) x2 y ′′ − 2xy ′ + (x + 1)y = 0; y(1) = 1, y(4) = 0.

′′ ′ 2
(b) xy + y + 2x y = 0; |y(0)| < ∞, y(1) = 1.

In each case find the exact solution with a symbolic computation program, and compare graphically
the first four terms of your series solution with the exact solution.
2. Find two term expansions for each of the roots of

(x − 1)(x + 3)(x − 3λ) + 1 = 0

where λ is large.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

4.2. PERTURBATION METHODS 129

First
y Approximation, y = 1 - exp(-x)
1

0.8

0.6 y’ = exp (-xy)

0.4 Numerical y( )=1

8
0.2
Repeated Substitution Method
x
2 4 6 8 10
-0.2

-0.4

Figure 4.22: Numerical and first approximate solution for repeated substitution problem

3. Find two terms of an approximate solution of

λ
y ′′ + y=0
λ+x

with y(0) = 0, y(1) = 1, where λ is a large parameter. For λ = 20, plot y(x) for the two term
expansion. Also compute the exact solution by numerical integration. Plot the difference between the
asymptotic and numerical solution versus x.
4. Find the leading order solution for

dy
(x − ǫy) + xy = e−x ,
dx
where y(1) = 1, and x ∈ [0, 1], ǫ ≪ 1. For ǫ = 0.2, plot the asymptotic solution, the exact solution
and the difference versus x.
5. The motion of a pendulum is governed by the equation

d2 x
+ sin(x) = 0
dt2

with x(0) = ǫ, dx
dt (0) = 0. Using strained coordinates, find the approximate solution of x(t) for small ǫ
through O(ǫ2 ). Plot your results for both your asymptotic results and those obtained by a numerical
integration of the full equation.
6. Find an approximate solution for
y ′′ − yey/10 = 0,
with y(0) = 1, y(1) = e.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

130 CHAPTER 4. SERIES SOLUTION METHODS

7. Find an approximate solution for the following problem:

ÿ − yey/12 = 0 with y(0) = 0.1, ẏ(0) = 1.2

Compare with the numerical solution for 0 ≤ x ≤ 1.

8. Find the lowest order solution for
ǫ2 y ′′ + ǫy 2 − y + 1 = 0,
with y(0) = 1, y(1) = 3, where ǫ is small. For ǫ = 0.2, plot the asymptotic and exact solutions.
9. Show that for small ǫ the solution of
dy
− y = ǫet ,
dt
with y(0) = 1 can be approximated as an exponential on a slightly different time scale.
10. Obtain approximate general solutions of the following equations near x = 0.

(a) xy ′′ + y ′ + xy = 0, through O(x6 ),

(b) xy ′′ + y = 0, through O(x2 ).

11. Find all solutions through O(ǫ2 ), where ǫ is a small parameter, and compare with the exact result for
ǫ = 0.01.

(a) 4x4 + 4(ǫ + 1)x3 + 3(2ǫ − 5)x2 + (2ǫ − 16)x − 4 = 0

(b) 2ǫx4 + 2(2ǫ + 1)x3 + (7 − 2ǫ)x2 − 5x − 4 = 0.

12. Find three terms of a solution of

π
x + ǫ cos(x + 2ǫ) =
2
where ǫ is a small parameter. For ǫ = 0.2, compare the best asymptotic solution with the exact
solution.
13. Find three terms of the solution of

ẋ + 2x + ǫx2 = 0, with x(0) = cosh ǫ

where ǫ is a small parameter. Compare graphically with the exact solution for ǫ = 0.3 and 0 ≤ t ≤ 2.
14. Write down an approximation for
Z π/2 p
1 + ǫ cos2 x dx
0

if ǫ = 0.1, so that the absolute error is less than 2 × 10−4 .

15. Solve
y ′′ + y = eǫ sin x , with y(0) = y(1) = 0
through O(ǫ), where ǫ is a small parameter. For ǫ = 0.25 graphically compare the asymptotic solution
with a numerically obtained solution.
16. The solution of the matrix equation A · x = y can be written as x = A−1 · y. Find the perturbation
solution of (A + ǫB) · x = y, where ǫ is a small parameter.
17. Find all solutions of ǫx4 + x − 2 = 0 approximately, if ǫ is small and positive. If ǫ = 0.001, compare
the exact solution obtained numerically with the asymptotic solution.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

4.2. PERTURBATION METHODS 131

18. Obtain the first two terms of an approximate solution to

ẍ + 3(1 + ǫ)ẋ + 2x = 0 with x(0) = 2(1 + ǫ), ẋ(0) = −3(1 + 2ǫ)

for small ǫ. Compare the approximate and exact solutions graphically in the range 0 ≤ x ≤ 1 for (a)
ǫ = 0.1, (b) ǫ = 0.25, and (c) ǫ = 0.5.
19. Find an approximate solution to

ẍ + (1 + ǫ)x = 0 with x(0) = A, ẋ(0) = B.

for small, positive ǫ. Compare with the exact solution. Plot both the exact solution and the approxi-
mate solution on the same graph for A = 1, B = 0, ǫ = 0.3.
20. Find an approximate solution to the following problem for small ǫ

ǫ2 ÿ − y = −1 with y(0) = 0, y(1) = 0

Compare graphically with the exact solution for ǫ = 0.1.

21. Solve to leading order
ǫy ′′ + yy ′ − y = 0 with y(0) = 0, y(1) = 3
Compare graphically to the exact solution for ǫ = 0.2.
22. If ẍ + x + ǫx3 = 0 with x(0) = A, ẋ(0) = 0 where ǫ is small, a regular expansion gives x(t) ≈
3
A cos t + ǫ A 32 (− cos t + cos 3t − 12t sin t). Explain why this is not valid for all time, and obtain a better
solution by inserting t = (1 + a1 ǫ + . . .)τ into this solution, expanding in terms of ǫ, and choosing
a1 , a2 , · · · properly (Pritulo’s method).
23. Use perturbations to find an approximate solution to

y ′′ + λy ′ = λ with y(0) = 0, y(1) = 0,

where λ ≫ 1.
24. Find the complementary functions of
y ′′′ − xy = 0
in terms of expansions near x = 0. Retain only two terms for each function.
25. Find, correct to O(ǫ), the solution of

ẍ + (1 + ǫ cos 2t) x = 0 with x(0) = 1 and ẋ(0) = 0

that is bounded for all t, where ǫ ≪ 1.

26. Find the function f to O(ǫ) where it satisfies the integral equation
Z x+ǫ sin x
x= f (ξ) dξ
0

27. Find three terms of a perturbation solution of

y ′′ + ǫy 2 = 0

with y(0) = 0, y(1) = 1 for ǫ ≪ 1. For ǫ = 2.5, compare the O(1), O(ǫ), and O(ǫ2 ) solutions to a
numerically obtained solution in x ∈ [0, 1].

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

132 CHAPTER 4. SERIES SOLUTION METHODS

28. Obtain a power series solution (in summation form) for y ′ + ky = 0 about x = 0, where k is an
arbitrary, nonzero constant. Compare to a Taylor series expansion of the exact solution.
29. Obtain two terms of an approximate solution for ǫex = cos x when ǫ is small. Graphically compare
to the actual values (obtained numerically) when ǫ = 0.2, 0.1, 0.01.
30. Obtain three terms of a perturbation solution for the roots of the equation (1 − ǫ)x2 − 2x + 1 = 0.
(Hint: The expansion x = x0 + ǫx1 + ǫ2 x2 + . . . will not work.)
31. The solution of the matrix equation A · x = y can be written as x = A−1 · y. Find the nth term of
the perturbation solution of (A + ǫB) · x = y, where ǫ is a small parameter. Obtain the first three
terms of the solution for
     
1 2 1 1/10 1/2 1/10 1/2
A = 2 2 1, B =  0 1/5 0  , y =  1/5  .
1 2 3 1/2 1/10 1/2 1/10

32. Obtain leading and first order terms for u and v, governed by the following set of coupled differential
equations, for small ǫ:
d2 u du 1 1
2
+ ǫv = 1, u(0) = 0, u(1) = + ǫ
dx dx 2 120
d2 v dv 1 1
2
+ ǫu = x, v(0) = 0, v(1) = + ǫ
dx dx 6 80
Compare asymptotic and numerically obtained results for ǫ = 0.2.
33. Obtain two terms of a perturbation solution to ǫfxx + fx = −e−x with boundary conditions f (0) = 0,
f (1) = 1. Graph the solution for ǫ = 0.2, 0.1, 0.05, 0.025 on 0 ≤ x ≤ 1.
34. Find two uniformly valid approximate solutions of

ω2u
ü + = 0 with u(0) = 0
1 + u2
up to the first order. Note that ω is not small.
35. Using a two-variable expansion, find the lowest order solution of
(a) ẍ + ǫẋ + x = 0 with x(0) = 0, ẋ(0) = 1
(b) ẍ + ǫẋ3 + x = 0 with x(0) = 0, ẋ(0) = 1
where ǫ ≪ 1. Compare asymptotic and numerically obtained results for ǫ = 0.01.
36. Obtain a three-term solution of

ǫẍ − ẋ = 1, with x(0) = 0, x(1) = 2

where ǫ ≪ 1.
37. Find an approximate solution to the following problem for small ǫ

ǫ2 ÿ − y = −1 with y(0) = 0, y(1) = 0

Compare graphically with the exact solution for ǫ = 0.1.

38. A projectile of mass m is launched at an angle α with respect to the horizontal, and with an initial
velocity V . Find the time it takes to reach its maximum height. Assume that the air resistance is
small and can be written as k times the square of the velocity of the projectile. Choosing appropriate
values for the parameters, compare with the numerical result.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

4.2. PERTURBATION METHODS 133

39. For small ǫ, solve using WKB

ǫ2 y ′′ = (1 + x2 )2 y with y(0) = 0, y(1) = 1.

40. Obtain a general series solution of

y ′′ + k 2 y = 0
about x = 0.
41. Find a general solution of
y ′′ + ex y = 1
near x = 0.
42. Solve    
2 ′′ 1 ′ 1
x y +x + 2x y + x − y=0
2 2
around x = 0.
√
43. Solve y ′′ − xy = 0, x > 0 in each one of the following ways:
(a) Substitute x = ǫ−4/5 X, and then use WKB.
(b) Substitute x = ǫ2/5 X, and then use regular perturbation.
(c) Find an approximate solution of the kind y = eS(x) .
where ǫ is small
44. Find a solution of √
y ′′′ − xy = 0
for small x ≥ 0
45. Find an approximate general solution of

x sin x y ′′ + (2x cos x + x2 sin x) y ′ + (x sin x + sin x + x2 cos x) y = 0

valid near x = 0.
46. A bead can slide along a circular hoop in√a vertical plane. The bead is initially at the lowest position,
θ = 0, and given an initial velocity of 2 gR, where g is the acceleration due to gravity and R is the
radius of the hoop. If the friction coefficient is µ, find the maximum angle θmax reached by the bead.
Compare perturbation and numerical results. Present results on a θmax vs. µ plot, for 0 ≤ µ ≤ 0.3.
47. The initial velocity downwards of a body of mass m immersed in a very viscous fluid is V . Find
the velocity of the body as a function of time. Assume that the viscous force is proportional to the
velocity. Assume that the inertia of the body is small, but not negligible, relative to viscous and
gravity forces. Compare perturbation and exact solutions graphically.
48. For small ǫ, solve to lowest order using the method of multiple scales

ẍ + ǫẋ + x = 0 with x(0) = 0, ẋ(0) = 1.

Compare exact and asymptotic results for ǫ = 0.3.

49. For small ǫ, solve using WKB

ǫ2 y ′′ = (1 + x2 )2 y with y(0) = 0, y(1) = 1.

Plot asymptotic and numerical solutions for ǫ = 0.11.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

134 CHAPTER 4. SERIES SOLUTION METHODS

50. Find the lowest order approximate solution to

ǫ2 y ′′ + ǫy 2 − y + 1 = 0 with y(0) = 1, y(1) = 2

where ǫ is small. Plot asymptotic and numerical solutions for ǫ = 0.23.

51. A pendulum is used to measure the earth’s gravity. The frequency of oscillation is measured, and the
gravity calculated assuming a small amplitude of motion and knowing the length of the pendulum.
What must the maximum initial angular displacement of the pendulum be if the error in gravity is
to be less than 1%. Neglect air resistance.
52. Find two terms of an approximate solution of

λ
y ′′ + y=0
λ+x
with y(0) = 0, y(1) = 1, where λ is a large parameter.
53. Find all solutions of eǫx = x2 through O(ǫ2 ), where ǫ is a small parameter.
54. Solve
(1 + ǫ)y ′′ + ǫy 2 = 1
with y(0) = 0, y(1) = 1 through O(ǫ2 ), where ǫ is a small parameter.
55. Solve to lowest order
ǫy ′′ + y ′ + ǫy 2 = 1
with y(0) = −1, y(1) = 1, where ǫ is a small parameter. For ǫ = 0.2, plot asymptotic and numerical
solutions to the full equation.
56. Find the series solution of the differential equation

y ′′ + xy = 0

around x = 0 up to four terms.

57. Find the local solution of the equation √
y ′′ = xy
near x → 0+ .
58. Find the solution of the transcendental equation

sin x = ǫ cos 2x

near x = π for small positive ǫ.

59. Solve
ǫy ′′ − y ′ = 1
with y(0) = 0, y(1) = 2 for small ǫ. Plot asymptotic and numerical solutions for ǫ = 0.04.
60. Find two terms of the perturbation solution of

(1 + ǫy)y ′′ + ǫy ′2 − N 2 y = 0

with y ′ (0) = 0, y(1) = 1. for small ǫ. N is a constant. Plot the asymptotic and numerical solution for
ǫ = 0.12, N = 10.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

4.2. PERTURBATION METHODS 135

61. Solve
1
ǫy ′′ + y ′ =
2
with y(0) = 0, y(1) = 1 for small ǫ. Plot asymptotic and numerical solutions for ǫ = 0.12.
62. Find if the van der Pol equation
ÿ − ǫ(1 − y 2 )ẏ + k 2 y = 0
has a limit cycle of the form y = A cos ωt.
63. Solve y ′ = e−2xy for large x where y is positive. Plot y(x).

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

136 CHAPTER 4. SERIES SOLUTION METHODS

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

Chapter 5

Orthogonal functions and Fourier

series

see Kaplan, Chapter 7,

see Lopez, Chapters 10, 16,
see Riley, Hobson, and Bence, Chapter 15.4, 15.5.

Solutions of differential equations give rise to complementary functions. Some of these are
well known such as sin and cos. This chapter will consider these and other functions which
arise from the solution from a variety of second order differential equations with non-constant
coefficients. The notion of eigenvalues, eigenfunctions, and orthogonal functions will be
introduced; a stronger foundation will be built in the chapter on linear analysis. It will be
shown how one can expand an arbitrary function in terms of infinite sums of the product of
scalar amplitudes with orthogonal basis functions.

5.1 Sturm-Liouville equations

Consider on the domain x ∈ [x0 , x1 ] the following general linear homogeneous second order
differential equation with general homogeneous boundary conditions:
d2 y dy
a(x) 2
+ b(x) + c(x)y + λy = 0 (5.1)
dx dx
α1 y(x0 ) + α2 y ′ (x0 ) = 0 (5.2)
β1 y(x1 ) + β2 y ′ (x1 ) = 0 (5.3)

Define the following functions:

Z x 
b(s)
p(x) = exp ds (5.4)
xo a(s)
Z x 
1 b(s)
r(x) = exp ds (5.5)
a(x) xo a(s)

137
138 CHAPTER 5. ORTHOGONAL FUNCTIONS AND FOURIER SERIES

Z x 
c(x) b(s)
q(x) = exp ds (5.6)
a(x) xo a(s)
With these definitions, the original equation is transformed to the type known as a
Sturm-Liouville1 equation:
 
d dy
p(x) + (q(x) + λr(x)) y(x) = 0 (5.7)
dx dx
    
1 d d
p(x) + q(x) y(x) = −λ y(x) (5.8)
r(x) dx dx
Here the Sturm-Liouville linear operator Ls is
   
1 d d
Ls = p(x) + q(x)
r(x) dx dx
so we have
Ls y(x) = −λ y(x)
Now the trivial solution y(x) = 0 will satisfy the differential equation. In addition for special
values of λ, known as eigenvalues, there are certain functions, known as eigenfunctions which
also satisfy the differential equation.
Now it can be shown that if we have for x ∈ [x0 , x1 ]

p(x) > 0 (5.9)

r(x) > 0 (5.10)
q(x) ≥ 0 (5.11)

then an infinite number of real positive eigenvalues λ and corresponding eigenfunctions yi (x)
exist for which the differential equation is satisfied. Moreover it can also be shown (Hilde-
brand, p. 204) that a consequence of the homogeneous boundary conditions is the orthogo-
nality condition:
Z x1
r(x)yi (x)yj (x) dx = 0, for i 6= j (5.12)
x0
Z x1
r(x)yi (x)yi (x) dx = K 2 (5.13)
x0

Here K is a real constant. This can be written compactly using the Kronecker delta function,
δij as
Z x1
r(x)yi (x)yj (x) dx = K 2 δij . (5.14)
x0

1
Jacques Charles François Sturm, 1803-1855, Swiss-born French mathematician and Joseph Liouville,
1809-1882, French mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

5.1. STURM-LIOUVILLE EQUATIONS 139

Sturm-Liouville theory shares many analogies with vector algebra. In the same sense that
the dot product of a vector with itself is guaranteed positive, we wish to define a “product”
for the eigenfunctions in which the “product” of a function and itself is guaranteed positive.
Consequently, the eigenfunctions of a Sturm-Liouville operator Ls are said to be orthogonal
to each other.
Based on the above result we can define functions ϕi (x):
r
r(x)
ϕi (x) = yi (x) (5.15)
K2
so that Z x1
ϕi (x)ϕj (x) dx = δij . (5.16)
x0

Such functions are said to be orthonormal. While orthonormal functions have great
utility, note that in the context of our Sturm-Liouville nomenclature, that ϕi (x) does not in
general satisfy the Sturm-Liouville equation: Ls ϕi (x) 6= −λi ϕi (x). If, however, r(x) = C,
where C is a scalar constant, then in fact Ls ϕi (x) = −λi ϕi (x). Whatever the case, in all
cases we are guaranteed Ls yi (x) = −λi yi (x). The yi (x) functions are orthogonal under the
influence of the weighting function r(x), but not necessarily orthonormal.

5.1.1 Linear oscillator

A linear oscillator gives a simple example of a Sturm-Liouville problem.

d2 y
+ λy = 0 (5.17)
dx2
dy
αy(a) + β (a) = 0 (5.18)
dx
dy
γy(b) + δ (b) = 0 (5.19)
dx
Here we have

a(x) = 1 (5.20)
b(x) = 0 (5.21)
c(x) = 0 (5.22)

so

p(x) = 1 (5.23)
r(x) = 1 (5.24)
q(x) = 0 (5.25)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

140 CHAPTER 5. ORTHOGONAL FUNCTIONS AND FOURIER SERIES

So we can consider the domain x ∈ (−∞, ∞). In practice it is more common to consider the
finite domain in which x ∈ [x0 , x1 ]. The Sturm-Liouville operator is

d2
Ls =
dx2
The eigenvalue problem is
d2
y(x) = −λ y(x)
dx2
The general solution is √ √
y(x) = C1 cos( λx) + C2 sin( λx)

Example 5.1
Find the eigenvalues and eigenfunctions for

d2 y
+ λy = 0
dx2

y(0) = y(ℓ) = 0
For y(0) = 0 we get
√ √
y(0) = 0 = C1 cos( λ(0)) + C2 sin( λ(0))

y(0) = 0 = C1 (1) + C2 (0)

C1 = 0
So √
y(x) = C2 sin( λx)
At the other boundary we have √
y(ℓ) = 0 = C2 sin( λ(ℓ))
For non-trivial solutions we need C2 6= 0, which then requires that
√
λℓ = nπ n = ±1, ±2, ±3, . . .

so  nπ 2
λ=
ℓ
The eigenvalues and eigenfunctions are

n2 π 2
λn =
ℓ2
and  nπx 
yn (x) = sin
ℓ
respectively.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

5.1. STURM-LIOUVILLE EQUATIONS 141

Check orthogonality for y2 (x) and y3 (x).

Z ℓ  
 
2πx 3πx
I = sin sin dx (5.26)
0 ℓ ℓ
    ℓ
ℓ πx 1 5πx 
= sin − sin  (5.27)
2π ℓ 5 ℓ 
0
= 0 (5.28)

Check orthogonality for y4 (x) and y4 (x).

Z ℓ    
4πx 4πx
I = sin sin dx (5.29)
0 ℓ ℓ
  ℓ
x ℓ 8πx 
= − sin  (5.30)
2 16π ℓ 
0
ℓ
= (5.31)
2
In fact
Z ℓ  nπx   nπx  ℓ
sin sin dx = (5.32)
0 ℓ ℓ 2
so the orthonormal functions ϕn (x) for this problem are
r  nπx 
2
ϕn (x) = sin (5.33)
ℓ ℓ

5.1.2 Legendre equation

see Kaplan, 7.14

Legendre’s2 equation is below. Here, it is convenient to let the term n(n + 1) play the
role of λ.
d2 y dy
(1 − x2 ) 2 − 2x + n(n + 1)y = 0 (5.34)
dx dx
Here

a(x) = 1 − x2 (5.35)
b(x) = −2x (5.36)
c(x) = 0 (5.37)
2
Adrien-Marie Legendre, 1752-1833, French/Parisian mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

142 CHAPTER 5. ORTHOGONAL FUNCTIONS AND FOURIER SERIES

Then, taking xo = −1, we have

Z x
−2s
p(x) = exp 2
ds (5.38)
−1 1 − s


x
= exp ln 1 − s2 −1 (5.39)

x
= 1 − s2 −1 (5.40)
= 1 − x2 (5.41)

We find then that

r(x) = 1 (5.42)
q(x) = 0 (5.43)

Thus we require x ∈ (−1, 1). In Sturm-Liouville form the equation reduces to

 
d 2 dy
(1 − x ) + n(n + 1) y = 0 (5.44)
dx dx
 
d 2 d
(1 − x ) y(x) = −n(n + 1) y(x) (5.45)
dx dx
So
 
d 2 d
Ls = (1 − x ) (5.46)
dx dx
Now x = 0 is a regular point, so we can expand in a power series around this point. Let
∞
X
y= am xm (5.47)
m=0

Substituting in the differential equation, we find that

(m + n + 1)(m − n)
am+2 = am (5.48)
(m + 1)(m + 2)
Thus, the general solution is

y(x) = C1 y1 (x) + C2 y2 (x)

 
x2 x4
y1 (x) = ao 1 − n(n + 1) + n(n + 1)(n − 2)(n + 3) − . . .
2! 4!
 3

x x5
y2 (x) = a1 x − (n − 1)(n + 2) + (n − 1)(n + 2)(n − 3)(n + 4) − . . .
3! 5!
For n = 0, 2, 4, . . ., y1 (x) is a finite polynomial, while y2 (x) is an infinite series which diverges
at |x| = 1. For n = 1, 3, 5, . . ., it is the other way around.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

5.1. STURM-LIOUVILLE EQUATIONS 143

Pn (x) P4 P3
3 P
2

2
P
1
1 P
0

-1.5 -1 -0.5 0.5 1 1.5 x

-1

-2

Figure 5.1: Legendre polynomials P0 (x), P1 (x), P2 (x), P3 (x), P4 (x)

The polynomials can be normalized by dividing through by their values at x = 1 to give

the Legendre polynomials:
n=0 P0 (x) = 1 (5.49)
n=1 P1 (x) = x (5.50)
1
n=2 P2 (x) = (3x2 − 1) (5.51)
2
1
n=3 P3 (x) = (5x3 − 3x) (5.52)
2
1
n=4 P4 (x) = (35x4 − 30x2 + 3) (5.53)
8
..
. (5.54)
1 dn 2
n Pn (x) = n (x − 1)n Rodrigues’ formula (5.55)
2 n! dxn
The first five eigenfunctions of the Legendre equation are plotted in the Figure 5.1.
The total solution can be expressed as the sum of the polynomials Pn (x) (Legendre
functions of the first kind and degree n) and the series Qn (x) (Legendre functions of the
second kind and degree n):

y(x) = C1 Pn (x) + C2 Qn (x) (5.56)

The orthogonality condition is
Z 1
Pi (x)Pj (x) dx = 0 i 6= j (5.57)
−1
Z 1
2
Pn (x)Pn (x) dx = (5.58)
−1 2n + 1

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

144 CHAPTER 5. ORTHOGONAL FUNCTIONS AND FOURIER SERIES

Direct substitution shows that Pn (x) satisfies both the differential equation and the orthog-
onality condition. It is then easily shown that the following functions are orthonormal on
the interval x ∈ (−1, 1):
r
1
ϕn (x) = n + Pn (x) (5.59)
2

5.1.3 Chebyshev equation

The Chebyshev3 equation is
d2 y dy
(1 − x2 ) 2
− x + λy = 0 (5.60)
dx dx
Let’s get this into Sturm-Liouville form.
a(x) = 1 − x2 (5.61)
b(x) = −x (5.62)
c(x) = 0 (5.63)
Now, taking x0 = −1,
Z x 
b(s)
p(x) = exp ds (5.64)
−1 a(s)
Z x 
−s
= exp 2
ds (5.65)
−1 1 − s
 x
1 2

= exp ln(1 − s )  (5.66)
2 −1
√ x

= 1 − s2  (5.67)
−1
√
= 1−x 2 (5.68)
R 
x b(s)
exp −1 a(s)
ds 1
r(x) = = √ (5.69)
a(x) 1 − x2
q(x) = 0 (5.70)
Thus, for p(x) > 0, we require x ∈ (−1, 1)
The Chebyshev equation in Sturm-Liouville form is
 
d √ dy λ
1 − x2 +√ y = 0 (5.71)
dx dx 1 − x2
 
√ d √ d
1 − x2 1 − x2 y(x) = −λ y(x) (5.72)
dx dx
3
Pafnuty Lvovich Chebyshev, 1821-1894, Russian mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

5.1. STURM-LIOUVILLE EQUATIONS 145

T (x)
n
2 T1
1.5
1 T0
0.5

-2 -1 1 2
x
-0.5
-1
-1.5
T3 T
T 4
2
-2

Figure 5.2: Chebyshev polynomials T0 (x), T1 (x), T2 (x), T3 (x), T4 (x)

Thus
 
√ d √ d
Ls = 1 − x2 1 − x2 (5.73)
dx dx

That the two forms are equivalent can be easily checked by direct expansion of the above
equation.
The first five eigenfunctions of the Chebyshev equation are plotted in the Figure 5.2.
They can be expressed in terms of polynomials known as the Chebyshev polynomials, Tn (x).
These polynomials can be obtained by a regular series expansion of the original differential
equation.
Eigenvalues and eigenfunctions are listed below:

λ=0 T0 (x) = 1 (5.74)

λ=1 T1 (x) = x (5.75)
λ=4 T2 (x) = −1 + 2x2 (5.76)
λ=9 T3 (x) = −3x + 4x3 (5.77)
λ = 16 T4 (x) = 1 − 8x2 + 8x4 (5.78)
..
. (5.79)
λ = n2 Tn (x) = cos(n cos−1 x) Rodrigues’ formula (5.80)

The Rodrigues4 formula gives a generating formula for general n. The orthogonality condi-
4
Benjamin Olinde Rodrigues, 1794-1851, obscure French mathematician, of Portuguese and perhaps
Spanish roots.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

146 CHAPTER 5. ORTHOGONAL FUNCTIONS AND FOURIER SERIES

tion is
Z 1
Ti (x)Tj (x)
√ dx = 0 i 6= j (5.81)
−1 1 − x2
Z 1 
Ti (x)Ti (x) π if i = j = 0
√ dx = π (5.82)
−1 1 − x2 2
if i = j = 1, 2, . . .

Direct substitution shows that Tn (x) satisfies both the differential equation and the orthog-
onality condition. We can deduce then that the functions ϕn (x)
q
 √1 Tn (x) if n = 0
π 1−x2
ϕn (x) = q (5.83)
 √2 Tn (x) if n = 1, 2, . . .
π 1−x 2

are an orthonormal set of functions on the interval x ∈ (−1, 1). That is

Z 1
ϕ2n (x) dx = 1 (5.84)
−1

or Z 1
ϕi (x)ϕj (x) = δij . (5.85)
−1

5.1.4 Hermite equation

see Kaplan, 7.15, p. 515

The Hermite5 equation is given below.

d2 y dy
− 2x + λy = 0 (5.86)
dx2 dx
We find that
2
p(x) = e−x (5.87)
−x2
r(x) = e (5.88)
q(x) = 0 (5.89)

Thus we allow x ∈ (−∞, ∞). In Sturm-Liouville form it becomes

 
d −x2 dy 2
e + λe−x y = 0 (5.90)
dx dx
 
x2 d −x2 d
e e y(x) = −λ y(x) (5.91)
dx dx
5
Charles Hermite, 1822-1901, Lorraine-born French mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

5.1. STURM-LIOUVILLE EQUATIONS 147

H4 Hn(x)
30 H2

20

10
H0 H1

-3 -2 -1 1 2 3 x
-10

-20

-30
H3

Figure 5.3: Hermite polynomials H0 (x), H1 (x), H2 (x), H3 (x), H4 (x)

So
 
d
x2 −x2 d
Ls = e e (5.92)
dx dx
The first five eigenfunctions of the Hermite equation are plotted in the Figure 5.3. They
can be expressed in terms of polynomials known as the Hermite polynomials, Hn (x). These
polynomials can be obtained by a regular series expansion of the original differential equation.
Eigenvalues and eigenfunctions are listed below:

λ=0 H0 (x) = 1 (5.93)

λ=2 H1 (x) = 2x (5.94)
λ=4 H2 (x) = −2 + 4x2 (5.95)
λ=6 H3 (x) = −12x + 8x3 (5.96)
λ=8 H4 (x) = 12 − 48x2 + 16x4 (5.97)
..
. (5.98)
n −x2
2 d e
λ = 2n Hn (x) = (−1)n ex Rodrigues’ formula (5.99)
dxn
The orthogonality condition is
Z ∞
2
e−x Hi (x)Hj (x) dx = 0 i 6= j (5.100)
−∞
Z ∞
2 √
e−x Hn (x)Hn (x) dx = 2n n! π (5.101)
−∞

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

148 CHAPTER 5. ORTHOGONAL FUNCTIONS AND FOURIER SERIES

Direct substitution shows that Hn (x) satisfies both the differential equation and the orthog-
onality condition. It is then easily shown that the following functions are orthonormal on
the interval (−∞, ∞)
2
e−x /2 Hn (x)
ϕn (x) = p√ (5.102)
π2n n!

5.1.5 Laguerre equation

see Kaplan, 7.15, p. 516

The Laguerre6 equation is

d2 y dy
x 2
+ (1 − x) + λy = 0 (5.103)
dx dx
We find that

p(x) = xe−x (5.104)

r(x) = e−x (5.105)
q(x) = 0 (5.106)

Thus we require x ∈ (0, ∞).

In Sturm-Liouville form it becomes
 
d −x dy
xe + λe−x y = 0 (5.107)
dx dx
 
x d −x d
e xe y(x) = −λ y(x) (5.108)
dx dx

So
 
d
x −x d
Ls = e xe (5.109)
dx dx

The first five eigenfunctions of the Laguerre equation are plotted in the Figure 5.4. They
can be expressed in terms of polynomials known as the Laguerre polynomials, Ln (x). These
polynomials can be obtained by a regular series expansion of the original differential equation.
Eigenvalues and eigenfunctions are listed below:

λ=0 L0 (x) = 1 (5.110)

λ=1 L1 (x) = 1 − x (5.111)
1
λ=2 L2 (x) = 1 − 2x + x2 (5.112)
2
6
Edmond Nicolas Laguerre, 1834-1886, French mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

5.1. STURM-LIOUVILLE EQUATIONS 149

L n (x) L2
L4
10

5
L0
-2 2
x
4 6 8 10

-5

-10 L1

L 3

Figure 5.4: Laguerre polynomials L0 (x), L1 (x), L2 (x), L3 (x), L4 (x)

3 1
λ=3 L3 (x) = 1 − 3x + x2 − x3 (5.113)
2 6
2 3 1
λ=4 2
L4 (x) = 1 − 4x + 3x − x + x4 (5.114)
3 24
..
. (5.115)
n n −x
1 x d (x e )
λ=n Ln (x) = e Rodrigues’ formula (5.116)
n! dxn
The orthogonality condition reduces to
Z ∞
e−x Li (x)Lj (x) dx = δij (5.117)
0

Direct substitution shows that Ln (x) satisfies both the differential equation and the orthog-
onality condition. It is then easily shown that the following functions are orthonormal on
the interval x ∈ (0, ∞):

ϕn (x) = e−x/2 Ln (x) (5.118)

5.1.6 Bessel equation

see Kaplan, 7.15 p. 512

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

150 CHAPTER 5. ORTHOGONAL FUNCTIONS AND FOURIER SERIES

5.1.6.1 First and second kind

Bessel’s7 differential equation is as follows, with it being convenient to define λ = −ν 2 .

d2 y dy
x2 2
+ x + (µ2 x2 − ν 2 )y = 0 (5.119)
dx dx
We find that
p(x) = x (5.120)
1
r(x) = (5.121)
x
q(x) = µ2 x (5.122)
We thus require 0 < x < ∞, though in practice, it is more common to employ a finite domain
such as 0 < x < ℓ. In Sturm-Liouville form, we have
   
d dy 2 ν2
x + µ x− y = 0 (5.123)
dx dx x
    
d d 2
x x +µ x y(x) = ν 2 y(x) (5.124)
dx dx
The Sturm-Liouville operator is
  
d d 2
Ls = x x +µ x (5.125)
dx dx
In some other cases it is more convenient to take λ = µ2 in which case we get
p(x) = x (5.126)
r(x) = x (5.127)
ν2
q(x) = − (5.128)
x
and the Sturm-Liouville form and operator are:
    
1 d d ν2
x − y(x) = −µ2 y(x) (5.129)
x dx dx x
   
1 d d ν2
Ls = x − (5.130)
x dx dx x
The general solution is
y(x) = C1 Jν (µx) + C2 Yν (µx) if ν is an integer (5.131)
y(x) = C1 Jν (µx) + C2 J−ν (µx) if ν is not an integer (5.132)
7
Friedrich Wilhelm Bessel, 1784-1846, Westphalia-born German mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

5.1. STURM-LIOUVILLE EQUATIONS 151

where Jν (µx) and Yν (µx) are called the Bessel and Neumann functions of order ν. Often
Jν (µx) is known as a Bessel function of the first kind and Yν (µx) is known as a Bessel
function of the second kind. Both Jν and Yν are represented by infinite series rather than
finite series such as the series for Legendre polynomials.
The Bessel function of the first kind of order ν, Jν (µx), is represented by
 ν X∞
k
1 − 14 µ2 x2
Jν (µx) = µx (5.133)
2 k=0
k!Γ(ν + k + 1)
The Neumann function Yν (µx) has a complicated series representation (see Hildebrand).
The representations for J0 (µx) and Y0 (µx) are
1 2 2 1

1 2 2 2



1 2 2 n
µ x µ x − µ x
J0 (µx) = 1 − 4 + 4 + ...+ 4
(1!)2 (2!)2 (n!)2
   
2 1
Y0 (µx) = ln µx + γ J0 (µx)
π 2
1 2 2 1

  1 2 2
2 !
2 4
µ x 1 4
µx
+ 2
− 1+ ...
π (1!) 2 (2!)2

It can be shown using term by term differentiation that

dJν (µx) Jν−1 (µx) − Jν+1 (µx) dYν (µx) Yν−1(µx) − Yν+1 (µx)
=µ =µ (5.134)
dx 2 dx 2
d ν d
(x Jν (µx)) = µxν Jν−1 (µx) (xν Yν (µx)) = µxν Yν−1 (µx) (5.135)
dx dx
The Bessel functions J0 (µ0 x), J0 (µ1 x), J0 (µ2 x), J0 (µ3 x) are plotted in Figure 5.5. Here
the eigenvalues µi can be determined from trial and error. The first four are found to be
µ0 = 2.40483, µ1 = 5.52008, µ2 = 8.65373, and µ3 = 11.7915. In general, one can say

lim µn = nπ + O(1). (5.136)

n→∞

The Bessel functions J0 (x), J1 (x), J2 (x), J3 (x), and J4 (x) along with the Neumann functions
Y0 (x), Y1 (x), Y2 (x), Y3 (x), and Y4 (x) are plotted in Figure 5.6 (so here µ = 1).
The orthogonality condition for a domain x ∈ (0, 1), taken here for the case in which the
eigenvalue is µi , can be shown to be
Z 1
xJν (µi x)Jν (µj x) dx = 0 i 6= j (5.137)
0
Z 1
1
xJν (µi x)Jν (µi x) dx = (Jν+1 (µi ))2 i=j (5.138)
0 2
Here we must choose µi such that Jν (µi ) = 0, which corresponds to a vanishing of the
function at the outer limit x = 1. See Hildebrand, p. 226.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

152 CHAPTER 5. ORTHOGONAL FUNCTIONS AND FOURIER SERIES

Jo(µnx)

1
Jo(µ0x)
0.8

0.6

0.4

0.2

0.2 0.4 0.6 0.8 1

x
-0.2

-0.4
Jo(µ3x) Jo(µ2x) Jo(µ1x)

Figure 5.5: Bessel functions J0 (µ0 x), J0 (µ1 x), J0 (µ2 x), J0 (µ3 x)

Y (x)
J (x)
ν ν
1 J 1
0
0.75
0.8 Y0
J1 0.5 Y1 Y2
0.6
Y3 Y4
J2 J3 J4 0.25
0.4
x
2 4 6 8 10
0.2
-0.25
x
2 4 6 8 10 -0.5
-0.2 -0.75
-0.4 -1

Figure 5.6: Bessel functions J0 (x), J1 (x), J2 (x), J3 (x), J4 (x) and Neumann functions Y0 (x),
Y1 (x), Y2 (x), Y3 (x), Y4 (x)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

5.2. FOURIER SERIES REPRESENTATION OF ARBITRARY FUNCTIONS 153

So the orthonormal Bessel function is

√
2xJν (µn x)
ϕn (x) = (5.139)
|Jν+1 (µn )|

5.1.6.2 Third kind

Hankel functions, also known as Bessel functions of the third kind are defined by

Hν(1) (x) = Jν (x) + iYν (x) (5.140)

Hν(2) (x) = Jν (x) − iYν (x) (5.141)

5.1.6.3 Modified Bessel functions

The modified Bessel equation is

d2 y dy
x2 2
+ x − (x2 + ν 2 )y = 0 (5.142)
dx dx
the solutions of which are the modified Bessel functions. It is satisfied by the modified Bessel
functions. The modified Bessel function of the first kind of order ν is

Iν (x) = i−ν Jν (ix) (5.143)

The modified Bessel function of the second kind of order ν is

π ν+1 (1)
Kν (x) = i Hn (ix) (5.144)
2

5.1.6.4 Ber and bei functions

The real and imaginary parts of the solutions of

d2 y dy
x2 + x − (p2 + ix2 )y = 0 (5.145)
dx2 dx
where p is a real constant, are called the ber and bei functions.

5.2 Fourier series representation of arbitrary functions

It is often useful, especially when solving partial differential equations, to be able to represent
an arbitrary function f (x) in the domain x ∈ [x0 , x1 ] with an appropriately weighted sum of
orthonormal functions ϕn (x):
X∞
f (x) = an ϕn (x) (5.146)
n=0

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

154 CHAPTER 5. ORTHOGONAL FUNCTIONS AND FOURIER SERIES

We generally truncate the infinite series to a finite number of N terms so that f (x) is
approximated by
XN
f (x) ∼ an ϕn (x). (5.147)
n=1

From hereout, we will use an equality for the N-term approximation, while realizing that
we are actually tolerating an error. The represenation is useful only if the infinite series
converges so that the error incurred in neglecting terms past N are small relative to the
terms included. The problem is to determine what the coefficients an must be. They can
be found in the following manner. We first assume the expansion exists and multiply both
sides by ϕk (x):
N
X
f (x)ϕk (x) = an ϕn (x)ϕk (x) (5.148)
n=0
Z x1 Z N
x1 X
f (x)ϕk (x) dx = an ϕn (x)ϕk (x) dx (5.149)
x0 x0 n=0
N
X Z x1
= an ϕn (x)ϕk (x) dx (5.150)
n=0 x0

XN
= an δnk (5.151)
n=0
= a0 δ0k +a1 δ1k + . . . + ak δkk + . . . + aN δN k (5.152)
|{z} |{z} |{z} |{z}
=0 =0 =1 =0
= ak (5.153)

So trading k and n Z x1
an = f (x)ϕn (x) dx (5.154)
x0

The series is known as a Fourier8 series. Depending on the expansion functions, the series
is often specialized as Fourier-sine, Fourier-cosine, Fourier-Legendre, Fourier-Bessel, etc. We
have inverted Eq. (5.146) to solve for the unknown an . The inversion was aided greatly
by the fact that the basis functions were orthonormal. For non-orthonormal, as well as
non-orthogonal bases, more general techniques exist for the determination of an .

Example 5.2
Represent
f (x) = x2 on x ∈ [0, 3] (5.155)
with a series of
8
Jean Baptiste Joseph Fourier, 1768-1830, French mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

5.2. FOURIER SERIES REPRESENTATION OF ARBITRARY FUNCTIONS 155

• trigonometric functions
• Legendre polynomials
• Chebyshev polynomials
• Bessel functions

Trigonometric Series

For the trigonometric series let’s try a Fourier sine series. The orthonormal functions in this case
are r
2  nπx 
ϕn (x) = sin (5.156)
3 3
The coefficients are thus
r Z 3  nπx 
2
an = x2 sin dx (5.157)
3 0 3
so

a0 = 0 (5.158)
a1 = 4.17328 (5.159)
a2 = −3.50864 (5.160)
a3 = 2.23376 (5.161)
a4 = −1.75432 (5.162)
a5 = 1.3807 (5.163)

Note that the magnitude of the coefficent on the orthonormal function, an , decreases as n increases.
From this, one can loosely infer that the higher frequency modes contain less “energy.”
r   πx   
2 2πx
f (x) = 4.17328 sin − 3.50864 sin
3 3 3
      
3πx 4πx 5πx
+2.23376 sin − 1.75432 sin + 1.3807 sin + ...
3 3 3

The function f (x) = x2 and five terms are plotted in Figure 5.7

Legendre polynomials

Next let’s try the Legendre polynomials. The Legendre polynomials are orthogonal on x ∈ [−1, 1],
and we have x ∈ [0, 3], so let’s define
2
x̃ = x−1 (5.164)
3
3
x= (x̃ + 1) (5.165)
2
so that the domain x ∈ [0, 3] maps into x̃ ∈ [−1, 1]. So expanding x2 on the domain x ∈ [0, 3] is
equivalent to expanding
 2
3 9
(x̃ + 1)2 = (x̃ + 1)2 x̃ ∈ [−1, 1] (5.166)
2 4

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

156 CHAPTER 5. ORTHOGONAL FUNCTIONS AND FOURIER SERIES

f(x)
x2
Fourier-sine series
8 (five terms)

x
0.5 1 1.5 2 2.5 3

Figure 5.7: Five term Fourier-sine series approximation to f (x) = x2

Now r
1
ϕn (x̃) = n + Pn (x̃) (5.167)
2
So
r Z 1
9 1
an = n+ (x̃ + 1)2 Pn (x̃) dx̃ (5.168)
4 2 −1

Evaluating we get
√
a0 = 3 2 = 4.24264 (5.169)
r
3
a1 = 3 = 3.67423 (5.170)
2
3
a2 = √ = 0.948683 (5.171)
10
a3 = 0 (5.172)
..
. (5.173)
an = 0 n>3 (5.174)

Once again, the fact the a0 > a1 > a2 indicates the bulk of the “energy” is contained the lower frequency
modes. Carrying out the multiplication and returning to x space gives the finite series, which can be
expressed in a variety of forms:

x2 = a0 ϕ0 (x̃) + a1 ϕ1 (x̃) + a2 ϕ2 (x̃), (5.175)

r  ! r r  ! r  !
√ 1 2 3 3 2 3 5 2
= 3 2 P0 x−1 +3 P1 x−1 +√ P2 x−1 , (5.176)
2 3 2 2 3 10 2 3
| {z } | {z } | {z }
=ϕ0 (x̃) =ϕ1 (x̃) =ϕ2 (x̃)
     
2 9 2 3 2
= 3P0 x − 1 + P1 x − 1 + P2 x−1 , (5.177)
3 2 3 2 3

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

5.2. FOURIER SERIES REPRESENTATION OF ARBITRARY FUNCTIONS 157

   2 !
9 2 3 1 3 2
= 3(1) + x−1 + − + x−1 , (5.178)
2 3 2 2 2 3
   
9 3
= 3 + − + 3x + − 3x + x2 , (5.179)
2 2
= x2 . (5.180)

Thus, the Fourier-Legendre representation is exact over the entire domain. This is because the function
which is being expanded has the same general functional form as the Legendre polynomials; both are
polynomials.

Chebyshev polynomials

Let’s now try the Chebyshev polynomials. These are orthogonal on the same domain as the Leg-
endre polynomials, so let’s use the same transformation as before.
Now
s
1
ϕn (x̃) = √ Tn (x̃) n=0 (5.181)
π 1 − x̃2
s
2
ϕn (x̃) = √ Tn (x̃) n>0 (5.182)
π 1 − x̃2

So
Z s
1
9 2 1
a0 = (x̃ + 1) √ T0 (x̃) dx̃ (5.183)
4 −1 π 1 − x̃2
Z s
1
9 2
an = (x̃ + 1)2 √ Tn (x̃) dx̃ (5.184)
4 −1 π 1 − x̃2

Evaluating we get

a0 = 4.2587 (5.185)
a1 = 3.4415 (5.186)
a2 = −0.28679 (5.187)
a3 = −1.1472 (5.188)
..
. (5.189)

With this representation, we see that |a3 | > |a2 |, so it is not yet clear that the “energy” is concentrated
in the high frequency modes. Consideration of more terms would verify that in fact it is the case that
the “energy ” of high frequency modes is decaying; in fact a4 = −0.683, a5 = −0.441, a6 = −0.328,
a7 = −0.254. So
v     
u 2 4.2587 2 2
2 u
f (x) = x = t q √ T0 x − 1 + 3.4415 T1 x−1 (5.190)

2 2 3 3
π 1 − 2x − 1 3
    
2 2
−0.28679 T2 x − 1 − 1.1472 T3 x − 1 + ... (5.191)
3 3

The function f (x) = x2 and four terms are plotted in Figure 5.8

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

158 CHAPTER 5. ORTHOGONAL FUNCTIONS AND FOURIER SERIES

f(x)
10

8
Fourier-Chebyshev series x2
(four terms)
6

x
0.5 1 1.5 2 2.5 3

Figure 5.8: Four term Fourier-Chebyshev series approximation to f (x) = x2

Bessel functions

Now let’s expand in terms of Bessel functions. The Bessel functions have been defined such that
they are orthogonal on a domain between zero and one when the eigenvalues are the zeros of the Bessel
function. To achieve this we adopt the transformation (and inverse):
x
x̃ = x = 3x̃.
3
With this transformation our domain transforms as follows:

x ∈ [0, 3] −→ x̃ ∈ [0, 1]

So in the transformed space, we seek an expansion

∞
X
9x̃2 = an Jν (µn x̃)
n=0

Let’s choose to expand on J0 so we take

∞
X
9x̃2 = an J0 (µn x̃)
n=0

Now, the eigenvalues µn are such that J0 (µn ) = 0. We find using trial and error methods that solutions
for all the zeros can be found:

µ0 = 2.40483 (5.192)
µ1 = 5.52008 (5.193)
µ2 = 8.65373 (5.194)
..
. (5.195)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

5.2. FOURIER SERIES REPRESENTATION OF ARBITRARY FUNCTIONS 159

f (x)
x2
Fourier-Bessel Series
8
(ten terms)
6

0.5 1 1.5 2 2.5 3 x

-2

Figure 5.9: Ten term Fourier-Bessel series approximation to f (x) = x2

Similar to the other functions, we could expand in terms of the orthonormalized Bessel functions, ϕn (x).
Instead, for variety, let’s directly operate on the above expression to determine the values for an .
∞
X
9x̃2 x̃J0 (µk x̃) = an x̃J0 (µn x̃)J0 (µk x̃) (5.196)
n=0
Z 1 Z 1X ∞
9x̃3 J0 (µk x̃) dx̃ = an x̃J0 (µn x̃)J0 (µk x̃) dx̃ (5.197)
0 0 n=0
Z 1 ∞
X Z 1
9 x̃3 J0 (µk x̃) dx̃ = an x̃J0 (µn x̃)J0 (µk x̃) dx̃ (5.198)
0 n=0 0
Z 1
= ak x̃J0 (µk x̃)J0 (µk x̃) dx̃ (5.199)
0

So replacing k by n and dividing we get

R1
9 0 x̃3 J0 (µn x̃) dx̃
an = R 1 (5.200)
0
x̃J0 (µn x̃)J0 (µn x̃) dx̃

Evaluating the first three terms we get

a0 = 4.44557 (5.201)
a1 = −8.3252 (5.202)
a2 = 7.2533 (5.203)
..
. (5.204)

Because the basis functions are not normalized, it is difficult to infer how the amplitude is decaying by
looking at an alone.
The function f (x) = x2 and ten terms of the Fourier-Bessel series approximation are plotted in
Figure 5.9 The Fourier-Bessel approximation is

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

160 CHAPTER 5. ORTHOGONAL FUNCTIONS AND FOURIER SERIES

  x 
f (x) = x2 = 4.44557 J0 2.40483 (5.205)
 3x 
−8.3252 J0 5.52008 (5.206)
 x 3 
+7.2533 J0 8.65373 + ... (5.207)
3
Note that other Fourier-Bessel expansions exist. Also note that even though the Bessel function does
not match the function itself at either boundary point, that the series still appears to be converging.

Problems
1. Show that oscillatory solutions of the delay equation
dx
(t) + x(t) + bx(t − 1) = 0
dt
are possible only when b = 2.2617. Find the frequency.
2. Show that xa Jν (bxc ) is a solution of
 
2a − 1 ′ a 2 − ν 2 c2
y ′′ − y + b2 c2 x2c−2 + y=0
x x2
Hence solve in terms of Bessel functions:
d2 y
(a) dx2 + k 2 xy = 0
d2 y
(b) dx2 + x4 y = 0
3. Laguerre’s differential equation is

xy ′′ + (1 − x)y ′ + λy = 0

Show that when λ = n, a nonnegative integer, there is a polynomial solution Ln (x) (called a Laguerre
polynomial) of degree n with coefficient of xn equal to 1. Determine L0 through L4 .
4. Consider the function y(x) = x2 − 1 defined for x ∈ [0, 4]. Find eight term expansions in terms of a)
Fourier-Sine, b) Fourier-Legendre, c) Fourier-Hermite, d) Fourier-Bessel series and plot your results
on a single graph.
5. Consider the function y(x) = 0, x ∈ [0, 1), y(x) = 2x − 1, x ∈ [1, 2]. Find an eight term Fourier-
Legendre expansion of this function. Plot the function and the eight term expansion for x ∈ [0, 2].
6. Consider the function y(x) = 4x, x ∈ [0, 3]. Find an eight term a) Fourier-Chebyshev and b) Fourier-
sine expansion of this function. Plot the function and the eight term expansions for x ∈ [0, 3]. Which
expansion minimizes the error in representation of the function?
7. Consider the function y(x) = cos2 (x/5). Find an eight term a) Fourier-Laguerre, (x ∈ [0, ∞)), and b)
Fourier-sine (x ∈ [0, 10]) expansion of this function. Plot the function and the eight term expansions
for x ∈ [0, 10]. Which expansion minimizes the error in representation of the function?

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

Chapter 6

Vectors and tensors

see Kaplan, Chapters 3, 4, 5,

see Lopez, Chapters 17-23,
see Aris
see Borisenko and Tarapov,
see McConnell
see Schey,
see Riley, Hobson, and Bence, Chapters 6, 8, 19.
6.1 Cartesian index notation

Here we will consider what is known as Cartesian index notation as a way to represent vectors
and tensors. In contrast to Chapter 1, which considered general coordinate transformations,
when we restrict our transformations to rotations about the origin, many simplifications
result. For such transformations, the distinction between contravariance and covariance
disappears, as does the necessity for Christoffel symbols, and also the need for an “upstairs-
downstairs” index notation.
Many vector relations can be written in a compact form by using Cartesian index nota-
tion. Let x1 , x2 , x3 represent the three coordinate directions and e1 , e2 , e3 the unit vectors
in those directions. Then a vector u may be written as
 
u1 X 3
u = u2 = u1 e1 + u2 e2 + u3 e3 =
  ui ei = ui ei = ui (6.1)
u3 i=1

where u1 , u2 , and u3 are the three Cartesian components of u. Note that we do not need to
use the summation sign every time if we use the Einstein1 convention to sum from 1 to 3 if
an index is repeated. The single free index on the right side indicating that an ei is assumed.
1
Albert Einstein, 1879-1955, German/American physicist and mathematician.

161
162 CHAPTER 6. VECTORS AND TENSORS

Two additional symbols are needed for later use. They are the Kronecker delta

0 if i 6= j
δij ≡ (6.2)
1 if i = j

and the substitution symbol (or Levi-Civita2 density)


 1 if indices are in cyclical order 1,2,3,1,2,· · ·
ǫijk ≡ −1 if indices are not in cyclical order (6.3)

0 if two or more indices are the same

The identity

ǫijk ǫlmn = δil δjm δkn + δim δjn δkl + δin δjl δkm − δil δjn δkm − δim δjl δkn − δin δjm δkl (6.4)

relates the two. The following identities are also easily shown:

δii = 3 (6.5)
δij = δji (6.6)
δij δjk = δik (6.7)
ǫijk ǫilm = δjl δkm − δjm δkl (6.8)
ǫijk ǫljk = 2δil (6.9)
ǫijk ǫijk = 6 (6.10)
ǫijk = −ǫikj (6.11)
ǫijk = −ǫjik (6.12)
ǫijk = −ǫkji (6.13)
ǫijk = ǫkij = ǫjki (6.14)

Regarding index notation:

• repeated index indicates summation on that index

• non-repeated index is known as a free index

• number of free indices give the order of the tensor

– u, uv, uivi w, uii , uij vij , zeroth order tensor–scalar

– ui , ui vij , first order tensor–vector
– uij , uij vjk , ui vj , second order tensor
– uijk , ui vj wk , uij vkm wm , third order tensor
– uijkl , uij vkl , fourth order tensor
2
Tullio Levi-Civita, 1883-1941, Italian mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

6.2. CARTESIAN TENSORS 163

• indices cannot be repeated more than once

– uiik , uij , uiijj , vi ujk are proper.

– ui vi wi, uiiij , uij vii are improper!

• Cartesian components commute: uij vi wklm = vi wklm uij

• Cartesian indices do not commute: uijkl 6= ujlik

Example 6.1
Let us consider, using generalized coordinates described in an earlier chapter, a trivial identity
transformation from the Cartesian ξ i coordinates to the transformed coordinates xi :

x1 = ξ 1 , x2 = ξ 2 , x3 = ξ 3 .

Here, we are returning to the more general “upstairs-downstairs” index notation of an earlier chapter.
The Jacobian of the transformation is
 
1 0 0
∂ξ i
J= =  0 1 0  = δji = I.
∂xj
0 0 1

Note that δji has precisely the same properties as δij ; it is zero when i 6= j and unity when i = j. The
metric tensor then is
gij = G = JT · J = I · I = I = δij .
Then we find by the transformation rules that for this transformation, the covariant and contravariant
representations of a general vector u are one and the same:

ui = gij uj = δij uj = δji uj = ui .

Consequently, for Cartesian vectors, there is no need to use a notation which distinguishes covariant
and contravariant representations. We will hereafter write all Cartesian vectors with only a subscript
notation.

6.2 Cartesian tensors

6.2.1 Direction cosines
Consider the transformation of the (x1 , x2 ) Cartesian coordinate system by rotation of each
coordinate axes by angle α to the rotated Cartesian coordinate system x′1 , x′2 as sketched in
Figure 6.1.
We define the angle between the x1 and x′1 axes as α:

α ≡ [x1 , x′1 ]

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

164 CHAPTER 6. VECTORS AND TENSORS

x2
x’2

x*’ 1 cos α + x*2 cos β

1 = x*

P
x*2
α α

x’1
x*1’

β β β
α
x*1 x1

Figure 6.1: Rotation of axes in a two-dimensional Cartesian system

π
With β = 2
− α, the angle between the x′1 and x2 axes is
β ≡ [x2 , x′1 ]
The point P is can be represented in both coordinate systems. In the unrotated system, P
is represented by the coordinates:

P : (x∗1 , x∗2 )
In the rotated coordinate system P is represented by
P : (x∗1 ′ , x∗2 ′ )
Trigonometry shows us that
x∗1 ′ = x∗1 cos α + x∗2 cos β (6.15)
x∗1 ′ = x∗1 cos[x1 , x′1 ] + x∗2 cos[x2 , x′1 ] (6.16)
Dropping the stars, and extending to three dimensions, we find that
x′1 = x1 cos[x1 , x′1 ] + x2 cos[x2 , x′1 ] + x3 cos[x3 , x′1 ] (6.17)
Extending to expressions for x′2 and x′3 and writing in matrix form, we get
 
cos[x1 , x′1 ] cos[x1 , x′2 ] cos[x1 , x′3 ]
( x′1 x′2 x′3 ) = ( x1 x2 x3 )  cos[x2 , x′1 ] cos[x2 , x′2 ] cos[x2 , x′3 ]  (6.18)
cos[x3 , x′1 ] cos[x3 , x′2 ] cos[x3 , x′3 ]

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

6.2. CARTESIAN TENSORS 165

Using the notation

ℓij = cos[xi , x′j ],
we have  
ℓ11 ℓ12 ℓ13
( x′1 x′2 x′3 ) = ( x1 x2 x3 ) ℓ21
 ℓ22 ℓ23  (6.19)
ℓ31 ℓ32 ℓ33
Expanding the first term we find
x′1 = x1 ℓ11 + x2 ℓ21 + x3 ℓ31
More generally we have
x′j = x1 ℓ1j + x2 ℓ2j + x3 ℓ3j , (6.20)
x′j = xi ℓij . (6.21)
What amounts to the law of cosines,
ℓij ℓkj = δik law of cosines, (6.22)
can easily be proven by direct substitution.
For three-dimensional systems, there is one additional requirement for a matrix ℓij to
be one which effects a rotation when it operates on a vector. For coordinate systems which
satisfy the right hand rule, we require det(ℓij ) = 1.

Example 6.2
Show for the two-dimensional system described in Figure 6.1 that ℓij ℓkj = δik holds.
Expanding for the two-dimensional system, we get
ℓi1 ℓk1 + ℓi2 ℓk2 = δik .
First, take i = 1, k = 1. We get then
ℓ11 ℓ11 + ℓ12 ℓ12 = δ11 = 1,
cos α cos α + cos(α + π/2) cos(α + π/2) = 1,
cos α cos α + (− sin(α))(− sin(α)) = 1,
cos2 α + sin2 α = 1.
This is obviously true. Next, take i = 1, k = 2. We get then
ℓ11 ℓ21 + ℓ12 ℓ22 = δ12 = 0,
cos α cos(π/2 − α) + cos(α + π/2) cos(α) = 0,
cos α sin α − sin α cos α = 0.
This is obviously true. Next, take i = 2, k = 1. We get then
ℓ21 ℓ11 + ℓ22 ℓ12 = δ21 = 0,
cos(π/2 − α) cos α + cos α cos(π/2 + α) = 0,
sin α cos α + cos α(− sin α) = 0.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

166 CHAPTER 6. VECTORS AND TENSORS

This is obviously true. Next, take i = 2, k = 2. We get then

ℓ21 ℓ21 + ℓ22 ℓ22 = δ22 = 1,
cos(π/2 − α) cos(π/2 − α) + cos α cos α = 1,
sin α sin α + cos α cos α = 1.
Again, this is obviously true.

Using this, we can easily find the inverse transformation back to the unprimed coordinates
via the following operations:
ℓkj x′j = ℓkj xi ℓij , (6.23)
= ℓij ℓkj xi , (6.24)
= δik xi , (6.25)
= xk , (6.26)
ℓij x′j = xi , (6.27)
xi = ℓij x′j . (6.28)
∂xi
Note that the Jacobian matrix of the transformation is J = ∂x′j
= ℓij . Note it can be shown
that the metric tensor is G = JT · J = ℓjiℓki = δjk = I, so g = 1, and the transformation is
volume preserving. Moreover, since JT · J = I, we see that JT = J−1 .

6.2.1.1 Scalars
A term φ is a scalar if it is invariant under a rotation of coordinate axes.

6.2.1.2 Vectors
A set of three scalars (v1 , v2 , v3 )T is defined as a vector if under a rotation of coordinate axes,
the triple also transforms according to

vj′ = vi ℓij .
A vector associates a scalar with a chosen direction in space by an expression which is
linear in the direction cosines of the chosen direction.

6.2.1.3 Tensors
A set of nine scalars is defined as a second order tensor if under a rotation of coordinate
axes, they transform as

Tij′ = ℓki ℓlj Tkl

A tensor associates a vector with each direction in space by an expression that is linear in
the direction cosines of the chosen transformation. It will be seen that

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

6.2. CARTESIAN TENSORS 167

x3
q (3)

Τ 33

Τ32
Τ31
Τ23
(2)
q

Τ13
Τ22
Τ12 Τ21

x2
Τ11

(1)
q

x1

Figure 6.2: Tensor visualization

• first subscript gives associated direction (or face; hence first–face)

• second subscript gives the vector components for that face

Graphically one can use the sketch in Figure 6.2 to visualize a second order tensor.

Example 6.3
Returning to generalized coordinate notation, show the equivalence between covariant and con-
travariant representations for pure rotations of a vector v.
Consider then a transformation from a Cartesian space ξ j to a transformed space xi via a pure
rotation:
ξ i = ℓij xj .
Here ℓij is simply a matrix of direction cosines as we have previously defined; we employ the upstairs-
downstairs index notation for consistency. The Jacobian is

∂ξ i
= ℓij .
∂xj
The metric tensor is
∂ξ i ∂ξ i
gkl = = ℓik ℓil = δkl .
∂xk ∂xl
Here we have employed the law of cosines, which is easily extensible to the “upstairs-downstairs”
notation.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

168 CHAPTER 6. VECTORS AND TENSORS

So a vector v has the same covariant and contravariant components since

vi = gij v j = δij v j = δji v j = v i .

Note the vector itself has components that do transform under rotation:

v i = ℓij V j .

Here V j is the contravariant representation of the vector v in the unrotated coordinate system. One
could also show that Vj = V j , as always for a Cartesian system.

6.2.2 Matrix representation

Tensors can be represented as matrices (but all matrices are not tensors!):
 
T11 T12 T13 –vector associated with 1 direction
Tij = T21
 T22 T23  –vector associated with 2 direction
T31 T32 T33 –vector associated with 3 direction

A simple way to choose a vector qj associated with a plane of arbitrary orientation is to

form the inner product of the tensor Tij and the unit normal associated with the plane ni :

qj = ni Tij qT = nT · T (6.29)

Here ni has components which are the direction cosines of the chosen direction. For example
to determine the vector associated with face 2, we choose
 
0
ni = 1 

0

Thus
 
T11 T12 T13
T
n · T = (0, 1, 0) T21
 T22 T23  = (T21 , T22 , T23 ) (6.30)
T31 T32 T33
ni Tij = n1 T1j + n2 T2j + n3 T3j (6.31)
= (0)T1j + (1)T2j + (0)T3j (6.32)
= (T21 , T22 , T23 ) (6.33)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

6.2. CARTESIAN TENSORS 169

6.2.3 Transpose of a tensor, symmetric and anti-symmetric ten-

sors
The transpose TijT of a tensor Tij is found by trading elements across the diagonal

TijT ≡ Tji

so  
T11 T21 T31
TijT =  T12 T22 T32 
T13 T23 T33
A tensor is symmetric if it is equal to its transpose, i.e.

Tij = Tji if symmetric

A tensor is anti-symmetric if it is equal to the additive inverse of its transpose, i.e.

Tij = −Tji if anti-symmetric

The tensor inner product of a symmetric tensor Sij and anti-symmetric tensor Aij can be
shown to be 0:
Sij Aij = 0

Example 6.4
Show this for a two-dimensional space. Take a general symmetric tensor to be
 
a b
Sij =
b c

Take a general anti-symmetric tensor to be

 
0 d
Aij =
−d 0

So

Sij Aij = S11 A11 + S12 A12 + S21 A21 + S22 A22 (6.34)
= a(0) + bd − bd + c(0) (6.35)
= 0 (6.36)

An arbitrary tensor can be represented as the sum of a symmetric and anti-symmetric

tensor:

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

170 CHAPTER 6. VECTORS AND TENSORS

1 1 1 1
Tij = Tij + Tij + Tji − Tji (6.37)
|2 {z 2 } |2 {z 2 }
=Tij =0
1 1
= (Tij + Tji ) + (Tij − Tji) (6.38)
|2 {z } |2 {z }
≡T(ij) ≡T[ij]

so with (6.39)
1
T(ij) ≡ (Tij + Tji ) (6.40)
2
1
T[ij] ≡ (Tij − Tji ) (6.41)
2
Tij = T(ij) + T[ij] (6.42)

The first term, T(ij) , is called the symmetric part of Tij ; the second term, T[ij] , is called the
anti-symmetric part of Tij .

6.2.4 Dual vector of a tensor

As the anti-symmetric part of a three by three tensor has only three independent components,
we might expect a three-component vector can be associated with this. Let us define the
dual vector to be

1 1 1
di ≡ ǫijk Tjk = ǫijk T(jk) + ǫijk T[jk] (6.43)
2 2 | {z } 2
=0

For fixed i, ǫijk is anti-symmetric, so the first term is zero, so

1
di = ǫijk T[jk] (6.44)
2
Let us find the inverse.
1
ǫilm di = ǫilm ǫijk Tjk (6.45)
2
1
= (δlj δmk − δlk δmj )Tjk (6.46)
2
1
= (Tlm − Tml ) (6.47)
2
= T[lm] (6.48)
T[lm] = ǫilm di (6.49)
T[ij] = ǫkij dk (6.50)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

6.2. CARTESIAN TENSORS 171

Expanding, we can see that

 
0 d3 −d2
T[ij] = ǫkij dk = ǫ1ij d1 + ǫ2ij d2 + ǫ3ij d3 = −d3
 0 d1  (6.51)
d2 −d1 0

In summary, the general dimension three tensor can be written as

Tij = T(ij) + ǫkij dk (6.52)

6.2.5 Principal axes and tensor invariants

Given a tensor Tij , find the associated direction such that the vector components in this
associated direction are parallel to the direction. So we want

ni Tij = λnj
This defines an eigenvalue problem. Linear algebra gives us the eigenvalues and associated
eigenvectors.
ni Tij = λni δij

ni (Tij − λδij ) = 0
 
T11 − λ T12 T13
(n1 , n2 , n3 )  T21 T22 − λ T23  = (0, 0, 0)
T31 T32 T33 − λ
We get non-trivial solutions if
 
 T11 − λ T 12 T 13

 
 T21
 T22 − λ T23  = 0
 T31 T32 T33 − λ 

We shall see in later chapters that we are actually finding the so-called left eigenvectors.
These arise with less frequency than the right eigenvectors, which are defined by Tij uj =
λδij uj .
We know from linear algebra that such an equation for a third order matrix gives rise to
a characteristic polynomial for λ of the form
(1) (2) (3)
λ3 − IT λ2 + IT λ − IT = 0, (6.53)

(1) (2) (3)

where IT , IT , IT are scalars which are functions of all the scalars Tij . The IT ’s are known
as the invariants of the tensor Tij . The invariants will not change if the coordinate axes are

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

172 CHAPTER 6. VECTORS AND TENSORS

rotated; in constrast, the scalar components Tij will change under rotation. The invariants
can be shown to be given by
(1)
IT = Tii = tr(T), (6.54)
(2) 1 1


IT = (Tii Tjj − Tij Tji ) = (tr(T))2 − tr(T · T) = det(T)tr T−1 , (6.55)
2 2
1

= T(ii) T(jj) + T[ij] T[ij] − T(ij) T(ij) , (6.56)
2
(3)
IT = ǫijk T1i T2j T3k = det (T) . (6.57)

Here “det” denotes the determinant, and “tr” the trace. It can also be shown that if
λ(1) , λ(2) , λ(3) are the three eigenvalues, then the invariants can also be expressed as
(1)
IT = λ(1) + λ(2) + λ(3) , (6.58)
(2) (1) (2) (2) (3) (3) (1)
IT = λ λ +λ λ +λ λ , (6.59)
(3)
IT = λ(1) λ(2) λ(3) . (6.60)

If Tij is real and symmetric, it can be shown that

• the eigenvalues are real,

• eigenvectors corresponding to distinct eigenvalues are real and orthogonal, and

• the left and right eigenvectors are identical.

A sketch of a volume element rotated to be aligned with a set of orthogonal principal axes
is shown in Figure 6.3.
If the matrix is not symmetric, the eigenvalues and eigenvectors could be complex. It
is often most physically relevant to decompose a tensor into symmetric and anti-symmetric
parts and find the orthogonal basis vectors and real eigenvalues associated with the sym-
metric part and the dual vector associated with the anti-symmetric part.
In continuum mechanics,

• the symmetric part of a tensor can be associated with deformation along principal axes

• the anti-symmetric part of a tensor can be associated with rotation of an element

Example 6.5
Decompose the tensor given below into a combination of orthogonal basis vectors and a dual vector.
 
1 1 −2
Tij =  3 2 −3 
−4 1 1

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

6.2. CARTESIAN TENSORS 173

x3 x’
3
q(3)
q ( 3’ )

Τ 33
rotate
Τ32
Τ31
Τ23 (2)
q

Τ13
Τ22
Τ12 Τ21
q ( 1’
)
x2
Τ11 x’
1 q (2’ )

(1)
q

x’
2
x1

Figure 6.3: Sketch depicting rotation of volume element to be aligned with principal axes.
Tensor Tij must be symmetric to guarantee existence of orthogonal principal directions.

First  
1 2 −3
1
T(ij) = (Tij + Tji ) =  2 2 −1 
2
−3 −1 1
 
0 −1 1
1
T[ij] = (Tij − Tji ) =  1 0 −2 
2
−1 2 0
First, get the dual vector di :

1
di = ǫijk T[jk] (6.61)
2
1 1 1
d1 = ǫ1jk T[jk] = (ǫ123 T[23] + ǫ132 T[32] ) = ((1)(−2) + (−1)(2)) = −2 (6.62)
2 2 2
1 1 1
d2 = ǫ2jk T[jk] = (ǫ213 T[13] + ǫ231 T[31] ) = ((−1)(1) + (1)(−1)) = −1 (6.63)
2 2 2
1 1 1
d3 = ǫ3jk T[jk] = (ǫ312 T[12] + ǫ321 T[21] ) = ((1)(−1) + (−1)(1)) = −1 (6.64)
2 2 2
di = (−2, −1, −1)T (6.65)

Note that Eq. (6.51) is satisfied.

Now find the eigenvalues and eigenvectors for the symmetric part.
 
1−λ 2 −3 

 2
 2−λ −1  = 0
 −3 −1 1 − λ

We get the characteristic polynomial,

λ3 − 4λ2 − 9λ + 9 = 0

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

174 CHAPTER 6. VECTORS AND TENSORS

The eigenvalue and associated normalized eigenvector for each root is

(1)
λ(1) = 5.36488 ni = (−0.630537, −0.540358, 0.557168)T (6.66)
(2) (2) T
λ = −2.14644 ni = (−0.740094, 0.202303, −0.641353) (6.67)
(3)
λ(3) = 0.781562 ni = (−0.233844, 0.816754, 0.527476)T (6.68)
It is easily verified that each eigenvector is orthogonal. When the coordinates are transformed to be
aligned with the principal axes, the magnitude of the vector associated with each face is the eigenvalue;
this vector points in the same direction of the unit normal associated with the face.

Example 6.6
For a given tensor, which we will take to be symmetric though the theory applies to non-symmetric
tensors as well,  
1 2 4
Tij = T =  2 3 −1  , (6.69)
4 −1 1
(1) (2) (3)
find the three basic tensor invariants, IT , IT , and IT , and show they are truly invariant when the
tensor is subjected to a rotation with direction cosine matrix of
 1 q 
2√ 1 √
3
 6 6

ℓij = L =  √1 − √13 √1  (6.70)
3 3
√1 0 − √12
2

Calculation shows that det(L) = 1, and L · LT = I, so the matrix L is a rotation matrix.

The eigenvalues of T, which are the principal values, are easily calculated to be
λ(1) = 5.28675, λ(2) = −3.67956, λ(3) = 3.39281. (6.71)
The three invariants of Tij are
 
1 2 4
(1)
IT = tr(T) = tr  2 3 −1  = 1 + 3 + 1 = 5, (6.72)
4 −1 1
(2) 1

IT = (tr(T))2 − tr(T · T)
2
  2    
1 2 4 1 2 4 1 2 4
1   
=  tr 2 3 −1  − tr  2 3 −1  ·  2 3 −1  ,
2
4 −1 1 4 −1 1 4 −1 1
  
21 4 6
1 2
= 5 − tr  4 14 4  ,
2
6 4 18
1
= (25 − 21 − 14 − 18),
2
= −14, (6.73)
 
1 2 4
(3)
IT = det(T) = det  2 3 −1  = −66. (6.74)
4 −1 1

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

6.3. ALGEBRA OF VECTORS 175

Now when we rotate the tensor T, we get a transformed tensor given by

q
√1 √1 √1
    √1 2

1 2 4 √1
q6 3 2 3
 6 6
T′ = LT · T · L =
 2  
 3 − √130   2 3 −1   √1 − √13 √1 
3 3
√1 √1− √12 4 −1 1 √1 0 − √12
6 3 2
 
4.10238 2.52239 1.60948
=  2.52239 −0.218951 −2.91291  . (6.75)
1.60948 −2.91291 1.11657

We then seek the tensor invariants of T′ . Leaving out some of the details, which are the same as those
for calculating the invariants of the T, we find the invariants indeed are invariant:
(1)
IT = 4.10238 − 0.218951 + 1.11657 = 5, (6.76)
(2) 1 2
IT = (5 − 53) = −14, (6.77)
2
(3)
IT = −66. (6.78)

Finally, we verify that the tensor invariants are indeed related to the principal values (the eigenvalues
of the tensor) as follows
(1)
IT = λ(1) + λ(2) + λ(3) = 5.28675 − 3.67956 + 3.39281 = 5, (6.79)
(2) (1) (2) (2) (3) (3) (1)
IT = λ λ +λ λ +λ λ
= (5.28675)(−3.67956) + (−3.67956)(3.39281) + (3.39281)(5.28675) = −14, (6.80)
(3) (1) (2) (3)
IT = λ λ λ = (5.28675)(−3.67956)(3.39281) = −66. (6.81)

6.3 Algebra of vectors

Here we will primarily use bold letters for vectors, such as in u. At times we will use the
notation ui to represent a vector.

6.3.1 Definition and properties

Null vector: A vector with zero components.

Multiplication by a scalar α: αu = αu1e1 + αu2 e2 + αu3 e3 = αui

Sum of vectors: u + v = (u1 + v1 )e1 + (u2 + v2 )e2 + (u3 + v3 )e3 = (ui + vi )

p √
Magnitude, length, or norm of a vector: ||u||2 = u21 + u22 + u23 = ui ui

Triangle inequality: ||u + v||2 ≤ ||u||2 + ||v||2.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

176 CHAPTER 6. VECTORS AND TENSORS

Here the subscript 2 in || · ||2 indicates we are considering a Euclidean norm. In many
sources in the literature this subscript is omitted, and the norm is understood to be the
Euclidean norm. In a more general sense, we can still retain the property of a norm for a
more general p-norm for a three-dimensional vector:
||u||p = (|u1|p + |u2|p + |u3 |p )1/p , 1 ≤ p < ∞.
For example the 1-norm of a vector is the sum of the absolute values of its components:
||u||1 = (|u1 | + |u2| + |u3 |) .
The ∞-norm selects the largest component:
||u||∞ = lim (|u1 |p + |u2 |p + |u3|p )1/p = maxi=1,2,3 |ui|.
p→∞

6.3.2 Scalar product (dot product, inner product)

The scalar product of u and v is defined as
 
v1
uT · v = ( u1 u2 u3 ) ·  v2  = u1 v1 + u2 v2 + u3 v3 = ui vi (6.82)
v3
The vectors u and v are said to be orthogonal if uT · v = 0. Also
 
u1
T
u · u = ( u1 u2 u3 ) · u2  = u21 + u22 + u23 = uiui = (||u||2 )2

u3

6.3.3 Cross product

The cross product of u and v is defined as
 
 e1 e2 e3 
 
u × v =  u1 u2 u3  = ǫijk uj vk (6.83)
 v1 v2 v3 

Property: u × αu = 0. Let’s use Cartesian index notation to prove this

u × αu = ǫijk uj αuk
= αǫijk uj uk
= α(ǫi11 u1 u1 + ǫi12 u1 u2 + ǫi13 u1 u3
+ǫi21 u2 u1 + ǫi22 u2u2 + ǫi23 u2 u3
+ǫi31 u3 u1 + ǫi32 u3u2 + ǫi33 u3 u3 )
= 0
since ǫi11 = ǫi22 = ǫi33 = 0 and ǫi12 = −ǫi21 , ǫi13 = −ǫi31 , and ǫi23 = −ǫi32

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

6.4. CALCULUS OF VECTORS 177

6.3.4 Scalar triple product

The scalar triple product of three vectors u, v, and w is defined by

[u, v, w] = uT · (v × w) (6.84)
= ǫijk ui vj wk (6.85)

Physically it represents the volume of the parallelepiped with edges parallel to the three
vectors.

6.3.5 Identities

[u, v, w] = −[u, w, v] (6.86)

u × (v × w) = (uT · w)v − (uT · v)w (6.87)
(u × v) × (w × x) = [u, w, x]v − [v, w, x]u (6.88)
(u × v)T · (w × x) = (uT · w)(vT · x) − (uT · x)(vT · w) (6.89)

Example 6.7
Prove the second identity using Cartesian index notation.

u × (v × w) = ǫijk uj (ǫklm vl wm )
= ǫijk ǫklm uj vl wm
= ǫkij ǫklm uj vl wm
= (δil δjm − δim δjl ) uj vl wm
= uj vi wj − uj vj wi
= uj wj vi − uj vj wi
= (uT · w)v − (uT · v)w

6.4 Calculus of vectors

6.4.1 Vector function of single scalar variable
If
r(τ ) = xi (τ )ei = xi (τ ) (6.90)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

178 CHAPTER 6. VECTORS AND TENSORS

then r(τ ) describes a curve in three-dimensional space. Here τ is a general scalar parameter,
which may or may not have a simple physical interpretation. If we require that the basis
vectors be constants (this is not always the case!), the derivative is
dr(τ )
= r′ (τ ) = x′i (τ )ei = x′i (τ ) (6.91)
dτ
Now r′ (τ ) is a vector that is tangent to the curve. A unit vector in this direction is
r′ (τ )
t= (6.92)
||r′ (τ )||2
where p
||r′(τ )||2 = x′i x′i (6.93)
In the special case in which τ is time t, we denote the derivative by a dot ( ˙ ) notation
rather than a prime (′ ) notation; ṙ is the velocity vector, ẋi its components, and ||ṙ||2 the
magnitude. Note that the unit tangent vector t is not the scalar parameter for time, t. Also
we will occasionally use the scalar components of t: ti , which again are not related to time
t.
If s(t) is the distance along the curve, then
ds2 = dx21 + dx22 + dx23 , (6.94)
q
ds = dx21 + dx22 + dx23 , (6.95)
ds = ||dxi||2 , (6.96)
 
ds  dxi 
=   (6.97)
dt dt 2
= ||ṙ(t)||2 (6.98)
so that
dr
dt dr dri
t= ds
= , ti = (6.99)
dt
ds ds
Also
Z b Z br Z br
dxi dxi dx1 dx1 dx2 dx2 dx3 dx3
s= ||ṙ(t)||2 dt = dt = + + dt (6.100)
a a dt dt a dt dt dt dt dt dt
is the distance along the curve between t = a and t = b.
Identities:
d du dφ d dui dφ
(φu) = φ + u (φui) = φ + ui
dt dt dt dt dt dt
d T dv duT d dvi dui
(u · v) = uT · + ·v (ui vi ) = ui + vi
dt dt dt dt dt dt
d dv du d dvk duj
(u × v) = u × + ×v (ǫijk uj vk ) = ǫijk uj + ǫijk vk
dt dt dt dt dt dt
CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.
6.4. CALCULUS OF VECTORS 179

Example 6.8
If
r(t) = 2t2 i + t3 j
find the unit tangent at t = 1, and the length of the curve from t = 0 to t = 1.
The derivative is
ṙ(t) = 4ti + 3t2 j
At t = 1,
ṙ(t = 1) = 4i + 3j
so that the unit vector in this direction is
4 3
t= i+ j
5 5
The length of the curve from t = 0 to t = 1 is
Z 1p
s = 16t2 + 9t4 dt
0
1
= (16 + 9t2 )3/2 |10
27
61
=
27

6.4.2 Differential geometry of curves

In Figure 6.4 r(t) describes a circle. Two unit tangents, t and t′ are drawn at t and t + ∆t.
At t we have
t = − sin θ i + cos θ j
At t + ∆t we have
t′ = − sin (θ + ∆θ) i + cos (θ + ∆θ) j
Expanding in a Taylor series about ∆θ = 0 we get



t′ = − sin θ − ∆θ cos θ + O(∆θ)2 i + cos θ − ∆θ sin θ + O(∆θ)2 j

so as ∆θ → 0
t′ − t = −∆θ cos θ i − ∆θ sin θ j
∆t = ∆θ (− cos θ i − sin θ j)
| {z }
unit vector

Note that ∆t · t = 0, so ∆t is normal to t. Furthermore,

||∆t||2 = ∆θ

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

180 CHAPTER 6. VECTORS AND TENSORS

t ’(t + ∆t)
t (t)

∆s
ρ
∆θ

Figure 6.4: Sketch for determination of radius of curvature

Now for ∆θ → 0,
∆s = ρ∆θ
where ρ is the radius of curvature. So
∆s
||∆t||2 =
ρ
Taking all limits to zero, we get  
 dt 
  = 1 (6.101)
 ds  ρ
2
The term on the right side is often defined as the curvature, κ:
1
κ= .
ρ

6.4.2.1 Curves on a plane

The plane curve y = f (x) in the x-y plane can be represented as

r(t) = x(t) i + y(t) j (6.102)

where x(t) = t and y(t) = f (t). Differentiating, we have

ṙ(t) = ẋ(t) i + ẏ(t) j (6.103)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

6.4. CALCULUS OF VECTORS 181

The unit vector from equation (6.92) is

ẋi + ẏj
t = (6.104)
(ẋ2
+ ẏ 2 )1/2
i + y ′j
= (6.105)
(1 + (y ′ )2 )1/2

where the primes are derivatives with respect to x. Since

ds2 = dx2 + dy 2 (6.106)

1/2
ds = dx2 + dy 2 (6.107)
ds 1
1/2
= dx2 + dy 2 (6.108)
dx dx
ds
= (1 + (y ′)2 )1/2 (6.109)
dx
we have, after first expanding dt/ds with the chain rule, then applying the quotient rule to
expand the derivative of Eq. (6.105)
dt
dt dx
= ds
ds dx
(1 + (y ′ )2 )1/2 y ′′j − (i + y ′j)(1 + (y ′)2 )−1/2 y ′y ′′ 1
= 2
1 + (y ) ′ (1 + (y ′ )2 )1/2
y ′′ −y ′ i + j
= .
(1 + (y ′ )2 )3/2 (1 + (y ′ )2 )1/2
| {z }| {z }
=κ n

As the second factor of this expression is a unit vector, the preceding scalar is a magnitude.
We define this unit vector to be n, and note that it is orthogonal to the unit tangent vector
t:
−y ′ i + j i + y ′j
nT · t = · , (6.110)
(1 + (y ′)2 )1/2 (1 + (y ′ )2 )1/2
−y ′ + y ′
= , (6.111)
1 + (y ′)2
= 0. (6.112)
dt
Expanding our notion of curvature and radius of curvature, we define ds
such that

dt
= κn, (6.113)
 ds 
 dt 
  = κ = 1 . (6.114)
 ds  ρ
2

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

182 CHAPTER 6. VECTORS AND TENSORS

Thus,
y ′′
κ = , (6.115)
(1 + (y ′)2 )3/2
(1 + (y ′)2 )3/2
ρ = , (6.116)
y ′′
for curves on a plane.

6.4.2.2 Curves in three-dimensional space

A set of local, right-handed, orthogonal coordinates can be defined at a point on a curve r(t).
The unit vectors at this point are the tangent t, the principal normal n, and the binormal
b, where
dr
t = (6.117)
ds
1 dt
n = (6.118)
κ ds
b = t×n (6.119)

We will first show that t, n, and b form an orthogonal system of unit vectors. We have
already seen that t is a unit vector tangent to the curve. By the product rule for vector
differentiation, we have the identity

dt 1 d T
tT · = (t · t)
ds 2 ds | {z }
=1

Since tT · t = ||t||22 = 1, we then recover

dt
tT · = 0. (6.120)
ds
dt
Thus t is orthogonal to ds . Since n is parallel to dt
ds
, it is orthogonal to t also. From equations
(6.101) and (6.118), we see that n is a unit vector. Furthermore b is a unit vector orthogonal
to both t and n.
Next we will derive some basic relations involving the unit vectors and the characteristics
of the curve.
db d
= (t × n) , (6.121)
ds ds
dt dn
= ×n+t× (6.122)
ds ds
dt 1 dt dn
= × +t× (6.123)
ds κ ds ds
CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.
6.4. CALCULUS OF VECTORS 183

1 dt dt dn
= × +t × (6.124)
κ |ds {z ds} ds
=0
dn
= t× (6.125)
ds
db
so we see that ds
is orthogonal to t. In addition, since ||b||2 = 1

db 1 d T
bT · = (b · b)
ds 2 ds
1 d
= (||b||22)
2 ds
= 0
db db
So ds
is orthogonal to b also. Thus ds
must be in the n direction, so that we can write

db
= τn (6.126)
ds
where τ is called the torsion of the curve.
From the relation n = b × t, we get

dn db dt
= ×t+b×
ds ds ds
= τ n × t + b × κn
= −τ b − κt

Summarizing

dt
= κn (6.127)
ds
dn
= −κt − τ b (6.128)
ds
db
= τn (6.129)
ds
These are the Frenet-Serret3 relations. In matrix form, we can say that
    
t 0 κ 0 t
d   
n = −κ 0 −τ   n (6.130)
ds
b 0 τ 0 b

Note the coefficient matrix is anti-symmetric.

3
Jean Frédéric Frenet, 1816-1900, French mathematician, and Joseph Alfred Serret, 1819-1885, French
mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

184 CHAPTER 6. VECTORS AND TENSORS

Example 6.9
Find the local coordinates, the curvature and the torsion for the helix

r(t) = a cos t i + a sin t j + bt k

Taking the derivative and finding its magnitude we get

dr(t)
= −a sin t i + a cos t j + b k
dt
 
 dr(t)  p p
  = a2 sin2 t + a2 cos2 t + b2 = a2 + b2
 dt 
2
This gives us the unit tangent vector t:
dr
dt −a sin t i + a cos t j + b k
t =  dr = √
 
dt 2
a2 + b 2

We also have
s
 2  2  2
ds dx dy dz
= + + (6.131)
dt dt dt dt
p
= a2 sin2 t + a2 cos2 t + b2 (6.132)
p
= a2 + b 2 (6.133)

Continuing, we have
dt
dt dt
= ds
ds dt
cos t i + sin t j 1
= −a √ √
2
a +b 2 a + b2
2
= κn

Thus the unit principal normal is

n = −(cos t i + sin t j)

The curvature is
a
κ=
a2 + b2
The radius of curvature is
a2 + b 2
ρ=
a
We also find the unit binormal

b = t×n  
 i j k 
1 
= √  −a sin t a cos t b 
a2 + b2  − cos t − sin t 0 
b sin t i − b cos t j + a k
= √
a2 + b 2

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

6.5. LINE AND SURFACE INTEGRALS 185

The torsion is determined from

db
dt
τn = ds
dt
cos t i + sin t j
= b
a2 + b 2
from which
b
τ =−
a2 + b 2

Further identities:
dr d2 r
× 2 = κv 3 b (6.134)
dt dt
dr d r d3 r2 T
× 2
· 3 = −κ2 v 6 τ (6.135)
p dt dt dt
2 2
||r̈||2 ||ṙ||2 − (ṙ · r̈)2
T
= κ (6.136)
||ṙ||32
ds
where v = dt
.

6.5 Line and surface integrals

If r is a position vector,
r = xi ei (6.137)
then φ(r) is a scalar field, and u(r) is a vector field.

6.5.1 Line integrals

A line integral is of the form Z
I= uT · dr (6.138)
C
where u is a vector field, and dr is an element of curve C.
If u = ui , and dr = dxi , then we can write
Z
I= ui dxi (6.139)
C

Example 6.10
Find Z
I= uT · dr
C

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

186 CHAPTER 6. VECTORS AND TENSORS

x
-5
5 -2.5
0
2.5 2.5
y 5
0
-2.5
-5

20

10

Figure 6.5: Three-dimensional curve parameterized by x(t) = a cos t, y(t) = a sin t, z(t) = bt,
with a = 5, b = 1, for t ∈ [0, 25].

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

6.5. LINE AND SURFACE INTEGRALS 187

if
u = yz i + xy j + xz k
and C goes from (0, 0, 0) to (1, 1, 1) along
(a) the curve x = y 2 = z,
(b) the straight line x = y = z.
We have Z Z
uT · dr = (yz dx + xy dy + xz dz)
C C
(a) Substituting x = y 2 = z, and thus dx = 2ydy, dx = dz we get
Z 1
I = y 3 (2y dy) + y 3 dy + y 4 (2y dy)
0
Z 1
= (2y 4 + y 3 + 2y 5 )dy
0
1
2y 5 y4 y 6 
= + + 
5 4 3 0
59
=
60
We can achieve the same result in an alternative way that is often more useful for more curves
whose representation is more complicated. Let us paramterize C by taking x = t, y = t2 , z = t. Thus
dx = dt, dy = 2tdt, dz = dt. The end points of C are at t = 0 and t = 1. So the integral is
Z 1
I = (t2 t dt + tt2 (2t) dt + t(t) dt,
0
Z 1
= (t3 + 2t4 + t2 ) dt,
0
1
t4 2t5 t3 
= + +  ,
4 5 3 0
59
= .
60
(b) Substituting x = y = z =,and thus dx = dy = dz, we get
Z 1 Z 1
I = (x2 dx + x2 dx + x2 dx) = 3x2 dx = x3 |10 = 1.
0 0

6.5.2 Surface integrals

A surface integral is of the form
Z Z
T
I= u · n dS = ui ni dS (6.140)
S S

where u (or ui ) is a vector field, S is an open or closed surface, dS is an element of this

surface, and n (or ni ) is a unit vector normal to the surface element.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

188 CHAPTER 6. VECTORS AND TENSORS

Figure 6.6: The vector field u = yzi + xyj + xzk and the curves a) x = y 2 = z; b) x = y = z.

6.6 Differential operators

Surface integrals can be used for coordinate-independent definitions of differential opera-
tors. Beginning with some well-known theorems: the divergence theorem for a scalar, the
divergence theorem, and a little known theorem, which is possible to demonstrate, we have
Z Z
∇φ dV = nφ dS, (6.141)
Z V ZS
T
∇ · u dV = nT · u dS, (6.142)
V S
Z Z
(∇ × u) dV = n × u dS. (6.143)
V S

Now we invoke the mean value theorem, which asserts that somewhere within the limits of
integration, the integrand
R takes on its mean value, which we denote with an overline, so
that, for example, V α dV = αV . Thus we get
Z
(∇φ) V = nφ dS, (6.144)
ZS
(∇T · u) V = nT · u dS, (6.145)
S
Z
(∇ × u) V = n × u dS. (6.146)
S

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

6.6. DIFFERENTIAL OPERATORS 189

x3

dx 1

dx 3 O x2

x1 dx 2

Figure 6.7: Element of volume

As we let V → 0, mean values approach local values, so we get

Z
1
∇φ ≡ grad φ = lim nφ dS (6.147)
V →0 V S
Z
T 1
∇ · u ≡ div u = lim nT · u dS (6.148)
V →0 V
ZS
1
∇ × u ≡ curl u = lim n × u dS (6.149)
V →0 V S

where φ(r) is a scalar field, and u(r) is a vector field. V is the region enclosed within a
closed surface S, and n is the unit normal to an element of the surface dS. Here “grad” is
the gradient operator, “div” is the divergence operator, and “curl” is the curl operator.
Consider the element of volume in Cartesian coordinates shown in Figure 6.7. The
differential operations in this coordinate system can be deduced from the definitions and
written in terms of the vector operator ∇:
 ∂ 
∂x1
∂ ∂ ∂ ∂
∇ = e1 + e2 + e3 =  ∂x∂ 2  = (6.150)
∂x1 ∂x2 ∂x3 ∂ ∂xi
∂x3

Note, for full clarity, we adopt the unconventional, but correct row vector operator

∇T = ( ∂x∂ 1 ∂
∂x2
∂
∂x3
) (6.151)

6.6.1 Gradient of a scalar

Let’s evaluate the gradient of a scalar function of a vector

grad (φ(xi ))

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

190 CHAPTER 6. VECTORS AND TENSORS

We take the reference value of φ to be at the origin O. Consider first the x1 variation. At
O, x1 = 0, and our function takes the value of φ. At the faces a distance x1 = ± dx21 away
from O in the x1 -direction, our function takes a value of

∂φ dx1
φ±
∂x1 2

Writing V = dx1 dx2 dx3 , equation (6.147) gives

   
1 ∂φ dx1 ∂φ dx1
grad φ = lim φ+ e1 dx2 dx3 − φ − e1 dx2 dx3
V →0 V ∂x1 2 ∂x1 2

+ similar terms from the x2 and x3 faces

∂φ ∂φ ∂φ
= e1 + e2 + e3
∂x1 ∂x2 ∂x3
∂φ ∂φ
= ei =
∂xi ∂xi
= ∇φ (6.152)

The derivative of φ on a particular path is called the directional derivative. If the path
has a unit tangent t , the derivative in this direction is

∂φ
(∇φ)T · t = ti (6.153)
∂xi

If φ(x, y, z) = constant is a surface, then dφ = 0 on this surface. Also

∂φ
dφ = dxi
∂xi
= (∇φ)T · dr

Since dr is tangent to the surface, ∇φ must be normal to it. The tangent plane at r = r0 is
defined by the position vector r such that

(∇φ)T · (r − r0 ) = 0 (6.154)

Example 6.11
At the point (1,1,1), find the unit normal to the surface

z 3 + xz = x2 + y 2
Define
φ(x, y, z) = z 3 + xz − x2 − y 2 = 0

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

6.6. DIFFERENTIAL OPERATORS 191

-2 -1 0 1 2
4

z
2

-2
-1
0
1
x
2

Figure 6.8: Plot of surface z 3 + xz = x2 + y 2 and normal vector at (1, 1, 1).

A normal at (1,1,1) is

∇φ = (z − 2x) i − 2y j + (3z 2 + x)k

= −1 i − 2 j + 4 k

The unit normal is

∇φ
n =
||∇φ||2
1
= √ (−1 i − 2 j + 4 k)
21

6.6.2 Divergence
6.6.2.1 Vectors
Equation (6.148) becomes
   
1 ∂u1 dx1 ∂u1 dx1
div u = lim u1 + dx2 dx3 − u1 − dx2 dx3
V →0 V ∂x1 2 ∂x1 2

+ similar terms from the x2 and x3 faces

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

192 CHAPTER 6. VECTORS AND TENSORS

∂u1 ∂u2 ∂u3

= + +
∂x1 ∂x2 ∂x3
∂ui
=
∂xi
 
u1
= ∇T · u = ( ∂x∂ 1 ∂
∂x2
∂
∂x3
)  u2  (6.155)
u3

6.6.2.2 Tensors
The extension to tensors is straightforward

divT = ∇T · T (6.156)
∂Tij
= (6.157)
∂xi

Notice that this yields a vector quantity.

6.6.3 Curl of a vector

The application of equation (6.149) is not obvious here. Consider just one of the faces: the
face whose outer normal is e1 . For that face, one needs to evaluate
Z
n × u dS. (6.158)
S

On this face, one has n = e1 and

     
∂u1 ∂u2 ∂u3
u = u1 + dx1 e1 + u2 + dx1 e2 + u3 + dx1 e3 (6.159)
∂x1 ∂x1 ∂x1

So, on this face the integrand is

 

 e1 e2 e3 

n×u =  
 1   0   0 

, (6.160)
∂u1 ∂u2
u3 + ∂u
 
 u1 + ∂x1 dx1 u2 + ∂x1 dx1 ∂x1
3
dx1 
   
∂u2 ∂u3
= u2 + dx1 e3 − u3 + dx1 e2 . (6.161)
∂x1 ∂x1

Two similar terms appear on the opposite face, whose unit vector points in the −e1 direction.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

6.6. DIFFERENTIAL OPERATORS 193

Carrying out the integration then for equation (6.149), one gets
   
1 ∂u2 dx1 ∂u3 dx1
curl u = lim u2 + e3 dx2 dx3 − u3 + e2 dx2 dx3
V →0 V ∂x1 2 ∂x1 2
   
∂u2 dx1 ∂u3 dx1
− u2 − e3 dx2 dx3 + u3 − e2 dx2 dx3
∂x1 2 ∂x1 2

+ similar terms from the x2 and x3 faces
 
 e1 e2 e3 

=  ∂x∂ 1 ∂x∂ 2 ∂ 
∂x3 
 u1 u2 u3 
∂uk
= ǫijk
∂xj
= ∇×u (6.162)

The curl of a tensor does not arise often in practice.

6.6.4 Laplacian
6.6.4.1 Scalar
The Laplacian4 is simply div grad φ, and can be written as

∂2φ
∇T · (∇φ) = ∇2 φ = (6.163)
∂xi ∂xi

6.6.4.2 Vector
One of the identities below

∇2 u = ∇T · ∇u = ∇(∇T · u) − ∇ × (∇ × u) (6.164)

is used to evaluate this.

6.6.5 Identities

∇ × (∇φ) = 0 (6.165)
∇T · (∇ × u) = 0 (6.166)
∇T · (φu) = φ∇T · u + (∇φ)T · u (6.167)
∇ × (φu) = φ∇ × u + ∇φ × u (6.168)
4
Pierre-Simon Laplace, 1749-1827, Norman-born French mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

194 CHAPTER 6. VECTORS AND TENSORS

∇T · (u × v) = vT · (∇ × u) − uT · (∇ × v) (6.169)
∇ × (u × v) = (vT · ∇)u − (uT · ∇)v + u(∇T · v) − v(∇T · u) (6.170)
∇(uT · v) = (uT · ∇)v + (vT · ∇)u + u × (∇ × v) + v × (∇ × u) (6.171)
∇ × (∇ × u) = ∇(∇T · u) − ∇T · ∇u (6.172)

Example 6.12
Show that
∇ · ∇T u = ∇(∇T · u) − ∇ × (∇ × u)
Going from right to left
 
∂ ∂uj ∂ ∂um
∇(∇T · u) − ∇ × (∇ × u) = − ǫijk ǫklm
∂xi ∂xj ∂xj ∂xl
 
∂ ∂uj ∂ ∂um
= − ǫkij ǫklm
∂xi ∂xj ∂xj ∂xl
∂ 2 uj ∂ 2 um
= − (δil δjm − δim δjl )
∂xi ∂xj ∂xj ∂xl
2 2 2
∂ uj ∂ uj ∂ ui
= − +
∂xi ∂xj ∂xj ∂xi ∂xj ∂xj
 
∂ ∂ui
=
∂xj ∂xj
= ∇T · ∇u

6.7 Special theorems

6.7.1 Path independence
In general the value of a line integral depends on the path. If, however, we have the special
case in which we can form u = ∇φ in equation (6.138), where φ is a scalar field, then
Z
I = (∇φ)T · dr
ZC
∂φ
= dxi
C ∂xi
Z
= dφ
C
= φ(b) − φ(a)
where a and b are the beginning and end of curve C. The integral I is then independent of
path. u is then called a conservative field, and φ is its potential.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

6.7. SPECIAL THEOREMS 195

C2

C3

C1 x
0 1

Figure 6.9: Sketch of vector field u = yi + 2xyj and closed contour integral C.

6.7.2 Green’s theorem

Let u = ux i + uy j be a vector field, C a closed curve, and D the region enclosed by C, all
in the x-y plane. Then
I ZZ  
T ∂uy ∂ux
u · dr = − dx dy (6.173)
C D ∂x ∂y

Example 6.13
Show that Green’s theorem is valid if u = y i + 2xy j, and C consists of the straight lines (0,0) to
(1,0) to (1,1) to (0,0).
I Z Z Z
uT · dr = uT · dr + uT · dr + uT · dr
C C1 C2 C3

where C1 , C2 , and C3 are the straight lines (0,0) to (1,0), (1,0) to (1,1), and (1,1) to (0,0), respectively.
This is sketched in Figure 6.9. For this problem we have

C1 : y = 0, dy = 0, x ∈ [0, 1], u = 0
C2 : x = 1, dx = 0, y ∈ [0, 1], u = y i + 2y j
C3 : x = y, dx = dy, x ∈ [1, 0], y ∈ [1, 0] u = x i + 2x2 j

Thus
I Z 1 Z 1 Z 0
u · dr = (0 i + 0 j) · (dx i) + (y i + 2y j) · (dy j) + (x i + 2x2 j) · (dx i + dx j)
C
|0 {z } |0 {z } |1 {z }
C1 C2 C3

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

196 CHAPTER 6. VECTORS AND TENSORS

Z 1 Z 0
= 2y dy + (x + 2x2 ) dx
0 1
 0
1 1 2 2 3  1 2
= y 2 0 + x + x  =1− −
2 3 1 2 3
1
= −
6
On the other hand
ZZ   Z 1 Z x
∂uy ∂ux
− dx dy = (2y − 1) dy dx
D ∂x ∂y 0 0
Z 1 
x 
= y 2 − y 0 dx
0
Z 1
= (x2 − x) dx
0
 1
x3 x2 
= −
3 2 0
1 1 1
= − =−
3 2 6

6.7.3 Divergence theorem

Let S be a closed surface, and V the region enclosed within it, then the divergence theorem
is
Z Z
T
u · n dS = ∇T · u dV (6.174)
S V
Z Z
∂ui
uini dS = dV (6.175)
S V ∂xi

where dV an element of volume, dS is an element of the surface, and n (or ni ) is the outward
unit normal to it. The divergence theorem is also known as Gauss’s theorem. It extends to
tensors of arbitrary order: Z Z
∂Tijk...
Tijk...ni dS = dV
S V ∂xi
Note if Tijk... = C then we get Z
ni dS = 0
S

The divergence theorem can be thought of as an extension of the familiar one-dimensional

scalar result:

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

6.7. SPECIAL THEOREMS 197

-1 0
1

1.0

0.5

z 0.0

-0.5

-1.0

-1 0 1

Figure 6.10: Sketch depicting x2 + y 2 + z 1 = 1, z ≥ 0 and vector field u = xi + yj + 0k.

Z b
dφ
φ(b) − φ(a) = dx (6.176)
a dx
Here the end points play the role of the surface integral, and the integral on x plays the
role of the volume integral.

Example 6.14
Show that the divergence theorem is valid if

u = x i + y j + 0k

and S is the closed surface which consists of a circular base and the hemisphere of unit radius with
center at the origin and z ≥ 0, that is,

x2 + y 2 + z 2 = 1

In spherical coordinates, defined by

x = r sin θ cos φ
y = r sin θ sin φ
z = r cos θ
The hemispherical surface is described by

r = 1.

A sketch of the surface of interest along with the vector field is shown in Figure 6.10.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

198 CHAPTER 6. VECTORS AND TENSORS

We split the surface integral into two parts

Z Z Z
uT · n dS = uT · n dS + uT · n dS
S B H

where B is the base and H the curved surface of the hemisphere.

The first term on the right is zero since n = −k, and uT · n = 0 on B. On H the unit normal is

n = sin θ cos φ i + sin θ sin φ j + () k

Thus on H

uT · n = (xi + yj + 0k)T · (sin θ cos φi + sin θ sin φj + ()k)

= (r sin θ cos φi + r sin θ sin φj + 0k)T · (sin θ cos φi + sin θ sin φj + ()k)
= sin2 θ cos2 φ + sin2 θ sin2 φ
= sin2 θ
Z Z 2π Z π/2
uT · n dS = sin2 θ(sin θ dθ dφ)
H 0 0
Z 2π Z π/2
= sin3 θ dθ dφ
0 0
Z 2π Z π/2 

3 1
= sin θ − sin 3θ dθ dφ
0 0 4 4
Z π/2  
3 1
= 2π sin θ − sin 3θ dθ
4 4
0 
3 1
= 2π −
4 12
4
= π
3
On the other hand, if we use the divergence theorem we find that
∂ ∂ ∂
∇T · u = (x) + (y) + (0) = 2
∂x ∂y ∂z
so that Z Z
2 4
∇T · u dV = 2 dV = 2 π = π
V V 3 3
since the volume of the hemisphere is 23 π.

6.7.4 Green’s identities

Applying the divergence theorem to the vector u = φ∇ψ, we get
Z Z
T
φ(∇ψ) · n dS = ∇T · (φ∇ψ) dV (6.177)
S
Z ZV  
∂ψ ∂ ∂ψ
φ ni dS = φ dV (6.178)
S ∂xi V ∂xi ∂xi

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

6.7. SPECIAL THEOREMS 199

From this we get Green’s first identity

Z Z
T
φ(∇ψ) · n dS = (φ∇2 ψ + (∇φ)T · ∇ψ) dV (6.179)
S
Z ZV  
∂ψ ∂2ψ ∂φ ∂ψ
φ ni dS = φ + dV (6.180)
S ∂xi V ∂xi ∂xi ∂xi ∂xi

Interchanging φ and ψ in the above and subtracting, we get Green’s second identity
Z Z
T
(φ∇ψ − ψ∇φ) · n dS = (φ∇2 ψ − ψ∇2 φ) dV (6.181)
S V
Z   Z  
∂ψ ∂φ ∂2ψ ∂2φ
φ −ψ ni dS = φ −ψ dV (6.182)
S ∂xi ∂xi V ∂xi ∂xi ∂xi ∂xi

6.7.5 Stokes’ theorem

Consider Stokes’5 theorem. Let S be an open surface, and the curve C its boundary. Then
Z I
T
(∇ × u) · n dS = uT · dr (6.183)
S C
Z I
∂uk
ǫijk ni dS = ui dri (6.184)
S ∂xj C

where n is the unit vector normal to the element dS, and dr an element of curve C.

Example 6.15
Evaluate Z
I= (∇ × u)T · n dS
S

using Stokes’s theorem, where

u = x3 j − (z + 1) k

and S is the surface z = 4 − 4x2 − y 2 for z ≥ 0.

Using Stokes’s theorem, the surface integral can be converted to a line integral along the boundary
C which is the curve 4 − 4x2 − y 2 = 0.
I
I = uT · dr
C
I
= (x3 j − (z + 1) k) · (dx i + dy j)
Z
= x3 dy
C

5
George Gabriel Stokes, 1819-1903, Irish-born English mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

200 CHAPTER 6. VECTORS AND TENSORS

y 0

-2

2 z

1
-1
0 0
1
x

Figure 6.11: Sketch depicting z = 4 − 4x2 − y 2 and vector field u = x3 j − (z + 1)k.

C can be represented by the parametric equations x = cos t, y = 2 sin t. Thus dy = 2 cos t dt, so that
Z 2π
I = 2 cos4 t dt
0
Z 2π  
1 1 3
= 2 cos 4t + cos 2t + dt
0 8 2 8
 2π
1 1 3 
= 2 sin 4t + sin 2t + t 
32 4 8 0
3
= π
2
A sketch of the surface of interest along with the vector field is shown in Figure 6.11. The curve C is
on the boundary z = 0.

6.7.6 Leibniz’s rule

If we consider an arbitrary moving volume V (t) with a corresponding surface area S(t) with
surface volume elements moving at velocity wk , Leibniz’s rule gives us a means to calculate
the time derivatives of integrated quantities. For an arbitrary order tensor, it is

Z Z Z
d ∂Tjk... (xi , t)
Tjk...(xi , t) dV = dV + nm wm Tjk....(xi , t) dS (6.185)
dt V (t) V (t) ∂t S(t)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

6.8. ORTHOGONAL CURVILINEAR COORDINATES 201

Note if Tjk...(xi , t) = 1 we get

Z Z Z
d ∂
(1) dV = (1) dV + nm wm (1) dS (6.186)
dt V (t) V (t) ∂t S(t)
Z
dV
= nm wm dS (6.187)
dt S(t)

Here the volume changes due to the net surface motion. In one dimension Tjk...(xi , t) = f (x, t)
we get
Z x=b(t) Z x=b(t)
d ∂f db da
f (x, t) dx = dx + f (b(t), t) − f (a(t), t) (6.188)
dt x=a(t) x=a(t) ∂t dt dt

6.8 Orthogonal curvilinear coordinates

For an orthogonal curvilinear coordinate system (q1 , q2 , q3 ), we have

ds2 = (h1 dq1 )2 + (h2 dq2 )2 + (h3 dq3 )2 (6.189)

where s 2  2  2
∂x1 ∂x2 ∂x3
hi = + + (6.190)
∂qi ∂qi ∂qi
We can show that
1 ∂φ 1 ∂φ 1 ∂φ
grad φ = e1 + e2 + e3
h1 ∂q1 h2 ∂q2 h3 ∂q3
 
1 ∂ ∂ ∂
div u = (u1 h2 h3 ) + (u2 h3 h1 ) + (u3 h1 h2 )
h1 h2 h3 ∂q1 ∂q2 ∂q3
 
 h1 e1 h2 e2 h3 e3 
1  ∂ ∂ ∂

curl u = ∂q ∂q ∂q

h1 h2 h3  1 2 3 
u1 h1 u2 h2 u3 h3 
      
1 ∂ h2 h3 ∂φ ∂ h3 h1 ∂φ ∂ h1 h2 ∂φ
div grad φ = + +
h1 h2 h3 ∂q1 h1 ∂q1 ∂q2 h2 ∂q2 ∂q3 h3 ∂q3

Example 6.16
Find expressions for the gradient, divergence, and curl in cylindrical coordinates (r, θ, z) where

x1 = r cos θ
x2 = r sin θ
x3 = z

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

202 CHAPTER 6. VECTORS AND TENSORS

The 1,2 and 3 directions are associated with r, θ, and z, respectively. From equation (6.190) the scale
factors are
s 2  2  2
∂x1 ∂x2 ∂x3
hr = + +
∂r ∂r ∂r
p
2
= cos2 θ + sin θ
= s 1
 2  2  2
∂x1 ∂x2 ∂x3
hθ = + +
∂θ ∂θ ∂θ
p
2
= r2 sin θ + r2 cos2 θ
= s r
 2  2  2
∂x1 ∂x2 ∂x3
hz = + +
∂z ∂z ∂z
= 1

so that
∂φ 1 ∂φ ∂φ
grad φ = er + eθ + ez
∂r r ∂θ ∂z 
1 ∂ ∂ ∂ ∂ur ur 1 ∂uθ ∂uz
div u = (ur r) + (uθ ) + (uz r) = + + +
r ∂r ∂θ ∂z ∂r r r ∂θ ∂z
 
 e reθ ez 
1  ∂r ∂ ∂ 
curl u =
r  ∂r ∂θ ∂z 
ur uθ r uz

Problems
1. Find the angle between the planes
3x − y + 2z = 2
x − 2y = 1

2. Find the curve of intersection of the cylinders x2 + y 2 = 1 and y 2 + z 2 = 1. Determine also the radius
of curvature of this curve at the points (0,1,0) and (1,0,1).
3. Show that for a curve r(t)
dt d2 t
tT · × = κ2 τ
ds ds2
drT d2 r d3 r
ds · ds 2 × ds3

d2 rT d2 r
= τ
ds2 · ds2

where t is the unit tangent, s is the length along the curve, κ is the curvature, and τ is the torsion.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

6.8. ORTHOGONAL CURVILINEAR COORDINATES 203

4. Find the equation for the tangent to the curve of intersection of x = 2 and y = 1 + xz sin y 2 z at the
point (2, 1, π).
5. Find the curvature and torsion of the curve r(t) = 2ti + t2 j + 2t3 k at the point (2, 1, 2).
6. Apply Stokes’s theorem to the plane vector field u(x, y) = uxHi + uy j and a closed curve enclosing a
plane region. What is the result called? Use this result to find C uT · dr, where u = −yi + xj and the
integration is counterclockwise along the sides C of the trapezoid with corners at (0,0), (2,0), (2,1),
and (1,1).
7. Orthogonal bipolar coordinates (u, v, w) are defined by
α sinh v
x =
cosh v − cos u
α sin u
y =
cosh v − cos u
z = w
For α = 1, plot some of the surfaces of constant x and y in the u − v plane.
8. Using Cartesian index notation, show that
∇ × (u × v) = (vT · ∇)u − (uT · ∇)v + u(∇T · v) − v(∇T · u)
where u and v are vector fields.
9. Consider two Cartesian
√ coordinate systems:
√ S with unit vectors (i, j, k), and S ′ with (i′ , j′ , k′ ), where
′ ′ ′
i = i, j = (j − k)/ 2, k = (j + k)/ 2. The tensor T has the following components in S:
 
1 0 0
 0 −1 0 
0 0 2
Find its components in S ′ .
10. Find the matrix A that operates on any vector of unit length in the x-y plane and turns it through
an angle θ around the z-axis without changing its length. Show that A is orthogonal; that is that all
of its columns are mutually orthogonal vectors of unit magnitude.
11. What is the unit vector normal to the plane passing through the points (1,0,0), (0,1,0) and (0,0,2)?
12. Prove the following identities using Cartesian index notation:
(a) (a × b)T · c = aT · (b × c)
(b) a × (b × c) = b(aT · c) − c(aT · b)
T
(c) (a × b)T · (c × d) = ((a × b) × c) · d
13. The position of a point is given by r = ia cos ωt + jb sin ωt. Show that the path of the point is an
ellipse. Find its velocity v and show that r × v = constant. Show also that the acceleration of the
point is directed towards the origin and its magnitude is proportional to the distance from the origin.
14. System S is defined by the unit vectors e1 , e2 , and e3 . Another Cartesian system S ′ is defined by
unit vectors e′1 , e′2 , and e′3 in directions a, b, and c where
a = e1
b = e2 − e3
(a) Find e′1 , e′2 , e′3 , (b) find the transformation array Aij , (c) show that δij = Aki Akj is satisfied, and
(d) find the components of the vector e1 + e2 + e3 in S ′ .

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

204 CHAPTER 6. VECTORS AND TENSORS

H
15. Use Green’s theorem to calculate C uT · dr, where u = x2 i + 2xyj, and C is the counterclockwise
path around a rectangle with vertices at (0,0), (2,0), (0,4) and (2,4).
16. Derive an expression for the gradient, divergence, curl, and Laplacian operators in orthogonal paraboloidal
coordinates

x = uv cos θ
y = uv sin θ
1 2
z = (u − v 2 )
2
Determine the scale factors. Find ∇φ, ∇T · u, ∇ × u, and ∇2 φ in this coordinate system.
17. Derive an expression for the gradient, divergence, curl and Laplacian operators in orthogonal parabolic
cylindrical coordinates (u, v, w) where

x = uv
1 2
y = (u − v 2 )
2
z = w

where u ∈ [0, ∞), v ∈ (−∞, ∞), and w ∈ (−∞, ∞).

18. Consider orthogonal elliptic cylindrical coordinates (u, v, z) which are related to Cartesian coordinates
(x, y, z) by

x = a cosh u cos v
y = a sinh u sin v
z = z

where u ∈ [0, ∞), v ∈ [0, 2π) and z ∈ (−∞, ∞). Determine ∇f, ∇T · u, ∇ × u and ∇2 f in this system,
where f is a scalar field and u is a vector field.
19. Determine a unit vector in the plane of the vectors i − j and j + k and perpendicular to the vector
i − j + k.
20. Determine a unit vector perpendicular to the plane of the vectors a = i + 2j − k, b = 2i + j + 0k.
21. Find the curvature and the radius of curvature of y = a sin x at the peaks and valleys.
22. Determine the unit vector normal to the surface x3 − 2xyz + z 3 = 0 at the point (1,1,1).
23. Show using indicial notation that

∇ × ∇φ = =0
∇T · ∇ × u = 0
∇(uT · v) = (uT · ∇)v + (vT · ∇)u + u × (∇ × v) + v × (∇ × u)
1
∇(uT · u) = (uT · ∇)u + u × (∇ × u)
2
∇T · (u × v) = vT · ∇ × u − uT · ∇ × v
∇ × (∇ × u) = ∇(∇T · u) − ∇2 u
∇ × (u × v) = (vT · ∇)u − (uT · ∇)v + u(∇T · v) − v(∇T · u)

∂2
24. Show that the Laplacian operator ∂xi ∂xi has the same form in S and S ′ .

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

6.8. ORTHOGONAL CURVILINEAR COORDINATES 205

25. If  
x1 x22 2x3 x1 − x2
Tij =  x2 x1 x1 x3 x33 + 1 
0 2 2x2 − x3
a) Evaluate Tij at P : (1, 2, 3)
b) find T(ij) and T[ij] at P
c) find the associated dual vector di
d) find the principal values and the orientations of each associated normal vector for the symmetric
part of Tij evaluated at P
e) evaluate the divergence of Tij at P
f) evaluate the curl of the divergence of Tij at P
26. Consider the tensor  
2 −1 2
Tij =  3 1 0
0 1 3
defined in a Cartesian coordinate system. Consider the vector associated with the plane whose normal
points in the direction (2, 3, −1). What is the magnitude of the component of the associated vector
that is aligned with the normal to the plane?

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

206 CHAPTER 6. VECTORS AND TENSORS

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

Chapter 7

Linear analysis

see Kaplan, Chapter 1,

see Friedman, Chapter 1, 2,
see Riley, Hobson, and Bence, Chapters 7, 10, 15,
see Lopez, Chapters 15, 31,
see Greenberg, Chapters 17 and 18,
see Wylie and Barrett, Chapter 13,
see Michel and Herget,
see Zeidler,
see Riesz and Nagy,
see Debnath and Mikusinski.

7.1 Sets
Consider two sets A and B. We use the following notation
x∈A x is an element of A
x∈
/A x is not an element of A
A=B A and B have the same elements
A⊂B the elements of A also belong to B
A∪B set of elements that belong to A or B
A∩B set of elements that belong to A and B
A−B set of elements that belong to A but not to B
If A ⊂ B, then B − A is the complement of A in B.
Some sets that are commonly used are:
Z set of all integers
N set of all positive integers
Q set of all rational numbers
R set of all real numbers
R+ set of all non-negative real numbers

207
208 CHAPTER 7. LINEAR ANALYSIS

C set of all complex numbers

• An interval is a portion of the real line.

• An open interval (a, b) does not include the end points, so that if x ∈ (a, b), then
a < x < b. In set notation this is {x ∈ R : a < x < b} if x is real

• A closed interval [a, b] includes the end points. If x ∈ [a, b], then a ≤ x ≤ b. In set
notation this is {x ∈ R : a ≤ x ≤ b} if x is real

• The complement of any open subset of [a, b] is a closed set.

• A set A ⊂ R is bounded from above if there exists a real number, called the upper
bound, such that for every x ∈ A is less than or equal to that number.

• The least upper bound or supremum is the minimum of all upper bounds.

• In a similar fashion, a set A ⊂ R can be bounded from below, in which case it will
have a greatest lower bound or infimum.

• A set which has no elements is the empty set {}, also known as the null set ∅. Note
the set with 0 as the only element, 0, is not empty.

• A set that is either finite, or for which each element can be associated with a member
of N is said to be countable. Otherwise the set is uncountable.

• An ordered pair is P = (x, y), where x ∈ A, and y ∈ B. Then P ∈ A × B, where the

symbol × represents a Cartesian product. If x ∈ A and y ∈ A also, then we write
P = (x, y) ∈ A2 .

• A real function of a single variable can be written as f : X → Y or y = f (x) where f

maps x ∈ X ⊂ R to y ∈ Y ⊂ R. For each x, there is only one y, though there may be
more than one x that maps to a given y. The set X is called the domain of f , y the
image of x, and the range the set of all images.

7.2 Differentiation and integration

7.2.1 Fréchet derivative
An example of a Fréchet1 derivative is the Jacobian derivative. It is a generalization of the
ordinary derivative.
1
Maurice René Fréchet, 1878-1973, French mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.2. DIFFERENTIATION AND INTEGRATION 209

f(t)

t0 t1 t2 t tk t t
ξ
1
ξ
2
k-1 ξ n-1 ξ n n t
k

a b

Figure 7.1: Riemann integration process

7.2.2 Riemann integral

Consider a function f (t) defined in the interval [a, b]. Choose t1 , t2 , · · · , tn−1 such that

a = t0 < t1 < t2 < · · · < tn−1 < tn = b

Let ξk ∈ [tk−1 , tk ], and

In = f (ξ1 )(t1 − t0 ) + f (ξ2 )(t2 − t1 ) + · · · + f (ξn )(tn − tn−1 )

Also let maxk |tk − tk−1 | → 0 as n → ∞. Then In → I, where

Z b
I= f (t) dt (7.1)
a

If I exists and is independent of the manner of subdivision, then f (t) is Riemann2 integrable
in [a, b].
The Riemann integration process is sketched in Figure 7.1.

Example 7.1
Determine if the function f (t) Riemann integrable in [0, 1] where

0 if t is rational
f (t) =
1 if t is irrational

On choosing ξk rational, I = 0, but if ξk is irrational, then I = 1. So f (t) is not Riemann integrable.

2
Georg Friedrich Bernhard Riemann, 1826-1866, Hanover-born German mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

210 CHAPTER 7. LINEAR ANALYSIS

f(t)
y
n
y
n-1
y
k

y
k-1

y
1
y0

e1 ek en t
a b

Figure 7.2: Lebesgue integration process

7.2.3 Lebesgue integral

Let us consider sets belonging to the interval [a, b] where a and b are real scalars. The
covering of a set is an open set which contains the given set; the covering will have a certain
length. The outer measure of a set is the length of the smallest covering possible. The inner
measure of the set is (b − a) minus the outer measure of the complement of the set. If the
two measures are the same, then the value is the measure and the set is measurable.
For the set I = (a, b), the measure is m(I) = |b − a|. If there are two disjoint intervals
I1 = (a, b) and I2 = (c, d). Then the measure of I = I1 ∪ I2 is m(I) = |b − a| + |c − d|.
Consider again a function f (t) defined in the interval [a, b]. Let the set

ek = {t : yk−1 ≤ f (t) ≤ yk }
(ek is the set of all t’s for which f (t) is bounded between two values, yk−1 and yk ). Also let
the sum In be defined as
In = y1 m(e1 ) + y2 m(e2 ) + · · · + yn m(en ) (7.2)

Let maxk |yk − yk−1 | → 0 as n → ∞. Then In → I, where

Z b
I= f (t) dt (7.3)
a

I is said to be the Lebesgue3 integral of f (t).

The Lebesgue integration process is sketched in Figure 7.2.

Example 7.2
To integrate the function in the previous example, we observe first that the set of rational and
irrational numbers in [0,1] has measure zero and 1 respectively. Thus from equation (7.2) the Lebesgue
3
Henri Lèon Lebesgue, 1875-1941, French mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.3. VECTOR SPACES 211

integral exists, and is equal to 1. Loosely speaking, the reason is that the rationals are not dense in
[0, 1] while the irrationals are dense in [0, 1]. That is to say every rational number exists in isolation
from other rational numbers and surrounded by irrationals. Thus the rationals exist as isolated points
on the real line; these points have measure 0; The irrationals have measure 1 over the same interval;
hence the integral is In = y1 m(e1 ) + y2 m(e2 ) = 1(1) + 0(0) = 1.

The Riemann integral is based on the concept of the length of an interval, and the
Lebesgue integral on the measure of a set. When both integrals exist, their values are the
same. If the Riemann integral exists, the Lebesgue integral also exists. The converse is not
necessarily true.
The importance of the distinction is subtle. It can be shown that certain integral oper-
ators which operate on Lebesgue integrable functions are guaranteed to generate a function
which is also Lebesgue integrable. In contrast, certain operators operating on functions which
are at most Riemann integrable can generate functions which are not Riemann integrable.

7.3 Vector spaces

A field F is typically a set of numbers which contains the sum, difference, product, and
quotient (excluding division by zero) of any two numbers in the field.4 Examples are the sets
of rational numbers Q, real numbers, R, or complex numbers, C. We will usually use only
R or C. Note the integers Z are not a field as the quotient of two integers is not necessarily
an integer.
Consider a set S with two operations defined: addition of two elements (denoted by +)
both belonging to the set, and multiplication of a member of the set by a scalar belonging
to a field F (indicated by juxtaposition). Let us also require the set to be closed under the
operations of addition and multiplication by a scalar, i.e. if x ∈ S, y ∈ S, and α ∈ F then
x + y ∈ S, and αx ∈ S. Furthermore:

1. ∀ x, y ∈ S : x + y = y + x. For all elements x and y in S, the addition operator on

such elements is commutative

2. ∀ x, y, z ∈ S : (x + y) + z = x + (y + z). For all elements x and y in S, the addition

operator on such elements is associative

3. ∃ 0 ∈ S | ∀ x ∈ S, x + 0 = x: there exists a 0, which is an element of S, such that for

all x in S when the addition operator is applied to 0 and x, the original element x is
yielded.

4. ∀ x ∈ S, ∃ − x ∈ S | x + (−x) = 0. For all x in S there exists an element −x, also in

S, such that when added to x, yields the 0 element.
4
More formally a field is what is known as a commutative ring with some special properties, not discussed
here. What is known as function fields can also be defined.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

212 CHAPTER 7. LINEAR ANALYSIS

5. ∃ 1 ∈ F | ∀ x ∈ S, 1x = x. There exists an element 1 in F such that for all x in S,1

multiplying the element x yields the element x.

6. ∀ a, b ∈ F, ∀x ∈ S, (a + b)x = ax + bx. For all a and b which are in F and for all x
which are in S, the addition operator distributes onto multiplication.

7. ∀ a ∈ F, ∀ x, y ∈ S, a(x + y) = ax + ay

8. ∀ a, b ∈ F, ∀ x ∈ S, a(bx) = (ab)x
Such a set is called a linear space or vector space over the field F, and its elements are
called vectors. We will see that our definition is inclusive enough to include elements which
are traditionally thought of as vectors (in the sense of a directed line segment), and some
which are outside of this tradition. Note that typical vector elements x and y are no longer
indicated in bold. However, they are in general not scalars, though in special cases, they can
be.
The element 0 ∈ S is called the null vector. Examples of vector spaces S over the field of
real numbers (i.e. F : R) are:
1. S : R1 . Set of real numbers, x = x1 , with addition and scalar multiplication defined as
usual; also known as S : R.

2. S : R2 . Set of ordered pairs of real numbers, x = (x1 , x2 )T , with addition and scalar
multiplication defined as:
 
x1 + y1
x+y = = (x1 + y1 , x2 + y2 )T ,
x2 + y2
 
αx1
αx = = (αx1 , αx2 )T ,
αx2
where
   
x1 T 2 y1
x= = (x1 , x2 ) ∈ R , y= = (y1 , y2 )T ∈ R2 , α ∈ R1 .
x2 y2

3. S : Rn . Set of n real numbers, x = (x1 , · · · , xn )T , with addition and scalar multiplica-

tion defined similar to the above.

4. S : R∞ . Set of an infinite number of real numbers, x = (x1 , x2 , · · ·)T , with addition and
scalar multiplication defined similar to the above. Functions, e.g. x = 3t2 + t, t ∈ R1
generate vectors x ∈ R∞ .

5. S : C. Set of all complex numbers z = z1 , with z1 = a1 + ib1 ; a1 , b1 ∈ R1 .

6. S : C2 . Set of all ordered pairs of complex numbers z = (z1 , z2 )T , with z1 = a1 +ib1 , z2 =

a2 + ib2 ; a1 , a2 , b1 , b2 ∈ R1 .

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.3. VECTOR SPACES 213

7. S : Cn . Set of n complex numbers, z = (z1 , · · · , zn )T .

8. S : C∞ . Set of an infinite number of complex numbers, z = (z1 , z2 , · · ·)T . Scalar

complex functions give rise to sets in C∞ .

9. S : M. Set of all m × n matrices with addition and multiplication by a scalar defined

as usual, and m ∈ N, n ∈ N.

10. S : C[a, b] Set of real-valued continuous functions, x(t) for t ∈ [a, b] ∈ R1 with addition
and scalar multiplication defined as usual.

11. S : C n [a, b] Set of real-valued functions x(t) for t ∈ [a, b] with continuous nth derivative
with addition and scalar multiplication defined as usual; n ∈ N.

12. S : L2 [a, b] Set of real-valued functions x(t) such that x(t)2 is Lebesgue integrable in
t ∈ [a, b] ∈ R1 , a < b, with addition and multiplication by a scalar defined as usual.
Note that the integral must be finite.

13. S : Lp [a, b] Set of real-valued functions x(t) such that |x(t)|p , p ∈ [1, ∞), is Lebesgue
integrable in t ∈ [a, b] ∈ R1 , a < b, with addition and multiplication by a scalar defined
as usual. Note that the integral must be finite.

14. S : Lp [a, b] Set of complex-valued functions x(t) such that |x(t)|p , p ∈ [1, ∞) ∈ R1 , is
Lebesgue integrable in t ∈ [a, b] ∈ R1 , a < b, with addition and multiplication by a
scalar defined as usual.
1 2
Pn  ∂u 2
15. S : W2 (G), Set of real-valued functions u(x) such that u(x) and i=1 ∂xi are
Lebesgue integrable in G, where x ∈ G ∈ Rn , n ∈ N. This is an example of a Sobolov5
space, which is useful in variational calculus and the finite element method. Sobolov
space W21 (G) is to Lebesgue space L2 [a, b] as the real space R1 is to the rational space
Q1 . That is Sobolov space allows a broader class of functions to be solutions to physical
problems. See Zeidler.
m p
Pn  ∂u p
16. S : Wp (G), Set of real-valued functions u(x) such that |u(x)| and i=1  ∂xi  +
 p
m
· · ·  ∂∂xmu  is Lebesgue integrable in G, where x ∈ G ∈ Rn , n, m ∈ N (may be in error
 
i
due to neglect of mixed partial derivatives!).

17. S : Pn Set of all polynomials of degree ≤ n with addition and multiplication by a scalar
defined as usual; n ∈ N.

Some examples of sets that are not vector spaces are Z and N over the field R for the same
reason that they do not form a field, namely that they are not closed over the multiplication
operation.
5
Sergei Lvovich Sobolev, 1908-1989, St. Petersburg-born Russian physicist and mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

214 CHAPTER 7. LINEAR ANALYSIS

• S′ is a subspace of S if S′ ⊂ S, and S′ is itself a vector space. For example R2 is a

subspace of R3 .

• If S1 and S2 are subspaces of S, then S1 ∩ S2 is also a subspace. The set S1 + S2 of all

x1 + x2 with x1 ∈ S1 and x2 ∈ S2 is also a subspace of S.

• If S1 + S2 = S, and S1 ∩ S2 = {0} then S is the direct sum of S1 and S2 written as

S = S1 ⊕ S2 (7.4)

• If x1 , x2 , · · · , xn are elements of a vector space S and α1 , α2 , · · · , αn belong to the field

F, then x = α1 x1 + α2 x2 + · · · + αn xn ∈ S is a linear combination.

• Vectors x1 , x2 , · · · , xn for which it is possible to have α1 x1 + α2 x2 + · · · + αn xn = 0

where the scalars αi are not all zero, are said to be linearly dependent. Otherwise they
are linearly independent.

• The set of all linear combination of k vectors {x1 , x2 , · · · , xk } of a vector space constitute
a subspace of the vector space.

• A set of n linearly independent vectors in an n-dimensional vector space is said to span

the space.

• If the vector space S contains a set of n linearly independent set of vectors, and any
set with (n + 1) elements is linearly dependent, then the space is said to be finite
dimensional, and n is the dimension of the space. If n does not exist, the space is
infinite dimensional.

• A basis of a finite dimensional space of dimension n is a set of n linearly independent

vectors {u1, u2 , . . . , un }. All elements of the vector space can be represented as linear
combinations of the basis vectors.

• A set of vectors in a linear space S is convex iff ∀x, y ∈ S and α ∈ [0, 1] ∈ R1 implies
αx + (1 − α)y ∈ S. For example if we consider S to be a subspace of R2 , that is a
region of the x, y plane, S is convex if for any two points in S, all points on the line
segment between them also lie in S. Spaces with lobes are not convex. Functions f
are convex iff the space on which they operate are convex and if f (αx + (1 − α)y) ≤
αf (x) + (1 − α)f (y) ∀ x, y ∈ S, α ∈ [0, 1] ∈ R1 .

7.3.1 Normed spaces

The norm ||x|| of a vector x ∈ S is a real number that satisfies the following properties:

1. ||x|| ≥ 0.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.3. VECTOR SPACES 215

2. ||x|| = 0 if and only if x = 0.

3. ||αx|| = |α| ||x||; α ∈ C1

4. ||x + y|| ≤ ||x|| + ||y|| (triangle or Minkowski6 inequality)

The norm is a natural generalization of the length of a vector. All properties of a norm can
be cast in terms of ordinary finite dimensional Euclidean vectors, and thus have geometrical
interpretations. The first property says length is greater than or equal to zero. The second
says the only vector with zero length is the zero vector. The third says the length of a scalar
multiple of a vector is equal to the magnitude of the scaler times the length of the original
vector. The Minkowski inequality is easily understood in terms of vector addition. If we add
vectorially two vectors x and y, we will get a third vector whose length is less than or equal
to the sum of the lengths of the original two vectors. We will get equality when x and y
point in the same direction. The interesting generalization is that these properties hold for
the norms of functions as well as ordinary geometric vectors.
Examples of norms are:

1. x ∈ R1 , ||x|| = |x|. This space is also written as ℓ1 (R1 ) or in abbreviated form ℓ11 . The
subscript on ℓ in either case denotes the type of norm; the superscript in the second
form denotes the dimension of the space. Another way to denote this norm is ||x||1 .
p √
2. x ∈ R2 , x = (x1 , x2 )T , the Euclidean norm ||x|| = ||x||2 = + x21 + x22 = + xT x. We
can call this normed space E2 , or ℓ2 (R2 ), or ℓ22 .
p √
3. x ∈ Rn , x = (x1 , x2 , · · · , xn )T , ||x|| = ||x||2 = + x21 + x22 + · · · + x2n = + xT x. We
can call this norm the Euclidean norm and the normed space Euclidean En , or ℓ2 (Rn )
or ℓn2 .

4. x ∈ Rn , x = (x1 , x2 , · · · , xn )T , ||x|| = ||x||1 = |x1 | + |x2| + · · · + |xn |. This is also ℓ1 (Rn )

or ℓn1 .

5. x ∈ Rn , x = (x1 , x2 , · · · , xn )T , ||x|| = ||x||p = (|x1 |p + |x2 |p + · · · + |xn |p )1/p , where

1 ≤ p < ∞. This space is called or ℓp (Rn ) or ℓnp .

6. x ∈ Rn , x = (x1 , x2 , · · · , xn )T , ||x|| = ||x||∞ = max1≤k≤n |xk |. This space is called

ℓ∞ (Rn ) or ℓn∞ .
p √
7. x ∈ Cn , x = (x1 , x2 , · · · , xn )T , ||x|| = ||x||2 = + |x1 |2 + |x2 |2 + · · · + |xn |2 = + xT x.
This space is described as ℓ2 (Cn ).

8. x ∈ C[a, b], ||x|| = maxa≤t≤b |x(t)|; t ∈ [a, b] ∈ R1 .

9. x ∈ C 1 [a, b], ||x|| = maxa≤t≤b |x(t)| + maxa≤t≤b |x′ (t)|; t ∈ [a, b] ∈ R1 .

6
Hermann Minkowski, 1864-1909, Russian/Lithuanian-born German-based mathematician and physicist.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

216 CHAPTER 7. LINEAR ANALYSIS

qR
b
10. x ∈ L2 [a, b], ||x|| = ||x||2 = + a
x(t)2 dt; t ∈ [a, b] ∈ R1 .
R 1/p
b
11. x ∈ Lp [a, b], ||x|| = ||x||p = + a
|x(t)|p dt ; t ∈ [a, b] ∈ R1 .
qR qR
b b
12. x ∈ L2 [a, b], ||x|| = ||x||2 = + a
|x(t)|2 dt = + a
x(t)x(t) dt; t ∈ [a, b] ∈ R1 .

R 1/p   p/2 1/p

b p
Rb
13. x ∈ Lp [a, b], ||x|| = ||x||p = + a
|x(t)| dt = + a x(t)x(t) dt ; t ∈
1
[a, b] ∈ R .
r  
R Pn ∂u ∂u
14. u ∈ W12 (G), ||u|| = ||u||1,2 = + G
u(x)u(x) + i=1 ∂xi ∂xi dx; x ∈ G ∈ Rn , u ∈
∂u
L2 (G), ∂x i
∈ L2 (G). This is an example of a Sobolov space which is useful in variational
calculus and the finite element method.
R  Pn  ∂u p    1/p
 ∂ m u p
15. u ∈ Wm p (G), ||u|| = ||u|| m,p = + G
|u(x)| p
+ i=1  ∂xi  + · · · +  ∂xm  dx ;x∈
i
α
G ∈ Rn , ∂∂xαu ∈ Lp (G) ∀ α ≤ m ∈ N. (may be in error due to neglect of mixed partial
i
derivatives!)

• A vector space in which a norm is defined is called a normed vector space.

• The metric or distance between x and y is defined by d(x, y) = ||x − y||. This a natural
metric induced by the norm. Thus ||x|| is the distance between x and the null vector.

• The diameter of a set of vectors is the supremum (i.e. least upper bound) of the
distance between any two vectors of the set.

• Let S1 and S2 be subsets of a normed vector space S such that S1 ⊂ S2 . Then S1

is dense in S2 if for every x(2) ∈ S2 and every ǫ > 0, there is a x(1) ∈ S1 for which
||x(2) − x(1) || < ǫ.

• A sequence x(1) , x(2) , · · · ∈ S, where S is a normed vector space, is a Cauchy7 sequence

if for every ǫ > 0 there exists a number Nǫ such that ||x(m) − x(n) || < ǫ for every m
and n greater than Nǫ .

• The sequence x(1) , x(2) , · · · ∈ S, where S is a normed vector space, converges if there
exists an x ∈ S such that limn→∞ ||x(n) − x|| = 0. Then x is the limit point of the
sequence, and we write limn→∞ x(n) = x or x(n) → x.

• Every convergent sequence is a Cauchy sequence, but the converse is not true.
7
Augustin-Louis Cauchy, 1789-1857, French mathematician and physicist.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.3. VECTOR SPACES 217

• A normed vector space S is complete if every Cauchy sequence in S is convergent, i.e.

if S contains all the limit points.

• A complete normed vector space is also called a Banach8 space.

• It can be shown that every finite-dimensional normed vector space is complete.

• Norms || · ||i and || · ||j in S are equivalent if there exist a, b > 0 such that, for any x ∈ S,

a||x||j ≤ ||x||i ≤ b||x||j . (7.5)

• In a finite-dimensional vector space, any norm is equivalent to any other norm. So,
the convergence of a sequence in such a space does not depend on the choice of norm.

We recall that if z ∈ C1 , then we can represent z as z = a + ib where a ∈ R1 , b ∈ R1 ;

further, the complex conjugate of z is represented as z = a − ib. It can be easily shown for
z1 ∈ C1 , z2 ∈ C1 that

• (z1 + z2 ) = z1 + z2

• (z1 − z2 ) = z1 − z2

• z1 z2 = z1 z2
 
• zz21 = zz12

We also recall that the modulus of z, |z| has the following properties:

|z|2 = zz = (a + ib)(a − ib) = a2 + iab − iab − i2 b2 = a2 + b2 ≥ 0.

Example 7.3
Consider x ∈ R3 and take  
1
x =  −4  .
2
Find the norm if x ∈ ℓ31 (absolute value norm), x ∈ ℓ32 (Euclidean norm), if x = ℓ33 (another norm), and
if x ∈ ℓ3∞ (maximum norm).
By the definition of the absolute value norm for x ∈ ℓ31 ,

||x|| = ||x||1 = |x1 | + |x2 | + |x3 |,

we get
||x||1 = |1| + | − 4| + |2| = 1 + 4 + 2 = 7.
8
Stefan Banach, 1892-1945, Polish mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

218 CHAPTER 7. LINEAR ANALYSIS

Now consider the Euclidean norm for x ∈ ℓ32 . By the definition of the Euclidean norm,
q
||x|| = ||x||2 + x21 + x22 + x23 ,

we get p √ √
||x||2 = + 12 + (−4)2 + 22 = 1 + 16 + 4 = + 21 ∼ 4.583.
Since the norm is Euclidean, this is the ordinary length of the vector.
For the norm, x ∈ ℓ33 , we have

1/3
||x|| = ||x||3 = + |x1 |3 + |x2 |3 + |x3 |3 ,

so
1/3 1/3
||x||3 = + |1|3 + | − 4|3 + |2|3 = (1 + 64 + 8) ∼ 4.179

For the maximum norm, x ∈ ℓ3∞ , we have

1/p
||x|| = ||x||∞ = lim + (|x1 |p + |x2 |p + |x3 |p ) ,
p→∞

so
1/p
||x||∞ = lim + (|1|p + | − 4|p + |2|p ) = 4.
p→∞

This picks out the magnitude of the component of x whose magnitude is maximum.
Note that as p increases the norm of the vector decreases.

Example 7.4
For x ∈ ℓ2 (C2 ), find the norm of
   
i 0 + 1i
x= = .
1 1 + 0i

The definition of the space defines the norm is a 2 norm (“Euclidean”):

p √ p
||x|| = ||x||2 = + xT x = + x1 x1 + x2 x2 = |x1 |2 + |x2 |2 ,

so s  
0 + 1i
||x||2 = + ( 0 + 1i 1 + 0i ) ,
1 + 0i
q p
||x||2 = + (0 + 1i)(0 + 1i) + (1 + 0i)(1 + 0i) = + (0 − 1i)(0 + 1i) + (1 − 0i)(1 + 0i),
p √
||x||2 = + −i2 + 1 = + 2.
√
Note that if we were negligent in the use of the conjugate and defined the norm as ||x||2 = + xT x,
we would obtain
s  
√ i p √
T
||x||2 = + x x = + ( i 1 ) = + i2 + 1 = + −1 + 1 = 0!
1

This violates the property of the norm that ||x|| > 0 if x 6= 0!

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.3. VECTOR SPACES 219

Example 7.5
Consider x ∈ L2 [0, 1] where x(t) = 2t; t ∈ [0, 1] ∈ R1 . Find ||x||.
By the definition of the norm for this space, we have
s
Z 1
||x|| = ||x||2 = + x2 (t) dt
0
Z 1 Z 1 Z 1  3 1
t 
||x||22 = x(t)x(t) dt = (2t)(2t) dt = 4 t2 dt = 4 ,
0 0 0 3 0
 3 
1 03 4
||x||22 = 4 − = ,
3 3 3
√
2 3
||x||2 = ∼ 1.1547.
3

Example 7.6
Consider x ∈ L3 [−2, 3] where x(t) = 1 + 2it; t ∈ [−2, 3] ∈ R1 . Find ||x||.
By the definition of the norm we have

Z 3 1/3
||x|| = ||x||3 = + |1 + 2it|3 dt
−2
Z 3  3/2 1/3
||x||3 = + (1 + 2it) (1 + 2it) dt
−2
Z 3  3/2
||x||33 = (1 + 2it) (1 + 2it) dt
−2
Z 3
||x||33 = ((1 − 2it) (1 + 2it))3/2 dt
−2
Z 3

3/2
||x||33 = 1 + 4t2 dt
−2
p   3
5t 3 
||x||33 = 1 + 4t2 + t3 + sinh−1 (2t) 
8 16 −2
√ −1
37 17 3 sinh (4) 3  √ 
||x||33 = + + 154 17 + sinh−1 (6) ∼ 214.638
4 16 16
||x||3 ∼ 5.98737

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

220 CHAPTER 7. LINEAR ANALYSIS

Example 7.7
Consider x ∈ Lp [a, b] where x(t) = c; t ∈ [a, b] ∈ R1 , c ∈ C1 . Find ||x||. Let us take the complex
constant c = α + iβ, α ∈ R1 , β ∈ R1 . Then

1/2
|c| = α2 + β 2 .
Now
Z !1/p
b
||x|| = ||x||p = |x(t)|p dt
a

Z !1/p
b

2 2 p/2
||x||p = α +β dt
a

Z !1/p

b
2 2 p/2
||x||p = α +β dt
a

p/2 1/p
||x||p = α2 + β 2 (b − a)

1/2
||x||p = α2 + β 2 (b − a)1/p
||x||p = |c|(b − a)1/p
Note the norm is proportional to the magnitude of the complex constant c. For finite p, it is also
increases with the extent of the domain b − a. For infinite p, it is independent of the length of the
domain, and simply selects the value |c|. This is consistent with the norm in L∞ selecting the maximum
value of the function.

Example 7.8
Consider x ∈ Lp [0, b] where x(t) = 2t2 ; t ∈ [0, b] ∈ R1 . Find ||x||. Now
Z !1/p
b
||x|| = ||x||p = |x(t)|p dt
0

Z !1/p
b
2 p
||x||p = |2t | dt
0
Z !1/p
b
p 2p
||x||p = 2 t dt
0
 b !1/p
2p t2p+1 
||x||p =
2p + 1 0
 p 2p+1 1/p
2 b
||x||p =
2p + 1
2p+1
2b p
||x||p =
(2p + 1)1/p

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.3. VECTOR SPACES 221

1/p 2p+1
Note as p → ∞ that (2p + 1) → 1, and p → 2, so

lim ||x|| = 2b2 .

p→∞

This is the maximum value of x(t) = 2t2 in t ∈ [0, b], as expected.

Example 7.9
Consider u ∈ W12 (G) with u(x) = 2x4 ; x ∈ [0, 3] ∈ R1 . Find ||u||.
We note that here that n = 1; the consequent one-dimensional domain G = [0, 3] is a closed interval
on the real number line. For more general problems, it can be areas, volumes, or n-dimensional regions
of space. Also here m = 1 and p = 2, so we require u ∈ L2 [0, 3] and ∂u ∂x ∈ L2 [0, 3], which for our choice
of u, is satisfied. The formula for the norm in W21 [0, 3] is
s
Z 3 
du du
||u|| = ||u||1,2 = + u(x)u(x) + dx,
0 dx dx
s
Z 3
||u||1,2 = + ((2x4 )(2x4 ) + (8x3 )(8x3 )) dx,
0
s
Z 3
||u||1,2 = + (4x8 + 64x6 ) dx,
0
s 3 r
4x9 64x7  69
||u||1,2 = + +  = 54 7 ∼ 169.539,
9 7 0

Example 7.10
Consider the sequence of vectors {x(1) , x(2) , . . .} ∈ Q3 , where Q3 is the space of rational numbers
over the field of rational numbers, and


x(1) = (1, 3, 0) = x(1)1 , x(1)2 , x(1)3 (7.6)
   
1 1
x(2) = , 3, 0 = , 3, 0 (7.7)
1+1 2
   
1 2
x(3) = 1 , 3, 0 = , 3, 0 (7.8)
1+ 2 3
   
1 3
x(4) = , 3, 0 = , 3, 0 (7.9)
1 + 23 5
..
. (7.10)
 
1
x(n) = , 3, 0 (7.11)
1 + x(n−1)1

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

222 CHAPTER 7. LINEAR ANALYSIS

for n ≥ 2. Does this sequence have a limit point in Q3 ? Is this a Cauchy sequence?
Consider the first term only; the other two are trivial. The series has converged when the nth term
is equal to the (n − 1)th term:
1
x(n−1)1 = .
1 + x(n−1)1
Rearranging, it is found that
x2(n−1)1 + x(n−1)1 − 1 = 0.
Solving, one finds that √
−1 ± 5
x(n−1)1 = .
2
We find from numerical experimentation that it is the “+” root to which x1 converges:
√
5−1
lim x(n−1)1 = .
n→∞ 2
As n → ∞,
√ !
5−1
x(n) → , 3, 0 .
2
Thus, the limit point for this sequence is not is Q3 ; hence the sequence is not convergent. Had the set
been defined in R3 , it would have been convergent.
However, the sequence is a Cauchy sequence. Consider, say ǫ = .01. If we choose, we then find by
numerical experimentation that Nǫ = 4. Choosing, for example m = 5 > Nǫ and n = 21 > Nǫ , we get
 
5
x(5) = , 3, 0 .
8
 
10946
x(21) = , 3, 0 .
17711
 
 987 
||x(5) − x(21) ||2 =  , 0, 0  = 0.00696 < 0.01.
141688 2
This could be generalized for arbitrary ǫ, so the sequence can be shown to be a Cauchy sequence.

Example 7.11
Does the infinite sequence of functions

v = {v1 (t), v2 (t), · · · , vn (t), · · ·} = t(t), t(t2 ), t(t3 ), · · · , t(tn ), · · · ,
converge in L2 [0, 1]? Does the sequence converge in C[0, 1]?
First, check if the sequence is a Cauchy sequence:
s r
Z 1
n+1 m+1 2 1 2 1
lim ||vn (t) − vm (t)||2 = (t −t ) dt = − + = 0.
n,m→∞ 0 2n + 3 m + n + 3 2m + 3
As this norm approaches zero, it will be possible for any ǫ > 0 to find an integer Nǫ such that
||vn (t) − vm (t)||2 < ǫ. So, the sequence is a Cauchy sequence. We also have

0, 0 ≤ t < 1
lim vn (t) =
n→∞ 1, t = 1

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.3. VECTOR SPACES 223

The above function, the “limit point” to which the sequence converges, is in L2 [0, 1], which is sufficient
condition for convergence of the sequence of functions in L2 [0, 1]. However the “limit point” is not a
continuous function, so despite the fact that the sequence is a Cauchy sequence and elements of the
sequence are in C[0, 1], the sequence does not converge in C[0, 1].

Example 7.12
Analyze the sequence of functions
n√ √ √ o
v = {v1 , v2 , . . . , vn , . . .} = 2 sin(πt), 2 sin(2πt), . . . , 2 sin(nπt), . . .

in L2 [0, 1].
This is simply a set of sin functions, which can be shown to form a basis; such a proof will not be
given here. Each element of the set is orthonormal to other elements:
Z 1 √ 2 1/2
||vn (t)||2 = 2 sin(nπt) dt = 1.
0

R1
It is also easy to show that 0 vn (t)vm (t) dt = 0, so the basis is orthonormal. As n → ∞, the norm of
the basis function remains bounded, and is, in fact, unity.
Consider the norm of the difference of the mth and nth functions:
Z 1 √ √ 2  21 √
||vn (t) − vm (t)||2 = 2 sin(nπt) − 2 sin(mπt) dt = 2.
0

This is valid for all m and n. Since we can find a value of ǫ > 0 which violates the conditions for a
Cauchy sequence, this series of functions is not a Cauchy sequence.

7.3.2 Inner product spaces

The inner product <x, y> is, in general, a complex scalar (<x, y> ∈ C1 ) associated with
two elements x and y of a normed vector space satisfying the following rules. For x, y, z ∈ S
and α, β ∈ C,

1. <x, x> > 0 if x 6= 0.

2. <x, x> = 0 if and only if x = 0.

3. <x, αy + βz> = α<x, y> + β<x, z>; α ∈ C1 , β ∈ C1 .

4. <x, y> = <y, x>, where <·> indicates the complex conjugate of the inner product.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

224 CHAPTER 7. LINEAR ANALYSIS

Inner product spaces are subspaces of linear vector spaces and are sometimes called pre-
Hilbert9 spaces. A pre-Hilbert space is not necessarily complete, so it may or may not form
a Banach space.

Example 7.13
Show
<αx, y> = α<x, y>
Using the properties of the inner product and the complex conjugate we have

<αx, y> = <y, αx>

= α<y, x>
= α <y, x>
= α <x, y>

Note that in a real vector space we have

<x, αy> = <αx, y> = α<x, y>and also that (7.12)

<x, y> = <y, x> (7.13)

since every scalar is equal to its complex conjugate.

7.3.2.1 Hilbert space

A Banach space (i.e. a complete normed vector space) on which an inner product is defined
is also called a Hilbert space. While Banach spaces allow for the definition of several types
of norms, Hilbert spaces are more restrictive: we must define the norm such that
√
||x|| = ||x||2 = + <x, x>. (7.14)

As a counterexample if x ∈ R2 , and we take ||x|| = ||x||3 = (|x1 |3 + |x2 |3 )1/3 (thus x ∈ ℓ23
which is a Banach space), we cannot find a definition of the inner product which satisfies all
its properties. Thus the space ℓ23 cannot be a Hilbert space!
Unless specified otherwise the unsubscripted norm || · || can be taken to represent the
Hilbert space norm || · ||2 . It is quite common for both subscripted and unscripted versions
of the norm to appear in the literature.
Examples of spaces which are Hilbert spaces are

1. Finite dimensional vector spaces

9
David Hilbert, 1862-1943, German mathematician of great influence.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.3. VECTOR SPACES 225

• x ∈ R3 , y ∈ R3 with <x, y> = xT y = x1 y1 + x2 y2 + x3 y3 , where x = (x1 , x2 , x3 )T ,

and y = (y1 , y2 , y3 )T . This is the ordinary dot product for three-dimensional
Cartesian vectors. With this definition of the inner product <x, x> = ||x||2 =
x21 + x22 + x23 , so the space is the Euclidean space, E3 . The space is also ℓ2 (R3 ) or
ℓ32 .
• x ∈ Rn , y ∈ Rn with <x, y> = xT y = x1 y1 + x2 y2 + · · · + xn yn , where x =
(x1 , x2 , · · · , xn )T , and y = (y1 , y2 , · · · , yn )T . This is the ordinary dot product for
n-dimensional Cartesian vectors; the space is the Euclidean space, En , or ℓ2 (Rn ),
or ℓn2 .
• x ∈ Cn , y ∈ Cn with <x, y> = xT y = x1 y1 + x2 y2 + · · · + xn yn , where x =
(x1 , x2 , · · · , xn )T , and y = (y1 , y2 , · · · , yn )T . This space is also ℓ2 (Cn ). Note that
– <x, x> = x1 x1 + x2 x2 + · · · + xn xn = |x1 |2 + |x2 |2 + . . . + |xn |2 = ||x||22 .
– <x, y> = x1 y1 + x2 y2 + . . . + xn yn .
– It is easily shown that this definition guarantees ||x||2 ≥ 0 and <x, y> =
<y, x>

2. Lebesgue spaces
Rb
• x ∈ L2 [a, b], y ∈ L2 [a, b], t ∈ [a, b] ∈ R1 with <x, y> = a
x(t)y(t) dt.
Rb
• x ∈ L2 [a, b], y ∈ L2 [a, b], t ∈ [a, b] ∈ R1 with <x, y> = a
x(t)y(t) dt.

3. Sobolov spaces
∂u
• u ∈ W12 (G), v ∈ W12 (G), x ∈ G ∈ Rn , n ∈ N, u ∈ L2 (G), ∂x i
∈ L2 (G), v ∈
∂v
L2 (G), ∂xi ∈ L2 (G) with
Z n
!
X ∂u ∂v
<u, v> = u(x)v(x) + dx.
G i=1
∂xi ∂xi

A Venn10 diagram of some of the common spaces is shown in Figure 7.3.

7.3.2.2 Non-commutation of the inner product

By the fourth property of inner products, we see that the inner product operation is not
commutative in general. Specifically when the vectors are complex, <x, y> 6= <y, x>. When
the vectors x and y are real, the inner product is real, and the above-defined inner products
commute, e.g. ∀x ∈ Rn , y ∈ Rn , <x, y> = <y, x>. At first glance one may wonder why
one would define a non-commutative operation. It is done to preserve the positive definite
character of the norm. If, for example, we had instead defined the inner product to commute
10
John Venn, 1834-1923, English mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

226 CHAPTER 7. LINEAR ANALYSIS

l 2(C 1) complex
scalars

l 2 (C n) n-dimensional
complex vectors

L 2 Lebesgue integrable
function space
1
W
2 Sobolov space
Hilbert space
(complete, normed, inner product)

Banach space
(complete, normed)

Minkowski space

Linear space

Space

Figure 7.3: Venn diagram showing relationship between various classes of spaces.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.3. VECTOR SPACES 227

for complex vectors, we might have taken <x, y> = xT y. Then if we had taken x = (i, 1)T
and y = (1, 1)T , we would have <x, y> = <y, x> = 1 + i. However, we would also have
<x, x> = ||x||22 = (i, 1)(i, 1)T = 0! Obviously, this would violate the property of the norm
since we must have ||x||22 > 0 for x 6= 0.
Interestingly, one can interpret the Heisenberg11 uncertainty principle to be entirely con-
sistent with our definition of an inner product which does not commute in a complex space.
In quantum mechanics, the superposition of physical states of a system is defined by a
complex-valued vector field. Position is determined by application of a position operator,
and momentum is determined by application of a momentum operator. If one wants to know
both position and momentum, both operators are applied. However, they do not commute,
and application of them in different orders leads to a result which varies by a factor related
to Planck’s12 constant.
Matrix multiplicaton is another example of an inner product that does not commute,
in general. Such topics are considered in the more general group theory. Operators that
commute are known as Abelian13 and those that do not are known as non-Abelian.

7.3.2.3 Minkowski space

While non-relativistic quantum mechanics, as well as classical mechanics, works quite well in
complex Hilbert spaces, the situation becomes more difficult when one considers Einstein’s
theories of special and general relativity. In those theories, which are developed to be con-
sistent with experimental observations of 1) systems moving at velocities near the speed of
light, 2) systems involving vast distances and gravitation, or 3) systems involving minute
length scales, the relevant linear vector space is known as Minkowski space. The vectors
have four components, describing the three space-like and one time-like location of an event
in space-time, given for example by x = (x0 , x1 , x2 , x3 )T , where x0 = ct, with c as the speed
of light. Unlike Hilbert or Banach spaces, however, a norm in the sense that we have defined
does not exist! While inner products are defined in Minkowski space, they are defined in such
a fashion that the inner product of a space time vector with itself can be negative. From the
theory of special relativity, the inner product which renders the equations invariant under a
Lorentz transformation (necessary so that the speed of light measures the same in all frames
and, moreover, not the Galilean transformation of Newtonian theory) is

<x, x> = x20 − x21 − x22 − x23 .

Obviously, this inner product can take on negative values. The theory goes on to show that
when relativistic effects are important, ordinary concepts of Euclidean geometry become
meaningless, and a variety of non-intuitive results can be obtained. In the Venn diagram,
11
Werner Karl Heisenberg, 1901-1976, German physicist.
12
Max Karl Ernst Ludwig Planck, 1858-1947, German physicist.
13
Niels Henrick Abel, 1802-1829, Norweigen mathematician, considered solution of quintic equations by
elliptic functions, proved impossibility of solving quintic equations with radicals, gave first solution of an
integral equation, famously ignored by Gauss.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

228 CHAPTER 7. LINEAR ANALYSIS

we see that Minkowski spaces certainly are not Banach, but there are also linear spaces that
are not Minkowski, so it occupies an island in the diagram.

Example 7.14
For x and y belonging to a Hilbert space, prove the parallelogram equality

||x + y||22 + ||x − y||22 = 2||x||22 + 2||y||22

The left side is

<x + y, x + y> + <x − y, x − y> = (<x, x> + <x, y> + <y, x> + <y, y>)
+ (<x, x> − <x, y> − <y, x> + <y, y>)
= 2<x, x> + 2<y, y>
= 2||x||22 + 2||y||22

Example 7.15
Prove the Schwarz14 inequality

||x||2 ||y||2 ≥ |<x, y>|

where x and y are elements of a Hilbert space.

If y = 0, both sides are zero and the equality holds. Let us take y 6= 0. Then, we have

||x − αy||22 = <x − αy, x − αy> where α is any scalar

= <x, x> − <x, αy> − <αy, x> + <αy, αy>
= <x, x> − α<x, y> − α <y, x> + αα <y, y>
<y, x> <x, y>
on choosing α = =
<y, y> <y, y>
<x, y> <x, y> <y, x><x, y>
= <x, x> − <x, y> − <y, x> + <y, y>
<y, y> <y, y> <y, y>2
| {z }
=0
|<x, y>|2
= ||x||22 −
||y||22
||x − αy||22 ||y||22 = ||x||22 ||y||22 − |<x, y>|2

Since ||x − αy||22 ||y||22 ≥ 0,

||x||22 ||y||22 − |<x, y>|2 ≥ 0 (7.15)

||x||22 ||y||22 ≥ |<x, y>| 2
(7.16)
||x||2 ||y||2 ≥ |<x, y>| QED (7.17)
14
Karl Hermann Amandus Schwarz, 1843-1921, Silesia-born German mathematician, deeply influenced
by Weierstrass, on the faculty at Berlin, captain of the local volunteer fire brigade, and assistant to railway
stationmaster.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.3. VECTOR SPACES 229

Note that this effectively defines the angle between two vectors. Because of the inequality, we have

||x||2 ||y||2
≥ 1,
|<x, y>|
|<x, y>|
≤ 1.
||x||2 ||y||2

Defining α to be the angle between the vectors x and y, we recover the familiar result from vector
analysis
<x, y>
cos α = . (7.18)
||x||2 ||y||2
This reduces to the ordinary relationship we find in Euclidean geometry when x, y ∈ R3 .

Example 7.16
For x, y ∈ ℓ2 (R2 ), find <x, y> if
   
1 2
x= , y= .
3 −2

The solution is  
2
<x, y> = xT y = ( 1 3 ) = (1)(2) + (3)(−2) = −4.
−2
Note that the inner product yields a real scalar, but in contrast
√ √ to the norm, it can be negative. Note
also that the Schwarz inequality holds as ||x||2√||y||2 = 10 8 ∼ 8.944 √ > |√− 4|. Also the Minkowski
inequality holds as ||x + y||2 = ||(3, 1)T ||2 = + 10 < ||x||2 + ||y||2 = 10 + 8.

Example 7.17
For x, y ∈ ℓ2 (C2 ), find <x, y> if
   
−1 + i 1 − 2i
x= , y= .
3 − 2i −2

The solution is
 
1 − 2i
<x, y> = xT y = ( −1 − i 3 + 2i ) = (−1 − i)(1 − 2i) + (3 + 2i)(−2) = −9 − 3i.
−2

Note that the inner product is a complex scalar which has negative components. It is easily shown that
||x||2 = 3.870 and ||y||2 = 3 and ||x + y||2 = 2.4495. Also |<x, y>| = 9.4868. The Schwarz inequality
holds as (3.870)(3) = 11.61 > 9.4868. The Minkowski inequality holds as 2.4495 < 3.870 + 3 = 6.870.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

230 CHAPTER 7. LINEAR ANALYSIS

Example 7.18
For x, y ∈ L2 [0, 1], find <x, y> if
x(t) = 3t + 4, y(t) = −t − 1.
The solution is
Z 1  1
7t2 
3  17
<x, y> = (3t + 4)(−t − 1) dt = −4t − −t  =− = −8.5.
0 2 0 2
Once more the inner product is a negative scalar. It is easily shown that ||x||2 = 5.56776 and ||y||2 =
1.52753 and ||x+ y||2 = 4.04145. Also |<x, y>| = 8.5. It is easily seen that the Schwarz inequality holds
as (5.56776)(1.52753) = 8.505 > 8.5. The Minkowski inequality holds as 4.04145 < 5.56776 + 1.52753 =
7.095.

Example 7.19
For x, y ∈ L2 [0, 1], find <x, y> if
x(t) = it, y(t) = t + i.
We recall that Z 1
<x, y> = x(t)y(t) dt.
0
The solution is Z  1
1
t2 it3  1 i
<x, y> = (−it)(t + i) dt = − = − .
0 2 3 0 2 3
The inner product is a complex scalar. It is easily shown that ||x||2 = 0.57735 and ||y||2 = 1.1547
and ||x + y||2 = 1.63299. Also |<x, y>| = 0.601. The Schwarz inequality holds as (0.57735)(1.1547) =
0.6667 > 0.601. The Minkowski inequality holds as 1.63299 < 0.57735 + 1.1547 = 1.7321.

Example 7.20
For u, v ∈ W21 (G)), find <u, v> if
u(x) = x1 + x2 , v(x) = −x1 x2 ,
and G is the square region in the x1 , x2 plane x1 ∈ [0, 1], x2 ∈ [0, 1]. We recall that
Z  
∂u ∂v ∂u ∂v
<u, v> = u(x)v(x) + + dx,
G ∂x1 ∂x1 ∂x2 ∂x2
Z 1Z 1
4
<u, v> = ((x1 + x2 )(−x1 x2 ) + (1)(−x2 ) + (1)(−x1 )) dx1 dx2 = − = −1.33333.
0 0 3
The inner product here is negative real scalar. It is easily shown that ||u||1,2 = 1.77951 and ||v||1,2 =
0.881917 and ||u + v||1,2 = 1.13039. Also |<u, v>| = 1.33333. The Schwarz inequality holds as
(1.77951)(0.881917) = 1.56938 > 1.33333. The Minkowski inequality holds as 1.13039 < 1.77951 +
0.881917 = 2.66143.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.3. VECTOR SPACES 231

7.3.2.4 Orthogonality
One of the primary advantages of working in Hilbert spaces is that the inner product allows
one to utilize of the useful concept of orthogonality:
• x and y are said to be orthogonal to each other if
<x, y> = 0

• In an orthogonal set of vectors {v1 , v2 , · · ·} the elements of the set are all orthogonal
to each other, so that <vi , vj > = 0 if i 6= j.
• If a set {ϕ1 , ϕ2 , · · ·} exists such that <ϕi , ϕj > = δij , then the elements of the set are
orthonormal.
• A basis {v1 , v2 , · · · , vn } of a finite-dimensional space that is also orthogonal is an or-
thogonal basis. On dividing each vector by its norm we get
vi
ϕi = √
<vi , vi >
to give us an orthonormal basis {ϕ1 , ϕ2 , · · · , ϕn }.

Example 7.21
If elements x and y of an inner product space are orthogonal to each other, prove the Pythagorean
theorem
||x||22 + ||y||22 = ||x + y||22
The right side is
<x + y, x + y> = <x, x> + <x, y> + <y, x> + <y, y>
= <x, x> + <y, y> since <x, y> = <y, x> = 0 due to orthogonality
= ||x||22 + ||y||22 QED

Example 7.22
Show that an orthogonal set of vectors in an inner product space is linearly independent.
Let {v1 , v2 , · · ·} be an orthogonal set of vectors. Then consider
α1 v1 + α2 v2 + . . . + αj vj + . . . + αn vn = 0.
Taking the inner product with vj , where j = 1, 2, . . . we get
<vj , (α1 v1 + α2 v2 + . . . + αj vj + . . . + αn vn )> = <vj , 0>
α1 <vj , v1 > + α2 <vj , v2 > + . . . + αj <vj , vj > + . . . + αn <vj , vn > = 0
αj <vj , vj > = 0
since all the other inner products are zero. Thus, αj = 0, indicating that the set {v1 , v2 , · · ·} is linearly
independent.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

232 CHAPTER 7. LINEAR ANALYSIS

7.3.2.5 Gram-Schmidt procedure

In a given inner product space, the Gram-Schmidt15 procedure can be used to find an or-
thonormal set using a linearly independent set of vectors.

Example 7.23
Find an orthonormal set of vectors {ϕ1 , ϕ2 , . . .} in L2 [−1, 1] using linear combinations of the linearly
independent set of vectors {1, t, t2 , t3 , . . .} where −1 ≤ t ≤ 1.
Choose
v1 (t) = 1
Now choose the second vector linearly independent of v1 as
v2 (t) = a + bt.
This should be orthogonal to v1 , so that
Z 1
v1 (t)v2 (t) dt = 0
−1
Z 1
(1) (a + bt) dt = 0
−1 |{z} | {z }
=v1 (t) =v2 (t)
 1
bt2 
at + =0
2 −1
b
a(1 − (−1)) + (12 − (−1)2 ) = 0
2
from which
a=0
Taking b = 1 arbitrarily, since orthogonality does not depend on the magnitude of v2 (t), we have
v2 = t.
Choose the third vector linearly independent of v1 (t) and v2 (t), i.e.
v3 (t) = a + bt + ct2 .
For this to be orthogonal to v1 (t) and v2 (t), we get the conditions
Z 1
(1) (a + bt + ct2 ) dt = 0
−1 |{z} | {z }
=v1 (t) =v3 (t)
Z 1
t (a + bt + ct2 ) dt
|{z} = 0
−1 | {z }
=v2 (t) =v3 (t)

15
Jørgen Pedersen Gram, 1850-1916, Danish mathematician, and Erhard Schmidt, 1876-1959,
German/Estonian-born Berlin mathematician, studied under David Hilbert, founder of modern functional
analysis. The Gram-Schmidt procedure was actually first introduced by Laplace.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.3. VECTOR SPACES 233

The first of these gives c = −3a. Taking a = 1 arbitrarily, we have c = −3. The second relation gives
b = 0. Thus
v3 = 1 − 3t2
In this manner we can find as many orthogonal vectors as we want. We can make them orthonormal
by dividing each by its norm, so that we have
1
ϕ1 = √
2
r
3
ϕ2 = t
2
r
5
ϕ3 = (1 − 3t2 )
8
..
.

Scalar multiples of these functions, with the functions set to unity at t = 1, are the Legendre polyno-
mials: P0 (t) = 1, P1 (t) = t, P2 (t) = 12 (3t2 − 1) . . .

Some other orthonormal sets in L2 [a, b] are:

1. 2
e−t /2
ϕn (t) = n √ 1/2 Hn (t),
(2 n! π)
where Hn (t) are the Hermite polynomials for t ∈ (−∞, ∞).

2.
ϕn (t) = e−t/2 Ln (t),
where Ln (t) are the Laguerre polynomials for t ∈ [0, ∞).

7.3.2.6 Representation of a vector

A vector x in an n-dimensional inner product space can be represented in terms of a linear
combination of n basis vectors {u1 , u2 , · · · , un }. In general, the basis vectors do not have to
be orthogonal; they just need to form a basis.
If such a combination exists, we can write

x = a1 u1 + a2 u2 + · · · + an un (7.19)

The general task here is to find expressions for the coefficients ak , k = 1, 2, . . . n. To get the
coefficients, we begin by taking inner products with u1 , u2 , · · · , un in turn to get

<u1 , x> = <u1 , a1 u1> + <u1 , a2 u2 > + . . . + <u1 , an un >

using the properties of an inner product
and carrying out the procedure for all uk :

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

234 CHAPTER 7. LINEAR ANALYSIS

<u1 , x> = a1 <u1 , u1> + a2 <u1 , u2 > + . . . + an <u1 , un >

<u2 , x> = a1 <u2 , u1> + a2 <u2 , u2 > + . . . + an <u2 , un >
..
.
<un , x> = a1 <un , u1 > + a2 <un , u2 > + . . . + an <un , un >

Knowing x, u1 , u2, · · · , un , all the inner products can be determined, and the equations can
be posed as a linear algebraic system:
    
<u1 , u1> <u1 , u2 > . . . <u1 , un > a1 <u1 , x>
 <u2 , u1> <u2 , u2 > . . . <u2 , un >   a2   <u2 , x> 
 .. .. ..  .  =  ..  (7.20)
 . . ... .   ..   . 
<un , u1 > <un , u2 > . . . <un , un > an <un , x>
This can also be written as
<ui, uj >aj = <ui, x>
In either case, Cramer’s rule can be used to solve for the unknown coefficients, aj .
The process is simpler if the basis vectors are orthogonal. If orthogonal,

<ui , uj > = 0, i 6= j

substituting into the equation for the coefficients, we get

    
<u1 , u1 > 0 ... 0 a1 <u1 , x>
 0 <u2 , u2 > . . . 0   a2   <u2 , x> 
 .. .. ..  .  =  ..  (7.21)
 . . ... .   ..   . 
0 0 . . . <un , un > an <un , x>
This can be solved directly for the coefficients:
<ui , x>
ai = (7.22)
<ui, ui >
So if the basis vectors are orthogonal, we can write
<u1 , x> <u2 , x> <un , x>
x = u1 + u2 + . . . + un (7.23)
<u1 , u1> <u2, u2 > <un , un >
n
X <ui , x>
x = ui (7.24)
i=1
<u i , u i >

If we use an orthonormal basis {ϕ1 , ϕ2 , . . . , ϕn } then the representation is even more efficient:
n
X
x= <ϕi , x> ϕi (7.25)
i=1

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.3. VECTOR SPACES 235

Similar expansions apply to vectors in infinite-dimensional spaces, except that one must
be careful that the orthonormal set is complete. Only then is there any guarantee that any
vector can be represented as linear combinations of this orthonormal set.
If {ϕ1 , ϕ2 , . . .} is a complete orthonormal set of vectors in some domain Ω, then any
vector x can be represented as
X∞
x= ai ϕi (7.26)
i=1

where
ai = <ϕi , x> (7.27)
This is a Fourier series representation, and the ai are the Fourier coefficients. Though
trigonometric functions are sometimes used, other orthogonal functions are also common.
Thus we can have Fourier-Legendre for Ω = [−1, 1], Fourier-Hermite for Ω = (−∞, ∞), or
Fourier-Laguerre series for Ω = [0, ∞).

Example 7.24
Expand the top hat function x(t) = H(t − 1/4) − H(t − 3/4) in a Fourier sine series in the domain
t ∈ [0, 1].
Here, the function x(t) is discontinuous at t = 1/4 and t = 3/4. While x(t) is not a member of
C[0, 1], it is a member of L2 [0, 1]. Here we will see that the Fourier sine series representation, composed
of functions which are continuous in [0, 1], converges to the discontinuous function x(t).
Building on previous work, we know that the set of functions
√
ϕn (t) = 2 sin(nπt), n = 1, . . . , ∞,

are orthonormal for t ∈ [0, 1]. We then find for the Fourier coefficients
    
√ Z 1
1 3 √ Z 3/4
an = 2 H t− −H t− sin(nπt) dt = 2 sin(nπt) dt.
0 4 4 1/4

Performing the integration for the first nine terms, we find

 
2 1 1 1 1
an = 1, 0, − , 0, − , 0, , 0, , . . . .
π 3 5 7 9
Forming an approximation from these nine terms, we find
    √  
1 3 2 2 sin(3πt) sin(5πt) sin(7πt) sin(9πt)
H t− −H t− = sin(πt) − − + + + ... .
4 4 π 3 5 7 9
Generalizing, we get
    √ ∞  
1 3 2 2X sin((4k − 3)πt) sin((4k − 1)πt)
H t− −H t− = (−1)k−1 −
4 4 π 4k − 3 4k − 1
k=1

The discontinuous function x(t) and three continuous approximations to it are shown in Figure 7.4.
Note that as more terms are added, the approximation gets better at most points. But there is always
a persistently large error at the discontinuities t = 1/4, t = 3/4. We say this function is convergent in
L2 [0, 1], but is not convergent in L∞ [0, 1]. This simply says that the rms error norm converges, while the

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

236 CHAPTER 7. LINEAR ANALYSIS

x (t)
1
9 term series
0.8
0.6
0.4
0.2
t
0.2 0.4 0.6 0.8 1

x (t)

1
18 term series
0.8
0.6
0.4
0.2

t
0.2 0.4 0.6 0.8 1
x (t)

1
36 term series
0.8
0.6
0.4
0.2

t
0.2 0.4 0.6 0.8 1

Figure 7.4: Expansion of top hat function x(t) = H(t − 1/4) − H(t − 3/4) in terms of sine
basis functions for three levels of approximation, n = 9, n = 18, n = 36.

|| x a(t) - x (t) ||
2
0.70
-0.512
0.50 || x a(t) - x (t) || ~ 0.474 n
2

0.30

0.20
0.15

0.10

2 5 10 20 n

Figure 7.5: Convergence rate of error in L2 [0, 1] of Fourier-sine approximation of x(t) =

H(t − 1/4) − H(t − 3/4) .

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.3. VECTOR SPACES 237

maximum error norm does not. This is an example of the well-known Gibbs phenomenon. Convergence
in L2 [0, 1] is shown in Fig. 7.5. The achieved convergence rate is ||x(t) − xa (t)||2 ∼ 0.474088n−0.512.
This suggests that
1
lim ||x(t) − xa (t)||2 ∼ √ .
n→∞ n

The previous example showed one could use continuous functions to approximate a dis-
continuous function. The converse is also true: discontinuous functions can be used to
approximate continuous functions.

Example 7.25
Show that the functions ϕ1 (t), ϕ2 (t), . . . , ϕn (t) are orthonormal in L2 (0, 1], where
 √
n k−1 n < t≤ n
k
ϕk (t) =
0 otherwise

Expand x(t) = t2 in terms of these functions, and find the error for a finite n.
We note that the basis functions are a set of “top hat” functions whose amplitude increases with
and whose width decreases with increasing n. For fixed n, the basis functions √ are a series of top hats
that fills the domain [0, 1]. The area enclosed by a single basis function is 1/ n. If k 6= j the inner
product
Z 1
<ϕk , ϕj > = ϕk (t)ϕj (t) dt = 0
0

because the integrand is zero everywhere. If k = j, the inner product is

Z Z k−1 Z k Z
1 n n √ √ 1
ϕk (t)ϕk (t) dt = (0)(0) dt + n n dt + (0)(0) dt
k−1 k
0 0 n n
 
k k−1
= n −
n n
= 1

So, ϕ1 , ϕ2 , . . . , ϕn is an orthonormal set. We can expand the function f (t) = t2 in the form
n
X
t2 = αk ϕk
k=1

Taking the inner product of both sides with ϕj (t), we get

Z 1 Z 1 n
X
ϕj (t)t2 dt = ϕj (t) αk ϕk (t) dt
0 0 k=1
Z 1 n
X Z 1
ϕj (t)t2 dt = αk ϕj (t)ϕk (t) dt
0 k=1 0
| {z }
= δkj

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

238 CHAPTER 7. LINEAR ANALYSIS

x(t) x(t) 2
2
x(t) = t x(t) = t
1 1
n=5
0.8 0.8 n = 10

0.6 0.6

0.4 0.4

0.2 0.2

t t
0.2 0.4 0.6 0.8 1 0.2 0.4 0.6 0.8 1

Figure 7.6: Expansion of x(t) = t2 in terms of “top hat” basis functions for two levels of
approximation, n = 5, n = 10.
Z 1 n
X
ϕj (t)t2 dt = αk δkj
0 k=1
Z 1
ϕj (t)t2 dt = αj
0
Z 1
ϕk (t)t2 dt = αk
0

Thus Z k
n √
αk = 0 + t2 n dt + 0
k−1
n

Thus
1

αk = 5/2
3k 2 − 3k − 1
3n
2
Pn
The functions t and the partial sums fn (t) = k=1 αk ϕk (t) for n = 5 and n = 10 are shown in
Figure 7.6. The L2 error for the partial sums can be calculated as ∆n , where
∆2n = ||f (t) − fn (t)||22
Z 1 n
!2
X
2
= t − αk ϕk (t) dt
0 k=1
 
1 1
= 1− 2
9n2 5n
r
1 1
∆n = 1− 2
3n 5n
1
which vanishes as n → ∞ at a rate of convergence proportional to n.

Example 7.26
Show the Fourier sine series for x(t) = 2t converges at a rate proportional to √1 , where n is the
n
number of terms used to approximate x(t), in L2 [0, 1].

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.3. VECTOR SPACES 239

Consider the sequence of functions

n√ √ √ o
ϕ= 2 sin(πt), 2 sin(2πt), . . . , 2 sin(nπt), . . . .

It is easy to show linear independence for these functions. They are orthonormal in the Hilbert space
L2 [0, 1], e.g.
Z 1 √  √ 
<ϕ2 , ϕ3 > = 2 sin(2πt) 2 sin(3πt) dt = 0,
0
Z 1 √  √ 
<ϕ3 , ϕ3 > = 2 sin(3πt) 2 sin(3πt) dt = 1.
0
Note that while the basis functions evaluate to 0 at both t = 0 and t = 1, that the function itself
only has value 0 at t = 0. We must tolerate a large error at t = 1, but hope that this error is confined
to an ever collapsing neighborhood around t = 1 as more terms are included in the approximation.
The Fourier coefficients are
Z 1√ √
2 2(−1)k+1
αk = <ϕk (t), 2t> = 2 sin(kπt) (2t) dt = .
0 kπ
The approximation then is
n
X 4(−1)k+1
xa (t) = sin(kπt).
kπ
k=1

The norm of the error is then

v !!2
uZ n
1
u X 4(−1)k+1
||x(t) − xa (t)||2 = t 2t − sin(kπt) dt.
0 kπ
k=1

This is difficult to evaluate analytically. It is straightforward to examine this with symbolic calculational
software.
A plot of the norm of the error as a function of the number of terms in the approximation, n,
is given in the log-log plot of Figure 7.7. A weighted least squares curve fit, with a weighting factor
proportional to n2 so that priority is given to data as n → ∞, shows that the function

||x(t) − xa (t)||2 ∼ 0.841 n−0.481 ,

approximates the convergence performance well. In the log-log plot the exponent on n is the slope. It
appears from the graph that the slope may be approaching a limit, in which it is likely that
1
||x(t) − xa (t)||2 ∼ √ .
n
This indicates convergence of this series. Note that the series converges even though the norm of the
nth basis function does not approach zero as n → ∞:

lim ||ϕn ||2 = 1,

n→∞

since the basis functions are orthonormal. Also note that the behavior of the norm of the final term in
the series, v
u 1 2√2(−1)n+1 √ √
uZ !2
t 2 2
||αn ϕn (t)||2 = 2 sin(nπt) dt = ,
0 nπ nπ
does not tell us how the series actually converges.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

240 CHAPTER 7. LINEAR ANALYSIS

|| x(t) - x a(t) ||
2

0.7
- 0.481
|| x(t) - x a(t) || ~ 0.841 n
2
0.5

0.3

0.2
1 1.5 2 3 5 7 10 15 20 n

Figure 7.7: Behavior in the error norm of the Fourier series approximation to x(t) = 2t with
the number n of terms included in the series.

Example 7.27
1
Show the Fourier sine series for x(t) = t − t2 converges at a rate proportional to n5/2
, where n is
the number of terms used to approximate x(t), in L2 [0, 1].
Again, consider the sequence of functions
n√ √ √ o
ϕ= 2 sin(πt), 2 sin(2πt), . . . , 2 sin(nπt), . . . .

which are as before, linearly independent and moreover, orthonormal. Note that in this case, as opposed
to the previous example, both the basis functions and the function to be approximated vanish identically
at both t = 0 and t = 1. Consequently, there will be no error in the approximation at either end point.
The Fourier coefficients are
√

2 2 1 + (−1)k+1
αk = .
k3 π3
Note that αk = 0 for even values of k. Taking this into account and retaining only the necessary basis
functions, we can write the Fourier sine series as
n √
X 4 2
x(t) = t(1 − t) ∼ xa (t) = sin((2m − 1)πt).
m=1
(2m − 1)3 π 3

The norm of the error is then

v
uZ
u 1 n √ !!2
X 4 2
||x(t) − xa (t)||2 = t t(1 − t) − sin((2m − 1)πt) dt.
0 m=1
(2m − 1)3 π 3

Again this is difficult to address analytically, but symbolic computation allows computation of the error
norm as a function of n.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.3. VECTOR SPACES 241

|| x(t) - xa(t)||
2
0.005

0.001 - 2.492
0.0005 || x(t) - xa(t)|| ~ 0.00994 n
2

0.0001
0.00005

0.00001

1 1.5 2 3 5 7 10 15 20 n

Figure 7.8: Behavior in the error norm of the Fourier series approximation to x(t) = t(1 − t)
with the number n of terms included in the series.

A plot of the norm of the error as a function of the number of terms in the approximation, n,
is given in the log-log plot of Figure 7.8. A weighted least squares curve fit, with a weighting factor
proportional to n2 so that priority is given to data as n → ∞, shows that the function
||x(t) − xa (t)||2 ∼ 0.00995 n−2.492 ,
approximates the convergence performance well. Thus we might suspect that
1
lim ||x(t) − xa (t)||2 ∼ .
n→∞ n5/2
Note that the convergence is much more rapid than in the previous example! This can be critically
important in numerical calculations and demonstrates that a judicious selection of basis functions can
have fruitful consequences.

7.3.2.7 Parseval’s equation, convergence, and completeness

We consider Parseval’s16 equation and associated issues here. For a basis to be complete, we require
that the norm of the difference of the series representation of all functions and the functions themselves
converge to zero in L2 as the number of terms in the series approaches infinity. For an orthonormal
basis ϕi (t), this is  
 Xn 
 
lim x(t) − αk ϕk (t) = 0.
n→∞  
k=1 2
Now for the orthonormal basis, we can show this reduces to a particularly simple form. Consider for
instance the error for a one term Fourier expansion
2
||x − αϕ||2 = <x − αϕ, x − αϕ> (7.28)
= <x, x> − <x, αϕ> − <αϕ, x> + <αϕ, αϕ>, (7.29)
= ||x||22 − α<x, ϕ> − α<ϕ, x> + αα<ϕ, ϕ>, (7.30)
= ||x||22 − α<ϕ, x> − α<ϕ, x> + αα<ϕ, ϕ>, (7.31)
= ||x||22 − αα − αα + αα(1), (7.32)
= ||x||22 − αα, (7.33)
= ||x||22 − |α|2 . (7.34)
16
Marc-Antoine Parseval des Chênes, 1755-1835, French mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

242 CHAPTER 7. LINEAR ANALYSIS

Here we have used the definition of the Fourier coefficient <ϕ, x> = α, and orthonormality <ϕ, ϕ> = 1.
This is easily extended to multiterm expansions to give
 2
 n
X  n
X
2
|αk |2 .
 
 x(t) − α ϕ
k k (t) = ||x(t)||2 − (7.35)
 
k=1 2 k=1

So convergence, and thus completeness of the basis, is equivalent to requiring that

n
X
||x(t)||22 = lim |αk |2 , (7.36)
n→∞
k=1

for all functions x(t). Note that this requirement is stronger than just requiring that the last Fourier
coefficient vanish for large n; also note that it does not address the important question of the rate of
convergence, which can be different for different functions x(t), for the same basis.

7.3.3 Reciprocal bases

Let {u1 , · · · , un } be a basis of a finite-dimensional inner product space. Also let {uR R
1 , · · · , un } be
elements of the same space such that

<ui , uR
j > = δij

Then {uR R
1 , · · · , un } is called the reciprocal (or dual) basis of {u1 , · · · , un }. Of course an orthonormal
basis is its own reciprocal.
Since {u1 , · · · , un } is a basis, we can write any vector x as
n
X
x= αj uj (7.37)
j=1

Taking the inner product of both sides with uR

i , we get

n
X
<uR
i , x> = <uR
i , αj uj > (7.38)
j=1
n
X
= <uR
i , αj uj > (7.39)
j=1
Xn
= αj <uR
i , uj > (7.40)
j=1
Xn
= αj δij (7.41)
j=1
= αi (7.42)
<uR
j , x> = αj (7.43)

so that
n
X
x= <uR
j , x> uj . (7.44)
j=1
| {z }
=αj

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.3. VECTOR SPACES 243

Example 7.28    
2 1
Consider x ∈ R2 . The vectors u1 = and u2 = span the space R2 and thus can be used
0 3
as a basis.
 
3
Find the reciprocal basis uR R
1 , u2 , and use the above relation to expand x = in terms of both
5
the basis u1 and u2 and then the reciprocal basis uR R
1 and u2 .

We adopt the dot product as our inner product. Let’s get α1 , α2 . To do this we first need the
reciprocal basis vectors which are defined by the inner product:

<ui , uR
j > = δij
  We take  
a R a2R 1
uR
1 =
1 1
, uR2 =
a1R 2 a2R 2
expanding, we get
 
R T R a1R 1
<u1 , u1 > = u1 u1 = (2, 0) · = (2)a1R 1 + (0)a1R 2 = 1
a1R 2
 
R T R a2R 1
<u1 , u2 > = u1 u2 = (2, 0) · = (2)a2R 1 + (0)a2R 2 = 0
a2R 2
 
R T R a1R 1
<u2 , u1 > = u2 u1 = (1, 3) · = (1)a1R 1 + (3)a1R 2 = 0
a1R 2
 
R T R a2R 1
<u2 , u2 > = u2 u2 = (1, 3) · = (1)a2R 1 + (3)a2R 2 = 1
a2R 2

Solving, we get
1 1 1
a1R 1 = , a1R 2 = − , a2R 1 = 0, a2R 2 =
2 6 3
so substituting, we get expressions for the reciprocal base vectors:
 1   
0
uR = 2 , u R
=
1 − 16 2 1
3

We can now get the coefficients αi :

 
3 3 5 2
α1 = <uR = (1/2, −1/6) ·
1 , x> = − =
5 2 6 3
 
3 5 5
α2 = <uR
2 , x> = (0, 1/3) · =0+ =
5 3 3
So on the new basis, x can be represented as
2 5
x= u1 + u2
3 3
The representation is shown geometrically in Figure 7.9. Note that uR 1 is orthogonal to u2 and that
uR
2 is orthogonal to u1 . Further since ||u1 ||2 > 1, ||u2 ||2 > 1, we get ||uR R
1 2 < 1 and ||u2 ||2 < 1 in order
||
R
to have <ui , uj > = δij .

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

244 CHAPTER 7. LINEAR ANALYSIS

x
2

2/3 u 1

u2

R
18 u2
5/3 u 2

u2R

u1
uR
1

x1

6 uR
1

Figure 7.9: Representation of a vector x on a non-orthogonal contravariant basis u1 , u2 and

its reciprocal covariant basis uR R
1 , u2

In a similar manner it is easily shown that x can be represented in terms of the reciprocal basis as
n
X
x= βi u R R R
i = β1 u 1 + β2 u 2 ,
i=1

where
βi = <ui , x>.
For this problem, this yields
x = 6uR R
1 + 18u2 .

Thus we see for the non-orthogonal basis that two natural representations of the same vector exist.
One of these is actually a a covariant representation; the other is contravariant.
Let us show this example is consistent with the earlier described notions using “upstairs-downstairs”
index notation. Note that our non-orthogonal coordinate system is a transformation of the form

∂ξ i j
ξi = x ,
∂xj
where ξ i is the Cartesian representation, and xj is the contravariant representation in the transformed
system. In Gibbs form, this is
ξ = J · x.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.3. VECTOR SPACES 245

Inverting, we also have

x = J−1 · ξ.

For this problem, we have

 
∂ξ i 2 1
=J= ,
∂xj 0 3

so that
     1
ξ1 2 1 x
= · .
ξ2 0 3 x2

Note that the unit vector in the transformed space

   
x1 1
=
x2 0

has representation in Cartesian space of (2, 0)T , and the other unit vector in the transformed space
   
x1 0
=
x2 1

has representation in Cartesian space of (1, 3)T .

Now the metric tensor is
     
2 0 2 1 4 2
gij = G = JT · J = · = .
1 3 0 3 2 10

The Cartesian vector ξ = (3, 5)T , has a contravariant representation in the transformed space of
 −1        
2 1 3 1/2 −1/6 3 2/3
x = J−1 · ξ = · = · = = xj .
0 3 5 0 1/3 5 5/3

This is consistent with our earlier finding.

This vector has a covariant representation as well by the formula
    
j 4 2 2/3 6
xi = gij x = = .
2 10 5/3 18

Once again, this is consistent with our earlier finding.

Lastly, note that
 
−1 1/2 −1/6
J = .
0 1/3

The rows of this matrix describe the reciprocal basis vectors, and is also consistent with our earlier
finding.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

246 CHAPTER 7. LINEAR ANALYSIS

7.4 Operators
• For two sets X and Y, an operator (or mapping, or transformation) f is a rule that
f
associates every x ∈ X with an image y ∈ Y. We can write f : X → Y, X → Y or
x 7→ y. X is the domain of the operator, and Y is the range.

• If every element of Y is not necessarily an image, then X is mapped into Y; this map
is called an injection.

• If, on the other hand, every element of Y is an image of some element of X, then X is
mapped onto Y and the map is a surjection.

• If, for every x ∈ X there is a unique y ∈ Y, and for every y ∈ Y there is a unique
x ∈ X, the operator is one-to-one or invertible; it is a bijection.
f g
• f and g are inverses of each other, when X → Y and Y → X.

• f : X → Y is continuous at x0 ∈ X if, for every ǫ > 0, there is a δ > 0, such that

||f (x) − f (x0 )|| < ǫ ∀ x satisfying ||x − x0 || < δ.

A Venn diagram showing various classes of operators is given in Figure 7.10.

Examples of continuous operators are:

1. (x1 , x2 , · · · , xn ) 7→ y, where y = f (x1 , x2 , · · · , xn ).

df
2. f 7→ g, where g = dt
.
Rb
3. f 7→ g, where g(t) = a K(s, t)f (s) ds. K(s, t) is called the kernel of the integral
Rb Rb
transformation. If a a |K(s, t)|2 ds dt is finite, then f belongs to L2 if g does.

4. (x1 , x2 , · · · , xm )T 7→ (y1 , y2 , · · · , yn )T , where y = Ax with y, A, and x being n × 1,

n × m, and m × 1 matrices, respectively (yn×1 = An×m xm×1 ), and the usual matrix
multiplication is assumed. Here A is a left operator, and is the most common type of
matrix operator.

5. (x1 , x2 , · · · , xn ) 7→ (y1 , y2 , · · · , ym ), where y = xA with y, x, and A being 1 × m,

1 × n, and n × m matrices, respectively (y1×m = x1×n An×m ), and the usual matrix
multiplication is assumed. Here A is a right operator.

7.4.1 Linear operators

• A linear operator T is one that satisfies

T(x + y) = Tx + Ty (7.45)
T(αx) = αTx (7.46)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.4. OPERATORS 247

. ..
Domain Injection: Inverse may not exist Range

. f
f

. . Y
X

.. . ..
Surjection: Inverse not always unique

f
f

X f Y

... f

f
.. .
Bijection (one-to-one): Inverse always exists

X f Y

Figure 7.10: Venn diagram showing classes of operators.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

248 CHAPTER 7. LINEAR ANALYSIS

• An operator T is bounded if ∀x ∈ X∃ a constant c such that

||Tx|| ≤ c||x||. (7.47)

• A special operator is the identity I, which is defined by Ix = x.

• The null space or kernel of an operator T is the set of all x such that Tx = 0. The
null space is a vector space.

• The norm of an operator T can be defined as

||Tx||
||T|| = sup (7.48)
x6=0 ||x||

• An operator T is

positive definite if <Tx, x> > 0

positive semidefinite if <Tx, x> ≥ 0
negative definite if <Tx, x> < 0
negative semidefinite if <Tx, x> ≤ 0

∀ x 6= 0.

• Theorem
√
For a matrix A, Cm → Cn , ||A||2 = λmax , where λmax is the largest eigenvalue of
T T
the matrix A A. It will soon be shown that because A A is symmetric, that all of
its eigenvalues are guaranteed real. Moreover, it can be shown that they are also all
greater than or equal to zero. Hence, the definition will satisfy all properties of the
norm.

• the above theorem holds only for Hilbert spaces and not for arbitrary Banach spaces.

7.4.2 Adjoint operators

The operator T∗ is the adjoint of the operator T, if

<Tx, y> = <x, T∗ y> (7.49)

If T∗ = T, the operator is self-adjoint.

Example 7.29
Find the adjoint of the real matrix A : R2 → R2 , where
 
a11 a12
A=
a21 a22

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.4. OPERATORS 249

We assume a11 , a12 , a21 , a22 are known constants.

Let the adjoint of A be  ∗ 
a11 a∗12
A∗ =
a∗21 a∗22
Here the starred quantities are to be determined. We also have for x and y:
 
x1
x =
x2
 
y1
y =
y2
We take the inner product equation (7.49) and expand:
<Ax, y> = <x, A∗ y>
  T    T  ∗   
a11 a12 x1 y1 x1 a11 a∗12 y1
=
a21 a22 x2 y2 x2 a∗21 a∗22 y2
 T    T  ∗ 
a11 x1 + a12 x2 y1 x1 a11 y1 + a∗12 y2
=
a21 x1 + a22 x2 y2 x2 a∗21 y1 + a∗22 y2
   ∗ 
y1 a11 y1 + a∗12 y2
( a11 x1 + a12 x2 a21 x1 + a22 x2 ) = ( x1 x2 )
y2 a∗21 y1 + a∗22 y2
(a11 x1 + a12 x2 )y1 + (a21 x1 + a22 x2 )y2 = x1 (a∗11 y1 + a∗12 y2 ) + x2 (a∗21 y1 + a∗22 y2 )
Rearrange and get
(a11 − a∗11 )x1 y1 + (a21 − a∗12 )x1 y2 + (a12 − a∗21 )x2 y1 + (a22 − a∗22 )x2 y2 = 0
Since this must hold for any x1 , x2 , y1 , y2 , we have
a∗11 = a11
a∗12 = a21
a∗21 = a12
a∗22 = a22
Thus
 
∗ a11 a21
A =
a12 a22
= AT
Thus a symmetric matrix is self-adjoint. The above result is easily extended to complex matrices
A : Cn → Cm to show that
T
A∗ = A .

Example 7.30
Find the adjoint of the differential operator L : X → X, where
d2 d
L= 2
+
ds ds

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

250 CHAPTER 7. LINEAR ANALYSIS

and X is the subspace of L2 [0, 1] with x(0) = x(1) = 0 if x ∈ X.

Using integration by parts on the inner product
Z 1
<Lx, y> = (x′′ (s) + x′ (s)) y(s) ds
0
Z 1 Z 1
= x′′ (s)y(s) ds + x′ (s)y(s) ds
0 0
 
 Z 1  Z 1
′ ′
= x (1)y(1) − x (0)y(0) − x′ (s)y ′ (s) ds + x(1) y(1) − x(0) y(0) − x(s)y ′ (s) ds
0 |{z} |{z} 0
=0 =0
Z 1 Z 1
= x′ (1)y(1) − x′ (0)y(0) − x′ (s)y ′ (s) ds − x(s)y ′ (s) ds
0 0
 
Z 1 Z 1
= x′ (1)y(1) − x′ (0)y(0) − x(1) y ′ (1) − x(0) y ′ (0) − x(s)y ′′ (s)ds − x(s)y ′ (s)ds
|{z} |{z} 0 0
=0 =0
Z 1 Z 1
= x′ (1)y(1) − x′ (0)y(0) + x(s)y ′′ (s) ds − x(s)y ′ (s) ds
0 0
Z 1
= x′ (1)y(1) − x′ (0)y(0) + x(s) (y ′′ (s) − y ′ (s)) ds
0

This maintains the form of an inner product in L2 [0, 1] if we require y(0) = y(1) = 0; doing this, we get
Z 1
<Lx, y> = x(s) (y ′′ (s) − y ′ (s)) ds = <x, L∗ y>
0

We see by inspection that the adjoint operator is

d2 d
2
− L∗ =
ds ds
Since the adjoint operator is not equal to the operator itself, the operator is not self-adjoint.

Example 7.31
d2
Find the adjoint of the differential operator L : X → X, where L = ds2 , and X is the subspace of
L2 [0, 1] with x(0) = x(1) = 0 if x ∈ X.
Using integration by parts on the inner product
Z 1
<Lx, y> = x′′ (s)y(s) ds
0
Z 1
′ ′
= x (1)y(1) − x (0)y(0) − x′ (s)y ′ (s) ds
0
 
Z 1
= x′ (1)y(1) − x′ (0)y(0) − x(1) y ′ (1) − x(0) y ′ (0) − x(s)y ′′ (s) ds
|{z} |{z} 0
=0 =0
Z 1
= x′ (1)y(1) − x′ (0)y(0) + x(s)y ′′ (s) ds
0

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.4. OPERATORS 251

If we require y(0) = y(1) = 0, then

Z 1
<Lx, y> = x(s)y ′′ (s) dt = <x, L∗ y>
0
In this case, we see that L = L∗ , so the operator is self-adjoint.

Example 7.32
Find the adjoint of the integral operator L : L2 [a, b] → L2 [a, b], where
Z b
Lx = K(s, t)x(s) ds.
a
The inner product
Z Z !
b b
<Lx, y> = K(s, t)x(s) ds y(t) dt
a a
Z b Z b
= K(s, t)x(s)y(t) ds dt
a a
Z b Z b
= x(s)K(s, t)y(t) dt ds
a a
Z Z !
b b
= x(s) K(s, t)y(t) dt ds
a a

= <x, L∗ y>
where Z b
∗
L y= K(s, t)y(t) dt
a
or equivalently
Z b
L∗ y = K(t, s)y(s) ds
a
Note in the definition of Lx, the second argument of K is a free variable, while in the consequent
definition of L∗ y, the first argument of K is a free argument. So in general, the operator and its adjoint
are different. Note however, that
if K(s, t) = K(t, s) then the operator is self-adjoint
That is, a symmetric kernel yields a self-adjoint operator.

Properties:
||T∗|| = ||T|| (7.50)
(T1 + T2 )∗ = T∗1 + T∗2 (7.51)
(αT)∗ = αT∗ (7.52)
(T1 T2 )∗ = T∗2 T∗1 (7.53)
(T∗ )∗ = T (7.54)
(T−1 )∗ = (T∗ )−1 if T−1 exists (7.55)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

252 CHAPTER 7. LINEAR ANALYSIS

7.4.3 Inverse operators

Let
Tx = y
If an inverse of T exists, which we will call T−1 , then

x = T−1 y

Substituting for x in favor of y, we get

TT−1 y = y

so that
TT−1 = I
Properties:

(Ta Tb )−1 = T−1 −1

b Ta (7.56)

Let’s show this. Say

y = Ta Tb x. (7.57)
Then

T−1
a y = Tb x, (7.58)
−1 −1
Tb Ta y = x. (7.59)

Consequently, we see that

(Ta Tb )−1 = T−1 −1
b Ta . (7.60)

Example 7.33
Let L be the operator defined by
 
d2 2
Lx = + k x(t) = f (t)
dt2

where x belongs to the subspace of L2 [0, π] with x(0) = a and x(π) = b. Show that the inverse operator
L−1 is given by
Z π
−1 ∂g ∂g
x(t) = L f (t) = b (π, t) − a (0, t) + g(τ, t)f (τ ) dτ
∂τ ∂τ 0

where g(τ, t) is the Green’s function.

From the definition of L and L−1 above
Z π  
−1 ∂g ∂g d2 x(τ ) 2
L (Lx) = b (π, t) − a (0, t) + g(τ, t) + k x(τ ) dτ
∂τ ∂τ 0 dτ 2
| {z }
=f (τ )

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.4. OPERATORS 253

Using integration by parts and the property that g(0, t) = g(π, t) = 0, the integral in the right can be
simplified as Z π  2 
∂g ∂g ∂ g 2
− x(π) (π, t) + x(0) (0, t) + x(τ ) + k g dτ
|{z} ∂τ |{z} ∂τ 0 ∂τ 2
=b =a | {z }
=δ(t−τ )

Since x(0) = a, x(π) = b and

∂2g
+ k 2 g = δ(t − τ )
∂τ 2
we have
Z π
−1
L (Lx) = x(τ )δ(t − τ ) dτ
0
= x(t)

Thus, L−1 L = I, proving the proposition. Note, it is easily shown for this problem that the Green’s
function is
sin(k(π − τ )) sin(kt)
g(τ, t) = − t<τ
k sin(kπ)
sin(kτ ) sin(k(π − t))
= − τ <t
k sin(kπ)

so that we can write x(t) explicitly in terms of the forcing function f (t) including the inhomogeneous
boundary conditions as follows:

b sin(kt) a sin(k(π − t))

x(t) = +
sin(kπ) sin(kπ)
Z Z π
sin(k(π − t)) t sin(kt)
− f (τ ) sin(kτ ) dτ − f (τ ) sin(k(π − τ )) dτ
k sin(kπ) 0 k sin(kπ) t

For linear algebraic systems, the reciprocal or dual basis can be easily formulated in
terms of operator notation and is closely related to the inverse operator. If we define U
to be a n × n matrix which has the n basis vectors ui, each of length n, which span the
n-dimensional space, we seek UR , the n × n matrix which has as its columns the vectors
uR
j which form the reciprocal or dual basis. The reciprocal basis is found by enforcing the
equivalent of <ui , uR
j > = δij :
T
U · UR = I. (7.61)
Solving for UR ,
T
U · UR = I, (7.62)
R
UT · U = I, (7.63)
 
R T
T
U ·U = IT , (7.64)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

254 CHAPTER 7. LINEAR ANALYSIS

RT
U · U = I, (7.65)
RT
U · U · U−1 = I · U−1 , (7.66)
RT
U = U−1 , (7.67)
T
UR = U−1 , (7.68)
we see that the set of reciprocal basis vectors is given by the conjugate transpose of the inverse
of the original matrix of basis vectors. Then the expression for the amplitudes modulating
the basis vectors, αi = <uR i , x>, is
T
α = UR · x. (7.69)
Substituting for UR in terms of its definition, we can also say
T
T
· x = U−1 · x.
α = U−1 (7.70)
Pn Pn R
Then the expansion for the vector x = j=1 αj uj = j=1 <uj , x>uj is written in the
alternate notation as
x = U · α = U · U−1 · x = x. (7.71)

Example 7.34  
2
Consider the problem of a previous example with x ∈ R2 and with basis vectors u1 = and
  0
1
u2 = , find the reciprocal basis vectors and an expansion of x in terms of the basis vectors.
3
Using the alternate vector and matrix notation, we define the matrix of basis vectors as
 
2 1
U= .
0 3
Since this matrix is real, the complex conjugation process is not important, but it will be retained for
completeness. Using standard techniques, we find that the inverse is
1 
− 16
U−1 = 2 1 .
0 3
Thus the matrix with the reciprocal basis vectors in its columns is
 1 
R −1
T
2 0
U =U = .
− 61 13
This agrees with the earlier analysis. For x = (3, 5)T , we find the coefficients α to be
1    2
R
T
2 − 61 3
α=U ·x= 1 · = 35 .
0 3 5 3
We see that we do indeed recover x upon taking the product
  2      
2 1 2 2 5 1 3
x=U·α= · 35 = + = .
0 3 3 3 0 3 3 5

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.4. OPERATORS 255

7.4.4 Eigenvalues and eigenvectors

If T is a linear operator, its eigenvalue problem consists of a nontrivial solution of the
equation
Te = λe (7.72)
where e is called an eigenvector, and λ an eigenvalue.
Theorem
The eigenvalues of an operator and its adjoint are complex conjugates of each other.
Proof: Let λ and λ∗ be the eigenvalues of T and T∗ , respectively, and let e and e∗ be the
corresponding eigenvectors. Consider then,

<Te, e∗ > = <e, T∗ e∗ >

<λe, e∗ > = <e, λ∗ e∗ >
λ<e, e∗ > = λ∗ <e, e∗ >
λ = λ∗

This holds for <e, e∗ > 6= 0, which will hold in general.

Theorem
The eigenvalues of a self-adjoint operator are real.
Proof:
Since the operator is self-adjoint, we have

<Te, e> = <e, Te>

<λe, e> = <e, λe>
λ<e, e> = λ<e, e>
λ = λ
λR − iλI = λR + iλI ; λ R , λ I ∈ R2
λR = λR
−λI = λI
λI = 0

Here we note that for non-trivial eigenvectors <e, e> > 0, so the division can be performed.
The only way a complex number can equal its conjugate is if its imaginary part is zero;
consequently, the eigenvalue must be strictly real.
Theorem
The eigenvectors of a self-adjoint operator corresponding to distinct eigenvalues are or-
thogonal.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

256 CHAPTER 7. LINEAR ANALYSIS

Proof: Let λi and λj be two distinct, λi 6= λj , real, λi , λj ∈ R1 , eigenvalues of the self-adjoint

operator T, and let ei and ej be the corresponding eigenvectors. Then,

<Tei , ej > = <ei , Tej >,

<λi ei , ej > = <ei , λj ej >,
λi <ei , ej > = λj <ei , ej >,
<ei , ej > (λi − λj ) = 0,
<ei , ej > = 0,

since λi 6= λj .
Theorem
The eigenvectors of any self-adjoint operator on vectors of a finite-dimensional vector
space constitute a basis for the space.
As discussed by Friedman, the following conditions are sufficient for the eigenvectors in
a infinite-dimensional Hilbert space to be form a complete basis:

• the operator must be self-adjoint,

• the operator is defined on a finite domain, and

• the operator has no singularities in its domain.

If the operator is not self-adjoint, Friedman (p. 204) discusses how the eigenfunctions of
the adjoint operator can be used to obtain the coefficients αk on the eigenfunctions of the
operator.

Example 7.35
For x ∈ R2 , A : R2 → R2 , Find the eigenvalues and eigenvectors of
 
2 1
A=
1 2

The eigenvalue problem is

Ax = λx.
which can be written as
Ax = λIx
(A − λI)x = 0
where the identity matrix is  
1 0
I=
0 1
If we write  
x1
x=
x2

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.4. OPERATORS 257

then     
2−λ 1 x1 0
= (a)
1 2−λ x2 0
By Cramer’s rule we could say
 
0 1
det
0 2−λ 0
x1 =  =  ,
2−λ 1 2−λ 1
det det
1 2−λ 1 2−λ
 
2−λ 0
det
1 0 0
x2 =  =  .
2−λ 1 2−λ 1
det det
1 2−λ 1 2−λ
An obvious, but uninteresting solution is the trivial solution x1 = 0, x2 = 0. Nontrivial solutions of x1
and x2 can be obtained only if  
 2−λ 1 
 =0
 1 2−λ 
which gives the characteristic equation

(2 − λ)2 − 1 = 0

Solutions are λ1 = 1 and λ2 = 3. The eigenvector corresponding to each eigenvalue is found in the
following manner. The eigenvalue is substituted in equation (a). A dependent set of equations in x1
and x2 is obtained. The eigenvector solution is thus not unique.
For λ = 1, equation (a) gives
       
2−1 1 x1 1 1 x1 0
= = ,
1 2−1 x2 1 1 x2 0

which are the two identical equations,

x1 + x2 = 0
If we choose x1 = α, then x2 = −α. So the eigenvector corresponding to λ = 1 is
 
1
e1 = α
−1

Since the magnitude of an eigenvector is arbitrary, we will take α = 1 and thus

 
1
e1 = .
−1

For λ = 3, the equations are

       
2−3 1 x1 −1 1 x1 0
= = ,
1 2−3 x2 1 −1 x2 0

which yield the two identical equations,

−x1 + x2 = 0

This yields an eigenvector of

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

258 CHAPTER 7. LINEAR ANALYSIS

 
1
e2 = β
1
We take β = 1, so that  
1
e2 = .
1
Comments:
1. Since the matrix is symmetric (thus self-adjoint), the eigenvalues are real, and the eigenvectors are
orthogonal.
2. We have actually solved for the right eigenvectors.
This is the usual set of eigenvectors. The left eigenvectors can be found from xT A = xT Iλ. Since here
A is equal to its conjugate transpose, xT A = Ax, so the left eigenvectors are the same as the right
eigenvectors. More generally, we can say the left eigenvectors of an operator are the right eigenvectors
T
of the adjoint of that operator, A .
3. Multiplication of an eigenvector by any scalar is also an eigenvector.
4. The normalized eigenvectors are
! !
√1 √1
2 2
e1 = , e2 =
− √12 √1
2

5. A natural way to express a vector is on orthonormal basis as given below

! ! ! 
√1 √1 √1 √1
2 2 2 2 c1
x = c1 + c2 = .
− √1 2
√1 − √1
2
√1 c2
2 2

Example 7.36
For x ∈ C2 , A : C2 → C2 , find the eigenvalues and eigenvectors of
 
0 −2
A=
2 0

This matrix is anti-symmetric. We find the eigensystem by solving

(A − λI) e = 0.

The characteristic equation which results is

λ2 + 4 = 0,

which has two imaganary roots which are complex conjugates: λ1 = 2i, λ2 = −2i. The corresponding
eigenvectors are    
i −i
e1 = α , e2 = β ,
1 1

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.4. OPERATORS 259

where α and β are arbitrary scalars. Let us take α = β = 1, so

   
i −i
e1 = , e2 = .
1 1

Note that  
T −i
<e1 , e2 > = e1 e2 = ( −i 1 ) = (−1) + 1 = 0,
1
so this is an orthogonal system. We can render it orthonormal by scaling by the magnitude of each
eigenvector. The orthonormal eigenvector set is
! !
√i − √i2
2
e1 = 1 , e2 = 1 .
√ √
2 2

One should be able to prove that the eigenvectors of an arbitrary anti-symmetric matrix are orthogonal.

Example 7.37
For x ∈ C2 , A : C2 → C2 , find the eigenvalues and eigenvectors of
 
1 −1
A=
0 1

This matrix is asymmetric. We find the eigensystem by solving

(A − λI) e = 0.

The characteristic equation which results is

(1 − λ)2 = 0

which has repeated roots λ = 1, λ = 1. For this eigenvalue, the components of the eigenvector satisfy
the equation
x2 = 0
Thus only one ordinary eigenvector  
1
e1 = α
0
can be found. We take arbitrarily α = 1 so that
 
1
e1 = .
0

We can however find a generalized eigenvector g1 such that

(A − λI)g1 = e1 .

Note then that

(A − λI)(A − λI)g1 = (A − λI)e1 ,

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

260 CHAPTER 7. LINEAR ANALYSIS

(A − λI)2 g1 = 0.
Now  
0 −1
(A − λI) =
0 0
So with g1 = (β, γ)T , take     
0 −1 β 1
= |{z}
1 .
0 0 γ 0
| {z } | {z } =λ | {z }
=A−λI =g1 =e1
1
We get a solution if β ∈ R , γ = −1. That is
 
β
g1 = .
−1

Take β = 0 to give an orthogonal generalized eigenvector. So

 
0
g1 = .
−1

Note that the ordinary eigenvector and the generalized eigenvector combine to form a basis, in this case
an orthonormal basis.

Example 7.38
For x ∈ C2 , A : C2 → C2 , find the eigenvalues, right eigenvectors, and left eigenvectors if
 
1 2
A= .
−3 1

The right eigenvector problem is the usual

AeR = λIeR .

The characteristic polynomial is

(1 − λ)2 + 6 = 0,
which has complex roots. The eigensystem is
q ! q !
√ 2 √ − 2
λ1 = 1 − 6i, e1R = 3i ; λ2 = 1 + 6i, e2R = 3i .
1 1

Note as the operator is not self-adjoint, we are not guaranteed real eigenvalues. The right eigenvectors
are not orthogonal as e1R T e2R = 31 .
For the left eigenvectors, we have
eTL A = eTL Iλ.
We can put this in a slightly more standard form by taking the conjugate transpose of both sides:
T T
eTL A = eTL Iλ .
T
A eL = IλeL .

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.4. OPERATORS 261

T
A eL = IλeL .
A∗ eL = Iλ∗ eL .
So the left eigenvectors of A are the right eigenvectors of the adjoint of A. Now we have
 
T 1 −3
A = .
2 1

The resulting eigensystem is

q ! q !
√ 3 √ − 3
λ∗1 =1+ 6i, e1L = 2i . λ∗2 = 1 − 6i, e2L = 2i ;
1 1

Note that in addition to being complex conjugates of themselves, which does not hold for general
complex matrices, the eigenvalues of the adjoint are complex conjugates of those of the original matrix,
which does hold for general complex matrices. That is λ∗ = λ. The left eigenvectors are not orthogonal
as e1L T e2L = − 21 . It is easily shown by taking the conjugate transpose of the adjoint eigenvalue problem
however that
eTL A = eTL λ,
as desired. Note that the eigenvalues for both the left and right eigensystems are the same.

Example 7.39
Consider a small change from the previous example. For x ∈ C2 , A : C2 → C2 , find the eigenvalues,
right eigenvectors, and left eigenvectors if
 
1 2
A= .
−3 1 + i

The right eigenvector problem is the usual

AeR = λeR .

The characteristic polynomial is

λ2 − (2 + i)λ + (7 + i) = 0,

which has complex roots. The eigensystem is

   
i −2i
λ1 = 1 − 2i, e1R = ; λ2 = 1 + 3i, e2R = .
1 3

Note as the operator is not self-adjoint, we are not guaranteed real eigenvalues. The right eigenvectors
are not orthogonal as e1R T e2R = 1 6= 0
For the left eigenvectors, we solve the corresponding right eigensystem for the adjoint of A which
T
is A∗ = A .  
T 1 −3
A = .
2 1−i

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

262 CHAPTER 7. LINEAR ANALYSIS

T
The eigenvalue problem is A eL = λ∗ eL . The eigensystem is
   
∗ 3i ∗ −i
λ1 = 1 + 2i, e1L = ; λ2 = 1 − 3i, e2L = .
2 1

Note that here, the eigenvalues λ∗1 , λ∗2 have no relation to each other, but they are complex conjugates
of the eigenvalues, λ1 , λ2 , of the right eigenvalue problem of the original matrix. The left eigenvectors
are not orthogonal as e1L T e2L = −1. It is easily shown however that

eTL A = eTL λ,

as desired.

Example 7.40
For x ∈ R3 , A : R3 → R3 , find the eigenvalues and eigenvectors of
 
2 0 0
A= 0 1 1 
0 1 1

From  
 2−λ 0 0 
 
 0
 1 − λ 1 =0

 0 1 1−λ 
the characteristic equation is

(2 − λ) (1 − λ)2 − 1 = 0
The solutions are λ = 0, 2, 2. The second eigenvalue is of multiplicity two. Next we find the eigenvectors
 
x1
e =  x2 
x3

For λ = 0, the equations for the components of the eigenvectors are

    
2 0 0 x1 0
 0 1 1   x2  =  0 
0 1 1 x3 0
2x1 = 0
x2 + x3 = 0

from which  
0
e1 = α  1 
−1
For λ = 2, we have     
0 0 0 x1 0
 0 −1 1   x2  =  0 
0 1 −1 x3 0

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.4. OPERATORS 263

This yields only

−x2 + x3 = 0,
We then see that the following eigenvector,
 
β
e = γ ,
γ

satisfies the equation. Here, we have two free parameters, β and γ; we can thus extract two independent
eigenvectors from this. For e2 we arbitrarily take β = 0 and γ = 1 to get
 
0
e2 =  1  .
1

For e3 we arbitrarily take β = 1 and γ = 0 to get

 
1
e3 =  0 
0

In this case e1 , e2 , e3 are orthogonal even though e2 and e3 correspond to the same eigenvalue.

Example 7.41
For y ∈ L2 [0, 1], find the eigenvalues and eigenvectors of L = −d2 /dt2 , operating on functions which
vanish at 0 and 1.
The eigenvalue problem is

d2 y
Ly = − = λy with y(0) = y(1) = 0
dt2
or
d2 y
+ λy = 0 with y(0) = y(1) = 0
dt2
The solution of this differential equation is

y(t) = a sin λ1/2 t + b cos λ1/2 t

The boundary condition y(0) = 0 gives b = 0. The other condition y(1) = 0 gives a sin λ1/2 = 0. A
nontrivial solution can only be obtained if

sin λ1/2 = 0

There are an infinite but countable number of values of λ for which this can be satisfied. These are
λn = n2 π 2 , n = 1, 2, · · ·. The eigenvectors (also called eigenfunctions in this case) yn (t), n = 1, 2, · · ·
are
yn (t) = sin nπt
The differential operator is self-adjoint so that the eigenvalues are real and the eigenfunctions are
orthogonal.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

264 CHAPTER 7. LINEAR ANALYSIS

Example 7.42
For x ∈ L2 [0, 1], and L = d2 /ds2 + d/ds with x(0) = x(1) = 0, find the Fourier expansion of an
arbitrary function f (s) in terms of the eigenfunctions of L. Find the series representation of the “top
hat” function    
1 3
f (s) = H s − −H s− .
4 4
We seek expressions for αn in
N
X
f (s) = αn xn (s).
n=1

Here xn (s) is an eigenfunction of L.

The eigenvalue problem is

d2 x dx
Lx = + = λx; x(0) = x(1) = 0.
ds2 ds
It is easily shown that the eigenvalues of L are given by
1
λn = − − n2 π 2 , n = 1, 2, 3, . . .
4
where n is a positive integer, and the unnormalized eigenfunctions of L are

xn (s) = e−s/2 sin (nπs) , n = 1, 2, 3, . . .

Although the eigenvalues are real, the eigenfunctions are not orthogonal. We see this, for example,
by forming <x1 , x2 >:
Z 1
<x1 , x2 > = e−s/2 sin (πs) e−s/2 sin (2πs) ds,
0 | {z }| {z }
=x1 (s) =x2 (s)

4(1 + e)π 2
<x1 , x2 > = 6= 0.
e(1 + π 2 )(1 + 9π 2 )
By using integration by parts, we calculate the adjoint operator to be

d2 y dy
L∗ y = − = λ∗ y; y(0) = y(1) = 0.
ds2 ds
We then find the eigenvalues of the adjoint operator to be the same as those of the operator (this is
true because the eigenvalues are real; in general they are complex conjugates of one another).

1
λ∗m = λm = − − m2 π 2 , m = 1, 2, 3, . . .
4
where m is a positive integer.
The unnormalized eigenfunctions of the adjoint are

ym (s) = es/2 sin (mπs) , m = 1, 2, 3, . . .

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.4. OPERATORS 265

Now, since by definition <ym , Lxn > = <L∗ ym , xn >, we have

<ym , Lxn > − <L∗ ym , xn > = 0,

<ym , λn xn > − <λ∗m ym , xn > = 0,
λn <ym , xn > − λ∗m <ym , xn > = 0,
(λn − λm )<ym , xn > = 0.

So, for m = n, we get <yn , xn > 6= 0, and for m 6= n, we get <ym , xn > = 0. Then, we must have the
so-called bi-orthogonality condition

<ym , xn > = Dmn ,

Dmn = 0 if m 6= n.
Here Dmn diagonal matrix which can be reduced to the identity matrix with proper normalization.
Now consider the following series of operations on the original form of the expansion we seek
N
X
f (s) = αn xn (s),
n=1
N
X
<yj (s), f (s)> = <yj (s), αn xn (s)>,
n=1
<yj (s), f (s)> = αj <yj (s), xj (s)>,
<yj (s), f (s)>
αj = ,
<yj (s), xj (s)>
<yn (s), f (s)>
αn = , n = 1, 2, 3, . . .
<yn (s), xn (s)>
Now in the case at hand, it is easily shown that
1
<yn (s), xn (s)> = , n = 1, 2, 3, . . . ,
2
so we have
αn = 2<yn (s), f (s)>.
The N -term approximate representation of f (s) is thus given by

XN  Z 1 
f (s) ∼ 2 t/2
e sin (nπt) f (t) dt e−s/2 sin (nπs),
n=1 | 0 | {z }
{z } =xn (s)
=αn
Z 1 N
X
∼ 2 e(t−s)/2 f (t) sin(nπt) sin(nπs) dt,
0 n=1
Z 1 N
X
∼ e(t−s)/2 f (t) (cos(nπ(s − t)) − cos(nπ(s + t))) dt.
0 n=1

For the top hat function, a two-term expansion yields

√

2 2e1/8 −1 + 2π + e1/4 (1 + 2π) −s/2 4(e1/8 + e3/8 ) −s/2
f (s) ∼ e sin(πs) − e sin(2πs) + . . .
1 + 4π 2 | {z } 1 + 16π 2 | {z }
| {z } =x (s)
| {z } =x (s)
1 2
=α1 =α2

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

266 CHAPTER 7. LINEAR ANALYSIS

1
0.8
0.6
0.4
0.2
s
0.2 0.4 0.6 0.8 1

Figure 7.11: Twenty term Fourier series approximation to a top hat function in terms of a
non-orthogonal basis.

A plot of a twenty-term series expansion of the top hat function is shown in Figure 7.11
In this exercise, the eigenfunctions of the adjoint are actually the reciprocal basis functions. We
see that getting the Fourier coefficients for eigenfunctions of a non-self-adjoint operator requires con-
sideration of the adjoint operator. We also note that it is often a difficult exercise in problems with
practical significance to actually find the adjoint operator and its eigenfunctions.

7.5 Equations
The existence and uniqueness of the solution x of the equation

Lx = y

for given linear operator L and y is governed by the following theorems.

Theorem
If the range of L is closed, Lx = y has a solution if and only if y is orthogonal to every
solution of the adjoint homogeneous equation L∗ z = 0.
Theorem
The solution of Lx = y is non-unique if the solution of the homogeneous equation Lx = 0
is also non-unique, and conversely.
There are two basic ways in which the equation can be solved.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.5. EQUATIONS 267

1. Inverse: If an inverse of L exists then

x = L−1 y (7.73)

2. Eigenvector expansion: Assume that x, y belong to a vector space S and the eigenvec-
tors (e1 , e2 , · · ·) of L span S. Then we can write
X
y = αn en (7.74)
n
X
x = βn en (7.75)
n

where the α’s are known and the β’s are unknown. We get

Lx = y (7.76)
!
X X
L βn en = αn en (7.77)
n n
X X
Lβn en = αn en (7.78)
n n
X X
βn Len = αn en (7.79)
n n
X X
βn λn en = αn en (7.80)
n n
X
(βn λn − αn )en = 0 (7.81)
n

where the λs are the eigenvalues of L. Since the en are linearly independent, we must
demand for all n that
βn λn = αn (7.82)
If all λn 6= 0, then βn = αn /λn and we have the unique solution
X αn
x= en
n
λ n

If, however, one of the λs, λk say, is zero, we still have βn = αn /λn for n 6= k. For
n = k, there are two possibilities:
(a) If αk 6= 0, no solution is possible since equation (7.82) is not satisfied for n = k.
(b) If αk = 0, we have the non-unique solution
X αn
x= en + γek
λn
n6=k

where γ is an arbitrary scalar. Equation (7.82) is satisfied ∀n.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

268 CHAPTER 7. LINEAR ANALYSIS

Example 7.43
Solve for x in Lx = y if L = d2 /dt2 , with side conditions x(0) = x(1) = 0, and y(t) = 2t, via an
eigenfunction expansion.
This problem of course has an exact solution via straightforward integration:

d2 x
= 2t; x(0) = x(1) = 0,
dt2
integrates to yield
t 2
x(t) = (t − 1).
3
However, let’s use the series expansion technique. This can be more useful in other problems in
which exact solutions do not exist. First, find the eigenvalues and eigenfunctions of the operator:

d2 x
= λx; x(0) = x(1) = 0.
dt2
This has general solution
√  √ 
x(t) = A sin −λt + B cos −λt .

To satisfy the boundary conditions, we require that B = 0 and λ = −n2 π 2 , so

x(t) = A sin (nπt) .

This suggests that we expand y(t) = 2t in a Fourier sine series. We know from an earlier problem that
the Fourier sine series for y(t) = 2t is
∞
X 4(−1)n+1
2t = sin(nπt).
n=1
(nπ)

For x(t) then we have

∞ ∞
X αn en X 4(−1)n+1
x(t) = = sin(nπt).
n=1
λn n=1
(nπ)λn

Substituting in for λn = −n2 π 2 , we get

∞
X 4(−1)n+1
x(t) = sin(nπt).
n=1
(−nπ)3

Retaining only two terms in the expansion for x(t),

4 1
x(t) ∼ − sin(πt) + 3 sin(2πt),
π3 2π
gives a very good approximation for the solution, which as shown in Figure 7.12, has a peak error of
about 0.008.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.5. EQUATIONS 269

x
t error
0.2 0.4 0.6 0.8 1
0.004
-0.02

-0.04 0.002
t
-0.06 0.2 0.4 0.6 0.8 1

-0.08 -0.002

-0.1 -0.004

-0.12 -0.006

-0.008

Figure 7.12: Approximate and exact solution x(t); Error in solution xa (t) − x(t)

Example 7.44
Solve Ax = y using the eigenvector expansion technique when
   
2 1 3
A= , y= .
1 2 4

We already know from an earlier example that for A

 
1
λ1 = 1, e1 = ,
−1
 
1
λ2 = 3, e2 = ,
1
We want to express y as
y = c1 e 1 + c2 e 2 .
Since the eigenvectors are orthogonal, we have
<e1 , y> 3−4 1
c1 = = =− ,
<e1 , e1 > 1+1 2
<e2 , y> 3+4 7
c2 = = = ,
<e2 , e2 > 1+1 2
so
1 7
y = − e1 + e2 .
2 2
Then
1 1 7 1
x = − e1 + e2 , (7.83)
2 λ1 2 λ2
11 71
x = − e1 + e2 , (7.84)
2 1  23  
11 1 71 1
x = − + , (7.85)
2 1 −1 23 1
 
2/3
x = . (7.86)
5/3

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

270 CHAPTER 7. LINEAR ANALYSIS

Example 7.45
Solve Ax = y using the eigenvector expansion technique when
     
2 1 3 3
A= , y= , y= .
4 2 4 6

We first note that the two column space vectors,

   
2 1
,
4 2

are linearly dependent. They span R1 , but not R2 .

It is easily shown that for A
 
1
λ1 = 4, e1 = ,
2
 
−1
λ2 = 0, e2 = ,
2
 
3
First consider y = . We want to express y as
4

y = c1 e 1 + c2 e 2 .

For this non-symmetric matrix, the eigenvectors are linearly independent, so they form a basis. However
they are not orthogonal, so there is not a direct way to compute c1 and c2 . Matrix inversion shows
that c1 = 52 and c2 = − 21 , so
5 1
y = e1 − e2 .
2 2
Since the eigenvectors form a basis, y can be represented with an eigenvector expansion. However no
  λ2 = 0 and c2 6= 0, hence the coefficient β2 = c2 /λ2 does not exist.
solution for x exists because
3
However, for y = , we can say that
6

y = 3e1 + 0e2 .

We note that (3, 6)T is a scalar multiple of the so-called column space vector of A, (2, 4)T . Consequently,
c1 c2
x = e1 + e2 ,
λ1 λ2
c1 0
= e1 + e2 ,
λ1 0
3
= e1 + γe2 ,
4   
3 1 −1
= +γ ,
4 2 2
 
3/4 − γ
= ,
3/2 + 2γ

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.6. METHOD OF WEIGHTED RESIDUALS 271

where γ is an arbitrary constant. Note that the vector e2 = (−1, 2)T lies in the null space of A since
  
2 1 −1
Ae2 =
4 2 2
 
0
=
0

Since e2 lies in the null space, any scalar multiple of e2 , say γe2 , also lies in the null space. We can
conclude that for arbitrary y, the inverse does not exist. For vectors y which lie in the column space of
A, the inverse exists, but it is not unique; arbitrary vectors from the null space of A are admitted as
part of the solution.

7.6 Method of weighted residuals

The method of weighted residuals is a quite general technique to solve equations. Two
important methods which have widespread use in the engineering world, spectral methods
and the even more pervasive finite element method, are special types of weighted residual
methods.
Consider the differential equation

Ly = f (t), t ∈ [a, b], (7.87)

with certain boundary conditions. Here, L is a differential operator that is not necessarily
linear. We will work with functions and inner products in L2 [a, b] space.
Approximate y(t) by
n
X
y(t) ≈ ya (t) = cj φj (t) (7.88)
j=1

where φj (t), (j = 1, · · · , n) are linearly independent functions (called trial functions) which
satisfy the boundary conditions. Forcing the trial functions to satisfy the boundary condi-
tions, in addition to having æsthetic appeal, makes it much more likely that if convergence
is obtained, the convergence will be to a solution which satisfies the differential equation
and boundary conditions. The trial functions can be orthogonal or non-orthogonal.17 The
constants cj , (j = 1, · · · , n) are to be determined. Substituting into the equation, we get a
residual error
e(t) = Lya (t) − f (t) (7.89)
This error will almost always be non-zero for t ∈ [a, b]. We can, however, choose cj such
that an error, averaged over the domain, is zero. To achieve this, we select now a set of
17
It is occasionally advantageous, especially in the context of what is known as wavelet-based methods, to
add extra functions which are linearly dependent into the set of trial functions. Such a basis is known as a
frame. We will not consider these here; some background is give by Daubechies.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

272 CHAPTER 7. LINEAR ANALYSIS

linearly independent weighting functions ψi (t), (i = 1, · · · , n) and make them orthogonal to

the residual error. Thus

<ψi (t), e(t)> = 0, i = 1, · · · , n (7.90)

These are n equations for the constants cj .

There are several special ways in which the weight functions can be selected.

1. Galerkin18 : ψi (t) = φi (t).

2. Collocation: ψi (t) = δ(t − ti ). Thus e(ti ) = 0.

3. Subdomain ψi (t) = 1 for ti−1 ≤ t < ti and zero everywhere else. Note that these
functions are orthogonal to each other. Also this method is easliy shown to reduce to
the well known finite volume method.

4. Least squares: Minimize ||e(t)||. This gives

Z b
∂||e||2 ∂
= e2 dt
∂cj ∂cj a
Z b
∂e
= 2 e dt
a ∂cj
|{z}
=ψj (t)

∂e
So this method corresponds to ψj = ∂cj
.

5. Moments: ψi (t) = ti , i = 0, 1, · · ·.

If the trial functions are orthogonal and the method is Galerkin, we will, following
Fletcher, who builds on the work of Finlayson, define the method to be a spectral method.
Other less restrictive definitions are in common usage in the present literature, and there is
no single consensus on what precisely constitutes a spectral method.19
18
Boris Gigorievich Galerkin, 1871-1945, Belarussian-born Russian-based engineer and mathematician, a
participant, witness, and victim of much political turbulence, did much of his early great work in the Czar’s
prisons, developed a finite element method in 1915, professor of structural mechanics at St. Petersburg (then
Leningrad).
19
An important school in spectral methods, exemplified in the work of Gottlieb and Orszag, Canuto,
et al., and Fornberg, uses a looser nomenclature, which is not always precisely defined. In these works,
spectral methods are distinguished from finite difference methods and finite element methods in that spectral
methods employ basis functions which have global rather than local support; that is spectral methods’ basis
functions have non-zero values throughout the entire domain. While orthogonality of the basis functions
within a Galerkin framework is often employed, it is not demanded that this be the distinguishing feature
by those authors. Within this school, less emphasis is placed on the framework of the method of weighted
residuals, and the spectral method is divided into subclasses known as Galerkin, tau, and collocation. The
collocation method this school defines is identical to that defined here, and is also called by this school the

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.6. METHOD OF WEIGHTED RESIDUALS 273

Example 7.46
For x ∈ L2 [0, 1], find a one-term approximate solution of the equation

d2 x
+x=t−1
dt2
with x(0) = −1, x(1) = 1.
It is easy to show that the exact solution is

x(t) = −1 + t + csc(1) sin(t).

Here we will see how well the method of weighted residuals can approximate this known solution. The
real value of the method is for problems in which exact solutions are not known.
Let y = x − (2t − 1), so that y(0) = y(1) = 0. The transformed differential equation is

d2 y
+ y = −t
dt2
Let us consider a one-term approximation y ≈ ya (t) = cφ(t). There are many choices of basis functions
φ(t). Let’s try finite dimensional non-trivial polynomials which match the boundary conditions. If we
choose φ(t) = a, a constant, we must take a = 0 to satisfy the boundary conditions, so this does not
work. If we choose φ(t) = a + bt, we must take a = 0, b = 0 to satisfy both boundary conditions, so
this also does not work. We can find a quadratic polynomial which is non-trivial and satisfies both
boundary conditions: φ(t) = t(1 − t). Then

ya (t) = ct(1 − t).

We have to determine c. Substituting into the equation, the residual error is found to be

d2 ya
e(t) = Lya − f (t) = + ya − f (t),
dt2
e(t) = −2c + ct(1 − t) − (−t) = t − c(t2 − t + 2).
Then, we choose c such that
Z 1

<ψ(t), e(t)> = <ψ(t), t − c(t2 − t + 2)> = ψ(t) t − c(t2 − t + 2) dt = 0.
0 | {z }
=e(t)

The form of the weighting function ψ is dictated by the particular method we choose:

“pseudospectral” method. In nearly all understandings of the word “spectral,” a convergence rate which is
more rapid than those exhibited by finite difference or finite element methods exists. In fact the accuracy of
a spectral method should grow exponentially with the number of nodes for a spectral method, as opposed
to that for a finite difference or finite element, whose accuracy grows only with the number of nodes raised
to some power.
Another concern which arises with methods of this type is how many terms are necessary to properly
model the desired frequency level. For example, take our equation to be d2 u/dt2 = 1 + u2 ; u(0) = u(π) = 0,
P
and take u = N 2 2
n=1 an sin(nt). If N = 1, we get e(t) = −a1 sin t − 1 − a1 sin t. Expanding the square of the
sin term, we see the error has higher order frequency content: e(t) = −a1 sin t − 1 − a21 (1/2 − 1/2 cos(2t)).
The result is that if we want to get things right at a given level, we may have to reach outside that level.
How far outside we have to reach will be problem dependent.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

274 CHAPTER 7. LINEAR ANALYSIS

x e=x-xa Error in Galerkin approximation

1 Exact solution and
Galerkin approximation 0.0075

0.005
0.5
0.0025
t t
0.2 0.4 0.6 0.8 1 0.2 0.4 0.6 0.8 1
-0.0025
-0.5 -0.005

-0.0075
-1 x’’+ x = t - 1; x(0) = -1, x(1) = 1

Figure 7.13: One term estimate xa (t) and exact solution x(t); Error in solution xa (t) − x(t).

1 3c
1. Galerkin: ψ(t) = φ(t) = t(1 − t). The inner product gives 12 − 10 = 0, so that for non-trivial solution,
5
c = 18 = 0.277.
ya (t) = 0.277t(1 − t).
xa (t) = 0.277t(1 − t) + 2t − 1.

2. Collocation: Choose ψ(t) = δ(t − 21 ) which gives − 27 c + 1 = 0, from which c = 2

7 = 0.286.

ya (t) = 0.286t(1 − t).

xa (t) = 0.286t(1 − t) + 2t − 1.

3. Subdomain: ψ(t) = 1, from which − 11

6 c+
1
2 = 0, and c = 3
11 = 0.273

ya (t) = 0.273t(1 − t).

xa (t) = 0.273t(1 − t) + 2t − 1.
∂e(t) 11 101 55
4. Least squares: ψ(t) = ∂c = −t2 + t − 2. Thus − 12 + 30 c = 0, from which c = 202 = 0.273.

ya (t) = 0.273t(1 − t).

xa (t) = 0.273t(1 − t) + 2t − 1.

5. Moments: ψ(t) = 1 which, for this case, is the same as the subdomain method above.

ya (t) = 0.273t(1 − t).

xa (t) = 0.273t(1 − t) + 2t − 1.

The approximate solution determined by the Galerkin method is overlaid against the exact solution in
Figure 7.13. Also shown is the error in the approximation. The approximation is surprisingly accurate.

Some simplification can arise through use of integration by parts. This has the result of
admitting basis functions which have less stringent requirements on the continuity of their
derivatives. It is also a commonly used strategy in the finite element technique.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.6. METHOD OF WEIGHTED RESIDUALS 275

Example 7.47
Consider a slight variant of the previous example problem, and employ integration by parts.
d2 y
+ y = f (t), y(0) = 0, y(1) = 0.
dt2
Again, take a one term expansion
ya (t) = cφ(t).
At this point, we will only require φ(t) to satisfy the boundary conditions, and will specify it later. The
error in the approximation is
d2 ya d2 φ
e(t) = + y a − f (t) = c + cφ − f (t).
dt2 dt2
Now set a weighted error to zero. We will also require the weighting function ψ(t) to vanish at the
boundaries. Z 1  2 
d φ
<ψ, e> = ψ(t) c 2 + cφ(t) − f (t) dt = 0.
0 dt
| {z }
=e(t)

Rearranging, we get
Z 1   Z 1
d2 φ
c ψ(t) 2 + ψ(t)φ(t) dt = ψ(t)f (t) dt.
0 dt 0

Now integrate by parts to get

1 Z 1   ! Z 1
dφ  dψ dφ
c ψ(t)  + ψ(t)φ(t) − dt = ψ(t)f (t) dt.
dt 0 0 dt dt 0

Since we have required ψ(0) = ψ(1) = 0, this simplifies to

Z 1  Z 1
dψ dφ
c ψ(t)φ(t) − dt = ψ(t)f (t) dt.
0 dt dt 0

So, the basis function φ only needs an integrable first derivative rather than an integrable second
derivative. As an aside, we note that the term on the left hand side bears resemblance (but differs by
1
a sign) to an inner product in the Sobolov space W2 [0, 1] in which the Sobolov inner product <., .>s
R1 dψ dφ
(an extension of the inner product for Hilbert space) is <ψ(t), φ(t)>s = 0 ψ(t)φ(t) + dt dt dt.
Taking now, as before, φ = t(1 − t) and then choosing a Galerkin method so ψ(t) = φ(t) = t(1 − t),
and f (t) = −t, we get
Z 1 Z 1
2 2 2


c t (1 − t) − (1 − 2t) dt = t(1 − t)(−t) dt,
0 0

which gives  
3 1
c − =− ,
10 12
so
5
c= ,
18
as was found earlier. So
5
ya = t(1 − t),
18
with the Galerkin method.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

276 CHAPTER 7. LINEAR ANALYSIS

Example 7.48
For y ∈ L2 [0, 1], find a two-term spectral approximation (which by our definition of “spectral”
mandates a Galerkin formulation) to the solution of

d2 y √
+ t y = 1; y(0) = 0, y(1) = 0.
dt2
Let’s try polynomial basis functions. At a minimum, these basis functions must satisfy the boundary
conditions. Assumption of the first basis function to be a constant or linear gives rise to a trivial basis
function when the boundary conditions are enforced. The first non-trivial basis function is a quadratic:

φ1 (t) = a0 + a1 t + a2 t2

We need φ1 (0) = 0 and φ1 (1) = 0. The first condition gives a0 = 0; the second gives a1 = −a2 , so we
have φ1 = a1 (t − t2 ). Since the magnitude of a basis function is arbitrary, a1 can be set to unity to give

φ1 (t) = t(1 − t).

Alternatively, we could have chosen the magnitude in such a fashion to guarantee an orthonormal basis
function, but that is a secondary concern for the purposes of this example.
We need a second linearly independent basis function for the two term approximation. We try a
third order polynomial:
φ2 (t) = b0 + b1 t + b2 t2 + b3 t3 .
Enforcing the boundary conditions as before gives b0 = 0 and b1 = −(b2 + b3 ), so

φ2 (t) = −(b2 + b3 )t + b2 t2 + b3 t3 .

To achieve a spectral method (which in general is not necessary to achieve an approximate solution!),
we enforce <φ1 , φ2 > = 0:
Z 1


t(1 − t) −(b2 + b3 )t + b2 t2 + b3 t3 dt = 0
0 | {z } | {z }
=φ1 (t) =φ2 (t)
b2 b3
− − = 0
30 20
3
b2 = − b3
2
Substituting and factoring gives
b3
φ2 (t) = t(1 − t)(2t − 1).
2
Again, because φ2 is a basis function, the lead constant is arbitrary; we take for convenience b3 = 2 to
give
φ2 = t(1 − t)(2t − 1).
Again, b3 could alternatively have been chosen to yield an orthonormal basis function.
Now we want to choose c1 and c2 so that our approximate solution

ya (t) = c1 φ1 (t) + c2 φ2 (t)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.6. METHOD OF WEIGHTED RESIDUALS 277

has a zero weighted error. With  

d2 √
L= + t ,
dt2
we have the error as

e(t) = Lya (t) − f (t) = L (c1 φ1 (t) + c2 φ2 (t)) − 1 = c1 Lφ1 (t) + c2 Lφ2 (t) − 1.

To drive the weighted error to zero, take

<ψ1 , e> = c1 <ψ1 , Lφ1 > + c2 <ψ1 , Lφ2 > − <ψ1 , 1> = 0
<ψ2 , e> = c1 <ψ2 , Lφ1 > + c2 <ψ2 , Lφ2 > − <ψ2 , 1> = 0

This is easily cast in matrix form as a linear system of equations for the unknowns c1 and c2
    
<ψ1 , Lφ1 > <ψ1 , Lφ2 > c1 <ψ1 , 1>
=
<ψ2 , Lφ1 > <ψ2 , Lφ2 > c2 <ψ2 , 1>

We choose the Galerkin method, and thus set ψ1 = φ1 and ψ2 = φ2 , so

    
<φ1 , Lφ1 > <φ1 , Lφ2 > c1 <φ1 , 1>
=
<φ2 , Lφ1 > <φ2 , Lφ2 > c2 <φ2 , 1>

Each of the inner products represents a definite integral which is easily evaluated via computer algebra.
For example,
Z 1   215
<φ1 , Lφ1 > = t(1 − t) −2 + (1 − t)t3/2 dt = − .
0 693
When each inner product is evaluated, the following system results
 215 16
   1 
− 693 9009 c1 6
   =  .
16 197
9009 − 1001 c2 0

Inverting the system, it is found that

760617 3432
c1 = − = −0.537, c2 = − = −0.00485
1415794 707897
Thus the estimate for the solution is

ya (t) = −0.537 t(1 − t) − 0.00485 t(1 − t)(2t − 1)

The two-term approximate solution determined is overlaid against a more accurate solution obtained by
numerical integration of the full equation in Figure 7.14. Also shown is the error in the approximation.
The two term solution is surprisingly accurate.
By normalizing the basis functions, we can find an orthonormal expansion. One finds that
s s
Z 1 Z 1
1
||φ1 ||2 = φ21 dt = t2 (1 − t)2 dt = √
0 0 30
s s
Z 1 Z 1
2 1
||φ2 ||2 = φ2 dt = t2 (1 − t)2 (2t − 1)2 dt = √
0 0 210

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

278 CHAPTER 7. LINEAR ANALYSIS

Numerical (~exact) solution overlaid Difference between numerical (~Exact)

on two-term spectral (Galerkin) approximation and two-term spectral (Galerkin) approximation

0.2 0.4 0.6 0.8 1

t y - y
a
-0.02
0.001
-0.04

-0.06
0.0005
-0.08

-0.1 0.2 0.4 0.6 0.8 1

t
-0.12
-0.0005

Figure 7.14: Two term spectral (Galerkin) estimate ya (t) and highly accurate numerical
solution y(t); Error in approximation ya (t) − y(t).

The approximate solution can then be rewritten as an orthonormal expansion:

760617 √ 3432 √
ya (t) = − √ ( 30t(1 − t)) − √ ( 210t(1 − t)(2t − 1))
1415794 30 707897 210
√ √
ya (t) = −0.981( 30t(1 − t)) − 0.000335( 210t(1 − t)(2t − 1))
Because the trial functions have been normalized, one can directly compare the coefficients’ magnitude.
It is seen that the bulk of the solution is captured by the first term.

Example 7.49
For the equation of the previous example,

d2 y √
+ t y = 1; y(0) = 0; y(1) = 1,
dt2
examine the convergence rates for a collocation method as the number of modes becomes large.
Let us consider a set of trial functions which do not happen to be orthogonal, but are, of course,
linearly independent. Take
φi (t) = ti (t − 1), i = 1, . . . , n.
So we seek to find a vector c = ci , i = 1, . . . , n, such that for a given number of collocation points n the
approximation
yn (t) = c1 φ1 (t) + . . . ci φi (t) + . . . + cn φn (t),
drives a weighted error to zero. Obviously each these trial functions satisfies both boundary conditions,
and they have the advantage of being easy to program for an arbitrary number of modes, as no Gram-
Schmidt orthogonalization process is necessary. The details of the analysis are similar to those of the
previous example, except we perform it many times, varying the number of nodes in each calculation.
For the collocation method, we take the weighting functions to be

ψj (t) = δ(t − tj ), j = 1, . . . , n.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.6. METHOD OF WEIGHTED RESIDUALS 279

||yn - y ||2
N

10 - 3

10 - 4

10 - 5 - 21.9
||yn - y ||2 ~ n
N
-6
10
1 2 3 5 7 10 n
Figure 7.15: Error in solution yn (t) − yN (t) as a function of number of collocation points n.

Here we choose tj = j/(n + 1), j = 1, . . . , n, so that the collocation points are evenly distributed in
t ∈ [0, 1]. We then form the matrix
 
<ψ1 , Lφ1 >, <ψ1 , Lφ2 > ... <ψ1 , Lφn >
 <ψ2 , Lφ1 >, <ψ2 , Lφ2 > ... <ψ2 , Lφn > 
A=
 .. .. .. .. ,

. . . .
<ψn , Lφ1 >, <ψn , Lφ2 > . . . <ψn , Lφn >

and the vector  

<ψ1 , 1>

b= .. 
. ,
<ψn , 1>
and then solve for c in
A · c = b.
We then perform this calculation for n = 1, . . . , N . We consider n = N to give the most exact solution
and calculate an error by finding the norm of the difference of the solution for n < N and that at
n = N: s
Z 1
2
en = ||yn (t) − yN (t)||2 = (yn (t) − yN (t)) dt.
0

A plot of the error en is plotted as a function of n in Figure 7.15. We notice even on a logarithmic plot
that the error reduction is accelerating as the number of nodes n increases. If the slope had relaxed
to a constant, then the convergence would be a power law convergence; which is characteristic of finite
difference and finite element methods. For this example of the method of weighted residuals, we see that
the rate of convergence increases as the number of nodes increases, which is characteristic of exponential
convergence. For exponential convergence, we have en ∼ exp(−αn), where α is some positive constant;
for power law convergence, we have en ∼ n−β where β is some positive constant. At the highest value

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

280 CHAPTER 7. LINEAR ANALYSIS

of n, n = 10, we have a local convergence rate of O(n−21.9 ) which is remarkably fast. In comparison,
a second order finite difference technique will converge at a rate of O(n−2 ). In general and if possible
one would choose a method with the fastest convergence rate, all else being equal.

Problems
1. Use a one-term collocation method with a polynomial basis function to find an approximation for

y ′′′′ + (1 + x)y = 1

with y(0) = y ′ (0) = y ′ (1) = y ′′ (1) = 0.

2. Use two-term spectral, collocation, subdomain, least squares and moments methods to solve the
equation
y ′′′′ + (1 + x)y = 1
with y(0) = y ′ (0) = y(1) = y ′′ (1) = 0. Compare graphically with the exact solution.
3. If x1 , x2 , · · · , xn and y1 , y2 , · · · , yn are real numbers, show that

n
!2 n
! n
!
X X X
xi yi ≤ x2i yi2
i=1 i=1 i=1

4. If x, y ∈ X, an inner product space, and x is orthogonal to y, then show that ||x + αy|| = ||x − αy||
where α is a scalar.
5. For an inner product space, show that

<x, y + z> = <x, y> + <x, z>

<αx, y> = α<x, y>
<x, y> = <y, x> in a real vector space

6. The linear operator A : X → Y, where X = R2 , Y = R2 . The norms in X and Y are defined by

x = (ξ1 , ξ2 )T ∈ X, ||x||∞ = max (|ξ1 |, |ξ2 |)

y = (η1 , η2 )T ∈ Y, ||y||1 = |η1 | + |η2 |.
 
3 −1
Find ||A|| if A = .
5 −2
7. Let Q, C and R be the sets of all rational, complex and real numbers respectively. For the following
determine if A is a vector space over the field F. For finite-dimensional vector spaces, find also a set
of basis vectors.

(a) A is the set of all polynomials which are all exactly of degree n, F = R.
(b) A is the set of all functions with continuous second derivatives over the interval [0, L] and
satisfying the differential equation y ′′ + 2y ′ + y = 0, F = R.
(c) A = R, F = R.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.6. METHOD OF WEIGHTED RESIDUALS 281

(d) A = {(a1 , a2 , a3 ) such that a1 , a2 ∈ Q, 2a1 + a2 = 4a3 }, F = Q.

(e) A = C, F = Q.
(f) A = {aex + be−2x such that a, b ∈ R, x ∈ [0, 1]}, F = R.

8. Which of the following subsets of R3 constitute a subspace of R3 where x = (x1 , x2 , x3 ) ∈ R3 :

(a) All x with x1 = x2 and x3 = 0.

(b) All x with x1 = x2 + 1.
(c) All x with positive x1 , x2 , x3 .
(d) All x with x1 − x2 + x3 = constant k.

9. Given a set S of linearly independent vectors in a vector space V, show that any subset of S is also
linearly independent.

10. Do the following vectors, (3, 1, 4, −1)T , (1, −4, 0, 4)T , (−1, 2, 2, 1)T , (−1, 9, 5, −6)T , form a basis in R4 ?

11. Given x1 , the iterative procedure xn+1 = Txn generates x2 , x3 , x4 , · · ·, where T is a linear operator
and all the x’s belong to a complete normed space. Show that {xn , n = 1, 2, · · ·} is a Cauchy sequence
if ||T|| < 1. Does it converge? If so find the limit.

12. If {ePk , k = 1, 2, · · ·} is an orthonormal set in a Hilbert space H, show that for every x ∈ H, the vector
n
y = k=1 <x, ek >ek exists in H, and that x − y is orthogonal to every ek .
 
2 −4
13. Let the linear operator A : C2 → C2 be represented by the matrix A = . Find ||A|| if all
1 5
vectors in the domain and range are within a Hilbert space.
 
2 2 2 + i −4
14. Let the linear operator A : C → C be represented by the matrix A = . Find ||A||
1 5
if all vectors in the domain and range are within a Hilbert space.
Rb
15. Using the inner product (x, y) = a w(t)x(t)y(t) dt, where w(t) > 0 for a ≤ t ≤ b, show that the
Sturm-Liouville operator
   
1 d d
L= p(t) + r(t)
w(t) dt dt
with αx(a) + βx′ (a) = 0, and γx(b) + δx′ (b) = 0 is self-adjoint.

16. For elements x, y and z of an inner product space, prove the Appolonius identity:
 2
1  1 
||z − x||22 + ||z − y||22 2
= ||x − y||2 + 2 z − (x + y)
 
2 2 2

17. If x, y ∈ X an inner product space, and x is orthogonal to y, then show that ||x + ay||2 = ||x − ay||2
where a is a scalar.

18. Using the Gram-Schmidt procedure, find the first three members of the orthonormal set belonging to
L2 (−∞, ∞), using the basis functions {exp(−t2 /2), t exp(−t2 /2), t2 exp(−t2 /2), · · ·}. You may need
the following definite integral
Z ∞ √
exp(−t2 /2) dt = 2π.
−∞

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

282 CHAPTER 7. LINEAR ANALYSIS

19. Let C(0,1) be the space of all continuous functions in (0,1) with the norm
s
Z 1
||f ||2 = |f (t)|2 dt.
0

Show that 
2n tn+1 for 0 ≤ t < 12
fn (t) =
1 − 2n (1 − t)n+1 for 12 ≤ t ≤ 1
belongs to C(0,1). Show also that {fn , n = 1, · · ·} is a Cauchy sequence, and that C(0,1) is not
complete.

20. Find the first three terms of the Fourier-Legendre series for f (x) = cos(πx/2) for x ∈ [−1, 1]. Compare
graphically with exact function.

21. Find the first three terms of the Fourier-Legendre series for

−1 for − 1 ≤ x < 0
f (x) =
1 for 0 ≤ x ≤ 1

22. Consider
d3 y
+ 2t3 y = 1 − t
dt3
dy
y(0) = 0 y(2) = 0 (0) = 0
dt
Choosing polynomials as the basis functions, use a Galerkin and moments method to obtain a two-
term estimate to y(t). Plot your approximations and the exact solution on a single curve. Plot the
error in both methods for x ∈ [0, 2]

23. Solve
x′′ + 2xx′ + t = 0
with x(0) = 0, x(4) = 0, approximately using a two-term weighted residual method where the basis
functions are of the type sin λt. Do both a spectral (as a consequence Galerkin) and pseudospectral
(as a consequence collocation) method. Plot your approximations and the exact solution on a single
curve. Plot the error in both methods for x ∈ [0, 4].

24. Show that the set of solutions of the linear equations

x1 + 3x2 + x3 − x4 = 0
−2x1 + 2x2 − x3 + x4 = 0

form a vector space. Find the dimension and a set of basis vectors.

25. Let  
1 1 1
A= 0 1 1 
0 0 1

For A : R3 → R3 , find ||A|| if the norm of x = (x1 , x2 , x3 )T ∈ R3 is given by

||x||∞ = max(|x1 |, |x2 |, |x3 |).

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.6. METHOD OF WEIGHTED RESIDUALS 283

26. For any complete orthonormal set {φi , i = 1, 2, · · ·} in a Hilbert space H, show that
X
u = <u, φi >φi
i
X
<u, v> = <u, φi ><v, φi >
i
X
||u||22 = |<u, φi >|2
i

where u and v belong to H.

27. Show that the set P4 [0, 1] of all polynomials of degree 4 or less in the interval 0 < x < 1 is a vector
space. What is the dimension of this space?
28. Show that
(x21 + x22 + . . . + x2n )(y12 + y22 + . . . + yn2 ) ≥ (x1 y1 + x2 y2 + . . . + xn yn )2
where x1 , x2 , . . . , xn , y1 , y2 , . . . , yn are real numbers.
29. Show that the functions e1 (t), e2 (t), . . . , en (t) are orthogonal in L2 (0, 1], where

1 i−1n < t≤ n
i
ei (t) =
0 otherwise

Expand t2 in terms of these functions.

30. Find one-term collocation approximations for all solutions of

d2 y
+ y4 = 1
dx2
with y(0) = 0, y(1) = 0.
31. Show that s s s
Z b Z b Z b
2 2 2
(f (x) + g(x)) dx ≤ (f (x)) dx + (g(x)) dx
a a a

where f (x) and y(x) belong to L2 [a, b].

32. Find the eigenvalues and eigenfunctions of the operator
 2 
d d
L=− + 2 + 1
dx2 dx

which operates on functions x ∈ L2 [0, 5] that vanish at x = 0 and x = 5.

33. Find the supremum and infimum of the set S = {1/n, where n = 1, 2, · · ·}.
34. Find the L2 [0, 1] norm of the function f (x) = x + 1.
35. Find the distance between the functions x and x3 under the L2 [0, 1] norm.
36. Find the inner product of the functions x and x3 using the L2 [0,1] definition.
37. Find the Green’s function for the problem

d2 x
+ k 2 x = f (t), with x(0) = a, x(π) = b
dt2
Write the solution of the differential equation in terms of this function.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

284 CHAPTER 7. LINEAR ANALYSIS

38. Find the first three terms of the Fourier-Legendre series for

−2 for − 1 ≤ x < 0
f (x) =
1 for 0 ≤ x ≤ 1

Graph f (x) and its approximation.

39. Find the null space of

(a) the matrix operator  

1 1 1
A= 2 2 1 
2 2 1

(b) the differential operator

d2
L= + k2
dt2
40. Test the positive definiteness of a diagonal matrix with positive real numbers on the diagonal.
41. Let S be a subspace of L2 [0, 1] such that for every x ∈ S, x(0) = 0, and ẋ(0) = 1. Find the eigenvalues
and eigenfunctions of L = −d2 /dt2 operating on elements of S.
42. Show that Z β
lim f (x)∆ǫ (x − a)dx = f (a)
ǫ→0 α

for α < a < β, where 

 0 if x < a − 2ǫ
∆ǫ (x − a) = 1/ǫ if a − 2ǫ ≤ x ≤ a + ǫ
2
if x > a + 2ǫ

0

43. Consider functions of two variables in a domain Ω with the inner product defined as
ZZ
<u, v> = u(x, y)v(x, y) dx dy
Ω

Find the space of functions such that the Laplacian operator is self-adjoint.
44. Find the eigenvalues and eigenfunctions of the operator L where

d2 y dy
Ly = (1 − t2 ) −t
dt2 dt
with t ∈ [−1, 1] and y(−1) = y(1) = 0. Show that there exists a weight function r(x) such that the
eigenfunctions are orthogonal in [−1, 1] with respect to it.
45. Show that the eigenvalues of an operator and its adjoint are complex conjugates of each other.
46. Using an eigenvector expansion, find the general solution of A · x = y where
 
2 0 0
A =  0 1 1 
0 1 1
 
2
y =  3 
5

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

7.6. METHOD OF WEIGHTED RESIDUALS 285

47. Show graphically that the Fourier trigonometric series representation of the function

−1 if −π ≤ t < 0
f (t) =
1 if 0 ≤ t ≤ π

always has an overshoot near x = 0, however many terms one takes (Gibbs phenomenon). Estimate
the overshoot.
48. Let {e1 , · · · , en } be an orthonormal set in an inner product space S. Approximate x ∈ S by y =
β1 e1 + · · · + βn en , where the β’s are to be selected. Show that ||x − y|| is a minimum if we choose
βi = <x, ei >.
49. (a) Starting with a vector in the direction (1, 2, 0)T use the Gram-Schmidt procedure to find a set of
orthonormal vectors in R3 . Using these vectors, construct (b) an orthogonal matrix Q, and then find
(c) the angles between xi and Qxi , where xi is (1, 0, 0)T , (0, 1, 0)T and (0, 0, 1)T respectively. The
orthogonal matrix Q is defined as a matrix having orthonormal vectors in its columns.
2
d
50. Find the null space of the operator L defined by Lx = dt 2 x(t). Also find the eigenvalues and eigen-
dx
functions (in terms of real functions) of L with x(0) = 1, dt (0) = 0.
51. Find all approximate solutions of the boundary value problem
d2 y
+ y + 5y 2 = −x,
dx2
with y(0) = y(1) = 0 using a two term collocation method. Compare graphically with the exact
solution determined by numerical methods.
52. Find a one-term approximation for the boundary value problem

y ′′ − y = −x3

with y(0) = y(1) = 0, using the collocation, Galerkin, least-squares, and moments methods. Compare
graphically with the exact solution.
1+ 1
53. Consider the sequence { 2+ n1 } in Rn . Show that this is a Cauchy sequence. Does it converge?
n

54. Prove that (Ta Tb )∗ = T∗b T∗a when Ta and Tb are linear operators which operate on vectors in a
Hilbert space.
55. If {xi } is a sequence in an inner product space such that the series ||x1 || + ||x2 || + · · · converges, show
that {sn } is a Cauchy sequence, where sn = x1 + x2 + · · · + xn .
2
56. If L(x) = a0 (t) ddt2x + a1 (t) dx
dt + a2 (t)x, find the operator that is formally adjoint to it.
57. If Z t
y(t) = A[x(t)] = x(τ ) dτ
0
where y(t) and x(t) are real functions in some properly defined space, find the eigenvalues and eigen-
functions of the operator A.
58. Using a dual basis, expand the vector (1, 3, 2)T in terms of the basis vectors (1, 1, 1)T , (1, 0, −1)T , and
(1, 0, 1)T in R3 . The inner product is defined as usual.
59. With f1 (x) = 1 + i + x and f2 (x) = 1 + ix + ix2
a) Find the L2 [0, 1] norms of f1 (x) and f2 (x).
b) Find the inner product of f1 (x) and f2 (x) under the L2 [0, 1] norm.
c) Find the “distance” between f1 (x) and f2 (x) under the L2 [0, 1] norm.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

286 CHAPTER 7. LINEAR ANALYSIS

60. Show the vectors u1 = (−i, 0, 2, 1 + i)T , u2 = (1, 2, i, 3)T , u3 = (3 + i, 3 − i, 0, −2)T , u4 = (1, 0, 1, 3)T
form a basis in C4 . Find the set of reciprocal basis vectors. For x ∈ C4 , and x = (i, 3 − i, −2, 2)T ,
express x as an expansion in the above defined basis vectors. That is find ci such that x = ci ui
61. The following norms can be used in Rn , where x = (ξ1 , · · · , ξn ) ∈ Rn .
(a) ||x||∞ = max1≤j≤n |ξj |
Pn
(b) ||x||1 = j=1 |ξj |
Pn
(c) ||x||2 = ( j=1 |ξj |2 )1/2
Pn
(d) ||x||p = ( j=1 |ξj |p )1/p , 1 ≤ p < ∞
Show by examples that these are all valid norms.
62. Show that the set of all matrices A : Rn → Rn is a vector space under the usual rules of matrix
manipulation.
63. Show that if A is a linear operator such that
Pn
(a) A : (Rn , || · ||∞ ) → (Rn , || · ||1 ) then ||A|| = i,j=1 Aij .
n n
Pn
(b) A : (R , || · ||∞ ) → (R , || · ||∞ ) then ||A|| = max1≤i≤n j=1 Aij .

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

Chapter 8

Linear algebra

see Kaplan, Chapter 1,

see Lopez, Chapters 33, 34,
see Riley, Hobson, and Bence, Chapter 7,
see Michel and Herget,
see Golub and Van Loan,
see Strang, Linear Algebra and its Applications,
see Strang, Introduction to Applied Mathematics.

The key problem in linear algebra is addressing the problem

A · x = b, (8.1)

where A is a known constant rectangular matrix, b is a known column vector, and x is an

unknown column vector. To explicitly indicate the dimension of the matrices and vectors,
we sometimes write this in expanded form:

An×m · xm×1 = bn×1 , (8.2)

where n, m ∈ N are the positive integers which give the dimensions. If n = m, the matrix
is square, and solution techniques are usually straightforward. For n 6= m, which arises
often in physical problems, the issues are not as straightforward. In some cases we find an
infinite number of solutions; in others we find none. Relaxing our equality constraint, we
can, however, always find a vector x∗

x∗ = x such that ||A · x − b||2 → min. (8.3)

This vector x∗ is the best solution to the equation A · x = b, for cases in which there is no
exact solution. Depending on the problem, it may turn out that x∗ is not unique. It will
always be the case, however, that of all the vectors x∗ which minimize ||A · x − b||2 , that
one of them, x̂, will itself have a minimum norm.

287
288 CHAPTER 8. LINEAR ALGEBRA

8.1 Determinants and rank

We can take the determinant of a square matrix A, written det A. Details of computation of
determinants are found in any standard reference and will not be repeated here. Properties
of the determinant include

• det An×n is equal to the volume of a parallelepiped in n-dimensional space whose edges
are formed by the rows of A.

• If all elements of a row (or column) are multiplied by a scalar, the determinant is also
similarly multiplied.

• The elementary operation of subtracting a multiple of one row from another leaves the
determinant unchanged.

• If two rows (or columns) of a matrix are interchanged the sign of the determinant
changes.

A singular matrix is one whose determinant is zero. The rank of a matrix is the size r of
the largest square non-singular matrix that can be formed by deleting rows and columns.
While the determinant is useful to some ends in linear algebra, most of the common
problems are better solved without using the determinant at all; in fact it is probably a fair
generalization to say that the determinant is less, rather than more, useful than imagined by
many. It is useful in solving linear systems of equations of small dimension, but becomes much
too cumbersome relative to other methods for commonly encountered large systems of linear
algebraic equations. While it can be used to find the rank, there are also other more efficient
means to calculate this. Further, while a zero value for the determinant almost always has
significance, other values do not. Some matrices which are particularly ill-conditioned for
certain problems often have a determinant which gives no clue as to difficulties which may
arise.

8.2 Matrix algebra

We will denote a matrix of size n × m as
 
a11 a12 · · · a1m
 a21 a22 · · · a2m 
 
An×m =  .. .. .. ..  (8.4)
 . . . . 
an1 an2 · · · anm

Addition of matrices can be defined as

An×m + Bn×m = Cn×m

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.2. MATRIX ALGEBRA 289

where the elements of C are obtained by adding the corresponding elements of A and B.
Multiplication of a matrix by a scalar α can be defined as

αAn×m = Bn×m

where the elements of B are the corresponding elements of A multiplied by α.

It can be shown that the set of all n × m matrices is a vector space. We will also refer to
a n × 1 matrix as an n-dimensional column vector. Likewise a 1 × m matrix will be called
an m-dimensional row vector. Unless otherwise stated vectors are assumed to be column
vectors. In this sense the inner product of two vectors xn×1 and yn×1 is <x, y> = x̄T · y.
In this chapter matrices will be represented by upper-case bold-faced letters, such as A, and
vectors by lower-case bold-faced letters, such as x.

8.2.1 Column, row, left and right null spaces

The m column vectors ci ∈ Cn , i = 1, 2, . . . , m, of the matrix An×m are each one of the
columns of A. The column space is the subspace of Cm spanned by the column vectors. The
n row vectors ri ∈ Cm , i = 1, 2, . . . , n, of the same matrix are each one of the rows. The row
space is the subspace of Cn spanned by the row vectors. The column space vectors and the
row space vectors span spaces of the same dimension. Consequently, the column space and
row space have the same dimension.
The right null space is the set of all vectors xm×1 ∈ Cm for which An×m ·xm×1 = 0n×1 . The
left null space is the set of all vectors yn×1 ∈ Cn for which yTn×1 ·An×m = y1×n ·An×m = 01×m .
If we have An×m : Cm → Cn , and recall that the rank of A is r, then we have the
following important results:

• The column space of An×m has dimension r, (r ≤ m).

• The left null space of An×m has dimension n − r.

• The row space of An×m has dimension r, (r ≤ n).

• The right null space of An×m has dimension m − r.

We also can show

Cn = column space ⊕ left null space, (8.5)

Cm = row space ⊕ right null space. (8.6)

Also

• Any vector x ∈ Cm can be written as a linear combination of vectors in the row space
and the right null space.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

290 CHAPTER 8. LINEAR ALGEBRA

• Any m dimensional vector x which is in the right null space of A is orthogonal to any
m dimensional vector in the row space. This comes directly from the definition of the
right null space A · x = 0.

• Any vector y ∈ Cn can be written as the sum of vectors in the column space and the
left null space.

• Any n dimensional vector y which is in the left null space of A is orthogonal to any
n dimensional vector in the column space. This comes directly from the definition of
the left null space yT · A = 0.

Example 8.1
Find the column and row spaces of
 
1 0 1
A=
0 1 2

and their dimensions.

Restricting ourselves to real vectors, we note first that in the equation A · x = b, A is an operator
which maps three-dimensional real vectors x into vectors b which are elements of a two-dimensional
real space, i.e.
A : R3 → R2 .
The column vectors are
 
1
c1 =
0
 
0
c2 =
1
 
1
c3 =
2

The column space consists of the vectors α1 c1 + α2 c2 + α3 c3 , where the α’s are any scalars. Since only
two of the ci ’s are linearly independent, the dimension of the column space is also two. We can see this
by looking at the subdeterminant  
1 0
det = 1,
0 1
which indicates the rank, r = 2.
Note that
• c1 + 2c2 = c3
• The three column vectors thus lie in a single two-dimensional plane.
• The three column vectors are thus said to span a two-dimensional subspace of R3
The two row vectors are


r1 = 1 0 1


r2 = 0 1 2

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.2. MATRIX ALGEBRA 291

The row space consists of the vectors β1 r1 + β2 r2 , where the β’s are any scalars. Since the two ri ’s are
linearly independent, the dimension of the row space is also two. That is the two row vectors are both
three dimensional, but span a two-dimensional subspace.
We note for instance, if x = (1, 2, 1)T , that A · x = b gives
 
  1  
1 0 1   2
2 = .
0 1 2 4
1

So
b = 1c1 + 2c2 + 1c3 .
That is b is a linear combination of the column space vectors and thus lies in the column space of A.
We note for this problem that since an arbitrary b is two-dimensional and the dimension of the column
space is two, that we can represent an arbitrary b as some linear combination of the column space
vectors. For example, we can also say that b = 2c1 + 4c2 . We also note that x in general does not
lie in the row space of A, since x is an arbitrary three-dimensional vector, and we only have enough
row vectors to span a two-dimensional subspace (i.e. a plane embedded in a three-dimensional space).
However, as will be seen, x does lie in the space defined by the combination of the row space of A, and
the right null space of A (the set of vectors x for which A · x = 0). In special cases, x will in fact lie
in the row space of A.

8.2.2 Matrix multiplication

Multiplication of matrices A and B can be defined if they are of the proper sizes. Thus

An×k · Bk×m = Cn×m

It may be better to say here that A is a linear operator which operates on elements which are
in a space of dimension k × m so as to generate elements which are in a space of dimension
n × m; that is, A : Rk × Rm → Rn × Rm .

Example 8.2
Consider the matrix operator  
1 2 1
A=
−3 3 1
which operates on 3 × 4 matrices, i.e.

A : R3 × R4 → R2 × R4

For example we can use A to operate on a 3 × 4 matrix as follows:

 
  1 0 3 −2  
1 2 1  4 −4 5 6
2 −4 1 3  =
−3 3 1 2 −8 −6 17
−1 4 0 2

Note the operation does not exist if the order is reversed.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

292 CHAPTER 8. LINEAR ALGEBRA

A vector operating on a vector can yield a scalar or a matrix, depending on the order of
operation.

Example 8.3
Consider the vector operations A1×3 · B3×1 and B3×1 · A1×3 where

A1×3 = aT = ( 2 3 1)
 
3
B3×1 = b =  −2 
5
Then  
3
A1×3 · B3×1 = aT · b = ( 2 3 1 )  −2  = (2)(3) + (3)(−2) + (1)(5) = 5
5
This is the ordinary inner product <a, b>. The commutation of this operation however yields a matrix:
     
3 (3)(2) (3)(3) (3)(1) 6 9 3
B3×1 · A1×3 = baT =  −2  ( 2 3 1 ) =  (−2)(2) (−2)(3) (−2)(1)  =  −4 −6 −2 
5 (5)(2) (5)(3) (5)(1) 10 15 5

This is the dyadic product of the two vectors. Note that for vector (lower case notation) the dyadic
product usually is not characterized by the “dot” operator that we use for the vector inner product.

A special case is that of a square matrix An×n of size n. For square matrices of the same
size both A · B and B · A exist. While A · B and B · A both yield n × n matrices, the
actual value of the two products is different. In what follows, we will often assume that we
are dealing with square matrices.
Properties of matrices include

1. (A · B) · C = A · (B · C) (associative),

2. A · (B + C) = A · B + A · C (distributive),

3. (A + B) · C = A · C + B · C (distributive),

4. A · B 6= B · A in general (not commutative),

5. det A · B = (det A)(det B).

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.2. MATRIX ALGEBRA 293

8.2.3 Definitions and properties

8.2.3.1 Diagonal matrices
A square matrix A is called nilpotent if there exists a positive integer n for which An = 0.
A diagonal matrix D has nonzero terms only along its main diagonal. The sum and
product of diagonal matrices are also diagonal. The determinant of a diagonal matrix is the
product of all diagonal elements. The identity matrix I is a square diagonal matrix with 1
on the main diagonal. With this definition, we get

An×m · Im×m = An×m , (8.7)

In×n · An×m = An×m , or, more compactly (8.8)
A · I = I · A = A, (8.9)

where the unsubscripted identity matrix is understood to be square with the correct dimen-
sion for matrix multiplication.
The transpose AT of a matrix A is one in which the terms above and below the diagonal
are interchanged. For any matrix An×m , we find that A · AT and AT · A are square matrices
of size n and m, respectively.
Properties include

1. det A = det AT ,

2. (An×m · Bm×n )T = BT · AT ,

3. (An×n · xn×1 )T · yn×1 = xT · AT · y = xT · (AT · y).

A symmetric matrix is one for which AT = A. An anti-symmetric or skew-symmetric

matrix is one for which AT = −A. Any matrix A can be written as

1 1
A = (A + AT ) + (A − AT ), (8.10)
2 2
where 21 (A + AT ) is symmetric and 21 (A − AT ) is anti-symmetric.
A lower (or upper) triangular matrix is one in which all entries above (or below) the main
diagonal are zero. Lower triangular matrices are often denoted by L, and upper triangular
matrices by either U or R.
A positive definite matrix A is a matrix for which xT · A · x > 0 for all nonzero vectors x.
A positive definite matrix has real, positive eigenvalues. There exists a nonsingular W such
that A = WT · W. All the eigenvalues of such a matrix are positive. Every positive definite
matrix A can be written as A = L · LT , where L is a lower triangular matrix (Cholesky
decomposition).
A permutation matrix P is a square matrix composed of zeroes and a single one in each
column. None of the ones occur in the same row. It effects a row exchange when it operates

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

294 CHAPTER 8. LINEAR ALGEBRA

on a general matrix A. It is never singular, and is in fact its own inverse, P = P−1 , so
P · P = I. Also ||P||2 = 1.

Example 8.4
Find P which effects the exchange of the first and second rows of A, where
 
1 3 5 7
A = 2 3 1 2.
3 1 3 2

To construct P, we begin with at 3 × 3 identity matrix I. For a first and second row exchange, we
replace the ones in the (1, 1) and (2, 2) slot with zero, then replace the zeroes in the (1, 2) and (2, 1)
slot with ones. Thus
    
0 1 0 1 3 5 7 2 3 1 2
P · A = 1 0 02 3 1 2 = 1 3 5 7.
0 0 1 3 1 3 2 3 1 3 2

Example 8.5
Find the rank and right null space of
 
1 0 1
A= 5 4 9 .
2 4 6

The rank of A is not three since

det A = 0.
Since  
 1 0 

 5 6 0,
=
4 
the rank of A is 2.
Let  
x1
x =  x2 
x3
belong to the right null space of A. Then

x1 + x3 = 0,
5x1 + 4x2 + 9x3 = 0,
2x1 + 4x2 + 6x3 = 0.

One strategy to solve singular systems is to take one of the variables to be a known parameter, and see
if the resulting system can be solved. If the resulting system remains singular, take a second variable
to be a second parameter. This ad hoc method will later be made systematic.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.2. MATRIX ALGEBRA 295

So here take x1 = t, and consider the first two equations, which gives
    
0 1 x2 −t
= .
4 9 x3 −5t
Solving, we find x2 = t, x3 = −t. So,
     
x1 t 1
x =  x2  =  t  = t  1  , t ∈ R1 .
x3 −t −1

Therefore, the right null space is the straight line in R3 which passes through (0,0,0) and (1,1,-1).

8.2.3.2 Inverse

Definition: A matrix A has an inverse A−1 if A · A−1 = A−1 · A = I.

Theorem
A unique inverse exists if the matrix is non-singular.
Properties of the inverse include
1. (A · B)−1 = B−1 · A−1,
2. (A−1 )T = (AT )−1 ,
3. det(A−1 ) = (det A)−1 .
If aij and a−1 −1
ij are the elements of A and A , then

(−1)i+j bji
a−1
ij = , (8.11)
det A
where bij is the minor of aji which is the determinant of the matrix obtained by canceling
out the j-th row and i-th column. The inverse of a diagonal matrix is also diagonal, but
with the reciprocals of the original diagonal elements.

Example 8.6
Find the inverse of  
1 1
A= .
−1 1
The inverse is  
−1 1 1 −1
A = .
2 1 1
We can confirm that A · A−1 = A−1 · A = I.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

296 CHAPTER 8. LINEAR ALGEBRA

8.2.3.3 Similar matrices

Matrices A and B are similar if there exists a non-singular matrix C such that B = C−1 ·A·C.
Similar matrices have the same determinant, eigenvalues, multiplicities and eigenvectors.

8.2.4 Equations
In general, for matrices that are not necessarily square, the equation An×m · xm×1 = bn×1
is solvable iff b can be expressed as combinations of the columns of A. Problems in which
m < n are overconstrained; in special cases, those in which b is in the column space of A,
a unique solution x exists. However in general no solution x exists; nevertheless, one can
find an x which will minimize ||A · x − b||2 . This is closely related to what is known as
the method of least squares. Problems in which m > n are generally underconstrained, and
have an infinite number of solutions x which will satisfy the original equation. Problems for
which m = n (square matrices) have a unique solution x when the rank r of A is equal to
n. If r < n, then the problem is underconstrained.

8.2.4.1 Overconstrained systems

Example 8.7
For x ∈ R2 , b ∈ R3 , consider A : R2 → R3 ,
   
1 2   5
1 x1
0 = 1.
x2
1 1 3
The column space of A is spanned by the two column vectors
   
1 2
c1 =  1  , c2 =  0  .
1 1

Our equation can also be cast in the form which makes the contribution of the column vectors obvious:
     
1 2 5
x1  1  + x2  0  =  1  .
1 1 3

Here we have the unusual case that b = (5, 1, 3)T is in the column space of A (in fact b = c1 + 2c2 ),
and we have a unique solution of  
1
x= .
2
Note that the solution vector x lies in the row space of A; here it identically the first row vector
r1 = (1, 2)T . Note also that here the column space is a two-dimensional subspace, in this case a plane
defined by the two column vectors, embedded within a three-dimensional space. The operator A maps
arbitrary two-dimensional vectors x into the three-dimensional b; however, these b vectors are confined
to a two-dimensional subspace within the greater three-dimensional space. Consequently, we cannot
always expect to find a vector x for arbitrary b!

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.2. MATRIX ALGEBRA 297

3
R

c2

2 A.x = b
C c1

Figure 8.1: Plot for b which lies in column space (space spanned by c1 and c2 ) of A.

A sketch of this system is shown in Figure 8.1. Here we sketch what might represent this example
in which the column space of A does not span the entire space R3 , but for which b lies in the column
space of A. In such a case ||A · x − b||2 = 0. We have A as a matrix which maps two dimensional
vectors x into three dimensional vectors b. Our space is R3 and embedded within that space are two
column vectors c1 and c2 which span a column space C2 , which is represented by a plane within a three
dimensional volume. Since b in this example happens to lie in the column space, there exists a unique
vector x for which A · x = b.

Example 8.8
Consider now    
1 2   0
1 0 x1
= 1.
x2
1 1 3
Here it turns out that b = (0, 1, 3)T is not in the column space of A, and there is no solution x for
which A · x = b! Again, the column space is a plane defined by two vectors; the vector b does not
happen to lie in the plane defined by the column space. However, we can find a solution x = xp , where
xp can be shown to minimize the least squares error e = ||A·xp − b||2 . This is achieved by the following
procedure in which we operate on both vectors A · xp and b by the operator AT so as to map both
vectors into the same space, namely the row space of A. Once the vectors are in the same space, a
unique inversion is possible.

A · xp ≃ b
T
A · A · xp = AT · b
= (AT · A)−1 · AT · b
xp
   
  1 2     0
1 1 1  x1 1 1 1  
1 0 = 1
2 0 1 x2 2 0 1
1 1 3
    
3 3 x1 4
=
3 5 x2 3
   11 
x1 6
=
x2 − 21

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

298 CHAPTER 8. LINEAR ALGEBRA

3
R

c2

2 . = bp = b
C c 1A x p

Figure 8.2: Plot for b which lies outside of column space (space spanned by c1 and c2 ) of A.

Note the resulting xp will not satisfy A · xp = b. In fact, ||A · xp − b||2 = 2.0412. If we tried any nearby

T
x, say x = 2, − 53 , ||A · x − b||2 = 2.0494 > 2.0412. Since the problem is linear, this minimum is
global; if we take x = (10, −24)T , then ||A · x − b||2 = 42.5911 > 2.0412. Though we have not proved
it, our xp is the unique vector which minimizes the least squares error.
Further manipulation shows that we can write our solution as a combination of vectors in the row
space of A. As the dimension of the right null space of A is zero, there is no possible contribution from
the right null space vectors.  11     
6 1 1
= α1 + α2 .
− 12 2 0
 11    
6 1 1 α1
= .
− 12 2 0 α2
Solving, we find    
α1 − 41
= 25 .
α2 12
So      
x1 1 1 25 1
= − + .
x2 4 2 12 0
| {z }
linear combination of row space vectors

We could also have chosen to expand in terms of the other row space vector (1, 1)T , since any two of
the three row space vectors span the space R2 .
The vector A · xp actually represents the projection of b onto the subspace spanned by the column
vectors (i.e. the column space). Call the projected vector bp :

bp = A · xp = A · (AT · A)−1 · AT ·b
| {z }
projection matrix


4 T
For this example bp = 56 , 11
6 , 3 . We can think of bp as the shadow cast by b onto the column space.
A sketch of this system is shown in in Figure 8.2 Here we sketch what might represent this example
in which the column space of A does not span the entire space R3 , and for which b lies outside of
the column space of A. In such a case ||A · xp − b||2 > 0. We have A as a matrix which maps two
dimensional vectors x into three dimensional vectors b. Our space is R3 , and that embedded within
that space are two column vectors c1 and c2 which span a column space C2 , which is represented by a
plane within a three dimensional volume. Since b lies outside the column space, there exists no unique
vector x for which A · x = b.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.2. MATRIX ALGEBRA 299

8.2.4.2 Underconstrained systems

Example 8.9
Consider now A : R3 → R2 such that
 
  x  
1 1 1  1 1
x2 = .
2 0 1 3
x3

Certainly b = (1, 3)T lies in the column space of A, since for example, b = 0(1, 2)T − 2(1, 0)T + 3(1, 1)T .
Setting x1 = t, where t is an arbitrary number, lets us solve for x2 , x3 :
 
  t  
1 1 1   1
x2 = ,
2 0 1 3
x3
    
1 1 x2 1−t
= .
0 1 x3 3 − 2t
Inversion gives   

x2−2 + t
= ,
x3 3 − 2t
so        
x1 t 0 1
 x2  =  −2 + t  =  −2  + t  1  , t ∈ R1 .
x3 3 − 2t 3 −2
| {z }
right null space

A useful way to think of problems such as this which are underdetermined is that the matrix A maps
the additive combination of a unique vector from the row space of A plus an arbitrary vector from the
right null space of A into the vector b. Here the vector (1, 1, −2)T is in the right null space; however,
the vector (0, −2, 3)T has components in both the right null space and the row space. Let us extract
the parts of (0, −2, 3)T which are in each space. Since the row space and right null space are linearly
indpendent, they form a basis, and we can say
       
0 1 2 1
 −2  = a1  1  + a2  0  + a3  1  .
3 1 1 −2
| {z } | {z }
row space right null space

In matrix form, we then get

    
0 1 2 1 a1
 −2  =  1 0 1   a2  .
3 1 1 −2 a3
The coefficient matrix is non-singular and thus invertable. Solving, we get
   2
a1 −3
 a2  =  1  .
a3 − 43

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

300 CHAPTER 8. LINEAR ALGEBRA

So x can be rewritten as
     
1 2   1
2    4 
x=− 1 + 0 + t− 1 , t ∈ R1 .
3 3
1 1 −2
| {z } | {z }
row space right null space

The first two terms in the final expression above are the unique linear combination of the row space
vectors, while the third term is from the right null space. As by definition, A maps any vector from the
right null space into the zero element, it makes no contribution to forming b; hence, one can allow for
an arbitrary constant. Note the analogy here with solutions to inhomogeneous differential equations.
The right null space vector can be thought of as a solution to the homogeneous equation, and the terms
with the row space vectors can be thought of as particular solutions.
We can also write the solution x in matrix form. The matrix is composed of three column vectors,
which are the original two row space vectors and the right null space vector, which together form a
basis in R3 :
  2 
1 2 1 −3
x = 1 0 1  1 , t ∈ R1 .
4
1 1 −2 t− 3
While the right null space vector is orthogonal to both row space vectors, the row space vectors are not
orthogonal to themselves, so this basis is not orthogonal. Leaving out the calculational details, we can
use the Gram-Schmidt procedure to cast the solution on an orthonormal basis:
√1
   
√1  1 
−√   6
 √  12 √
3
1  √1
4 √1
t ∈ R1 .
 
x= √  3 − 2 √ + 6 t−  q6 ,
3 2 3
√1 0 − 2
3 3
| {z } | {z }
row space right null space

The first two terms are in the row space, now represented on an orthonormal basis, the third is in the
right null space. In matrix form, we can say that
 √1 − √12 √1
 
3 6 √1
√1 √1 √1 √3
t ∈ R1 .
 
x= 3 2 q6  √ − 2
,
√1 0 − 2 6 t − 34
3 3

Of course, there are other orthonormal bases on which the system can be cast.
We see that the minimum length of the vector x occurs when t = 43 , that is when x is entirely in
the row space. In such a case we have
s 2  r
1 √ 2 7
min||x||2 = √ + − 2 =+ .
3 3

Lastly note that here, we achieved a reasonable answer by setting x1 = t at the outset. We could
have achieved an equivalent result by starting with x2 = t, or x3 = t. This will not work in all problems,
as will be discussed in the section on row echelon form.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.2. MATRIX ALGEBRA 301

8.2.4.3 Simultaneously over- and underconstrained systems

Some systems of equations are both over- and underconstrained simultaneously. This often
happens when the rank r of the matrix is less than both n and m, the matrix dimensions.
Such matrices are known as less than full rank matrices.

Example 8.10
Consider A : R4 → R3 such that
   x1   
1 2 0 4 1
 3 2 −1 3   x2   
  = 3
x3
−1 2 1 5 2
x4
Using elementary row operations to perform Gaussian elimination gives rise to the equivalent system:
   x1   
1 0 −1/2 −1/2 0
x 
 0 1 1/4 9/4   2  =  0 
x3
0 0 0 0 1
x4
We immediately see that there is a problem in the last equation, which purports 0 = 1! What is actually
happening is that A is not full rank r = 3, but actually has r = 2, so vectors x ∈ R4 are mapped into a
two-dimensional subspace. So, we do not expect to find any solution to this problem, since our vector b
is an arbitrary three dimensional vector which most likely does not lie in the two-dimensional subspace.
We can, however, find an x which minimizes the least squares error. We return to the original equation
and operate on a both sides with AT to form AT · A · x = AT · b. It can be easily verified that if we
chose to operate on the system which was reduced by Gaussian elimination that we would not recover
a solution which minimized ||A · x − b||!
    x1   1 3 −1   
1 3 −1 
1 2 0 4 1
2 2 2  x  2 2 2  
  3 2 −1 3   2  =   3
0 −1 1 x3 0 −1 1
−1 2 1 5 2
4 3 5 x4 4 3 5
    
11 6 −4 8 x1 8
 6 12 0 24   x2   12 
   =  .
−4 0 2 2 x3 −1
8 24 2 50 x4 23
This operation has mapped both sides of the equation into the same space, namely, the column space
of AT , which is also the row space of A. Since the rank of A is r = 2, the dimension of the row space
is also two, and now the vectors on both sides of the equation have been mapped into the same plane.
Again using row operations to perform Gaussian elimination gives rise to
    
1 0 −1/2 −1/2 x1 1/4
 0 1 1/4 9/4   x2   7/8 
   =  .
0 0 0 0 x3 0
0 0 0 0 x4 0
This equation suggests that here x3 and x4 are arbitrary, so we set x3 = s, x4 = t and, treating s and
t as known quantities, reduce the system to the following
    
1 0 x1 1/4 + s/2 + t/2
= ,
0 1 x2 7/8 − s/4 − 9t/4

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

302 CHAPTER 8. LINEAR ALGEBRA

so        
x1 1/4 1/2 1/2
 x2   7/8   −1/4   −9/4 
 =  + s  + t .
x3 0 1 0
x4 0 0 1
The vectors which are multiplied by s and t are in the right null space of A. The vector (1/4, 7/8, 0, 0)T
is not entirely in the row space of A; it has components in both the row space and right null space. We
can, thus, decompose this vector into a linear combination of row space vectors and right null space
vectors using the procedure in the previous section, solving the following equation for the coefficients
a1 , . . . , a4 , which are the coefficients of the row and right null space vectors:
    
1/4 1 3 1/2 1/2 a1
 7/8   2 2 −1/4 −9/4   a2 
 =  .
0 0 −1 1 0 a3
0 4 3 0 1 a4
Solving, we get
   
a1 −3/244
 a2   29/244 
 = .
a3 29/244
a4 −75/244
So we can recast the solution as
         
x1 1 3   1/2   1/2
 x2  3 2 29  2  29  −1/4  75  −9/4 
 =−  +  + s +  + t−  .
x3 244 0 244 −1 244 1 244 0
x4 4 3 0 1
| {z } | {z }
row space right null space

This choice of x guarantees that we minimize ||A · x − b||2 , which in this case is 1.22474. So there are
no vectors x which satisfy the original equation A · x = b, but there are a doubly infinite number of
vectors x which can minimize the least squares error.
We can choose special values of s and t such that we minimize ||x||2 while maintaining ||A · x − b||2
at its global minimum. This is done simply by forcing the magnitude of the right null space vectors to
zero, so we choose s = −29/244, t = 75/244, giving
       
x1 1 3 21/61
 x2  3 2 29  2   13/61 
 =−  +  = .
x3 244 0 244 −1 −29/244
x4 4 3 75/244
| {z }
row space

This vector has ||x||2 = 0.522055.

8.2.4.4 Square systems

A set of n linear algebraic equations in n unknowns can be represented as

An×n · xn×1 = bn×1 (8.12)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.2. MATRIX ALGEBRA 303

There is a unique solution if det A 6= 0 and either no solution or an infinite number of

solutions otherwise. In the case where there are no solutions, one can still find an x which
minimizes the normed error ||A · x − b||2 .
Theorem
(Cramer’s rule) The solution of the equation is

det Ai
xi = (8.13)
det A
where Ai is the matrix obtained by replacing the i-th column of A by y. While generally
valid, Cramer’s rule is most useful for low dimension systems. For large systems, Gaussian
elimination, is a more efficient technique.

Example 8.11
For A: R2 → R2 , Solve for x in A · x = b:
    
1 2 x1 4
=
3 2 x2 5

By Cramer’s rule  

 4 2 

 5 2  −2 1
x1 =   = =
 1 2 
 −4 2
 3 2 
 

 1 4 

 3 5  −7 7
x2 =   = =
 1 2 
 −4 4
 3 2 
So 1
x= 2
7
4
We get the same result by Gaussian elimination. Subtracting three times the first row from the second
yields     
1 2 x1 4
=
0 −4 x2 −7
Thus x2 = 74 . Back substitution into the first equation then gives x1 = 12 .

Example 8.12
With A : R2 → R2 , find the most general x which best satisfies A · x = b for
    
1 2 x1 2
= .
3 6 x2 0

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

304 CHAPTER 8. LINEAR ALGEBRA

Obviously, there is no unique solution to this system since the determinant of the coefficient matrix is
zero. The rank of A is 1, so in actuality, A maps vectors from R2 into a one dimensional subspace, R1 .
For a general b, which does not lie in the one dimensional subspace, we can find the best solution x by
first multiplying both sides by AT :
      
1 3 1 2 x1 1 3 2
= .
2 6 3 6 x2 2 6 0
    
10 20 x1 2
= .
20 40 x2 4
This operation maps both sides of the equation into the column space of AT , which is the row space
of A, which has dimension 1. Since the vectors are now in the same space, a solution can be found.
Using row reductions to perform Gaussian elimination, we get
    
1 2 x1 1/5
= .
0 0 x2 0

We set x2 = t, where t is any arbitrary real number and solve to get

     
x1 1/5 −2
= +t .
x2 0 1

The vector which t multiplies, (−2, 1)T , is in the right null space of A. We can recast the vector
(1/5, 0)T in terms of a linear combination of the row space vector (1, 2)T and the right null space vector
to get the final form of the solution:
      
x1 1 1 2 −2
= + t− .
x2 25 2 25 1
| {z } | {z }
row space right null space

This choice of x guarantees that the least squares error ||A · x − b||2 is minimized. In this case the least
squares error is 1.89737. The vector x with the smallest norm that minimizes ||A · x − b||2 is found by
setting the magnitude of the right null space contribution to zero, so we can take t = 2/25 giving
   
x1 1 1
= .
x2 25 2
| {z }
row space

This gives rise to ||x||2 = 0.0894427.

8.2.5 Eigenvalues and eigenvectors

Much of the general discussion of eigenvectors and eigenvalues has been covered in the chapter
on linear analysis and will not be repeated here. A few new concepts are introduced, and
some old ones reinforced.
First, we recall that when one refers to eigenvectors, one typically is referring to the right
eigenvectors which arise from A · e = λI · e; if no distinction is made, it can be assumed

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.2. MATRIX ALGEBRA 305

that it is the right set that is being discussed. Though it does not often arise, there are
occasions when one requires the left eigenvectors which arise from eT · A = eT · Iλ. If the
matrix A is self-adjoint, it can be shown that it has the same left and right eigenvectors.
If A is not self-adjoint, it has different left and right eigenvectors. The eigenvalues are the
same for both left and right eigenvectors of the same operator, whether or not the system is
self-adjoint.
Second, the polynomial equation that arises in the eigenvalue problem is the characteristic
equation of the matrix.
Theorem
A matrix satisfies its own characteristic equation (Cayley-Hamilton1 theorem).
If a matrix is triangular, then the eigenvalues are the diagonal terms. Eigenvalues of
A2 are the square of the eigenvalues of A. Every eigenvector of A is also an eigenvector
of A · A = A2 . The spectral radius of a matrix is the largest of the absolute values of the
eigenvalues.
The trace of a matrix is the sum of the terms on the leading diagonal.
Theorem
The trace of a n × n matrix is the sum of its n eigenvalues.
Theorem
The product of the n eigenvalues is the determinant of the matrix.

Example 8.13
Demonstrate the above theorems for
 
0 1 −2
A = 2 1 0 .
4 −2 5
The characteristic equation is
λ3 − 6λ2 + 11λ − 6 = 0.
The Cayley-Hamilton theorem is easily verified by direct substitution:
A3 − 6A2 + 11A − 6I = 0,
      
0 1 −2 0 1 −2 0 1 −2 0 1 −2 0 1 −2
2 1 0 2 1 0 2 1 0  − 62 1 0 2 1 0 
4 −2 5 4 −2 5 4 −2 5 4 −2 5 4 −2 5
     
0 1 −2 1 0 0 0 0 0
+11  2 1 0  − 60 1 0 = 0 0 0,
4 −2 5 0 0 1 0 0 0
       
−30 19 −38 36 −30 60 0 11 −22 −6 0 0
 −10 13 −24  +  −12 −18 24  +  22 11 0  +  0 −6 0 
52 −26 53 −96 48 −102 44 −22 55 0 0 −6
1
after Arthur Cayley, 1821-1895, English mathematician, and William Rowan Hamilton, 1805-1865,
Anglo-Irish mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

306 CHAPTER 8. LINEAR ALGEBRA

 
0 0 0
= 0 0 0.
0 0 0

Considering the traditional right eigenvalue problem, A·e = λI·e, it is easily shown that the eigenvalues
and (right) eigenvectors for this system are
 
0
λ1 = 1, e(1) =  2  ,
1
1
2
λ2 = 2, e(2) =  1  ,
0
 
−1
λ3 = 3, e(3) =  −1  .
1
One notes that while the eigenvectors do form a basis in R3 , that they are not orthogonal; this is a
consequence of the matrix not being self-adjoint (or more specifically asymmetric). The spectral radius
of A is 3. Now
    
0 1 −2 0 1 −2 −6 5 −10
A2 = A · A =  2 1 0 2 1 0 = 2 3 −4  .
4 −2 5 4 −2 5 16 −8 17

It is easily shown that the eigenvalues for A2 are 1, 4, 9, precisely the squares of the eigenvalues of A.
The trace is
trA = 0 + 1 + 5 = 6.
Note this is the equal to the sum of the eigenvalues
3
X
λi = 1 + 2 + 3 = 6.
i=1

Note also that

detA = 6 = λ1 λ2 λ3 = (1)(2)(3) = 6.
Note that since all the eigenvalues are positive, A is a positive matrix. It is not positive definite. Note
for instance if x = (−1, 1, 1)T , that xT · A · x = −1. We might ask about the positive definiteness of
the symmetric part of A, As = 21 (A + AT ) :
 3

0 2 1
As =  32 1 −1  .
1 −1 5

In this case As has real eigenvalues, both positive and negative, λ1 = 5.32, λ2 = −1.39, λ3 = 2.07.
Because of the presence of a negative eigenvalue in the symmetric part of A, we can conclude that both
A and As are not positive definite.
We also note that for real-valued problems x ∈ RN , A ∈ RN ×N , the antisymmetric part of a matrix
can never be positive definite by the following argument. We can say xT · A · x = xT · (As + Aa ) · x.
Then one has xT · Aa · x = 0 for all x because the tensor inner product of the real antisymmetric Aa
with the symmetric xT and x is identically zero. So to test the positive definiteness of a real A, it
suffices to consider the positive definiteness of its symmetric part: xT · As · x ≥ 0.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.2. MATRIX ALGEBRA 307

For complex-valued problems, x ∈ CN , A ∈ CN ×N , it is not quite as simple. Recalling that the

eigenvalues of an antisymmetric matrix Aa are purely imaginary, we have, if x is an eigenvector of Aa ,
that xT · Aa · x = xT · (λ)x = xT · (iλI )x = iλI xT · x = iλI ||x||22 , where λI ∈ R1 . Hence whenever the
vector x is an eigenvector of Aa , the quantity xT · Aa · x is a pure imaginary number.
We can also easily solve the left eigenvalue problem, eTL · A = λeTL · I:
 
2
(1)
λ1 = 1, eL =  −1  ,
1
 
−3
(2)
λ2 = 2, eL =  1  ,
−2
 
2
(3)
λ3 = 3, eL =  −1  .
2
We see eigenvalues are the same, but the left and right eigenvectors are different.

8.2.6 Complex matrices

If x and y are complex vectors, we know that their inner product involves the conjugate
transpose. The conjugate transpose operation occurs so often we give it a name, the Her-
mitian transpose, and denote it by a superscript H. Thus we define the inner product
as
<x, y> = xT · y = xH · y.
Then the norm is given by √
||x||2 = + xH · x.

Example 8.14
If  
1+i
 3 − 2i 
x= ,
2
−3i
find ||x||2 .
v  
u
u 1+i
√ u  3 − 2i  √ √
||x||2 = + xH · x = +u
t(1 − i, 3 + 2i, 2, +3i)  2  = + 2 + 13 + 4 + 9 = 2 7.
−3i

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

308 CHAPTER 8. LINEAR ALGEBRA

Example 8.15
If  
1+i
x =  −2 + 3i  ,
2−i
 
3
y =  4 − 2i  ,
3 + 3i
find <x, y>.

<x, y> = xH · y,
 
3
= (1 − i, −2 − 3i, 2 + i)  4 − 2i  ,
3 + 3i
= (3 − 3i) + (−14 − 8i) + (3 + 9i),
= −8 − 2i.

Likewise, the conjugate or Hermitian transpose of a matrix A is AH , given by the trans-

pose of the matrix with each element being replaced by its conjugate:

AH = ĀT .

As the Hermitian transpose is the adjoint operator corresponding to a given complex matrix,
we can apply an earlier proved theorem for linear operators to deduce that the eigenvalues
of a complex matrix are the complex conjugates of the Hermitian transpose of that matrix.
The Hermitian transpose is distinguished from a matrix which is Hermitian as follows. A
Hermitian matrix is one which is equal to its conjugate transpose. So a matrix which equals
its Hermitian transpose is Hermitian. A matrix which does not equal its Hermitian transpose
is non-Hermitian. A skew-Hermitian matrix is the negative of its Hermitian transpose. A
Hermitian matrix is self-adjoint.
Properties:
• xH · A · x is real if A is Hermitian.

• The eigenvalues of a Hermitian matrix are real.

• The eigenvectors of a Hermitian matrix that correspond to different eigenvalues, are

orthogonal to each other.

• The determinant of a Hermitian matrix is real.

• If A is skew-Hermitian, then iA is Hermitian, and vice-versa.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.2. MATRIX ALGEBRA 309

Note the diagonal elements of a Hermitian matrix must be real as they must be unchanged
by conjugation.

Example 8.16
Consider A · x = b, where A : C3 → C3 with A the Hermitian matrix and x the complex vector:
   
1 2−i 3 3 + 2i
A =  2 + i −3 2i  , x =  −1  .
3 −2i 4 2−i

First, we have
    
1 2−i 3 3 + 2i 7
b = A · x = 2 + i −3 2i   −1  =  9 + 11i  .
3 −2i 4 2−i 17 + 4i

Now, demonstrate that the properties of Hermitian matrices hold for this case. First
  
1 2−i 3 3 + 2i
xH · A · x = (3 − 2i, −1, 2 + i)  2 + i −3 2i   −1  = 42 ∈ R1 .
3 −2i 4 2−i

The eigenvalues and (right, same as left here) eigenvectors are

 
0.525248
λ1 = 6.51907, e(1) =  0.132451 + 0.223964i  ,
0.803339 − 0.105159i
 
−0.745909
λ2 = −0.104237, e(2) =  −0.385446 + 0.0890195i  ,
0.501844 − 0.187828i
 
0.409554
λ3 = −4.41484, e(3) =  −0.871868 − 0.125103i  .
−0.116278 − 0.207222i

Check for orthogonality between two of the eigenvectors, e.g e(1) , e(2) :

<e(1) , e(2) > = e(1)H · e(2) ,

 
−0.745909
= (0.525248, 0.132451 − 0.223964i, 0.803339 + 0.105159i)  −0.385446 + 0.0890195i  ,
0.501844 − 0.187828i
= 0 + 0i.

The same holds for other eigenvectors.

It can then be shown that
det A = 3,
which is also equal to the product of the eigenvalues.
Lastly  
i 1 + 2i 3i
iA =  −1 + 2i −3i −2  ,
3i 2 4i

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

310 CHAPTER 8. LINEAR ALGEBRA

is skew-symmetric. It is easily shown the eigenvalues of iA are

λ1 = 6.51907i, λ2 = −0.104237i, λ3 = −4.41484i.
Note the eigenvalues of this matrix are just those of the previous multiplied by i.

8.3 Orthogonal and unitary matrices

8.3.1 Orthogonal matrices
A set of n n-dimensional real orthonormal vectors {e1 , e2 , · · · , en } can be formed into an
orthogonal matrix

Q = {e1 }, {e2 }, · · · , {en } . (8.14)
Properties of orthogonal matrices include
1. QT = Q−1 , and both are orthogonal.
2. QT · Q = Q · QT = I.
3. ||Q||2 = 1, when the domain and range of Q are in Hilbert spaces.
4. ||Q · x||2 = ||x||2, where x is a vector.
5. (Q · x)T · (Q · y) = xT · y, where x and y are real vectors.
6. Eigenvalues of Q have |λi | = 1, λi ∈ C1 .
Geometrically, an orthogonal matrix is an operator which rotates but does not stretch a
vector. Additionally, for an orthogonal matrix to be a true rotation in a three-dimensional
space which obeys the right hand rule, we must have det(Q) = 1. Rotation matrices, as well
as their transpose, matrices of direction cosines, are both orthogonal matrices.

Example 8.17
Find the orthogonal matrix corresponding to
 
2 1
A= .
1 2
   
1 1 1 1
The normalized eigenvectors are 2
√ and 2
√ .
−1 1
The orthogonal matrix is  
1 1 1
Q= √ .
2 −1 1
Note that Q is not symmetric.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.3. ORTHOGONAL AND UNITARY MATRICES 311

8.3.2 Unitary matrices

A unitary matrix U is a complex matrix with orthonormal columns. It is the complex analog
of an orthogonal matrix.
Properties of unitary matrices include
• UH = U−1 , and both are unitary.
• UH · U = U · UH = I.
• ||U||2 = 1, when the domain and range of U are in Hilbert spaces.
• ||U · x||2 = ||x||2 , where x is a vector.
• (U · x)H · (U · y) = xH · y, where x and y are vectors.
• Eigenvalues of U have |λi | = 1, λi ∈ C1 .
• Eigenvectors of U corresponding to different eigenvalues are orthogonal.
Unitary matrices represent pure rotations in a complex space.

Example 8.18
Consider the unitary matrix !
1+i
√ 1−2i
√
3 15
U= .
√1 1+3i
√
3 15

The column vectors are easily seen to be normal. They are also orthogonal:
  1−2i !
1−i 1 √
15
√ ,√ 1+3i = 0 + 0i.
3 3 √
15

The matrix itself is not Hermitian. Still, its Hermitian transpose exists:
1−i 1
!
√ √
UH = 3
1+2i
3
1−3i .
√ √
15 15

It is then easily verified that

U−1 = UH ,
U · UH = UH · U = I.
The eigensystem is
 
0.688191 − 0.425325i
(1)
λ1 = −0.0986232 + 0.995125i, e = ,
0.587785
 
−0.306358 + 0.501633i
λ2 = 0.934172 + 0.356822i, e(2) = .
−0.721676 − 0.36564i
It is easily verified that the eigenvectors are orthogonal and the eigenvalues have magnitude of one.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

312 CHAPTER 8. LINEAR ALGEBRA

8.4 Discrete Fourier Transforms

It is a common practice in expermental and theoretical science and engineering to decompose
a function or a signal into its Fourier modes. The amplitudes of these modes is often a
useful description of the function. A Fourier transform is a linear integral operator which
operates on continuous functions and yields results from which amplitudes of each frequency
component can be determined. Its discrete analog is the Discrete Fourier transform (DFT).
The DFT is a matrix which operates on a vector of data to yield a vector of transformed
data. There exists a popular, albeit complicated, algorithm to compute the DFT, known
as the Fast Fourier Transform (FFT). This will not be studied here; instead, a simpler and
slower method is presented, which will be informally known as a Slow Fourier Transform
(SFT). This discussion will simply present the algorithm for the SFT and demonstrate its
use by example.
The Fourier transform (FT) Y (κ) of a function y(x) is defined as
Z ∞
Y (κ) = Y[y(x)] = y(x)e−(2πi)κx dx, (8.15)
−∞

and the inverse FT is defined as

Z ∞
y(x) = Y −1
[Y (κ)] = Y (κ)e(2πi)κx dκ. (8.16)
−∞

Here κ is the wavenumber, and is the reciprocal of the wavelength. The FT has a discrete
analog. The connection between the two is often not transparent in the literature. With some
effort a connection can be made at the expense of diverging from one school’s notation to
the other’s. Here, we will be satisfied with a form which demonstrates the analogs between
the continuous and discrete transform, but will not be completely linked. To make the
connection, one can construct a discrete approximation to the integral of the FT, and with
some effort, arrive at an equivalent result.
For the DFT, consider a function y(x), x ∈ [xmin , xmax ], x ∈ R1 , y ∈ R1 . Now discretize
the domain into N uniformly distributed points so that every xj is mapped to a yj for
j = 0, . . . , N −1. Here we comply with the tradtional, yet idiosyncratic, limits on j which are
found in many texts on DFT. This offsets standard vector and matrix numbering schemes by
one, and so care must be exercised in implementing these algorithms with common software.
We seek a discrete analog of the continuous Fourier transformation of the form
N −1    
1 X N −1 xj − xmin
yj = √ ck exp (2πi)k , j = 0, . . . , N − 1. (8.17)
N k=0 N xmax − xmin

Here k plays the role of κ, and ck plays the role of Y (κ). For uniformly spaced xj , one has
 
xj − xmin
j = (N − 1) , (8.18)
xmax − xmin

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.4. DISCRETE FOURIER TRANSFORMS 313

so that we then seek

N −1  
1 X kj
yj = √ ck exp (2πi) , j = 0, . . . , N − 1. (8.19)
N k=0 N

Now consider the equation

z N = 1, z ∈ C1 . (8.20)
This equation has N distinct roots
j
z = e2πi N , j = 0, . . . , N − 1, (8.21)

Taking for convenience

w ≡ e2πi/N , (8.22)
one sees that the N roots are also described by w 0 , w 1 , w 2, . . . , w N −1. Now define the following
matrix  
1 1 1 ... 1
1 w w2 . . . w N −1 
1  2 4

2(N −1) 
F=√  1 w w . . . w (8.23)
N  ... .. .. .. .. 
. . . . 
N −1 2(N −1) (N −1)2
1 w w ... w
It is easy to demonstrate for arbitrary N that F is unitary, that is

FH · F = I. (8.24)

Since F is unitary, it is immediately known that FH = F−1 , that ||F||2 = 1, that the
eigenvalues of F have magnitude of unity, and that the column vectors of F are orthonormal.
√
Note that F is not Hermitian. Also note that many texts omit the factor 1/ N in the
definition of F; this is not a major problem, but does render F to be non-unitary.
Now given a vector y = yj , j = 0, . . . , N −1, the DFT is defined as the following mapping

c = FH · y. (8.25)

The inverse transform is trivial due to the unitary nature of F:

F·c = F · FH · y, (8.26)
F·c = F · F−1 · y, (8.27)
F·c = I · y, (8.28)
y = F · c. (8.29)

Now apply the norm operator to the above equation

||y||2 = ||F · c||2 . (8.30)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

314 CHAPTER 8. LINEAR ALGEBRA

By the triangle inequality, one then has

||y||2 ≤ ||F||2 ||c||2. (8.31)

Now ||F||2 = 1 because it is an orthogonal matrix, and because all its eigenvalues have unit
magnitude, it in fact does not change the norm of c, so we get the equality, which induces a
Parseval’s equation
||y||2 = ||c||2. (8.32)

Example 8.19
Consider a five term DFT of the function

y = x2 , x ∈ [0, 4]. (8.33)

Take then for N = 5, a set of uniformly distributed points in the domain and their image in the range:

x0 = 0, x1 = 1, x2 = 2, x3 = 3, x4 = 4, (8.34)
y0 = 0, y1 = 1, y2 = 4, y3 = 9, y4 = 16. (8.35)

Now for N = 5, one has

  r !
2πi/5 1 √ 1 1 √
w=e = (−1 + 5) + (5 + 5) i = 0.3090 + 0.9511i. (8.36)
4 2 2
| {z } | {z }
=ℜ(w) =ℑ(w)

The five distinct roots of z 5 = 1 are

z (0) = w0 = 1, (8.37)
z (1) = w1 = 0.3090 + 0.9511i, (8.38)
z (2) = w2 = −0.8090 + 0.5878i, (8.39)
z (3) = w3 = −0.8090 − 0.5878i, (8.40)
z (4) = w4 = 0.3090 − 0.9511i, (8.41)
(8.42)

The matrix F is then

   
1 1 1 1 1 1 1 1 11
2 3 4
 1 w w w w   1 w w2 w3 4
w 
1   1  
F = √ 1 w2 w4 w6 w8  = √  1 w2 w4 w1
w3  (8.43)
5 1 w3 w6 w9 w12
 5  1 w3 w1 w4
w 2
4 8 12 16
1 w w w w 1 w4 w3 w2
w1
 
1 1 1 1 1
 1 0.3090 + 0.9511i −0.8090 + 0.5878i −0.8090 − 0.5878i 0.3090 − 0.9511i 
1  
= √  1 −0.8090 + 0.5878i 0.3090 − 0.9511i 0.3090 + 0.9511i −0.8090 − 0.5878i  .
5  1 −0.8090 − 0.5878i 0.3090 + 0.9511i 0.3090 − 0.9511i −0.8090 + 0.5878i

1 0.3090 − 0.9511i −0.8090 − 0.5878i −0.8090 + 0.5878i 0.3090 + 0.9511i
(8.44)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.4. DISCRETE FOURIER TRANSFORMS 315

Now c = FH · y, so
    
c0 1 1 1 1 1 0
 c1   1 0.3090 − 0.9511i −0.8090 − 0.5878i −0.8090 + 0.5878i 0.3090 + 0.9511i   1 
  1   
 c2  = √  1 −0.8090 − 0.5878i 0.3090 + 0.9511i 0.3090 − 0.9511i −0.8090 + 0.5878i   4 
 
c3 5  1 −0.8090 + 0.5878i 0.3090 − 0.9511i 0.3090 + 0.9511i −0.8090 − 0.5878i
 
9
c4 1 0.3090 + 0.9511i −0.8090 + 0.5878i −0.8090 − 0.5878i 0.3090 − 0.9511i 16
 
13.4164
 −2.3541 + 7.6942i 
 
=  −4.3541 + 1.8164i  (8.45)
 
−4.3541 − 1.8164i
−2.3541 − 7.6942i

Now one is often interested in the magnitude of the components of c, which gives a measure of the
so-called energy associated with each Fourier mode. So one calculates a vector of the magnitude of
each component as
√     
√c0 c0 |c0 | 13.4164
 √c1 c1   |c1 |   8.0463 
     
 √c2 c2  =  |c2 |  =  4.7178  (8.46)
     
√ c 3 c 3 |c 3 | 4.7178
c4 c4 |c4 | 8.0463

Now due to a phenomena known as aliasing, explained in detail in standard texts, the values of ck
which have the most significance are the first half ck , k = 0, . . . , N/2.
Here √
||y||2 = ||c||2 = 354 = 18.8149. (8.47)
Note that by construction
1
y0 = √ (c0 + c1 + c2 + c3 + c4 ) , (8.48)
5
1  
y1 = √ c0 + c1 e2πi/5 + c2 e4πi/5 + c3 e6πi/5 + c4 e8πi/5 , (8.49)
5
1  
y2 = √ c0 + c1 e4πi/5 + c2 e8πi/5 + c3 e12πi/5 + c4 e16πi/5 , (8.50)
5
1  
y3 = √ c0 + c1 e6πi/5 + c2 e12πi/5 + c3 e18πi/5 + c4 e24πi/5 , (8.51)
5
1  
y4 = √ c0 + c1 e8πi/5 + c2 e16πi/5 + c3 e24πi/5 + c4 e32πi/5 . (8.52)
5
In general, it is seen that yj can be described by
N −1  
1 X kj
yj = √ ck exp (2πi) , j = 0, . . . , N − 1. (8.53)
N k=0 N

Realizing now that for a uniform discretization, such as done here, that
xmax − xmin
∆x = , (8.54)
N −1
and that
xj = j∆x + xmin , j = 0, . . . , N − 1, (8.55)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

316 CHAPTER 8. LINEAR ALGEBRA

one has  
xmax − xmin
xj = j + xmin , j = 0, . . . , N − 1. (8.56)
N −1
Solving for j, one gets
 
xj − xmin
j = (N − 1) , (8.57)
xmax − xmin
so that yj can be expressed as a Fourier-type expansion in terms of xj as

N    
1 X N −1 xj − xmin
yj = √ ck exp (2πi)k , j = 0, . . . , N − 1. (8.58)
N k=1 N xmax − xmin

Here, the wavenumber of mode k, κk , is seen to be

N −1
κk = k . (8.59)
N
And as N → ∞, one has
κk ∼ k. (8.60)

Example 8.20
The real power of the DFT is seen in its ability to select ampitudes of modes of signals at certain
frequencies. Consider the signal for x ∈ [0, 3]
     
2x 10x 100x
y(x) = 10 sin (2π) + 2 sin (2π) + sin (2π) . (8.61)
3 3 3

Rescaling the domain so as to take x ∈ [0, 3] into x̃ ∈ [0, 1] via the transformation x̃ = x/3, one has

y(x̃) = 10 sin ((2π)2x̃) + 2 sin ((2π)10x̃) + sin ((2π)100x̃) . (8.62)

To capture the high wavenumber components of the signal, one must have a suffiently large value of N .
Note in the transformed domain that the smallest wavelength is λ = 1/100 = 0.01. So for a domain
length of unity, one needs at least N = 100 sampling points. In fact, let us choose to take more points,
N = 523. There is no problem in choosing an unusual number of points for this so-called slow Fourier
transform. If an FFT were attempted, one would have to choose integral powers of 2 as the number of
points.
A plot of the function y(x) and two versions of its DFT, |ck | vs. k, is given in in Figure 8.3 Note
that |ck | has its peaks at k = 2, k = 10, and k = 100, equal to the wavenumbers of the generating sine
functions, κ1 = 2, κ2 = 10, and κ3 = 100. To avoid the confusing, and non-physical, aliasing effect,
only half the |ck | values have been plotted the first DFT of Fig. 8.3. The second DFT here plots all
values of |ck | and thus exhibits aliasing for large k.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.4. DISCRETE FOURIER TRANSFORMS 317

Original Signal
15

10

0
y

−5

−10

−15
0 1 2 3
x

Discrete Fourier Transform: No Aliasing Discrete Fourier Transform: With Aliasing

120 120

100 100

80 80
|c |

|ck|
k

60 60

40 40

20 20

0 0
0 1 2 3 −200 0 200 400 600
10 10 10 10
k k

Figure 8.3: Plot of a three term sinusoid y(x) and its discrete Fourier transform for N = 523
points. The first DFT is plotted from k = 0, . . . , N/2 and thus represents the original signal
well. The second DFT is plotted from k = 0, . . . , N − 1 and exhibits aliasing effects at high
k.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

318 CHAPTER 8. LINEAR ALGEBRA

Original Signal
3

0
y

−1

−2

−3
0 0.2 0.4 0.6 0.8 1
x

Discrete Fourier Transform: No Aliasing Discrete Fourier Transform: With Aliasing

14 14

12 12

10 10

8 8
|ck|

|c |
k
6 6

4 4

2 2

0 0
0 1 2 3
10 10 10 10 −200 0 200 400 600 800
k k

Figure 8.4: Plot of a two term sinusoid accompanied by random noise y(x) and its discrete
Fourier transform for N = 607 points. The first DFT is plotted from k = 0, . . . , N/2 and
thus represents the original signal well. The second DFT is plotted from k = 0, . . . , N − 1
and exhibits aliasing effects at high k.

Example 8.21
Now take the DFT of a signal which is corrupted by so-called white, or random, noise. The signal
here is given in x ∈ [0, 1] by

y(x) = sin ((2π)10x) + sin ((2π)100x) + frand [−1, 1](x). (8.63)

Here frand [−1, 1](x) returns a random number between −1 and 1 for any value of x. A plot of the
function y(x) and two versions of its 607 point DFT, |ck | vs. k, is given in in Figure 8.4 In the raw data
plotted in Fig. 8.4, it is difficult to distinguish the signal from the random noise. But on examination
of the accompanying DFT plot, it is clear that there are unambiguous components of the signal which
peak at k = 10 and k = 100, which indicates there is a strong component of the signal with κ = 10 and
κ = 100. Once again, to avoid the confusing, and non-physical, aliasing effect, only half the |ck | values
have been plotted in the first DFT of Fig. 8.4. The second DFT gives all values of |ck | and exhibits
aliasing.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.5. MATRIX DECOMPOSITIONS 319

8.5 Matrix decompositions

One of the most important tasks, especially in the numerical solution of algebraic and dif-
ferential equations, is decomposing general matrices into simpler components. A brief dis-
cussion will be given here of some of the more important decompositions. Full discussions
can be found in Strang’s text. It is noted that many popular software programs, such as
Matlab, Mathematica, IMSL libraries, etc. have routines which routinely calculate these
decompositions.

8.5.1 L · D · U decomposition
Probably the most important technique in solving linear systems of algebraic equations of
the form A · x = b, uses the decomposition

A = P−1 · L · D · U, (8.64)

where A is a square matrix, 2 P is a never-singular permutation matrix, L is a lower trian-

gular matrix, D is a diagonal matrix, and U is an upper triangular matrix. The notation of
U for the upper triangular matrix is common, and should not be confused with the identical
notation for a unitary matrix. In other contexts R is sometimes used for an upper triangular
matrix. All terms can be found by ordinary Gaussian elimination. The permutation matrix
is necessary in case row exchanges are necessary in the Gaussian elimination.
A common numerical algorithm to solve for x in A · x = b is as follows

• Factor A into P−1 · L · D · U so that A · x = b becomes

P−1 · L · D · U · x = b.

• Operate on both sides as follows:

−1
U · x = P−1 · L · D · b.

• Solve next for the new variable c in the new equation

P−1 · L · D · c = b

so
−1
c = P−1 · L · D ·b
The triangular form of L · D renders the inversion of (P−1 · L · D) to be much more
computationally efficient than inversion of an arbitrary square matrix.
2
If A is not square, there is an equivalent decomposition, known as row echelon form, to be discussed
later in this chapter.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

320 CHAPTER 8. LINEAR ALGEBRA

• Substitute c into the modified original equation to get

U·x=c

so
x = U−1 · c
Again since U is triangular, the inversion is computationally efficient.

Example 8.22
Find the L · D · U decomposition of the matrix below:
 
−5 4 9
A =  −22 14 18  .
16 −8 −6

The process is essentially a series of row operations, which is the essence of Gaussian elimination. First
we operate to transform the −22 and 16 in the first column into zeroes. Crucial in this step is the
necessity of the term in the 1,1 slot, known as the pivot, to be non-zero. If it is zero, a row exchange
will be necessary, mandating a permutation matrix which is not the identity matrix. In this case there
are no such problems. We multiply the first row by 22 5 and subtract from the second row, then multiply
the first row by − 16
5 and subtract from the third row. The factors 22 16
5 and − 5 will go in the 2,1 and
3,1 slots of the matrix L. The diagonal of L always is filled with ones. This row operation yields
    
−5 4 9 1 0 0 −5 4 9
A =  −22 14 18  =  22/5 1 0   0 −18/5 −108/5  .
16 −8 −6 −16/5 0 1 0 24/5 114/5

Now multiplying the new second row by − 34 , subtracting this from the third row, and depositing the
factor − 34 into 3,2 slot of the matrix L, we get
    
−5 4 9 1 0 0 −5 4 9
A =  −22 14 18  =  22/5 1 0   0 −18/5 −108/5  .
16 −8 −6 −16/5 −4/3 1 0 0 −6
| {z }| {z }
L U

The form above is often described as the L · U decomposition of A. We can force the diagonal terms
of the upper triangular matrix to unity by extracting a diagonal matrix D to form the L · D · U
decomposition:
     
−5 4 9 1 0 0 −5 0 0 1 −4/5 −9/5
A =  −22 14 18  =  22/5 1 0   0 −18/5 0   0 1 6 .
16 −8 −6 −16/5 −4/3 1 0 0 −6 0 0 1
| {z }| {z }| {z }
L D U

Note that D does not contain the eigenvalues of A. Also since there were no row exchanges necessary
P = P−1 = I, and it has not been included.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.5. MATRIX DECOMPOSITIONS 321

Example 8.23
Find the L · D · U decomposition of the matrix A:
 
0 1 2
A = 1 1 1.
1 0 0

There is a zero in the pivot, so a row exchange is necessary:

    
0 0 1 0 1 2 1 0 0
P · A = 0 1 01 1 1 = 1 1 1.
1 0 0 1 0 0 0 1 2

Performing Gaussian elimination by subtracting 1 times the first row from the second and depositing
the 1 in the 2,1 slot of L, we get
     
0 0 1 0 1 2 1 0 0 1 0 0
P ·A = L· U → 0 1 01 1 1 = 1 1 00 1 1.
1 0 0 1 0 0 0 0 1 0 1 2

Now subtracting 1 times the second row, and depositing the 1 in the 3,2 slot of L
     
0 0 1 0 1 2 1 0 0 1 0 0
P · A = L · U → 0 1 01 1 1 = 1 1 00 1 1.
1 0 0 1 0 0 0 1 1 0 0 1

Now U already has ones on the diagonal, so the diagonal matrix D is simply the identity matrix. Using
this and inverting P, which is P itself(!), we get the final decomposition
      
0 1 2 0 0 1 1 0 0 1 0 0 1 0 0
A = P−1 · L · D · U →  1 1 1  =  0 1 0   1 1 0   0 1 0   0 1 1  .
1 0 0 1 0 0 0 1 1 0 0 1 0 0 1
| {z }| {z }| {z }| {z }
P−1 L D U

It can also be shown that if A is symmetric, that the decomposition can be written as
A = P−1 · L · D · LT .

8.5.2 Row echelon form

When A is not square, we can still use Gaussian elimination to cast the matrix in row echelon
form:
A = P−1 · L · D · U.
Again P is a never-singular permutation matrix, L is lower triangular and square, D is
diagonal and square, U is upper triangular and rectangular and of the same dimension as
A. The strategy is to use row operations in such a fashion that ones or zeroes appear on the
diagonal.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

322 CHAPTER 8. LINEAR ALGEBRA

Example 8.24
Consider the non-square matrix studied earlier,
 
1 −3 2
A= .
2 0 3

We take 2 times the first row and subtract the result from the second row. The scalar 2 is deposited in
the 2,1 slot in the L matrix. So
    
1 −3 2 1 0 1 −3 2
A= = .
2 0 3 2 1 0 6 −1
| {z } | {z }
L U

Again, the above is also known as an L · U decomposition, and is often as useful as the L · D · U
decomposition. There is no row exchange so the permutation matrix and its inverse are the identity
matrix. We extract a 1 and 6 to form the diagonal matrix D, so the final form is
    
1 0 1 0 1 0 1 −3 2
A = P−1 · L · D · U = .
0 1 2 1 0 6 0 1 − 16
| {z } | {z } | {z } | {z }
P−1 L D U

Row echelon form is an especially useful form for underconstrained systems as illustrated
in the following example.

Example 8.25
Consider solutions for the unknown x in the equation A · x = b where A is known A : R5 → R3 ,
and b is left general, but considered to be known:
 
  x1  
2 1 −1 1 2  x2  b1
 
 4 2 −2 1 0   x3  =  b2  .
 
−2 −1 1 −2 −6 x4 b3
x5
We perform Gaussian elimination row operations on the second and third rows to get zeros in the first
column:  
  x1  
2 1 −1 1 2  x2  b1
 0 0 0 −1 −4   
 x3  =  −2b1 + b2  .
 
0 0 0 −1 −4 x4 b1 + b3
x5
The next round of Gaussian elimination works on the third row and yields
 
  x1  
2 1 −1 1 2  x2  b1
 0 0 0 −1 −4   
 x3  =  −2b1 + b2  .
 
0 0 0 0 0 x4 3b1 − b2 + b3
x5

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.5. MATRIX DECOMPOSITIONS 323

Note that the reduced third equation gives

0 = 3b1 − b2 + b3 .

This is the equation of a plane in R3 . Thus arbitrary b ∈ R3 will not satisfy the original equation.
Said another way, the operator A maps arbitrary five dimensional vectors x into a two-dimensional
subspace of a three dimensional vector space. The rank of A is 2. Thus the dimension of both the row
space and the column space is 2; the dimension of the right null space is 3, and the dimension of the
left null space is 1.
We also note there are two non-trivial equations remaining. The first non-zero elements from the
left of each row are known as the pivots. The number of pivots is equal to the rank of the matrix.
Variables which correspond to each pivot are known as basic variables. Variables with no pivot are
known as free variables. Here the basic variables are x1 and x4 , while the free variables are x2 , x3 , and
x5 .
Now enforcing the constraint 3b1 − b2 + b3 = 0, without which there will be no solution, we can
set each free variable to an arbitrary value, and then solve the resulting square system. Take x2 = r,
x3 = s, x5 = t, where here r, s, and t are arbitrary real scalar constants. So
 
 x1   
2 1 −1 1 2  r  b1
 
0 0 0 −1 −4   s  =  −2b1 + b2  ,
 
0 0 0 0 0 x4 0
t

which gives     
2 1 x1 b1 − r + s − 2t
= ,
0 −1 x4 −2b1 + b2 + 4t
which yields
x4 = 2b1 − b2 − 4t,
1
x1 = (−b1 + b2 − r + s + 2t).
2
Thus
  1  1   1 1  
x1 2 (−b1 + b2 − r + s + 2t) 2 (−b1 + b2 ) −2 2 1
 x2   r   0   1  0  0 
           
x =  x3  =  s = 0  + r 0  + s 1  + t 0 
           
x4 2b1 − b2 − 4t 2b1 − b2 0 0 −4
x5 t 0 0 0 1
r, s, t ∈ R1 .

The coefficients r, s, and t multiply the three right null space vectors. These in combination with two
independent row space vectors, form a basis for any vector x. Thus, we can again cast the solution as a
particular solution which is a unique combination of independent row space vectors and a non-unique
combination of the right null space vectors (the homogeneous solution):
       1 1  
x1 2 4 −2 2 1
 x2  25b − 13b  1  −13b + 11b  2   1  0  0 
  1 2   1 2        
x =  x3  =  −1  +  −2  + r̂  0  + ŝ  1  + t̂  0  .
  106   106        
x4 1 1 0 0 −4
x5 2 0 0 0 1
| {z } | {z }
row space right null space

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

324 CHAPTER 8. LINEAR ALGEBRA

In matrix form, we can say that

  25b1 −13b2 
4 − 12 1
  
x1 2 2 1 106
−13b1 +11b2
 x2   1 2 1 0 0  106

    
x =  x3  =  −1 −2 0 1 0  r̂ .
    
x4 1 1 0 0 −4  ŝ 
x5 2 0 0 0 1 t̂
Here we have taken r̂ = r + b1106
−9b2
, ŝ = s + −b106
1 +9b2
, and t̂ = −30b106
1 +26b2
; as they are arbitrary constants
multiplying vectors in the right null space, the relationship to b1 and b2 is actually unimportant. As
before, while the null space basis vectors are orthogonal to the row space basis vectors, the entire
system is not orthogonal. The Gram-Schmidt procedure could be used to cast the solution on either
an orthogonal or orthonormal basis.
It is also noted that we have effectively found the L · U decomposition of A. The terms in L are
from the Gaussian elimination, and we have already U:
    
2 1 −1 1 2 1 0 0 2 1 −1 1 2
A= L·U → 4 2 −2 1 0  =  2 1 0   0 0 0 −1 −4  .
−2 −1 1 −2 −6 −1 1 1 0 0 0 0 0
| {z } | {z }| {z }
A L U

The L · D · U decomposition is
     1

2 1 −1 1 2 1 0 0 2 0 0 1 2 − 21 1
2 1
 4 2 −2 1 0 = 2 1 00 −1 0   0 0 0 1 4.
−2 −1 1 −2 −6 −1 1 1 0 0 0 0 0 0 0 0
| {z } | {z }| {z }| {z }
A L D U

There were no row exchanges, so in effect the permutation matrix P is the identity matrix, and there
is no need to include it.
Lastly, we note that a more robust alternative to the method shown here would be to first apply
the AT operator to both sides of the equation so to map both sides into the column space of A. Then
there would be no need to restrict b so that it lies in the column space. Our results are then interpreted
as giving us only a projection of x. Taking AT · A · x = AT · b and then casting the result into row
echelon form gives
    
1 1/2 −1/2 0 −1 x1 (1/22)(b1 + 7b2 + 4b3 )
0 0 0 1 4   x2   (1/11)(b1 − 4b2 − 7b3 ) 
    
0 0 0 0 0   x3  =  0 .
    
0 0 0 0 0 x4 0
0 0 0 0 0 x5 0
This suggests we take x2 = r, x3 = s, and x5 = t and solve so to get
         
x1 (1/22)(b1 + 7b2 + 4b3 ) −1/2 1/2 1
 x2   0   1   0   0 
         
 x3  =  0  + r 0  + s 1  + t 0 .
         
x4 (1/11)(b1 − 4b2 − 7b3 ) 0 0 −4
x5 0 0 0 1
We could go on to cast this in terms of combinations of row vectors and right null space vectors, but
will not do so here. It is reiterated the this result is valid for arbitrary b, but that it only represents a
solution which minimizes the error in ||A · x − b||2 .

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.5. MATRIX DECOMPOSITIONS 325

8.5.3 Q · R decomposition
The Q · R decomposition allows us to formulate and matrix as the product of an orthogonal
(unitary if complex) matrix Q and an upper triangular matrix R, of the same dimension as
A. That is we seek Q and R such that

A=Q·R (8.65)

The matrix A can be square or rectangular. See Strang for details of the algorithm.

Example 8.26
The Q · R decomposition of the matrix we diagonalized in a previous example is as follows:
    
−5 4 9 −0.1808 −0.4982 0.8480 27.6586 −16.4867 −19.4153
A =  −22 14 18  = Q · R =  −0.7954 −0.4331 −0.4240   0 −2.0465 −7.7722  .
16 −8 −6 0.5785 −0.7512 −0.3180 0 0 1.9080
| {z } | {z }| {z }
A Q R

Noting that ||Q||2 = 1, we deduce that ||R||2 = ||A||2. Also recalling how matrices can
be thought of as transformations, we see how to think of A as a pure rotation (Q) followed
by stretching (R).

Example 8.27
Find the Q · R decomposition for our non-square matrix
 
1 −3 2
A= .
2 0 3

The decomposition is
  
−0.4472 −0.8944 −2.2361 1.3416 −3.577
A= .
−0.8944 0.4472 0 2.6833 −0.4472
| {z }| {z }
Q R

The Q·R decomposition can be shown to be closely related to the Gram-Schmidt orthog-
onalization process. It is also useful in increasing the efficiency of estimating x for A · x ≃ b
when the system is overconstrained; that is b is not in the column space of A, R(A). If we,

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

326 CHAPTER 8. LINEAR ALGEBRA

as usual operate on both sides as follows,

A·x b,≃ b 6∈ R(A),
T T
A ·A·x A · b,
= A = Q · R,
T T
(Q · R) · Q · R · x (Q · R) · b,
=
RT · QT · Q · R · x RT · QT · b,
=
RT · Q−1 · Q · R · x RT · QT · b,
=
RT · R · x RT · QT · b,
=

−1
x = RT · R · RT · QT · b,

−1 
T
Q·R·x = Q· R· R ·R · R · QT · b,
T


−1 
A · x = Q · R · RT · R · RT · QT · b.

−1
When rectangular R has no zeros on its diagonal, R · RT · R · RT has all zeroes, except
for r ones on the diagonal, where r is the rank of R. This makes solution of overconstrained
problems particularly simple.

8.5.4 Diagonalization
Casting a matrix into a form in which all (or sometimes most) of its off-diagonal elements
have zero value has its most important application in solving systems of differential equations
but also in other scenarios. For many cases, we can decompose a square matrix A into the
form
A = S · Λ · S−1 , (8.66)
where S is non-singular matrix and Λ is a diagonal matrix. To diagonalize a square matrix
A, we must find S, a diagonalizing matrix, such that S−1 · A · S is diagonal. Not all matrices
are diagonalizable.
Theorem
A matrix with distinct eigenvalues can be diagonalized, but the diagonalizing matrix is
not unique.
Definition: The algebraic multiplicity of an eigenvalue is number of times it occurs. The
geometric multiplicity of an eigenvalue is the number of eigenvectors it has.
Theorem
Nonzero eigenvectors corresponding to different eigenvalues are linearly independent.
Theorem
If A is an n × n matrix with n linearly independent right eigenvectors {e1 , e2 , · · · , en }
corresponding to eigenvalues {λ1 , λ2 , · · · , λn } (not necessarily distinct), then the n×n matrix
S whose columns are populated by the eigenvectors of A


S = {e1 }, {e2 }, · · · , {en } (8.67)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.5. MATRIX DECOMPOSITIONS 327

makes
S−1 · A · S = Λ, (8.68)
where  
λ1 0 · · · 0

 0 λ2 · · · 0 

Λ= .. .. .. ..  (8.69)
 . . . . 
0 0 · · · λn
is a diagonal matrix of eigenvalues. The matrices A and Λ are similar.
Let’s see if this recipe works when we fill the columns of S with the eigenvectors.

S−1 · A · S = Λ, (8.70)
A · S = S · Λ, (8.71)
   (1) (n)   (1) (n)   
a11 · · · a1n e1 · · · e1 e1 · · · e1 λ1 ··· 0
 ... ..
.
..   ..
. .
..
.
..  =  ..
. .
..
.
..   ..
. .
.. .
. .. ,(8.72)
(1) (n) (1) (n)
an1 · · · ann e · · · en en · · · en 0 · · · λn
| {z }| n {z } | {z }| {z }
=A =S =S =Λ
 (1) (n) 
λ1 e1 ··· λn e1
=  .. .. .. , (8.73)
. . .
(1) (n)
λ1 en · · · λn en
| {z }
=S·Λ
(1) (1)
A·e = λ1 e , (8.74)
(2)
A·e = λ2 e(2) , (8.75)
.. ..
. .
(n)
A·e = λn e(n) . (8.76)

Note also the effect post-multiplication of both sides by S−1 :

A · S · S−1 = S · Λ · S−1 ,
A = S · Λ · S−1 .

Example 8.28
Diagonalize the matrix considered in a previous example:
 
−5 4 9
A =  −22 14 18  ,
16 −8 −6

and check.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

328 CHAPTER 8. LINEAR ALGEBRA

The eigenvalue-eigenvector pairs are

 
−1
λ1 = −6, e1 =  −2  ,
1
 
1
λ2 = 3, e2 =  2  ,
0
 
2
λ3 = 6, e3 =  1  .
2

Then  
−1 1 2
S = ( e1 e2 e3 ) =  −2 2 1  .
1 0 2
The inverse is  
−4 2 3
1
S−1 =  −5 4 3  .
3
2 −1 0
Thus  
6 3 12
A · S =  12 6 6 ,
−6 0 12
and  
−6 0 0
Λ = S−1 · A · S =  0 3 0  .
0 0 6
Let us also note the complementary decomposition of A:
      
−1 1 2 −6 0 0 −4 2 3 −5 4 9
1
A = S · Λ · S−1 =  −2 2 1   0 3 0   −5 4 3  =  −22 14 18  .
3
1 0 2 0 0 6 2 −1 0 16 −8 −6
| {z }| {z }| {z } | {z }
S Λ S−1 A

Note that because the matrix is not symmetric, the eigenvectors are not orthogonal, e.g. eT1 · e2 = −5.

Note that if A is symmetric (Hermitian), then its eigenvectors must be orthogonal; thus,
it is possible to normalize the eigenvectors so that the matrix S is in fact orthogonal (unitary
if complex). Thus for symmetric A we have

A = Q · Λ · Q−1 .

Since Q−1 = QT , we have

A = Q · Λ · QT .

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.5. MATRIX DECOMPOSITIONS 329

Note also that with A · S = S · Λ, the column vectors of S (which are the right eigenvectors
of A) form a basis in Cn .
Consider now the right eigensystem of the adjoint of A, denoted by A∗ :

A∗ · P = P · Λ ∗ (8.77)

where Λ∗ is the diagonal matrix containing the eigenvalues of A∗ , and P is the matrix whose
columns are populated by the (right) eigenvectors of A∗ . Now we know from an earlier
proof that the eigenvalues of the adjoint are the complex conjugates of those of the original
operator, thus Λ∗ = ΛH . Also the adjoint operator for matrices is the Hermitian transpose.
So, we find that
AH · P = P · Λ H (8.78)
Taking the Hermitian transpose of both sides, we recover

PH · A = Λ · PH . (8.79)

So we see clearly that the left eigenvectors of a linear operator are the right eigenvectors of
the adjoint of that operator.
It is also possible to show that, remarkably, when we take the inner product of the matrix
of right eigenvectors of the operator with the matrix of right eigenvectors of its adjoint, that
we obtain a diagonal matrix, which we denote as D:

SH · P = D. (8.80)

Equivalently, this states that the inner product of the left eigenvector matrix with the right
eigenvector matrix is diagonal. Let us see how this comes about. Let si be a right eigenvector
of A with eigenvalue λi and pj be a left eigenvector of A with eigenvalue λj . Then

A · si = λi si , (8.81)

and
pH H
j · A = λj pj . (8.82)
If we premultiply the first eigen-relation, Eq. (8.81), by pH
j , we obtain

pH · A ·si = pH
j · (λi si ) . (8.83)
| j {z }
=λj pH
j

Substituting from the second eigen-relation, Eq. (8.82) and rearranging, Eq. (8.83) becomes

λj pH H
j · si = λi pj · si . (8.84)

Rearranging

(λj − λi ) pH
j · si = 0. (8.85)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

330 CHAPTER 8. LINEAR ALGEBRA

Now if i 6= j and λi 6= λj , we must have

pH
j · si = 0, (8.86)

or, taking the Hermitian transpose,

sH
i · pj = 0. (8.87)

If i = j, then all we can say is sH

i · pj is some arbitrary scalar. Hence we have shown the
H
desired relation that S · P = D.
Since eigenvectors have an arbitrary magnitude, it is a straightforward process to scale
either P or S such that the diagonal matrix is actually the identity matrix. Here we choose
to scale P, given that our task was to find the reciprocal basis vectors of S. We take then

SH · P̂ = I. (8.88)

Here P̂ denotes the matrix in which each eigenvector (column) of the original P has been
scaled such that the above identity is achieved. Hence P̂ is seen to give the set of reciprocal
basis vectors for the basis defined by S:

SR = P̂. (8.89)

It is also easy to see then that the inverse of the matrix S is given by

S−1 = P̂H . (8.90)

Example 8.29
For a matrix A considered in an earlier example, consider the basis formed by its matrix of eigen-
vectors S, and use the properly scaled matrix of eigenvectors of A∗ = AH to determine the reciprocal
basis SR .
We will take  
−5 4 9
A =  −22 14 18  .
16 −8 −6
As found before, the eigenvalue- (right) eigenvector pairs are
 
−1
λ1 = −6, e1R =  −2  ,
1
 
1
λ2 = 3, e2R =  2  ,
0
 
2
λ3 = 6, e3R =  1  .
2

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.5. MATRIX DECOMPOSITIONS 331

Then we take the matrix of basis vectors to be

 
−1 1 2
S = ( e1 e2 e3 ) =  −2 2 1  .
1 0 2

The adjoint of A is  
−5 −22 16
AH = 4 14 −8  .
9 18 −6
The eigenvalues-(right) eigenvectors of AH , which are the left eigenvectors of A, are found to be

 
−4
λ1 = −6, e1L =  2  ,
3
 
−5
λ2 = 3, e2L =  4  ,
3
 
−2
λ3 = 6, e3L =  1  .
0

So the matrix of right eigenvectors of the adjoint, which contains the left eigenvectors of the original
matrix, is  
−4 −5 −2
P= 2 4 1 .
3 3 0
We indeed find that the inner product of S and P is a diagonal matrix D:
     
−1 −2 1 −4 −5 −2 3 0 0
SH · P =  1 2 0 ·  2 4 1  = 0 3 0 .
2 1 2 3 3 0 0 0 −3

Using our knowledge of D, we individually scale each column of P to form the desired reciprocal basis
 
−4/3 −5/3 2/3
P̂ =  2/3 4/3 −1/3  = SR .
1 1 0

Then we see that the inner product of S and the reciprocal basis P̂ = SR is indeed the identity matrix:
     
−1 −2 1 −4/3 −5/3 2/3 1 0 0
SH · P̂ =  1 2 0  ·  2/3 4/3 −1/3  =  0 1 0  .
2 1 2 1 1 0 0 0 1

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

332 CHAPTER 8. LINEAR ALGEBRA

8.5.5 Jordan canonical form

A square matrix A without a sufficient number of linearly independent eigenvectors can still
be decomposed into a near-diagonal form:
A = S · J · S−1 , (8.91)
This form is known as the Jordan3 (upper) canonical form in which the near-diagonal matrix
J
J = S−1 · A · S, (8.92)
has zeros everywhere except for eigenvalues along the principal diagonal and unity above the
missing eigenvectors. The form is sometimes called a Jordan normal form.
Consider the eigenvalue λ of algebraic multiplicity n − k + 1 of the matrix An×n . Then
(A − λI) · e = 0, (8.93)
gives some linearly independent eigenvectors e1 , e2 , . . . , ek . If k = n, the algebraic multiplic-
ity is unity, and the matrix can be diagonalized. If, however, k < n we need n − k more
linearly independent vectors. These are the generalized eigenvectors. One can be obtained
from
(A − λI) · g1 = e, (8.94)
and others from
(A − λI) · gj+1 = gj for j = 1, 2, . . . , n − k − 1 (8.95)
This procedure is continued until n linearly independent eigenvectors and generalized eigen-
vectors are obtained, which is the most that we can have in Rn . Then


S = {e1 }, · · · , {ek }, {g1 }, · · · , {gn−k } (8.96)
gives S−1 · A · S = J, where J is of the Jordan canonical form.
Notice that gn also satisfies (A − λI)n · gn = 0. For example, if
(A − λI) · g = e,
(A − λI) · (A − λI) · g = (A − λI) · e,
(A − λI) · (A − λI) · g = 0,
(A − λI)2 · g = 0.
However any solution of the final equation above is not necessarily a generalized eigenvector.

Example 8.30
Find the Jordan canonical form of
 
4 1 3
A= 0 4 1 
0 0 4
3
Marie Ennemond Camille Jordan, 1838-1922, French mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.5. MATRIX DECOMPOSITIONS 333

The eigenvalues are λ = 4 with multiplicity three. For this value

 
0 1 3
(A − λI) =  0 0 1  .
0 0 0
(1) (1) (1)
The eigenvectors are obtained from (A − λI) · e(1) = 0, which gives x2 + 3x3 = 0, x3 = 0. The
most general form of the eigenvector is
 
a
e(1) =  0  .
0
Only one eigenvector can be obtained from this eigenvalue. To get a generalized eigenvector, we take
(2) (2) (2)
(A − λI) · g(1) = e(1) , which gives x2 + 3x3 = a, x3 = 0, so that
 
b
g(1) =  a  .
0
(3)
Another generalized eigenvector can be similarly obtained from (A − λI) · g(2) = g(1) , so that x2 +
(3) (3)
3x3 = b, x3 = a. Thus we get  
c
g(2) =  b − 3a  .
a
From the eigenvector and generalized eigenvectors
 
a b c
S = ( {e(1) } {g(1) } {g(2) } ) =  0 a b − 3a  ,
0 0 a
and  
1 −b2 +3ba+ca
a − ab2 a3
S−1 =  0 1
a
−b+3a
a2
.
1
0 0 a
The Jordan canonical form is
 
4 1 0
J = S−1 · A · S =  0 4 1 .
0 0 4
Note that, in the above, a and b are any constants. Choosing, for example, a = 1, b = c = 0 simplifies
the algebra giving  
1 0 0
S= 0 1 −3  ,
0 0 1
and  
1 0 0
S−1 = 0 1 3 .
0 0 1

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

334 CHAPTER 8. LINEAR ALGEBRA

8.5.6 Schur decomposition

The Schur4 decomposition is as follows:

A = Q · R · QT . (8.97)

Here Q is an orthogonal (unitary if complex) matrix, and R is upper triangular, with the
eigenvalues this time along the diagonal. The matrix A must be square.

Example 8.31
The Schur decomposition of the matrix we diagonalized in a previous example is as follows:
 
−5 4 9
A =  −22 14 18  = Q · R · QT =
16 −8 −6
| {z }
A
   
−0.4082 0.1826 0.8944 −6 −20.1246 31.0376 −0.4082 −0.8165 0.4082
 −0.8165 0.3651 −0.4472   0 3 5.7155   0.1826 0.3651 0.9129  .
0.4082 0.9129 0 0 0 6 0.8944 −0.4472 0
| {z }| {z }| {z }
Q R QT

If A is symmetric, then the upper triangular matrix R reduces to the diagonal matrix
with eigenvalues on the diagonal, Λ; the Schur decomposition is in this case simply A =
Q · Λ · QT .

8.5.7 Singular value decomposition

The singular value decomposition (SVD) is used for non-square matrices and is the most
general form of diagonalization. Any complex matrix An×m can be factored into the form

An×m = Qn×n · Bn×m · QH

m×m ,

where Qn×n and QH m×m are orthogonal (unitary, if complex) matrices, and B has positive
numbers µi , (i = 1, 2, . . . , r) in the first r positions on the main diagonal, and zero everywhere
else. It turns out that r is the rank of An×m . The columns of Qn×n are the eigenvectors of
An×m · AH H
n×m . The columns of Qm×m are the eigenvectors of An×m · An×m . The values µi ,
(i = 1, 2, . . . , r) ∈ R1 are called the singular values of A. They are analogous to eigenvalues
and are in fact are the positive square root of the eigenvalues of An×m ·AH H
n×m or An×m ·An×m .
Note that since the matrix from which the eigenvalues are drawn is Hermitian, that the
eigenvalues, and thus the singular values, are guaranteed real. Note also that if A itself is
4
Issai Schur, 1875-1941, Belrussian-born German-based mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.5. MATRIX DECOMPOSITIONS 335

square and Hermitian, that the absolute value of the eigenvalues of A will equal its singular
values. If A is square and non-Hermitian, there is no simple relation between its eigenvalues
and singular values. The factorization Qn×n · Bn×m · QH m×m is called the singular value
decomposition.
As discussed by Strang, the column vectors of Qn×n and Qm×m are even more than
orthonormal. They also must be chosen in such a way that An×m · Qm×m is a scalar multiple
of Qn×n . This comes directly from postmultiplying the general form of the singular value
decomposition by Qm×m : An×m · Qm×m = Qn×n · Bn×m . So in fact a more robust way
of computing the singular value decomposition is to first compute one of the orthogonal
matrices, and then compute the other orthogonal matrix with which the first one is consistent.

Example 8.32
Find the singular value decomposition of
 
1 −3 2
A2×3 = .
2 0 3

The matrix is real so we do not need to consider the conjugate transpose; we will retain the notation
for generality though here the ordinary transpose would suffice. First consider A · AH :

 1 2
  
1 −3 2  14 8
A · AH = −3 0  = .
2 0 3 8 13
| {z } 2 3
A | {z }
AH

The diagonal eigenvalue matrix and corresponding orthogonal matrix composed of the normalized
eigenvectors in the columns are
   
21.5156 0 0.728827 −0.684698
Λ2×2 = , Q2×2 = .
0 5.48439 0.684698 0.728827

Next we consider AH · A:
   
1 2   5 −3 8
1 −3 2
AH · A =  −3 0  =  −3 9 −6  .
2 0 3
2 3 | {z } 8 −6 13
| {z } A
AH

The diagonal eigenvalue matrix and corresponding orthogonal matrix composed of the normalized
eigenvectors in the columns are
   
21.52 0 0 0.4524 0.3301 −0.8285
Λ3×3 = 0 5.484 0  , Q3×3 =  −0.4714 0.8771 0.09206  .
0 0 0 0.7571 0.3489 0.5523

We take √   
21.52 √ 0 0 4.639 0 0
B2×3 = = ,
0 5.484 0 0 2.342 0

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

336 CHAPTER 8. LINEAR ALGEBRA

and can easily verify that

 
   0.4524 −0.4714 0.7571
0.7288 −0.6847 4.639 0 0 
Q2×2 · B2×3 · QH
3×3 = 0.3301 0.8771 0.3489 ,
0.6847 0.7288 0 2.342 0
| {z }| {z } −0.8285 0.09206 0.5523
Q2×2 B2×3 | {z }
QH
3×3
 
1 −3 2
= = A2×3 .
2 0 3
The singular values here are µ1 = 4.639, µ2 = 2.342.
Let’s see how we can get another singular value decomposition of the same matrix. Here we will
employ the more robust technique of computing the decomposition. The orthogonal matrices Q3×3 and
Q2×2 are not unique as one can multiply any row or column by −1 and still maintain orthonormality.
For example, instead of the value found earlier, let us presume that we found
 
−0.4524 0.3301 −0.8285
Q3×3 =  0.4714 0.8771 0.09206  .
−0.7571 0.3489 0.5523
Here, the first column of the original Q3×3 has been multiplied by −1. If we used this new Q3×3 in
conjunction with the previously found matrices to form Q2×2 · A2×3 · QH
3×3 , we would not recover A2×3 !
The more robust way is to take
A2×3 = Q2×2 · B2×3 · QH
3×3 ,

A2×3 · Q3×3 = Q2×2 · B2×3 ,

 
  −0.4524 0.3301 −0.8285   
1 −3 2  q11 q12 4.639 0 0
0.4714 0.8771 0.09206  = ,
2 0 3 q21 q22 0 2.342 0
| {z } −0.7571 0.3489 0.5523 | {z }| {z }
A2×3 | {z } Q2×2 B2×3
Q3×3
   
−3.381 −1.603 0 4.639q11 2.342q12 0
= .
−3.176 1.707 0 4.639q21 2.342q22 0
Solving for qij , we find that  
−0.7288 −0.6847
Q2×2 = .
−0.6847 0.7288
It is easily seen that this version of Q2×2 differs from the first version by a sign change in the first
column. Direct substitution shows that the new decomposition also recovers A2×3 :
 
   −0.4524 0.4714 −0.7571
−0.7288 −0.6847 4.639 0 0
Q2×2 · B2×3 · QH3×3 =
 0.3301 0.8771 0.3489 ,
−0.6847 0.7288 0 2.342 0
| {z }| {z } −0.8285 0.09206 0.5523
Q2×2 B2×3 | {z }
QH
3×3
 
1 −3 2
= = A2×3 .
2 0 3

It is also easily shown that the singular values of a square Hermitian matrix are identical
to the eigenvalues of that matrix. The singular values of a square non-Hermitian matrix are
not, in general, the eigenvalues of that matrix.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.6. PROJECTION MATRIX 337

8.5.8 Hessenberg form

A square matrix A can be decomposed into Hessenberg form

A = Q · H · QT ,

where Q is an orthogonal (or unitary) matrix and H has zeros below the first subdiagonal.
When A is Hermitian, Q is tridiagonal, which is very easy to invert numerically. Also H
has the same eigenvalues as A

Example 8.33
The Hessenberg form of our example square matrix A is
 
−5 4 9
A =  −22 14 18  = Q · H · QT =
16 −8 −6
   
1 0 0 −5 2.0586 9.6313 1 0 0
 0 −0.8087 0.5882   27.2029 2.3243 −24.0451   0 −0.8087 0.5882  .
0 0.5882 0.8087 0 1.9459 5.6757 0 0.5882 0.8087
| {z }| {z }| {z }
Q H QT

8.6 Projection matrix

The vector A · x belongs to the column space of A. Here A is not necessarily square.
Consider the equation A · x = b, where A and b are given. If the given vector b does not
lie in the column space of A, the equation cannot be solved for x. Still, we would like to
find xp such that
A · xp = bp , (8.98)
which does lie in the column space of A, such that bp is the projection of b onto the column
space. The error vector is
e = bp − b.
For a projection, this error should be orthogonal to all vectors A · z which belong to the
column space, where the components of z are arbitrary. Enforcing this condition, we get

0 = (A · z)T · e,
= (A · z)T · (bp − b),
= zT · AT · (A · xp − b),
= zT · (AT · A · xp − AT · b).

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

338 CHAPTER 8. LINEAR ALGEBRA

Since z is an arbitrary vector,

AT · A · xp − AT · b = 0. (8.99)

from which

AT · A · xp = AT · b,
xp = (AT · A)−1 · AT · b,
A · xp = A · (AT · A)−1 · AT · b,
bp = A · (AT · A)−1 · AT ·b.
| {z }
≡R

The projection matrix R defined by bp = R · b is

R = A · (AT · A)−1 · AT .

The projection matrix for an operator A, when operating on an arbitrary vector b yields
the projection of b onto the column space of A. Note that many vectors b could have the
same projection onto the column space of A.

8.7 Method of least squares

One important application of projection matrices is the method of least squares. This method
is often used to fit data to a given functional form. The form is most often in terms of polyno-
mials, but there is absolutely no restriction; trigonometric functions, logarithmic functions,
Bessel functions can all serve as well. Now if one has say, ten data points, one can in princi-
ple, find a ninth order polynomial which will pass through all the data points. Often times,
especially when there is much experimental error in the data, such a function may be subject
to wild oscillations, which are unwarranted by the underlying physics, and thus is not useful
as a predictive tool. In such cases, it may be more useful to choose a lower order curve which
does not exactly pass through all experimental points, but which does minimize the error.
In this method, one

• examines the data,

• makes a non-unique judgment of what the functional form might be,

• substitutes each data point into the assumed form so as to form an overconstrained
system of linear equations,

• uses the technique associated with projection matrices to solve for the coefficients which
best represent the given data.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.7. METHOD OF LEAST SQUARES 339

8.7.1 Unweighted least squares

This is the most common method used when one has equal confidence in all the data.

Example 8.34
Find the best straight line to approximate the measured data relating x to t.

t x

0 5
1 7
2 10
3 12
6 15
A straight line fit will have the form
x = a0 + a1 t,
where a0 and a1 are the terms to be determined. Substituting each data point to the assumed form,
we get five equations in two unknowns:
5 = a0 + 0a1 ,
7 = a0 + 1a1 ,
10 = a0 + 2a1 ,
12 = a0 + 3a1 ,
15 = a0 + 6a1 .
Rearranging, we get
   
1 0 5
1 1   7 
  a0  
1 2 =  10  .
  a1  
1 3 12
1 6 15
This is of the form A · a = b. We then find that

−1
a = AT · A · AT · b.
Substituting, we find that
 −1
   

 1 0   5
     1 1    7   
a0  1 1 1 1 1   1 1 1 1 1   5.7925
=  1 2   10  = .
a1  0 1 2 3 6   0 1 2 3 6   1.6698
| {z } 
| {z } 1 3   | {z } 12
a  AT 1 6  AT 15
| {z } | {z }
A b

So the best fit estimate is

x = 5.7925 + 1.6698 t.
The least squares error is ||A · a − b||2 = 1.9206. This represents the ℓ2 error of the prediction.
A plot of the raw data and the best fit straight line is shown in Figure 8.5

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

340 CHAPTER 8. LINEAR ALGEBRA

20

18

16

14
Data Points

12

10
x

6 x = 5.7925 + 1.6698 t
4

0
0 1 2 3 4 5 6 7

Figure 8.5: Plot of x − t data and best least squares straight line fit.

8.7.2 Weighted least squares

If one has more confidence in some data points than others, one can define a weighting
function to give more priority to those particular data points.

Example 8.35
Find the best straight line fit for the data in the previous example. Now however, assume that we
have five times the confidence in the accuracy of the final two data points, relative to the other points.
Define a square weighting matrix W:
 
1 0 0 0 0
0 1 0 0 0
 
W = 0 0 1 0 0.
 
0 0 0 5 0
0 0 0 0 5
Now we perform the following operations:

A·a = b,
W·A·a = W · b,
T T
(W · A) · W · A · a = (W · A) · W · b,
 −1
a = (W · A)T · W · A (W · A)T · W · b.

With the above values of W, direct substitution leads to

   
a0 8.0008
a= = .
a1 1.1972

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.8. MATRIX EXPONENTIAL 341

20

18
weighted data points
16

14

12

10
x

8
x = 8.0008 + 1.1972 t
6

0
0 1 2 3 4 5 6 7

Figure 8.6: Plot of x − t data and best weighted least squares straight line fit.

So the best weighted least squares fit is

x = 8.0008 + 1.1972 t.

A plot of the raw data and the best fit straight line is shown in Figure 8.6

When the measurements are independent and equally reliable, W is the identity matrix.
If the measurements are independent but not equally reliable, W is at most diagonal. If the
measurements are not independent, then non-zero terms can appear off the diagonal in W.
It is often advantageous, for instance in problems in which one wants to control a process in
real time, to give priority to recent data estimates over old data estimates and to continually
employ a least squares technique to estimate future system behavior. The previous example
does just that. A famous fast algorithm for such problems is known as a Kalman Filter.

8.8 Matrix exponential

Definition: The exponential matrix is defined as
1 2 1 3
eA = I + A + A + A +··· (8.100)
2! 3!
Thus
1 22 1 33
eAt = I + At + A t + A t + ···,
2! 3!
CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.
342 CHAPTER 8. LINEAR ALGEBRA

d At
1
e = A + A2 t + A3 t2 + · · · ,
dt  2! 
1 22 1 33
= A · I + At + A t + A t + · · · ,
2! 3!
| {z }
=eAt
At
= A·e .

Properties of the matrix exponential include

eaI = ea I, (8.101)
(eA )−1 = e−A , (8.102)
eA(t+s) = eAt eAs . (8.103)

But eA+B = eA eB only if A · B = B · A. Thus, etI+sA = et esA

Example 8.36
Find eAt if  
a 1 0
A= 0 a 1 .
0 0 a

We have
A = aI + B,

where
 
0 1 0
B= 0 0 1 .
0 0 0

Thus
 
0 0 1
B2 =  0 0 0 ,
0 0 0
 
0 0 0
B3 =  0 0 0 ,
0 0 0
..
.  
0 0 0
Bn =  0 0 0  , for n ≥ 4.
0 0 0

Furthermore
I · B = B · I = B.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.9. QUADRATIC FORM 343

Thus

eAt = e(aI+B)t ,
= eatI · eBt ,
   =0

z }| {
I + atI + 1 a2 t2 I2 + 1 a3 t3 I3 + · · · · I + Bt + 1 B2 t2 + 1 B3 t3 + · · · ,
   
= 
| 2! {z 3! }
 
| 2! {z 3! }

=eatI =eat I =eBt
 2

at 2t
= e I · I + Bt + B ,
2
 2 
1 t t2 ,
= eat  0 1 t  .
0 0 1

If A can be diagonalized, the calculation is simplified. Then

−1
t 1
n
eAt = eS·Λ·S = I + S · Λ · S−1 t + . . . + S · Λ · S−1 t .
n!
Noting that

2
S · Λ · S−1 = S · Λ · S−1 · S · Λ · S−1 = S · Λ2 · S−1 ,

n
S · Λ · S−1 = S · Λ · S−1 · . . . · S · Λ · S−1 = S · Λn · S−1 ,

the original equation reduces to

 
1 n n
e At
= S · I + Λt + . . . + (Λ t ) · S−1
n!
= S · eΛt · S−1 .

8.9 Quadratic form

At times one may be given a polynomial equation for which one wants to determine conditions
under which the expression is positive. For example if we have

f (x1 , x2 , x3 ) = 18x21 − 16x1 x2 + 5x22 + 12x1 x3 − 4x2 x3 + 6x23 ,

it is not obvious whether or not there exist (x1 , x2 , x3 ) which will give positive or negative
values of f . However, it is easily verified that f can be rewritten as

f (x1 , x2 , x3 ) = 2(x1 − x2 + x3 )2 + 3(2x1 − x2 )2 + 4(x1 + x3 )2 .

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

344 CHAPTER 8. LINEAR ALGEBRA

So in this case f ≥ 0 for all (x1 , x2 , x3 ). How to demonstrate positivity (or non-positivity)
of such expressions is the topic of this section. A quadratic form is an expression
n X
X n
f (x1 , · · · , xn ) = aij xi xj , (8.104)
j=1 i=1

where {aij } isP

a real,Psymmetric matrix which we will also call A. The surface represented by
the equation nj=1 ni=1 aij xi xj = constant is a quadric surface. With the coefficient matrix
defined, we can represent f as
f = xT · A · x. (8.105)
Now A can be decomposed as Q · Λ · Q−1 , where Q is the orthogonal matrix corresponding
to A and Λ is the corresponding diagonal matrix of eigenvalues. Thus
f = xT · Q · Λ · Q−1 · x. (8.106)
Since Q is orthogonal, we then have
f = xT · Q · Λ · QT · x. (8.107)
Now, define y so that y = QT · x = Q−1 · x. Consequently, x = Q · y. Thus our equation
for f becomes
f = (Q · y)T · Q · Λ · y, (8.108)
= yT · QT · Q · Λ · y, (8.109)
= yT · Q−1 · Q · Λ · y, (8.110)
= yT · Λ · y. (8.111)
This standard form of a quadratic form is one in which the cross-product terms (i.e. xi xj ,
i 6= j) do not appear.
Theorem
(Principal axis theorem) If Q is the orthogonal matrix and λ1 , · · · , λn the eigenvalues
corresponding to {aij }, a change in coordinates
   
x1 y1
 ..   . 
 .  = Q ·  ..  , (8.112)
xn yn
will reduce the quadratic form (8.104) to its standard form
λ1 y12 + λ2 y22 + · · · + λn yn2 . (8.113)

Example 8.37
Change
f (x1 , x2 ) = 2x21 + 2x1 x2 + 2x22 ,

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.9. QUADRATIC FORM 345

to standard form.
For n = 2, equation (8.104) becomes

f (x1 , x2 ) = a11 x21 + (a12 + a21 )x1 x2 + a22 x22 .

We choose {aij } such that the matrix is symmetric. This gives us

a11 = 2,
a12 = 1,
a21 = 1,
a22 = 2.

So we get  
2 1
A= .
1 2
The eigenvalue of A are λ = 1, λ = 3. The orthogonal matrix corresponding to A is
   
1 1 1 −1 T 1 1 −1
Q= √ , Q =Q = √ .
2 −1 1 2 1 1

The transformation x = Q · y is
1
x1 = √ (y1 + y2 ),
2
1
x2 = √ (−y1 + y2 ).
2

The inverse transformation y = Q−1 · x is

1
y1 = √ (x1 − x2 ),
2
1
y2 = √ (x1 + x2 ).
2
Substituting in f (x1 , x2 ) we get
f (y1 , y2 ) = y12 + 3y22 .
In terms of the original variables, we get
1 3
f (x1 , x2 ) = (x1 − x2 )2 + (x1 + x2 )2 .
2 2

Example 8.38
Change
f (x1 , x2 , x3 ) = 18x21 − 16x1 x2 + 5x22 + 12x1 x3 − 4x2 x3 + 6x23 ,
to standard form.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

346 CHAPTER 8. LINEAR ALGEBRA

For n = 3, equation (8.104) becomes

  
18 −8 6 x1
f (x1 , x2 , x3 ) = ( x1 x2 x3 )  −8 5 −2   x2  = xT · A · x.
6 −2 6 x3
The eigenvalues of A are λ1 = 1, λ2 = 4, λ3 = 24. The orthogonal matrix corresponding to A is
 √4
− 69 − √130 √13
 √4
− √769 √2
 
230
− 69 69
 q q q q
2   5 
Q= − √769 2
15 −3 115 , Q−1 = QT =  − √130 2
15

 q q   q q6 
√2 5 5 √13 −3 115 2 5
69 6 46 230 46

The inverse transformation y = Q−1 · x is

−4 7 2
y1 = √ x1 − √ x2 + √ x3 ,
69 69 69
r r
1 2 5
y2 = − √ x1 + x2 + x3 ,
30 15 6
r r
13 2 5
y3 = √ x1 − 3 x2 + x3 .
230 115 46

Substituting in f (x1 , x2 , x3 ), we get

f (y1 , y2 , y3 ) = y12 + 4y22 + 24y32 .
In terms of the original variables, we get
f (x1 , x2 , x3 ) =
 2
−4 7 2
√ x1 − √ x2 + √ x3
69 69 69
r r !2
1 2 5
+4 − √ x1 + x2 + x3
30 15 6
r r !2
13 2 5
+24 √ x1 − 3 x2 + x3
230 115 46

It is clear that f (x1 , x2 , x3 ) is positive definite. Moreover, by carrying out the multiplications, it is easily
seen that the original form is recovered. Further manipulation would also show that f (x1 , x2 , x3 ) =
2(x1 − x2 + x3 )2 + 3(2x1 − x2 )2 + 4(x1 + x3 )2 , so we see the particular quadratic form is not unique.

8.10 Moore-Penrose inverse

We seek the Moore-Penrose5 inverse: A+
m×n such that

An×m · A+
m×n · An×m = An×m . (8.114)
5
after Eliakim Hastings Moore, 1862-1932, American mathematician, and Sir Roger Penrose, 1931-, En-
glish mathematician. It is also credited to Arne Bjerhammar, 1917-, Swedish geodesist.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.10. MOORE-PENROSE INVERSE 347

This will be achieved if we define

A+ + H
m×n = Qm×m · Bm×n · Qn×n . (8.115)

The matrix B+ is m × n with µ−1

i , (i = 1, 2, . . .) in the first r positions on the main diagonal.
+
The Moore-Penrose inverse, Am×n , is also known as the pseudoinverse. This is because in
the special case in which n ≤ m and n = r that it can be shown that

An×m · A+
m×n = In×n . (8.116)

Let’s check this with our definitions for the case when n ≤ m, n = r.



An×m · A+ m×n = Q n×n · B n×m · QH
m×m · Qm×m · B +
m×n · QH
n×n , (8.117)
= Qn×n · Bn×m · Q−1
m×m · Qm×m · B+
m×n · QH
n×n , (8.118)
= Qn×n · Bn×m · B+ H
m×n · Qn×n , (8.119)
= Qn×n · In×n · QH
n×n , (8.120)
H
= Qn×n · Qn×n , (8.121)
= Qn×n · Q−1
n×n , (8.122)
= In×n . (8.123)

We note for this special case that precisely because of the way we defined B+ that Bn×m ·
B+ +
m×n = In×n . When n > m, Bn×m · Bm×n yields a matrix with r ones on the diagonal and
zeros elsewhere.

Example 8.39
Find the Moore-Penrose inverse, A+
3×2 , of A2×3 in the previous example:
 
1 −3 2
A2×3 = .
2 0 3

A+
3×2 = Q3×3 · B+ H
3×2 · Q2×2 ,
  1 
0.452350 0.330059 −0.828517 4.6385 0  
0.728827 0.684698
A+
3×2 =  −0.471378 0.877114 0.0920575   0 1
2.3419
 ,
−0.684698 0.728827
0.757088 0.348902 0.552345 0 0
 
−0.0254237 0.169492
A+
3×2 =  −0.330508 0.20339  .
0.0169492 0.220339

Note that  
  −0.0254237 0.169492  
1 −3 2  −0.330508 0.20339  = 1 0 .
A2×3 A+
3×2 = 2 0 3 0 1
0.0169492 0.220339

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

348 CHAPTER 8. LINEAR ALGEBRA

Example 8.40
Use the Moore-Penrose inverse to solve the problem A · x = b studied in an earlier example:
    
1 2 x1 2
= .
3 6 x2 0

We first seek the singular value decomposition of A, A = Q2 · B · QH1 . Now

    
1 3 1 2 10 20
AH · A = = .
2 6 3 6 20 40

The eigensystem with normalized eigenvectors corresponding to AH · A is

 
1 1
λ1 = 50, e1 = √ ,
5 2
 
1 −2
λ2 = 0, e2 = √ ,
5 1
so  
1 1 −2
Q1 = √ ,
5 2 1
√   √ 
50 0 5 2 0
B= = ,
0 0 0 0
so taking A · Q1 = Q2 · B, gives
      √ 
1 2 1 1 −2 q11 q12 5 2 0
√ = ,
3 6 5 2 1 q21 q22 0 0
| {z } | {z } | {z }| {z }
=A =Q1 =Q2 =B
   √ 
√ 1 0 5√2q11 0
5 = .
3 0 5 2q21 0
Solving, we get    
q11 1 1
= √ .
q21 10 3
Imposing orthonormality to find q12 and q22 , we get
   
q12 1 3
= √ ,
q22 10 −1
so  
1 1 3
Q2 = √ ,
10 3 −1
and   √     
1 1 3 5 2 0 1 1 2 1 2
A = Q2 · B · QH
1 = √ √ = .
10 3 −1 0 0 5 −2 1 3 6
| {z }| {z }| {z }
Q2 B QH
1

We will need B+ , which is easily calculated by taking the inverse of each diagonal term of B:
 1 
√ 0
B+ = 5 2 .
0 0

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.10. MOORE-PENROSE INVERSE 349

Now the Moore-Penrose inverse is

  1     
1 1 −2 √ 0 1 1 3 1 1 3
A+ = Q1 · B+ · QH
2 = √ 5 2 √ = .
5 2 1 0 0 10 3 −1 50 2 6
| {z }| {z }| {z }
Q1 B+ QH
2

Direct multiplication shows that A · A+ 6= I, but that A · A+ · A = A. This is a consequence of A not

being a full rank matrix.
Lastly, applying the Moore-Penrose inverse operator to the vector b to form x = A+ · b, we get
    
+ 1 1 3 2 1 1
x =A ·b = = .
50 2 6 0 25 2
| {z } | {z }
A+ b

We see that the Moore-Penrose operator acting on b has yielded an x vector which is in the row space
of A. As there is no right null space component, it is the minimum length vector that minimizes the
error ||A · x − b||2 . It is fully consistent with the solution we found using Gaussian elimination in an
earlier example.

Problems
1. Find the x with smallest ||x||2 which minimizes ||A · x − b||2 for
   
1 0 3 1
A =  2 −1 3  , b = 0.
3 −1 5 1

2. Find the most general x which minimizes ||A · x − b||2 for

   
1 0 1
A =  2 −1  , b = 0.
3 −2 1

3. Find x with the smallest ||x||2 which minimizes ||A · x − b||2 for
   
1 0 1 4 2
A =  1 0 2 −1  , b =  1 .
2 1 3 −2 −3

4. Find eA if  
1 1 1
A= 0 3 2 .
0 0 5
5. Diagonalize or reduce to Jordan canonical form
 
5 2 −1
A= 0 5 1 .
0 0 5

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

350 CHAPTER 8. LINEAR ALGEBRA

6. Find the eigenvectors and generalized eigenvectors of

 
1 1 1 1
 0 1 1 1 
A=  0 0 0
.
1 
0 0 0 0

7. Decompose A into Jordan form S · J · S−1 , P−1 · L · D · U, Q · R, Schur form, and Hessenberg form
 
0 1 0 1
 1 0 1 0 
A=  0 1 0 1 .


1 0 1 0

8. Find the matrix S that will convert the following to the Jordan canonical form
 
6 −1 −3 1
 −1 6 1 −3 
(a)  ,
−3 1 6 −1 
1 −3 −1 6
 
8 −2 −2 0
 0 6 2 −4 
(b)  −2 0
,
8 −2 
2 −4 0 6
and show the Jordan canonical form.
 
1 1 2 0
 0 1 3 0 
9. Show that the eigenvectors and generalized eigenvectors of 
  span the space.
0 0 2 2 
0 0 0 1
10. Find the projection matrix onto the space spanned by (1, 1, 1) and (1, 2, 3).
11. Reduce 4x2 + 4y 2 + 2z 2 − 4xy + 4yz + 4zx to standard quadratic form.
12. Find the inverse of  
1/4 1/2 3/4
 3/4 1/2 1/4  .
1/4 1/2 1/2
 
0 0 i
13. Find exp  0 1 0 .
1 0 0
 
1 3
14. Find the nth power of .
3 1
15. If  
5 4
A= ,
1 2
find a matrix S such that S−1 · A · S is a diagonal matrix. Show by multiplication that it is indeed
diagonal.
   
6 2 8 6
16. Determine if A = and B = are similar.
−2 1 −3 −1

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

8.10. MOORE-PENROSE INVERSE 351

17. Find the eigenvalues, eigenvectors, and the matrix S such that S−1 · A · S is diagonal or of Jordan
form, where A is
 
5 0 0
(a)  1 0 1  ,
0 0 −2
 
−2 0 2
(b)  2 1 0 ,
0 0 −2i
 
3 0 −1
(c)  −1 2 2i  .
1 0 1+i

18. Put each of the matrices above in L · D · U form.

19. Put each of the matrices above in Q · R form.
20. Put each of the matrices above in Schur form.
21. Let  
1 1 2
A= 0 1 1 .
0 0 1
Find S such that S−1 · A · S = J, where J is of the Jordan form. Show by multiplication that
A · S = S · J.
22. Show that  
cos(1) sin(1)
eA = ,
− sin(1) cos(1)
if  
0 1
A= .
−1 0

23. Write A in row echelon form  

0 0 1 0
A= 2 −2 0 0  .
1 0 1 2

24. Show that the function

f (x, y, z) = x2 + y 2 + z 2 + yz − zx − xy,
is always non-negative.
25. If A : ℓ22 → ℓ22 , find ||A|| when
 
1 −1
A= .
1 1
Also find its inverse and adjoint.
26. Is the quadratic form
f (x1 , x2 , x3 ) = 4x21 + 2x1 x2 + 4x1 x3 ,
positive definite?

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

352 CHAPTER 8. LINEAR ALGEBRA

27. Find the Schur decomposition and L · D · LT of A:

 
0 0 0 0
 0 1 −3 0 
A=  0 −3 1
,
0 
0 0 0 0
28. Find the x with minimum ||x||2 which minimizes ||A · x − b||2 in the following problems:
(a)    
−4 1 0 1
A =  2 0 0 b = 3,
−2 1 0 2
(b)    
1 3 2 5 6 1
A = 7 2 1 −4 5  b = 4.
1 4 2 13 7 1
29. In each part of the previous problem, find the right null space and show the most general solution
vector can be represented as a linear combination of a unique vector in the row space of A plus an
arbitrary scalar multiple of the right null space of A.
30. An experiment yields the following data:
t x
0.00 1.001
0.10 1.089
0.23 1.240
0.70 1.654
0.90 1.738
1.50 2.120
2.65 1.412
3.00 1.301
We have fifteen times as much confidence in the first four data points than we do in all the others.
Find the least squares best fit coefficients a, b, and c if the assumed functional form is
(a) x = a + bt + ct2 ,
(b) x = a + b sin t + c sin 2t.
Plot on a single graph the data points and the two best fit estimates. Which best fit estimate has the
smallest least squares error?
31. For  
8 5 −2 −1
A =  6 8 −2 8  ,
−1 2 0 1
a) find the P−1 ·L·D·U decomposition b) find the singular values and the singular value decomposition.
32. For the complex matrices A find eigenvectors, eigenvalues, demonstrate whether or not the eigenvec-
tors are orthogonal, find (if possible) the matrix S such that S−1 · A · S is of Jordan form, and find
the singular value decomposition if
 
  2 4i 2 + i
2+i 2
A= , A =  −4i 1 3 .
2 1
2−i 3 −2

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

Chapter 9

Dynamical systems

see Kaplan, Chapter 9,

see Drazin,
see Lopez, Chapter 12,
see Hirsch and Smale,
see Guckenheimer and Holmes,
see Wiggins,
see Strogatz.

In this chapter we consider the evolution of systems, often called dynamic systems. Generally,
we will be concerned with systems which can be described by sets of ordinary differential
equations, both linear and non-linear. Some other classes of systems will also be studied.

9.1 Paradigm problems

We first consider some paradigm problems which will illustrate the techniques used to solve
nonlinear systems of ordinary differential equations. Systems of equations are typically more
complicated than scalar differential equations. The fundamental procedure for analyzing
systems of non-linear ordinary differential equations is to

• Cast the system into a standard form.

• Identify the equilibria of the system.

• If possible, linearize the system about its equilibria.

• If linearizable, ascertain the stability of the linearized system to small disturbances.

• If not linearizable, attempt to ascertain the stability of the non-linear system near its
equilibria.

• Solve the full non-linear system.

353
354 CHAPTER 9. DYNAMICAL SYSTEMS

9.1.1 Autonomous example

First consider a simple example of what is known as an autonomous system. An autonomous
system of ordinary differential equations can be written in the form
dx
= f(x). (9.1)
dt
Notice that the independent variable t does not appear explicitly.

Example 9.1
For x ∈ R2 , t ∈ R1 , f : R2 → R2 , consider
dx1
= x2 − x21 = f1 (x1 , x2 ),
dt
dx2
= x2 − x1 = f2 (x1 , x2 ).
dt
The curves defined in the x1 , x2 plane by f1 = 0 and f2 = 0 are very useful in determining both the fixed
points (found at the intersection) and in the behavior of the system of differential equations. In fact
one can sketch trajectories of paths in this phase space by inspection in many cases. The loci of points
where f1 = 0 and f2 = 0 are plotted in Figure 9.1. The zeroes are found at (x1 , x2 )T = (0, 0)T , (1, 1)T .
Linearize about both points to find the local behavior of the solution near these points. Near (0,0), the
linearization is
dx1
= x2 ,
dt
dx2
= x2 − x1 ,
dt
or     
d x1 0 1 x1
= .
dt x2 −1 1 x2
This is of the form
dx
= A · x.
dt
And with
P · z ≡ x,
where P is a constant matrix, we get
d dz
(P · z) = P · = A · P · z,
dt dt
dz
= P−1 · A · P · z.
dt
At this point we assume that A has distinct eigenvalues and linearly independent eigenvectors; other
cases are easily handled. If we choose P such that its columns contain the eigenvectors of A, we will
get a diagonal matrix, which will lead to a set of uncoupled differential equations; each of these can be
solved individually. So for our A, standard linear algebra gives
√ √  √ !
√i 1
+ 63 i

1 3 1 3
+ i − i −1 3 2
P= 2 2 2 2 , P = √ .
1 1 − √i3 12 − 63 i

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.1. PARADIGM PROBLEMS 355

spiral source saddle

node node

x2 f1= 0 f2= 0

1.5

0.5

0 x1

−0.5

−0.5 0 0.5 1 1.5

Figure 9.1: Phase plane for dx

dt
1
= x2 − x21 , dx
dt
2
= x2 − x1 , along with equilibrium points (0, 0)
2
and (1, 1), separatrices x2 − x1 = 0, x2 − x1 = 0, solution trajectories, and corresponding
vector field.

With this choice we get the eigenvalue matrix

√ !
1 3
−1 2 − 2 i 0
P ·A·P= 1
√ .
0 2 + 23 i

So we get two uncoupled equations for z:

√ !
dz1 1 3
= − i z1 ,
dt 2 2
| {z }
=λ1

√ !
dz2 1 3
= + i z2 ,
dt 2 2
| {z }
=λ2

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

356 CHAPTER 9. DYNAMICAL SYSTEMS

which have solutions √ ! !

1 3
z1 = c1 exp − i t ,
2 2
√ ! !
1 3
z2 = c2 exp + i t .
2 2
Then we form x by taking x = P · z so that
√ ! √ ! ! √ ! √ ! !
1 3 1 3 1 3 1 3
x1 = + i c1 exp − i t + − i c2 exp + i t ,
2 2 2 2 2 2 2 2
| {z } | {z }
=z1 =z2
√ ! ! √ ! !
1 3 1 3
x2 = c1 exp − i t + c2 exp + i t .
2 2 2 2
| {z } | {z }
=z1 =z2

Since there is a positive real coefficient in the exponential terms, both x1 and x2 grow exponentially.
The imaginary component indicates that this is an oscillatory growth. Hence, there is no tendency for
a solution which is initially close to (0, 0), to remain there. So the fixed point is unstable.
Consider the next fixed point near (1, 1). First define a new set of local variables:

x̃1 = x1 − 1,

x̃2 = x2 − 1.
Then
dx1 dx̃1
= = (x̃2 + 1) − (x̃1 + 1)2 ,
dt dt
dx2 dx̃2
= = (x̃2 + 1) − (x̃1 + 1).
dt dt
Expanding, we get
dx̃1
= (x̃2 + 1) − x̃21 − 2x̃1 − 1,
dt
dx̃2
= (x̃2 + 1) − (x̃1 + 1).
dt
Linearizing about (x̃1 , x̃2 ) = (0, 0), we find
dx̃1
= x̃2 − 2x̃1 ,
dt
dx̃2
= x̃2 − x̃1 ,
dt
or     
d x̃1 −2 1 x̃1
= .
dt x̃2 −1 1 x̃2
Going through an essentially identical exercise gives the eigenvalues to be
√
1 5
λ1 = − + > 0,
2 2
√
1 5
λ2 = − − < 0,
2 2

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.1. PARADIGM PROBLEMS 357

which in itself shows the solution to be essentially unstable since there is a positive eigenvalue. After
the usual linear algebra and back transformations, one obtains the local solution:

√ ! √ ! ! √ ! √ ! !
3− 5 1 5 3+ 5 1 5
x1 = 1 + c1 exp − + t + c2 exp − − t ,
2 2 2 2 2 2
√ ! ! √ ! !
1 5 1 5
x2 = 1 + c1 exp − + t + c2 exp − − t .
2 2 2 2
Note that while this solution is generally unstable, if one has the special case in which c1 = 0, that the
fixed point in fact is stable. Such is characteristic of a saddle node.

9.1.2 Non-autonomous example

Next consider a more complicated example. Among other things, the system as originally
cast is non-autonomous in that the independent variable t appears explicitly. Additionally,
it is coupled and contains hidden singularities. Some operations are necessary in order to
cast the system in standard form.

Example 9.2
For x ∈ R2 , t ∈ R1 , f : R2 × R1 → R2 , analyze
dx1 dx2
t + x2 x1 = x1 + t = f1 (x1 , x2 , t),
dt dt
dx1 dx2
x1 + x22 = x1 t = f2 (x1 , x2 , t),
dt dt
x1 (0) = x10 , x2 (0) = x20 .

Let
dt
= 1, t(0) = 0,
ds
and further y1 = x1 , y2 = x2 , y3 = t. Then with s ∈ R1 , y ∈ R3 , g : R3 → R3 ,
dy1 dy2
y3 + y2 y1 = y1 + y3 = g1 (y1 , y2 , y3 ),
ds ds
dy1 2 dy2
y1 + y2 = y1 y3 = g2 (y1 , y2 , y3 ),
ds ds
dy3
= 1 = g3 (y1 , y2 , y3 ),
ds
y1 (0) = y10 , y2 (0) = y20 , y3 (0) = 0.

In matrix form, we have

   dy1   
y3 y2 y1 0 ds y1 + y3
 y1 y22 0   dy
ds
2 
=  y1 y3  .
0 0 1 dy 3 1
ds

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

358 CHAPTER 9. DYNAMICAL SYSTEMS

Inverting the coefficient matrix, we obtain the following equation which is in autonomous form:
 y y −y2 y +y y 
  1 2 1 3 2 3  
y y2 y3 −y12 h1 (y1 , y2 , y3 )
d  1  y1 (y −y1 −y3 ) 
2

y2 =   y y3 y −y2  = h2 (y1 , y2 , y3 ) .
 
ds 2( 2 3 )
y3 1 h3 (y1 , y2 , y3 )
1

There are potential singularities at y2 = 0 and y2 y3 = y12 . These can be addressed by defining a new
independent variable u ∈ R1 via the equation
ds

= y2 y2 y3 − y12 .
du
The system of equations then transforms to
  
  
y y y y − y 2 y + y
2 y3 p1 (y1 , y2 , y3 )
d  1   2 1 22 1 3
y2 = y1 y3 − y1 − y
3  =  p2 (y1 , y2 , y3 )  .
du 2
y3 y2 y2 y3 − y1 p3 (y1 , y2 , y3 )

This equation actually has an infinite number of fixed points, all of which lie on a line in the three
dimensional phase volume. The line is given parametrically by (y1 , y2 , y3 )T = (0, 0, v)T , v ∈ R1 Here
v is just a parameter used in describing the line of fixed points. However, it turns out in this case
that the Taylor series expansions yield no linear contribution any of the fixed points, so we don’t get
to use the standard linear analysis technique! The problem has an essential non-linear essence, even
near fixed points. More potent methods would need to be employed, but the example demonstrates the
principle. Figure 9.2 gives a numerically obtained solution for y1 (u), y2 (u), y3 (u) along with a trajectory
in y1 , y2 , y3 space when y1 (0) = 1, y2 (0) = −1, y3(0) = 0. This corresponds to x1 (t = 0) = 1, x2 (t =
0) = −1.
We note that while the solutions are monotonic in the variable u, that they are not monotonic
in t, after the transformation back to x1 (t), x2 (t) is effected. Also, while it appears there are points
(u = 0.38, u = 0.84, u = 1.07) where the derivatives dy 1 dy2 dy3
du , du , du become unbounded, closer inspection
reveals that they are simply points of steep, but bounded, derivatives. However at points where the
slop dy dt dx1 dx2
du = du changes sign, the derivatives dt , dt formally are infinite, as is reflected in the cyclic
3

behavior exhibited in the plots of x1 versus t or x2 versus t.

9.2 General theory

Consider x ∈ Rn , t ∈ R1 , A : Rn × R1 → Rn × Rn , f : Rn × R1 → Rn . A quasi-linear problem
of the form
dx
A(x, t) · = f(x, t), x(0) = xo , (9.2)
dt
can be reduced to the following form, known as autonomous, in the following manner. With
     
x1 a11 (x, t) . . . a1n (x, t) f1 (x1 , . . . , xn , t)
. .. .. .. ..
x =  ..  , A(x, t) =  . . .  , f(x, t) =  . ,
xn an1 (x, t) . . . ann (x, t) fn (x1 , . . . , xn , t)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.2. GENERAL THEORY 359

2
y 1 y = x
2 1 1
0
-1 50
-2
10 40

8 30

6 20
y
3 4
10
2
u
0 0.2 0.4 0.6 0.8 1 1.2
0
y =x
20 2 2

x 2
1 y 40
1

1
50

u
40 0.2 0.4 0.6 0.8 1 1.2

-1
30

-2
20

y =t
3
10 t 10
2 4 6 8 10
x2
8
2
6

1 4

2
t
2 4 6 8 10
u
0.2 0.4 0.6 0.8 1 1.2
-1

-2

Figure 9.2: Solutions for one set of initial conditions, y1 (0) = 1, y2 (0) = −1, y3 (0) = 0,
for second paradigm example: trajectory in phase volume (y1 , y2, y3 ); also y1 (u), y2 (u), y3(u)
and x1 (t), x2 (t). Here y1 = x1 , y2 = x2 , y3 = t.

define s ∈ R1 such that

dt
= 1, t(0) = 0, (9.3)
ds
Then define y ∈ Rn+1 , B : Rn+1 → Rn+1 × Rn+1 , g : Rn+1 → Rn+1 , such that along with
s ∈ R1 that
   
y1 x1
 ...   ... 
 y  = x ,
y =     (9.4)
n n
yn+1 t
 
a11 (y) . . . a1n (y) 0
 ... ..
.
..
.
.. 
.
 a (y) . . . a (y) 0  ,
B(y) =  (9.5)
n1 nn
0 ... 0 1

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

360 CHAPTER 9. DYNAMICAL SYSTEMS

   
g1 (y1 , . . . , yn+1) f1 (x1 , . . . , xn , t)
 ..   .. 
g(y) =  . .
 g (y , . . . , y )   f (x , . . . , x , t)  .
=  (9.6)
n 1 n+1 n 1 n
gn+1 (y1 , . . . , yn+1) 1
The original equation then is of the form
dy
B(y) · = g(y). (9.7)
ds
By forming B−1 , it can be written as
dy
= B−1 (y) · g(y), (9.8)
ds
or by taking
B−1 (y) · g(y) ≡ h(y), (9.9)
we get the form, commonly called autonomous form, with s ∈ R1 , y ∈ Rn+1 , h : Rn+1 →
Rn+1 :
dy
= h(y). (9.10)
ds
Sometimes h has singularities. If the source of the singularity can be identified, a
singularity-free autonomous set of equations can often be written. For example, suppose
h can be rewritten as
p(y)
h(y) = (9.11)
q(y)
where p and q have no singularities. Then we can remove the singularity by introducing the
new independent variable u ∈ R1 such that
ds
= q(y). (9.12)
du
Using the chain rule, the system then becomes
dy p(y)
= , (9.13)
ds q(y)
ds dy p(y)
= q(y) , (9.14)
du ds q(y)
dy
= p(y), (9.15)
du
(9.16)

which has no singularities.

Casting ordinary differential equations systems in autonomous form is the starting point
for most problems and most theoretical development. The task from here generally proceeds
as follows:

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.3. ITERATED MAPS 361

• Find all the zeroes of h. This is an algebra problem, which can be topologically difficult
for non-linear problems.

• If h has any singularities, redefine variables in the manner demonstrated to remove the
singularity

• If possible, linearize h (or its equivalent) about each of its zeroes

• Perform a local analysis of the system of differential equations near zeroes.

• If the system is linear, an eigenvalue analysis is sufficient to reveal stability; for non-
linear systems, the situation is not always straightforward.

9.3 Iterated maps

A map f : Rn → Rn can be iterated to give a dynamical system of the form

xk+1
i = fi (xk1 , xk2 , · · · , xkn ), i = 1, · · · , n. (9.17)

Given an initial point x0i , (i = 1, . . . , n) in Rn , a series of images x1i , x2i , x3i , . . . can be found
as k = 0, 1, 2, . . .. The map is dissipative or conservative according to whether the diameter
of a set is larger than that of its image or the same, respectively, i.e if the determinant of
the Jacobian matrix ∂fi /∂xj is < or = 1.
The point xi = xi is a fixed point of the map if it maps to itself, i.e. if

xi = fi (x1 , x2 , · · · , xn ), i = 1, · · · , n. (9.18)

The fixed point xi = 0 is linearly unstable if a small perturbation from it leads the images
farther and farther away. Otherwise it is stable. A special case of this is asymptotic stability
wherein the image returns arbitrarily close Pto the fixed point.
A linear map can be written as xi = nj=1 Aij xkj , (i = 1, 2, . . .) or xk+1 = A · xk . The
k+1

origin x = 0 is a fixed point of this map. If ||A|| > 1, then ||xk+1 || > ||xk || and the map is
unstable. Otherwise it is stable.

Example 9.3
Examine the linear stability of the fixed points of the logistics map, popularized by May.1

xk+1 = rxk (1 − xk ),

We take r ∈ [0, 4] so that xk ∈ [0, 1] maps onto xk+1 ∈ [0, 1]. That is the mapping is onto itself.
The fixed points are solutions of
x = rx(1 − x),
1
Robert McCredie May, 1936-, Australian-Anglo ecologist.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

362 CHAPTER 9. DYNAMICAL SYSTEMS

which are
1
x = 0, x=1− .
r
Consider the mapping itself. For an initial seed x0 , we generate a series of xk . For example if we take
r = 0.4 and xo = 0.3, we get

x0 = 0.3,
x1 = 0.4(0.3)(1 − 0.3) = 0.084,
x2 = 0.4(0.084)(1 − 0.084) = 0.0307776,
x3 = 0.4(0.0307776)(1 − 0.0307776) = 0.0119321,
x4 = 0.4(0.0119321)(1 − 0.0119321) = 0.0047159,
x5 = 0.4(0.0047159)(1 − 0.0047159) = 0.00187747,
..
.
x∞ = 0.
4
For this value of r, the solution approaches the fixed point of 0. Consider r = 3 and x0 = 0.3

x0 = 0.3,
x1 = (4/3)(0.3)(1 − 0.3) = 0.28,
x2 = (4/3)(0.28)(1 − 0.28) = 0.2688,
x3 = (4/3)(0.2688)(1 − 0.2688) = 0.262062,
x4 = (4/3)(0.262062)(1 − 0.262062) = 0.257847,
x5 = (4/3)(0.257847)(1 − 0.257847) = 0.255149,
..
.
1
x∞ = 0.250 = 1 − .
r
In this case the solution was attracted to the alternate fixed point.
To analyze the stability of each fixed point, we give it a small perturbation x′ . Thus x + x′ is
mapped to x + x′′ , where

x + x′′ = r(x + x′ )(1 − x − x′ ) = r(x − x2 + x′ − 2xx′ + x′2 ).

Neglecting small terms, we get

x + x′′ = r(x − x2 + x′ − 2xx′ ) = rx(1 − x) + rx′ (1 − 2x).

Simplifying, we get
x′′ = rx′ (1 − 2x).
A fixed point is stable if |x′′ /x′ | ≤ 1. This indicates that the perturbation is decaying. Now consider
each fixed point in turn.
x = 0:

x′′ = rx′ (1 − 2(0)),

x′′ = rx′ ,
 ′′ 
x 
 
 x′  = r.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.3. ITERATED MAPS 363

This is stable if r < 1.

x = 1 − r1 :
  
1
x′′ = rx′ 1 − 2 1 − ,
r
x′′ = (2 − r)x′ ,
 ′′ 
x 
 
 x′  = |2 − r| .

This is unstable for r < 1, stable for 1 ≤ r ≤ 3, unstable for r > 3.

What happens to the map for r > 3. Consider Consider r = 3.2 and xo = 0.3
x0 = 0.3,
x1 = 3.2(0.3)(1 − 0.3) = 0.672,
x2 = 3.2(0.672)(1 − 0.672) = 0.705331,
x3 = 3.2(0.705331)(1 − 0.705331) = 0.665085,
x4 = 3.2(0.665085)(1 − 0.665085) = 0.71279,
x5 = 3.2(0.71279)(1 − 0.71279) = 0.655105,
x6 = 3.2(0.655105)(1 − 0.655105) = 0.723016,
x7 = 3.2(0.723016)(1 − 0.723016) = 0.640845,
x8 = 3.2(0.640845)(1 − 0.640845) = 0.736521,
..
.
x∞−1 = 0.799455,
x∞ = 0.513045.
This system has bifurcated. It oscillates between two points, never going to the fixed point. The two
points about which it oscillates are quite constant for this value of r. For greater values of r, the
system moves between 4, 8, 16, ... points. Such is the essence of bifurcation phenomena. A plot of the
equilibrium values of x as a function of r is given in Figure 9.3.

Other maps that have been studied are:

1. Hénon2 map:
xk+1 = yk + 1 − ax2k ,
yk+1 = bxk .
For a = 1.3, b = 0.34, the attractor is periodic, while for a = 1.4, b = 0.34, the map
has a strange attractor
2. Dissipative standard map:
xk+1 = xk + yk+1 mod 2π,
yk+1 = λyk + k sin xk .
If λ = 1 the map is area preserving.
2
Michel Hénon, 1931-, French mathematician and astronomer.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

364 CHAPTER 9. DYNAMICAL SYSTEMS

x
1.0

0.8

0.6

0.4

0.2

r
1 2 3 4
Figure 9.3: Plot of xk as k → ∞ as a function of r for the logistics map, xk+1 = rxk (1 − xk )
for r ∈ [0, 4].

9.4 High order scalar differential equations

An equation with x ∈ R1 , t ∈ R1 , a : R1 × R1 → Rn , f : R1 → R1 of the form

dn x dn−1 x dx
n
+ an (x, t) n−1
+ · · · + a2 (x, t) + a1 (x, t)x = f (t), (9.19)
dt dt dt

can be expressed as a system of n + 1 first order autonomous equations. Let x = y1 , dx dt

=
dn−1 x
y2 ,· · · , dtn−1 = yn , t = yn+1 . Then with y ∈ R , s = t ∈ R , a : R × R → R , f : R → R1 ,
n+1 1 1 1 n 1

dy1
= y2 , (9.20)
ds
dy2
= y3 , (9.21)
ds
..
. (9.22)
dyn−1
= yn , (9.23)
ds
dyn
= −an (y1 , yn+1)yn − an−1 (y1, yn+1 )yn−1 − · · · − a1 (y1 , yn+1)y1 + f (yn+1 ),(9.24)
ds
dyn+1
= 1. (9.25)
ds
CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.
9.4. HIGH ORDER SCALAR DIFFERENTIAL EQUATIONS 365

Example 9.4
For x ∈ R1 , t ∈ R1 , consider the forced Duffing equation:

d2 x dx 
+ x + x3 = sin(2t), x(0) = 0, = 0.
dt2 dt t=0

Here a2 (x, t) = 0, a1 (x, t) = 1 + x2 , f (t) = sin(2t). Now this non-linear differential equation with
homogeneous boundary conditions and forcing has no analytic solution. It can be solved numerically;
most solution techniques require a recasting as a system of first order equations. To recast this as an
autonomous set of equations, with y ∈ R3 , s ∈ R1 , consider

dx
x = y1 , = y2 , t = s = y3 .
dt
d d
Then dt = ds , and the equations transform to
         
y y2 h1 (y1 , y2 , y3 ) y1 (0) 0
d  1 
y2 = −y1 − y13 + sin(2y3 )  =  h2 (y1 , y2 , y3 )  ,  y2 (0)  =  0  .
ds
y3 1 h3 (y1 , y2 , y3 ) y3 (0) 0

Note that this system has no equilibrium point as there exists no y for which h = 0. Once the numerical
solution is obtained, one transforms back to x, t space. Figure 9.4 give the trajectory in the y1 , y2 , y3
phase space, and a plot of the corresponding solution x(t) for t ∈ [0, 50].

-1 -0.5 y1 = x
y = dx/dt 0
2 1 0.5
0 1
-1

40
0.5

t
10 20 30 40 50
y3 = t
-0.5
20

-1

Figure 9.4: Phase space trajectory and solution x(t) for forced Duffing equation.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

366 CHAPTER 9. DYNAMICAL SYSTEMS

9.5 Linear systems

For a linear system the coefficients an , . . . , a2 , a1 in equation (9.19) are independent of x. In
general, for x ∈ Rn , t ∈ R1 , A : R1 → Rn × Rn , f : R1 → Rn , any linear system may be
written in matrix form as
dx
= A(t) · x + f(t), (9.26)
dt
where
 
x1 (t)
 x2 (t) 
 
x =  ..  , (9.27)
 . 
xn (t)
 
a11 (t) a12 (t) · · · a1n (t)
 a21 (t) a22 (t) · · · a2n (t) 
 
A =  .. .. .. .. , (9.28)
 . . . . 
an1 (t) an2 (t) · · · ann (t)
 
f1 (t)
 f2 (t) 
 
f =  ..  . (9.29)
 . 
fn (t)
Here A and f are known. The solution can be written as x = xH + xP , where xH is the
solution to the homogeneous equation, and xP is the particular solution.

9.5.1 Homogeneous equations with constant A

For x ∈ Rn , t ∈ R1 , A ∈ Rn × Rn , the solution of the homogeneous equation
dx
= A · x, (9.30)
dt
where A is a matrix of constants is obtained by setting
x = ceλt , (9.31)
with c ∈ Rn . Substituting into the equation, we get
λceλt = A · ceλt , (9.32)
λc = A · c. (9.33)
This is an eigenvalue problem where λ is an eigenvalue and c is an eigenvector.
In this case there is only one fixed point, namely the null vector:
x = 0.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.5. LINEAR SYSTEMS 367

9.5.1.1 n eigenvectors
We will assume that there is a full set of eigenvectors even though not all the eigenvalues
are distinct. If e1 , e2 , . . . , en are the eigenvectors corresponding to eigenvalues λ1 , λ2 , . . . , λn ,
then n
X
x= ci ei eλi t , (9.34)
i=1
is the general solution, where c1 , c2 , . . . , cn are arbitrary constants.

Example 9.5
For x ∈ R3 , t ∈ R1 , A ∈ R3 × R3 , solve dx
dt = A · x where
 
1 −1 4
A =  3 2 −1  .
2 1 −1
The eigenvalues and eigenvectors are
 
−1
λ1 = 1, e1 =  4  ,
1
 
1
λ2 = 3, e2 =  2  ,
1
 
−1
λ3 = −2, e3 =  1  .
1
Thus the solution is
     
−1 1 −1
x = c1  4  et + c2  2  e3t + c3  1  e−2t .
1 1 1
or expanding,
x1 (t) = −c1 et + c2 e3t − c3 e−2t ,
x2 (t) = 4c1 et + 2c2 e3t + c3 e−2t ,
x3 (t) = c1 et + c2 e3t + c3 e−2t .

Example 9.6
For x ∈ R3 , t ∈ R1 , A ∈ R3 × R3 , solve dx
dt = A · x where
 
2 −1 −1
A =  2 1 −1  .
0 −1 1

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

368 CHAPTER 9. DYNAMICAL SYSTEMS

The eigenvalues and eigenvectors are

 
0
λ1 = 2, e1 =  1  ,
−1
 
1
λ2 = 1 + i, e2 =  −i  ,
1
 
1
λ3 = 1 − i, e3 =  i  .
1

Thus the solution is

     
0 1 1
x = c1  1  e2t + c2  −i  e(1+i)t + c3  i  e(1−i)t ,
−1 1 1
     
0 cos t sin t
= c1  1  e2t + c′2  sin t  et + c′3  − cos t  et ,
−1 cos t sin t

where c′2 = c2 + c3 , c′3 = i(c2 − c3 ).

9.5.1.2 < n eigenvectors

One solution of dx
dt
= A · x is x = eAt · c, where c is a constant vector. If c1 , c2 ,· · ·, cn
are linearly independent vectors, then xi = eAt · ci , i = 1, · · · , n, are linearly independent
solutions. We would like to choose ci , i = 1, 2, · · · , n, such that each eAt · ci is a series with
a finite number of terms. This can be done in the following manner. Since

eAt · c = eλIt · e(A−λI)t · c,

= eλt I · e(A−λI)t · c,
= eλt e(A−λI)t · c,
   
λt 1 2 2
= e I + (A − λI)t + (A − λI) t + · · · · c.
2!

the series will be finite if

(A − λI)k · c = 0,

for some positive integer k.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.5. LINEAR SYSTEMS 369

9.5.1.3 Summary of method

The procedure to find xi , (i = 1, 2, . . . , n), the n linearly independent solutions of
dx
= A · x, (9.35)
dt
where A is a constant, is the following. First find all eigenvalues λi , i = 1, · · · , n, and as
many eigenvectors ei , i = 1, 2, · · · , k as possible.
1. If k = n, the n linearly independent solutions are xi = eλi t ei .
2. If k < n, there are only k linearly independent solutions of the type xi = eλi t ei . To
find additional solutions corresponding to a multiple eigenvalue λ, find all linearly
independent c such that (A − λI)2 · c = 0, but (A − λI) · c 6= 0. Notice that generalized
eigenvectors will satisfy the requirement, though it has other solutions as well. For
each such c, we have
eAt · c = eλt (c + t(A − λI) · c) , (9.36)
which is a solution.
3. If more solutions are needed, then find all linearly independent c for which (A−λI)3 ·c =
0, but (A − λI)2 · c 6= 0. The corresponding solution is
 
At λt t2 2
e ·c=e c + t(A − λI) · c + (A − λI) · c . (9.37)
2

4. Continue until n linearly independent solutions have been found.

A linear combination of the n linearly independent solutions
n
X
x= ci xi , (9.38)
i=1

is the general solution, where c1 , c2 , . . . , cn are arbitrary constants.

9.5.1.4 Alternative method

As an alternative to the method just described, which is easily seen to be equivalent, we can
use the Jordan canonical form in a straightforward way to arrive at the solution. Recall that
the Jordan form exists for all matrices. We begin with
dx
= A · x. (9.39)
dt
Then we use the Jordan decomposition A = S · J · S−1 to write
dx
=S · J{z· S−1} ·x. (9.40)
dt |
=A

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

370 CHAPTER 9. DYNAMICAL SYSTEMS

If we apply the matrix operator S−1 , which is a constant, to both sides, we get
!
d
S−1 · x = J · |S−1
{z· x} . (9.41)
dt | {z }
≡z ≡z

Now taking z ≡ S−1 · x, we get

dz
= J · z. (9.42)
dt
We then solve each equation one by one, starting with the last equation dzdtN = λN zN , and
proceeding to the first. In the process of solving these equations sequentially, there will be
feedback for each off-diagonal term which will give rise to a secular term in the solution.
Once z is determined, we solve for x by taking x = S · z.
It is also noted that this method works in the common case in which the matrix J is
diagonal; that is, it applies for cases in which there are n differential equations and n ordinary
eigenvectors.

Example 9.7
For x ∈ R3 , t ∈ R1 , A ∈ R3 × R3 , find the general solution of
dx
= A · x,
dt
where  
4 1 3
A= 0 4 1 .
0 0 4
A has an eigenvalue λ = 4 with multiplicity three. The eigenvector is
 
1
e =  0 ,
0

which gives a solution 


1
e4t  0  .
0
A generalized eigenvector is 

0
g1 =  1  ,
0
which leads to the solution
    
0 0 1 3 0
e4t (g1 + t(A − λI) · g1 ) = e4t  1  + t  0 0 1   1  ,
0 0 0 0 0
 
t
= e4t  1  .
0

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.5. LINEAR SYSTEMS 371

Another generalized eigenvector  

0
g2 =  −3  ,
1
gives the solution
 
4t t2 2
e g2 + t(A − λI) · g2 + (A − λI) · g2 =
2
       
0 0 1 3 0 2 0 0 1 0
e4t  −3  + t  0 0 1   −3  + t  0 0 0   −3  ,
2
1 0 0 0 1 0 0 0 1
 t2

2
= e4t  −3 + t  .
1

The general solution is

     t2

1 t 2
x = c1 e4t  0  + c2 e4t  1  + c3 e4t  −3 + t  ,
0 0 1

where c1 , c2 , c3 are arbitrary constants.

Alternative method

Alternatively, we can simply use the Jordan decomposition to form the solution. When we form
the matrix S from the eigenvectors and generalized eigenvectors, we have
 
1 0 0
S = ( e g1 g2 ) =  0 1 −3  .
0 0 1

We then get  
1 0 0
S−1 =  0 1 3  ,
0 0 1
 
4 1 0
J = S−1 · A · S =  0 4 1  .
0 0 4
dz
Now with z = S−1 · x, we solve dt = J · z,
    
z 4 1 0 z1
d  1 
z2 = 0 4 1   z2  .
dt
z3 0 0 4 z3
dz3
The final equation is totally uncoupled; solving dt = 4z3 , we get

z3 (t) = c3 e4t .

Now consider the second equation,

dz2
= 4z2 + z3 .
dt

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

372 CHAPTER 9. DYNAMICAL SYSTEMS

Using our solution for z3 , we get

dz2
= 4z2 + c3 e4t .
dt
Solving, we get
z2 (t) = c2 e4t + c3 te4t .
Now consider the first equation,
dz1
= 4z1 + z2 .
dt
Using our solution for z2 , we get
dz1
= 4z1 + c2 e4t + c3 te4t .
dt
Solving, we get
1
z1 (t) = c1 e4t + te4t (2c2 + tc3 ) .
2
so we have  
c1 e4t + 21 te4t (2c2 + tc3 )
z(t) =  c2 e4t + c3 te4t 
4t
c3 e
Then for x = S · z, we recover
     
1 t t2
2
x = c1 e4t  0  + c2 e4t  1  + c3 e4t  −3 + t  ,
0 0 1
which is identical to our earlier result.

9.5.1.5 Fundamental matrix

dx
If xi , i = 1, · · · , n are linearly independent solutions of = A · x, then
dt


Ω= {x1 } {x2 } · · · {xn } (9.43)

is called a fundamental matrix. The general solution is

x = Ω · c, (9.44)

where  
c1
c =  ...  .
 
(9.45)
cn
The term eAt = Ω(t) · Ω−1 (0) is a fundamental matrix.

Example 9.8
Find the fundamental matrix of the problem given above.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.5. LINEAR SYSTEMS 373

The fundamental matrix is

 t2

1 t 2
Ω = e4t  0 1 −3 + t  ,
0 0 1

so that   
t2 c1
1 t 2
x = Ω · c = e4t  0 1 −3 + t   c2  .
0 0 1 c3

9.5.2 Inhomogeneous equations

If A is a constant matrix that is diagonalizable, the system of differential equations repre-
sented by dx
dt
= A · x + f(t) can be decoupled into a set of scalar equations, each of which is
in terms of a single dependent variable. Thus let A be such that P−1 · A · P = Λ, where Λ
is a diagonal matrix of eigenvalues. Taking x = P · z, we get
d(P · z)
= A · P · z + f(t), (9.46)
dt
dz
P· = A · P · z + f(t). (9.47)
dt
Applying P−1 to both sides,
dz
= |P−1 ·{zA · P} ·z + P−1 · f(t), (9.48)
dt
=Λ
dz
= Λ · z + g(t), (9.49)
dt
where Λ = P−1 · A · P and g(t) = P−1 · f(t). This is the decoupled form of the original
equation.

Example 9.9
For x ∈ R2 , t ∈ R1 , solve
dx1
= 2x1 + x2 + 1,
dt
dx2
= x1 + 2x2 + t.
dt
This can be written as
      
d x1 2 1 x1 1
= + .
dt x2 1 2 x2 t

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

374 CHAPTER 9. DYNAMICAL SYSTEMS

We have
     
1 1 −1 1 1 −1 1 0
P= , P = , Λ= ,
−1 1 2 1 1 0 3

so that       
d z1 1 0 z1 1 1−t
= + .
dt z2 0 3 z2 2 1+t
The solution is
t
z1 = aet + ,
2
2 t
z2 = be3t − − ,
9 6

which, using x1 = z1 + z2 and x2 = −z1 + z2 transforms to

2 t
x1 = aet + be3t − + ,
9 3
2 2t
x2 = −aet + be3t − − .
9 3

Example 9.10
Solve the system
dx
= A · (x − xo ) + b, x(to ) = xo .
dt
Such a system arises naturally when one linearizes a non-linear system of the form dx/dt = f (x) about
a point x = xo . Here then, A is the Jacobian matrix A = ∂f /∂x|x=xo . Note that the system is in
equilibrium when
A · (x − xo ) = −b,
or
x = x0 − A−1 · b.
Further note that if b = 0 that the initial condition x = xo is also an equilibrium condition, and is the
unique solution to the differential equation.
First define a new dependent variable z:

z ≡ x − xo + A−1 · b.

So we have
x = z + xo − A−1 · b.
At t = to , we then get
z(to ) = A−1 · b.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.5. LINEAR SYSTEMS 375

Then substitute into the original differential equation system to get

d


z + xo − A−1 · b = A · z − A−1 · b + b, z(to ) = A−1 · b,
dt
dz
= A · z, z(to ) = A−1 · b.
dt
Now assume that the Jacobian is fully diagonalizable so that we can take A = P · Λ · P−1 . Thus, we
have
dz
= P · Λ · P−1 · z, z(to ) = A−1 · b.
dt
Take now
w ≡ P−1 · z, z = P · w,
so that the differential equation becomes
d
(P · w) = P · Λ · w, P · w(to ) = A−1 · b.
dt
Since P and P−1 are constant, we can apply the operator P−1 to both sides of the differential equation
system to get
d
P−1 · (P · w) = P−1 · P · Λ · w, P−1 · P · w(to ) = P−1 · A−1 · b,
dt
d

P−1 · P · w = I · Λ · w, I · w(to ) = P−1 · A−1 · b,
dt
dw
= Λ · w, w(to ) = P−1 · A−1 · b,
dt

This is in diagonal form and has solution

w(t) = eΛ(t−to ) · P−1 · A−1 · b.

In terms of z, then the solution has the form

z(t) = P · eΛ(t−to ) · P−1 · A−1 · b.

Then using the definition of z, one can write the solution in terms of the original x as
 
x(t) = xo + P · eΛ(t−to ) · P−1 − I · A−1 · b.

Note that the time scales of evolution are entirely determined by Λ; in particular the time scales of
each mode, τi , are τi = 1/λi , where λi is an entry in Λ. The constant vector b plays a secondary role
in determining the time scales.
Lastly, one recalls from the definition of the matrix exponential that eA(t−to ) = P · eΛ(t−to ) · P−1 ,
so we get the final form or
 
x(t) = xo + eA(t−to ) − I · A−1 · b.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

376 CHAPTER 9. DYNAMICAL SYSTEMS

9.5.2.1 Undetermined coefficients

This method is similar to that presented for scalar equations.

Example 9.11
dx
For x ∈ R3 , t ∈ R1 , A ∈ R3 × R3 , f : R1 → R3 , solve dt = A · x + f (t) with
   
4 1 3 3et
A= 0 4 1 , f =  0 .
0 0 4 0

The homogeneous part of this problem has been solved before. Let the particular solution be

xP = cet .

Substituting into the equation, we get


3
cet = A · cet +  0  et .
0

We can cancel the exponential to get


3
(I − A) · c =  0  ,
0

which can be solved to get

 
−1
c =  0 .
0

Therefore,

−1
x = xH +  0  et .
0

The method must be modified if f = ceλt , where λ is an eigenvalue of A. Then the

particular solution must be of the form xP = (c0 + tc1 + t2 c2 + · · ·)eλt , where the series is
finite, and we take as many terms as necessary.

9.5.2.2 Variation of parameters

This follows the general procedure explained in Section 3.3.2, page 79.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.6. NONLINEAR EQUATIONS 377

9.6 Nonlinear equations

Nonlinear equations are difficult to solve. Even for algebraic equations, general solutions do
not exist for polynomial equations of arbitrary degree. Nonlinear differential equations, both
ordinary and partial, admit analytical solutions only in special cases. Since these equations
are quite common in engineering applications, many techniques for approximate numerical
and analytical solutions have been developed. Our purpose here is more restricted; it is to
analyze the long-time stability of the solutions as a function of a system parameter. We will
first develop some of the basic ideas of stability, and then illustrate them through examples.

9.6.1 Definitions
With x ∈ Rn , t ∈ R1 , f : Rn → Rn , consider a system of n nonlinear first-order ordinary
differential equations
dxi
= fi (x1 , x2 , · · · , xn ), i = 1, · · · , n. (9.50)
dt
where t is time, and fi is a vector field. The system is autonomous since fi is not a function
of t. The coordinates
Pn x1 , x2 , · · · , xn form a phase or state space. The divergence of the
vector field i=1 ∂fi /∂xi indicates the change of a given volume of initial conditions in
phase space. If the divergence is zero, the volume remains constant and the system is said to
be conservative. If the divergence is negative, the volume shrinks with time and the system
is dissipative. The volume in a dissipative system eventually goes to zero. This final state
to which some initial set of points in phase space goes is called an attractor. Attractors may
be points, closed curves, or tori, or fractal (strange). A given dynamical system may have
several attractors that co-exist. Each attractor has its own basin of attraction in Rn ; initial
conditions that lie on this basin tend to that particular attractor.
The steady state solutions xi = xi of equation (9.50) are called critical (or fixed, singular
or stationary) points. Thus, by definition
fi (x1 , x2 , · · · , xn ) = 0, i = 1, · · · , n, (9.51)
which is an algebraic or transcendental equation. The dynamics of the system is analyzed
by studying the stability of the critical point. For this we perturb the system so that
xi = xi + x′i , (9.52)
where the prime denotes a perturbation. If ||x′i || is bounded for t → ∞, the critical point
is said to be stable, otherwise it is unstable. As a special case, if ||x′i || → 0 as t → ∞, the
critical point is asymptotically stable.

9.6.2 Linear stability

The linear stability of the critical point is determined by restricting the analysis to a small
neighborhood of the critical point, i.e. for small values of ||x′i ||. We substitute equation (9.52)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

378 CHAPTER 9. DYNAMICAL SYSTEMS

into (9.50), and linearize by keeping only the terms that are linear in x′i and neglecting all
products of x′i . Thus equation (9.50) takes a linearized local form
n
dx′i X
= Aij x′j . (9.53)
dt j=1

Another way of obtaining the same result is to expand the vector field in a Taylor series
around xi = xi so that 
n
X ∂fi 
fi (xi ) = x′j + H.O.T., (9.54)
j=1
∂xj xi =xi


and then neglect the higher order terms (H.O.T.) Thus, in equation (9.53)

∂fi 
Aij = (9.55)
∂xj  xi =xi
is the Jacobian of fi evaluated at the critical point. In matrix form the linearized equation
for the perturbation x′ is
dx′
= A · x′ . (9.56)
dt
The real parts of the eigenvalues of A determine the linear stability of the critical point
x = 0, and the behavior of the solution near it:
1. If all eigenvalues have real parts < 0, the critical point is asymptotically stable.
2. If at least one eigenvalue has a real part > 0, the critical point is unstable.
3. If all eigenvalues have real parts ≤ 0, and some have zero real parts, then the critical
point is stable if A has k linearly independent eigenvectors for each eigenvalue of
multiplicity k. Otherwise it is unstable.
The following are some terms used in classifying critical points according to the real and
imaginary parts of the eigenvalues of A.
Classification Eigenvalues
Hyperbolic Non-zero real part
Saddle Some real parts negative, others positive
Stable node or sink All real parts negative
ordinary sink All real parts negative, imaginary parts zero
spiral sink All real parts negative, imaginary parts non-zero
Unstable node or source All real parts positive
ordinary source All real parts positive, imaginary parts zero
spiral source All real parts positive, imaginary parts non-zero
Center All purely imaginary and non-zero
Figures 9.5 and 9.6 show examples of phase planes for simple systems which describe
an ordinary source node, a spiral sink node, an ordinary center node, and a saddle node.
Figure 9.7 gives a phase plane, vector field, and trajectories for a complex system with many
nodes present. Here the nodes are spiral and saddle nodes.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.6. NONLINEAR EQUATIONS 379

Ordinary Source Node

x’=x
x’=0
y’=y

1.5

0.5

0 y’=0
y

−0.5

−1

−1.5

−2

−3 −2 −1 0 1 2 3
x

Spiral Sink Node x ’ = − (x + y)

y’=x
x’ = 0 y’ = 0

1.5

0.5

0
y

−0.5

−1

−1.5

−2

−3 −2 −1 0 1 2 3
x

Figure 9.5: Phase plane for system with ordinary source node and spiral sink node.

9.6.3 Lyapunov functions

For x ∈ Rn , t ∈ R1 , f : Rn → Rn Consider the system of differential equations
dxi
= fi (x1 , x2 , · · · , xn ), i = 1, 2, · · · , n, (9.57)
dt
with xi = 0 as a critical point. If there exists a V (x1 , x2 , · · · , xn ) : Rn → R1 such that

• V > 0 for xi 6= 0,

• V = 0 for xi = 0,
dV
• dt
< 0 for xi 6= 0, and

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

380 CHAPTER 9. DYNAMICAL SYSTEMS

x’=−y Ordinary Center Node

y’=x

1.5

0.5

0
y

−0.5

−1

−1.5

−2

−3 −2 −1 0 1 2 3
x
x’=y−x
y’=x
Saddle Node
y’=0 x’ = 0
2

1.5

0.5

0
y

−0.5

−1

−1.5

−2

−3 −2 −1 0 1 2 3
x

Figure 9.6: Phase plane for systems with center node and saddle node

dV
• dt
= 0 for xi = 0,

then the equilibrium point of the differential equations, xi = 0, is globally stable to all per-
turbations, large or small. The function V (x1 , x2 , · · · , xn ) is called a Lyapunov3 function.
Although one cannot always find a Lyapunov function for a given system of differential
equations, we can pose a method to seek a Lyapunov function given a set of autonomous
ordinary differential equations. While the method lacks robustness, it is always straight-
forward to guess a functional form for a Lyapunov function and test whether or not the
proposed function satisfies the criteria:

1. Choose a test function V (x1 , · · · , xn ). The function should be chosen to be strictly

3
Alexandr Mikhailovich Lyapunov, 1857-1918, Russian mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.6. NONLINEAR EQUATIONS 381

Sprial Nodes and Saddles

2
x ’ = (y + 1/4 x − 1/2) (x − 2 y + 5/2)
y’ = 0 y ’ = (y − x) (x − 2) (x + 2) y’=0

2
x’ = 0
1.5
x’ = 0
1

0.5

0
y

x’ = 0
−0.5

−1

−1.5
x’ = 0
−2

−3 −2 −1 0 1 2 3
y’ = 0 x y’ = 0

Figure 9.7: Phase plane for system with many nodes

positive for xi 6= 0 and zero for xi = 0.

2. Calculate
dV ∂V dx1 ∂V dx2 ∂V dxn
= + +···+ , (9.58)
dt ∂x1 dt ∂x2 dt ∂xn dt
dV ∂V ∂V ∂V
= f1 (x1 , · · · , xn ) + f2 (x1 , · · · , xn ) + · · · + fn (x1 , · · · , xn ).(9.59)
dt ∂x1 ∂x2 ∂xn
It is this step where the differential equations actually enter into the calculation.
3. Determine if for the proposed V (x1 , · · · , xn ) whether or not dV
dt
< 0, xi 6= 0; dV
dt
=
0, xi = 0. If so, then it is a Lyapunov function. If not, there may or may not be a
Lyapunov function for the system; one can guess a new functional form and test again.

Example 9.12
Show that x = 0 is globally stable, if
d2 x dx
m 2
+β + k1 x + k2 x3 = 0, where m, β, k1 , k2 > 0.
dt dt
This system models the motion of a mass-spring-damper system when the spring is non-linear. Breaking
the original second order differential equation into two first order equations, we get
dx
= y,
dt
dy β k1 k2
= − y − x − x3 .
dt m m m

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

382 CHAPTER 9. DYNAMICAL SYSTEMS

Here x represents the position, and y represents the velocity. Let us guess that the Lyapunov function
has the form
V (x, y) = ax2 + by 2 + cx4 , where a, b, c > 0.
Note that V (x, y) ≥ 0 and that V (0, 0) = 0. Then

dV ∂V dx ∂V dy
= + ,
dt ∂x dt ∂y dt
dx dx dy
= 2ax + 4cx3 + 2by ,
dt dt  dt 
β k1 k2
= (2ax + 4cx )y + 2by − y − x − x3 ,
3
m m m
   
bk1 bk2 2b
= 2 a− xy + 2 2c − x3 y − βy 2 .
m m m
k2
If we choose b = m 1
2 , a = 2 k1 , c = 4 , then the coefficients on xy and x3 y in the expression for dV
dt are
identically zero, and we get
dV
= −βy 2 ,
dt
which for β > 0 is negative for all y 6= 0 and zero for y = 0. Further, with these choices of a, b, c, the
Lyapunov function itself is
1 1 1
V = k1 x2 + k2 x4 + my 2 ≥ 0.
2 4 2
Checking, we see
dV dx dx dy
= k1 x + k2 x3 + my ,
dt dt dt  dt 
β k1 k2
= k1 xy + k2 x y + my − y − x − x3 ,
3
m m m
= k1 xy + k2 x3 y − βy 2 − k1 xy − k2 x3 y,
= −βy 2 ≤ 0.

Thus V is a Lyapunov function, and x = y = 0 is globally stable. Actually, in this case, V = (kinetic
energy + potential energy), where kinetic energy = 12 my 2 , and potential energy = 21 k1 x2 + 14 k2 x4 .
Note that V (x, y) is just an algebraic function of the system’s state variables. When we take the time
derivative of V , we are forced to invoke our original system, which defines the differential equations.
We note for this system that precisely since V is strictly positive or zero for all x, y, and moreover that
it is decaying for all time, that this necessarily implies that V → 0, hence x, y → 0.

9.6.4 Hamiltonian systems

Closely related to the Lyapunov function of a system is the Hamiltonian, which exists for
systems which are non-dissipative, that is those systems for which dV
dt
= 0. In such a case
we define the Hamiltonian H to be the Lyapunov function H = V with dH dt
≡ 0. For such
systems, we integrate once to find that H(xi , yi) must be a constant for all xi , yi . Such
systems are said to be conservative.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.6. NONLINEAR EQUATIONS 383

With x ∈ Rn , y ∈ Rn , t ∈ R1 , f : R2n → Rn , g : R2n → Rn We say a system of equations

of the form
dxi dyi
= fi (x1 , · · · , xn , y1, · · · , yn ), = gi (x1 , · · · , xn , y1 , · · · , yn ), i = 1, · · · , n,
dt dt
(9.60)
is Hamiltonian if we can find a function H(xi , yi ) : Rn × Rn → R1 such that

dH ∂H dxi ∂H dyi
= + = 0, (9.61)
dt ∂xi dt ∂yi dt
dH ∂H ∂H
= fi (x1 , · · · , xn , y1 , · · · , yn ) + gi (x1 , · · · , xn , y1 , · · · , yn ) = 0. (9.62)
dt ∂xi ∂yi

This differential equation can at times be solved directly by the method of separation of
variables in which we assume a specific functional form for H(xi , yi).
Alternatively, we can also determine H by demanding that

∂H dxi ∂H dyi
= , =− . (9.63)
∂yi dt ∂xi dt

Substituting from the original differential equations, we are led to equations for H(xi , yi )

∂H ∂H
= fi (x1 , · · · , xn , y1, · · · , yn ), = −gi (x1 , · · · , xn , y1 , · · · , yn ). (9.64)
∂yi ∂xi

Example 9.13
Find the Hamiltonian for a linear mass spring system:

d2 x dx 
m + kx = 0, x(0) = xo , = ẋ0 .
dt2 dt 0
dx
Taking dt = y to reduce this to a system of two first order equations, we have

dx
= y, x(0) = xo
dt
dy k
= − x, y(0) = yo
dt m
For this system n = 1.
dH
We seek H(x, y) such that dt = 0. That is

dH ∂H dx ∂H dy
= + = 0.
dt ∂x dt ∂y dt

Substituting from the given system of differential equations we have

 
∂H ∂H k
y+ − x = 0.
∂x ∂y m

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

384 CHAPTER 9. DYNAMICAL SYSTEMS

As with all partial differential equations, one has to transform to a system of ordinary equations in
order to solve. Here we will take the approach of the method of separation of variables and assume a
solution of the form
H(x, y) = A(x) + B(y),
where A and B are functions to be determined. With this assumption, we get
dA k dB
y − x = 0.
dx m dy
Rearranging, we get
1 dA k dB
= .
x dx my dy
Now the term on the left is a function of x only, and the term on the right is a function of y only. The
only way this can be generally valid is if both terms are equal to the same constant, which we take to
be C. Hence,
1 dA k dB
= = C,
x dx my dy
from which we get two ordinary differential equations:
dA dB Cm
= Cx, = y.
dx dy k
The solution is
1 2 1 Cm 2
A(x) = Cx + K1 , B(y) = y + K2 .
2 2 k
A general solution is
1  2 m 2
H(x, y) = C x + y + K1 + K2 .
2 k
While this general solution is perfectly valid, we can obtain a common physical interpretation by taking
C = k, K1 + K2 = 0. With these choices, the Hamiltonian becomes
1 2 1
H(x, y) = kx + my 2 .
2 2
The first term represents the potential energy of the spring, the second term represents the kinetic
energy. Since by definition dH
dt = 0, this system conserves its mechanical energy. Verifying the properties
of a Hamiltonian, we see
dH ∂H dx ∂H dy
= + ,
dt ∂x dt ∂y dt
 
k
= kxy + my − x ,
m
= 0.
Since this system has dHdt = 0, then H(x, y) must be constant for all time, including t = 0, when the
initial conditions apply. So
1

H(x(t), y(t)) = H(x(0), y(0)) = kx20 + my02 .
2
Thus the system has the integral
1
1

kx2 + my 2 = kx20 + my02 .
2 2

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.7. FIXED POINTS AT INFINITY 385

9.7 Fixed points at infinity

Often in dynamic systems there are additional fixed points, not readily seen in finite phase
space. These fixed points are actually at infinity, and such points can play a role in deter-
mining the dyanmics of a system as well as aiding in finding basins of attraction. Fixed
points at infinity can be studied in a variety of ways. One method involves the so-called
Poincaré4 sphere. Another method uses what is called projective space.

9.7.1 Poincaré sphere

For two-dimensional dynamic systems, a good way is to transform the doubly-infinite phase
plane onto the surface of a sphere with radius unity. The projection will be such that points
at infinity are mapped onto the equator of the sphere. One can then view the sphere from
the north pole and see more clearly how the dynamics develop on the surface of the sphere.

Example 9.14
Using the Poincaré sphere, find the global dynamics, including at infinity, for the simple system
dx
= x, (9.65)
dt
dy
= −y. (9.66)
dt
Obviously the equilibrium point is at (x, y) = (0, 0), and that point is a saddle node.
Let us project the two state variables x and y into a three-dimensional space by the mapping
R2 → R3 :
x
X = p , (9.67)
1 + x2 + y 2
y
Y = p , (9.68)
1 + x2 + y 2
1
Z = p . (9.69)
1 + x2 + y 2

Note that

lim X = 1 ∀y < ∞, (9.70)

x→∞
lim Y = 1 ∀x < ∞. (9.71)
y→∞

Note further if both x and y go to infinity, say on the line y = mx, then
1
lim X = √ , (9.72)
x→∞,y=mx m2 + 1
m
lim Y = √ , (9.73)
x→∞,y=mx m2 + 1
lim X2 + Y 2 = 1. (9.74)
x→∞,y=mx

4
Henri Poincaré, 1854-1912, French polymath.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

386 CHAPTER 9. DYNAMICAL SYSTEMS

So points at infinity are mapping onto a unit circle in (X, Y ) space. Also, going into the saddle node
at (x, y) = (0, 0) along the same line gives

lim X = x+ ..., (9.75)

x→0,y=mx
lim Y = y + .... (9.76)
x→0,y=mx

So the original and transformed space have the same essential behavior near the finite equilibrium point.
Last, note that
x2 + y 2 + 1
X2 + Y 2 + Z2 = = 1. (9.77)
1 + x2 + y 2
Thus, in fact, the mapping takes one onto a unit sphere in (X, Y, Z) space. The surface X 2 +Y 2 +Z 2 = 1
is called the Poincaré sphere. One can actually view this in the same way one does an actual map of
the surface of the Earth. Just as a Mercator5 projection map is a representation of the spherical surface
of the earth projected onto a flat surface (and vice versa), the original (x, y) phase space is a planar
representation of the surface of the Poincaré sphere.
Let us find the inverse transformation. By inspection, it is seen that
X
x = , (9.78)
Z
Y
y = . (9.79)
Z
Now apply the transformation, Eqs. (9.78,9.79) to our dynamical system, Eqs. (9.65,9.66):
 
d X X
= , (9.80)
dt Z Z
 
d Y Y
= − . (9.81)
dt Z Z
Expand using the quotient rule to get
1 dX X dZ X
− 2 = , (9.82)
Z dt Z dt Z
1 dY Y dZ Y
− 2 = − . (9.83)
Z dt Z dt Z
Now on the unit sphere X 2 + Y 2 + Z 2 = 1, we must have

2XdX + 2Y dY + 2ZdZ = 0, (9.84)

so dividing by dt and solving for dZ/dt, we must have

dZ X dX Y dY
=− − . (9.85)
dt Z dt Z dt
Using Eq. (9.85) to eliminate dZ/dt in Eqs (9.80,9.81), our dynamical system can be written as
 
1 dX X X dX Y dY X
− 2 − − = , (9.86)
Z dt Z Z dt Z dt Z
 
1 dY Y X dX Y dY Y
− 2 − − = − . (9.87)
Z dt Z Z dt Z dt Z
5
Geradus Mercator, 1512-1594, Flemish cartographer.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.7. FIXED POINTS AT INFINITY 387

Multiply both equations by Z 3 to get

 
dX dX dY
Z2 +X X +Y = Z 2 X, (9.88)
dt dt dt
 
dY dX dY
Z2 +Y X +Y = −Z 2 Y. (9.89)
dt dt dt
Regroup to find
dX dY
(X 2 + Z 2 ) + XY = Z 2 X, (9.90)
dt dt
dX dY
XY + (Y 2 + Z 2 ) = −Z 2 Y. (9.91)
dt dt
Now, eliminate Z by demanding X 2 + Y 2 + Z 2 = 1 to get
dX dY
(1 − Y 2 ) + XY = (1 − X 2 − Y 2 )X, (9.92)
dt dt
dX dY
XY + (1 − X 2 ) = −(1 − X 2 − Y 2 )Y. (9.93)
dt dt
Solve this quasi-linear system for dX/dt and dY /dt to get
dX
= X − X 3 + XY 2 , (9.94)
dt
dY
= −Y + Y 3 − X 2 Y. (9.95)
dt
The five equilibrium points, and their stability, for this system are easily verified to be
(X, Y ) = (0, 0), saddle (9.96)
(X, Y ) = (1, 0), sink (9.97)
(X, Y ) = (−1, 0), sink (9.98)
(X, Y ) = (0, 1), source (9.99)
(X, Y ) = (0, −1), source. (9.100)
Note that in this space, four new equilibria have appeared. As we are also confined to the Poincaré
sphere on which X 2 + Y 2 + Z 2 = 1, we can also see that each of the new equilibria has Z = 0; that
is, the equilbrium points lie on the equator of the Poincaré sphere. Back transforming into the original
space, we find the equilibria are at
(x, y) = (0, 0), saddle (9.101)
(x, y) = (∞, 0), sink (9.102)
(x, y) = (−∞, 0), sink (9.103)
(x, y) = (0, ∞), source (9.104)
(x, y) = (0, −∞), source. (9.105)
Phase portraits in (X, Y ) space are shown in Figure 9.8. This represents looking at the Poincaré
sphere from the north pole.
An expanded view of the phase portraits for regions outside the Poincaré sphere is shown in Figure
9.9.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

388 CHAPTER 9. DYNAMICAL SYSTEMS

Y
1

0.75

0.5

0.25

X
-1 -0.75 -0.5 -0.25 0.25 0.5 0.75 1

-0.25

-0.5

-0.75

-1

Figure 9.8: Global phase portrait projection of the system dx/dt = x, dy/dt = −y on the
Poincaré sphere.

9.7.2 Projective space

When extended to higher dimension, the Poincaré sphere approach becomes lengthy. A more
efficient approach is provided by projective space. This approach does not have the graphical
appeal of the Poincaré sphere.

Example 9.15
Using projective space, find the global dynamics, including at infinity, for the same simple system

dx
= x, (9.106)
dt
dy
= −y. (9.107)
dt
Again, it is obvious that the equilibrium point is at (x, y) = (0, 0), and that point is a saddle node.
Let us project the two state variables x and y into a new two-dimensional space by the mapping
R2 → R2 :
1
X = , (9.108)
x
y
Y = . (9.109)
x

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.7. FIXED POINTS AT INFINITY 389

1
Y

−1

−2

−2 −1 0 1 2
X

Figure 9.9: Global phase portrait projection of the system dx/dt = x, dy/dt = −y on and
beyond the Poincaré sphere.

Note along the line y = mx, as x → ∞, we get X → 0, Y → m. So for x 6= 0, a point at infinity in

x − y space maps to a finite point in X − Y space. By inspection, the inverse mapping is

1
x = , (9.110)
X
Y
y = . (9.111)
X

Under this transformation, Eqs. (9.106-9.107) become

 
d 1 1
= , (9.112)
dt X X
 
d Y Y
= − . (9.113)
dt X X

Expanding, we find

1 dX 1
− = , (9.114)
X 2 dt X
1 dY Y dX Y
− 2 = − . (9.115)
X dt X dt X

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

390 CHAPTER 9. DYNAMICAL SYSTEMS

Simplifying gives
dX
= −X, (9.116)
dt
dY dX
X −Y = −XY. (9.117)
dt dt
Solving for the derivatives, the system reduces to
dX
= −X, (9.118)
dt
dY
= −2Y. (9.119)
dt
By inspection, there is a sink at (X, Y ) = (0, 0). At such a point, the inverse mapping tells us x → ±∞
depending on whether X is positive or negative, and y is indeterminite. If we approach (X, Y ) = (0, 0)
along the line Y = mX, then y approaches the finite number m. This is consistent with trajectories
being swept away from the origin towards x → ±∞ in the original phase space, indicating an attraction
at x → ±∞. But it does not account for the trajectories emanating from y → ±∞. This is because
the transformation selected obscured this root.
To recover it, we can consider the alternate transformation X̂ = x/y, Ŷ = 1/y. Doing so leads to
the system dX̂/dt = 2X̂, dŶ /dt = Ŷ , which has a source at (X̂, Ŷ ) = (0, 0), which is consistent with
the source-like behavior in the original x, y space as y → ±∞. This transformation, however, obscures
the sink like behavior at x → ±∞.
To capture both points at infinity, we can consider a non-degenerate transformation, of which there
are infinitely many. One is X̃ = 1/(x + y), Ỹ = (x − y)/(x + y). Doing so leads to the system
dX̃/dt = −X̃ Ỹ , dỸ /dt = 1 − Ỹ 2 . This system has two roots, a source at (X̃, Ỹ ) = (0, −1) and a sink
at (X̃, Ỹ ) = (0, 1). The source corresponds to y → ±∞. The sink corresponds to x → ±∞.

9.8 Fractals
In the discussion on attractors in Section 9.6.1, we included geometrical shapes called frac-
tals. These are objects that are not smooth, but occur frequently in the dynamical systems
literature either as attractors or as boundaries of basins of attractions.
A fractal can be defined as a geometrical shape in which the parts are in some way similar
to the whole. This self-similarity may be exact, i.e. a piece of the fractal, if magnified, may
look exactly like the whole fractal. Before discussing examples we need to put forward
a working definition of dimension. Though there are many definitions in current use, we
present here the Hausdorff-Besicovitch6 dimension D. If Nǫ is the number of ‘boxes’ of side
length ǫ needed to cover an object, then
ln Nǫ
D = lim . (9.120)
ǫ→0 ln(1/ǫ)

We can check that this definition corresponds to the common geometrical shapes.
6
after Felix Hausdorff, 1868-1942, German mathematician, and Abram Samoilovitch Besicovitch, 1991-
1970, Russian mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.8. FRACTALS 391

1. Point: Nǫ = 1, D = 0 since D = limǫ→0 −lnln1ǫ = 0,

2. Line of length l: Nǫ = l/ǫ, D = 1 since D = limǫ→0 ln(l/ǫ)

− ln ǫ
= ln l−ln ǫ
− ln ǫ
= 1,
2 2
3. Surface of size l2 : Nǫ = (l/ǫ)2 , D = 2 since D = limǫ→0 ln(l /ǫ )
− ln ǫ
= 2 ln l−2 ln ǫ
− ln ǫ
= 2,
3 3
4. Volume of size l3 : Nǫ = (l/ǫ)3 , D = 3 since D = limǫ→0 ln(l /ǫ )
− ln ǫ
= 3 ln l−3 ln ǫ
− ln ǫ
= 3.

A fractal has a dimension that is not an integer. Many physical objects are fractal-like, in
that they are fractal within a range of length scales. Coastlines are among the geographical
features that are of this shape. If there are Nǫ units of a measuring stick of length ǫ, the
measured length of the coastline will be of the power-law form ǫNǫ = ǫ1−D , where D is the
dimension.

9.8.1 Cantor set

Consider the line corresponding to k = 0 in Figure 9.10. Take away the middle third to leave

k=0
k=1
k=2
k=3
k=4

Figure 9.10: Cantor set

the two portions; this is shown as k = 1. Repeat the process to get k = 2, 3, . . .. If k → ∞,

what is left is called the Cantor7 set. Let us take the length of the line segment to be unity
when k = 0. Since Nǫ = 2k and ǫ = 1/3k , the dimension of the Cantor set is

ln Nǫ ln 2k k ln 2 ln 2
D = lim = lim k
= = = 0.6309 . . . . (9.121)
ǫ→0 ln(1/ǫ) k→∞ ln 3 k ln 3 ln 3

It can be seen that the endpoints of the removed intervals are never removed; it can be
shown the Cantor set contains an infinite number of points, and it is an uncountable set. It
is totally disconnected and has a Lebesgue measure zero.

9.8.2 Koch curve

Here we start with an equilateral triangle shown in Figure 9.11 as k = 0. Each side of the
original triangle has unit length. The middle third of each side of the triangle is removed,
and two sides of a triangle drawn on that. This is shown as k = 1. The process is continued,
7
Georg Ferdinand Ludwig Philipp Cantor, 1845-1918, Russian-born, German-based mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

392 CHAPTER 9. DYNAMICAL SYSTEMS

k=0 k=1 k=2

Figure 9.11: Koch curve

and in the limit gives a continuous, closed curve that is nowhere smooth. Since Nǫ = 3 × 4k
and ǫ = 1/3k , the dimension of the Koch8 curve is

ln Nǫ ln(3)4k ln 3 + k ln 4 ln 4
D = lim = lim k
= lim = = 1.261 . . . . (9.122)
ǫ→0 ln(1/ǫ) k→∞ ln 3 k→∞ k ln 3 ln 3

The limit curve itself has infinite length, it is nowhere differentiable, and it surrounds a finite
area.

9.8.3 Menger sponge

An example of a fractal which is an iterate of an object which starts in three dimensional
space is a “Menger sponge.”9 A Menger sponge is depicted in Figure 9.12.

Figure 9.12: Menger sponge.

8
Niels Fabian Helge von Koch, 1870-1924, Swedish mathematician.
9
Karl Menger, 1902-1985, Austrian-born mathematician and active member of the influential
“Vienna Circle.” He served on the faculties of the Universities of Amsterdam, Vienna, Notre Dame, and the
Illinois Institute of Technology.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.8. FRACTALS 393

9.8.4 Weierstrass function

For a, b, t ∈ R1 , W : R1 → R1 , the Weierstrass10 function
∞
X
W (t) = ak cos bk t, (9.123)
k=1

where a is real, b is odd, and ab > 1 + 3π/2. It is everywhere continuous, but nowhere
differentiable! Both require some effort to prove. A Weierstrass function is plotted in Figure
9.13. Its fractal character can be seen when one recognizes that cosine waves of ever higher

0.75

0.5

0.25

t
0.1 0.2 0.3 0.4 0.5
-0.25

-0.5

-0.75

Figure 9.13: Four term (k = 1, . . . , 4) approximation to Weierstrass function, W (t) for

b = 13, a = 1/2.

frequency are superposed onto low frequency cosine waves.

9.8.5 Mandelbrot and Julia sets

For z ∈ C1 , c ∈ C1 , the Mandelbrot11 set is the set of all c for which

zk+1 = zk2 + c (9.124)

stays bounded as k → ∞, when z0 = 0. The boundaries of this set are fractal. A Mandelbrot
set is sketched in Figure 9.14.
10
Karl Theodor Wilhalm Weierstrass, 1815-1897, Westphalia-born German mathematician.
11
Benoı̂t Mandelbrot, 1924-2010, Polish-born mathematician based mainly in France.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

394 CHAPTER 9. DYNAMICAL SYSTEMS

Figure 9.14: Mandelbrot set. Black regions stay bounded; colored regions become unbounded
with shade indicating how rapidly the system becomes unbounded. Image generated from
http://aleph0.clarku.edu/∼djoyce/cgi-bin/expl.cgi.

Associated with each c for the Mandelbrot set is a Julia12 set. In this case, the Julia set
is the set of complex initial seeds z0 which allow zk+1 = zk2 + c to converge for fixed complex
c. A Julia set for c = 0.49 + 0.57i is plotted in Figure 9.15.

9.9 Bifurcations
Dynamical systems representing some physical problem frequently have parameters associ-
ated with them. Thus, for x ∈ Rn , t ∈ R1 , λ ∈ R1 , f : Rn → Rn , we can write

dxi
= fi (x1 , x2 , · · · , xn ; λ) (i = 1, · · · , n), (9.125)
dt
where λ is a parameter. The theory can easily be extended if there is more than one
parameter.
We would like to consider the changes in the behavior of t → ∞ solutions as the real
number λ, called the bifurcation parameter, is varied. The nature of the critical point may
change as the parameter λ is varied; other critical points may appear or disappear, or its
stability may change. This is a bifurcation, and the λ at which it happens is the bifurcation
point. The study of the solutions and bifurcations of the steady state falls under singularity
theory.
12
Gaston Maurice Julia, 1893-1978, Algerian-born French mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.9. BIFURCATIONS 395

Figure 9.15: Julia set for c = 0.49+0.57i. Black regions stay bounded; colored regions become
unbounded with shade of color indicating how rapidly the system becomes unbounded. Image
generated from http://aleph0.clarku.edu/∼djoyce/cgi-bin/expl.cgi.

Let us look at some of the bifurcations obtained for different vector fields. Some of the
examples will be one-dimensional, i.e. x ∈ R1 , λ ∈ R1 , f : R1 → R1 .
dx
= f (x; λ). (9.126)
dt
Even though this can be solved exactly in most cases, we will assume that such a solution
is not available so that the techniques of analysis can be developed for more complicated
systems. For a coefficient matrix that is a scalar, the eigenvalue is the coefficient itself. The
eigenvalue will be real and will cross the imaginary axis of the complex plane through the
origin as λ is changed. This is called a simple bifurcation.

9.9.1 Pitchfork bifurcation

For x ∈ R1 , t ∈ R1 , λ ∈ R1 , λ0 ∈ R1 , consider
dx
= −x(x2 − (λ − λ0 )). (9.127)
dt
√
The critical points are x = 0, and ± λ − λ0 . λ = λ0 is a bifurcation point; for λ < λ0 there
is only one critical point, while for λ > λ0 there are three.
Linearizing around the critical point x = 0, we get
dx′
= (λ − λ0 )x′ .
dt
This has solution
x′ (t) = x′ (0) exp ((λ − λ0 )t) .

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

396 CHAPTER 9. DYNAMICAL SYSTEMS

For λ < λ0 , the critical point is asymptotically stable; for λ > λ0 it is unstable.
Notice that the function V (x) = x2 satisfies the following conditions: V > 0 for x 6= 0,
V = 0 for x = 0, and dV dt
= dV dx
dx dt
= −2x2 (x2 − (λ − λ0 )) ≤ 0 for λ < λ0 . Thus V (x) is a
Lyapunov function and x = 0 is globally stable for all perturbations, large or small, as long
as λ < λ0 . √
Now let us examine the critical point x = λ − λ0 which exists only for λ > λ0 . Putting
x = x + x′ , the right side of equation (9.127) becomes
p  p 2 
′ ′
f (x) = − λ − λ0 + x λ − λ0 + x − (λ − λ0 ) .

Linearizing for small x′ , we get

dx′
= −2(λ − λ0 )x′ .
dt
This has solution
x′ (t) = x′ (0) exp (−2(λ − λ0 )t) .
√
For λ > λ0 , this critical point is stable. The other critical point x = − λ − λ0 is also found
to be stable for λ > λ0 .
The results are summarized in the bifurcation diagram sketched in Figure 9.16.

λο λ

Figure 9.16: The pitchfork bifurcation. Heavy lines are stable

At the bifurcation point, λ = λ0 , we have

dx
= −x3 . (9.128)
dt
CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.
9.9. BIFURCATIONS 397

This equation has a critical point at x = 0 but has no linearization. We must do a non-linear
analysis to determine the stability of the critical point. In this case it is straightforward.
Solving directly and applying an initial condition, we obtain
x(0)
x(t) = ± p , (9.129)
1 + 2x(0)2 t
lim x(t) = 0. (9.130)
t→∞

Since the system approaches the critical point as t → ∞ for all values of x(0), the critical
point x = 0 unconditionally stable.

9.9.2 Transcritical bifurcation

For x ∈ R1 , t ∈ R1 , λ ∈ R1 , λ0 ∈ R1 , consider
dx
= −x(x − (λ − λ0 )). (9.131)
dt
The critical points are x = 0 and λ − λ0 . The bifurcation occurs at λ = λ0 . Once again the
linear stability of the solutions can be determined. Near x = 0, the linearization is
dx′
= (λ − λ0 )x′ , (9.132)
dt
which has solution
x′ (t) = x′ (0) exp ((λ − λ0 )t) .
So this solution is stable for λ < λ0 . Near x = λ − λ0 , we take x′ = x − (λ − λ0 ). The
resulting linearization is
dx′
= −(λ − λ0 )x′ , (9.133)
dt
which has solution
x′ (t) = x′ (0) exp (−(λ − λ0 )t) .
So this solution is stable for λ > λ0 .
At the bifurcation point, λ = λ0 , there is no linearization, and the system becomes
dx
= −x2 , (9.134)
dt
which has solution
x(0)
x(t) = . (9.135)
1 + x(0)t
Here the asymptotic stability depends on the initial condition! For x(0) ≥ 0, the critical
1
point at x = 0 is stable. For x(0) < 0, there is a blowup phenomena at t = − x(0) .
The results are summarized in the bifurcation diagram sketched in Figure 9.17.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

398 CHAPTER 9. DYNAMICAL SYSTEMS

λο λ

Figure 9.17: Transcritical bifurcation. Heavy lines are stable

9.9.3 Saddle-node bifurcation

For x ∈ R1 , t ∈ R1 , λ ∈ R1 , λ0 ∈ R1 , consider
dx
= −x2 + (λ − λ0 ). (9.136)
dt
√ √
The critical points are x = ± λ − λ0 . Taking x′ = x ∓ λ − λ0 and linearizing, we obtain
dx′ p
= ∓2 λ − λ0 x′ , (9.137)
dt
which has solution  p 
x′ (t) = x′ (0) exp ∓ λ − λ0 t . (9.138)
√ √
For λ > λ0 , the root x = + λ − λ0 is asymptotically stable. The root x = − λ − λ0 is
asymptotically unstable.
At the point, λ = λ0 , there is no linearization, and the system becomes
dx
= −x2 , (9.139)
dt
which has solution
x(0)
x(t) = . (9.140)
1 + x(0)t
Here the asymptotic stability again depends on the initial condition For x(0) ≥ 0, the critical
1
point at x = 0 is stable. For x(0) < 0, there is a blowup phenomena at t = x(0) .
The results are summarized in the bifurcation diagram sketched in Figure 9.18.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.9. BIFURCATIONS 399

λο λ

Figure 9.18: Saddle-node bifurcation. Heavy lines are stable

9.9.4 Hopf bifurcation

To give an example of complex eigenvalues, one must go to a two-dimensional vector field.

Example 9.16
With x, y, t, λ, λ0 ∈ R1 , take
dx
= (λ − λ0 )x − y − x(x2 + y 2 ),
dt
dy
= x + (λ − λ0 )y − y(x2 + y 2 ).
dt
The origin (0,0) is a critical point. The linearized perturbation equations are
 ′    ′ 
d x λ − λ0 −1 x
= .
dt y′ 1 λ − λ0 y′

The eigenvalues µ of the coefficient matrix are µ = (λ − λ0 ) ± i. For λ < λ0 the real part is negative
and the origin is stable. At λ = λ0 there is a Hopf13 bifurcation as the eigenvalues cross the imaginary
axis of the complex plane as λ is changed. For λ > λ0 a periodic orbit in the (x, y) phase plane appears.
The linear analysis will not give the amplitude of the motion. Writing the given equation in polar
coordinates (r, θ)
dr
= r(λ − λ0 ) − r3 ,
dt
dθ
= 1.
dt
This is a pitchfork bifurcation in the amplitude of the oscillation r.
13
Eberhard Frederich Ferdinand Hopf, 1902-1983, Austrian-born, German mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

400 CHAPTER 9. DYNAMICAL SYSTEMS

9.10 Lorenz equations

For independent variable t ∈ R1 , dependent variables x, y, z ∈ R1 , and parameters σ, r, b ∈
R1 , the Lorenz14 equations are
dx
= σ(y − x), (9.141)
dt
dy
= rx − y − xz, (9.142)
dt
dz
= −bz + xy, (9.143)
dt
where σ and b are taken to be positive constants, with σ > b + 1. The bifurcation parameter
will be either r or σ.

9.10.1 Linear stability

The critical points are obtained from

y − x = 0, (9.144)
rx − y − xz = 0, (9.145)
−bz + xy = 0, (9.146)

which give      p   p 
x 0 p b(r − 1) −pb(r − 1)
 y  =  0  ,  b(r − 1)  ,  − b(r − 1)  . (9.147)
z 0 r−1 r−1
A linear stability analysis of each critical point follows.

• x = y = z = 0. Small perturbations around this point give

 ′    ′ 
x −σ σ 0 x
d  ′  
y = r −1 0   y′  . (9.148)
dt
z′ 0 0 −b z′

The characteristic equation is

(λ + b)(λ2 + λ(σ + 1) − σ(r − 1)) = 0, (9.149)

14
Edward Norton Lorenz, 1917-2008, American meteorologist.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.10. LORENZ EQUATIONS 401

from which we get the eigenvalues

1 p 
λ = −b, λ= −(1 + σ) ± (1 + σ)2 − 4σ(1 − r) . (9.150)
2
For 0 < r < 1, the eigenvalues are real and negative, since (1 + σ)2 > 4σ(1 − r). At
r = 1, there is a pitchfork bifurcation with one zero eigenvalue. For r > 1, the origin
becomes unstable.
p
• x = y = b(r − 1), z = r − 1. Small perturbations give
 ′    ′ 
x −σ σ 0 x
d  ′   p
  y′
y = 1 −1 − b(r − 1) . (9.151)
dt p p
z′ b(r − 1) b(r − 1) −b z′

The characteristic equation is

λ3 + (σ + b + 1)λ2 + (σ + r)bλ + 2σb(r − 1) = 0. (9.152)
Using the Hurwitz criteria we can determine the sign of the real parts of the solutions
of this cubic equation without actually solving it. The Hurwitz determinants are
D1 = σ + b + 1 (9.153)
 
 σ + b + 1 2σb(r + 1) 
D2 =  , (9.154)
1 (σ + r)b 
= σb(σ + b + 3) − rb(σ − b − 1) (9.155)
 
 σ + b + 1 2σb(r − 1) 0 
 
D3 =  1 (σ + r)b 0 ,
 (9.156)
 0 σ + b + 1 2σb(r − 1) 
= 2σb(r − 1)(σb(σ + b + 3) − rb(σ − b − 1)). (9.157)

Thus the real parts of the eigenvalues are negative if r < rc = σ(σ+b+3)
σ−b−1
. At r = rc the
characteristic equation (9.152) can be factored to give the eigenvalues −(σ + b+ 1), and
±i 2σ(σ+1)
σ−b−1
, corresponding to a Hopf bifurcation. The periodic solution which is created
at this value of r can be shown to be unstable so that the bifurcation is subcritical.

Example 9.17
Consider the solution to the Lorenz equations for conditions: σ = 1, r = 28, b = 8/3 with initial
conditions x(0) = y(0) = z(0) = 1. The fixed point is given by
r
p 8
x = b(r − 1) = (28 − 1) = 8.485, (9.158)
3
r
p 8
y = b(r − 1) = (28 − 1) = 8.485, (9.159)
3
z = r − 1 = 28 − 1 = 27. (9.160)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

402 CHAPTER 9. DYNAMICAL SYSTEMS

Consideration of the roots of the characteristic equation shows the fixed point here is stable:

λ3 + (σ + b + 1)λ2 + (σ + r)bλ + 2σb(r − 1) = 0, (9.161)

14 2 232
λ3 + λ + λ + 144 = 0, (9.162)
3 3
√
4 2528
λ = −2, λ=− ± i. (9.163)
3 6
Figure 9.19 shows the phase space trajectories in x, y, z space and the behavior in the time domain,
x(t), y(t), z(t).

x
10
8

x 6
4 8 4
20
y 2
10
t
0 0 1 2 3 4 5 6
40 y
30

30 20

z 10
20
t
1 2 3 4 5 6
10
z
50
40
30
20
10
t
0 1 2 3 4 5 6

Figure 9.19: Solution to Lorenz equations, σ = 1, r = 28, b = 8/3. Initial conditions are
x(0) = y(0) = z(0) = 1.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.10. LORENZ EQUATIONS 403

Example 9.18
Now consider the conditions: σ = 10, r = 28, b = 8/3. Initial conditions are x(0) = y(0) = z(0) = 1.
The fixed point is again given by
r
p 8
x = b(r − 1) = (28 − 1) = 8.485, (9.164)
3
r
p 8
y = b(r − 1) = (28 − 1) = 8.485, (9.165)
3
z = r − 1 = 28 − 1 = 27. (9.166)

Now, consideration of the roots of the characteristic equation shows the fixed point here is unstable:

λ3 + (σ + b + 1)λ2 + (σ + r)bλ + 2σb(r − 1) = 0, (9.167)

41 2 304
λ3 + λ + λ + 1440 = 0, (9.168)
3 3
λ = −13.8546, λ = 0.094 ± 10.2 i. (9.169)
The consequence of this is that the solution is chaotic! Figure 9.20 shows the phase space trajectory
and behavior in the time domain

9.10.2 Center manifold projection

This is a procedure for obtaining the nonlinear behavior near an eigenvalue with zero real
part. As an example we will look at the Lorenz system at the bifurcation point r = 1.
Linearization of the Lorenz equations near the equilibrium point at (0, 0, 0) gives rise to a
matrix with eigenvalues and eigenvectors
 
1
λ1 = 0, e1 =  1  , (9.170)
0
 
σ
λ2 = −(σ + 1), e2 =  −1  , (9.171)
0
 
0
λ3 = −b, e3  0 . (9.172)
1

We use the eigenvectors as a basis to define new coordinates (u, v, w) where

    
x 1 σ 0 u
 y  =  1 −1 0   v  . (9.173)
z 0 0 1 w

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

404 CHAPTER 9. DYNAMICAL SYSTEMS

x
20
10
20 0 t
y 5 10 15 20 25
0 -10
-20
y
40 20
30
z 0 t
20 5 10 15 20 25
10 -20
0
z
-10
0 40
x 10 20

20

0 t
5 10 15 20 25

Figure 9.20: Phase space trajectory and time domain plots for solution to Lorenz equations,
σ = 10, r = 28, b = 8/3. Initial conditions are x(0) = y(0) = z(0) = 1.

In terms of these new variables

dx du dv
= +σ , (9.174)
dt dt dt
dy du dv
= − , (9.175)
dt dt dt
dz dw
= , (9.176)
dt dt
so that original non-linear Lorenz equations (9.141-9.143) become

du dv
+σ = −σ(1 + σ)v, (9.177)
dt dt
du dv
− = (1 + σ)v − (u + σv)w, (9.178)
dt dt
CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.
9.10. LORENZ EQUATIONS 405

dw
= −bw + (u + σv)(u − v). (9.179)
dt
Solving directly for the derivatives so as to place the equations in autonomous form, we get
du σ
= 0u − (u + σv)w = λ1 u + nonlinear terms, (9.180)
dt 1+σ
dv 1
= −(1 + σ)v + (u + σv)w = λ2 v + nonlinear terms, (9.181)
dt 1+σ
dw
= −bw + (u + σv)(u − v) = λ3 w + nonlinear terms. (9.182)
dt
The objective of using the eigenvectors as basis vectors is to change the original system to
diagonal form in the linear terms. Notice that the linear portion of the system is in diagonal
form with the coefficients on each linear term as a distinct eigenvalue. Furthermore, the
eigenvalues λ2 = −(1 + σ) and λ3 = −b are negative ensuring that the linear behavior
v = e−(1+σ)t and w = e−bt takes the solution very quickly to zero in these variables.
It would appear then that we are only left with an equation in u(t) for large t. However,
if we put v = w = 0 in the right side, dv/dt and dw/dt would be zero if it were not for the
u2 term in dw/dt, implying that the dynamics is confined to v = w = 0 only if we ignore
this term. According to the center manifold theorem it is possible to find a line (called the
center manifold) which is tangent to u = 0, but is not necessarily the tangent itself, to which
the dynamics is indeed confined.
We can get as good an approximation to the center manifold as we want by choosing new
variables. Expanding the equation for dw dt
, which has the potential problem, we get
dw
= −bw + u2 + (σ − 1)uv − σv 2 . (9.183)
dt
Letting
u2
w̃ = w − , (9.184)
b
so that −bw + u2 = −bw̃, we can eliminate the potential problem with the derivative of w.
In the new variables (u, v, w̃), the full Lorenz equations are written as
du σ u2
= − (u + σv)(w̃ + ), (9.185)
dt 1+σ b
dv 1 u2
= −(1 + σ)v + (u + σv)(w̃ + ), (9.186)
dt 1+σ b
dw̃ 2σ u2
= −bw̃ + (σ − 1)uv − σv 2 + u(u + σv)(w̃ + ). (9.187)
dt b(1 + σ) b
Once again the variables v and w̃ go to zero very quickly. Formally setting them to zero,
and examining all equations we see that
du σ
= − u3 , (9.188)
dt b(1 + σ)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

406 CHAPTER 9. DYNAMICAL SYSTEMS

dv 1
= u3 , (9.189)
dt (1 + σ)b
dw̃ 2σ
= u4 . (9.190)
dt (1 + σ)b2

Here dv/dt and dw̃/dt approach zero if u approaches zero. Now the equation for the evolution
of u suggests that this is the case. Simply integrating this equation and applying and initial
condition we get
s
b(1 + σ)
u(t) = ±(u(0)) (9.191)
b(1 + σ) + 2σ(u(0))2t

which is asymptotically stable as t → ∞. So to this approximation the dynamics is confined

to the v = w̃ = 0 line. The bifurcation at r = 1 is said to be supercritical. Higher order
terms can be included to obtain improved accuracy, if necessary.
Figure 9.21 gives the projection of the solution trajectory and the center manifold in
the u, w phase space. Here the initial conditions were u(0) = 1, v(0) = 1/2, w(0) = 1, and
r = 1, σ = 1, b = 8/3. It is seen first that the actual solution trajectory indeed approaches
the equilibrium point; moreover, the solution trajectory is well approximated by the center
manifold in the neighborhood of the equilibrium point.

Lorenz Equation Solution at Bifurcation Point

w r = 1, σ = 1, b = 8/3
x = u+v, y = u-v, z = w, solution trajectory
u(0) = 1,v(0) = 1/2, w(0) = 1.
2
0.4 w-u/b=0

center
0.3 manifold

0.2

0.1

.
stable
equilibrium
0.2 0.4 0.6 0.8 1
u

point

Figure 9.21: Projection of solution trajectory and center manifold for forced Lorenz equations
at bifurcation point.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.10. LORENZ EQUATIONS 407

Problems
1. For the logistics equation: xk+1 = rxk (1 − xk ); 0 < xk < 1, 0 < r < 4, write a short program which
determines the value of x as k → ∞. Plot the bifurcation diagram, that is the limiting value of x as
a function of r for 0 < r < 4. If ri is the ith bifurcation point, that is the value at which the number
of fixed points changes, make an estimate of Feigenbaum’s constant,
ri−1 − ri
δ = lim
i→∞ ri − ri+1

2. If
dx dy
x + xy =x−1
dt dt
dx dy
(x + y) +x =y+1
dt dt
write the equation in autonomous form,

dx
= f (x, y)
dt

dy
= g(x, y)
dt
Plot the lines f = 0, g = 0 in the xy phase plane. Also plot in this plane the vector field defined by
the differential equations. With a combination of analysis and numerics, find a path in phase space
from one critical point to the other. For this path, plot x(t), y(t) and include the path in the xy phase
plane.

3. Show that for all initial conditions the solutions of

dx
= −x + x2 y − y 2
dt
dy
= −x3 + xy − 6z
dt
dz
= 2y
dt
tend to x = y = z = 0 as t → ∞.
4. Draw the bifurcation diagram of

dx

= x3 + x (λ − 3)2 − 1
dt
where λ is the bifurcation parameter, indicating stable and unstable branches.
5. A two-dimensional dynamical system expressed in polar form is

dr
= r(r − 2)(r − 3)
dt
dθ
= 2
dt
Find the (a) critical point(s), (b) periodic solution(s), and (c) analyze their stability.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

408 CHAPTER 9. DYNAMICAL SYSTEMS

6. Find a critical point of the following system, and show its local and global stability.
dx

= (x − 2) (y − 1)2 − 1
dt
dy

= (2 − y) (x − 2)2 + 1
dt
dz
= (4 − z)
dt
7. Find the general solution of dx/dt = A · x where
 
1 −3 1
A =  2 −1 −2 
2 −3 0

8. Find the solution of dx/dt = A · x where

 
1 0 −1
A =  −1 2 1 
1 0 1
and  
0
x(0) =  0 
1
9. Find the solution of dx/dt = A · x where
 
1 −3 2
A =  0 −1 0 
0 −1 −2
and  
1
x(0) =  2 
1
10. Find the solution of dx/dt = A · x where
 
1 0 0
A= 0 1 −1 
0 1 1
and  
1
x(0) =  1 
1
11. Express
dx1 dx2
+ x1 + + 3x2 = 0
dt dt
dx1 dx2
+3 + x2 = 0
dt dt
in the form dx/dt = A · x and solve. Plot the x1 , x2 phase plane and the vector field defined by the
system of equations.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.10. LORENZ EQUATIONS 409

12. Classify the critical points of

dx
= x−y−3
dt
dy
= y − x2 + 1
dt
and analyze their stability. Plot the global (x, y) phase plane including critical points and vector
fields.
13. The following equations arise in a natural circulation loop problem
dx
= y−x
dt
dy
= a − zx
dt
dz
= xy − b
dt
where a and b are nonnegative parameters. Find the critical points and analyze their linear stability.
Find numerically the attractors for (i) a = 2, b = 1, (ii) a = 0.95, b = 1, and (iii) a = 0, b = 1.
14. Sketch the steady state bifurcation diagrams of the following equations. Determine and indicate the
linear stability of each branch.
 
dx 1
= − − λ (2x − λ)
dt x
dx

= −x (x − 2)2 − (λ − 1)
dt
15. The motion of a freely spinning object in space is given by
dx
= yz
dt
dy
= −2xz
dt
dz
= xy
dt
where x, y, z represent the angular velocities about the three principal axes. Show that x2 +y 2 +z 2 is a
constant. Find the critical points and analyze their linear stability. Check by throwing a non-spherical
object (a book?) in the air.
16. A bead moves along a smooth circular wire of radius a which is rotating about a vertical axis with
constant angular speed ω. Taking gravity and centrifugal forces into account, the motion of the bead
is given by
d2 θ
a = −g sin θ + aω 2 cos θ sin θ
dt2
where θ is the angular position of the bead with respect to the downward vertical position. Find the
equilibrium positions and their stability as the parameter µ = aω 2 /g is varied.
17. Find a Lyapunov function of the form V = ax2 + by 2 to investigate the global stability of the critical
point x = y = 0 of the system of equations
dx
= −2x3 + 3xy 2
dt
dy
= −x2 y − y 3
dt

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

410 CHAPTER 9. DYNAMICAL SYSTEMS

18. Let  
1 1 2
A= 0 1 1 
0 0 1
Solve the equation
dx
= A · x.
dt
Determine the critical points and their stability.
19. Draw the bifurcation diagram of
dx
= (x2 − 2)2 − 2(x2 + 1)(λ − 1) + (λ − 1)2
dt
indicating the stability of each branch.
20. Show that for all initial conditions the solutions of
dx
= −x + x2 y − y 2
dt
dy
= −x3 + xy − 6z
dt
dz
= 2y
dt
tend to x = y = z = 0 as t → ∞.
21. Draw the bifurcation diagram of
dx

= x3 + x (λ − 2)3 − 1
dt
where λ is the bifurcation parameter, indicating stable and unstable branches.
22. Solve the system of equations dx/dt = A · x where
 
−3 0 2 0
 0 −2 0 0 
A=  0

0 1 1 
0 0 0 0

23. Find a Lyapunov function for the system

dx
= −x − 2y 2
dt
dy
= xy − y 3
dt

24. Analyze the local stability of the origin in the following system
dx
= −2x + y + 3z + 8y 3
dt
dy
= −6y − 5z + 2z 3
dt
dz
= z + x2 + y 3 .
dt

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.10. LORENZ EQUATIONS 411

25. Show that the origin is linearly stable

dx
= (x − by)(x2 + y 2 − 1)
dt
dy
= (ax + y)(x2 + y 2 − 1)
dt
where a, b > 0. Show also that the origin is stable to large perturbations, as long as they satisfy
x2 + y 2 < 1.
26. Draw the bifurcation diagram and analyze the stability of
dx
= −x(x3 − λ − 1) − 0.1
dt

27. Find the dynamical system corresponding to the Hamiltonian H(x, y) = x2 + 2xy + y 2 and then solve
it.
28. Show that solutions of the system of differential equations
dx
= −x + y 3 − z 3
dt
dy
= = −y + z 3 − x3
dt
dz
= −z + x3 − y 3
dt
eventually approach the origin for all initial conditions.
29. Find and sketch all critical points (x, y) of
dx
= (λ − 1)x − 3xy 2 − x3
dt
dy
= (λ − 1)y − 3x2 y − y 3
dt

as functions of λ. Determine the stability of (x, y) = (0, 0), and of one post-bifurcation branch.
30. Write in matrix form and solve
dx
= y+z
dt
dy
= z+x
dt
dz
= x+y
dt
31. Find the critical point (or points) of the Van der Pol equation
d2 x dx
2
− a(1 − x2 ) + x = 0, a > 0
dt dt
and determine its (or their) stability to small perturbations. For a = 1, plot the dx/dt, x phase plane
including critical points and vector fields.
32. Consider a straight line between x = 0 and x = l. Remove the middle half (i.e. the portion between
x = l/4 and x = 3l/4). Repeat the process on the two pieces that are left. Find the dimension of
what is left after an infinite number of iterations.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

412 CHAPTER 9. DYNAMICAL SYSTEMS

33. Classify the critical points of

dx
= x+y−2
dt
dy
= 2y − x2 + 1
dt
and analyze their stability.
34. Determine if the origin is stable if dx/dt = A · x, where
 
3 −3 0
A =  0 −5 −2 
−6 0 −3

35. Find a Lyapunov function of the form V = ax2 + by 2 to investigate the global stability of the critical
point x = y = 0 of the system of equations
dx
= −2x3 + 3xy 2
dt
dy
= −x2 y − y 3
dt
36. Draw a bifurcation diagram for the differential equation
dx
= (x − 3)(x2 − λ)
dt
Analyze linear stability and indicate stable and unstable branches.
37. Solve the following system of differential equations using generalized eigenvectors
dx
= −5x + 2y + z
dt
dy
= −5y + 3z
dt
dz
= = −5z
dt
38. Analyze the linear stability of the critical point of
dx
= 2y + y 2
dt
dy
= −λ + 2x2
dt
39. Show that the solutions of
dx
= y − x3
dt
dy
= −x − y 3
dt
tend to (0,0) as t → ∞.
40. Sketch the bifurcation diagram showing the stable and unstable steady states of
dx
= λx(1 − x) − x
dt

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

9.10. LORENZ EQUATIONS 413

41. Show in parameter space the different possible behaviors of

dx
= a + x2 y − 2bx − x
dt
dy
= bx − x2 y
dt
where a, b > 0.
42. Show that the Hénon-Heiles system

d2 x
= −x − 2xy
dt2
d2 y
= −y + y 2 − x2
dt2
is Hamiltonian. Find the Hamiltonian of the system, and determine the stability of the critical point
at the origin.
43. Solve dx/dt = A · x where  
2 1
A=
0 2
using the exponential matrix.
44. Sketch the steady state bifurcation diagrams of

dx
= (x − λ)(x + λ)((x − 3)2 + (λ − 1)2 − 1)
dt
Determine the linear stability of each branch; indicate the stable and unstable ones differently on the
diagram.
45. Classify the critical point of
d2 x
+ (λ − λ0 )x = 0
dt2
46. Show that x = 0 is a stable critical point of the differential equation

dx X
=− nai x2i+1
dt i=0

where ai ≥ 0, i = 0, 1, · · · , n.
47. Find the stability of the critical points of the Duffing equation

d2 x dx
=a − bx + x3 = 0
dt2 dt
for positive and negative values of a and b. Sketch the flow lines.
48. Find a Lyapunov function to investigate the critical point x = y = 0 of the system of equations

dx
= −2x3 + 3xy 2
dt
dx
= −x2 y − y 3
dt

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

414 CHAPTER 9. DYNAMICAL SYSTEMS

49. The populations x and y of two competing animal species are governed by
dx
= x − 2xy
dt
dy
= −y + xy
dt
What are the steady-state populations? Is the situation stable?
50. For the Lorenz equations with b = 8/3, r = 28 and initial conditions x(0) = 2, y(0) = 1, z(0) = 3,
numerically integrate the Lorenz equations for two cases, σ = 1, σ = 10. For each case plot the
trajectory in xyz phase space and plot x(t), y(t), z(t) for 0 < t < 50. Change the initial condition on
x to x(0) = 2.002 and plot the difference in the predictions of x versus time for both values of σ.
51. Use the Poincaré sphere to find all critical points, finite and infinite of the system
dx
= 2x − 2xy
dt
dy
= 2y − x2 + y 2
dt
Plot families of trajectories in the x, y phase space and the X, Y projection of the Poincaré sphere.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

Chapter 10

Appendix

The material in this section is not covered in detail; some is review from undergraduate
classes.

10.1 Trigonometric relations

1 1
sin x sin y = cos(x − y) − cos(x + y)
2 2
1 1
sin x cos y = sin(x + y) + sin(x − y)
2 2
1 1
cos x cos y = cos(x − y) + cos(x + y)
2 2
1 1
sin2 x = − cos 2x
2 2
1
sin x cos x = sin 2x
2
1 1
cos2 x = + cos 2x
2 2
3 1
sin3 x = sin x − sin 3x
4 4
1 1
sin2 x cos x = cos x − cos 3x
4 4
1 1
sin x cos2 x = sin x + sin 3x
4 4
3 1
cos3 x = cos x + cos 3x
4 4
3 1 1
sin4 x = − cos 2x + cos 4x
8 2 8
415
416 CHAPTER 10. APPENDIX

1 1
sin3 x cos x = sin 2x − sin 4x
4 8
1 1
sin2 x cos2 x = − cos 4x
8 8
1 1
sin x cos3 x = sin 2x + sin 4x
4 8
3 1 1
cos4 x = + cos 2x + cos 4x
8 2 8
5 5 1
sin5 x = sin x − sin 3x + sin 5x
8 16 16
1 3 1
sin4 x cos x = cos x − cos 3x + cos 5x
8 16 16
1 1 1
sin3 x cos2 x = sin x + sin 3x − sin 5x
8 16 16
1 1 1
sin2 x cos3 x = − cos x − cos 3x − cos 5x
8 16 16
1 3 1
sin x cos4 x = sin x + sin 3x + sin 5x
8 16 16
5 5 1
cos5 x = cos x + cos 3x + cos 5x
8 16 16

10.2 Routh-Hurwitz criterion

Here we consider the Routh-Hurwitz1 criterion. The polynomial equation

a0 sn + a1 sn−1 + . . . + an−1 s + an = 0

has roots with negative real parts if and only if the following conditions are satisfied:
(i) a1 /a0 , a2 /a0 , . . . , an /a0 > 0
(ii) Di > 0, i = 1, . . . , n
The Hurwitz determinants Di are defined by

D1 = a1 
 a a3 
D2 =  1
a0 a2 
 
 a1 a3 a5 

D3 =  a0 a2 a4 
 0 a1 a3 

1
Edward John Routh, 1831-1907, Canadian-born English mathematician, and Adolf Hurwitz, 1859-
1919, German mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

10.3. INFINITE SERIES 417

 

 a1 a3 a5 ... a2n−1 


 a0 a2 a4 ... a2n−2 


 0 a1 a3 ... a2n−3 

Dn =  0 a0 a2 ... a2n−4 
 
 .. .. .. .. .. 

 . . . . . 

 0 0 0 ... an 

with ai = 0, if i > n.

10.3 Infinite series

Definition: A power series is of the form

∞
X
an (x − a)n . (10.1)
n=0

The series converges if |x − a| < R, where R is the radius of convergence.

Definition: A function f (x) is said to be analytic at x = a if f and all its derivatives exist
at this point.
An analytic function can be expanded in a Taylor series:

1
f (x) = f (a) + f ′ (a)(x − a) + f ′′ (a)(x − a)2 + · · · (10.2)
2
where the function and its derivatives on the right side are evaluated at x = a. This is a
power series for f (x). We have used primes to indicate derivatives.

Example 10.1
Expand (1 + x)n about x = 0.

f (x) = (1 + x)n
f (0) = 1
f ′ (0) = n
f ′′ (0) = n(n − 1)
..
.
1
(1 + x)n = 1 + nx + n(n − 1)x2 + · · ·
2

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

418 CHAPTER 10. APPENDIX

A function of two variables f (x, y) can be similarly expanded

 ∂f  ∂f 

f (x, y) = f  +  (x − a) +  (y − b)
a,b ∂x a,b ∂y a,b
1 ∂ 2 f  2 ∂ 2 f 
+  (x − a) +  (x − a)(y − b) +
2 ∂x2 a,b ∂x∂y a,b
1 ∂ 2 f 
 (y − b)2 + · · · (10.3)
2 ∂y 2 a,b
if f and all its partial derivatives exist and are evaluated at x = a, y = b.

10.4 Asymptotic expansions

Definition: Consider two function f (x) and g(x). We write that
f (x) ∼ g(x), if limx→a fg(x)
(x)
= 1.
f (x)
f (x) = o(g(x)), if limx→a g(x)
= 0;
 
 f (x) 
f (x) = O(g(x)), if limx→a  g(x)  =constant;

10.5 Special functions

10.5.1 Gamma function
The gamma function is defined by
Z ∞
Γ(x) = e−t tx−1 dt (10.4)
0
Generally, we are interested in x > 0, but results are available for all x. Some properties are:
1. Γ(1) = 1.

2. Γ(x) = (x − 1)Γ(x − 1), x > 1.

3. Γ(x) = (x − 1)(x − 2) · · · (x − r)Γ(x − r), x > r.
4. Γ(n) = (n − 1)!, where n is a positive integer.
q

5. Γ(x) ∼ 2π x
1
xx e−x 1 + 12x 1
+ 288x 2 + . . . , (Stirling’s formula)

Bender and Orszag show that Stirling’s2 formula is a divergent series. It is an asymptotic
series, but as more terms are added, the solution can actually get worse. The Gamma
function and its amplitude are plotted in Figure 10.1.
2
James Stirling, 1692-1770, Scottish mathematician and member of a prominent Jacobite family.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

10.5. SPECIAL FUNCTIONS 419

Γ
15 Γ

10 1. x 10 8
5 10000
x 1
-4 -2 2 4
-5 0.0001
-10 1. x 10 - 8
-15 x
-15 -10 -5 0 5 10 15

Figure 10.1: Gamma function and amplitude of Gamma function.

10.5.2 Beta function

The beta function is defined by
Z 1
B(p, q) = xp−1 (1 − x)q−1 dx (10.5)
0

Property:
Γ(p)Γ(q)
B(p, q) = (10.6)
Γ(p + q)

10.5.3 Riemann zeta function

This is defined as ∞
X
ζ(x) = n−x (10.7)
n=1
The function can be evaluated in closed form for even integer values of x. It can be shown
that ζ(2) = π 2 /6, ζ(4) = π 4 /90, and ζ(6) = π 6 /945. All negative even integer values of x
give ζ(x) = 0. Further limx→∞ ζ(x) = 1. For large negative values of x, the Riemann zeta
function oscillates with increasing amplitude. Plots of the Riemann zeta function for x > 1
and the amplitude of the Riemann zeta function over a broader domain on a logarithmic
scale as shown in Figure 10.2.

10.5.4 Error function

The error function is defined by
Z x
2 2
erf (x) = √ e−ξ dξ (10.8)
π 0

and the complementary error function by

erfc (x) = 1 − erf x (10.9)
The error function and the error function complement are plotted in Figure 10.3.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

420 CHAPTER 10. APPENDIX

ζ
ζ
10

8 100000.

6 100

4 0.1
2 0.0001
x x
2 4 6 8 10 -30 -20 -10 0 10

Figure 10.2: Riemann zeta function and amplitude of Riemann zeta function.
erf (x) erfc (x)
1 2

0.5 1.5

1
-4 -2 2 4 x
0.5
-0.5

-1 -4 -2 2 4 x

Figure 10.3: Error function and error function complement.

10.5.5 Fresnel integrals

The Fresnel3 integrals are defined by
Z x
πt2
C(x) = cos dt (10.10)
0 2
Z x
πt2
S(x) = sin dt (10.11)
0 2
The Fresnel cosine and sine integrals are plotted in Figure 10.4.

10.5.6 Sine- and cosine-integral functions

The sine-integral function is defined by
Z x
sin ξ
Si (x) = dξ (10.12)
0 ξ
and the cosine-integral function by
Z x
cos ξ
Ci (x) = dξ (10.13)
0 ξ
3
Augustin-Jean Fresnel, 1788-1827, French physicist noted for work in optics.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

10.5. SPECIAL FUNCTIONS 421

C(x) S(x)
0.75
0.6
0.5
0.4
0.25
0.2

-7.5 -5 -2.5 2.5 5 7.5 x -7.5 -5 -2.5 2.5 5 7.5 x

-0.25 -0.2

-0.5 -0.4
-0.6
-0.75

Figure 10.4: Fresnel cosine, C(x), and sine, S(x), integrals.

The sine integral function is real valued for x ∈ (−∞, ∞). The cosine integral function is
real valued for x ∈ [0, ∞). We also have limx→0+ Ci(x) → −∞. The cosine integral takes on
a value of zero at discrete positive real values, and has an amplitude which slowly decays as
x → ∞. The sine integral and cosine integral functions are plotted in Figure 10.5.
Si (x) Ci (x)

1.5 0.4
1
0.2
0.5

-20 -10 10 20 x 5 10 15 20 25 30
-0.5 x
-1 -0.2

-1.5

Figure 10.5: Sine integral function, Si(x), and cosine integral function Ci(x).

10.5.7 Elliptic integrals

The Legendre elliptic integral of the first kind is
Z y
dη
F (y, k) = p (10.14)
0 (1 − η )(1 − k 2 η 2 )
2

Another common way of writing the elliptic integral is to take η = sin φ, so that
Z φ
dφ
F (φ, k) = p (10.15)
0 (1 − k 2 sin2 φ)
The Legendre elliptic integral of the second kind is
Z y
(1 − k 2 η 2 )
E(y, k) = p dη (10.16)
0 (1 − η 2 )

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

422 CHAPTER 10. APPENDIX

which, on again using η = sin φ, becomes

Z φ q
E(φ, k) = 1 − k 2 sin2 φ dφ (10.17)
0

The Legendre elliptic integral of the third kind is

Z φ
dφ
Π(y, n, k) = 2
p 2
(10.18)
0 (1 + n sin φ) (1 − k 2 sin φ)

which is equivalent to Z φ q
Π(φ, n, k) = 1 − k 2 sin2 φ dφ (10.19)
0
For φ = π/2, we have the complete elliptic integrals:
π  Z π/2
dφ
F ,k = p (10.20)
2 0 (1 − k 2 sin2 φ)
π  Z π/2 q
E ,k = 1 − k 2 sin2 φ dφ (10.21)
2 0
π  Z π/2 q
Π , n, k = 1 − k 2 sin2 φ dφ (10.22)
2 0

10.5.8 Gauss’s hypergeometric function

An integral representation of Gauss’s hypergeometric function is
Z 1
Γ(c)
2 F1 (a, b, c, x) = tb−1 (1 − t)c−b−1 (1 − tx)−a dt (10.23)
Γ(b)Γ(c − b) 0
For special values of a, b, and c, this very general function reduces to other functions such
as tanh−1 .

10.5.9 δ distribution and Heaviside function

Definition: The Dirac4 δ-distribution (or generalized function, or simply function), is defined
by Z β 
0 if a 6∈ [α, β]
f (x)δ(x − a)dx = (10.24)
α f (a) if a ∈ [α, β]
From this it follows that
δ(x − a) = 0 if x 6= a (10.25)
Z ∞
δ(x − a)dx = 1. (10.26)
−∞
4
Paul Adrien Maurice Dirac, 1902-1984, English physicist.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

10.6. CHAIN RULE 423

The δ-distribution may be imagined in a limiting fashion as

δ(x − a) = lim+ ∆ǫ (x − a)
ǫ→0

where ∆ǫ (x − a) has one of the following forms:

1. 
 0 if x < a − 2ǫ
1
∆ǫ (x − a) = if a − 2ǫ ≤ x ≤ a + ǫ
(10.27)
 ǫ 2
0 if x > a + 2ǫ

2.
ǫ
∆ǫ (x − a) = (10.28)
π((x − a)2 + ǫ2 )

3.
1 2
∆ǫ (x − a) = √ e−(x−a) /ǫ (10.29)
πǫ

The derivative of the function


 0 if x < a − 2ǫ
1 1
h(x − a) = ǫ
(x − a) + 2
if a − 2ǫ ≤ x ≤ a + ǫ
2 (10.30)
if x > a + 2ǫ

1

is ∆ǫ (x − a) in item (1) above. If we define the Heaviside5 function, H(x − a), as

H(x − a) = lim+ h(x − a) (10.31)

ǫ→0

then
d
H(x − a) = δ(x − a) (10.32)
dx
The generator of the Dirac function ∆ǫ (x − a) and the generator of the Heaviside function
h(x−a) are plotted for a = 0 and ǫ = 1/5 in Figure 10.6. As ǫ → 0, ∆ǫ has its width decrease
and its height increase in such a fashion that its area remains constant; simultaneously h
has its slope steepen in the region where it jumps from zero to unity as ǫ → 0.

10.6 Chain rule

A function of several variables f (x1 , x2 , · · · , xn ) may be differentiated using the chain rule

∂f ∂f ∂f
df = dx1 + dx2 + · · · + dxn . (10.33)
∂x1 ∂x2 ∂xn
5
Oliver Heaviside, 1850-1925, English mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

424 CHAPTER 10. APPENDIX

∆ ε (x) h (x)
5 1
Dirac Heaviside
4 0.8
delta function step function
generator 3 generator 0.6

2 0.4

1 0.2

-1 -0.5 0.5 1 -1 -0.5 0.5 1 x

x

Figure 10.6: Generators of Dirac delta function and Heaviside function, ∆ǫ (x − a) and
h(x − a) plotted for a = 0 and ǫ = 1/5.

Differentiation of an integral is done using the Leibniz rule

Z b(x)
y(x) = f (x, t)dt (10.34)
a(x)
Z b(x) Z a(x)
dy(x) d db(x) da(x) ∂f (x, t)
= f (x, t)dt = f (x, b(x)) − f (x, a(x)) + dt. (10.35)
dx dx a(x) dx dx b(x) ∂x

10.7 Complex numbers

Here we briefly introduce some basic elements of complex variable theory. Recall that the
imaginary number i is defined such that
√
i2 = −1, i = −1. (10.36)

10.7.1 Euler’s formula

We can get a very useful formula Euler’s formula, by considering the following Taylor ex-
pansions of common functions about t = 0:
1 2 1 3 1 4 1 5
et = 1 + t + t + t + t + t ..., (10.37)
2! 3! 4! 5!
1 2 1 3 1 4 1 5
sin t = 0 + t + 0 t − t + 0 t + t . . . , (10.38)
2! 3! 4! 5!
1 2 1 3 1 4 1
cos t = 1 + 0t − t + 0 t + t + 0 t5 . . . . (10.39)
2! 3! 4! 5!
With these expansions now consider the following combinations: (cos t + i sin t)|t=θ and
et |t=iθ :
1 2 1 1 1
cos θ + i sin θ = 1 + iθ − θ − i θ3 + θ4 + i θ5 + . . . , (10.40)
2! 3! 4! 5!
CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.
10.7. COMPLEX NUMBERS 425

1 1 1 1
eiθ = 1 + iθ + (iθ)2 + (iθ)3 + (iθ)4 + (iθ)5 + . . . , (10.41)
2! 3! 4! 5!
1 2 1 3 1 4 1 5
= 1 + iθ − θ − i θ + θ + i θ + . . . (10.42)
2! 3! 4! 5!
As the two series are identical, we have Euler’s formula

eiθ = cos θ + i sin θ. (10.43)

Powers of complex numbers can be easily obtained using de Moivre’s6 formula:

einθ = cos nθ + i sin nθ. (10.44)

10.7.2 Polar and Cartesian representations

Now if we take x and y to be real numbers and define the complex number z to be

z = x + iy, (10.45)
p
we can multiply and divide by x2 + y 2 to obtain
!
p x y
z= x2 + y 2 p + ip . (10.46)
2
x +y 2 x + y2
2

Noting the similarities between this and the transformation between Cartesian and polar
coordinates suggests we adopt
p x y
r = x2 + y 2 , cos θ = p , sin θ = p . (10.47)
x2 + y 2 x2 + y 2
Thus we have

z = r (cos θ + i sin θ) , (10.48)

z = reiθ . (10.49)

The polar and Cartesian representation of a complex number z is shown in Figure 10.7.
Now we can define the complex conjugate z as

z = x − iy, (10.50)
!
p x y
z = x2 + y 2 p − ip , (10.51)
x2 + y 2 x2 + y 2
z = r (cos θ − i sin θ) , (10.52)
z = r (cos(−θ) + i sin(−θ)) , (10.53)
z = re−iθ . (10.54)
6
Abraham de Moivre, 1667-1754, French mathematician.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

426 CHAPTER 10. APPENDIX

iy

y
2
2 +y
x
r=

x x

Figure 10.7: Polar and Cartesian representation of a complex number z.

Note now that

zz = (x + iy)(x − iy) = x2 + y 2 = |z|2 , (10.55)
= reiθ re−iθ = r 2 = |z|2 . (10.56)
We also have
eiθ − e−iθ
sin θ = , (10.57)
2i
eiθ + e−iθ
cos θ = . (10.58)
2

10.7.3 Cauchy-Riemann equations

Now it is possible to define complex functions of complex variables W (z). For example take
a complex function to be defined as
W (z) = z 2 + z, (10.59)
= (x + iy)2 + (x + iy), (10.60)
= x2 + 2xyi − y 2 + x + iy, (10.61)


= x2 + x − y 2 + i (2xy + y) . (10.62)
In general, we can say
W (z) = φ(x, y) + iψ(x, y). (10.63)
Here φ and ψ are real functions of real variables.
Now W (z) is defined as analytic at zo if dW
dz
exists at zo and is independent of the direction
in which it was calculated. That is, using the definition of the derivative

dW  W (zo + ∆z) − W (zo )
= . (10.64)
dz zo
 ∆z

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

10.7. COMPLEX NUMBERS 427

Now there are many paths that we can choose to evaluate the derivative. Let us consider
two distinct paths, y = C1 and x = C2 . We will get a result which can be shown to be valid
for arbitrary paths. For y = C1 , we have ∆z = ∆x, so
 
dW  W (xo + iyo + ∆x) − W (xo + iyo ) ∂W 
= = . (10.65)
dz zo ∆x ∂x y
For x = C2 , we have ∆z = i∆y, so
  
dW  W (xo + iyo + i∆y) − W (xo + iyo ) 1 ∂W  ∂W 
= = = −i . (10.66)
dz zo i∆y i ∂y x ∂y x
Now for an analytic function, we need
 
∂W  ∂W 
= −i . (10.67)
∂x y ∂y x
or, expanding, we need
 
∂φ ∂ψ ∂φ ∂ψ
+i = −i +i , (10.68)
∂x ∂x ∂y ∂y
∂ψ ∂φ
= −i . (10.69)
∂y ∂y
For equality, and thus path independence of the derivative, we require
∂φ ∂ψ ∂φ ∂ψ
= , =− . (10.70)
∂x ∂y ∂y ∂x
These are the well known Cauchy-Riemann equations for analytic functions of complex
variables.
Now most common functions are easily shown to be analytic. For example for the function
W (z) = z 2 + z, which can be expressed as W (z) = (x2 + x − y 2) + i(2xy + y), we have
φ(x, y) = x2 + x − y 2 , ψ(x, y) = 2xy + y, (10.71)
∂φ ∂ψ
= 2x + 1, = 2y, (10.72)
∂x ∂x
∂φ ∂ψ
= −2y, = 2x + 1. (10.73)
∂y ∂y
Note that the Cauchy-Riemann equations are satisfied since ∂φ∂x
= ∂ψ
∂y
and ∂φ
∂y
= − ∂ψ
∂x
. So the
derivative is independent of direction, and we can say

dW ∂W 
= = (2x + 1) + i(2y) = 2(x + iy) + 1 = 2z + 1. (10.74)
dz ∂x y
We could get this result by ordinary rules of derivatives for real functions.
For an example of a non-analytic function consider W (z) = z. Thus
W (z) = x − iy. (10.75)
∂φ ∂φ ∂ψ ∂ψ ∂φ ∂ψ
So φ = x and ψ = −y, = 1,
∂x
= 0, and
∂y
= 0,
∂x
= −1. Since
∂y
6=∂x ∂y
, the
Cauchy-Riemann equations are not satisfied, and the derivative depends on direction.

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

428 CHAPTER 10. APPENDIX

Problems
1. Find the limit as x → 0 of
4 cosh x + sinh(arctan ln cos 2x) − 4
√ .
e−x + arcsin x − 1 + x2
dφ
2. Find dx in two different ways, where
Z x4
√
φ= x ydy.
x2

3. Determine
√
(a) 4 i
√
(b) ii i i
4. Write three terms of a Taylor series expansion for the function f (x) = exp(tan x) about the point
x = π/4. For what range of x is the series convergent?
5. Find all complex numbers z = x + iy such that |z + 2i| = |1 + i|.
3
6. Determine limn→∞ zn for zn = n + ((n + 1)/(n + 2))i.
7. A particle is constrained to a path which is defined by the function s(x, y) = x2 + y − 5 = 0. The
velocity component in the x-direction, dx/dt = 2y. What are the position and velocity components
in the y-direction when x = 4.
Rx 2
8. The error function is defined as erf (x) = √2π 0 e−u du. Determine its derivative with respect to x.
9. Verify that Z 2π
sin nx
lim dx = 0.
n→∞ π nx
10. Write a Taylor series expansion for the function f (x, y) = x2 cos y about the point x = 2, y = π.
Include the x2 , y 2 and xy terms.
11. Show that Z ∞
2
φ= e−t cos 2tx dt
0
satisfies the differential equation
dφ
+ 2φx = 0.
dx
12. Evaluate the Dirichlet discontinuous integral
Z
1 ∞ sin ax
I= dx
π −∞ x
for −∞ < a < ∞. You can use the results of example 3.11, Greenberg.
13. Defining
x3 − y 3
u(x, y) = ,
x2 + y 2
except at x = y = 0, where u = 0, show that ux (x, y) exists at x = y = 0 but is not continuous there.
14. Using complex numbers show that
(a) cos3 x = 41 (cos 3x + 3 cos x)
(b) sin3 x = 41 (3 sin x − sin 3x)

CC BY-NC-ND. 28 March 2011, M. Sen, J. M. Powers.

Bibliography

M. Abramowitz and I. A. Stegun, eds., Handbook of Mathematical Functions, Dover, New York, 1964.
V. I. Arnold, Ordinary Differential Equations, MIT Press, Cambridge, MA, 1973.
V. I. Arnold, Geometrical Methods in the Theory of Ordinary Differential Equations, Springer, New York,
NY, 1983.
A. A. Andronov, Qualitative Theory of Second Order Dynamical Systems, Wiley, New York, NY, 1973.
R. Aris, Vectors, Tensors, and the Basic Equations of Fluid Mechanics, Dover, New York, NY, 1962.
N. H. Asmar, Applied Complex Analysis with Partial Differential Equations, Prentice-Hall, Upper Saddle
River, NJ, 2002.
G. I. Barenblatt, Scaling, Self-Similarity, and Intermediate Asymptotics, Cambridge University Press, Cam-
bridge, UK, 1996.
R. Bellman and K. L. Cooke, Differential-Difference Equations, Academic Press, New York, NY, 1963.
C. M. Bender and S. A. Orszag, Advanced Mathematical Methods for Scientists and Engineers, Springer-
Verlag, New York, NY, 1999.
M. L. Boas, Mathematical Methods in the Physical Sciences, Third Edition, Wiley, New York, NY, 2005.
A. I. Borisenko and I. E. Tarapov, Vector and Tensor Analysis with Applications, Dover, New York, NY,
1968.
M. Braun, Differential Equations and Their Applications, Springer-Verlag, New York, NY, 1983.
I. N. Bronshtein and K. A. Semendyayev, Handbook of Mathematics, Springer, Berlin, 1998.
C. Canuto, M. Y. Hussaini, A. Quarteroni, and T. A. Zang, Spectral Methods in Fluid Dynamics, Springer-
Verlag, New York, NY, 1988.
G. F. Carrier and C. E. Pearson, Ordinary Differential Equations, SIAM, Philadelphia, PA, 1991.
P. G. Ciarlet, Introduction to Numerical Linear Algebra and Optimisation, Cambridge University Press,
Cambridge, UK, 1989.
J. A. Cochran, H. C. Wiser and B. J. Rice, Advanced Engineering Mathematics, Second Edition, Brooks/Cole,
Monterey, CA, 1987.
R. Courant and D. Hilbert, Methods of Mathematical Physics, Vols. 1 and 2, Wiley, New York, NY, 1989.
I. Daubechies, Ten Lectures on Wavelets, SIAM, Philadelphia, PA, 1992.
L. Debnath and P. Mikusinski, Introduction to Hilbert Spaces with Applications, Third Edition, Elsevier,
Amsterdam, Netherlands, 2005.
P. G. Drazin, Nonlinear Systems, Cambridge University Press, Cambridge, UK, 1992.

429
R. D. Driver, Ordinary and Delay Differential Equations, Springer-Verlag, New York, NY, 1977.
J. Feder, Fractals, Plenum Press, New York, NY, 1988.
B. A. Finlayson, The Method of Weighted Residuals and Variational Principles, Academic Press, New York,
NY, 1972.
B. Fornberg, A Practical Guide to Pseudospectral Methods, Cambridge, New York, NY, 1998.
B. Friedman, Principles and Techniques of Applied Mathematics, Dover Publications, New York, NY, 1956.

I. M. Gelfand and S. V. Fomin, Calculus of Variations, Dover, New York, NY, 2000.
J. Gleick, Chaos, Viking, New York, NY, 1987.
G. H. Golub and C. F. Van Loan, Matrix Computations, Third Edition, Johns Hopkins, Baltimore, MD,
1996.
S. W. Goode, An Introduction to Differential Equations and Linear Algebra, Prentice-Hall, Englewood Cliffs,
NJ, 1991.
D. Gottlieb and S. A. Orszag, Numerical Analysis of Spectral Methods: Theory and Applications, SIAM,
Philadelphia, PA, 1977.
M. D. Greenberg, Foundations of Applied Mathematics, Prentice-Hall, Englewood Cliffs, NJ, 1978.
J. Guckenheimer and P. H. Holmes, Nonlinear Oscillations, Dynamical Systems, and Bifurcations of Vector
Fields, Springer-Verlag, New York, NY, 1983.
J. Hale and H. Koçak, Dynamics and Bifurcations, Springer-Verlag, New York, NY, 1991.
F. B. Hildebrand, Advanced Calculus for Applications, 2nd Ed., Prentice-Hall, Englewood Cliffs, NJ, 1976.
M. W. Hirsch and S. Smale, Differential Equations, Dynamical Systems, and Linear Algebra, Academic
Press, Boston, MA, 1974.
M. H. Holmes, Introduction to Perturbation Methods, Springer-Verlag, New York, NY, 1995.
M. H. Holmes, Introduction to the Foundations of Applied Mathematics, Springer-Verlag, New York, NY,
2009.
M. Humi and W. Miller, Second Course in Ordinary Differential Equations for Scientists and Engineers,
Springer-Verlag, New York, NY, 1988.
E. J. Hinch, Perturbation Methods, Cambridge, Cambridge, UK, 1991.
D. W. Jordan and P. Smith, Nonlinear Ordinary Differential Equations, Clarendon Press, Oxford, UK, 1987.

P. B. Kahn, Mathematical Methods for Engineers and Scientists, Dover, New York, NY, 2004.
W. Kaplan, Advanced Calculus, Fifth Edition, Addison-Wesley, Boston, MA, 2003.
J. Kevorkian and J. D. Cole, Perturbation Methods in Applied Mathematics, Springer-Verlag, New York,
NY, 1981.
J. Kevorkian and J. D. Cole, Multiple Scale and Singular Perturbation Methods, Springer-Verlag, New York,
NY, 1996.
A. N. Kolmogorov and S. V. Fomin, Elements of the Theory of Functions and Functional Analysis, Dover,
New York, NY, 1999.
L. D. Kovach, Advanced Engineering Mathematics, Addison-Wesley, Reading, MA,1982.

430
E. Kreyszig, Advanced Engineering Mathematics, Ninth Edition, Wiley, New York, NY, 2005.
E. Kreyszig, Introductory Functional Analysis with Applications, Wiley, New York, NY, 1978.
P. D. Lax, Functional Analysis, Wiley, New York, NY, 2002.
P. D. Lax, Linear Algebra and its Applications, Second Edition, Wiley, Hoboken, NJ, 2007.
A. J. Lichtenberg and M. A. Lieberman, Regular and Chaotic Dynamics, Second Edition, Springer, Berlin,
1992.
C. C. Lin and L. A. Segel, Mathematics Applied to Deterministic Problems in the Natural Sciences, SIAM,
Philadelphia, PA, 1988.
J. R. Lee, Advanced Calculus with Linear Analysis, Academic Press, New York, NY, 1972.
J. D. Logan, Applied Mathematics, Third Edition, Wiley, Hoboken, NJ, 2006.
R. J. Lopez, Advanced Engineering Mathematics, Addison Wesley Longman, Boston, MA, 2001.
J. Mathews and R. L. Walker, Mathematical Methods of Physics, Addison-Wesley, Redwood City, CA, 1970.

A. J. McConnell, Applications of Tensor Analysis, Dover, New York, NY, 1957.

A. N. Michel and C. J. Herget, Applied Algebra and Functional Analysis, Dover, New York, NY, 1981.
P. M. Morse and H. Feshbach, Methods of Theoretical Physics, Vols. 1 and 2, McGraw-Hill, New York, NY,
1953.
J. A. Murdock, Perturbations, Theory and Methods, John Wiley and Sons, New York, NY, 1991.
J. T. Oden and L. F. Demkowicz, Applied Functional Analysis, CRC, Boca Raton, FL, 1996.
P. V. O’Neil, Advanced Engineering Mathematics, Sixth Edition, CL-Engineering, 2006.
L. Perko, Differential Equations and Dynamical Systems, Third Edition, Springer, Berlin, 2006.
J. N. Reddy, Applied Functional Analysis and Variational Methods in Engineering, McGraw-Hill, New York,
NY, 1986.
J. N. Reddy and M. L. Rasmussen, Advanced Engineering Analysis, Wiley, New York, NY, 1982.
F. Riesz and B. Sz.-Nagy, Functional Analysis, Dover, New York, NY, 1990.
K. F. Riley, M. P. Hobson, and S. J. Bence, Mathematical Methods for Physics and Engineering, Third
Edition, Cambridge, Cambridge, UK, 2006.
M. Rosenlicht, Introduction to Analysis, Dover, New York, NY, 1968.
H. M. Schey, Div, Grad, Curl, and All That, Fourth Edition, W.W. Norton, London, 2005.
M. J. Schramm, Introduction to Real Analysis, Prentice-Hall, Englewood Cliffs, NJ, 1996.
I. S. Sokolnikoff and R. M. Redheffer, Mathematics of Physics and Modern Engineering, 2nd Ed., McGraw-
Hill, New York, NY, 1966.
G. Stephenson and P. M. Radmore, Advanced Mathematical Methods for Engineering and Science Students,
Cambridge University Press, Cambridge, UK, 1990.
G. Strang, Linear Algebra and its Applications, 2nd Ed., Academic Press, New York, NY, 1980.
G. Strang, Introduction to Applied Mathematics, Wellesley-Cambridge, Wellesley, MA, 1986.
S. H. Strogatz, Nonlinear Dynamics and Chaos with Applications to Physics, Biology, Chemistry, and En-
gineering, Westview, Boulder, CO, 2001.

431
S. Wiggins, Introduction to Applied Nonlinear Dynamical Systems and Chaos, Springer Verlag, New York,
NY, 1990.
M. Van Dyke, Perturbation Methods in Fluid Mechanics, Parabolic Press, Stanford, CA, 1975.
C. R. Wylie and L. C. Barrett, Advanced Engineering Mathematics, 6th Ed., McGraw-Hill, New York, NY,
1995.
E. Zeidler, Applied Functional Analysis, Springer Verlag, New York, NY, 1995.
D. G. Zill and M. R. Cullen, Advanced Engineering Mathematics, Third Edition, Jones and Bartlett, Boston,
MA, 2006.

432