Numerical

and Symbolic
Computation
Developments and
Applications
Edited by
Maria Amélia Ramos Loja and Joaquim Infante Barbosa
Printed Edition of the Special Issue Published in
Mathematical and Computational Applications

www.mdpi.com/journal/mca
Numerical and Symbolic Computation
Numerical and Symbolic Computation
Developments and Applications

Special Issue Editors

Maria Amélia Ramos Loja
Joaquim Infante Barbosa

MDPI • Basel • Beijing • Wuhan • Barcelona • Belgrade • Manchester • Tokyo • Cluj • Tianjin
Special Issue Editors
Maria Amélia Ramos Loja
CIMOSM, ISEL, Instituto Superior de Engenharia de Lisboa
Portugal

Joaquim Infante Barbosa

IDMEC, IST, Instituto Superior Técnico, Universidade de Lisboa
Portugal

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MDPI
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Contents

About the Special Issue Editors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . vii

Maria Amélia R. Loja and Joaquim I. Barbosa

Preface to Numerical and Symbolic Computation: Developments and Applications—2019
Reprinted from: Math. Comput. Appl. 2020, 25, 28, doi:10.3390/mca25020028 . . . . . . . . . . . . 1

Jorge M. Andraz, Renato Candeias and Ana C. Conceição

Bridging Symbolic Computation and Economics: A Dynamic and Interactive Tool to Analyze
the Price Elasticity of Supply
Reprinted from: Math. Comput. Appl. 2019, 24, 87, doi:10.3390/mca24040087 . . . . . . . . . . . . 3

J.M. Escobar, Juan Núñez, PedroPérez-Fernández

The Invariant Two-Parameter Function of Algebrasψ̄
Reprinted from: Math. Comput. Appl. 2019, 24, 89, doi:10.3390/mca24040089 . . . . . . . . . . . . 21

Alexandra Gavina, José M. A. Matos, Paulo B. Vasconcelos

Solving Nonholonomic Systems with the Tau Method
Reprinted from: Math. Comput. Appl. 2019, 24, 91, doi:10.3390/mca24040091 . . . . . . . . . . . . 35

José M. A. Matos and Maria João Rodrigues

Almost Exact Computation of Eigenvalues in Approximate Differential Problems
Reprinted from: Math. Comput. Appl. 2019, 24, 96, doi:10.3390/mca24040096 . . . . . . . . . . . . 45

Patrı́cia Monteiro, Aldina Correia and Vı́tor Braga

Factors for Marketing Innovation in Portuguese Firms CIS 2014
Reprinted from: Math. Comput. Appl. 2019, 24, 99, doi:10.3390/mca24040099 . . . . . . . . . . . . 57

Carlos Campos, Cristiana J. Silva and Delfim F. M. Torres

Numerical Optimal Control of HIV Transmission in Octave/MATLAB
Reprinted from: Math. Comput. Appl. 2020, 25, 1, doi:10.3390/mca25010001 . . . . . . . . . . . . . 89

José A. Rodrigues
Isogeometric Analysis for Fluid Shear Stress in Cancer Cells
Reprinted from: Math. Comput. Appl. 2020, 25, 19, doi:10.3390/mca25020019 . . . . . . . . . . . . 109

v
About the Special Issue Editors
Maria Amélia Ramos Loja is presently an Adjunct Professor in the Mechanical Engineering
Department of the Engineering Institute of Lisbon (ISEL, IPL), an invited Associate Professor of the
Physics Department of the University of Évora (UEvora) and a Senior Researcher of the Mechanical
Engineering Institute (IDMEC, IST). Her academic background integrates a BSc with honors in
Marine Engineering from the Portuguese Nautical School and a BSc in Computer Science. Her MSc
and Ph.D. degrees in Mechanical Engineering were conferred by the IST, University of Lisbon
and the Habilitation in Mechatronic Engineering by the University of Évora. Her principle areas
of interest include the scientific areas of Computational Solids Mechanics, Composite Materials,
Smart Materials, Optimization, and Reverse Engineering. She is Chairperson of the ECCOMAS
thematic series of conferences SYMCOMP (International Conference on Numerical and Symbolic
Computation: Developments and Applications) and she coordinates the Research Centre on
Modelling and Optimization of Multifunctional Systems (CIMOSM, ISEL). Since 2017 she has been
invited by European Commission Research Agencies to evaluate project proposals in different
subjects related to her competences.

Joaquim Infante Barbosa is presently a Jubilated Full Professor for the Mechanical Engineering
Department of the Engineering Institute of Lisbon (ISEL, IPL, Polytechnic Institute of Lisbon) and
Senior Researcher of the Mechanical Engineering Institute (IDMEC, IST, University of Lisbon).
His academic background integrates a degree in Mechanical Engineering by IST, University of
Lisbon. His MSc and Ph.D. degrees in Mechanical Engineering were conferred by IST, University
of Lisbon and the Habilitation in Structural Mechanics by the University of Évora. His major areas of
interest include the scientific areas of Computational Mechanics, Structural Optimization, Composite
Materials and Vibration Suppression, among others. He is a researcher on several Portuguese and
European projects and a reviewer of various engineering journals. He is a member of the organizing
committee of the ECCOMAS thematic series of conferences SYMCOMP (International Conference on
Numerical and Symbolic Computation: Developments and Applications) and a senior member of
APMTAC—Portuguese Association of Theoretical, Applied and Computational Mechanics.

vii
 Mathematical
and Computational
Applications

Editorial
Preface to Numerical and Symbolic Computation:
Developments and Applications—2019
Maria Amélia R. Loja 1,2,3, * and Joaquim I. Barbosa 1,3
1 CIMOSM, ISEL, Centro de Investigação em Modelação e Optimização de Sistemas Multifuncionais,
1959-007 Lisboa, Portugal; [email protected]
2 Escola de Ciência e Tecnologia, Universidade de Évora, 7000-671 Évora, Portugal
3 IDMEC, IST—Instituto Superior Técnico, Universidade de Lisboa, 1049-001 Lisboa, Portugal
* Correspondence: [email protected]

Received: 11 May 2020; Accepted: 11 May 2020; Published: 11 May 2020

This book constitutes the printed edition of the Special Issue Numerical and Symbolic Computation:
Developments and Applications—2019, published by Mathematical and Computational Applications (MCA)
and comprises a collection of articles related to works presented at the 4th International Conference
in Numerical and Symbolic Computation—SYMCOMP 2019—that took place in Porto, Portugal,
from April 11th to April 12th 2019.
This conference series has a multidisciplinary character and brings together researchers from very
different scientific areas, aiming at sharing different experiences, in a cross-fertilization perspective.
Therefore, the articles contained in this book, although sharing a common characteristic related to the
use of numerical and/or symbolic methods and computational approaches, also present an overview of
their use in a transversal way to science and engineering fields.
In the first contribution Bridging Symbolic Computation and Economics: A Dynamic and Interactive Tool
to Analyze the Price Elasticity of Supply, from Andraz et al. [1], the authors propose a new dynamic and
interactive tool, created in the computer algebra system Mathematica and available in the Computable
Document Format. This tool can be used as an active learning tool to promote better student activity
and engagement in the learning process, among students enrolled in socio-economic programs.
The second article of the book is authored by Escobar et al. [2] and has the title The Invariant
Two-Parameter Function of Algebras ψ. In this article, it is proven that the five-dimensional
classical-mechanical model built upon certain types of five-dimensional Lie algebras cannot be
obtained as a limit process of a quantum-mechanical model based on a fifth Heisenberg algebra.
Other applications to physical problems are also addressed.
Gavina et al. [3], in their article Solving Nonholonomic Systems with the Tau Method,
propose a numerical procedure based on the spectral tau method to solve nonholonomic systems.
The Lanczos’ spectral tau method is used to obtain an approximate solution to these nonholonomic
problems exploiting the tau toolbox software library, adding to the ease of use characteristics and
providing accurate results.
The contribution of Matos and Rodrigues [4], Almost Exact Computation of Eigenvalues in Approximate
Differential Problems, addresses differential eigenvalue problems that arise in many fields of Mathematics
and Physics. These authors present a method for eigenvalues computation following the Tau method
philosophy and using Tau Toolbox tools, wherein the eigenvalue differential problem is translated into
an algebraic approximated eigenvalues problem, after which by making use of symbolic computations,
they arrive at the exact polynomial expression of the determinant of the algebraic problem matrix,
allowing us to get high accuracy approximations of differential eigenvalues.
In a different area, Monteiro et al. [5], through their article Factors for Marketing Innovation in
Portuguese Firms CIS 2014, aim at understanding which factors influence marketing innovation and also
aim to establish a business profile of firms that innovate or do not in marketing. These authors used

Math. Comput. Appl. 2020, 25, 28; doi:10.3390/mca25020028 1 www.mdpi.com/journal/mca

Math. Comput. Appl. 2020, 25, 28

multivariate statistical techniques, such as, multiple linear regression (with the Marketing Innovation
Index as dependent variable) and discriminant analysis where the dependent variable is a dummy
variable, indicating if the firm innovates or not in marketing.
The sixth article Numerical Optimal Control of HIV Transmission in Octave/MATLAB, from to
Campos et al. [6], provides a GNU Octave/MATLAB code for the simulation of mathematical models
described by ordinary differential equations and for the solution of optimal control problems through
Pontryagin’s maximum principle. A control function is introduced into the normalized HIV model
and an optimal control problem is formulated, where the goal is to find the optimal HIV prevention
strategy that maximizes the fraction of uninfected HIV individuals with the least amount of new HIV
infections and cost associated with the control measures.
The contribution of Rodrigues [7] entitled Isogeometric Analysis for Fluid Shear Stress in Cancer Cells
constitutes the seventh and last paper of this book. In this article, the author considers the modelling of
a cancer cell using non-uniform rational b-splines (NURBS) and uses isogeometric analysis to model the
fluid-generated forces that tumor cells are exposed to, in the vascular and tumor microenvironments,
during the metastatic process. The aim of the article is focused on the geometrical sensitivities to the
shear stress exhibition of the cell membrane.
At this point, as editors of this book, we would like to express our deep gratitude for the
opportunity to publish with MDPI. This acknowledgment is deservedly extensive to the MCA Editorial
Office and more particularly to Mr. Everett Zhu, who has permanently supported us in this process.
It was a great pleasure to work in such conditions. We look forward to collaborating with MCA in
the future.

Conflicts of Interest: The authors declare no conflict of interest.

References
1. Andraz, J.M.; Candeias, R.; Conceição, A.C. Bridging Symbolic Computation and Economics: A Dynamic
and Interactive Tool to Analyze the Price Elasticity of Supply. Math. Comput. Appl. 2019, 24, 87. [CrossRef]
2. Escobar, J.M.; Núñez-Valdés, J.; Pérez-Fernández, P. The Invariant Two-Parameter Function of Algebras ψ.
Math. Comput. Appl. 2019, 24, 89. [CrossRef]
3. Gavina, A.; Matos, J.M.A.; Vasconcelos, P.B. Solving Nonholonomic Systems with the Tau Method. Math.
Comput. Appl. 2019, 24, 91. [CrossRef]
4. Matos, J.M.A.; Rodrigues, M.J. Almost Exact Computation of Eigenvalues in Approximate Differential
Problems. Math. Comput. Appl. 2019, 24, 96. [CrossRef]
5. Monteiro, P.; Correia, A.; Braga, V. Factors for Marketing Innovation in Portuguese Firms CIS 2014.
Math. Comput. Appl. 2019, 24, 99. [CrossRef]
6. Campos, C.; Silva, C.J.; Torres, D.F.M. Numerical Optimal Control of HIV Transmission in Octave/MATLAB.
Math. Comput. Appl. 2020, 25, 1. [CrossRef]
7. Rodrigues, J.A. Isogeometric Analysis for Fluid Shear Stress in Cancer Cells. Math. Comput. Appl. 2020, 25, 19.
[CrossRef]

© 2020 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access
article distributed under the terms and conditions of the Creative Commons Attribution
(CC BY) license (http://creativecommons.org/licenses/by/4.0/).

2
 Mathematical
and Computational
Applications

Article
Bridging Symbolic Computation and Economics:
A Dynamic and Interactive Tool to Analyze the Price
Elasticity of Supply
Jorge M. Andraz 1,2 , Renato Candeias 2 and Ana C. Conceição 3, *
1 Center for Advanced Studies in Management and Economics (CEFAGE), Universidade do Algarve,
Campus de Gambelas, 8005-139 Faro, Portugal; [email protected]
2 Faculdade de Economia, Universidade do Algarve, Campus de Gambelas, 8005-139 Faro, Portugal;
[email protected]
3 Center for Functional Analysis, Linear Structures and Applications (CEAFEL), Faculdade de Ciências e
Tecnologia, Universidade do Algarve, Campus de Gambelas, 8005-139 Faro, Portugal
* Correspondence: [email protected]; Tel.: +351-289800900

Received: 1 August 2019; Accepted: 9 October 2019; Published: 10 October 2019

Abstract: It is not possible to achieve the objectives and skills of a program in economics, at the
secondary and undergraduate levels, without resorting to graphic illustrations. In this way, the
use of educational software has been increasingly recognized as a useful tool to promote students’
motivation to deal with, and understand, new economic concepts. Current digital technology allows
students to work with a large number and variety of graphics in an interactive way, complementing
the theoretical results and the so often used paper and pencil calculations. The computer algebra
system Mathematica is a very powerful software that allows the implementation of many interactive
visual applications. Thanks to the symbolic and numerical capabilities of Mathematica, these
applications allow the user to interact with the graphical and analytical information in real time.
However, Mathematica is a commercially distributed application which makes it difficult for teachers
and students to access. The main goal of this paper is to present a new dynamic and interactive tool,
created with Mathematica and available in the Computable Document Format. This format allows
anyone with a computer to use, at no cost, the PES(Linear)-Tool, even without an active Wolfram
Mathematica license. The PES(Linear)-Tool can be used as an active learning tool to promote better
student activity and engagement in the learning process, among students enrolled in socio-economic
programs. This tool is very intuitive to use which makes it suitable for less experienced users.

Keywords: symbolic computation; dynamic and interactive tool; socio-economic sciences; F-Tool
concept; PES(Linear)-Tool; Wolfram Mathematica; computable document format

1. Introduction
The use of educational software has been increasingly recognized as a useful tool to promote
students’ motivation to deal with, and understand, new concepts in different study fields (see,
for instance, [1–12]). In fact, educational software tools have a great potential of applicability,
particularly at the university level, where the knowledge of various areas by different careers is
required [8]. Current digital technology allows students to work with a large number and variety of
graphics, in an interactive way, complementing the theoretical results and the so often used paper and
pencil calculations. Obviously, calculations with this kind of support do not replace paper and pencil
calculations, and they should be properly combined with other methods of calculation, including
mental calculation. Some studies conclude that students using computer algebra systems are at
least as good in “pencil and paper” skills as their traditional counterparts [13]. This aspect is not

Math. Comput. Appl. 2019, 24, 87; doi:10.3390/mca24040087 3 www.mdpi.com/journal/mca

Math. Comput. Appl. 2019, 24, 87

of minor relevance. Although the “pencil and paper” work can be done by computers, students
should learn how calculations are made and also should learn how the computer algebra systems
work [14] (we thank an anonymous referee for this observation). Also, the use of technology in the
classroom can lead to advances in conceptualization, contributing thereby to students’ engagements
and motivation [15]. According to [16], one of the reasons for students to use computer algebra systems
is their belief that these tools help their understanding of new concepts.
The computer algebra system Mathematica, conceived by Stephen Wolfram, and developed by
Wolfram Research, is a very powerful software that allows the implementation of many interactive
visual applications. Thanks to the symbolic and numerical capabilities of Mathematica, these
applications are eminently dynamic tools, where the user can interact with the graphical and analytical
information in real time. More importantly, the graphics are taken out of the textbook and they
are placed under the user’s control, where the user can manipulate, investigate, and explore their
characteristics. Students who have used Mathematica for at least one year identified this kind of
visualization as one of the significant benefits they found with the use of Mathematica [16].
Graphics are always helpful in the learning process, but [16] states that it makes a difference
whether the students’ interaction with graphic visualization is active or passive. As reported by [17],
academics in higher education institutions should not only worry about the contents, but also give
attention to the learning environment as they face students with different motivations and different
levels of involvement. Such differences will likely affect the teaching and learning process. Moreover,
teachers can expect that, in any classroom, some students prefer to be receivers (observers or listeners),
while others prefer to be active participants. In fact, there are students with a more active attitude,
who, even in a more traditional class, theorize, apply and relate, and there are those who exhibit more
passive behavior. Clearly, these students require different orientation and teaching methods so that
they are able to fully engage in the classroom activities as agents of a truly active learning process. This
type of learning denotes a style of teaching that provides opportunities for students to talk, to listen to,
and to reflect on what they have learned, as they participate in a variety of learning activities [18,19].
We should note that teachers who employ active learning strategies in their classrooms are unlikely
to please all students all the time [20], but neither is a teacher who relies regularly on traditional
lectures. The active learning also aims to improve the students’ performance and develop the skills
they need, for example, to obtain a better grade in a specific curricular unit [19]. In many cases, active
learning can be employed without increased costs and with only a modest change in current teaching
practices with a reduced risk and a high return [20]. Unfortunately, there are gaps between teaching
and learning, between teaching and testing, and between educational research and practice in higher
education institutions [21]. A serious gap also exists between how faculty members typically teach
(i.e., relying largely on the “lecture method”) and how they know they should teach (i.e., employing
active learning strategies to develop intellectual skills, and to shape personal attitudes and values).
Moreover, teachers see few incentives to change mainly because the use of educational software in
classrooms is time-consuming. In fact, any faculty member who has ever attempted to lead a true one
hour class discussion, in which students talk and respond to one another, knows how difficult it is to
have control over the discussion.
Notwithstanding the above, the importance of using educational software in mathematics, as an
efficient tool to help students grasp with hard-to-understand concepts and to more quickly gain a deeper
understanding of the materials being taught firsthand, is acknowledged (see, for instance, [1,2,10,16,22])
and thereby such software can help to promote an active learning environment inside the classroom.
Although it is recognized that some economic concepts can be more easily understood when the
students work with a large number and variety of graphics in an interactive way, with the support of the
appropriate technology, the use of computer algebra systems is rare and under-studied in economics
education (we thank an anonymous referee for this observation). In fact, the use of educational
software in economics has been limited to some specific economic concepts (see, for instance, [23–25]).
According to [23,24], there are automatic algebraic simplifiers, but simplicity is often in the eye of

4
Math. Comput. Appl. 2019, 24, 87

the beholder and such tools are sparingly used by economic theorists. Furthermore, computers have
already been used to generate numerical examples, providing only approximate, rather than exact,
results. This gap opens a window of opportunity for the development of new educational tools directed
to socio-economic science students. In a previous work [26], it was shown how some dynamic and
interactive mathematical tools, created with Mathematica, can be used to promote better student activity
and engagement in the learning process. Another work [27] discusses some teaching possibilities
offered by the F-Tool concept that can provide an active learning environment in socio-economic
science subjects.
The current paper intends to present a new interactive and dynamic mathematical tool for
the study of the price elasticity of supply concept, the new PES(Linear)-Tool (see Supplementary
Materials), which allows students to change a function’s parameter values and get the analytical
and graphical results in real time. Furthermore, the interactive and dynamic features of this tool
make it suitable to promote an active learning environment and it is available, at no cost, in the
Computable Document Format. This format allows the use of the PES(Linear)-Tool, even without an
active Wolfram Mathematica license (additional information about how to work with the CDF format
can be found at http://www.wolfram.com/cdf-player/). The potentialities of the PES(Linear)-Tool
will be exhaustively explored to introduce and deal with multiple features of the price elasticity of
supply, a central concept in economics. In our opinion, its use in classrooms can promote better student
activity and engagement in the learning process, among students enrolled in socio-economic programs.
This paper is structured as follows. After this brief introduction section, Section 2 introduces
some basic economic concepts which frame the application of the new tool. Section 3 details the
F-tool concept and its application. Section 4 presents the design of the PES(Linear)-Tool. Section 5 is
dedicated to some final remarks.

2. Basic Economic Concepts

This section introduces some basic concepts related to the price elasticity of supply.

2.1. The Market Supply Curve and the Market Supply Function of a Good
The producers in a given industry will supply a certain quantity of a produced good at a given
price. At this price, the sum of all units gives the total market supply of that good. This corresponds
to a point on a curve for the commodity. Continuously changing the price and summing individual
supply across all suppliers, we can trace out the market supply curve for the good. That is, a market
supply curve of a good shows the total units of that good that are supplied at different prices. More
specifically, the short-run market supply curve is the horizontal summation of the individual producers’
supply curves, that is:
n
Q( P) = ∑ q i ( P ), (1)
i =1

where n represents the total number of producers in the industry and qi ( P) represents the producer i’s
supply function.

The Linear Case

Considering a linear specification, the market supply function can be written in the general form

Q( P) = αP + β, (2)
 
β
with α, β ∈ R, α  0 and P  max − α , 0 . These restrictions are according to the economic theory.
In this paper, we consider the market supply inverse function (when α > 0), which can be
expressed as
P( Q) = aQ + b, (3)

5
Math. Comput. Appl. 2019, 24, 87

β
with a = α1 and b = − α .
According to the above restrictions, Q  max( β, 0), that is,
 
b
Q  max − , 0 . (4)
a

2.2. Measurement and Interpretation of Price Elasticity of Supply

The price elasticity of supply (PES) is a measure used in economics to show the responsiveness of
the quantity supplied of a good or service to a change in its price. The elasticity, in a numerical form, is
defined as the percentage change in the quantity supplied divided by the percentage change in price,
that is,
Percentage change in quantity supplied
PES( Q) = lim . (5)
ΔP→0 Percentage change in price
Given that we consider the linear case with α > 0 and a = 1/α, algebraically, the price elasticity of
supply is given by the following expression:

Q
Q n − Q0
Q Q0 1 P0
PES( Q0 ) = lim P −0P = lim = , (6)
ΔP→0 n 0 ΔP→0  P  P Q0
P0 lim
P0 ΔQ→0  Q

where Q0 is the (positive) quantity supplied and P represents the price.

So, the expression for the price elasticity of supply can be expressed through the derivative of the
function defined by (3) as
1 P0 1 P0
PES( Q0 ) = =  . (7)
dP Q0 P ( Q0 ) Q0
( Q0 )
dQ
Obviously, the price elasticity of supply takes only non-negative values. Relatively large values of
the PES imply that market supply is responsive to price changes, whereas low values indicate that the
supply is not very reactive to price changes.
The elasticity takes the value of zero if the quantity does not react to price changes. In this case,
the supply is said to be perfectly inelastic. The elasticity takes a value between 0 and 1 if a price change
causes a lower change in the quantity supplied. In this case, the supply is said to be inelastic or rigid
with respect to the price. The elasticity takes the value of 1 if a price change causes identical change in
the quantity supplied. In this case, the supply is said to have a unitary elasticity. Finally, the elasticity
takes a value above 1 if a price change causes a higher change in the quantity supplied. In this case,
the supply is said to be elastic with respect to price. The limit case occurs when the elasticity is infinite.
In this case, the supply is said to be perfectly elastic.

The Linear Case

Considering a linear specification of the market supply function (2) we get the following
expression:
1 P0
PES( Q0 ) = , (8)
a Q0
that is,
b
PES( Q0 ) = 1 + Q0−1 , (9)
a
and the following situations must be considered in the design of a dynamic and interactive tool.
Perfectly elastic supply: The limit case occurs when a = 0 and b > 0. This corresponds to an
infinite PES (see Figure 7).

6
Math. Comput. Appl. 2019, 24, 87

Remark: In this case the market supply function (2) is not defined since the function (3) is not an
invertible function.
Elastic supply: This case occurs when a > 0 and b > 0. This corresponds to a PES above 1
(see Figure 8).
Unit elastic supply: This case occurs when a > 0 and b = 0. This corresponds to a PES equal to 1
(see Figures 10–12).
Inelastic supply: This case occurs when a > 0 and b < 0. This corresponds to a PES below 1
(see Figure 9).
b
Perfectly inelastic supply: This limit case occurs when Q0−1 = −1. This corresponds to a PES
a
equal zero (see Figure 14).
Remark: In this case α = 0 in the market supply function (2). So, (2) is not an invertible function.

3. Dynamic and Interactive Tools

Faculty members who regularly use strategies to promote active learning typically find several
ways to ensure that students learn the assigned content: promoting the dialog and reflection, promoting
the acquisition of new knowledge and the transmission of the acquired knowledge, and doing
short-assessments every week.
Currently, several software applications can be (free of charge or for a cost) downloaded from the
World Wide Web. In particular, there are many dynamic and interactive tools dealing with some specific
economic concepts implemented with the computer algebra system Mathematica, which is already
available in the Wolfram Demonstrations Project website. In this project (http://demonstrations.
wolfram.com) the creators of Mathematica promote and divulge globally the innovations designed
by its users. Some of these applications provide only analytical information (the Inflation-Adjusted
Yield tool, available at http://demonstrations.wolfram.com/InflationAdjustedYield/, illustrates how
one’s investment life planning turns on the net of nominal investment yield and inflation, according
to its author). Several other tools provide only graphical information (the Short-Run Cost Curves
tool, available at http://demonstrations.wolfram.com/ShortRunCostCurves/, provides graphical
information about the cubic cost function and its average and marginal cost curves; the Monopoly
Profit and Loss tool, available at http://demonstrations.wolfram.com/MonopolyProfitAndLoss/,
provides graphical information about the marginal cost and the average cost curves). In particular, for
the elasticity of demand concept there are tools that provide non-rigorous analytical information
such as The Price Elasticity of Demand tool (available at http://demonstrations.wolfram.com/
ThePriceElasticityOfDemand/) which shows two ways to calculate the price elasticity of demand),
and tools that provide only graphical information (the Constant Price Elasticity of Demand tool, available
at http://demonstrations.wolfram.com/ThePriceElasticityOfDemand/ illustrates the price elasticity
of demand for a specific inverse demand function). However, none of these applications provide
all rigorous and exhaustive required information for a global and deep understanding of economic
concepts introduced at undergraduate levels, in higher education institutions. Furthermore, these
existing materials can hardly be adapted to explain specific concepts in socio-economic sciences or
they would require additional resources from both the teacher and the students. This is a gap that the
new educational tool described in this paper intends to fulfill since it is adapted to specific training
programs to meet educational goals. It allows the design of tasks for independent work and the
analysis of individual special cases that are important to recent graduate economists.

3.1. The F-Tool Concept

The F-Tool concept, which was first presented in the 1st National Conference on Symbolic
Computation in Education and Research (Portugal 2012), where it was distinguished with the Timberlake
Award for Best Article by a Young Researcher, was created as an interactive Mathematica notebook,
specifically to explore the concept of real functions and their graphics, by analyzing the effects caused

7
Math. Comput. Appl. 2019, 24, 87

by changing the values of the parameters of general analytical expressions [28]. Each F-Tool allows
the study of a typical class of functions. For each class, a set of parameters is considered such that
the class is fully determined by the corresponding analytical expression. This means that each F-Tool
provides graphical and rigorous analytical information for all the functions within the corresponding
class. In fact, unlike the other tools available in the Wolfram Demonstrations Project website, all the
tools created under the F-Tool concept provide all the graphical and analytical information desired
by the user. Additionally, the user can get exact or approximate analytical results. Finally, the new
PES(Linear)-Tool has a very intuitive interface that allows even the most inexperienced user, with
no previous knowledge in educational software, to start using all its features in an efficient and
autonomous way.
The existing F-Tool are available, free of charge, in the Computable Document Format and the
corresponding CDF files can be downloaded for free at https://sapientia.ualg.pt. This format allows
anyone with a computer to fully use it, even without an active Wolfram Mathematica license.
The F-Tool’s framework is composed by three main panels (see Figure 1):

Figure 1. A general example of the price elasticity of supply (PES)(Linear)-Tool: How to get the market
supply function in terms of the variable Q.

In the left panel, the user can set the parameters’ values, and choose which functions related with
the main function are to be displayed.
In the middle panel, all the functions are plotted, according to the options defined in the left panel.
In the right panel, all the analytical information is displayed in accordance with the options
chosen by the user in the left panel.
In summary, all the controls and options for all functionalities are located in the left panel. As
the user interacts dynamically with the tool, all the graphical and analytical results are displayed in
real time in the middle and right panels, respectively. When choosing the option , the user will
then see the corresponding graphics moving continuously and the analytical information changing
accordingly. It is through this kind of dynamic interaction that “computer algebra systems present
new opportunities for teaching and learning” [29].

8
Math. Comput. Appl. 2019, 24, 87

The use of the F-Tool concept in the classroom allows a dynamic approach to various concepts
related to the study of functions and promotes new ways of reasoning/thinking, evaluating, teaching,
and learning. The F-Tool concept was conceived as an active learning tool, that is, its adequate use
provides a context of teaching and learning where students and teachers are both invited to fully
participate [30]. Through dynamic changes of the parameters values, it is possible to obtain rigorous
analytical information, presented in exact or approximate arithmetic, as well as static and non-static
visual information [22]. Although it is a dynamic and interactive educational software, the F-Tool can
also be used in the construction of multiple choice and open response evaluation questions [1].

3.2. The F-Tool Concept Adapted to the Socio-economic Sciences

Taking into account our experience of using dynamic and interactive mathematical tools [1]
as active learning tools in natural science courses, we decided to adapt this type of approach to
some economic concepts. The idea is to focus the teaching process on the students, stimulating their
participation and motivating those with a level of math knowledge, often insufficient, to obtain new
knowledge in a solid way. In this way, it becomes possible to teach new concepts in a solid and
consistent way.
The most common way for faculty members to engage students in active learning is by stimulating
the discussion [20]. A variety of materials and techniques can be used to trigger the discussion and
each teacher can provide several experiences that will stimulate the discussion among students.
Demonstrations during a lecture can be used to stimulate the students’ curiosity and to improve their
understanding of conceptual material and processes [31], particularly when the demonstration invites
students to participate in research activities through the use of questions such as “What would happen
if we change dynamically the parameter b? Would the price elasticity of supply change? And what
would happen if the parameter a changes dynamically?” (see Figures 8–10). So, the faculty member can
encourage the discussion, dialogue, and reflection in the classroom, proposing stimulating exercises
that lead to a supervised constructive debate among the students.
In Section 4 we present the new dynamic and interactive economic tool, called the
PES(Linear)-Tool, created under the F-Tool concept. The usefulness of this tool is illustrated by
introducing the price elasticity of supply concept in a microeconomics class, as well as all the analytical
and graphical information involved with the analysis of this concept.

4. Designing the New PES(Linear)-Tool

The use of the symbolic computation capabilities of Mathematica, and its own programming
language (along with the pretty-print functionality that allows one to write mathematical expressions
on the computer using the traditional notation, as on paper), enables us to implement on a computer,
and in a rather straightforward manner, all the ideas that go into the F-Tool concept.
The PES(Linear)-Tool was created as an interactive Mathematica notebook and it is available online,
in the Computable Document Format, as a supplement to this article. It allows the exploration
  of
concepts related to a market supply function (3), where a, b ∈ R, a > 0 and Q > max − ba , 0 . It
should be noted that the particular case of a = 0 was also included to exemplify the perfectly elastic
supply (when Q > 0) (see Figure 7). In terms of implementation and in spite of their mathematic
simplicity, constant functions should be dealt with separately because they have no inverse function
(see Figure 7). This means that the constant case has to be coded separately, in order to generate the
correct analytical information for those functions. The PES(Linear)-Tool provides all graphical and
analytical information of the inverse function of P( Q) (that is, the market supply function). As students
often confuse the concepts of elasticity and derivative, the tool provides the option “Derivative” on
the left panel (see Figures 10–12). The PES(Linear)-Tool displays graphical information on the value
of the PES(Q0 ) whenever this option is selected. This allows the user to visualize the change from an
economic model with an elastic supply to a model with an inelastic supply (going through a unitary
elastic supply). As in the F-Tool, the user can interact with this information in real time.

9
Math. Comput. Appl. 2019, 24, 87

As an illustration of this tool, let us to consider the plot of the inverse function (3) as depicted in
Figure 1, and the market supply function (in terms of the variable Q). In this case, the exact analytical
expressions of the function and its inverse are displayed, once the exact arithmetic option has been
selected. The dashed line displayed on the plot is described by the equation y = x and corresponds to
the symmetry axis of the inverse transformation.
The PES(Linear)-Tool is essentially created by a single Manipulate command (see Figure 2), whose
output is not just a static result but a running program that we can interact with. In fact, the code
consists of some initial definitions followed by the single command Manipulate. This command
is responsible for creating the interactive object that contains the three panels. In particular, the
command Manipulate generates all the functional controls, such as the sliders for the parameters’
values and checkboxes for the plots’ options. Through dynamic changes of the parameters’ values, it is
possible to obtain approximate or exact analytical information, as well as static and non-static visual
information [28].

Figure 2. General code structure of the PES(Linear)-Tool.

To create the PES(Linear)-Tool we used part of the code of the educational software F-Tool.
Obviously, to provide all the graphical and analytical information for the price elasticity of supply,
several adaptations were performed and new fields related to this socio-economic concept were added.
Figure 3 displays the code block that generates the value of the price elasticity
 ofsupply at a given
quantity Q0 . It should be noticed that the cases of a  0 and/or Q0  max − ba , 0 (see Figures 5, 6,
13) should be considered separately.

Figure 3. Code snippet of the PES(Linear)-Tool. This is part of the code that generates the analytical
information about the price elasticity of supply.

4.1. Parameters a and b

In order to create a consistent tool that considers all the mathematical possibilities for which
the economic model makes sense, several situations concerning the values of the parameters a and
b should be implemented. Given the function (3), only non-negative values for the parameter a are
considered in the code (the range of values that run through the slider, see Figure 4).

10
Math. Comput. Appl. 2019, 24, 87

Figure 4. Code snippet of the PES(Linear)-Tool. This is part of the code that generates the range of
values for the parameter a that run through the slider.

The user can also introduce directly the parameters’ values. However, for certain values
of the parameters, the correspondent market supply function is not defined and therefore, the
PES(Linear)-Tool will exhibit the following message: “Does not make sense to analyze PES(Q0)!”,
whenever the PES button is selected (see Figure 5). Consequently, all options will be unavailable
until acceptable parameter values are considered. This situation occurs when the user chooses a
non-positive value for the parameter a, and/or the user chooses a non-positive value for the variable
Q (see Figures 6 and 13).

Figure 5. An example of the information obtained when a negative value for the parameter a is chosen.

Depending on the values considered for the parameters a and/or b, Q can assume values in
different numeric sets. So, the values of Q0 that can be considered depend on the values of a and b.
The PES(Linear)-Tool can be used to improve the students’ understanding of this conceptualization
because it enables students to analyze the relationship between the null value of the function P( Q)
and the range of acceptable values for Q0 (see Figure 6).

11
Math. Comput. Appl. 2019, 24, 87

 
Figure 6. Example of a non economic model due the fact that Q0  max − ba , 0 .

4.2. Perfectly Elastic Supply

This subsection illustrates how the PES(Linear)-Tool can be used to improve the students’
understanding of the price elasticity of supply concept (see Figure 7). In the classroom the faculty can
explain that this is a limit case that occurs when the market supply function is not defined. The teacher
may ask the students if a change in the parameter b causes any change in the type of price elasticity.
Then it can be asked about the effects of a possible change in parameter a.

Figure 7. Example of a perfectly elastic supply.

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Math. Comput. Appl. 2019, 24, 87

4.3. Elastic and Inelastic Supplies

This subsection describes how the PES(Linear)-Tool can be used to improve the students’
understanding of the price elasticity of supply concept.
By using the PES(Linear)-Tool the faculty can ask the students to interpret the value PES( Q0 )
depending on the values of a, b, and Q0 . The faculty can start with an example of an elastic supply and
ask the students to identify the parameter to be changed in order to get an inelastic supply and how
the value of Q0 affects the elasticity’s value (see Figures 8–10).

Figure 8. Example of an elastic supply.

Figure 9. Example of an inelastic supply.

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Math. Comput. Appl. 2019, 24, 87

4.4. Unit Elastic Supply

It is generally acknowledged that there is often a confusion between the concepts of elasticity and
derivative among students. In order to illustrate the contribution of the PES(Linear)-Tool to distinguish
such concepts, this subsection presents some examples of unit elastic supply functions associated to
different derivatives’ values. Figures 10–12 present examples of unitary elasticity supply functions
associated to derivatives’ values above, below and equal to 1, respectively.

Figure 10. Example of an unit elastic supply with a derivative value above 1.

Figure 11. Example of an unit elastic supply with a derivative value below 1.

14
Math. Comput. Appl. 2019, 24, 87

Figure 12. Example of an unit elastic supply with a derivative value equal to 1.

The graphical and analytical information, reported by the tool, confirm that despite the
existence of a relationship between the two concepts (elasticity and derivative), their values are
not directly connected.  
Finally, Figure 13 exhibits a non economic model in which Q0  max − ba , 0 (if any positive
value of Q0 is considered, the economic model would have a unitary elasticity).

 
Figure 13. Example of a non economic model due the fact that Q0  max − ba , 0 (if any positive
value of Q0 is considered the economic model would have a unitary elasticity).

15
Math. Comput. Appl. 2019, 24, 87

4.5. Perfectly Inelastic Supply

Although the PES(Linear)-Tool cannot fully illustrate the perfectly inelastic supply case, it can
be used to make this case easier for students to understand. Once the information that this limit case
b
occurs when Q0−1 = −1 has been transmitted to the students, the immediate conclusion is that the
a
corresponding PES is zero. In this case, the teacher should state that α, in (2), is also null (or question
why) and therefore (2) is not an invertible function. This case is depicted in Figure 14.

Figure 14. Example of an almost perfectly inelastic economic model.

5. Final Remarks
This paper presents a new dynamic and interactive tool created with the computer algebra system
Mathematica, the PES(Linear)-Tool, designed to be applied in economics education, a domain where
the use of computer algebra has been particularly limited. Although there are several free of charge
applications available at the Wolfram Demonstrations Project website, none of those provide all the
graphical and analytical information necessary for a good understanding of the concepts introduced
in socio-economic undergraduate courses in universities. Moreover, these applications provide either
graphical or analytical information, but not both, and/or only for some particular cases, and they can
hardly be adapted to explain specific concepts in social economic sciences, or that adaptation would
require additional resources from both the teacher and the students.
The above mentioned issues constitute several gaps which the new tool intends to fulfill. The
PES(Linear)-Tool is a computer algebra tool directed to the study of one of the most widely used
concepts in socio-economics courses—the price elasticity of supply. Starting with the specification
of the market supply function, the design, functionalities and capabilities of the PES(Linear)-Tool
are exhaustively explored in this paper to analyze the price elasticity of supply, accounting for all
the mathematical possibilities for which the economic model makes sense. This tool also differs
from other existing tools in that it can be downloaded at no cost and allows the complete analysis
of multiple situations involving the study of the price elasticity supply in a dynamic and interactive
way. Specifically, the tool offers the students the possibility of changing the parameters’ values in
the economic model and getting both the analytical and graphical effects in real time. The new
PES(Linear)-Tool has a very intuitive interface that allows even the most inexperienced user, with

16
Math. Comput. Appl. 2019, 24, 87

no previous knowledge in educational software, to start using all the features in an efficient and
autonomous way.
Given the recognition in the literature that some economic concepts can be more easily understood
when students work with a large number and variety of graphics in an interactive way, with the support
of the appropriate technology, we believe that the use of the PES(Linear)-Tool in the classroom can
promote new ways of reasoning/thinking, evaluating, teaching, and learning in a context where
students and teachers are invited to contribute. In this way, this tool promotes the active learning in
classrooms and simultaneously students’ autonomous work, by allowing the design of challenging
problems based on dynamic and interactive exercises using the CDF format, which students can work
on and then send in their results to the faculty by email.
The design of the PES(Linear)-Tool can be generalized to other economic models that can be
studied through other classes of functions, and also opens the possibility for the development of other
interactive tools associated with other economic concepts.
Going forward, a statistically rigorous study in loco to assess the students’ perception when
using the PES(Linear)-Tool, and therefore to estimate the tool’s pedagogical value is of extremely
importance. We believe that this study can be an important help for the future development of these
kind of educational tools.

Supplementary Materials: The PES(Linear)-Tool is available online at http://www.mdpi.com/2297-8747/24/4/

87/s1.
Author Contributions: The dynamic and interactive tool presented in this paper was designed by A.C.C. (under
the F-Tool concept created by A.C.C., José C. Pereira, Cátia M. Silva, and Cristina R. Simão). All authors contributed
to the improvement of the tool. The implementation with the computer algebra system Mathematica was made by
R.C. and A.C.C. The conceptualization and methodology was performed by J.M.A. and A.C.C. The paper was
written by J.M.A. and A.C.C. All authors reviewed the manuscript.
Funding: This research was funded by Fundação para a Ciência e a Tecnologia within the project
UID/ECO/04007/2019.
Acknowledgments: The authors thank the contributions and suggestions of two anonymous referees.
Conflicts of Interest: The authors declare no conflict of interest.

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c 2019 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access
article distributed under the terms and conditions of the Creative Commons Attribution
(CC BY) license (http://creativecommons.org/licenses/by/4.0/).

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 Mathematical
and Computational
Applications

Article
The Invariant Two-Parameter Function of Algebras ψ̄
José María Escobar 1 , Juan Núñez-Valdés 1, * and Pedro Pérez-Fernández 2,3
1 Dpto. de Geometría y Topología, Facultad de Matemáticas, Universidad de Sevilla, Calle Tarfia s/n,
41012 Sevilla, Spain; [email protected]
2 Dpto. de Física Aplicada III, Escuela Técnica Superior de Ingeniería, Universidad de Sevilla, Camino de los
Descubrimientos, 41092 Sevilla, Spain; [email protected]
3 Instituto Carlos I de Física Teórica y Computacional, Universidad de Granada, Fuentenueva s/n,
18071 Granada, Spain
* Correspondence: [email protected]

Received: 12 September 2019; Accepted: 11 October 2019; Published: 14 October 2019

Abstract: At present, the research on invariant functions for algebras is very extended since Hrivnák
and Novotný defined in 2007 the invariant functions ψ and ϕ as a tool to study the Inönü–Wigner
contractions (IW-contractions), previously introduced by those authors in 1953. In this paper, we introduce
a new invariant two-parameter function of algebras, which we call ψ̄, as a tool which makes easier the
computations and allows researchers to deal with contractions of algebras. Our study of this new function
is mainly focused in Malcev algebras of the type Lie, although it can also be used with any other types of
algebras. The main goal of the paper is to prove, by means of this function, that the five-dimensional
classical-mechanical model built upon certain types of five-dimensional Lie algebras cannot be obtained
as a limit process of a quantum-mechanical model based on a fifth Heisenberg algebra. As an example of
other applications of the new function obtained, its computation in the case of the Lie algebra induced
by the Lorentz group SO(3, 1) is shown and some open physical problems related to contractions are
also formulated.

Keywords: invariant functions; contractions of algebras; Lie algebras; Malcev algebras; Heisenberg algebras

1. Introduction
Regarding the concept of limit process between physical theories in terms of contractions of their
associated symmetry groups, formulated by Erdal Inönü and Eugene Wigner [1,2], these authors
introduced the so-called Inönü–Wigner contractions (IW-contractions) in 1953. Later, other extensions
of these IW-contractions have also been addressed, for instance the generalized Inönü–Wigner contractions,
introduced by Melsheiner [3], the parametric degenerations [4–6], widely used in the Algebraic Invariants
Theory, and the singular contractions [2]. To study these contractions, Hrivnák and Novotný introduced the
invariant functions ψ and ϕ as a tool in 2007 [7]. These invariant functions depend on one parameter.
Continuing with this topic, the main goal of this paper is to introduce a new invariant function,
in this case depending on two parameters, which we call the two-parameter invariant function ψ̄, to get
some advances on this research. Indeed, the objective is to prove, by means of this function, that the
five-dimensional classical-mechanical model built upon certain types of five-dimensional Lie algebras
cannot be obtained as a limit process of a quantum-mechanical model based on a fifth Heisenberg algebra.
Indeed, the study of this function is mainly focused in the frame of the Malcev algebras of the type
Lie. Thus, this paper can be considered as the natural continuation of a previous one dealing with Lie
algebras [8]. We try to generalize the properties obtained on that to the case of Malcev algebras.

Math. Comput. Appl. 2019, 24, 89; doi:10.3390/mca24040089 www.mdpi.com/journal/mca

21
Math. Comput. Appl. 2019, 24, 89

The structure of the paper is as follows. In Section 2, we recall some preliminaries on the mathematical
objects dealt with in this paper, Lie algebras and Malcev algebras. Section 3 is devoted to introducing
and proving the main properties of the two-parameter invariant function ψ̄. For computations, we used
the SAGE symbolic computation package and in this section we prove that this new function is different
from others previously defined, which are used as a tool to study contractions of algebras. We also prove
the main result of the paper: no proper contraction between a fifth Heisenberg algebra and a filiform Lie
algebra of dimension 5 exists. It implies that the five-dimensional classical-mechanical model built upon
a five-dimensional filiform Lie algebra cannot be obtained as a limit process of a quantum-mechanical
model based on a fifth Heisenberg algebra. In this way, the new function allows us to step forward in the
research on contractions. In Section 4, we show some of our discussion and conclusions regarding the
research done. Finally, in Section 5, we give some comments on the materials and methods used in such
a research.

2. Preliminaries
We show in this section some preliminaries on Lie algebras, Malcev algebras and on Heisenberg
algebras, which are the main mathematical objects used in the paper.

2.1. Preliminaries on Lie Algebras

In this subsection, we show some preliminaries on Lie algebras. For a further review on this topic,
the reader can consult [9].
An n-dimensional Lie algebra g over a field K is an n-dimensional vector space over K endowed
with a second inner law, named bracket product, which is bilinear and anti-commutative and satisfies the
Jacobi identity

J (u, v, w) = [u, [v, w]] + [v, [w, u]] + [w, [u, v]] = 0, for all u, v, w ∈ g. (1)

The law of the n-dimensional Lie algebra g is determined by the products

n
[ ei , e j ] = ∑ cijk ek , for 1 ≤ i < j ≤ n,
k =1

where ci,j k ∈ K are called structure constants of g. If all these constants are zero, then the Lie algebra is

called abelian.
Two Lie algebras g and h are isomorphic if there exists a vector space isomorphism f between them
such that f ([u, v]) = [ f (u), f (v)], for all u, v ∈ g.
A mapping d : g −→ g is a derivation of g if d([u, v]) = [d(u), v] + [u, d(v)], for all u, v ∈ g. The set of
derivations of g is denoted by Derg.
The lower central series of a Lie algebra g is defined as g1 = g, g2 = [g1 , g], . . . , gk = [gk−1 , g], . . .
If there exists m ∈ N such that gm ≡ 0, then g is called nilpotent. The nilpotency class of g is the smallest
natural c such that gc+1 ≡ 0.
An n-dimensional nilpotent Lie algebra g is said to be filiform if it is verified that dim gk = n −
k, for all k ∈ {2, . . . , n}. Filiform Lie algebras were introduced by Vergne in her Ph.D. Thesis, in 1966,
later published in [10] in 1970.
The only n-dimensional filiform Lie algebra for n < 3 is the abelian. For n ≥ 3, it is always possible
to find an adapted basis {e1 , . . . , en } of g such that [e1 , e2 ] = 0, [e1 , e j ] = e j−1 , for all j ∈ {3, . . . , n} and
[e2 , e j ] = [e3 , e j ] = 0, for all j ∈ {3, . . . , n}.

22
Math. Comput. Appl. 2019, 24, 89

From the condition of filiformity and the Jacobi identity in Equation (1), the bracket product of g is
determined by
min{i −1,n−2}
[ ei , e j ] = ∑ cijk ek , for 4 ≤ i < j ≤ n,
k =2
k ∈ K are called structure constants of g. If all these constants are zero, then the filiform
where ci,j
Lie algebra g is called model. The model algebra is not isomorphic to any other algebra of the same
dimension and every n-dimensional filiform Lie algebra g having an adapted basis {e1 , . . . , en } verifies
that g2 = e2 , . . . , en−1 , g3 = e2 , . . . , en−2 , . . . , gn−1 = e2 , gn = 0.

2.2. Preliminaries on Malcev Algebras

Now, we recall some preliminary concepts on Malcev algebras, taking into account that a general
overview can be consulted in [11]. From here on, we only consider finite-dimensional Malcev algebras
over the complex number field C.
A Malcev algebra M is a vector space with a second bilinear inner composition law ([·, ·]) called the
bracket product or commutator, which satisfies: (a) [u, v] = −[v, u], ∀u, v ∈ M; and (b) [[u, v], [u, w]] =
[[[u, v], w], u] + [[[v, w], u], u] + [[[w, u], u], v], ∀u, v, w ∈ M. Condition (b) is named Malcev identity and we
use the notation M (u, v, w) = [[u, v], [u, w]] − [[[u, v], w], u] − [[[v, w], u], u] − [[[w, u], u], v].
Given a basis {ei }in=1 of a n-dimensional Malcev algebra M, the structure constants ci,j h are defined as

[ei , e j ] = ∑nh=1 ci,j

h e , for 1 ≤ i, j ≤ n.
h
It is immediate to see that Malcev algebras and Lie algebras are not disjoint sets. Indeed, every Lie
algebra is a Malcev algebra, but the converse is not true. Therefore, we can distinguish between Malcev
algebras of the type Lie and Malcev algebras of the type non-Lie. Obviously, those Malcev algebras which
are of the type Lie verify both identities: Jacobi and Malcev.
If the Jacobi identity does not hold, then the Malcev algebra is said to have a Jacobi anomaly. In quantum
mechanics, the existence of Jacobi anomalies in the underlying non-associative algebraic structure related
to the coordinates and momenta of a quantum non-Hamiltonian dissipative system was already claimed
by Dirac [12] in the process of taking Poisson brackets. In string theory, for instance, one such anomaly
is involved by the non-associative algebraic structure that is defined by coordinates (x) and velocities or
momenta (v) of an electron moving in the field of a constant magnetic charge distribution, at the position
of the location of the magnetic monopole [13]. In particular, J (v1 , v2 , v3 ) = −∇  ◦ B(x ), where ∇  ◦ B(x )
denotes the divergence of the magnetic field B(x ). The underlying algebraic structure constitutes a non-Lie
Malcev algebra [14], with the commutation relations [ x a , xb ] = 0, [ x a , vb ] = i δab and [v a , vb ] = i ε abc Bc (x ),
where a, b, c ∈ {1, 2, 3}, δab denotes the Kronecker delta and ε abc denotes the Levi–Civita symbol. If the
magnetic field is proportional to the coordinates, the latter can be normalized and Bc (x ) can then be
supposed to coincide with xc . The resulting algebra is then called magnetic [15]. A generalization to
electric charges has recently been considered [15] by defining the products [ x a , xb ] = −i ε abc Ec (x, v),
where the electric field E as well as the magnetic field B must depend not only on coordinates but also
on velocities. It is worth remarking that both magnetic and electric algebras constitute magma algebras
(see [16] for this last concept).
If g is a Malcev algebra of the type Lie and D ∈ Derg a derivation of g, then, according to the
anti-commutative property of g and the Jacobi identity in Equation (1) of Lie algebras, we get that

[d[ x, y], [ x, z]] + [[ x, y], d[ x, z]] = d[[[ x, z], y], x ] + d[[[z, x ], x ], y] ∀ x, y, z ∈ g

23
Math. Comput. Appl. 2019, 24, 89

Starting from here and due to reasons of length, only Malcev algebras of type Lie, that is to say, actually
Lie algebras, are used in this paper. Malcev algebras of type non-Lie will be dealt with in future work.

2.3. Preliminaries on Heisenberg Algebras

Let n be a non-negative integer or infinity. The nth Heisenberg algebra (so-called after Werner
Karl Heisenberg) is the Lie algebra with basis B = { p1 , . . . , pn , q1 , . . . , qn , z} with the following relations,
known as canonical commutation relations

1. [ pi , q j ] = cij z, 1 ≤ i, j ≤ n.
2. [ pi , z] = [qi , z] = [ pi , p j ] = [qi , q j ] = 0, 1 ≤ i, j ≤ n.

Note that the dimension of an nth Heisenberg algebra is not n, but 2n + 1. In fact, the n in the above
definition is called the rank of the Heisenberg algebra, although it is not, however, a rank in any of the
usual meanings that this word has in the theory of Lie algebras. Thus, this Lie algebra is also known as the
Heisenberg algebra of rank n.
In any case, from here on and to avoid confusions we designate under the notation fifth Heisenberg
algebras to those Heisenberg algebras generated by five generators.

3. Results
In this section, which is divided by subheadings, we provide a concise and precise description of our
experimental results. They are the following.

3.1. Introducing a New Invariant Function

Let g = (V, [ , ]) be a Lie algebra. End g denotes the vector space of all linear operators of g over V.

Definition 1. Let g be a Lie algebra. The set

Der(α,β,γ,τ ) g = {d ∈ End g : α[d[ x, y], [ x, z]] + β[[ x, y], d[ x, z]] = γd[[[ x, z], y] x ] + τd[[[z, x ], x ], y]}

∀(α, β, γ, τ ) ∈ C4 , is called the set of the (α, β, γ, τ )-derivations of the algebra g. It is denoted by Der(α,β,γ,τ ) g.
     
It is obvious that dim Der(1,1,1,1) g = dim Derg . Then, as dim Derg is an invariant of g, it follows
 
that dim Der(1,1,1,1) g is an invariant of g. This leads the following result.

Proposition 1. If g is a Lie algebra, then dim(1,1,1,1) g is an algebraic invariant of g. 

Theorem 1. Let g and ḡ be two Malcev algebras of the type Lie and let f : g → ḡ be an isomorphism. Then, the
mapping ρ : End g → End ḡ, defined by D −→ f D f −1 , is an isomorphism between the vector spaces Der(α,β,γ,τ ) g
and Der(α,β,γ,τ ) ḡ, ∀(α, β, γ, τ ) ∈ C4 .,

Proof. Let g = (V, ·) and ḡ = (V̄, ∗) be two Malcev algebras of the type Lie and let us consider D ∈
Der(α,β,γ,τ ) g, for any (α, β, γ, τ ) ∈ C4 and for all x, y, z ∈ ḡ. Then,

       
αD f −1 ( x ) · f −1 (y) · f −1 ( x ) · f −1 (z) + β f −1 ( x ) · f −1 (y) · D f −1 ( x ) · f −1 (z) =
       
γD f −1 ( x ) · f −1 (z) · f −1 (y) · f −1 ( x ) + τD f −1 ( z ) · f −1 ( x ) · f −1 ( x ) · f −1 ( y ) .

24
Math. Comput. Appl. 2019, 24, 89

It is deduced that
      
γD f −1 ( x ) · f −1 (z) · f −1 (y) · f −1 ( x ) = γD f −1 ( x ∗ z ) · f −1 ( y ) · f −1 ( x ) =
γD f −1 (( x ∗ z) ∗ y) · f −1 ( x )) = γD f −1 ((( x ∗ z) ∗ y) ∗ x ),

and, similarly,
   
τD f −1 (z) · f −1 ( x ) · f −1 ( x ) · f −1 (y) = τD f −1 (((z ∗ x ) ∗ x ) ∗ y)

   
αD f −1 ( x ) · f −1 (y) · f −1 ( x ) · f −1 (z) = αD f −1 ( x ∗ y) · f −1 ( x ∗ z)

   
β f −1 ( x ) · f −1 ( y ) · D f −1 ( x ) · f −1 ( z ) = β f −1 ( x ∗ y ) · D f −1 ( x ∗ z ).

Thus,

αD f −1 ( x ∗ y) · f −1 ( x ∗ z) + β f −1 ( x ∗ y) · D f −1 ( x ∗ z) = γD f −1 ((( x ∗ z) ∗ y) ∗ x ) + τD f −1 (((z ∗ x ) ∗ x ) ∗ y).

Now, the result of applying f to the previous expression is

       
α f D f −1 (x ∗ y)∗(x ∗ z)+ β(x ∗ y)∗ f D f −1 (x ∗ z) = γ f Df −1 (((x ∗ z)∗ y)∗ x)+ τ f D f −1 (((z ∗ x)∗ x)∗ y).

Thus, f D f −1 ∈ Der(α,β,γ,τ ) ḡ, which concludes the proof.

An immediate consequence of this result is the following.

Corollary 1. Let g be a Lie algebra. The dimension of the vector space Der(α,β,γ,τ ) g is an invariant of the algebra,
for all (α, β, γ, τ ) ∈ C4 .

Lemma 1. (Technical Lemma) Let d be a derivation of a Lie algebra g. The following expressions are verified

1. d[[[z,x],x],y]=d[[x,y],[x,z]]-d[[[y,z],x],x]
2. d[[[y,x],x],z]=d[[x,z],[x,y]]-d[[[z,y],x],x]
3. d[[[x,z],y],x]=d[[x,y],[x,z]]-d[[[z,x],x],y]
4. d[[[x,y],z],x]=d[[x,z],[x,y]]-d[[[y,x],x],z].

Proof. All expressions are immediate consequences of the properties of the derivations (see Section 2).

Lemma 2. Let g = (V, [, ]) be a Lie algebra. Then,

Der(α,β,γ,τ ) g = Der(α+ β,α+ β,2γ,2τ ) g ∩ Der(α− β,β−α,0,0) g

Proof. Suppose D ∈ Der(α,β,γ,τ ) g. Then, for all ( x, y, z) ∈ g, we have

25
Math. Comput. Appl. 2019, 24, 89

α[d[ x, y], [ x, z]] + β[[ x, y], d[ x, z]] = γd[[[ x, z], y], x ] + τd[[[z, x ], x ], y].

Charging now y and z between themselves, we have

α[d[ x, z], [ x, y]] + β[[ x, z], d[ x, y]] = γd[[[ x, y], z], x ] + τd[[[y, x ], x ], z]

and by adding the two first expressions of Lemma 1 and taking the anti-skew property of the Lie bracket
into consideration, we have

(α − β)[d[ x, y], [ x, z]] + ( β − α)[[ x, y], d[ x, z]] =

γ(d[[[ x, z], y] x ] + d[[[ x, y], z] x ]) + τ (d[[[z, x ], x ], y] + d[[[y, x ], x ], z]).

Similarly, starting from the two last expressions of Lemma 1, we obtain

d[[[z, x ], x ], y] + d[[[y, x ], x ], z] = 0

and by repeating the same procedure we obtain

d[[[ x, z], y], x ] + d[[[ x, y], z], x ] = 0.

Now, starting from both expressions, we have

(α − β)[d[ x, y], [ x, z]] + ( β − α)[[ x, y], d[ x, z]] = 0.

Therefore, D ∈ Der(α− β,β−α,0,0) g.
Now, by subtracting the two first expressions of the proof and taking into account the anti-skew
property, we have (α + β)[d[ x, y], [ x, z]] + ( β + α)[[ x, y], d[ x, z]] = γ(d[[[ x, z], y], x ] − d[[[ x, y], z], x ]) +
τ (d[[[z, x ], x ], y] − d[[[y, x ], x ], z]).
We use now in the previous equality the two expressions d[[[y, x ], x ], z] = −d[[[z, x ], x ], y] and
d[[[ x, y], z], x ] = −d[[[ x, z], y], x ], respectively, obtained from previous expressions.
We have that (α + β)[d[ x, y], [ x, z]] + (α + β)[[ x, y], d[ x, z]] = 2γd[[[ x, z], y], x ] + 2τd[[[z, x ], x ], y].
It involves that D ∈ Der(α+ β,α+ β,2γ,2τ ) g. Therefore, it is verified that Der(α,β,γ,τ ) g ⊂ Der(α+ β,α+ β,2γ,2τ ) g ∩
Der(α− β,β−α,0,0) g.
If D ∈ Der(α+ β,α+ β,2γ,2τ ) g ∩ Der(α− β,β−α,0,0) g, then D verifies both equations (α + β)[d[ x, y], [ x, z]] +
(α + β)[[ x, y], d[ x, z]] = 2γd[[[ x, z], y], x ] + 2τd[[[z, x ], x ], y] and (α − β)[d[ x, y], [ x, z]] +
( β − α)[[ x, y], d[ x, z]] = 0.
Then, by adding these last equations and simplifying, we observe that D verifies

α[d[ x, y], [ x, z]] + β[[ x, y], d[ x, z]] = γd[[[ x, z], y], x ] + τd[[[z, x ], x ], y].

Thus, D ∈ Der(α,β,γ,τ ) g = Der(α+ β,α+ β,2γ,2τ ) g ∩ Der(α− β,β−α,0,0) g.

Therefore, Der(α,β,γ,τ ) g = Der(α+ β,α+ β,2γ,2τ ) g ∩ Der(α− β,β−α,0,0) g, which completes the proof.

Theorem 2. Let g be a Lie algebra. Then, for all (α, β, γ, τ ) ∈ C4 , it exists (λ1 , λ2 ) ∈ C2 such that Der(α,β,γ,τ ) g ⊂
C2 is one of the following four sets: Der(0,0,λ1 ,λ2 ) g; Der(1,−1,λ1 ,λ2 ) g; Der(1,0,λ1 ,λ2 ) g; or Der(1,1,λ1 ,λ2 ) g.

Proof. Consider (α, β, γ, τ ) ∈ C4 . We distinguish the following cases

Case 1: α + β = 0. We distinguish now the following two subcases:

26
Math. Comput. Appl. 2019, 24, 89

1.1 α = β = 0. Then, Der(α,β,γ,τ ) g = Der(0,0,γ,τ ) g. Therefore, γ = λ1 and λ2 = τ.

1.2 α = − β. In this subcase, by Lemma 2, we have that

Der(α,β,γ,τ ) g = Der(0,0,2γ,2τ ) g ∩ Der(−2β,2β,0,0) g = Der(0,0,γ,τ ) g ∩ Der(−1,1,0,0) g.

Apart from that, it is also verified that

Der(−1,1,γ,τ ) g = Der(0,0,2γ,2τ ) g ∩ Der(−2,2,0,0) g = Der(0,0,γ,τ ) g ∩ Der(−1,1,0,0) g.

Therefore, Der(α,β,γ,τ ) g = Der(−1,1,γ,τ ) g. It involves that λ1 = γ and λ2 = τ.

Case 2: α + β = 0. Two subcases are also considered:

2.1 α = β.

By Lemma 2, we have Der(α,β,γ,τ ) g = Der(1,1, 2γ g ∩ Der(1,−1,0,0) g.

α+ β , α+ β )
2τ

Since Der(1,0, γ τ g = Der(1,1, g ∩ Der(1,−1,0,0) g, it is deduced that Der(α,β,γ,τ ) g =

α+ β , α+ β )
2γ
α+ β , α+ β )
2τ

γ τ
Der γ
(1,0, α+ τ g. It involves that λ1 = and λ2 = α+ β .
β , α+ β ) α+ β
2.2 α = β.
γ
In this subcase, Der(α,β,γ,τ ) g = Der(1,1, γ , τ ) g. Therefore, λ1 = α and λ2 = τα .
α α

These two two-parameter sets Der(1,0,λ1 ,λ2 ) g and Der(1,1,λ1 ,λ2 ) g previously defined allow us to define
the following invariant two-parameter functions of Lie algebras.

Definition 2. The functions ψ̄g , ψ̄g0 : C2 → N defined, respectively, as (ψ̄g )(α, β) = dim Der(1,1,α,β) g
and (ψ̄g0 )(α, β) = dim Der(1,0,α,β) g are called ψ̄g and ψ̄g0 invariant functions corresponding to the
(α, β, γ, τ )-derivations of g.

Corollary 2. If two Malcev algebras of the type Lie g and f are isormorphic, then ψ̄g = ψ̄f and ψ̄g0 = ψ̄f0 .

Note that the function ψ̄ is a two-parameter function, whereas the function ψ by Novotný and
Hrivnák [7] is one-parameter. It implies that both functions are structurally different. However, it can be
thought that ψ could be obtained as a particular case of ψ̄ by simply taking one of the parameters as a
constant. The following counter-example shows that it is not possible.
Indeed, we now compare the function ψ̄ with the invariant function ψ and prove that both functions
are totally different. To do this, we compute both functions for a same Lie algebra, in the particular case of
being α = 1. Concretely, we use the Lie algebra induced by the Lorentz group SO(3, 1), which we denote
by g6 .
Computing ψg6 , for α = 1
Let us recall that Minkowski defined the spacetime as a four-dimensional manifold with the metric
ds2 = −c2 dt2 + dx2 + dy2 + dz2 . We introduce the metric tensor
⎡ ⎤
−1 0 0 0
⎢ 0 0⎥
⎢ 1 0 ⎥
η=⎢ ⎥.
⎣ 0 0 1 0⎦
0 0 0 1

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Math. Comput. Appl. 2019, 24, 89

If we rename (ct, x, y, z) → ( x0 , x1 , x2 , x3 ), then the expression ds2 can be written as ds2 = ημγ dx μ dx γ
(summed over μ and γ). Recall that this distance is invariant under the following type of transformations
μ μ
x μ → λγ x γ such that the coefficients λγ are the elements of a matrix Λ (which is called Lorentz
transformations) that satisfies Λt ηΛ = η. Since the metric in the three-dimensional Euclidean space
corresponds to the identity matrix, if R is the matrix of a rotation, then Rt 1R = 1 and comparing this
expression with Λt ηΛ = η it is possible to say that the Lorentz transformations are rotations in the
Minkowski space. These transformations form a group called the Lorentz group SO(3, 1).
Now, we focus our study on the infinitesimal Lorentz transformations. A Lorentz transformation
μ μ μ μ μ γ
matrix can be written as Λγ = δγ + λγ , where the parameters λγ are infinitesimal and verify that λγ = −λμ
so that the Lorentz transformation is valid. The action of this transformation on the coordinates x μ in the
μ
Minkowski space can be written as δx μ = Λγ x γ .
μ 1 ρσ μ 1 μ
If we define Aρσ such that Λγ = λ ( Aρσ )γ , we can write the above action as δx μ = λρσ ( Aρσ )γ x γ .
μ
2 μ μ
2
Then, it is easily proved that ( Aρσ )γ = δρ ησγ − δσ ηργ .
Explicitly,
⎛ ⎞ ⎛ ⎞ ⎛ ⎞
0 −1 0 0 0 0 −1 0 0 0 0 −1
⎜ −1 0 0 0⎟ ⎜ 0 0 0 0⎟ ⎜ 0 0 0 0 ⎟
⎜ ⎟ ⎜ ⎟ ⎜ ⎟
A10 = ⎜ ⎟ A20 = ⎜ ⎟ A30 = ⎜ ⎟
⎝ 0 0 0 0⎠ ⎝ −1 0 0 0⎠ ⎝ 0 0 0 0 ⎠
0 0 0 0 0 0 0 0 −1 0 0 0
⎛ ⎞ ⎛ ⎞ ⎛ ⎞
0 0 0 0 0 0 0 0 0 0 0 0
⎜0 0⎟ ⎜0 0 0⎟ ⎜0 0 0 −1⎟
⎜ 0 1 ⎟ ⎜ 0 ⎟ ⎜ ⎟
A12 =⎜ ⎟ A23 =⎜ ⎟ A31 =⎜ ⎟
⎝0 −1 0 0⎠ ⎝0 0 0 1⎠ ⎝0 0 0 0 ⎠
0 0 0 0 0 0 −1 0 0 1 0 0

Now, by defining the Lie product as the usual commutator [ Aij , Ahk ] = Aij · Ahk − Ahk · Aij ,
A10 , A20 , A30 , A12 , A23 and A31 generate a Lie algebra, which we denote by g6 .
Let us consider d ∈ Der(1,1,1,1) g6 and let A = ( aij ), 1 ≤ i, j ≤ 6 be the 6 × 6 square matrix associated
with the endomorphism d.
To obtain the elements of this matrix, for the pair of generators (ei , e j ), with i < j, the derivation d
 
satisfies d [ei , e j ] = [d(ei ), e j ] + [ei , d(e j )] and d(ei ) = ∑6h=1 aih eh . In this way, the following conditions are
obtained. This can be seen in the following Table 1.

28
Math. Comput. Appl. 2019, 24, 89

Table 1. Condition obtained.

From Pair (ei , e j ) Conditions

a41 = a14 , a42 = a24 , a43 = − a15 − a26 ,
( e1 , e2 )
a44 = a11 + a22 , a45 = − a13 , a46 = − a23 .
a61 = a16 , a62 = − a15 − a34 , a63 = a36 ,
( e1 , e3 )
a64 = − a32 , a65 = − a12 , a66 = a33 + a11 .
a21 = − a12 , a22 = a11 + a44 , a23 = − a46 ,
( e1 , e4 )
a24 = a42 , a25 = − a16 , a26 = a15 − a43 .
a13 = 0, a54 = 0, a12 − a56 = 0,
( e1 , e5 )
a16 + a52 = 0, a14 + a53 = 0.
a31 = − a13 , a32 = − a64 , a33 = a11 + a66 ,
( e1 , e6 )
a34 = a15 − a62 , a35 = − a14 , a36 = a63 .
a51 = − a26 − a34 , a52 = a25 , a53 = a35 ,
( e2 , e3 )
a54 = − a31 , a55 = a22 + a33 , a56 = − a21 .
a11 = a22 + a44 , a12 = − a21 , a13 = − a45 ,
( e2 , e4 )
a14 = a41 , a15 = a26 − a43 , a16 = − a25 .
a31 = − a54 , a32 = − a23 , a33 = a22 + a55 ,
( e2 , e5 )
a34 = a26 − a51 , a35 = a53 , a36 = − a24 .
a23 − a64 = 0, − a21 + a65 = 0, a25 + a61 = 0,
( e2 , e6 )
a24 + a63 = 0.
a21 = − a56 , a22 = a33 + a55 , a23 = − a32 ,
( e3 , e5 )
a24 = − a36 , a25 = a52 , a26 = a34 − a51 .
a11 = a33 + a66 , a12 = − a65 , a13 = − a31 ,
( e3 , e6 )
a14 = − a35 + a34 , a15 = − a62 , a16 = a61 .
a61 = − a52 , a62 = a43 + a51 , a63 = − a42 ,
( e4 , e5 )
a64 = − a46 , a65 = − a56 , a66 = a44 + a55 .
a51 = a43 + a62 , a52 = − a61 , a53 = − a41 ,
( e4 , e6 )
a54 = − a45 , a55 = a44 + a66 , a56 = − a65 .
a41 = − a53 , a42 = − a63 , a43 = a51 + a62 ,
( e5 , e6 )
a44 = a55 + a66 , a45 = − a54 , a46 = − a64 .
− a32 + a46 = 0, a31 − a45 = 0, a36 + a42 = 0,
( e3 , e4 )
a35 + a41 = 0.

From these conditions on aij and ∀ a41 , a42 , a44 , a46 , a55 , a61 , a65 , a66 ∈ C, we have the following
conditions shown in Table 2.

Table 2. Conditions obtained.

a11 = a55 , a12 = − a65 , a13 = 0, a14 = a41 , a15 = 0, a16 = a61 .
a21 = a65 , a22 = a66 , a23 = − a46 , a24 = a42 , a25 = − a61 , a26 = 0.
a31 = 0, a32 = a46 , a33 = a44 , a34 = 0, a35 = − a41 , a36 = − a42 ,
a43 = 0, a45 = 0.
a51 = 0, a52 = − a61 , a53 = − a41 , a54 = 0, a56 = − a65 .
a62 = 0, a63 = − a42 , a64 = − a46 .

 
This implies that ψg6 (1) = dim Der(1,1,1,1) g6 = 8.
Computing ψ̄g6 , for α = 1
Let us consider d ∈ Der(1,1,1,1) g6 . Then, [d[u, v], [u, w]] + [[u, v], d[u, w]] = d[[[u, w], v], u] +
d[[[w, u], u], v], ∀u, v, w ∈ g6 .

29
Math. Comput. Appl. 2019, 24, 89

To obtain the elements aij of the corresponding 6 × 6 square matrix associated with d, we see that for
each triplets of generators (ei , e j , ek ) of the algebra, the previous expression is written as

[d[ei , e j ], [ei , ek ]] + [[ei , e j ], d[ei , ek ]] = d[[[ei , ek ], e j ], ei ] + d[[[ek , ei ], ei ], e j ].

Starting from it, we obtain the following conditions shown in Table 3.

Table 3. Conditions obtained.

From Triplet (ei , e j , ek ) Conditions

a51 = a43 + a62 , a52 = − a61 , a53 = − a41 ,
( e1 , e2 , e3 )
a54 = − a45 , a55 = a66 + a44 , a56 = − a65 .
a11 = a22 + a44 , a12 = − a21 , a13 = − a45 ,
( e1 , e2 , e4 )
a14 = − a41 , a15 = a26 − a43 , a16 = − a25 .
( e1 , e2 , e5 ) 0=0
a32 + a46 = 0, e31 + a45 = 0, a36 + a42 = 0,
( e1 , e2 , e6 )
a35 + a41 = 0.
− a23 + a64 = 0, a21 − a65 = 0, a25 + a61 = 0
( e1 , e3 , e4 )
a24 + a63 = 0.
( e1 , e3 , e5 ) 0=0
a33 + a66 = a11 , a65 = − a12 , a31 = − a13 ,
( e1 , e3 , e6 )
a35 = − a14 , a34 − a62 = a15 , a61 = a16 .
( e1 , e4 , e5 ) 0=0
a51 = − a26 − a34 , a52 = a25 , a53 = a35 ,
( e1 , e4 , e6 )
a54 = − a31 , a55 = a22 + a33 , a56 = − a21 .
( e1 , e5 , e6 ) 0=0
− a13 + a54 = 0, a12 − a56 = 0, a16 + a52 = 0,
( e2 , e3 , e4 )
a14 + a53 = 0.
a21 = − a56 , a22 = a33 + a55 , a23 = − a32 ,
( e2 , e3 , e5 )
a24 = − a36 , a25 = a52 , a26 = a34 − a51 .
( e2 , e3 , e6 ) 0=0
a61 = − a16 , a62 = a15 + a34 , a63 = − a36 ,
( e2 , e4 , e5 )
a64 = a32 , a65 = a12 , a66 = − a11 − a33 .
( e2 , e4 , e6 ) 0=0
( e2 , e5 , e6 ) 0=0
( e3 , e4 , e5 ) 0=0
( e3 , e4 , e6 ) 0=0
a41 = − a53 , a42 = − a63 , a43 = a51 + a62 ,
( e4 , e5 , e6 )
a44 = a55 + a66 , a45 = − a54 , a46 = − a64 .
a41 = a14 , a42 = a24 , a43 = − a15 − a26 ,
( e3 , e5 , e6 )
a44 = a11 + a22 , a45 = − a13 , a46 = − a23 .

It follows from these conditions for aij that aij = 0, ∀ i, j ∈ {1 , 2 , 3 , 4 , 5 , 6 }. This implies that
 
ψ̄g6 (1, 1) = dim Der(1,1,1,1) g6 = 0, which proves that ψ = ψ̄ in general.

30
Math. Comput. Appl. 2019, 24, 89

3.2. The Quantum-Mechanical Model Based on a 5th Heisenberg Algebra

In this section, and by using the invariant function previously introduced ψ̄, we prove the
following result.

Theorem 3. Main Theorem

The five-dimensional classical-mechanical model built upon certain types of five-dimensional Lie algebras cannot
be obtained as a limit process of a quantum-mechanical model based on a fifth Heisenberg algebra.

Proof. Let H5 be the fifth Heisenberg algebra generated by {e1 , . . . , e5 } and defined by the brackets
[e1 , e3 ] = e5 and [e2 , e4 ] = e5 .
Let us consider d ∈ Der(1,1,1,1) H5 . Then, [d[u, v], [u, w]] + [[u, v], d[u, w]] = d[[[u, w], v], u] +
d[[[w, u], u], v], ∀u, v, w ∈ H5 .
To obtain the elements aij of the corresponding 5 × 5 square matrix associated with d, we see that for
each triplet of generators (ei , e j , ek ) of the algebra, the previous expression is written as

[d[ei , e j ], [ei , ek ]] + [[ei , e j ], d[ei , ek ]] = d[[[ei , ek ], e j ], ei ] + d[[[ek , ei ], ei ], e j ].

Note that, in this case, there is no restriction on the elements of the matrix associated with d and, thus,
 
ψ̄H5 (1, 1) = dim Der(1,1,1,1) H5 = 25.
For another part, let f5 be the five-dimensional filiform Lie algebra, defined by [e1 , e3 ] = e2 , [e1 , e4 ] = e3
and [e1 , e5 ] = e4 .
Let us consider d ∈ Der(1,1,1,1) f5 . Then, it is verified that [d[u, v], [u, w]] + [[u, v], d[u, w]] =
d[[[u, w], v], u] + d[[[w, u], u], v], ∀u, v, w ∈ f5 .
Similar to the previous case, to obtain the elements aij of the corresponding 5 × 5 square matrix
associated with d, we see that, for each triplet of generators (ei , e j , ek ) of the algebra, the previous expression
is written as
[d[ei , e j ], [ei , ek ]] + [[ei , e j ], d[ei , ek ]] = d[[[ei , ek ], e j ], ei ] + d[[[ek , ei ], ei ], e j ].
In this case, the restrictions of the matrix associated with d are a21 = 0, obtained from the bracket
(e1 , e3 , e5 ) and a31 = a41 from (e1 , e4 , e5 ), therefore ψ̄(1, 1) = 23.
Next, we use the highly non-trivial result, which was originally proved by Borel [17]: If g0 is a proper
   
contraction of a complex Lie algebra g, then it holds: dim Derg < dim Derg0 .
Indeed, according to Proposition 1 we obtain that
    
ψ̄H5 (1, 1) = dim Der(1,1,1,1) H5 = dim Der H5 = 25

and
    
ψ̄f5 (1, 1) = dim Der(1,1,1,1) f5 = dim Der f5 = 23.

It implies that no proper contraction transforming the Heisemberg algebra H5 into the filiform Lie
algebra f5 exists. Thus, since both algebras are not isomorphic, the five-dimensional classical-mechanical
model built upon a five-dimensional filiform Lie algebra cannot be obtained as a limit process of a
quantum-mechanical model based on a fifth Heisenberg algebra.

4. Discussion and Conclusions

In this paper, we introduce an invariant two-parameter function of algebras, ψ̄, and we have used it
as a tool to study contractions of certain particular types of algebras.

31
Math. Comput. Appl. 2019, 24, 89

Indeed, by means of this function, we have proved that there is no proper contraction between a
fifth Heisenberg algebra and a filiform Lie algebra of dimension 5. It implies, as a main result, that the
five-dimensional classical-mechanical model built upon a five-dimensional filiform Lie algebra cannot be
obtained as a limit process of a quantum-mechanical model based on a fifth Heisenberg algebra.
We have also computed this function in the case of other types of algebras, for instance, Malcev
algebras of the type Lie and the Lie algebra induced by the Lorentz group SO(3, 1).
Apart from continuing this study with with higher-dimensional algebras, we indicate next some open
problems to be dealt with in future work, most of them with the objective of trying to find some possible
interesting physical applications for the filiform Lie algebras. They are the following
1. As mentioned above, in 2007, Hrivnák and Novotný introduced the invariant functions ψ and ϕ as
a tool to study contractions of Lie algebras [7]. Those are one-parameter functions. We have now
defined the two-parameter invariant function ψ̄. It would be good to search new invariant functions
to continue with this research, for instance, some related with twisted cocycles of Lie algebras.
2. It would also be good to find necessary and sufficient conditions which characterize contractions of
Lie algebras.
3. One of the possible physical applications of the present topic is given by the possibility of describing
a many-body system based on interacting spinless boson particles located in a lattice of n sites by
means of a filiform Lie algebra. This system could be a kind of Bose–Hubbard model, which is well
known in the condensed matter community and widely studied. The Hamiltonian corresponding
to that system can be described in terms of semi-simple Lie algebras and is a quadratic model since
it contains up to two-body operators. Therefore, we wonder if we could describe the same system
employing filiform Lie algebras and if we could obtain new information using the tools developed in
this manuscript.
To perform this task, it is necessary to write the boson operators involved in the Hamiltonian in term
of new ones that fulfill the commutation relations for a given filiform Lie algebra. However, at that
point, we find the difficulty that we should employ a tensorial product of two filiform Lie algebras in
order to describe the system properly. That means that an isomorphism between the semi-simple Lie
algebra of the original hamiltonian and the filiform Lie algebra proposed to describe the physical
system should exist. Fortunately, it seems that we have obtained a theorem that can confirm that
kind of isomorphism.
Now, the advantage that we gain employing a filiform Lie algebra instead of a semi-simple Lie
algebra is that we could map a non-linear problem such as the problem described by a system with
up to two-body interactions onto a linear problem with just one-body interactions. On the other
hand, once we have described the system in terms of the filiform Lie algebra, it is necessary to define
the branching rules, that is to find the irreducible representations of an algebra g contained in a
given representation of g. Since the representations are interpreted as quantum mechanical states, it
is necessary to provide a complete set of quantum numbers (labels) to characterize uniquely the basis
of the system. This is a non-trivial task that it may even lead to a further research.
4. Another possible physical applications of the present topic is to study phase spaces by using filiform
Lie algebras as a tool.
In this respect, Arzano and Nettel [18] in 2016 introduced a general framework for describing
deformed phase spaces with group valued momenta. Using techniques from the theory of Poisson–Lie
groups and Lie bialgebras, they developed tools for constructing Poisson structures on the deformed
phase space starting from the minimal input of the algebraic structure of the generators of the
momentum Lie group. These tools developed are used to derive Poisson structures on examples of

32
Math. Comput. Appl. 2019, 24, 89

group momentum space much studied in the literature such as the n-dimensional generalization of
the κ-deformed momentum space and the SL(2, R) momentum space in three space-time dimensions.
They also discussed classical momentum observables associated to multiparticle systems and argued
that these combined according the usual four-vector addition despite the non-Abelian group structure
of momentum space (see [18] for further information).
In that paper, the authors work with a phase space Γ = T × G, given by the Cartesian product of a
n-dimensional Lie group configuration space T and a n-dimensional Lie group momentum space
G. Since T and G are Lie groups, we can consider their associated Lie algebras t and g so that we
can define a Lie–Poisson algebra, which can endow a mathematical structure to the phase space Γ.
Indeed, Arzano and Nettel considered a phase space Γ in which the component related to momentum
is an n-dimensional Lie sub-group of the (n + 2)-dimensional Lorentz group SO(n + 1, 1), denoted
as AN (n).
Taking into consideration this paper, we have tried to construct a phase space similar to the one by
those authors, although we have taken the (n + 2)-dimensional Lorentz group SO(n + 1, 2) as the
Lie group related to momentum.
We began our research on this subject considering the Lie group SO(2, 2) and using the same
procedure as Arzano and Nettel did. However, we realized that that attempt was going to be very
complicated because of the great dimensions of the matrices involved (in the computations, a 49 × 49
r −matrix appeared).
Therefore, the fact of finding a Poisson structure that allows us to endow the phase space
Γ = T × SO(n + 1, 2) with a mathematical structure is another problem, which we consider open.
5. Finally, semi-invariant functions of algebras could also be considered to study contractions of Lie
Algebras (see [19], for instance).

We will dedicate our efforts to these objectives in future work.

5. Materials and Methods

Since this is a work on pure and applied mathematics, no type of materials different from the usual
ones in a theoretical investigation was needed. Indeed, on the one hand, only the existing bibliography
on the subject and, on the other hand, a suitable symbolic computation package were used. In the same
way, with regard to the methodology used for the writing of the manuscript, it was also the usual one in
research work of this nature, namely, based on already established hypotheses and known results.
We used the SAGE symbolic computation package for computations. SageMath, which is a free
open-source mathematics software system licensed under the GPL, builds on top of many existing
open-source packages, such as matplotlib, Sympy, Maxima, GAP, R and many more (see [20], for instance).

Author Contributions: All of the authors wrote the paper and J.N.-V. and P.P.-F. checked the proofs.
Funding: This research was funded by the Spanish Ministerio de Ciencia e Innovación and Junta de Andalucía via
grants No. MTM2013-40455-P and No. FQM-326 (J.N.-V.) and No. FQM-160 (P.P.-F.).
Acknowledgments: The authors gratefully acknowledge the financial support above mentioned.
Conflicts of Interest: The authors declare no conflict of interest.

References
1. Inönü, E.; Wigner, E. On the contraction of groups and their representations. Proc. Nat. Acad. Sci. USA 1953,
39, 510–524. [CrossRef] [PubMed]

33
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2. Inönü, E.; Wigner, E. On a particular type of convergence to a singular matrix. Proc. Nat. Acad. Sci. USA 1954,
40, 119–121. [CrossRef] [PubMed]
3. Doebner, H.D.; Melsheimer O. On a class of generalized group contractions. Nuovo Cimento A 1967, 49, 306–311.
[CrossRef]
4. Burde, D. Degenerations of nilpotent Lie algebras. J. Lie Theory 1999, 9, 193–202.
5. Burde, D. Degenerations of 7-dimensional nilpotent Lie algebras. Commun. Algebra 2005, 33, 1259–1277.
[CrossRef]
6. Steinhoff, C. Klassifikation und Degeneration von Lie Algebren. Ph.D. Thesis, Universität Düsseldorf, Düsseldorf,
Germany, 1997.
7. Novotný, P.; Hrivnák, J. On (α, β, γ)-derivations of Lie algebras and corresponding invariant functions.
J. Geometry Phys. 2008, 58, 208–217. [CrossRef]
8. Escobar, J.M.; Núñez, J.; Pérez-Fernández, P. On contractions of Lie algebras. Math. Comput. Sci. 2016. [CrossRef]
9. Humphreys, J.E. Introduction to Lie Algebras and Representation Theory; Springer: New York, NY, USA, 1972.
10. Vergne, M. Cohomologie des algèbres de Lie nilpotentes. Application à l’étude de la variété des algebres de Lie
nilpotentes. Bull. Soc. Math. France 1970, 98, 81–116. [CrossRef]
11. Sagle, A.A. Malcev Algebras. Trans. Am. Math. Soc. 1961, 101, 426–458. [CrossRef]
12. Dirac, P.A.M. Lectures on Quantum Mechanics; Yeshiva University: New York, NY, USA, 1964.
13. Lipkin, H.J.; Weisberger, W.I.; Peshkin, M. Magnetic Charge Quantization and Angular Momentum. Ann. Phys.
1969, 53, 203–214. [CrossRef]
14. Günaydin, M. Exceptionality, supersymmetry and non-associativity in Physics. In Proceedings of the Bruno
Zumino Memorial Meeting, Geneva, Switzerland, 27–28 April 2015.
15. Günaydin, M.; Minic, D. Nonassociativity, Malcev algebras and string theory. Fortschritte der Physik 2013,
61, 873–892.
16. Falcón, O.J.; Falcón, R.M.; Núñez, J. A computational algebraic geometry approach to enumerate Malcev magma
algebras over finite fields. Math. Methods Appl. Sci. 2016, 39, 4901–4913. [CrossRef]
17. Borel, A. Linear Algebraic Groups; Benjamin, Inc.: New York, NY, USA, 1969.
18. Arzano, M.; Nettel, F. Deformed phase spaces with group valued momenta. Phys. Rev. D 2016, 94, 085004.
[CrossRef]
19. Nesterenko, M.; Popovych, R. Contractions of Low-Dimensional Lie Algebras. J. Math. Phys. 2006, 47, 123515.
[CrossRef]
20. On SAGE symbolic computation package. Available online: http://www.sagemath.org/ (accessed on
11 October 2019).

c 2019 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access
article distributed under the terms and conditions of the Creative Commons Attribution (CC
BY) license (http://creativecommons.org/licenses/by/4.0/).

34
 Mathematical
and Computational
Applications

Article
Solving Nonholonomic Systems with the Tau Method
Alexandra Gavina 1, *, José M. A. Matos 1,2 and Paulo B. Vasconcelos 2,3
1 Laboratório Engenharia Matemática, Instituto Superior Engenharia Porto, R. Dr. António Bernardino de
Almeida 431, 4200-072 Porto, Portugal; [email protected]
2 Centro de Matemática, Universidade do Porto, Rua do Campo Alegre 687, 4169-007 Porto, Portugal;
[email protected]
3 Faculdade de Economia, Universidade do Porto, Rua Dr. Roberto Frias, s/n, 4200-464 Porto, Portugal
* Correspondence: [email protected]

Received: 27 September 2019; Accepted: 17 October 2019; Published: 19 October 2019

Abstract: A numerical procedure based on the spectral Tau method to solve nonholonomic systems
is provided. Nonholonomic systems are characterized as systems with constraints imposed on
the motion. The dynamics is described by a system of differential equations involving control
functions and several problems that arise from nonholonomic systems can be formulated as optimal
control problems. Applying the Pontryagins maximum principle, the necessary optimality conditions
along with the transversality condition, a boundary value problem is obtained. Finally, a numerical
approach to tackle the boundary value problem is required. Here we propose the Lanczos spectral
Tau method to obtain an approximate solution of these problems exploiting the Tau toolbox software
library, which allows for ease of use as well as accurate results.

Keywords: Tau method; nonholonomic systems

1. Introduction
Nonholonomic systems are a class of nonlinear systems that cannot be stabilized by a continuous
time-invariant feedback, i.e., at a certain time or state there are constraints imposed on the motion
(nonholonomic constraints). These systems are controllable but they cannot move instantaneously
in certain directions. They belong to a class of nonlinear differential systems with nonintegrable
constraints imposed on the motion [1].
Nonholonomic control systems, which result from formulations of nonholonomic systems that
include control inputs, are nonlinear control problems requiring nonlinear treatment. There is ample
literature on the formulation of the equations of motion and on the dynamics of nonholonomic systems,
being [2] an excellent survey for examples. Nonholonomic control systems have been studied in the
context of robot manipulation, mobile robots, wheeled vehicles, and space robotics, just to mention
a few. In the case of wheeled vehicles, the kinematics and dynamics can be modeled based on the
assumption that the wheels are ideally rolling. Typical constraints of wheeled vehicles are rolling
contact, like rolling between the wheels and the ground without slipping, or sliding contact such the
sliding of skates.
The solution of nonholonomic optimal control problems can be obtained following a standard
procedure, which consists of applying Pontryagin’s maximum/minimum principle to obtain set of
equations along with initial and terminal conditions resulting into a two-point boundary value problem
(BVP) [3].
In this work we propose the use of the spectral Tau method to obtain approximate solutions of
nonholonomic optimal control problems through the associated BVP.
The spectral Tau method produces a polynomial approximation of the solution of the differential
problem. It is based on solving a system of linear algebraic equations, obtained by imposing that all

Math. Comput. Appl. 2019, 24, 91; doi:10.3390/mca24040091 35 www.mdpi.com/journal/mca

Math. Comput. Appl. 2019, 24, 91

conditions are verified exactly and the residual is orthogonal to the first elements of an orthogonal
polynomial basis [4].
The paper is organized as follows. Section 2 describes the system model of the nonholonomic
wheeled vehicle and Section 3 explains the optimal control formulation. A brief description of the
Tau method is presented in Section 4. An illustrative example with numerical results is provided in
Section 5 and some conclusions are drawn in Section 6.

2. Nonholonomic Wheeled Vehicle Model

Vehicle models are usually described by a set of ordinary differential equations that define
the dynamics of the vehicle and the relationship between the state variables and control input.
The kinematic model of a wheeled vehicle can be defined by the following differential equations

ẋ = f 1 ( x, y, v, θ, φ)
ẏ = f 2 ( x, y, v, θ, φ)
θ̇ = f 3 ( x, y, v, θ, φ),

where ( x, y) ∈ R2 is the robot’s position in space, θ is the angle with respect to the x-axis, φ is the
steering wheel’s angle with respect to the robot’s longitudinal axis, and v is the velocity. (see Figure 1).

φ v

y θ

x
L
Figure 1. Car-like robot model.

A nonholonomic car-like robot is a car model which rolls without slipping between the wheels
and the ground. This constraint is expressed by the equation [5]

ẋ sin(θ ) − ẏ cos(θ ) = 0. (1)

The simplest model corresponds to a robot with a single wheel: the unicycle model. In this model
the wheel rolls on a plane while keeping its body vertical. It is an unrestricted model since it can rotate
freely while standing in its position ( x, y). Furthermore, the dynamics are characterized by
⎧
⎪
⎨ ẋ = vcos(θ )
ẏ = vsin(θ ) (2)
⎪
⎩ θ̇ = φ.

36
Math. Comput. Appl. 2019, 24, 91

The kinematic model of a car-like robot has the same state variables as the unicycle model and its
dynamic is represented by ⎧
⎪
⎨ ẋ = vcos(θ )
ẏ = vsin(θ ) (3)
⎪
⎩ θ̇ = vu,

where u ∈ [− 1r , 1r ] stands for the curvature and r for the turning radius of the robot that corresponds
the maximum curvature [6].

3. Optimal Control Problems

An optimal control problem (OCP) can be formulated as
 t
f
Minimize J (x(t), u(t)) = F (x(t), u(t)) dt + G (x(t f ), t f )
t0

subject to

ẋ(t) = f (x(t), u(t)), t ∈ [ t0 , t f ] (4)

x ( t 0 ) = x0
x( t f ) = x f
x(·) ∈ X
u(·) ∈ U
t f ∈ [ t0 , + ∞ [,

where J is the cost function, x is the state vector representing the dynamics, u is the control vector, x0 is
the initial configuration and x f is the final configuration.
The solution of the OCP can be obtained following a standard procedure, which consists in
applying Pontryagin’s maximum principle and obtaining the necessary optimality conditions along
with the transversality condition resulting into a two-point boundary value problem (BVP).

Pontryagin Maximum Principle

Considering the Hamiltonian function

H (x(t), u(t), λ) = F (x(t), u(t)) + λ f (x(t), u(t)), (5)

where F and f are the functions described above and λ = [λ1 (t), λ2 (t), . . . , λn (t)] is a vector of co-state
variables, and considering that (x, u∗ ) is a controlled trajectory defined over the interval [t0 , t f ] then
(x, u∗ ) is optimal, for all admissible controls u, if the Pontryagin’s maximum principle holds, i.e.,

H (x, u∗ , λ) ≥ H (x, u, λ).

The Pontryagin maximum principle guarantees that if (x, u∗ ) is an optimal pair, a solution of the
problem (4), then the first order necessary conditions

Hx = −λ̇ (6)

together with the stationary conditions

Hu = 0 (7)

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Math. Comput. Appl. 2019, 24, 91

satisfies the Hamiltonian maximization with transversality conditions given by [3]

λ(t f ) = 0 if t f = ∞ or G (.) = 0
or 
∂G  (8)
λ(t f ) = .
∂x t=t f

This reduces the constrained problem (4) to an unconstrained differential equations system (6)–(8).
Usually nonlinear, this system of differential equations can be approximately solved by a numerical
method. The next section is devoted to introducing the Tau method, which will be used to numerically
tackle the problem.

4. Tau Method
The spectral Tau method produces a polynomial approximation, yn ( x ), of the solution, y( x ),
of a given differential problem Dy( x ) = f ( x ), satisfying a set of conditions defined on an interval
] a, b[. Introduced by Lanczos in 1938 [7] to compute approximate solutions of linear differential
problems with polynomial coefficients and right-hand side, the Tau method solves a tuned system of
linear algebraic equations obtained by imposing that the conditions are verified exactly and that the
residual is minimized in a quadrature sense, i.e, is orthogonal to the first elements of an orthogonal
polynomial basis. It can be applied, indifferently, to initial, boundary or mixed value problems
and it can be implemented with any orthogonal basis. We begin by introducing the method for the
original case and then shed some light on how to extend it for the solution of nonlinear problems with
non-polynomial coefficients.

4.1. Preliminaries and Notation

Let P be the space of all algebraic polynomials and let D : P → P be a linear differential operator
of order ν ≥ 1 with polynomial coefficients represented by
ν
dr
D≡ ∑ pr dxr (9)
r =1

and y be the exact solution of the differential problem


Dy( x ) = f ( x ), a<x<b
(10)
g j (y) = σj , j = 1, . . . , ν,

where f ∈ P is a polynomial or a convenient polynomial approximation and g j are ν linear functionals,

acting on C ν [ a, b], representing the (supplementary) conditions.
The main idea of the Tau method is to approximate y by the polynomial yn , solution of the
perturbed problem 
Dyn ( x ) = f ( x ) + τn ( x ), a<x<b
(11)
g j (yn ) = σj , j = 1, . . . , ν,

where τn is a polynomial perturbation close to zero in ] a, b[. Choosing an orthogonal polynomial

basis P = [ P0 , P1 . . .], then the coefficients of yn are determined imposing that τn is orthogonal to
Pi , i = 0, 1, . . . , n − ν.
The original idea of the Tau method [8] is based on the minimax property of Chebyshev
polynomials and on the fact that the solution yn of (11) depends continuously on the residual τn .
Later generalized to more general bases [4], the method looks for a residual τn that minimizes the

38
Math. Comput. Appl. 2019, 24, 91

weighted norm ||.||w associated to the sequence P. Indeed, P is orthogonal with respect to the weight
function w( x ) on [ a, b]
 b
Pi , Pj = w( x ) Pi ( x ) Pj ( x )dx = wi δij ,
a

where wi = Pi , Pi = || Pi ||2w and δij is the Kronecker delta, and (11) is achieved by imposing

τn , Pj = 0, j = 0, 1, . . . , n − ν,

that is, τn = O( Pn−ν ).

Using suitable matrices, see for example [4,9,10], the differential problem (11) is translated
into an algebraic problem. Such matrices must be computed with criteria in order to ensure stable
computations [10].

4.2. Nonlinear Problems

Nonlinear differential problems are solved iteratively by first linearizing the problem and then
applying the Tau method to the linear inner problem.
Let
F (y) = 0, x ∈] a, b[ (12)

be a differential equation, where F is a differential operator that could be nonlinear in y and on

its derivatives.
From ym , an approximation of the exact solution y, we take the first order Taylor polynomial of F
centered in ym to approximate F
ν 
(k) ∂F 
Dm y = F ( y m ) + ∑ ( y(k) − ym )
∂y(k) ym
. (13)
k =0

F can be replaced by Dm in (12) to solve

ν  ν 
∂F  (k) ∂F 
∑ y(k) = − F ( y ) + ∑ m ∂y(k)  .
y (14)
∂y(k) ym
m
k =0 k =0 ym

Applying the Tau method to the linear differential Equation (14), an iterative process is
implemented to get increasingly better approximations for the differential problem

Dm ym+1 = 0, m = 0, 1, . . . (15)

For additional details on the use of the Tau method for nonlinear problems the reader is invited to
read [11].

5. Numerical Experiments
The proposed example is based on the work of [12] and it will be tackled by the Tau method,
described in Section 4.
The problem at hand is an optimal control problem of the form (4) with F = 12 (u21 + u22 ) and
G = 12 xT (t f ) Qx(t f ) where x is the vector of state variables and Q is the weighting matrix.

5.1. System Model

Consider an automated vehicle that moves on a horizontal plane, the contact of each wheel with
the floor is assumed to satisfy the rolling without slipping condition and the control inputs are the
torque generated by two motors mounted on the wheels. For a fixed final time, it is desired to find the
control inputs that minimizes the energy of the final state. This system can be modeled by

39
Math. Comput. Appl. 2019, 24, 91

 t
f 1 1
J = min (u21 + u22 )dt + xT (t f ) Qx(t f ) (16)
t0 2 2
subject to

cos(θ )
m ẍ = (μ1 + μ2 ) − λ sin(θ ) (17)
R
sin(θ )
mÿ = (μ1 + μ2 ) + λ cos(θ ) (18)
R
L
I θ̈ = (μ1 − μ2 ) (19)
R
with nonholonomic constraint
ẋ sin(θ ) − ẏ cos(θ ) = 0,

where the position coordinates ( x, y), and the heading angle θ, define the system configuration.
The mass m, the inertia I, the wheels’ radius R, the half-length of the axis L, are parameters of the
system and μ1 and μ2 are torques generated by the motors.
Defining the control inputs u = [u1 u2 ] T as

1 L
u1 = ( μ + μ2 ), u2 = ( μ − μ2 )
mR 1 IR 1
and the state variables x = [ x1 x2 x3 x4 x5 ] T as

x1 = x cos(θ ) + y sin(θ )
x2 = θ
x3 = − x sin(θ ) + y cos(θ )
x4 = ẋ cos(θ ) + ẏ sin(θ ) − θ̇ ( x sin(θ ) − y cos(θ ))
x5 = θ̇.

Equations (17)–(19) can be reduced to the following system of differential equations:

⎧
⎪
⎪ ẋ1 = x4
⎪
⎪
⎪
⎪
⎨ ẋ2 = x5
⎪
ẋ3 = − x1 x5
⎪
⎪
⎪
⎪ ẋ4 = − x1 x52 + u1 + u2 x3
⎪
⎪
⎪
⎩
ẋ5 = u2 .
Applying the Hamiltonian H, defined in (5),

1 2
H (x, u, λ) = (u + u22 ) + λẋ
2 1

40
Math. Comput. Appl. 2019, 24, 91

with λ = [λ1 λ2 λ3 λ4 λ5 ], and calculating the necessary conditions (6), the stationary conditions
(7) and the transversality conditions (8), the following second order system of differential equations
is obtained:
⎧
⎪
⎪ x1 ẋ2 + ẋ3 =0
⎪
⎪
⎪
⎪
⎪
⎪ ẍ 1 − ẋ ẋ
2 3 − ẍ x
2 3 + λ 4 =0
⎪
⎪
⎨ ẍ + x λ + λ =0
2 3 4 5
⎪
⎪ − ẋ λ − ẋ 2 λ + λ̈ =0
⎪
⎪ 2 3 2 4 4
⎪
⎪
⎪
⎪ ẍ λ + λ̇ =0
⎪
⎪
2 4 3
⎩− x λ + 2ẋ λ + λ + λ̇ = 0
1 3 3 4 2 5

for ẋ1 = x4 , ẋ2 = x5 , λ̇4 = −λ1 and λ̇2 = 0, with initial and transversality conditions given by
⎧
⎪
⎪ xi (t0 ) = xi0 , i ∈ {1, 2, 3}
⎪
⎪
⎪
⎨ ẋ1 (t0 ) = x40
ẋ2 (t0 ) = x50 (20)
⎪
⎪
⎪ λi ( t f ) = λi f ,
⎪ i ∈ {3, 4, 5}
⎪
⎩
λ̇4 (t f ) = −λ1 f .

Since this is a nonlinear differential system, in order to implement the Tau method, differential
equations need to be linearized. Expressions of the form uv and uv2 will be replaced, respectively, by

uv ≈ vm u + um v − um vm
uv2 ≈ v2m u + 2um vm v − 2um v2m .

Thus, the differential system becomes

⎧
⎪
⎪ ẋ2,m x1 + x1,m ẋ2 + ẋ3
⎪
⎪
= x1,m ẋ2,m
⎪
⎪
⎪
⎪ ẍ1 − ẋ3,m ẋ2 − x3,m ẍ2 − ẍ2,m x3 − ẋ2,m ẋ3 + λ4 = − ẋ2,m ẋ3,m − ẍ2,m x3,m
⎪
⎪
⎨ ẍ + λ x + x λ + λ = x3,m λ4,m
2 4,m 3 3,m 4 5
(21)
⎪
⎪ (λ3,m + 2ẋ2,m λ4,m ) ẋ2 + ẋ2,m λ3 + ẋ2,m
2 λ + λ̈ = ẋ2,m λ3,m + 2ẋ2,m
2 λ
⎪
⎪ 4 4 4,m
⎪
⎪
⎪λ4,m ẍ2 + λ̇3 + ẍ2,m λ4
⎪ = ẍ2,m λ4,m
⎪
⎪
⎩ λ3,m x1 − 2λ4,m ẋ3 + x1,m λ3 − 2ẋ3,m λ4 − λ̇5 = x1,m λ3,m − 2ẋ3,m λ4,m + λ2,0

where xi,m , i = 1, 2, 3 and λi,m , i = 3, 4, 5 are approximations to x1 , x2 , x3 and λ3 , λ4 , λ5 .

The matrix representation of the differential problem (21), together with the conditions (20), is of
the form Ta = b, where    
C s
T= and b =
D f

with ⎡ ⎤
P( t0 ) 0 0 0 0 0
⎢ 0 P( t0 ) 0 0 0 0 ⎥
⎢ ⎥
⎢ ⎥
⎢ 0 0 P( t0 ) 0 0 0 ⎥
⎢ ⎥
⎢ P’(t0 ) 0 0 0 0 0 ⎥
⎢ ⎥
C=⎢
⎢ 0 P’(t0 ) 0 0 0 0 ⎥
⎥
⎢ P( t f ) ⎥
⎢ 0 0 0 0 0 ⎥
⎢ ⎥
⎢ 0 0 0 0 P( t f ) 0 ⎥
⎢ ⎥
⎣ 0 0 0 0 0 P( t f ) ⎦
0 0 0 0 P’(t f ) 0

41
Math. Comput. Appl. 2019, 24, 91

where P(ti ) = [ P0 (ti ), P1 (ti ), . . .] represents the action of boundary conditions (20) over the polynomial
base elements and P’(ti ) its derivatives. Matrix D represents the differential operator
⎡ ⎤
ẋ2,m ( M ) x1,m ( M) N N 0 0 0
⎢ N2 A2,2 A2,3 0 I 0 ⎥
⎢ ⎥
⎢ N2 λ4,m ( M) x3,m ( M ) ⎥
⎢ 0 0 I ⎥
D=⎢ ⎥.
⎢ 0 A4,2 0 − ẋ2,m ( M) A4,5 0 ⎥
⎢ ⎥
⎣ 0 λ4,m ( M ) N 2 0 N ẍ2,m ( M ) 0 ⎦
λ3,m ( M) 0 −2λ4,m ( M) N x1,m ( M) −2ẋ3,m ( M) N

Finally,
s = [ x10 , x20 , x30 , x40 , x50 , λ3 f , λ4 f , λ5 f , −λ1 f ]
⎡ ⎤
x1,m ẋ2,m
⎢ − ẋ2,m ẋ3,m − ẍ2,m x3,m ⎥
⎢ ⎥
⎢ ⎥
f =⎢ x3,m λ4,m ⎥,
⎢ ⎥
⎣ ẋ2,m λ3,m + 2ẋ2,m λ4,m
2 ⎦
x1,m λ3,m − 2ẋ3,m λ4,m + λ20
where ⎧
⎪
⎪ A2,2 = − ẋ3,m ( M) N − x3,m ( M) N 2
⎪
⎪
⎪
⎨ A = − ẍ ( M) − ẋ ( M ) N
2,3 2,m 2,m
⎪
⎪ A = ( λ ( M ) + 2 ẋ 2,m λ4,m ( M )) N
⎪
⎪ 4,2 3,m
⎪
⎩ A4,5 = − ẋ2,m
2 ( M) + N 2

and M and N are matrices described in [4] representing, respectively, the multiplication and the
differentiation operator.

5.2. Numerical Results

In this section we report the numerical results for the example described in Section 5.1 with initial
positions ( x, y) = (10, 3) and heading angle 0◦ . The time interval is [t0 , f f ] = [0, 5] and the system
parameters used in the simulation are m = 10 kg, I = 1.2 kg·m2 , R = 0.05 m and L = 0.1 m. The
weighting matrix is Q = 10I, where I stands for the identity matrix.
The simulation results were obtained using the Tau Toolbox with Chebyshev polynomials.
The state trajectories x1 , x2 and x3 and the optimal trajectory for the position ( x, y) are illustrated
in Figures 2 and 3. The trajectories were obtained with 5th order Chebyshev polynomials.

Figure 2. State trajectories x1 , x2 and x3 .

42
Math. Comput. Appl. 2019, 24, 91

Figure 3. State trajectories x1 , x2 and x3 .

These approximate solutions only required m = 8 iterations to satisfy the stopping criterion
|| xim − xim−1 || ≤ 10−14 . For larger degree polynomials (10 and 15) machine precision can be achieved.
The residual produced by the Tau method in the iteration m is rm = Dym , where ym is the
approximating solution of the system of homogeneous differential equations Dy = 0. Figure 4 plots
the residual r1,m , r2,m and r1,m produced by the Tau method for the state variables x1 , x2 and x3 ,
respectively.

Figure 4. Residual, r9 = Dy9 , produced by the Tau method for the state variables x1 , x2 and x3 .

Table 1 presents the values for the functional J defined in (16) using polynomials of degree
 5
1 2
n = 5, 10 and 15. Since u1 = −λ4 and u2 = ẋ5 , the integral (u1 + u22 )dt and x(5) T Qx(5) can be
0 2
calculated using the the approximate solutions for the state variables xi , i = 1, . . . , 5 and the co-state
variable λ4 .
As the polynomial multiplication and differentiation, the integration can be set into algebraic
operation as well, using a suitable matrix [4].

Table 1. J values for several polynomial degree approximations.

Polynomial Degree Functional Value

5 5.0990
10 5.0878
15 5.0880

43
Math. Comput. Appl. 2019, 24, 91

6. Conclusions
The Lanczos spectral Tau method was used to compute approximate polynomial solutions for
nonholonomic systems. A detailed illustration on the approximation procedure is offered. The Tau
toolbox provides the appropriate environment to solve systems of ordinary differential problems
while allowing for accurate solutions, whenever the sought solution is regular. Numerical results for
this dynamical optimization problem confirm both aspects: ease of use and accuracy of approximation.

Author Contributions: A.G. and J.M.A.M. conceived and designed the experiments; J.M.A.M. and P.B.V.
performed the experiments; A.G. and J.M.A.M. analyzed the data; A.G. and P.B.V. wrote the paper.
Conflicts of Interest: The authors declare no conflict of interest.

References
1. Fontes, F.A.C.C. Discontinuous feedbacks, discontinuous optimal controls, and continuous-time model
predictive control. Int. J. Robust Nonlinear Control IFAC Affil. J. 2003, 13, 191–209. [CrossRef]
2. Kolmanovsky, I.; McClamroch, N.H. Developments in nonholonomic control problems. IEEE Control
Syst. Mag. 1995, 15, 20–36.
3. Athans, M.; Falb, P.L. Optimal Control: An Introduction to the Theory and Its Applications; Courier Corporation:
North Chelmsford, MA, USA, 2007.
4. Ortiz, E.L.; Samara, H.J. An operational approach to the Tau method for the numerical solution of
non-linear differential equations. Computing 1981, 27, 15–25. [CrossRef]
5. Angeles, J.; Kecskemethy, A. Kinematics and Dynamics of Multi-Body Systems; Springer: Berlin, Germany, 2014.
6. De Luca, A.; Oriolo, G.; Samson, C. Feedback control of a nonholonomic car-like robot. In Robot Motion
Planning and Control; Springer: Berlin, Germany, 1998; pp. 171–253.
7. Coleman, J. The Lanczos tau-method. IMA J. Appl. Math. 1976, 17, 85–97. [CrossRef]
8. Lanczos, C. Trigonometric interpolation of empirical and analytical functions. J. Math. Phys. 1938,
17, 123–199. [CrossRef]
9. Trindade, M.; Matos, J.; Vasconcelos, P.B. Towards a Lanczos’Tau-method toolkit for differential problems.
Math. Comput. Sci. 2016, 10, 313–329. [CrossRef]
10. Vasconcelos, P.; Matos, J.; Trindade, M. Spectral Lanczos’ Tau Method for Systems of Nonlinear
Integro-Differential Equations. In Integral Methods in Science and Engineering; Constanda, C., Dalla Riva, M.,
Lamberti, P., Musolino, P., Eds.; Birkhäuser: Cham, Switzerland, 2017; Volume 1, pp. 305–314.
11. Gavina, A.; Matos, J.; Vasconcelos, P.B. Improving the Accuracy of Chebyshev Tau Method for Nonlinear
Differential Problems. Math. Comput. Sci. 2016, 10, 279–289. [CrossRef]
12. Yih, C.C.; Ro, P.I. Near-optimal motion planning for nonholonomic systems using multi-point shooting
method. In Proceedings of the IEEE International Conference on Robotics and Automation, Minneapolis,
MN, USA, 22–28 April 1996; Volume 4, pp. 2943–2948.

c 2019 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access
article distributed under the terms and conditions of the Creative Commons Attribution
(CC BY) license (http://creativecommons.org/licenses/by/4.0/).

44
 Mathematical
and Computational
Applications

Article
Almost Exact Computation of Eigenvalues in
Approximate Differential Problems
José M. A. Matos 1,2, * and Maria João Rodrigues 2,3
1 Instituto Superior de Engenharia do Porto, Rua Dr. António Bernardino de Almeida, 431,
4249-015 Porto, Portugal
2 Centro de Matemática da Universidade do Porto, Rua do Campo Alegre, 687, 4169-007 Porto, Portugal;
[email protected]
3 Faculdade de Ciências da Universidade do Porto, Rua do Campo Alegre, s/n, 4169-007 Porto, Portugal
* Correspondence: [email protected]

Received: 29 September 2019; Accepted: 13 November 2019; Published: 14 November 2019

Abstract: Differential eigenvalue problems arise in many fields of Mathematics and Physics,
often arriving, as auxiliary problems, when solving partial differential equations. In this work,
we present a method for eigenvalues computation following the Tau method philosophy and using
Tau Toolbox tools. This Matlab toolbox was recently presented and here we explore its potential
use and suitability for this problem. The first step is to translate the eigenvalue differential problem
into an algebraic approximated eigenvalues problem. In a second step, making use of symbolic
computations, we arrive at the exact polynomial expression of the determinant of the algebraic
problem matrix, allowing us to get high accuracy approximations of differential eigenvalues.

Keywords: eigenvalue differential problems; spectral methods; Sturm–Liouville problems

MSC: 34B09; 34L15; 65L15

1. Introduction
Finding eigenfunctions of differential problems can be a hard task, at least for some classical
problems. Among others, we can find literature in Sturm–Liouville problems, in Mathieu problems
or in Orr–Sommerfeld problems describing the difficulties involved in the resolution of those
problems [1–8]. The first difficulty consists of finding accurate numerical approximations for the
respective eigenvalues.
In this work, we present a procedure based on the Ortiz and Samara’s operational approach to
the Tau method described in [9], where the differential problem is translated into an algebraic problem.
This is achieved using the called operational matrices that represent the action of differential operators
in a function. We have deduced explicit formulae for the elements of these matrices [10,11] obtained by
performing operations on the bases of orthogonal polynomials and, for some families, we have exact
formulae, which enables the construction of very accurate operational matrices. The Tau method has
already been used for these kinds of problems [5,9,12,13]; however, our work on matrix calculation
formulas adds efficiency and precision to the method.
Our main purpose is to use the Tau Toolbox, a Matlab numerical library that is being developed
by our research group [14–16]. This library allows a stable implementation of the Tau method for
the construction of accurate approximate solutions for integro-differential problems. In particular,
the construction of the operational matrices is done automatically. These facts led us to think that the
Tau Toolbox seems to be useful for these kinds of problems.
Finally, operating with symbolic variables, we define the determinant of those matrices as
polynomials and use its roots as eigenvalues’ approximations.

Math. Comput. Appl. 2019, 24, 96; doi:10.3390/mca24040096 45 www.mdpi.com/journal/mca

Math. Comput. Appl. 2019, 24, 96

We present some examples showing that, using this technique in the Tau Toolbox, we are able to
obtain results comparable with those reported in the literature and sometimes even better.

2. The Tau Method

Let D : E → F be an order ν differential operator, where E and F are some function spaces, and
let gi : E → R, i = 1, . . . , ν be ν functionals representing boundary conditions, so that

Dy = f , f ∈ F,
(1)
gi (y) = φi , i = 1, . . . , ν
is a well posed differential problem.

2.1. The Tau Method Principle

A particular implementation of the Tau method depends on the choice of an orthogonal basis for
F. A sequence of orthogonal polynomials { Pn ( x )}∞
n=0 with respect to the weight function w ( x ) on a
given interval of orthogonality [ a, b] satisfies
 b
Pi , Pj = w( x ) Pi ( x ) Pj ( x )dx = wi δij ,
a

where wi = Pi , Pi and δij is the Kronecker delta [17].

Let P be the space of algebraic polynomials of any degree and let us suppose that P is dense in F;
then, the solution y of (1) has a series representation y ∼ ∑ j≥1 a j Pj−1 . A polynomial approximation of
degree n − 1 ∈ N is achieved by
n
yn = ∑ an,j Pj−1 = Pn an , (2)
j =1

where Pn = [ P0 , P1 , . . . , Pn−1 ] and an = [ an,1 , . . . , an,n ] T .

In the Tau method sense, yn is a polynomial satisfying the boundary conditions in (1) and solving
the differential equation with a residual τn = D yn − f of maximal order. Thus, the differential problem
is reduced to an algebraic one of finding the n coefficients an,j , j = 1, . . . , n in (2) such that

gi (yn ) = φi , i = 1, . . . , ν,
(3)
Pi−1 , D yn − f = 0, i = 1, . . . , n − ν,

and so the residual τn = O( Pn−ν ).

2.2. Operational Formulation

For a given n ∈ N, n > ν, we define the matrix
⎧
  ⎪
Bν × n ⎨ gi ( Pj−1 ), i = 1, . . . , ν
Tn = = (ti,j )i,j
n
=1 : ti,j = Pi−ν−1 , D Pj−1 (4)
D(n−ν)×n ⎪
⎩ , i = ν + 1, . . . , n
wi − ν −1

and the vector

⎧
  ⎪
gν ⎨φi , i = 1, . . . , ν
bn = = (bi )in=1 : bi = Pi−ν−1 , f
fn − ν ⎪
⎩ , i = ν + 1, . . . , n.
wi − ν −1

46
Math. Comput. Appl. 2019, 24, 96

If, in problem (1), the differential operator D is linear and the g j are ν linear functionals, then problem (3)
can be put in matrix form as
Tn an = bn .

The matrix Tn , called the Tau matrix, can be evaluated from operational matrices, that is, matrices
translating into coefficients vectors the action of a differential operator D in a function y.

Proposition 1. Let P = [ P0 , P1 , . . .] be an orthogonal polynomial basis, y = P a and M, N infinite matrices

such that
d
x P = P M and P = P N.
dx
Then, for each k ∈ N0 ,
dk
x k y = P Mk a and y = P Nk a. (5)
dx k
Proof. For k = 1, the result is true by hypothesis. Now, supposing that (5) is true for a k ∈ N, then

x k +1 y = x ( x k y ) = ( x P )Mk a = P Mk +1 a

and
d k +1 d dk d
k + 1
y= ( y) = ( P )Nk a = P Nk+1 a,
dx dx dx k dx
ending the proof by induction.

The following result generalizes the algebraic representation from the previous proposition to
differential operators.

Corollary 1. Let D : Pn → Pn+h be a linear differential operator with polynomial coefficients

ν
di
D= ∑ pi dxi , p i ∈ Pn i (6)
i =0

and let h = maxi=0,...,ν {ni − i }.

If yn = Pn an , then D yn = Pn+h D(n+h)×n an with

ν
D(n+h)×n = ∑ pi (M)Ni(n−i)×n ,
i =0

ni ni
where pi (M) = ∑ pik Mk(n+h)×(n−i) when pi = ∑ pik xk , and Akm×n denotes the main m × n block of the
k =0 k =0
matrix (A p )k with p = max{m, n}.

In [9], the authors discussed the application of this operational formulation of the Tau method to
the numerical approximation of eigenvalues defined by differential equations. They proved that, for a
differential eigenvalue problem, where in (1)

t
D= ∑ λr Dr
r =0

and λ is a parameter, the zeros of det(Tn (λ)) approach the eigenvalues of (1).

47
Math. Comput. Appl. 2019, 24, 96

2.3. Tau Matrices’ Properties

Given that we are dealing with a general orthogonal polynomial basis, instead of particular cases
like Chebyshev or Legendre, we can only make assumptions about general properties of Tau matrices
Tn . Anyway, we can’t expect to have symmetric matrices and, in general, they can be considered sparse
but with a low level of sparsity.
Since P in Proposition 1 is an orthogonal basis, then M is the tridiagonal matrix with the
coefficients of its three term recurrence relation. Therefore, for problems with polynomial coefficients,
matrices pi (M) of Corollary 1 are banded matrices, with all non-zero elements between the
±ni diagonals.
Matrices N are always strictly upper triangular and so pi ( M ) N i are ni − i upper Hessenberg
matrices. The resulting D(n−ν)×n block of Tn defined in (4) is a general h upper Hessenberg matrix.
Moreover, one advantage of the Tau method is its ability to deal with boundary conditions,
allowing the treatment of any linear combination of values of y and of its derivatives for gi in (1). Thus,
the ν × n block Bν×n in Tn is usually dense, with its entries gi ( Pj ), made by linear combinations of
(l )
orthogonal polynomial values Pj ( xk ) and of its derivatives Pj ( xk ), in prescribed abscissas xk .
Assembling those blocks Bν×n and D(n−ν)×n in Tn , we get an ν + h upper Hessenberg matrix.
For some problems, whose dependence on the eigenvalues λ is verified only in the differential
equation, we can use Schur complements to reduce matrix sizes. Considering matrix Tn in (4)
partitioned as  
B1 B2
Tn =
D 1 D2 ,

where B1 is ν × ν and the other blocks are partitioned accordingly. If B1 is non-singular, then

det(Tn ) = det(B1 ) det(D2 − D1 B1−1 B2 )

and the problem is reduced to solve

det(Cn ) = 0, Cn = D2 − D1 B1−1 B2 , (7)

reducing to n − ν the problem dimension. In the worst case, when B1 is singular, we have to work
with the n × n matrix Tn .
In the following sections, we illustrate the application of the Tau method to approximate
eigenvalues in some classical problems.

3. Problems with Polynomial Coefficients

Sturm–Liouville problems arise from vibration problems in continuum mechanics. The general
form of a fourth order Sturm–Liouville equation is

( p( x )y ( x )) − (q( x )y ( x )) + r ( x )y( x ) = λμ( x )y( x ), a < x < b (8)

with appropriate initial and boundary conditions, where a < b ∈ R, p, q, r, and μ are given piecewise
continuous functions, with p( x ) > 0 and μ( x ) > 0. These conditions mean that (8) has an infinite
sequence of real eigenvalues, bounded from above, and each one has multiplicity of at most 2 [1].
If p and q are differentiable functions, it is an elementary task to give (8) the form

p( x )y(4) ( x ) + 2p ( x )y ( x ) + ( p ( x ) − q( x ))y ( x ) − q ( x )y ( x ) + (r ( x ) − λμ( x ))y( x ) = 0.

From this equation, we derive the operational matrix for the general form of the fourth order
Sturm–Liouville differential operator associated with (8)

48
Math. Comput. Appl. 2019, 24, 96

D = p(M)N4 + 2p (M)N3 + ( p (M) − q(M))N2 − q (M)N + r (M) − λμ(M). (9)

Assuming that coefficients p, q, r, and μ are polynomials, or convenient polynomial

approximations of the coefficient functions, then the height of this differential operator is well
defined as
h = max{deg( p) − 4, deg(q) − 2, deg(r ), deg(μ)},

where deg(.) is the polynomial degree. One consequence of Corollary 1 is that to evaluate the block
D(n−ν)×n in (4) we have to apply (9) with M and N truncated to its first n + h lines and columns.
The Tau matrix of a fourth order Sturm–Liouville problem is the n × n matrix Tn =
[B4×n ; D(n−4)×n ], where B4×n is the 4 × n matrix representing boundary conditions and D(n−4)×n
is the first (n − 4) × n main block of D.

Example 1. Consider the Sturm–Liouville boundary value problem


y(4) ( x ) = λy( x ), 0 < x < 1,
(10)
y (0) = y (1) = y  (0) = y (1) = 0,

whose exact eigenvalues satisfy [1,2]

√
4
√
4
tanh( λ) − tan( λ) = 0. (11)

In that case D = N4 − λI, where I is the identity matrix, and the boundary conditions can be
represented by Bn = [v0 ; v1 ; v0 N; v1 N2 ], where v0 = [1, −1, · · · , (−1)n−1 ] and v1 = [1, 1, · · · , 1] are
length n line vectors with the polynomial base values in the boundary domain.
For each n > 4, Cn in (7) is an n − 4 square matrix and its determinant an n − 4 degree polynomial.
We use the Matlab function roots to find its zeros and we inspect their accuracy by testing if they satisfy
relation (11).
 
In Figure 1, we present | tanh( 4 λn,k ) − tan( 4 λn,k )| for k = 1, . . . , 10 the first 10 eigenvalues
approximations obtained with n = 21, 28, 35 and n = 42, with Chebyshev and Legendre bases shifted
to [0, 1].

&KHE\VKHYEDVLV /HJHQGUHEDVLV

 Q   Q 
 

í í
 

í í
 
Q  Q 
| tanh( 4 λk ) − tan( 4 λk)|

| tanh( 4 λk ) − tan( 4 λk)|

í í
 
√

í í
 
√

Q 
Q 
í
Q  í
 
Q 

í í
 

í í
 

í í
 
         
N N

 
Figure 1. | tanh( 4 λn,k ) − tan( 4 λn,k )|, k = 1, 2, . . . , 10, λn,k being the roots of det(Tn ) in Example 1.

49
Math. Comput. Appl. 2019, 24, 96

Example 2. A very similar problem, presented as the clamped rod problem in [12,18], is

y(4) ( x ) = λy( x ), −1 < x < 1,
(12)
y(±1) = y (±1) = 0.

In that case, and whenever we have a symmetric problem and a symmetric base, the matrix Cn
in (7) has zeros intercalating all non-zero elements. We can reduce the problem dimension, defining
two matrices CO and CE with respectively the odd and the even entries of Cn , then det(Cn ) =
det(CO ) det(CE ). In that case, since Cn is an 4-upper Hessenberg matrix, CO and CE are 2-upper
Hessenberg matrices. The sparsity pattern of those two matrices, in Legendre basis and with n = 52,
are showed in Figure 2.
&2 &(
 

 

 

 

 

 

           
Q]  Q] 

Figure 2. Sparsity pattern of CO and CE with n = 48 in Legendre base, for Example 2.

The first 14 eigenvalues, evaluated with an 16 × 16 matrix, are presented in [12]. In Table 1,
we compare those values with our results in the Legendre basis and with n = 16 and n = 52. We
present values of λ52,k /k4 , which allows us to verify that our estimates satisfy the property that the kth
eigenvalue is proportional to k4 [18].

Table 1. Eigenvalues of Example 2 presented in [12] and λn,k with n = 20 and n = 52 in Legendre basis.

k λk [12] λ16,k λ52,k λ52,k /k4

1 3.12852439×101 3.128524385877707×101 3.128524385877221×101 31
2 2.377210675×102 2.377210675311160×102 2.377210675311198×102 15
3 9.136018866×102 9.136018831954221×102 9.136018831951466×102 11
4 2.4964874758×103 2.496487437857343×103 2.496487437856835×103 9.8
5 5.5710074688×103 5.570962978086419×103 5.570962978573987×103 8.9
6 1.08631975968×104 1.086758221396396×104 1.086758221697812×104 8.4
7 1.93928004466×104 1.926303581823010×104 1.926302825661405×104 8.0
8 3.05369477203×104 3.178016789424974×104 3.178009645408997×104 7.8
9 6.03075735206×104 4.960468438481630×104 4.958769590877672×104 7.6
10 7.11035649235×104 7.407231618213559×104 7.400084934912209×104 7.4
11 3.597677558196×105 1.091110089932048×105 1.064806931408837×105 7.3
12 3.856105241227×105 1.548144789089380×105 1.486344772858071×105 7.2
13 1.62401642422808×107 2.619042084314734×105 2.022155654215451×105 7.1
14 1.71337968904269×107 3.728032882888538×105 2.691234348268295×105 7.0

Example 3. Consider the following Sturm–Liouville problem with non-null q and r coefficients

y(4) ( x ) − (αx2 y ( x )) + ( βx4 − α)y( x ) = λy( x ), 0 < x < 5,
(13)
y (0) = y (0) = y (5) = y (5) = 0,

with constants α, β ∈ R.

50
Math. Comput. Appl. 2019, 24, 96

The operational matrix (9) for this case is

D = N4 − αM2 N2 − 2αMN + βM4 − (α + λ) I

and Bn = [v0 ; v0 N2 ; v1 ; v1 N2 ], with the same v0 and v1 vectors of the previous example.
λn,k −λn−1,k
If λn,k is the kth root of det(Tn ), and considering δ̃n,k = λn,k as an estimative of the relative
error in λn−1,k , then δn = maxk=1,...,m |δ̃n,k | is an estimative of the maximum relative error in the first m
eigenvalues of the problem. In Figure 3 left, we present δn , with m = 6 and with m = 8 for Example 3
with α = 0.02 and β = 0.0001 for n = 16, . . . , 45. In Figure 3 right, the absolute relative error |δ̃n,1 | in
the lowest eigenvalue is presented for the same n values.

δ n = maxk=1,...,m | λn,k λ−λ

n,k
n−1,k
| δ n,1 = | λn,1 −λ
λn,1
n−1,1
|
 í
 

í

í
í 


í

í
δn,1


δn

í


í
 í

P 
í


í P  í
 
     
Q Q

Figure 3. δn = maxk=1,...,m δ̃n,k , m = 6 and m = 8, (left) and δn,1 (right), in Example 3.

In Table 2, we compare our results with those of [2] for the first six eigenvalues, and of [8] for the
first 4, obtained with values α = 0.02 and β = 0.0001.

Table 2. Eigenvalues of Example 3 presented in [8] and [2] and λn,k with n = 35.

k λk [8] λk [2] λn,k

1 0.21505086437 0.21505086436971492 0.2150508643697136
2 2.75480993468 2.754809934682884 2.754809934683077
3 13.2153515406 13.215351540558812 13.21535154055782
4 40.9508193487 40.95081975913755 40.95081975916199
5 99.05347813813880 99.05347806349896
6 204.35449348957833 204.3557322681771

Example 4. Now, we consider the Orr–Sommerfeld problem


y(4) ( x ) − 2α2 y + α4 y = iαR[(U − λ)(y − α2 y) − U  y], −1 < x < 1,
(14)
y(±1) = y (±1) = 0,

with fixed constants α, R and function U.

The particular case U = 1 − x2 is the Poiseuille flow and, with α = 1 and R = 10000 was treated
in [3–5,12]. The operational matrix in that case is

D = N4 − [(2α2 + (1 − λ)iαR) I − iαRM2 ]N2 + (α4 + (1 − λ)iα3 R − 2iαR) I − iα3 RM2 .

51
Math. Comput. Appl. 2019, 24, 96

Like in Example 2, this is an upper Hessenberg matrix with zeros intercalating its non-zero elements
and we can reduce the problem dimension, splitting in two matrices the Schur complement Cn of the
resulting Tau matrix Tn . Choosing Chebyshev basis, this is the operational version of the Tau procedure
of [5], where the author was confined to eigenvalues associated with symmetric eigenfunctions, which
is equivalent to finding the eigenvalues of CE .
In [5], the author obtained for λ1 = 0.23752649 + 0.00373967i as an 8 decimal places exact value
for the most unstable mode of this problem. Working with double-precision arithmetic, we obtain
λ1 = 0.2375264889204038 + 0.003739670740170985i. This value results with n = 58 that is an 29 × 29
matrix CE , the same dimension used in [5].
In addition, with Rc = 5772.22, the smallest value of R for which an unstable eigenmode exists [5],
and αc = 1.02056, we get the results presented in Table 3, together with those of [5].

Table 3. Values of λ1 of Example 4 with critical values Rc = 5772.22 and α = 1.02056.

n λ1
50 0.2640017404987603 − 3.099641201518763i × 10−9
60 0.2640017396216782 − 3.035288544655118i × 10−9
80 0.2640017390806805 − 2.028898296212456i × 10−9
n λ1 [5]
44 0.26400174 − 1.7i × 10−9
50 0.26400174 + 5.9i × 10−10

4. Non-Polynomial Coefficients
In the previous section, we solved problems in the conditions of Corollary 1, i.e., with differential
operators acting in polynomial spaces. In a more general situation, if some of the coefficients pi in (6)
are non-polynomial functions, then the corresponding matrices pi (M) are functions of M instead of
polynomial expressions.
If a non-polynomial function pi in (6) can be defined implicitly by a differential problem, with
polynomial coefficients, then we can first of all use the Tau method to find a polynomial approximation
p̃i to pi and use p̃i (M) to approximate the matrix pi (M).

Example 5. Mathieu’s equation appears related to wave equations in elliptic cylinders [19]. For an arbitrary
parameter q, the problem is to find the values of λ for which non-trivial solutions of

y ( x ) + (λ − 2q cos(2x ))y( x ) = 0 (15)

exist with prescribed boundary conditions.

It can be shown that there exists a countably infinite set of eigenvalues ar associated with even
periodic eigenfunctions and a countably infinite set of eigenvalues br associated with odd periodic
eigenfunctions [19]. We are interested in reproducing some of those values given in there.
The operational matrix for problem (15) is

D = N2 + λI − 2q cos(2M).

Our first step to approximate Mathieu’s eigenvalues is to approximate matrix cos(2M). This can
be done by, firstly, considering the function z( x ) = cos(2x ) as the solution of a differential problem,
using Tau method to get a polynomial approximation zn ( x ) ≈ z( x ). In a second step, the operational
matrix D is approximated by
D̃ = N2 + λI − 2qzn (M)

52
Math. Comput. Appl. 2019, 24, 96

and, finally, the last step consists in building the Tau matrix Tn and evaluating the zeros of its
determinant.
We take integer values q = 0, 1, . . . , 16 and boundary conditions y (−1) = y (π/2) = 0 to get
ar (q) for even r, y (−1) = y(π/2) = 0 for odd r, and y(−1) = y(π/2) = 0 to get br (q) for odd r and
y(−1) = y (π/2) = 0 for even r.
In Figure 4, we show Mathieu eigenvalues ar (q), r = 0, . . . , 5 and br (q), r = 1, . . . , 6. Values were
obtained with a 18th degree polynomial approximation z18 ≈ cos(2x ) and a 36 × 36 Tau matrix T36 in
Chebyshev polynomials.
We can observe, as pointed out in [19], that, for a fixed q > 0, we have a0 < b1 < a1 < b2 < · · ·
and that ar (q), br (q) approach r2 as q approaches zero.

ar (q), br (q), q = 0, 1, . . . , 16


E


D
E

D


E D

 E
D

E
D
E

D

í

í

í
        
T
Figure 4. Mathieu eigenvalues ar (q), r = 0, . . . , 5 and br (q), r = 1, . . . , 6, for q = 0, . . . , 16 in Example 5.

Example 6. Mathieu’s equation also appears coupled with a modified Mathieu’s equation in systems of
differential equations as multi parameter eigenvalues problems. The particular case
⎧
⎪
⎪ y1 ( x1 ) + (λ − 2q cos(2x1 ))y1 ( x1 ) = 0, 0 < x1 < π
⎪
⎪ 2,
⎪
⎨y (0) = y ( π ) = 0,
1 1 2
(16)
⎪
⎪ y2 ( x2 ) − (λ − 2q cosh(2x2 ))y2 ( x2 ) = 0, 0 < x2 < 2,
⎪
⎪
⎪
⎩ y  (0) = y (2) = 0
2 2

is studied in [6,7] associated with the eigenfrequencies of an elliptic membrane with semi axes α = cosh(2) and
β = sinh(2).

53
Math. Comput. Appl. 2019, 24, 96

To approximate eigenvalues for this problem, we first have to approximate cos(2x ) and cosh(2x )
by polynomials. Considering, as in the previous example, z16 ≈ cos(2x ) the 16th degree Tau solution of

z ( x ) + 4z( x ) = 0, 0 < x < π
2,
(17)
z(0) = 1, z( π2 ) = −1,

and w16 ≈ cosh(2x ) as the same degree Tau solution of


w ( x ) − 4w( x ) = 0, 0 < x < 2,
(18)
w(0) = 1, w (0) = 0,

then
D̃1 = N2 + λI − 2qz16 (M)

and
D̃2 = N2 − λI + 2qw16 (M)

are matrices approximating the operational matrices associated with differential equations (16).
For each fixed q, we define matrices Tau T1 and T2 , representing Mathieu and modified Mathieu
equations, respectively. Defining an (q) the nth eigenvalue of T1 , in ascending order, and Am (q) the
mth eigenvalue of T2 , in descending order, in [6], it was proved that an (q) and Am (q) are analytical
functions of q. Moreover, for each pair (m, n), it was proved the existence and uniqueness of an
intersection point of curves an (q) and Am (q). Those intersections identify the eigenmodes of the
elliptic membrane.
In Figure 5, we recover, and extend, figures presented in [6] and in [7]. Intersection points of an (q),
the almost vertical curves, and Am (q), the oblique curves, are the eigenpairs ( a, q) of (16).

 




T


D T HYHQ
D T RGG
$T

í         
D T $ T

Figure 5. Mathieu eigenvalues an (q) and Am (q), for q = 0, . . . , 12 in Example 5. Only values
a(q), A(q) ∈ [−15, 85] are presented.

5. Nonlinear Eigenvalues Problem

In some differential problems, the eigenvalues can arise in a nonlinear relation with eigenfunctions.
Let us consider the following second order problem, related to Weber’s equation:

Example 7.

y ( x ) + (λ + λ2 x2 )y( x ) = 0, −1 < x < 1,
(19)
y(−1) = y(1) = 0.

54
Math. Comput. Appl. 2019, 24, 96

The operational matrix corresponding to the differential equation is

D = N2 + λI + λ2 M2

and so det(Tn ) is a polynomial with degree 2(n − 2) in λ.

In Table 4, we present the 10 eigenvalues closest to zero, obtained with n = 30 and with n = 31.
We can verify that maxk=−5,...,5 |λk (30) − λk (31)| < 5 × 10−9 .

Table 4. Eigenvalues of Example 7 with n = 30 and n = 31. Decimal places presented are those that
coincide, until to the first distinct two.

k λk (n = 30) λk (n = 31)
−5 −19.674904478 −19.674904482
−4 −13.62505355977 −13.62505355969
−3 −13.200062264051 −13.200062264066
−2 −7.0356879747644 −7.0356879747642
−1 −6.59716200235713 −6.59716200235723
1 1.951702364990329 1.951702364990324
2 4.28611106118016 4.28611106118021
3 7.5459203349991 7.5459203349981
4 10.126005915959 10.126005915966
5 13.52870217426 13.52870217408

6. Conclusions
Since the pioneering works of Orzag [5] and Ortiz and Samara [9], the Tau method has been
scarcely used to solve differential eigenvalues’ problems. With our work, we conclude that the Tau
method is a competitive one if we want to evaluate with high accuracy the first eigenvalues, in a large
kind of differential problem.

Author Contributions: Formal analysis, J.M.A.M. and M.J.R.; Investigation, J.M.A.M. and M.J.R.;
Writing—original draft, J.M.A.M. and M.J.R.; Writing—review and editing, J.M.A.M. and M.J.R.
Funding: This research was partially supported by CMUP (UID/ MAT/ 00144/ 2019), which is funded by
FCT (Portugal) with national (MEC) and European structural funds through the programs FEDER, under the
partnership agreement PT2020.
Conflicts of Interest: The authors declare no conflict of interest.

References
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boundary value problems. Appl. Math. Comput. 2006, 182, 1247–1254. [CrossRef]
2. Farzana, H.; Islam, M.S.; Bhowmik, S.K. Computation of Eigenvalues of the Fourth Order Sturm–Liouville
BVP by Galerkin Weighted Residual Method. J. Adv. Math. Comput. Sci. 2015, 9, 73–85. [CrossRef] [PubMed]
3. Reddy, S.C.; Schmid, P.J.; Henningson, D.S. Pseudospectra of the Orr–Sommerfeld Operator. SIAM J. Appl.
Math. 1993, 53, 15–47. [CrossRef]
4. Pop, I.S.; Gheorghiu, C.I. A Chebyshev–Galerkin Method for Fourth Order Problems. In Proceedings
of the International Conference on Approximation and Optimization, Cluj-Napoca, Romania,
29 July–1 August 1996.
5. Orzag, S.A. Accurate solution of the Orr–Sommerfeld stability equation. J. Fluid Mech. 1971, 50, 689–703.
[CrossRef]
6. Neves, A. Eigenmodes and eigenfrequencies of vibrating elliptic membranes: A Klein oscillation theorem
and numerical calculations. Commun. Pure Appl. Anal. 2009, 9, 611–624. [CrossRef]
7. Gheorghiu, C.I.; Hochstenbach, M.E.; Plestenjak, B.; Rommes, J. Spectral collocation solutions to
multiparameter Mathieu’s system. Appl. Math. Comput. 2012, 218, 11990–12000. [CrossRef]

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8. Chanane, B. Accurate solutions of fourth order Sturm–Liouville problems. J. Comput. Appl. Math. 2010, 234,
3064–3071. [CrossRef]
9. Ortiz, E.L.; Samara, H. Numerical solution of differential eigenvalue problems with an operational approach
to the Tau method. Computing 1983, 31, 95–103. [CrossRef]
10. Matos, J.M.A.; Rodrigues, M.J.; Matos, J.C. Explicit formulae for derivatives and primitives of orthogonal
polynomials. arXiv 2017, arXiv:1703.00743v2.
11. Matos, J.M.A.; Rodrigues, M.J.; Matos, J.C. Explicit Formulae for Intergral-Differential Operational Matrices.
submitted for publication, 2019.
12. Gheorghiu, C.I. Spectral Methods for Differential Problems; Institute of Numerical Analysis: Cluj-Napoca,
Romania, 2007.
13. Charalambides, M.; Waleffe, F. Gegenbauer Tau Methods with and without Spurious Eigenvalues. SIAM J.
Numer. Anal. 2008, 47, 48–68. [CrossRef]
14. Trindade, M.; Matos, J.; Vasconcelos, P.B. Towards a Lanczos Tau-Method Toolkit for Differential Problems.
Math. Comput. Sci. 2016, 10, 313–329. [CrossRef]
15. Trindade, M.; Matos, J.; Vasconcelos, P.B. Dealing with functional coefficients within Tau method.
Math. Comput. Sci. 2018, 12, 183–195. [CrossRef]
16. Vasconcelos, P.B.; Matos, J.; Trindade, M.S. Spectral Lanczos’ Tau Method for Systems of Nonlinear
Integro-Differential Equations. In Integral Methods in Science and Engineering, Volume 1: Theoretical Techniques;
Constanda, C., Dalla Riva, M., Lamberti, P.D., Musolino, P., Eds.; Springer: Cham, Switzerland, 2017;
pp. 305–314.
17. Chihara, T.S. An Introduction to Orthogonal Polynomials; Dover Publications: Mineola, NY, USA, 2011.
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Fourth-Order Problems. Numer. Math. 1990, 58, 399–418. [CrossRef]
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Dover Publications: Mineola, NY, USA, 1974; pp. 721–750.

c 2019 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access
article distributed under the terms and conditions of the Creative Commons Attribution
(CC BY) license (http://creativecommons.org/licenses/by/4.0/).

56
 Mathematical
and Computational
Applications

Article
Factors for Marketing Innovation in Portuguese Firms
CIS 2014
Patrícia Monteiro *, Aldina Correia * and Vítor Braga *
School of Management and Technology, Polytechnic of Porto, Rua do Curral, Casa do Curral, Margaride,
4610-156 Felgueiras, Portugal
* Correspondence: [email protected] (P.M.); [email protected] (A.C.); [email protected] (V.B.)

Received: 28 September 2019; Accepted: 4 November 2019; Published: 22 November 2019

Abstract: Globalization, radical and frequent changes as well as the increasing importance of
applying knowledge through the efficient implementation of innovation is critical under the current
circumstances. Innovation has been the source of businesses competitive advantage, but it is not
restricted to technological innovations, and thus marketing innovation also plays a central role. This is
a significant topic in the marketing field and not yet deeply analysed in academic research. The main
objective of this study is to understand what factors influence marketing innovation and to establish
a business profile of firms that innovate or do not in marketing. We used multivariate statistical
techniques, such as, multiple linear regression (with the Marketing Innovation Index as dependent
variable) and discriminant analysis where the dependent variable is a dummy variable indicating if
the firm innovates or not in marketing. The results suggest that there are several factors explaining
marketing innovation, although in this study, we find that the factors contributing the most for
marketing innovation are: the Organizational Innovation Index, customer and/or user suggestions,
and intellectual property rights and licensing (IPRL). Most of the literature has studied these factors
separately. This research studied such factors together, and it is clear that both organizational
innovation and IPRL play an important role that drives firms to innovate in marketing, which differs
from some literature; customer suggestions help in the process of marketing innovation, as some
authors argue that customers do not always know what they want until they have it. In parallel,
this study proved to be useful in understanding that the different values for the Marketing Innovation
Index display no influence on the results, since they were equivalent when a dummy variable
(innovated/not innovated in marketing) was used as a dependent variable. In practice, we realize that
the factors are useful to clarify what Portuguese firms innovate or not in marketing, with no different
results when we the four marketing innovation levels (design, distribution, advertising and price)
are considered.

Keywords: marketing innovation; CIS 2014; multiple linear regression; discriminant analysis

1. Introduction
The era of globalization brought radical and frequent changes, as well as a higher recognition of
the importance of knowledge through the successful implementation of innovation.
In fact, the changes are constant, and appear in different ways and at an increasing speed.
These changes become a challenge for firms which need to, first, identify trends, through well-defined
marketing strategies, and subsequently innovate. Innovation, according to the Organization for
Economic Cooperation and Development (OECD) and Eurostat [1], requires the implementation of a
new or significantly improved product (good or service), or a process, or a new marketing method,
or a new organizational method in business practices, within the organization or external relations.

Math. Comput. Appl. 2019, 24, 99; doi:10.3390/mca24040099 57 www.mdpi.com/journal/mca

Math. Comput. Appl. 2019, 24, 99

The role of marketing in an organization is very important since it allows increased sales by
establishing a long-term relationship with customers. In fact, in addition to financial issues, marketing
allows a better understanding of the customer profile leading to co-creation of value.
In order to become more competitive, firms must design new marketing approaches. Marketing
innovation is considered by the literature as a non-technological innovation that lacks the
same importance as technological innovations (example: product innovation) [2]. According to
Mendonça et al. [3] non-technological innovation is an important factor in competitiveness and
productivity growth in the economy, specifically in the service industry.
The OECD and Eurostat [1] define marketing innovation as the implementation of a new marketing
concept or strategy that differs significantly from existing ones and that has not been previously used.
This study aims to gain a clearer understanding of the role of marketing innovation in Portuguese
firms. First, one needs to understand which factors influence and/or impact and secondly to establish a
profile of firms regarding marketing innovation.
Marketing innovation is a recent approach with a significant number of publications from 2009 [4].
Therefore, exploring what factors mostly influence Innovation in Marketing is pertinent since the
literature contains limited approaches in this regard. According to Correia et al. [5], to achieve the
benefits of innovation in terms of economic growth and business competitiveness, it is important to
understand its determinants.
Our paper starts with a literature review, that supports the study, followed by the identification of
the goals, assumptions and variables used. Subsequently, multivariate analysis of the sample taken
from the CIS database (Community Innovation Survey) 2014 was performed and, finally, a connection
between the literature and the results of the two statistical techniques: multiple linear regression and
discriminant analysis using the SPSS (Statistical Package for the Social Sciences) are assessed.
The results suggest that there are several factors explaining marketing innovation, although, in this
study, we find that the factors with higher contribution to marketing innovation are: The Organizational
Innovation Index, customer and/or user suggestions and intellectual property rights and licensing
(IPRL). In fact, IPRL increase the capacity of marketing innovation in the sense that firms feel more
confident in sharing knowledge since they are protected [6]. In turn, the positive contribution of
organizational innovation can be explained by the fact that firms increasingly apply improvements
in organizational management through innovative marketing measures [7]. Finally, the contribution
of customer suggestions and/or users may be related to the fact that they are the consumers of the
innovations implemented through products and/or services, so they perceive of what they want to
buy [8].
In parallel, this study proved to be useful for understanding that the different values for the
Marketing Innovation Index display no influence on our results, since they were equivalent when
using a dummy variable (innovated/not innovated in marketing) as dependent variable. In practice,
we realize that such factors are useful to classify Portuguese firms that conduct marketing innovation
or not, with no different results when one takes the 4 marketing innovation levels (design, distribution,
advertising and price) into account.

2. Literature Review and Research Hypothesis

The main objective of this study is to identify the main factors that influence marketing innovation.
Therefore, a survey of scientific production was conducted. Firstly, a literature review was carried out
aiming to deepen the knowledge about the subject, promoting ideas for research, identifying gaps in
the literature and later reviewing it, considering the methodological purpose of this study.

2.1. Marketing, Innovation and Marketing Innovation Concepts

Marketing is one of the most important business areas, in addition to promoting the brand of the
firm, accelerating sales and business, it involves customers in the dynamics of the firm allowing a better
understanding of the value proposition in a creative way. Modern consumers value the experience the

58
Math. Comput. Appl. 2019, 24, 99

brand can provide through marketing dynamics, in contrast to the price of the product and/or service.
As a result, the objective of firms is to establish a lasting relationship, giving importance to the client’s
opinion and involving them in the business [9].
There are numerous definitions of marketing but one of the most relevant is from the American
Marketing Association [10] that defines marketing as “the activity, set of institutions, and processes
for creating, communicating, delivering and exchanging offerings that have value for customers,
clients, partners, and society in general”. In turn, Kotler and Armstrong [11] argue that marketing is a
social and management process by which individuals and organizations obtain what they need by
creating and exchanging value with each other. In a restricted business context, marketing involves
building profitable and valuable trading relationships with customers. Thus, the authors conceptualize
marketing as the process by which firms create value and build strong relationships with customers,
aiming to return this value to them [11].
Both definitions, regardless of the temporal emergence, point customers as focus of the firm and,
consequently, marketing practices.
Dantas and Moreira [12] point out that is through innovating that one can design irreverent
advertising that captivates customers, it allows low-price traps by competitors, namely innovation
should be part of the DNA of competitive organizations. They also argue that not to innovate does not
mean dying but it means being vulnerable to the most direct competitors, showing the importance of
innovation to organizations.
So, what does innovation mean? In a Yesple way, according to the same authors, “Innovating is
creating new things, doing things differently.” The concept of innovation has been approached by several
authors and it depends on its application. Table 1 points out some of existing perspectives:

Table 1. Innovation definitions | Source: Own Elaboration.

Definition Author and Year

“Innovation is defined as the formation of new products or services,
(Schumpeter, 1934) [13]
new processes, raw materials, new markets and new organizations.”
“Innovation is the specific instrument of entrepreneurship. It is the
act that endows resources with a new capacity to create wealth. (Drucker, 1985) [14]
Innovation, indeed, creates a resource.”
“Innovation is the embodiment, combination, and/or synthesis of
knowledge in novel, relevant, valued new products, processes, (Leonard and Walter, 1999) [15]
or services.”
“An innovation is the implementation of a new or significantly
improved product (good or service), or process, a new marketing
(OECD and Eurostat, 2005) [1]
method, or a new organisational method in business practices,
workplace organisation or external relations.”
“Innovation is the creation of something that improves the way we
(Obama, 2007) [16]
live our lives”
“Innovation is not the result of thinking differently. It is the result of
thinking deliberately (in specific ways) about existing problems and (Razeghi, 2008) [17]
unmet needs.”

In fact, these definitions are based around 3 main areas: the product (new or improved), processes
and organizations (organizational innovation, management or marketing).
The OECD and Eurostat [1] present a structure (Figure 1) that shows innovation as a system
and entails the different types of innovation within a firm, the connection of the firm with other
organizations and the market demand.

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Math. Comput. Appl. 2019, 24, 99

Figure 1. The structure of innovation | Source: [1].

The term innovation has been subject of different adjustments due to its importance in the
competitive advantage of firms, thus encompassing fields beyond technological improvements, such as
marketing management [18].
In fact, marketing and innovation coexist (Figure 2) and Martin [18] argues that successful modern
firms are those that successfully combine innovation and marketing. For example, it is essential
to firstly identify trends so that innovation can take place at a subsequent stage, considering what
the market and customers need. Indeed, in recent years, new ways of collecting information about
consumers through innovative marketing programs have allowed firms to reach their target audience
more efficiently by using price strategies that were previously not viable [19].

Figure 2. Marketing innovation | Source: Own Elaboration.

According to Hume et al. [20], Marketing Innovation develops the marketing philosophy
throughout the entire innovation process that goes from the emergence of the idea (based on what
the customer needs and meets their needs) to the control of the results associated to the launch of
the innovation.
On the other hand, the OECD and Eurostat [1] conceptualize marketing innovation as
corresponding to the implementation of a new concept or marketing strategy that differs significantly
from the existing ones and that has not been previously used by firms. It requires significant
changes in appearance/aesthetic or packaging, placement/distribution, promotion or on product pricing
policies. It excludes seasonal changes, and regular or other routine changes in marketing methods.
This definition is used throughout the present study to support our dependent variable: “Marketing
Innovation Index”.

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2.2. Marketing Innovation and Product Innovation (Good or Service)

According to the OECD and Eurostat [1], product innovation corresponds to the introduction of
new goods or services or significantly improved ones in the market, about their abilities or inborn
abilities, ease of use, components or subsystems.
Currently, the business community strategically uses different types of innovation; one example is
marketing and product innovation. The synergy between both seems to be intuitive, but there are
few studies in this area. According to Gupta et al. [21], in their research on the relationship between
product innovation and marketing, firms operating product innovation tend to rely on marketing as
they face uncertainty about how the product will be understood by consumers. On the other hand,
Junge et al. [22] concluded that firms that innovate in the product in parallel with marketing achieve a
higher productivity growth. In the same line of thought, Ganzer et al. [23] tried to verify the relationship
between skilled labour, turnover and number of employees with the amount of investment in product
innovation, innovation process, marketing innovation and organizational innovation and concluded
that firms that invest in new products or the improvement of existing products tend to innovate in
marketing and, consequently, in the management of the firm. Consequently, our hypothesis is:

Hypothesis 1. Product innovation contributes positively to marketing innovation.

Instead, Rebane’s [8] study shows different results, since complementarity between product
innovation and marketing innovation could not be verified. However, for the services sector the results
were different because service providers, when implementing innovation in services and marketing,
display greater productivity. Considering these results, the following hypothesis is presented:

Hypothesis 2. Innovation in services contributes positively to marketing innovation.

2.3. Marketing Innovation and Organizational Innovation

The OECD and Eurostat [1] show that organizational innovation corresponds to the introduction
of a new organizational method in business practices (including knowledge management), in the
organization or in the firm’s external relations. Higgins [24] mentions that organizational innovation
is essential for firms willing to pursue strategic challenges, as they result in improvements in the
management of the organization.
The relationship between Organizational Innovation and Marketing Innovation is poorly explored
in the literature, but Fleacă et al. [7] studied the extent to which a marketing research process is essential
in Organizational Innovation. Their article aimed to understand the importance of using well-defined
processes and innovative marketing research, linking the organization’s stakeholders to improve work
and the overall results of the business.
Marketing research is a sub-process of marketing included in the core processes of a firm, since
an effective model of market research allows an organization to more directly and economically
commercialize its innovative products, according to current market trends.
The modeling marketing research workflow has drawn valuable results from the APQC (the
business process classification framework that allows firms to compare their business processes with
other firms [24]). Process classification frameworks developed by the worldwide leader organization
in business practice, benchmarking and knowledge management [7].
In this way, a process analyst may be able to structure the necessary steps, such as research
objectives, collection, methods and data analysis techniques and information to communicate their
findings and implications to those responsible for organizational decision-making [7].
Conversely, Ganzer et al. [23] studied the relationship between: product innovation, process,
marketing and organization of the knitting industry and concluded that there is a moderate positive
correlation between the amount invested in product innovation with the value invested in marketing
and organizational innovation. Our hypothesis is:

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Hypothesis 3. Innovative changes in organizational forms contribute to the innovation of marketing techniques.

2.4. Marketing Innovation and Suggestions of Clients and/or Users in Their Innovation Activities and in the
Production of Their Innovative Goods or Services
Clients play a key role in creating and promoting the essential conditions for an innovation project
as they allow firms to better understand their needs and desires [25]. Truly, customers are often the
consumers of innovations implemented through products and/or services, so they provide important
insights about what the market is looking for [8].
Figure 3, proposed by Kilinc et al. [25], reinforces the literature, demonstrating the role of customers
in the different stages of the innovation value chain and the impact of the primary roles customers play
in the major innovation variables.

Figure 3. Role of clients | Prepared by: [7].

In contrast, Cabigiosu and Campagnolo [26] report that customers are a source of relevant
knowledge, but cannot be used as the main or exclusive source because (i) on one hand, to develop
solutions that address the specific needs of customers, there may be a limited match probability of such
solutions to other market opportunities and, (ii) on the other hand, according to Tauber [27], customers
often do not realize that they need certain innovative products until they are available in the market.
In fact, cooperation with customers may have a positive effect on firms; however, there are still
many costs associated with cooperation with customers and negative aspects to introduce radical or
revolutionary changes [8].
The literature points to the importance of customer suggestions in innovations and this article aims
to understand, in addition to other factors, how customer suggestions contribute to a non-technological
innovation [1], such as marketing innovation. Consequently, the following hypothesis is considered:

Hypothesis 4. Customer suggestions contribute to marketing innovation.

2.5. Marketing Innovation and Intellectual Property Rights and Licensing

The Oslo manual considers IPRL as requests by firms for patents, European utility models,
industrial design rights and trademark registrations [1].

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Math. Comput. Appl. 2019, 24, 99

The connection between, for example, registration of brands and product innovation is relatively
straightforward and clear, since the marketing of new products is, sometimes, associated with the
creation of a new brand to communicate such innovation [3]. As far as marketing innovation is
concerned, the connection between them is more complex. According to Mendonça et al. [3] amongst
the four types of Innovation in the Oslo manual, only innovation in the promotion of products is not
registered, all others can be registered, for example:

Ö Innovation in aesthetics, appearance and/or packaging: the famous Toblerone packaging is

registered for exclusive use;
Ö Innovation in forms of distribution or sales channels of products: this type of innovation is
generally not associated with a brand, except for certain firms, such as Amazon.com;
Ö Innovation in price: usually this innovation is associated with the telecommunication industry,
since price is what distinguishes these types of firms.

Indeed, given the competitiveness of the market, the construction of strong brands may demand
marketing innovation, in order to differ from the competition.
In their study, Olaisen and Revang [6] concluded that IPRL increases the innovation capacity,
since when IPRL are in place firms feel more confident in sharing knowledge. Also, in this study it was
observed that IPRL has no impact on the innovative design of the products. Therefore, the hypothesis
for our study is:

Hypothesis 5. Firms with intellectual property rights and licensing contribute to marketing innovation.

2.6. Marketing Innovation and Socioeconomic Characteristics of the Firm

The success of innovation can be influenced by the type of organization as well as by the
characteristics of its employees [21]. The success of marketing practices depends on the creation of an
effective multifunctional team that works as a unit creating value for customers [28]. Consequently,
the literature points out that firms involved in product innovation and marketing have qualified
employees and with the adequate skills [22,29]. This indication of the literature leads to the hypothesis:

Hypothesis 6. The academic degree of employees is relevant for marketing innovation.

Employees are providers of competitive advantage for organizations, and together with turnover
they define the size of businesses, i.e., whether the firm is micro, small, medium and/or large. The role
of size of the firm is addressed in many studies on Innovation, since it is important to learn about
their influence on marketing innovation. Sok et al. [30] state that it is essential, especially, for small
and medium enterprises (SMEs) to guarantee the supply of new products, new forms/channels of
distribution, to ensure customer satisfaction. The same authors further state that the Yesultaneous
implementation of product innovation and marketing combined with qualified employees allow SMEs
to be more competitive and achieve better results.
Another aspect leading SMEs to innovate in marketing are circumstantial austerity measures,
which do not allow a more permanent support to firms. Therefore, it is imperative that SMEs maximize
their internal resources and engage in marketing innovation to better understand the market [31].
In this way the following hypothesis was formulated:

Hypothesis 7. The business size has an impact on marketing innovation.

Larger firms are more likely to innovate in marketing techniques than SMEs due to the investment
pressure they experience [32]. Notwithstanding the importance of the size of firms, it’s also crucial to
study the markets in which they operate. The market action defines the strategic path of the firm, so
their decisions consider the type of market in which they choose to operate. This factor may contribute

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to marketing innovation since firms are currently operating in a globalized environment, which forces
them, in competitive terms, to modernize and follow the market trends [33]. Thus, we can consider
the hypothesis:

Hypothesis 8. Geographic markets are relevant to firms that innovate in marketing.

Moreira [33], in his doctoral thesis on the determinants of marketing innovation, conclude that
international markets display greater propensity to innovate in Marketing, however, a variable “emerge
in national markets” also has a positive and significant effect on innovation marketing. Thus, we can
propose the hypothesis:

Hypothesis 9. Internationalization may explain marketing innovation.

To achieve a broader explanation for the phenomenon of Marketing Innovation, we will try to
understand the synergy between firms that belong to the same innovation group in marketing practices.
The literature reports that the effects of synergy between firms of the same group and innovation
should be treated with caution due to several factors [34].
However, through the study of Entezarkheir and Moshiri [35] it can be understood that mergers
can improve incentives for innovation, promoting economies of scale, increasing the capacity to
deal with uncertainty, among other things. It was also concluded that mergers are positively and
significantly correlated with firm innovation. Therefore, we try to confirm that:

Hypothesis 10. Cooperation between firms of the same group is conducive to an innovative
marketing environment.

Figure 4 and Table 2 summarize the research hypothesis, pointed by literature review and
considered in this work.

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Figure 4. Proposed explanatory model | Source: Own Elaboration.

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Math. Comput. Appl. 2019, 24, 99

Table 2. Hypothesis synthesis and theoretical support | Source: Own Elaboration.

Model Variables Hypothesis Theoretical Support

H1—Product innovation contributes
positively to Marketing Innovation.
Product Innovation (Good
H2—Innovation in services [8,21–23,36]
and/or Service)
contributes positively to
marketing innovation.
H3—Innovative changes in
Organizational Innovation organizational forms contribute to the [7,23]
innovation of marketing techniques.
H4—Customer suggestions contribute
Customer and/or User Suggestions [8,19,25–27]
to marketing innovation.
H5—Firms that have intellectual
Intellectual Property Rights
property rights and licensing [3,6]
and Licensing
contribute to marketing innovation.
H6—The formation of the
Higher Education of Employees collaborators is relevant for the [22,29]
marketing innovation of a firm.
H7—The business size has an impact
Business Size [30,31]
on marketing innovation.
H8—Geographic markets are relevant
Geographic Markets
to firms that innovate in marketing
H9—Internationalization is a factor [33,37,38]
Internationalization that can help explain the phenomenon
of marketing innovation.
H10—Cooperation between firms of
Membership of a Group of
the same group is conducive to an [34,35]
Firms (Mergers)
innovative marketing environment.

3. Methodology
The Community Innovation Survey (CIS) 2014 database was used for the study of Marketing
Innovation. The CIS is a notation of the National Statistical System regulated by the European Union
aiming to measure and characterize innovation activities in European firms. CIS 2014 covers four
types of innovation: product innovation, organizational innovation, process innovation and marketing
innovation, being this last innovation the focus of this study. This questionnaire is based on Eurostat
guidelines and on the principles of the Oslo manual. In fact, this study, in the literature review, tried to
approach the definitions contained in the manual whenever possible.

3.1. Population, Sample and Data Collection

The data from CIS 2014 database was the basis of our analysis. Our population was all firms
located in Portugal over a period of three years, in which the sample initially consists of 8736 firms and
after correction by 7083 valid firms. CIS 2014 collected data on the four types of innovation over the
period 2012–2014. The database initially contained 187 variables.

3.2. Exploratory Analysis of Data and Study Variables

Table 3 (Frequency tables and charts in attach) presents a synthesis of the sample used in our
study, which was aimed to represent and characterize the data contained in the database. Effectively,
it is essential to understand our data before proceeding to multivariate statistical techniques. It can
be concluded, from the analysis of Table 3, that most of the Portuguese firms in the sample did not

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innovate in product, organization and marketing. Within the firms that innovate in marketing, the most
frequent innovation is the innovation in the appearance/aesthetic or in the packaging of the products.

Table 3. Exploratory data analysis.

Classification of economic activity: CAE 46, Wholesale Trade

(17.5%) represent a larger share in the sample, followed by
Firms Profile CAE 25 Manufacture of Metallic Products (8.7%) and CAE 10
Food Industries (4.5%) (Figure A2).
Size: considering Decree Law 98/2015, 74.1% corresponds to
small firms, 20.7% to medium-sized firms and 5.2% to large
firms [39] (Table A1).
Belongs to a group of firms:
71.7% of the sample, in 2014, did not belong to any group of
firms (Table A2).
The geographic market is another variable that is of interest
Geographic Markets
for the study, with 16.5% of the sample, between 2012 and
2014, having as a geographic market to sell its goods and/or
services the local/regional (MARLOC) market in Portugal,
23.4% the national market (MARNAT) in addition to the
regional/local market, 24% market to the European market
(MAREUR) and finally 36% to other countries not associated
with the European Union (MAROTH) (Table A3).
Higher Education of Employees
Regarding the academic degree of the employees, 25.8% of
the firms in the sample have 1 to 4% of the employees with
higher education, 20.5% from 10 to 24% and 15.6% do not
have any collaborators with higher education (Table A4).

Intellectual Property Rights and Licensing In the scope of intellectual property and licensing, 85.9% of
firms did not require any kind of intellectual property and
licensing in the period from 2012 to 2014, from 14.1%
requiring 11.2% acquired a patent (PROPAT), 2.2% required a
European utility model (PROEUM), 0.5% registered a design
right industry (PRODSG)and 0.2% registered a trademark
(PROTM) (Table A5)
Within the 7 083 valid firms 68.1% did not apply any type of
Marketing Innovation, 13.9% applied innovations in the
appearance/aesthetics or in the packaging of the products
(MKTDGP), 9% in techniques or means of communication for
the promotion of goods or services (MKTPDP), 5.1% in the
Marketing Innovation Index distribution/product placement methods (goods and/or
services) or new sales channels (MKTPDL) and 4% in
product pricing policies (MKTPRI) (Table A6).
Regarding the measures of central trend, the median is 0
meaning that 50% of the firms do not innovate in marketing.
The mode is also 0, i.e., the most frequent value, explaining
the 68.1% of firms that do not innovate in marketing.
The standard deviation is 1.09.
The Skewness/Std. Error of Skewness is 59.9, and as it is
above 1.96, we conclude that the distribution of the data is
asymmetric positive. The Kurtosis/Std. Error of Kurtosis is
34.86 (higher than 1.96), the data distribution is
leptokurtic (Table A7).

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Table 3. Cont.

Frequency tables show that 70.5% of the sample did not

apply any new organizational method in business practices
(including knowledge management), in the organization of
Organizational Innovation Index
the workplace or in the firm’s external relations. Of the
remaining percentage that applied, 12.7% made new
business practices in the organization of procedures
(ORGBUP), 9.2% applied new methods of organization of
responsibilities and decision-making (ORGWKP) and finally
7.6% innovated in the methods of organization of relations
external factors (ORGEXR) (Table A8).
Product and Service Innovation

On the other hand, most of the firms in the sample did not
apply any type of innovation in both goods and services
(73.5% and 81.5% respectively) (Tables A9 and A10).

Most of the sample did not use, during the period between
2012 and 2014, the following means of incorporating the
suggestions of customers and/or users: market studies
(CLUFEED), consumer groups (CLUMKT), discussion
groups and interviews (CLUSUR); surveys of user needs
Customer and/or User Suggestions (CLUFOR); development forums (CLUADA); and
development of new goods or services by customers and/or
users and that the firm has produced and introduced to the
market (CLUDEV).
Most of the sample used the following means of
incorporating the suggestions of customers and/or users with
the following degrees of importance: customer feedback
systems (38.8%); and adaptation of existing goods or services
by customers and/or users and the development, production
and introduction of these goods or services on the market by
the firm with a medium importance level with
27% (Table A11).
Internationalization Regarding the internationalization of the firms, 58.8% of the
sample pointed out that no part of turnover results from sales
to customers outside Portugal, 3.6% of firms report that 1% of
turnover results from sales to customers outside Portugal
and, in turn, 1.7% indicate that 100% of turnover corresponds
to sales to customers outside Portugal (Figure A1).

For this study 5 variables were created by the authors in order to investigate the validity of the
research hypothesis and to provide the interpretation of the results.
Therefore, the following innovation measures were defined:

Ö Organizational Innovation Index: this index was calculated from the dummy variables
organization of procedures (ORGBUP), organization of responsibilities and decision-making
(ORGWKP) and organization of relations external factors (ORGEXR) considering their sum,
i.e., Inov_Org = ORGBUP + ORGWKP + ORGEXR, with values between 0 (no item selected) and
3 (all items selected) [5].
Ö Marketing Innovation Index: this index was calculated from the dummy variables packaging
of the products (MKTDGP), promotion of goods or services (MKTPDP), distribution/product
placement methods (goods and/or services) or new sales channels (MKTPDL) and product pricing

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policies (MKTPRI) considering their sum, i.e., Inov_Mark = MKTDGP + MKTPDP + MKTPDL +
MKTPRI, with values between 0 (no item selected) and 4 (all items selected) [5].

Subsequently, the following variables were also created:

Ö Customer and/or User Suggestions, calculated considering the sum:

Sug_User = market studies (CLUFEED) + consumer groups (CLUMKT) + discussion groups and
interviews (CLUSUR) + surveys of user needs (CLUFOR) + development forums (CLUADA) +
development of new goods or services by customers and/or users and that the firm has produced
and introduced to the market (CLUDEV)
Intellectual Property Rights and Licensing calculated considering the sum: Prop_Intellectual
= acquired a patent (PROPAT) + required a European utility model (PROEUM) + registered a
design right industry (PRODSG) + registered a trademark (PROTM), with values between 0 (no
item selected) and 4 (all items selected).
Ö Geographic Markets: M_GEO = geographic market to sell its goods and/or services the
local/regional market (MARLOC) + national market (MARNAT) + market to the European market
(MAREUR) + market to other countries not associated with the European Union (MAROTH),
with values between 0 (no item selected) and 4 (all items selected).

3.3. Explanatory Variables

Considering the data analysis and the literature review, a database was built with the variables
that could allow a better understanding of Marketing Innovation. Thus, the independent variables
pointed out for this multivariate study are summarized in Table 4:

Table 4. Explanatory Variables, Expected Signal and Theoretical Support | Source: Own Elaboration.

Explanatory Variables Hypothesis Acronyms Expected Sign Theoretical Support

H1 INPDGD +
Product Innovation [8,21–23,36]
H2 INPDSV +
Organizational
H3 Inov_Org + [7,23]
Innovation
Customer and/or User
H4 Sug_Users + [8,19,25–27]
Suggestions
Intellectual Property
H5 Prop_Intellectual + [3,6]
Rights and Licensing
Higher Education
H6 EMPUD + [22,29]
of Employees
Business Size H7 SIZE14_COD + [30,31]
Geographic Markets H8 M_GEO +
[33,37,38]
Internationalization H9 SLO14 +
Membership of a
H10 GP + [34,35]
Group of Firms

4. Factors that Influence Marketing Innovation

Multiple linear regression was used for predicting the value of a variable based on the
value of two or more variables [40]. The dependent variable was “Marketing Innovation
Index”. The variables used to predict the value of the dependent variable are the independent
variables: GP—“Belonging to a Group of Firms”, Inov_Org—“Organizational Innovation Index”,
M_GEO—“Geographic Markets”, Prop_Intellectual—“Intellectual Property Rights and Licensing”,
Sug_Users—“Customer and/or User Suggestions”, INPDGD—“Goods Innovation”, INPDSV—“Service

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Innovation”, EMPUD—”% Of Employees with Higher Education”, SLO14—“Internationalization”

and SIZE14_COD—“Business Size”.
Firstly, we used the forward method in which variables are introduced one by one. The first
variable to be introduced is the one with the highest correlation coefficient with the dependent
variable Marketing Innovation Index. Subsequently, the variables with the highest coefficient of
partial correlation are introduced sequentially [41]. Once the forward analysis was performed it
was concluded that the EMPUD, SIZE14_COD, M_GEO and GP variables at a significance level of
5% are not significant for the model (Appendix A Table A12). Consequently, hypothesis H6, H7,
H8 and H10 are rejected, i.e., the academic level of employees, the business size, the geographic
markets and the probability of belonging to a group of firms do not contribute to explain the Index of
Marketing Innovation.
After this, linear regression by the stepwise method was conducted in order to eliminate these
variables from the model. By the Stepwise method of the 10 independent variables initially considered,
only 6 variables were used for the estimation of the model, and the EMPUD, SIZE14_COD, M_GEO
and GP variables were eliminated as expected (Appendix A Table A13).
Analyzing the summary of the multiple linear regression model (Table 5) we conclude that
Ra2 = 0.204 so, approximately 20.4% of the Marketing Innovation Index is explained by the
independent variables.

Table 5. Summary | linear regression.

Model Summary
Model R R Square Adjusted R Square Std. Error of the Estimate
6 0.453 f 0.205 0.204 1.10785
f Predictors: (Constant), Inov_Org, Sug_Users, Prop_Intellectual, INPDSV, INPDGD, SLO14.

According to the analysis of the ANOVA test (Table 6), p-value ≈ 0.000 so, H0 is reject, then we are
faced with a highly significant model in which at least one independent variable has a considerable
effect on the variation of the dependent variable of marketing innovation.

Table 6. Analysis of variance (ANOVA) test | linear regression.

ANOVA
Model Sum of Squares df Mean Square F Sig.
Regression 1146.055 6 191.009 155.631 0.000 g
6 Residual 4445.368 3622 1.227
Total 5591.423 3628
g Predictors: (Constant), Inov_Org, Sug_Users, Prop_Intellectual, INPDSV, INPDGD, SLO14.

The variables Organizational Innovation Index (with a standardized coefficient of 0.258), customer
suggestions and/or users (with a standardized coefficient of 0.173) and intellectual property and
licensing (with a standardized coefficient of 0.147) are those that contribute more to explain the Index
of Marketing Innovation (Table 7).

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Table 7. Model coefficients | linear regression.

Coefficients a
Unstandardized Coefficients Standardized Coefficients
Model t Sig.
B Std. Error Beta
(Constant) 0.314 0.035 8.996 0.000
Inov_Org 0.300 0.018 0.258 16.572 0.000
Sug_Users 0.046 0.004 0.173 10.947 0.000
6 Prop_Intellectual 0.328 0.034 0.147 9.675 0.000
INPDSV 0.236 0.043 0.088 5.539 0.000
INPDGD 0.229 0.040 0.091 5.763 0.000
SLO14 −0.301 0.066 −0.070 −4.567 0.000
a Dependent Variable: Inov_Mark.

Then, the adjusted model is: Inov_Mark = 0.314 + 0.258 Inov_Org + 0.173 Sug_Users + 0.147
Prop_Intellectual + 0.088 INPDSV + 0.091 INPDGD – 0.070 SLO14

These results are, to some extent, contradictory to the literature review insofar a positive sign was
expected for all independent variables (Table 4).
Contrary to expectations (Table 8—NS represent non-significant in the regression model)
hypothesis H1 and H10 are rejected, then there is no statistical evidence to consider Product and
Organizational Innovation as a factor to Marketing Innovation, as well as H6, H7, H8 and H10.

Table 8. Explanatory Variables, Obtained Signal and Theoretical Support | Source: Own Elaboration.

Explanatory Variables Hypothesis Acronyms Obtained Sign Theoretical Support

H1 INPDGD NS
Product Innovation [8,21–23,36]
H2 INPDSV NS
Organizational
H3 Inov_Org + [7,23]
Innovation
Customer and/or
H4 Sug_Users + [8,19,25–27]
User Suggestions
Intellectual Property
H5 Prop_Intellectual + [3,6]
Rights and Licensing
Higher Education
H6 EMPUD NS [22,29]
of Employees
Business Size H7 SIZE14_COD NS [30,31]
Geographic Markets H8 M_GEO NS
[33,37,38]
Internationalization H9 SLO14 -
Membership of a
H10 GP NS [34,35]
Group of Firms

As expected, organizational innovation, customer and/or user suggestions and intellectual

property rights and licensing are proved to be important for increasing marketing innovation, as
pointed by literature, as well as internationalization, but the latter with opposite sign to the expected.
Thus, taking into account our data, the factors promoting marketing innovation are organizational
innovation, customer and/or user suggestions and intellectual property rights and licensing, and
internationalization are an obstacle to innovate in marketing.

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4.1. Testing the Assumptions of Multiple Linear Regression Analysis

In order to validate the assumptions of the Multiple Linear Regression model, a residual analysis
was developed. We analyzed if the residuals follow a normal distribution and had a constant variance
(using KS test and dispersion diagrams) and to understand if the residuals are independent, we used
the Durbin–Watson test).
Table 9 shows the summary of the multiple linear regression model and the overall adjustment
statistics. The Durbin–Watson returned a value of d = 2.002, (approximate to 2) and thus the residuals
are not correlated [42]. Consequently, one could proceed with multiple linear regression.

Table 9. Durbin–Watson test | linear regression.

Model Summary g
Model R R Square Adjusted R Square Std. Error of the Estimate Durbin-Watson
6 0.453 f 0.205 0.204 1.10785 2.002
fPredictors: (Constant), Inov_Org, Sug_Users, Prop_Intellectual, INPDSV, INPDGD, SLO14. g Dependent Variable:
Inov_Mark.

The standard predicted and residual values show approximate maximum and minimum values
but are not proportional (Table 10).

Table 10. Residuals statistics | linear regression.

Residuals Statistics a
Minimum Maximum Mean Std. Deviation N
Predicted Value 0.0130 3.5917 1.0825 0.57608 4164
Residual −2.60513 3.45683 −0.01193 1.10424 4164
Std. Predicted Value −1.869 4.498 0.034 1.025 4164
Std. Residual −2.352 3.120 −0.011 0.997 4164
a Dependent Variable: Inov_Mark.

Through the normal P-P plot of the regression standardized residual in Figure 5, one can conclude
that some points are distant from the diagonal. This may indicate that the residuals do not follow a
normal distribution.

Figure 5. Normal P-P plot of regression standardized residual | linear regression.

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In turn, the Scatterplot (Figure 6) presents horizontal lines due to the rounding errors of the values
predicted by the regression model for the values of a discrete variable [28].

Figure 6. Scatterplot | linear regression.

There is an absence of correlation between independent variables (absence of multicollinearity).

Another assumption for linear regression is that none or few collinearities are present. Collinearity
occurs when two independent variables are highly correlated [43].
Table 11 shows that no independent variable presents multicollinearity problems since the T is
not adjacent to 0 and the Variance Inflation Factor (VIF) displays values below 5.

Table 11. Collinearity statistics | linear regression.

Coefficients a
Collinearity Statistics
Model
Tolerance VIF
(Constant)
Inov_Org 0.907 1.102
Sug_Users 0.881 1.136
6 Prop_Intellectual 0.954 1.048
INPDSV 0.867 1.153
INPDGD 0.875 1.143
SLO14 0.928 1.078
a Dependent variable: Inov_Mark.

In the diagnosis of collinearity (Table 12), it follows that the values of the condition index are not
close to 30 and the values themselves are distant from 0.

Table 12. Collinearity diagnosis | linear regression.

Collinearity Diagnostics a

Condition Variance Proportions

Model Dimension Eigenvalue
Index (Constant) Inov_Org Sug_Users Prop_Intellectual INPDSV INPDGD SLO14
1 3.890 1.000 0.01 0.02 0.02 0.02 0.02 0.02 0.02
2 0.875 2.108 0.00 0.04 0.00 0.18 0.20 0.00 0.35
3 0.734 2.302 0.01 0.00 0.00 0.78 0.01 0.00 0.24
6 4 0.538 2.688 0.00 0.47 0.02 0.00 0.22 0.27 0.00
5 0.410 3.082 0.02 0.01 0.05 0.02 0.56 0.37 0.35
6 0.350 3.332 0.09 0.46 0.34 0.00 0.00 0.31 0.01
7 0.202 4.392 0.87 0.01 0.57 0.00 0.00 0.02 0.03
a Dependent Variable: Inov_Mark.

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Most of the proportions of variance, except for a few, show values that are distant from 50%, and
may not indicate a multicollinearity problem.
Thus, generically the model meets the multiple linear regression model assumptions, and our
model is significant, and there is statistical evidence in the data to consider the conclusions valid.

4.2. Features that Distinguish Firms that Innovate in Marketing

According to Maroco [44], discriminant analysis is “a dependent multivariate technique used
to investigate, evaluate differences between groups and classify entities within groups, based on
known discretionary variables.” In fact, it is used to discriminate between groups, using a categorical
dependent variable and independent interval scale variables [45].
As the discriminant analysis aims to discover the characteristics that distinguish the members of
one group from members of a different one, the characteristics of a new individual allows predicting the
group it belongs to [45]. We aimed to study which are the characteristics of firms that do not innovate
in marketing and those that innovate in marketing. In particular we are interested in comparing
the results with the previous analysis, where we consider marketing innovation as an index ranging
between 0 (no item selected) and 3 (all items selected). For the analysis we considered Marketing
Innovation as a dummy variable being 0 for non-innovative in marketing firms and 1 for innovative in
marketing firms.
The non-metric dependent variable marketing innovation consists of 2 mutually exclusive
categories. The independent metric variables were selected taking the literature into account.
Continuously, Figure 7 presents the metric and non-metric variables under study.

Figure 7. Variables metrics and non-metrics | discriminant analysis | Source: Own Elaboration.

The discriminant analysis requires the verification of the following assumptions:

1. Multivariate normality;
2. Multivariate homoscedasticity;
3. Absence of multicollinearity.

Considering the assumptions, the following tests were performed in order to understand if the
discriminant analysis could be performed.

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4.2.1. Multivariate Normality

In relation to the first assumption, a K-S test was previously developed and H0 rejected, indicating
that the variables do not follow a normal distribution. In order to overcome this problem, we used
the central limit theorem which indicates that the larger the size of a sample, the distribution of the
mean will be closer to a normal distribution. In this case, the sample contains more than 30 cases
so the distribution of the mean can be satisfactorily approximated by a normal distribution [44,46].
The remaining assumptions will then be verified in the output of the discriminant analysis.

4.2.2. Analysis of Variance (ANOVA): Analysis of Differences between Groups

Hypothesis to be tested:

H0: The group averages are equal

H1: The group averages are different

Looking at the test of equality of the groups means, it can be concluded that the Wilks’ λ is
generally approximate to 1 suggesting that the groups means are equal (Table 13).

Table 13. Tests of equality of group means | discriminant analysis.

Tests of Equality of Group Means

Wilks’ Lambda F df1 df2 Sig.
GP 1.000 0.221 1 3627 0.638
INPDGD 0.985 54.081 1 3627 0.000
INPDSV 0.980 73.487 1 3627 0.000
SLO14 0.998 5.547 1 3627 0.019
SIZE14_COD 0.999 1.909 1 3627 0.167
EMPUD 0.994 20.648 1 3627 0.000
M_GEO 0.995 17.135 1 3627 0.000
Inov_Org 0.941 228.403 1 3627 0.000
Prop_Intellectual 0.967 122.852 1 3627 0.000
Sug_Users 0.953 177.677 1 3627 0.000

Concerning the F-test, a small value indicates that when independent variables are considered
individually, they do not differ between groups. In turn, the variable Inov_Org presents a high F
suggesting being a variable that is able to differentiate the groups.
For the significance levels, most variables display a p-value < 0.05, thus rejecting the null hypothesis,
i.e., the means in the two groups, of innovative and non-innovative firms, for all variables are equal.
In contrast with the others, the GP and SIZE14_COD present p-values above 5% (Table 13),
indicating that these variables probably do not contribute to the model since the null hypothesis cannot
be rejected.

4.2.3. Multivariate Homoskedasticity—Box’s M test

Hypothesis to be tested:

H0: Equivalent matrices of variance–covariance for the two groups

H1: Different matrices of variance–covariance for the two groups

Analyzing the Box’s M test (Table 14), it is verified that the p-value ≈ 0.000 < 0.05 then rejecting H0,
i.e., the variance-covariance matrices are the same for the two groups. Therefore, instead of presenting
homoscedasticity, required by the analysis, the data shows heteroscedasticity, becoming a limitation of
the analysis.

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Table 14. Box’s M test | discriminant analysis.

Test Results
Box’s M 576.631
Approx. 20.552
df1 28
F
df2 43125012.597
Sig. 0.000
Tests null hypothesis of equal population covariance matrices.

4.2.4. Absence of Multicollinearity

One of the assumptions of the discriminant analysis is that there is no multicollinearity. Table 15
shows no multicollinearity, i.e., there is no high correlation between the variables, since the values are
smaller than 50% presenting, in this case, levels of correlation between variables generally weak [47].

Table 15. Pooled within-groups matrices | discriminant analysis.

Pooled Within-Groups Matrices
GP INPDGD INPDSV SLO14 SIZE14_COD EMPUD M_GEO Inov_Org Prop_Intellectual Sug_Users
GP 1.000 0.031 0.070 0.045 0.372 0.291 −0.011 0.097 0.013 0.058
INPDGD 0.031 1.000 0.209 0.185 0.082 0.007 0.209 0.051 0.144 0.174
INPDSV 0.070 0.209 1.000 −0.127 0.025 0.168 −0.007 0.183 0.012 0.184
SLO14 0.045 0.185 −0.127 1.000 0.266 −0.118 0.257 0.004 0.118 0.076
SIZE14_COD 0.372 0.082 0.025 0.266 1.000 0.075 0.086 0.071 0.075 0.100
Correlation
EMPUD 0.291 0.007 0.168 −0.118 0.075 1.000 0.062 0.165 0.126 0.125
M_GEO −0.011 0.209 −0.007 0.257 0.086 0.062 1.000 0.016 0.150 0.130
Inov_Org 0.097 0.051 0.183 0.004 0.071 0.165 0.016 1.000 0.048 0.211
Prop_Intellectual 0.013 0.144 0.012 0.118 0.075 0.126 0.150 0.048 1.000 0.093
Sug_Users 0.058 0.174 0.184 0.076 0.100 0.125 0.130 0.211 0.093 1.000

4.2.5. Stepwise Method

Since, previously, it was verified that the variables GP and SIZE14_COD do not show significant
discriminant power, we used the Stepwise method. This method selects the variables with discriminative
capacity, so that the analysis is only done with such variables. In fact, the stepwise method starts
without variables and in the following steps variables are added or removed, depending on their
discriminative ability [44].
In this analysis the method used for the inclusion/removal of variables was Wilk’s λ. Consequently,
the variables by this method are included (or removed) according to their inclusion, it greatly decreases
(or not) the lambda value [44].
By the stepwise method, only 7 (out of 10) independent variables were considered for the model
estimation, and the variables GP, EMPUD and M_GEO were eliminated (Table 16).

Table 16. Variables not considered in the analysis | discriminant analysis.

Variables Not in the Analysis

Step Tolerance Min. Tolerance F to Enter Wilks’ Lambda
GP 0.852 0.794 1.660 0.882
7 EMPUD 0.912 0.850 0.352 0.882
M_GEO 0.890 0.831 2.875 0.881

Table 17 shows that as variables were introduced, the Wilks’ λ decreased. Considering that a
variable with little tolerance contributes little to the model, Internationalization (SLO14), shows the
smallest tolerance (0.866). Prop_Intellectual and Inov_Org are two variables that present high
tolerance values which indicates that they are the ones that most contribute to the model. However,
all variables present high tolerance values, thus showing their relevance to the model and the absence
of multicollinearity as they approach 1.

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Table 17. Variables in the analysis | discriminant analysis.

Variables in the Analysis

Step Tolerance F to Remove Wilks’ Lambda
Inov_Org 0.931 125.117 0.913
Sug_Users 0.904 68.185 0.899
Prop_Intellectual 0.964 81.928 0.902
7 INPDSV 0.882 8.671 0.884
SIZE14_COD 0.917 8.928 0.884
INPDGD 0.885 12.498 0.885
SLO14 0.866 10.370 0.885

Hypothesis to be tested:

H0: The group averages are equal

H1: The group averages are different

To understand if the functions are discriminant the Wilks’ λ test (Table 18) was performed and it
was concluded that one must to reject H0, since the test shows a p-value below 5%, i.e., the means of
the groups in the function are not equal. Therefore, the functions are discriminant.

Table 18. Wilks’ λ | discriminant analysis.

Wilks’ Lambda
Exact F
Step Number of Variables Lambda df1 df2 df3
Statistic df1 df2 Sig.
7 7 0.882 7 1 3627 69.133 7 3621.000 0.000

To estimate the coefficients of the discriminant function, assuring the significance of the functions
Table 19 shows that there is 1 discriminant function and the eigenvalue attributed to function 1 is
0.134 and represents 100% of the explained variance.

Table 19. Eigenvalues | discriminant analysis.

Eigenvalues
Function Eigenvalue % of Variance Cumulative % Canonical Correlation
1 0.134 a 100.0 100.0 0.343
a First 1 canonical discriminant functions were used in the analysis.

Regarding canonical correlation, function 1 presents a canonical correlation (0.343)2 corresponding

to 0.117649 so, approximately 11.8% of the variance of the groups is explained by the discriminant
function 1.
Find the contribution of the variables to the function
Table 20 allows us to understand which variables contribute to the discriminant function.
This indicates that for function 1 the variables that most contribute to distinguish innovative from
non-innovative firms are Inov_Org, Prop_Intellectual and Sug_Users. On a different perspective,
Organizational Innovation Index, intellectual property and licensing and suggestions of clients and/or
users display a positive contribution to be classified in the group of firms that innovate in marketing.

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Table 20. Standardized canonical discriminant functional coefficients | discriminant analysis.

Standardized Canonical Discriminant Function Coefficients

Function
1
INPDGD 0.182
INPDSV 0.152
SLO14 −0.167
SIZE14_COD −0.151
Inov_Org 0.552
Prop_Intellectual 0.441
Sug_Users 0.416

In turn, the structured matrix (Table 21) allows examining the contribution (ordered by the
absolute value) of each variable to the discriminant function, without the effect of collinearity. In this
way, organizational innovation is the factor that most positively contributes to function 1, followed
by the intellectual property rights and licensing and customer and/or user suggestions. The results,
without the effect of collinearity, remained almost equal to Table 20 since the collinearity test resulted
negative for the discriminant analysis.

Table 21. Structured matrix | discriminant analysis.

Structure Matrix
Function
1
Inov_Org 0.686
Sug_Users 0.605
Prop_Intellectual 0.503
INPDSV 0.389
INPDGD 0.334
EMPUD a 0.234
M_GEO a 0.111
SLO14 −0.107
SIZE14_COD −0.063
GP a 0.036
a This variable not used in the analysis.

Classify cases
Table 22 allows observing coefficients by Fisher function which, in turn, allow the classification of
cases into groups. Thus, it follows that the classification models:

D0 (Don’t Innovate in Marketing) = ƺ3.858 + 0.839 * INPDGD + 0.439 * INPDSV ƺ 0.203 * SLO14 +
3.488 SIZE14_COD + 0.237 * Inov_Org ƺ 0.096 * Prop_Intellectual + 0.155 * Sug_U

D1 (Innovate in at least 1 item of Marketing Innovation) = ƺ4.435 + 1.109 * INPDGD + 0.681 *

INPDSV ƺ 0.627 * SLO14 + 3.309 SIZE14_COD + 0.629 * Inov_Org + 0.496 * Prop_Intellectual +
0.222 * Sug_U

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Table 22. Classification function coefficients.

Classification Function Coefficients

MKT_INNOV
No Yes
INPDGD 0.839 1.109
INPDSV 0.439 0.681
SLO14 −0.203 −0.627
SIZE14_COD 3.488 3.309
Inov_Org 0.237 0.629
Prop_Intellectual −0.096 0.496
Sug_Users 0.155 0.222
(Constant) −3.858 −4.435
Fisher’s linear discriminant functions

Interpretation of the results of discrimination and validation

Considering Table 23, 63.7% of the cases were correctly classified. In cross-validation,
the percentage is almost the same (63.5%) of the original classification.

Table 23. Classification of results | stepwise discriminant analysis.

Classification Results a,c

MKT_INNOV Total
No Yes
No 1010 647 1657
Count
Yes 669 1303 1972
Original
No 61.0 39.0 100.0
%
Yes 33.9 66.1 100.0
No 1006 651 1657
Count
Yes 672 1300 1972
Cross-validated b
No 60.7 39.3 100.0
%
Yes 34.1 65.9 100.0
a 63.7% of original grouped cases correctly classified; b Cross validation is done only for those cases in the analysis.
In cross validation, each case is classified by the functions derived from all cases other than that case; c 63.5% of
cross-validated grouped cases correctly classified.

In Table 24 a comparison between the linear regression model (MLR) and discriminant analysis
(DA) results is presented.
As in MLR, organizational innovation, customer and/or user suggestions and intellectual property
rights and licensing are proved to be important for differentiating positively innovative firms from
non-innovative ones, as pointed by literature. Internationalization, Yesilar to the MLR analysis,
proved to be an obstacle to the promotion of marketing innovation, as much as the business
size. In addition, with this DA, product innovation and organizational innovation, proved to
be differentiators for distinguish marketing innovative from non-innovative firms, although not
significant in differentiating the level of marketing innovation in MLR.

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Table 24. Linear regression model vs. discriminant analysis.

Explanatory Variables Hypothesis Acronyms MLR DA

H1 INPDGD NS +
Product Innovation
H2 INPDSV NS +
Organizational Innovation H3 Inov_Org + +
Customer and/or User Suggestions H4 Sug_Users + +
Intellectual Property Rights and Licensing H5 Prop_Intellectual + +
Higher Education of Employees H6 EMPUD NS NS
Business Size H7 SIZE14_COD NS -
Geographic Markets H8 M_GEO NS NS
Internationalization H9 SLO14 - -
Membership of a Group of Firms H10 GP NS NS

5. Conclusions
This study explored marketing innovation in Portuguese firms between 2012 and 2014.
Two multivariate statistical techniques were performed to confirm the hypothesis resulting from
the literature review, namely: multiple linear regression and discriminant analysis. Both had different
objectives. In the first one, it was aimed to understand which factors contributed more to explain the
Marketing Innovation Index or marketing innovation level of firms and in the second one it was aimed
to define a profile of the firms that do not innovate and innovate in marketing.
Regarding multiple linear regression, it was concluded that the model is significant, and it explains
20.4% of the Marketing Innovation Index. Organizational Innovation Index, customer suggestions
and/or users and IPRL were the variables with the greatest contribution to explain Marketing Innovation
Index. In fact, about the contribution of IPRL, they can increase the capacity of Marketing Innovation
in the sense that firms feel more confident in sharing knowledge because they are protected [6].
In turn, the positive contribution of organizational innovation can be explained by the fact that
firms increasingly apply improvements in organizational management through innovative marketing
measures [7]. Finally, the contribution of customer suggestions and/or users may be related to the fact
that they are the consumers of the innovations implemented through products and/or services, so they
have a good perception of what they want to buy [8].
Discriminant analysis reinforced the results obtained through multiple linear regression and
proved useful to understand that the different indices of Marketing Innovation display no influence
on the results, since they were equivalent when used a dummy variable (innovated/not innovated in
marketing). In order to summarise the results of the discriminant analysis, the variables show little
discriminative power, however, most of the 7,083 cases (both in the original classification and in the
cross validation) were correctly classified. Product Innovation and Organizational Innovation, proved
to be important to distinguish innovative from non-innovative in marketing firms, but not relevant to
explain the increase of the level of marketing innovation.
Geographic markets, a higher academic level of the employees and belonging to a group of firms
do not contribute to explain the Marketing Innovation, thus rejecting the hypothesis initially placed:
H6, H8 and H10.
Internationalization, proved to be an obstacle to promotion of marketing innovation, as much as
the business size, thus H7 and H9 are verified but with a sign different from expected in the literature.
This study offers some difficulties and limitations, namely that most of the existing literature on
Marketing Innovation is considerably recent and that, since 2014 (date of the CIS database) to present,
behavioral changes may occur in firms regarding the importance of marketing and innovation itself.

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The results show that there is still room for exploring the factors explaining marketing innovation,
and this study took some steps in this direction. In fact, a future study may consider other variables,
such as cooperation, marketing activities and/or public financial support [33], since the variables used
in this study although relevant, are insufficient to fully explain Marketing Innovation. In parallel,
it would be relevant to obtain more recent data through primary data, for example, firm surveys,
in order to enrich and complement this study or to expand the research.

Author Contributions: Cooperative work throughout the manuscript. All authors read and approved the
final manuscript.
Acknowledgments: We are grateful for ESTG—P. PORTO and CIISESI for the support in the preparation of this
manuscript and in the participation in SYMCOMP 2019—4th International Conference on Numerical and Symbolic
Computation. Developments and Applications.
Conflicts of Interest: The authors declare no conflict of interest.

Appendix A

Appendix A.1. Frequency Tables

Table A1. Business size | frequency table.

Size14_COD
Frequency Percent Valid Percent Cumulative Percent
10–49 employees 4704 66.4 74.1 74.1
50–249 employees 1311 18.5 20.7 94.8
Valid
>= 250 employees 332 4.7 5.2 100.0
Total 6347 89.6 100.0
Missing System 736 10.4
Total 7083 100.0

Table A2. Belonging to a group of firms | frequency table.

GP
Frequency Percent Valid Percent Cumulative Percent
No 5077 71.7 71.7 71.7
Valid Yes 2006 28.3 28.3 100.0
Total 7083 100.0 100.0

Table A3. Geographic markets | frequency table.

M_GEO
Frequency Percent Valid Percent Cumulative Percent
1.00 1172 16.5 16.5 16.5
2.00 1659 23.4 23.4 40.0
Valid 3.00 1701 24.0 24.0 64.0
4.00 2551 36.0 36.0 100.0
Total 7083 100.0 100.0

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Table A4. Higher education of employees | frequency table.

EMPUD
Frequency Percent Valid Percent Cumulative Percent
0% 1107 15.6 15.6 15.6
1%–4% 1825 25.8 25.8 41.4
5%–9% 929 13.1 13.1 54.5
10%–24% 1451 20.5 20.5 75.0
Valid
25%–49% 770 10.9 10.9 85.9
50%–74% 495 7.0 7.0 92.9
75%–100% 506 7.1 7.1 100.0
Total 7083 100.0 100.0

Table A5. Intellectual property rights and licensing | frequency table.

Prop_Intellectual
Frequency Percent Valid Percent Cumulative Percent
0.00 6087 85.9 85.9 85.9
1.00 791 11.2 11.2 97.1
2.00 155 2.2 2.2 99.3
Valid
3.00 38 0.5 0.5 99.8
4.00 12 0.2 0.2 100.0
Total 7083 100.0 100.0

Table A6. Marketing Innovation Index | frequency table.

Inov_Mark
Frequency Percent Valid Percent Cumulative Percent
0.00 4824 68.1 68.1 68.1
1.00 981 13.9 13.9 82.0
2.00 638 9.0 9.0 91.0
Valid
3.00 358 5.1 5.1 96.0
4.00 282 4.0 4.0 100.0
Total 7083 100.0 100.0

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 Table A7. Measures of central tendency and asymmetry and kurtosis | descriptive analysis.

Statistics
GP INPDGD INPDSV Inov_Mark M_GEO Inov_Org Prop_Intellectual Sug_Utilizadores SLO14 SIZE14_COD EMPUD
Valid 7083 7083 7083 7083 7083 7083 7083 4164 7083 6347 7083
N
Missing 0 0 0 0 0 0 0 2919 0 736 0
Mean 0.28 0.27 0.18 0.6295 2.7950 0.5382 0.1783 6.1720 0.1617 1.31 2.35
Median 0.00 0.00 0.00 0.0000 3.0000 0.0000 0.0000 6.0000 0.0000 1.00 2.00
Mode 0 0 0 0.00 4.00 0.00 0.00 0.00 0.00 1 1
Math. Comput. Appl. 2019, 24, 99

Std. Deviation 0.451 0.441 0.388 1.09296 1.10200 0.94186 0.49279 4.69351 0.29247 0.565 1.782
Skewness 0.963 1.064 1.624 1.737 −0.331 1.580 3.381 0.385 1.745 1.650 0.473
Std. Error of Skewness 0.029 0.029 0.029 0.029 0.029 0.029 0.029 0.038 0.029 0.031 0.029
Kurtosis −1.074 −0.867 0.639 2.022 −1.256 1.152 13.876 −0.750 1.636 1.710 −0.754
Std. Error of Kurtosis 0.058 0.058 0.058 0.058 0.058 0.058 0.058 0.076 0.058 0.061 0.058
Minimum 0 0 0 0.00 1.00 0.00 0.00 0.00 0.00 1 0
Maximum 1 1 1 4.00 4.00 3.00 4.00 18.00 1.00 3 6
25 0.00 0.00 0.00 0.0000 2.0000 0.0000 0.0000 2.0000 0.0000 1.00 1.00

82
Percentiles 50 0.00 0.00 0.00 0.0000 3.0000 .0000 0.0000 6.0000 0.0000 1.00 2.00
75 1.00 1.00 0.00 1.0000 4.0000 1.0000 0.0000 10.0000 0.1700 2.00 4.00
Math. Comput. Appl. 2019, 24, 99

Table A8. Organizational Innovation Index | frequency table.

Inov_Org
Frequency Percent Valid Percent Cumulative Percent
0.00 4996 70.5 70.5 70.5
1.00 898 12.7 12.7 83.2
Valid 2.00 653 9.2 9.2 92.4
3.00 536 7.6 7.6 100.0
Total 7083 100.0 100.0

Table A9. Service innovation | frequency table.

INPDSV
Frequência Percent Valid Percent Cumulative Percent
No 5774 81.5 81.5 81.5
Valid Yes 1309 18.5 18.5 100.0
Total 7083 100.0 100.0

Table A10. Goods innovation | frequency table.

INPDGD
Frequency Percent Valid Percent Cumulative Percent
No 5205 73.5 73.5 73.5
Valid Yes 1878 26.5 26.5 100.0
Total 7083 100.0 100.0

Table A11. Customer and/or user suggestions | frequency table.

Sug_Users
Frequency Percent Valid Percent Cumulative Percent
0.00 730 10.3 17.5 17.5
1.00 101 1.4 2.4 20.0
2.00 276 3.9 6.6 26.6
3.00 356 5.0 8.5 35.1
4.00 277 3.9 6.7 41.8
5.00 218 3.1 5.2 47.0
6.00 352 5.0 8.5 55.5
7.00 256 3.6 6.1 61.6
8.00 266 3.8 6.4 68.0
Valid 9.00 256 3.6 6.1 74.2
10.00 211 3.0 5.1 79.2
11.00 188 2.7 4.5 83.7
12.00 251 3.5 6.0 89.8
13.00 142 2.0 3.4 93.2
14.00 97 1.4 2.3 95.5
15.00 71 1.0 1.7 97.2
16.00 34 0.5 0.8 98.0
17.00 34 0.5 0.8 98.8
18.00 48 0.7 1.2 100.0
Total 4164 58.8 100.0
Omisso System 2919 41.2
Total 7083 100.0

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Math. Comput. Appl. 2019, 24, 99

Appendix A.2. Graphics

Figure A1. Internationalization | bar chart.

Figure A2. Bar chart CAE rev.3 | bar chart.

84
Math. Comput. Appl. 2019, 24, 99

Appendix A.3. Multiple Linear Regression | Tables

Table A12. Coefficients | linear regression by forward method.

Coefficients a
Unstandardized Coefficients Standardized Coefficients
Model t Sig.
B Std. Error Beta
(Constant) 0.308 0.072 4.271 0.000
GP −0.031 0.045 −0.011 −0.675 0.500
M_GEO 0.018 0.019 0.015 0.937 0.349
Inov_Org 0.302 0.018 0.259 16.512 0.000
Prop_Intellectual 0.324 0.034 0.145 9.438 0.000
1 Sug_Utilizadores 0.046 0.004 0.172 10.827 0.000
SLO14 −0.294 0.070 −0.069 −4.183 0.000
SIZE14_COD −0.029 0.033 −0.014 −0.865 0.387
EMPUD 0.001 0.012 0.002 0.128 0.898
INPDGD 0.223 0.040 0.089 5.562 0.000
INPDSV 0.240 0.043 0.089 5.572 0.000
a Dependent Variable: Inov_Mark.

Table A13. Variables entered/removed | Stepwise.

Variables Entered/Removed a
Model Variables Entered Variables Removed Method
Stepwise (Criteria: Probability-of-F-to-enter
1 Inov_Org -
<= 0.050. Probability-of-F-to-remove >= 0.100).
Stepwise (Criteria: Probability-of-F-to-enter
2 Sug_Users -
<= 0.050. Probability-of-F-to-remove >= 0.100).
Stepwise (Criteria: Probability-of-F-to-enter
3 Prop_Intellectual -
<= 0.050. Probability-of-F-to-remove >= 0.100).
Stepwise (Criteria: Probability-of-F-to-enter
4 INPDSV -
<= 0.050. Probability-of-F-to-remove >= 0.100).
Stepwise (Criteria: Probability-of-F-to-enter
5 INPDGD -
<= 0.050. Probability-of-F-to-remove >= 0.100).
Stepwise (Criteria: Probability-of-F-to-enter
6 SLO14 -
<= 0.050. Probability-of-F-to-remove >= 0.100).
a Dependent Variable: Inov_Mark.

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© 2019 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access
article distributed under the terms and conditions of the Creative Commons Attribution
(CC BY) license (http://creativecommons.org/licenses/by/4.0/).

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 Mathematical
and Computational
Applications

Article
Numerical Optimal Control of HIV Transmission in
Octave/MATLAB
Carlos Campos 1,† , Cristiana J. Silva 2, *,† and Delfim F. M. Torres 2,†
1 Department of Mathematics, Polytechnic of Leiria, 2411-901 Leiria, Portugal; [email protected]
2 Center for Research and Development in Mathematics and Applications (CIDMA),
Department of Mathematics, University of Aveiro, 3810-193 Aveiro, Portugal; delfi[email protected]
* Correspondence: [email protected]
† These authors contributed equally to this work.

Received: 1 October 2019; Accepted: 17 December 2019; Published: 19 December 2019

Abstract: We provide easy and readable GNU Octave/MATLAB code for the simulation of
mathematical models described by ordinary differential equations and for the solution of optimal
control problems through Pontryagin’s maximum principle. For that, we consider a normalized
HIV/AIDS transmission dynamics model based on the one proposed in our recent contribution (Silva,
C.J.; Torres, D.F.M. A SICA compartmental model in epidemiology with application to HIV/AIDS in
Cape Verde. Ecol. Complex. 2017, 30, 70–75), given by a system of four ordinary differential equations.
An HIV initial value problem is solved numerically using the ode45 GNU Octave function and three
standard methods implemented by us in Octave/MATLAB: Euler method and second-order and
fourth-order Runge–Kutta methods. Afterwards, a control function is introduced into the normalized
HIV model and an optimal control problem is formulated, where the goal is to find the optimal
HIV prevention strategy that maximizes the fraction of uninfected HIV individuals with the least
HIV new infections and cost associated with the control measures. The optimal control problem is
characterized analytically using the Pontryagin Maximum Principle, and the extremals are computed
numerically by implementing a forward-backward fourth-order Runge–Kutta method. Complete
algorithms, for both uncontrolled initial value and optimal control problems, developed under the
free GNU Octave software and compatible with MATLAB are provided along the article.

Keywords: numerical algorithms; optimal control; HIV/AIDS model; GNU Octave; open source
code for optimal control through Pontryagin Maximum Principle

MSC: 34K28; 49N90; 92D30

1. Introduction
In recent years, mathematical modeling of processes in biology and medicine, in particular in
epidemiology, has led to significant scientific advances both in mathematics and biosciences [1,2].
Applications of mathematics in biology are completely opening new pathways of interactions, and this
is certainly true in the area of optimal control: a branch of applied mathematics that deals with
finding control laws for dynamical systems over a period of time such that an objective functional is
optimized [3,4]. It has numerous applications in both biology and medicine [5–8].
To find the best possible control for taking a dynamical system from one state to another, one uses,
in optimal control theory, the celebrated Pontryagin’s maximum principle (PMP), formulated in 1956
by the Russian mathematician Lev Pontryagin and his collaborators [3]. Roughly speaking, PMP
states that it is necessary for any optimal control along with the optimal state trajectory to satisfy
the so-called Hamiltonian system, which is a two-point boundary value problem, plus a maximality
condition on the Hamiltonian. Although a classical result, PMP is usually not taught to biologists

Math. Comput. Appl. 2020, 25, 1; doi:10.3390/mca25010001 89 www.mdpi.com/journal/mca

Math. Comput. Appl. 2020, 25, 1

and mathematicians working on mathematical biology. Here, we show how such scientists can easily
implement the necessary optimality conditions given by the PMP, numerically, and can benefit from
the power of optimal control theory. For that, we consider a mathematical model for HIV.
HIV modeling and optimal control is a subject under strong current research: see, e.g., Reference [9]
and the references therein. Here, we consider the SICA epidemic model for HIV transmission proposed
in References [10,11], formulate an optimal control problem with the goal to find the optimal HIV
prevention strategy that maximizes the fraction of uninfected HIV individuals with least HIV new
infections and cost associated with the control measures, and give complete algorithms in GNU
Octave to solve the considered problems. We trust that our work, by providing the algorithms in an
open programming language, contributes to reducing the so-called “replication crisis” (an ongoing
methodological crisis in which it has been found that many scientific studies are difficult or impossible
to replicate or reproduce [12]) in the area of optimal biomedical research. We trust our current work
will be very useful to a practitioner from the disease control area and will become a reference in the
field of epidemiology for those interested to include an optimal control component in their work.

2. A Normalized SICA HIV/AIDS Model

We consider the SICA epidemic model for HIV transmission proposed in References [10,11],
which is given by the following system of ordinary differential equations:
⎧
⎪
⎪ S (t) = bN (t) − λ(t)S(t) − μS(t)
⎪
⎪
⎪
⎪ 
⎪
⎨ I (t) = λ(t)S(t) − (ρ + φ + μ) I (t) + αA(t) + ωC (t)
(1)
⎪
⎪
⎪
⎪ C  (t) = φI (t) − (ω + μ)C (t)
⎪
⎪
⎪
⎩ 
A (t) = ρ I (t) − (α + μ + d) A(t) .

The model in Equation (1) subdivides human population into four mutually exclusive
compartments: susceptible individuals (S); HIV-infected individuals with no clinical symptoms
of AIDS (the virus is living or developing in the individuals but without producing symptoms or
only mild ones) but able to transmit HIV to other individuals (I); HIV-infected individuals under
ART treatment (the so-called chronic stage) with a viral load remaining low (C); and HIV-infected
individuals with AIDS clinical symptoms (A). The total population at time t, denoted by N (t), is given
by N (t) = S(t) + I (t) + C (t) + A(t). Effective contact with people infected with HIV is at a rate λ(t),
given by
β
λ(t) = ( I (t) + ηC C (t) + η A A(t)) ,
N (t)
where β is the effective contact rate for HIV transmission. The modification parameter η A ≥ 1 accounts
for the relative infectiousness of individuals with AIDS symptoms in comparison to those infected with
HIV with no AIDS symptoms (individuals with AIDS symptoms are more infectious than HIV-infected
individuals—pre-AIDS). On the other hand, ηC ≤ 1 translates the partial restoration of immune
function of individuals with HIV infection that use ART correctly [10]. All individuals suffer from
natural death at a constant rate μ. Both HIV-infected individuals with and without AIDS symptoms
have access to ART treatment: HIV-infected individuals with no AIDS symptoms I progress to the class
of individuals with HIV infection under ART treatment C at a rate φ, and HIV-infected individuals
with AIDS symptoms are treated for HIV at rate α. An HIV-infected individual with AIDS symptoms
A that starts treatment moves to the class of HIV-infected individuals I and after, if the treatment is
maintained, will be transferred to the chronic class C. Individuals in the class C leave to the class I at
a rate ω due to a default treatment. HIV-infected individuals with no AIDS symptoms I that do not
take ART treatment progress to the AIDS class A at rate ρ. Finally, HIV-infected individuals with AIDS
symptoms A suffer from an AIDS-induced death at a rate d.

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Math. Comput. Appl. 2020, 25, 1

In the situation where the total population size N (t) is not constant, it is often convenient to
consider the proportions of each compartment of individuals in the population, namely

s = S/N, i = I/N, c = C/N, r = R/N .

The state variables s, i, c, and a satisfy the following system of differential equations:
⎧
⎪
⎪ s (t) = b(1 − s(t)) − β(i (t) + ηC c(t) + η A a(t))s(t) + d a(t) s(t)
⎪
⎪
⎪
⎪
⎪
⎨i (t) = β (i (t) + ηC c(t) + η A a(t)) s(t) − (ρ + φ + b)i (t) + αa(t) + ωc(t) + d a(t) i (t)
(2)
⎪
⎪
⎪
⎪ c (t) = φi (t) − (ω + b)c(t) + d a(t) c(t)
⎪
⎪
⎪
⎩ 
a ( t ) = ρ i ( t ) − ( α + b + d ) a ( t ) + d a2 ( t )

with s(t) + i (t) + c(t) + a(t) = 1 for all t ∈ [0, T ].

3. Numerical Solution of the SICA HIV/AIDS Model

In this section, we consider Equation (2) subject to the initial conditions given by

s(0) = 0.6 , i (0) = 0.2 , c(0) = 0.1 , a(0) = 0.1 , (3)

by the fixed parameter values from Table 1, and by the final time value of T = 20 (years).

Table 1. Parameter values of the HIV/AIDS model in Equation (2) taken from Reference [11] and
references cited therein.

Symbol Description Value

μ Natural death rate 1/69.54
b Recruitment rate 2.1μ
β HIV transmission rate 1.6
ηC Modification parameter 0.015
ηA Modification parameter 1.3
φ HIV treatment rate for I individuals 1
ρ Default treatment rate for I individuals 0.1
α AIDS treatment rate 0.33
ω Default treatment rate for C individuals 0.09
d AIDS induced death rate 1

All our algorithms, developed to solve numerically the initial value problems in Equations (2)
and (3), are developed under the free GNU Octave software (version 5.1.0), a high-level programming
language primarily intended for numerical computations and is the major free and mostly compatible
alternative to MATLAB [13]. We implement three standard basic numerical techniques: Euler,
second-order Runge–Kutta, and fourth-order Runge–Kutta. We compare the obtained solutions
with the one obtained using the ode45 GNU Octave function.

3.1. Default ode45 Routine of GNU Octave

Using the provided ode45 function of GNU Octave, which solves a set of non-stiff ordinary
differential equations with the well known explicit Dormand–Prince method of order 4, one can solve
the initial value problems in Equations (2) and (3) as follows:
function dy = odeHIVsystem(t,y)
% Parameters of the model
mi = 1.0 / 69.54; b = 2.1 * mi; beta = 1.6;
etaC = 0.015; etaA = 1.3; fi = 1.0; ro = 0.1;

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Math. Comput. Appl. 2020, 25, 1

alfa = 0.33; omega = 0.09; d = 1.0;

% Differential equations of the model

dy = zeros(4,1);
aux1 = beta * (y(2) + etaC * y(3) + etaA * y(4)) * y(1);
aux2 = d * y(4);
dy(1) = b * (1 - y(1)) - aux1 + aux2 * y(1);
dy(2) = aux1 - (ro + fi + b - aux2) * y(2) + alfa * y(4) + omega * y(3);
dy(3) = fi * y(2) - (omega + b - aux2) * y(3);
dy(4) = ro * y(2) - (alfa + b + d - aux2) * y(4);

On the GNU Octave interface, one should then type the following instructions:
>> T = 20; N = 100;
>> [vT,vY] = ode45(@odeHIVsystem,[0:T/N:T],[0.6 0.2 0.1 0.1]);

Next, we show how such approach compares with standard numerical techniques.

3.2. Euler’s Method

Given a well-posed initial-value problem

dy
= f (t, y) with y ( a) = α and a ≤ t ≤ b,
dt

Euler’s method constructs a sequence of approximation points (t, w) ≈ (t, y (t)) to the exact solution
of the ordinary differential equation by ti+1 = ti + h and wi+1 = wi + h f (ti , wi ), i = 0, 1, . . . , N − 1,
where t0 = a, w0 = α, and h = (b − a) /N. Let us apply Euler’s method to approximate each one of
the four state variables of the system of ordinary differential equations (Equation (2)). Our odeEuler
GNU Octave implementation is as follows:
function dy = odeEuler(T)
% Parameters of the model
mi = 1.0 / 69.54; b = 2.1 * mi; beta = 1.6;
etaC = 0.015; etaA = 1.3; fi = 1.0; ro = 0.1;
alfa = 0.33; omega = 0.09; d = 1.0;

% Parameters of the Euler method

test = -1; deltaError = 0.001; M = 100;
t = linspace(0,T,M+1); h = T / M;
S = zeros(1,M+1); I = zeros(1,M+1);
C = zeros(1,M+1); A = zeros(1,M+1);

% Initial conditions of the model

S(1) = 0.6; I(1) = 0.2; C(1) = 0.1; A(1) = 0.1;

% Iterations of the method

while(test < 0)
oldS = S; oldI = I; oldC = C; oldA = A;
for i = 1:M
% Differential equations of the model
aux1 = beta * (I(i) + etaC * C(i) + etaA * A(i)) * S(i);
aux2 = d * A(i);

auxS = b * (1 - S(i)) - aux1 + aux2 * S(i);

auxI = aux1 - (ro + fi + b - aux2) * I(i) + alfa * A(i) + omega * C(i);
auxC = fi * I(i) - (omega + b - aux2) * C(i);

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Math. Comput. Appl. 2020, 25, 1

auxA = ro * I(i) - (alfa + b + d - aux2) * A(i);

% Euler new approximation

S(i+1) = S(i) + h * auxS;
I(i+1) = I(i) + h * auxI;
C(i+1) = C(i) + h * auxC;
A(i+1) = A(i) + h * auxA;
end

% Absolute error for convergence

temp1 = deltaError * sum(abs(S)) - sum(abs(oldS - S));
temp2 = deltaError * sum(abs(I)) - sum(abs(oldI - I));
temp3 = deltaError * sum(abs(C)) - sum(abs(oldC - C));
temp4 = deltaError * sum(abs(A)) - sum(abs(oldA - A));
test = min(temp1,min(temp2,min(temp3,temp4)));
end
dy(1,:) = t; dy(2,:) = S; dy(3,:) = I;
dy(4,:) = C; dy(5,:) = A;

Figure 1 shows the solution of the system of ordinary differential equations (Equation (2)) with the
initial conditions (Equation (3)), computed by the ode45 GNU Octave function (dashed line) versus the
implemented Euler’s method (solid line). As depicted, Euler’s method, although being the simplest
method, gives a very good approximation to the behaviour of each of the four system variables. Both
implementations use the same discretization knots in the interval [0, T ] with a step size given by
h = T/100.

Figure 1. HIV/AIDS system (Equation (2)) behaviour: GNU Octave versus Euler’s method.

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Math. Comput. Appl. 2020, 25, 1

Euler’s method has a global error (total accumulated error) of O (h), and therefore, the error
bound depends linearly on the step size h, which implies that the error is expected to grow in no worse
than a linear manner. Consequently, diminishing the step size should give correspondingly greater
accuracy to the approximations. Table 2 lists the norm of the difference vector, where each component
of this vector is the absolute difference between the results obtained by the ode45 GNU Octave function
and our implementation of Euler’s method, calculated by the vector norms 1, 2, and ∞.

Table 2. Norms 1, 2, and ∞ of the difference vector between ode45 GNU Octave and Euler’s results.

System Variables S (t ) I (t ) C (t ) A (t )
Octave − Euler 1 0.4495660 0.1646710 0.5255950 0.0443340
Octave − Euler 2 0.0659270 0.0301720 0.0783920 0.0101360
Octave − Euler ∞ 0.0161175 0.0113068 0.0190621 0.0041673

3.3. Runge–Kutta of Order Two

Given a well-posed initial-value problem, the Runge–Kutta method of order two constructs a
sequence of approximation points (t, w) ≈ (t, y (t)) to the exact solution of the ordinary differential
K + K2
equation by ti+1 = ti + h, K1 = f (ti , wi ), K2 = f (ti+1 , wi + hK1 ), and wi+1 = wi + h 1 , for each
2
i = 0, 1, . . . , N − 1, where t0 = a, w0 = α, and h = (b − a) /N. Our GNU Octave implementation of
the Runge–Kutta method of order two applies the above formulation to approximate each of the four
variables of the system in Equation (2). We implement the odeRungeKutta_order2 function through
the following GNU Octave instructions:
function dy = odeRungeKutta_order2(T)
% Parameters of the model
mi = 1.0 / 69.54; b = 2.1 * mi; beta = 1.6;
etaC = 0.015; etaA = 1.3; fi = 1.0; ro = 0.1;
alfa = 0.33; omega = 0.09; d = 1.0;

% Parameters of the Runge-Kutta (2nd order) method

test = -1; deltaError = 0.001; M = 100;
t = linspace(0,T,M+1); h = T / M; h2 = h / 2;
S = zeros(1,M+1); I = zeros(1,M+1);
C = zeros(1,M+1); A = zeros(1,M+1);

% Initial conditions of the model

S(1) = 0.6; I(1) = 0.2; C(1) = 0.1; A(1) = 0.1;

% Iterations of the method

while(test < 0)
oldS = S; oldI = I; oldC = C; oldA = A;
for i = 1:M
% Differential equations of the model
% First Runge-Kutta parameter
aux1 = beta * (I(i) + etaC * C(i) + etaA * A(i)) * S(i);
aux2 = d * A(i);
auxS1 = b * (1 - S(i)) - aux1 + aux2 * S(i);
auxI1 = aux1 - (ro + fi + b - aux2) * I(i) + alfa * A(i) + omega * C(i);
auxC1 = fi * I(i) - (omega + b - aux2) * C(i);
auxA1 = ro * I(i) - (alfa + b + d - aux2) * A(i);

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% Second Runge-Kutta parameter

auxS = S(i) + h * auxS1; auxI = I(i) + h * auxI1;
auxC = C(i) + h * auxC1; auxA = A(i) + h * auxA1;
aux1 = beta * (auxI + etaC * auxC + etaA * auxA) * auxS;
aux2 = d * auxA;
auxS2 = b * (1 - auxS) - aux1 + aux2 * auxS;
auxI2 = aux1 - (ro + fi + b - aux2) * auxI + alfa * auxA + omega * auxC;
auxC2 = fi * auxI - (omega + b - aux2) * auxC;
auxA2 = ro * auxI - (alfa + b + d - aux2) * auxA;
% Runge-Kutta new approximation
S(i+1) = S(i) + h2 * (auxS1 + auxS2);
I(i+1) = I(i) + h2 * (auxI1 + auxI2);
C(i+1) = C(i) + h2 * (auxC1 + auxC2);
A(i+1) = A(i) + h2 * (auxA1 + auxA2);
end
% Absolute error for convergence
temp1 = deltaError * sum(abs(S)) - sum(abs(oldS - S));
temp2 = deltaError * sum(abs(I)) - sum(abs(oldI - I));
temp3 = deltaError * sum(abs(C)) - sum(abs(oldC - C));
temp4 = deltaError * sum(abs(A)) - sum(abs(oldA - A));
test = min(temp1,min(temp2,min(temp3,temp4)));
end
dy(1,:) = t; dy(2,:) = S; dy(3,:) = I; dy(4,:) = C; dy(5,:) = A;

Figure 2 shows the solution of the system of Equation (2) with the initial value conditions in
Equation (3) computed by the ode45 GNU Octave function (dashed line) versus our implementation
of the Runge–Kutta method of order two (solid line). As we can see, Runge–Kutta’s method
produces a better approximation than Euler’s method, since both curves in each plot of Figure 2
are indistinguishable.

Figure 2. HIV/AIDS system (Equation (2)): GNU Octave versus Runge–Kutta’s method of order two.

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Runge–Kutta’s method of order two (RK2) has a global truncation error of order O h2 , and as it
is known, this truncation error at a specified step measures the amount by which the exact solution to
the differential equation fails to satisfy the difference equation being used for the approximation at
that step. This might seems like an unlikely way to compare the error of various methods, since we
really want to know how well the approximations generated by the methods satisfy the differential
equation, not the other way around. However, we do not know the exact solution, so we cannot
generally determine this, and the truncation error will serve quite well to determine not only the error
of a method but also the actual approximation error. Table 3 lists the norm of the difference vector
between the results from ode45 routine and Runge–Kutta’s method of order two results.

Table 3. Norms 1, 2, and ∞ of the difference vector between ode45 GNU Octave and RK2 results.

System Variables S (t ) I (t ) C (t ) A (t )
Octave − RungeKutta21 0.0106530 0.0105505 0.0151705 0.0044304
Octave − RungeKutta22 0.0014868 0.0025288 0.0022508 0.0011695
Octave − RungeKutta2∞ 0.0003341 0.0009613 0.0006695 0.0004678

3.4. Runge–Kutta of Order Four

The Runge–Kutta method of order four (RK4) constructs a sequence of approximation points
(t, w) ≈ (t, y (t)) to the
 exact solution of an ordinary
  equation by ti+1 = ti + h,
differential
K1 = f (ti , wi ), K2 = f ti + 2h , wi + 2h K1 , K3 = f ti + 2h , wi + 2h K2 , K4 = f (ti+1 , wi + hK3 ), and
h
wi+1 = wi + (K1 + 2K2 + 2K3 + K4 ), for each i = 0, 1, . . . , N − 1, where t0 = a, w0 = α, and
6
h = (b − a) /N. Our GNU Octave implementation of the Runge–Kutta method of order four applies
the above formulation to approximate the solution of the system in Equation (2) with the initial
conditions of Equation (3) through the following instructions:
function dy = odeRungeKutta_order4(T)
% Parameters of the model
mi = 1.0 / 69.54; b = 2.1 * mi; beta = 1.6;
etaC = 0.015; etaA = 1.3; fi = 1.0; ro = 0.1;
alfa = 0.33; omega = 0.09; d = 1.0;

% Parameters of the Runge-Kutta (4th order) method

test = -1; deltaError = 0.001; M = 100;
t = linspace(0,T,M+1);
h = T / M; h2 = h / 2; h6 = h / 6;
S = zeros(1,M+1); I = zeros(1,M+1);
C = zeros(1,M+1); A = zeros(1,M+1);

% Initial conditions of the model

S(1) = 0.6; I(1) = 0.2; C(1) = 0.1; A(1) = 0.1;
% Iterations of the method
while(test < 0)
oldS = S; oldI = I; oldC = C; oldA = A;
for i = 1:M
% Differential equations of the model
% First Runge-Kutta parameter
aux1 = beta * (I(i) + etaC * C(i) + etaA * A(i)) * S(i);
aux2 = d * A(i);
auxS1 = b * (1 - S(i)) - aux1 + aux2 * S(i);
auxI1 = aux1 - (ro + fi + b - aux2) * I(i) + alfa * A(i) + omega * C(i);

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auxC1 = fi * I(i) - (omega + b - aux2) * C(i);

auxA1 = ro * I(i) - (alfa + b + d - aux2) * A(i);

% Second Runge-Kutta parameter

auxS = S(i) + h2 * auxS1; auxI = I(i) + h2 * auxI1;
auxC = C(i) + h2 * auxC1; auxA = A(i) + h2 * auxA1;
aux1 = beta * (auxI + etaC * auxC + etaA * auxA) * auxS;
aux2 = d * auxA;

auxS2 = b * (1 - auxS) - aux1 + aux2 * auxS;

auxI2 = aux1 - (ro + fi + b - aux2) * auxI + alfa * auxA + omega * auxC;
auxC2 = fi * auxI - (omega + b - aux2) * auxC;
auxA2 = ro * auxI - (alfa + b + d - aux2) * auxA;

% Fird Runge-Kutta parameter

auxS = S(i) + h2 * auxS2; auxI = I(i) + h2 * auxI2;
auxC = C(i) + h2 * auxC2; auxA = A(i) + h2 * auxA2;
aux1 = beta * (auxI + etaC * auxC + etaA * auxA) * auxS;
aux2 = d * auxA;

auxS3 = b * (1 - auxS) - aux1 + aux2 * auxS;

auxI3 = aux1 - (ro + fi + b - aux2) * auxI + alfa * auxA + omega * auxC;
auxC3 = fi * auxI - (omega + b - aux2) * auxC;
auxA3 = ro * auxI - (alfa + b + d - aux2) * auxA;

% Fourth Runge-Kutta parameter

auxS = S(i) + h * auxS3; auxI = I(i) + h * auxI3;
auxC = C(i) + h * auxC3; auxA = A(i) + h * auxA3;
aux1 = beta * (auxI + etaC * auxC + etaA * auxA) * auxS;
aux2 = d * auxA;

auxS4 = b * (1 - auxS) - aux1 + aux2 * auxS;

auxI4 = aux1 - (ro + fi + b - aux2) * auxI + alfa * auxA + omega * auxC;
auxC4 = fi * auxI - (omega + b - aux2) * auxC;
auxA4 = ro * auxI - (alfa + b + d - aux2) * auxA;

% Runge-Kutta new approximation

S(i+1) = S(i) + h6 * (auxS1 + 2 * (auxS2 + auxS3) + auxS4);
I(i+1) = I(i) + h6 * (auxI1 + 2 * (auxI2 + auxI3) + auxI4);
C(i+1) = C(i) + h6 * (auxC1 + 2 * (auxC2 + auxC3) + auxC4);
A(i+1) = A(i) + h6 * (auxA1 + 2 * (auxA2 + auxA3) + auxA4);
end

% Absolute error for convergence

temp1 = deltaError * sum(abs(S)) - sum(abs(oldS - S));
temp2 = deltaError * sum(abs(I)) - sum(abs(oldI - I));
temp3 = deltaError * sum(abs(C)) - sum(abs(oldC - C));
temp4 = deltaError * sum(abs(A)) - sum(abs(oldA - A));
test = min(temp1,min(temp2,min(temp3,temp4)));
end
dy(1,:) = t; dy(2,:) = S; dy(3,:) = I;
dy(4,:) = C; dy(5,:) = A;

Figure 3 shows the solution of the initial value problem in Equations (2) and (3) computed by
the ode45 GNU Octave function (dashed line) versus our implementation of the Runge–Kutta method

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of order four (solid line). The results of the Runge–Kutta method of order four are extremely good.
 
Moreover, this method requires four evaluations per step and its global truncation error is O h4 .

Figure 3. HIV/AIDS system (Equation (2)): GNU Octave versus Runge–Kutta’s method of order four.

Table 4 lists the norm of the difference vector between results obtained by the Octave routine
ode45 and the 4th order Runge–Kutta method.

Table 4. Norms 1, 2, and ∞ of the difference vector between ode45 GNU Octave and RK4 results.

System Variables S (t ) I (t ) C (t ) A (t )
Octave − RungeKutta41 0.0003193 0.0002733 0.0004841 0.0000579
Octave − RungeKutta42 0.0000409 0.0000395 0.0000674 0.0000098
Octave − RungeKutta4∞ 0.0000107 0.0000140 0.0000186 0.0000042

4. Optimal Control of HIV Transmission

In this section, we propose an optimal control problem that will be solved numerically in
Octave/MATLAB in Section 4.2. We introduce a control function u(·) in the model of Equation
(2), which represents the effort on HIV prevention measures, such as condom use (used consistently
and correctly during every sex act) or oral pre-exposure prophylasis (PrEP). The control system is
given by

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⎧

⎪s (t) = b(1 − s(t)) − (1 − u(t)) β(i (t) + ηC c(t) + η A a(t))s(t) + d a(t) s(t)
⎪
⎪
⎪
⎪
⎪
⎪i (t) = (1 − u(t)) β (i (t) + η c(t) + η a(t)) s(t) − (ρ + φ + b)i (t) + αa(t) + ωc(t) + d a(t) i (t)
⎨ C A
(4)
⎪
⎪
⎪
⎪ c (t) = φi (t) − (ω + b)c(t) + d a(t) c(t)
⎪
⎪
⎪
⎩ 
a ( t ) = ρ i ( t ) − ( α + b + d ) a ( t ) + d a2 ( t ),

where the control u(·) is bounded between 0 and umax , with umax < 1. When the control vanishes,
no extra preventive measure for HIV transmission is being used by susceptible individuals. We assume
that umax is never equal to 1, since it makes the model more realistic from a medical point of view.
The goal is to find the optimal value u∗ of the control u along time, such that the associated state
trajectories s∗ , i∗ , c∗ , and a∗ are solutions of the system in Equation (4) in the time interval [0, T ] with
the following initial given conditions:

s (0) ≥ 0 , i (0) ≥ 0 , c (0) ≥ 0 , a (0) ≥ 0 , (5)

and u∗ (·) maximizes the objective functional given by

 T 
J (u(·)) = s(t) − i (t) − u2 (t) dt, (6)
0

which considers the fraction of susceptible individuals (s) and HIV-infected individuals without AIDS
symptoms (i) and the cost associated with the support of HIV transmission measures (u).
The control system in Equation (4) of ordinary differential equations in R4 is considered with the
set of admissible control functions given by

Ω = {u(·) ∈ L∞ (0, T ) | 0 ≤ u(t) ≤ umax , ∀t ∈ [0, T ]} . (7)

We consider the optimal control problem of determining (s∗ (·), i∗ (·), c∗ (·), a∗ (·)) associated to an
admissible control u∗ (·) ∈ Ω on the time interval [0, T ], satisfying Equation (4) and the initial conditions
of Equation (5) and maximizing the cost functional of Equation (6):

J (u∗ (·)) = max J (u(·)) . (8)

Ω

Note that we are considering a L2 -cost function: the integrand of the cost functional J is concave with
respect to the control u. Moreover, the control system of Equation (4) is Lipschitz with respect to
the state variables (s, i, c, a). These properties ensure the existence of an optimal control u∗ (·) of the
optimal control problem in Equations (4)–(8) (see, e.g., Reference [14]).
To solve optimal control problems, two approaches are possible: direct and indirect. Direct
methods consist in the discretization of the optimal control problem, reducing it to a nonlinear
programming problem [15,16]. For such an approach, one only needs to use the Octave/MATLAB
fmincon routine. Indirect methods are more sound because they are based on Pontryagin’s Maximum
Principle but less widespread since they are not immediately available in Octave/MATLAB. Here,
we show how one can use Octave/MATLAB to solve optimal control problems through Pontryagin’s
Maximum Principle, reducing the optimal control problem to the solution of a boundary value problem.

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4.1. Pontryagin’s Maximum Principle

According to celebrated Pontryagin’s Maximum Principle (see, e.g., Reference [3]), if u∗ (·) is
optimal for Equations (4)–(8) with fixed final time T, then there exists a nontrivial absolutely continuous
mapping Λ : [0, T ] → R4 , Λ(t) = (λ1 (t), λ2 (t), λ3 (t), λ4 (t)), called the adjoint vector, such that

∂H  ∂H ∂H ∂H ∂H ∂H ∂H ∂H
s = , i = , c = , a = , λ1 = − , λ2 = − , λ3 = − , λ4 = − ,
∂λ1 ∂λ2 ∂λ3 ∂λ4 ∂s ∂i ∂c ∂a

where

H = H (s(t), i (t), c(t), a(t), Λ(t), u(t)) = s(t) − i (t) − u2 (t)

 
+ λ1 (t) b(1 − s(t)) − (1 − u(t)) β(i (t) + ηC c(t) + η A a(t))s(t) + d a(t) s(t)
 
+ λ2 (t) (1 − u(t)) β (i (t) + ηC c(t) + η A a(t)) s(t) − (ρ + φ + b)i (t) + αa(t) + ωc(t) + d a(t) i (t)
 
+ λ3 (t) φi (t) − (ω + b)c(t) + d a(t) c(t)
 
+ λ4 ( t ) ρ i ( t ) − ( α + b + d ) a ( t ) + d a2 ( t )

is called the Hamiltonian and the maximality condition

H (s∗ (t), i∗ (t), c∗ (t), a∗ (t), Λ(t), u∗ (t)) = max H ( s ∗ ( t ), i ∗ ( t ), c ∗ ( t ), a ∗ ( t ), Λ ( t ), u )

0≤u≤umax

holds almost everywhere on [0, T ]. Moreover, the transversality conditions

λi ( T ) = 0 , i = 1, . . . , 4,

hold. Applying the Pontryagin maximum principle to the optimal control problem in Equations (4)–(8),
the following theorem follows.

Theorem 1. The optimal control problem of Equations (4)–(8) with fixed final time T admits a unique optimal
solution (s∗ (·), i∗ (·), c∗ (·), a∗ (·)) associated to the optimal control u∗ (·) on [0, T ] described by
   
β (i∗ (t) + ηC c∗ (t) + η A a∗ (t)) s∗ (t) (λ1 (t) − λ2 (t))
u∗ (t) = min max 0, , umax , (9)
2

where the adjoint functions satisfy

⎧
⎪  ∗ ∗ ∗ ∗ ∗
⎪λ1 (t) = −1 + λ1 (t) (b + (1 − u (t)) β (i (t) + ηC c (t) + η A a (t)) − da (t)) ,
⎪
⎪
⎪
⎪ ∗ ∗ ∗ ∗
⎪
⎪ −λ2 (t) (1 − u (t)) β (i (t) + ηC c (t) + η A a (t))
⎪
⎪
⎪
⎪λ (t) = 1 + λ∗ (t) (1 − u∗ (t)) βs∗ (t) − λ2 (t) ((1 − u∗ (t)) βs∗ (t) − (ρ + φ + s∗ (t)) + da∗ (t))
⎪
⎨ 2 1
−λ3 (t)φ − λ4 (t)ρ, (10)
⎪
⎪
⎪
⎪  ∗ ∗ ∗ ∗ ∗
⎪λ3 (t) = λ1 (t) (1 − u (t)) βηC s (t) − λ2 (t) ((1 − u (t)) βηC s (t) + ω ) + λ3 (t) (ω + b − da (t)) ,
⎪
⎪
⎪
⎪λ (t) = λ1 (t) ((1 − u∗ (t)) βη A s∗ (t) + ds∗ (t)) − λ2 (t) ((1 − u∗ (t)) βη A s∗ (t) + α + di∗ (t))
⎪
⎪
⎪ 4
⎪
⎩ −λ3 (t)dc∗ (t) + λ4 (t) (α + b + d − 2da∗ (t)) ,

subject to the transversality conditions λi ( T ) = 0, i = 1, . . . , 4.

Remark 1. The uniqueness of the optimal control u∗ is due to the boundedness of the state and adjoint functions
and the Lipschitz property of the systems in Equations (4) and (10) (see References [17,18] and references
cited therein).

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We implement Theorem 1 numerically in Octave/MATLAB in Section 4.2, and the optimal solution
(s∗ (·), i∗ (·), c∗ (·), a∗ (·)) associated to the optimal control u∗ (·) is computed for given parameter values
and initial conditions.

4.2. Numerical Solution of the HIV Optimal Control Problem

The extremal given by Theorem 1 is now computed numerically by implementing a forward-
backward fourth-order Runge–Kutta method (see, e.g., Reference [19]). This iterative method consists
in solving the system in Equation (4) with a guess for the controls over the time interval [0, T ] using a
forward fourth-order Runge–Kutta scheme and the transversality conditions λi ( T ) = 0, i = 1, . . . , 4.
Then, the adjoint system in Equation (10) is solved by a backward fourth-order Runge–Kutta scheme
using the current iteration solution of Equation (4). The controls are updated by using a convex
combination of the previous controls and the values from Equation (9). The iteration is stopped if
the values of unknowns at the previous iteration are very close to the ones at the present iteration.
Our odeRungeKutta_order4_WithControl function is implemented by the following GNU Octave
instructions:
function dy = odeRungeKutta_order4_WithControl(T)
% Parameters of the model
mi = 1.0 / 69.54; b = 2.1 * mi; beta = 1.6;
etaC = 0.015; etaA = 1.3; fi = 1.0; ro = 0.1;
alfa = 0.33; omega = 0.09; d = 1.0;

% Parameters of the Runge-Kutta (4th order) method

test = -1; deltaError = 0.001; M = 1000;
t = linspace(0,T,M+1);
h = T / M; h2 = h / 2; h6 = h / 6;
S = zeros(1,M+1); I = zeros(1,M+1);
C = zeros(1,M+1); A = zeros(1,M+1);

% Initial conditions of the model

S(1) = 0.6; I(1) = 0.2; C(1) = 0.1; A(1) = 0.1;

%Vectors for system restrictions and control

Lambda1 = zeros(1,M+1); Lambda2 = zeros(1,M+1);
Lambda3 = zeros(1,M+1); Lambda4 = zeros(1,M+1);
U = zeros(1,M+1);
% Iterations of the method
while(test < 0)
oldS = S; oldI = I; oldC = C; oldA = A;
oldLambda1 = Lambda1; oldLambda2 = Lambda2;
oldLambda3 = Lambda3; oldLambda4 = Lambda4;
oldU = U;

%Forward Runge-Kutta iterations

for i = 1:M
% Differential equations of the model
% First Runge-Kutta parameter
aux1 = (1 - U(i)) * beta * (I(i) + etaC * C(i) + etaA * A(i)) * S(i);
aux2 = d * A(i);

auxS1 = b * (1 - S(i)) - aux1 + aux2 * S(i);

auxI1 = aux1 - (ro + fi + b - aux2) * I(i) + alfa * A(i) + omega * C(i);
auxC1 = fi * I(i) - (omega + b - aux2) * C(i);
auxA1 = ro * I(i) - (alfa + b + d - aux2) * A(i);

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% Second Runge-Kutta parameter

auxU = 0.5 * (U(i) + U(i+1));
auxS = S(i) + h2 * auxS1; auxI = I(i) + h2 * auxI1;
auxC = C(i) + h2 * auxC1; auxA = A(i) + h2 * auxA1;
aux1 = (1 - auxU) * beta * (auxI + etaC * auxC + etaA * auxA) * auxS;
aux2 = d * auxA;
auxS2 = b * (1 - auxS) - aux1 + aux2 * auxS;
auxI2 = aux1 - (ro + fi + b - aux2) * auxI + alfa * auxA + omega * auxC;
auxC2 = fi * auxI - (omega + b - aux2) * auxC;
auxA2 = ro * auxI - (alfa + b + d - aux2) * auxA;

% Third Runge-Kutta parameter

auxS = S(i) + h2 * auxS2; auxI = I(i) + h2 * auxI2;
auxC = C(i) + h2 * auxC2; auxA = A(i) + h2 * auxA2;
aux1 = (1 - auxU) * beta * (auxI + etaC * auxC + etaA * auxA) * auxS;
aux2 = d * auxA;

auxS3 = b * (1 - auxS) - aux1 + aux2 * auxS;

auxI3 = aux1 - (ro + fi + b - aux2) * auxI + alfa * auxA + omega * auxC;
auxC3 = fi * auxI - (omega + b - aux2) * auxC;
auxA3 = ro * auxI - (alfa + b + d - aux2) * auxA;

% Fourth Runge-Kutta parameter

auxS = S(i) + h * auxS3; auxI = I(i) + h * auxI3;
auxC = C(i) + h * auxC3; auxA = A(i) + h * auxA3;
aux1 = (1 - U(i+1)) * beta * (auxI + etaC * auxC + etaA * auxA) * auxS;
aux2 = d * auxA;

auxS4 = b * (1 - auxS) - aux1 + aux2 * auxS;

auxI4 = aux1 - (ro + fi + b - aux2) * auxI + alfa * auxA + omega * auxC;
auxC4 = fi * auxI - (omega + b - aux2) * auxC;
auxA4 = ro * auxI - (alfa + b + d - aux2) * auxA;

% Runge-Kutta new approximation

S(i+1) = S(i) + h6 * (auxS1 + 2 * (auxS2 + auxS3) + auxS4);
I(i+1) = I(i) + h6 * (auxI1 + 2 * (auxI2 + auxI3) + auxI4);
C(i+1) = C(i) + h6 * (auxC1 + 2 * (auxC2 + auxC3) + auxC4);
A(i+1) = A(i) + h6 * (auxA1 + 2 * (auxA2 + auxA3) + auxA4);
end

%Backward Runge-Kutta iterations

for i = 1:M
j = M + 2 - i;

% Differential equations of the model

% First Runge-Kutta parameter
auxU = 1 - U(j);
aux1 = auxU * beta * (I(j) + etaC * C(j) + etaA * A(j));
aux2 = d * A(j);

auxLambda11 = -1 + Lambda1(j) * (b + aux1 - aux2) - Lambda2(j) * aux1;

aux1 = auxU * beta * S(j);
auxLambda21 = 1 + Lambda1(j) * aux1 - Lambda2(j) * (aux1 - (ro + fi + b) + ...
+ aux2) - Lambda3(j) * fi - Lambda4(j) * ro;

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aux1 = auxU * beta * etaC * S(j);

auxLambda31 = Lambda1(j) * aux1 - Lambda2(j) * (aux1 + ...
+ omega) + Lambda3(j) * (omega + b - aux2);
aux1 = auxU * beta * etaA * S(j);
auxLambda41 = Lambda1(j) * (aux1 + d * S(j)) ...
- Lambda2(j) * (aux1 + alfa + ...
+ d * I(j)) - Lambda3(j) * d * C(j) + ...
+ Lambda4(j) * (alfa + b + d - 2 * aux2);

% Second Runge-Kutta parameter

auxU = 1 - 0.5 * (U(j) + U(j-1));
auxS = 0.5 * (S(j) + S(j-1));
auxI = 0.5 * (I(j) + I(j-1));
auxC = 0.5 * (C(j) + C(j-1));
auxA = 0.5 * (A(j) + A(j-1));

aux1 = auxU * beta * (auxI + etaC * auxC + etaA * auxA);

aux2 = d * auxA;
auxLambda1 = Lambda1(j) - h2 * auxLambda11;
auxLambda2 = Lambda2(j) - h2 * auxLambda21;
auxLambda3 = Lambda3(j) - h2 * auxLambda31;
auxLambda4 = Lambda4(j) - h2 * auxLambda41;

auxLambda12 = -1 + auxLambda1 * (b + aux1 - aux2) - auxLambda2 * aux1;

aux1 = auxU * beta * auxS;
auxLambda22 = 1 + auxLambda1 * aux1 - auxLambda2 * (aux1 - (ro + fi + b) + ...
+ aux2) - auxLambda3 * fi - auxLambda4 * ro;
aux1 = auxU * beta * etaC * auxS;
auxLambda32 = auxLambda1 * aux1 - auxLambda2 * (aux1 + ...
+ omega) + auxLambda3 * (omega + b - aux2);
aux1 = auxU * beta * etaA * auxS;
auxLambda42 = auxLambda1 * (aux1 + d * auxS) ...
- auxLambda2 * (aux1 + alfa + ...
+ d * auxI) - auxLambda3 * d * auxC + ...
+ auxLambda4 * (alfa + b + d - 2 * aux2);

% Third Runge-Kutta parameter

aux1 = auxU * beta * (auxI + etaC * auxC + etaA * auxA);
auxLambda1 = Lambda1(j) - h2 * auxLambda12;
auxLambda2 = Lambda2(j) - h2 * auxLambda22;
auxLambda3 = Lambda3(j) - h2 * auxLambda32;
auxLambda4 = Lambda4(j) - h2 * auxLambda42;

auxLambda13 = -1 + auxLambda1 * (b + aux1 - aux2) - auxLambda2 * aux1;

aux1 = auxU * beta * auxS;
auxLambda23 = 1 + auxLambda1 * aux1 ...
- auxLambda2 * (aux1 - (ro + fi + b) + ...
+ aux2) - auxLambda3 * fi - auxLambda4 * ro;
aux1 = auxU * beta * etaC * auxS;
auxLambda33 = auxLambda1 * aux1 - auxLambda2 * (aux1 + ...
+ omega) + auxLambda3 * (omega + b - aux2);
aux1 = auxU * beta * etaA * auxS;
auxLambda43 = auxLambda1 * (aux1 + d * auxS) ...
- auxLambda2 * (aux1 + alfa + d * auxI) - auxLambda3 * d * auxC + ...
+ auxLambda4 * (alfa + b + d - 2 * aux2);

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Math. Comput. Appl. 2020, 25, 1

% Fourth Runge-Kutta parameter

auxU = 1 - U(j-1); auxS = S(j-1);
auxI = I(j-1); auxC = C(j-1); auxA = A(j-1);

aux1 = auxU * beta * (auxI + etaC * auxC + etaA * auxA);

aux2 = d * auxA;
auxLambda1 = Lambda1(j) - h * auxLambda13;
auxLambda2 = Lambda2(j) - h * auxLambda23;
auxLambda3 = Lambda3(j) - h * auxLambda33;
auxLambda4 = Lambda4(j) - h * auxLambda43;

auxLambda14 = -1 + auxLambda1 * (b + aux1 - aux2) ...

- auxLambda2 * aux1;
aux1 = auxU * beta * auxS;
auxLambda24 = 1 + auxLambda1 * aux1 ...
- auxLambda2 * (aux1 - (ro + fi + b) + ...
+ aux2) - auxLambda3 * fi - auxLambda4 * ro;
aux1 = auxU * beta * etaC * auxS;
auxLambda34 = auxLambda1 * aux1 - auxLambda2 * (aux1 + ...
+ omega) + auxLambda3 * (omega + b - aux2);
aux1 = auxU * beta * etaA * auxS;
auxLambda44 = auxLambda1 * (aux1 + d * auxS) ...
- auxLambda2 * (aux1 + alfa + ...
+ d * auxI) - auxLambda3 * d * auxC + ...
+ auxLambda4 * (alfa + b + d - 2 * aux2);

% Runge-Kutta new approximation

Lambda1(j-1) = Lambda1(j) - h6 * (auxLambda11 + ...
+ 2 * (auxLambda12 + auxLambda13) + auxLambda14);
Lambda2(j-1) = Lambda2(j) - h6 * (auxLambda21 + ...
+ 2 * (auxLambda22 + auxLambda23) + auxLambda24);
Lambda3(j-1) = Lambda3(j) - h6 * (auxLambda31 + ...
+ 2 * (auxLambda32 + auxLambda33) + auxLambda34);
Lambda4(j-1) = Lambda4(j) - h6 * (auxLambda41 + ...
+ 2 * (auxLambda42 + auxLambda43) + auxLambda44);
end

% New vector control

for i = 1:M+1
vAux(i) = 0.5 * beta * (I(i) + etaC * C(i) + ...
+ etaA * A(i)) * S(i) * (Lambda1(i) - Lambda2(i));
auxU = min([max([0.0 vAux(i)]) 0.5]);
U(i) = 0.5 * (auxU + oldU(i));
end

% Absolute error for convergence

temp1 = deltaError * sum(abs(S)) - sum(abs(oldS - S));
temp2 = deltaError * sum(abs(I)) - sum(abs(oldI - I));
temp3 = deltaError * sum(abs(C)) - sum(abs(oldC - C));
temp4 = deltaError * sum(abs(A)) - sum(abs(oldA - A));
temp5 = deltaError * sum(abs(U)) - sum(abs(oldU - U));
temp6 = deltaError * sum(abs(Lambda1)) - sum(abs(oldLambda1 - Lambda1));
temp7 = deltaError * sum(abs(Lambda2)) - sum(abs(oldLambda2 - Lambda2));
temp8 = deltaError * sum(abs(Lambda3)) - sum(abs(oldLambda3 - Lambda3));

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Math. Comput. Appl. 2020, 25, 1

temp9 = deltaError * sum(abs(Lambda4)) - sum(abs(oldLambda4 - Lambda4));

test = min(temp1,min(temp2,min(temp3,min(temp4, ...
min(temp5,min(temp6,min(temp7,min(temp8,temp9))))))));
end
dy(1,:) = t; dy(2,:) = S; dy(3,:) = I;
dy(4,:) = C; dy(5,:) = A; dy(6,:) = U;

disp("Value of LAMBDA at FINAL TIME");

disp([Lambda1(M+1) Lambda2(M+1) Lambda3(M+1) Lambda4(M+1)]);

For the numerical simulations, we consider umax = 0.5, representing a lack of resources or misuse
of the preventive HIV measures u(·), that is, the set of admissible controls is given by

Ω = {u(·) ∈ L∞ (0, T ) | 0 ≤ u(t) ≤ 0.5 , ∀t ∈ [0, T ]} (11)

with T = 20 (years). Figures 4 and 5 show the numerical solution to the optimal control problem
of Equations (4)–(8) with the initial conditions of Equation (3) and the admissible control set in
Equation (11) computed by our odeRungeKutta_order4_WithControl function. Figure 6 depicts the
extremal control behaviour of u∗ .

Figure 4. Optimal state variables for the control problem in Equations (4)–(8) subject to the initial
conditions in Equation (3) and the admissible control set in Equation (11) versus trajectories without
control measures.

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Math. Comput. Appl. 2020, 25, 1

Figure 5. Comparison: solutions to the initial value problem in Equations (2)–(3) versus solutions to
the optimal control problem in Equations (4)–(8) subject to initial conditions in Equation (3) and the
admissible control set in Equation (11).

Figure 6. Optimal control u∗ for the HIV optimal control problem in Equations (4)–(8) subject to the
initial conditions in Equation (3) and the admissible control set in Equation (11).

5. Conclusions
The paper provides a study on numerical methods to deal with modelling and optimal control of
epidemic problems. Simple but effective Octave/MATLAB code is fully provided for a recent model
proposed in Reference [10]. The given numerical procedures are robust with respect to the parameters:
we have used the same values as the ones in Reference [10], but the code is valid for other values of the
parameters and easily modified to other models. The results show the effectiveness of optimal control
theory in medicine and the usefulness of a scientific computing system such as GNU Octave: using the
control measure as predicted by Pontryagin’s maximum principle and numerically computed by our
Octave code, one sees that the number of HIV/AIDS-infected and -chronic individuals diminish and,

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Math. Comput. Appl. 2020, 25, 1

as a consequence, the number of susceptible (not ill) individuals increase. We trust our paper will be
very useful to a practitioner from the disease control area. Indeed, this work has been motivated by
many emails we received and continue to receive, asking us to provide the software code associated to
our research papers on applications of optimal control theory in epidemiology, e.g., References [20,21].

Author Contributions: Each author equally contributed to this paper, read and approved the final manuscript.
All authors have read and agreed to the published version of the manuscript.
Funding: This research was partially supported by the Portuguese Foundation for Science and Technology
(FCT) within projects UID/MAT/04106/2019 (CIDMA) and PTDC/EEI-AUT/2933/2014 (TOCCATTA)
and was cofunded by FEDER funds through COMPETE2020—Programa Operacional Competitividade e
Internacionalização (POCI) and by national funds (FCT). Silva is also supported by national funds (OE), through
FCT, I.P., in the scope of the framework contract foreseen in numbers 4–6 of article 23 of the Decree-Law 57/2016
of August 29, changed by Law 57/2017 of July 19.
Acknowledgments: The authors are sincerely grateful to four anonymous reviewers for several useful comments,
suggestions, and criticisms, which helped them to improve the paper.
Conflicts of Interest: The authors declare no conflict of interest.

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distributed delay and relapse. Stat. Optim. Inf. Comput. 2019, 7, 545–557. [CrossRef]
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Processes; Translated from the Russian by K.N. Trirogoff; Neustadt, L.W., Ed.; John Wiley & Sons, Inc.:
New York, NY, USA, 1962.
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Discrete Contin. Dyn. Syst. Ser. S 2018, 11, 119–141. [CrossRef]
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Modeling. Bull. Math. Biol. 2018, 80, 3071–3080. [CrossRef] [PubMed]
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Interactive Language for Numerical Computations. Available online: https://enacit.epfl.ch/cours/matlab-
octave/octave-documentation/octave/octave.pdf (accessed on 6 October 2019).
14. Cesari, L. Optimization—Theory and Applications; Springer: New York, NY, USA, 1983. [CrossRef]
15. Salati, A.B.; Shamsi, M.; Torres, D.F.M. Direct transcription methods based on fractional integral
approximation formulas for solving nonlinear fractional optimal control problems. Commun. Nonlinear Sci.
Numer. Simul. 2019, 67, 334–350. [CrossRef]
16. Nemati, S.; Lima, P.M.; Torres, D.F.M. A numerical approach for solving fractional optimal control problems
using modified hat functions. Commun. Nonlinear Sci. Numer. Simul. 2019, 78, 104849. [CrossRef]

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17. Jung, E.; Lenhart, S.; Feng, Z. Optimal control of treatments in a two-strain tuberculosis model.
Discrete Contin. Dyn. Syst. Ser. B 2002, 2, 473–482. [CrossRef]
18. Silva, C.J.; Torres, D.F.M. Optimal control for a tuberculosis model with reinfection and post-exposure
interventions. Math. Biosci. 2013, 244, 154–164. [CrossRef] [PubMed]
19. Lenhart, S.; Workman, J.T. Optimal Control Applied to Biological Models; Chapman & Hall/CRC: Boca Raton,
FL, USA, 2007.
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outbreak in West Africa. Discrete Dyn. Nat. Soc. 2015. [CrossRef]
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c 2019 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access
article distributed under the terms and conditions of the Creative Commons Attribution
(CC BY) license (http://creativecommons.org/licenses/by/4.0/).

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 Mathematical
and Computational
Applications

Article
Isogeometric Analysis for Fluid Shear Stress in
Cancer Cells
José A. Rodrigues
Centro de Investigação em Modelação e Optimização de Sistemas Multifuncionais (CIMOSM), Instituto
Superior de Engenharia de Lisboa (ISEL), Instituto Politécnico de Lisboa, Rua Conselheiro Emídio Navarro,
1959-007 Lisboa, Portugal; [email protected]

Received: 20 December 2019; Accepted: 2 April 2020; Published: 3 April 2020

Abstract: The microenvironment of the tumor is a key factor regulating tumor cell invasion and
metastasis. The effects of physical factors in tumorigenesis is unclear. Shear stress, induced by
liquid flow, plays a key role in proliferation, apoptosis, invasion, and metastasis of tumor cells. The
mathematical models have the potential to elucidate the metastatic behavior of the cells’ membrane
exposed to these microenvironment forces. Due to the shape configuration of the cancer cells,
Non-uniform Rational B-splines (NURBS) lines are very adequate to define its geometric model. The
Isogeometric Analysis allows a simplified transition of exact CAD models into the analysis avoiding
the geometrical discontinuities of the traditional Galerkin traditional techniques. In this work, we use
an isogeometric analysis to model the fluid-generated forces that tumor cells are exposed to in the
vascular and tumor microenvironments, in the metastatic process. Using information provided by
experimental tests in vitro, we present a suite of numerical experiments which indicate, for standard
configurations, the metastatic behavior of cells exposed to such forces. The focus of this paper is
strictly on geometrical sensitivities to the shear stress’ exhibition for the cell membrane, this being its
innovation.

Keywords: Darcy; Brinkman; incompressible; isogeometric analysis; shear stress; interstitial flow;
cancer; NURBS

1. Introduction
The formation of a secondary tumor at a site distant from the the primary tumor is known as
metastasis by a cancerous tumor. To initiate the metastatic spread of cancer through the bloodstream,
tumor cells must transit through microenvironments of dramatically varying physical forces. Cancer
cells are able to migrate through the stroma, intravasate through the endothelium into the blood or
lymphatic vessels, to flow within the vessels, to extravasate from the vessel through the endothelium
and colonize in tissue at a secondary site [1].
In soft tissues, cancer cells are exposed to mechanical forces due to fluid shear stress, hydrostatic
pressure, tension and compression forces. Fluid shear stress is one of the most important forces
that cells are exposed to, and its effects on blood cells, endothelial cells, smooth muscle cells, and
others have been extensively studied. However, much less is known about fluid shear stress effects
on tumor cells. Cancer cells experience two main kinds of fluid shear stress: stresses generated by
blood flow in the vascular microenvironment, and those generated by interstitial flows in the tumor
microenvironment [2]. Stresses generated by interstitial and blood flows could contribute to the
metastatic process by enhancing tumor cell invasion and circulating tumor cell adhesion to blood
vessels, respectively. However, it is difficult to predict tumor cell behavior to such forces and it is
difficult to experimentally measure such flows in the tumor microenvironment [3].
In this work, we apply Mathematical and Mechanical processes to analyze the metastatic behavior
of the cells’ membrane exposed to microenvironement forces. Providing an Isogeometric Analysis

Math. Comput. Appl. 2020, 25, 19; doi:10.3390/mca25020019 109 www.mdpi.com/journal/mca

Math. Comput. Appl. 2020, 25, 19

(IGA) [4] computational method to model and predict how cancer cells respond to such forces, we allow
for new insight and new decision tools for medical problems.
The biological fluid study at microenvironments, in vivo or in vitro, is a recent topic following the
microfluidic technology and mechanical methodology methods developments [5–8], with the ethical
and budget restrictions, increasing the evidence that fluid shear stress is an essential factor affecting
fluid mechanics [1].
The current work serves as an introduction to this line of research on mathematical modeling to
help us understand the omics data produced by experimental techniques and to bridge the gap between
the developments of technologies and systemic modelling of the biological process in cancer research.
Although it is accepted that the effectiveness of IGA methods is well-established for problems
with complex geometries, its effect in biologic models has not been extensively studied. Indeed,
at present, general research in this subject is still in this infancy for the case studies presented [9,10].
First, we introduce and describe the methodology. We then provide a mathematical and numerical
analysis overview for the interstitial flow governing model and in order to estimate the fluid shear
stress on cells in tissues.
Standard shape for cancer cells is very irregular, for this reason Non-uniform Rational B-splines
(NURBS) lines are very adequate to define its geometric model. The Isogeometric Analysis allows for
simplified transition of exact CAD models into the analysis, avoiding the geometrical discontinuities of
the traditional Galerkin traditional techniques. For the exhibit models, NURBS provides a high-quality
geometric model, quite analogous to a physical model, and also defines the basis of the discrete space
in which the partial differential equation solution is approximated with great accuracy per degree of
freedom, as referred to in Section 3.
We conclude with simulations to predict the effect of fluid shear stress on cancer cells for several
scenarios of microenvironment tumor implantation.
In this paper, we focus on the effects of shear stress, induced by liquid flow, on apoptosis, invasion,
and metastasis of tumor cells, following the theoretical [11] and numerical [12] work for a Stokes flow.

2. Materials and Methods

2.1. Model Geometry

Tumor cells have a large variety in shape and size. Therefore, several different geometries will be
considered in this study, always considering these as standard cells. We will consider bidimensional
projections (as shown in Figure 24) of the model shown in Figure 1 to inspire the geometrical model
for the presented cases.

Figure 1. Tridimensional tumor’s geometrical model [7]. Bidimensional projections of this model will
be considered for the study cases.

For these geometrical models, Non-uniform Rational B-splines (NURBS) lines are very adequate
to define it due to simplified transition of exact CAD models into the analysis, avoiding the geometrical
discontinuities of the traditional Galerkin traditional techniques.

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Math. Comput. Appl. 2020, 25, 19

2.2. Governing Equations

Average equations describing viscous flow through a porous region are of great theoretical
and practical interest. At the microscale level, the Stokes equations apply and provide a complete
description of the entire flow field. However, Darcy’s law, formally derived by performing appropriate
volume averages of Stokes equations, is applicable. The qualitative difference between these two flow
descriptions motivate Brinkman to suggest a general equation that interpolates between the Stokes
equation and Darcy’s law [13]. We introduce and describe the mathematical model in the next section.

3. Mathematical Formulation

3.1. The Darcy–Brinkman Equation

Darcy’s law is a phenomenologically derived constitutive equation that describes the flow of
a fluid through a porous medium [9,10]. This law, as an expression of conservation of momentum,
was determined experimentally by Darcy. It has since been derived from the Navier–Stokes equations
via homogenization. It is analogous to Fourier’s law in the field of heat conduction.

k
u = − ∇ p (1)
ν
where k is the permeability of the medium, ∇ p is the pressure gradient vector, ν is the viscosity of
the fluid and u is the fluid’s average velocity through a plane region represented by Ω. Region Ω is
supposed regular enough to ensure the later theoretical regularity for u and p.
To account for interstitial flows between boundaries, Brinkman has developed a second-order
term, taking into account no-slip boundary conditions cells’ membrane (Figure 2).

Figure 2. Outline of cells membrane interstitial zone and no-slip boundary conditions representation.

For governing interstitial flow between boundaries we will consider the Darcy–Brinkman
equation (2)

ν
− νΔu + u + ∇ p = 0 (2)
k
The mass balance equation for a steady state incompressible fluid is that the divergence of the
fluid is zero
∇ · u = 0 (3)

To apply the boundary conditions we decompose the boundary of the region Ω in two
non-overlaping regions, as shown in Figure 3, ∂Ω = Γ T ∪ Γ I , the boundary of the tumor region
and the boundary of the interstitial region considered, respectively. We consider homogeneous
Dirichlet boundary condition for the velocity over the cells membrane and non-homogeneous on the
interstitial region boundaries, i.e., u = (u0x , u0y ) and parameters ν and k given by Table 1, for the cases
under study.

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Math. Comput. Appl. 2020, 25, 19

Figure 3. Outline of boundary decomposition ∂Ω = Γ T ∪ Γ I .

To facilitate understanding, we write the component-wise formulation in two dimensions. Let u =

(u x , uy ). Then Equations (2) and (3) consists of three equations
∂p
−νΔu x + νk u x + ∂x = 0
∂p
−νΔuy + νk uy + ∂y = 0 (4)
∂u x ∂uy
∂y + ∂y = 0

We are interested to find u = (u x , uy ) and p solution of the problem defined by Equation (4) and
the Dirichlet boundary conditions showed at Table 1.
With the solution, u = (u x , uy ) we evaluate the fluid shear stress. For bidimensional Newtonian
fluid the Stress is written [14]
  ⎡   ⎤
∂u x 1 ∂u x ∂u
p 0 ∂x ∂y + ∂xy
+ 2ν ⎣ 1  ∂uy ∂u  ⎦
2
T=− ∂uy (5)
0 p + x2 ∂x ∂y ∂y

and the Shear Stress is described by

 
1 ∂u x ∂uy
Txy = ν + . (6)
2 ∂y ∂x

3.2. Isogeometric Discretization

In order to represent complex shapes, the use of polynomials or rational segments may often
be inadequate or imprecise. On the other hand, B-spline and NURBS functions enjoy some major
advantages that make them extremely convenient for complex geometrical representations.
The main idea behind the isogeometric approach [4] is to discretize the unknowns of the problem
with the same set of basis functions that CAD employs for the construction of geometries. Let p be the
prescribed degree and n control points, we define by
!
Ξ = t1 , · · · , t n + p +1 (7)

the knots vector, with ti ∈ [0, 1], i ∈ {1, · · · , n + p + 1}. Cox-De Boor’s formula [15] defines n
one-dimensional B-spline basis functions recursively as

1 t i ≤ t < t i +1
Bi,0 (t) =
0 otherwise (8)
t − ti t i + p +1 − t
Bi,p (t) = ti+ p −ti Bi,p−1 (t) + ti+ p+1 −ti+1 Bi +1,p−1 (t)

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Math. Comput. Appl. 2020, 25, 19

for i ∈ {1, · · · , n}
As referred to in [12] the support of a B-spline of degree p is always p + 1 knot spans and,
as a consequence, each p-th degree function has p − 1 continuous derivatives across the element
boundaries, or across the knots, if they are not repeated. Repetition of knots can be exploited to
prescribe the regularity.
NURBS of degree p are defined as rational B-splines, associating to each B-spline function a
weight wi
wi Bi,p (t)
Ni,p (t) = , (9)
∑ j w j Bj,p (t)
with wi called the weight parameter. Geometries in the projective space may be described by using
the concept of homogeneous coordinates, which are frequently denoted as weights wi . A weighted
polynomial B-spline geometry of IRd+1 is obtained by first multiplying its control point data with the
homogeneous coordinates. For values wi > 1, the object moves toward the control polygon, whereas
for weights smaller than one, the influence of the control point on the geometry decreases. Control
points with wi = 0 do not affect the geometric object at all. If all wi are equal to one, the NURBS basis
simplifies to the polynomial B-spline basis [15] and allows for the partition of unity property.
As in [12] we define bidimensional B-splines and NURBS using a tensor product approach.
Considering Ξ = Ξ1 × Ξ2 the knot vectors, p the degrees and n the number of basis functions the
bivariate B-spline is given by
Ni,p (t) = Ni1 ,p1 (t1 ) Ni2 ,p2 (t2 ) (10)

where t = (t1 , t2 ), p = ( p1 , p2 ), n = (n1 , n2 ) and i = (i1 , i2 ) is a multi-index in the set i1 ∈ {1, · · · , n1 }

and i2 ∈ {1, · · · , n2 }.
It is straightforward to notice that there is a parametric Cartesian mesh Th associated with Ξ.
The knot vectors partitioning the parametric domain [0, 1]2 into parallelograms. For each element
!
Q ∈ Th we associate a parametric mesh size hQ = diam( Q), and h = max hQ , Q ∈ Th .
In the following, we refer to the basis functions indicating the global index, and we will denote
by Sh (Ξ) the bivariate B-spline space spanned by the basis functions Ni , 1 ≤ i ≤ n. For convenience
p ,p
we also use the notation Sα11,α22 (Ξ) to designate the associated space of splines of order p1 in the x
direction, p2 in the y direction, and smoothness α1 and α2 respectively. Notice that αi is determined by
the knot vector Ξi , spanned by the basis functions of degree pd and regularity αd for each direction
d ∈ {1, 2}.
A NURBS curve is defined by a set of control points P which act as weights for the linear
combination of the basis functions, giving the mapping to the physical space. In particular, given
n one-dimensional basis functions Ni,p and n control points Pi ∈ IR2 , i ∈ {1, · · · , n} a curve
parameterization is given by:
n
C (t) = ∑ Pi Ni (t) . (11)
i =1

The control points define the so-called control mesh but this does not, in general, conform to
the actual geometry (cf Figure 5b). In many real-world applications, the computational domain
may be too complicated to be represented by a single NURBS mapping from the reference domain
to the physical space. This could be due to topological reasons (or to the presence of different
materials). In these cases it is common practice to resort to the so-called multipatch approach [4,12]
(cf Figure 4). Here, the physical domain is split into simpler subdomains Ωk such as Ω = ∪k Ωk and
Ωi ∩ Ω j = ∅, or a point, or an edge, for i = j.

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Figure 4. Case 1: the multipatch domain.

3.3. Isogeometric Conforming Spaces

Analogously to classical Finite Element Methods, IGA is based on a Galerkin approach: the
equations are written in their variational formulation, and the solution is sought in a finite-dimensional
space with the correct approximation properties. In IGA the basis function space is inherited from the
one used to parametrize the geometry.
Let us now consider a domain Ω ⊂ V that can be exactly parametrized with a mapping F

F : [0, 1]2 → Ω (12)

For a multipatch approach we will consider a map for each Ωk .

Then, the discrete space in the physical domain is defined applying the isoparametric concept as
" #
qh := η ◦ F −1 ,
p ,p
Qh = η ∈ Sα11,α22 (Ξ) (13)

  2 
p +1,p +1
Vh = vh := ϕ ◦ F −1 , ϕ ∈ Sα11,α2 2 (Π) , (14)

where each Π has the same knots Ξ but the multiplicity has been increased by one, that means the
velocity components’ space have the same continuity as the pressure space [16]. We recall the important
property of B-spline: at a knot of multiplicity m, basis function Ni,p is C p−m = C α continuous.

Proposition 1. With the notation and assumptions above, the space

Mh = {qh = ∇ · vh , vh ∈ Vh } . (15)

is subspace of Qh .
 2
p +1,p +1
 ∈ Sα11,α2 2 (Π) we obtain
Proof of Proposition 1. For w

p ,p p ,p
 ∈ Sα11−1,α
∇·w 2
2 −1
(Π) = Sα11,α22 (Ξ)

The subspace V0h ⊂ Vh h is the space of discrete functions that vanish on the boundary of Ω.

3.4. The Variational Formulation Discretization

We consider a classic mixed variational discretization of problem (4) in primitive variables [16,17],
in which an approximation (uh , ph ) to the exact solution (u, p) of (4) is obtained by solving the problem

a (uh , vh ) + b (vh , ph ) = 0 ∀vh ∈ V0h

(16)
b (uh , qh ) = 0 ∀ q h ∈ Mh ,

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where (Vh , Mh ) are couples of finite-dimensional spaces parameterized with h, as introduced above,
and with the bilinear forms a and b defined as
 
ν
wh , vh )
a ( = ν ∇
wh : ∇vh dΩ +  h · vh dΩ
w
Ω k Ω


b (vh , qh ) = − ∇ · vh qh dΩ.
Ω

The conditions for the well posedness of a saddle point system is known as inf-sup conditions or
Ladyzhenskaya–Babuška–Breezi (LBB) condition:

b (vh , qh )
Inf Sup ≥ C, (17)
q∈ Mh ,qh =0 q  2 vh  H1
vh ∈Vh ,vh =0 h L

with C independent of the discritization parameter h,  ·  L2  ·  H 1 are the classic norms defined over
the spaces L2 (Ω) and H 1 (Ω), respectively, as in [11]. The subspace choice Mh ensures the discrete
velocity uh solution of (16) is divergence-free.
 
In the context of IGA, we will use spline-based spaces V0h , Mh , which satisfy the inf-sup
condition (17). The elements considered can be seen as spline generalization of well-known finite
elements spaces, namely Taylor–Hood elements [11]. Thanks to the high interelement regularity, which
is the main feature of splines, the proposed discretizations are conforming, i.e., produce globally
continuous, discrete velocities. Moreover, the spline generalization of Taylor–Hood elements also
enjoys property [18] and thus provides divergence-free discrete solutions (15).

4. Numerical Results
In this section, we present some numerical experiments to predict the effect of fluid shear stress
on cancer cells localized in the interstitial region to assess its metastatic behavior. For all cases, we use
experimental data obtained in the works of [1,5–8].
We use GeoPDEs, an open source and free package for isogeometric analysis in Matlab [12,19],
to achieved the numerical implementation of the discretized problem (16).
As a peculiarity of IGA is to allow for high degree and high regularity discretization spaces, most
of the tests below are performed for degree p = 5 and regularity α = 4.
We use multipatch geometries (Figure 4) and these discretizations are C0 between the patches.
When applied to incompressible flows, these discretizations produce pointwise divergence-free velocity
fields and hence exactly satisfy mass conservation. We enforce the Dirichlet boundary conditions
weakly by Nitsche’s method, allowing this method to default to a compatible discretization of Darcy
flow in the limit of vanishing viscosity [12].
Using the data from Table 1 we perform different experiments with different choices of region
configuration and tumor size.

Table 1. Boundary conditions and parameters values.

Boundary Conditions The Permeability k The Viscosity ν

uh = 0 μs−1 on Γ T
3.5 × 10−3 [5] 5 × 10−6 [8]
uh = (1, 0) μs−1 on Γ I [20]

4.1. Case 1
Let us begin by considering a simple circular case which will be used as a pattern for the others
ones. We consider Ω = [−10, 10] × [−10, 10] and a centred tumor region with a circular boundary,
with radius r = 2(μ).

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For this case we present the physical initial mesh, with control points, at Figure 5, an h-refinement
(by multiple knot insertion) sequence, Figures 6 and 7, and the correspondent results for velocity and
shear stress.

(a) (b)
Figure 5. Case 1: physical domain, initial mesh and control points. (a) The physical mesh; (b) the
control point for the NURBS surface.

(a) (b)
Figure 6. Case 1: physical domain, h1 -refinement mesh and correspondent control points. (a) The
physical mesh; (b) the control point for the NURBS surface.

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(a) (b)
Figure 7. Case 1: physical domain, h2 -refinement mesh and correspondent control points. (a) The
physical mesh; (b) the control point for the NURBS surface.

With this discretization the velocity magnitude and stream lines obtained is represented in
Figure 8. The flow-generate shear stress is between −7 × 10−2 and 7 × 10−2 dyn/cm2 (we recall
1 dyn/cm2 = 0.1 Pa) over the whole domain, as shown in Figure 9, and maximum is achieved on the
cell surface, this means on the membrane as expected.

Figure 8. Case 1: the velocity representation with stream lines.

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(a) (b)
Figure 9. Case 1: the fluid shear stress representation, which is between −7 × 10−2 and 7 ×
10−2 dyn/cm2 . (a) The fluid shear stress overview; (b) zoom over the higher shear stress zone.

Next, for this case, we will repeat the simulation with a h-refinement on the domain. First we
consider at patches interfaces the new knots array Ξh1 = [0.8, 0.95] .
With this discretization the flow-generate shear stress is between −1.5 and 1.5 dyn/cm2 over the
whole domain, as shown in Figure 10, and velocity magnitude is between 0 and 2 μs−1 , Figure 11.

(a) (b)
Figure 10. Case 1: the fluid shear stress representation, which is between −1.5 and 1.5 dyn/cm2 ,
for h1 -refinement. (a) The fluid shear stress overview; (b) zoom over the higher shear stress zone.

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Figure 11. Case 1: the velocity representation with stream lines for domain h1 -refinement.

Continuing with the h-refinement, we consider at paches interfaces the new knots array Ξh2 =
[0.4, 0.6, 0.75, 0.85, 0.95].
With this discretization the flow-generate shear stress is between −1.5 and 1.5 dyn/cm2 over the
whole domain, as shown in Figure 12, and velocity magnitude is between 0 and 2 μs−1 , Figure 13,
as in the previous refinement case.

(a) (b)
Figure 12. Case 1: the fluid shear stress representation, which is between −1.5 and 1.5 dyn/cm2 ,
for h2 -refinement. (a) The fluid shear stress overview; (b) zoom over the higher shear stress zone.

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Figure 13. Case 1: the velocity representation with stream lines for domain h2 -refinement.

These numerical results show that mesh refinement does not affect results for Th2 . At this point,
the model and its results are independent of the mesh.
Finally, we point to the velocity magnitude computed at any point P ∈ Ω using discrete 2 norm
$
u( P) = u x ( P )2 + u y ( P )2 . (18)

4.2. Case 2
Case 2 is similarly to case 1, we consider Ω = [−10, 10] × [−10, 10] and a centred tumor region
with a circular irregular boundary, as shown at Figure 14. Whereas the irregular circular line is
obtained from perturbations on the line of the pattern case 1, we quantify the boundary irregularities
by comparison between the cells’ perimeter, introducing the parameter I (the irregularity parameter
indexed with the case study number) defined as

| d2 − d1 |
I2 = . (19)
d1

with d1 = 4π = 12.5664 and d2 = 13.3937. For Case 2 we obtain I2 = 0.0658.

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Figure 14. Case 2: physical domain and mesh with h2 -refinement.

With this cell configuration, I2 = 0.0658, the flow-generate shear stress is between −1.7 and
1.7 dyn/cm2 over the whole domain, as shown in Figure 15, and velocity magnitude is between 0 and
2.2 μs−1 , Figure 16.

(a) (b)
Figure 15. Case 2: the fluid shear stress representation, which is between −1.7 and 1.7 dyn/cm2 .
(a) The fluid shear stress overview; (b) zoom over the higher shear stress zone.

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Figure 16. Case 2: the velocity representation with stream lines.

4.3. Case 3
As in case 2, we consider Ω = [−10, 10] × [−10, 10] and a centred tumor region with a circular
|13.8401−12.5664|
irregular boundary. Here we increase the irregularity parameter to I3 = 12.5664 = 0.1014,
as shown in Figure 17.

Figure 17. Case 3: physical domain and mesh with h2 -refinement.

With this cell configuration, I3 = 0.1014, the flow-generate shear stress is between −2.2 and
2.2 dyn/cm2 over the whole domain, as shown in Figure 18, and velocity magnitude is between 0 and
2.5 μs−1 , Figure 19.

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(a) (b)
Figure 18. Case 3: the fluid shear stress representation, which is between −2.2 and 2.2 dyn/cm2 .
(a) The fluid shear stress overview; (b) zoom over the higher shear stress zone.

Figure 19. Case 3: the velocity representation with stream lines.

4.4. Case 4
Once again we consider Ω = [−10, 10] × [−10, 10] and a centred tumor region with a circular
|20.2692−12.5664|
irregular boundary and the irregularity parameter I4 = 12.5664 = 0.613, as shown at Figure 20.

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Figure 20. Case 4: physical domain and mesh with h2 -refinement.

With this cell configuration, I4 = 0.613, the flow-generate shear stress is between −3 and
3 dyn/cm2 over the whole domain, as shown in Figure 21, and velocity magnitude is between 0 and
2.9 μs−1 , Figure 22.

(a) (b)
Figure 21. Case 4: the fluid shear stress representation, which is between −3 and 3 dyn/cm2 . (a) The
fluid shear stress overview; (b) zoom over the higher shear stress zone.

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Figure 22. Case 4: the velocity representation with stream lines.

With the results from 1 to 4 we can define an evolution graphic in Figure 23 for shear stress
maximum, the blue line, and velocity magnitude maximum, the red line. Regarding cell membrane
resistance, at microenvironment context this evolution is quite important. We observed a linear
dependence between the irregularity parameter and shear stress. The Figure 23 shows the dependence
of shear stress on velocity and the irregularity parameter, given that the two lines have different
growth rates.



6KHDUVWUHVV
9HORFLW\PDJQLWXGH


      

Figure 23. Evolution for shear stress maximum and velocity magnitude maximum by the irregularity
parameter.

To conclude we present two more cases quite near to reality. Inspired by Figure 1 we define the
outline shown in Figure 24. The following cases are determined from the outline 3D by cut planes for
case 5, the green one, and case 6, the blue one.

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Figure 24. Tumor’s 3D outline and cut planes for case 5, the green one, and case 6, the blue one.

4.5. Case 5
With this cell configuration, domain in Figure 25 (corresponding to the green section in Figure 24)
we get I5 = 0.613, the flow-generate shear stress is between −2.8 and 2.5 dyn/cm2 over the whole
domain, as shown in Figure 26, and velocity magnitude is between 0 and 2.8 μs−1 , Figure 27. For this
value of I5 we obtain the expected from comparison with the above cases. We point to the geometric
asymmetric effect on the maximum value of shear stress.

Figure 25. Case 5: physical domain and mesh.

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(a) (b)
Figure 26. Case 5: the fluid shear stress representation, which is between −2.8 and 2.5 dyn/cm2 . (a)
The fluid shear stress overview; (b) zoom over the higher shear stress zone.

Figure 27. Case 5: the velocity representation with stream lines.

4.6. Case 6
Finally we consider for the cell configuration the blue section of the model in Figure 24, as shown
in Figure 28. The flow-generate shear stress is between −4.1 and 3.3 dyn/cm2 over the whole domain,
as shown in Figure 29, and velocity magnitude is between 0 and 1.9 μs−1 , Figure 30.
With this result, we can see that the zone with the highest shear stress value is over the “body” of
the cell and not in its branches. In fact, it is the branches we should focus on because they promote the
displacement or duplication of the cell.

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Math. Comput. Appl. 2020, 25, 19

Figure 28. Case 6: physical domain and mesh.

(a) (b)

(c) (d)
Figure 29. Case 6: the fluid shear stress representation, which is between −4.1 and 3.3 dyn/cm2 .
(a) The fluid shear stress overview; (b) zoom over the higher shear stress zone; (c) zoom over the higher
shear stress zone; (d) zoom over the higher shear stress zone.

Figure 30. Case 6: the velocity representation with stream lines.

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5. Conclusions
From this preliminary study, it is possible to establish the adequacy of the isogeometric analysis
and NURBS to model irregular tumor cells and evaluate the shear forces at tumor microenvironments.
With some numerical examples, using different cell configurations, we have identified conditions
that allow the increase or decrease of the fluid shear stress, which could contribute to the metastatic
process by enhancing tumor cell invasion and circulating tumor cells. The cancer cell invasive potential
is significantly reduced, as much as 92%, upon exposure to 0.55 dyn/cm2 fluid shear stress [21].
This work contributed to establish a relationship between a quantification of cell membrane irregularity
and the maximum value of shear stress evaluated on the cell membrane, by the effect of interstitial fluid
in the microenvironment. In follow-up works, we must understand how the cell reacts to these forces.
Mathematical models of fluid shear stress effects coupled with in vitro and in vivo experimental
validation, may better predict cell behavior in such dynamic microenvironments, and potentially
provide novel approaches for the prevention of metastasis.
A particular feature of cancer modeling revolves around the idea that a tumors’ size and shape
changes over time and its resistance to the fluid shear stress is also affected by the presence of other
substances in the interstitial region meaning, for this reason, is the motivation for further work.

Acknowledgments: The author acknowledges the support of IPL IDI and CA through the Project IGACFC 2018.
Conflicts of Interest: The author declares no conflict of interest.

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