Giordon Stark

ACM95b Notes

March 13, 2010

TABLE OF CONTENTS
1st Order ODEs ...........................................................................................................................................................................................4
Linear 1st Order ODEs ................................................................................................................................................................................4
General Strategy (Leibniz) .........................................................................................................................................4
Existence and Uniqueness .........................................................................................................................................5
Complex Case ............................................................................................................................................................5
nd

2 Order Linear IVPs ..................................................................................................................................................................................6

nd

Homogeneous 2 Order Linear IVP ...........................................................................................................................................................7

Solution Properties ....................................................................................................................................................7
nd

Homogeneous 2 Order Linear ODEs with constant coefficients .............................................................................................................8

nd

Nonhomogeneous 2 Order Linear ODEs................................................................................................................................................10

Dirac Delta Function .................................................................................................................................................................................11
Heaviside Step Function ...........................................................................................................................................................................11
Greens Function for IVP ..........................................................................................................................................................................11
IVPs with Constant Coefficients ...............................................................................................................................................................13
Solution Strategy .....................................................................................................................................................14
Uniqueness ..............................................................................................................................................................14
Convolution Integrals ...............................................................................................................................................................................15
Shifting Theorems ....................................................................................................................................................................................16
s-shifting ..................................................................................................................................................................16
t-shifting ..................................................................................................................................................................17
IVPs with Discontinuous Forcing ..............................................................................................................................................................18
IVPs with Impulsive Forcing......................................................................................................................................................................19
Inverting Laplace Transforms ...................................................................................................................................................................20
Evaluating Bromwich Contour Integrals ...................................................................................................................................................21
st

Nonlinear 1 Order ODEs .........................................................................................................................................................................23

Existence and Uniqueness .......................................................................................................................................23
Picards Theorem......................................................................................................................................................................................23
Numerical Methods for IVP ......................................................................................................................................................................23
Eulers Method ........................................................................................................................................................24
Alternative derivations ............................................................................................................................................24
Other Possibilities ....................................................................................................................................................24
Truncation Error .......................................................................................................................................................................................25
Explicit Euler ............................................................................................................................................................26

Giordon Stark

ACM95b Notes

March 13, 2010

Implicit Euler ...........................................................................................................................................................26

Trapezoid Rule .........................................................................................................................................................26
Removing Implicitness..............................................................................................................................................................................28
Explicit Runge-Kutta Methods ..................................................................................................................................................................29
1-Stage Scheme .......................................................................................................................................................29
2-Stage Scheme .......................................................................................................................................................29
4-Stage Scheme .......................................................................................................................................................29
nth Order ODEs ........................................................................................................................................................................................30
Linear Stability Analysis ............................................................................................................................................................................30
1-Stage Runge-Kutta (explicit Euler)........................................................................................................................30
4-Stage Runge-Kutta................................................................................................................................................31
Backward Euler ........................................................................................................................................................31
Linear Equations with Analytic Coefficients .............................................................................................................................................31
Existence of Series Solution......................................................................................................................................................................32
Series Solution Near an Ordinary Point ....................................................................................................................................................32
Example: (Airys Equation) ..................................................................................................................................32
Behavior near Singular Points ..................................................................................................................................................................34
Regular Singular Points of Second Order Equation ..................................................................................................................................35
Euler Equations .......................................................................................................................................................36
The Method of Frobenius .........................................................................................................................................................................37
nd

2 Order Linear Boundary Value Problem (BVP) .....................................................................................................................................38

Simple Eigenvalue Problems ....................................................................................................................................................................40
Fourier Series ...........................................................................................................................................................................................42
Periodicity ...........................................................................................................................................................42
Orthogonality Properties ....................................................................................................................................42
Convergence of Fourier Series .................................................................................................................................................................44
Fourier Cosine and Sine Series .................................................................................................................................................................45
Solving PDes .............................................................................................................................................................................................46
The Heat Equation ....................................................................................................................................................................................48
Revisiting Solution to the Heat Equation .................................................................................................................................................49
Justification of Termwise Differentiation ................................................................................................................49
Complex Form of Fourier Series ...............................................................................................................................................................50
Useful Terminology .............................................................................................................................................51
Representing Non-Periodic Functions ......................................................................................................................................................52
Fourier Transform ....................................................................................................................................................................................52
Spectral Analysis Using the Fourier Transform ........................................................................................................................................52

Giordon Stark

ACM95b Notes

March 13, 2010

Evaluating Fourier Transforms .................................................................................................................................................................53

Properties of the Fourier Transform .......................................................................................................................55
Convolution Theorem .........................................................................................................................................55
Derivatives ..........................................................................................................................................................56
Linearity ..............................................................................................................................................................56
Solving Differential Equations on an Infinite Domain using the Fourier Transform ................................................................................56
More General Eigenvalue Problems .........................................................................................................................................................57
The Adjoint Problem ................................................................................................................................................................................58
Self-Adjointness .......................................................................................................................................................58
Regular Sturm-Liouville Eigenvalue Problems ..........................................................................................................................................59
Orthogonality of Eigenfunctions ..............................................................................................................................................................59
The Eigenvalues Are Real ........................................................................................................................................60
Simplicity of Eigenvalues .........................................................................................................................................60
Sequence of Eigenvalues .........................................................................................................................................61
Eigenfunction Expansions........................................................................................................................................61
Orthonormal Eigenfunctions ...................................................................................................................................61
Convergence of Eigenfunction Expansions .............................................................................................................62
Nonhomogeneous Boundary Value Problems .........................................................................................................................................62
The Fredholm Alternative ........................................................................................................................................................................64
Greens Functions for BVP ........................................................................................................................................................................64
Reciprocity ...............................................................................................................................................................65
Singular Sturm-Liouville Eigenvalue Problems .........................................................................................................................................69
Properties of Singular Sturm-Liouville Eigenvalue Problems ..................................................................................70
Heat Equation in a Disk with Radial Symmetry ........................................................................................................................................70
ACM Final Review .....................................................................................................................................................................................71

INTRODUCTION
These notes were taken during the 2010 Winter term of ACM95. At the time, Niles Pierce was the instructor and these notes come from the lectures he
held. This version of the notes is meant to be the finalized version, with (hopefully) no typos, and less spaces so that it can be read like a novel.
Similarly, Sean Machs textbook (found in the Underground) will do just as well. Originally, I had no purpose other than to electronic-ize all my work
(problem sets, for example). However, I realized that after a while, a lot of people started getting interested in having electronic notes. Getting some
inspiration from other students who had done similar things, I decided to consistently post all my notes on my ITS student account. Without further ado,
enjoy!
-

Giordon

Giordon Stark

ACM95b Notes

March 13, 2010

LECTURE 1
1ST ORDER ODES

= (, )

Visualize Solution Field

Pick an integral curve (1,2,3, for example) by providing initial condition (0) = 0 .

LINEAR 1ST ORDER ODES

General Form

+ () = (),

With (), () continuous

= ,

(0) = 1

= ,

= 0

So,

(0 ) = 0

EXAMPLE

= ln|| = + 0 || = 0

(0) = 0 = 1 = 1

Our specific solution to the ODE is then = .

Find an integrating factor () that makes

() + () = ()

GENERAL STRATEGY (LEIBNIZ)

(1)

Giordon Stark

ACM95b Notes

March 13, 2010

Equivalent to

() =

(2)

+ =

(1)

And then integrate as in example. How do we find ()? Compare (1) and (2).
+ =

(2)

Thus we need some with = . So = () ith a constant, choose = 0 for convenience.

() =

Then solve

()

(0 ) = 1

() = . So = + . Choose to satisfy initial condition

0

1
0
() =
()() +
()
()
0

EXISTENCE AND UNIQUENESS

+ () = (),

(0 ) = 0

Unique solution exists throughout an open interval containing 0 in which () and () are continuous (proof is
constructive).
Moral: just inspect ODE to identify interval of guaranteed existence and uniqueness. You may lose existence and
uniqueness at a singular point where () or () is not continous.

EXAMPLE

(0 ) = 0

So () = 0,

Then () =

() =

If 0 0: () =

0
, "all is well"
0

(0 ) 0 Solution DNE
If 0 = 0:
(0 ) = 0 infinite solutions not unique all integral curves pass through origin

COMPLEX CASE

+ () = ()

(), () analytic in a simply connected domain

Giordon Stark

ACM95b Notes

() =

March 13, 2010

() ()

analytic independent of contour 0 since () is analytic (Cauchy-Goursat and Equivalence Theorem)

1
(0 )
() =
()() +
()
()
0

Analytic in since () 0.

EXAMPLE

+ = 0

Note that () = has a simple pole at = 0. Solution has form

() =

Behavior of at singular point = 0?

-

= integer 0 () is entire

= integer > 0 () has a pole of order at = 0

= not integer () has branch point at = 0

Complex plane gives insight into behavior near singularities

LECTURE 2
2 N D ORDER LINEAR IVPS
+ () + () = ()

Homogeneous if () = 0, nonhomogeneous otherwise. IVP requires two initial conditions (roughly, to fix two
constants of integration)
(0 ) = 0 ,

(0 ) = 0

If , , are continuous in an open interval, then a unique solution to the IVP through the interval (proof
Coddington)

EXAMPLE
(1 2 ) + (1 + ) = 1 ,

(0) = 1,

Where can we guarantee existence and uniqueness?

(0) = 1

Giordon Stark

= 0,

ACM95b Notes

1
,
1

1
1 +

So 1 < < 1 existence and uniqueness guaranteed

HOMOGENEOUS 2 N D ORDER LINEAR IVP

Given the ODE + () + () = 0 with initial conditions: (0 ) = 0 , (0 ) = 0 .

SOLUTION PROPERTIES

Suppose and are continous on interval and 1 and 2 are solutions to 1.

SUPERPOSITION

1 1 + 2 2 is also a solution to 1 by linearity

SATISFIABILITY

Can 1 1 + 2 2 solve IVP? Need to find 1 , 2 by finding solution of:

1 1 (0 ) + 2 2 (0 ) = 0

1 1 (0 ) + 2 2 (0 ) = 0

Solution exists if determinant of coefficients is nonzero.

wronskian (0 ) =

1 (0 )
1 (0 )

2 (0 )
= 1 2 1 2
2 (0 )

If (0 ) 0, then 1 and 2 such that 1 1 + 2 2 satisfies the IVP.

GENERALITY

Does 1 1 + 2 2 describe all solutions to 1?

Consider another solution and set initial conditions

0 = (0 ),

0 = (0 )

So solves this new IVP. But if (0 ) 0 then

= 1 1 + 2 2

Also solves this IVP so by uniqueness theorem

() = 1 1 () + 2 2 ()

Hence if (0 ) 0 for some 0 , then general solution to 1 has form

= 1 1 () + 2 2 ()

With 1 and 2 arbitrary. We say 1 and 2 form a fundamental set of solutions to 1.

March 13, 2010

Giordon Stark

ACM95b Notes

March 13, 2010

WRONSKIAN BEHAVIOR (ABELS THEOREM)

1 and 2 satisfy 1 so

2 (1 + 1 + 1 ) = 0

1 (2 + 2 + 2 ) = 0

(1 2 1 2 ) + (1 2 1 2 ) = () + () = 0

So + = 0 or () = () . Constant depends on choice of 1 and 2 but not on . Hence

() = 0 = 0 or is never zero in 0.
EXAMPLE

Consider 2 3 + 3 = 0, > 0 and solutions 1 = , 2 = 3 .

=
1

3 = 2 3
3 2

0 for > 0. So = 1 1 + 2 2 is general solution for > 0.

LINEAR INDEPENDENCE

1 and 2 are linearly independent on if 1 , 2 not both zero such that

1 1 () + 2 2 () = 0

(3)

. If (3) requires 1 = 2 = 0, then 1 and 2 are linearly independent on . Can show: 1 and 2 are
linearly independent on iff () 0 . (proof Coddington)

SUMMARY

nd

To find general solution to homogeneous 2 order linear ODE, find two linearly independent solutions with
() 0 in .

LECTURE 3
HOMOGENEOUS 2 N D ORDER LINEAR ODES WITH CONSTANT
COEFFICIENTS
+ + = 0

(1)

Attempt solutions of form = . = ( 2 + + ) = 0. We see that (1) is satisfied for =

CASE 1 REAL DISTINCT ROOTS ( 2 4 > 0)

1 = 1 ,

2 = 2 ,

1 2

2 4
2

Giordon Stark

ACM95b Notes

1
1 1

2
= (2 1 ) (1 +2 ) 0
2 2

General Solution: = 1 1 + 2 2

CASE 2 COMPLEX CONJUGATE ROOTS ( 2 4 < 0)

1 , 2 = ,

0,

1 , 2 = ( )

Use superposition to obtain fundamental solution set

1 + 2
= cos ,
2

= 2 0,

1 2
= sin
2

General Solution: = 1 cos + 2 sin

CASE 3 REAL REPEATED ROOT ( 2 4 = 0)

1 = 2 ,

= ( 1 )2

So |=1 = 0 and also

( )
=0

=1

Also, note

So

( )|=1 = |=1 = ( )|=1 = 0

And so 1 = 1 , 2 = 1
=

1
1 1

1
= 21 0
1 1 + 1

General Solution: = 1 1 + 2 1
8 + 16 = 0,

(0) = 1,

EXAMPLE
(0) = 5

( 2 8 + 16) = 0 1 = 2 = 4 1 = 4

Try 2 = () 4 :

+ +

21
1

= 0 + (8 + 8) = 0 = 0 or () = +

So = 1 4 + 2 4 . We plug in our initial conditions to get

March 13, 2010

Giordon Stark

ACM95b Notes

March 13, 2010

1 + 2 0 = 1

41 + 2 = 5 1 = 1, 2 = 1

Thus our specific solution is = 4 + 4 .

NONHOMOGENEOUS 2 N D ORDER LINEAR ODES

+ () + () = ()

()

p,q,h continuous on interval . Suppose is a solution to () and is any other solution to (). Then = 0.
So = 1 1 () + 2 2 () with 1 and 2 linearly independent solutions to homogeneous problem
()

Hence any solution to () may be written (i.e., general solution to ()) = 1 2 + 2 2 + where = 1 1 +
2 2 is the complementary solution and is any particular solution to (). How to find ?

EXAMPLE

2 = ,

(0) = 2,

( 2 2) = ( + 1)( 2)

(0) =

2
3

So our two linearly independent solutions are 1 = , 2 = 2 . Try a particular solution = 1 + 2 2 or

1 + 2 2 = 0

1 + 22 2 =
1

This implies 1 = and 2 = 3 . So 1 () = , 2 () = 3 or = . Note that

3

is simply a multiple of 1 so our general solution is = 1

9

+ 2 2
3

. Then set constants to

satisfy initial conditions 1 = 1, 2 = 1. We get = + 2 . The particular solution obtained by

3
variation of parameters can be written

1 ()2 () 1 ()2 ()
() =
() = (, )()
(1 , 2 )()

Where (, ) Greens function, () forcing term, with

(, ) =

1 ()2 () 1 ()2 ()
(1 , 2 )()

What is the interpretation of the Greens function?

LECTURE 4
10

Giordon Stark

ACM95b Notes

March 13, 2010

DIRAC DELTA FUNCTION

Consider the impulse

Define intuitively by
0,
( 0 ) =
,

0
,
= 0

( 0 ) = 1

This generalized function has the sifting property

( 0 )() = (0 )

Which sifts out the value of () at = 0 .

HEAVISIDE STEP FUNCTION

Integrating the delta function yields the step functions

1,
( 0 ) = ( 0 ) =
0,

So we have

( 0 )
= ( 0 )

> 0
< 0

GREENS FUNCTION FOR IVP

nd

Consider the linear 2 order nonhomogeneous IVP + () + () = () with , , continuous

and homogeneous initial conditions (0 ) = 0, (0 ) = 0. We wish to find (, ) such that

() = (, )()
0

Consider letting () = ( ) so by (1)

11

(1)

Giordon Stark

ACM95b Notes

March 13, 2010

() = (, )( )
0

And by the sifting property () = (, ). So (, ) is the response of the solution of due to an impulse at
. Hence Greens function satisfies

(2)

[(, )] = ( )

With homogeneous initial conditions

(, )|= 0 = 0

(, )|= 0 = 0,

So (, ) = 0 for < . What is the behavior of (, ) at = ?

2
+ ()
+ () = ( )
2

Highest derivative balances ( ) so expect to jump because it represents an integral of an impulse, expect

to be continuous because it represents an integral of a step. Integrate ODE from to +

+

+ ()
+ () = 1

Both integrals approach zero as 0. So

+

= 1,

| = 0

Form of (, )? For < , (, ) = 0. Now solve homogeneous IVP at = +

1 ()1 () + 2 ()2 () = 0 function continuous

So

1 ()1 () + 2 ()2 () = 1 derivative jumps

1 () =

2 ()
,
(1 , 2 )()

2 () =

1 ()
(1 , 2 )()

0,
(, ) = 1 ()2 () 1 ()2 ()
,
(1 , 2 )()

<

>

() = (, )() + (, )()
0

The first integral is non-zero as > ( is upper limit) while the second integral is zero as < ( is lower limit).

() =

12

1 ()2 () 1 ()2 ()
()
(1 , 2 )()

Giordon Stark

ACM95b Notes

March 13, 2010

(We recover variation of parameters form)

EXAMPLE (REVISITED)
2 = ,

So

1 = ,

2 = 2 ,

0 = 0

2 = ( )
2
At =

(0, ) = 0,
+
|

= 0 definition of Green's function

=0
+

=1

= 0,

So = 1 () + 2 () 2 with 1 () + 2 () 2 = 0 and 1 () + 22 () 2 = 1. So 2 () =

1 () = .
3

0,
(, ) = 1 1 22

+
,
3
3

2
3

and

<

>

() = (, )() + (, )() = 0
0

= + (1 1 + 2 2 = 0 for convenience)
3

LECTURE 5
IVPS WITH CONSTANT COEFFICIENTS
EXAMPLE
6 = 0,

(0) = 2,

(0) = 1

Suppose () exists satisfying (1c) and (2c) from handout { } { } 6{} = 0. So

Then

2 {} (0) (0) [{} (0)] 6{} = 0 ( 2 6){} + (1 )(0) (0) = 0

{} =

13

2 1
()
6

(i)

Giordon Stark

ACM95b Notes

March 13, 2010

It turns differential equation into algebraic expression. To solve IVP, need to find whose transform is (i). By
partial fractions
() = { ()} =

And recall from handout

{ } =

1
1
+
3 + 2

1
,

>

So by linearity = 3 + 2 . Note () satisfies (1c) and (2c)

SOLUTION STRATEGY

t-space
= ,

(0) = 1,

t-spaces-space (apply laplace transform)

(0) = 1

Subsidiary equation: ( 2 1) 1 =
Some algebra: =

2 1

s-space -space (apply inverse laplace transform)

NOTE

Solution: () = + sinh

a.) Initial conditions incorporated automatically during solution procedure

b.) Complementary and particular solutions found simultaneously
To solve IVP, need to invert the Laplace transform: find () that satisfies the integral equation

Denoted

() = ()
0

() = 1 {()}

UNIQUENESS

Two functions with the same transform cannot differ over any interval of positive length (Lerchs Theorem). Hence,
if () is a continuous function with transform (), then it is the only possible one. We can build lookup tables of
() () invert simple transforms.

14

Giordon Stark

ACM95b Notes

March 13, 2010

CONVOLUTION INTEGRALS
Suppose (), (), () have transforms (), (), () for > 0. If () = ()(), then () is the
convolution of () and ().

() = ( )() = ()( )
0

Or = = . So if () can be expressed as a product, then we can write () as a convolution integral.

PROOF SKETCH

() = ()() =

() ()
0

= () ( +) ()
0

Let = so =

= () ( )
0

Integrate over triangle, so by reversing the order

=
0

( )()
0

The portion in the brackets = () by definition of Laplace Transform

= ()
0

15

Giordon Stark

ACM95b Notes

So

() = ( )()
0

() =

EXAMPLE

1
,

Then () = , () =

() =

() =

() = = = 1
0

LECTURE 6
SHIFTING THEOREMS
S-SHIFTING
If { ()} = (), > , i.e. |()| , , then { ()} = ( ), > or
1 {( )} = ()

To see this, note

( ) =
EXAMPLE

()

() = [ ()] = { ()}
0

Note

16

= cos ,
2 + 2

> 0

March 13, 2010

Giordon Stark

ACM95b Notes

So if
() =

+ 1
,
( + 1)2 + 22

+ 1 > 0

Then () = cos 2.

T-SHIFTING

If {()} = (), > , then for > 0: {( )( )} = (), > or

1 { ()} = ( )( )

To see this, take the Laplace transform:

() =

Let = + , so

Note:

Because

() =
0

{( )} =
{1} =

EXAMPLE

1
,

() = (+) ()
0

( ) = ( )( ) = {( )( )}

> 0,

0,
() =
cos ,

17

> 0
{()} =

1
,

0 < < 2
> 2

> 0
,

() =?

March 13, 2010

Giordon Stark

ACM95b Notes

March 13, 2010

() = ( 2) cos = ( 2) cos( 2)

So

{()} = 2

+1

IVPS WITH DISCONTINUOUS FORCING

EXAMPLE
+ 3 + 2 = (),

(0) = 0

(0) = 0,

So () = () ( 1). Transforming the equation gives 2 + 3 + 2 = (1 ). So

() = ()(1 )

With () =

(+1)(+2)

() =
1

. Then

1
2
2

+
+ 1 + 2
1

So () = + 2 . Also 1 { ()} = ( 1)( 1). So () = () = ( 1)( 1).

2

Note: is continuous at = 1, is continuous at = 1,

So

+ 2 2 ,
( 1) 2( 2 1) 2 ,

lim () =

18

2 1
,
2

lim

1+ 2

1
> 1

1
1

Giordon Stark

ACM95b Notes

March 13, 2010

Jump in highest derivative. [ ] = 1 at = 1 (brackets denote jump notation) to match jump in forcing term
[] = 1 at = 1.

IVPS WITH IMPULSIVE FORCING

Let () = ( ). Delta function fails to satisfy previous sufficient conditions for existence of the Laplace
Transform (proceed formally).

{( )} = ( ) =
0

EXAMPLE

= + 3 + 2 = ( ),

2 + 3 + 2 =

(0) = 0,

(0) = 0

So () = () with
() =

So

1
1

+ 1 + 2

() = 1 {()} = 2
() = ( )( ) =

0,
0 <
()
2()

,
>

We note that: continuous at = , [ ] = 1 at = , and behaves like ( ) at = . We recognize that

() for () = ( ) is the Greens function (, ) = ( )( ). So for a different (), = (),
has particular solution

= (, )()
0

LECTURE 7
19

Giordon Stark

ACM95b Notes

March 13, 2010

INVERTING LAPLACE TRANSFORMS

Start from Fourier Transform

() = ()

And inverse Fourier Transform

1
() =
()
2

Exists if () is absolutely integrable, i.e.

|()| <

And piecewise continuous (well derive these later in the course). Consider a piecewise continuous () of
exponential order (recall |()| , ): apply Fourier formulae to a modified function.
-

() ()

() could blow up as +

prevents blow up as +, causes blow up as ; has a real constant >

() removes blow up as

Then

() = ()

With inverse transform

()

()

= () (+ )
0

1
() =
() (+ )
2

Now let , + , and () ()

() = () ,
0

() = >

We obtain the Laplace Transform. We can show () is analytic for () > (Weinberger, Dover 1965).
Analytically continue for () , changing variables
=

20

< < +

Giordon Stark

ACM95b Notes

March 13, 2010

1
()() =
()
2

Omit () in the future by remembering that () = 0 for < 0. This is the Mellin inversion formula
+

1
() =
()
2

The inverse Laplace transform.

If |()| , , then > is to the right of all singularities in () since () is analytic for () > .

EVALUATING BROMWICH CONTOUR INTEGRALS

Recall a form of Jordans Lemma:

If () 0 uniformly on a circular arc as . (|()| , 0 ).
lim () = 0

Using

Suppose () 0 uniformly as || and is analytic except for isolated singularities at = with

( ) < , = 1,

21

Giordon Stark

ACM95b Notes

Let = + 1 + + 2 . By the residue theorem for inside , = 1,

If

() = 2 { (); }

=1

= = 0,

() 0 as by Jordans Lemma

On 1

| | = (()+) = ()

And |()| 0 as with = so by -bound

() 0,
1

Likewise for 2 .

This leaves

lim () = 2 { (); }

( > 0) =

() =
1

So |()| ||2

So

1 {()}

=1

=1

EXAMPLE

1
2 + 2

|| 0 as || . Simple poles at 1 = , 2 = .

=
2
+ 2
2 = 2

() =

22

1
=
() = { (); }
2

sin

=
,
2
2

> 0

March 13, 2010

Giordon Stark

ACM95b Notes

March 13, 2010

LECTURE 8
NONLINEAR 1 S T ORDER ODES
General Form

Facts:

= (, ),

(1)

(0 ) = 0

No universal solution technique

Exact solutions of some special cases

Pursue approximate solutions using general numerical methods

Analyze method performance

EXISTENCE AND UNIQUENESS

EXAMPLE
1

Consider = 2 , (1) = 1. The solution is () = . DNE at = 0 even though (, ) is well-behaved at

= 0. Settle for local existence and uniqueness result near (0 , 0 ). Moral: simple inspection of ODE not sufficient
to judge solution behavior.

PICARDS THEOREM
Suppose that (, ) is a continuous function in the rectangle = {(, ): | 0 | , | 0 | } ( > 0,
> 0 constants) with |(, )| (, ) and Lipschitz constant such that
|(, 2 ) (, 1 )| |2 1 |

Whenever (, 1 ) and (, 2 ) lie in . Then there exists a unique solution () satisfying the IVP (1) on the interval

= {: | 0 | min(, )}. (Proof Coddington). The proof relies on the Picard iteration
0 () = 0

(2a)

+1 () = 0 + (, ()
0

Which converges to the solution () in the interval .

NUMERICAL METHODS FOR IVP

23

(2b)

Giordon Stark

ACM95b Notes

March 13, 2010

Consider

= (, )

(3)

(0 ) = 0

(4)

Solve on interval 0 . Discretize the interval into mesh points = 0 + , = 0,1, , with step size

EULERS METHOD
Discretize the derivative

Or

+1
= ( , ),

= 0,1, , 1

+1 = + ( )

(5)

Method is explicit using only information that is already available: , ( , ).

ALTERNATIVE DERIVATIONS

Integrate (3) between mesh points to obtain the integral equation:

+1

(6)

(+1 ) = () + , () ,

= 0,1, , 1

Use the numerical integration rule:

+1

, () , ( )

To recover the explicit or forward Euler Method (5).

OTHER POSSIBILITIES
IMPLICIT OR BACKWARD EULER
(+1 ) = ( ) + +1 , (+1 )

24

(7)

Giordon Stark

ACM95b Notes

March 13, 2010

, ( ) + +1 , (+1 )
2

(8)

TRAPEZOID RULE
(+1 ) = ( ) +

These methods are implicit: must solve implicit nonlinear equation to solve for +1 given .

EXAMPLE

2 +
= 2
,

+ 3 2

(0) = 1

Find solution at = 10. Compare solution accuracy for:

a)

Explicit Euler

b) Implicit Euler
c)

Trapezoidal

On a sequence of meshes. The implicit methods were updated using a Picard iteration to solve the nonlinear
equation within each time step.

LECTURE 9
TRUNCATION ERROR
It is the degree to which the exact solution fails to satisfy the discretization. Consider the ODE

= (, )

With discretization

+1
= ( , )

Substitute Taylor series for analytical solution into discrete operator to find the truncation error:

25

(Explicit Euler)

Giordon Stark

So

ACM95b Notes

( ) + ( ) +

2
( ) + ( 3 ) ( )
2
, ( )

= ( ) , ( ) +

Or by Taylors Theorem

1
= ( ),
2

March 13, 2010

( ) + ( 2 )
2

( , +1 )

Assuming is sufficiently smooth to assume exists and is bounded on [ , +1 ]

EXPLICIT EULER

1
= () = ()
2

IMPLICIT EULER

+1
= (+1 , +1 )

(+1 ) (+1 ) (+1 ) +

= ()

2
(+1 ) ( 3 )
2

1
(+1 , +1 ) = ( )
2

TRAPEZOID RULE

+1 1
= [( , ) + (+1 , +1 )] = ( 2 )
some math

A method has order of accuracy if | | = ( ), 0 < 0 for () sufficiently smooth (i.e. | |

for some ). In our numerical experiment, we examined the solution error
( )

Where ( ) was the exact solution and was the numerical (or approximate) solution. If
| | = 1 = 2 ,

= time step,

= # of steps

Then log| | = log 1 + log = log 2 log . Plot log(error) versus log(steps) and find slope of the line to
estimate .We observed:

explicit Euler, 1

implicit Euler, 1

Trapezoid rule, 2

26

Giordon Stark

ACM95b Notes

March 13, 2010

The order of accuracy of the truncation error matches the empirical behavior of the solution error in our example.
Can we predict this? Consider the explicit Euler method
+1 = + ( , )

(1)

The solution error is defined by = ( ) and the truncation error is =

rearranging

( +1 )( )

, ( ) or

(+1 ) = ( ) + , ( ) +

(2)

Subtracting (1) from (2): +1 = + , ( ) ( , ) + . By the Lipschitz condition in rectangle

R: , ( ) ( , ) |( ) | = | |. So |+1 | (1 + )| | + | |, = 0,1, 1. Let
= max| | so 0 1.
|+1 | (1 + )| | +

Then by induction

|1 | (1 + )|0 | +

|2 | (1 + )2 |0 | + (1 + ) +

Note:

| | (1 + ) |0 | + [1 + (1 + ) + (1 + )2 + + (1 + )1 ]
1
= 1 + + 2 + + 1
1

[verify by multiplying by ( 1) and telescoping]. So

(1 + ) 1
= 1 + (1 + ) + + (1 + )1
(1 + ) 1

And hence | | (1 + ) |0 | + [(1 + ) 1]. Note (1 + ) . So ( 0 )

| |

( )
0 1 + ( 0 ) |0 |

(3)

Hence the solution error should decrease at the same rate as the truncation error as we refine the mesh (which we
observed in our numerical example).

LECTURE 10
EXAMPLE (ERROR CONTROL)
Solve = arctan , (0) = 0 using explicit Euler with | | . By our error bound

27

Giordon Stark

ACM95b Notes

| |

March 13, 2010

( 1) + |0 |

(4)

Set initial condition correctly so 0 = 0. We need to find valid values of , . The truncation error is
So

1
= ( )
2

, max| ()| , t [0, t n ] and

Thus

arctan
(arctan ) =
=
,
2
1 +

1 + 2

. To find , note

(, 1 ) (, 2 ) =
For

| | |arctan |

1
2
1 +
2

(, )

(, ) continuous in rectangle . Hence |(, 1 ) (, 2 )| |1 2 | holds with

= max

In our case

(, )

=
1
1 + 2

So = 1 is a valid choice (maybe not the best, but it works). By (4) we then have
| |

( 1),
4

| |

( 1)
4

We now require

Or

4
( 1)

= 1, ,

REMOVING IMPLICITNESS
nd

Trapezoidal method gives 2 order accuracy but it is implicit requires a nonlinear iteration at each step.
+1 = +

[( , ) + (+1 , +1 )]
2

We can try approximating +1 by forward Euler step +1 + ( , ) to obtain the Improved Euler
Method.

Giordon Stark

+1 = +

ACM95b Notes

March 13, 2010

( , ) + +1 , + ( , )
2

This is a second order explicit method a special case of Runge-Kutta method.

EXPLICIT RUNGE-KUTTA METHODS

We average the slope at various points in the interval [ , +1 ] thus effectively gathering information about
neighboring integral curves.

1-STAGE SCHEME
1 = ( , )

+1 = + 1

st

= ()

1 Order Explicit Euler is a unique choice of the 1-stage scheme.

2-STAGE SCHEME
1 = ( , )

2 = ( + , + 1 )
1 + 2

+1 = +
nd

= ( 2 )

2 Order Improved Euler is one example of the 2-stage scheme.

4-STAGE SCHEME
1 = ( , )
2 = +
3 = +

, + 1
2
2

, + 2
2
2

4 = ( + , + 3 )

1 + 22 + 23 + 4

+1 = +
th

= ( 4 )

4 Order classical Runge-Kutta scheme is one example of the 4-stage scheme.

29

Giordon Stark

ACM95b Notes

March 13, 2010

NTH ORDER ODES

An order (possibly nonlinear) ODE of form = , , , , (1)
st

Can always be written as a system of 1 order ODEs. Let 1 = , 2 = , , = (1) , then

1 = 2

2 = 3

=
1
st

= (, 1 , 2 , , )

So 1 order systems are a unifying framework for ODE theory. It is not immediately obvious that Runge-Kutta
st
methods should work for 1 order nonlinear systems but it can be shown rigorously that they do (Lambert,
1991). Whats different? We treat , , as vector functions. The order of accuracy remains the same as the scalar
case.

LECTURE 11
LINEAR STABILITY ANALYSIS
Consider model problem

= ,

(0) = 0 0,

() < 0

Analytical solution is () = 0 with lim () = 0. What is the limit on so integrating reproduces

decaying behavior? If scheme has form +1 = () where () is the amplification factor, then well
require lim = 0 |()| < 1 which gives condition for absolute stability.

1-STAGE RUNGE-KUTTA (EXPLICIT EULER)

+1 = (1 + ) ,

= 0,1,

So () = 1 + with . The stability region is |1 + | < 1.

Imz
1.5

1.0

0.5

2.0

1.5

1.0

0.5

0.5
0.5
1.0
1.5

30

1.0

Rez

Giordon Stark

ACM95b Notes

March 13, 2010

If , < 0 then absolute stability for 0, .

4-STAGE RUNGE-KUTTA
+1 = () ,

|()| < 1

We can choose a complex or imaginary .

+1 = + +1 +1 =

So () =

BACKWARD EULER
1

with and there is absolute stability for

Imz
1.5

< 1 or |1 | > 1.

1.0

0.5

1.0

0.5

0.5

1.0

1.5

2.0

Rez

0.5
1.0
1.5

The stability region if , < 0 then (0, ). Moral: In practice, we must limit the time step to ensure
sufficient accuracy.

LECTURE 12
LINEAR EQUATIONS WITH ANALYTIC COEFFICIENTS
Consider
+ () + () = 0, (0 ) = 0, (0 ) = 0

If () and () are analytic at = 0 then 0 is an ordinary point. Otherwise, 0 is a singular point.

Recall: unique solution exists within interval of continuity of () and () around 0 . In general, cannot be
expressed in terms of elementary functions. Strategy near an ordinary point 0 :

31

(1)

Giordon Stark
a)

ACM95b Notes

March 13, 2010

Expand () and () as power series (analyticity positive radius of convergence)

b) Seek power series solution for ()

(2)

() = ( 0 )
=0

EXISTENCE OF SERIES SOLUTION

If () and () are analytic at = 0 , with convergent power series for
| 0 | < 0 ,

(3)

0 > 0

Then there exists a series solution to the IVP (1) of form (2) that converges at least throughout interval (3). (Proof
Coddington). Note: find interval of convergence for () and () series by
a)

Ratio test

b) Check distance to nearest singularity of () and () in complex plane

EXAMPLE

(0 ) = 0 , (0 ) = 0 , 0 =

(1 + 2 ) + 2 + 4 2 = 0,

() and () have simple poles at = .

=0 + converges at least for + <

2

5
2

1
2

Note: () and () are continuous for < < so there exists a unique solution () for < < but
may not have power series about 0 that converges for all .

POWER SERIES OPERATIONS

Recall: termwise differentiation, addition, and multiplication are valid inside circle of convergence.

SERIES SOLUTION NEAR AN ORDINARY POINT

EXAMPLE: (AIRYS EQUATION)

32

Giordon Stark

ACM95b Notes

= 0, < <

(4)

() and () are analytic for all 0 : every point is an ordinary point. Note:
= 0 1,2 = , monotonic
+ = 0 1,2 = , oscillatory

So expect: monotonic for > 0, oscillatory for < 0. Expand around 0 = 0:

2

= 0 + 1 + 2 + + + =

=0

= 1 + 22 + 33 + +

= 22 + + ( 1)

For convenience, shift indices to get :

= ( + 2)( + 1)+2 ,
=0

So to satisfy (4)

+ = 1
=1

+ = ( 1) 2
=2

= 1
=1

= 22 + [( + 2)( + 1) +2 1 ] = 0
=1

Coefficients of all powers must be zero

22 = 0,

( + 2)( + 1) +2 1 = 0,

= 1: 3 =

0
32

= 3: 5 =

2
=0
54

= 2: 4 =

By induction

3 =

1
,
[3 4][6 7] [3(3 + 1)]

3 +2 = 0,

General Solution

33

= 1,2,

1
43

0
,
[2 3][5 6] [(3 1)(3)]

3 +1 =

= 0,1,2

March 13, 2010

= 1,2,

= 1,2,

Giordon Stark

ACM95b Notes

= 0 1 +

=1

March 13, 2010

3
3+1
+ 1 +

[2 3][5 6] [(3 1)3]

[3 4][6 7] [3(3 + 1)]

= 0 1 () + 1 2 ()

(5)

=1

0 , 1 two constants to satisfy (0) = 0 , (0) = 0 . To see that 1 and 2 are linearly independent, check the
Wronskian at a single point:
1 (0) = 1,

1 (0) = 0,

2 (0) = 0
2 (0) = 1

So (1 , 2 )(0) = 1 0. Series solution (5) converges for < < since () and () are entire.

LECTURE 13
BEHAVIOR NEAR SINGULAR POINTS
Can sometimes hold greatest physical interest look in complex plane

(1)

Suppose () is analytic with an isolated singularity as = 0. Solution has form:

(2)

+ () = 0

() = (0 )

()

(for contours that avoid = 0). Start at 0 , analytically continue () to 0 2 .

In general, (0 2 ) (0 ). From (2), (0 2 ) = (0 ) () = (0 ) 2 (;0). Note: = 1 if

log
analytic at = 0. Also, independent of 0 so ( 2 ) = (). Let =
. Then, () is single-valued

34

Giordon Stark

ACM95b Notes

and analytic for 0 < || < , since ( 2 ) = 2 = log =

Laurent series at = 0:

() = ,
=

March 13, 2010

. Hence () may be expanded as a

0 < || <

If = 0 for < ( > 0) then () = (0 + 1 + ), 0 0. Or

() = (),

(3)

Where () is analytic in || < with (0) 0. If solution can be written in form (3), then = 0 is a regular
singular point otherwise = 0 is an irregular singular point. What is the requirement on ()? = 0 is a regular
singular point () has a simple pole at = 0.
PROOF (FORWARD)

Recall + () = 0 and suppose () = (), (0) 0. Then () =

Gee Ince, 1956 for reverse).

= + . (See

EXAMPLE
() =

1
() = 1 0

() =

1
1

()
=

= 0 is regular singular point

Essential singularity, = 0 is an irregular singular point

SOLUTION STRATEGY

Expand () at regular singular point = 0. Attempt solution form

() =
=0

REGULAR SINGULAR POINTS OF SECOND ORDER EQUATION

Consider
+
()

() ()
+ 2 = 0

()

(4)
nd

At worst,
is a simple pole, 2 is a 2 order pole. = 0 is a regular singular point it is not ordinary and ()

and () are analytic at = 0. If = 0 is a regular singular point, (4) has at least one solution of form:

35

Giordon Stark

ACM95b Notes

() = (0 + 1 + 2 2 + ) = ,

March 13, 2010

(5)

=0

(by convention, define so 0 0) What is form of 2 ? Consider simplest case of (4).

EULER EQUATIONS

2 + + = 0,

, constants

With = 0 a regular singular point. Attempt solution of form (5) with = 0 for 1, i.e.,
=

(6)

Then = ( ) = 1 and ( ) = ( 1) 2 . So = [( 1) + + ] = 0. (6) is a solution if

satisfies () ( 1) + + = 0 indicial equation.
2 CASES

DISTINCT ROOTS (1 2 )
1 = 1 ,

2 = 2

( 1 , 2 ) = (2 1 ) 1 +2 1 0,

Linearly independent solution for < 0 or > 0 satisfy initial conditions in either interval.

REPEATED ROOTS (1 = 2 )
And also

But

|=1 = 0

[ ]|=1 = [ ]|=1 = 0

= log so [ log ]|=1 = 0 2 = 1 log = 1 log .

( 1 , 1 log ) = 21 1 0,

2 2 + 3 = 0

EXAMPLE

Try = (2 2 + 1) = 0. We have 1 = , 2 = 1. Thus = 1 2 + 2 1 is the general solution for

< 0 or > 0. Real form recall = log :

1

2 = 2 (Log + arg ) = 2 Log = ||2

So real general solution is

1

= 1 ||2 + 2 ||1 ,

36

< 0 or > 0

Giordon Stark

ACM95b Notes

March 13, 2010

LECTURE 14
THE METHOD OF FROBENIUS
Consider
2 + () + () = 0

(1)

With () and () analytic at 0 = 0. Then

() = ,
=0

() = ,
=0

|| < , > 0

And = 0 is a regular singular point. Note: if = = 0 for 1 this is just the Euler equation
2 + 0 + 0 = 0

(2)

(3)

Seek solution to (1) of form

= = (0 + 1 + )
=0

Where 0 0. Then

And

(4)

= ( + ) +1 = 1 [0 + ( + 1)1 + ]

(5)

=0

= ( + )( + 1) +2

(6)

=0

Substituting (2),(4),(5) and (6) into (1)

[( 1)0 + ] + (0 + 1 + ) [0 + ( + 1)1 + ] + (0 + 1 + ) = 0

Set coefficients of all powers of to zero. Smallest power is : 0 [( 1) + 0 + 0 ] = 0. But 0 0, so

(7)

() = ( 1) + 0 + 0 = 0

(8)

(9)

(8) is known as the indicial equation. Note that it is identical to that for corresponding Euler equation (3). Roots of
(8), 1 and 2 , determine qualitative behavior of solution near singularity. Setting coefficients of + to zero for
1 gives
( + ) + [( + ) + ] = 0
=0

37

Giordon Stark

ACM95b Notes

March 13, 2010

Recurrence relation: can computer using 0 , 1 , , 1 and 1 , , , 1 , as long as ( + ) 0 for

= 1, , . Note: () = 0 only for = 1 , 2 . Let 1 2 if 1 , 2 are real. Then (1 + ) 0 for 1. Hence,
can always determine one solution of form (4).
1

1 () = (1 )
=0

Coefficients from (9) with = 1 .

TROUBLE
a)

If 1 = 2 , (9) gives only one linearly independent solution

-

Expect log term in 2 based on Euler equation experience

b) If 1 = 2 + , + then (2 + ) = 0 for = so (9) fails to define (2 ). May require log term

in 2 .

Last 15 minutes of lecture was on the Method of Frobenius handout online:

HTTP://WWW.ACM.CALTECH.EDU/~NILES/ACM95/FROBENIUS.PDF

LECTURE 15
2 N D ORDER LINEAR BOUNDARY VALUE PROBLEM (BVP)
Consider
+ () + () = 0

(1)

With continuous () and () and general solution = 1 1 () + 2 2 (). Does the BVP with boundary
conditions () = , () = have a unique solution?

EXAMPLE

+ = 0,

( > 0)

= 0, = 1,

General solution is = 1 sin + 2 cos . Now suppose = 1 so = 1 sin + 2 cos .

WITH HOMOGENEOUS BOUNDARY CONDITIONS
(0) = 0,

(1) = 0

2 = 0

1 = 0

So = 0, the trivial solution

WITH NONHOMOGENEOUS BOUNDARY CONDITIONS

Giordon Stark

ACM95b Notes
(0) = 1,

(1) = 0

2 = 1

1 sin 1 + cos 1 = 0

So =

sin

tan 1

March 13, 2010

+ cos , a unique solution

Now suppose = 2 so = 1 sin + 2 cos .

WITH HOMOGENEOUS BOUNDARY CONDITIONS

(0) = 0,

(1) = 0

2 = 0

1 sin = 0

So = 1 sin , infinitely many solutions

WITH NONHOMOGENEOUS BOUNDARY CONDITIONS

i)

(0) = 1,

(1) = 0

2 = 1

1 sin 1 0

(0) = 1,

(1) = 1

2 = 1

1 sin 1 = 1

So there is no solution.
ii)

So = 1 sin + cos , infinitely many solutions.

UNIQUE SOLUTION THEOREM

PROOF

The BVP consisting of (1) plus homogeneous boundary conditions () = , () = has a unique
solution if and only if the homogeneous boundary conditions are satisfied only by the trivial solution
= 0.
The nonhomogenous linear systems
1 1 () + 2 2 () =

1 1 () + 2 2 () =

Has a unique solution if and only if Det 1 ()2 () 1 ()2 () 0. If det 0, the homogeneous
system

39

1 1 () + 2 2 () = 0

Giordon Stark

ACM95b Notes

March 13, 2010

1 1 () + 2 2 () = 0

Has only the trivial solution (1 , 2 ) = (0,0). Alternatively, if det = 0, there is a nontrivial solution
(1 , 2 ) (0,0).

Whats going on? + = 0, (0) = 0, (1) = 0 is an eigenvalue problem. It has a nontrivial solution
(called an eigenfunction) if and only if is an eigenvalue.

SIMPLE EIGENVALUE PROBLEMS

EXAMPLE 1
+ = 0,

(0) = 0,

() = 0

Lets find all the eigenvalues and eigenfunctions

CASE 1: > 0

= 1 sin + 2 cos

(0) = 0 2 = 0

() = 0 1 sin = 0 =

So we have eigenvalues
=

2 2
,
2

= 1,2,

And our corresponding eigenfunctions are

= sin

= 1,2,

CASE 2: = 0

= 0 = 1 + 2

(0) = 0 1 = 0

() = 0 2 = 0

Hence = 0 is not an eigenvalue.

CASE 3: < 0

Consider = 0, = > 0

40

= 1,2,

Giordon Stark

ACM95b Notes

March 13, 2010

= 1 + 2 = 3 sinh + 4 cosh
(0) = 0 4 = 0,

() = 0 3 = 0

Hence no negative eigenvalues.

CASE 4: COMPLEX

We will later prove for a more general class of problems that there are no complex eigenvalues.

EXAMPLE 2
+ = 0,

(0) = 0,

() = 0

Lets find all the eigenvalues and eigenfunctions

CASE 1: > 0

= 1 sin + 2 cos

(0) = 0 1 = 0

() = 0 2 sin = 0 =

So we have eigenvalues
=

2 2
,
2

= 1,2,

= 1,2,

And our corresponding eigenfunctions are

= cos

CASE 2: = 0

= 1,2,

= 1 + 2

(0) = 0 2 = 0

() = 0 2 = 0

So 0 = 0, 0 = 1. As before, there are no negative or complex eigenvalues, hence this eigenvalue

problem gives us

41

2 2
,
2

= 0,1,

Giordon Stark

ACM95b Notes

= cos

March 13, 2010

LECTURE 16
FOURIER SERIES
Represent a periodic function () with period 2 as an infinite series in terms of these eigenfunctions:

0
+ cos
+ sin
() =
2

(1)

=1

Sum of eigenfunctions is an eigenfunction, so this is convenient.

PERIODICITY
( + ) = (); periodic function with period . Smallest valid is the fundamental period.
sin

2
2
and cos
have fundamental period =
; all share period 2

Note: constant 0 has an arbitrary period, but no fundamental period.

ORTHOGONALITY PROPERTIES

Want to avoid redundancy in information: two real functions (), () are orthogonal on the interval [, ]
if their inner product vanishes, ie:

(, ) = ()() = 0

All sin and cos are orthogonal to each other for varying values of on = [, ], = 1,2,

sin
= , ,
sin

cos

1, =
Note that , =
(Kronecker-Delta).
0,

sin

cos
= 0

For example, to show the first case:

42

sin
= ,

Giordon Stark

ACM95b Notes

March 13, 2010

( )
( + )

1
sin
sin
= cos
cos

( )
( + )
sin
sin
1

=0

+
2

Similar methods can be used for the other two cases by using complex exponentials and rearranging. Now suppose
the Fourier Series (1) converges to the function () on the interval [, ]. How do you find the coefficients?

Use orthgonality to find = 1,2, ; the coefficient of cos

() cos

then use (1).

=
cos
+ cos
cos
+ sin
cos

=1

=1

The first and last integrals go to zero by orthgonality conditions, the middle integral becomes

+ cos
+ sin

() =
2

=1

=1

The last two integrals go to zero by periodicity, the first integral becomes 0 .

,
= () cos

= 0,1,2 ,

= () sin
,

= 1,2,

If the series converges to () on [, ] then it converges to the periodic extension of () outside the
interval.

EXAMPLE

() = 2 ,

[, ]

1
2
0 = 2 = 2 ,

43

1
2 sin = 0

4
1
= 2 cos = (1) 2 ,

= 1,2

Giordon Stark

ACM95b Notes

March 13, 2010

2 sin is an even function times an odd function so it goes to zero by orthgonality. So

4
2
+ (1) 2 cos
() =
3

=1

Is the periodic extension of (). Note: it is also continuous. Also note coefficients decay by 2 . More smooth

would decay faster.

CONVERGENCE OF FOURIER SERIES

A function is piecewise continuous on [, ] if the interval can be split into a finite number of subintervals in
which () is continuous with one-sided limits at the ends of each subinterval.
A function is piecewise smooth if it is piecewise continuous and () is continuous in each subinterval.
THEOREM

If () is piecewise smooth on [, ] then the Fourier series converges to the periodic extension of

() where the extension is continous and equals

extension (Proof Kaplan).

+ ( )
2

at jump discontinuities in the periodic

A power series fails with discontinuities. Note; Fourier series converges even for a function containing
discontinuities (IE: it converges even if the function doesnt converge). Compare this to power series.

LECTURE 17
EXAMPLE

1,
() =
1,

On [, ].

< 0
> 0

1
1
0 = (1) + (+1) = 1 + 1 = 0,

44

1
1
= cos + cos = 0

Giordon Stark

ACM95b Notes

March 13, 2010

4
1
1
2
= sin + sin = sin = ,

0,

0
0

1
4
sin[(2 + 1)]
() =
2 + 1

odd

even

=0

Periodic extension of ()

Note: coefficients decay like .

FOURIER COSINE AND SINE SERIES

Consider the Fourier coefficients formulae

,
= () cos

= 0,1,2 ,

If () is even for [, ] then = 0 and

,
= () cos

Yields Fourier Cosine Series

= () sin
,

= 1,2,

= 0,1,2

0
+ cos
2

=1

For the periodic extension of (). If () is odd for [, ], then = 0 and

,
= () sin

Which yields the Fourier Sine Series

sin

=1

= 1,2,

Now consider a function that is not necessarily even or odd on [, ] and suppose we are only interested in
the interval [0, ]. We have a choice of series representations.

45

Giordon Stark

ACM95b Notes

March 13, 2010

EXAMPLE

Fourier Cosine is smoother so faster convergence. Choose based on convenience (e.g., rate of convergence or
notational simplicity). How do eigenvalue problems and Fourier series arise in solving PDEs?

SOLVING PDES
EXAMPLE
Consider heat conduction along a perfectly insulated wire governed by the PDE
2

= 2 2 ,

0 < < ,

> 0

This is the heat equation, where is thermal diffusivity, with boundary conditions
(0, ) = 0,

And initial condition

46

(, ) = 0,

> 0

(1)

(2)

Giordon Stark

ACM95b Notes

(, 0) = (),

0 ,

March 13, 2010

= 0

(3)

This is an initial boundary value problem (IBVP).

SEPARATION OF VARIABLES
Attempt to find solution of the from (, ) = ()(). Substituting into (1) we find
1

= 2

In order for this to hold (left side depends on , right side depends on ) throughout the rectangle
= {, : (0, ), (0, )}

Both sides must be equal to a constant. Otherwise, equality would be violated by varying and holding
constant (or vice-versa). Hence

1
= 2 =

Note: for convenience. So we have

+ = 0,

+ 2 = 0,

0 < <
> 0

Obtain two ODEs from original PDE.

To satisfy the boundary conditions, we require (0, ) = (0)() = 0 rejecting the trivial solution
() = 0. We have (0) = 0. Likewise (, ) = ()() = 0 () = 0. Hence, must solve the BVP
+ = 0

With boundary conditions

(0) = () = 0

This is an eigenvalue problem!

LECTURE 18
47

Giordon Stark

ACM95b Notes

March 13, 2010

THE HEAT EQUATION

2
= 2 2

(1)

(0, ) = (, ) = 0,

(, 0) = (),

> 0 (boundary conditions)

0 ,

Separation of variables

(2)

= 0 (initial condition)

+ 2 = 0,
> 0
(, ) = ()()
0
+ = 0,

(3)

With (0) = () = 0. This defines our eigenvalue problem. The eigenvalues are =

eigenfunctions () = sin

So

for = 1,2, So, solving for ():

2 2
2

and corresponding

2 2 2
2 2 2

=
0

()
=

(, ) =

2 2 2

sin

= 1,2,3,

This satisfies PDE (1) and boundary conditions (2). To satisfy the initial condition (3), consider the infinite series
obtained by superposition of (valid because PDE is linear)

(, ) = (, )

(4)

=1

Letting = 0 gives us a Fourier Sine Series for ():

(, 0) = sin
=1

This implies the coefficients

= ()

(5)

= () sin

Note: if working with a cosine series, would also have 0 . Check that the infinite series PDE (1) solves, differentiate
term-by-term:

2 2 2

2
=1

48

2 2 2

sin
,

2
2 2

2
2
=1

2 2 2

sin

Giordon Stark

ACM95b Notes

March 13, 2010

Hence the solution to the initial boundary value problem defined by (1), (2), (3) is given by (4) with coefficients (5);
assuming termwise differentiation of Fourier series is justified.

EXAMPLE
= ,

(0, ) = (, ) = 0,

() (, 0) = 1,

> 0

2
2
2
(1 cos ) = ,
cos =
= sin =

0
0,
0

(, ) =

=1,3,5,

4 2

sin

odd

even

As large, it looks close to sin .

REVISITING SOLUTION TO THE HEAT EQUATION

Note: for > 0, continuous and partials are continuous based on physical concept of diffusive interaction (at
least in = {, : (0, ), (0, )}).
Separation of variables

(, ) =
=1

With coefficients

2 2 2

sin

(6)

= () sin

JUSTIFICATION OF TERMWISE DIFFERENTIATION

Interpret (6) as the Fourier Sine Series

() sin

=1

To differentiate it, need to have

(, )

=
() cos

=1

By Theorem 3, we can differentiate this

49

(7)

Giordon Stark

ACM95b Notes

=1

March 13, 2010

2 2
() sin
2

We differentiated a Sine Series when the physical boundary conditions justified differentiation. We differentiated a
Cosine Series when no boundary conditions were available or needed in order to justify differentiation.
By Theorem 4, termwise differentiation of (6) with respect to yields
equation IBVP.

. Hence the series (6) solves the heat

2
2

Need to check conditions to make sure we can take . Obtain Fourier Cosine Series for by termwise
differentiation of (7) to get

(8)

=
() cos

=1

Because (, ) satisfies homogeneous boundary conditions, (0, ) = (, ) = 0 for > 0, which are precisely
the conditions required by Theorem 2 for differentiation of a Fourier Sine Series.

LECTURE 19
COMPLEX FORM OF FOURIER SERIES
Consider Fourier Series

0
+ cos
+ sin

() =
2

=1

With coefficients

(1a)

= () cos

Recall:

(1b)

= () sin

cos

1
= + ,

sin

1
=

1
0 1
+ ( ) + ( + )
() =
2 2
2
=1

=1

Change the second series summation index from . It then becomes

50

Giordon Stark

ACM95b Notes

March 13, 2010

1
( + )
2
=1

From (1a), (1b): = since cos

We have

From (1)

() =
=

is even; = since sin

is odd. Hence defining

(1c)

(2)

Hence

() cos
sin

=
2

1
()
=
2

USEFUL TERMINOLOGY

() function of time with

period

frequency =

angular frequency = 2 =

() function of position with

wavelength

wavenumber =

angular wavenumber = 2 =

(note: usually called wavenumber)

Note: often abused e.g. frequency used to mean wavenumber

Question of the Day: A man is at the beach with his dog. His dog starts running around from him at 2 . The man has a

whistle he blows to get the dog to come back. Each time the dog hears the whistle, he doubles his speed. Given that the

speed of sound is 300 , how many whistles does the dog hear?

The answer is 15. The dog will hear whistles 4,8,16,32,64,128,256,512. At this point, hes faster than the speed of sound,
so he starts to catch up to the old whistles: 4,8,16,32,64,128,256.

51

Giordon Stark

ACM95b Notes

March 13, 2010

REPRESENTING NON-PERIODIC FUNCTIONS

Consider the representation of a non-periodic function on (, ). Start with Fourier Series on (, )
and let . By (2), the Fourier Series represents a function periodic on (, ) as a sum of harmonics

with angular wavenumbers = , = , , . The spectrum is discrete with gap = between angular

wavenumbers. As , 0. So spectrum becomes continuous and all are considered.

FOURIER TRANSFORM

Start with complex Fourier Series

() =

Let =

1
=
()
2

and define () = 2 . So

() = ()

And

() =
=

Note: =

1
(),
2

1
=
()
2

. Let and let () = lim ()

() = ()

Fourier Transform (3)

Inverse Fourier Transform (4)

1
() =
()
2

The Fourier Transform () exists if () is absolutely integrable |()| < and piecewise continuous.
(e.g. if () 0 sufficiently fast as ).

SPECTRAL ANALYSIS USING THE FOURIER TRANSFORM

EXAMPLE

52

Giordon Stark

ACM95b Notes

March 13, 2010

Note: if you cant read the cut-off portion of the bottom left, it says Fourier Transform.

LECTURE 20
Professor Note: Everything from this point on will appear in the final exam crucial.

EVALUATING FOURIER TRANSFORMS

Denote the function () and the Fourier Transform () {()} ()

EXAMPLE 1: GAUSSIAN FUNCTION

() = ,

() =

53

> 0

Giordon Stark

ACM95b Notes

Complete the square

2

+ = +
2
4

() =
Let = +

Where

2
+

2
4

so = . So

2
4

() =

+ + + =0
1

() =

On 3 , 4 , =

: = =

2 2 +2

= =0
3

2 2

0 as . So

By M-L Bound. Hence

+ = 0 () = =
1

2
2
= 4

For () = . The Fourier Transform of a Gaussian is a Gaussian!

54

March 13, 2010

Giordon Stark

ACM95b Notes

March 13, 2010

(Interpreting the picture. As decreases: () increases spread while () decreases spread, and vice-versa.)
2
Small spread transforms to large spread and vice-versa. Also if () = then
() =

EXAMPLE 2: DIRAC DELTA FUNCTION

() = ()

() = () = 1

If we make a perfect spike, we get an equal amount of every component in the spectrum. All harmonics are equally
strong in a delta function!

PROPERTIES OF THE FOURIER TRANSFORM

CONVOLUTION THEOREM
Suppose () = ()()
() =

1 {()()}

1
=
()()
2

1
1

=
() ( ) = ( )
()
2
2

55

Giordon Stark

ACM95b Notes

March 13, 2010

= ( )( )

Then

() = = = ()( )

DERIVATIVES

Suppose { ()} exists with () 0 as . Then

{

()}

()

()

+ ()

Thus { ()} = {()}. Similarly, if () has continuous derivatives through order that vanish as :
() () = () {()}

LINEARITY

{() + ()} = {()} + {()}

SOLVING DIFFERENTIAL EQUATIONS ON AN INFINITE DOMAIN USING

THE FOURIER TRANSFORM
EXAMPLE (HEAT EQUATION REVISITED)

2
= 2 2 ,

(, 0) = ()

< < ,

(, ) = 0

> 0

initial condition

boundary conditions

Professors Note: Sometimes the boundary conditions are left unstated in books, etc Fourier Transform the PDE in
space

=
(, ) = (, )

2
= ()2 (, ) = 2 (, )
2

(, ) = 2 2 (, )

56

Giordon Stark

ACM95b Notes

Solution is (, ) = (, 0)

2 2

March 13, 2010

where

(, 0) = {()} = ()

Hence (, ) = 1 (, 0}
1

2 2

2 2

4 2

By the Convolution Theorem

(, ) = ()

4 2

. We have a Gaussian in with coefficient 2

2
4 2

( )2
4 2

Suppose we consider the diffusion of salt in a pipe from an initial point source () = ( 0 ) at = 0
(, ) =

4 2

( 0 )2
4 2

(, ) > 0 for > 0; diffusion at infinite speed. (Picture interpretation: start with something that looks like an
impulse at = 0 . As , the spread of the Gaussian becomes infinitely large.)

LECTURE 21
MORE GENERAL EIGENVALUE PROBLEMS
We have examined the eigenvalue problem + = 0, (0) = () = 0 with [] , i.e. [] + = 0,

which arises in the solution of the heat equation using separation of variables. The eigenvalues are =

nd

2 2
2

eigenfunctions = sin
for = 1,2, We now examine the general case of 2 order linear eigenvalue

problem where [] = () + () + () assuming 0 and , , are sufficiently smooth.

57

with

Giordon Stark

ACM95b Notes

March 13, 2010

THE ADJOINT PROBLEM

Consider the primal operator
[] = () + () + (),

With boundary conditions

() = 0,

< <

(1)

(2)

() = 0

Now consider inner product (, []) and integrate by parts to obtain

(, []) = ( [], ) + ()|

(3)

Where defines adjoint or dual operator and () is boundary terms from integration by parts. Adjoint
boundary conditions defined to make ()| = 0 for satisfying (2). Recall the inner product

(, ) ()()

For real functions. This yields the adjoint operator

[] = + (2 ) + ( + )

(4)

()| = [( ) ( )|

(5)

() = 0,

(6)

And boundary terms

Which vanish for any satisfying (2) if we choose the adjoint boundary conditions
() = 0

SELF-ADJOINTNESS

A problem is self-adjoint if = and the primal and adjoint boundary conditions are the same. This is equivalent
to requiring that (3) becomes
(, []) ([], ) = 0

(7)

For any () and () satisfying the same primal/adjoint boundary conditions. Comparing (1) and (4), this
requires 2 = , + = or simply
=

(8)

Note that = = so = must have the form [] = + + or equivalently

[] = ( ) +

(9)

With () () and () (). This is the Sturm-Liouville Operator. In general, the second order linear
operator (1) can be transformed to the self-adjoint Sturm-Liouville form (9) using an integrating factor.

58

Giordon Stark

ACM95b Notes

March 13, 2010

REGULAR STURM-LIOUVILLE EIGENVALUE PROBLEMS

Consider the eigenvalue problem
(() ) + () + () = 0,

With the separated boundary conditions

1 () + 2 () = 0,

(10)

< <

1 () + 2 () = 0

(11)

Where < < < . , , , are continuous with () > 0, () > 0 for . 1 , 2 , 1 , 2 are real
with
|1 | + |2 | > 0,

|1 | + |2 | > 0

i.e. they cant both be zero. For convenience, (10) may be written
[] + () = 0

(12)

()| = [()( )|

(13)

Where is given by (9). For this operator (9), we have already verified that = . Also, (8) simplifies the
boundary terms (5) to yield
Do these vanish for any () and () satisfying (11)? If 2 = 0 then () = () so () = 0. If 2 0, then

() = 1 (), () = 1 (). So () 1 ()() + 1 ()() = 0. The same result follows at

2

= . Hence (7) holds and the S-L problem (10),(11) is self-adjoint. Question to answer for next class: Why is this
important?

LECTURE 22
Note: This continues on from Lecture 21. From last time:
(, []) ([], ) = 0

[] + () = 0

(7)
(12)

ORTHOGONALITY OF EIGENFUNCTIONS

THEOREM
Eigenfunctions of a regular S-L problem (10),(11) corresponding to different eigenvalues are orthogonal
with respect to the weight function ().

() () () = 0

59

(14)

Giordon Stark

ACM95b Notes

March 13, 2010

PROOF
Letting = , = , (7) gives: ( , [ ]) ([ ], ) = 0. Using (12):

0 = ( , () ) ( () , ) = ( ) () () ()

, so (14) follows.

THE EIGENVALUES ARE REAL

The inner product of two complex functions of a real variable is given by

(15)

(, ) = ()()

Repeating the self-adjointness derivation using the definition shows that (7) remains valid.
THEOREM
The eigenvalues of a regular S-L problem (10),(11) are real.
PROOF
Consider possibly complex eigenvalue with eigenfunction (). By (7) and (12), using (15)

So

= 0
()()()

()|()|2 = 0

This is positive because () > 0 hence = 0 is real. Note also, the eigenfunctions can be
chosen to be real.

SIMPLICITY OF EIGENVALUES
THEOREM
Each eigenvalue of the regular S-L problem (10),(11) corresponds to one linearly independent
eigenfunction.
PROOF
For a given , consider two eigenfunctions () and () satisfying (10). The Wronskian is (, )() =
which, like () vanishes at = . So (), () are linearly dependent.

60

Giordon Stark

ACM95b Notes

March 13, 2010

SEQUENCE OF EIGENVALUES
The regular S-L problem (10),(11) has an infinite sequence of eigenvalues 1 < 2 < < < with as
. The eigenfunction has 1 zeros in < < (Proof: Birkhoff-Roots)

EXAMPLE

+ = 0,

1 = 1 = 1,

() = 1,

() = 0,

2 = 2 = 0,

Real simple infinite sequence =

2 2
2

() = 1

(0) = () = 0

, = sin

is orthogonal, = 1,2,

EIGENFUNCTION EXPANSIONS
These properties suggest the idea of generalizing Fourier Series to expansions of orthogonal eigenfunctions

() = () ,
=1

Find coefficients via orthogonality with respect to ()

(16)

< <

() ()() = () ()() = ()2 ()

Which is positive since () > 0.

=

=1

() ()()

()2 ()

ORTHONORMAL EIGENFUNCTIONS

For convenience, choose the arbitrary constant multiplying each so that

()2 () = 1

Then the Eigenfunctions form an orthonormal set with respect to () with

() ()() =

61

(17a)

Giordon Stark

ACM95b Notes

March 13, 2010

The coefficients of the eigenfunction expansion (16) becomes

(17b)

= () ()()

CONVERGENCE OF EIGENFUNCTION EXPANSIONS

Let 1 , 2 , be the eigenfunctions of the regular S-L problem (10),(11) and let () be piecewise smooth on
. The series (16) with coefficients (17) converges to

+ +( )
2

at each point on < < .

LECTURE 23
Note: this continues on from Lecture 22.

NONHOMOGENEOUS BOUNDARY VALUE PROBLEMS

Consider the nonhomogeneous differential equation
[] + () = (),

< <

(18)

Where is the Sturm-Liouville operator (9) and is a real constant. Furthermore, consider the homogeneous
separated boundary conditions (11).
Attempt solution by expanding in the eigenfunctions of the corresponding S-L eigenvalue problem (10) given by
(19)

[] + () = 0

With boundary conditions (11). Denote the eigenvalues 1 < 2 < (ordered) and orthonormal eigenfunctions
1 , 2 , Then let

(20)

() = ()
=1

Where is unknown. By (19)

=1

=1

[] = [ ()] = ()()

So substituting into (18)

=1

=1

() () + () () = ()

To expand () so as to obtain a uniform factor of () in all terms we consider

62

(21)

(22)

Giordon Stark

ACM95b Notes
()()
,
()

() =

And expand

March 13, 2010

(recall () > 0)

(23)

()
= ()
()
=1

With

Or

()
()()
()

(25)

= () ()

Substituting (23) and (24) into (22) we have

() = [( ) ] () = 0

(26)

=1

Taking the inner product with (). Orthogonality (with respect to ()) gives
CASE 1

( ) = 0,

= 1,2,

If is not an eigenvalue of the S-L problem (19),(11) (i.e. for = 1,2, ) then
=

(27)

(28)

And the solution to the nonhomogeneous boundary value problem (18),(11) is

() =

=1

CASE 2

(29)

()

If is an eigenvalue (say = for some ) then there are two possibilities

a)

If 0, then (27) has no solution and the nonhomogeneous problem (18),(11) has no solution

b) If = 0, then (27) shows that is arbitrary. Hence the nonhomogeneous problem (18),(11) has
infinitely many solutions

() = () +

63

=1

()

(30)

Giordon Stark

ACM95b Notes

March 13, 2010

Containing an arbitrary multiple of the eigenfunction (). From (25) we see that = 0 when

() () = 0

(31)

Hence if = , the nonhomogeneous boundary value problem (18),(11) can be solved

(nonuniquely) only if () is orthogonal to the corresponding eigenfunction (). To summarize,
we have something called the Fredholm Alternative.

THE FREDHOLM ALTERNATIVE

For a given and continuous () either the nonhomogeneous problem (18),(11) has a unique solution or else the
corresponding homogeneous problem has a non trivial solution. What it is saying: If is not an eigenvalue of
the corresponding S-L eigenvalue problem (19),(11) (i.e. the eigenfunction () corresponding to = , in
which case the nonhomogeneous problem (18),(11) has no solution or an infinite number of solutions.

LECTURE 24
Note: this continues from the past two or so lectures.. yes, I realize its a long thing on S-L problems and solving
BVPs

GREENS FUNCTIONS FOR BVP

Consider the nonhomogeneous problem (18),(11) when is not an eigenvalue of the corresponding eigenvalue
problem (19),(11). Hence, the unique solution (29) is given by

() =

=1

()

(32)

Where are the eigenvalues of (19),(11) and are the corresponding orthonormal eigenfunctions. By (25)

= () ()

So (32) may be written

(33)

() = (, )()

With Greens function

(, ) =

64

=1

() ()

(34)

Giordon Stark

ACM95b Notes

March 13, 2010

Note: the Greens function does not exist if = for some = 1,2, What are the properties of the Greens
function? Consider letting () = ( ) so by (33):

() = (, )( ) = (, )

So (, ) is the response of the solution at to an impulse at . Hence, by (18) the Greens function satisfies
[(, )] + ()(, ) = ( ),

< <

With homogeneous boundary conditions (11)

1 (, ) + 2
1 (, ) + 2

(, ) = 0

(, ) = 0

(35)

(36a)
(36b)

RECIPROCITY

From (34) we note the reciprocity relationship

(37)

(, ) = (, )

The response at due to an impulse at is identical to the response at due to an impulse at . Physically, this is a
remarkable observation! Note: Reciprocity did not hold for the IVP Greens function. What is the behavior of
(, ) at = ? (35) and (9) give

() (, ) + [() + ()](, ) = ( )

As with IVP, expect

to + .

2 =

to balance ( ). So

has jump and | = is continuous. Integrate the ODE for

() (, )
+ [[() + ()](, ) = 1

Noting that the integral vanishes as 0. So

+

And also

1
() (, ) =

()

(, )| = 0

How to find (, ) assuming it exists (i.e. when is not an eigenvalue).

METHOD 1

65

(38)

(39)

Giordon Stark

ACM95b Notes

March 13, 2010

Find and for S-L eigenvalue problem (19),(11) and use (34) or equivalently solve (35),(36) using
eigenfunction expansion.
METHOD 2
Alternatively, solve (35),(36) by solving homogeneous problems in < and > and
matching solutions at = using (38) and (39).

Consider homogeneous solutions 1 () satisfying boundary condition at = and 2 () satisfying

boundary condition at = . If is not an eigenvalue of (19),(11) then neither 1 or 2 satisfies both
boundary conditions (11). So it can be shown that (1 , 2 )() 0, and 1 () and 2 ()
are linearly independent. However, by (36a) (, ) and 1 () do satisfy the same boundary condition at
= so (1 , )() = 0. They also satisfy the same homogeneous differential equation for < <
so they are linearly dependent.
(, ) = 1 ()1 (),

<

(, ) = 2 ()2 (),

<

Likewise,

By the jump conditions (38) and (39)

2 ()2 () 1 ()1 () = 0

2 ()2 () 1 ()1 () =

So

1 () =

2 ()
,
()()

1
()

2 () =

1 ()
()()

Where () (1 , 2 )() 0. By (41). Hence

(, ) =
NOTE
a)

1 ()2 () ,
()()

2 ()1 ()
()() ,

Equivalent to (34) despite different appearance

b) Evidently, ()() is independent of in order for reciprocity to hold

LECTURE 25
EXAMPLE

66

Giordon Stark

ACM95b Notes

March 13, 2010

Consider a string under tension carrying a vertical load ()

Then

2
= (),
2

[]

(0) = 0,

() = 0

()
2
= ()
2

Note: this is a nonhomogeneous S-L BVP with () = 1, () = 0, () = 1, = 0. We have two different

methods of finding Greens function (, ) to solve this.
METHOD 1:

Solve
2
(, ) = ( )
2

(1a)

[] + = 0,

(1b)

With boundary conditions (0, ) = (, ) = 0 by eigenfunction expansion. Consider corresponding S-L

eigenvalue problem

Eigenvalues are =

2 2
2

And

(0) = () = 0

(, ) = () ()

. Let
(2)

=1

So

, = 1,2, with orthonormal eigenfunctions () = sin

(3)

( ) = () ()
=1

sin
( ) = () sin
sin

And by orthogonality () = sin

=1

. Now

[(, )] = ()[ ()] = () ()

67

=1

=1

Giordon Stark

ACM95b Notes

March 13, 2010

By (1b). So substituting into (1a)

=1

=1

2
2 2

2 sin
= sin
sin

Note: this came up during class, and I thought it was a good question. We cant just ignore the summations and
equate coefficients, we need to justify picking off individual terms which is why we talk about orthogonality and
inner products. Taking the inner product with respect to (), by orthogonality we have
2 2

sor =

2 2

sin

, = 1,2, and by (2)

2 2
2

= sin

(4)

2
2

(, ) = 2 2 sin
sin

=1

Professor Pierce made a point of saying that we cant study the behavior of the solution from an infinite series of
sine terms. Also, to get a particular solution, we take the inner product with ().
METHOD 2:

Solve homogeneous problems

2
=0
2

(5)

In intervals < and < while satisfying boundary conditions

(0, ) = 0

(6a)
(6b)

(, ) = 0

And jump conditions

+

(7)

1
=
=1

()
+

(8)

| = 0

For < : (, ) = 1 () satisfies (5) and (6a). For < : (, ) = 2 ()( ) satisfies (5) and
(6b). To satisfy (7) and (8), we must have both 2 ()( ) 1 () = 0 and 2 () 1 () = 1 This gives us

1 () =
and 2 () = , so

NOTES
a)

( )
,

(, ) =
( )
,

We see that (, ) has the following appearance:

68

(9)

Giordon Stark

ACM95b Notes

March 13, 2010

b) (4) is the Fourier Sine series for (9) (i.e. the eigenfunction expansion).

LECTURE 26
SINGULAR STURM-LIOUVILLE EIGENVALUE PROBLEMS
Again consider
[] + () = 0,

With S-L operator

< <

[] = (() ) + ()

(1)

(2)

A singular S-L problem arises if the regular assumptions on , , are valid for < < , but one or more of
the following apply:

, (not a finite domain)

0, 0, unbounded (at or )

Whatever the singularity, appropriate boundary conditions are chosen to ensure that the problem remains selfadjoint. Recall that integration by parts for the S-L operator yields
(, []) ([], ) = ()|
()| = [()( )|

(3)
(4)

Use separated boundary conditions such that any () and () satisfying the boundary conditions give () = 0
and () = 0. For example, if () 0 as , then need to be bounded. Then appropriate
boundary conditions are (), () bounded as . 1 () + 2 () = 0.

69

Giordon Stark

ACM95b Notes

March 13, 2010

PROPERTIES OF SINGULAR STURM-LIOUVILLE EIGENVALUE PROBLEMS

a)

Singular S-L problems remain self-adjoint with (, []) ([], ) = 0 for any () and () satisfying the
same primal/adjoint boundary conditions.

b) Therefore, by similar arguments to the regular case, square integrable eigenfunctions corresponding to
different eigenvalues, IE:

2 ()() <

Are orthogonal and the eigenvalues are real.

c)

Suppose at least one of the boundary conditions is of the regular S-L type (say at = 0). Consider
eigenvalue and eigenfunctions and . Since () 0 and = (). (, ) = 0, and are not
linearly independent solutions (, linearly dependent).

d) Singular problems may have continuous, discrete, or mixed spectra.

HEAT EQUATION IN A DISK WITH RADIAL SYMMETRY

= 2

(3)

(, ) = 0

(4)

(, 0) = ()

(5)

Boundary conditions

Initial conditions

Using separation of variables: (, ) = ()(). Substituting into (3),

= 2 +

1 1
= +

Both sides equal to a constant . We obtain

+ 2 = 0

(6)

+ = 0

(7)

() = 0

(8)

, bounded as 0

(9)

This is a singular S-L problem. By (4):

Note () 0, also weight 0 as 0.

To show > 0; multiply (7) by and integrate by parts

70

Giordon Stark

ACM95b Notes

March 13, 2010

+ + 2 = 0

0
0

2
+ 0
0

0 2

>0

Let = valid since > 0. (7) becomes 2 2 + + ( 2 2 ) = 0 based on equation order = 0. By

the Method of Frobenius, the general solution is () = 1 0 () + 2 0 () where 0 (), 0 () are the Bessel
functions of first and second kind, both of order 0. Other examples of special functions defined only as solutions
to differential equations. We note that 0 (), 0 () bounded as 0 and |0 ()| as 0. Also 0 () has
infinitely many zeros for > 0 0 fails the conditions so set 2 = 0. The infinite sequence of eigenvalues is
defined by 0 = 0, = 1,2, with eigenfunctions () = 0 that are orthogonal with respect to
2
weight function . By (6), () = . By superposition,

(, ) = 0
=1

Determine to satisfy the initial condition

() = 0
=1

By orthogonality with respect to

=

0 ()0

0 02

LECTURE 27
ACM FINAL REVIEW
Topics:
-

IVP: Euler equations, series solutions around regular and ordinary points, Frobenius method

Representation of Functions: Fourier Series, Sine/Cosine series, Fourier Transform

BVP: Linear 2 order BVPs, eigenvalue problems, separation of variables for PDEs, adjoint operator and selfadjoint linear operators, S-L eigenvalue problems, Greens function for BVPs

nd

EXAMPLE: (E-STUFF FOR A BVP)

71

Giordon Stark

ACM95b Notes

= 0,
( + 1)2

0 < < ,

March 13, 2010

(0) = () = 0

Guess solution of form = (1 + ) . may be complex: = + .

= ( + )(1 + )+ 1

= ( + )( + 1)(1 + )+ 2

Plugging into the ODE

( + )( + 1)(1 + )+ 2 +

(1 + )+ = 0
(1 + )2

( + )( + 1) + = 2 2 + 2 + + = 0

In a S-L eigenvalue problem, real and positive

1
(2 ) = 0 = ,
4

2 2 + = 0 =

() = (1 + )+ = (1 + )2 (1 + )

1
2

(1 + ) = log (1+) = cos( log(1 + )) + sin( log(1 + ))

1
1
1
1 = (1 + )2 cos log(1 + ) + sin log(1 + )
4
4

1
1
1
2 = (1 + )2 cos log(1 + ) sin log(1 + )
4
4

= 1 1 + 2 2

1
1
1
1
= (1 + 2 )(1 + )2 cos log(1 + ) + 2 (1 + )2 sin log(1 + )
4
4

Let 1 = 1 + 2 so

(0) = 0 1 = 0,
=

2 2
1
+ ,
(log(1 + ))2 4

1
() = 0 log(1 + ) =
4
1

= (1 + )2 sin

log(1 + )
log(1 + )

EXAMPLE (FOURIER TRANSFORM)

Use Fourier transform to find an integral representation for the solution of

72

Giordon Stark

ACM95b Notes

= 0

1
3
(0) = cos
3

lim () = 0,

[()] = ()

Taking transform:

March 13, 2010

2 = 0

Applying inversion:

=
() =
() =
()

3

2
= = 2 () = (0) 3

+
() =
3 =
3

2
2

3
3
cos + + sin +
3
3
2

By odd/even orthogonality

3
2 cos +
2
3
0

From initial condition, = 1.

EXAMPLE (HEAT EQUATION)

= 2 +

With on real line < < and our initial condition (, 0) = (). Take fourier transform

2
(, ) = ()2 + (, ) (, ) = () ( ) +

Invert using convolution and shifts theorem

(, ) = ()

( + )2
(4 2 )

EXAMPLE (S-L PROBLEM)

Consider

a)

2 + + = ,

(1) = (2) = 0

Write as regular Sturm-Liouville Problem

73

Giordon Stark

ACM95b Notes

March 13, 2010

() = is integrating factor, so
1
[ ] + = 0

b) Without solving, we can bound the eigenvalues using Rayleigh quotient

c)

= 0 < 1

Find eigenvalues, eigenfunctions

Euler equation with initial equation
2 + 1 = 0

= 1

2
,
log 2

d) Find Greens Function for

+ = 0,

log
,
log 2

= sin

lim () <

Two homogeneous solutions

1 = 1,

2 = log

1
log() ,
= (, ) =
log() ,

74

0 <
< 1

= 1,2,