Beijing 2

Normal forms and geometric numerical
integration of Hamiltonian PDEs

Part II: Non linear equations
Erwan Faou
INRIA & ENS Cachan Bretagne
Beijing, 23 May 2009
Joint works with Benot Grebert and Eric Paturel (University of Nantes)
E. Faou (INRIA) Normal forms & numerics for PDEs Beijing, 23 May 2009 1 / 40
A numerical example
Nonlinear Schrodinger equation (NLS)
i
t
= + V +[[
2
(x, t) C wave function, x T

1
.
=
xx
Laplace operator
V diagonal operator in Fourier with real coecients.
L
2
norm and energy preservation.
Initial value :
0
smooth and small.
A numerical example
Numerical scheme : splitting. Time-step h.
(x, h) =
h
H
0
+P
(
0
)
1
=
h
H
0

h
P
(
0
)
h
H
0
ow at time h of the linear part (diagonal in Fourier)
i
t
= H
0
= ( + V)
h
P
ow of the nonlinear part (ordinary dierential equation)
i
t
=
P = [[
2
Symplectic scheme. L
2
norm preservation.
Easy to implement with FFT.
A numerical example
We represent the actions : I
k
() := [
k
[
2
+[
k
[
2
in logarithmic scale.
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!&%
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!&#
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!"
!
Left : h = 0.174.
Right : h = 2/(
7

1
) = 0.1745947 . . . where
denote the
frequencies of H
0
.
A numerical example
This phenomenon cannot be explained by using ODE arguments.
Finite dimensional systems : Stability hypothesis depending on the
dimension
Long time analysis of Hamiltonian PDEs : KAM-like theory in innite
dimension.
Bourgain, Kuksin, Eliasson, Bambusi, Grebert, P oschel, Kappeler,
Craig, Wayne, etc...
Use of normal form techniques.
Can we use this to explain the behavior of numerical schemes ?
Integrable nite dimensional systems : Hairer, Lubich & Wanner 2002.
Linear Schrodinger equation : Dujardin & Faou 2007.
Hamiltonian PDEs : abstract formulation
An example : NLS
i
t
= + V +
g
(,

), x T
d
Nonlinearity : g(,

) R and g(,

) = O([[
3
).
Hamiltonian :
H(,

) =
_
T
d
[[
2
+

(V ) + g(,

) dx
Case d = 1,
k
(x) = e
ikx
Fourier basis, k Z
=
1
k
(x) et

=
1
k
(x)
The Hamiltonian is written
kZ
k
+
j
1
,...,j
p
,k
1
,...,k
q
a
jk
j
1

j
p
k
1

k
q
k
= k
2
+ o(1) eigenvalues of the operator
+ V .
Abstract phase space : Variables (
j
,
k
) C
N
C
N
,
Symplectic structure :
i
j 0
d
j
d
j
.
Sobolev norms :
|(, )|
2
s
:=
j 0
[j [
2s
([
j
[
2
+[
j
[
2
)
For two functions F et G, Poisson bracket :
F, G = i
j 0
F
j
G
j
G
j
.
Complex Hamiltonian systems :
_
j
= i
H
j
(, ) j 0

j
= i
H
j
(, ) j 0.
If H(,

) R and if
0
j
=
0
j
then
t > 0
t
j
=
t
j
and the two equations are redundant
H(, ) = H
0
(, ) + P(, ) =
j 0
j
+ P(, ),
j
frequencies, [
j
[ C[j [
a
, j 0 (NLS : a = 2)
P(, ) = O([(, )[
3
) nonlinear Hamiltonian :
P(, ) =
j,k
P
jk
j
1

j
p
k
1

k
q
sum over the indices
j
1
+ + j
p
+ k
1
+ + k
q
= 0
Hamiltonian system :
_
j
= i
j
j
i
P
j
(, ) j 0

j
= i
j
j
+ i
P
j
(, ) j 0.
Hamiltonian PDEs : abstract splitting
Decomposition : H = H
0
+ P
At t = nh, the exact ow
t
H
is approximated by
t
H

_
h
H
0

h
P
_
n
.
Spectral discretization : P is such that
P
j
0 for [j [ > K.
Invariant space : (, ) [
j
=
j
= 0, [j [ > K
K : space discretization parameter.
Hamiltonian PDEs : Examples
Wave equation : (u(t, x) R)
u
tt
u
xx
+ V(x)u = G
(u), x T
1
, t R.
v = u
t
, Hamiltonian
H(u, v) =
_
T
1
2
(v
2
+ u
2
x
+ Vu
2
) + G(u) dx,
A := (
xx
+ V)
1/2
, q := A
1/2
u et p = A
1/2
v.
H =
1
2
_
Ap, p)
L
2 +Aq, q)
L
2
_
+
_
T
G(A
1/2
q) dx.
Decomposition q =
j
q
j
j
, p =
j
p
j
j
in the eigenbasis of A.
H =
j 0
j
p
2
j
+ q
2
j
2
+ P(p, q)
j
eigenvalues of A.
New (symplectic) variables :
j
=
1
2
(q
j
+ ip
j
) and
j
=
1
2
(q
j
ip
j
).
System of the previous form.
Symplectic splitting schemes for wave equation : Deuhard method
(1979), Mollied impulse methods.
Ref : Hairer, Lubich & Wanner : Geometric Numerical Integration.
Schrodinger equation : dej`a vu
Beam equation, Maxwell equation, etc...
Normal form results in the continuous case
Idea : transform the Hamiltonian system
H = H
0
+ P,
such that in a new (symplectic) coordinate system it can be written
H = H
0
+ Z + R
where
Z only depends on the actions I
j
=
j
j
(= [
j
[
2
if
j
=
j
)
R = O([(, )[
r
) where r is an arbitrary number.
Idea : I
j
, H = I
j
, R = O([(, )[
r
).
Small initial data (of order ) remains small for times
r +1
.
Sobolev norm :
j
[j [
2s
I
j
.
Proof : change of variable constructed iteratively.
Each step : we build
1
where is an unknown Hamiltonian.

Idea : at each step we eliminate the polynomial of order m.
Example : First iteration
H
1
= H +H, + h.o.t.
= H
0
+ P +H
0
, + h.o.t.
= H
0
+ Z + R
Homological equation :
H
0
, = Z P
We solve successively the equations
H
0
, + Z = G =
p+q=m
G
jk
j
1

j
p
k
1

k
q
G is of order m and depends of the previous terms m 1.
Regularity assumptions on the coecients (Delort, Szeftel)
Symmetry conditions G
jk
=

G
kj
(real Hamiltonian).
in components :
i (j, k)
jk
+ Z
jk
= G
jk
where
(j, k) =
j
1
+ +
j
p

k
1

k
q
.
Homological equation : i (j, k)
jk
+ Z
jk
= G
jk
Non resonance hypothesis (Bambusi & Grebert, 2006).
(j, k), j ,= k, [(j, k)[

(j, k)
(j, k) is the third largest integer amongst [j

1
[, , [k
q
[.
Generic hypothesis for a large set of multipliers V (Schrodinger in
dimension d, wave equation in dimension 1, etc..)
Solution :
j = k :
_
Z
jk
= G
jk
,
jk
= 0,
j ,= k :
_
Z
jk
= 0
jk
= i (j, k)
1
G
jk
.
Control of the regularity at each step.
Theorem [Bambusi & Grebert, 2006]
Let r be xed. Under the non resonance hypothesis, for s large enough and
small enough, if |
0
|
s
then
|(t)|
s
2 for t
C
r 1
and preservation of the actions :
j 0, [I
j
(t) I
j
(0)[

3
j
2s
for t
C
r 2
Normal form and splitting schemes
Is it possible to nd a transformation such that

h
H
0

h
P

1
=
h
H
0

h
Z+R
.
Warning :
h
H
0
= 1 + ihH
0
+ does not work
We work with ows and not at the level of the Hamiltonian.
Idea : Family of transformation
[0, 1]
h
H
0

P
and dierentiate w.r.t. .
Details put under the rock.
Discrete Homological equation

h
H
0
+ Z = G
h 0 : (formally) back to the continuous equation.
Action of the ow
h
H
0
:
j
e
ih
j
j
et
j
e
ih
j
j
In components :
(e
ih(k,j)
1)
jk
+ Z
jk
= G
jk
.
Homological equation : (e
ih(k,j)
1)
jk
+ Z
jk
= G
jk
.
First idea : do the same hypothesis as in the continuous case :
[e
ih(k,j)
1[
h
(j, k)
.
Same kind of results.
Generic condition ? ?
Discretized systems : j < K. CFL condition (depending on r ! !)
h[(k, j)[ hCrK
a
< .
Previous hypothesis fullled :
[e
ih(k,j)
1[ ch[(k, j)[ h(k, j)
using the B & G non resonance condition.

Similar results :
Cohen, Hairer & Lubich 2008 (wave equation)
Gauckler & Lubich 2008 (Schrodinger)

Technique : Modulated Fourier expansions.
In the numerical example : h = 0.17 . . . and K 1000...
Is it satised outside the CFL regime ?
[e
ih(k,j)
1[
h
(j, k)
Schrodinger :
j
j
2
.
Assume j
1
= N, k
1
= N + 1 and all the other indices smaller that 1
(in modulus). We have (j, k) = 1 .
But h(j, k) h(N + 1)
2
hN
2
2hN for large N.
The condition becomes :
N large, [e
i 2hN
1[ h.
Non generic on h.
Non resonance condition :
j, k, j ,= k, [j
i
[, [k
[ N, [e
ih(k,j)
1[
h
N
Generic hypothesis on V and on h [0, h

0
] :
meas h h
0
[ h is bad Ch
1+
0
The good h are in an open and dense subset of [0, h
0
].
Solution of the homological equation for modes N .
Theorem : Under the generic non resonance condition on h, there exists
a change of variable such that the splitting scheme can be written
h
H
0

1
hZ+R
Z is made of terms
depending only on the actions
containing at least two indices > N .

R possesses a zero of order r .
Problem : two large indices can always interact and yield energy back in
the low modes !
Terms with two large indices : Numerical eects due to h
In the end : N
.
(frequency cut-o adapted to the size of the initial data)
Fully discretized system (j < K) :
If K N
: No large terms ! !
=Z only depends on the actions.
Finite (but large) dimensional Birkho normal form result.
Theorem [Faou, Grebert & Paturel, 2008]
Numerical solution
n
=
_
h
H
0

h
P
_
n
(
0
), n > 0
fully discretized system (parameter K) .
Let r be xed, under the non resonance hypothesis on h, if |
0
| and
K
then
|
n
| 2 for n
C
r 1
with the action preservation j < K,
[I
j
(n) I
j
(0)[
3
for n
C
r 2
What happens if K >
? ?
Let n >
. Assume analytic.
[
n
[ Ce
n
C exp(
)
For reasonable values of , we have
[
n
[ TOL 10
32
.
How can possibly interact two components smaller than the rounding
error ? ?
Phenomenon described by another model (stochastic).
Projection operator :
j ,
_
,s
z
_
j
=
_
_
_
z
j
if [j [
s
[z
j
[
0 if [j [
s
[z
j
[ < .
Rounded splitting schemes :
,s

h
H
0

h
P
relevant if < TOL.
At each time step : drift of order
r
in the high-frequencies (because
of R).
Idea : we can take =
r
<< TOL as r arbitrary large.
Theorem [Faou, Grebert & Paturel, 2008]
Let r be xed, under the non resonance condition on h and for s large
enough if |
0
|
s
and |
0
|
2s
1 if
n
=
_
,s

h
H
0

h
P
_
n
(
0
), n > 0, =
r
then we have
|
n
|
s
2 for n
C
r 1
and for the actions
j [I
j
(n) I
j
(0)[

3
j
2s
for n
C
r 2
Implicit-explicit integrators
Can we nd numerical schemes without resonances ?
Can we do backward error analysis for PDEs ?
An example : linear Schrodinger equation on the torus
i
t
u(x, t) = u(x, t) V(x)u(x, t)
Mid-split scheme :
exp(ih( + V)) R(ih) exp(ihV)
where
R(z) =
1 + z/2
1 z/2
exp(z)
Control of
exp(2i arctan(h[k[
2
/2) 2i arctan(h[[
2
/2)) ,= 1
Always satised : no resonances and backward error analysis results
(Debussche & Faou 2009)
Nonlinear resonances
What about the nonlinear case ? Is the midpoint rule any better ?
We have to control small divisors of the form
exp(i (h, k, j)) 1
where
(h, j) = 2i arctan(h
k
1
/2) + 2i arctan(h
j
q
/2)
Splitting : (h, k, j) = h(k, j)
Midpoint : (h, k, j) ,= 2 nonlinear relation between h and
j
.
Similar relation for any symplectic RK method.
Resonances might always appear.
Physical resonances might be broken.
Cubic nonlinear Schrodinger equation
i
t
u = u + V u +[u[
2
u
with
k
= k
2
2
10+2k
2
, k Z. Implicit-explicit integrator :
u
n+1
= R(ihH
0
)
h
P
(u
n
)
with
R(ihH
0
)
k
=
1 ih
k
/2
1 + ih
k
/2
= exp(2i arctan(h
k
/2)).
Initial value :
u
0
=
0.1
2 2 cos(x)
+ 0.05(2e
2ix
2e
5ix
+ 3e
7ix
).
figure1
0 1000 2000 3000 4000 5000 6000 7000 8000 9000
!4
!3.5
!3
!2.5
!2
!1.5
Time
l
o
g
1
0

o
f

t
h
e

a
c
t
i
o
n
s
0 1000 2000 3000 4000 5000 6000 7000 8000 9000
!4
!3.5
!3
!2.5
!2
!1.5
Time
L
o
g
1
0

o
f

t
h
e

a
c
t
i
o
n
s
Up : h = 0.13, down : h = 0.1278... such that
arctan(h
2
/2) + arctan(h
5
/2) arctan(h
7
/2) = 0
Same resonance for the midpoint rule :
u
n+1
= u
n
ihH
0
_
u
n+1
+ u
n
2
_
ihg
_
u
n+1
+ u
n
2
_
figure3
0 1000 2000 3000 4000 5000 6000 7000 8000 9000
!4
!3.5
!3
!2.5
!2
!1.5
Time
L
o
g
1
0

o
f

t
h
e

a
c
t
i
o
n
s
0 1000 2000 3000 4000 5000 6000 7000 8000 9000
!4
!3.5
!3
!2.5
!2
!1.5
Time
L
o
g
1
0

o
f

t
h
e

a
c
t
i
o
n
s
Consider the same problem but with
2
= 10,
5
= 30 and
7
= 40,
Exact solution with resonances (
2
+
5

7
= 0 ) :
figure5
0 1000 2000 3000 4000 5000 6000 7000 8000 9000 10000
!4
!3.5
!3
!2.5
!2
!1.5
Time
L
o
g
1
0

o
f

t
h
e

a
c
t
i
o
n
s
implicit-explicit integrator or midpoint rule :
figure6
0 1000 2000 3000 4000 5000 6000 7000 8000 9000
!4
!3.5
!3
!2.5
!2
!1.5
Time
L
o
g
1
0

o
f

t
h
e

a
c
t
i
o
n
s
0 1000 2000 3000 4000 5000 6000 7000 8000 9000
!4
!3.5
!3
!2.5
!2
!1.5
Time
L
o
g
1
0

o
f

t
h
e

a
c
t
i
o
n
s
h = 0.0812... such that
2 arctan(h
2
/2) + 2 arctan(h
5
/2) 2 arctan(h
7
/2) =
1
2
.
Undesired preservation of the actions ! !
Such phenomenon will always appear for any symplectic RK method.
(h, k, j) = h(k, j) unique possibility = Splitting schemes .
Truncation in high frequencies to avoid h(k, j) = 2.
Theorem [Faou & Grebert, 2009] :
Let N and r be xed, and consider H
h
0
truncated such that
h
j

3
(in fact

2
).
(independent of r and N). Hamiltonian : H = H
h
0
+ P
Then the preservation of the actions for the numerical solution associated
with the splitting schemes holds for
t
2
h
N
+
r +1
Conclusion
Geometric integration of Hamiltonian PDEs :
No general backward error analysis result outside the linear case.
In general resonances appears.
It is not because it is expensive that it is better !
Possible solution : truncation in high frequencies (with explicit bound)
combined with splitting methods.
Conclusion
Conclusion
Conclusion

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Normal forms and geometric numerical

integration of Hamiltonian PDEs

(x, t) C wave function, x T

where is an unknown Hamiltonian.

(j, k) is the third largest integer amongst [j

using the B & G non resonance condition.

Cohen, Hairer & Lubich 2008 (wave equation)

Gauckler & Lubich 2008 (Schrodinger)

Generic hypothesis on V and on h [0, h

depending only on the actions

containing at least two indices > N .

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