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Goetz Grammel

February 4, 2005

Contents

1 Introduction

3.1 Linear Vector Spaces . .

3.2 Linear Forms . . . . . .

3.3 Inner Products . . . . .

3.4 Norms . . . . . . . . . .

4 Convergence, Continuity

4.1 Convergence . . . . . .

4.2 Continuity . . . . . . .

4.3 Completeness . . . . .

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4

4

7

9

10

and Completeness

13

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. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17

19

5.1 Sobolev Spaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19

5.2 Variational Equalities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21

5.3 Application to Linear Second Order Boundary Value Problems . . . . . . . 23

6 Approximation of Solutions

6.1 Taylor Series . . . . . . . .

6.2 Splines . . . . . . . . . . .

6.3 Fourier Series . . . . . . .

6.4 Homogenization . . . . . .

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27

27

28

29

29

33

Introduction

Frequently those differential equations cannot be solved analytically and one has to find

approximate solutions. The standard way to compute approximate solutions is the socalled finite element method. It relies on characterizing the solutions of partial differential

equations by related minimization problems, which in turn can be described by variational

equalities. Then the approximate solutions are minimizers within a prescribed finitedimensional subspace. The purpose of this course is to develop the mathematical tools

and skills needed to understand the abstract framework related to the finite element

method.

Given two real numbers a and b, find a twice continuously differentiable function u :

[0, 1] R with the boundary conditions u(0) = a, u(1) = b, such that the Laplace

equation

u00 (x) = 0

is fulfilled for all x (0, 1). Multiplying both sides of the Laplace equation with a

continuously differentiable function w : [0, 1] R and integrating leads to the variational

system

Z

1

u00 (x)w(x)dx = 0.

Z 1

0

If we only take those functions w, whose values at the boundary points vanish, we finally

obtain the variational system

Z 1

u0 (x)w0 (x)dx = 0.

0

We claim that the solution to the Laplace equation minimizes the functional

Z 1

F (u) =

u0 (x)2 dx.

0

To this end we note that all function of the type u + w satisfy the boundary conditions.

We calculate

Z 1

Z 1

Z 1

Z 1

Z 1

0

0

2

0

2

0

0

0

2

(u (x) + w (x)) dx =

u (x) dx + 2

u (x)w (x)dx +

w (x) dx

u0 (x)2 dx

0

In this chapter we focus on the algebraic side of functional analysis and present the

algebraic structures needed to formulate finite element methods in a mathematical way.

3.1

Definition 3.1 (Linear spaces) A real linear space (vector space, linear vector space)

is a set V together with two operations

(i) Addition + : V V V , (u, v) 7 u + v,

(ii) Scalar Multiplication : R V V , (, u) 7 u,

with the following properties.

u+v = v+u

u + (v + w) = (u + v) + w

( + ) u = u + u

(u + v) = u + v

() u = ( u)

1u = u

for all u, v, w V and , R. Furthermore, there is an element 0 V with u + 0 = u

for all u V , and for all u V there exists an element w V with u + w = 0. We write

w = u.

Remark 3.2 In any real vector space V , the equality

0u=0

is valid for all u V . Indeed, we can calculate

0 u = (0 + 0) u = 0 u + 0 u

and adding the expression (0 u) to both sides, we have 0 = 0 u. Consequently, we can

write

u = (1) u

for all u V , since

(1) u + u = (1) u + 1 u = (1 + 1) u = 0 u = 0.

Example 3.3 The smallest linear space is given by V = {0}.

Example 3.4 For any natural number n, the set Rn with the addition

u + v = (u1 , u2 , ..., un ) + (v1 , v2 , ..., vn ) = (u1 + v1 , u2 + v2 , ..., un + vn )

and the scalar multiplication

u = (u1 , u2 , ..., un ) = (u1 , u2 , ..., un )

is a real linear vector space.

Example 3.5 Let Rn . We write A(; R) for the set of all functions from to R.

We define the addition of two functions f, g A(; R) by

(f + g)(x) = f (x) + g(x)

for all x . A scalar multiplication is obtained by setting

( f )(x) = f (x)

for all x . Using the fact that the range R is a linear space, it is easy to show that

A(; R) is a linear space as well.

Lemma 3.6 Let V be a linear space and W V . Then W is a linear space (a subspace

of V ), if and only if the following two conditions are satisfied.

(i) w1 + w2 W for all w1 , w2 W ,

(ii) w W for all R, w W .

Example 3.7 The following sets are subspaces of A(; R).

B(; R), the set of all bounded functions from to R.

C(; R), the set of all continuous functions from to R.

C k (; R), the set of all k-times continuously differentiable functions from to R.

L1 (; R), the set of all integrable functions from to R.

Example 3.8 Let L2 (; R) be the set of all square integrable functions, i.e. of all functions f : R with

Z

f (x)2 dx < .

L (; R) is a linear subspace of A(; R). Recall that for all real numbers a, b R, the

inequality

1

1

ab a2 + b2

2

2

is valid. This follows from

0 (a b)2 = a2 2ab + b2 .

5

Let f, g L2 (; R). We show that f + g L2 (; R). To this end we apply the inequality

above to a = |f (x)|, b = |g(x)|. Then we obtain

Z

Z

Z

Z

2

2

2

(f (x) + g(x)) dx

f (x) dx + g(x) dx + 2 |f (x)||g(x)|dx

Z

2 f (x)2 dx + 2 g(x)2 dx <

Example 3.9 The set of polynomials over R is a linear space. For 0 n m let

n

X

p=

ai x ,

q=

m

X

i=0

bi x i

i=0

p+q =

n

X

(ai + bi )x +

i=0

m

X

bi x i

i=n+1

n

X

p=

(ai )xi .

i=0

Example 3.10 For fixed n 0, the set of real polynomials of the form

p=

n

X

ai x i

i=0

Remark 3.11 Depending on the domain , some of the subspaces of A(; R) are contained in others. For instance, for = [0, 1] we have the inclusions

C k ([0, 1], R) C([0, 1], R) B([0, 1], R) L2 ([0, 1], R) L1 ([0, 1], R) A([0, 1], R).

Definition 3.12 (Basis) Let V be a vector space. A subset B V is called a basis of

V , if it has the following two properties.

(i) B is a generating system for V , i.e. for all v V there are k N, {b1 , . . . , bk } B,

{a1 , . . . , ak } R such that we can represent v as a linear combination

v=

k

X

ai b i .

i=1

0=

k

X

i=1

implies that a1 = a2 = = ak = 0.

6

ai b i

cardinality of B is called the dimension of V .

Example 3.14 The smallest possible linear space {0} has dimension dim({0}) = 0, since

its basis is the empty set.

Example 3.15 The Euclidean space R3 has the basis

B = {(1, 0, 0), (0, 1, 0), (0, 0, 1)}.

Accordingly, dim(R3 ) = 3.

Example 3.16 The Euclidean space Rn has the basis

B = {(1, 0, . . . , 0), (0, 1, 0, . . . , 0), . . . , (0, . . . , 0, 1)}.

Accordingly, dim(Rn ) = n.

Example 3.17 Let P be the linear space of polynomials (of arbitrary degree). Then

B = {1, x1 , x2 , . . .}

is a basis of P . Accordingly dim(P ) = .

3.2

Linear Forms

x X an element f (x) Y . The set X is called the domain of definition, the set Y is

the range of f .

Definition 3.19 (Linear mapping) Let V , W be a real linear vector spaces. A mapping L : V W is called a linear if

L(u + v) = L(u) + L(v)

L( u) = L(u)

for all u, v V and R.

Example 3.20 The simplest linear mapping L : V W is the zero mapping given by

L(v) = 0 for all v V .

Example 3.21 For the particular case that V = W = R, any linear mapping L : V W

is of the form L(v) = v, where R.

Remark 3.22 L(0) = 0 for any linear mapping L on V . Indeed, we can calculate

L(0) = L(0 0) = 0 L(0) = 0.

Remark 3.23 A linear mapping L : V W is completely determined by its values on a

basis B of V , since we can write

!

k

k

k

X

X

X

L(v) = L

i bi =

L(i bi ) =

i L(bi )

i=1

v.

Pk

i=1

i=1

i=1

Ker(L) := {v V : L(v) = 0}

is called the kernel of L. The set

Im(L) := {w W : w = L(v) for a v V }

is called the image of L.

Remark 3.25 The smaller the kernel, the larger the image. For instance, if V = Rn one

can show that

dim(Ker(L)) + dim(Im(L)) = n = dim(Rn )

for any linear mapping L : V W .

Definition 3.26 (Linear forms) Let V be a real linear vector space. A linear mapping

L : V R is called a linear form.

Example 3.27 L : C([0, 1], R) R defined by L(f ) = f (0) is a linear form on V =

C([0, 1], R).

Example 3.28 L : C([0, 1], R) R defined by

Z 1

L(f ) =

f (x)dx

0

Example 3.29 L : C 1 ([0, 1], R) R defined by L(f ) = f 0 ( 21 ) is a linear form on

V = C 1 ([0, 1], R).

Example 3.30 Let y = (y1 , y2 , ..., yn ) Rn be fixed. Ly : Rn R defined by

Ly (x) =

n

X

i=0

is a linear form on V = Rn .

8

xi yi

3.3

Inner Products

Definition 3.31 (Bilinear forms) Let V and W be two linear spaces. A mapping a :

V W R is a bilinear form if the mappings

aw : V R,

av : W R,

and

are linear forms for all v V and w W .

Example 3.32 Let V = R3 and W = R2 . Then

a(v, w) := v1 w1 + v2 w2

is a bilinear form.

Definition 3.33 (Inner products) Let V be a linear vector space. An inner product

on V is a bilinear form a : V V R such that

a(v, v) 0

for all v V (positivity), a(v, v) = 0 if and only if v = 0 (definiteness),

a(v, w) = a(w, v)

for all v, w V (symmetry).

A linear space which is endowed with an inner product is called an inner product space.

Remark 3.34 For inner products on V we write a(v, w) = hv, wi for u, v V .

Example 3.35 On the linear vector space V = Rn , the bilinear form a(v, w) = hv, wi =

Pn

i=0 vi wi is called the Euclidean inner product.

Example 3.36 On the linear vector space V = C([0, 1]; R), the bilinear form

Z 1

f (x)g(x)dx

a(f, g) :=

0

Remark 3.37 Let V be an inner product space. Then the equality hv, 0i = 0 is valid for

all v V . Indeed, we can calculate

hv, 0i = hv, 0 vi = 0hv, vi = 0

9

Theorem 3.38 (Schwarz inequality) Let V be an inner product space. Then the inequality

hu, vi2 hu, uihv, vi

is valid for all u, v V .

Proof. For v = 0, the claim is trivial. Let v 6= 0. Then we can calculate

hu, vi

hu, vi

0

u

v, u

v

hv, vi

hv, vi

hu, vi

hu, vi

hu, vi2 hv, vi

= hu, ui u,

v

v, u +

hv, vi

hv, vi

hv, vi2

hu, vi

hu, vi2

hu, vi +

hv, vi

hv, vi

2

hu, vi

= hu, ui

hv, vi

= hu, ui 2

3.4

Norms

k k : V R,

v 7 kvk

is called a norm on V if

kvk 0 for all v V (positivity),

kvk = 0 if and only if v = 0 (definiteness),

k vk = ||kvk for all R and v V (positive homogeneity),

ku + vk kuk + kvk for all u, v V (triangle inequality).

A linear space which is endowed with a norm is called a normed space.

Example 3.40 The absolute value function x 7 |x| defines a norm in R.

Example 3.41 On Rn a norm is given by

kx|1 := |x1 | + + |xn |.

Example 3.42 On Rn a norm is given by

kx|2 :=

|x1 |2 + + |xn |2 .

10

kf k := max |f (x)|.

x[0,1]

Example 3.44 On C 1 ([0, 1]; R) we obtain a norm by setting

kf kC 1 := max |f (x)| + max |f 0 (x)|.

x[0,1]

x[0,1]

Theorem 3.45 (Natural norms) Let V be a linear vector space with an inner product

h, i. Then we obtain a norm on V by setting

1

kvk := hv, vi 2 .

This norm is called the natural norm on an inner product space.

1

Proof. As for the positivity we immediately obtain kvk = hv, vi 2 0, since hv, vi 0

for all v V . The definiteness follows from the definiteness of the inner product. The

positive homogeneity is obtained as follows.

1

1

1

1

k vk = h v, vi 2 = 2 hv, vi 2 = (2 ) 2 hv, vi 2 = || kvk.

As for the triangle inequality, we calculate

ku + vk2 = hu + v, u + vi

= hu, ui + hu, vi + hv, uihv, vi

= hu, ui + 2hu, vi + hv, vi,

and using the Schwarz inequality we obtain

ku + vk2 kuk2 + 2kukkvk + kvk2

= (kuk + kvk)2 .

2

Theorem 3.46 (Parallelogram law) Let V be an inner product space. Then the parallelogram law

ku + vk2 + ku vk2 = 2kuk2 + 2kvk2

is valid for all u, v V .

Conversely, If V is a normed space such that the parallelogram law is valid for all u, v V ,

then the norm is a natural norm of an inner product, i. e. there is an inner product on

1

V such that kuk = (hu, ui) 2 for all u V .

11

v

u n

uX

kxk := t

x2i

i=1

Example 3.48 (Energy norms) We set V := {u C([0, 1]; R) : u(0) = u(1) = 0}.

Obviously V is a linear vector space. On V we define a bilinear form by

Z 1

a : V V R, a(u, v) =

u0 (x)v 0 (x)dx.

0

The bilinear form a is an inner product on V . Indeed, we immediately obtain the positivity

Z 1

a(u, u) =

(u0 (x))2 dx 0

0

R1

for all u V . As for the definiteness we note that a(u, u) = 0 if and only if 0 (u0 (x))2 dx =

0. Since u0 C([0, 1]; R), we conclude that u0 (x) = 0 for all x [0, 1]. Since the domain

[0, 1] is an interval, there is a constant c R with u(x) = c for all x [0, 1]. By the

definition of V , we have c = u(0) = 0, and hence u = 0. The symmetry is obvious. The

natural norm

12

Z 1

0

0

kuka :=

u (x)u (x)dx

0

Example 3.49 L2 ([0, 1]; R) is an inner product space with inner product

Z 1

hf, gi :=

f (x)g(x)dx.

0

Z 1

1/2

2

kf kL2 :=

|f (x)| dx

0

is called the L2 -norm. Here, the bilinearity, positivity and symmetry are easy to show. In

contrast to the space of continuous functions, definiteness, in the usual sense, does not

hold, since there are many square integrable functions f with

Z 1

f (x)2 dx = 0.

0

those functions with square integral equal to zero into one class, the zero-class, and moreover say that two square integrable functions f, g are equivalent, if their difference f g is

an element of this zero-class. In this way we obtain equivalence classes of functions. So,

we do not talk about single functions any more, but about equivalence classes of functions.

A single function can be viewed as a representative of its equivalence class.

12

In this chapter, we present the notions that are necessary in order to understand the

analytical aspects of functional analysis.

4.1

Convergence

Definition 4.1 (Convergence) Let V be a normed space and (vn )nN be a sequence in

V . We say that the sequence vn converges to a limit v V , and write

vn v,

as n ,

if

kvn vk 0,

as n .

Hence, the norm allows us to reduce the convergence in a vector space to a convergence

of real numbers. However, note that the convergence of a given sequence in a linear space

depends on the norm we have chosen. For instance, since we have the inclusions

C([0, 1]; R) L2 ([0, 1]; R) L1 ([0, 1]; R),

we can equip the linear space of real valued continuous functions on [0, 1] with at least

three different norms. The following theorem tells us that the maximum norm is nicely

adapted to C([0, 1]; R).

Theorem 4.2 Let (fn )nN be a sequence in C([0, 1]; R) and f B([0, 1]; R) with

kfn f k 0,

as n .

Proof. Let x [0, 1] be arbitrary (but fixed) and > 0. We take an arbitrary sequence

(xk )kN in [0, 1] with xk x, as k . We choose n N large enough such that

kfn f k < ,

3

and, for this particular n N, we choose k0 N large enough such that

|fn (xk ) fn (x)| <

3

for all k k0 . Then we obtain (using the triangle inequality) the estimation

|f (xk ) f (x)| |f (xk ) fn (xk )| + |fn (xk ) fn (x)| + |fn (x) f (x)|

<

+ + = ,

3 3 3

for all k k0 . In other words, we have the convergence f (xk ) f (x), as k , and

f is continuous at x [0, 1]. Since x [0, 1] was arbitrarily chosen, the function f is

continuous on [0, 1].

2

13

(

xn for 0 x < 1

fn (x) :=

.

1 for 1 x 2

For any fixed x [0, 2] we obtain a real sequence fn (x), which converges to

(

0 for 0 x < 1

f (x) :=

.

1 for 1 x 2

Note that the function x 7 f (x) is not continuous on [0, 2], since it is not continuous at

x = 1. But f is square integrable. We easily show that

kfn f kL2 0,

Indeed, we calculate

Z 2

Z

2

|fn (x) f (x)| dx =

0

as n .

x2n dx =

1

0,

2n + 1

as n .

Hence, if we chose the L2 -norm in C([0, 2]; R), the sequence fn is convergent. But if we

chose the maximum norm in C([0, 2]; R), the sequence fn does not converge, because the

limit function f is not continuous.

Note that in the previous example the linear space considered is infinite-dimensional. In

contrast, in finite-dimensional linear vector spaces the situation is less complex. Namely,

if a sequence in a finite-dimensional space does converge with respect to one particular

norm, then it is convergent with respect to any other norm as well. This very useful fact

is an immediate consequence of the following theorem.

Definition 4.4 Let V be a linear space and k k1 , k k2 be two norms on V . We say that

the norm k k1 is stronger than the norm k k2 , if there is a real constant C > 0 such that

kvk2 Ckvk1

for all v V .

When the norm k k1 is stronger than the norm k k2 , a sequence vn in V converges w.r.t.

the norm k k2 whenever it is convergent w.r.t. the norm k k1 .

Definition 4.5 (Equivalence of norms) Let k k1 and k k2 be two norms on a linear

space X. We say that both norms are equivalent, if there is a real constant C > 0 such

that we can estimate

kxk1 Ckxk2 and kxk2 Ckxk1

for all x X.

14

We are not going to prove this result, but present a simple example.

Example 4.7 Consider the two-dimensional space R2 with the two norms

p

kxk1 = |x1 | + |x2 | and kxk2 = x21 + x22 .

A short look at the corresponding unit spheres tells us that

for all x R2 . Hence, we can chose C = 2 and see that both norms are equivalent.

4.2

Continuity

W is continuous at v , if f (vn ) f (v), as n , for any sequence (vn )nN in

with vn v, as n . A mapping f : W is continuous, if it is continuous at

any v .

Proposition 4.9 (Continuity of linear mappings) Let V, W be normed linear spaces

and L : V W be a linear mapping. Then L is continuous if and only if it is continuous

at 0 V .

Proof. The only if part is obviuos, we only show the if part. Let L be continuous

at 0 V and let v V . We take a sequence (vn )nN in V with vn v, as n . Then

we can write

kLvn Lvk = kL(vn v)k 0, as n ,

2

since (vn v) 0, as n .

Example 4.10 Let V = C 1 ([0, 1]; R) and W = C([0, 1]; R). We define a mapping D :

V W by f 7 Df = f 0 . Clearly, D is a linear mapping by the rules of differentiation. It

turns out that the continuity of D strongly depends on the norms we choose. For instance,

D is not continuous, if we equip both spaces V, W with the maximum norm. This can be

seen as follows. Consider the sequence (fn )nN in V given by

fn (x) =

sin(nx)

n

for all x [0, 1]. Then we immediately calculate that kfn k 0, as n , but

kDfn k = max0x1 |cos(nx)| = 1 for all n N.

In contrast, D becomes continuous, if we equip only W with the maximum norm and take

for f V the stronger norm

kf kC 1 = kf k + kf 0 k .

15

kfn kC 1 0, as n inf ty. Then we have kDfn k = kfn0 k kfn k + kfn0 k = kfn kC 1

for all n N, and hence Dfn 0 in W , as n .

Proposition 4.11 (Continuity of the inner product) Let V be an inner product space.

Then the mapping

P : V V R,

k(v1 , v2 )kV V =

p

kv1 k2 + kv2 k2 .

|P (v1 , v2 ) P (w1 , w2 )| = |hv1 , v2 i hw1 , w2 i|

|hv1 , v2 i hw1 , v2 i| + |hw1 , v2 i hw1 , w2 i|

= |hv1 w1 , v2 i| + |hw1 , v2 w2 i|

kv1 w1 kkv2 k + kw1 kkv2 w2 k

L (kv1 w1 k + kv2 w2 k)

p

2L kv1 w1 k2 + kv2 w2 k2

= 2Lk(v1 , v2 ) (w1 , w2 )kV V ,

2

Definition 4.12 (Bounded linear mappings) Let V, W be normed linear spaces with

norms k kV , k kW . We say that a linear mapping L : V W is bounded, if there exists

a constant C 0 such that

kL(v)kW CkvkV

for all v V .

Proposition 4.13 Let V, W be normed linear spaces and L : V W be a linear mapping.

Then L is continuous if and only if it is bounded.

Proof. Let L be bounded. We show that L is continuous at the origin. Let vn be a

sequence in V with vn 0, as n . Then we can estimate

kL(vn )kW Ckvn kV

for all n N. Hence, L(vn ) 0, as n , and L is continuous at 0 V .

16

As for the converse, let L be continuous. Assume that L is not bounded, then there is a

sequence vn in V \ {0} with

kL(vn )kW

>n

kvn kV

for all n N. Hence, for wn :=

vn

nkvn kV

we obtain wn 0, as n , but

for all n N, a contradiction to the continuity of L. Thus, our assumption was wrong

and L is bounded.

2

mapping. We equip the product space V W with the norm

k(v, w)kV W = kvkV + kwkW .

Then a is continuous if and only if there is a constant C 0 such that the inequality

|a(v, w)| CkvkV kwkW

it valid for all v V , w W .

4.3

Completeness

Definition 4.15 (Cauchy sequence) Let V be a normed space. A sequence (vn )nN is

called a Cauchy sequence, if for any real > 0 there is a number n0 N such that

kvn vm k <

for all n, m n0 .

Proposition 4.16 Let V be a normed space and (vn )nN a convergent sequence in V with

limit v V . Then (vn )nN is a Cauchy sequence.

Proof. For > 0 there is an n0 N such that

kvn vk <

2

kvn vm k kvn vk + kv vm k <

+ =

2 2

2

for all n, m n0 .

17

Remark 4.17 The converse of the Proposition 4.16 above is wrong, i.e. it may happen

that a Cauchy sequence does not converge towards an element of the normed space considered. Recall, for instance, Example 4.3. There, the sequence fn converges w.r.t. the

L2 -norm to an element of L2 ((0, 2); R). According to Proposition 4.16, fn necessarily is a

Cauchy sequence w.r.t. the L2 -norm. However, the sequence fn does not converge to an

element of the linear space C([0, 2]; R), which has been originally considered.

Definition 4.18 (Completeness) Let V be a normed space. V is called complete, if

any Cauchy sequence in V is convergent in V , i.e. if any Cauchy sequence in V has a

limit in V .

According to our considerations above, the linear space C([0, 2]; R) cannot be complete

w.r.t. the L2 -norm. One could also say that it is not large enough to contain all limits of

Cauchy sequences.

Normally, one tries to verify the convergence of a sequence by showing that the distance

to the limit is tending to zero. However, this procedure requires that the limit is already

known. So, convergence within complete spaces is much easier to show, since one only has

to check whether the distance between the elements of the sequence is tending to zero,

withput referring to a limit. Fortunately, many important infinite-dimensional function

spaces are complete, as well as all finite-dimensional spaces.

Definition 4.19 (Banach space, Hilbert space) A complete normed space is called a

Banach space. An inner product space, which is complete w.r.t. the natural norm induced

by the inner product, is called a Hilbert space.

Example 4.20 The finite-dimensional Euclidean space Rn is a Hilbert space with the

P

inner product hx, yi = ni=1 xi yi .

Example 4.21 The linear space of continuous functions, C([a, b]; R), endowed with the

maximum norm k k is a Banach space.

Example 4.22 The linear space of continuously differentiable functions, C 1 ([a, b]; R),

endowed with the C 1 -norm k kC 1 is a Banach space.

Example 4.23 The linear space of integrable functions, L1 ([a, b]; R), endowed with the

L1 -norm k kL1 is a Banach space.

Example 4.24 The linear space of square integrable functions, L2 ([a, b]; R), endowed with

the L2 -norm k kL2 is a Hilbert space.

18

5

5.1

Sobolev Spaces

The linear space C([a, b]; R) is not complete w.r.t. the L2 -norm. But there is a larger linear

space, which is a Hilbert space w.r.t. the L2 -norm, namely the linear space L2 ([a, b]; R).

Actually, one can show that L2 ([a, b]; R) is a minimal complete extension of C([a, b]; R).

However, the space L2 ([a, b]; R) is not suitable for solving boundary value problems, since

even the variational equalities constructed in the second section require some kind of differentiability, let alone the original differential equation. In this section, we present an appropriate notion of differentiability which is applicable to certain elements of L2 ([a, b]; R).

First of all, we introduce the inner product, which is related to variational equalities.

Proposition 5.1 We consider the linear space V := C 1 ([a, b]; R). Then the mapping

h, iH 1 : V V R

defined by

Z

hf1 , f2 iH 1 :=

Z

f1 (x)f2 (x)dx +

is an inner product on V .

Proof. This is an easy exercise. Note that the first term represents the L2 -inner product,

whereas the second term defines a positive bilinear form.

2

C 1 ([a, b]; R) is not a Hilbert space w.r.t. this inner product. In the sequel we construct a

minimal complete extension of C 1 ([a, b]; R). To this end recall the rule of integration by

parts. For continuously differentiable functions f it yields the variational equality

Z b

Z b

0

f (x)v(x)dx +

f (x)v 0 (x)dx = 0

a

C01 ([a, b]; R) := {v C 1 ([a, b]; R) : v(a) = v(b) = 0}.

The variational equality above is used to generalize the notion of differentiability.

Definition 5.2 Let f L2 ([a, b]; R). We say that g L2 ([a, b]; R) is the generalized

derivative of f , if

Z b

Z b

f (x)v 0 (x)dx = 0

g(x)v(x)dx +

a

for all v

19

f (x) := |x|.

Surely, f is not contained in C 1 ([1, 1]; R), since it is not differentiable at x = 0. However, f does possess a generalized derivative, namely the function g L2 ([1, 1]; R) given

by

(

1 for 1 x 0

g(x) =

1 for 0 < x 1.

This can be seen as follows. We calculate

Z 1

g(x)v(x)dx

1

Z 0

Z 1

=

g(x)v(x)dx +

g(x)v(x)dx

1

0

Z 0

Z 1

=

v(x)dx +

v(x)dx

1

0

Z 0

Z 1

0

=

f (x)v(x)dx +

f 0 (x)v(x)dx

1

0

Z 0

Z 1

0

=

f (x)v (x)dx + f (0)v(0) f (1)v(1) +

f (x)v 0 (x)dx + f (1)v(1) f (0)v(0)

1

0

Z 1

f (x)v 0 (x)dx

=

1

for all v C01 ([1, 1]; R). Here, we make use of the fact that f is continuously differentiable on the intervals (1, 0) and (0, 1).

Definition 5.4 (Sobolev space) The Sobolev space H 1 ([a, b]; R) is defined as the set of

all functions f L2 ([a, b]; R), which possess a generalized derivative f 0 L2 ([a, b]; R).

Since

C 1 ([a, b]; R) H 1 ([a, b]; R),

we know that H 1 ([a, b]; R) 6= . On the other hand, the example above shows that

C 1 ([a, b]; R) 6= H 1 ([a, b]; R).

Remark 5.5 The definition of the Sobolev space H 1 ([a, b]; R) given above easily can be

generalized to functions defined on finite dimensional domains Rn . Let us note

that for one-dimensional domains, i.e. for intervals [a, b], the Sobolev space H 1 ([a, b]; R)

equivalently can be regarded as the space of all continuous functions f C([a, b]; R) that

can be written as

Z x

g(y)dy,

f (x) = f (a) +

a

2

where g L ([a, b]; R). In this case g is the generalized derivative of f . Hence, we can

apply the fundemental theorem of calculus.

20

Theorem 5.6 The Sobolev space H 1 ([a, b]; R) is a Hilbert space with the inner product

Z b

Z b

hf1 , f2 iH 1 :=

f1 (x)f2 (x)dx +

f10 (x)f20 (x)dx.

a

Actually, one can show that the Sobolev space H 1 ([a, b]; R) is the smallest complete

extension of C 1 ([a, b]; R) w.r.t. the inner product h, iH 1 . Hence the Sobolev functions

can be approximated by continuously differentiable functions w.r.t. the inner product

h, iH 1 . However, the Sobolev space H 1 ([a, b]; R) is still too large for finding the solutions

to boundary value problems, since we did not prescribe boundary values. For this reason

we finally define the subspace H01 ([a, b]; R) H 1 ([a, b]; R), which consists of those Sobolev

functions f : [a, b] R with f (a) = f (b) = 0.

Definition 5.7 The Sobolev space H01 ([a, b]; R) consists of those functions f H 1 ([a, b]; R),

that can be approximated w.r.t. the inner product h, iH 1 by functions taken from C01 ([a, b]; R).

5.2

Variational Equalities

The following result describes the strong relation between variational equalities and quadratic

minimization problems, which underlies the finite element method.

Theorem 5.8 Let V be a linear space, a : V V R be a symmetric, positive definite

bilinear form and L : V R be a linear form. Then a vector u V minimizes the

functional F : V R given by

1

F (v) := a(v, v) L(v).

2

if and only if u V solves the variational equality

a(u, v) = L(v) v V.

Proof. For t R and v V we calculate

1

F (u + tv) = F (u) + t(a(u, v) L(v)) + t2 a(v, v).

2

If u V minimizes the functional F , we obtain

F (u + tv) F (u)

= a(u, v) L(v)

t0

t

0 = lim

for all v V . As for the converse, let u V satisfy the variational equality

a(u, v) = L(v)

for all v V . Then setting t = 1, we obtain

1

F (u + v) = F (u) + a(v, v) > F (u)

2

21

Note that the theorem above does not say anything about the existence of a solution

to the problems involved. Indeed, one needs more structure in order to guarantee the

solvability of the variational equality (and hence of the minimization problem). The

following fundamental theorem is the corner stone for obtaining various existence results

for boundary value problems.

Theorem 5.9 (Riesz representation theorem) Let V be a Hilbert space and L : V

R be a continuous linear form. Then there exists a unique vector u V such that

hu, vi = L(v)

for all v V .

Many versions of this basic result running under the title Lax-Milgram theorem can be

found in the literature. Now we are nearly in a position to solve the variational equalities

related to linear second order boundary value problems. We only need one more property

of the bilinear form involved, that makes sure that the norm induced by the bilinear form

and by the original inner product are equivalent.

Definition 5.10 Let V be an inner product space. A bilinear form a : V V R is

called coercive, if there is a constant c > 0 such that

|a(v, v)| chv, vi

for all v V .

Theorem 5.11 Let V be a Hilbert space and L : V R be a continuous linear form.

Moreover, let a : V V R be a coercive, positive definite, symmetric, continuous

bilinear form. Then there exists a unique vector u V solving the variational equality

a(u, v) = L(v) v V.

Moreover, we can estimate

2C

,

c

where c > 0 is the coercivity constant of the bilinear form a and C 0 is the boundedness

constant of the linear form L.

kuk

Proof. The bilinear form a defines a new inner product on the linear space V . Hence,

according to the representation theorem of Riesz, we only have to show that V is complete

and L is continuous w.r.t. the norm

p

kvka := a(v, v).

22

kvka =

p

p

and

kvk =

hv, vi

ca(v, v) =

ckvka

for all v V . Hence the norms k k and k ka are equivalent. As for the estimation, we

observe that u minimizes the corresponding functional F (v) = 21 a(v, v) L(v), hence we

have

F (u) F (0) = 0

and

1

F (u) ckuk2 Ckuk,

2

which gives us

1

ckuk2 Ckuk 0

2

2

5.3

In this part, we finally apply the abstract framework developped to linear second order

boundary value problems. For a given real number R and f L2 ([0, 1]; R) consider

the following differential equation

u00 (x) + f (x) = u(x),

where x [0, 1]. We are interested in the unique existence of a solution u H01 ([0, 1]; R)

for prescribed boundary values

u(0) = u(1) = 0.

Multiplying both sides of the differential equation by test functions v H01 ([0, 1]; R) and

integrating by parts leads to the variational equation

Z 1

Z 1

Z 1

0

0

u (x)v (x)dx +

u(x)v(x)dx =

f (x)v(x)dx v H01 ([0, 1]; R).

0

In order to apply our abstact existence result, Theorem 5.11, we have to check three points.

(I) The bilinear form given by

Z

a(w, v) :=

1

0

w(x)v(x)dx

w (x)v (x)dx +

0

23

should be positive definite, coercive and continuous on H01 ([0, 1]; R).

(II) The linear form given by

Z

L(v) :=

f (x)v(x)dx

0

(III) The space H01 ([0, 1]; R) should be a Hilbert space w.r.t. the inner product h, iH 1 .

As for (I), we calculate using the fundamental theorem of calculus and Hoelders inequality

2

2

Z 1

Z 1/2 Z x

Z 1 Z 1

2

0

0

v(x) dx =

v (y)dy dx +

v (y)dy dx

0

0

1/2

v 0 (y)2 dydx +

x

0

1

8

1

8

1/2

v 0 (y)2 dydx

x

1

1/2

1/2

v 0 (y)2 dy +

1

8

(1 x)

v (y) dydx +

0

(1 x)

1/2

Z

x

0

1/2

1/2

x

v 0 (y)2 dydx

1/2

v 0 (y)2 dy

1/2

v 0 (y)2 dy

for all v

and hence for all v H01 ([0, 1]; R). This estimation is of importance in order to obtain coercivity. For 8 < 1, it yields

Z 1

Z 1

0

2

a(v, v) =

v (x) dx +

v(x)2 dx

0

0

Z 1

Z 1

Z 1

8+

8+

0

2

0

2

=

v (x) dx + 1

v (x) dx +

v(x)2 dx

9

9

0

Z0 1

0Z 1

Z 1

8+

8+

v 0 (x)2 dx + 8 1

v(x)2 dx +

v(x)2 dx

9

9

0

0

Z0 1

Z 1

8+

8+

=

v 0 (x)2 dx +

v(x)2 dx

9

9

0

0

8+

=

hv, viH 1

9

for all v H01 ([0, 1]; R). For 1, we immediately obtain

Z 1

Z 1

Z 1

Z

0

2

2

0

2

a(v, v) =

v (x) dx +

v(x) dx

v (x) dx +

for all v

write

0

1

H0 ([0, 1]; R).

Z

|a(v, w)| (1 + ||)

1

0

v (x)w (x)dx +

24

v(x)w(x)dx (1 + ||)kvkH 1 kwkH 1

As for (II), we calculate

|L(v)| kf kL2 kvkL2 kf kL2 kvkH 1

for all v H01 ([0, 1]; R).

As for (III), let vn be a Cauchy sequence in H01 ([0, 1]; R). Since H 1 ([0, 1]; R) is a Hilbert

space, there is a v H 1 ([0, 1]; R) with vn v, as n . It remains to show that

v H01 ([0, 1]; R). To this end let wn C01 ([0, 1]; R) with kvn wn kH 1 1/n for all n N.

Then we can estimate

kv wn kH 1 kv vn kH 1 + kvn wn kH 1 ,

where the right-hand side tends to zero, as n . Hence, v H01 ([0, 1]; R).

Overall, we can conclude from the existence theorem, Theorem 5.11, that the variational

equation has a unique solution u H01 ([0, 1]; R), at least for parameters > 8. For

parameters 8, we cannot prove the coercivity of the bilinear form involved. Actually

it is not surprising that negative parameters < 0 might cause difficulties. Consider, for

instance, the homogeneous differential equation

u00 (x) = u(x),

where x [0, 1] and < 0. It possesses a two-dimensional space of solutions, which can

be represented by

p

p

u(x) = sin( ||x) + cos( ||x),

where (, ) R2 . In order to fulfil the boundary condition u(0) = 0, we have to set

p

= 0. Accordingly, for || = k, k N, the boundary conditions are fulfiled by the

solution

p

u(x) = sin( ||x).

Hence, for = k 2 2 , k N, the boundary problem has more than one solution, i.e.

uniqueness is destroyed. This happens, in particular, for = 2 , which is slightly

smaller than our deduced lower bound for the parameters .

Remark 5.12 The inequality

Z

0

1

v(x) dx

8

2

25

Z

0

v 0 (x)2 dx

derived above is called Poincare-inequailty and is valid in a more general setting. Namely,

one can show that for any bounded domain Rn there is a constant C = C() such

that we can estimate

Z

Z

2

v(x) dx C hgradv(x), gradv(x)idx

26

Approximation of Solutions

Definition 6.1 Let (V, k k) be a normed space and X V be a subset. We say that X

is dense in V , if for any v V and any > 0 there is an x X with

kx vk .

Density of a subset means that any element of the larger space can be approximated by

elements of the smaller subset.

Example 6.2 The set of rational numbers Q is dense in the linear space of real numbers

(R, | |).

In connection with finite element methods, one is interested in the approximation of

functions.

Theorem 6.3 (Weierstrass approximation theorem) The space of real polynomials

P := {p C([a, b]; R) : p(x) = a0 + a1 x + . . . + an xn , n N, a0 , . . . , an R} is dense in

the space of continuous functions (C([a, b]; R), k k ).

Theorem 6.4 The space of continuous functions C([a, b]; R) is dense in the space of

square integrable functions (L2 ([a, b]; R), k kL2 ).

Theorem 6.5 The space of continuously differentiable functions C 1 ([a, b]; R) is dense in

the space of Sobolev functions (H 1 ([a, b]; R), k kH 1 ).

All these statements are quite interesting from a theoretical point of view. But for practical considerations one needs more information on the rate of approximation.

6.1

Taylor Series

Theorem 6.6 (Taylor) Let f C N +1 ([a, b]; R). Then the N -th Taylor polynomial of f

at a

TfN (x) := f (a) + Df (a)(x a) + D2 f (a)

(x a)2

(x a)N

+ + DN (a)

2!

N!

kf TfN k kDN +1 f k

(b a)N +1

.

(N + 1)!

Tf (x) :=

Dk f (a)

k=0

(x a)k

.

k!

Note that there are functions for which the Taylor series does not converge at any x [a, b]

or for which the Taylor series does converge for all x [a, b] but its limit has nothing in

common with the original function f .

27

6.2

Splines

We consider linear splines on the interval [0, 1]. To this end we introduce a decomposition

[0, 1] =

N

[

[xk1 , xk ],

k=1

where

k

(k = 0, . . . , N ).

N

For k = 0, . . . , N we define the continuous mapping bk : [0, 1] R by

1 + (x xk )N for xk N x xk

bk (x) :=

1 (x xk )N for xk x xk + N1

0

for

|x xk | N1 .

xk :=

The subspace given by the basis BN = {b0 , . . . , bN } C([0, 1]; R) is called the space

1

1

of linear splines and denoted by SN

([0, 1]; R). In other words, SN

([0, 1]; R) consists of

continous functions in C([0, 1]; R) which are piecewise affine linear. Naturally we have

1

dim(SN

([0, 1]; R)) = N + 1.

Theorem 6.7 (Approximation with linear splines) For any N N and any f

1

C 2 ([0, 1]; R) the linear spline s SN

([0, 1]; R) given by

s(x) =

N

X

k=0

1 kf 00 k

.

N2 2

This approximation theorem relies on the Taylor approximation and often is used for

numerical integration.

kf sk

Theorem 6.8 (Trapezoid rule for integration) For any N N and any f C 2 ([0, 1]; R)

we can estimate

Z 1

1 kf 00 k

N

f

(x)dx

,

f

N2 2

0

where

IfN :=

.

N

Z 1

Z

f (x)dx

0

Z

s(x)dx

kf sk dx

1 kf 00 k

.

N2 2

IfN

s(x)dx

0

28

6.3

Fourier Series

Here we consider the Hilbert space L2 ([0, 2]; R) together with particular functions of the

form

1

cos(kx)

sin(kx)

x 7 , x 7

, x 7

(k = 1, 2, . . .).

2

Those functions form a so-called orthogonal system, since they are pairwise orthogonal

w.r.t. the standard inner product on L2 ([0, 2]; R). Furthermore those functions are unit

vectors w.r.t. the L2 -norm. For a given function f L2 ([0, 2]; R) we define the Fourier

coefficients by

Z 2

Z 2

Z 2

sin(kx)

f (x)

cos(kx)

dx, ak :=

dx (k = 1, 2, . . .).

dx, bk :=

a0 :=

f (x)

f (x)

2

0

0

0

Theorem 6.9 The trigonometric polynomial of order N

1

cos(x)

sin(x)

cos(N x)

sin(N x)

N

Ff := a0 + a1

+ b1

+ + (aN

+ bN

2

fulfils the estimation

kf

FfN k2L2

(a2k + b2k ).

k=N +1

X

1

cos(kx)

sin(kx)

Ff (x) := a0 +

ak

+ bk

.

2 k=1

Note that kf k2L2 = a20 +

f w.r.t. the L2 -norm.

6.4

2

k=1 (ak

Homogenization

of a simpler differential equation before starting the numerical calculation. For instance, if

the material considered consitsts of different thin layers that are ordered in a regular, say

periodic way. A direct numerical calculation has to take into account the fine structure of

the material and hence leads to fine discretization grids. For this reason one simplifies the

equation before starting discretizations, a procedure which is often called homogenization.

We consider the linear second order differential equation

d

dx

d

a (x) u (x) = f (x)

dx

29

(1)

u (0) = u (1) = 0.

Here, we set

a (x) := a

x

,

where the mapping a : R R is bounded and periodic. In particular, we assume that

there are constants 0 < < and Y > 0 such that

0 < a(y) < and a(y) = a(y + Y )

for all x R. As for the right-hand side we assume that

f L2 ((0, 1); R).

The corresponding variational equation becomes

Z 1

Z 1

0

0

a (x)u (x)v (x)dx +

f (x)v(x)dx = 0 v H01 ([0, 1]; Rn ).

0

With the Poincare inequality one easily obtains the coercivity of the bilinear form

Z 1

a(u, v) :=

a (x)u0 (x)v 0 (x)dx

0

d

dx

d

a0 u0 (x) = f (x),

dx

Z

1

1 Y 1

=

dy.

a0

Y 0 a(y)

Theorem 6.10 The functions u , u0 are continuous on [0, 1] and we can estimate

ku u0 k 3Y

2 2

kf kL2

2

Proof. We set

d

u (x).

dx

Then the differential equation (1) is equivalent to

(x) := a (x)

d

(x) = f (x),

dx

d

(x)

u (x) =

.

dx

a (x)

30

(2)

Z x

Z

(x) = (0) +

f (w)dw, u (x) =

0

Rz

(0) + 0 f (w)dw

dz

a (z)

d

u0 (x).

dx

Then the homogenized differential equation (2) is equivalent to

0 (x) := a0

d

0 (x) = f (x),

dx

d

0 (x)

u0 (x) =

.

dx

a0

Z x

Z

0 (x) = 0 (0) +

f (w)dw, u0 (x) =

0

0 (0) +

Rz

0

f (w)dw

a0

dz.

We conclude that

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

and

u (x) u0 (x)

Z x

Z x

(0) + F (z)

0 (0) + F (z)

=

dz

dz

a (z)

a0

0

0

Z x

Z x

Z x

(0) 0 (0)

1

1

1

1

dz +

0 (0)

dz +

F (z)

dz

=

a (z)

a (z) a0

a (z) a0

0

0

0

Z x

x Z x

z

x

(0) 0 (0)

=

dz + 0 (0)A

f (z)A

dz + F (x)A

,

a (z)

0

0

where

Z

F (z) :=

Z

f (w)dw,

A(y) :=

1

1

a(q) a0

dq.

Z 1

Z 1

z

(0) 0 (0)

1

1

dz = 0 (0)A

+

f (z)A

dz F (1)A

a (z)

0

0

and that accordingly

Z

1

| (0) 0 (0)| 0 (0)A

+

1

f (z)A

dz + F (1)A

.

z

Overall, we obtain

Z 1

z

1

1

|u (x) u0 (x)|

+1

0 (0)A

+

f (z)A

dz + F (1)A

0

yR

31

1

1

max |A(y)| = max |A(y)| Y

0yY

yR

Furthermore, the boundary condition u0 (1) = 0 gives us

|0 (0)| kf kL2

2

32

References

[1] T.J.R. Hughes, The finite element method. Linear static and dynamic finite element

analysis. Englewood Cliffs, New Jersey: Prentice-Hall International, Inc. (1987).

[2] J.L. Nowinski, Applications of functional analysis in engineering. Mathematical Concepts and Methods in Science and Engineering, Vol. 22. New York and London:

Plenum Press (1981).

[3] M. Pedersen, Functional analysis in applied mathematics and engineering. Studies in

Advanced Mathematics. Boca Raton, FL: Chapman & Hall/CRC (2000).

[4] B. Daya Reddy, Introductory functional analysis. With applications to boundary

value problems and finite elements. Texts in Applied Mathematics. 27. New York,

NY: Springer (1998).

[5] W. Rudin, Principles of mathematical analysis. 3rd ed. International Series in Pure

and Applied Mathematics. Dsseldorf etc.: McGraw-Hill Book Company (1976).

[6] W. Rudin, Real and complex analysis. 3rd ed. New York, NY: McGraw-Hill (1987).

[7] K. Yosida, Functional analysis. Repr. of the 6th ed. Berlin: Springer (1994).

33

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