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# Math 451 - Mathematical Modeling

Lecture Notes
Jeff S. McGough

## Department of Mathematics and Computer Science,

South Dakota School of Mines and Technology
501 E. St. Joseph st.
Email: Jeff.Mcgough@sdsmt.edu

Chapter 1

Introduction
1.1

## What is Mathematical Modeling?

In this course, a model will be a mathematical description of some object or phenomenon of interest. The
goal is the gain a description that leads to predictions or a deeper understanding of the object of study.
Most students who have finished courses in calculus, physics or other sciences, have seen many models
developed and used. Some in some ways, this subject, this course is not new. Much of the mathematics
that is taught is done with the idea of being applied in some manner. The idea that a model will be built
and mathematical analysis will be applied. This is done to answer some question.
Often this subject is described as applied mathematics, however modeling is probably better thought of
as a component of applied mathematics. This being distinguished from pure mathematics. It is common
to hear fields of mathematics, like algebra, topology or number theory being described as pure and differential equations, numerical analysis and probability as applied. This is false and misleading. Number
theory has application in cryptology, algebra in a variety of computing related problems, and topology in
physics (to name just a few application areas). Mathematics tends to arise based on need, so in general, it
has an application. There is clearly differences in the level of abstraction which may play into the terms,
but abstraction of the point of mathematics and is not owned by any particular subject area.
Nevertheless the terms persist. Why? They indeed describe two different pursuits. The difference
between the two has nothing to do the subject and everything to do with approach. Applied mathematicians
think differently from pure mathematicians. This is hardly surprising since it is true that mathematicians
think differently from physicists both of whom think differently from computer scientists. It is this approach
or framework that essentially defines the scientist and provides the intellectual tools required in a particular
subject area.
Assume that you have just completed some mathematical analysis. Where are the results headed?
Have you increased your understanding of mathematics or of the object under study? Typically applied
mathematics will close the loop by having the result of the analysis related back to the problem at hand.
Modeling then is the first step in the process.
This subject is part science and part art. It is learned by doing, not by watching. It is a very human
3

CHAPTER 1. INTRODUCTION

endevour of translating our experience into a formal langage. We have seen many routine tasks become
automated by machinery and it is no different for mathematics. Algebra and calculus can be some by
software efficiently and quickly. However the process of modeling is still the exclusive domain of organic
beings.
Modeling: Developing a mathematical description which captures the essential elements without unnecessary details. Modeling is a level of focus on the problem at hand. One must capture the essence of
the problem. The core component of modeling is translating the problem into a formal language.
One common pitfall is to argue about the reality of the model. There is no such thing as absolute reality.
Human conciousness is built to mask details, abstract and generalize. [JRR Tolkien] For example, you
sit in a normal classroom and close your eyes. More than likely you will not remember how many pieces of
chalk or erasers are at the chalk board. You will remember the shape of the room or that the room contains
desks and chairs. Once again, we are capturing the essential details of the room or in the modeling case,
the problem or object of interest.
What constitutes a good model?
Does it reflect the important items under study? Can you see how those items influence the model?
Does it allow for improved understanding? A good model teaches you in the process of developing
the model. It will give you an increased understanding of the problem. A good model will always
give us something more than just an accurate simulation.
Does it make useful predictions? Does it say something that you did not know while building the
model?
Does it allow for validation? It is easy to write a computer program that generates output which
agrees with a phenomenon (a phenomenological model). It is also possible to write conceptual models
which dont allow validation or predictions. Neither is what we will deem as a good model.
Because we are translating observation into mathematics, we will have requirements due to the nature
of the language of mathematics. For example, it is normally required that the set of equations be complete;
in that all the assumptions and relations have been included to correspond with the object of study. This
is similar to the notion of completeness in linear algebra. It is also required that the equations for example
be internally consistent. We are not asking or requiring that the model be a good model (meaning
having external consistancy or the model interacting with its environment), but just that it has an internal
structure which admits solutions of some form.
Keep in mind that the use or the purpose of the model is a valid aspect of the model. When one asks
for a cup of water, do you really measure an exact cup? A model then is a mathematical description of
our view of some phenomenon or object at some scale.
Here are the Guidlines for building a model suggested by Michael Mersterton-Gibbons (the ABCs of
Modeling):
A. Make Assumptions - A model is a collection of assumptions. To begin, make more assumptions
than what is given to you. In the simplest case model, it has the most assumptions that are possible for

## 1.2. A SAMPLE OF THE PROCESS

the problem. As one desires to make the problem more complex, assumptions then are taken away from
the model. Poor agreement with observation indicates the model is lacking, not that the mathematics is
wrong (we will assume the the math is done correctly).
B. Borrow Work - Dont reinvent the wheel. Newton phrased it as standing on the shoulders of
giants. You dont gain by doing all alone, we get measured by the results. Use the work by the experts,
since you cannot be an expert in all areas. Always cite sources and acknowledge help.
C. Criticize - Be very critical of your work and that of others. This establishes and preserves integrity.
Dont just take the word of an expert. Everyone can make mistakes.
Modeling is a process, not a goal. [And an iterative process as well.] Mark Meerschaert has outlined
a five step process or method to approach modeling:
2. Select the modeling approach.
3. Formulate the model.
4. Solve the model.

1.2

## A sample of the process

Example 1 How long will it take for your goggles to fall from your lap when your are on the ski lift to
the ground 10 meters below?
Model construction: What do you want to know? What do you know? What can you assume? Start
naming parts for identification. We begin with listing the variables:
Let t = time
Let y = position (or height of goggles in meters)
Let v = velocity (in meters/seconds)
Let a = acceleration down to earth (in meters/seconds2 )
You might ask why we did not list g = acceleration due to gravity at sea level = -9.806. This is not a
variable for the problem, as the item will remain constant. It is still important and you may also find it
useful to list out constants as well especially if you plan to use labels for them.
What is the initial configuration? We take for initial data that v(0) = 0, y(0) = 10. The basic
assumptions we will use are:

CHAPTER 1. INTRODUCTION
1. Acceleration is constant.
2. No other forces acting on goggles, i.e. neglect air resistance.

The next step is to establish the first principle or underlying relation between significant variables in the
problem. In this case from Calculus we know that
a=

dv
d2 y
.
=
2
dt
dt

Since we assumed that the acceleration is constant we have that 9.806 = dv/dt. Integration provides
9.806t = v(t) v(0). The initial data on velocity, v(0) = 0, gives us 9.806t = v(t) = dy/dt. We may
integrate the velocity formula to recover the position formula, y(t) = y(0) p
4.903t2 . The initial data on
2
position provides y = 10 4.9t . Setting y = 0 and solving for t gives us t = 10/4.9 for time of flight.
Is this a good model? The model fails to account for two physical properties.

## 1. We know that air resistance is not zero.

2. We know that acceleration changes with altitude.
Should we include both in the model? No. Why? For the new model we will include a force due to air
resistance.
Example 2 How long will it take for your goggles to fall from your lap when your are on the ski lift to
the ground 10 meters below assuming air resistance?
The new model is
a = 9.806 + c|v|

with previous initial conditions and where c and are measured in the field. We will often find that c
will be fairly small in magnitude and will be in the range of [0, 4]. We now have an ordinary differential
equation in v.
For the example above
a=
then

d2 y
= 9.806 + cv
dt2

dv
= 9.806 + c|v| .
dt

## We will use separation of variable to solve:

dv
= dt
(9.806 + c|v| )
Z
Z
dv
=
dt = t + k
(9.806 + c|v| )
We are stuck for 2 reasons:

## 1. There is no antiderivative for the left hand side.

2. Even if you could find a numerical integral for left hand side, it would be impossible to solve for v in
terms of t.
If = 1, we can simplify c|v| = cv
Z

## and then work out the integral:

dv
=
(9.806 + cv)

dt = t + k

ln(| cv + 9.806 |) = t + k.
c

Thus
cv + 9.806 = kect
so

1
v(t) = (kect 9.806).
c
Apply initial conditions to find k:
v(0) =

1
(k 9.806) = 0,
c

then
k = 9.806.
We now have our velocity term:

9.806 ct
(e 1).
c
We have found something new. If we take the limit as t , the velocity goes to a constant. This is
known as terminal velocity. It is fairly simple to compute the terminal velocity.1
v(t) =

To find the position term, simply integrate and apply initial conditions to obtain:
y(t) =

9.806
9.806 1 ct
( e + t) + (10 + 2 )
c
c
c

The time of flight is found by setting y = 0 and solving for t again (use uppercase to distinguish from
general t).:
9.806
9.806 1 cT
( e
+ T ) + (10 + 2 ) = 0.

c
c
c
However, this is much more complicated to solve than the original. Using Maple 9, it does not arrive
at a solution in elementary functions. Note that c = 0 causes everything to cancel out. Using Taylors
expansion for ecT , we get:


 
9.806 1
1
1
9.806
1

1 cT + c2 T 2 c3 T 3 + c4 T 4 ... + T + (10 + 2 ) = 0
c
c
2
6
24
c
1

## Recall that dv/dt = 9.806 + c|v| . Set dv

= 0 then v = ( 9.806
) . This makes sense for > 0 and we obtain the terminal
dt
c
velocity. We can easily answer the question of how terminal velocity depends on c, which is not easy with numerics.
1

CHAPTER 1. INTRODUCTION


1 4 4
9.806 1 2 2 1 3 3
c T c T + c T ... = 10
c2
2
6
24
1
1
10
T 2 cT 3 + c2 T 4 ... =
.
3
12
4.903

By examining our new model, we notice that we have a perturbation of the original model. Note that
the basic approximation (of the old model a = 9.806) is contained within our new model in the first term.
The rest of the terms are correction terms that account for the air resistance on the goggles. Our new
model gives us a more accurate description of a free falling goggles; but is a modification of the simplier
problem. This is known as a perturbation result. It is also useful to note that we can recover the original
model by taking the limit as c 0.
Data has error. One question that arises often is how the error will affect the result. There are several
places error can enter in modeling. One is that the parameters and data have errors. Another is that
approximation used to obtain the model is inaccurate. A third way is that some of the equations in model
cannot be solved exactly.
Example 3 If we vary the parameter c, how does the solution T vary?
Because scales may be dramatically different, we look at relative changes, not absolute changes. By
this, we mean, if c changes by c we call this the absolute change. The percentage change, c/c is called
the relative change. For our application the variation we are interested in the relative change
c dt
t/t

as c 0.
c/c
t dc
This latter term we call the sensitivity2

c dt
.
t dc
To gain the sensitivity, we must find the derivative implicitly.




dt 1 3
1
2 dt
4
2
3 dt
2t
t + c(3t )
+
2ct + c (4t )
+ ... = 0
dc 3
dc
12
dc


c2 t3 dt t3 1 4
2
+ ct + ... = 0.
2t ct +
3
dc
3
6
S(t, c) =

At c = 0 we note that

t2
10
1
dt
=
=
.
dc
6
6(4.903)
3

## The sensitivity (using an absolute change in c) can be expressed as

s

1 dt
1
10
S(t, 0) =
=

t dc c=0 6 (4.903)

One can conclude that the change from the original problem will not be dramatic, especially when small
values of c are concerned.
2

This makes sense when c, t 6= 0. When one of the variables is zero, the absolute change may be used.

## 1.3. MODELING COMPONENTS

1.3

Modeling components

## Important aspects to the modeling process

1. The process of encapsulation into a mathematical model.
2. The qualitative descriptions of behavior (not numerical descriptions).
3. Verification.
The process of building a mathematical model is a process of learning, focusing, and refining. The
process may be sufficient alone. In otherwords, just the model building aspect may provide the insight and
answers needed. Mathematicians often are used to ask the right questions and assist the engineers to
a model. Once done the problem may cease to be a problem. It maybe that the elementary aspects of a
model can provide very deep results.
General classes of Models:
Deterministic - Models that do not involve random variables. Courses like calculus, differential
equations and linear algebra all introduce these types of models.
Stochastic - Models that do involve random variables. Courses like probability, statistics and stochastic processes will introduce these models.
Formulation of a model requires solid principles to build on. Models often begin with basic conservation
properties and then add on observed laws.
1. Conservation Laws - Conservation Laws include conservation of mass, energy, and momentum. These
are your basic laws and fundamental driving principles in the modeling process. These are built on
first principles.
2. Constitutive Relations - Constitutive relations are the observed or measured relations and facts.
They are the formulas relating observed quantities. Some example of these are the ideal gas las
(P V = nRT ), first order reaction (rate = k[A]), and Fouriers Law (F lux = ku).
Most models will apply at least one conservation law and many constitutive relations.
Rutherford Ariss Maxims for Mathematical Modeling
1. Cast the problem in as elegant form as possible.
2. Choose a sympathetic notation, but dont become too attached to it.
3. Make variables dimensionless, since this is the only way in which their magnitudes take on general
significance. However, do not lose sight of the quantities which may have to be varied later on in the
problem nor forget the physical origin of each part.

10

CHAPTER 1. INTRODUCTION
4. Use apriori bounds of physical or mathematical origin to keep all variables of the same order of
magnitude, letting the dimensionless parameters show the relative size of the several terms.
5. Think geometrically. See when you can reduce the number of variables (even at the expense of first
treating an over simplified problem), but keep in mind the needs of the general case.
6. Use rough and ready methods, but dont carry them beyond the point of usefulness. (E.g. Isoclines
in the phase plane.)
7. Find critical points and show how the system behaves near them or what the asymptotic behaviour
is at long or short times.
8. Check limiting cases and see how they tie in with simplier problems that can be solved explicitly.
9. Use crude approximations, e.g. 1-point collocation. Trade on the analogies they suggest, but remember their limitations.

10. Rearrange the problem. Dont get fixed ideas on what are the knowns and the unknowns. Be prepared
to work with implicit solutions.
11. Neglect small terms, but distinguish between regular and singular pertubations.
12. Use partial insights and despise them not. (E.g. Descartes rule of signs.)
13. These maxims will self-destruct. Make your own!
Notation is important. It is easy to diminish the importance of notation. Everyone has heard it is only
notation. However, notation sets the view, the mindset. It can bias the modeler and modeling process.
It can act as a framework to assist, allowing insight and dramatic progress; and equally can hinder or
completely prevent progress. Selecting good notation is as important as the basic principles of the model
itself. Be aware that notation can be very useful at one point of the process and an hinderance later; so
be able to change during the process.
It is wise to stay with convention when possible, and always use the cleanest notation available. Typically this involves vector, or tensor versions that present the over-all concept without masking ones view
with unnecessary detail.

1.4

Units

An often overlooked but essential aspect of modeling is fundamental physical quantities involved. Commonly expressed as units, they play an important role in the modeling process. Attention to units may
often be the first stage in model rejection or validation. It is prudent to check the units throughout the
modeling process, because a velocity given in kg2 /s with kg as mass and s as seconds should raise an
eyebrow.
Although units can and do provide meaningful checks, models littered with parameters give rise to
administrative or algebraic errors. One way that models are simplified and analysed is to remove the units;

1.4. UNITS

11

a process known as non-dimensionalization. This is nothing new, an early example is using the ratio of the
arc of a circle divided by the radius of the circle to measure the resulting angle. This is known as a radian.
Simple units example:
dx
= ax, where x measure in meters and t is measured in seconds. It is
dt
clear that a must have units 1/sec. We have a modeling error if a is not.
Assume you have the model

Remove units:
Given

dx
= ax, define u = x/l, s = t/ , b = a with l in meters, in seconds.
dt
d(lu)
= a(lu)
d( s)
du
= bu
ds

## which is unit free.

More details can be found on this by looking up the Buchingham theorem.

12

CHAPTER 1. INTRODUCTION

Chapter 2

Optimization
Many problems in science, engineering and businesses are optimization problems. It is so important that
entire courses, even fields, are devoted to the study, such as, Linear Programming and Operations Research.
The following will present a series of problems which ask to find the maxima or minima for some object of
Example 1: Assume a particular computer manufacturer makes \$120 profit for a particular single unit.
Market research has shown that for each \$20 rebate or discount off the price, sales increases by 10%.
1. What rebate will maximize profit?
2. What is the sensitivity of the best rebate to the 10% value?
3. How do things change if 10% - 8%?
4. What circumstances can cause profit to decrease?
We must organize our work. Build a habit of structure.
Label and Variable
P = Total Profit
P s = Single units profit
S = Profit amount when R = 0. (Fixed at \$120)
R = Rabate amount
n = number of units sold when R = 0 (No rebate, fixed sales amount)
m = number of units sold when R 6= 0 (Rebate)
a = rebate motivates sales increase (10%) as decimal form (0.10)
13

14

CHAPTER 2. OPTIMIZATION
Q=

P
(Scaling P ; average profit)
n

Model
1. Given

P = Ps m
P s = S R = 120 R
aR
n
m =n+
20

## Where the relation,

aR
, implied is linear by \$20.
20

P = (120 R)(n +

aR
aR
n) = (120 R)(1 +
n)
20
20

Always check the units to make sure that they make sense.
Call

P
= Q. (Relative Profit)
n
Q = (120 R)(1 +

aR
)
20

aR
a
aR
dQ
= (1)(1 +
) + (120 R)( ) = 60a 1
=0
dR
20
20
10
a 10
10
R=
= 60
(Assume linear at 10% where a = 0.1)
a
a
R = 60 100 = 40
Answer: Raise the price, the rebate does not help profits. Set the price so that the profit per unit =
120 + 40 = \$160. More market research is needed.
2. What is the S(R, a)? (What is the Sensitivity?)

Q = (120 R)(1 +
dQ
aR
= 6a 1
dR
10

aR
)
20

(Set = 0)

Repeat if necessary.
Let R = 60
What is

10
a

dR
dR
10
= ? What is
= 2?
da
da
a
S(R, a)

a dR
a 10
10
=
=
2
R da
Ra
aR

15
For a = 0.1 and R = 20. S =

10
=5
0.1(20)

## For a = 0.1 and R = 40. S =

10
5
=
0.1(40)
2

Interpret these values. Take the magnitude for S and anything < 0 is going to be non-sensitive.
3. If a = 10% 8% rebate?
Because of the sensitivity expect a linear change. Rebate must be scaled (larger). The rebate needs to
4. R moves away from optimal (obviously). How can one improve the model?
Example 2: Build two types of LCD panels: A 19 model and a 21 model. How should we price and
produce these units?
Initial cost
19 panel: MSRP: \$339 per unit

## Cost: \$225 per unit

NOTE: We have no control over vendors, other units will compete against ours.

## Setup for manufacture is a fixed cost: \$400,000

Estimates
1. Average selling price seems to drop \$0.01 for each additional unit sold.
2. 19 LCD drops \$0.003 for each 21 LCD sold.
3. 21 LCD drops \$0.004 for each 19 LCD sold.
Total of 10,000 units can be made per year.
1. What should the production levels be set at to maximize profit? Solve without constraints.
Labels and Variable
n = number of 19 LCDs sold per year
m = number of 21 LCDs sold per year
p = selling price of 19 LCD
q = selling price of 21 LCD

16

CHAPTER 2. OPTIMIZATION
c = cost of manufacture per year
R = Revenue per year
P = Total profit per year

## Assumptions (Constitutive Relations)

p = 339 0.01n 0.003m
q = 399 0.004n 0.01m
R = pn + qm
C = 400, 000 + 195n + 225m
P =RC
Skip constraints due to manufacturer for now, will address them in the next question.
P = pn + qm (400, 000 + 195n + 225m)
= (339 0.01n + 0.00m)n + (399 0.004n 0.01m)m (400, 000 + 195n + 225m)
Compute the partials and set them equal to zero: (

P
P
= 0 and
= 0)
n
m

P
= 144 0.02n 0.007m = 0
n
P
= 174 0.007n 0.02m = 0
m
Result: n 4, 735 units, and m 7, 043 units
Substitute n and m into P and get the optimal profit (\$554,000)
If no constraints, we are done. But wait! Is this value a max or min? There is a problem with the
constraints (n + m 10, 000). How sensitive is this result to the measured data? For example: How
sensitive is this to the price elasticity for the 19 LCDs?
Model
Target (isolate) a \$0.01 drop in a 19 LCD.
Replace number (0.01) with a variable, lets call it a. So now the profit equation becomes:
P = (339 an + 0.003m)n + (399 0.004n 0.01m)m (400, 000 + 195n + 225m)
Solve

P
=0
n

and

P
=0
m

where a = \$0.01

17
Which becomes

P
= 144 2an 0.007m = 0 and
n
P
= 174 0.007n 0.02m = 0
m
Find n(a) and m(a), the variation between n and a and the variation between m and a. You my use
Maple.
Compute

P
where n = 4,735, m = 7,043 and a = 0.01,
n

Sensitivity of n to a:

a n
1
n a
a m
S(m.a) =
0.3
m a
S(n, a) =

Also the

P
= n2 , where
a
S(P, a) =

a
n2 0.4
P

Mid to low sensitivity, so the result is OK if measurement errors are made. (1-to-1 sort of response).
m is not very sensitive to the change in a. n does very with a, but a very little amount.
2. What about the manufacturing constraints?
A little review of Lagrange Multipliers
Take f (x, y) = (x2 + y 2 ) + 10. Assume we want to maximize f (x, y) subject to
g(x, y) = x + y 2 = 0
f = g, (in terms of Normal Vectors).
f = h2x, 2yi and g = h1, 1i
2x = , 2y = and x + y = 2,
where

T
x = ,y =
2
2

=2
2
2

Thus
x = 1, y = 1 and = 2

## End of review and back to the problem at hand.

Model

Assume that a total of 10,000 units (both 19 LCDs and 21 LCDs) can be made per year (n + m).
Also assume that only 5,000 19 units and only 8,000 21 units can be made per year.
g(n + m) = n + m 10, 000

18

CHAPTER 2. OPTIMIZATION

Note that the constraint is g(n, m) 0. To study max f subject to g 0, we must also study max f when
g < 0 and max f when g = 0.
Constraints
n0
m0
n + m 10, 000
n 5, 000
m 8, 000

## Figure 2.1: Constraints.

Right now the Critical Point (n = 4735 and m = 7043) is outside of the acceptable region for a max.
(That is (n + m) > 10, 000, which does not meet the constraint).
There are 3 equations and 3 unknown variables:
1)

2)

## 174 0.007n 0.02m =

3)

n + m = 10, 000

Where
n = 3, 846 units and m = 6, 154 units
What about the other constraints? Sensitivity? Go back and cover it prior to constraints, where:
144 2an 0.007m =
174 0.007n 0.02m =
n + m = 10, 000

## Solve using Maple. In Maple do the following commands:

19
1. P :=
2. diff
3. solve({equ11, ...}{vars})
4. assign (S)
Thus...
n=

50, 000
1, 000a + 3

m = 10, 000 n
=
For g = 0

650
26
1, 000a + 3

dn
dn
dA
50million
=
and
=
da
da
da
1, 000a + 3

Sensitivity:
S(n, a) =

n da
= 0.77
a dn

S(m, a) =

a dm
= 0.48
a da

For Optimization:
Maximize f (x), where x = (x1 , x2 , x3 , ..., xn ).
f = 0

f
f
f
= 0,
= 0, ... ,
=0
x1
x2
xn

## Maximize f (x), where g = 0.

Form: L = f g

L = 0 and g = 0

20

CHAPTER 2. OPTIMIZATION

Chapter 3

## Dynamic models, an introduction

A central concept provided by calculus is that of the rate of change,

dy
dx .

## This gives us the rate of change

2

d y
of y with respect to x. There are many physical interpretations - velocity, slope, etc. Also, dx
2 , which is
the rate of change of velocity. Likewise, there are many interpretations - acceleration, convexity, etc.

Physics provides an enormous collection of physical objects or behaviors with corresponding mathematical models. An elementary tool seen in physics is that of Force balance: If an object is at rest, then
the forces acting on that object must sum to zero (balance).
Example 3: Using Newtons Second Law: F = ma
Lets examine simple harmonic motion of a mass-spring system. Let x(t) be the displacement of the
mass, m, over time, t; Fs = Force due to the spring; Ff = Force due to friction; Fm = Force acting on the
mass. Then Fm + Fs + Ff = 0 or Fm = Fs Ff . This is our conservation law.
Next lets model the spring, using Hookes Law (Constitutive relation):
Fs = k(x x0 )
This is a linear (law) relation and accurate for some range of deviation. Clearly, Fs = g(x) would provide
a more general model and maybe more accurate. We will assume that x0 = 0.
Then lets model the friction (Constitutive relation):
Take a linear model
Ff = cv
A better model may include nonlinear aspects, say, Ff = c1 v + c2 v 2 + c3 v 3 . But we will stick with the
linear model for purposes yet to come.
Last we model the force on the block (mass), using Newtons 2nd Law (Constitutive relation):
F = ma
21

22

## CHAPTER 3. DYNAMIC MODELS, AN INTRODUCTION

Thus we have:
ma = kx cv
Recall from Calculus: v =

dx
dt

and a =

Then we obtain
m

d2 x
dt2

d2 x
dx
+ kx = 0
+c
2
dt
dt

## Associated with this are initial conditions: x(0) = x0 and

(1)
dx
dt

= v0

Recall this is a basic ordinary differential equation. To solve this, take the simple equation
dx
= ax
dt
By separation of variables, we get
x(t) = keat
Notice that this simple equation is a subset of the spring-mass system equation (1) in that m = 0,
c = 1, and k = a. In general, we cannot expect the same solution behaviour when we set a coefficient
to zero that removes the highest derivative. But we use this for motivation, not answers. Since the two
problems may be related, lets not re-do the work. The leverage work is already done. So lets guess that
this solution is a component of the more general problem.
Assume x(t) = pert and substitute into (1) to get the characteristic equation:
mr 2 + cr + k = 0
Then, using the quadratic equation we obtain two solutions: p1 er1 t and p2 er2 t if r1 and r2 are real and
distinct.
Then by linearity (linear superposition): x(t) = p1 er1 t + p2 er2 t
We will study linearity so that we can obtain basic models, then we can change the model to handle
more complex cases.
Problem 3 cases (r1 and r2 need not be real solutions):
1. r1 and r2 real valued and distinct:
x(t) = p1 er1 t + p2 er2 t
2. r1 and r2 reapeated and real:

## 3. r1 and r2 complex conjugates (where r1 = + i and r2 = i):

x(t) = et (p1 cos t + p2 sin t)

3.1

23

## Higher Order Equations

Next we will take a look at higher order equations, our goal being to solve an equation of the form
an

dn x
dn1 x
dx
+
a
+ + a1
+ a0 x = 0
n1
n
n1
dt
dt
dt

(1)

In the mass-spring harmonic oscillator system we considered when exploring Newtons Second Law,
recall that we generated a second order equation with three different types of solutions. In that situation
we were dealing with a constant coefficient, linear, ordinary differential equation. Why mention this? Well,
we will see throughout this course that labels are important because they often tell us the assumptions
needed in order to solve a particular system. For example, if an equation is not constant coefficient or not
linear, then we know right away that an analytical solution doesnt exist for that system.
Coming back to the general equation given above (equation (1)), what if we use the fact that we can
rt
write dx
dt = ax as x = pe , declare that as our base or final solution, and then plug that result into equation
(1)?
2

d x
rt
2 rt
You can see that dx
dt = rpe , and likewise dt2 = r pe . If we continue substituting in this manner, we
will obtain the characteristic equation for a higher order problem. Since pert is common to each term, we
can remove it from the final equation through division to obtain

an r n + an1 r n1 + + a1 r + a0 = 0

(2)

The above equation should look familiar; it is the same as the second order case, just a higher order
version.
Can we solve such higher order equations analytically? Is there an n-degree version of the quadratic
formula? The answer is no. While formulas exist for quadratic, cubic, and quartic equations, it can be
shown that no root finder exists for polynomials of 5th degree or higher. So how can we handle such
polynomials?
In modeling, we can try numerical methods where analytical methods fail. Such techniques might
include approximating roots, guessing, and ad hoc methods. If we are fortunate enough that all the ak
are real in equation (2), for example, then we know that the corresponding roots must be real or occur in
conjugate pairs and this dramatically simplifies numerical analysis of the problem.
This brings us back to the three cases we encountered previously when we structure a real model in
terms of a polynomial equation. We will obtain n roots: r1 , r2 , rn . Some roots may be distinct, some
may be repeated, and some may be complex conjugate pairs. If we take the non-complex, non-repeated
collection of roots of the polynomial, we have
p1 er1 t , p2 er2 t , pn ern t
Using these roots, the general solution to equation (1) would be
x(t) = p1 er1 t + p2 er2 t + + pn ern t

24

## CHAPTER 3. DYNAMIC MODELS, AN INTRODUCTION

Finding the roots is certainly not a trivial process, and may in fact be the hardest step involved in generating
a general solution. If you obtain n linearly independent solutions/roots, note that the general solution is
the sum of the n solutions. For the case where you have a single pair of complex conjugate roots, say r1
and r2 , and the remaining roots are real and distinct, then we can construct a general solution as follows:
r1 = + i
r2 = i
so
x(t) = et (p1 cos t + p2 sin t) +p3 er3 t + + pn ern t
{z
}
|
r1 +r2

And finally, if the solution has repeated roots, you must square the t-term.

3.2

Examples/ODE Background

## Example 1 Consider the following problem:

d4 y
y = 0, with initial conditions y(0) = 1, y(0) = 1, y(0) = 1, y(0) = 1
dt4
This is a fourth degree polynomial and is therefore both theoretically and practically solvable. We can
convert it directly to a characteristic equation of the form r 4 1 = 0 and then use difference of squares to
obtain the roots, which in this case are r = 1, 1, i, i. From these roots we get the following solutions:
p1 et , p2 et , p3 e0t cos(1t), p4 e0t sin(1t)
|
{z
}
p3 cos t,p4 sin t

## y(t) = p1 et + p2 et + p3 cos t + p4 sin t

The next step is to adapt this general solution to the problem at hand by plugging in the given constraints:
y(0) = p1 + p2 + p3 = 1
y(0) = p1 p2 + p4 = 1
y(0) = p1 + p2 p3 = 1
y(0) = p1 p2 p4 = 1
This type of problem is known as an initial value problem, where all constraints are given for a single
point in time. Initial value problems are well-posed for constant coefficient, linear, ordinary differential
equations such as this one. What you end up with is a linear system to solve. You can pose the problem
in matrix terms and solve using Gauss-Jordan elimination. The setup would be

1
1
1
0
p1
1
1 1

0
1

p2 = 1
1
1 1
0 p3 1
1 1
0 1
p4
1

## 3.2. EXAMPLES/ODE BACKGROUND

25

To solve the matrix system we just created, we could use LaPlace transforms or a simple tool such as
Gauss-Jordan elimination. In this case, lets use Gauss-Jordan. Recall from linear algebra that the goal
of Gauss-Jordan elimination is to produce zeros in all elements below the diagonal of the matrix and then
solve the resulting row equations simultaneously. The initial Gauss-Jordan setup is
1
1
1
0
1 1
0
1

1
1 1
0
1 1
0 1

1

1

1

1

1

2

0

2

To produce zeros in the first element of rows 2, 3, and 4, we might proceed as follows: r2 = r1 r2 ;
r3 = r1 r3 ; r4 = r1 r4 . This produces the intermediate result
1
1
1
0
0 2 1
1

0
0 2
0
0 2 1 1

## We could next reduce row 4: r4 = r4 r2 . This operation gives

1
1
1
0
0 2 1
1

0
0 2
0
0
0
0 2

1

2

0

0

Now we have zeros below the diagonal and can start solving for p1 , p2 , p3 , and p4 .
We notice immediately that rows 3 and 4 give us quick solutions for p3 and p4 :
2p3 = 0 p3 = 0 2p4 = 0 p4 = 0
Armed with this information, we look at row 2 to solve for p2 :
2p2 p3 + p4 = 2 2p2 = 2 p2 = 1
Finally, we can solve for p1 using the row 1 equation:
p1 + 1 + 0 + 0 = 1 p1 = 0
So Gauss-Jordan elimination gives us

0
1

p1 = 0, p2 = 1, p3 = 0, p4 = 0
0
0

This tells us that the general solution to the initial condition problem
y(t) = et

d4 y
dt4

y = 0 is

26

## CHAPTER 3. DYNAMIC MODELS, AN INTRODUCTION

Example 2

d2 y
+ y = 0, with initial conditions y(0) = 0, y(1) = 0
dt2
Is this a constant coefficient, linear, ordinary differential equation with initial conditions? No. This is a
boundary value problem which produces the general solution
y(t) = p1 cos t + p2 sin t
and gives the single solution y = 0 when the boundary conditions are applied.
Example 3
d2 y
y 2 = 0, with initial conditions y(0) = 0, y(0) = 0
dt2
This problem is nonlinear, so the ert method does not apply we dont get a characteristic polynomial.
Although this problem cant be solved analytically, we can crack it using a numerical method such as
Runge-Cutta. Another approach is to use the chain rule on the original equation and then solve by
separating variables:
dv
d
dv dy
dv
d2 y
=
= (v) =
vv
y2 = 0
2
dt
dt
dy dt
dy
dy
| {z }
chain rule
Example 4

dy
+y =0
dx
Here we have an equation that is not linear and does not have constant coefficients.
y

Example 5

d2 x
dx
+t
x=0
2
dt
dt
While this equation is linear, it doesnt have constant coefficients.
2

3.3

## Difference Equations/Discrete Models

We will start our look at difference equations with a Markov process example. While the Markov process
is probability-based, here we will apply it to a deterministic problem.
Application (Model) Assume there are two populations of a bird species: one group on the mainland,
another group on a large, nearby island. You note that, due to migration, 10% of the birds that live on
the mainland will fly to the island each year. You also determine that 20% of the island population will
fly to the mainland at the same time as the mainland-to-island migration occurs. This is a two-component
example of a much more complicated tracking problem. Such problems are considered discrete because
the sampling is based on a fixed time interval, like the U.S. census, and the objects involved (birds for our
example and people for the census) are discrete. We will now set up the system and see how to approach
such a problem.
Let xn be the number of birds on the mainland at year n. Let yn be the number of birds on the island
at year n. x0 and y0 will represent the starting populations of the two bird groups (initial conditions). We

## 3.4. LINEAR ALGEBRA REVIEW

27

will assume that the populations are stable that is, birth and death do not occur so there are no source
or sink terms. Here are the equations for year one:
x1 = 0.9x0 + 0.2y0
y1 = 0.1x0 + 0.8y0
Note that the entries are positive because they are population states. Also note that the new population
states are based on the previous population states. We can express the population in a given year in terms
of a vector:




x0
xn
, ~v0 =
~vn =
y0
yn

## and can express the problem in terms of a matrix-vector multiplication:



0.9 0.2
~v1 = A~vn , where A =
0.1 0.8

Using this matrix notation, we can express the population for any year as ~vn+1 = A~vn . Now unroll:
A~vn = A(A~vn1 )
| {z }
~vn

Unroll again:

= A(A(A~vn2 )))
= A3~vn2
= A4~vn3

More generally, A~vn = An+1~v0 . This is an unrolled recursion relation, which is helpful since it effectively
provides a solution to the problem. Now we need a formula for

k
0.9 0.2
k
A =
0.1 0.8
We could have a computer calculate a matrix to a power, but that doesnt help us if we are trying to
determine whether there is a stable population ratio in other words, what happens to the population of
the mainland and island birds in the limit?
lim Ak~v0 = ?

Is there extinction of the species on the mainland or on the island? Before answering this question, a
review of linear algebra is in order since linear algebra provides some useful tools to solve difference and
differential equations.

3.4

## Linear Algebra Review

Our review begins with a look at some linear algebra notation. A vector can be declared as

x1


~x = xi i=1,n = ... ; x n
xn

28

## A matrix A (and we will typically deal with square matrices) is defined by

a11 ain



nxn
. . ..
A = ai,j i,j=1,n = ...
; A
. .
an1 ann
Multiplying a matrix by a vector gives a vector:

x1
a11

.. =
A~x =

..
.

.
xn
ann

## a11 x1 + a12 x2 + + a1n xn

..

.
an1 x1 + an2 x2 + + ann xn

Multiplying two matrices together produces another matrix; this operation is treated as dot products of
rows against columns. In other words, element (1,1) in a product matrix is the dot product of the row 1
elements of the first matrix times the corresponding 1st column elements of the second matrix:





element
in
row
1,
col
1
AB = C row 1 l col 1
=

Example: You can rewrite a system of equations as a matrix system and solve using Gauss-Jordan
elimination, as we have seen previously.
   



4
x
2 1
2x + y = 4
=

7
y
1 4
x + 4y = 7
Solving this system gives x = 1, y = 2.

3.4.1

## Matrix Theory Elements

In this course, eigenvalues and eigenvectors will be our most important tools from the world of linear
algebra. With that in mind, let us consider an nxn matrix A. We will denote the determinant of A by
detA or |A| and define it as
X
|A| =
aij aij
i

## (x is a vector) and are an eigenvector, eigenvalue pair if, for x 6= 0,

A~
= ~x}
| x {z
1 equation, 2 unknowns

What does this mean? It is a transformation of the vector; the vector is rotated in space and stretched or
shrunk. If the eigenvectors are only scaled and do not undergo a direction change, then they are considered
invariant and we can say that x is a fixed direction under A. From this information we obtain
A~x ~x = 0; 0 = A~x ~x = (A I)~x

29

## Where I is the identity matrix. This tells us that

(A I)~x = ~0, ~x nullspace of A I, A I singular
We know from linear algebra that
det(A I) = 0
If we expand det(A I) as a polynomial in , we obtain the characteristic polynomial. This is the same
characteristic polynomial you may remember from your ODE course, just a different notation:
cn n + cn1 n1 + c0 = 0
If we solve this polynomial, we will get a set of n roots 1 , 2 , n . To find the eigenvector that corresponds
to k we compute (A k I) and solve (A k I)~x = ~0. Any ~x that satisfies this equation is an acceptable
eigenvector; since it is a singular system, there will not be a unique solution. We can now write our
eigenvalue, eigenvector pairs: (1 , ~x1 ), (2 , ~x2 ), , (n , ~xn ).
Facts:
1) If A is triangular (all zeros above or below the diagonal), then the eigenvalues are the diagonal
elements of A.
Example:

1 4 5
0 2 6 , 1 = 1, 2 = 2, 3 = 3
0 0 3

## A~x = ~x ; multiply by A, A2 ~x = A~x = 2 ~x

More generally,
Ak ~x = k ~x, eigenvalue = k
Theorem/Fact: Assume that 1 , 2 , n are distinct eigenvalues. The corresponding eigenvectors
are linearly independent (they point in different directions). This characteristic is necessary when we
construct a matrix out of eigenvectors and want the matrix to be invertible. In fact, this is the normal
case with eigenvectors.
Armed with this information, we can decompose a matrix into eigenvalues and eigenvectors. Let

a11 a1n

.. . .
..
A=
.
.
.
an1 ann
Theorem: Suppose A has linearly independent eigenvectors ~x1 , ~x2 , ~xn . From these eigenvectors we
can form the matrix S, where


S = ~x1 | ~x2 | ~xn nxn n x n matrix)

30

## CHAPTER 3. DYNAMIC MODELS, AN INTRODUCTION

We also know that S 1 exists since S only has 0 in the null space. We can also state (knowing that the
eigenvectors are linearly independent) that S is invertible, det[S] 6= 0, etc. We will now form a new matrix
, where

1
0

..
S 1 AS = =

.
0

contains the eigenvalues corresponding to the eigenvectors and preserves the relative order of the pairs.
This is known as the diagonalization of A, which is useful in solving systems because diagonal matrices are
the easiest to deal with. Producing from A is known as a similarity transformation.
What is happening here? We are producing a coordinate transformation in both the domain and
range so that in the new coordinate system we will have a decoupling. This ensures that things in the x
direction do not affect things in the y direction. Recall that a good coordinate system is orthogonal, so
by decomposing a matrix into its eigenvalues and eigenvectors, we go from a messy system to a simple,
orthogonal coordinate system.
What is AS? Can we infer what A1 is without having to compute the inverse? Argument


AS = A
~
x
|
~
x
|

~
x
1
2
n


=  A~x1 | A~x2 | A~xn 
=
1 ~x1 | 2 ~x2 | n~xn
1


..
=
~x1 | ~x2 | ~xn
.
= S

## Now multiply through by S 1 to get

S 1 AS =
Using this decomposition, we can solve for A:
A = |{z}
S

S 1
|{z}
|{z}
vectors values vectors

We can use this Jordan form to solve a variety of problems, as we will see throughout this course.
Example: Find the eigenvalues, eigenvectors, and diagonalization of A, where

A=

5 2
1 4



5
2
1
4

## 3.4. LINEAR ALGEBRA REVIEW

31

Solving the last equation results in eigenvalues of 6 and 3. Now we plug these eigenvalues in and find the
matching eigenvectors in other words, the directions for which (A I) is degenerate. For = 3, we
must find a ~v such that


 

53
2
0
~v1
==
1
43
~v2
0
In some cases we may need to perform Gaussian elimination, but simpler matrices such as this one can be
solved by inspection. Here, we get


1
1
For = 6, we have

56
2
1
46



~v1
~v2

==

0
0

2
1

## So now we know that S, the matrix of eigenvectors, is



2
1
1 1
To find S 1 , multiply S by the identity matrix and perform row operations until S takes on the characteristics of the identity matrix:







2
1
1 0
2
1
1 0
row ops until
goes to
1 1
0 1
1 1
0 1
The result is that
S

1
3
1
3

1
3
23

You can verify your work by ensuring that SS 1 = I. So we can now express the matrix A as
 1



1
6 0
2
1
3
3
1
0 3
2
1 1
| {z } | {z } | 3 {z 3 }
S

S 1

What we have done to matrix A is similar to factoring a polynomial we decomposed the system into its
simple, most basic components.
At this point we can return to the Markov process example of bird migration between the mainland
k
z
}|
{
and the island. Recall that we needed a formula for Ak , where Ak = A A A A. Using the decomposition
we just performed, we have
Ak = (SS 1 )(SS 1 ) (SS 1 )
= S S 1
= Sk S 1
We now have powers of a diagonal matrix (), which is easy to compute:

k
0
1

..
k =

.
k
0
n

32

## CHAPTER 3. DYNAMIC MODELS, AN INTRODUCTION

and

lim Ak = lim S

k1

0
..

.
kn

S = S

limk k1

0
..

.
limk kn

So what happens to Ak is determined only by the eigenvalues: for k > 1, it will run to ; for k < 1,
it will run to 0, and for k = 1, it will run to 1. To summarize: 1) If all i are such that |i | < 1, then
limk Ak = 0 (converges). 2) If one of i is |i | > 1, then limk Ak diverges. We can use these results
to analyze the behavior of the Markov process for the bird population migration model.


0.9 0.2
det(A I) = 0 gives2 1.7 + 0.7 = 0
A=
0.1 0.8
This produces the eigenvalues

=1
, 2 = 0.7
| 1{z }
boundary case



1
0
1
1
A=
0 0.7
1 2
| {z } | {z } |


2
3
1
3

1
3
31

{z

S 1

## So for the bird population model we can now state

 k


 
 k

x (mainland birds)
x0
1
1
1
0
k
=A
=
y k (island birds)
y0
1 2
0 0.7k

2
3
1
3

1
3
31



x0
y0

This formula allows us to determine the population at any given time. We can also take the limit to see
what the long-term population balance will be:
 2 
 1 
3
(x0 + y0 ) 31
+ (x0 2y0 )(0.7)k
13
3
So
lim =

x
y

= (x0 + y0 )

2
3
1
3

+0

Since x0 + y0 = the total initial populations, we can say that over time
the mainland and 31 will be on the island.

2
3

## Summarizing our look at eigenvalues and eigenvectors, we know that decomposing/diagonalizing a

matrix A results in:
1)A = SS 1
2)Ak = Sk S 1
Extending this to polynomials of matrices, we can see that if a function is applied to a matrix A, that
function is applied only to when A is decomposed:


p(1 ) 0
2
2
S 1
p(x) = 3x + 2x + 1 p(A) = 3A + 2A + I = S
0
p(2 )

33

## We formally define this property as follows:

f (1 )
0
1

..
f (A) = S
S
.
0
f (n )

For example, to find the square root of a matrix, decompose the matrix into A = SS 1 and then apply
the square root to the diagonal elements of , which of course are the associated eigenvalues.

Example: For this example, we will use the Fibonacci Sequence. Let Fn be a sequence of numbers such
that Fn is the sum of the two previous values:
Fn+2 = Fn+1 + Fn
This is not in matrix form, instead try:
k =

Fk+1
Fk

then we see:

k+1 =

Fk+2
Fk+1

Fk+2 = Fk+1 + Fk
Fk+1 = Fk+1

Thus:

For A:

Fk+2
Fk+1

k+1 =

1 1
1 0

1 1
1 0


1+ 5
1 =
2



Fk+1
Fk

k+1 = Ak

1 5
2 =
2

## Solving via the eignenvector/eigenvalue method:

i

1 h 1+5 k
Fk =
( 2 ) ( 12 5 )k
5
with F0 = 0,

F1 = 1.

This is to illustrate going from a second order difference to a lower value equation. An alternate way
to solve this system other than eignenvalues is to use the guess method.

Guess Method:

34

## CHAPTER 3. DYNAMIC MODELS, AN INTRODUCTION

The guessing method is formulized by the system method. For example, guess Fn = Cr n and plug it
into the Fibonacci sequence.
Cr n+2 = Cr n+1 + Cr n
Cr n is common so we can cancel it out: r 2 = r + 1. So we may solve: r 2 r 1 = 0, using the quadratic
equation:

1 5
1+ 5
r=
r=
2
2
This method is more general, so it can be a faster way to the solution.

1+ 5 n
1 5 k
Fn = C1 (
) + C2 (
)
2
2
Use initial conditions:
F0 = 0

0 = C 1 + C2

F1 = 1

1=

C1 ( 1+2 5 )n +

C2 ( 12 5 )k

When you solve the two equations, you should get the same answer you get with the eigenvector method.
Example 1:
In this example we will convert a second order differential equation into a 2-D system, start with the
equation y + ay + by = 0.
Let u =

y
y

, then

y
y

y
ay by

## . We have no information about y so we

will leave it alone. However, we do have information about y . Writing y in matrix form, we get:

y =

We know
solution.

du
dx

= Au.

Therefore, A =

0
1
b a

0
1
b a



y
y

## 3.4. LINEAR ALGEBRA REVIEW

du
dt

Solve:

define:

= Au, where u =

35
u1
u2
..
.
u3

and A is an n n matrix.

## eAt = I + At + 21 A2 t2 + ... is the Taylor Series of ex applied to A.

d
At
dt (e )

d
dt [I

+ At + 21 A2 t2 + ...]

= 0 + A + A2 t + 21 A3 t2 + ...
= A[I + At + 12 A2 t2 + ....]
= Aet
thus, eAt solves

du
dt

= Au.

Example 2:
To solve dxdt = 2x + y and
At
e .

dy
dt


2 1
.
1
2

x
y

so

du
dt

## Now, we need to compute eAt . Weve said that

f (1 )
..

f (A) = S

So

eAt = S

0
.

f (n )

e1 t

0
..

.
en t

1
S

1
S u0

2 1
1
2


u. Therefore, A =

36

c1 e1 t
c1

## Define S 1 u0 = C, where C is the constant vector ... . Then u(t) = S

0
cn


v1 | v2 | vn , so

S=

v1 | v2 | vn

u(t) =

c1 e1 t

0
..

.
cn en t

0
..

.
cn en t

c1 e1 t v1 + c2 e2 t v2 + + cn en t vn
Thus, we have gained the Eigenvector Method.

Example 3:
Solve

du
dt

= Au.

Where u =

1
0

, and A =

2 1
1
2

We find the eignenvalues are -1 and -3, and the eigenvectors are
formula directly tells us that

## plugging in t = 0 we get that

c2 we find c1 = c2 = 12 .

3.5

1
0

u(t) = c1 et

= c1

1
1

1
1

+ c2

+ c2 e3t

1
1

1
1

1
1


and

1
1

## 1. We have the free-fall model a = 9.8 + cv k , where we studied the case k = 1.

(a) What should the sign of c be for k = 1 and k = 2?
(c) Does this present a reasonable answer?

, respectively. The

Exercises

## (b) Work out the solution in the case k = 2.

3.5. EXERCISES

37

2. Find the differential equation model for the free fall problem with an alternate set of assumptions.
Take the y axis to be positive upward. Let the radius of the planet be R, set the origin (y = 0) at
the surface. Assume that there is no air resistance, but that the force due to gravitiy does change as
a function of altitude. Let lower case m stand for the object mass, upper case M stand for the mass
of the planet and G the gravitational constant.
(a) Find the differential equation for y(t) including only the object data and the gravitational
GM
acceleration. Hint: g = 2
R
dv dy
dv
dv
=
=v )
(b) Convert to a differential equation for v(y) (use the trick:
dt
dy dt
dy
(c) Find the escape velocity (smallest initial velocity so that the object does not return) . Hint: v
must stay positive.
3. Solve the initial value problem: y (iv) y = 0, y(0) = 1, y (0) = y (0) = y (0) = 0.
4. An annual plant is one that lives for a single season. These plants survive by spreading seeds in
the fall which then germinate in the following spring. Some seeds fail to germinate that spring, but
do the following spring. Let pn represent the number of plants for a particular species, a represent
the average number of seeds per plant that survive the first winter and germinate, and b represent
the average number of seeds per plant that germinate a year following. This can be modeled by the
difference equation: pn+2 = apn+1 + bpn .
(a) What is the criteria for survival of the plant (in terms of a and b)? [ Note that a and b are
positive ]
(b) Is the plant helped or hurt by this two season approach? [ We might assume that whatever
gives the seed the ability to survive an extra winter might hinder it from germinating the first
spring, and so a and b are inversely related.]
5. Let A be a 3X3 matrix, with rows: row1 = [2, 1, 0], row2 = [1, 2, 1], row3 = [0, 1, 2].
(a) Find the diagonalization of A.
(b) Use the previous result to solve
(c) Find sqrt(A)

dx
= Ax, x(0) = (1, 0, 0)t .
dt

38

Chapter 4

## Finite Dimensional Vector Spaces

Let S be a set of objects. Let x, y, z S and , R.
Define some operations:
1. x + y = y + x
2. x + (y + z) = (x + y) + z
3. 0 S, 0 + x = x
4. x S, x + x = 0
5. (x) = ()x
6. ( + )x = x + x
7. (x + y) = x + y
8. 1x = x, 0x = 0
If the following conditions hold, then we say S is a vector space:
1. x, y S then x + y S
2. R, x S, then x S
Examples of vector spaces
1. R2 plane. We need to check that we have closure in addition and scalar multiplication in R2 . If
we do, then R2 is a vector space.

 
 

v1
u1
v1 + u1
+
=
v2
u2
v2 + u2
39

40

## CHAPTER 4. FINITE DIMENSIONAL VECTOR SPACES


 

v1
v1
Scalar multiplication formula:
=
v2
v2
Since the conditions hold, R2 is a vector space.
2. Rn n-dimensional space.

v1
u1
v2
u2

## Let v = . and let u = . .

..
..
vn
un

v1 + u1
v1
v2 + u2
v2

We know that v + u =
.. and v =
.. for R .

.
.
v3 + u3
v3
Therefore we can conclude that Rn is a vector space.

3. Polynomials of degree n
P (x) = an xn + an1 xn1 + ... + a1 x + a0
Q(x) = bn xn + bn1 xn1 + ... + b1 x + b0
P (x) + Q(x) and P (x) are degree n polynomials and thus the set is closed.
4. n m Matrices
Addition and multiplication are defined and the set is closed.
5. Continuous functions on [a, b].
Let f(x) and g(x) be continuous.
f(x) + g(x) continuous

f(x) continuous

Linear Combination
For a given set of vectors x1 , x2 , ..., xn S and constants 1 , 2 , ..., n R, we define the following as a
linear combination:
1 x1 + 2 x2 + ... + n xn
Linearly Independent
If 1 x1 + 2 x2 + ... + n xn = 0 implies that i = 0 i, then we say the collection xi for i = 1, ... , n is
linearly independent.
Otherwise we say the set is linearly dependent.
   
1
1
be vectors.
,
Example. Let
1
0

41
1

1
0

1 1
0 1

Det

+ 2

1
1

1
2

1 1
0 1

Therefore

=0

0
0

1 1
0 1

6= 0


1
2

0
0

0
0

## 1 = 2 = 0. This implies linear independence.

     
1
1
0
,
,
be vectors.
Example. Let
0
1
1


1 1 0
0 1 1

1
0

+ 2


1
1

+ 3

0
1

=0

 
1
0
2 =
0
3

(1 , 2 , 3 ) = (1, -1, 1). This does not equal 0 which implies linear independence.
Spanning Set
T is a spanning set if every x S can be written as a linear combination of elements in T.
 
 
1
0
Example. Let x =
,y=
spans R2 .
0
1
Any element in


v1
v2

= 1

R2
1
0

v1
v2

0
1

+ 2

## . Solve for 1 and 2 .

Basis
A basis is a linearly independent spanning set.
The last example is a basis. An example of a basis for
   
1
1
Lets verify that
,
is a basis.
0
1


b1
b2




 
  
1
1 1
1
1
= 1
+ 2
=
0 1
2
0
1

R2

is

1
0

  
0
,
.
1

42

1
2

1 1
0 1

b1
b2

## We arrive at a unique solution, so

1
0

  
1
is a basis.
,
1

Note: Every basis of a fixed vector space has the same number of elements. The number of elements
in a basis is the dimension of the space.
Example

Example

## The set {1, x, x2 } is a basis for the quadratic polynomials.

0
1
0
1
3

1
1 ,
1 ,
Question: Is the following a basis for R ?
0 ,
1
0
0
1

Answer: These four vectors are not a basis for R3 because it has four vectors instead of three. However
the first three vectors in this set do form a basis for R3 .
Note: Vectors have direction and magnitude.
Inner Product
If x, y, z S and hx, yi is a bilinear operator mapping S R or C then we say hx, yi is an inner product
if the following holds:
1. hx, yi = hy, xi
2. hx, yi = hx, yi
3. hx + y, zi = hx, zi + hy, zi

> 0 if x =
6 0
4. hx, xi
= 0 iff x = 0
A vector space with an inner product is called an inner product space.
Examples

1. For

Rn ,

let hx, yi =

n
X

xk y k .

k=1

## Then for R2 : hx, yi = x1 y1 + x2 y2

2. Continuous functions on [0, 1]: C[0, 1]
Z 1
f (x)g(x)dx
For f, g C[0, 1] hf, gi =
0

## Note that properties 1 through 4 hold.

43
Functions are Vectors:
Take a function on [0, 1].
Sample at x = 0 and x = 1.

f0
f1

f0

f1
f2
f3
..
.

f0.1

f0.2
Sample at x = {0, 0.1, 0.2, 0.3, ..., 0.9, 1}
re-index

..

.
f10
f1


x1
Vector =
xn

A vector is a function over a discrete (integer) domain. A function is a vector with a continuous
index.
3. Differentiable functions on [0, 1].
Z 1
f (x)g(x) + f (x)g (x)dx
hf, gi =
0

## Note that properties 1 through 4 hold.

Norm
A norm is a function from S RT , with notation k k, for which
1. k x k> 0 if x 6= 0
2. k x k= 0 if x = 0
3. k x k = | |k x k
4. k x + y k k x k + k y k
Examples

1.

Rn :

n
X
1
| xi |2 ] 2
k x k2 = [
i=1

Note that this is the distance formula. The norm here gives the traditional vector length.
2.

Rn :

n
X
1
| xi |p ] 2 for p > 1
k x kp = [
i=1

Z 1
1
3. k f (x) k= [ [f (x)]2 dx] 2 for f C[0, 1]
0

44

1

## An inner product will induce a norm. k x k= (hx, xi) 2

Z 1
f (x)g(x)dx will induce the norm.
For example 3, hf, gi =
0

hf, gi =

Z bX
n

## f (j) (x)g(j) (x)dx

a j=0

Z bX
n
1
This induces the norm k f k= [
| f (j) (x) |2 dx] 2
a j=0

Theorem: Cauchy-Schwartz
For an inner product space: | hx, yi |2 k x k2 k y k2
Proof: 0 k x y k2
0 hx y, x yi
0 hx, xi + hx, yi + hy, xi + hy, yi
0 hx, xi hx, yi hy, xi + 2 hy, yi
Take to be the projection of x onto y. =
0 k x k2 2

hx, yi
and plug this into the equation.
k y k2

hx, yi2
hx, yi
Rehx,
yi
+
k y k2
k y k2
k y k4

## 0 k x k2 k y k2 2 hx, yi2 + hx, yi2

Thus we have | hx, yi |2 k x k2 k y k2

Q.E.D.

## This is used to prove that the triangle inequality holds.

Note: In R3 recall that cos =
Define: cos =

xy
k x kk y k

hx, yi
k x kk y k

Examples

1. In

R2

take x =

cos =

1
0

,y =

0
1

hx, yi
10+01
=
=0
k x kk y k
11

45
cos = 0 = 90
2. If hx, yi = 0, then we say x and y are orthogonal. The notation is x y.
Let f (x) = sin(x), g(x) = cos(x), S = C[0, 2].
Z 2
sin(x) cos(x)dx = 0
hf, gi =
0

## 3. Take f (x) = 1 and g(x) = x over the same space.

Z 2
1
2
1 xdx = x2 |2
hf, gi =
0 = 2
2
0
Z 2
2
12 dx = 2
k f k = hf, f i =
k g k2 = hg, gi =

0
2

x2 dx =

8
3

2
3
hf, gi
=
= 30
cos =
k f kk g k
2
We found the angle between the two functions 1 and x on [0, 2]

2
3
h1, xi
=
= 30
cos() =
k 1 kk x k
2
There is a clear relation between 6= 0 and linear independence. However orthogonal is better than
linear independence.
Theorem: An orthogonal set of vectors is linearly independent
[note - recall an orthogonal set of vectors means that every distinct element of the set is orthogonal to the
other elements i.e. i j or hi , j i = 0]
Define: inner product equals zero to be the same as orthogonal

hx, yi = 0 x y
To have a basis for a space you need to have linear independence, but we dont use linear independence,
we us orthogonality
Let {i } be an orthogonal spanning set, then {i } will be a basis for the vector space. An orthogonal
spanning set is a basis for solving linear systems.
Let f S where S is a vector space. We can represent f by

46

f=

n
X
j=1

j j

## which is a linear combination of j

What are the weights? j
Solve the linear system for j
Multiply by k and take an inner product.

hf, k i =

n
X
j=1

j hj , k i

{j } orthogonal hj , k i = { 0 if k 6= j k k k2 if k = j
hf, k i = k k k k2

k =

hf, k i
basis weight
k k k2

This formula is the projection or shadow formula from Calculus III, our axis is two orthogonal vectors.
Problem: What if you only have a linearly independent set and not an orthogonal set?
Process: Gram-Schmidt construct an orthogonal set from a linearly independent set
Given a linearly independent set xi where i = 1, ..., n
1 = x1

2 = x2

3 = x3

hx2 , 1 i
1
k 1 k2

hx3 , 1 i
hx3 , 2 i
1
2
2
k 1 k
k 2 k2

n = xn

n1
X
j=1

hxn , j i
j
k j k2

47
This is an unnormalized Gram-Schmidt process. It starts with any linearly independent set of vectors
and finds a basis.
Example. Given {1, x, x2 , x3 , ..., xn } , produce an orthogonal set using
hf, gi =

f (x)g(x)dx

1 = 1
2 = x

hx, 1i =

1
0

hx, 1i
1
k 1 k2

1 2 1 1
xdx = x =
2 0 2

k 1 k = h1, 1i =

2 = x

1dx = 1
0

1
2

Check : h1 , 2 i = 0 ?

h1 , 2 i =

1
1 2 1 1
(1)(x )dx = x x) = 0
2
2
2 0

2
x , 2
x
,

1
1
2
3 = x2
2
k 1 k
k 2 k2

1 3 1 1
x dx = x =
3 0 3
0

Z 1
1
1
x2 , x
x2 (x )dx
=
2
2
0

Z
1 4 1 3 1
1 2
1
3
= x x dx = x x =
2
4
6 0 12

x ,1 =
2

1
(x 21 )
1
3 = x2 (1) 2
This is an orthogonal polynomial.
3
k x 12 k2

48

## Define basis: Spanning Linearly independent set, with no redundancy.

There are many choices for a basis, but the best choice is often an orthogonal basis.
Suppose we want to solve Ax = y

for y

Change of basis: x x
Relation: x = Cx Where C is a matrix. This is a change of coordinates.
x = Cx , y = Cy
Convert Ax = y into the new basis:
Ax = y ACx = Cy C 1 ACx = y
The ideal sysem is where C 1 AC = , where is a diagonal matrix.
C 1 AC is known as a similarity transform
AC = C
Note: x = y

x1
1
0
..

..
. =

.
xn
0
n

yn
.. this is easy to solve
.
yn

By picking the correct similarity transform we can simplify the problem. How do we select this representative system?
AC = C
Take a column of C:
[1 | 2 | | n ]

A[1 | 2 | | n ] = [1 | 2 | | n ]
Ak = k k

0
..

.
n

49
Av = v
(matrix vector = vector)
This is an eigen value problem.

To solve:
det(A I) = 0, solve for
Theorem: Let A be an nxn matrix.
1. If A has linearly independent eigenvectors then there is a change of basis in C so that in the basis
A becomes diagonal.
2. If A is real and has linearly independent eigenvectors then the change of basis is real.
3. If C is the matrix of eigenvectors then
C 1 AC =
How do we get this?
Let
C = [1 | 2 | | n ]
AC = [A1 | A2 | | An ] = [1 1 | 2 2 | n n ] = [1 | n ]

0
..

= C
Eigenvalues give you a change of basis to diagonalize a change of basis.
Example Computing Eigenvalues
A=

det(A I) = det

2 1
1 2

(2 )
1
1
(2 )

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

(2 ) = 1, 1

50

## CHAPTER 4. FINITE DIMENSIONAL VECTOR SPACES

= 1, 3

For = 1

(A I) =

(2 1)
1
1
(2 1)

need: (A I)v = 0

  
1 1
v1
0
=
1 1
v2
0


1
~v =
1

For = 3

(A I) =

(2 3)
1
1
(2 3)

need: (A I)v = 0
  

1 1
0
v1
=
1 1
v2
0

~v =

= 1, ~v =

1
1

1
1

1
1

1 1
1 1

= 3, ~v =
What is this theorem trying to show you?
C=

AC =

2 1
1 2



1 3
1 3

1 1
1 1
1 1
1 1

x = cx



1 3
1 3

1 0
0 3

= C

51
y = cy
Solve

Find




1
0



2 1
1 2

x1
x2

1
0

1
0

1 1

1 1

1
2
1
2

x1

## We can solve transformed problems:

1 0
0 3

x1
x2

1
2
1
2

=
1 1

1 1

1
2
1
6

x2

1
2
1
6

Untransform it to get back to the original and to check that you did it correctly.
Cx = x

1 1
1 1

1
2
1
6

2
3
1
3

=x

## Differential Equation is the right hand side.

u + 2u + 3u = t
L(u + 2u + 3u) = L(t)
Solve the simple problem. Find L10 answer.
Theorem If A has n distinct eigenvalues then it has n linearly independent eigenvectors.
Proof If we have one vector that is linearly independent. By induction: Assume we have k 1 linearly
independent eigenvectors. Show that the kt h item is linearly independent.
1 x1 + 2 x2 + . . . + k1 xk1 + k xk = 0
Multiply by A

52

## CHAPTER 4. FINITE DIMENSIONAL VECTOR SPACES

1 A1 x1 + 2 A2 x2 + . . . + k1 Ak1 xk1 + k Ak xk = 0

1) 1 1 x1 + 2 2 x2 + . . . + k1 k1 xk1 + k k xk = 0

2) 1 k x1 + 2 k x2 + . . . + k1 k xk1 + k k xk = 0
When we multiply by k Take the difference of 1 2
1 (1 k )x1 + 2 (2 k )x2 + . . . + k1 (k1 k )xk1 + k (k k )xk = 0
1 , 2 , . . . , k1 = 0
Therefore
k = 0 1 , . . . , k = 0 x1
are linearly independent.
Definition For any matrix A, the adjoint of A is A and is defined by hAx, yi = hx, A yi
Definition A is said to be self adjoint if A = A
Note: A = AT
When A is real: self adjoint symmetric.
Spectral Theorem If A is self adjoint, then
1. hAx, Xi is real for all x
2. All eigenvalues are A are real
3. Eigenvetors of distinct eigenvalues are orthogonal
4. The eigenvectors form an n-dimensional basis
5. The matrix can be diagonalized
Proof:
1. If A = A

xi
hAx, xi = hx, A xi = hx, Axi = hAx,
hAx, xi is real

53
2. If Ax = x
hAx, xi = hx, xi = hx, xi

## hAx, xi is real by property 1

hx, xi real
must be real
3. If Ax = x and Ay = y and 6=

hx, yi = hx, yi

## = hAx, yi = hx, A yi = hx, Ayi = hx, yi = hx, yi

( )hx, yi = 0 hx, yi = 0 xy

## We will take properties 4 and 5 as given from linear algebra.

We can place the eigenvectors into a matrix : Q
Q = [x1 | x2 | . . . | xn ]
If A is self adjoint and has disjoint eigenvalues, then Q is an orthogonal matrix. Q is also square.

x1
x2
..
.
vn

[x1 | x2 | . . . | xn ]

k x1 k2
0
...
0

0
k x2 k2 . . .
0

=
...
...
...
...
0
...
0 k xn k2
Diagonal matrix

## Scale the eigenvectors by their norm. Then Q is called orthogonal. And

QT Q = I
QT = Q1
Diagonalization
AQ = A

1 x1 | 2 x2 | . . . | n xn

1 0 . . . 0
0 2 . . . 0

= [x1 | x2 | . . . | xn ]
. . . . . . . . . . . . = Q
0 . . . 0 n
x1 | x2 | . . . | xn

54

## CHAPTER 4. FINITE DIMENSIONAL VECTOR SPACES

AQ = Q
Q1 AQ =

Q AQ =
Q = QT
When values are real.

## The Big Picture We want to solve Ax = y

What is hAx, yi ?
For A self adjoint matrix, hAx, xi is a quadratic form for which hAx, xi = a constant is an ellipsoid.
Two possibilities:
x21 + x22 = c
x21 x22 = c
Courant Matrix Principle: For any real symmetric matrix A

k = minc max(k x k= 1)( cx = 0)hAx, xi
where c is any (k 1) x n matrix

Fredholm Theorem:

1. The solution of Ax = b is unique if and only if the solution of Ax = 0 is x = 0 where x is the kernal.
a) Assume that for some x 6= 0 implies that Ax = 0. Also, take Ay0 = b build y1 = y0 + x.
Note: Ay1 = A(y0 + x) = Ay0 + Ax = Ay0 = b. Therefore, Ay1 = b and is not unique.
b) Assuming Ax = b is not uniquely solvable,
y1 and y2 are solutions. Let x = y1 y2 where x is not zero. Ax = A(y1 y2 ) = Ay1 Ay2 where
Ayi = b then Ax = b b = 0 implies Ax = 0 for x 6= 0.
Null vectors use uniqueness where non-uniqueness implies there is a null vector.
Uniqueness must have a null space.
2. The equation Ax = b has a solution if and only if hb, vi = 0 for every v such that A = 0. If v is such
that A v = 0, then hv, bi = hv, Axi = hA v, xi = 0

55
We now have two results at our fingertips...
The Spectral Theorem which has to do with self adjoint properties, and the Fredholm Theorem which
has to do with solvability.




 
1 1
1
0
and the null space: v =
and Av =
Example 1 A =
1 1
1
0
Since the Null Vector exists, NOT unique.
 
3
Ax =
3

  

X1
3
1 1
=
3
1 1
X2
Is there more than one solution?
 
1
as a solution? (This is the particular solution, Xp )
2
From a Differential Equations Class, we know the General Solution can be written in the form,


 
1
1
+c
Xg = Xp + CXH =
2
1




1 1
1

A =
and v =
where A v = 0 and each element of the null space can be in any
1 1
1




2
n
linear combination, for example,
or
would work as long as A v = 0 holds.
2
n
Ax = b


 

1 1
X1
b1
=
1 1
X2
b2
As long as b v = 0, we can solve when hb, vi = 0
b1 b2 = 0, in particular, b1 = b2

56

## CHAPTER 4. FINITE DIMENSIONAL VECTOR SPACES

Chapter 5

Function Spaces
A metric d in a vector space is a measure of distance between two elements in a vector space.

1. d(x, y) = d(y, x)
Where the distance between x and y = the distance between y and x
2. d(x, y) 0 and d(x, y) = 0 if x = y
Where the distance is nonnegative
3. d(x, y) d(x, z) + d(z, y)
Where the shortest distance between two points is a straight line.
For Rn we know the distance, we need to know for the vector space what distance means.
Definition : A sequence {Xn } in S is said to have a limit, x, in S if for any 0, there is an integer, N
such that for all n N, d(Xn , X) .
Pick a small and find N large enough to be in that
Definition : A sequence is called a Cauchy Sequence if for any 0, there is an integer N
such that for every n, m N , d(Xn , Xm ) .
A Convergent Sequence => a Cauchy Sequence
d(Xn , Xm ) d(Xn , X) + (X, Xm )
A Cauchy Sequence 6=> a Convergent Sequence
An Example Let S = (0, 1) be a real line segment.
Xn = 1/n which is Cauchy as n , Xn 0

/ (0, 1)
57

58

## CHAPTER 5. FUNCTION SPACES

Lack of Completeness is the problem why these two definitions, a Sequence and a Cauchy Sequence, look
as if they were equal.
Recall Norm
1. ||x|| 0

if ||x|| = 0, then x = 0

2. ||x|| = ||||x||
3. ||x + y|| ||x|| + ||y||
A norm will induce a metric ... d(x, y) = ||x y||

## Recall this is the measure of distance.

Examples:
1. Sequences: {Xn } n = 1, . We have a vector therefore we have a norm.
!1/p

X
kXn |p
Norm: ||X|| =
where d = ||x y||
n=1

## 2. For continuous Functions on [a, b] : c[a, b]

||f || = max|f (x)| is a sup norm which generates the norm and distance function where d = ||f g||
3. For c[a, b]
Z b
(1/p)
where Lp is the norm and d = ||f g||
kf |p
||f || =
a

## 1, 2 and 3 all generate a distance, d.

Definition : A normed linear space is complete if for every Cauchy Sequence in S,
is convergent to an element in S.
Example: Take the rational numbers on [0, 2]. The Norm, |x|.
Is this a complete set? No! We can produce a sequence of rational numbers which limits us to an
irrational number.

## Take 2, remember 2 1.41423... which is nonrepeating and no periodic sequence.

x = .d1 d2 d3 ...dn d1 d2 d3 ...dn ... if repeating, then its rational.
10n x = d1 d2 d3 ...dn d1 d2 d3 ...dn ...
10n x x = d1 d2 d3 ...dn
(10n 1)x = d1 d2 d3 ...dn
x=

d1 d2 d3 ...dn
10n 1

59
So for our example, where
X0 = 1

X3 =

2 1.41423

1414
1000

X1 =

14
10

X4 =

14142
10000

X2 =

141
100

Xn =

something
10n

so Xn

2 as n

fn =

1
2

n
2 (t

1
2)

0 t < 21 n1
1
1
1
2 n t 2 +
1
1
2 + n <t1

## lim = g(t) where you must use LHopitals rule on

1
n

1 n
1
+ (t ) to solve. Also, g(t) is not continuous.
2 2
2

The PROBLEM:
You cant do approximations if the approximation is outside of the set.
Example : The Cantor Set Starting with the set, [0, 1] [0 ( ) ]1
can be broken up into the following sets by extracting components...
[0 ( ) ]1/3 [2/3 ( ) ]1

where

1
3

1
3

## [0 ( ) ]1/9 [2/9 ( ) ]3/9 [2/3 ( ) ]7/9 [8/9 ( ) ]1 where

The next step would be
Remove

X
1

2
9

1
3

( 32 )

1
2
4
= ( )2 so on and so forth.
27
3
3

2
1X 2 2
( )2 =
( ) which we notice to be the Geometric Series.
3
3
3 n=0 3
n=0

1
So, we get
3

1
1

2
3

= 1 from [0, 1]

This tells us that the Cantor Middle Thirds Set is a nonempty, closed set.
Continueing with the example, Define the Function
(x) =

1
1

if x Cantor Set
if x
/ Cantor Set

## Where (x) is known as the Salt and Pepper Function.

Z
(x)d(x) does not exist. (x) is not continuous.
The problem is that we are mixing limits and functions and can fall our of the space we are working in.

60

## CHAPTER 5. FUNCTION SPACES

We can choose a partition to produce any number between 0 and 1.
The limit of that partion gives us a Riemann integral of any number from 0 to 1.
We would get 2 Left Hand Side values from the Cantor Set and 2 Right Hand Values, remembering
that area = length *1, we can get any value desired.
This also tells us that the Riemann integral is not up to the task.
If the Riemann integral is not up to the task, then what is?

## Definition: A set of measure zero:

If for every < 0, the set can be covered by a collection of open intervals
whose total length is less that .
Example: Finite Sets

Let our total length be = + +
3 3 3
Remember that all finite sets have a measure of 0.
Example: Countable Sets one - to - one with integers
Countable sets have a measure of zero, WHY?
Proof Take {Xn } to be elements of the set.
Cover X1 by an interval of length

8

## Cover Xn by an interval of length n

2
Cover X2 by an interval of length

## The Total Length =

n=1

1
=
2n

So, if the Riemann integral does not work, then what is the fix?
The Fix: The Lebesgue Integral:
Since the Riemann was not up for the task, we will show the Lebesgue integral is. First we must define
what a Lebesgue ingeral is:
Lebesgue Integration
1. If the Riemann integral,
Z
Z
f
f=
alent.
R

R

## f also exists and they are equivL

61
2. Linear Properties Hold
Z
Z
Z
Z
Z
g and (cf ) = c f
f+
For Example:, (f + g) =
L

3.

f=
setA

setB

## 4. Lebesgue Dominated Convergence Theorem

If fn f converges pointwie and |fn | < g then lim

fn =

lim fn

5. L2 [a, b] is a complete space. Start with the continuous functions on [a, b] : c[a, b]
#
"Z
2
This norm uses the Lebesgue integral.
Norm: ||f || =
|f |
[a,b]

It is built on the Lebesgue Dominated Convergence Theorem and bounded by the Cauchy Sequence.
Take all Cauchy Sequences in c[a, b]. Form the union of c[a, b] and the limits of the Cauchy Sequence.
Call this Space L2 [a, b]

## Definition Complete inner product space: Hilbert Space L2

Complete normed space:
Banach Space Lp
The Completion of c[a, b] using the norm is
"Z
||f || =

[a,b]

#1/2

(|f | + |f | )

## gives us the Sobolev Space H

Approximation in Hilbert Space
Modeling is all about approximation, the right approximation.
Say we want to approximate some function using our favorite set of functions, which could include
anything from Electrical Engineering, Orbital Mechanics, Thermal Dynamics and so on.
By approximation we mean,
f (x)

n
X

i i

i=1

We want ||f (x)
Given ||f (x)

n
X
i=1

n
X
i=1

## i i ||2 how would you expand this out?

Note:
The Norm is generated from the inner product

62

## CHAPTER 5. FUNCTION SPACES

||f (x)||2 =< f (x), f (x) >
By plugging in our f (x) into this equation, we get,
||f (x)
=

n
X
i=1

n
X
i=1

i i ||2

=< f (x)

n
X
i=1

i i , f (x)

n
X

n
X

i=1

i i >

i=1

Assuming R,
||f (x)||2 2

n
X

n=1

n
n X
X

## i j < i , j >= ERROR = E

i=1 j=1

We want to minimize the error, f is constant, is the basis, and we can choose to be what we want
dE
=0
di
This is easier if {i } are an orthogonal set.

0 if i 6= j
We see < i , i >=
1 if i = j
We want to minimize the error in our inner product space, i =< c, i > called the Fourier Coefficient
Select i =< f (x), i > where f (x) = 1 1 + 2 2
The BEST L2 approximation is:
f (x)

n
X

i=1

X
i=1

## < f (x), i > i = g L2

Is g(x) = f (x)?
Example
Let n = sin(nx) which is orthogonal. [0, 2]
Z 2
f (x) sin(nx)dx. Take f (x) = cos(x)
Set < f (x), n >=
0

63
Then, we get
Then,

0
cos(x, n )

cos(x) sin(nx)dx = 0
= 0 always.

Here, we can see that the approximation does not work out. Why is this true?
A function in L2 can differ by a set of measure 0 and still be the same funciton.
Even though there are an infinitly many number of functions, they do not span the space.
Completeness to Spanning
Set Completeness
Spanning Completeness
We now would like to find the L1 approximation of f (x) using linear terms on the domain [0, 1]
f (x) + x
We would like to minimize f (x) using the L1 norm
min ||f (x) ( + x)||

(,)

min

(,)

1
0

|f (x) ( + x)|dx

## How do we minimize? We take the derivatives

Z 1
d
|f (x) ( + x)|dx
d 0
Z 1
d
|f (x) ( + x)|dx
d 0
Notion of Completeness
Definition: an orthonormal set is complete if

X
i=1

## This is not the set (Cauchy Sequence) complete.

Theorem: A set {i }
i=1 is complete if any of the following equivalent statements hold:
1. f (x) =

X
i=1

hf (x), i i i

64

## CHAPTER 5. FUNCTION SPACES

||f (x)

3. ||f (x)||2 =

X
i=1

X
i=1

hf (x), i i i || <

## 4. If hf (x), i i = 0 for all i, then f 0

5. There does not exist such that {i } is orthogonal
Weierstrass Approximation Theorem: For any continuous function, f (x) C[a, b], and any > 0
there exists a polynomial p(x) so that
max |f (x) p(x)| <

(a<x<b)

This means we can get arbitrary close to f(x) with a polynomial. This is similar to the Taylor Series. The
problem with the Taylor series is that it requires differentiability.
To converge uniformly on an interval we will look at the max norm/uniform norm of the function.
What is nice about the max norm is that it allows us to do point-wise approximations. This means we can
get every point as close as we need.
Example: of an L2 approximations using a non-polynomial function. That is we will use trigonometric
functions on the interval [0, 2]


sin n cos n
,
Let n =

n=0
One can show that n is an orthonormal set
Z

n m dx =
0

1 n=m
0 n=
6 m

## We can produce a Fourier Expansion

X
hf (x), n i n
hf (x), n i n +
|
{z
}
{z
}
|
n=0
n=0
n=0
cos type
sin type

X
sin nx sin nx
cos nx cos nx X

+
f (x),

f (x),

n=0
n=0

hf (x), n i n

We then solve these equations by separating the cos and sin terms

65

Z 2
cos nx
cos nx
f (x) dx
f,
=

0

Z 2
sin nx
sin nx
f,
f (x) dx
=

0
Solving further for n 1
1
an hf (x), n i

Z 2
1
cos nx
=
f (x) dx
0

Z 2
1
f (x) cos nxdx
=
0
1
bn hf (x), n i

Z 2
sin nx
1
f (x) dx
=
0

Z 2
1
=
f (x) sin nxdx
0
Note that for n = 0

1
a0 =
2

f (x)dx

## The Fourier Series approximation of f (x) is

f (x)

an cos nx + bn sin nx

n=0

Fourier Series is the projection of the function onto the elements. The summation of the series should
approximately equal f (x) in L2 . That is
X
hf (x), n i n f (x)
n=0

## When and Where does the summation converge?

Theorem: If f (x) is piecewise C 1 [0, 2] then the Fourier Series of f converges to
1
[f (x+ ) + f (x )] x (0, 2)
2
This implies:

66

## CHAPTER 5. FUNCTION SPACES

1. At points of continuity, the series converges point-wise
2. At points of discontinuity, the series converges to the average of the left and right hand limits
3. The endpoints converge at the average of the endpoints.

## Different norms imply different styles of convergence.


0
0x<
Example: Let f (x) =
1 x < 2
a0 =
an =
bn =
=


Z
Z 2
Z 2
1
1
1
1dx =
f (x)dx =
0dx +
2 0
2
2

0
Z 2
Z 2
1
1
1
sin nx|2
f (x) cos nxdx =
cos nxdx =
=0
0

n
Z
Z
1 2
1 2
1
cos nx|2
f (x) sin nxdx =
sin nxdx =

0

n

1
0
n even
((1)n 1) =
2
n odd
n
n

## So the Fourier Expansion of f (x) is

f (x) a0 +

n=0

an cos nx + bn sin nx =

1 X
2
+
sin (2n + 1)x
2
(2n + 1)
n=0

Fourier Theorem says this series converges point-wise to points of continuity. We know that it converges
on the intervals (0, ) and (, 2)

Chapter 6

Integral Equations
Model: Let u(t) be the population at time t. From t0 to t1 , ie. t, we know:
1. The function u(t) can produce Au net new individuals
2. Migration implies f (t)
The equation for u(t) can be expressed as
u(t) =

N
X

Au(tn )t + f (t)t

n=1

## Expressed as an integral, u(t) becomes

u(t) =

Au( )d + F (t)

Another Model: Let z(x) represent the deflection of a beam under load and described as:
z(x) =

G(x, y)p(y)dy
0

where
If you rotate the beam, p(y) becomes p(y) = 2 (y)z(y); where represents the angular velocity and
represents the mass density.
67

68

## CHAPTER 6. INTEGRAL EQUATIONS

Substituting and , z(x) becomes
z(x) =

G(x, y)(y)z(y)dy

Example: Lets look at an example where integral equations come into play
Let u solve
Integrating

du
= sin u + t with the initial condition u(0) = 1
dt
du
from 0 to t gives the equation
dt
Z t
du
= u(t) u(0) = u(t) 1
0 dt
Z t
Z t
1
du
sin u( )d + t2
=
dt
2
0
0

Setting the above equations equal to each other, and solving for u(t) yields
u(t) =

1 2
t +1+
2

sin u( )d

Conversions: Given the boundary value problem u = f (x) with u(0) = u(1) = 0 and if you let k equal
the piecewise function

y(x 1) 0 y < x 1
k(x, y) =
x(y 1) 0 x < y 1
Then the solution to u(x) is an integral equation, which takes the form u(x) =
are four different types of integral equations that we will look at.

0

## Types of Integral Equations

Fredholm Integral Equation (1st Kind)
u(t) =

k(t, )f ( )d

Note: if k(t, ) = 0 for t < this is the same as the Volterra Integral Equation
Fredholm Integral Equation of the 2nd Kind
u(t) =

## Volterra Integral Equation

k(t, )f ( )d + f (t)
a

69
if k(t, ) = 0 when t < then
u(t) =

k(t, )f ( )d
a

An important thing to notice, is that all of these integral equations are linear.
Example: We will be looking for a curve that seems linear, but is off-set by the area under its curve.
Lets look at the equation below, with

du
=1
dx

1
u(t) = x +
2
If you let
result is

u(y)dy

u(y)dy = k where k is some constant and then substitute k into the above equation the

1
u(x) = x + k
2

Z

1
(y + k)dy = k
2

## Integrate and then solve for k gives you k = 1

Substituting this back into u(x) gives the solution for u(x) which is
1
u(x) = x +
2
Example: Let
u(x) =

5 x
+
6 3

u(y)dy
0

u(x) =

5 x
+ k
6 3

k =
=
5k
=
6
k =

1

5 yk
+
6
3
0
5 k
+
6 6
5
6
1

dy

70

## CHAPTER 6. INTEGRAL EQUATIONS

Substituting k back in, we get

5 x
+
6 3

u(x) =

u(t) =

## Definition : L : H H is a Bounded Linear Operator if

1) L is Linear L(f + g) = Lf + Lg
2) L is bounded There is a constant k > 0 such that
kLf k kkf k
where k k is the induced norm.
Definition: Norm on an operator
kLuk
kuk

kLk = sup
with u 6= 0
Example:
Lf = f

kLf k = kf k k = 1

## Thus, Lf is a bounded linear operator.

Example: Lets show that Lf is a bounded linear operator, where Lf is
Lf =

f (x)dx

To prove look at
2

kLf k =
=

Z

(Lf ) dt =

f (x)dx

2 Z

1 Z 1

dt =
0

f (x)dx

Z

2

f (x)dx

dt

2

71

Z

1
0

f (x) 1dx

2

Z

f (x) dx
0

1/2 Z

1 dx
0

1/2 !2

hf (x), 1i kf kk1k
kLf k2 kf k2
kLf k kf k
Thus, Lf is a bounded linear operator.

## Example: Lets show that Lf is not a bounded linear operator, where Lf is

Lf =

df
on [0, 2]
dx

a) Lf is linear
L(f + g) = Lf + Lg
b) Is Lf a bounded operator? No. Take f (x) = sin(nx) on [0, 2]. To prove look at
Z 2
Z 2
2
2
(n cos(nx))2 dx
(Lf ) dx =
kLf k =
0

= n2

cos2 (nx)dx =

=
Now look at
2

kf k =

n2
2

(1 + cos(2nx))dx

n2
(2) = n2
2

1
sin nxdx =
2
2

(1 cos(2nx))dx

1
(2) =
2

n k

Z bZ b
k2 (x, y)dydx <
a

for Lu =

Rb
a

k(x, y)u(y)dy

72

## Definition: The Adjoint of L is L

hLu, vi = hu, L vi

for all u, v H, where h, i is an inner product in H. But the Adjoint might not exist.

Example: Let
Z

Lu =

k(x, y)u(y)dy

## Finding the adjoint we get

hLu, vi =
=

Z bZ
a

ku(y)dy v(x)dx

k(x, y)u(y)v(x)dydx =

Z bZ
a

Z b Z

=
Thus we have

Z b Z

k(y, x)u(x)v(y)dxdy

L v=

k(y, x)v(y)dy

## Example: Find the adjoint operator for

Lf =

df
with f (0) = f (1) = 0
dx

Then
hLf, gi =
Using integration by parts we get

Lf gdx =
0

= f (x)g(x)|10

## 2) L is a bounded linear operator

1
0

df
gdx
dx

dy
dx
dx

dy
= f,
= hf, L gi
dx
L g =

1) L exists

dy
dx

73
Definition: A set S H is compact if any sequence {xn } chosen from S has a convergent subsequence.
Definition: An operator L is compact if it transforms bounded sets into compact sets.

## Fredholm Theorem: If L is a compact linear operator then

1) The solution of Lu = f is unique if and only if Lu = 0 has only u = 0 as a solution.
2) The equation Lu = f has a solution if and only if hf, vi = 0 for every v N (L ).

## Example: Continuous dependence:

Solve Ax = b for

  

1 1
1
x1
=
1 1.00001
x2
2
This matrix represents the equations
x1 + x2 = 1
x1 + 1.00001x2 = 2
Now a small change in the number 1.00001 results in a large change in the solution to this system of
equations. Thus, the solution to this model is very sensitive to small changes in the data, so our model is
useless.
Definition: A problem or model is said to be well-posed if the problem has a unique solution which
depends continuously on the problem data.
Spectral Theorem: Let K be a compact linear operator and assume that Ku = u.
1. The multiplicity of is finite.
2. The adjoint of K exists.
3. When K = K (self adjoint K), the eigenvalues are real.
4. When K = K , the eigenfunctions corresponding to distinct eigenvalues are orthogonal.
5. Let n be a collection of distinct eigenvalues, either
i. limn n = 0 or
ii. only a finite number ar non-zero.
6. Self adjoint, compact operators (non-trivial) will have at least one eigenvalue-eigenfunction pair.
7. Compact self adjoint non-degenerate operators have an infinite number of orthogonal eigenfunctions.
8. If K is a compact self adjoint linear operator then the eigenfunctions are complete over
the range of K.
Note that points 7 and 8 imply that a Fourier Series will exist and work.

74

## CHAPTER 6. INTEGRAL EQUATIONS

Example: Consider Lu =

## k(x, y) u(y) dy where k(x, y) =

0

Lu = u
Z 1
k(x, y) u(y) dy = u(x)

## y(x 1) 0 < y < x < 1

.
x(y 1) 0 < x < y < 1

An eigenvalue problem!

## Claim: L is self adjoint. (Assuming compact.)

Find the eigenvalues and eigenfunctions.
Z 1
Z x
Z 1
k(x, y) u(y) dy =
k(x, y) u(y) dy
k(x, y) u(y) dy
0
0
x
Z 1
Z x
x(y 1) u(y) dy
y(x 1) u(y) dy
=
x
0
Z 1
Z x
(y 1) u(y) dy
y u(y) dy x
= (x 1)
0

= u(x)

## Notice that by the Fundamental Theorem of Calculus that

Z x
u(y) dy is the inverse of differentiation (with respect to x).
0

du
dx

1
x

d2 u
dx2

0 =
0 =

d2 u 1
+ u(x)
dx2
d2 u
+ 2 u(x)
dx2

Define 2 = 1 .

## We know the solution of this ordinary differential equation is

u(x) = A cos(x) + B sin(x).
With u(0) = 0 and u(1) = 1 we obtain the following eigenfunctions for u.

n (x) = sin(nx)
1
n =
2
n 2

Chapter 7

Greens Functions
Many problems in modeling deal with differential operators, but the theory is stated in terms of integral
operators. How can we connect these? We expect the inverse of a differential operator to be an integral
operator.
Formal Argument
If L is a differential operator,
Lu = an

dn1 u
du
dn u
+ a0
+
a
+ ... + a1
n1
n
n1
dx
dx
dx

then we expect
L

u=

## If it is an inverse, then u = L(L1 u).

u=L

Z

g(x, t)u(t) dt

Lgu(t) dt = u(x)

[Lg]u(t) dt = u(x)

x [a, b]

Lg = (x, t)

## Dirac Delta Function: Theory of Distributions

Normally the Dirac Delta Function, (x), is used to describe an impulse at x = 0.
We know the following statements about the Dirac Delta Function:
(x) = 0 for x 6= 0
Z

b
a

75

76

Absolute value
|x| =

f (x) =

x x < 0
x
x>0


0 x<0
x x>0

H(x) = f (x) =

0 x<0
1 x>0

0 x<0
0 x>0

function
a

0 (a, b)

(x) dx = 1
a

## Just as Ax = b has an inverse x = A1 b, so we want Lu = f to have an inverse u = L1 f .

If L is an nth order differential operator and Lg = (x t) [= (x, t)]
then
1. The nth derivative of g looks like (x t).
2. The (n 1)th derivative of g looks like H(x t).
3. The (n k)th derivative of g looks continuous.
Recall:
Lu = an u(n) + an1 u(n1) + ... + a0 u
Since Lg = 0 if x 6= t:
Z

1=

Lg dx =

Note that

Lg dx and

Lg dx +

t+

Lg dx +
t

Lg dx

t+

## Lg dx are both zero. So this gets us

t+

1=

t+

Lg dx =

t+

[an

dn g
dn1 g
+
a
+ ... + a0 g] dx
n1
dxn
dxn1

t+
t+
Z t+
dn2g
dn1 g
g dx
+ an1
+ ... + a0
1 = an
dxn1 t
dxn2 t
t

77
t+
t+
Z t+
dn2g
dn2g
+
...
+
a
is continuous,
g
dx
=
0,a
0
n1
dxn2 t
dxn2 t
t
and also that (x)| = () () = + (0) (0) = 0.

t+
dn1 g
an
=1
dxn1 t

as 0

## Summary: Method to find the Greens function

Greens function is the kernel for the integral inverse operator.
1. Lg(x, t) = 0 for x 6= t.
dk
(g(x, t)) is continuous (with k = 0, 1, 2, ..., n 2).
2.
dxk
t+

dn1
= 1 . (Note that this is the jump condition.)
3.
g(x,
t)

dxn1
an
t
4. g(x, t) is a piecewise defined function.
Next we will consider examples of second order differential equations which are important because the
most frequent types of problems seen in Math Modeling occur in this form.
d2 u
= f , u(0) = u(1) = 0.
Example: Find the Greens function for
dx2

Lu = f

u = L1 f

Using step 1:
Lg = 0 if
d2
g = 0 if
dx2

x 6= t

g(x, t) = Ax + B

Using step 4:

x 6= t

g(x, t) =

## Ax + B 0 < x < t < 1

Cx + D 0 < t < x < 1

Using step 2:
Since g is continuous at x = t, g(0) = 0, and g(1) = 0 we get

Also, since x = t

g(x, t) =

g(x, t) =

Ax
0<x<t<1
C(x 1) 0 < t < x < 1.

At = C(t 1)


Ax
At
t1 (x

C=

0<x<t<1
1) 0 < t < x < 1

At
.
t1
where t is a number

78

## CHAPTER 7. GREENS FUNCTIONS

Finally, using step 3:
dg
=
dx
Since

1
1
1
=
= = 1:
an
a2
1

At
t1

x<t
t<x

+
dg t
At
A=1
=

dx t
t1


t
1 =1
A
t1
A=

g(x, t) =

1
t1

=t1

## (t 1)x 0 < x < t < 1

t(x 1) 0 < t < x < 1

u=

Z
Z
uu
dx < m

f (x) dx < m

## (Notice u 0 as x and that is complex, not real and positive).

Using step 1:
Lg = 0
if x 6= t

g + g = 0 m2 + = 0 m = i

emx

ei

## Recall Eulers Formula: ei = cos() + i sin().

(

Aei (xt)
< t < x <

g(x, t) =
i
(xt)
Be
< x < t <
Using steps 2 and 3:
g (x, t) =
+

g|tt = Aei

(tt)

Ai ei (xt)
t<x
i(xt)
Bi e
x<t

Bei

(tt)

=0

A=B

## Substituting back in we get

+
g |tt = Ai (Ai ) = 1

A=

1
.
2i

79

g(x, t) =

ei (xt)
2i

1
i (xt)

e
2i

g(x, t) =

< x < t <

1
ei |xt|
2i

## Say you want to solve Lu = f u = L1 f , then u is as follows:

Z
Z

1
ei |xt| f (t) dt.
g(x, t) f (t) dt =
u(x) =
2i

## Example: Convert u + u = u3 where u L2 (, ) to an integral form.

1
ei |xt| u3 (t) dt.
2i
3
Lu = u
u = L1 (u3 )

u(x) =

The adjoint of L is L : hLu, vi = hu, L vi.


1 d
du
(x)
+ q(x)u(x) with 1 u(a) + 1 u (a) = 0 and
Example: Consider Lu =
(x) dx
dx
2 u(b) + 2 u (b) = 0. This is called a Sturm-Liouville operator (with separated boundary conditions).
(Partial differential equation courses study Lu = f .)
Find L .

Z b
u(x) v(x) (x) dx = hu, vi .]
[Deduce the space (functions on [a, b]) and the inner product
a

hLu, vi

(Lu) v (x) dx



Z b
du
1 d

+ q u v dx
dx
dx
a


Z b
Z b
1 d
du
q u v dx

v dx +
dx
a dx
a
a

=
=

Z b
Z b
du dv
du b
q u v dx
v
dx +

dx a
dx dx
a
a



Z b
Z b
dv
d
dv
du b
v u
dx +
u

dx +
q u v dx

dx a
dx
dx
dx
a
a

80

## CHAPTER 7. GREENS FUNCTIONS




Z b 
1 d
dv
dv
du b
u
v u
dx +

+ q v dx

dx a
dx
dx
dx
a

... and that the last integral has the inverse we are looking for!
=

(b) u (b) v(b) (a) u (a) v(a) (b) v (v) u(b) + (a) v (a) u(a) +

u (L v) dx

Using algebra on the given boundary conditions, this simplifies to just the integral,
=

u (L v) dx

1 v(a) + 1 v (a) = 0

## Therefore, the Adjoint for Lu, with boundary conditions, is



1 d
dv
L v=

+ q(x) v(x)
(x) dx
dx
1 v(a) + 1 v (a) = 0

2 v(b) + 2 v (b) = 0
Definition:
If L = L , D(L) = D(L ) (their domains are the same), and their boundary conditions are the same, then
we say L is self adjoint.
Definition:
For a differential operator L, the pair , is called an eigenfunction, eigenvalue pair if L = ( 6= 0).
Theorem:
The eigenfunctions of a self adjoint invertible second order differential operator form a completre set on
L2 [a, b].
1. Convert to an integral equation: Greens function.
2. Symmetric Greens function Hilbert-Schmidt operator.
3. Have a compact self adjoint integral operator.
4. Spectral Theorem: Eigenfucntions are complete.
Eigenfunction expansions
For to solving Lu = f , the general approach is to use eigenfunction expansions.
L: the eigenfunctions & eigenvalues {n , n }
u=

n=1

n n

81
f=

n n

n=1

!

X
X
n n
n n =
L
n=1

n=1

n n n =

n n

n=1

n=1

n n = n

n =

n
n

u = L1 f

## Formula: Lu = f for any linear operator

X
n n : n = hf, n i
1. f =
n=1

## (Changing coordinate system.)

n
2. n =
n
(Transformation into new coordinates.)


X
n
3. u =
n
n=1
(Transformation back.)
Lu = f

Tn u = hu, n i

T 1

Tn f = hf, n i

n n = n

n n

n=1

n =

n
n

For Greens
Z b Function:
f (x) g(x) dx, solve Lg(x, t) = (x t).
hf, gi =
a

(x t) =

n n (x)

n=1

82

## CHAPTER 7. GREENS FUNCTIONS

=

b
a

(x t) n (x) dx = n (t)

## (from the properies of the function)

(x t) =
Next consider g:
g=

n (t) n (x)

n1

n n

n=1

Lg =

n n n

n1

Now since Lg = :

Therefore,

Lu = f

n n = n (t)

g(x, t) =

X
n (t) n (x)
n1

u = L1 f
Z b
1
g(x, t) v(t) dt, where g(x, t) is given above.
L v=

Example: Consider u = 12 sin(7x), with u(0) = u(1) = 0. This is a problem of the form Lu = f .

X
n n . What are the n ?
Want: u =
n=1

Solve Lu = u u u = 0.
This is an ordinary differential equation with the solution of

## u(x) = A cos( x) + B sin( x), where is negative.

Applying the boundary conditions:
u(0) = A cos(0) + B sin(0) = 0

A=0

u(x) = B sin( x)

u(1) = B sin( ) = 0

Either B = 0 or sin( ) = 0.

= n2 2

n (x) = sin(nx)

83
Plugging in f :
12 sin(7x) =

n sin(nx)

n=1

Next, u =

n sin(n x):

n=1

7 =

7 = 12

n = 0 for n 6= 7

7
where n = n2 2
7
7
sin(7x)
7
12
sin(7x)
u(x) =
49
u(x) =

84

## CHAPTER 7. GREENS FUNCTIONS

Chapter 8

Eigenfunction Expansions
Solving an operator problem of the form Lu = f may be accomplished with eigenfunction expansions, also
known as a Fourier series. The utility of this method is dependent on the ease of finding eigenfunctions.
This chapter illustrates the method of eigenfunction expansion solutions and then concludes with some
examples.
For some eigenfunction of an operator, namely functions that solve the problem Ln = n n , an
eigenfunction expansion is then the sum

u(x) =

n
X

ci i (x)

i=1

where the summation is conducted over each eigenfunction. If the operator L is self-adjoint the process
of finding the coefficients of the expansion is reduced considerably.
If the eigenfunctions of an operator L are mututally orthogonal with respect to some inner product,
then
hi , j i = kn k2 ij .
Proceeding formally, consider the form

Lu f = 0.
We assert in this formal calculation that an eigenfunction expansion exists, that the operator L acts on
this expansion term-by-term, and the operations of summation and the inner product are interchangable.
Consider the result of taking the inner product of the above form with the eigenfunction m .
hLu f, m i = 0
85

86

*

n
X
i=1

n
X
i=1

ci i i (x) , m

f, m

hf, m i = 0

ci i (x)
!

n
X

ci i i (x)

i=1

f, m

## The result of this calculation, then, is that

hf, m i =

ci i hi , j i .

hf, m i = ci i ki k2

and the coefficents have been obtained. Then the potential eigenfunction solution for the problem is of the
form
X hf, m i
i (x)
Lu = f

u(x) =
i ki k2
Using orthogonal polynomials as the orthogonal function of the expansion are good ways to approximate
solutions.
Consider what might result when i = 0 for some i. For such a situation, the operator has a nullspace.
The existance of a zero eigenvalue means that there exists a i such that Li = 0. This operator is not
invertible, and an exact eigenfunction may not be found. The approximate solution is obtained by ignoring
the offending eigenvalue

u(x) =

j=1,j6=i

1
hf, j i j
j

The method for finding an eigenfunction expansion solution to an operator problem is then accomplished
via these steps
1. Find n , n such that Ln = n n .
2. Normalize n so that kn k2 = 1.
3. Consider the Fourier series expansion of f
4.
u(x) =

X
1
hf, i i i
i
i=1

## Now follows examples to illustrate the method.

Example: Find eigenfunctions for Lu = u with u(0) = u(1) = 0.

87

= with

(0) = (1) = 0

has trigonometric solutions for 6= 0, namely c1 sin(x) + c2 cos(x), where = 2 . Note, that it
not necessary for to be real, positive, or otherwise specfied. may be found by refering to the boundary
conditions.
For = 0, the solution is the the line x + which satisfies the boundary conditions only if = = 0.
To satisfy the Dirichlet boundary conditions, it must be the case that
c1 sin(0) + c2 cos(0) = 0
c1 sin() + c2 cos() = 0
Namely c2 = 0 and = n.
Then our eigenfunctions become
n = sin(nx).
Note that
kn (x)k2 =
=

sin(nx)2 dx
1
(1 cos(2nx)) dx
2

1
.
2

## Normalizing the eigenfunctions then results that

n = 2 sin(nx).
Example: Consider the problem u = f where u(0) = u(1) = 0.
The solution to this problem is considered to be of the form
u(x) =

cn n

n=1

cn =

hf, n i
.
n

88

## CHAPTER 8. EIGENFUNCTION EXPANSIONS

The solution, then, is
u(x) =

cn 2 sin(nx)

n=1

## where the cn are

sin(7x), 2 sin(nx)
cn =
.
n2 2

Note that
hsin(7x), sin(nx)i =

1
2

: n=7
: n otherwise

So, then, the eigenfunction expansion reduces greatly as many terms of the series vanish.

u(x) =

1
sin(7x)
72 2

## 1. Solve the eigenvalue problem.

=
Note that this has trigonometric solutions for nonzero eigenvalues. To satisfy the boundary conditions, then
c1 sin(0) + c2 cos(0) = 0
c1 cos() c2 sin() = 0
The boundary conditions require c2 = 0 and that = n +

1
2

## The unnormalized eigenfunctions are



1
n (x) = sin( n +
x)
2
with eigenvalue


1
n = n +
2

2

89
2. Normalize the eigenfunctions.

kn k

1
sin2 ((n + )x)dx
2

=
So, our normalized eigenfunctions are then
n (x) =



2
1
sin( n +
x)

## 3. Recast problem in terms of Fourier series

u + u = f (x)
X
X
X
ai i i (x) +
ai i (x) =
hf, i (x)i i (x)
Note then that it must be the case that an n + an = hf, n i.
4. The final solution is then
u(x) =

X
hf, n i
i=1

n + 1

n (x)

where
n =



 
1
n+
x
2


1 2
n = n +
2

2
sin

90

## CHAPTER 8. EIGENFUNCTION EXPANSIONS

Chapter 9

Differential Operators
We have spent several chapters on the manipulation of functions. This chapter will focus on the applications
of our functions and what they truly mean. The following is a list of our current operators and their
applications.

du u
,
: The rate of change with respect to x, slope, or flux
dx x

d2 u 2 u
,
: Acceleration, measure of curvature of u
dx2 x2

## f : Gradient, direction of greatest change

Du f = f ~u : Directional derivative, flow in some direction
u
= Dn u = u ~n : Normal derivative, flux or flow normal to the boundary, common in physical
n
problems

u u u
We often see u =
,
,
= Uxi + Uy j + Uz k
x y z

u u
u
n
In : n =
,
...
Note: Outside of 3-space functions, some properties in Calculus
x1 x2
xn
II are not valid. You can extend the gradient out to any space without losing functionality.

F1 +
F2 . . . +
Fn
F = div (F~ ) =
x1
x2
xn
F = hF1 , F2 , F3 i

In many applications, the expansion or contraction of a vector field at a point is basically describing
a flow. We can combine the gradients of a function because the gradient is simply a scalar value and
the divergence of u is defined.
91

92

## CHAPTER 9. DIFFERENTIAL OPERATORS

dir(grad(u)) = u = 2 u = u: commonly seen as the Laplacian
n
X
2u

2u
2u
+
: This contains curvature information and diffusion. This cannot be
x
y
applied for 3-space, it is only valid in 2-space. This is an important application for several areas of
study, such as electro-magnetic theory and heat transport.

u =

x2i
i=1

We expect our models will have some basic structure that looks familiar to us. Lets look at an example
with heat flow.
Heat Flow in an Insulated Rod

## Figure 9.1: Insulated Rod

This example will deal with heat flow in an insulated rod. Heat energy will only move along the x-axis.
Also, this rod will have a uniform density. We will model temperature as a function of time and position,
T (x, t).
Temperature is measuring energy. We can relate this to heat energy, u.
u = Cp T , where Cp = constant specific heat, = density, and T = temperature at (x,t)
If we look at a single segment of the rod, we determine the heat of the entire rod, E(t):
E(t) = u x = Cp T x
dE(t) = Cp T dx
Z L
Cp T (x, t)dx
E(t) =
0

E(t) =
t

Cp

## Notice that the heat energy can change in two ways.

T
dx
x

93
1. source or sink of energy
2. a flux or diffusion
If we look at diffusion, we must examine the transport of energy across the boundary. Heat flow will be
normal to the cross-section. Also, according to Fouriers Law, heat will flow downhill. Therefore, heat flux
(), is proportional to the temperature gradient.
= k

T
x

with k being some constant. Notice the minus sign in front of k. This is because of the negative flux value,
or the downhill effect.
(a, t) = energy increase, flow in from the left
(b, t) = flow in on the right
We know this holds true for any interval (a, b). We can generalize this effect to help solve our problem
over the interval (0, L). We know the change in energy will be:
dE
= (0, t) (L, t) +
dt

Qdx

Z L

Q(x, t)dx
dx +
0 x
0
Z L
Z L
Z L

T
d
[
dx] =
dx +
Cp
Q(x, t)dx
dt 0
t
0 x
0
Z L
T

[Cp
+
Q]dx = 0
t
x
0
dE
=
dt

## Now, notice the fact

f (x)dx = 0 for any a and b. The only way for f (x) to have an integrand of 0
a

over any endpoints is for f (x) to be identically zero. So, we then know the following:

T
+
Q=0
t
x
T
1
=
+q
t
Cp x

Cp

q=

Q
Cp

94

## CHAPTER 9. DIFFERENTIAL OPERATORS

T
)
This is the differential form of the Conservation of Energy. We can also add Fouriers Law ( = k
x
to our current model to obtain:
1 T
T
=
(k
) + q(x, t)
t
Cp x x
Now, k may not be a constant that is free from x. k may depend on the location. All Sturm-Liouville
problems come from the above form. If we assume k does not depend on x, we can pull out the constant.
k T
2T
,
= a 2 + q(x, t)
Cp t
x

a=

Now, here is where we must apply initial and boundary conitions. T (0) must have a value. T (x, 0) = f (x)
(initial conditions) and T (0, t) = T (L, t) = 0 (boundary conditions)
How do we solve the above situation? In time, the first order equation is your typical initial value problem. The second order equation generates our appropriate transforms. First, determine the appropriate
operator to transform into a partial differential equation. For our example, we need to look at the second
order equation:
2T
, T (0, t) = T (L, t) = 0
x2
Lu = u , u(0) = u(L) = 0

## The eigenfunctions are:

nx
). Time must be incorporated into this expansion (the Cn (t)
L

Cn (t)sin(

n=1

Z
[

1
nx
sin (
)dx] 2 =
L

L
2

T (x, t) =

n=1

Cn (t)

nx
2
sin(
)
L
L

## For our example, lets take a look at when q = 0. Then:

T
2T
= a 2 , T (x, 0) = f (x), T (0, t) = T (L, t) = 0
t
x
We can plug in the series to form the following equation for both values of T (x, t):

95

Cn (t)

n=1

X
2
n2 2
nx
Cn (t)
sin(
)=a
L
L
L2
n=1

2
nx
sin(
)
L
L

n2 2
Cn (t). We can use seperation of variables to get the solution:
Solving, we get Cn(t) = a
L2
a(

Cn (t) = bn e

n2 2
)t
L2

bn being a constant
Substituting back into our original T (x, t) equation...

T (x, t) =

n2 2

)t
a(
nx
2X
L2
sin(
)
bn e
L
L
n=1

The above equation solves our PDE function. Now, lets solve this for our initial conditions.

T (x, 0) =

nx
2X
bn sin(
) = f (x)
L n=1
L

E q Z
D q
nx
2
Here, bn is the projection of of onto the eigenfunction, f, L sin( L ) = L2

f (x)(sin(

nx
)dx
L

n2 2
Z
)t
a(
2X L
nx
nx
L2
T (x, t) =
sin(
f (x)(sin(
[
)dx]e
)
L
L
L
0
n=1

## Differential Form of the Conservation Law in 3 Dimensions

We now want to study some quanitity with a verbal or understood Conservation Law. The change in
this quantity can occur by transport across the boundary or by internal sources or sinks.
Example: Heat Energy
Heat may flow across the boundary or heat may be produced internally by some process. Variables:
: Domain in 3
: Boundary of
e(t): Internal heat density

96

## E(t): Total heat energy for

: Density
c: Heat Capacity
u(x, y, z, t): Temperature at any point
~n: normal vector to the boundary, assume ||~n|| = 1
m:
~ vector orthogonal to ~n
Using the properties we have previously discussed, we know the following equations hold true:
e(t) = cpu(x, y, z, t)
Z Z Z
E(t) =
cpu(x, y, z, t)dV

de
= Transport + Internal Sources or Sinks
dt
q(x, y, z, t) = some function for sources or sinks
RR R
Total sources and sinks = Q(t) =
q(x, y, z, t)dV
Transport: Flow in/out of

If we look at a section of our boundary, we know that the only flow into the domain is caused by
a component parallel to the normal vector and by a component orthogonal to the boundary tangent
(orthogonal to m).
~
Flux = F lux|| + F lux

97
Flux = (x, y, z, t) = h, ~ni ~n + h, mi
~ m
~
~ ~n
h, ~ni =
~ ~n
Flow across the boundary:
HH
~ ~ndS
Total Flux out of the domain :

## So, the following holds true:

dE
=
dt

I I

~ ~ndS +

Z Z Z

q(x, y, z, t)dV

Notice the minus sign for the surface integral. This is to reverse the flux. Now, flux will be coming into
the domain. The above equation is often seen as the Conservation Law. We also know that the change
of energy over time is as follows:
d
dE
=
dt
dt

Z Z Z

cpu(x, y, z, t)dV =

Z Z Z

cp

n
dV
t

The above equation is a bit too complicated for us to solve at this point. If we can make some
assumptions, this problem becomes much easier to solve. Lets assume the density, , and c, c, do not
change with time. This will allow us to pull them out of the integrals as constants. By doing this, we
cannot solve other equations (such as aerodynamic problems, gases, or thermodynamics).
Lets combine both of these ideas into one idea.
Z Z Z

u
cp dV =
t

I I

~ ~ndS +

Z Z Z

q(x, y, z, t)dV

We can eliminate the surface integral from this equation using the Divergence T heorem. The following
is then true:
I I

Z Z Z

~ ~ndS =

u
cp dV =
t

Z Z Z

Z Z Z

~
div()dV

~
div()dV
+

Z Z Z

Z Z Z

[cp

u
~ q]dV = 0
+ div()
t

q(x, y, z, t)dV

98

## CHAPTER 9. DIFFERENTIAL OPERATORS

cp

u
~ q = 0
+ div()
t

The above is an example of the Conservation Law of Energy which is usually stated in the following
form:

cp

u
~ +q
= div()
t

## Now, using F ourier s Law just as before we can show:

~ = k(x, y, z)u

Combining these two concepts, we get the following equation:

cp

u
= div(K(x, y, z)u) + q = (ku) + q
t

This above is the heat equation that describes linear heat transport in the nth direction.

Chapter 10

PDE Models
10.1

## Introduction to Diffusion, Convection and Conservation Laws

Partial Diffferential Equations is a very large subject with a long history. It finds itself in two worlds. One
is in applications in many areas of the sciences and engineering (this century has witnessed applications
in the social sciences as well). The other is in a wealth of applications within pure mathematics. It is this
dual nature that makes the study of PDEs a core part of a mathematical education.

10.1.1

## Background: Calc III

In this section we will be examining functions of several variables. We will be doing to look at problems
in 2D and 3D; with up to four independent variables and one dependent variables.
u(x, y, t)andf (x, y, z),
We will graph z = f (x, y), which is a Surface (2D object living in 3D) and w = g(x, y, z), which
is a Hypersurface (3D object living in 4D). Next set z = f (x, y) = c which is a Level Curve and set
w = g(x, y, z) = c which is a level Surface; both are Level Sets.
Terminology:
1. Order: The order of an equation is given by the highest order derivative found in the equation.
2. Linear: An equation is said to be linear if the dependent variable and all of its derivatives appear
as linear terms (with exponent 1).
3. Homogeneous: If u = 0 solves the PDE then it is said to be homogeneous.
Main Features of this section are the following:
99

100

## CHAPTER 10. PDE MODELS

f =

f f f
i+
j+
k =< fx , fy , fz > .
x
y
z

= del operator. Gradient gives the steepest increase or decrease. If f = 0, the surface is flat.
Divergence We will let F~ (x, y, z) be a vector function, then divF~ :
~ =
divF

F1 F2
F3
~
+
+
=F
x
y
z

## Divergence determines if vector field is spreading out or contracting.

Example of divergence and gradient: Let u(x,y,z)
We will find the divergence of the gradient by the following:
div{grad(u)} = u = 2 u = u = div

u u u
i+
j+
k
x
y
z

2
2
2
= u + u + u = Laplacian Formula
= div{F1i + F2 j + F3 k}
x2
y 2
z 2

## Diffusion How do we model the diffusion of heat energy in a metal object?

Define Domain insert sphere with domain indicated (To understand heat flow, we must break down
Step 1) Use the conservation of energy law. Step 2) Apply Physical law of heat flow Heat model.
Heat in Metal
e(x,y,z,t) - internal energy at a point. (Heat in elemental object, energy density)
u(x,y,z,t) - temperature
c - heat capacity
- density

e = cu
This equation determines how much energy is in the total volume. Total internal heat energy
ZZZ
e(x, y, z, t)dV
=
D

## 10.1. INTRODUCTION TO DIFFUSION, CONVECTION AND CONSERVATION LAWS

101

Change is total energy is determined by transport across the boundary plus source and sink terms. Point
source terms are constants such as q(x,y,z,t). Total internal energy force is equal to total source, which is
equal to
ZZZ
q(x, y, z, t)dv

Transport is the flow across the boundary, which is measured by the dot product of point energy flow
term and the normal vector.
~ y, z, t) be the point energy flow and the flow across the boundary B will equal.
We will let (x,
~ ~n = normal

The total energy flow across the boundary is determined by this surface integral.
ZZ
~ ~ndS

## The above equations will be used to determine the conservation of energy.

Conservation of energy

d/dt

ZZZ

II

ed =
D

ZZZ

qdV

ZZ

~ ~ndS

## Divergence Thm (3D)

Z
Z
Z b
X
f (x)dx = F (b) F (a) =
F (x) |B n
Interior =
Boundary of the antiderivative
example
a

ZZZ

div{F }dV =

ZZ

F~ n
d F is a vector function.

ZZ
d/dt

ZZZ

ZZZ

edV =

ZZZ

~ ~nd =

e
d =
t

~
divd

ZZZ

ZZZ

qdV

ZZZ

~
div{}dV
+

~
div{}dV

ZZZ

qdV
D

102

ZZZ

[
D

e
~ q]dV = 0
+ div{}
t

## True for any D.

e
~+q
= div
t

Conservation of Energy
e
~ +q
= div{}
t
Convert to single equation and single unknown
Temp and Heat Energy
e = cu
c - heat capacity
- density
e - energy
u - temperature

~+q
(cu) = div
t
~
Realtion between temp and Flux (u and )
heat flows downhill
~ = ku

Model

~+q
(cu) = div
t
Assume that c, , k are constants
u
= a2 u + f
t
a = k/c and f = q/c

103

## Heat Equation - Parabolic Partial Differential Equation

Example 1 Metal Rod insert metal rod
also will have the metal rod at some initial temp u(x, 0) = h(x)
insert metal rod
insert graph
Assume No Source term (f = 0)
Model

u
2u
=a 2
t
x
u(x, o) = h(x)
u(o, t) = T0 andu(L, t) = TL

## Also note that the heat equation can be written as follows:

u
= a2 u + f Note: this equation works for numerious dimension
t
2 is known as the Laplacian of u
Observe for numerous dimension the equation will change by inserting the different values for the
Laplacian of u:

2 u =
2 u =
2 u =

2u
is the 1 Dimensional Representation
x2

2u 2u
+ 2 is the 2 Dimensional Representation
x2
y

2u 2u 2u
+ 2 + 2 is the 3 Dimensional Representation
x2
y
z

So the 1 dimensional equation (i.e. the model of the metal rod is) with initial and boundary conditions
given above is:
2u
u
= a 2 + f (x, t)
t
x
Now think about a two dimensional heat model. In this case we might be looking at a metal plate.
The face of the plate is insulated and heat is applied to the boundaries. We will say that the plate is LxL

104

## CHAPTER 10. PDE MODELS

and has vertices at (0,0); (L,0) ; (0,L); (L,L). Along the bottom and top edges of the plate, heat applied
is given as h1 (x) and h2 (x). Along the left and right edges of the plate, heat applies is given as g1 (y) and
g2 (y). Finally we will assume that the plate has an initial temperature distribution of w(x, y).
Equation for a 2-D heat model:
2u 2u
u
= a( 2 + 2 ) + f (x, y, t); Equation (1)
t
x
y
u(x, y, 0) = w(x, y) ;this comes from given initial conditions.
Boundary Conditions:
u(x, 0, t) = h1 (x) ; u(0, y, t) = g1 (y)
u(x, L, t) = h2 (x) ; u(L, y, t) = g2 (y)
The equation (1) above could be translated to English as follows:
the change in temperature at a point = diffusion + source
Note that f (x, y, t) is the forcing term. Also observe that this equation can also be used to describe
chemical systems. (For the 2-D case think of a square culture dish!)
One question arises in ones mind: How do we study these?
For ODEs we would study the phase plane. The first step is to find the rest points of the ODE by
d
= 0.
setting
dt
The same is true for PDEs! We wish to study the steady states which are given when the time
derivative is zero.
du
=0
dt
So, for the 2-D model set equation (1) = 0 ; however, we cant analyize the 2-D case. We will first look
at the 1-D model.
1-D Model Example:
2u
u
=
; where a = 1, f = 0, and 0 x 1
t
x2
u(x, 0) = x(1 x)
u(0, t) = 100
u(1, t) = 0
So, what is the steady state model? To analyize the steady state ignore the initial conditions and hold
time constant (which means no partial derivatives!). Now we get the following equation, and we wish to
solve the boundary value problem...

## 10.1. INTRODUCTION TO DIFFUSION, CONVECTION AND CONSERVATION LAWS

105

d2 us
= 0 with us (0) = 100 and us (1) = 0
dx2
This equation implies that we wish to find an object with zero curvature since the second derivative of u
is zero.
By integrating the second order ODE we get:
dus
=A
dx
then by integrating again we get:
us = Ax + B; which is a line (zero curvature!!!)
Now use the boundary values to solve us for A and B.
us (0) = 100 = B and us (1) = 0 = A + B = A + 100; thus A = 100
So the steady state solution for u is:
us (x) = 100x + 100 = 100(1 x)
100
100*(1-x)

80

60

40

20

0
0

0.2

0.4

0.6

0.8

We will break now from this problem and look at some types of boundary conditions:

106

## CHAPTER 10. PDE MODELS

1. u(0, t) = a , u(1, t) = b. Note here that the temperature at the endpoints are fixed. This is known
as a Dirichlet Boundary Condition.
2.

u
u
(0, t) = a ,
(1, t) = b. In this condition flow is perscribed and this is known as a Neumann
x
x
Boundary Condition. (If a = 0 for the Neumann condition, then this is representive of an insulated
condition in which no flow across.)

u
3. u(0, t) + (0, t) = a. This is a mixed condition, known as the Robin Boundary Condition. Temx
perature and flow can be adjusted on either side. Newtons laws allow us to combine these elements.
Note that for different boundary conditions that we are given, different solutions are generated.
Lets look at an example of the mixed case. Here we are given an insulated metal rod with the 0 end
u
= 0. The other end of the rod is heated at a fixed temperature of 10 (u = 10).
of the rod given by
x
u
From 0 x 1. Since the rod is insulated, it implies that
= 0. Thus...
t
2 us
u
= 0 with
(0) = 0 , us (1) = 10
2
x
x
Following previous work...
us (x) = Ax + B

dus
= A = 0 and us (1) = B = 10 us (x) = 10
dx

Note that Models for Heat Diffusion Models for chemical diffusion
i.e. Heat flow is very similar to Chemical diffusion.
An in depth look at components of the heat/chemical diffusion equation:

u
=change in heat/chemical concentration at point x as a function of time.
t

2u
= diffusion of heat/chemical at x.
x2

u
= flow or transport term.
x

## A look at 2-D chemical diffusion:

u = [chem] concentration of chemical.
(

2u 2u
+ 2 )is the 2-D diffusion term at a point.
x2
y

## 10.1. INTRODUCTION TO DIFFUSION, CONVECTION AND CONSERVATION LAWS

107

2 u 2u
u
= a( 2 + 2 ) + f (x, y, t); 2-D Equation for chemical process
t
x
y
u(x, y, 0) = g(x, y); Initial concentration.
Note that there is no movement across the boundaries, since we will assume that the system is contained
in some sort of glass beaker in which diffusion will not occur beyond the boundaries. Analogy insulation
: heat :: glass wall : chemical.
Model: String Under Tension
Let u(x, t) solve the wave equation on [0, L]. If we observe
a segment of the string with length x, then
p
2
x
the mass of the segment, m, can be defined by m

+
y 2 , where is the density of the string.
=
The forces acting on the string are

Tension forces T~1 and T~2 (restoring and springlike forces), and
Forces related to mass of string segment.
Simplifying assumptions include
1. Small deflections, implying u(x, t) is small,
2. Uniform density and sting,
3. No horizontal motion, and
4. No gravity or air resistance.
Force related to mass can be defined such that
2

u
F~m = m~a = (x) 2 .
t
Force related to tension can be defined such that
F~T = T~2 sin(2 ) T~1 sin(1 )
From assumption (1), the angle of deflection, , is small; thus, sin()
= tan(), but tan() is approximately the slope of u(x, t). This relation means that sin()
.
Then,
= u
x
F~T = T~2 ux (x + x, t) T~1 ux (x, t).
But, T1 = T2 by assumption (3), so set T = T1 . Then,
F~T = T~ (ux (x + x, t) ux (x, t)) .

108

## The total force is

x

2u
= T~ (ux (x + x, t) ux (x, t)) + ExternalF orces + AirF riction,
t2

where external forces include other vibrations, gravity, etc. Digression: if air friction would be considered,
the force would be proportional to the surface area which is proportional to the length of the segment. Thus,
air friction could be represented at being proportional to the velocity of the sting by kxut . Assuming
that the external forces and the forces being attributed to air friction are negligible by assumption (4) and
solving for the time term,


T~ ux (x + x, t) ux (x, t)
2u
=
.
t2

## Letting x become really small,

lim

Define

T~

ux (x + x, t) ux (x, t)
x

= uxx =

2u
x2

= c2 , which implies

2
2u
2 u
=
c
.
t2
x2
This equation is known as the Wave Equation (undamped).

The boundary conditions for this equation are often clamped at the end points such that u(0, t) =
u(L, t) = 0. Names for common boundary conditions are
Zero Boundary Data: Dirichlets Boundary Conditions and
Zero Derivative Boundary Data: Neumanns Boundary Conditions.
Most stringed instrument has Dirichlets boundary conditions, while many wind instruments have
boundary conditions that are a mixture of Dirichlets and Neumanns boundary conditions such that
u(o, t) = ux (L, t) = 0.
Now, let us attempt to solve the linear undamped wave equation, where
2u
2u
= c2 2
2
t
x
is the PDE,
u(0, t) = u(L, t) = 0
are the boundary conditions, and

u(x, 0) = f (x)
ut (x, 0) = g(x)

are the initial conditions. This set of equations is a complete model that we hope is also well-posed. Then,
for any set of initial conditions, how can we solve this model? Review
=

n=1

cn n

## 10.1. INTRODUCTION TO DIFFUSION, CONVECTION AND CONSERVATION LAWS

such that
cn = h, n i =
Thus,
u(x, t) =

n=1

109

n (x) dx.

 nx 
2
.
an (t) sin
L
L

Analyzing the total energy of a string being modeled with this wave equation can provide significant
insight into the conservation of energy. If we represent total energy as E, kinetic energy as KE, and
potential energy as P E. Then,
E = KE + P E.
The kinetic energy at a point is
KE|pt =

m~v 2
,
2

## where ~v is the velocity. The potential energy is

PE =

ks
,
2

where k is essentially a spring constant and s is the local change in arc length. To find the total kinetic
energy of the string, we need to relate the mass of the string to the length of the string such that m = x.
Then, if we notice that ~v = u
t ,
 
N
X
x u 2
,
KE =
2
t
i=1

## and if k = T~ x and if s is the slope of the string displacement such that s =

change with the partial change.
 
N ~
X
T x u 2
.
PE =
2
x
i=1

Taking the limit as N , the number of partitions of the string, goes to infinity,
  ! Z L  2
N
X
x u 2
u
KE = lim
=
dx,
x
2
t
t
0 2
i=1

and

+ T~

 
N ~
X
T x u 2

1
E=
2

P E = lim
Then,

i=1

u
t

2

u
x

 
T~ u 2
dx.
2 x

2 !

dx.

If we take T~ = = c = 1, then from the initial problem statement utt = uxx , and
Z

1 L 2
E=
ut + u2x dx.
2 0

u
x ,

110

## CHAPTER 10. PDE MODELS

Analyzing the change in total energy of the system with respect to time,
1 d
dE
=
dt
2 dt

u2t

+ u2x

1
dx =
2

L
0

## Simplifying with integration by parts,

1
dE
=
dt
2

Z


d 2
1
ut + u2x dx =
dt
2

ut utt dx +
0

which simplifies to
dE
1
=
dt
2

Z

ux ut |L
0

uxx ut dx ,

ut (utt uxx ) dx

## (ut utt + ux uxt ) dx.

= 0,

after implementing initial conditions and substituting the problem statement. Thus, from the model,
dE
= 0 E(t) = E(t = 0).
dt
If utt + kut = uxx with the incorporation of an air resistance term, then utt uxx = kut , and
dE
1
=
dt
2

Z

ut (kut ) dx
0

< 0,

## implies E goes to zero as t goes to infinity.

How to solve the PDEs:
PDE:

2u
u
= a 2 such that 0 x 1 and with t 0.
t
x

## Initial Conditions: u(x, 0) = g(x).

Boundary Conditions: u(1, t) = 0 and u(0, t) = 0.
We want the forcing function equal to zero and we want to work for boundary conditions equal to zero.
dy
= xy. We would use separation of variables for this problem, and we will reuse
Question: Solve
dx
this idea for our other problem.
Assume that u is composed of (F (x)G(t)).
u(x, t) = (F (x)G(t)); plug this into PDE.

2
(F (x)G(t)) = a 2 (F (x)G(t))
t
x
F (x)

dG
d2 F
= a 2 G(t)
dt
dx

d2 F 1
1 dG
=
=
aG(t) dt
dx2 F (x)

## 10.1. INTRODUCTION TO DIFFUSION, CONVECTION AND CONSERVATION LAWS

111

Thus functions of t have been separated from functions of x. Which means that space is independent of
time.
1
d2 F
) = , a constant.
( 2 )(
dx
F (x)
and (

dG 1
)(
) = , a constant.
dt aG

## The PDE has now been converted into two ODEs:

1.

d2 F
F = 0 with boundary data: u(0, t) = 0 F (0)G(t) = 0 F (0) = 0 and u(1, t) = 0
dx2
F (1) = 0. So, F (0) = F (1) = 0.

2.

dG
aG = 0
dt

We will solve equation 1 first and then use the solutions to solve equation 2.
To solve equation 1, we must assume three possible cases. If > 0, = 0 , or < 0.
Equation 1:

d2 F
+ ()F = 0
dx2

F (x) = c1 e

+ c2 e

## Apply the boundary condition: F (0) = c1 + c2 = 0, F (1) = c1 e

equations with two unknowns.
1
1

e
e


c1
c2

!

c1
c2

!1 

0
0

0
0

+ c2 e

## = 0. Now solve the two

0
0

So if > 0 then F (x) 0 and then u 0. This produces a contradiction solution since u(x, 0) = g(x).
Therefore > 0 is not a possibility!
When = 0

d2 F
= 0 F (x) = Ax + B.
dx2

F (0) = F (1) = 0 A = B = 0 F (x) 0 and u 0. This also is not a possibility because of the
reasons stated above.
Thus the constant must be negative!

112

## CHAPTER 10. PDE MODELS

If < 0 take = 2 (Force negative).
p
d2 F
+ 2 F = 0 r 2 + 2 = 0, sor = 2 = i
2
dx

So,

## F (x) = c1 cos x + c2 sin x ; with F (0) = F (1) = 0

F (0) = c1 = 0 F (x) = c2 sin x
F (1) = c2 sin = 0 sin = 0

## So now we have a family of equations such that:

Fn (x) = cn sin nx ; however the initial conditions will restrict the possibilities.
Now we will look at equation 2:
dG(t)
+ an2 2 G(t) = 0 ; now use separation of variables.
dt
G(t) = cn ean

2 2 t

## Now we can construct all of the solutions to the PDE!

un (x, t) = cn ean
u(x, t) =

cn ean

2 2 t

2 2 t

(sin nx)

## (sin nx) ; is the general solution to the unforced heat equation.

n=1

Now we will work with the initial conditions to solve for constants cn .
u(x, 0) =

n=1

n=1

## Now integrate from x = 0 to x = 1.

Z
Z 1X

cn sin mx sin nx dx =

when n 6= m:

n=1

cn

g(x) sin mx dx

0 n=1

sin mx sin nx dx =

g(x) sin mx dx
0

sin nx sin mx dx = 0
0

113

So, when n = m:
cm

sin mx dx =

g(x) sin mx dx
0

cm
=
2

g(x) sin mx dx

u(x, t) =
cn = 2

an2 2 t

cn e

n=1
1

sin nx

g(x) sin nx dx
0

## these combined form solutions to our PDE!

Diffusion Model
PDE:

u
2u
= a 2 such that 0 x 1 and with t 0.
t
x

## Initial Conditions: f (x, t) = 0.

Boundary Conditions: u(1, t) = 0 and u(0, t) = 0.
How do we treat non zero boundary conditions?
Example
u
2u
= 2 2 such that 0 x 1 and with t 0.
t
x
Initial Conditions: u(x, o) = x3 + x + 1.
Boundary Conditions: u(1, t) = 3 and u(0, t) = 1.
For separation of variables to work we require zero BCs. Subtract off steady state solution with the
same boundary conditions. Find the steady state soln.
Solve
2 us
=0
x2
u(0) = 1
u(1) = 3
us = 1 + 2x
w = u us = u (2x + 1)

114

## CHAPTER 10. PDE MODELS

Find diffusion problem that w solves. Solve in terms of u: u = w + us = w + (2x + 1) plug in to original
equation:
2

## (w + (2x + 1)) = 2 2 (w + (2x + 1))

t
x
2w
w
+0 = 2 2 +0
t
x
2w
w
=2 2
t
x
w(0, t) + u(0, t) (2(0) + 1) = 1 1 = 0
w(1, t) + u(1, t) (2(1) + 1) = 3 3 = 0
Example
2w
w
=2 2
t
x
w(x, 0) = x3 x
w(0, t) = 0
w(1, t) = 0
a=2

w(x, t) =

cn e2n

2 pi2 t

sin(nx)

n=1

cn = 2
u(x, t) =

n=1

Uh =

n=1 cn

2 2
e2n pi t sin(nx)

Example
u
2u
=
+x
t
x2
0 x 1 and with t 0.
w(x, 0) = 0

Up = 2x + 1

(x3 x) sin(nx)dx

cn e2n

2 pi2 t

sin(nx) + 2x + 1

## 10.1. INTRODUCTION TO DIFFUSION, CONVECTION AND CONSERVATION LAWS

w(0, t) = 0
w(1, t) = 0
Use part of the homogeneous equation.
P
n2 pi2 t sin(nx)
Homogeneous:
n=1 cn e
plug in a solution of the form:

u(x, t) =

bn (t) sin(nx)

n=1

x=

2[

n=1

(1)n+1
sin(nx)]
n

2u X 2 2
n bn (t) sin(nx)
=
2x
n=1

u X bn
=
sin(nx)
t
t
n=1

X
bn

n=1

sin(nx) =

n2 2 bn sin(nx) + 2[

n=1

(1)n+1
sin(nx)]
n

X
(1)n+1
bn
+ n 2 2 bn 2
] sin(nx)
[
t
n

n=1

bn
(1)( n + 1)
+ n2 2 bn = 2
t
n
Guess a solution! Guess bn = c

(n2 2 )c =

c=
bn = Homogeneous + P articular

2(1)n+1
n

2(1)n+1
n3 3

115

116

bn = cn en

2 2 t

2(1)n+1
n3 3

Soln:

u(x, t) =

[cn en

2 2 t

+2

n=1

(1)n+1
] sin(nx)
n3 3

## How do we satisfy the Initial Conditions?

setting t=0
u(x, 0) = [cn e0 + 2

(1)n+1
] sin(nx) = 0
n3 3

So,
cn = 2

(1)n
n3 3

X
(1)n
2 2
u(x, t) =
2 3 3 (en t 1) sin(nx)
n
n=1

## Model: A Vibrating String

Domain:0 x 1 and with t 0
u(x, t)=deflection of the string T (x, t)=tension in the string (x)=the density
TH is the horizontal component of the force
TH (x + x, t) = TH
Total force in the verticle direction:
FV = T (x + x, t) sin(theta)(x + x, t) T (x, t) sin(theta)(x, t)
2u
t2
m (x)x

F = ma = m

F = (x)x

2u
t2

Force Balance:
(x)x

2u
= T (x + x, t) sin()(x + x, t) T (x, t) sin()(x, t)
t2

## 10.1. INTRODUCTION TO DIFFUSION, CONVECTION AND CONSERVATION LAWS

This is more accurate when x goes to 0.

(x)x
(x)

1
2u
=
[FV ]
2
t
x

2u
= lim
2
x0
t
x

x
sin()
u
= tan() =
=
x
cos()

## for small we end up with sin()

for small deflection T (x, t) = T0 - some constant.

T (x, t) sin()(x, t) T0

(x)
assume a constant density (x) = p0 ,

u
x

2u

u
=
(T0 )
2
t
x
x

T0
= c2
p0
T0 2 u
2u
=
t2
p0 x2
2
2u
2 u
=
c
t2
x2

## One-D Wave Equation:

PDE:

2
2u
2 u
=
c
0 x 1 and with t 0
t2
x2

u(x, 0) = f (x)
ut (x, 0) = g(x)
u(L, t) = 0
u(0, t) = 0
1
Energy = E(t) =
2
Now show that the energy is constant.

L
0

(Ut2 )dx

c2
+
2

(Ut2 )dx

117

118

E
=0
t
E
=
t

L
0

u 2 u
dx + c2
t t2

u 2 u
dx
x tx

Z L 2
u L
u u
2
=c
dx
c

2
t x 0
0 x t
2 u

E
= c2
t

L
Z L

u 2 u
u 2 u
2 u u
2
dx
+
c
dx

c
2
x x2
x t 0
0 x x
u
E
= c2 ux
t
t

## for values 0 and 1

u(0, t) = 0,

[u(0, t) = 0],
[u(L, t) = 0]
t
t

Wave Propagation:
PDE:

2
2u
2 u
=
c
0 x 1 and with t 0
t2
x2

u(x, 0) = f (x)
ut (x, 0) = g(x)
u(L, t) = 0
u(0, t) = 0
Use separation of variables
u(x, t) = A(t)B(t)
AB = c2 AB
A
B
=
=
2
Ac
B
A c2 A = 0
B B = 0

## 10.1. INTRODUCTION TO DIFFUSION, CONVECTION AND CONSERVATION LAWS

r2 = 0
r2 =

r=
3 Cases:
For = 0 we get a zero solution and B is defined as zero, so this is not a possibility.
For > 0 we get 2 positive real root and a zero solution, so must be negative.

## For < 0 we get two solution: cos( x) and sin( x)

and let = so we have cos(x) and sin(x)
B(x) = c1 cos(x) + c2 sin(x)
after appling BCs B(0) = c1 = 0 and c2 cant = 0 so sin(L) must! Which makes =
So our solution is B(x) = sin( nx
L )
A
n2 2
= = 2 = 2
2
c A
L
c2 n2 2
A=0
L2

A +

Soln: cos(

cnt
cnt
), sin(
)
L
L

A(t) = n cos(

cnt
cnt
) + n sin(
)
L
L

un (x, t) = [n cos(

cnt
cnt
nx
) + n sin(
)] sin(
)
L
L
L

Solution:
u(x, t) =

n=1

un =

[n cos(

n=1

2
n =
n
n =

2
cn

cnt
nx
cnt
) + n sin(
)] sin(
)
L
L
L

f (x) sin(
0

nx
)dx
L

g(x) sin(

nx
)dx
L

n
L

119

120

## CHAPTER 10. PDE MODELS

Let I be an interval [a,b]. The boundary of I is then {a,b}. The normal vector to I at x = a, is n
= 1i,

## while the normal vector to I at x = b, is n

= 1i.
By the fundamental theorem of calculus,
Z

b
a

= f (x)
n(x)|x=b + f (x)
n(x)|x=a
X

f (x)
n(x)|xi
i=1,2

f (x)
n(x)

x=a,b

Z

div(f )dx =
I

f (x)
n(x)

boundary(I)

u(x, t) =

[n cos

n=1

cn
nx
cn
t + n sin
t] sin
L
L
L

sin

nx
L

## The pattern seen above continues as n . Take



1
n=1
n =
, n = 0
0 otherwise
Therefore,

c
t sin x
L
L
These graphs were produced for n=1. The above graph is known as the standing wave fundamental, with
u(x, t) = cos

Amplitude : cos
W ave : sin

c
t
L

x
L

Thus, we find
P eriod =

2L
c
, F requency =
c
2L

## 10.1. INTRODUCTION TO DIFFUSION, CONVECTION AND CONSERVATION LAWS

where
c2 =

121

tension
T0
=
density

thus,
c=

T0

We can interpret the results by stating that as we increase the tension, we increase the frequency. Similarly,
when we increase the mass, we decrease the frequency.
Now, we produce the graph for the case when

0
1
n =

where

n=1
n=2
, = 0
n
n>2

u(x, t) = cos

2
2c
t sin
x
L
L

## The frequency is higher for the n=2 case,

F requency =

c
L

Now, let us consider a harpsicord. We have a string of a given length, and we pluck the string, pulling
up the string to a certain tension and then letting go.We can model this using the following equations and
conditions:
2
2u
2 u
=
c
t2
x2
We have initial conditions
u(x, 0) =

x
0 x < 12
1 x 21 x < 1

= f (x)

u
(x, 0) = 0
t
where u(x,0) is the profile of how you pluck the string. The boundary conditions are given by
u(0, t) = u(1, t) = 0
We can also generate a model for a piano. A particular example is given below:
2
2u
2 u
=
c
t2
x2

u(x, 0) = 0
u
(x, 0) =
t

x
0 x < 21
(1 x) 12 x 1

= g(x)

122

## CHAPTER 10. PDE MODELS

For the harpsicord, n = 0 n and n is given by f(x).
For the piano,
n = 0 and n are given by g(x). Therefore we find
L
n
n =
nc
For the fundamental,

L
n
=
n nc

For large n, we find that the amplitude of the overtones for the harpsicord are much smaller than the
overtones for the piano. Even though strings are identical and plucks are identical, the overtones are
different for the piano when compared to the harpsicord.

10.2

## First Order Equations

We begin with functions of two independent variables x and y and the dependent variable u = u(x, y). A
partial differential equation (PDE) is an equation of the form
F


u u 2 u 2 u 2 u
,
,
,
,
, ... = 0
u,
x y x2 yx y 2

(10.1)

First Order Equations: In class we derived the Transport PDE. This is the one dimensional wave
equation:
t c()x = 0.
This motivates the study of
a(x, y, u)ux + b(x, y, u)uy = c(x, y, u).
The linear version of this equation is
a(x, y)ux + b(x, y)uy = c(x, y)u.
Gradient Method: To get started, we solve a simple problem, the constant coefficient PDE aux +buy = 0.
It is noted that this equation is the gradient of u dotted with the constant vector (a, b): u (ai + bj) = 0.
Thus the function must be constant in the direction (a, b). This provides us with the solution u = f (bxay).
The function f is arbitrary.
Examples:
1. Solve ux uy = 0, with u(0, y) = ey . From the formula above we see that u(x, y) = f (x y).
Using the initial value we obtain f (y) = ey . Thus we have that f () = e . The solution is then
u(x, y) = ex+y .

## 10.2. FIRST ORDER EQUATIONS

123

2. Solve ux +uy = 0, with u(x, x) = x3 . The solution to the pde is u(x, y) = f (xy). Using u(x, x) = x3 ,
we get f (0) = x3 . One notes a problem. We cannot solve this equation. The initial values or the
contraint information was prescribed along a characteristic line.
General Solution Method: The idea for the solution method is obtained from the following relation
from calculus,
u
u
dx +
dy
du =
x
y
(a form of the chain rule). We start with Quasilinear First Order Equations:
a(x, y)ux + b(x, y)uy = c(x, y, u)
and an initial condition, u((s), (s)) = (s).
This latter expression is a parametric form for the initial condition. Recall that we are looking for a
surface u(x, y). The initial condition is prescribed by choosing a line (in the x-y plane) and prescribing
data on that line. We represent the line in the x-y plane in parametric form by x = (s) and y = (s).
The variable s is the independent parameter. Examples:
1. u(x, 0) = sin(x). This can be parametrically represented as x = s, y = 0 and then u = sin(s). Thus
(s) = s, (s) = 0 and (s) = sin(s).

2. u( x, 2x) = 1/x. We have x = s, y = 2s2 and then u = 1/s2 . Note that there is more than one way
to parameterize a line.

y
(x(t),y(t))

u(x(t),y(t))

(x(t),y(t))

One can see this initial line as a whole continuum of initial points from which to start a collection of
differential equations. Each point on the initial curve has a curve which flows out and lines on the initial
surface. This gives one a way to view the PDE as a system of ODEs.

124

## CHAPTER 10. PDE MODELS

u

Along the curve which arises from the initial curve, the problem reduces to an ordinary differential
equation. Thus we may use the chain rule relation above to simplify the PDE:
du
u dx u dy
=
+
.
dt
x dt
y dt
This is a directional derivative. It is a derivative in the direction


dx dy
,
= (x,
y).

dt dt
This direction is the tangent vector to the curve x = x(t), y = y(t). This curve is known as a characteristic
curve. Along this curve the PDE acts like an ODE. To see this we set
dx
= a(x, y),
dt

dy
= b(x, y)
dt

then

du
= a(x, y)ux + b(x, y)uy = c(x, y, u)
dt
or simplifying and only indicating the t and u dependence
du
= c(t)u.
dt
Note that this ODE is valid for every initial point along the starting curve x = (s) and y = (s). These
relations must then hold along all lines passing across the initial curve:
dx
= a(x, y),
dt
dy
= b(x, y),
dt
du
= c(x, y, u),
dt
x(0, s) = (s),

(10.2)

y(0, s) = (s),

u(0, s) = (s).

This can be placed into a solution algorithm for the solution to the problem
a(x, y)ux + b(x, y)uy = c(x, y, u)
u(line) =

(10.3)

125

dx
= a(x, y),
dt
dy
= b(x, y),
dt
du
= c(x, y, u).
dt

u(line) =

x(0, s) = (s),

y(0, s) = (s),

u(0, s) = (s).

## 3. Solve for x(t) and y(t) from

dx
= a(x, y),
dt
dy
= b(x, y),
dt
and then apply the parameterized initial conditions x(0, s) = (s), y(0, s) = (s). x(t) and y(t) give
you the characteristics. Note that x and y are functions of two variables: x(t, s), y(t, s).
4. Solve for t and s in terms of x and y: t = t(x, y), s = s(x, y). This is purely an algebraic step, but
can be rather tricky.
5. Solve the ODE:

du
= c(x(t, s), y(t, s), u).
dt
Apply the final I.C. u(0, s) = (s). You then obtain u(t, s) the solution in the t-s coordinate system.

6. Undo the change of variables or remove the t-s variables via u(t(x, y), s(x, y)) = u(x, y)

Examples:
1. ux 2uy = 0, u(x, 0) = x2 .
(a) The ODE system is
dx
= 1,
dt
dy
= 2,
dt
du
= 0.
dt
(b)
x(0, s) = s,

y(0, s) = 0,

u(0, s) = s2 .

(c) Integrating the equations: x(t) = t+c1 , y(t) = 2t+c2 . The initial conditions: x(0) = 0+c1 = s
and y(0) = 0 + c2 = 0. Thus c1 = s and c2 = 0. We have then x(t, s) = t + s, y(t, s) = 2t.

126

## CHAPTER 10. PDE MODELS

(d) Solving for t and s in terms of x and y: t = y/2 and s = x + y/2.

(e) Solving the last ODE: u(t) = c3 . Using the I.C. we have u(t, s) = s2 .
(f) The solution is then u(x, y) = (x + y/2)2 .

2. ux + yuy = 0, u(0, y) = y 2 .
(a) The ODE system is
dy
= y,
dt

dx
= 1,
dt

du
= 0.
dt

(b)
x(0, s) = 0,

u(0, s) = s2 .

y(0, s) = s,

(c) Integrating the equations: x = t + c1 and y = c2 et , using the ICs, x = t and y = set .
(d) Solving for t and s in terms of x and y: t = x and s = yex .
(e) Solving the last ODE: u(t) = c3 , thus u(t, s) = s2 .
(f) The solution is then u(x, y) = y 2 e2x .
3. yux xuy = x2 + y 2 , u(x, 0) = ex .
(a) The ODE system is
dx
= y,
dt

dy
= x,
dt

du
= x2 + y 2 .
dt

(b)
x(0, s) = s,

u(0, s) = es .

y(0, s) = 0,

(c) Integrating the equations: x = c1 cos(t), y = c2 sin(t). Using the ICs: x = s cos(t), y = s sin(t).
p
(d) Solving for t and s in terms of x and y: t = tan1 (y/x) and s = x2 + y 2 .
(e) Solving the last ODE:

du
= x2 + y 2 = s 2 ,
dt

u = s2 t + c3 . At t = 0, u = es . So c3 = es .
2 2
(f) u(x, y) = (x2 + y 2 ) tan1 (y/x) + e x +y .
4. yux + xuy = u1 , u(0, y) = y y 2 .
(a) The ODE system is
dx
= y,
dt

dy
= x,
dt

du
= u1 .
dt

(b)
x(0, s) = 0,

y(0, s) = s,

## u(0, s) = s s2 = s(1 s).

(c) The equations could be integrated using the Laplace transform or the eigenvector method. In
this case, one can work them out directly. Note that
d2 x
dy
=
=x
2
dt
dt

## 10.2. FIRST ORDER EQUATIONS

127

and

d
x(0, s) = y(0, s) = s2 .
dt
Solving we have x(t, s) = c1 et + c2 et . At t = 0, we get c1 + c2 = 0 and c1 c2 = s. Inverting the
2 2 system, c1 = s/2 and c2 = s/2, then x(t, s) = set /2 set /2, y(t, s) = set /2 + set /2.
Note you may have seen the hyperbolic trig functions, using these, x(t, s) = s sinh(t) and
y(t, s) = s cosh(t).
p
(d) Solving for t and s in terms of x and y: t = tanh1 (x/y) and s = y 2 x2 .
x(0, s) = s,

du
= u1 ,
dt

## 2t + c3 and then u(t, s) = 2t + s2 (1 s)2 .

q
p
(f) u(x, y) = 2 tanh1 (x/y) + (y 2 x2 )(1 y 2 x2 )2
u=

## 5. (x y x(x2 + y 2 ))ux + (x + y y(x2 + y 2 ))uy = u, u(x, 0) = x.

(a) The ODE system is
dx
= x y x(x2 + y 2 ),
dt

dy
= x + y y(x2 + y 2 ),
dt

du
= u.
dt

(b)
x(0, s) = s,

y(0, s) = 0,

u(0, s) = s.

(c) The method breaks down here because we dont know how to solve the first two differential
equations.

## Nonlinear First Order Equations: these are equations of the form

a(x, y, u)ux + b(x, y, u)uy = c(x, y, u)
which differs from the quasilinear case in that the coefficients a and b can now depend on u. Again we also
have an initial condition, u((s), (s)) = (s).
The solution method here differs from the quasilinear case in one important manner. All three ordinary
differential equations that arise in the process are now coupled. One cannot solve for x and y first, then
plug into the u equation. This reduces the number of steps in the solution algorithm, but increases the
difficulty of each step. As before, we write out the solution algorithm:
1. Convert the PDE into a system of ODEs:

dx
= a(x, y, u),
dt
dy
= b(x, y, u),
dt
du
= c(x, y, u).
dt

128

## 2. Obtain a parametric representation for the I.C.

u(line) =

x(0, s) = (s),

y(0, s) = (s),

u(0, s) = (s).

3. Solve the ODEs in step 1, and then apply the initial conditions. You then obtain u(t, s) the solution
in the t-s coordinate system. Again x(t) and y(t) give you the characteristics. Note that x and y are
functions of two variables: x(t, s), y(t, s).
4. Solve for t and s in terms of x and y: t = t(x, y), s = s(x, y).
5. Undo the change of variables or remove the t-s variables via u(t(x, y), s(x, y)) = u(x, y)
You are not assured of success at each step. Solving the ODEs or inverting the change of variables
may not have nice closed form solutions.
Examples:
1. Convert the PDE into a system of ODEs:

uux + xuy = y

dx
= u,
dt
dy
= x,
dt
du
= y.
dt

## 2. Convert the PDE into a system of ODEs:

10.3

1 + (u)2 ux + xyuuy =

x2 + y 2

dx p
= 1 + (u)2 ,
dt
dy
= xyu,
dt
du p 2
= x + y2 .
dt

Exercises

1. Let u represent the temperature of a bar of length L with insulated ends and no internal sources
(a) Show that if the heat conduction coefficient k(x) is not constant, then we obtain the problem
ut = (a(x)ux )x , 0 < x < L, u(x, 0) = f (x)ux (0, t) = ux (L, t) = 0. Assume c and p are constant.
(b) Show that the total thermal energy is constant.
2. Let u solve ut = (a(u)ux )x 0 < x < L, u(x, 0) = f (x)u(0, t) = T1 , u(L, t) = T2
(a) Find the steady state solution when a(u) = u.

10.3. EXERCISES

129

(b) Show that the a(u) = u problem is not linear and the method of seperation of variables fails.
3. Find the general solution for ut = auxx , 0 < x < 1, u(x, 0) = f (x)ux (0, t) = ux (1, t) = 0
2

4. Let u solve the wave equation on the real line: utt = c2 uxx < x < , u(x, 0) = ex ut (x, 0) = 0
(a) Find u (Hint: assume a solution of the form u(x,t) = f(x-ct)+g(x+ct). Plug this into the ICs
and solve the two equations for f & g)
(b) What do the two solution components represent (what are they)? Graph them for t = 0,1,5.
5. A more realistic model of a clamped vibrating string (on [0,L]) involves a damping term.
(a) Find the model if the damping is proportional to string velocity.
RL
(b) What happens to the total kinetic energy E = 0 (ux )2 dx.

130

Chapter 11

## Reaction-Diffusion Equation Models

Example: Diffusive limited growth model (Assuming a single population P(x,t).) We will look at this
particular model with two aspects:
1. Population follows a logistic growth law when constrained in space. This reduces to the logistic
growth model seen before.
2. Movement through space follows a diffusion law.
We now will build a model. Conservation law: Change in population at a point (x,t) can occur with
population growth and decay and population movement. Wed like to translate this statement into mathematics.
Change in population:

P
t

## Diffusion of the population: a

2P
x2

Logistic growth/decay: kP (1

P
)
L

We have captured the essential behavior for this model, and by combining the diffusion and growth/decay
terms we form the following equation:
P
2P
P
= a 2 + kP (1 )
t
x
L
The nonlinear partial differential equation with a = k = L = 1 above is known as Fischers Equation.
Example:(Diffusive Lotka-Volterra model)
Assume that you have two populations u(x,t) and v(x,t) which are, respectively, prey and predator.
Local dynamics is that of unlimited predator prey interactions. Both species move via diffusion.
131

132

## CHAPTER 11. REACTION-DIFFUSION EQUATION MODELS

u
=change in the prey at (x,t)
t
v
=change in the predator at (x,t)
t
d1

2u
= diffusion of the prey
x2

d2

2v
= diffusion of the predator, where d1 and d2 are the rates of diffusion
x2

Model(1-dimensional space):
u
2u
= d1 2 + au buv
t
x
2v
v
= d2 2 cv + duv
t
x
We define (au) as the growth term for the prey and (buv) as the interaction of prey with predator.
Also, (cv) represents the decline of the predator due to no food source, while (duv) is the interaction of
predator with prey.
Model(2-dimensional space):
Diffusion will change in this setting, but we will continue to use the previously defined diffusion parameters d1 and d2 .
2u 2u
u
= d1 ( 2 + 2 ) + au buv
t
x
y
2v
2v
v
= d2 ( 2 + 2 ) cv + duv
t
x
y
Due to the interaction of predator and prey, this makes the system nonlinear, which we will approach
using the following steps.

11.1

## 1. Find restpoints and nullclines. Change = 0 steady states.

2. Find vector fields: System direction behavior.
4. Generate phase portrait or flow picture.
Recall Fischers equation

P
2P
=
+ P (1 P )
t
x2

133

## We examine 2 types of boundary conditions:

limx P (x, t) = 0. From this statement, we know that the population trails off the further we travel
from the point we are studying(infinite coastline). The other boundary conditions we will study is a finite
coastline:
P (L, t) = P (L, t) = 0

## 1. Get steady states, dependent upon boundary data. Set

P
=0
t

2P
+ P (1 P ) = 0
x2
In this case we have zero boundary conditions and P (x, 0) = (x).
Wed like to understand what the steady states are.
Direct solve:

d2 P
+ P (1 P ) = 0
dx2

Then,

du
d2 P
=
, but we have
dx
dx2

dP
dx

du
du dP
du
=
=u
dx
dP dx
dP
u

du
+ P (1 P ) = 0
dP

## This form suggests that we can solve by separation of variables.

u du = P (P 1) dP = P 2 P dP
Z
Z
2u du = (2P 2 2P ) dP
u2 =
Let u =

dP
. We now find that
dx
dP
=
dx

2 3
P P2 + c
3

2 3
P P2 + c
3

This suggests that we perform separation of variables once more. From which, we find
Z
Z
dP
q
= dx = x + k
2 3
2+c
P

P
3

134

## CHAPTER 11. REACTION-DIFFUSION EQUATION MODELS

The above equation is a type of an elliptic integral. This does not have an anti-derivative in a finite
combination of elementary functions. We need an analytic representation of the above integral, since
we can not solve with our conditions.
Phase plane approach - convert to a system for analysis
(a) Restpoints/Nullclines
(b) Vector fields
(c) Stability
(d) Orbits
du
dP
= u with
= P (P 1)
dx
dx
Then, using the ordered pair (P, u) we find that our rest points are (0, 0) and (1, 0)

Let

2. Vector fields
Notice in our image that we only have vertical motion on the P-axis, while there exists only horizontal
motion when P = 0,1.
3. Stability

P (u)

2
P (P P )

u (u)

2
u (P P )

0
1
2P 1 0

## At the point (0,0) we have the matrix

A=

0 1
1 0

We need to compute the eigenvalues of A in order to understand the stability at the point (0, 0).
Thus, we set det(A I) = 0 From this, we find

1
2

1 = + 1 = 0

The roots to this equation are i. Therefore, this is a center node with circular behavior around
(0, 0).
Now, let us examine the stability of the point (1, 0).


0 1
A=
1 0
Similar to what we did above, we need to compute the eigenvalues of A in order to understand the
stability at the point (1, 0). Thus, we set det(A I) = 0 From this, we find

1
2

1 = 1 = 0
The roots to this equation are 1. Therefore, the point (1, 0) is a saddle node and is unstable. An
outward direction corresponds to = 1 and an inward direction corresponds to = 1.

## 11.1. NONLINEAR SYSTEM APPROACH

For = 1 we find that
A I =

135

1
1

1 1
1 1

We now need to find an eigenvector x,y to make the following statement true.


1 1
1 1



x
y

0
0

## An eigenvector that makes this statement true is x = 1 and y = 1.

4. Orbits
The relation between u and P has already been previously computed,
2
u2 = P 3 P 2 + c
3
Thus, orbits are given by the above equation. What weve done previously is form a function H(P, u),
2
where H(P, u) = u2 + P 2 P 3 = c.
3
Orbits are circular about the origin for small values of P. There exists symmetry about u = 0. Since
1
this is a population model, we only are concentrating on values of P 0. At the point (1, 0), c = ,
3
r
r
1
2 3
1
where u =
P P 2 + . As P 0, u
.
3
3
3
1
2
We now would like to investigate if P 3 P 2 + > 0 on 0 P 1?
3
3
1
2
Thus, we could equivalently evaluate P 2 ( P 1) + > 0.
3
3
1
d 2 3
( P P2 + ) = P2 P
dP 3
3
= P (1 P )
This term is never negative between (0, 1), which suggests there is a curve between u =
r
1
(0,
) and (1, 0).
3
Want P (x) where P (L) = P (L) = 0. Therefore, we need to find a solution such that at


x = L
P = 0

and

x= L
P = 0

Will the time 2L for traversing this distance work with the phase portrait curve?
As we get closer and closer to (1, 0) the speed decreases.

1
and
3

136

## CHAPTER 11. REACTION-DIFFUSION EQUATION MODELS

Question: What is the time to travel along the small circular orbit? In order to answer this question, we
can use the linear solution,
du
dP
=u
= P (P 1) = P 2 P
dx
dx
From this, we generate the linear system below, which can be solved:
dP
=u
dx

du
= P
dx

## Suppose we guess P = v0 sin x. Then, P (0) = 0 and v(0) = v0 .

dP
= v0 cos x = u
dx
How long in time(T) does it take to travel from

du
= v0 sin x = P
dx

to
where the distance traveled is ?
2
2

T = is the quickest transit time possible. Therefore, in order to complete our orbit and solve the
problem we must have 2L .
Summary: If L

then,
2

d2 P
+ P (1 P ) = 0
dx2

with
P (L) = P (L) = 0
has a solution, where the time for transit has (, ) as output.
One solution is: p(x,t) = 0
Also showed:
Recall: As P goes to 1, time goes from to a maximum time of . Suppose L=6 thus <6. At T=
trajectory falls short and at T=8 trajectory too large. Therefore you must have L>. Bifucation
plot: This bifurcation has domain dependance.
2. Look at vector fields: Energy:
E(t) =
take
dE
=2
dt
=2

Z
Z

P 2 dx

0
L

P Pt dx
0

L
0

P (Pxx + P (1 P ))dx = 2

L
0

(P Pxx + P P 2 )dx

137

## Solving using integration by parts

=2
Fact(with 0 B.C.s):

L
0

(Px2 P 2 + P )dx

P dx k

Px2 dx

Z L
Z
2

Px dx k
0

P 2 dx

Therefore
=2

L
0

(Px2

P + P )dx 2

L
0

## (kP P + P )dx 2(k + 1)E + 2

Which implies
dE
2(k + 1)E + 2
dt

P dx
0

P dx
0

This says that E is decreasing to some bottom energy level, Emin . ie.:E Emin .
3. Stability of Steady States: To see if the zero solution is stable we need linearization. Linearize about
rest point p=0(taylor series coeff.):
d
[p(1 p)]|p=0 1 2p|p=o = 1 = c1
dp
Expand p(1-p) into its taylor series:
p(1 p) = c0 + c1 p + c2 p2 + ...... = 0 + 1p p2 + 0 + 0.....
Using only the linear term then the pde after linearization is:
pt = pxx + p, (withB.C. s) : p(0, t) = p(l, t) = 0
This works for any initial condition because just finding linearization. Next we will make a guess for
a solution to p(x,t):

X
nx
)
an (t)sin(
p(x, t) =
L
n=1

## Then plugging guess into original pde:

dan
n
n
= ( )2 an + an = (1 ( )2 )an
dt
L
L

Which implies:
an (t) = n exp(1 (
Thus the eigenvalues are:
1(

n 2
)
L

n 2
) )t
L

138

## CHAPTER 11. REACTION-DIFFUSION EQUATION MODELS

For stability:
1(

n 2
n
n
) < 0 1 < ( )2 1 <
L < n
L
L
L

For n=1 L < . Thus L < is stable. If L > at least 1 positive eigenvalue. Therefore L > is
unstable.
Summary: If L < then p=0 is the only steady state solution which is also stable. Expect p(x,t)
0 as t . If L > then p(x,t) ps (x) as t .

11.2

Gray-Scott Patterns

Since 1950s, fundamental studies in reaction kinetics have focused on nonisothermal systems, i.e. where
thermal feedback is a critical element. This is predominant in combustion science and chemical reactor
science. In 1968, Selkov described a particular autocatalytic model of glycolysis. The version of this
model due to Gray and Scott is investigated here. Gray-Scott wanted to provide the same foundation for
isothermal autocatalytic systems, i.e. chemical feedback.
We begin with isothermal autocatalytic systems in the CSTR (continuously flowing, well-stirred, tank
reactor). C Open systems often are better models for nature. S Well-stirred assumption to simplify
the mathematics (dropped later).
There are several well known examples of autocatalysis as isothermal feedback.
1. Belousov-Zhabotinskii reaction
2. Halide-based oscillators
3. Arsenite-iodate reaction
4. Enzyme systems
Simplified forms of these have given rise to two standard models: Brusselator, Oregonator. Mathematically these are still complicated. We investigate a model with the overall stoichiometry: A B, using the
reaction rate law: ka (a=[A]). When the same change is catalyzed by a species Y: A + Y B + Y, the
reaction rate is kay.
Autocatalysis occurs when catalyst is the product. Two frequently encountered cases:
(1) Quadratic autocatalysis: A + B 2B, [with rate = kab].
(2) Cubic autocatalysis: A + 2B 3B, [with rate = kab2 ].
Gray-Scott focus on (2), irreversible cubic autocatalysis. This may be modeled in the following manner.
We examine the system:
A + 2B 3B, [rate = k1 ab2 ].
B C, [rate = k2 b].

139

## The mass balance in open systems for above:

da
= k1 ab2 + kf (a0 a)
dt
db
= k1 ab2 k2 b + kf (b0 b)
dt

(11.1)

Normally the problem is recast in dimensionless quantities (taking b0 = 0): u - dimensionless reactant
concentration, v - dimensionless catalyst concentration, t - dimensionless time, F - dimensionless flow
parameter (1 / (residence time)), k - dimensionless catalyst lifetime.
Gray-Scott arrived upon their CSTR Model:
du
= uv 2 + F (1 u)
dt
dv
= uv 2 (F + k)v
dt

(11.2)

Because nature does not always well-stir things. The unstirred version is also of considerable interest:
CFUR (continuously feed, unstirred, reactor) built by Harry Swinney et al provide the non-stirred version
of CSTR.
Gray-Scott CFUR Model:
ut = d1 u uv 2 + F (1 u), x ,
vt = d2 v + uv 2 (F + k)v, x ,

(11.3)

## with boundary data: u/ = v/ = 0. Boundary conditions generated by a CFUR are of a no-flux

type known as zero Neumann conditions. [However, in the some of the numerical simulations often one
wants to remove boundary effects and study behaviour generated from the equations, and we then use
periodic data on a square domain: = [0, L] [0, L]]
Recently in a paper by Pearson , numerical studies of the Gray-Scott model produced some interesting
patterns which were proposed as similar to those found by Swinney . Pearson used a simple Euler scheme
to integrate the parabolic equations. The goal of this report is to determine what process generates the
computed patterns. Additional background on the Gray-Scott equations may be found in [4, 5, 3, 6, 11, 12]
and on similar models in . The patterns seen are thought to be an example of the Turing process. The
d1 u uv 2 + F (1 u) = 0, x ,
d2 v + uv 2 (F + k)v = 0, x ,

(11.4)

## with the same BCs.

11.2.1

The steady states of the local dynamics (setting d1 and d2 to zero) give us the uniform steady state
solutions, USS. The point (1, 0) is a USS and will be labeled p1 . If F 4(F + k)2 (or the interior of the

140

## CHAPTER 11. REACTION-DIFFUSION EQUATION MODELS

h
i
p
parabolic region defined by F = 12 (1/4 2k) 1/16 k ) then there are two further rest points which
are on the intersection of the nullclines (F + k)v + F u = F and uv = F + k (see Figure 11.1). Solving
1

0.8

0.6

0.4

0.2

0
0

0.2

0.4

0.6

0.8

## Figure 11.1: Nullclines.

these two equations gives
"
#
r
1
(F + k)2
1 14
,
u1,2 =
2
F

v1,2

"
#
r
F
(F + k)2
=
1 14
.
2(F + k)
F

We will call p2 = (u1 , v1 ) = (u+ , v ) (lower right) and p3 = (u2 , v2 ) (upper left). This line intersects (1, 0)
and (0, F/(F + k)). Later we will make use of the fact that v 2 = F is equivalent to F = 4(F + k)2 . This
is the set of points for which there are exactly two restpoints for the vector field. Note that v 2 F (1 )
where 0 < < 1. This bounds v in restpoint p2 : v 2 F .

11.2.2

## Non-uniform steady state solutions - the elliptic problem

To prove the existence of nonuniform solutions, a bifurcation approach is used (a similar approach to ].
There are at most three steady states. The solution (1, 0) is always stable and if it exists, the steady state
p2 is unstable for the local dynamics. We focus on the third uniform solution, p3 . This is denoted (us , vs )
in the following analysis.
= u us and v = v vs and so we have
d1
uu
v2 2 uvvs u
vs 2 us v2 2 us vvs F u
= 0,
x ,
2
2
2
d2
v+u
v + 2 uvvs + u
vs + us v + 2 us vvs (F + k)
v = 0, x ,
with
u =
v = 0.
Theorem 4 For n = 2, u, v are C 2 solutions.

(11.5)

## 11.2. GRAY-SCOTT PATTERNS

141

We note then that the solutions to the elliptic problem are then bounded with respect to the parameters
F, k. Solution continua remain bounded and must branch from and reconnect to the uniform solutions or
persist over the entire range of the parameters. More details are provided by the numerics.

11.2.3

Dynamics

Local dynamics
Setting diffusion to zero, one obtains
ut = uv 2 + F (1 u),
vt = uv 2 (F + k)v.
The intersection of the four half spaces
G1 (u, v) = u > 0
G2 (u, v) = v > 0
G3 (u, v) = (u 1) > 0
G4 (u, v) = (u + v ) > 0
defines an bounded invariant region for > 1 + F/k.
The point (1, 0) is always stable. The other two rest points stability are given by the eigenvalues of
the following

 

(F + v 2 )
2uv
(F + v 2 ) 2(F + k)
A=
=
.
v2
(F + k) + 2uv
v2
(F + k)
The determinant is givenpby det(A) = (v 2 F )(F +k) and the trace Tr(A) = (v 2 k) so the eigenvalues
are simply = Tr(A)/2 Tr(A)2 4 det(A)/2. The point where there is a unique interior rest point
which gives det(A) = 0 is (F, k) = (1/16, 1/16) giving (u , v ) = (1/2, 1/4). The rest points split and travel
up/down the line (F + k)v + F u = F as one enters the region. The restpoint p2 is a saddle point. This
follows simply from recalling that v 2 F which forces the determinant to be positive and expression under
the square root to be large than Tr(A)2 .
Restpoint p3 may have stable or unstable (maybe spiral) node structure but is not a saddle point.
A Hopf bifurcation occurs if one
traverses the correct line in the F, k plane. For this,
the trace of the
linearization must be zero, v = k, and the determinant must be non-negative, v F . Using the first
F
.
u=
k+F
This value may be plugged into the equation (F + k)v + F u = F giving

(F + k)2 = F k.
We may compare this line (the Hopf line) to the lower branch of the steady state bifurcation line. The Hopf
line lies above and intersects the steady state bifurcation line at (0, 0) and the turning point (1/16, 1/16).

142

## CHAPTER 11. REACTION-DIFFUSION EQUATION MODELS

Stability
For the parabolic system, the associated eigenvalue problem is
d1 (vs2 + F + ) 2us vs = 0
d2 + vs2 + (2us vs F k ) = 0.
For the uniform solution (1, 0), this reduces to
d1 (F + ) = 0
d2 (F + k + ) = 0,
We do a basic stability analysis using a Fourier method. Define n to be the eigenfunctions on , and
n 0 the eigenvalues for
n = n n .
For (1, 0), we note that the eigenvalues are
1 = F d1 n < 0,

2 = F k d2 n < 0

for F 0. Thus (1, 0) is a stable uniform solution. For the remaining uniform solutions (if they exist), we
try
(1 , 2 )n .
Let
M=

2(F + k)
(d1 n + vs2 + F )
2
d2 n + F + k
vs

## and then the eigenvalues, , may be determined by

det(M I) = 0.
If
Tr(M ) = n (d1 + d2 ) vs2 + k
and
det(M ) = (d1 n + vs2 + F )(d2 n F k) + 2(F + k)vs2

## = d1 d2 2n + (d2 (vs2 + F ) d1 (F + k))n + (F + k)(vs2 F )

then the solutions are
=

Tr(M )

Tr(M )2 4det(M )
2

It is clear from the structure of M , that as n gets large, the eigenvalues become real and negative (diagonally dominant matrix). The term D = Tr(M )2 4det(M ) is strictly increasing in n (from
dD/dn = 2(d1 d2 )2 + constant). Thus the magnitude of the imaginary component is strictly decreasing. One may conclude that if at = 0 the eigenvalues are real, then they are always real. Dynamical
instabilities occur at the lowest modes when the eigenvalues are complex valued at = 0.
Static bifurcation can (and does as one sees later) occur at higher modes. Graphs of the real part of
as a function of can be helpful. The choice of which occurs first between static and dynamic bifurcations
is based on the parameters F and k.

11.3. NUMERICS

143

## The boundary of the region in parameter space where

{(F, k) : sup ((F, k, )) = 0}
0

defines a stability region which generalizes region defined by the Hopf bifurcation. This curve is not the
same as the Hopf curve. It does intersect the origin, but not the turning point of the static bifurcation
curve. One may verify this by plugging into the matrix M and computing the eigenvalues (the first case
is = 0 and for the second case .021 for 1550.).
Then the max of maybe computed directly. Solving the equations det(M ()) = 0 and [det(M ())] =
0, we obtain from the second equation = [d1 (F + k) d2 (v 2 + F )]/2d1 d2 . Using the first equation one
arrives at
[d1 (F + k) d2 (v 2 + F )]2 4d1 d2 (F + k)(v 2 F ) = 0.
This equation clearly has no solution when v 2 < F . First, it is informative to determine where this
curve intersects the static bifurcation curve, F 4(F + k)2 = 0. Since v 2 = F , (d1 2d2 )F + k = 0,
which for the Gray-Scott
model is the line k = 0. One would also like to determine intersections with

the Hopf curve, F k (F + k)2 = 0. This is done numerically for d1 = 2(105 ) and d2 = 105 giving
f = 0.0471, k = 0.06056. Figure 11.3 provides the stability information for d1 = 2(105 ) and d2 = 105 .

Figure 11.4 graphs a family of curves for fixed F and increasing k. The curves are uniformly increasing
in k. This gives one typical bifurcation scenerio; one that the uniform mode becomes unstable first. The x
axis is really a plot of the eigenvalues for the continuous operator (on the present scale, they appear dense
in the interval). Figure 11.5 again graphs a family of curves for fixed F and increasing k. For this example,
note that the uniform mode is not the first mode to become unstable.
For the following, we take to be a rectangle with l1 , l2 to be the length scales in the x, y directions.
The eigenvalues for the Laplacian on the square (with zero Neumann data) are
s
k 2 m2
+ 2 , k = 0, 1, 2, . . . , m = 0, 1, 2, . . .
km =
l12
l2
Note that for fixed , the collection of k and m lie on an ellipse with major and minor axes defined by
(l1 /)2 and (l2 /)2 . For the case which Pearson studies, l1 = l2 = l, and so the curve is a circle. Because
it is symmetric about the m = k line, any eigenvalue km for which k 6= m has km = mk , in other words,
it occurs in pairs. Thus if m = k does not produce the km , the multiplicity of km is even. To get
eigenvalues of odd multipicity, we need then that k = m produces
an eigenvalue. Restricting (relabeling

## as well) to this set in the Pearson example, we have m = m 2/l.

This provides the analytical basis for bifurcation of static non-uniform solutions and Hopf bifucations
of non-static solutions. Due to the high mode numbers, direct analysis is not tractable and a numerical
approach is necessary.

11.3

Numerics

2

k = 4N sin

k
N

144
and

Since

## CHAPTER 11. REACTION-DIFFUSION EQUATION MODELS




 
2kj
2kj
, cos
,
(k )j = sin
N
N
k = 4 2 k2

"

sin

k
N
k
N

, k = 1, . . . , N.

 #2

we note that the smaller eigenvalues are good approximations of the continuous operator where l1,2 = 1.
The eigenvalues for the two dimensional operator follows:

 
 m 
k
km = 4N 2 sin2
.
+ sin2
N
N
Since the domain is very simple and the eigenfunctions for the Laplacian are easily computed, series
expansions are straightforward to attempt. Expand the solution out in terms of the eigenfunctions. Let
n solve
n + n n = 0
for the domain and boundary conditions in question. We try an expansion
X
X
u=
an n , v =
bn n .

For the moment, assume that we may define and compute the following coefficients, cn ,
2 X

 X
X
bn n =
cn n .
uv 2 =
an n

## If so, then an algebraic system arises,

dan
dt
dbn
dt

= d1 n an cn (an , bn ) F an + F (n),

(11.6)

= d2 n bn + cn (an , bn ) (F + k)bn .

2D Parabolic solves
The initial code was a simple Euler scheme. A pattern similar but not identical to the reported patterns
was found for a couple of test points. The next step was to really check the results with an implicit scheme
(now that the function statement was assured of correctness). The implicit method was a full system
Crank-Nicolson scheme.
First tests were run for time steps of 0.1 for 200, 000 steps. This was to see if the initial behaviour
looked similar. It was not identical.
The speed of the full system solve is not great. An ADI method was adapted to this problem. The
ADI code ran about 3.5 times faster (see Table 11.1) with a fixed stepsize of h = 1/10.
Choosing the parameters F, k in the range that Pearson found patterns, between the Hopf curve and the
static bifurcation curve (the cresent region), more analysis maybe done. Obtaining the exact parameter

11.3. NUMERICS
Table 11.1: Comparison of run
Method nx = 100
Full
516.4
151.3
Ratio
3.41

145
times for the Full system method and the ADI method.
nx = 150 nx = 200 nx = 250 nx = 300
1333.8
2334.5
3594.3
5181.6
341.9
632.7
962.4
1483.6
3.90
3.69
3.73
3.49

values from Pearson produced other similar patterns to what he obtained. The nonuniform solutions
obtained by Pearson seem to be verified by an implicit method. Thus the patterns seem to be genuine.
The steady state solution computed by the adi routine is then passed to an elliptic solver as an initial
guess. The output can then be trusted to solve the discrete problem to a residual less than 105 . The
worm-like patterns persist agreeing with the analytic bifurcation results. The structure of the patterns is
very complex. For the case F = .04 and k = .06 (Figure 11.6), integrating the standard initial condition
to obtain a steady state solution and passing this to the elliptic solver gives a good test case. How the
symmetry breaking occurs and the resultant nonisotropic phenonmenon is still open.

146

## CHAPTER 11. REACTION-DIFFUSION EQUATION MODELS

0.25
Static Bifurcation
Stable Nodes
Stable Spirals
Hopf Bifurcation
0.2

0.15

0.1

0.05

0
0

0.01

0.02

0.03

0.04

0.05

0.06

0.07

k
Figure 11.2: The stability of the upper-left restpoint. The only place there are non stable solutions is in
the thin band near the horizontal axis.

11.3. NUMERICS

147

0.25
Static Bifurcation
Turing Bifurcation
Hopf Bifurcation
0.2

0.15

0.1

0.05

0
0

0.01

0.02

0.03

0.04

0.05

0.06

0.07

k
Figure 11.3: Location of the unstable modes. Along the dotted edge the restpoint becomes unstable on
this boundary.

148

## CHAPTER 11. REACTION-DIFFUSION EQUATION MODELS

0.005
Dispersion curves
0

-0.005

()

-0.01

-0.015

-0.02

-0.025

-0.03
0

1000

2000

3000

4000

5000

6000

Figure 11.4: Family of instability curves for F = .038 where k = .057 is the lowest curve with increments
of k = .0003).

11.3. NUMERICS

149

0.02
Dispersion curves
0.015
0.01
0.005

()

0
-0.005
-0.01
-0.015
-0.02
-0.025
-0.03
0

1000

2000

3000

4000

5000

6000

Figure 11.5: Family of instability curves for F = .063 and k = .06149 (increments of .00025).

150

## Figure 11.6: Solution u at t = 20000 for F = .04 and k = .06.

Chapter 12

Appendix
12.1

Solutions

12.1.1

Introduction

1. In the notes, we have the free-fall model a = 9.8 + cv 2 , where we studies the case k = 1.
1. What should the of c be for k = 1 and k = 2? Using the standard coordinate system, v < 0.
Acceleration = gravitational force (down) + air resistance force (up): a = 9.8 + cv k . For the latter
term when k = 1: cv > 0, c must be negative. For the latter term to be positive when k = 2: cv 2 > 0,
c must be positive.
dv
= g + cv 2 . Using separation of varidt
arctanh( cvgc )
dv
= dt, and then integrating: t + k =
ables:
Next, we can solve for v:

g + cv 2
gc

tanh(t gc + k gc) gc
1 ln(tanh(t gc + k gc) 1)
and then integrate to get y(t): y =
+
v=
c
2
c

1
2 ln(tanh(t gc + k gc) + 1)
+ k. Apply initial condtions v(0) = 0 and so k = 0, y(0) = y0, we
c
obtain:

y=
+
+ y0
2
c
2
c

## 2. Work out the solution in the case k = 2. We have

3. Does this present a reasonable answer? Yes. The solution limits at a terminal velocity and gives
smooth decreasing acceleration up to this.
2. Find the differential equation model for the free fall problem with an alternate set of assumptions. Take
the y axis to be positive upward. Let the radius of the planet be R, set the origin (y = 0) at the surface.
Assume that there is no air resistance, but that the force due to gravitiy does change as a function of
altitude. Let lower case m stand for the object mass, upper case M stand for the mass of the planet and
G the gravitational constant.
151

152

## CHAPTER 12. APPENDIX

1. Find the differential equation for y(t) including only the object data and the gravitational acceleraGmM
GR2
GM
=

.
tion. Hint: g = 2 y =
R
(R + y)2
(R + y)2
2. Convert to a differential equation for v(y) (use the trick:

dv dy
dv
dv
GR2
dv
=
= v ), v
=
.
dt
dy dt
dy
dy
(R + y)2

3. Find the escape velocity (smallest initial velocity so that the object does not return). Hint: v must
stay positive. Solve the ODE (separation of variables) and then solve for v:
v=

v0 R + v0 y

p
2 GR(2R2 + 3Ry + y 2 )
.
R+y

## Take the limit of the right as y goes to infinity, we have v = v0

1
obtain: v0 = (2GR) 2 .

2 GR and so for v = 0, we

3. Solve the initial value problem: y (iv) y = 0, y(0) = 1y (0) = y (0) = y (0) = 0. The characteristic
equation is r 2 (r 2 1) = 0. Then we have y(t) = c1 + c2 t + c3 et + c4 et . Next we compute the three
derivatives and set t = 0 in the four equations. This gives y(0) = c1 + c3 + c4 = 1, y (0) = c2 + c3 c4 =
0, y (0) = c3 + c4 = 0, y (0) = c3 c4 = 0. Add the latter two equations and you obtain 2 c3 = 0. This
gives c3 = 0 and from the last equation we see that c4 = 0 . Plugging these two values into c2 + c3 c4 = 0,
we note that c2 = 0 and so we finally obtain that c1 = 1 from the first equation. Thus the solution is y(t)
= 1.
4. An annual plant is one that lives for a single season. These plants survive by spreading seeds
in the fall which then germinate in the following spring. Some seeds fail to germinate that spring, but
do the following spring. Let pn represent the number of plants for a particular species, a represent the
average number of seeds per plant that survive the first winter and germinate, and b represent the average
number of seeds per plant that germinate a year following. This can be modeled by the difference equation:
pn+2 = apn+1 + bpn .
1. What is the criteria for survival of the plant (in terms of a and b)? [ Note that a and b are positive
1
1p 2
1p 2
1
a + 4b, a
a + 4b). For
] Plug in pn = Cr n : r 2 = ar + b. Solving this for r: r = ( a +
2
2
2
2
survival we need at least one root that is greater than 1 (in magnitude). Since a and b are positive,
there is no possibility of complex roots. Setting the first root equal to 1, we obtain a + b = 1. As
long as a + b >= 1 the plant will survive.
2. Is the plant helped or hurt by this two season approach? [ We might assume that whatever gives
the seed the ability to survive an extra winter might hinder it from germinating the first spring, and
so a and b are inversely related.] The second root is smaller than the first. So the growth rate is
lower with b > 0. In a consistently good environment, the plant is better off using a single season
approach. As the environment becomes less consistent, it is clear that the insurance of a two season
approach is critical.
5. Let A be a 3X3 matrix, with rows: row1 = [2, 1, 0], row2 = [1, 2, 1], row3 = [0, 1, 2].

12.1. SOLUTIONS
1. Find the diagonalization of A.
1
1
2
4
1

A=
0 4 2
1
12
4

153

2
0
0
1
0
1

0 2 + 2
0 1 2 1
4 2
1
2
1
0
0
2 2
1
4
1

dx
2. Use the previous result to solve
= Ax, x(0) = (1, 0, 0)t . We can compute the solution x(t)
dt

1
2t
1
1
e
0
0
1
0
1
1
2
4
4

1
1
((2+
2)t)

0
=
0
0 4 2 4 2 0 e
1 2 1
1
1
1
0
2
2
1
1
0
0
e((2 2)t)
4
4

1
1
2 p 0
0
1
0
1
2
4
4

3. Find sqrt(A) A = 0 14 2 41 2 0
2+ 2 p 0
1 2 1

1
1
21
1
2
1
2 2
0
0
4
4

12.1.2

Background

1. Find the phase diagram, direction fields and some sample solution plots (from the direction fields not by analytic solution methods ) for dy
dt = siny. What is the limit of y(t) as t > when y(0) = 5.
picture Nullclines y = n where n is an integer. picture If y(0) = 5 then y() = since < 5 < 2
2
dx
d2 x
dv
2. Show the solutions to x + xex = 0 are periodic. Let v =
=>
Plugging this
= v
2
dt
dt
dx
dv
dv
2
2
+ xex = 0 => v
= xex . Integrating both sides we get
into the original equation, we get v
dx
dx
Z
Z
Z
Z
1
1 2
1
v2
x2
2
=
eu du = eu +k = ex +k.
vdv = xe dx. Substituting u = x we get vdv =
2
2
2
2
2
From here we get v 2 + ex = c. By assuming v and x are independant, we can graph this equation.
By choosing a constant c, we can take a slice of the graph and get a closed curve (neither value can
run off to ). Since it is a closed curve, we know the solutions are limited and periodic.

3. Two bacteria live on a common food source. In an ideal environment, bacteria A can reproduce
by cell division every 2 hours, while bacteria B can reproduce by cell division every 3 hours. The
food supply is constant and supports a total of 109 bacteria. Each bacteria consumes the same
amount. It is also noted that the relative growth rate decreaces linearly with total population.
Normal environmental forces cause 15% population loss per hour in bacteria A and 10% in B. Find
the pair of differential equations which model the populations as a function of time. We can get a
A+B
dB
A+B
dA
= aA(1
) cA,
= bB(1
) dB. where a and b are doubling
general model of
dt
L
dt
L
ln(2)
coeffients. A = A0 eat => 2A0 = A0 e2a => 2 = e2a => a = ln(2)
2 . Similarly, b = 3 . This gives us
ln(2)
(A + B)
ln(2)
A+B
dB
dA
=
A(1
=
B(1
) 0.15A,
) 0.1B.
9
dt
2
10
dt
3
109
4. A variation of the predator-prey model assumes that the predator will be satiated when food is very
abundant. The following model uses non-biological constants to simplify the numerical computations,
dx
2
x
xy
dy
1
y
but keeps the essential relations:
= x(1 )
,
= y(1 ). Find the complete
dt
3
4
(1 + x) dt
4
x

154

## CHAPTER 12. APPENDIX

phase diagram [restpoints & stability, nullclines, direction fields and sample orbits]. First find the
1 2 1
2 dy
nullclines. dx
dt = 0 => x = 0 or y = 6 x + 2 x+ 3 , dt = 0 => y = 0 or y = x. This gives us restpoints
of (0,0),(4,0), and (1,1). Now calculate the partial derivatives of the first two equations. du
dx =
x3 +3x3y+2 du
, dy
3(x+1)2

y 2 dv
4x2 , dy

= x2y
4x . Stability: near(0,0) saddle and unstable. near (4,0) du(1, 1)
du(1, 1)
1
1
dy
dx
=
(x 1) +
(y 1) = (x 1) (y 1),
=
syddle and unstable. near(1,1) dt
dx
dy 
12
2
dt 
  1


1
dv(1, 1)
1
1
d
dv(1, 1)
x1
x1
12 2
(x 1) +
(y 1) = (x 1) (y 1). So
=
.
1
1
4
y1
dx
dy
4
4
dt y 1
4
x
dv
= x+1
, dx
=

1
+
From here we get eigenvalues of = 12
at (1,1).

14
12 iand

1
= 12

14
12 i.

## Therefore it is a stable spiral

dx
5. Verify that the origin is an equilibrium point and determine the type of rest point (stability):
=
dt
dy
dz
= 0 0 + 02 = 0, dy(0,0,0)
= 0 + 0 02 =
x y + z2,
= y + z x2 ,
= z x + y 2 . dx(0,0,0)
dt
dt
dt
dt
0, dz(0,0,0)
0 0 + 02 = 0 therefore (0,0,0) is a restpoint. By looking at only the linear terms, we
dt =

x
1 1 0
x
3 1
3
d
1

get
i,
i. Since all are positive in the
y
=
0
1 1
y . = 2, +
dt
2
2 2
2
z
1 0 1
z
real portion, the node is unstable.

12.1.3

ODE Models

dr
2
2
2
= y + xf (x2 + y 2 ), dy
dt = x + yf (x + y ) is equivalent to d = rf (r ). Use this
dx
x(1 (x2 + y 2 )) dy
y(1 (x2 + y 2 ))
,
to convert
to polar form. Determine the
= y + p
= x+ p
dt
dt
(x2 + y 2 )
(x2 + y 2 )
stability of all constant and periodic solutions. r 2 = x2 +y 2 Taking the derivative of both sides we get:
dy
dx
dr
2
2
2
2
2
2
r dr
dt = x dt +y dt . Substituting in our original equations: r dt = xy+x f (x +y )+xy+y f (x +y ) =
dy
dx
d
1
dt x dt y
2
=
(x2 + y 2 )f (x2 + y 2 ) = r 2 f (r 2 ) This can be simplified to dr
2
dt = rf (r ). dt =
x2
1 + y2

1. Show that

dx
dt

1
dx
1
dy
x2 + y 2
2
2
2
2
2
2
x

y)
=
(

(x
+
xyf
(x
+
y
)
+
y

xyf
(x
+
y
))
=
= 1. Now
x2 + y 2 dt
dt
x2 + y 2
x2 + y 2
dr
rf (r 2 )
dr
dt
=
= rf (r 2 ). to solve the example, let
=
divide the two differential equations to get d
d
1
dt
dx
dy
1(x2 +y 2 )
2
2
f (x + y ) = 2 2 This gives us
= y + xf (x2 + y 2 ),
= x + yf (x2 + y 2 ). This can be
x +y
dt
dt
2
dr
converted to d
= rf (r 2 ) = r 1r
= 1 r 2 . Since r must be > 0, r = 1 is the only periodic solution
r
dr
and it is stable since when r > 1, d < 0 and when r < 1, dr
d > 0
2. Use the Bendixson-Dulac criterion to show that no limit cycles can exist in the two species comr1 x(k1 x ay) dy
r2 y(k2 bx y)
dx
=
=
,
, for x,y >= 0. Hint: Take B =
petition model:
dt
k1
dt
k2

r1 (k1 x ay
1
1
=
xy . All constants are positive. Let B = xy . From this we get x (BF ) = x
k1 y
r2 (k2 bx y)
r2
r1
, (BG) =
=
since all of the constants are positive, kr11y < 0 and

k1 y y
y
k2 x
k2 x

12.1. SOLUTIONS

155

kr22x < 0 therefore kr11y + kr22x < 0 for all x,y > 0 and by the Bendixson-Duloc Criterion no limit
cycle can exist.
dx
x3 dy
y5
= y + x ,
= x + y . Show that there exists
dt
3 dt
5
a periodic solution. Hint: use the Poincare-Bendixson theorem. Find the nullclines. dx
dt = 0 => y =

x

x3 dy
3 , dt

y5
5

## y. By converting to polar coordinates, we can look at the direction

dx
dy
dr
= 2x
+ 2y
=
of the flow with respect to the norm of a surrounding circle. We know 2r
dt
dt
dt
3
5
x
y
2
2
2
2
2x(y + x
) + 2y(x + y
= 2x2 x4 + 2y 2 y 6 = 2r 2 ( x4 + y 6 ) knowing that
3
5
3
5
3
5
r 2 = x2 + y 2 we can see that as r grows, the second term becomes dominant and the sum goes below
0 implying that the flow is always going into the circle. Then by excluding the origin, we have a
region in which all boundry points head into the region. Therefore a limit cycle exists according to
the Poincare-Bendixson theorem.
= 0 => x =

4. Provide an example of a system of two ODEs whose phase plane has the three properties: a stable
periodic solution, an unstable periodic solution and a periodic solution which is stable from the inside
and unstable from the outside. Hint: try working in polar coordinates. In order for a root to be stable
on one side and unstable on the other, it must be a repeated root. Also since it is periodic solutions
that we are looking for it is best to work in polar coordinates. The solution could be something of
d
dr
= (r 1)(2 r)(r 3)(r 2),
=1
the form
dt
dt
5. Determine the bifurcation structure (bifurcation points and diagram) for
p
p
dy
dx
= y + x( ( (x2 + y 2 ) 1)2 ),
= x + ( ( x2 + y 2 1)2 ).
dt
dt

d
dr
= r ( (r 1)2 ),
= 1. This gives
By problem 1 we can convert this to polar form, giving us
dt
dt

12.1.4

PDE Models

156

## CHAPTER 12. APPENDIX

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157