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BoundaryvalueproblemScholarpedia

Boundaryvalueproblem
IanGladwell(2008),Scholarpedia,3(1):2853.

+1 Recomendar este URL no Google

doi:10.4249/scholarpedia.2853

revision#91077[linkto/citethisarticle]

Dr.IanGladwell,DepartmentofMathematics,SouthernMethodistUniversity,Dallas,TX
ABoundaryvalueproblemisasystemofordinarydifferentialequationswithsolutionandderivative
valuesspecifiedatmorethanonepoint.Mostcommonly,thesolutionandderivativesarespecifiedatjust
twopoints(theboundaries)definingatwopointboundaryvalueproblem.
Contents
1Introduction
2Existenceanduniqueness
3Shootingormarchingmethods
4Infiniteintervals
5Numericalmethods
6SturmLiouvilleeigenproblems
7References
8Recommendedreading
9Externallinks
10Seealso

Introduction
Atwopointboundaryvalueproblem(BVP)oftotalordernonafiniteinterval[a, b] maybewrittenasan
explicitfirstordersystemofordinarydifferentialequations(ODEs)withboundaryvaluesevaluatedattwo
pointsas

y (x) = f (x, y(x)),

x (a, b),

g(y(a), y(b)) = 0

(1)

Here,y, f , g R andthesystemiscalledexplicitbecausethederivativey appearsexplicitly.Then

boundaryconditionsdefinedbyg mustbeindependentthatis,theycannotbeexpressedintermsofeach
other(ifg islineartheboundaryconditionsmustbelinearlyindependent).
n

Inpractice,mostBVPsdonotarisedirectlyintheform(1)butinsteadasacombinationofequations
definingvariousordersofderivativesofthevariableswhichsumton.InanexplicitBVPsystem,the
boundaryconditionsandtherighthandsidesoftheordinarydifferentialequations(ODEs)caninvolvethe
derivativesofeachsolutionvariableuptoanorderonelessthanthehighestderivativeofthatvariable
appearingonthelefthandsideoftheODEdefiningthevariable.TowriteageneralsystemofODEsof
differentordersintheform(1),wecandefineyasavectormadeupofallthesolutionvariablesandtheir
derivativesuptoonelessthanthehighestderivativeofeachvariable,thenaddtrivialODEstodefinethese
derivatives.Seethesectiononinitialvalueproblemsforanexampleofhowthisisachieved.SeealsoAscher
etal.(1995)whoshowtechniquesforrewritingboundaryvalueproblemsofvariousordersasfirstorder
systems.Suchrewrittensystemsmaynotbeuniqueanddonotnecessarilyprovidethemostefficient
approachforcomputationalsolution.
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Thewordstwopointrefertothefactthattheboundaryconditionfunctiong isevaluatedatthesolutionat
thetwointervalendpointsa andbunlikeforinitialvalueproblems(IVPs)wheretheninitialconditions
areallevaluatedatasinglepoint.Occasionally,problemsarisewherethefunctiong isalsoevaluatedatthe
solutionatotherpointsin(a, b). Inthesecases,wehaveamultipointBVP.AsshowninAscheretal.
(1995),amultipointproblemmaybeconvertedtoatwopointproblembydefiningseparatesetsof
variablesforeachsubintervalbetweenthepointsandaddingboundaryconditionswhichensurecontinuity
ofthevariablesacrossthewholeinterval.LikerewritingtheoriginalBVPinthecompactform(1),
rewritingamultipointproblemasatwopointproblemmaynotleadtoaproblemwiththemostefficient
computationalsolution.
MostpracticallyarisingtwopointBVPshaveseparatedboundaryconditionswherethefunctiong maybe
splitintotwoparts(oneforeachendpoint):
g (y(a)) = 0,
a

g (y(b)) = 0.
b

Here,g R andg R
forsomevalues with1 < s < n andwhereeachofthevectorfunctionsg
andg areindependent.However,therearewellknown,commonlyarising,boundaryconditionswhich
arenotseparatedforexample,considerperiodicboundaryconditionswhich,foraproblemwritteninthe
formofequation(1),are
s

ns

y(a) y(b) = 0.

Existenceanduniqueness
QuestionsofexistenceanduniquenessforBVPsaremuchmoredifficultthanforIVPs.Indeed,thereisno
generaltheory.However,thereisavastliteratureonindividualcasesseeBernfeldandLakshmikantham
(1974)forasurveyofavarietyoftechniquesthatmaybeused.ConsidertheIVP

y (x) = f (x, y(x)),

y(a) = s

(2)

correspondingtotheODEin(1).IfthisIVPhasasolutionforallchoicesofinitialvectorss thenthe
existenceofasolutionto(1)hingesonthesolvabilityofthenonlinearsystemofequations
g(s, y(b; s)) = 0

(3)

wherey(b; s) isthesolutionoftheIVP(2)evaluatedatx = b fortheinitialvaluey(a) = s. Ifthereisa

solutionthenitistheuniquesolution(amongsolutionsofthistype)ifthenonlinearsystem
g(s, y(b; s)) = 0 hasjustonesolutions.
ForlinearBVPs,wheretheODEsandboundaryconditionsarebothlinear,theequationg(s, y(b; s)) = 0
isalinearsystemofalgebraicequations.Hence,generallytherewillbenone,oneoraninfinitenumberof
solutions,analogouslytothesituationwithsystemsoflinearalgebraicequations.
Inadditiontothepossibilitiesforlinearproblems,nonlinearproblemscanalsohaveafinitenumberof
solutions.Considerthefollowingsimplemodelofthemotionofaprojectilewithairresistance:

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tan(

),

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y
v

tan(),

tan() v sec(),

(4)

Theseequationsmaybeviewedasdescribingtheplanarmotionofaprojectilefiredfromacannon.Here,y
istheheightoftheprojectileabovethelevelofthecannon,visthevelocityoftheprojectile,andisthe
angleofthetrajectoryoftheprojectilewiththehorizontal.Theindependentvariablex measuresthe
horizontaldistancefromthecannon.Theconstant representsairresistance(friction)andg isthe
appropriatelyscaledgravitationalconstant.Thismodelneglectsthreedimensionaleffectssuchascross
windsandtherotationoftheprojectile.Theinitialheightisy(0) = 0 andthemuzzlevelocityv(0) forthe
cannonisfixed.Thestandardprojectileproblemistochoosetheinitialangleofthecannonandhenceof
theprojectile,(0), sothattheprojectilewillhitatargetatthesameheightasthecannonatadistance
x = x
; thatis,werequirey(x
) = 0. Altogethertheboundaryconditionsare
end

end

y(0) = y(x end ) = 0,

v(0) given.

DoesthisBVPhaveasolution?Physicalintuitionsuggeststhatitcertainlydoesnotforx beyondthe
rangeofthecannonforthefixedmuzzlevelocityv(0).Ontheotherhand,ifx issmallenough,wedo
expectasolution,butisthereonlyone?Toseethatthereisnot,considerthecasewhenthetargetisvery
closetothecannon.Wecanhitthetargetbyshootingwithanalmostflattrajectoryorbyshootinghighand
droppingtheprojectilemortarlikeonthetarget.Thatis,thereare(atleast)twosolutionsthatcorrespond
toinitialangles(0) =
> 0 and(0) =
< /2. Itturnsoutthatthereareexactlytwo
end

end

low

high

solutionsseeforanexample.
Now,letx increase.Therearestilltwo
solutions,butthelargerthevalueofx ,the
smallertheangle
andthelargertheangle
end

end

high

Ifwekeepincreasingx ,eventuallywe
reachthemaximumrangewiththegivenmuzzle
velocity.Atthisdistancethereisjustonesolution,
thatis,
=
.Insummary,thereisa

low

end

low

high

criticalvalueofx forwhichthereisexactlyone
solution.Ifx issmallerthanthiscriticalvalue,
thereareexactlytwosolutionsandifitislarger,
thereisnosolution.
end

end

Shootingormarchingmethods

Figure1:Twowaystohitatargetatx
initialvelocityv(0) = 0.5, friction
gravitationalconstantg = 0.032

end

= 5

with
and

= 0.02

Theapproachtoprovingexistenceexemplifiedby
theprojectilemodelsuggestsacomputational
methodofsolution.Thisistocomputethe
unknowninitialvalue(0) tosatisfythenonlinearequationy(x ; (0)) = 0. Thisapproachrequires
the(computational)solutionofanIVPfortheODEsforeachvalueoftheangle(0) attempted.Also,the
nonlinearequationmaybesolvedbyanysuitablemethod.Sincetherearequalitycodesforbothtasksthis
suggestsanapproachthatcanbeusefulinpractice.Physicalintuitionsuggestsexploitingtherelationship
betweentheanglechosenandtherangeachievedinabisectionlikealgorithmbut,inmorecomplexcases,
end

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suchsimplephysicalrelationshipsareusuallynotavailableandageneralpurposemethodsuchasaNewton
iterationisoftenused.Theshootingmethodcanbeverysuccessfulonsimpleproblemssuchasthe
projectileproblem.Itcanbeextendedeasilytosuggestamethodofsolutionforalmostanyboundaryvalue
problembasedonsolvingequation(3)andithasbeenautomatedinmanypiecesofmathematical
software.However,itssuccessdependsonanumberoffactorsthemostimportantofwhichisthestability
oftheinitialvalueproblemthatmustbesolvedateachiteration.(AnODEproblemisstableifasmall
changetotheODEand/orthetheinitialorboundaryconditionsleadstoasmallchangeinthesolution.)
Unfortunately,itisthecasethatformanystableboundaryvalueproblemsthecorrespondinginitialvalue
problems(beginningfromeitherendpointandintegratingtowardstheotherendpoint)areinsufficiently
stableforshootingtosucceed.So,shootingmethodsarenotcomputationallysuitableforthewholerange
ofpracticalboundaryvalueproblems,particularlythoseonverylongorinfiniteintervals.Asecond
difficulty,sometimesinterconnectedwiththeaforementionedstabilityproblem,isthatmethodssuchas
Newtoniterationforsolvingequation(3)mayrequireafarmoreaccurateinitialestimatefortheinitial
values thanisreadilyavailable.

Infiniteintervals
ManyODEBVPsarisefromtheanalysisofpartialdifferentialequationsthroughthecomputationof
similaritysolutionsorviaperturbationmethods.Theseproblemsareoftendefinedonsemiinfiniteranges.
Forexample,theBlasiusproblem
f

f
,

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

(5)

arisesfromasimilaritysolutionofpartialdifferentialequationsdescribingfluidflowoveraflatplate.Of
course,theboundaryconditionatinfinityisasymptotic.Itshouldbereadasf (x) 1 asx , andit
impliesthatf (x) x + C asx wheretheconstantC isaprioriunknown.

Thisproblemiseasytosolvecomputationallyshootingfromtheoriginandusingastandardnonlinear
equationsolverworkswithoutdifficulty.Ofcourse,wecan'tintegratetheequationstoinfinitybutwecan
replacetheboundaryconditionatinfinitybyacorrespondingoneatafinitepoint,L, andthatpointL
neednotbechosenverylargebecausetheasymptoticexpansionofthesolutionhasf (x) x + C
exponentiallyfastasx . So,forexample,usingtheboundaryconditionf (L) = 1 withL = 10
providesaquiteaccuratesolution.Therearenofastincreasingsolutionstotheequationnearthedesired
solutionsothereisnounstablegrowthofcomputationalsolutionsonquitelongrangesofintegrationas
longastheguessfortheunknowninitialvaluef (0) isnotchosentoofarawayfromthecorrectvalue.

IntheBlasiusproblem,thelocationandtypeofboundaryconditionsaredeterminedphysicallyandgiveus
astable(wellconditioned)problem.Ingeneral,mattersaremorecomplicatedthoughphysicalprinciples
remainanessentialguide.Forsimplicityofexposition(andunderstanding)considerthelinearproblem
y

+ 2y

2y = 0.

(6)

Itsgeneralsolutionis
y(x) = Ae

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+ Be

+ Ce

2x

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Notethattherearethreecomponentsofthesolution,twothatdecayasx increasesfromtheorigintowards
infinityandonethatgrows.Supposethatwesolvethisequationontheinterval[0, ) withboundary
conditions

y(0) = 1, y (0) = 1, y() = 0.

ThelastboundaryconditionimpliesthatA = 0. Then,theotherboundaryconditionsimplythatB = 3
andC = 2. So,thereisauniquesolutionofthisBVP.Ontheotherhand,iftheboundaryconditionsare

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

(7)

theboundaryconditiony() = 0againimpliesthatA = 0, butnowthethirdconditionplacesno

constraintonthecoefficients,andtheremainingconditiontellsusonlythatC = 1 B,soanyvalueof
B resultsinasolutionthatis,thisBVPhasinfinitelymanysolutions.Thisproblemprovidesanexampleof
therequirementsofexponentialdichotomyAscheretal.(1995)andMattheijandMolenaar(2002)discuss
theserequirementsindetail.Foraproblemtobewellposedtheboundaryconditionsmustbeset
appropriately.Forthesimpleequation(6),iftheboundaryconditionsareseparated,essentiallywemust
havetwoboundaryconditionsattheoriginandoneatinfinitymatchingthetwodecayingandone
increasing(towardsinfinity)basisfunctionsinthesolution.
IfaBVPwithboundaryconditionsatinfinityisnotwellposed,itisnaturaltoexpectnumericaldifficulties
whenthoseboundaryconditionsareimposedatalargebutfinitepointLeventhough,inthiscase,a
solutionmayalwaysbedefined.Supposethenthatwesolvetheequation(6)withboundaryconditions

y(0) = 1, y(L) = 0, y (L) = 0

replacing(7).ForlargevaluesofL, thesystemoflinearequationsforthecoefficientsA, B, andC inthe

generalsolutionisextremelyillconditionedreflectingthepoorstability(conditioning)ofequation(6)
withboundaryconditions(7)seeShampineetal.(2003)formoredetails.

Numericalmethods
Wedescribedshootingmethodsaboveandweexplainedtherethatthereareinherentproblemsinthis
approach.Theseproblemsmaybeovercome,atleastpartially,usingvariantsontheshootingmethod
whichbroadlycomeundertheheadingofmultipleshootingseeAscherandPetzold(1998).
MostgeneralpurposesoftwarepackagesforBVPsarebasedonglobalmethodswhichfallintotworelated
categories.Thefirstisfinitedifferenceswhereameshisdefinedontheinterval[a, b] andthederivativein
(1)isreplacedbyadifferenceapproximationateachmeshpointseeAscheretal.(1995)andKeller(1992).
Theresultingdifferenceequationsplustheboundaryconditionsgiveasetofalgebraicequationsforthe
solutiononthemesh.Theseequationsaregenerallynonlinearbutarelinearwhenthedifferential
equationsandboundaryconditionsarebothlinear.Toachieveauserspecifiederrorthesoftwaregenerally
adjuststhemeshplacementusinglocalerrorestimatesbasedonhigherorderdifferencinginvolving
techniquessuchasdeferredcorrectionseeAscherandPetzold(1998)andShampineetal.(2003).
Asecondglobalapproachistoapproximatethesolutiondefinedintermsofabasisforalinearspaceof
functionsusuallydefinedpiecewiseonameshandtocollocatethisapproximatesolution.(Incollocation
wesubstitutetheapproximatesolutioninthesystemofODEsthenrequiretheODEsystemtobesatisfied
exactlyateachcollocationpoint.Thenumberofcollocationpointsplusthenumberofboundary
conditionsmustequalthenumberofunknowncoefficientsintheapproximatesolutionthatis,theymust
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equalthedimensionofthelinearspace.)Themostcommonchoiceofapproximationisalinearspaceof
splines.Foragivenlinearspace,thecollocationpointsmustbeplacedjudiciouslytoachieveoptimal
accuracy.Theerrorisagaincontrolledbyadjustingthemeshspacingusinglocalerrorestimatesinvolving
approximatesolutionsofvaryingordersofaccuracyseeAscheretal.(1995),AscherandPetzold(1998)
andMattheijandMolenaar(2002).
Choosingasplinebasisforcollocation(ormoreorlessequivalentlyusingcertaintypesofRungeKutta
formulasonthemesh)leadstoanonlinearsystemwhichmustbesolvediteratively.Ateachiterationwe
mustsolveastructuredlinearsystemofequations.Whentheboundaryconditionsareseparated,the
systemisalmostblockdiagonal.Similarlystructuredsystemsarisefromfinitedifferenceapproximations
andalsofrommultipleshootingtechniques.Becauseofthegreatpracticalimportanceofthistypeoflinear
algebraproblem,significantefforthasbeendevotedtodevelopingstablealgorithmswhichminimize
storageandmaximizeefficiencyseeAmodioetal.(2000).Thecaseofnonseparatedboundaryconditions
leadstoasimilarlystructuredsystemwhosesolutionposespotentiallygreaterstabilitydifficulties.

SturmLiouvilleeigenproblems
AnothertypeofBVPthatarisesintheanalyticalsolutionofcertainlinearpartialdifferentialequationsis
theSturmLiouvilleeigenproblem.InitssimplestformthisisascalarselfadjointlinearsecondorderODE
BVP

(p(x)y (x))

+ q(x)y(x) = r(x)y(x),

x (a, b),

y(a) = y(b) = 0.

(8)

Here,theparameter,aneigenvalue,istobedeterminedsuchthattheBVP(8)hasanontrivial(not
identicallyzero)solution.Therearebroadanalogiesherewiththegeneralizedalgebraiceigenproblem
Ax = Bx where,dependingonthethepropertiesofthematricesA andB, variousdistributionsofthe
finitenumberofeigenvalues arepossible.InthecaseoftheBVP(8),forsimplecasestherearea
countablenumberofnumberofeigenvalueseachwithacorrespondingsolutiony(x) (aneigenfunction).
So,forexample,asshowninZettl(2005),ifp(x), q(x) andr(x)aresufficientlysmoothand
p(x), r(x) > 0 on[a, b] thentheeigenvaluesarerealanddistinct,andmaybeordered
0 < < < < definingadiscretespectrum.Theeigenfunctiony (x)correspondingto has
n zerosin(a, b) andthesetofeigenfunctions{y (x)}
islinearlyindependent.Ifwerelaxthe
smoothnessconditionsonthecoefficientsp, q andr, and/orpermitthesefunctionstotakeonawider
rangeofvalues,manydifferentphenomenaareobservedfromdoublingoftheeigenvaluestothe
occurrenceofcontinuousspectraseeZettl(2005)fordetails.
0

i=0

ODEeigenvalueproblemscanbesolvedusingageneralpurposecodeshootingcodethattreatsan
eigenvalueasanunknownparameter.However,withsuchacodeonecanonlyhopetocomputean
eigenvalueclosetoaguess.Specializedcodesaremuchmoreefficientandallowyoutobesureof
computingaspecificeigenvalueseePryce(1993)forasurvey.NumericalmethodsforSturmLiouville
eigenproblemsthathavebeenimplementedinsoftwareincludefinitedifferenceandfiniteelement
discretizationswhicheachleadtogeneralizedalgebraiceigenproblemswhereapproximationstoanumber
ofthelowereigenvaluesareavailablesimultaneously.OthermethodspopularizedbyPruessapproximate
theODEeigenproblembyanotherwherethecoefficientsp, q andr arereplacedbypiecewiseconstants
thisresultsinasetofproblemswhichmayeachbesolvedanalytically,againproducingapproximationstoa
numberofthelowereigenvalues.Finally,shootingmethodsareusuallyimplementedusingascaledPrufer
transformation,pu

= S r cos(),

r sin()

u =

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whereS isascalingfunction,seePryce(1993)S

= 1

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givesthestandardPrufertransformation.ThetransformationleadstoapairofnonlinearODEsforr and
wheretheODEfor doesnotdependonr somaybesolvedalone.Moredirectlyimportant,theboundary
conditionsinproblem(8)arereplacedby(a, ) = 0, (b, ) = k whichprovidethebasisfora
shootingmethodwhereeacheigenvaluemaybedeterminedbythesolutionofasinglenonlinearalgebraic
equation.
k

References
P.Amodio,J.R.Cash,G.Roussos,R.W.Wright,G.Fairweather,I.Gladwell,G.L.KrautandM.
Paprzycki,Almostblockdiagonallinearsystems:sequentialandparallelsolutiontechniques,and
applications,Numer.Lin.AlgebraApplics.7(2000)275317.
U.M.Ascher,R.M.M.Mattheij,R.D.Russell,NumericalSolutionofBoundaryValueProblemsfor
OrdinaryDifferentialEquations,SIAMClassicsinAppliedMathematics13,SIAM,Philadelphia,PA,
1995.
U.M.AscherandL.R.Petzold,ComputerMethodsforOrdinaryDifferentialEquationsand
DifferentialAlgebraicEquations,SIAM,Philadelphia,PA,1998.
S.R.BernfeldandV.Lakshmikantham,AnIntroductiontoNonlinearBoundaryValueProblems,
MathematicsinScienceandEngineering109,AcademicPress,NewYork,NY,1974.
H.B.Keller,NumericalMethodsforTwoPointBoundaryValueProblems,Dover,NewYork,NY,
1992.
R.M.M.MattheijandJ.Molenaar,OrdinaryDifferentialEquationsinTheoryandPractice,SIAM
ClassicsinAppliedMathematics43,SIAM,Philadelphia,PA,2002.
J.D.Pryce,NumericalSolutionofSturmLiouvilleProblems,ClarendonPress,Oxford,UK,1993.
L.F.Shampine,I.GladwellandS.Thompson,SolvingODEswithMATLAB,CambridgeUniversity
Press,Cambridge,UK,2003.
A.Zettl,SturmLiouvilleTheory,MathematicalSurveysandMonographs121,AMS,Providence,RI,
2005.
Internalreferences
NestorA.Schmajuk(2008)Classicalconditioning.Scholarpedia,3(3):2316.
JamesMeiss(2007)Dynamicalsystems.Scholarpedia,2(2):1629.
LawrenceF.ShampineandSkipThompson(2007)Initialvalueproblems.Scholarpedia,2(3):2861.
KendallE.Atkinson(2007)Numericalanalysis.Scholarpedia,2(8):3163.
JohnButcher(2007)RungeKuttamethods.Scholarpedia,2(9):3147.
PhilipHolmesandEricT.SheaBrown(2006)Stability.Scholarpedia,1(10):1838.

Recommendedreading
H.B.Keller,NumericalMethodsforTwoPointBoundaryValueProblems,Dover,NewYork,NY,1992.

Externallinks
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IanGladwell'swebsite(http://faculty.smu.edu/igladwel/)

Seealso
Sponsoredby:Dr.SkipThompson,RadfordUniversity,Radford,Virginia
Sponsoredby:EugeneM.Izhikevich,EditorinChiefofScholarpedia,thepeerreviewedopenaccess
encyclopedia
Reviewedby(http://www.scholarpedia.org/w/index.php?title=Boundary_value_problem&oldid=28431)
:Dr.GraemeFairweather,MathematicalandComputerSciences,ColoradoSchoolofMines
Reviewedby(http://www.scholarpedia.org/w/index.php?title=Boundary_value_problem&oldid=26433)
:Dr.LawrenceF.Shampine,MathematicsDepartmentatSouthernMethodistUniversity,Dallas,TX
Acceptedon:2007122823:54:15GMT(http://www.scholarpedia.org/w/index.php?
title=Boundary_value_problem&oldid=28431)
Categories:

NumericalAnalysis DynamicalSystems DifferentialEquations

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