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**John Douglas Moore
**

May 21, 2003

Preface

Partial diﬀerential equations are often used to construct models of the most

basic theories underlying physics and engineering. For example, the system of

partial diﬀerential equations known as Maxwell’s equations can be written on

the back of a post card, yet from these equations one can derive the entire theory

of electricity and magnetism, including light.

Our goal here is to develop the most basic ideas from the theory of partial dif-

ferential equations, and apply them to the simplest models arising from physics.

In particular, we will present some of the elegant mathematics that can be used

to describe the vibrating circular membrane. We will see that the frequencies

of a circular drum are essentially the eigenvalues from an eigenvector-eigenvalue

problem for Bessel’s equation, an ordinary diﬀerential equation which can be

solved quite nicely using the technique of power series expansions. Thus we

start our presentation with a review of power series, which the student should

have seen in a previous calculus course.

It is not easy to master the theory of partial diﬀerential equations. Unlike

the theory of ordinary diﬀerential equations, which relies on the “fundamental

existence and uniqueness theorem,” there is no single theorem which is central

to the subject. Instead, there are separate theories used for each of the major

types of partial diﬀerential equations that commonly arise.

However, there are several basic skills which are essential for studying all

types of partial diﬀerential equations. Before reading these notes, students

should understand how to solve the simplest ordinary diﬀerential equations,

such as the equation of exponential growth dy/dx = ky and the equation of

simple harmonic motion d

2

y/dx

2

+ ωy = 0, and how these equations arise in

modeling population growth and the motion of a weight attached to the ceiling

by means of a spring. It is remarkable how frequently these basic equations

arise in applications. Students should also understand how to solve ﬁrst-order

linear systems of diﬀerential equations with constant coeﬃcients in an arbitrary

number of unknowns using vectors and matrices with real or complex entries.

(This topic will be reviewed in the second chapter.) Familiarity is also needed

with the basics of vector calculus, including the gradient, divergence and curl,

and the integral theorems which relate them to each other. Finally, one needs

ability to carry out lengthy calculations with conﬁdence. Needless to say, all

of these skills are necessary for a thorough understanding of the mathematical

i

language that is an essential foundation for the sciences and engineering.

Moreover, the subject of partial diﬀerential equations should not be studied

in isolation, because much intuition comes from a thorough understanding of

applications. The individual branches of the subject are concerned with the

special types of partial diﬀerential equations which which are needed to model

diﬀusion, wave motion, equilibria of membranes and so forth. The behavior

of physical systems often suggest theorems which can be proven via rigorous

mathematics. (This last point, and the book itself, can be best appreciated by

those who have taken a course in rigorous mathematical proof, such as a course

in mathematical inquiry, whether at the high school or university level.)

Moreover, the objects modeled make it clear that there should be a constant

tension between the discrete and continuous. For example, a vibrating string

can be regarded proﬁtably as a continuous object, yet if one looks at a ﬁne

enough scale, the string is made up of molecules, suggesting a discrete model

with a large number of variables. Moreover, we will see that although a partial

diﬀerential equation provides an elegant continuous model for a vibrating mem-

brane, the numerical method used to do actual calculations may approximate

this continuous model with a discrete mechanical system with a large number of

degrees of freedom. The eigenvalue problem for a diﬀerential equation thereby

becomes approximated by an eigenvalue problem for an n n matrix where n

is large, thereby providing a link between the techniques studied in linear al-

gebra and those of partial diﬀerential equations. The reader should be aware

that there are many cases in which a discrete model may actually provide a

better description of the phenomenon under study than a continuous one. One

should also be aware that probabilistic techniques provide an additional compo-

nent to model building, alongside the partial diﬀerential equations and discrete

mechanical systems with many degrees of freedom described in these pages.

There is a major dichotomy that runs through the subject—linear versus

nonlinear. It is actually linear partial diﬀerential equations for which the tech-

nique of linear algebra prove to be so eﬀective. This book is concerned primarly

with linear partial diﬀerential equations—yet it is the nonlinear partial diﬀeren-

tial equations that provide the most intriguing questions for research. Nonlinear

partial diﬀerential equations include the Einstein ﬁeld equations from general

relativity and the Navier-Stokes equations which describe ﬂuid motion. We hope

the linear theory presented here will whet the student’s appetite for studying

the deeper waters of the nonlinear theory.

The author would appreciate comments that may help improve the next

version of this short book. He hopes to make a list of corrections available at

the web site:

http://www.math.ucsb.edu/~moore

Doug Moore

March, 2003

ii

Contents

The sections marked with asterisks are less central to the main line of discussion,

and may be treated brieﬂy or omitted if time runs short.

1 Power Series 1

1.1 What is a power series? . . . . . . . . . . . . . . . . . . . . . . . 1

1.2 Solving diﬀerential equations by means of power series . . . . . . 7

1.3 Singular points . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15

1.4 Bessel’s diﬀerential equation . . . . . . . . . . . . . . . . . . . . . 22

2 Symmetry and Orthogonality 29

2.1 Eigenvalues of symmetric matrices . . . . . . . . . . . . . . . . . 29

2.2 Conic sections and quadric surfaces . . . . . . . . . . . . . . . . . 36

2.3 Orthonormal bases . . . . . . . . . . . . . . . . . . . . . . . . . . 44

2.4 Mechanical systems . . . . . . . . . . . . . . . . . . . . . . . . . . 49

2.5 Mechanical systems with many degrees of freedom* . . . . . . . . 53

2.6 A linear array of weights and springs* . . . . . . . . . . . . . . . 59

3 Fourier Series 62

3.1 Fourier series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62

3.2 Inner products . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69

3.3 Fourier sine and cosine series . . . . . . . . . . . . . . . . . . . . 72

3.4 Complex version of Fourier series* . . . . . . . . . . . . . . . . . 77

3.5 Fourier transforms* . . . . . . . . . . . . . . . . . . . . . . . . . . 79

4 Partial Diﬀerential Equations 81

4.1 Overview . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81

4.2 The initial value problem for the heat equation . . . . . . . . . . 85

4.3 Numerical solutions to the heat equation . . . . . . . . . . . . . . 92

4.4 The vibrating string . . . . . . . . . . . . . . . . . . . . . . . . . 94

4.5 The initial value problem for the vibrating string . . . . . . . . . 98

4.6 Heat ﬂow in a circular wire . . . . . . . . . . . . . . . . . . . . . 103

4.7 Sturm-Liouville Theory* . . . . . . . . . . . . . . . . . . . . . . . 107

4.8 Numerical solutions to the eigenvalue problem* . . . . . . . . . . 111

iii

5 PDE’s in Higher Dimensions 115

5.1 The three most important linear partial diﬀerential equations . . 115

5.2 The Dirichlet problem . . . . . . . . . . . . . . . . . . . . . . . . 118

5.3 Initial value problems for heat equations . . . . . . . . . . . . . . 123

5.4 Two derivations of the wave equation . . . . . . . . . . . . . . . . 129

5.5 Initial value problems for wave equations . . . . . . . . . . . . . . 134

5.6 The Laplace operator in polar coordinates . . . . . . . . . . . . . 136

5.7 Eigenvalues of the Laplace operator . . . . . . . . . . . . . . . . 141

5.8 Eigenvalues of the disk . . . . . . . . . . . . . . . . . . . . . . . . 144

5.9 Fourier analysis for the circular vibrating membrane* . . . . . . 150

A Using Mathematica to solve diﬀerential equations 156

Index 163

iv

Chapter 1

Power Series

1.1 What is a power series?

Functions are often represented eﬃciently by means of inﬁnite series. Examples

we have seen in calculus include the exponential function

e

x

= 1 +x +

1

2!

x

2

+

1

3!

x

3

+ =

∞

n=0

1

n!

x

n

, (1.1)

as well as the trigonometric functions

cos x = 1 −

1

2!

x

2

+

1

4!

x

4

− =

∞

k=0

(−1)

k

1

(2k)!

x

2k

and

sin x = x −

1

3!

x

3

+

1

5!

x

5

− =

∞

k=0

(−1)

k

1

(2k + 1)!

x

2k+1

.

An inﬁnite series of this type is called a power series. To be precise, a power

series centered at x

0

is an inﬁnite sum of the form

a

0

+a

1

(x −x

0

) +a

2

(x −x

0

)

2

+ =

∞

n=0

a

n

(x −x

0

)

n

,

where the a

n

’s are constants. In advanced treatments of calculus, these power

series representations are often used to deﬁne the exponential and trigonometric

functions.

Power series can also be used to construct tables of values for these functions.

For example, using a calculator or PC with suitable software installed (such as

Mathematica), we could calculate

1 + 1 +

1

2!

1

2

=

2

n=0

1

n!

1

n

= 2.5,

1

1 + 1 +

1

2!

1

2

+

1

3!

1

3

+

1

4!

1

4

=

4

n=0

1

n!

1

n

= 2.70833,

8

n=0

1

n!

1

n

= 2.71806,

12

n=0

1

n!

1

n

= 2.71828, . . .

As the number of terms increases, the sum approaches the familiar value of the

exponential function e

x

at x = 1.

For a power series to be useful, the inﬁnite sum must actually add up to a

ﬁnite number, as in this example, for at least some values of the variable x. We

let s

N

denote the sum of the ﬁrst (N + 1) terms in the power series,

s

N

= a

0

+a

1

(x −x

0

) +a

2

(x −x

0

)

2

+ +a

N

(x −x

0

)

N

=

N

n=0

a

n

(x −x

0

)

n

,

and say that the power series

∞

n=0

a

n

(x −x

0

)

n

converges if the ﬁnite sum s

N

gets closer and closer to some (ﬁnite) number as

N → ∞.

Let us consider, for example, one of the most important power series of

applied mathematics, the geometric series

1 +x +x

2

+x

3

+ =

∞

n=0

x

n

.

In this case we have

s

N

= 1 +x +x

2

+x

3

+ +x

N

, xs

N

= x +x

2

+x

3

+x

4

+x

N+1

,

s

N

−xs

N

= 1 −x

N+1

, s

N

=

1 −x

N+1

1 −x

.

If [x[ < 1, then x

N+1

gets smaller and smaller as N approaches inﬁnity, and

hence

lim

N→∞

x

N+1

= 0.

Substituting into the expression for s

N

, we ﬁnd that

lim

N→∞

s

N

=

1

1 −x

.

Thus if [x[ < 1, we say that the geometric series converges, and write

∞

n=0

x

n

=

1

1 −x

.

2

On the other hand, if [x[ > 1, then x

N+1

gets larger and larger as N ap-

proaches inﬁnity, so lim

N→∞

x

N+1

does not exist as a ﬁnite number, and neither

does lim

N→∞

s

N

. In this case, we say that the geometric series diverges. In

summary, the geometric series

∞

n=0

x

n

converges to

1

1 −x

when [x[ < 1,

and diverges when [x[ > 1.

This behaviour, convergence for [x[ < some number, and divergences for

[x[ > that number, is typical of power series:

Theorem. For any power series

a

0

+a

1

(x −x

0

) +a

2

(x −x

0

)

2

+ =

∞

n=0

a

n

(x −x

0

)

n

,

there exists R, which is a nonnegative real number or ∞, such that

1. the power series converges when [x −x

0

[ < R,

2. and the power series diverges when [x −x

0

[ > R.

We call R the radius of convergence. A proof of this theorem is given in more

advanced courses on real or complex analysis.

1

We have seen that the geometric series

1 +x +x

2

+x

3

+ =

∞

n=0

x

n

has radius of convergence R = 1. More generally, if b is a positive constant, the

power series

1 +

x

b

+

_

x

b

_

2

+

_

x

b

_

3

+ =

∞

n=0

_

x

b

_

n

(1.2)

has radius of convergence b. To see this, we make the substitution y = x/b,

and the power series becomes

∞

n=0

y

n

, which we already know converges for

[y[ < 1 and diverges for [y[ > 1. But

[y[ < 1 ⇔

¸

¸

¸

x

b

¸

¸

¸ < 1 ⇔ [x[ < b,

[y[ > 1 ⇔

¸

¸

¸

x

b

¸

¸

¸ > 1 ⇔ [x[ > b.

1

Good references for the theory behind convergence of power series are Edward D.

Gaughan, Introduction to analysis, Brooks/Cole Publishing Company, Paciﬁc Grove, 1998

and Walter Rudin, Principles of mathematical analysis, third edition, McGraw-Hill, New

York, 1976.

3

Thus for [x[ < b the power series (1.2) converges to

1

1 −y

=

1

1 −(x/b)

=

b

b −x

,

while for [x[ > b, it diverges.

There is a simple criterion that often enables one to determine the radius of

convergence of a power series.

Ratio Test. The radius of convergence of the power series

a

0

+a

1

(x −x

0

) +a

2

(x −x

0

)

2

+ =

∞

n=0

a

n

(x −x

0

)

n

is given by the formula

R = lim

n→∞

[a

n

[

[a

n+1

[

,

so long as this limit exists.

Let us check that the ratio test gives the right answer for the radius of conver-

gence of the power series (1.2). In this case, we have

a

n

=

1

b

n

, so

[a

n

[

[a

n+1

[

=

1/b

n

1/b

n+1

=

b

n+1

b

n

= b,

and the formula from the ratio test tells us that the radius of convergence is

R = b, in agreement with our earlier determination.

In the case of the power series for e

x

,

∞

n=0

1

n!

x

n

,

in which a

n

= 1/n!, we have

[a

n

[

[a

n+1

[

=

1/n!

1/(n + 1)!

=

(n + 1)!

n!

= n + 1,

and hence

R = lim

n→∞

[a

n

[

[a

n+1

[

= lim

n→∞

(n + 1) = ∞,

so the radius of convergence is inﬁnity. In this case the power series converges

for all x. In fact, we could use the power series expansion for e

x

to calculate e

x

for any choice of x.

On the other hand, in the case of the power series

∞

n=0

n!x

n

,

4

in which a

n

= n!, we have

[a

n

[

[a

n+1

[

=

n!

(n + 1)!

=

1

n + 1

, R = lim

n→∞

[a

n

[

[a

n+1

[

= lim

n→∞

_

1

n + 1

_

= 0.

In this case, the radius of convergence is zero, and the power series does not

converge for any nonzero x.

The ratio test doesn’t always work because the limit may not exist, but

sometimes one can use it in conjunction with the

Comparison Test. Suppose that the power series

∞

n=0

a

n

(x −x

0

)

n

,

∞

n=0

b

n

(x −x

0

)

n

have radius of convergence R

1

and R

2

respectively. If [a

n

[ ≤ [b

n

[ for all n, then

R

1

≥ R

2

. If [a

n

[ ≥ [b

n

[ for all n, then R

1

≤ R

2

.

In short, power series with smaller coeﬃcients have larger radius of convergence.

Consider for example the power series expansion for cos x,

1 + 0x −

1

2!

x

2

+ 0x

3

+

1

4!

x

4

− =

∞

k=0

(−1)

k

1

(2k)!

x

2k

.

In this case the coeﬃcient a

n

is zero when n is odd, while a

n

= ±1/n! when

n is even. In either case, we have [a

n

[ ≤ 1/n!. Thus we can compare with the

power series

1 +x +

1

2!

x

2

+

1

3!

x

3

+

1

4!

x

4

+ =

∞

n=0

1

n!

x

n

which represents e

x

and has inﬁnite radius of convergence. It follows from the

comparison test that the radius of convergence of

∞

k=0

(−1)

k

1

(2k)!

x

2k

must be at least large as that of the power series for e

x

, and hence must also be

inﬁnite.

Power series with positive radius of convergence are so important that there

is a special term for describing functions which can be represented by such power

series. A function f(x) is said to be real analytic at x

0

if there is a power series

∞

n=0

a

n

(x −x

0

)

n

about x

0

with positive radius of convergence R such that

f(x) =

∞

n=0

a

n

(x −x

0

)

n

, for [x −x

0

[ < R.

5

For example, the functions e

x

is real analytic at any x

0

. To see this, we

utilize the law of exponents to write e

x

= e

x0

e

x−x0

and apply (1.1) with x

replaced by x −x

0

:

e

x

= e

x0

∞

n=0

1

n!

(x −x

0

)

n

=

∞

n=0

a

n

(x −x

0

)

n

, where a

n

=

e

x0

n!

.

This is a power series expansion of e

x

about x

0

with inﬁnite radius of con-

vergence. Similarly, the monomial function f(x) = x

n

is real analytic at x

0

because

x

n

= (x −x

0

+x

0

)

n

=

n

i=0

n!

i!(n −i)!

x

n−i

0

(x −x

0

)

i

by the binomial theorem, a power series about x

0

in which all but ﬁnitely many

of the coeﬃcients are zero.

In more advanced courses, one studies criteria under which functions are

real analytic. For our purposes, it is suﬃcient to be aware of the following facts:

The sum and product of real analytic functions is real analytic. It follows from

this that any polynomial

P(x) = a

0

+a

1

x +a

2

x

2

+ +a

n

x

n

is analytic at any x

0

. The quotient of two polynomials with no common factors,

P(x)/Q(x), is analytic at x

0

if and only if x

0

is not a zero of the denominator

Q(x). Thus for example, 1/(x −1) is analytic whenever x

0

,= 1, but fails to be

analytic at x

0

= 1.

Exercises:

1.1.1. Use the ratio test to ﬁnd the radius of convergence of the following power

series:

a.

∞

n=0

(−1)

n

x

n

, b.

∞

n=0

1

n + 1

x

n

,

c.

∞

n=0

3

n + 1

(x −2)

n

, d.

∞

n=0

1

2

n

(x −π)

n

,

e.

∞

n=0

(7x −14)

n

, f.

∞

n=0

1

n!

(3x −6)

n

.

1.1.2. Use the comparison test to ﬁnd an estimate for the radius of convergence

of each of the following power series:

a.

∞

k=0

1

(2k)!

x

2k

, b.

∞

k=0

(−1)

k

x

2k

,

c.

∞

k=0

1

2k

(x −4)

2k

d.

∞

k=0

1

2

2k

(x −π)

2k

.

6

1.1.3. Use the comparison test and the ratio test to ﬁnd the radius of convergence

of the power series

∞

m=0

(−1)

m

1

(m!)

2

_

x

2

_

2m

.

1.1.4. Determine the values of x

0

at which the following functions fail to be real

analytic:

a. f(x) =

1

x −4

, b. g(x) =

x

x

2

−1

,

c. h(x) =

4

x

4

−3x

2

+ 2

, d. φ(x) =

1

x

3

−5x

2

+ 6x

1.2 Solving diﬀerential equations by means of

power series

Our main goal in this chapter is to study how to determine solutions to diﬀer-

ential equations by means of power series. As an example, we consider our old

friend, the equation of simple harmonic motion

d

2

y

dx

2

+y = 0, (1.3)

which we have already learned how to solve by other methods. Suppose for the

moment that we don’t know the general solution and want to ﬁnd it by means

of power series. We could start by assuming that

y = a

0

+a

1

x +a

2

x

2

+a

3

x

3

+ =

∞

n=0

a

n

x

n

. (1.4)

It can be shown that the standard technique for diﬀerentiating polynomials term

by term also works for power series, so we expect that

dy

dx

= a

1

+ 2a

2

x + 3a

3

x

2

+ =

∞

n=1

na

n

x

n−1

.

(Note that the last summation only goes from 1 to ∞, since the term with n = 0

drops out of the sum.) Diﬀerentiating again yields

d

2

y

dx

2

= 2a

2

+ 3 2a

3

x + 4 3a

4

x

2

+ =

∞

n=2

n(n −1)a

n

x

n−2

.

We can replace n by m+ 2 in the last summation so that

d

2

y

dx

2

=

∞

m+2=2

(m+ 2)(m+ 2 −1)a

m+2

x

m+2−2

=

∞

m=0

(m+ 2)(m+ 1)a

m+2

x

m

.

7

The index m is a “dummy variable” in the summation and can be replaced by

any other letter. Thus we are free to replace m by n and obtain the formula

d

2

y

dx

2

=

∞

n=0

(n + 2)(n + 1)a

n+2

x

n

.

Substitution into equation(1.3) yields

∞

n=0

(n + 2)(n + 1)a

n+2

x

n

+

∞

n=0

a

n

x

n

= 0,

or

∞

n=0

[(n + 2)(n + 1)a

n+2

+a

n

]x

n

= 0.

Recall that a polynomial is zero only if all its coeﬃcients are zero. Similarly, a

power series can be zero only if all of its coeﬃcients are zero. It follows that

(n + 2)(n + 1)a

n+2

+a

n

= 0,

or

a

n+2

= −

a

n

(n + 2)(n + 1)

. (1.5)

This is called a recursion formula for the coeﬃcients a

n

.

The ﬁrst two coeﬃcients a

0

and a

1

in the power series can be determined

from the initial conditions,

y(0) = a

0

,

dy

dx

(0) = a

1

.

Then the recursion formula can be used to determine the remaining coeﬃcients

by the process of induction. Indeed it follows from (1.5) with n = 0 that

a

2

= −

a

0

2 1

= −

1

2

a

0

.

Similarly, it follows from (1.5) with n = 1 that

a

3

= −

a

1

3 2

= −

1

3!

a

1

,

and with n = 2 that

a

4

= −

a

2

4 3

=

1

4 3

1

2

a

0

=

1

4!

a

0

.

Continuing in this manner, we ﬁnd that

a

2n

=

(−1)

n

(2n)!

a

0

, a

2n+1

=

(−1)

n

(2n + 1)!

a

1

.

8

Substitution into (1.4) yields

y = a

0

+a

1

x −

1

2!

a

0

x

2

−

1

3!

a

1

x

3

+

1

4!

a

0

x

4

+

= a

0

_

1 −

1

2!

x

2

+

1

4!

x

4

−

_

+a

1

_

x −

1

3!

x

3

+

1

5!

x

5

−

_

.

We recognize that the expressions within parentheses are power series expan-

sions of the functions sin x and cos x, and hence we obtain the familiar expression

for the solution to the equation of simple harmonic motion,

y = a

0

cos x +a

1

sin x.

The method we have described—assuming a solution to the diﬀerential equa-

tion of the form

y(x) =

∞

n=0

a

n

x

n

and solve for the coeﬃcients a

n

—is surprisingly eﬀective, particularly for the

class of equations called second-order linear diﬀerential equations.

It is proven in books on diﬀerential equations that if P(x) and Q(x) are well-

behaved functions, then the solutions to the “homogeneous linear diﬀerential

equation”

d

2

y

dx

2

+P(x)

dy

dx

+Q(x)y = 0

can be organized into a two-parameter family

y = a

0

y

0

(x) +a

1

y

1

(x),

called the general solution. Here y

0

(x) and y

1

(x) are any two nonzero solutions,

neither of which is a constant multiple of the other. In the terminology used in

linear algebra, we say that they are linearly independent solutions. As a

0

and

a

1

range over all constants, y ranges throughout a “linear space” of solutions.

We say that y

0

(x) and y

1

(x) form a basis for the space of solutions.

In the special case where the functions P(x) and Q(x) are real analytic,

the solutions y

0

(x) and y

1

(x) will also be real analytic. This is the content of

the following theorem, which is proven in more advanced books on diﬀerential

equations:

Theorem. If the functions P(x) and Q(x) can be represented by power series

P(x) =

∞

n=0

p

n

(x −x

0

)

n

, Q(x) =

∞

n=0

q

n

(x −x

0

)

n

with positive radii of convergence R

1

and R

2

respectively, then any solution

y(x) to the linear diﬀerential equation

d

2

y

dx

2

+P(x)

dy

dx

+Q(x)y = 0

9

can be represented by a power series

y(x) =

∞

n=0

a

n

(x −x

0

)

n

,

whose radius of convergence is ≥ the smallest of R

1

and R

2

.

This theorem is used to justify the solution of many well-known diﬀerential

equations by means of the power series method.

Example. Hermite’s diﬀerential equation is

d

2

y

dx

2

−2x

dy

dx

+ 2py = 0, (1.6)

where p is a parameter. It turns out that this equation is very useful for treating

the simple harmonic oscillator in quantum mechanics, but for the moment, we

can regard it as merely an example of an equation to which the previous theorem

applies. Indeed,

P(x) = −2x, Q(x) = 2p,

both functions being polynomials, hence power series about x

0

= 0 with inﬁnite

radius of convergence.

As in the case of the equation of simple harmonic motion, we write

y =

∞

n=0

a

n

x

n

.

We diﬀerentiate term by term as before, and obtain

dy

dx

=

∞

n=1

na

n

x

n−1

,

d

2

y

dx

2

=

∞

n=2

n(n −1)a

n

x

n−2

.

Once again, we can replace n by m+ 2 in the last summation so that

d

2

y

dx

2

=

∞

m+2=2

(m+ 2)(m+ 2 −1)a

m+2

x

m+2−2

=

∞

m=0

(m+ 2)(m+ 1)a

m+2

x

m

,

and then replace m by n once again, so that

d

2

y

dx

2

=

∞

n=0

(n + 2)(n + 1)a

n+2

x

n

. (1.7)

Note that

−2x

dy

dx

=

∞

n=0

−2na

n

x

n

, (1.8)

10

while

2py =

∞

n=0

2pa

n

x

n

. (1.9)

Adding together (1.7), (1.8) and (1.9), we obtain

d

2

y

dx

2

−2x

dy

dx

+ 2py =

∞

n=0

(n + 2)(n + 1)a

n+2

x

n

+

∞

n=0

(−2n + 2p)a

n

x

n

.

If y satisﬁes Hermite’s equation, we must have

0 =

∞

n=0

[(n + 2)(n + 1)a

n+2

(−2n + 2p)a

n

]x

n

.

Since the right-hand side is zero for all choices of x, each coeﬃcient must be

zero, so

(n + 2)(n + 1)a

n+2

+ (−2n + 2p)a

n

= 0,

and we obtain the recursion formula for the coeﬃcients of the power series:

a

n+2

=

2n −2p

(n + 2)(n + 1)

a

n

. (1.10)

Just as in the case of the equation of simple harmonic motion, the ﬁrst two

coeﬃcients a

0

and a

1

in the power series can be determined from the initial

conditions,

y(0) = a

0

,

dy

dx

(0) = a

1

.

The recursion formula can be used to determine the remaining coeﬃcients in

the power series. Indeed it follows from (1.10) with n = 0 that

a

2

= −

2p

2 1

a

0

.

Similarly, it follows from (1.10) with n = 1 that

a

3

=

2 −2p

3 2

a

1

= −

2(p −1)

3!

a

1

,

and with n = 2 that

a

4

= −

4 −2p

4 3

a

2

=

2(2 −p)

4 3

−2p

2

a

0

=

2

2

p(p −2)

4!

a

0

.

Continuing in this manner, we ﬁnd that

a

5

=

6 −2p

5 4

a

3

=

2(3 −p)

5 4

2(1 −p)

3!

a

1

=

2

2

(p −1)(p −3)

5!

a

1

,

11

a

6

=

8 −2p

6 5 2

a

4

=

2(3 −p)

6 5

2

2

(p −2)p

4!

a

0

= −

2

3

p(p −2)(p −4)

6!

a

0

,

and so forth. Thus we ﬁnd that

y = a

0

_

1 −

2p

2!

x

2

+

2

2

p(p −2)

4!

x

4

−

2

3

p(p −2)(p −4)

6!

x

6

+

_

+a

1

_

x −

2(p −1)

3!

x

3

+

2

2

(p −1)(p −3)

5!

x

5

−

2

3

(p −1)(p −3)(p −5)

7!

x

7

+

_

.

We can now write the general solution to Hermite’s equation in the form

y = a

0

y

0

(x) +a

1

y

1

(x),

where

y

0

(x) = 1 −

2p

2!

x

2

+

2

2

p(p −2)

4!

x

4

−

2

3

p(p −2)(p −4)

6!

x

6

+

and

y

1

(x) = x−

2(p −1)

3!

x

3

+

2

2

(p −1)(p −3)

5!

x

5

−

2

3

(p −1)(p −3)(p −5)

7!

x

7

+ .

For a given choice of the parameter p, we could use the power series to construct

tables of values for the functions y

0

(x) and y

1

(x). Tables of values for these

functions are found in many ”handbooks of mathematical functions.” In the

language of linear algebra, we say that y

0

(x) and y

1

(x) form a basis for the

space of solutions to Hermite’s equation.

When p is a positive integer, one of the two power series will collapse, yielding

a polynomial solution to Hermite’s equation. These polynomial solutions are

known as Hermite polynomials.

Another Example. Legendre’s diﬀerential equation is

(1 −x

2

)

d

2

y

dx

2

−2x

dy

dx

+p(p + 1)y = 0, (1.11)

where p is a parameter. This equation is very useful for treating spherically

symmetric potentials in the theories of Newtonian gravitation and in electricity

and magnetism.

To apply our theorem, we need to divide by 1 −x

2

to obtain

d

2

y

dx

2

−

2x

1 −x

2

dy

dx

+

p(p + 1)

1 −x

2

y = 0.

Thus we have

P(x) = −

2x

1 −x

2

, Q(x) =

p(p + 1)

1 −x

2

.

12

Now from the preceding section, we know that the power series

1 +u +u

2

+u

3

+ converges to

1

1 −u

for [u[ < 1. If we substitute u = x

2

, we can conclude that

1

1 −x

2

= 1 +x

2

+x

4

+x

6

+ ,

the power series converging when [x[ < 1. It follows quickly that

P(x) = −

2x

1 −x

2

= −2x −2x

3

−2x

5

−

and

Q(x) =

p(p + 1)

1 −x

2

= p(p + 1) +p(p + 1)x

2

+p(p + 1)x

4

+ .

Both of these functions have power series expansions about x

0

= 0 which con-

verge for [x[ < 1. Hence our theorem implies that any solution to Legendre’s

equation will be expressible as a power series about x

0

= 0 which converges for

[x[ < 1. However, we might suspect that the solutions to Legendre’s equation

to exhibit some unpleasant behaviour near x = ±1. Experimentation with nu-

merical solutions to Legendre’s equation would show that these suspicions are

justiﬁed—solutions to Legendre’s equation will usually blow up as x → ±1.

Indeed, it can be shown that when p is an integer, Legendre’s diﬀerential

equation has a nonzero polynomial solution which is well-behaved for all x, but

solutions which are not constant multiples of these Legendre polynomials blow

up as x → ±1.

Exercises:

1.2.1. We would like to use the power series method to ﬁnd the general solution

to the diﬀerential equation

d

2

y

dx

2

−4x

dy

dx

+ 12y = 0,

which is very similar to Hermite’s equation. So we assume the solution is of the

form

y =

∞

n=0

a

n

x

n

,

a power series centered at 0, and determine the coeﬃcients a

n

.

a. As a ﬁrst step, ﬁnd the recursion formula for a

n+2

in terms of a

n

.

b. The coeﬃcients a

0

and a

1

will be determined by the initial conditions. Use

the recursion formula to determine a

n

in terms of a

0

and a

1

, for 2 ≤ n ≤ 9.

c. Find a nonzero polynomial solution to this diﬀerential equation.

13

d. Find a basis for the space of solutions to the equation.

e. Find the solution to the initial value problem

d

2

y

dx

2

−4x

dy

dx

+ 12y = 0, y(0) = 0,

dy

dx

(0) = 1.

f. To solve the diﬀerential equation

d

2

y

dx

2

−4(x −3)

dy

dx

+ 12y = 0,

it would be most natural to assume that the solution has the form

y =

∞

n=0

a

n

(x −3)

n

.

Use this idea to ﬁnd a polynomial solution to the diﬀerential equation

d

2

y

dx

2

−4(x −3)

dy

dx

+ 12y = 0.

1.2.2. We want to use the power series method to ﬁnd the general solution to

Legendre’s diﬀerential equation

(1 −x

2

)

d

2

y

dx

2

−2x

dy

dx

+p(p + 1)y = 0.

Once again our approach is to assume our solution is a power series centered at

0 and determine the coeﬃcients in this power series.

a. As a ﬁrst step, ﬁnd the recursion formula for a

n+2

in terms of a

n

.

b. Use the recursion formula to determine a

n

in terms of a

0

and a

1

, for 2 ≤ n ≤

9.

c. Find a nonzero polynomial solution to this diﬀerential equation, in the case

where p = 3.

d. Find a basis for the space of solutions to the diﬀerential equation

(1 −x

2

)

d

2

y

dx

2

−2x

dy

dx

+ 12y = 0.

1.2.3. The diﬀerential equation

(1 −x

2

)

d

2

y

dx

2

−x

dy

dx

+p

2

y = 0,

where p is a constant, is known as Chebyshev’s equation. It can be rewritten in

the form

d

2

y

dx

2

+P(x)

dy

dx

+Q(x)y = 0, where P(x) = −

x

1 −x

2

, Q(x) =

p

2

1 −x

2

.

14

a. If P(x) and Q(x) are represented as power series about x

0

= 0, what is the

radius of convergence of these power series?

b. Assuming a power series centered at 0, ﬁnd the recursion formula for a

n+2

in terms of a

n

.

c. Use the recursion formula to determine a

n

in terms of a

0

and a

1

, for 2 ≤ n ≤

9.

d. In the special case where p = 3, ﬁnd a nonzero polynomial solution to this

diﬀerential equation.

e. Find a basis for the space of solutions to

(1 −x

2

)

d

2

y

dx

2

−x

dy

dx

+ 9y = 0.

1.2.4. The diﬀerential equation

_

−

d

2

dx

2

+x

2

_

z = λz (1.12)

arises when treating the quantum mechanics of simple harmonic motion.

a. Show that making the substitution z = e

−x

2

/2

y transforms this equation into

Hermite’s diﬀerential equation

d

2

y

dx

2

−2x

dy

dx

+ (λ −1)y = 0.

b. Show that if λ = 2n+1 where n is a nonnegative integer, (1.12) has a solution

of the form z = e

−x

2

/2

P

n

(x), where P

n

(x) is a polynomial.

1.3 Singular points

Our ultimate goal is to give a mathematical description of the vibrations of a

circular drum. For this, we will need to solve Bessel’s equation, a second-order

homogeneous linear diﬀerential equation with a “singular point” at 0.

A point x

0

is called an ordinary point for the diﬀerential equation

d

2

y

dx

2

+P(x)

dy

dx

+Q(x)y = 0 (1.13)

if the coeﬃcients P(x) or Q(x) are both real analytic at x = x

0

, or equivalently,

both P(x) or Q(x) have power series expansions about x = x

0

with positive

radius of convergence. In the opposite case, we say that x

0

is a singular point;

thus x

0

is a singular point if at least one of the coeﬃcients P(x) or Q(x) fails

to be real analytic at x = x

0

. A singular point is said to be regular if

(x −x

0

)P(x) and (x −x

0

)

2

Q(x)

15

are real analytic.

For example, x

0

= 1 is a singular point for Legendre’s equation

d

2

y

dx

2

−

2x

1 −x

2

dy

dx

+

p(p + 1)

1 −x

2

y = 0,

because 1 −x

2

→ 0 as x → 1 and hence the quotients

2x

1 −x

2

and

p(p + 1)

1 −x

2

blow up as x → 1, but it is a regular singular point because

(x −1)P(x) = (x −1)

−2x

1 −x

2

=

2x

x + 1

and

(x −1)

2

Q(x) = (x −1)

2

p(p + 1)

1 −x

2

=

p(p + 1)(1 −x)

1 +x

are both real analytic at x

0

= 1.

The point of these deﬁnitions is that in the case where x = x

0

is a regular

singular point, a modiﬁcation of the power series method can still be used to

ﬁnd solutions.

Theorem of Frobenius. If x

0

is a regular singular point for the diﬀerential

equation

d

2

y

dx

2

+P(x)

dy

dx

+Q(x)y = 0,

then this diﬀerential equation has at least one nonzero solution of the form

y(x) = (x −x

0

)

r

∞

n=0

a

n

(x −x

0

)

n

, (1.14)

where r is a constant, which may be complex. If (x−x

0

)P(x) and (x−x

0

)

2

Q(x)

have power series which converge for [x −x

0

[ < R then the power series

∞

n=0

a

n

(x −x

0

)

n

will also converge for [x −x

0

[ < R.

We will call a solution of the form (1.14) a generalized power series solution.

Unfortunately, the theorem guarantees only one generalized power series solu-

tion, not a basis. In fortuitous cases, one can ﬁnd a basis of generalized power

series solutions, but not always. The method of ﬁnding generalized power series

solutions to (1.13) in the case of regular singular points is called the Frobenius

method.

2

2

For more discussion of the Frobenius method as well as many of the other techniques

touched upon in this chapter we refer the reader to George F. Simmons, Diﬀerential equations

with applications and historical notes, second edition, McGraw-Hill, New York, 1991.

16

The simplest diﬀerential equation to which the Theorem of Frobenius applies

is the Cauchy-Euler equidimensional equation. This is the special case of (1.13)

for which

P(x) =

p

x

, Q(x) =

q

x

2

,

where p and q are constants. Note that

xP(x) = p and x

2

Q(x) = q

are real analytic, so x = 0 is a regular singular point for the Cauchy-Euler

equation as long as either p or q is nonzero.

The Frobenius method is quite simple in the case of Cauchy-Euler equations.

Indeed, in this case, we can simply take y(x) = x

r

, substitute into the equation

and solve for r. Often there will be two linearly independent solutions y

1

(x) =

x

r1

and y

2

(x) = x

r2

of this special form. In this case, the general solution is

given by the superposition principle as

y = c

1

x

r1

+c

2

x

r2

.

For example, to solve the diﬀerential equation

x

2

d

2

y

dx

2

+ 4x

dy

dx

+ 2y = 0,

we set y = x

r

and diﬀerentiate to show that

dy/dx = rx

r−1

⇒ x(dy/dx) = rx

r

,

d

2

y/dx

2

= r(r −1)x

r−2

⇒ x

2

(d

2

y/dx

2

) = r(r −1)x

r

.

Substitution into the diﬀerential equation yields

r(r −1)x

r

+ 4rx

r

+ 2x

r

= 0,

and dividing by x

r

yields

r(r −1) + 4r + 2 = 0 or r

2

+ 3r + 2 = 0.

The roots to this equation are r = −1 and r = −2, so the general solution to

the diﬀerential equation is

y = c

1

x

−1

+c

2

x

−2

=

c

1

x

+

c

2

x

2

.

Note that the solutions y

1

(x) = x

−1

and y

2

(x) = x

−2

can be rewritten in the

form

y

1

(x) = x

−1

∞

n=0

a

n

x

n

, y

2

(x) = x

−2

∞

n=0

b

n

x

n

,

where a

0

= b

0

= 1 and all the other a

n

’s and b

n

’s are zero, so both of these

solutions are generalized power series solutions.

17

On the other hand, if this method is applied to the diﬀerential equation

x

2

d

2

y

dx

2

+ 3x

dy

dx

+y = 0,

we obtain

r(r −1) + 3r + 1 = r

2

+ 2r + 1,

which has a repeated root. In this case, we obtain only a one-parameter family

of solutions

y = cx

−1

.

Fortunately, there is a trick that enables us to handle this situation, the so-called

method of variation of parameters. In this context, we replace the parameter c

by a variable v(x) and write

y = v(x)x

−1

.

Then

dy

dx

= v

(x)x

−1

−v(x)x

−2

,

d

2

y

dx

2

= v

(x)x

−1

−2v

(x)x

−2

+ 2v(x)x

−3

.

Substitution into the diﬀerential equation yields

x

2

(v

(x)x

−1

−2v

(x)x

−2

+2v(x)x

−3

) +3x(v

(x)x

−1

−v(x)x

−2

) +v(x)x

−1

= 0,

which quickly simpliﬁes to yield

xv

(x) +v

(x) = 0,

v

v

= −

1

x

, log [v

[ = −log [x[ +a, v

=

c

2

x

,

where a and c

2

are constants of integration. A further integration yields

v = c

2

log [x[ +c

1

, so y = (c

2

log [x[ +c

1

)x

−1

,

and we obtain the general solution

y = c

1

1

x

+c

2

log [x[

x

.

In this case, only one of the basis elements in the general solution is a generalized

power series.

For equations which are not of Cauchy-Euler form the Frobenius method is

more involved. Let us consider the example

2x

d

2

y

dx

2

+

dy

dx

+y = 0, (1.15)

which can be rewritten as

d

2

y

dx

2

+P(x)

dy

dx

+Q(x)y = 0, where P(x) =

1

2x

, Q(x) =

1

2x

.

18

One easily checks that x = 0 is a regular singular point. We begin the Frobenius

method by assuming that the solution has the form

y = x

r

∞

n=0

a

n

x

n

=

∞

n=0

a

n

x

n+r

.

Then

dy

dx

=

∞

n=0

(n +r)a

n

x

n+r−1

,

d

2

y

dx

2

=

∞

n=0

(n +r)(n +r −1)a

n

x

n+r−2

and

2x

d

2

y

dx

2

=

∞

n=0

2(n +r)(n +r −1)a

n

x

n+r−1

.

Substitution into the diﬀerential equation yields

∞

n=0

2(n +r)(n +r −1)a

n

x

n+r−1

+

∞

n=0

(n +r)a

n

x

n+r−1

+

∞

n=0

a

n

x

n+r

= 0,

which simpliﬁes to

x

r

_

∞

n=0

(2n + 2r −1)(n +r)a

n

x

n−1

+

∞

n=0

a

n

x

n

_

= 0.

We can divide by x

r

, and separate out the ﬁrst term from the ﬁrst summation,

obtaining

(2r −1)ra

0

x

−1

+

∞

n=1

(2n + 2r −1)(n +r)a

n

x

n−1

+

∞

n=0

a

n

x

n

= 0.

If we let n = m+ 1 in the ﬁrst inﬁnite sum, this becomes

(2r −1)ra

0

x

−1

+

∞

m=0

(2m+ 2r + 1)(m+r + 1)a

m+1

x

m

+

∞

n=0

a

n

x

n

= 0.

Finally, we replace m by n, obtaining

(2r −1)ra

0

x

−1

+

∞

n=0

(2n + 2r + 1)(n +r + 1)a

n+1

x

n

+

∞

n=0

a

n

x

n

= 0.

The coeﬃcient of each power of x must be zero. In particular, we must have

(2r −1)ra

0

= 0, (2n + 2r + 1)(n +r + 1)a

n+1

+a

n

= 0. (1.16)

If a

0

= 0, then all the coeﬃcients must be zero from the second of these equa-

tions, and we don’t get a nonzero solution. So we must have a

0

,= 0 and hence

(2r −1)r = 0.

19

This is called the indicial equation. In this case, it has two roots

r

1

= 0, r

2

=

1

2

.

The second half of (1.16) yields the recursion formula

a

n+1

= −

1

(2n + 2r + 1)(n +r + 1)

a

n

, for n ≥ 0.

We can try to ﬁnd a generalized power series solution for either root of the

indicial equation. If r = 0, the recursion formula becomes

a

n+1

= −

1

(2n + 1)(n + 1)

a

n

.

Given a

0

= 1, we ﬁnd that

a

1

= −1, a

2

= −

1

3 2

a

1

=

1

3 2

,

a

3

= −

1

5 3

a

2

= −

1

(5 3)(3 2)

, a

4

= −

1

7 4

a

3

=

1

(7 5 3)4!

,

and so forth. In general, we would have

a

n

= (−1)

n

1

(2n −1)(2n −3) 1 n!

.

One of the generalized power series solution to (1.15) is

y

1

(x) = x

0

_

1 −x +

1

3 2

x

2

−

1

(5 3)(3!)

x

3

+

1

(7 5 3)4!

x

4

−

_

= 1 −x +

1

3 2

x

2

−

1

(5 3)(3!)

x

3

+

1

(7 5 3)4!

x

4

− .

If r = 1/2, the recursion formula becomes

a

n+1

= −

1

(2n + 2)(n + (1/2) + 1)

a

n

= −

1

(n + 1)(2n + 3)

a

n

.

Given a

0

= 1, we ﬁnd that

a

1

= −

1

3

, a

2

= −

1

2 5

a

1

=

1

2 5 3

,

a

3

= −

1

3 7

a

2

= −

1

3! (7 5 3)

,

and in general,

a

n

= (−1)

n

1

n!(2n + 1)(2n −1) 1 n!

.

20

We thus obtain a second generalized power series solution to (1.15):

y

2

(x) = x

1/2

_

1 −

1

3

x +

1

2 5 3

x

2

−

1

3! (7 5 3)

x

3

+

_

.

The general solution to (1.15) is a superposition of y

1

(x) and y

2

(x):

y = c

1

_

1 −x +

1

3 2

x

2

−

1

(5 3)(3!)

x

3

+

1

(7 5 3)4!

x

4

−

_

+c

2

√

x

_

1 −

1

3

x +

1

2 5 3

x

2

−

1

3! (7 5 3)

x

3

+

_

.

We obtained two linearly independent generalized power series solutions in

this case, but this does not always happen. If the roots of the indicial equation

diﬀer by an integer, we may obtain only one generalized power series solution.

In that case, a second independent solution can then be found by variation of

parameters, just as we saw in the case of the Cauchy-Euler equidimensional

equation.

Exercises:

1.3.1. For each of the following diﬀerential equations, determine whether x = 0

is ordinary or singular. If it is singular, determine whether it is regular or not.

a. y

+xy

+ (1 −x

2

)y = 0.

b. y

+ (1/x)y

+ (1 −(1/x

2

))y = 0.

c. x

2

y

+ 2xy

+ (cos x)y = 0.

d. x

3

y

+ 2xy

+ (cos x)y = 0.

1.3.2. Find the general solution to each of the following Cauchy-Euler equations:

a. x

2

d

2

y/dx

2

−2xdy/dx + 2y = 0.

b. x

2

d

2

y/dx

2

−xdy/dx +y = 0.

c. x

2

d

2

y/dx

2

−xdy/dx + 10y = 0.

(Hint: Use the formula

x

a+bi

= x

a

x

bi

= x

a

(e

log x

)

bi

= x

a

e

ib log x

= x

a

[cos(b log x) +i sin(b log x)]

to simplify the answer.)

1.3.3. We want to ﬁnd generalized power series solutions to the diﬀerential

equation

3x

d

2

y

dx

2

+

dy

dx

+y = 0

21

by the method of Frobenius. Our procedure is to ﬁnd solutions of the form

y = x

r

∞

n=0

a

n

x

n

=

∞

n=0

a

n

x

n+r

,

where r and the a

n

’s are constants.

a. Determine the indicial equation and the recursion formula.

b. Find two linearly independent generalized power series solutions.

1.3.4. To ﬁnd generalized power series solutions to the diﬀerential equation

2x

d

2

y

dx

2

+

dy

dx

+xy = 0

by the method of Frobenius, we assume the solution has the form

y =

∞

n=0

a

n

x

n+r

,

where r and the a

n

’s are constants.

a. Determine the indicial equation and the recursion formula.

b. Find two linearly independent generalized power series solutions.

1.4 Bessel’s diﬀerential equation

Our next goal is to apply the Frobenius method to Bessel’s equation,

x

d

dx

_

x

dy

dx

_

+ (x

2

−p

2

)y = 0, (1.17)

an equation which is needed to analyze the vibrations of a circular drum, as we

mentioned before. Here p is a parameter, which will be a nonnegative integer

in the vibrating drum problem. Using the Leibniz rule for diﬀerentiating a

product, we can rewrite Bessel’s equation in the form

x

2

d

2

y

dx

2

+x

dy

dx

+ (x

2

−p

2

)y = 0

or equivalently as

d

2

y

dx

2

+P(x)

dy

dx

+Q(x) = 0,

where

P(x) =

1

x

and Q(x) =

x

2

−p

2

x

2

.

Since

xP(x) = 1 and x

2

Q(x) = x

2

−p

2

,

22

we see that x = 0 is a regular singular point, so the Frobenius theorem implies

that there exists a nonzero generalized power series solution to (1.17).

To ﬁnd such a solution, we start as in the previous section by assuming that

y =

∞

n=0

a

n

x

n+r

.

Then

dy

dx

=

∞

n=0

(n +r)a

n

x

n+r−1

, x

dy

dx

=

∞

n=0

(n +r)a

n

x

n+r

,

d

dx

_

x

dy

dx

_

=

∞

n=0

(n +r)

2

a

n

x

n+r−1

,

and thus

x

d

dx

_

x

dy

dx

_

=

∞

n=0

(n +r)

2

a

n

x

n+r

. (1.18)

On the other hand,

x

2

y =

∞

n=0

a

n

x

n+r+2

=

∞

m=2

a

m−2

x

m+r

,

where we have set m = n + 2. Replacing m by n then yields

x

2

y =

∞

n=2

a

n−2

x

n+r

. (1.19)

Finally, we have,

−p

2

y = −

∞

n=0

p

2

a

n

x

n+r

. (1.20)

Adding up (1.18), (1.19), and (1.20), we ﬁnd that if y is a solution to (1.17),

∞

n=0

(n +r)

2

a

n

x

n+r

+

∞

n=2

a

n−2

x

n+r

−

∞

n=0

p

2

a

n

x

n+r

= 0.

This simpliﬁes to yield

∞

n=0

[(n +r)

2

−p

2

]a

n

x

n+r

+

∞

n=2

a

n−2

x

n+r

= 0,

or after division by x

r

,

∞

n=0

[(n +r)

2

−p

2

]a

n

x

n

+

∞

n=2

a

n−2

x

n

= 0.

23

Thus we ﬁnd that

(r

2

−p

2

)a

0

+ [(r + 1)

2

−p

2

]a

1

x +

∞

n=2

¦[(n +r)

2

−p

2

]a

n

+a

n−2

¦x

n

= 0.

The coeﬃcient of each power of x must be zero, so

(r

2

−p

2

)a

0

= 0, [(r+1)

2

−p

2

]a

1

= 0, [(n+r)

2

−p

2

]a

n

+a

n−2

= 0 for n ≥ 2.

Since we want a

0

to be nonzero, r must satisfy the indicial equation

(r

2

−p

2

) = 0,

which implies that r = ±p. Let us assume without loss of generality that p ≥ 0

and take r = p. Then

[(p + 1)

2

−p

2

]a

1

= 0 ⇒ (2p + 1)a

1

= 0 ⇒ a

1

= 0.

Finally,

[(n +p)

2

−p

2

]a

n

+a

n−2

= 0 ⇒ [n

2

+ 2np]a

n

+a

n−2

= 0,

which yields the recursion formula

a

n

= −

1

2np +n

2

a

n−2

. (1.21)

The recursion formula implies that a

n

= 0 if n is odd.

In the special case where p is a nonnegative integer, we will get a genuine

power series solution to Bessel’s equation (1.17). Let us focus now on this

important case. If we set

a

0

=

1

2

p

p!

,

we obtain

a

2

=

−a

0

4p + 4

= −

1

4(p + 1)

1

2

p

p!

= (−1)

_

1

2

_

p+2

1

1!(p + 1)!

,

a

4

=

−a

2

8p + 16

=

1

8(p + 2)

_

1

2

_

p+2

1

1!(p + 1)!

=

=

1

2(p + 2)

_

1

2

_

p+4

1

1!(p + 1)!

= (−1)

2

_

1

2

_

p+4

1

2!(p + 2)!

,

and so forth. The general term is

a

2m

= (−1)

m

_

1

2

_

p+2m

1

m!(p +m)!

.

24

2 4 6 8 10 12 14

-0.4

-0.2

0.2

0.4

0.6

0.8

1

Figure 1.1: Graph of the Bessel function J

0

(x).

Thus we ﬁnally obtain the power series solution

y =

_

x

2

_

p

∞

m=0

(−1)

m

1

m!(p +m)!

_

x

2

_

2m

.

The function deﬁned by the power series on the right-hand side is called the

p-th Bessel function of the ﬁrst kind, and is denoted by the symbol J

p

(x). For

example,

J

0

(x) =

∞

m=0

(−1)

m

1

(m!)

2

_

x

2

_

2m

.

Using the comparison and ratio tests, we can show that the power series ex-

pansion for J

p

(x) has inﬁnite radius of convergence. Thus when p is an integer,

Bessel’s equation has a nonzero solution which is real analytic at x = 0.

Bessel functions are so important that Mathematica includes them in its

library of built-in functions.

3

Mathematica represents the Bessel functions of

the ﬁrst kind symbolically by BesselJ[n,x]. Thus to plot the Bessel function

J

n

(x) on the interval [0, 15] one simply types in

n=0; Plot[ BesselJ[n,x], ¦x,0,15¦]

and a plot similar to that of Figure 1.1 will be produced. Similarly, we can

plot J

n

(x), for n = 1, 2, 3 . . . . Note that the graph of J

0

(x) suggests that it has

inﬁnitely many positive zeros.

On the open interval 0 < x < ∞, Bessel’s equation has a two-dimensional

space of solutions. However, it turns out that when p is a nonnegative integer, a

second solution, linearly independent from the Bessel function of the ﬁrst kind,

3

For a very brief introduction to Mathematica, the reader can refer to Appendix A.

25

2 4 6 8 10 12 14

-0.2

0.2

0.4

0.6

Figure 1.2: Graph of the Bessel function J

1

(x).

cannot be obtained directly by the generalized power series method that we have

presented. To obtain a basis for the space of solutions, we can, however, apply

the method of variation of parameters just as we did in the previous section for

the Cauchy-Euler equation; namely, we can set

y = v(x)J

p

(x),

substitute into Bessel’s equation and solve for v(x). If we were to carry this out

in detail, we would obtain a second solution linearly independent from J

p

(x).

Appropriately normalized, his solution is often denoted by Y

p

(x) and called the

p-th Bessel function of the second kind. Unlike the Bessel function of the ﬁrst

kind, this solution is not well-behaved near x = 0.

To see why, suppose that y

1

(x) and y

2

(x) is a basis for the solutions on the

interval 0 < x < ∞, and let W(y

1

, y

2

) be their Wronskian, deﬁned by

W(y

1

, y

2

)(x) =

¸

¸

¸

¸

y

1

(x) y

1

(x)

y

2

(x) y

2

(x)

¸

¸

¸

¸

.

This Wronskian must satisfy the ﬁrst order equation

d

dx

(xW(y

1

, y

2

)(x)) = 0,

as one veriﬁes by a direct calculation:

x

d

dx

(xy

1

y

2

−xy

2

y

1

) = y

1

x

d

dx

(xy

2

) −y

2

x

d

dx

(xy

1

)

= −(x

2

−n

2

)(y

1

y

2

−y

2

y

1

) = 0.

26

Thus

xW(y

1

, y

2

)(x) = c, or W(y

1

, y

2

)(x) =

c

x

,

where c is a nonzero constant, an expression which is unbounded as x → 0.

It follows that two linearly independent solutions y

1

(x) and y

2

(x) to Bessel’s

equation cannot both be well-behaved at x = 0.

Let us summarize what we know about the space of solutions to Bessel’s

equation in the case where p is an integer:

• There is a one-dimensional space of real analytic solutions to (1.17), which

are well-behaved as x → 0.

• This one-dimensional space is generated by a function J

p

(x) which is given

by the explicit power series formula

J

p

(x) =

_

x

2

_

p

∞

m=0

(−1)

m

1

m!(p +m)!

_

x

2

_

2m

.

Exercises:

1.4.1. Using the explicit power series formulae for J

0

(x) and J

1

(x) show that

d

dx

J

0

(x) = −J

1

(x) and

d

dx

(xJ

1

(x)) = xJ

0

(x).

1.4.2. The diﬀerential equation

x

2

d

2

y

dx

2

+x

dy

dx

−(x

2

+p

2

)y = 0

is sometimes called a modiﬁed Bessel equation. Find a generalized power series

solution to this equation in the case where p is an integer. (Hint: The power

series you obtain should be very similar to the power series for J

p

(x).)

1.4.3. Show that the functions

y

1

(x) =

1

√

x

cos x and y

2

(x) =

1

√

x

sin x

are solutions to Bessel’s equation

x

d

dx

_

x

dy

dx

_

+ (x

2

−p

2

)y = 0,

in the case where p = 1/2. Hence the general solution to Bessel’s equation in

this case is

y = c

1

1

√

x

cos x +c

2

1

√

x

sin x.

27

1.4.4. To obtain a nice expression for the generalized power series solution to

Bessel’s equation in the case where p is not an integer, it is convenient to use

the gamma function deﬁned by

Γ(x) =

_

∞

0

t

x−1

e

−t

dt.

a. Use integration by parts to show that Γ(x + 1) = xΓ(x).

b. Show that Γ(1) = 1.

c. Show that

Γ(n + 1) = n! = n(n −1) 2 1,

when n is a positive integer.

d. Set

a

0

=

1

2

p

Γ(p + 1)

,

and use the recursion formula (1.21) to obtain the following generalized power

series solution to Bessel’s equation (1.17) for general choice of p:

y = J

p

(x) =

_

x

2

_

p

∞

m=0

(−1)

m

1

m!Γ(p +m+ 1)

_

x

2

_

2m

.

28

Chapter 2

Symmetry and

Orthogonality

2.1 Eigenvalues of symmetric matrices

Before proceeding further, we need to review and extend some notions from

vectors and matrices (linear algebra), which the student should have studied

in an earlier course. In particular, we will need the amazing fact that the

eigenvalue-eigenvector problem for an n n matrix A simpliﬁes considerably

when the matrix is symmetric.

An nn matrix A is said to be symmetric if it is equal to its transpose A

T

.

Examples of symmetric matrices include

_

1 3

3 1

_

,

_

_

3 −λ 6 5

6 1 −λ 0

5 0 8 −λ

_

_

and

_

_

a b c

b d e

c e f

_

_

.

Alternatively, we could say that an n n matrix A is symmetric if and only if

x (Ay) = (Ax) y. (2.1)

for every choice of n-vectors x and y. Indeed, since x y = x

T

y, equation (2.1)

can be rewritten in the form

x

T

Ay = (Ax)

T

y = x

T

A

T

y,

which holds for all x and y if and only if A = A

T

.

On the other hand, an n n real matrix B is orthogonal if its transpose is

equal to its inverse, B

T

= B

−1

. Alternatively, an n n matrix

B = (b

1

b

2

b

n

)

29

is orthogonal if its column vectors b

1

, b

2

, . . . , b

n

satisfy the relations

b

1

b

1

= 1, b

1

b

2

= 0, , b

1

b

n

= 0,

b

2

b

2

= 1, , b

2

b

n

= 0,

b

n

b

n

= 1.

Using this latter criterion, we can easily check that, for example, the matrices

_

cos θ −sin θ

sin θ cos θ

_

, and

_

_

1/3 2/3 2/3

−2/3 −1/3 2/3

2/3 −2/3 1/3

_

_

are orthogonal. Note that since

B

T

B = I ⇒ (det B)

2

= (det B

T

)(det B) = det(B

T

B) = 1,

the determinant of an orthogonal matrix is always ±1.

Recall that the eigenvalues of an n n matrix A are the roots of the poly-

nomial equation

det(A−λI) = 0.

For each eigenvalue λ

i

, the corresponding eigenvectors are the nonzero solutions

x to the linear system

(A−λI)x = 0.

For a general n n matrix with real entries, the problem of ﬁnding eigenvalues

and eigenvectors can be complicated, because eigenvalues need not be real (but

can occur in complex conjugate pairs) and in the “repeated root” case, there

may not be enough eigenvectors to construct a basis for R

n

. We will see that

these complications do not occur for symmetric matrices.

Spectral Theorem.

1

Suppose that A is a symmetric n n matrix with real

entries. Then its eigenvalues are real and eigenvectors corresponding to distinct

eigenvectors are orthogonal. Moreover, there is an n n orthogonal matrix B

of determinant one such that B

−1

AB = B

T

AB is diagonal.

Sketch of proof: The reader may want to skip our sketch of the proof at ﬁrst,

returning after studying some of the examples presented later in this section.

We will assume the following two facts, which are proven rigorously in advanced

courses on mathematical analysis:

1. Any continuous function on a sphere (of arbitrary dimension) assumes its

maximum and minimum values.

2. The points at which the maximum and minimum values are assumed can

be found by the method of Lagrange multipliers (a method usually dis-

cussed in vector calculus courses).

1

This is called the “spectral theorem” because the spectrum is another name for the set of

eigenvalues of a matrix.

30

The equation of the sphere S

n−1

in R

n

is

x

2

1

+x

2

2

+ +x

2

n

= 1, or x

T

x = 1, where x =

_

_

_

_

x

1

x

2

x

n

_

_

_

_

.

We let

g(x) = g(x

1

, x

2

, . . . , x

n

) = x

T

x −1,

so that the equation of the sphere is given by the constraint equation g(x) = 0.

Our approach consists of ﬁnding of ﬁnding the point on S

n−1

at which the

function

f(x) = f(x

1

, x

2

, . . . , x

n

) = x

T

Ax

assumes its maximum values.

To ﬁnd this maximum using Lagrange multipliers, we look for “critical

points” for the function

H(x, λ) = H(x

1

, x

2

, . . . , x

n

, λ) = f(x) −λg(x).

These are points at which

∇f(x

1

, x

2

, . . . , x

n

) = λ∇g(x

1

, x

2

, . . . , x

n

), and g(x

1

, x

2

, . . . , x

n

) = 0.

In other words, these are the points on the sphere at which the gradient of f is

a multiple of the gradient of g, or the points on the sphere at which the gradient

of f is perpendicular to the sphere.

If we set

A =

_

_

_

_

a

11

a

12

a

1n

a

21

a

22

a

2n

a

n1

a

n2

a

nn

_

_

_

_

,

a short calculation shows that at the point where f assumes its maximum,

∂H

∂x

i

= 2a

i1

x

1

+ 2a

i2

x

2

+ + 2a

in

x

n

−2λx

i

= 0,

or equivalently,

Ax −λx = 0.

We also obtain the condition

∂H

∂λ

= −g(x) = 0,

which is just our constraint. Thus the point on the sphere at which f assumes

its maximum is a unit-length eigenvector b

1

, the eigenvalue being the value λ

1

of the variable λ.

Let W be the “linear subspace” of R

n

deﬁned by the homogeneous linear

equation b

1

x = 0. The intersection S

n−1

∩ W is a sphere of dimension n −2.

31

We next use the method of Lagrange multipliers to ﬁnd a point on S

n−1

∩ W

at which f assumes its maximum. To do this, we let

g

1

(x) = x

T

x −1, g

2

(x) = b

1

x.

The maximum value of f on S

n−1

∩ W will be assumed at a critical point for

the function

H(x, λ, µ) = f(x) −λg

1

(x) −µg

2

(x).

This time, diﬀerentiation shows that

∂H

∂x

i

= 2a

i1

x

1

+ 2a

i2

x

2

+ + 2a

in

x

n

−2λx

i

−µb

i

= 0,

or equivalently,

Ax −λx −µb

1

= 0. (2.2)

It follows from the constraint equation b

1

x = 0 that

b

1

(Ax) = b

T

1

(Ax) = (b

T

1

A)x = (b

T

1

A

T

)x

= (Ab

1

)

T

x = (λ

1

b

1

)

T

x = λ

1

b

1

x = 0.

Hence it follows from (2.2) that Ax−λx = 0. Thus if b

2

is a point on S

n−1

∩W

at which f assumes its maximum, b

2

must be a unit-length eigenvector for A

which is perpendicular to b

1

.

Continuing in this way we ﬁnally obtain n mutually orthogonal unit-length

eigenvectors b

1

, b

2

, . . . , b

n

. These eigenvectors satisfy the equations

Ab

1

= λ

1

b

1

, Ab

2

= λ

2

b

2

, . . . Ab

n

= λ

2

b

n

,

which can be put together in a single matrix equation

_

Ab

1

Ab

2

Ab

n

_

=

_

λ

1

b

1

λ

2

b

2

λ

n

b

n

_

,

or equivalently,

A

_

b

1

b

2

b

n

_

=

_

b

1

b

2

b

n

_

_

_

_

_

λ

1

0 0

0 λ

2

0

0 0 λ

n

_

_

_

_

.

If we set

B =

_

b

1

b

2

b

n

_

,

this last equation becomes

AB = B

_

_

_

_

λ

1

0 0

0 λ

2

0

0 0 λ

n

_

_

_

_

.

32

Of course, B is an orthogonal matrix, so it is invertible and we can solve for A,

obtaining

A = B

_

_

_

_

λ

1

0 0

0 λ

2

0

0 0 λ

n

_

_

_

_

B

−1

, or B

−1

AB =

_

_

_

_

λ

1

0 0

0 λ

2

0

0 0 λ

n

_

_

_

_

.

We can arrange that the determinant of B be one by changing the sign of one

of the columns if necessary.

A more complete proof of the theorem is presented in more advanced courses

in linear algebra.

2

In any case, the method for ﬁnding the orthogonal matrix B

such that B

T

AB is diagonal is relatively simple, at least when the eigenvalues

are distinct. Simply let B be the matrix whose columns are unit-length eigen-

vectors for A. In the case of repeated roots, we must be careful to choose a

basis of unit-length eigenvectors for each eigenspace which are perpendicular to

each other.

Example. The matrix

A =

_

_

5 4 0

4 5 0

0 0 1

_

_

is symmetric, so its eigenvalues must be real. Its characteristic equation is

0 =

¸

¸

¸

¸

¸

¸

5 −λ 4 0

4 5 −λ 0

0 0 1 −λ

¸

¸

¸

¸

¸

¸

= [(λ −5)

2

−16](λ −1)

= (λ

2

−10λ + 9)(λ −1) = (λ −1)

2

(λ −9),

which has the roots λ

1

= 1 with multiplicity two and λ

2

= 9 with multiplicity

one.

Thus we are in the notorious “repeated root” case, which might be expected

to cause problems if A were not symmetric. However, since A is symmetric,

the Spectral Theorem guarantees that we can ﬁnd a basis for R

3

consisting of

eigenvectors for A even when the roots are repeated.

We ﬁrst consider the eigenspace W

1

corresponding to the eigenvalue λ

1

= 1,

which consists of the solutions to the linear system

_

_

5 −1 4 0

4 5 −1 0

0 0 1 −1

_

_

_

_

b

1

b

2

b

3

_

_

= 0,

or

4b

1

+4b

2

= 0,

4b

1

+4b

2

= 0,

0 = 0.

2

There are many excellent linear algebra texts that prove this theorem in detail; one good

reference is Bill Jacob, Linear algebra, W. H. Freeman, New York, 1990; see Chapter 5.

33

The coeﬃcient matrix of this linear system is

_

_

4 4 0

4 4 0

0 0 0

_

_

.

Applying the elementary row operations to this matrix yields

_

_

4 4 0

4 4 0

0 0 0

_

_

→

_

_

1 1 0

4 4 0

0 0 0

_

_

→

_

_

1 1 0

0 0 0

0 0 0

_

_

.

Thus the linear system is equivalent to

b

1

+b

2

= 0,

0 = 0,

0 = 0.

Thus W

1

is a plane with equation b

1

+b

2

= 0.

We need to extract two unit length eigenvectors from W

1

which are perpen-

dicular to each other. Note that since the equation for W

1

is b

1

+ b

2

= 0, the

unit length vector

n =

_

_

1

√

2

1

√

2

0

_

_

is perpendicular to W

1

. Since

b

1

=

_

_

0

0

1

_

_

∈ W

1

, we ﬁnd that b

2

= n b

1

=

_

_

1

√

2

−1

√

2

0

_

_

∈ W

1

.

The vectors b

1

and b

2

are unit length elements of W

1

which are perpendicular

to each other.

Next, we consider the eigenspace W

9

corresponding to the eigenvalue λ

2

= 9,

which consists of the solutions to the linear system

_

_

5 −9 4 0

4 5 −9 0

0 0 1 −9

_

_

_

_

b

1

b

2

b

3

_

_

= 0,

or

−4b

1

+4b

2

= 0,

4b

1

−4b

2

= 0,

−8b

3

= 0.

The coeﬃcient matrix of this linear system is

_

_

−4 4 0

4 −4 0

0 0 −8

_

_

.

34

Applying the elementary row operations to this matrix yields

_

_

−4 4 0

4 −4 0

0 0 −8

_

_

→

_

_

1 −1 0

4 −4 0

0 0 −8

_

_

→

_

_

1 −1 0

0 0 0

0 0 −8

_

_

→

_

_

1 −1 0

0 0 0

0 0 1

_

_

→

_

_

1 −1 0

0 0 1

0 0 0

_

_

.

Thus the linear system is equivalent to

b

1

−b

2

= 0,

b

3

= 0,

0 = 0,

and we see that

W

9

= span

_

_

1

1

0

_

_

.

We set

b

3

=

_

_

1

√

2

1

√

2

0

_

_

.

Theory guarantees that the matrix

B =

_

_

0

1

√

2

1

√

2

0

−1

√

2

1

√

2

1 0 0

_

_

,

whose columns are the eigenvectors b

1

, b

1

, and b

3

, will satisfy

B

−1

AB =

_

_

1 0 0

0 1 0

0 0 9

_

_

.

Moreover, since the eigenvectors we have chosen are of unit length and perpen-

dicular to each other, the matrix B will be orthogonal.

Exercises:

2.1.1. Find a 22-matrix B such that B is orthogonal and B

−1

AB is diagonal,

where

A =

_

5 4

4 5

_

.

2.1.2. Find a 22-matrix B such that B is orthogonal and B

−1

AB is diagonal,

where

A =

_

3 4

4 9

_

.

35

2.1.3. Find a 33-matrix B such that B is orthogonal and B

−1

AB is diagonal,

where

A =

_

_

5 4 0

4 5 0

0 0 1

_

_

.

2.1.4. Find a 33-matrix B such that B is orthogonal and B

−1

AB is diagonal,

where

A =

_

_

−1 2 0

2 0 2

0 2 1

_

_

.

2.1.5. Show that the nn identity matrix I is orthogonal. Show that if B

1

and

B

2

are nn orthogonal matrices, so is the product matrix B

1

B

2

, as well as the

inverse B

−1

1

.

2.2 Conic sections and quadric surfaces

The theory presented in the previous section can be used to “rotate coordinates”

so that conic sections or quadric surfaces can be put into “canonical form.”

A conic section is a curve in R

2

which is described by a quadratic equation,

such as the equation

ax

2

1

+ 2bx

1

x

2

+cx

2

2

= 1, (2.3)

where a, b and c are constants, which can be written in matrix form as

_

x

1

x

2

_

_

a b

b c

__

x

1

x

2

_

= 1.

If we let

A =

_

a b

b c

_

and x =

_

x

1

x

2

_

,

we can rewrite (2.3) as

x

T

Ax = 1, (2.4)

where A is a symmetric matrix.

According to the Spectral Theorem from Section 2.1, there exists a 2 2

orthogonal matrix B of determinant one such that

B

−1

AB = B

T

AB =

_

λ

1

0

0 λ

2

_

.

If we make a linear change of variables,

x = By,

36

then since x

T

= y

T

B

T

, equation (2.3) is transformed into

y

T

(B

T

AB)y = 1,

_

y

1

y

2

_

_

λ

1

0

0 λ

2

__

y

1

y

2

_

= 1,

or equivalently,

λ

1

y

2

1

+λ

2

y

2

2

= 1. (2.5)

In the new coordinate system (y

1

, y

2

), it is easy to recognize the conic section:

• If λ

1

and λ

2

are both positive, the conic is an ellipse.

• If λ

1

and λ

2

have opposite signs, the conic is an hyperbola.

• If λ

1

and λ

2

are both negative, the conic degenerates to the the empty set,

because the equation has no real solutions.

In the case where λ

1

and λ

2

are both positive, we can rewrite (2.5) as

y

2

1

(

_

1/λ

1

)

2

+

y

2

2

(

_

1/λ

2

)

2

= 1,

from which we recognize that the semi-major and semi-minor axes of the ellipse

are

_

1/λ

1

and

_

1/λ

2

.

The matrix B which relates x and y represents a rotation of the plane. To

see this, note that the ﬁrst column b

1

of B is a unit-length vector, and can

therefore be written in the form

b

1

=

_

cos θ

sin θ

_

,

for some choice of θ. The second column b

2

is a unit-vector perpendicular to

b

1

and hence

b

2

= ±

_

−sin θ

cos θ

_

.

We must take the plus sign in this last expression, because det B = 1. Thus

B

_

1

0

_

=

_

cos θ

sin θ

_

, B

_

0

1

_

=

_

−sin θ

cos θ

_

,

or equivalently, B takes the standard basis vectors for R

2

to vectors which have

been rotated counterclockwise through an angle θ. By linearity,

B =

_

cos θ −sin θ

sin θ cos θ

_

must rotate every element of R

2

counterclockwise through an angle θ. Thus once

we have sketched the conic in (y

1

, y

2

)-coordinates, we can obtain the sketch in

(x

1

, x

2

)-coordinates by simply rotating counterclockwise through the angle θ.

37

Example. Let’s consider the conic

5x

2

1

−6x

1

x

2

+ 5x

2

2

= 1, (2.6)

or equivalently,

_

x

1

x

2

_

_

5 −3

−3 5

__

x

1

x

2

_

= 1.

The characteristic equation of the matrix

A =

_

5 −3

−3 5

_

is

(5 −λ)

2

−9 = 0, λ

2

−10λ + 16 = 0, (λ −2)(λ −8) = 0,

and the eigenvalues are λ

1

= 2 and λ

2

= 8. Unit-length eigenvectors corre-

sponding to these eigenvalues are

b

1

=

_

1/

√

2

1/

√

2

_

, b

2

=

_

−1/

√

2

1/

√

2

_

.

The proof of the theorem of Section 2.1 shows that these vectors are orthogonal

to each other, and hence the matrix

B =

_

1/

√

2 −1/

√

2

1/

√

2 1/

√

2

_

is an orthogonal matrix such that

B

T

AB =

_

2 0

0 8

_

.

Note that B represents a counterclockwise rotation through 45 degrees. If

we deﬁne new coordinates (y

1

, y

2

) by

_

x

1

x

2

_

= B

_

y

1

y

2

_

,

equation (2.6) will simplify to

_

y

1

y

2

_

_

2 0

0 8

__

y

1

y

2

_

= 1,

or

2y

2

1

+ 8y

2

2

=

y

2

1

(1/

√

2)

2

+

y

2

2

(1/

√

8)

2

= 1.

We recognize that this is the equation of an ellipse. The lengths of the semimajor

and semiminor axes are 1/

√

2 and 1/(2

√

2).

38

-0.4 -0.2 0.2 0.4

-0.4

-0.2

0.2

0.4

Figure 2.1: Sketch of the conic section 5x

2

1

−6x

1

x

2

+ 5x

2

2

−1 = 0.

The same techniques can be used to sketch quadric surfaces in R

3

, surfaces

deﬁned by an equation of the form

_

x

1

x

2

x

3

_

_

_

a

11

a

12

a

13

a

21

a

22

a

23

a

31

a

32

a

33

_

_

_

_

x

1

x

2

x

3

_

_

= 1,

where the a

ij

’s are constants. If we let

A =

_

_

a

11

a

12

a

13

a

21

a

22

a

23

a

31

a

32

a

33

_

_

, x =

_

_

x

1

x

2

x

3

_

_

,

we can write this in matrix form

x

T

Ax = 1. (2.7)

According to the Spectral Theorem, there is a 3 3 orthogonal matrix B of

determinant one such that B

T

AB is diagonal. We introduce new coordinates

y =

_

_

y

1

y

2

y

3

_

_

by setting x = By,

and equation (2.7) becomes

y

T

(B

T

AB)y = 1.

Thus after a suitable linear change of coordinates, the equation (2.7) can be put

in the form

_

y

1

y

2

y

3

_

_

_

λ

1

0 0

0 λ

2

0

0 0 λ

3

_

_

_

_

y

1

y

2

y

3

_

_

= 1,

39

-2

0

2

-4

-2

0

2

4

-1

-0.5

0

0.5

1

-2

0

2

Figure 2.2: An ellipsoid.

or

λ

1

y

2

1

+λ

2

y

2

2

+λ

3

y

2

3

= 1,

where λ

1

, λ

2

, and λ

3

are the eigenvalues of A. It is relatively easy to sketch the

quadric surface in the coordinates (y

1

, y

2

, y

3

).

If the eigenvalues are all nonzero, we ﬁnd that there are four cases:

• If λ

1

, λ

2

, and λ

3

are all positive, the quadric surface is an ellipsoid.

• If two of the λ’s are positive and one is negative, the quadric surface is an

hyperboloid of one sheet.

• If two of the λ’s are negative and one is positive, the quadric surface is an

hyperboloid of two sheets.

• If λ

1

, λ

2

, and λ

3

are all negative, the equation represents the empty set.

Just as in the case of conic sections, the orthogonal matrix B of determinant

one which relates x and y represents a rotation. To see this, note ﬁrst that since

B is orthogonal,

(Bx) (By) = x

T

B

T

By = x

T

Iy = x y. (2.8)

In other words, multiplication by B preserves dot products. It follows from this

that the only real eigenvalues of B can be ±1. Indeed, if x is an eigenvector for

B corresponding to the eigenvalue λ, then

λ

2

(x x) = (λx) (λx) = (Bx) (Bx) = x x,

40

so division by x x yields λ

2

= 1.

Since det B = 1 and det B is the product of the eigenvalues, if all of the

eigenvalues are real, λ = 1 must occur as an eigenvalue. On the other hand,

non-real eigenvalues must occur in complex conjugate pairs, so if there is a non-

real eigenvalue µ + iν, then there must be another non-real eigenvalue µ − iν

together with a real eigenvalue λ. In this case,

1 = det B = λ(µ +iν)(µ −iν) = λ(µ

2

+ν

2

).

Since λ = ±1, we conclude that λ = 1 must occur as an eigenvalue also in this

case.

In either case, λ = 1 is an eigenvalue and

W

1

= ¦x ∈ R

3

: Bx = x¦

is nonzero. It is easily veriﬁed that if dimW

1

is larger than one, then B must

be the identity. Thus if B ,= I, there is a one-dimensional subspace W

1

of R

3

which is left ﬁxed under multiplication by B. This is the axis of rotation.

Let W

⊥

1

denote the orthogonal complement to W

1

. If x is a nonzero element

of W

1

and y ∈ W

⊥

1

, it follows from (2.8) that

(By) x = (By) (Bx) = y

T

B

T

Bx = y

T

Ix = y x = 0,

so By ∈ W

⊥

1

. Let y, z be elements of W

⊥

1

such that

y y = 1, y z = 0, z z = 1;

we could say that ¦y, z¦ form an orthonormal basis for W

⊥

1

. By (2.8),

(By) (By) = 1, (By) (Bz) = 0, (Bz) (Bz) = 1.

Thus By must be a unit-length vector in W

⊥

1

and there must exist a real number

θ such that

By = cos θy + sin θz.

Moreover, Bz must be a unit-length vector in W

⊥

1

which is perpendicular to

By and hence

Bz = ±(−sin θy + cos θz).

However, we cannot have

Bz = −(−sin θy + cos θz).

Indeed, this would imply (via a short calculation) that the vector

u = cos(θ/2)y + sin(θ/2)z

is ﬁxed by B, in other words Bu = u, contradicting the fact that u ∈ W

⊥

1

.

Thus we must have

Bz = −sin θy + cos θz,

41

-1

0

1

-1

0

1

-1

-0.5

0

0.5

1

-1

0

1

-1

0

1

Figure 2.3: Hyperboloid of one sheet.

and multiplication by B must be a rotation in the plane W

⊥

1

through an angle

θ. Moreover, it is easily checked that y + iz and y − iz are eigenvectors for B

with eigenvalues

e

±iθ

= cos θ ±i sin θ.

We can therefore conclude that a 3 3 orthogonal matrix B of determinant

one represents a rotation about an axis (which is the eigenspace for eigenvalue

one) and through an angle θ (which can be determined from the eigenvalues of

B, which must be 1 and e

±iθ

).

Exercises:

2.2.1. Suppose that

A =

_

2 3

3 2

_

.

a. Find an orthogonal matrix B such that B

T

AB is diagonal.

b. Sketch the conic section 2x

2

1

+ 6x

1

x

2

+ 2x

2

2

= 1.

c. Sketch the conic section 2(x

1

−1)

2

+ 6(x

1

−1)x

2

+ 2x

2

2

= 1.

2.2.2. Suppose that

A =

_

2 −2

−2 5

_

.

42

-2

-1

0

1

2

-2

-1

0

1

2

-2

0

2

-2

-1

0

1

2

Figure 2.4: Hyperboloid of two sheets.

a. Find an orthogonal matrix B such that B

T

AB is diagonal.

b. Sketch the conic section 2x

2

1

−4x

1

x

2

+ 5x

2

2

= 1.

c. Sketch the conic section 2x

2

1

−4x

1

x

2

+ 5x

2

2

−4x

1

+ 4x

2

= −1.

2.2.3. Suppose that

A =

_

4 2

2 1

_

.

a. Find an orthogonal matrix B such that B

T

AB is diagonal.

b. Sketch the conic section 4x

2

1

+ 4x

1

x

2

+x

2

2

−

√

5x

1

+ 2

√

5x

2

= 0.

2.2.4. Determine which of the following conic sections are ellipses, which are

hyperbolas, etc.:

a. x

2

1

+ 4x

1

x

2

+ 3x

2

2

= 1.

b. x

2

1

+ 6x

1

x

2

+ 10x

2

2

= 1.

c. −3x

2

1

+ 6x

1

x

2

−4x

2

2

= 1.

d. −x

2

1

+ 4x

1

x

2

−3x

2

2

= 1.

2.2.5. Find the semi-major and semi-minor axes of the ellipse

5x

2

1

+ 6x

1

x

2

+ 5x

2

2

= 4.

43

2.2.6. Suppose that

A =

_

_

0 2 0

2 3 0

0 0 9

_

_

.

a. Find an orthogonal matrix B such that B

T

AB is diagonal.

b. Sketch the quadric surface 4x

1

x

2

+ 3x

2

2

+ 9x

2

3

= 1.

2.2.7. Determine which of the following quadric surfaces are ellipsoids, which

are hyperboloids of one sheet, which are hyperboloids of two sheets, etc.:

a. x

2

1

−x

2

2

−x

2

3

−6x

2

x

3

= 1.

b. x

2

1

+x

2

2

−x

2

3

−6x

1

x

2

= 1.

c. x

2

1

+x

2

2

+x

2

3

+ 4x

1

x

2

+ 2x

3

= 0.

2.2.8. a. Show that the matrix

B =

_

_

1/3 2/3 2/3

−2/3 −1/3 2/3

2/3 −2/3 1/3

_

_

is an orthogonal matrix of deteminant one. Thus multiplication by B is rotation

about some axis through some angle.

b. Find a nonzero vector which spans the axis of rotation.

c. Determine the angle of rotation.

2.3 Orthonormal bases

Recall that if v is an element of R

3

, we can express it with respect to the

standard basis as

v = ai +bj +ck, where a = v i, b = v j, c = v k.

We would like to extend this formula to the case where the standard basis

¦i, j, k¦ for R

3

is replaced by a more general “orthonormal basis.”

Deﬁnition. A collection of n vectors b

1

, b

2

, . . . , b

n

in R

n

is an orthonormal

basis for R

n

if

b

1

b

1

= 1, b

1

b

2

= 0, , b

1

b

n

= 0,

b

2

b

2

= 1, , b

2

b

n

= 0,

b

n

b

n

= 1.

(2.9)

44

From the discussion in Section 2.1, we recognize that the term orthonormal

basis is just another name for a collection of n vectors which form the columns

of an orthogonal n n matrix.

It is relatively easy to express an arbitrary vector f ∈ R

n

in terms of an

orthonormal basis b

1

, b

2

, . . . , b

n

: to ﬁnd constants c

1

, c

2

, . . . , c

n

so that

f = c

1

b

1

+c

2

b

2

+ +c

n

b

n

, (2.10)

we simply dot both sides with the vector b

i

and use (2.9) to conclude that

c

i

= b

i

f .

In other words, if b

1

, b

2

, . . . , b

n

is an orthonormal basis for R

n

, then

f ∈ R

n

⇒ f = (f b

1

)b

1

+ + (f b

n

)b

n

, (2.11)

a generalization of the formula we gave for expressing a vector in R

3

in terms

of the standard basis ¦i, j, k¦.

This formula can be helpful in solving the initial value problem

dx

dt

= Ax, x(0) = f , (2.12)

in the case where A is a symmetric n n matrix and f is a constant vector.

Since A is symmetric, the Spectral Theorem of Section 2.1 guarantees that the

eigenvalues of A are real and that we can ﬁnd an n n orthogonal matrix B

such that

B

−1

AB =

_

_

_

_

λ

1

0 0

0 λ

2

0

0 0 λ

n

_

_

_

_

.

If we set x = By, then

B

dy

dt

=

dx

dt

= Ax = ABy ⇒

dy

dt

= B

−1

ABy.

Thus in terms of the new variable

y =

_

_

_

_

y

1

y

2

y

n

_

_

_

_

, we have

_

_

_

_

dy

1

/dt

dy

2

/dt

dy

n

/dt

_

_

_

_

=

_

_

_

_

λ

1

0 0

0 λ

2

0

0 0 λ

n

_

_

_

_

_

_

_

_

y

1

y

2

y

n

_

_

_

_

,

so that the matrix diﬀerential equation decouples into n noninteracting scalar

diﬀerential equations

dy

1

/dt = λ

1

y

1

,

dy

2

/dt = λ

2

y

2

,

dy

n

/dt = λ

n

y

n

.

45

We can solve these equations individually, obtaining the general solution

y =

_

_

_

_

y

1

y

2

y

n

_

_

_

_

=

_

_

_

_

c

1

e

λ1t

c

2

e

λ2t

c

n

e

λnt

_

_

_

_

,

where c

1

, c

2

, . . . , c

n

are constants of integration. Transferring back to our

original variable x yields

x = B

_

_

_

_

c

1

e

λ1t

c

2

e

λ2t

c

n

e

λnt

_

_

_

_

= c

1

b

1

e

λ1t

+c

2

b

2

e

λ2t

+ +c

n

b

n

e

λnt

,

where b

1

, b

2

, . . . , b

n

are the columns of B. Note that

x(0) = c

1

b

1

+c

2

b

2

+ +c

n

b

n

.

To ﬁnish solving the initial value problem (2.12), we need to determine the

constants c

1

, c

2

, . . . , c

n

so that

c

1

b

1

+c

2

b

2

+ +c

n

b

n

= f .

It is here that our formula (2.11) comes in handy; using it we obtain

x = (f b

1

)b

1

e

λ1t

+ + (f b

n

)b

n

e

λnt

.

Example. Suppose we want to solve the initial value problem

dx

dt

=

_

_

5 4 0

4 5 0

0 0 1

_

_

x, x(0) = f , where f =

_

_

3

1

4

_

_

.

We saw in Section 2.1 that A has the eigenvalues λ

1

= 1 with multiplicity two

and λ

2

= 9 with multiplicity one. Moreover, the orthogonal matrix

B =

_

_

0

1

√

2

1

√

2

0

−1

√

2

1

√

2

1 0 0

_

_

has the property that

B

−1

AB =

_

_

1 0 0

0 1 0

0 0 9

_

_

.

Thus the general solution to the matrix diﬀerential equation dx/dt = Ax is

x = B

_

_

c

1

e

t

c

2

e

t

c

3

e

9t

_

_

= c

1

b

1

e

t

+c

2

b

2

e

t

+c

3

b

3

e

9t

,

46

where

b

1

=

_

_

0

0

1

_

_

, b

2

=

_

_

1

√

2

−1

√

2

0

_

_

, b

3

=

_

_

1

√

2

1

√

2

0

_

_

.

Setting t = 0 in our expression for x yields

x(0) = c

1

b

1

+c

2

b

2

+c

3

b

3

.

To solve the initial value problem, we employ (2.11) to see that

c

1

=

_

_

0

0

1

_

_

_

_

3

1

4

_

_

= 4, c

2

=

_

_

1

√

2

−1

√

2

0

_

_

_

_

3

1

4

_

_

=

√

2,

c

3

=

_

_

1

√

2

1

√

2

0

_

_

_

_

3

1

4

_

_

= 2

√

2.

Hence the solution is

x = 4

_

_

0

0

1

_

_

e

t

+

√

2

_

_

1

√

2

−1

√

2

0

_

_

e

t

+ 2

√

2

_

_

1

√

2

1

√

2

0

_

_

e

9t

.

Exercise:

2.3.1.a. Find the eigenvalues of the symmetric matrix

A =

_

_

_

_

5 4 0 0

4 5 0 0

0 0 4 2

0 0 2 1

_

_

_

_

.

b. Find an orthogonal matrix B such that B

−1

AB is diagonal.

c. Find an orthonormal basis for R

4

consisting of eigenvectors of A.

d. Find the general solution to the matrix diﬀerential equation

dx

dt

= Ax.

e. Find the solution to the initial value problem

dx

dt

= Ax, x(0) =

_

_

_

_

1

3

0

2

_

_

_

_

.

47

2.3.2.a. Find the eigenvalues of the symmetric matrix

A =

_

_

−3 2 0

2 −4 2

0 2 −5

_

_

.

(Hint: To ﬁnd roots of the cubic, try λ = 1 and λ = −1.)

b. Find an orthogonal matrix B such that B

−1

AB is diagonal.

c. Find an orthonormal basis for R

3

consisting of eigenvectors of A.

d. Find the general solution to the matrix diﬀerential equation

dx

dt

= Ax.

e. Find the solution to the initial value problem

dx

dt

= Ax, x(0) =

_

_

1

2

0

_

_

.

2.3.3. (For students with access to Mathematica) a. Find the eigenvalues of the

matrix

A =

_

_

2 1 1

1 3 2

1 2 4

_

_

by running the Mathematica program

a = ¦¦2,1,1¦,¦1,3,2¦,¦1,2,4¦¦; Eigenvalues[a]

The answer is so complicated because Mathematica uses exact but complicated

formulae for solving cubics discovered by Cardan and Tartaglia, two sixteenth

century Italian mathematicians.

b. Find numerical approximations to these eigenvalues by running the program

Eigenvalues[N[a]]

The numerical values of the eigenvalues are far easier to use.

c. Use Mathematica to ﬁnd numerical values for the eigenvectors for A by

running the Mathematica program

Eigenvectors[N[a]]

and write down the general solution to the matrix diﬀerential equation

dx

dt

= Ax.

48

1

Figure 2.5: Two carts connected by springs and moving along a friction-free

track.

2.4 Mechanical systems

Mechanical systems consisting of weights and springs connected together in an

array often lead to initial value problems of the type

d

2

x

dt

2

= Ax, x(0) = f ,

dx

dt

= 0, (2.13)

where A is a symmetric matrix and f is a constant vector. These can be solved

by a technique similar to that used in the previous section.

For example, let us consider the mechanical system illustrated in Figure 2.5.

Here we have two carts moving along a friction-free track, each containing mass

m and attached together by three springs, with spring constants k

1

, k

2

and k

3

.

Let

x

1

(t) = the position of the ﬁrst cart to the right of equilibrium,

x

2

(t) = the position of the second cart to the right of equilibrium,

F

1

= force acting on the ﬁrst cart,

F

2

= force acting on the second cart,

with positive values for F

1

or F

2

indicating that the forces are pulling to the

right, negative values that the forces are pulling to the left.

Suppose that when the carts are in equilibrium, the springs are also in equi-

librium and exert no forces on the carts. In this simple case, it is possible to

reason directly from Hooke’s law that the forces F

1

and F

2

must be given by

the formulae

F

1

= −k

1

x

1

+k

2

(x

2

−x

1

), F

2

= k

2

(x

1

−x

2

) −k

3

x

2

,

but it becomes diﬃcult to determine the forces for more complicated mechanical

systems consisting of many weights and springs. Fortunately, there are some

simple principles from physics which simply the procedure for ﬁnding the forces

acting in such mechanical systems.

49

The easiest calculation of the forces is based upon the notion of work. On

the one hand, the work required to pull a weight to a new position is equal to

the increase in potential energy imparted to the weight. On the other hand, we

have the equation

Work = Force Displacement,

which implies that

Force =

Work

Displacement

= −

Change in potential energy

Displacement

.

Thus if V (x

1

, x

2

) is the potential energy of the conﬁguration when the ﬁrst cart

is located at the point x

1

and the second cart is located at the point x

2

, then

the forces are given by the formulae

F

1

= −

∂V

∂x

1

, F

2

= −

∂V

∂x

2

.

In our case, the potential energy V is the sum of the potential energies stored

in each of the three springs,

V (x

1

, x

2

) =

1

2

k

1

x

2

1

+

1

2

k

2

(x

1

−x

2

)

2

+

1

2

k

3

x

2

2

,

and hence we obtain the formulae claimed before:

F

1

= −

∂V

∂x

1

= −k

1

x

1

+k

2

(x

2

−x

1

),

F

2

= −

∂V

∂x

2

= k

2

(x

1

−x

2

) −k

3

x

2

.

It now follows from Newton’s second law of motion that

Force = Mass Acceleration,

and hence

F

1

= m

d

2

x

1

dt

2

, F

2

= m

d

2

x

2

dt

2

.

Thus we obtain a second-order system of diﬀerential equations,

m

d

2

x

1

dt

2

= −k

1

x

1

+k

2

(x

2

−x

1

) = −(k

1

+k

2

)x

1

+k

2

x

2

,

m

d

2

x

2

dt

2

= k

2

(x

1

−x

2

) −k

3

x

2

= k

2

x

1

−(k

2

+k

3

)x

2

.

We can write this system in matrix form as

m

d

2

x

dt

2

= Ax, where A =

_

−(k

1

+k

2

) k

2

k

2

−(k

2

+k

3

)

_

. (2.14)

50

Note that A is indeed a symmetric matrix. The potential energy is given by the

expression

V (x

1

, x

2

) = −

1

2

_

x

1

x

2

_

A

_

x

1

x

2

_

.

Example. Let us consider the special case of the mass-spring system in which

m = k

1

= k

2

= k

3

= 1,

so that the system (2.14) becomes

d

2

x

dt

2

=

_

−2 1

1 −2

_

x. (2.15)

To ﬁnd the eigenvalues, we must solve the characteristic equation

det

_

−2 −λ 1

1 −2 −λ

_

= (λ + 2)

2

−1 = 0,

which yields

λ = −2 ±1.

The eigenvalues in this case are

λ

1

= −1, and λ

2

= −3.

The eigenspace corresponding to the eigenvalue −1 is

W

−1

= ¦b ∈ R

2

: (A+I)b = 0¦ = . . . = span

_

1

1

_

.

It follows from the argument in Section 2.1 that the eigenspace corresponding

to the other eigenvalue is just the orthogonal complement

W

−3

= span

_

−1

1

_

.

Unit length eigenvectors lying in the two eigenspaces are

b

1

=

_

1/

√

2

1/

√

2

_

, b

2

=

_

−1/

√

2

1/

√

2

_

.

The theorem of Section 2.1 guarantees that the matrix

B =

_

1/

√

2 −1/

√

2

1/

√

2 1/

√

2

_

,

whose columns are b

1

and b

2

, will diagonalize our system of diﬀerential equa-

tions.

51

Indeed, if we deﬁne new coordinates (y

1

, y

2

) by setting

_

x

1

x

2

_

=

_

1/

√

2 −1/

√

2

1/

√

2 1/

√

2

__

y

1

y

2

_

,

our system of diﬀerential equations transforms to

d

2

y

1

/dt

2

= −y

1

,

d

2

y

2

/dt

2

= −3y

2

.

We set ω

1

= 1 and ω

2

=

√

3, so that this system assumes the familiar form

d

2

y

1

/dt

2

+ω

2

1

y

1

= 0,

d

2

y

2

/dt

2

+ω

2

2

y

2

= 0,

a system of two noninteracting harmonic oscillators.

The general solution to the transformed system is

y

1

= a

1

cos ω

1

t +b

1

sin ω

1

t, y

2

= a

2

cos ω

2

t +b

2

sin ω

2

t.

In the original coordinates, the general solution to (2.15) is

x =

_

x

1

x

2

_

=

_

1/

√

2 −1/

√

2

1/

√

2 1/

√

2

__

a

1

cos ω

1

t +b

1

sin ω

1

t

a

2

cos ω

2

t +b

2

sin ω

2

t

_

,

or equivalently,

x = b

1

(a

1

cos ω

1

t +b

1

sin ω

1

t) +b

2

(a

2

cos ω

2

t +b

2

sin ω

2

t).

The motion of the carts can be described as a general superposition of two

modes of oscillation, of frequencies

ω

1

2π

and

ω

2

2π

.

Exercises:

2.4.1.a. Consider the mass-spring system with two carts illustrated in Figure 2.5

in the case where k

1

= 4 and m = k

2

= k

3

= 1. Write down a system of second-

order diﬀerential equations which describes the motion of this system.

b. Find the general solution to this system.

c. What are the frequencies of vibration of this mass-spring system?

2.4.2.a. Consider the mass-spring system with three carts illustrated in Fig-

ure 2.5 in the case where m = k

1

= k

2

= k

3

= k

4

= 1. Show that the motion of

this system is described by the matrix diﬀerential equation

d

2

x

dt

2

= Ax, where A =

_

_

−2 1 0

1 −2 1

0 1 −2

_

_

.

52

Figure 2.6: Three carts connected by springs and moving along a friction-free

track.

b. Find the eigenvalues of the symmetric matrix A.

c. Find an orthonormal basis for R

3

consisting of eigenvectors of A.

d. Find an orthogonal matrix B such that B

−1

AB is diagonal.

e. Find the general solution to the matrix diﬀerential equation

d

2

x

dt

2

= Ax.

f. Find the solution to the initial value problem

d

2

x

dt

2

= Ax, x(0) =

_

_

1

2

0

_

_

,

dx

dt

(0) = 0.

2.4.3.a. Find the eigenvalues of the symmetric matrix

A =

_

_

_

_

−2 1 0 0

1 −2 1 0

0 1 −2 1

0 0 1 −2

_

_

_

_

.

b. What are the frequencies of oscillation of a mechanical system which is

governed by the matrix diﬀerential equation

d

2

x

dt

2

= Ax?

2.5 Mechanical systems with many degrees of

freedom*

Using an approach similar to the one used in the preceding section, we can

consider more complicated systems consisting of many masses and springs. For

53

Figure 2.7: A circular array of carts and springs.

example, we could consider the box spring underlying the mattress in a bed.

Although such a box spring contains hundreds of individual springs, and hence

the matrix A in the corresponding dynamical system constains hundreds of rows

and columns, it is still possible to use symmetries in the box spring to simplify

the calculations, and make the problem of determining the “natural frequencies

of vibration” of the mattress into a manageable problem.

To illustrate how the symmetries of a problem can make it much easier to

solve, let us consider a somewhat simpler problem, a system of n carts containing

identical weights of mass m and connected by identical springs of spring constant

k, moving along a circular friction-free track as sketched in Figure 2.6.

We choose a positive direction along the track and let x

i

denote the dis-

placement of the i-th cart out of equilibrium position in the positive direction,

for 1 ≤ i ≤ n. The potential energy stored in the springs is

V (x

1

, . . . , x

n

) =

1

2

k(x

n

−x

1

)

2

+

1

2

k(x

2

−x

1

)

2

+

1

2

k(x

3

−x

2

)

2

+. . .+

1

2

k(x

n

−x

n−1

)

2

= −

1

2

k

_

x

1

x

2

x

3

x

n

_

_

_

_

_

_

_

−2 1 0 1

1 −2 1 0

0 1 −2 0

1 0 0 −2

_

_

_

_

_

_

_

_

_

_

_

_

x

1

x

2

x

3

x

n

_

_

_

_

_

_

.

We can write this as

V (x

1

, . . . , x

n

) = −

1

2

kx

T

Ax,

where

x =

_

_

_

_

_

_

x

1

x

2

x

3

x

n

_

_

_

_

_

_

, A =

_

_

_

_

_

_

−2 1 0 1

1 −2 1 0

0 1 −2 0

1 0 0 −2

_

_

_

_

_

_

,

or equivalently as

V (x

1

, . . . , x

n

) = −

1

2

k

n

i=1

n

j=1

a

ij

x

i

x

j

,

54

where a

ij

denotes the (i, j)-component of the matrix A.

Just as in the preceding section, the force acting on the i-th cart can be

calculated as minus the derivative of the potential energy with respect to the

position of the i-th cart, the other carts being held ﬁxed. Thus for example,

F

1

= −

∂V

∂x

1

=

1

2

k

n

j=1

a

1j

x

j

+

1

2

k

n

i=1

a

i1

x

i

= k

n

j=1

a

1j

x

j

,

the last step obtained by using the symmetry of A. In general, we obtain the

result:

F

i

= −

∂V

∂x

i

= k

n

j=1

a

ij

x

j

,

which could be rewritten in matrix form as

F = kAx. (2.16)

On the other hand, by Newton’s second law of motion,

m

d

2

x

dt

2

= F.

Substitution into (2.16) yields

m

d

2

x

dt

2

= kAx or

d

2

x

dt

2

=

k

m

Ax, (2.17)

where A is the symmetric matrix given above. To ﬁnd the frequencies of vi-

bration of our mechanical system, we need to ﬁnd the eigenvalues of the n n

matrix A.

To simplify the calculation of the eigenvalues of this matrix, we make use of

the fact that the carts are identically situated—if we relabel the carts, shifting

them to the right by one, the dynamical system remains unchanged. Indeed,

lew us deﬁne new coordinates (y

1

, . . . , y

n

) by setting

x

1

= y

2

, x

2

= y

3

, . . . , x

n−1

= y

n

, x

n

= y

1

,

or in matrix terms,

x = Ty, where T =

_

_

_

_

_

_

_

_

0 1 0 0

0 0 1 0

0 0 0 0

0 0 0 1

1 0 0 0

_

_

_

_

_

_

_

_

.

Then y satisﬁes exactly the same system of diﬀerential equations as x:

d

2

y

dt

2

=

k

m

Ay. (2.18)

55

On the other hand,

d

2

x

dt

2

=

k

m

Ax ⇒ T

d

2

y

dt

2

=

k

m

ATy or

d

2

y

dt

2

=

k

m

T

−1

ATy.

Comparison with (2.18) yields

A = T

−1

AT, or TA = AT.

In other words the matrices A and T commute.

Now it is quite easy to solve the eigenvector-eigenvalue problem for T. In-

deed, if x is an eigenvector for T corresponding to the eigenvalue λ, the compo-

nents of x must satisfy the vector equation Tx = λx. In terms of components,

the vector equation becomes

x

2

= λx

1

, x

3

= λx

2

, . . . , x

n

= λx

n−1

, x

1

= λx

n

. (2.19)

Thus x

3

= λ

2

x

1

, x

4

= λ

3

x

1

, and so forth, yielding ﬁnally the equation

x

1

= λ

n

x

1

.

Similarly,

x

2

= λ

n

x

2

, . . . , x

n

= λ

n

x

n

.

Since at least one of the x

i

’s is nonzero, we must have

λ

n

= 1. (2.20)

This equation is easily solved via Euler’s formula:

1 = e

2πi

⇒ (e

2πi/n

)

n

= 1, and similarly [(e

2πi/n

)

j

]

n

= 1,

for 0 ≤ j ≤ n −1. Thus the solutions to (2.20) are

λ = η

j

, for 0 ≤ j ≤ n −1, where η = e

2πi/n

. (2.21)

For each choice of j, we can try to ﬁnd eigenvectors corresponding to η

j

. If

we set x

1

= 1, we can conclude from (2.19) that

x

2

= η

j

, x

3

= η

2j

, . . . , x

n

= η

(n−1)j

,

thereby obtaining a nonzero solution to the eigenvector equation. Thus for each

j, 0 ≤ j ≤ n −1, we do indeed have an eigenvector

e

j

=

_

_

_

_

_

_

1

η

j

η

2j

η

(n−1)j

_

_

_

_

_

_

,

for the eigenvalue η

j

. Moreover, each eigenspace is one-dimensional.

56

In the dynamical system that we are considering, of course, we need to solve

the eigenvalue-eigenvector problem for A, not for T. Fortunately, however, since

A and T commute, the eigenvectors for T are also eigenvectors for A. Indeed,

since AT = TA,

T(Ae

j

) = A(Te

j

) = A(η

j

e

j

) = η

j

(Ae

j

),

and this equation states that Ae

j

is an eigenvector for T with the same eigen-

value as e

j

. Since the eigenspaces of T are all one-dimensional, Ae

j

must be a

multiple of e

j

; in other words,

Ae

j

= λ

j

e

j

, for some number λ

j

.

To ﬁnd the eigenvalues λ

j

for A, we simply act on e

j

by A: we ﬁnd that the

ﬁrst component of the vector Ae

j

= λ

j

e

j

is

−2 +η

j

+η

(n−1)j

= −2 + (e

2πij/n

+e

−2πij/n

) = −2 + 2 cos(2πj/n),

where we have used Euler’s formula once again. On the other hand, the ﬁrst

component of e

j

is 1, so we immediately conclude that

λ

j

= −2 + 2 cos(2πj/n).

It follows from the familiar formula

cos(2α) = cos

2

α −sin

2

α

that

λ

j

= −2 + 2[cos(πj/n)]

2

−2[sin(πj/n)]

2

= −4[sin(πj/n)]

2

.

Note that λ

j

= λ

n−j

, and hence the eigenspaces for A are two-dimensional,

except for the eigenspace corresponding to j = 0, and if n is even, to the

eigenspace corresponding to j = n/2. Thus in the special case where n is odd,

all the eigenspaces are two-dimensional except for the eigenspace with eigenvalue

λ

0

= 0, which is one-dimensional.

If j ,= 0 and j ,= n/2, e

j

and e

n−j

form a basis for the eigenspace corre-

sponding to eigenvalue λ

j

. It is not diﬃcult to verify that

1

2

(e

j

+e

n−j

) =

_

_

_

_

_

_

1

cos(πj/n)

cos(2πj/n)

cos((n −1)πj/n)

_

_

_

_

_

_

and

i

2

(e

j

−e

n−j

) =

_

_

_

_

_

_

0

sin(πj/n)

sin(2πj/n)

sin((n −1)πj/n)

_

_

_

_

_

_

57

form a real basis for this eigenspace. Let

ω

j

=

_

−λ

j

= 2 sin(πj/n).

In the case where n is odd, we can write the general solution to our dynamical

system (2.17) as

x = e

0

(a

0

+b

0

t) +

(n−1)/2

j=1

1

2

(e

j

+e

n−j

)(a

j

cos ω

j

t +b

j

sin ω

j

t)

+

(n−1)/2

j=1

i

2

(e

j

−e

n−j

)(c

j

cos ω

j

t +d

j

sin ω

j

t).

The motion of the system can be described as a superposition of several modes

of oscillation, the frequencies of oscillation being

ω

j

2π

=

_

k

m

sin(πj/n)

π

.

Note that the component

e

0

(a

0

+b

0

t) =

_

_

_

_

_

_

1

1

1

1

_

_

_

_

_

_

(a

0

+b

0

t)

corresponds to a constant speed motion of the carts around the track. If n is

large,

sin(π/n)

π

.

=

π/n

π

=

1

n

⇒

ω

1

2π

.

=

_

k

m

1

n

,

so if we were to set k/m = n

2

, the lowest nonzero frequency of oscillation would

approach one as n → ∞.

Exercise:

2.5.1. Find the eigenvalues of the matrix

T =

_

_

_

_

_

_

_

_

0 1 0 0

0 0 1 0

0 0 0 0

0 0 0 1

1 0 0 0

_

_

_

_

_

_

_

_

58

Figure 2.8: A linear array of carts and springs.

by expanding the determinant

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

−λ 1 0 0

0 −λ 1 0

0 0 −λ 0

0 0 0 1

1 0 0 −λ

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

¸

.

2.6 A linear array of weights and springs*

Suppose more generally that a system of n−1 carts containing identical weights

of mass m, and connected by identical springs of spring constant k, are moving

along a friction-free track, as shown in Figure 2.7. Just as in the preceding

section, we can show that the carts will move in accordance with the linear

system of diﬀerential equations

d

2

x

dt

2

= Ax =

k

m

Px,

where

P =

_

_

_

_

_

_

−2 1 0 0

1 −2 1 0

0 1 −2

0 0 −2

_

_

_

_

_

_

.

We take k = n and m = (1/n), so that k/m = n

2

.

We can use the following Mathematica program to ﬁnd the eigenvalues of

the n n matrix A, when n = 6:

n = 6;

m = Table[Max[2-Abs[i-j],0], ¦i,n-1¦ ,¦j,n-1¦ ];

p = m - 4 IdentityMatrix[n-1];

59

a = n∧2 p

eval = Eigenvalues[N[a]]

Since

2 −[i −j[

_

¸

_

¸

_

= 2 if j = i,

= 1 if j = i ±1

≤0 otherwise,

the ﬁrst line of the program generates the (n −1) (n −1)-matrix

M =

_

_

_

_

_

_

2 1 0 0

1 2 1 0

0 1 2

0 0 2

_

_

_

_

_

_

.

The next two lines generate the matrices P and A = n

2

P. Finally, the last

line ﬁnds the eigenvalues of A. If you run this program, you will note that all

the eigenvalues are negative and that Mathematica provides the eigenvalues in

increasing order.

We can also modify the program to ﬁnd the eigenvalues of the matrix when

n = 12, n = 26, or n = 60 by simply replacing 6 in the top line with the new

value of n. We can further modify the program by asking for only the smallest

eigenvalue lambda[[n]] and a plot of the corresponding eigenvector:

n = 14;

m = Table[Max[2-Abs[i-j],0], ¦i,n-1¦ ,¦j,n-1¦ ];

p = m - 4 IdentityMatrix[n-1]; a = n∧2 p;

eval = Eigenvalues[N[a]]; evec = Eigenvectors[N[a]];

Print[eval[[n-1]]];

ListPlot[evec[[n-1]]];

If we experiment with this program using diﬀerent values for n, we will see

that as n gets larger, the smallest eigenvalue seems to approach −π

2

and the

plot of the smallest eigenvector looks more and more like a sine curve. Thus the

fundamental frequency of the mechanical system seems to approach π/2π = 1/2

and the oscillation in the fundamental mode appears more and more sinusoidal

in shape.

When n is large, we can consider this array of springs and weights as a model

for a string situated along the x-axis and free to stretch to the right and the left

along the x-axis. The track on which the cart runs restricts the motion of the

weights to be only in the x-direction. A more realistic model would allow the

carts to move in all three directions. This would require new variables y

i

and

z

i

such that

y

i

(t) = the y-component of displacement of the i-th weight,

z

i

(t) = the z-component of displacement of the i-th weight.

60

20 40 60 80 100

-0.14

-0.12

-0.1

-0.08

-0.06

-0.04

-0.02

Figure 2.9: Shape of the fundamental mode (n=100).

If we were to set

x =

_

_

_

_

x

1

x

2

x

n

_

_

_

_

, y =

_

_

_

_

x

1

x

2

x

n

_

_

_

_

, z =

_

_

_

_

z

1

z

2

z

n

_

_

_

_

,

then an argument similar to the one given above would show that the vectors

x, y and z would satisfy the matrix diﬀerential equations

dx

dt

=

k

m

Ax,

dy

dt

=

k

m

Ay,

dz

dt

=

k

m

Az.

and each of these could be solved just as before.

Using a similar approach, we could consider even more complicated systems

consisting of many masses and springs connected in a two- or three-dimensional

array.

61

Chapter 3

Fourier Series

3.1 Fourier series

The theory of Fourier series and the Fourier transform is concerned with dividing

a function into a superposition of sines and cosines, its components of various

frequencies. It is a crucial tool for understanding waves, including water waves,

sound waves and light waves. Suppose, for example, that the function f(t)

represents the amplitude of a light wave arriving from a distant galaxy. The

light is a superposition of many frequencies which encode information regarding

the material which makes up the stars of the galaxy, the speed with which the

galaxy is receding from the earth, its speed of rotation, and so forth. Much of

our knowledge of the universe is derived from analyzing the spectra of stars and

galaxies. Just as a prism or a spectrograph is an experimental apparatus for

dividing light into its components of various frequencies, so Fourier analysis is

a mathematical technique which enables us to decompose an arbitrary function

into a superposition of oscillations.

In the following chapter, we will describe how the theory of Fourier series can

be used to analyze the ﬂow of heat in a bar and the motion of a vibrating string.

Indeed, Joseph Fourier’s original investigations which led to the theory of Fourier

series were motivated by an attempt to understand heat ﬂow.

1

Nowadays, the

notion of dividing a function into its components with respect to an appropriate

“orthonormal basis of functions” is one of the key ideas of applied mathematics,

useful not only as a tool for solving partial diﬀerential equations, as we will see

in the next two chapters, but for many other purposes as well. For example, a

black and white photograph could be represented by a function f(x, y) of two

variables, f(x, y) representing the darkness at the point (x, y). The photograph

can be stored eﬃciently by determining the components of f(x, y) with respect

to a well-chosen “wavelet basis.” This idea is the key to image compression,

which can be used to send pictures quickly over the internet.

2

1

Fourier’s research was published in his Th´eorie analytique de la chaleur in 1822.

2

See St´ephane Mallat, A wavelet tour of signal processing, Academic Press, Boston, 1998.

62

We turn now to the basics of Fourier analysis in its simplest context. A

function f : R → R is said to be periodic of period T if it satisﬁes the relation

f(t +T) = f(t), for all t ∈ R.

Thus f(t) = sin t is periodic of period 2π.

Given an arbitrary period T, it is easy to construct examples of functions

which are periodic of period T—indeed, the function f(t) = sin(

2πt

T

) is periodic

of period T because

sin(

2π(t +T)

T

) = sin(

2πt

T

+ 2π) = sin(

2πt

T

).

More generally, if k is any positive integer, the functions

cos(

2πkt

T

) and sin(

2πkt

T

)

are also periodic functions of period T.

The main theorem from the theory of Fourier series states that any “well-

behaved” periodic function of period T can be expressed as a superposition of

sines and cosines:

f(t) =

a

0

2

+a

1

cos(

2πt

T

) +a

2

cos(

4πt

T

) +. . . +b

1

sin(

2πt

T

) +b

2

sin(

4πt

T

) +. . . .

(3.1)

In this formula, the a

k

’s and b

k

’s are called the Fourier coeﬃcients of f, and

the inﬁnite series on the right-hand side is called the Fourier series of f.

Our ﬁrst goal is to determine how to calculate these Fourier coeﬃcients. For

simplicity, we will restrict our attention to the case where the period T = 2π,

so that

f(t) =

a

0

2

+a

1

cos t +a

2

cos 2t +. . . +b

1

sin t +b

2

sin 2t +. . . . (3.2)

The formulae for a general period T are only a little more complicated, and are

based upon exactly the same ideas.

The coeﬃcient a

0

is particularly easy to evaluate. We simply integrate both

sides of (3.2) from −π to π:

_

π

−π

f(t)dt =

_

π

−π

a

0

2

dt +

_

π

−π

a

1

cos tdt +

_

π

−π

a

2

cos 2tdt +. . .

+

_

π

−π

b

1

sin tdt +

_

π

−π

b

2

sin 2tdt +. . . .

Since the integral of cos kt or sin kt over the interval from −π to π vanishes, we

conclude that

_

π

−π

f(t)dt = πa

0

,

63

and we can solve for a

0

, obtaining

a

0

=

1

π

_

π

−π

f(t)dt. (3.3)

To ﬁnd the other Fourier coeﬃcients, we will need some integral formulae.

We claim that if m and n are positive integers,

_

π

−π

cos nt cos mtdt =

_

π, for m = n,

0, for m ,= n,

(3.4)

_

π

−π

sin nt sin mtdt =

_

π, for m = n,

0, for m ,= n,

(3.5)

_

π

−π

sin nt cos mtdt = 0. (3.6)

Let us verify the ﬁrst of these equations. We will use the trigonometric

identities

cos((n +m)t) = cos nt cos mt −sin nt sin mt,

cos((n −m)t) = cos nt cos mt + sin nt sin mt.

Adding these together, we obtain

cos((n +m)t) + cos((n −m)t) = 2 cos nt cos mt,

or

cos nt cos mt =

1

2

(cos((n +m)t) + cos((n −m)t)).

Hence

_

π

−π

cos nt cos mtdt =

1

2

_

π

−π

(cos((n +m)t) + cos((n −m)t))dt,

and since

_

π

−π

cos(kt)dt =

1

k

sin(kt)

¸

¸

¸

¸

π

−π

= 0,

if k ,= 0, we conclude that

_

π

−π

cos nt cos mtdt =

_

π, for m = n,

0, for m ,= n.

The reader is asked to verify the other two integral formulae (3.5) and (3.6)

in the exercises at the end of this section.

64

To ﬁnd the formula for the Fourier coeﬃcients a

k

for k > 0, we multiply

both sides of (3.2) by sin kt and integrate from −π to π:

_

π

−π

f(t) cos ktdt =

_

π

−π

a

0

2

cos ktdt +

_

π

−π

a

1

cos t cos ktdt +. . .

+. . . +

_

π

−π

a

k

cos kt cos ktdt +. . .

+. . . +

_

π

−π

b

j

sin jt cos ktdt +. . . .

According to our formulae (3.4) and (3.6), there is only one term which survives:

_

π

−π

f(t) cos ktdt =

_

π

−π

a

k

cos kt cos ktdt = πa

k

.

We can easily solve for a

k

:

a

k

=

1

π

_

π

−π

f(t) cos ktdt. (3.7)

A very similar argument yields the formula

b

k

=

1

π

_

π

−π

f(t) sin ktdt. (3.8)

Example. Let us use formulae (3.3), (3.7), and (3.8) to ﬁnd the Fourier coeﬃ-

cients of the function

f(t) =

_

¸

_

¸

_

−π, for −π < t < 0,

π, for 0 < t < π,

0, for t = 0, π,

extended to be periodic of period 2π. Then

a

0

2

= average value of f = 0,

and

a

m

=

1

π

__

π

−π

f(t) cos mtdt

_

=

1

π

__

0

−π

−π cos mtdt

_

+

1

π

__

π

0

π cos mtdt

_

=

1

π

−π

m

[sin mt]

0

−π

+

1

π

π

m

[sin mt]

π

0

= = 0,

while

b

m

=

1

π

__

π

−π

f(t) sin mtdt

_

=

1

π

__

0

−π

−π sin mtdt

_

+

1

π

__

π

0

π sin mtdt

_

65

-4 -2 2 4

-3

-2

-1

1

2

3

Figure 3.1: A graph of the Fourier approximation φ

5

(t) = 4 sin t +(4/3) sin 3t +

(4/5) sin 5t.

=

1

π

π

m

[cos mt]

0

−π

+

1

π

−π

m

[cos mt]

π

0

=

2

m

−

2

m

cos mπ

=

2

m

(1 −(−1)

m

) =

_

4

m

, if m is odd,

0, if m is even.

Thus we ﬁnd the Fourier series for f:

f(t) = 4 sin t +

4

3

sin 3t +

4

5

sin 5t + .

The trigonometric polynomials

φ

1

(t) = 4 sin t, φ

3

(t) = 4 sin t +

4

3

sin 3t

φ

5

(t) = 4 sin t +

4

3

sin 3t +

4

5

sin 5t

are approximations to f(t) which improve as the number of terms increases.

By the way, this Fourier series yields a curious formula for π. If we set

x = π/2, f(x) = π, and we obtain

π = 4 sin(π/2) +

4

3

sin(3π/2) +

4

5

sin(5π/2) +

from which we conclude that

π = 4(1 −

1

3

+

1

5

−

1

7

+

1

9

− ).

66

-4 -2 2 4

-3

-2

-1

1

2

3

Figure 3.2: A graph of the Fourier approximation φ

13

(t). The overshooting near

the points of discontinuity is known as the “Gibbs phenomenon.”

The Fourier series on the right-hand side of (3.1) is often conveniently ex-

pressed in the Σ notation,

f(t) =

a

0

2

+

∞

k=1

a

k

cos(

2πkt

T

) +

∞

k=1

b

k

sin(

2πkt

T

), (3.9)

just as we did for power series in Chapter 1.

It is an interesting and diﬃcult problem in harmonic analysis to determine

how “well-behaved” a periodic function f(t) must be in order to ensure that

it can be expressed as a superposition of sines and cosines. An easily stated

theorem, suﬃcient for many applications is:

Theorem 1. If f is a continuous periodic function of period T, with condin-

uous derivative f

**, then f can be written uniquely as a superposition of sines
**

and cosines, in accordance with (3.9), where the a

k

’s and b

k

’s are constants.

Moreover, the inﬁnite series on the right-hand side of (3.9) converges to f(t) for

every choice of t.

However, often one wants to apply the theory of Fourier series to functions

which are not quite so well-behaved, in fact to functions that are not even be

continuous, such as the function in our previous example. A weaker suﬃcient

condition for f to possess a Fourier series is that it be piecewise smooth.

The technical deﬁnition goes like this: A function f(t) which is periodic of

period T is said to be piecewise smooth if it is continuous and has a continuous

derivative f

**(t) except at ﬁnitely many points of discontinuity within the interval
**

[0, T], and at each point t

0

of discontinuity, the right- and left-handed limits of

67

f and f

,

lim

t→t0+

(f(t)), lim

t→t0−

(f(t)), lim

t→t0+

(f

(t)), lim

t→t0−

(f

(t)),

all exist. The following theorem, proven in more advanced books,

3

ensures

that a Fourier decomposition can be found for any function which is piecewise

smooth:

Theorem 2. If f is any piecewise smooth periodic function of period T, f

can be expressed as a Fourier series,

f(t) =

a

0

2

+

∞

k=1

a

k

cos(

2πkt

T

) +

∞

k=1

b

k

sin(

2πkt

T

)

where the a

k

’s and b

k

’s are constants. Here equality means that the inﬁnite

sum on the right converges to f(t) for each t at which f is continuous. If f is

discontinuous at t

0

, its Fourier series at t

0

will converge to the average of the

right and left hand limits of f as t → t

0

.

Exercises:

3.1.1. The function f(t) = cos

2

t can be regarded as either periodic of period

π or periodic of period 2π. Choose one of the two periods and ﬁnd the Fourier

series of f(t). (Hint: This problem is very easy if you use trigonometric identities

instead of trying to integrate directly.)

3.1.2. The function f(t) = sin

3

t is periodic of period 2π. Find its Fourier series.

3.1.3. The function

f(t) =

_

t, for −π < t < π,

0, for t = π,

can be extended to be periodic of period 2π. Find the Fourier series of this

extension.

3.1.4. The function

f(t) = [t[, for t ∈ [−π, π],

can be extended to be periodic of period 2π. Find the Fourier series of this

extension.

3.1.5. Find the Fourier series of the following function:

f(t) =

_

t

2

, for −π ≤ t < π,

f(t −2kπ), for −π + 2kπ ≤ t < π + 2kπ.

3.1.6. Establish the formulae (3.5) and (3.6), which were given in the text.

3

See, for example, Ruel Churchill and James Brown, Fourier series and boundary value

problems, 4th edition, McGraw-Hill, New York, 1987 or Robert Seeley, An introduction to

Fourier series and integrals, Benjamin, New York, 1966.

68

3.2 Inner products

There is a convenient way of remembering the formulae for the Fourier coeﬃ-

cients that we derived in the preceding section. Let V be the set of piecewise

smooth functions which are periodic of period 2π. We say that V is a vec-

tor space because elements of V can be added and multiplied by scalars, these

operations satisfying the same rules as those for addition of ordinary vectors

and multiplication of ordinary vectors by scalars. We deﬁne an “inner product”

between elements of V by means of the formula

¸f, g) =

1

π

_

π

−π

f(t)g(t)dt.

Thus for example, if f(t) = sin t and g(t) = 2 cos t, then

¸f, g) =

1

π

_

π

−π

2 sin t cos tdt =

_

π

−π

sin(2t)dt = −cos(2t)[

π

−π

= 0.

The remarkable fact is that this inner product has properties quite similar

to those of the standard dot product on R

n

:

• ¸f, g) = ¸g, f), whenever f and g are elements of V .

• ¸f +g, h) = ¸f, h) +¸g, h).

• ¸cf, g) = c¸f, g), when c is a real constant.

• ¸f, f) ≥ 0, with equality holding only if f = 0 (at all points of continuity).

This suggests that we might use geometric terminology for elements of V

just as we did for vectors in R

n

. Thus, for example, we will say that an element

f of V is of unit length if ¸f, f) = 1 and that two elements f and g of V are

perpendicular if ¸f, g) = 0.

In this terminology, the formulae (3.4), (3.5), and (3.6) can be expressed by

stating that the functions

1/

√

2, cos t, cos 2t, cos 3t, . . . , sin t, sin 2t, sin 3t, . . .

are of unit length and perpendicular to each other. Moreover, by the theorem in

the preceding section, any element of of V can be written as a (possibly inﬁnite)

superposition of these functions. We will say that the functions

e

0

(t) =

1

√

2

, e

1

(t) = cos t, e

2

(t) = cos 2t, . . . ,

ˆ e

1

(t) = sin t, ˆ e

2

(t) = sin 2t, . . .

make up an orthonormal basis for V .

We saw in Section 2.3 that if b

1

, b

2

, . . . , b

n

is an orthonormal basis for R

n

,

then

f ∈ R

n

⇒ f = (f b

1

)b

1

+ + (f b

n

)b

n

.

69

The same formula holds when R

n

is replaced by V and the dot product is

replaced by the inner product ¸, ): If f is any element of V , we can write

f(t) = ¸f(t), e

0

(t))e

0

(t) +¸f(t), e

1

(t))e

1

(t) +¸f(t), e

2

(t))e

2

(t) +

+¸f(t), ˆ e

1

(t))ˆ e

1

(t) +¸f(t), ˆ e

2

(t))ˆ e

2

(t) + .

In other words,

f(t) = ¸f,

1

√

2

)

1

√

2

+¸f, cos t) cos t +¸f, cos 2t) cos 2t +. . .

+¸f, sin t) sin t +¸f, sin 2t) sin 2t +. . . ,

=

a

0

2

+a

1

cos t +a

2

cos 2t +. . . +b

1

sin t +b

2

sin 2t +. . . ,

where

a

0

= ¸f, 1), a

1

= ¸f, cos t), a

2

= ¸f, cos 2t), . . . ,

b

1

= ¸f, sin t), b

2

= ¸f, sin 2t), . . . .

Use of the inner product makes the formulae for Fourier coeﬃcients almost

impossible to forget.

We say that a function f(t) is odd if f(−t) = −f(t), even if f(−t) = f(t).

Thus

sin t, sin 2t, sin 3t, . . .

are odd functions, while

1, cos t, cos 2t, cos 3t, . . .

are even functions. Let

W

odd

= ¦f ∈ V : f is odd¦, W

even

= ¦f ∈ V : f is odd¦.

Then

f, g ∈ W

odd

⇒ f +g ∈ W

odd

and cf ∈ W

odd

,

for every choice of real number c. Thus we can say that W

odd

is a linear

subspace of V . Similarly, W

even

is a linear subspace of V .

It is not diﬃcult to show that

f ∈ W

odd

, g ∈ W

even

⇒ ¸f, g) = 0;

in other words, the linear subspaces W

odd

and W

even

are orthogonal to each

other. Indeed, under these conditions, fg is odd and hence

¸f, g) =

1

π

_

π

−π

f(t)g(t)dt =

1

π

_

0

−π

f(t)g(t)dt +

1

π

_

π

0

f(t)g(t)dt

70

=

1

π

_

0

π

f(−t)g(−t)(−dt) +

1

π

_

π

0

f(t)g(t)dt

= −

1

π

_

π

0

−(f(t)g(t))(−dt) +

1

π

_

π

0

f(t)g(t)dt = 0.

The variable of integration has been changed from t to −t in the ﬁrst integral

of the second line.

It follows that if f ∈ W

odd

,

a

0

= ¸f, 1) = 0, a

n

= ¸f, cos nx) = 0, for n > 0.

Similarly, if f ∈ W

even

,

b

n

= ¸f, sin nx) = 0.

Thus for an even or odd function, half of the Fourier coeﬃcients are auto-

matically zero. This simple fact can often simplify the calculation of Fourier

coeﬃcients.

Exercises:

3.2.1. Evaluate the inner product

¸f, g) =

1

π

_

π

−π

f(t)g(t)dt,

in the case where f(t) = cos t and g(t) = [ sin t[.

3.2.2. Evaluate the inner product

¸f, g) =

_

e

π

1

1

x

f(x)g(x)dx,

in the case where f(x) = cos(log(x)) and g(x) = 1, where log denotes the natural

or base e logarithm. (Hint: Use the substitution x = e

u

.)

3.2.3. Determine which of the following functions are even, which are odd, and

which are neither even nor odd:

a. f(t) = t

3

+ 3t.

b. f(t) = t

2

+[t[.

c. f(t) = e

t

.

d. f(t) =

1

2

(e

t

+e

−t

).

e. f(t) =

1

2

(e

t

−e

−t

).

f. f(t) = J

0

(t), the Bessel function of the ﬁrst kind.

71

3.3 Fourier sine and cosine series

Let f : [0, L] → R be a piecewise smooth function which vanishes at 0 and L.

We claim that we can express f(t) as the superposition of sine functions,

f(t) = b

1

sin(πt/L) +b

2

sin(2πt/L) +. . . +b

n

sin(nπt/L) +. . . . (3.10)

We could prove this using the theory of even and odd functions. Indeed, we can

extend f to an odd function

˜

f : [−L, L] → R by setting

˜

f(t) =

_

f(t), for t ∈ [0, L],

−f(−t), for t ∈ [−L, 0],

then to a function

ˆ

f : R → R, which is periodic of period 2L by requiring that

ˆ

f(t + 2L) =

ˆ

f(t), for all t ∈ R.

The extended function lies in the linear subspace W

odd

. It follows from the

theorem in Section 3.1 that

ˆ

f possesses a Fourier series expansion, and from the

fact that

ˆ

f is odd that all of the a

n

’s are zero. On the interval [0, L],

ˆ

f restricts

to f and the Fourier expansion of

ˆ

f restricts to an expansion of f of the form

(3.10) which involves only sine functions. We call (3.10) the Fourier sine series

of f.

A similar argument can be used to express a piecewise smooth function

f : [0, L] → R into a superposition of cosine functions,

f(t) =

a

0

2

+a

1

cos(πt/L) +a

2

cos(2πt/L) +. . . +a

n

cos(nπt/L) +. . . . (3.11)

To obtain this expression, we ﬁrst extend f to an even function

˜

f : [−L, L] → R

by setting

˜

f(t) =

_

f(t), for t ∈ [0, L],

f(−t), for t ∈ [−L, 0],

then to a function

ˆ

f : R → R which is periodic of period 2L, by requiring that

ˆ

f(t + 2L) =

ˆ

f(t), for all t ∈ RR.

This time the extended function lies in the linear subspace W

even

. It follows

from the theorem in Section 3.1 that

ˆ

f possesses a Fourier series expansion, and

from the fact that

ˆ

f is even that all of the b

n

’s are zero. On the interval [0, L],

ˆ

f restricts to f and the Fourier expansion of

ˆ

f restricts to an expansion of f of

the form (3.11) which involves only cosine functions. We call (3.11) the Fourier

cosine series of f.

To generate formulae for the coeﬃcients in the Fourier sine and cosine series

of f, we begin by deﬁning a slightly diﬀerent inner product space than the one

72

considered in the preceding section. This time, we let V be the set of piecewise

smooth functions f : [0, L] → R and let

V

0

= ¦f ∈ V : f(0) = 0 = f(L)¦,

a linear subspace of V . We deﬁne an inner product ¸, ) on V by means of the

formula

¸f, g) =

2

L

_

L

0

f(t)g(t)dt.

This restricts to an inner product on V

0

.

Let’s consider now the Fourier sine series. We have seen that any element

of V

0

can be represented as a superpostion of the sine functions

sin(πt/L), sin(2πt/L), . . . , sin(nπt/L), . . . .

We claim that these sine functions form an orthonormal basis for V

0

with respect

to the inner product we have deﬁned. Recall the trigonometric formulae that

we used in ¸3.1:

cos((n +m)πt/L) = cos(nπt/L) cos(mπt/L) −sin(nπt/L) sin(mπt/L),

cos((n −m)πt/L) = cos(nπt/L) cos(mπt/L) + sin(nπt/L) sin(mπt/L).

Subtracting the ﬁrst of these from the second and dividing by two yields

sin(nπt/L) sin(mπt/L) =

1

2

(cos((n −m)πt/L) −cos((n +m)πt/L),

and hence

_

L

0

sin(nπt/L) sin(mπt/L)dt =

1

2

_

L

0

(cos((n −m)πt/L) −cos((n +m)πt/L)dt.

If n and m are positive integers, the integral on the right vanishes unless n = m,

in which case the right-hand side becomes

1

2

_

L

0

dt =

L

2

.

Hence

2

L

_

π

0

sin(nπt/L) sin(mπt/L)dt =

_

1, for m = n,

0, for m ,= n.

(3.12)

Therefore, just as in the previous section, we can evaluate the coeﬃcients of

the Fourier sine series of a function f ∈ V

0

by simply projecting f onto each

element of the orthonormal basis. When we do this, we ﬁnd that

f(t) = b

1

sin(πt/L) +b

2

sin(2πt/L) +. . . + sin(nπt/L) +. . . ,

73

where

b

n

= ¸f, sin(nπt/L)) =

2

L

_

L

0

f(t) sin(nπt/L)dt. (3.13)

We can treat the Fourier cosine series in a similar fashion. In this case, we

can show that the functions

1

√

2

, cos(πt/L), cos(2πt/L), . . . , cos(nπt/L), . . .

form an orthonormal basis for V . Thus we can evaluate the coeﬃcients of the

Fourier cosine series of a function f ∈ V by projecting f onto each element of

this orthonormal basis. We will leave it to the reader to carry this out in detail,

and simply remark that when the dust settles, one obtains the following formula

for the coeﬃcient a

n

in the Fourier cosine series:

a

n

=

2

L

_

L

0

f(t) cos(nπt/L)dt. (3.14)

Example. First let us use (3.13) to ﬁnd the Fourier sine series of

f(t) =

_

t, for 0 ≤ t ≤ π/2,

π −t, for π/2 ≤ t ≤ π.

(3.15)

In this case, L = π, and according to our formula,

b

n

=

2

π

_

_

π/2

0

t sin ntdt +

_

π

π/2

(π −t) sin ntdt

_

.

We use integration by parts to obtain

_

π/2

0

t sin ntdt =

_

−t

n

cos nt

_¸

¸

¸

¸

π/2

0

+

_

π/2

0

1

n

cos ntdt

=

−π cos(nπ/2)

2n

+

1

n

2

[sin nt][

π/2

0

=

−π cos(nπ/2)

2n

+

sin(nπ/2)

n

2

,

while

_

π

π/2

(π −t) sin ntdt =

_

−(π −t)

n

cos(nt)

_¸

¸

¸

¸

π

π/2

−

_

π

π/2

1

n

cos ntdt

=

π cos(nπ/2)

2n

−

1

n

2

[sin nt][

π

π/2

=

π cos(nπ/2)

2n

+

sin(nπ/2)

n

2

.

Thus

b

n

=

4 sin(nπ/2)

πn

2

,

74

0.5 1 1.5 2 2.5 3

0.2

0.4

0.6

0.8

1

1.2

1.4

Figure 3.3: A graph of the Fourier sine approximations φ

1

, φ

3

, φ

5

and φ

7

.

and the Fourier sine series of f(t) is

f(t) =

4

π

sin t −

4

9π

sin 3t +

4

25π

sin 5t −

4

49π

sin 7t +. . . . (3.16)

The trigonometric polynomials

φ

1

(t) =

4

π

sin t, φ

3

(t) =

4

π

sin t −

4

9π

sin 3t, . . .

are better and better approximations to the function f(t).

To ﬁnd the Fourier cosine series of

f(t) =

_

t, for 0 ≤ t ≤ π/2,

π −t, for π/2 ≤ t ≤ π,

we ﬁrst note that

a

0

=

2

π

_

_

π/2

0

tdt +

_

π

π/2

(π −t)dt

_

=

2

π

_

1

2

_

π

2

_

2

+

1

2

_

π

2

_

2

_

=

π

2

.

To ﬁnd the other a

n

’s, we use (3.14):

a

n

=

2

π

_

_

π/2

0

t cos ntdt +

_

π

π/2

(π −t) cos ntdt

_

.

This time, integration by parts yields

_

π/2

0

t cos ntdt =

_

t

n

sin nt

_¸

¸

¸

¸

π/2

0

−

_

π/2

0

1

n

sin ntdt

75

=

π sin(nπ/2)

2n

+

1

n

2

[cos nt][

π/2

0

=

π sin(nπ/2)

2n

+

cos(nπ/2)

n

2

−

1

n

2

while

_

π

π/2

(π −t) cos ntdt =

_

(π −t)

n

sin(nt)

_¸

¸

¸

¸

π

π/2

+

_

π

π/2

1

n

sin ntdt

=

−π sin(nπ/2)

2n

−

1

n

2

[cos nt][

π

π/2

=

−π sin(nπ/2)

2n

+

cos(nπ/2)

n

2

−

1

n

2

cos(nπ).

Thus when n ≥ 1,

a

n

=

2

πn

2

[2 cos(nπ/2) −1 −1(−1)

n

],

and the Fourier sine series of f(t) is

f(t) =

π

4

−

2

π

cos 2t −

2

9π

cos 6t −

2

25π

cos 10t −. . . . (3.17)

Note that we have expanded exactly the same function f(t) on the interval [0, π]

as either a superposition of sines in (3.16) or as a superposition of cosines in

(3.17).

Exercises:

3.3.1.a. Find the Fourier sine series of the following function deﬁned on the

interval [0, π]:

f(t) =

_

4t, for 0 ≤ t < π/2,

4π −4t, for π/2 ≤ t ≤ π.

b. Find the Fourier cosine series of the same function.

3.3.2.a. Find the Fourier sine series of the following function deﬁned on the

interval [0, π]:

f(t) = t(π −t).

b. Find the Fourier cosine series of the same function.

3.3.3. Find the Fourier sine series of the following function deﬁned on the

interval [0, 10]:

f(t) =

_

t, for 0 ≤ t < 5,

10 −t, for 5 ≤ t ≤ 10.

76

3.3.4. Find the Fourier sine series of the following function deﬁned on the

interval [0, 1]:

f(t) = 5t(1 −t).

3.3.5.(For students with access to Mathematica) Find numerical approximations

to the ﬁrst ten coeﬃcients of the Fourier sine series for the function

f(t) = t +t

2

−2t

3

,

deﬁned for t in the interval [0, 1], by running the following Mathematica program

f[n ] := 2 NIntegrate[(t + t∧2 - 2 t∧3) Sin[n Pi t], ¦t,0,1¦];

b = Table[f[n], ¦n,1,10¦]

3.4 Complex version of Fourier series*

We have seen that if f : R → R is a well-behaved function which is periodic of

period 2π, f can be expanded in a Fourier series

f(t) =

a

0

2

+a

1

cos t +a

2

cos(2t) +. . .

+b

1

sin t +b

2

sin(2t) +. . . .

We say that this is the real form of the Fourier series. It is often convenient to

recast this Fourier series in complex form by means of the Euler formula, which

states that

e

iθ

= cos θ +i sin θ.

It follows from this formula that

e

iθ

+e

−iθ

= 2 cos θ, e

−iθ

+e

−iθ

= 2i sin θ,

or

cos θ =

e

iθ

+e

−iθ

2

, sin θ =

e

iθ

+e

−iθ

2i

.

Hence the Fourier expansion of f can be rewritten as

f(t) =

a

0

2

+

a

1

2

(e

it

+e

−it

) +

a

2

2

(e

2it

+e

−2it

) +. . .

+

b

1

2i

(e

it

−e

−it

) +

b

2

2i

(e

2it

−e

−2it

) +. . . ,

or

f(t) = . . . +c

−2

e

−2it

+c

−1

e

−it

+c

0

+c

1

e

it

+c

2

e

2it

+. . . , (3.18)

where the c

k

’s are the complex numbers deﬁned by the formulae

c

0

=

a

0

2

, c

1

=

a

1

−ib

1

2

, c

2

=

a

2

−ib

2

2

, . . . ,

77

c

−1

=

a

1

+ib

1

2

, c

−2

=

a

2

+ib

2

2

, . . . .

If k ,= 0, we can solve for a

k

and b

k

:

a

k

= c

k

+c

−k

, b

k

= i(c

k

−c

−k

). (3.19)

It is not diﬃcult to check the following integral formula via direct integration:

_

π

−π

e

imt

e

−int

dt =

_

2π, for m = n,

0 for m ,= n.

(3.20)

If we multiply both sides of (3.18) by e

−ikt

, integrate from −π to π and apply

(3.20), we obtain

_

π

−π

f(t)e

−ikt

dt = 2πc

k

,

which yields the formula for coeﬃcients of the complex form of the Fourier

series:

c

k

=

1

2π

_

π

−π

f(t)e

−ikt

dt. (3.21)

Example. Let us use formula (3.21) to ﬁnd the complex Fourier coeﬃcients of

the function

f(t) = t for −π < t ≤ π,

extended to be periodic of period 2π. Then

c

k

=

1

2π

_

π

−π

te

−ikt

dt.

We apply integration by parts with u = t, dv = e

−ikt

dt, du = dt and v =

(i/k)e

−ikt

:

c

k

=

1

2π

_

(it/k)e

−ikt

[

π

−π

−

_

π

−π

(i/k)e

−ikt

dt

_

=

1

2π

_

πi

k

e

−iπk

+

πi

k

e

iπk

_

= i

(−1)

k

k

.

It follows from (3.19) that

a

k

= (c

k

+c

−k

) = 0, b

k

= i(c

k

−c

−k

) = −2

(−1)

k

k

.

It is often the case that the complex form of the Fourier series is far simpler to

calculate than the real form. One can then use (3.19) to ﬁnd the real form of

the Fourier series.

Exercise:

3.4.1. Prove the integral formula (3.20), presented in the text.

78

3.4.2. a. Find the complex Fourier coeﬃcients of the function

f(t) = t

2

for −π < t ≤ π,

extended to be periodic of period 2π.

b. Use (3.19) to ﬁnd the real form of the Fourier series.

3.4.3. a. Find the complex Fourier coeﬃcients of the function

f(t) = t(π −t) for −π < t ≤ π,

extended to be periodic of period 2π.

b. Use (3.19) to ﬁnd the real form of the Fourier series.

3.4.4. Show that if a function f : R → R is smooth and periodic of period 2πL,

we can write the Fourier expansion of f as

f(t) = . . . +c

−2

e

−2it/L

+c

−1

e

−it/L

+c

0

+c

1

e

it/L

+c

2

e

2it/L

+. . . ,

where

c

k

=

1

2πL

_

πL

−πL

f(t)e

−ikt/L

dt.

3.5 Fourier transforms*

One of the problems with the theory of Fourier series presented in the previous

sections is that it applies only to periodic functions. There are many times when

one would like to divide a function which is not periodic into a superposition of

sines and cosines. The Fourier transform is the tool often used for this purpose.

The idea behind the Fourier transform is to think of f(t) as vanishing outside

a very long interval [−πL, πL]. The function can be extended to a periodic

function f(t) such that f(t + 2πL) = f(t). According to the theory of Fourier

series in complex form (see Exercise 3.4.4),

f(t) = . . . +c

−2

e

−2it/L

+c

−1

e

−it/L

+c

0

+c

1

e

it/L

+c

2

e

2it/L

+. . . ,

where the c

k

’s are the complex numbers.

Deﬁnition. If f : R → R is a piecewise continuous function which vanishes

outside some ﬁnite interval, its Fourier transform is

ˆ

f(ξ) =

_

∞

−∞

f(t)e

−iξt

dt. (3.22)

The integral in this formula is said to be improper because it is taken from −∞

to ∞; it is best to regard it as a limit,

_

∞

−∞

f(t)e

−iξt

dt = lim

L→∞

_

πL

−πL

f(t)e

−iξt

dt.

79

To explain (3.22), we suppose that f vanishes outside the interval [−πL, πL].

We can extend the restriction of f to this interval to a function which is periodic

of period 2πL. Then

ˆ

f(k/L) =

_

∞

−∞

f(t)e

−ikt/L

dt =

_

πL

−πL

˜

f(t)e

−ikt/L

dt

represents 2πL times the Fourier coeﬃcient of this extension of frequency k/L;

indeed, it follows from (3.21) that we can write

f(t) = . . . +c

−2

e

−2it/L

+c

−1

e

−it/L

+c

0

+c

1

e

it/L

+c

2

e

2it/L

+. . . ,

for t ∈ [−πL, πL], where

c

k

=

1

2πL

ˆ

f(k/L),

or alternatively,

f(t) = . . . +

1

2πL

ˆ

f(−2/L)e

−2it/L

+

1

2πL

ˆ

f(−1/L)e

−it/L

+

+

1

2πL

ˆ

f(0) +

1

2πL

ˆ

f(1/T)e

it/L

+

1

2πL

ˆ

f(2/L)e

2it/L

+. . . .

In the limit as L → ∞, it can be shown that this last sum approaches an

improper integral, and our formula becomes

f(t) =

1

2π

_

∞

−∞

ˆ

f(ξ)e

iξt

dξ. (3.23)

Equation (3.23) is called the Fourier inversion formula. If we make use of

Euler’s formula, we can write the Fourier inversion formula in terms of sines

and cosines,

f(t) =

1

2π

_

∞

−∞

ˆ

f(ξ) cos ξtdξ +

i

2π

_

∞

−∞

ˆ

f(ξ) sin ξtdξ,

a superposition of sines and cosines of various frequencies.

Equations (3.22) and (3.22) allow one to pass back and forth between a given

function and its representation as a superposition of oscillations of various fre-

quencies. Like the Laplace transform, the Fourier transform is often an eﬀective

tool in ﬁnding explicit solutions to diﬀerential equations.

Exercise:

3.5.1. Find the Fourier transform of the function f(t) deﬁned by

f(t) =

_

1, if −1 ≤ t ≤ 1,

0, otherwise.

80

Chapter 4

Partial Diﬀerential

Equations

4.1 Overview

A partial diﬀerential equation is an equation which contains partial derivatives,

such as the equation

∂u

∂t

=

∂

2

u

∂x

2

,

in which u is regarded as a function of x and t. Unlike the theory of ordinary

diﬀerential equations which centers upon one key theorem—the fundamental

existence and uniqueness theorem—there is no real uniﬁed theory of partial dif-

ferential equations. Instead, each type of partial diﬀerential equations exhibits

its own special features, which usually mirror the physical phenomena which

the equation was ﬁrst used to model.

Many of the foundational theories of physics and engineering are expressed

by means of systems of partial diﬀerential equations. The reader may have

heard some of these equations mentioned in previous courses in physics. Fluid

mechanics is often formulated by the Euler equations of motion or the so-called

Navier-Stokes equations, electricity and magnetism by Maxwell’s equations, gen-

eral relativity by Einstein’s ﬁeld equations. It is therefore important to develop

techniques that can be used to solve a wide variety of partial diﬀerential equa-

tions.

In this chapter, we will give two important simple examples of partial dif-

ferential equations, the heat equation and the wave equation, and we will show

how to solve them by the techniques of “separation of variables” and Fourier

analysis. Higher dimensional examples will be given in the following chapter.

We will see that just as in the case of ordinary diﬀerential equations, there is an

important dichotomy between linear and nonlinear equations. The techniques

of separation of variables and Fourier analysis are eﬀective only for linear par-

tial diﬀerential equations. Nonlinear partial diﬀerential equations are far more

81

diﬃcult to solve, and form a key topic of contemporary mathematical research.

1

Our ﬁrst example is the equation governing propagation of heat in a bar of

length L. We imagine that the bar is located along the x-axis and we let

u(x, t) = temperature of the bar at the point x at time t.

Heat in a small segment of a homogeneous bar is proportional to temper-

ature, the constant of proportionality being determined by the density and

speciﬁc heat of the material making up the bar. More generally, if σ(x) denotes

the speciﬁc heat at the point x and ρ(x) is the density of the bar at x, then the

heat within the region D

x1,x2

between x

1

and x

2

is given by the formula

Heat within D

x1,x2

=

_

x2

x1

ρ(x)σ(x)u(x, t)dx.

To calculate the rate of change of heat within D

x1,x2

with respect to time, we

simply diﬀerentiate under the integral sign:

d

dt

__

x2

x1

ρ(x)σ(x)u(x, t)dx

_

=

_

x2

x1

ρ(x)σ(x)

∂u

∂t

(x, t)dx.

Now heat is a form of energy, and conservation of energy implies that if no

heat is being created or destroyed in D

x1,x2

, the rate of change of heat within

D

x1,x2

is simply the rate at which heat enters D

x1,x2

. Hence the rate at which

heat leaves D

x1,x2

is given by the exp

Rate at which heat leaves D

x1,x2

= −

_

x2

x1

ρ(x)σ(x)

∂u

∂t

(x, t)dx. (4.1)

(More generally, if heat is being created within D

x1,x2

, say by a chemical reac-

tion, at the rate µ(x)u(x, t) +ν(x) per unit volume, then the rate at which heat

leaves D

x1,x2

is

−

_

x2

x1

ρ(x)σ(x)

∂u

∂t

(x, t)dx +

_

x2

x1

(µ(x)u(x, t) +ν(x))dx.)

On the other hand, the rate of heat ﬂow F(x, t) is proportional to the partial

derivative of temperature,

F(x, t) = −κ(x)

∂u

∂x

(x, t), (4.2)

where κ(x) is the thermal conductivity of the bar at x. Thus we ﬁnd that the

rate at which heat leaves the region D

x1,x2

is also given by the formula

F(x

2

, t) −F(x

1

, t) =

_

x2

x1

∂F

∂x

(x, t)dx. (4.3)

1

Further reading can be found in the many excellent upper-division texts on partial diﬀer-

ential equations. We especially recommend Mark Pinsky, Partial diﬀerential equations and

boundary-value problems with applications, 2nd edition, McGraw-Hill, 1991. An excellent

but much more advanced book is Michael Taylor, Partial diﬀerential equations: basic theory,

Springer, New York, 1996.

82

Comparing the two formulae (4.1) and (4.3), we ﬁnd that

_

x2

x1

∂F

∂x

(x, t)dx = −

_

x2

x1

ρ(x)σ(x)

∂u

∂t

(x, t)dx.

This equation is true for all choices of x

1

and x

2

, so the integrands on the two

sides must be equal:

∂F

∂x

= −ρ(x)σ(x)

∂u

∂t

.

It follows from (4.2) that

∂

∂x

_

−κ(x)

∂u

∂x

_

= −ρ(x)σ(x)

∂u

∂t

.

In this way, we obtain the heat equation

ρ(x)σ(x)

∂u

∂t

=

∂

∂x

_

κ(x)

∂u

∂x

_

. (4.4)

In the more general case in which heat is being created at the rate µ(x)u(x, t) +

ν(x) per unit length, one could show that heat ﬂow is modeled by the equation

ρ(x)σ(x)

∂u

∂t

=

∂

∂x

_

κ(x)

∂u

∂x

_

+µ(x)u +ν(x). (4.5)

In the special case where the bar is homogeneous, i.e. its properties are the

same at every point, ρ(x), σ(x) and κ(x) are constants, say σ and κ respectively,

and (4.4) becomes

∂u

∂t

=

κ

ρσ

∂

2

u

∂x

2

. (4.6)

This is our simplest example of a linear partial diﬀerential equation. Although

its most basic application concerns diﬀusion of heat, it arises in many other

contexts as well. For example, a slight modiﬁcation of the heat equation was

used by Black and Scholes to price derivatives in ﬁnancial markets.

2

Exercises:

4.1.1. Study of heat ﬂow often leads to “boundary-value problems” for ordi-

nary diﬀerential equations. Indeed, in the “steady-state” case, in which u is

independent of time, equation (4.5) becomes

d

dx

_

κ(x)

du

dx

(x)

_

+µ(x)u(x) +ν(x) = 0,

2

A description of the Black-Scholes technique for pricing puts and calls is given in Paul

Wilmott, Sam Howison and Jeﬀ Dewynne, The mathematics of ﬁnancial derivatives, Cam-

bridge Univ. Press, 1995.

83

a linear ordinary diﬀerential equation with variable coeﬃcients. Suppose now

that the temperature is speciﬁed at the two endpoints of the bar, say

u(0) = α, u(L) = β.

Our physical intuition suggests that the steady-state heat equation should have

a unique solution with these boundary conditions.

a. Solve the following special case of this boundary-value problem: Find u(x),

deﬁned for 0 ≤ x ≤ 1 such that

d

2

u

dx

2

= 0, u(0) = 70, u(1) = 50.

b. Solve the following special case of this boundary-value problem: Find u(x),

deﬁned for 0 ≤ x ≤ 1 such that

d

2

u

dx

2

−u = 0, u(0) = 70, u(1) = 50.

c. Solve the following special case of this boundary-value problem: Find u(x),

deﬁned for 0 ≤ x ≤ 1 such that

d

2

u

dx

2

+x(1 −x) = 0, u(0) = 0, u(1) = 0.

d. (For students with access to Mathematica) Use Mathematica to graph the

solution to the following boundary-value problem: Find u(x), deﬁned for 0 ≤

x ≤ 1 such that

d

2

u

dx

2

+ (1 +x

2

)u = 0, u(0) = 50, u(1) = 100.

You can do this by running the Mathematica program:

a = 0; b = 1; alpha = 50; beta = 100;

sol = NDSolve[ ¦u’’[x] + (1 + x∧2) u[x] == 0,

u[a] == alpha, u[b] == beta.¦, u, ¦x,a,b¦];

Plot[ Evaluate[ u[x] /. sol], ¦x,a,b¦]

4.1.2.a. Show that the function

u

0

(x, t) =

1

√

4πt

e

−x

2

/4t

is a solution to the heat equation (4.6) for t > 0 in the case where κ/(ρσ) = 1.

b. Use the chain rule with intermediate variables ¯ x = x −a,

¯

t = t to show that

u

a

(x, t) =

1

√

4πt

e

−(x−a)

2

/4t

84

is also a solution to the heat equation.

c. Show that

_

∞

−∞

u

0

(x, t)dx = 1.

Hint: Let I denote the integral on the left hand side and note that

I

2

=

1

4πt

_

∞

−∞

_

∞

−∞

e

−(x

2

+y

2

)/4t

dxdy.

Then transform this last integral to polar coordinates.

d. Use Mathematica to sketch u

0

(x, t) for various values of t. What can you

say about the behaviour of the function u

0

(x, t) as t → 0?

e. By diﬀerentiating under the integral sign show that if h : R → R is any

smooth function which vanishes outside a ﬁnite interval [−L, L], then

u(x, t) =

_

∞

−∞

u

a

(x, t)h(a)da (4.7)

is a solution to the heat equation.

REMARK: In more advanced courses it is shown that (4.7) approaches h(x) as

t → 0. In fact, (4.7) gives a formula (for values of t which are greater than zero)

for the unique solution to the heat equation on the inﬁnite line which satisﬁes

the initial condition u(x, 0) = h(x). In the next section, we will see how to solve

the initial value problem for a rod of ﬁnite length.

4.2 The initial value problem for the heat equa-

tion

We will now describe how to use the Fourier sine series to ﬁnd the solution to

an initial value problem for the heat equation in a rod of length L which is

insulated along the sides, whose ends are kept at zero temperature. We expect

that there should exist a unique function u(x, t), deﬁned for 0 ≤ x ≤ L and

t ≥ 0 such that

1. u(x, t) satisﬁes the heat equation

∂u

∂t

= c

2

∂

2

u

∂x

2

, (4.8)

where c is a constant.

2. u(x, t) satisﬁes the boundary condition u(0, t) = u(L, t) = 0, in other

words, the temperature is zero at the endpoints. (This is sometimes called

the Dirichlet boundary condition.)

85

3. u(x, t) satisﬁes the initial condition u(x, 0) = h(x), where h(x) is a given

function, the initial temperature of the rod.

In more advanced courses, it is proven that this initial value problem does in

fact have a unique solution. We will shortly see how to ﬁnd that solution.

Note that the heat equation itself and the boundary condition are homoge-

neous and linear—this means that if u

1

and u

2

satisfy these conditions, so does

c

1

u

1

+ c

2

u

2

, for any choice of constants c

1

and c

2

. Thus homogeneous linear

conditions satisfy the principal of superposition.

Our method makes use of the dichotomy into homogeneous and nonhomo-

geneous conditions:

Step I. We ﬁnd all of the solutions to the homogeneous linear conditions of the

special form

u(x, t) = f(x)g(t).

By the superposition principle, an arbitrary linear superposition of these solu-

tions will still be a solution.

Step II. We ﬁnd the particular solution which satisﬁes the nonhomogeneous

condition by Fourier analysis.

Let us ﬁrst carry out Step I. We substitute u(x, t) = f(x)g(t) into the heat

equation (4.8) and obtain

f(x)g

(t) = c

2

f

(x)g(t).

Now we separate variables, putting all the functions involving t on the left, all

the functions involving x on the right:

g

(t)

g(t)

= c

2

f

(x)

f(x)

.

The left-hand side of this equation does not depend on x, while the right-hand

side does not depend on t. Hence neither side can depend upon either x or t.

In other words, the two sides must equal a constant, which we denote by λ and

call the separating constant. Our equation now becomes

g

(t)

c

2

g(t)

=

f

(x)

f(x)

= λ,

which separates into two ordinary diﬀerential equations,

g

(t)

c

2

g(t)

= λ, or g

(t) = λc

2

g(t), (4.9)

and

f

(x)

f(x)

= λ, or f

(x) = λf(x). (4.10)

86

The homogeneous boundary condition u(0, t) = u(L, t) = 0 becomes

f(0)g(t) = f(L)g(t) = 0.

If g(t) is not identically zero,

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

(If g(t) is identically zero, then so is u(x, t), and we obtain only the trivial

solution u ≡ 0.)

Thus to ﬁnd the nontrivial solutions to the homogeneous linear part of the

problem requires us to ﬁnd the nontrivial solutions to a boundary value problem

for an ordinary diﬀerential equation:

f

(x) =

d

2

dx

2

(f(x)) = λf(x), f(0) = 0 = f(L). (4.11)

We will call (4.11) the eigenvalue problem for the diﬀerential operator

L =

d

2

dx

2

acting on the space V

0

of well-behaved functions f : [0, L] → R which vanish at

the endpoints 0 and L.

We need to consider three cases. (As it turns out, only one of these will

actually yield nontrivial solutions to our eigenvalue problem.)

Case 1: λ = 0. In this case, the eigenvalue problem (4.11) becomes

f

(x) = 0, f(0) = 0 = f(L).

The general solution to the diﬀerential equation is f(x) = ax +b, and the only

particular solution which satisﬁes the boundary condition is f = 0, the trivial

solution.

Case 2: λ > 0. In this case, the diﬀerential equation

f

(x) = λf(x), or f

(x) −λf(x) = 0

has the general solution

f(x) = c

1

e

√

λx

+c

2

e

−

√

λx

.

It is convenient for us to change basis in the linear space of solutions, using

cosh(

√

λx) =

1

2

(e

√

λx

+e

−

√

λx

), sinh(

√

λx) =

1

2

(e

√

λx

−e

−

√

λx

)

instead of the exponentials. Then we can write

f(x) = a cosh(

√

λx) +b sinh(

√

λx),

87

with new constants of integration a and b. We impose the boundary conditions:

ﬁrst

f(0) = 0 ⇒ a = 0 ⇒ f(x) = b sinh(

√

λx),

and then

f(L) = 0 ⇒ b sinh(

√

λL) = 0 ⇒ b = 0 ⇒ f(x) = 0,

so we obtain no nontrivial solutions in this case.

Case 3: λ < 0. In this case, we set ω =

√

−λ, and rewrite the eigenvalue

problem as

f

(x) +ω

2

f(x) = 0, f(0) = 0 = f(L).

We recognize here our old friend, the diﬀerential equation of simple harmonic

motion. We remember that the diﬀerential equation has the general solution

f(x) = a cos(ωx) +b sin(ωx).

Once again

f(0) = 0 ⇒ a = 0 ⇒ f(x) = b sin(ωx).

Now, however,

f(L) = 0 ⇒ b sin(ωL) ⇒ b = 0 or sin(ωL) = 0,

and hence either b = 0 and we obtain only the trivial solution or sin(ωL) = 0.

The latter possibility will occur if ωL = nπ, or ω = (nπ/L), where n is an

integer. In this case, we obtain

f(x) = b sin(nπx/L).

Therefore, we conclude that the only nontrivial solutions to (4.11) are constant

multiples of

f(x) = sin(nπx/L), with λ = −(nπ/L)

2

, n = 1, 2, 3, . . . .

For each of these solutions, we need to ﬁnd a corresponding g(t) solving equation

(4.9),

g

(t) = λc

2

g(t),

where λ = −(nπ/L)

2

. This is just the equation of exponential decay, and has

the general solution

g(t) = be

−(ncπ/L)

2

t

,

where a is a constant of integration. Thus we ﬁnd that the nontrivial prod-

uct solutions to the heat equation together with the homogeneous boundary

condition u(0, t) = 0 = u(L, t) are constant multiples of

u

n

(x, t) = sin(nπx/L)e

−(ncπ/L)

2

t

.

88

It follows from the principal of superposition that

u(x, t) = b

1

sin(πx/L)e

−(cπ/L)

2

t

+b

2

sin(2πx/L)e

−(2cπ/L)

2

t

+. . . (4.12)

is a solution to the heat equation together with its homogeneous boundary

conditions, for arbitrary choice of the constants b

1

, b

2

, . . . .

Step II consists of determining the constants b

n

in (4.12) so that the initial

condition u(x, 0) = h(x) is satisﬁed. Setting t = 0 in (4.12) yields

h(x) = u(x, 0) = b

1

sin(πx/L) +b

2

sin(2πx/L) +. . . .

It follows from the theory of the Fourier sine series that h can indeed be rep-

resented as a superposition of sine functions, and we can determine the b

n

’s as

the coeﬃcients in the Fourier sine series of h. Using the techniques described in

Section 3.3, we ﬁnd that

b

n

=

2

L

_

L

0

h(x) sin(nπx/L)dx.

Example 1. Suppose that we want to ﬁnd the function u(x, t), deﬁned for

0 ≤ x ≤ π and t ≥ 0, which satisﬁes the initial-value problem:

∂u

∂t

=

∂

2

u

∂x

2

, u(0, t) = u(π, t) = 0, u(x, 0) = h(x) = 4 sin x+2 sin 2x+7 sin 3x.

In this case, the nonvanishing coeﬃcients for the Fourier sine series of h are

b

1

= 4, b

2

= 2, b

3

= 7,

so the solution must be

u(x, t) = 4 sin xe

−t

+ 2 sin 2xe

−4t

+ 7 sin 3xe

−9t

.

Example 2. Suppose that we want to ﬁnd the function u(x, t), deﬁned for

0 ≤ x ≤ π and t ≥ 0, which satisﬁes the initial-value problem:

∂u

∂t

=

∂

2

u

∂x

2

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

where

h(x) =

_

x, for 0 ≤ x ≤ π/2,

π −x, for π/2 ≤ x ≤ π.

We saw in Section 3.3 that the Fourier sine series of h is

h(x) =

4

π

sin x −

4

9π

sin 3x +

4

25π

sin 5x −

4

49π

sin 7x +. . . ,

and hence

u(x, t) =

4

π

sin xe

−t

−

4

9π

sin 3xe

−9t

+

4

25π

sin 5xe

−25t

−. . . .

89

Exercises:

4.2.1. Find the function u(x, t), deﬁned for 0 ≤ x ≤ π and t ≥ 0, which satisﬁes

the following conditions:

∂u

∂t

=

∂

2

u

∂x

2

, u(0, t) = u(π, t) = 0, u(x, 0) = sin 2x.

You may assume that the nontrivial solutions to the eigenvalue problem

f

(x) = λf(x), f(0) = 0 = f(π)

are

λ = −n

2

, f(x) = b

n

sin nx, for n = 1, 2, 3, . . . ,

where the b

n

’s are constants.

4.2.2. Find the function u(x, t), deﬁned for 0 ≤ x ≤ π and t ≥ 0, which satisﬁes

the following conditions:

∂u

∂t

=

∂

2

u

∂x

2

, u(0, t) = u(π, t) = 0, u(x, 0) = sin x + 3 sin 2x −5 sin 3x.

4.2.3. Find the function u(x, t), deﬁned for 0 ≤ x ≤ π and t ≥ 0, which satisﬁes

the following conditions:

∂u

∂t

=

∂

2

u

∂x

2

, u(0, t) = u(π, t) = 0, u(x, 0) = x(π −x).

(In this problem you need to ﬁnd the Fourier sine series of h(x) = x(π −x).)

4.2.4. Find the function u(x, t), deﬁned for 0 ≤ x ≤ π and t ≥ 0, which satisﬁes

the following conditions:

1

2t + 1

∂u

∂t

=

∂

2

u

∂x

2

, u(0, t) = u(π, t) = 0, u(x, 0) = sin x + 3 sin 2x.

4.2.5. Find the function u(x, t), deﬁned for 0 ≤ x ≤ π and t ≥ 0, which satisﬁes

the following conditions:

(t + 1)

∂u

∂t

=

∂

2

u

∂x

2

, u(0, t) = u(π, t) = 0, u(x, 0) = sin x + 3 sin 2x.

4.2.6.a. Find the function w(x), deﬁned for 0 ≤ x ≤ π, such that

d

2

w

dx

2

= 0, w(0) = 10, w(π) = 50.

b. Find the general solution to the following boundary value problem for the

heat equation: Find the functions u(x, t), deﬁned for 0 ≤ x ≤ π and t ≥ 0, such

that

∂u

∂t

=

∂

2

u

∂x

2

, u(0, t) = 10, u(π, t) = 50. (4.13)

90

(Hint: Let v = u − w, where w is the solution to part a. Determine what

conditions v must satisfy.)

c. Find the particular solution to (4.13) which in addition satisﬁes the initial

condition

u(x, 0) = 10 +

40

π

x + 2 sin x −5 sin 2x.

4.2.7.a. Find the eigenvalues and corresponding eigenfunctions for the diﬀeren-

tial operator

L =

d

2

dt

2

+ 3,

which acts on the space V

0

of well-behaved functions f : [0, π] → R which vanish

at the endpoints 0 and π by

L(f) =

d

2

f

dt

2

+ 3f.

b. Find the function u(x, t), deﬁned for 0 ≤ x ≤ π and t ≥ 0, which satisﬁes

the following conditions:

∂u

∂t

=

∂

2

u

∂x

2

+ 3u, u(0, t) = u(π, t) = 0, u(x, 0) = sin x + 3 sin 2x.

4.2.8. The method described in this section can also be used to solve an initial

value problem for the heat equation in which the Dirichlet boundary condition

u(0, t) = u(L, t) = 0 is replaced by the Neumann boundary condition

∂u

∂x

(0, t) =

∂u

∂x

(L, t) = 0. (4.14)

(Physically, this corresponds to insulated endpoints, from which no heat can

enter or escape.) In this case separation of variables leads to a slightly diﬀerent

eigenvalue problem, which consists of ﬁnding the nontrivial solutions to

f

(x) =

d

2

dx

2

(f(x)) = λf(x), f

(0) = 0 = f

(L).

a. Solve this eigenvalue problem. (Hint: The solution should involve cosines

instead of sines.)

b. Find the general solution to the heat equation

∂u

∂t

=

∂

2

u

∂x

2

subject to the Neumann boundary condition (4.14).

91

c. Find the function u(x, t), deﬁned for 0 ≤ x ≤ π and t ≥ 0, such that:

∂u

∂t

=

∂

2

u

∂x

2

,

∂u

∂x

(0, t) =

∂u

∂x

(π, t) = 0, u(x, 0) = 3 cos x + 7 cos 2x.

4.2.9. We can also treat a mixture of Dirichlet and Neumann conditions, say

u(0, t) =

∂u

∂x

(L, t) = 0. (4.15)

In this case separation of variables leads to the eigenvalue problem which consists

of ﬁnding the nontrivial solutions to

f

(x) =

d

2

dx

2

(f(x)) = λf(x), f(0) = 0 = f

(L).

a. Solve this eigenvalue problem.

b. Find the general solution to the heat equation

∂u

∂t

=

∂

2

u

∂x

2

subject to the mixed boundary condition (4.15).

c. Find the function u(x, t), deﬁned for 0 ≤ x ≤ π and t ≥ 0, such that:

∂u

∂t

=

∂

2

u

∂x

2

, u(0, t) =

∂u

∂x

(π, t) = 0, u(x, 0) = 4 sin(x/2) + 12 sin(3x/2).

4.3 Numerical solutions to the heat equation

There is another method which is sometimes used to treat the initial value

problem described in the preceding section, a numerical method based upon

“ﬁnite diﬀerences.” Although it yields only approximate solutions, it can be

applied in some cases with variable coeﬃcients when it would be impossible to

apply Fourier analysis in terms of sines and cosines. However, for simplicity,

we will describe only the case where ρ and k are constant, and in fact we will

assume that c

2

= L = 1.

Thus we seek the function u(x, t), deﬁned for 0 ≤ x ≤ 1 and t ≥ 0, which

solves the heat equation

∂u

∂t

=

∂

2

u

∂x

2

subject to the boundary conditions u(0, t) = u(1, t) = 0 and the initial con-

dition u(x, 0) = h(x), where h(x) is a given function, representing the initial

temperature.

For any ﬁxed choice of t

0

the function u(x, t

0

) is an element of V

0

, the space of

piecewise smooth functions deﬁned for 0 ≤ x ≤ 1 which vanish at the endpoints.

92

Our idea is to replace the “inﬁnite-dimensional” space V

0

by a ﬁnite-dimensional

Euclidean space R

n−1

and reduce the partial diﬀerential equation to a system

of ordinary diﬀerential equations. This corresponds to utilizing a discrete model

for heat ﬂow rather than a continuous one.

For 0 ≤ i ≤ n, let x

i

= i/n and

u

i

(t) = u(x

i

, t) = the temperature at x

i

at time t.

Since u

0

(t) = 0 = u

n

(t) by the boundary conditions, the temperature at time t

is speciﬁed by

u(t) =

_

_

_

_

u

1

(t)

u

2

(t)

u

n−1

(t)

_

_

_

_

,

a vector-valued function of one variable. The initial condition becomes

u(0) = h, where h =

_

_

_

_

h(x

1

)

h(x

2

)

h(x

n−1

)

_

_

_

_

.

We can approximate the ﬁrst-order partial derivative by a diﬀerence quo-

tient:

∂u

∂x

_

x

i

+x

i+1

2

, t

_

.

=

u

i+1

(t) −u

i

(t)

x

i+1

−x

i

=

[u

i+1

(t) −u

i

(t)]

1/n

= n[u

i+1

(t) −u

i

(t)].

Similarly, we can approximate the second-order partial derivative:

∂

2

u

∂x

2

(x

i

, t)

.

=

∂u

∂x

_

xi+xi+1

2

, t

_

−

∂u

∂x

_

xi−1+xi

2

, t

_

1/n

.

= n

_

∂u

∂x

_

x

i

+x

i+1

2

, t

_

−

∂u

∂x

_

x

i−1

+x

i

2

, t

__

.

= n

2

[u

i−1

(t) −2u

i

(t) +u

i+1

(t)].

Thus the partial diﬀerential equation

∂u

∂t

=

∂

2

u

∂x

2

can be approximated by a system of ordinary diﬀerential equations

du

i

dt

= n

2

(u

i−1

−2u

i

+u

i+1

).

This is a ﬁrst order linear system which can be presented in vector form as

du

dt

= n

2

Pu, where P =

_

_

_

_

_

_

−2 1 0 0

1 −2 1 0

0 1 −2

0 0 −2

_

_

_

_

_

_

,

93

the last matrix having n − 1 rows and n − 1 columns. Finally, we can rewrite

this as

du

dt

= Au, where A = n

2

P, (4.16)

a system exactly like the ones studied in Section 2.5. In the limit as n → ∞

one can use the Mathematica program of ¸2.6 to check that the eigenvalues of A

approach the eigenvalues of d

2

/dx

2

as determined in the preceding section, and

the eigenvectors approximate more and more closely the standard orthonormal

basis of sine functions.

One could continue constructing a numerical method for solution of our ini-

tial value problem by means of another discretization, this time in the time

direction. We could do this via the familiar Cauchy-Euler method for ﬁnding

numerical solutions to the linear system (4.16). This method for ﬁnding ap-

proximate solutions to the heat equation is often called the method of ﬁnite

diﬀerences. With suﬃcient eﬀort, one could construct a computer program,

using Mathematica or some other software package, to implement it.

More advanced courses on numerical analysis often treat the ﬁnite diﬀerence

method in detail.

3

For us, however, the main point of the method of ﬁnite

diﬀerences is that it provides considerable insight into the theory behind the

heat equation. It shows that the heat equation can be thought of as arising

from a system of ordinary diﬀerential equations when the number of dependent

variables goes to inﬁnity. It is sometimes the case that either a partial diﬀeren-

tial equation or a system of ordinary diﬀerential equations with a large or even

inﬁnite number of unknowns can give an eﬀective model for the same physical

phenomenon. This partially explains, for example, why quantum mechanics

possesses two superﬁcially diﬀerent formulations, via Schr¨ odinger’s partial dif-

ferential equation or via “inﬁnite matrices” in Heisenberg’s “matrix mechanics.”

4.4 The vibrating string

Our next goal is to derive the equation which governs the motion of a vibrating

string. We consider a string of length L stretched out along the x-axis, one end

of the string being at x = 0 and the other being at x = L. We assume that the

string is free to move only in the vertical direction. Let

u(x, t) = vertical displacement of the string at the point x at time t.

We will derive a partial diﬀerential equation for u(x, t). Note that since the

ends of the string are ﬁxed, we must have u(0, t) = 0 = u(L, t) for all t.

It will be convenient to use the “conﬁguration space” V

0

described in Sec-

tion 3.3. An element u(x) ∈ V

0

represents a conﬁguration of the string at some

3

For further discussion of this method one can refer to numerical analysis books, such as

Burden and Faires, Numerical analysis, Seventh edition, Brooks Cole Publishing Company,

2000.

94

instant of time. We will assume that the potential energy in the string when it

is in the conﬁguration u(x) is

V (u(x)) =

_

L

0

T

2

_

du

dx

_

2

dx, (4.17)

where T is a constant, called the tension of the string.

Indeed, we could imagine that we have devised an experiment that measures

the potential energy in the string in various conﬁgurations, and has determined

that (4.17) does indeed represent the total potential energy in the string. On

the other hand, this expression for potential energy is quite plausible for the

following reason: We could imagine ﬁrst that the amount of energy in the string

should be proportional to the amount of stretching of the string, or in other

words, proportional to the length of the string. From vector calculus, we know

that the length of the curve u = u(x) is given by the formula

Length =

_

L

0

_

1 + (du/dx)

2

dx.

But when du/dx is small,

_

1 +

1

2

_

du

dx

_

2

_

2

= 1 +

_

du

dx

_

2

+ a small error,

and hence

_

1 + (du/dx)

2

is closely approximated by 1 +

1

2

(du/dx)

2

.

Thus to a ﬁrst order of approximation, the amount of energy in the string should

be proportional to

_

L

0

_

1 +

1

2

_

du

dx

_

2

_

dx =

_

L

0

1

2

_

du

dx

_

2

dx + constant.

Letting T denote the constant of proportionality yields

energy in string =

_

L

0

T

2

_

du

dx

_

2

dx + constant.

Potential energy is only deﬁned up to addition of a constant, so we can drop

the constant term to obtain (4.17).

The force acting on a portion of the string when it is in the conﬁguration

u(x) is determined by an element F(x) of V

0

. We imagine that the force acting

on the portion of the string from x to x + dx is F(x)dx. When the force

pushes the string through an inﬁnitesimal displacement ξ(x) ∈ V

0

, the total

95

work performed by F(x) is then the “sum” of the forces acting on the tiny

pieces of the string, in other words, the work is the “inner product” of F and ξ,

¸F(x), ξ(x)) =

_

L

0

F(x)ξ(x)dx.

(Note that the inner product we use here diﬀers from the one used in Section 3.3

by a constant factor.)

On the other hand this work is the amount of potential energy lost when the

string undergoes the displacement:

¸F(x), ξ(x)) =

_

L

0

T

2

_

∂u

∂x

_

2

dx −

_

L

0

T

2

_

∂(u +ξ)

∂x

_

2

dx

= −T

_

L

0

∂u

∂x

∂ξ

∂x

dx +

_

L

0

T

2

_

∂ξ

∂x

_

2

dx.

We are imagining that the displacement ξ is inﬁnitesimally small, so terms

containing the square of ξ or the square of a derivative of ξ can be ignored, and

hence

¸F(x), ξ(x)) = −T

_

L

0

∂u

∂x

∂ξ

∂x

dx.

Integration by parts yields

¸F(x), ξ(x)) = T

_

L

0

∂

2

u

∂x

2

ξ(x)dx −T

_

∂u

∂x

ξ

_

(L) −T

_

∂u

∂x

ξ

_

(0).

Since ξ(0) = ξ(L) = 0, we conclude that

_

L

0

F(x)ξ(x)dx = ¸F(x), ξ(x)) = T

_

L

0

∂

2

u

∂x

2

ξ(x)dx.

Since this formula holds for all inﬁnitesimal displacements ξ(x), we must have

F(x) = T

∂

2

u

∂x

2

,

for the force density per unit length.

Now we apply Newton’s second law, force = mass acceleration, to the

function u(x, t). The force acting on a tiny piece of the string of length dx is

F(x)dx, while the mass of this piece of string is just ρdx, where ρ is the density

of the string. Thus Newton’s law becomes

T

∂

2

u

∂x

2

dx = ρdx

∂

2

u

∂t

2

.

If we divide by ρdx, we obtain the wave equation,

∂

2

u

∂t

2

=

T

ρ

∂

2

u

∂x

2

, or

∂

2

u

∂t

2

= c

2

∂

2

u

∂x

2

,

96

where c

2

= T/ρ.

Just as in the preceding section, we could approximate this partial diﬀerential

equation by a system of ordinary diﬀerential equations. Assume that the string

has length L = 1 and set x

i

= i/n and

u

i

(t) = u(x

i

, t) = the displacement of the string at x

i

at time t.

Then the function u(x, t) can be approximated by the vector-valued function

u(t) =

_

_

_

_

u

1

(t)

u

2

(t)

u

n−1

(t)

_

_

_

_

of one variable, just as before. The wave equation is then approximated by the

system of ordinary diﬀerential equations

d

2

u

dt

2

= c

2

n

2

Pu,

where P is the (n−1) (n−1) matrix described in the preceding section. Thus

the diﬀerential operator

L =

d

2

dx

2

is approximated by the symmetric matrix n

2

P,

and we expect solutions to the wave equation to behave like solutions to a

mechanical system of weights and springs with a large number of degrees of

freedom.

Exercises:

4.4.1.a. Show that if f : R → R is any well-behaved function of one variable,

u(x, t) = f(x +ct)

is a solution to the partial diﬀerential equation

∂u

∂t

−c

∂u

∂x

= 0.

(Hint: Use the “chain rule.”)

b. Show that if g : R → R is any well-behaved function of one variable,

u(x, t) = g(x −ct)

is a solution to the partial diﬀerential equation

∂u

∂t

+c

∂u

∂x

= 0.

97

c. Show that for any choice of well-behaved functions f and g, the function

u(x, t) = f(x +ct) +g(x −ct)

is a solution to the diﬀerential equation

∂

2

u

∂t

2

−c

2

∂

2

u

∂x

2

=

_

∂

∂t

+c

∂

∂x

_ _

∂u

∂t

−c

∂u

∂x

_

= 0.

Remark: This gives a very explicit general solution to the equation for the

vibrations of an inﬁnitely long string.

d. Show that

u(x, t) =

f(x +ct) +f(x −ct)

2

is a solution to the initial value problem

∂

2

u

∂t

2

−c

2

∂

2

u

∂x

2

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

∂u

∂t

(x, 0) = 0.

4.4.2. Show that if the tension and density of a string are given by variable

functions T(x) and ρ(x) respectively, then the motion of the string is governed

by the equation

∂

2

u

∂t

2

=

1

ρ(x)

∂

∂x

_

T(x)

∂u

∂x

_

.

4.5 The initial value problem for the vibrating

string

The Fourier sine series can also be used to ﬁnd the solution to an initial value

problem for the vibrating string with ﬁxed endpoints at x = 0 and x = L.

We formulate this problem as follows: we seek a function u(x, t), deﬁned for

0 ≤ x ≤ L and t ≥ 0 such that

1. u(x, t) satisﬁes the wave equation

∂

2

u

∂t

2

= c

2

∂

2

u

∂x

2

, (4.18)

where c is a constant.

2. u(x, t) satisﬁes the boundary condition u(0, t) = u(L, t) = 0, i.e. the

displacement of the string is zero at the endpoints.

3. u(x, t) satisﬁes the initial conditions

u(x, 0) = h

1

(x) and

∂u

∂t

(x, 0) = h

2

(x),

where h

1

(x) and h

2

(x) are given functions, the initial position and velocity

of the string.

98

Note that the wave equation itself and the boundary condition are homogeneous

and linear, and therefore satisfy the principal of superposition.

Once again, we ﬁnd the solution to our problem in two steps:

Step I. We ﬁnd all of the solutions to the homogeneous linear conditions of the

special form

u(x, t) = f(x)g(t).

Step II. We ﬁnd the superposition of these solution which satisﬁes the nonho-

mogeneous initial conditions by means of Fourier analysis.

To carry out Step I, we substitute u(x, t) = f(x)g(t) into the wave equation

(4.18) and obtain

f(x)g

(t) = c

2

f

(x)g(t).

We separate variables, putting all the functions involving t on the left, all the

functions involving x on the right:

g

(t)

g(t)

= c

2

f

(x)

f(x)

.

Once again, the left-hand side of this equation does not depend on x, while the

right-hand side does not depend on t, so neither side can depend upon either x

or t. Therefore the two sides must equal a constant λ, and our equation becomes

g

(t)

c

2

g(t)

=

f

(x)

f(x)

= λ,

which separates into two ordinary diﬀerential equations,

g

(t)

c

2

g(t)

= λ, or g

(t) = λc

2

g(t), (4.19)

and

f

(x)

f(x)

= λ, or f

(x) = λf(x). (4.20)

Just as in the case of the heat equation, the homogeneous boundary condition

u(0, t) = u(L, t) = 0 becomes

f(0)g(t) = f(L)g(t) = 0,

and assuming that g(t) is not identically zero, we obtain

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

Thus once again we need to ﬁnd the nontrivial solutions to the boundary value

problem,

f

(x) =

d

2

dx

2

(f(x)) = λf(x), f(0) = 0 = f(L),

99

and just as before, we ﬁnd that the the only nontrivial solutions are constant

multiples of

f(x) = sin(nπx/L), with λ = −(nπ/L)

2

, n = 1, 2, 3, . . . .

For each of these solutions, we need to ﬁnd a corresponding g(t) solving

equation (4.19),

g

(t) = −(nπ/L)

2

c

2

g(t), or g

(t) + (nπ/L)

2

c

2

g(t) = 0.

This is just the equation of simple harmonic motion, and has the general solution

g(t) = a cos(ncπt/L) +b sin(ncπt/L),

where a and b are constants of integration. Thus we ﬁnd that the nontrivial

product solutions to the wave equation together with the homogeneous bound-

ary condition u(0, t) = 0 = u(L, t) are constant multiples of

u

n

(x, t) = [a

n

cos(ncπt/L) +b

n

sin(ncπt/L)] sin(nπx/L).

The general solution to the wave equation together with this boundary condition

is an arbitrary superposition of these product solutions:

u(x, t) = [a

1

cos(cπt/L) +b

1

sin(cπt/L)] sin(πx/L) (4.21)

+[a

2

cos(2cπt/L) +b

2

sin(2cπt/L)] sin(2πx/L) +. . . . (4.22)

The vibration of the string is a superposition of a fundamental mode which has

frequency

cπ

L

1

2π

=

c

2L

=

_

T/ρ

2L

,

and higher modes which have frequencies which are exact integer multiples of

this frequency.

Step II consists of determining the constants a

n

and b

n

in (4.22) so that the

initial conditions

u(x, 0) = h

1

(x) and

∂u

∂t

(x, 0) = h

2

(x)

are satisﬁed. Setting t = 0 in (4.22) yields

h

1

(x) = u(x, 0) = a

1

sin(πx/L) +a

2

sin(2πx/L) +. . . ,

so we see that the a

n

’s are the coeﬃcients in the Fourier sine series of h

1

.

If we diﬀerentiate equation(4.22) with respect to t, we ﬁnd that

∂u

∂t

(x, t) = [

−cπ

L

a

1

sin(cπt/L) +

cπ

L

b

1

cos(cπt/L)] sin(πx/L)

100

+

−2cπ

L

[a

2

sin(2cπt/L) +

cπ

L

b

2

sin(2cπt/L)] cos(2πx/L) +. . . ,

and setting t = 0 yields

h

2

(x) =

∂u

∂t

(x, 0) =

cπ

L

b

1

sin(πx/L) +

2cπ

L

b

2

sin(2πx/L) +. . . .

We conclude that

ncπ

L

b

n

= the n-th coeﬃcient in the Fourier sine series of h

2

(x).

Example. Suppose that we want to ﬁnd the function u(x, t), deﬁned for 0 ≤

x ≤ π and t ≥ 0, which satisﬁes the initial-value problem:

∂

2

u

∂t

2

=

∂

2

u

∂x

2

, u(0, t) = u(π, t) = 0,

u(x, 0) = 5 sin x + 12 sin 2x + 6 sin 3x,

∂u

∂t

(x, 0) = 0.

In this case, the ﬁrst three coeﬃcients for the Fourier sine series of h are

a

1

= 5, a

2

= 12, a

3

= 6,

and all the others are zero, so the solution must be

u(x, t) = 5 sin xcos t + 12 sin 2xcos 2t + 6 sin 3xcos 3t.

Exercises:

4.5.1 What happens to the frequency of the fundamental mode of oscillation of

a vibrating string when the length of the string is doubled? When the tension

on the string is doubled? When the density of the string is doubled?

4.5.2. Find the function u(x, t), deﬁned for 0 ≤ x ≤ π and t ≥ 0, which satisﬁes

the following conditions:

∂

2

u

∂t

2

=

∂

2

u

∂x

2

, u(0, t) = u(π, t) = 0,

u(x, 0) = sin 2x,

∂u

∂t

(x, 0) = 0.

You may assume that the nontrivial solutions to the eigenvalue problem

f

(x) = λf(x), f(0) = 0 = f(π)

are

λ = −n

2

, f(x) = b

n

sin nx, for n = 1, 2, 3, . . . ,

where the b

n

’s are constants.

101

4.5.3. Find the function u(x, t), deﬁned for 0 ≤ x ≤ π and t ≥ 0, which satisﬁes

the following conditions:

∂

2

u

∂t

2

=

∂

2

u

∂x

2

, u(0, t) = u(π, t) = 0,

u(x, 0) = sin x + 3 sin 2x −5 sin 3x,

∂u

∂t

(x, 0) = 0.

4.5.4. Find the function u(x, t), deﬁned for 0 ≤ x ≤ π and t ≥ 0, which satisﬁes

the following conditions:

∂

2

u

∂t

2

=

∂

2

u

∂x

2

, u(0, t) = u(π, t) = 0,

u(x, 0) = x(π −x),

∂u

∂t

(x, 0) = 0.

4.5.5. Find the function u(x, t), deﬁned for 0 ≤ x ≤ π and t ≥ 0, which satisﬁes

the following conditions:

∂

2

u

∂t

2

=

∂

2

u

∂x

2

, u(0, t) = u(π, t) = 0,

u(x, 0) = 0,

∂u

∂t

(x, 0) = sin x + sin 2x.

4.5.6. (For students with access to Mathematica) a. Find the ﬁrst ten coeﬃ-

cients of the Fourier sine series for

h(x) = x −x

4

by running the following Mathematica program

f[n ] := 2 NIntegrate[(x - x∧4) Sin[n Pi x], ¦x,0,1¦];

b = Table[f[n], ¦n,1,10¦]

b. Find the ﬁrst ten terms of the solution to the initial value problem for a

vibrating string,

∂

2

u

∂t

2

=

∂

2

u

∂x

2

, u(0, t) = u(π, t) = 0,

u(x, 0) = x −x

4

,

∂u

∂t

(x, 0) = 0.

c. Construct a sequence of sketches of the positions of the vibrating string at

the times t

i

= ih, where h = .1 by running the Mathematica program:

vibstring = Table[

102

Plot[

Sum[ b[n] Sin[n Pi x] Cos[n Pi t], ¦n,1,10¦],

¦x,0,1¦, PlotRange -> ¦-1,1¦

], ¦t,0,1.,.1¦

]

d. Select the cell containing vibstring and animate the sequence of graphics

by running “Animate selected graphics,” from the Cell menu.

4.6 Heat ﬂow in a circular wire

The theory of Fourier series can also be used to solve the initial value problem

for the heat equation in a circular wire of radius 1 which is insulated along the

sides. In this case, we seek a function u(θ, t), deﬁned for θ ∈ R and t ≥ 0 such

that

1. u(θ, t) satisﬁes the heat equation

∂u

∂t

= c

2

∂

2

u

∂θ

2

, (4.23)

where c is a constant.

2. u(θ, t) is periodic of period 2π in the variable θ; in other words,

u(θ + 2π, t) = u(θ, t), for all θ and t.

3. u(θ, t) satisﬁes the initial condition u(θ, 0) = h(θ), where h(θ) is a given

function, periodic of period 2π, the initial temperature of the wire.

Once again the heat equation itself and the periodicity condition are homoge-

neous and linear, so they must be dealt with ﬁrst. Once we have found the

general solution to the homogeneous conditions

∂u

∂t

= c

2

∂

2

u

∂θ

2

, u(θ + 2π, t) = u(θ, t),

we will be able to ﬁnd the particular solution which satisﬁes the initial condition

u(θ, 0) = h(θ)

by the theory of Fourier series.

Thus we substitute u(θ, t) = f(θ)g(t) into the heat equation (4.23) to obtain

f(θ)g

(t) = c

2

f

(θ)g(t)

and separate variables:

g

(t)

g(t)

= c

2

f

(θ)

f(θ)

.

103

The left-hand side of this equation does not depend on θ, while the right-hand

side does not depend on t, so neither side can depend upon either θ or t, and

we can write

g

(t)

c

2

g(t)

=

f

(θ)

f(θ)

= λ,

where λ is a constant. We thus obtain two ordinary diﬀerential equations,

g

(t)

c

2

g(t)

= λ, or g

(t) = λc

2

g(t), (4.24)

and

f

(θ)

f(θ)

= λ, or f

(θ) = λf(θ). (4.25)

The periodicity condition u(θ +π, t) = u(θ, t) becomes

f(θ + 2π)g(t) = f(θ)g(t),

and if g(t) is not identically zero, we must have

f(θ + 2π) = f(θ).

Thus to ﬁnd the nontrivial solutions to the homogeneous linear part of the

problem requires us to ﬁnd the nontrivial solutions to the problem:

f

(θ) =

d

2

dθ

2

(f(θ)) = λf(θ), f(θ + 2π) = f(θ). (4.26)

We will call (4.11) the eigenvalue problem for the diﬀerential operator

L =

d

2

dθ

2

acting on the space V of functions which are periodic of period 2π.

As before, we need to consider three cases.

Case 1: λ = 0. In this case, the eigenvalue problem (4.26) becomes

f

(θ) = 0, f(θ + 2π) = f(θ).

The general solution to the diﬀerential equation is f(θ) = a +bθ, and

a +b(θ + 2π) = a +b(θ) ⇒ b = 0.

Thus the only solution in this case is that where f is constant, and to be

consistent with our Fourier series conventions, we write f(θ) = a

0

/2, where a

0

is a constant.

Case 2: λ > 0. In this case, the diﬀerential equation

f

(θ) = λf(θ), or f

(θ) −λf(θ) = 0

104

has the general solution

f(θ) = ae

(

√

λθ)

+be

−(

√

λθ)

.

Note that

a ,= 0 ⇒ f(θ) → ±∞ as θ → ∞,

while

b ,= 0 ⇒ f(θ) → ±∞ as θ → −∞.

Neither of these is consistent with the periodicity conditions f(θ + 2π) = f(θ),

so we conclude that a = b = 0, and we obtain no nontrivial solutions in this

case.

Case 3: λ < 0. In this case, we set ω =

√

−λ, and rewrite the eigenvalue

problem as

f

(θ) +ω

2

f(θ) = 0, f(θ + 2π) = f(θ).

We recognize once again our old friend, the diﬀerential equation of simple har-

monic motion, which has the general solution

f(θ) = a cos(ωθ) +b sin(ωθ) = Asin(ω(θ −θ

0

)).

The periodicity condition f(θ + 2π) = f(θ) implies that ω = n, where n is an

integer, which we can assume is positive, and

f(θ) = a

n

cos(nθ) +b

n

sin(nθ).

Thus we see that the general solution to the eigenvalue problem (4.26) is

λ = 0 and f(θ) =

a

0

2

,

or

λ = −n

2

where n is a positive integer and f(θ) = a

n

cos(nθ) +b

n

sin(nθ).

Now we need to ﬁnd the corresponding solutions to (4.24)

g

(t) = λc

2

g(t),

for λ = 0, −1, −4, −9, . . . , −n

2

, . . . . As before, we ﬁnd that the solution is

g(t) = (constant)e

−n

2

c

2

t

,

where c is a constant. Thus the product solutions to the homogeneous part of

the problem are

u

0

(θ, t) =

a

0

2

, u

n

(θ, t) = [a

n

cos(nθ) +b

n

sin(nθ)]e

−n

2

c

2

t

,

where n = 1, 2, 3, . . . .

105

Now we apply the superposition principle—an arbitrary superposition of

these product solutions must again be a solution. Thus

u(θ, t) =

a

0

2

+ Σ

∞

n=1

[a

n

cos(nθ) +b

n

sin(nθ)]e

−n

2

c

2

t

(4.27)

is a periodic solution of period 2π to the heat equation (4.23).

To ﬁnish the solution to our problem, we must impose the initial condition

u(θ, 0) = h(θ).

But setting t = 0 in (4.27) yields

a

0

2

+ Σ

∞

n=1

[a

n

cos(nθ) +b

n

sin(nθ)] = h(θ),

so the constants a

0

, a

1

, . . . , b

1

, . . . are just the Fourier coeﬃcients of h(θ). Thus

the solution to our initial value problem is just (4.27) in which the constants a

k

and b

k

can be determined via the familiar formulae

a

k

=

1

π

_

π

−π

h(θ) cos kθdθ, b

k

=

1

π

_

π

−π

h(θ) sin kθdθ.

Note that as t → ∞the temperature in the circular wire approaches the constant

value a

0

/2.

Exercises:

4.6.1. Find the function u(θ, t), deﬁned for 0 ≤ θ ≤ 2π and t ≥ 0, which satisﬁes

the following conditions:

∂u

∂t

=

∂

2

u

∂θ

2

, u(θ + 2π, t) = u(θ, t), u(θ, 0) = 2 + sin θ −cos 3θ.

You may assume that the nontrivial solutions to the eigenvalue problem

f

(θ) = λf(θ), f(θ + 2π) = f(θ)

are

λ = 0 and f(θ) =

a

0

2

,

and

λ = −n

2

and f(θ) = a

n

cos nθ +b

n

sin nθ, for n = 1, 2, 3, . . . ,

where the a

n

’s and b

n

’s are constants.

4.6.2. Find the function u(θ, t), deﬁned for 0 ≤ θ ≤ 2π and t ≥ 0, which satisﬁes

the following conditions:

∂u

∂t

=

∂

2

u

∂θ

2

, u(θ + 2π, t) = u(θ, t),

106

u(θ, 0) = [θ[, for θ ∈ [−π, π].

4.6.3. Find the function u(θ, t), deﬁned for 0 ≤ θ ≤ 2π and t ≥ 0, which satisﬁes

the following conditions:

∂

2

u

∂t

2

=

∂

2

u

∂θ

2

, u(θ + 2π, t) = u(θ, t),

u(θ, 0) = 2 + sin θ −cos 3θ,

∂u

∂t

(θ, 0) = 0.

4.7 Sturm-Liouville Theory*

We would like to be able to analyze heat ﬂow in a bar even if the speciﬁc

heat σ(x), the density ρ(x) and the thermal conductivity κ(x) vary from point

to point. As we saw in Section 4.1, this leads to consideration of the partial

diﬀerential equation

∂u

∂t

=

1

ρ(x)σ(x)

∂

∂x

_

κ(x)

∂u

∂x

_

, (4.28)

where we make the standing assumption that ρ(x), σ(x) and κ(x) are positive.

We imagine that the bar is situated along the x-axis with its endpoints

situated at x = a and x = b. As in the constant coeﬃcient case, we expect that

there should exist a unique function u(x, t), deﬁned for a ≤ x ≤ b and t ≥ 0

such that

1. u(x, t) satisﬁes the heat equation (4.28).

2. u(x, t) satisﬁes the boundary condition u(a, t) = u(b, t) = 0.

3. u(x, t) satisﬁes the initial condition u(x, 0) = h(x), where h(x) is a given

function, deﬁned for x ∈ [a, b], the initial temperature of the bar.

Just as before, we substitute u(x, t) = f(x)g(t) into (4.28) and obtain

f(x)g

(t) =

1

ρ(x)σ(x)

d

dx

_

κ(x)

df

dx

(x)

_

g(t).

Once again, we separate variables, putting all the functions involving t on the

left, all the functions involving x on the right:

g

(t)

g(t)

=

1

ρ(x)σ(x)

d

dx

_

κ(x)

df

dx

(x)

_

1

f(x)

.

As usual, the two sides must equal a constant, which we denote by λ, and our

equation separates into two ordinary diﬀerential equations,

g

(t) = λg(t), (4.29)

107

and

1

ρ(x)σ(x)

d

dx

_

κ(x)

df

dx

(x)

_

= λf(x). (4.30)

Under the assumption that u is not identically zero, the boundary condition

u(a, t) = u(b, t) = 0 yields

f(a) = f(b) = 0.

Thus to ﬁnd the nontrivial solutions to the homogeneous linear part of the

problem, we need to ﬁnd the nontrivial solutions to the boundary value problem:

1

ρ(x)σ(x)

d

dx

_

κ(x)

df

dx

(x)

_

= λf(x), f(a) = 0 = f(b). (4.31)

We call this the eigenvalue problem or Sturm-Liouville problem for the diﬀeren-

tial operator

L =

1

ρ(x)σ(x)

d

dx

_

κ(x)

d

dx

_

,

which acts on the space V

0

of well-behaved functions f : [a, b] → R which

vanish at the endpoints a and b. The eigenvalues of L are the constants λ for

which (4.31) has nontrivial solutions. Given an eigenvalue λ, the corresponding

eigenspace is

W

λ

= ¦f ∈ V

0

: f satisﬁes (4.31)¦.

Nonzero elements of the eigenspaces are called eigenfunctions.

If the functions ρ(x), σ(x) and κ(x) are complicated, it may be impossible to

solve this eigenvalue problem explicitly, and one may need to employ numerical

methods to obtain approximate solutions. Nevertheless, it is reassuring to know

that the theory is quite parallel to the constant coeﬃcient case that we treated

in previous sections. The following theorem, due to the nineteenth century

mathematicians Sturm and Liouville, is proven in more advanced texts:

4

Theorem. Suppose that ρ(x), σ(x) and κ(x) are smooth functions which are

positive on the interval [a, b]. Then all of the eigenvalues of L are negative real

numbers, and each eigenspace is one-dimensional. Moreover, the eigenvalues

can be arranged in a sequence

0 > λ

1

> λ

2

> > λ

n

> ,

with λ

n

→ −∞. Finally, every well-behaved function can be represented on

[a, b] as a convergent sum of eigenfunctions.

Suppose that f

1

(x), f

2

(x), . . . , f

n

(x), . . . are eigenfunctions corresponding to

the eigenvalues λ

1

, λ

2

, . . . , λ

n

, . . . . Then the general solution to the heat

equation (4.28) together with the boundary conditions u(a, t) = u(b, t) = 0 is

u(x, t) =

∞

n=0

c

n

f

n

(x)e

−λnt

,

4

For further discussion, see Boyce and DiPrima, Elementary diﬀerential equations and

boundary value problems, Seventh edition, Wiley, New York, 2001.

108

where the c

n

’s are arbitrary constants.

To determine the c

n

’s in terms of the initial temperature h(x), we need a

generalization of the theory of Fourier series. The key idea here is that the

eigenspaces should be orthogonal with respect to an appropriate inner product.

The inner product should be one which makes L like a symmetric matrix. To

arrange this, the inner product that we need to use on V

0

is the one deﬁned by

the formula

¸f, g) =

_

b

a

ρ(x)σ(x)f(x)g(x)dx.

Lemma. With respect to this inner product, eigenfunctions corresponding to

distinct eigenvalues are perpendicular.

The proof hinges on the fact that

¸L(f), g) = ¸f, L(g)), for f, g ∈ V

0

,

so that if we thought of L as represented by a matrix, the matrix would be

symmetric. This identity can be veriﬁed by integration by parts; indeed,

¸L(f), g) =

_

b

a

ρ(x)σ(x)L(f)(x)g(x)dx =

_

b

a

d

dx

_

K(x)

df

dx

(x)

_

g(x)

= −

_

b

a

K(x)

df

dx

(x)

dg

dx

(x)dx = = ¸f, L(g)),

where the steps represented by dots are just like the ﬁrst steps, but in reverse

order.

It follows that if f

i

(x) and f

j

(x) are eigenfunctions corresponding to distinct

eigenvalues λ

i

and λ

j

, then

λ

i

¸f

i

, f

j

) = ¸L(f), g) = ¸f, L(g)) = λ

j

¸f

i

, f

j

),

and hence

(λ

i

−λ

j

)¸f

i

, f

j

) = 0.

Since λ

i

−λ

j

,= 0, we conclude that f

i

and f

j

are perpendicular with respect to

the inner product ¸, ), as claimed.

Thus to determine the c

n

’s, we can use exactly the same orthogonality tech-

niques that we have used before. Namely, if we normalize the eigenfunctions

so that they have unit length and are orthogonal to each other with respect to

¸, , ), then

c

n

= ¸h, f

n

),

or equivalently, c

n

is just the projection of h in the f

n

direction.

Example. We consider the operator

L = x

d

dx

_

x

d

dx

_

,

109

which acts on the space V

0

of functions f : [1, e

π

] → R which vanish at the

endpoints of the interval [1, e

π

]. To solve the eigenvalue problem, we need to

ﬁnd the nontrivial solutions to

x

d

dx

_

x

df

dx

(x)

_

= λf(x), f(1) = 0 = f(e

π

). (4.32)

We could ﬁnd these nontrivial solutions by using the techniques we have learned

for treating Cauchy-Euler equations.

However, there is a simpler approach, based upon the technique of substitu-

tion. Namely, we make a change of variables x = e

z

and note that since

dx = e

z

dz,

d

dx

=

1

e

z

d

dz

and hence x

d

dx

= e

z

1

e

z

d

dz

=

d

dz

.

Thus if we set

˜

f(z) = f(x) = f(e

z

),

the eigenvalue problem (4.32) becomes

d

2 ˜

f

dz

2

(z) = λ

˜

f(z),

˜

f(0) = 0 =

˜

f(π),

a problem which we have already solved. The nontrivial solutions are

λ

n

= −n

2

,

˜

f

n

(z) = sin nz, where n = 1, 2, . . . .

Thus the eigenvalues for our original problem are

λ

n

= −n

2

, for n = 1, 2, . . . ,

and as corresponding eigenfunctions we can take

f

n

(x) = sin(nlog x),

where log denotes the natural or base e logarithm. The lemma implies that

these eigenfunctions will be perpendicular with respect to the inner product

¸, ), deﬁned by

¸f, g) =

_

e

π

1

1

x

f(x)g(x)dx. (4.33)

Exercises:

4.7.1. Show by direct integration that if m ,= n, the functions

f

m

(x) = sin(mlog x) and f

n

(x) = sin(nlog x)

are perpendicular with respect to the inner product deﬁned by (4.33).

110

4.7.2. Find the function u(x, t), deﬁned for 1 ≤ x ≤ e

π

and t ≥ 0, which satisﬁes

the following initial-value problem for a heat equation with variable coeﬃcients:

∂u

∂t

= x

∂

∂x

_

x

∂u

∂x

_

, u(1, t) = u(e

π

, t) = 0,

u(x, 0) = 3 sin(log x) + 7 sin(2 log x) −2 sin(3 log x).

4.7.3.a. Find the solution to the eigenvalue problem for the operator

L = x

d

dx

_

x

d

dx

_

−3,

which acts on the space V

0

of functions f : [1, e

π

] → R which vanish at the

endpoints of the interval [1, e

π

].

b. Find the function u(x, t), deﬁned for 1 ≤ x ≤ e

π

and t ≥ 0, which satisﬁes

the following initial-value problem for a heat equation with variable coeﬃcients:

∂u

∂t

= x

∂

∂x

_

x

∂u

∂x

_

−3u, u(1, t) = u(e

π

, t) = 0,

u(x, 0) = 3 sin(log x) + 7 sin(2 log x) −2 sin(3 log x).

4.8 Numerical solutions to the eigenvalue prob-

lem*

We can also apply Sturm-Liouville theory to study the motion of a string of

variable mass density. We can imagine a violin string stretched out along the

x-axis with endpoints at x = 0 and x = 1 covered with a layer of varnish which

causes its mass density to vary from point to point. We could let

ρ(x) = the mass density of the string at x for 0 ≤ x ≤ 1.

If the string is under constant tension T, its motion might be governed by the

partial diﬀerential equation

∂

2

u

∂t

2

=

T

ρ(x)

∂

2

u

∂x

2

, (4.34)

which would be subject to the Dirichlet boundary conditions

u(0, t) = 0 = u(1, t), for all t ≥ 0. (4.35)

It is natural to try to ﬁnd the general solution to (4.34) and (4.35) by sepa-

ration of variables, letting u(x, t) = f(x)g(t) as usual. Substituting into (4.34)

yields

f(x)g

(t) =

T

ρ(x)

f

(x)g(t), or

g

(t)

g(t)

=

T

ρ(x)

f

(x)

f(x)

.

111

The two sides must equal a constant, denoted by λ, and the partial diﬀerential

equation separates into two ordinary diﬀerential equations,

T

ρ(x)

f

(x) = λf(x), g

(t) = λg(t).

The Dirichlet boundary conditions (4.35) yield f(0) = 0 = f(1). Thus f must

satisfy the eigenvalue problem

L(f) = λf, f(0) = 0 = f(1), where L =

T

ρ(x)

d

2

dx

2

.

Although the names of the functions appearing in L are a little diﬀerent than

those used in the previous section, the same Theorem applies. Thus the eigen-

values of L are negative real numbers and each eigenspace is one-dimensional.

Moreover, the eigenvalues can be arranged in a sequence

0 > λ

1

> λ

2

> > λ

n

> ,

with λ

n

→ −∞. Finally, every well-behaved function can be represented on

[a, b] as a convergent sum of eigenfunctions. If f

1

(x), f

2

(x), . . . , f

n

(x), . . . are

eigenfunctions corresponding to the eigenvalues λ

1

, λ

2

, . . . , λ

n

, . . . . Then the

general solution to (4.34) and (4.35) is

u(x, t) =

∞

n=0

f

n

(x)

_

a

n

cos(

_

−λ

n

t) +b

n

sin(

_

−λ

n

t)

_

,

where the a

n

’s and b

n

’s are arbitrary constants. Each term in this sum represents

one of the modes of oscillation of the vibrating string.

In constrast to the case of constant density, it is usually not possible to ﬁnd

simple explicit eigenfunctions when the density varies. It is therefore usually

necessary to use numerical methods.

The simplest numerical method is the one outlined in ¸4.3. For 0 ≤ i ≤ n,

we let x

i

= i/n and

u

i

(t) = u(x

i

, t) = the displacement at x

i

at time t.

Since u

0

(t) = 0 = u

n

(t) by the boundary conditions, the displacement at time

t is approximated by

u(t) =

_

_

_

_

u

1

(t)

u

2

(t)

u

n−1

(t)

_

_

_

_

,

a vector-valued function of one variable. The partial derivative

∂

2

u

∂t

2

is approximated by

d

2

u

dt

2

,

112

20 40 60 80 100

-0.14

-0.12

-0.1

-0.08

-0.06

-0.04

-0.02

Figure 4.1: Shape of the lowest mode when ρ = 1/(x +.1).

and as we saw in ¸4.3, the partial derivative

∂

2

u

∂x

2

is approximated by n

2

Pu,

where

P =

_

_

_

_

_

_

−2 1 0 0

1 −2 1 0

0 1 −2

0 0 −2

_

_

_

_

_

_

.

Finally, the coeﬃcient (T/ρ(x)) can be represented by the diagonal matrix

Q =

_

_

_

_

_

_

T/ρ(x

1

) 0 0 0

0 T/ρ(x

2

) 0 0

0 0 T/ρ(x

3

)

0 0 T/ρ(x

n−1

)

_

_

_

_

_

_

.

Putting all this together, we ﬁnd that our wave equation with variable mass den-

sity is approximated by a second order homogeneous linear system of ordinary

diﬀerential equations

d

2

u

dt

2

= Au, where A = n

2

QP.

The eigenvalues of low absolute value are approximated by the eigenvalues of A,

while the eigenfunctions representing the lowest frequency modes of oscillation

are approximated eigenvectors corresponding to the lowest eigenvalues of A.

For example, we could ask the question: What is the shape of the lowest

mode of oscillation in the case where ρ(x) = 1/(x+.1)? To answer this question,

113

we could utilize the following Mathematica program (which is quite similar to

the one presented in Exercise 2.5.2):

n := 100; rho[x ] := 1/(x + .1);

m := Table[Max[2-Abs[i-j],0], ¦ i,n-1 ¦ ,¦ j,n-1 ¦ ];

p := m - 4 IdentityMatrix[n-1];

q := DiagonalMatrix[Table[(1/rho[i/n]), ¦ i,1,n-1 ¦ ]];

a := n∧2 q.p; eigenvec = Eigenvectors[N[a]];

ListPlot[eigenvec[[n-1]]]

If we run this program we obtain a graph of the shape of the lowest mode,

as shown in Figure 4.1. Note that instead of approximating a sine curve, our

numerical approximation to the lowest mode tilts somewhat to the left.

114

Chapter 5

PDE’s in Higher

Dimensions

5.1 The three most important linear partial dif-

ferential equations

In higher dimensions, the three most important linear partial diﬀerential equa-

tions are Laplace’s equation

∂

2

u

∂x

2

+

∂

2

u

∂y

2

+

∂

2

u

∂z

2

= 0,

the heat equation

∂u

∂t

= c

2

_

∂

2

u

∂x

2

+

∂

2

u

∂y

2

+

∂

2

u

∂z

2

_

,

and the wave equation,

∂

2

u

∂t

2

= c

2

_

∂

2

u

∂x

2

+

∂

2

u

∂y

2

+

∂

2

u

∂z

2

_

,

where c is a nonzero constant. Techniques developed for studying these equa-

tions can often be applied to closely related equations.

Each of these three equations is homogeneous linear, that is each term con-

tains u or one of its derivatives to the ﬁrst power. This ensures that the principle

of superposition will hold,

u

1

and u

2

solutions ⇒ c

1

u

1

+c

2

u

2

is a solution,

for any choice of constants c

1

and c

2

. The principle of superposition is essential

if we want to apply separation of variables and Fourier analysis techniques.

In the ﬁrst few sections of this chapter, we will derive these partial diﬀeren-

tial equations in several physical contexts. We will begin by using the divergence

115

theorem to derive the heat equation, which in turn reduces in the steady-state

case to Laplace’s equation. We then present two derivations of the wave equa-

tion, one for vibrating membranes and one for sound waves. Exactly the same

wave equation also describes electromagnetic waves, gravitational waves, or wa-

ter waves in a linear approximation. It is remarkable that the principles devel-

oped to solve the three basic linear partial diﬀerential equations can be applied

in so many contexts.

In a few cases, it is possible to ﬁnd explicit solutions to these partial dif-

ferential equations under the simplest boundary conditions. For example, the

general solution to the one-dimensional wave equation

∂

2

u

∂t

2

= c

2

∂

2

u

∂x

2

for the vibrations of an inﬁnitely long string, is

u(x, t) = f(x +ct) +g(x −ct),

where f and g are arbitrary well-behaved functions of a single variable.

Slightly more complicated cases require the technique of “separation of vari-

ables” together with Fourier analysis, as we studied before. Separation of vari-

ables reduces these partial diﬀerential equations to linear ordinary diﬀerential

equations, often with variable coeﬃcients. For example, to ﬁnd the explicit so-

lution to the heat equation in a circular room, we will see that it is necessary

to solve Bessel’s equation.

The most complicated cases cannot be solved by separation of variables,

and one must resort to numerical methods, together with suﬃcient theory to

understand the qualitative behaviour of the solutions.

In the rest of this section, we consider our ﬁrst example, the equation gov-

erning heat ﬂow through a region of (x, y, z)-space, under the assumption that

no heat is being created or destroyed within the region. Let

u(x, y, z, t) = temperature at (x, y, z) at time t.

If σ(x, y, z) is the speciﬁc heat at the point (x, y, z) and ρ(x, y, z) is the

density of the medium at (x, y, z), then the heat within a given region D in

(x, y, z)-space is given by the formula

Heat within D =

_ _ _

D

ρ(x, y, z)σ(x, y, z)u(x, y, z, t)dxdydz.

If no heat is being created or destroyed within D, then by conservation of energy,

the rate at which heat leaves D equals minus the rate of change of heat within

D, which is

−

d

dt

__ _ _

D

ρσudxdydz

_

= −

_ _ _

D

ρσ

∂u

∂t

dxdydz, (5.1)

by diﬀerentiating under the integral sign.

116

On the other hand, heat ﬂow can be represented by a vector ﬁeld F(x, y, z, t)

which points in the direction of greatest decrease of temperature,

F(x, y, z, t) = −κ(x, y, z)(∇u)(x, y, z, t),

where κ(x, y, z) is the so-called thermal conductivity of the medium at (x, y, z).

Thus the rate at which heat leaves the region D through a small region in its

boundary of area dA is

−(κ∇u) NdA,

where N is the unit normal which points out of D. The total rate at which heat

leaves D is given by the ﬂux integral

−

_ _

∂D

(κ∇u) NdA,

where ∂D is the surface bounding D. It follows from the divergence theorem

that

Rate at which heat leaves D = −

_ _ _

D

∇ (κ∇u)dxdydz. (5.2)

From formulae (5.1) and (5.2), we conclude that

_ _ _

D

ρσ

∂u

∂t

dxdydz =

_ _ _

D

∇ (κ∇u)dxdydz.

This equation is true for all choices of the region D, so the integrands on the

two sides must be equal:

ρ(x, y, z)σ(x, y, z)

∂u

∂t

(x, y, z, t) = ∇ (κ∇u)(x, y, z, t).

Thus we ﬁnally obtain the heat equation

∂u

∂t

=

1

ρ(x, y, z)σ(x, y, z)

∇ (κ(x, y, z)(∇u)) .

In the special case where the region D is homogeneous, i.e. its properties are

the same at every point, ρ(x, y, z), σ(x, y, z) and κ(x, y, z) are constants, and

the heat equation becomes

∂u

∂t

=

κ

ρσ

_

∂

2

u

∂x

2

+

∂

2

u

∂y

2

+

∂

2

u

∂z

2

_

.

If we wait long enough, so that the temperature is no longer changing, the

“steady-state” temperature u(x, y, z) must satisfy Laplace’s equation

∂

2

u

∂x

2

+

∂

2

u

∂y

2

+

∂

2

u

∂z

2

= 0.

117

If the temperature is independent of z, the function u(x, y) = u(x, y, z) must

satisfy the two-dimensional Laplace equation

∂

2

u

∂x

2

+

∂

2

u

∂y

2

= 0.

Exercises:

5.1.1. For which of the following diﬀerential equations is it true that the super-

position principle holds?

a.

∂

2

u

∂x

2

+

∂

2

u

∂y

2

+

∂

2

u

∂z

2

= 0.

b.

∂

2

u

∂x

2

+

∂

2

u

∂y

2

+

∂

2

u

∂z

2

+u = 0.

c.

∂

2

u

∂x

2

+

∂

2

u

∂y

2

+

∂

2

u

∂z

2

+u

2

= 0.

d.

∂

2

u

∂x

2

+

∂

2

u

∂y

2

+

∂

2

u

∂z

2

= e

x

.

e.

∂

2

u

∂x

2

+

∂

2

u

∂y

2

+

∂

2

u

∂z

2

= e

x

u.

Explain your answers.

5.1.2. Suppose that a chemical reaction creates heat at the rate

λ(x, y, z)u(x, y, z, t) +ν(x, y, z),

per unit volume. Show that in this case the equation governing heat ﬂow is

ρ(x, y, z)σ(x, y, z)

∂u

∂t

= λ(x, y, z)u(x, y, z, t) +ν(x, y, z) +∇ (κ(x, y, z)(∇u)) .

5.2 The Dirichlet problem

The reader will recall that the space of solutions to a homogeneous linear second

order ordinary diﬀerential equation, such as

d

2

u

dt

2

+p

du

dt

+qu = 0

is two-dimensional, a particular solution being determined by two constants. By

contrast, the space of solutions to Laplace’s partial diﬀerential equation

∂

2

u

∂x

2

+

∂

2

u

∂y

2

= 0 (5.3)

118

is inﬁnite-dimensional. For example, the function u(x, y) = x

3

− 3xy

2

is a

solution to Laplace’s equation, because

∂u

∂x

= 3x

2

−3y

2

,

∂

2

u

∂x

2

= 6x,

∂u

∂y

= −6xy,

∂

2

u

∂y

2

= −6x,

and hence

∂

2

u

∂x

2

+

∂

2

u

∂y

2

= 6x −6x = 0.

Similarly,

u(x, y) = 7, u(x, y) = x

4

−6x

2

y

2

+y

4

, and u(x, y) = e

x

sin y

are solutions to Laplace’s equation. A solution to Laplace’s equation is called

a harmonic function. It is not diﬃcult to construct inﬁnitely many linearly

independent harmonic functions of two variables.

Thus to pick out a particular solution to Laplace’s equation, we need bound-

ary conditions which will impose inﬁnitely many constraints. To see what

boundary conditions are natural to impose, we need to think of a physical

problem which leads to Laplace’s equation. Suppose that u(x, y) represents

the steady-state distribution of temperature throughout a uniform slab in the

shape of a region D in the (x, y)-plane. If we specify the temperature on the

boundary of the region, say by setting up heaters and refrigerators controlled by

thermostats along the boundary, we might expect that the temperature inside

the room would be uniquely determined. We need inﬁnitely many heaters and

refrigerators because there are inﬁnitely many points on the boundary. Spec-

ifying the temperature at each point of the boundary imposes inﬁnitely many

constraints on the harmonic function which realizes the steady-state tempera-

ture within D.

The Dirichlet Problem for Laplace’s Equation. Let D be a bounded

region in the (x, y)-plane which is bounded by a curve ∂D, and let φ : ∂D → R

be a continuous function. Find a harmonic function u : D → R such that

u(x, y) = φ(x, y), for (x, y) ∈ ∂D.

Our physical intuition suggests that the Dirichlet problem will always have a

unique solution. This is proven mathematically for many choices of boundary

in more advanced texts on complex variables and partial diﬀerential equations.

The mathematical proof that a unique solution exists provides evidence that

the mathematical model we have constructed for heat ﬂow may in fact be valid.

Our goal here is to ﬁnd the explicit solutions in the case where the region D

is suﬃciently simple. Suppose, for example, that

D = ¦(x, y) ∈ R

2

: 0 ≤ x ≤ a, 0 ≤ y ≤ b¦.

119

Suppose, moreover that the function φ : ∂D → R vanishes on three sides of ∂D,

so that

φ(0, y) = φ(a, y) = φ(x, 0) = 0,

while

φ(x, b) = f(x),

where f(x) is a given continuous function which vanishes when x = 0 and x = a.

In this case, we seek a function u(x, y), deﬁned for 0 ≤ x ≤ a and 0 ≤ y ≤ b,

such that

1. u(x, y) satisﬁes Laplace’s equation

∂

2

u

∂x

2

+

∂

2

u

∂y

2

= 0. (5.4)

2. u(x, y) satisﬁes the homogeneous boundary conditions u(0, y) = u(a, y) =

u(x, 0) = 0.

3. u(x, y) satisﬁes the nonhomogeneous boundary condition u(x, b) = f(x),

where f(x) is a given function.

Note that the Laplace equation itself and the homogeneous boundary con-

ditions satisfy the superposition principle—this means that if u

1

and u

2

satisfy

these conditions, so does c

1

u

1

+c

2

u

2

, for any choice of constants c

1

and c

2

.

Our method for solving the Dirichlet problem consists of two steps:

Step I. We ﬁnd all of the solutions to Laplace’s equation together with the

homogeneous boundary conditions which are of the special form

u(x, y) = X(x)Y (y).

By the superposition principle, an arbitrary linear superposition of these solu-

tions will still be a solution.

Step II. We ﬁnd the particular solution which satisﬁes the nonhomogeneous

boundary condition by Fourier analysis.

To carry out Step I, we substitute u(x, y) = X(x)Y (y) into Laplace’s equation

(5.3) and obtain

X

(x)Y (y) +X(x)Y

(y) = 0.

Next we separate variables, putting all the functions involving x on the left, all

the functions involving y on the right:

X

(x)

X(x)

= −

Y

(y)

Y (y)

.

The left-hand side of this equation does not depend on y, while the right-hand

side does not depend on x. Hence neither side can depend upon either x or y.

120

In other words, the two sides must equal a constant, which we denote by λ, and

call the separating constant, as before. Our equation now becomes

X

(x)

X(x)

= −

Y

(y)

Y (y)

= λ,

which separates into two ordinary diﬀerential equations,

X

(x) = λX(x), (5.5)

and

Y

(y) = −λY (y). (5.6)

The homogeneous boundary condition u(0, y) = u(a, y) = 0 imply that

X(0)Y (y) = X(a)Y (y) = 0.

If Y (y) is not identically zero,

X(0) = X(a) = 0.

Thus we need to ﬁnd the nontrivial solutions to a boundary value problem for

an ordinary diﬀerential equation:

X

(x) =

d

2

dx

2

(X(x)) = λX(x), X(0) = 0 = X(a),

which we recognize as the eigenvalue problem for the diﬀerential operator

L =

d

2

dx

2

acting on the space V

0

of functions which vanish at 0 and a. We have seen before

that the only nontrivial solutions to equation (5.5) are constant multiples of

X(x) = sin(nπx/a), with λ = −(nπ/a)

2

, n = 1, 2, 3, . . . .

For each of these solutions, we need to ﬁnd a corresponding Y (y) solving

equation (5.6),

Y

(y) = −λY (y),

where λ = −(nπ/a)

2

, together with the boundary condition Y (0) = 0. The

diﬀerential equation has the general solution

Y (y) = Acosh(nπy/a) +Bsinh(nπy/a),

where A and B are constants of integration, and the boundary condition Y (0) =

0 implies that A = 0. Thus we ﬁnd that the nontrivial product solutions to

Laplace’s equation together with the homogeneous boundary conditions are con-

stant multiples of

u

n

(x, y) = sin(nπx/a) sinh(nπy/a).

121

The general solution to Laplace’s equation with these boundary conditions is a

general superposition of these product solutions:

u(x, y) = B

1

sin(πx/a) sinh(πy/a) +B

2

sin(2πx/a) sinh(2πy/a) +. . . . (5.7)

To carry out Step II, we need to determine the constants B

1

, B

2

, . . . which

occur in (5.7) so that

u(x, b) = f(x).

Substitution of y = b into (5.7) yields

f(x) = B

1

sin(πx/a) sinh(πb/a) +B

2

sin(2πx/a) sinh(2πb/a)+

. . . +B

k

sin(2πk/a) sinh(kπb/a) +. . . .

We see that B

k

sinh(kπb/a) is the k-th coeﬃcient in the Fourier sine series for

f(x).

For example, if a = b = π, and f(x) = 3 sin x + 7 sin 2x, then we must have

f(x) = B

1

sin(x) sinh(π) +B

2

sin(2x) sinh(2π),

and hence

B

1

=

3

sinh(π)

, B

2

=

7

sinh(2π)

, B

k

= 0 for k = 3, . . . .

Thus the solution to Dirichlet’s problem in this case is

u(x, y) =

3

sinh(π)

sin xsinh y +

7

sinh(2π)

sin 2xsinh 2y.

Exercises:

5.2.1. Which of the following functions are harmonic?

a. f(x, y) = x

2

+y

2

.

b. f(x, y) = x

2

−y

2

.

c. f(x, y) = e

x

cos y.

d. f(x, y) = x

3

−3xy

2

.

5.2.2. a. Solve the following Dirichlet problem for Laplace’s equation in a square

region: Find u(x, y), 0 ≤ x ≤ π, 0 ≤ y ≤ π, such that

∂

2

u

∂x

2

+

∂

2

u

∂y

2

= 0, u(0, y) = u(π, y) = 0,

u(x, 0) = 0, u(x, π) = sin x −2 sin 2x + 3 sin 3x.

122

0

1

2

3 0

1

2

3

-10

-5

0

5

10

0

1

2

3

Figure 5.1: Graph of u(x, y) =

3

sinh(π)

sin xsinh y +

7

sinh(2π)

sin 2xsinh 2y.

b. Solve the following Dirichlet problem for Laplace’s equation in the same

square region: Find u(x, y), 0 ≤ x ≤ π, 0 ≤ y ≤ π, such that

∂

2

u

∂x

2

+

∂

2

u

∂y

2

= 0, u(0, y) = 0,

u(π, y) = sin 2y + 3 sin 4y, u(x, 0) = 0 = u(x, π).

c. By adding the solutions to parts a and c together, ﬁnd the solution to the

Dirichlet problem: Find u(x, y), 0 ≤ x ≤ π, 0 ≤ y ≤ π, such that

∂

2

u

∂x

2

+

∂

2

u

∂y

2

= 0, u(0, y) = 0,

u(π, y) = sin 2y+3 sin 4y, u(x, 0) = 0, u(x, π) = sin x−2 sin 2x+3 sin 3x.

5.3 Initial value problems for heat equations

The physical interpretation behind the heat equation suggests that the following

initial value problem should have a unique solution:

Let D be a bounded region in the (x, y)-plane which is bounded by a piece-

wise smooth curve ∂D, and let h : D → R be a continuous function which

vanishes on ∂D. Find a function u(x, y, t) such that

123

1. u satisﬁes the heat equation

∂u

∂t

= c

2

_

∂

2

u

∂x

2

+

∂

2

u

∂y

2

_

. (5.8)

2. u satisﬁes the “Dirichlet boundary condition” u(x, y, t) = 0, for (x, y) ∈

∂D.

3. u satisﬁes the initial condition u(x, y, 0) = h(x, y).

The ﬁrst two of these conditions are homogeneous and linear, so our strategy is

to treat them ﬁrst by separation of variables, and then use Fourier analysis to

satisfy the last condition.

In this section, we consider the special case where

D = ¦(x, y) ∈ R

2

: 0 ≤ x ≤ a, 0 ≤ y ≤ b¦,

so that the Dirichlet boundary condition becomes

u(0, y, t) = u(a, y, t) = u(x, 0, t) = u(x, b, t) = 0.

In this case, separation of variables is done in two stages. First, we write

u(x, y, t) = f(x, y)g(t),

and substitute into (5.8) to obtain

f(x, y)g

(t) = c

2

_

∂

2

f

∂x

2

+

∂

2

f

∂y

2

_

g(t).

Then we divide by c

2

f(x, y)g(t),

1

c

2

g(t)

g

(t) =

1

f(x, y)

_

∂

2

f

∂x

2

+

∂

2

f

∂y

2

_

.

The left-hand side of this equation does not depend on x or y while the right

hand side does not depend on t. Hence neither side can depend on x, y, or t, so

both sides must be constant. If we let λ denote the constant, we obtain

1

c

2

g(t)

g

(t) = λ =

1

f(x, y)

_

∂

2

f

∂x

2

+

∂

2

f

∂y

2

_

.

This separates into an ordinary diﬀerential equation

g

(t) = c

2

λg(t), (5.9)

and a partial diﬀerential equation

_

∂

2

f

∂x

2

+

∂

2

f

∂y

2

_

= λf, (5.10)

124

called the Helmholtz equation. The Dirichlet boundary condition yields

f(0, y) = f(a, y) = f(x, 0) = f(x, b) = 0.

In the second stage of separation of variables, we set f(x, y) = X(x)Y (y)

and substitute into (5.10) to obtain

X

(x)Y (y) +X(x)Y

(y) = λX(x)Y (y),

which yields

X

(x)

X(x)

+

Y

(y)

Y (y)

= λ,

or

X

(x)

X(x)

= λ −

Y

(y)

Y (y)

.

The left-hand side depends only on x, while the right-hand side depends only

on y, so both sides must be constant,

X

(x)

X(x)

= µ = λ −

Y

(y)

Y (y)

.

Hence the Helmholtz equation divides into two ordinary diﬀerential equations

X

(x) = µX(x), Y

(y) = νY (y), where µ +ν = λ.

The “Dirichlet boundary conditions” now become conditions on X(x) and Y (y):

X(0) = X(a) = 0, Y (0) = Y (b) = 0.

The only nontrivial solutions are

X(x) = sin(mπx/a), with µ = −(mπ/a)

2

, m = 1, 2, 3, . . . ,

and

Y (y) = sin(nπy/b), with ν = −(nπ/b)

2

, n = 1, 2, 3, . . . .

The corresponding solutions of the Helmholtz equation are

f

mn

(x, y) = sin(mπx/a) sin(nπy/b), with λ

mn

= −(mπ/a)

2

−(nπ/b)

2

.

For any given choice of m and n, the corresponding solution to (5.9) is

g(t) = e

−c

2

λmnt

= e

−c

2

((mπ/a)

2

+(nπ/b)

2

)t

.

Hence for each choice of m and n, we obtain a product solution to the heat

equation with Dirichlet boundary condition:

u

m,n

(x, y, t) = sin(mπx/a) sin(nπy/b)e

−c

2

((mπ/a)

2

+(nπ/b)

2

)t

.

125

The general solution to the heat equation with Dirichlet boundary conditions is

an arbitrary superposition of these product solutions,

u(x, y, t) =

∞

m,n=1

b

mn

sin(mπx/a) sin(nπy/b)e

−c

2

((mπ/a)

2

+(nπ/b)

2

)t

. (5.11)

To ﬁnd the constants b

mn

appearing in (5.11), we need to apply the initial

condition u(x, y, 0) = h(x, y). The result is

h(x, y) =

∞

m,n=1

b

mn

sin(mπx/a) sin(nπy/b), (5.12)

expressing the fact that the b

mn

’s are the coeﬃcients of what is called the double

Fourier sine series of h. As in the case of ordinary Fourier sine series, the b

mn

’s

can be determined by an explicit formula. To determine it, we multiply both

sides of (5.12) by (2/a) sin(pπx/a), where p is a positive integer, and integrate

with respect to x to obtain

2

a

_

a

0

h(x, y) sin(pπx/a)dx

=

∞

m,n=1

b

mn

_

2

a

_

a

0

sin(pπx/a) sin(mπx/a)dx

_

sin(nπy/b).

The expression within brackets is one if p = m and otherwise zero, so

2

a

_

a

0

h(x, y) sin(pπx/a)dx =

∞

n=1

b

pn

sin(nπy/b).

Next we multiply by (2/b) sin(qπy/b), where q is a positive integer, and integrate

with respect to y to obtain

2

a

2

b

_

a

0

_

b

0

h(x, y) sin(pπx/a) sin(qπy/b)dxdy

=

∞

n=1

b

pn

_

2

b

_

b

0

sin(nπy/b) sin(qπy/b)dy

_

.

The expression within brackets is one if q = n and otherwise zero, so we ﬁnally

obtain

b

pq

=

2

a

2

b

_

a

0

_

b

0

h(x, y) sin(pπx/a) sin(qπy/b)dxdy. (5.13)

Suppose, for example, that c = 1, a = b = π and

h(x, y) = sin xsin y + 3 sin 2xsin y + 7 sin 3xsin 2y.

126

In this case, we do not need to carry out the integration indicated in (5.13)

because comparison with (5.12) shows that

b

11

= 1, b

21

= 3, b

32

= 7,

and all the other b

mn

’s must be zero. Thus the solution to the initial value

problem in this case is

u(x, y, t) = sin xsin ye

−2t

+ 3 sin 2xsin ye

−5t

+ 7 sin 3xsin 2ye

−13t

.

Here is another example. Suppose that a = b = π and

h(x, y) = p(x)q(y),

where

p(x) =

_

x, for 0 ≤ x ≤ π/2,

π −x, for π/2 ≤ x ≤ π,

q(y) =

_

y, for 0 ≤ y ≤ π/2,

π −y, for π/2 ≤ y ≤ π.

In this case,

b

mn

=

_

2

π

_

2

_

π

0

__

π

0

p(x)q(y) sin mxdx

_

sin nydy

=

_

2

π

_

2

__

π

0

p(x) sin mxdx

_ __

π

0

q(y) sin nydy

_

=

_

2

π

_

2

_

_

π/2

0

xsin mxdx +

_

π

π/2

(π −x) sin mxdx

_

_

_

π/2

0

y sin nydy +

_

π

π/2

(π −y) sin nydy

_

.

The integration can be carried out just like we did in Section 3.3 to yield

b

mn

=

_

2

π

_

2

_

2

m

2

sin(mπ/2)

_ _

2

n

2

sin(nπ/2)

_

=

16

π

2

_

1

m

2

1

n

2

sin(mπ/2) sin(nπ/2)

_

.

Thus in this case, we see that

h(x, y) =

16

π

2

∞

m,n=1

_

1

m

2

1

n

2

sin(mπ/2) sin(nπ/2)

_

sin mxsin my,

and hence

u(x, y, t) =

16

π

2

∞

m,n=1

_

1

m

2

1

n

2

sin(mπ/2) sin(nπ/2)

_

sin mxsin mye

−(m

2

+n

2

)t

.

127

Exercises:

5.3.1. Solve the following initial value problem for the heat equation in a square

region: Find u(x, y, t), where 0 ≤ x ≤ π, 0 ≤ y ≤ π and t ≥ 0, such that

∂u

∂t

=

∂

2

u

∂x

2

+

∂

2

u

∂y

2

,

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

u(x, y, 0) = 2 sin xsin y + 5 sin 2xsin y.

You may assume that the nontrivial solutions to the eigenvalue problem

∂

2

f

∂x

2

(x, y) +

∂

2

f

∂y

2

(x, y) = λf(x, y), f(x, 0) = f(x, π) = f(0, y) = f(π, y) = 0,

are of the form

λ = −m

2

−n

2

, f(x, y) = b

mn

sin mxsin ny,

for m = 1, 2, 3, . . . and n = 1, 2, 3, . . . , where b

mn

is a constant.

5.3.2. Solve the following initial value problem for the heat equation in a square

region: Find u(x, y, t), where 0 ≤ x ≤ π, 0 ≤ y ≤ π and t ≥ 0, such that

∂u

∂t

=

∂

2

u

∂x

2

+

∂

2

u

∂y

2

,

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

u(x, y, 0) = 2(sin x)y(π −y).

5.3.3. Solve the following initial value problem in a square region: Find u(x, y, t),

where 0 ≤ x ≤ π, 0 ≤ y ≤ π and t ≥ 0, such that

1

2t + 1

∂u

∂t

=

∂

2

u

∂x

2

+

∂

2

u

∂y

2

,

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

u(x, y, 0) = 2 sin xsin y + 3 sin 2xsin y.

5.3.4. Find the general solution to the heat equation

∂u

∂t

=

∂

2

u

∂x

2

+

∂

2

u

∂y

2

subject to the boundary conditions

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

u(x, π, t) = sin x −2 sin 2x + 3 sin 3x.

128

5.4 Two derivations of the wave equation

We have already seen how the one-dimensional wave equation describes the

motion of a vibrating string. In this section we will show that the motion of a

vibrating membrane is described by the two-dimensional wave equation, while

sound waves are described by a three-dimensional wave equation. In fact, we

will see that sound waves arise from “linearization” of the nonlinear equations

of ﬂuid mechanics.

The vibrating membrane. Suppose that a homogeneous membrane is fas-

tened down along the boundary of a region D in the (x, y)-plane. Suppose,

moreover, that a point on the membrane can move only in the vertical direc-

tion, and let u(x, y, t) denote the height of the point with coordinates (x, y) at

time t.

If ρ denotes the density of the membrane (assumed to be constant), then

by Newton’s second law, the force F acting on a small rectangular piece of

the membrane located at (x, y) with sides of length dx and dy is given by the

expression

F = ρ

∂

2

u

∂t

2

(x, y)dxdyk.

Suppose the force displaces the membrane from a given position u(x, y) to a

new position

u(x, y) +η(x, y),

where η(x, y) and its derivatives are very small. Then the total work performed

by the force F will be

F η(x, y)k = η(x, y)ρ

∂

2

u

∂t

2

(x, y)dxdy.

Integrating over the membrane yields an expression for the total work performed

when the membrane moves through the displacement η:

Work =

_ _

D

η(x, y)ρ

∂

2

u

∂t

2

(x, y)dxdy. (5.14)

On the other hand, the potential energy stored in the membrane is propor-

tional to the extent to which the membrane is stretched. Just as in the case of

the vibrating string, this stretching is approximated by the integral

Potential energy =

T

2

_ _

D

_

_

∂u

∂x

_

2

+

_

∂u

∂y

_

2

_

dxdy,

where T is a constant, called the tension in the membrane. Replacing u by u+η

in this integral yields

New potential energy =

T

2

_ _

D

_

_

∂u

∂x

_

2

+

_

∂u

∂y

_

2

_

dxdy

129

+T

_ _

D

__

∂u

∂x

__

∂η

∂x

_

+

_

∂u

∂y

__

∂η

∂y

__

dxdy

+

T

2

_ _

D

_

_

∂η

∂x

_

2

+

_

∂η

∂y

_

2

_

dxdy.

If we neglect the last term in this expression (which is justiﬁed if η and its

derivatives are assumed to be small), we ﬁnd that

New potential energy −Old potential energy =

_ _

D

T∇u ∇ηdxdy.

It follows from the divergence theorem in the plane and the fact that η vanishes

on the boundary ∂D that

_ _

D

T∇u ∇ηdxdy +

_ _

D

Tη∇ ∇udxdy =

_

∂D

Tη∇u Nds = 0,

and hence

Change in potential = −

_ _

D

η(x, y)T(∇ ∇u)(x, y)dxdy. (5.15)

The work performed must be minus the change in potential energy, so it

follows from (5.14) and (5.15) that

_ _

D

η(x, y)ρ

∂

2

u

∂t

2

(x, y)dxdy =

_ _

D

η(x, y)T(∇ ∇u)(x, y)dxdy.

Since this equation holds for all choices of η, it follows that

ρ

∂

2

u

∂t

2

= T∇ ∇u,

which simpliﬁes to

∂

2

u

∂t

2

= c

2

∇ ∇u, where c

2

=

T

ρ

,

or equivalently

∂

2

u

∂t

2

= c

2

_

∂

2

u

∂x

2

+

∂

2

u

∂y

2

_

.

This is just the wave equation.

The equations of a perfect gas and sound waves. Next, we will describe

Euler’s equations for a perfect gas in (x, y, z)-space.

1

Euler’s equations are

expressed in terms of the quantities,

v(x, y, z, t) = (velocity of the gas at (x, y, z) at time t),

1

For a complete derivation of these equations, see Chapter 9 of Alexander Fetter and John

Walecka, Theoretical mechanics of particles and continua, McGraw-Hill, New York, 1980, or

Chapter 1 of Alexandre Chorin and Jerrold Marsden, A mathematical introduction to ﬂuid

mechanics, third edition, Springer, 1993.

130

ρ(x, y, z, t) = (density at (x, y, z) at time t),

p(x, y, z, t) = (pressure at (x, y, z) at time t).

The ﬁrst of the Euler equations is the equation of continuity,

∂ρ

∂t

+∇ (ρv) = 0. (5.16)

To derive this equation, we represent the ﬂuid ﬂow by the vector ﬁeld

F = ρv,

so that the surface integral

_ _

S

F NdA

represents the rate at which the ﬂuid is ﬂowing across S in the direction of N.

We assume that no ﬂuid is being created or destroyed. Then the rate of change

of the mass of ﬂuid within D is given by two expressions,

_ _ _

D

∂ρ

∂t

(x, y, z, t)dxdydz and −

_ _

S

F NdA,

which must be equal. It follows from the divergence theorem that the second of

these expressions is

−

_ _ _

D

∇ F(x, y, z, t)dxdydz,

and hence

_ _ _

D

∂ρ

∂t

dxdydz = −

_ _ _

D

∇ Fdxdydz.

Since this equation must hold for every region D in (x, y, z)-space, we conclude

that the integrands must be equal,

∂ρ

∂t

= −∇ F = −∇ (ρv),

which is just the equation of continuity.

The second of the Euler equations is simply Newton’s second law of motion,

(mass density)(acceleration) = (force density).

We make an assumption that the only force acting on a ﬂuid element is due to

the pressure, an assumption which is not unreasonable in the case of a perfect

gas. In this case, it turns out that the pressure is deﬁned in such a way that

the force acting on a ﬂuid element is minus the gradient of pressure:

Force = −∇p(x(t), y(t), z(t), t). (5.17)

131

The familiar formula Force = Mass Acceleration then yields

ρ

d

dt

(v(x(t), y(t), z(t), t)) = −∇p(x(t), y(t), z(t), t).

Using the chain rule,

dv

dt

=

∂v

∂x

dx

dt

+

∂v

∂y

dy

dt

+

∂v

∂z

dz

dt

+

∂v

∂t

dt

dt

,

we can rewrite this equation as

∂v

∂t

+ (v ∇)v = −

1

ρ

∇p. (5.18)

Note that this equation is nonlinear because of the term (v ∇)v.

To ﬁnish the Euler equations, we need an equation of state, which relates

pressure and density. The equation of state could be determined by experiment,

the simplest equation of state being

p = a

2

ρ

γ

, (5.19)

where a

2

and γ are constants. (An ideal monatomic gas has this equation of

state with γ = 5/3.)

The Euler equations (5.16), (5.18), and (5.19) are nonlinear, and hence quite

diﬃcult to solve. However, one explicit solution is the case where the ﬂuid is

motionless,

ρ = ρ

0

, p = p

0

, v = 0,

where ρ

0

and p

0

satisfy

p

0

= a

2

ρ

γ

0

.

Linearizing Euler’s equations near this explicit solution gives rise to the linear

diﬀerential equation which governs propagation of sound waves.

Let us write

ρ = ρ

0

+ρ

, p = p

0

+p

, v = v

,

where ρ

, p

and v

**are so small that their squares can be ignored.
**

Substitution into Euler’s equations yields

∂ρ

∂t

+ρ

0

∇ (v

) = 0,

∂v

∂t

= −

1

ρ

0

∇p

,

and

p

= [a

2

γ(ρ

0

)

(γ−1)

]ρ

= c

2

ρ

,

where c

2

is a new constant. It follows from these three equations that

∂

2

ρ

∂t

2

= −ρ

0

_

∇

∂v

∂t

_

= ∇ ∇p

= c

2

∇ ∇ρ

.

132

Thus ρ

**must satisfy the three-dimensional wave equation
**

∂

2

ρ

∂t

2

= c

2

∇ ∇ρ

= c

2

_

∂

2

ρ

∂x

2

+

∂

2

ρ

∂y

2

+

∂

2

ρ

∂z

2

_

. (5.20)

If the sound wave ρ

is independent of z, (5.20) reduces to

∂

2

ρ

∂t

2

= c

2

_

∂

2

ρ

∂x

2

+

∂

2

ρ

∂y

2

_

,

exactly the same equation that we obtained for the vibrating membrane.

Remark: The notion of linearization is extremely powerful because it enables

us to derive information on the behavior of solutions to the nonlinear Euler

equations, which are extremely diﬃcult to solve except for under very special

circumstances.

The Euler equations for a perfect gas and the closely related Navier-Stokes

equations for an incompressible ﬂuid such as water form basic models for ﬂuid

mechanics. In the case of incompressible ﬂuids, the density is constant, so no

equation of state is assumed. To allow for viscosity, one adds an additional term

to the expression (5.17) for the force acting on a ﬂuid element:

Force = ν(∆v)(x, y, z, t) −∇p(x(t), y(t), z(t), t).

Here the Laplace operator is applied componentwise and ν is a constant, called

the viscosity of the ﬂuid. The equations used by Navier and Stokes to model an

incompressible viscous ﬂuid (with ρ constant) are then

∇ v = 0,

∂v

∂t

+ (v ∇)v = ν∆v −

1

ρ

∇p.

It is remarkable that these equations, so easily expressed, are so diﬃcult to

solve. Indeed, the Navier-Stokes equations form the basis for one of the seven

Millenium Prize Problems, singled out by the Clay Mathematics Institute as

central problems for mathematics at the turn of the century. If you can show

that under reasonable initial conditions, the Navier-Stokes equations possess a

unique well-behaved solution, you may be able to win one million dollars. To

ﬁnd more details on the prize oﬀered for a solution, you can consult the web

address: http://www.claymath.org/millennium/

Exercise:

5.4.1. Show that if the tension and density of a membrane are given by vari-

able functions T(x, y) and ρ(x, y) respectively, then the motion of the string is

governed by the equation

∂

2

u

∂t

2

=

1

ρ(x, y)

∇ (T(x, y)∇u) .

133

5.5 Initial value problems for wave equations

The most natural initial value problem for the wave equation is the following:

Let D be a bounded region in the (x, y)-plane which is bounded by a piece-

wise smooth curve ∂D, and let h

1

, h

2

: D → R be continuous functions. Find a

function u(x, y, t) such that

1. u satisﬁes the wave equation

∂

2

u

∂t

2

= c

2

_

∂

2

u

∂x

2

+

∂

2

u

∂y

2

_

. (5.21)

2. u satisﬁes the “Dirichlet boundary condition” u(x, y, t) = 0, for (x, y) ∈

∂D.

3. u satisﬁes the initial condition

u(x, y, 0) = h

1

(x, y),

∂u

∂t

(x, y, 0) = h

2

(x, y).

Solution of this initial value problem via separation of variables is very similar

to the solution of the initial value problem for the heat equation which was

presented in Section 5.3.

As before, let us suppose that D = ¦(x, y) ∈ R

2

: 0 ≤ x ≤ a, 0 ≤ y ≤ b¦, so

that the Dirichlet boundary condition becomes

u(0, y, t) = u(a, y, t) = u(x, 0, t) = u(x, b, t) = 0.

We write

u(x, y, t) = f(x, y)g(t),

and substitute into (5.21) to obtain

f(x, y)g

(t) = c

2

_

∂

2

f

∂x

2

+

∂

2

f

∂y

2

_

g(t).

Then we divide by c

2

f(x, y)g(t),

1

c

2

g(t)

g

(t) =

1

f(x, y)

_

∂

2

f

∂x

2

+

∂

2

f

∂y

2

_

.

Once again, we conclude that both sides must be constant. If we let λ denote

the constant, we obtain

1

c

2

g(t)

g

(t) = λ =

1

f(x, y)

_

∂

2

f

∂x

2

+

∂

2

f

∂y

2

_

.

This separates into an ordinary diﬀerential equation

g

(t) = c

2

λg(t), (5.22)

134

and the Helmholtz equation

_

∂

2

f

∂x

2

+

∂

2

f

∂y

2

_

= λf. (5.23)

The Dirichlet boundary condition becomes

f(0, y) = f(a, y) = f(x, 0) = f(x, b) = 0.

The Helmholtz equation is solved in exactly the same way as before, the

only nontrivial solutions being

f

mn

(x, y) = sin(mπx/a) sin(nπy/b), with λ

mn

= −(mπ/a)

2

−(nπ/b)

2

.

The corresponding solution to (5.22) is

g(t) = Acos(ω

mn

t) +Bsin(ω

mn

t), where ω

mn

= c

√

−λ

mn

.

Thus we obtain a product solution to the wave equation with Dirichlet boundary

conditions:

u(x, y, t) = sin(mπx/a) sin(nπy/b)[Acos(ω

mn

t) +Bsin(ω

mn

t)].

The general solution to to the wave equation with Dirichlet boundary conditions

is a superposition of these product solutions,

u(x, y, t) =

∞

m,n=1

sin(mπx/a) sin(nπy/b)[A

mn

cos(ω

mn

t) +B

mn

sin(ω

mn

t)].

The constants A

mn

and B

mn

are determined from the initial conditions.

The initial value problem considered in this section could represent the mo-

tion of a vibrating membrane. Just like in the case of the vibrating string, the

motion of the membrane is a superposition of inﬁnitely many modes, the mode

corresponding to the pair (m, n) oscillating with frequency ω

mn

/2π. The lowest

frequency of vibration or fundamental frequency is

ω

11

2π

=

c

2π

_

_

π

a

_

2

+

_

π

b

_

2

=

1

2

¸

¸

¸

_

T

ρ

_

_

1

a

_

2

+

_

1

b

_

2

_

.

Exercises:

5.5.1. Solve the following initial value problem for a vibrating square membrane:

Find u(x, y, t), 0 ≤ x ≤ π, 0 ≤ y ≤ π, such that

∂

2

u

∂t

2

=

∂

2

u

∂x

2

+

∂

2

u

∂y

2

,

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

135

u(x, y, 0) = 3 sin xsin y + 7 sin 2xsin y,

∂u

∂t

(x, y, 0) = 0.

5.5.2. Solve the following initial value problem for a vibrating square membrane:

Find u(x, y, t), 0 ≤ x ≤ π, 0 ≤ y ≤ π, such that

∂

2

u

∂t

2

= 4

_

∂

2

u

∂x

2

+

∂

2

u

∂y

2

_

,

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

u(x, y, 0) = 0,

∂u

∂t

(x, y, 0) = 2 sin xsin y + 13 sin 2xsin y.

5.5.3. Solve the following initial value problem for a vibrating square membrane:

Find u(x, y, t), 0 ≤ x ≤ π, 0 ≤ y ≤ π, such that

∂

2

u

∂t

2

=

∂

2

u

∂x

2

+

∂

2

u

∂y

2

,

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

u(x, y, 0) = p(x)q(y),

∂u

∂t

(x, y, 0) = 0,

where

p(x) =

_

x, for 0 ≤ x ≤ π/2,

π −x, for π/2 ≤ x ≤ π,

q(y) =

_

y, for 0 ≤ y ≤ π/2,

π −y, for π/2 ≤ y ≤ π.

5.6 The Laplace operator in polar coordinates

In order to solve the heat equation over a circular plate, or to solve the wave

equation for a vibrating circular drum, we need to express the Laplace opera-

tor in polar coordinates (r, θ). These coordinates are related to the standard

Euclidean coordinates by the formulae

x = r cos θ, y = r sin θ.

The tool we need to express the Laplace operator

∆ =

∂

2

∂x

2

+

∂

2

∂y

2

in terms of polar coordinates is just the chain rule, which we studied earlier in

the course. Although straigtforward, the calculation is somewhat lengthy. Since

∂x

∂r

=

∂

∂r

(r cos θ) = cos θ,

∂y

∂r

=

∂

∂r

(r sin θ) = sin θ,

136

it follows immediately from the chain rule that

∂u

∂r

=

∂u

∂x

∂x

∂r

+

∂u

∂y

∂y

∂r

= (cos θ)

∂u

∂x

+ (sin θ)

∂u

∂y

.

Similarly, since

∂x

∂θ

=

∂

∂θ

(r cos θ) = −r sin θ,

∂y

∂θ

=

∂

∂θ

(r sin θ) = r cos θ,

it follows that

∂u

∂θ

=

∂u

∂x

∂x

∂θ

+

∂u

∂y

∂y

∂θ

= (−r sin θ)

∂u

∂x

+ (r cos θ)

∂u

∂y

.

We can write the results as operator equations,

∂

∂r

= (cos θ)

∂

∂x

+ (sin θ)

∂

∂y

,

∂

∂θ

= (−r sin θ)

∂

∂x

+ (r cos θ)

∂

∂y

.

For the second derivatives, we ﬁnd that

∂

2

u

∂r

2

=

∂

∂r

(

∂u

∂r

) =

∂

∂r

_

cos θ

∂u

∂x

+ sin θ

∂u

∂y

_

= cos θ

∂

∂r

_

∂u

∂x

_

+ sin θ

∂

∂r

_

∂u

∂y

_

= cos

2

θ

∂

2

u

∂x

2

+ 2 cos θ sin θ

∂

2

u

∂x∂y

+ sin

2

θ

∂

2

u

∂y

2

.

Similarly,

∂

2

u

∂θ

2

=

∂

∂θ

(

∂u

∂θ

) =

∂

∂θ

_

−r sin θ

∂u

∂x

+r cos θ

∂u

∂y

_

= −r sin θ

∂

∂θ

_

∂u

∂x

_

+r cos θ

∂

∂θ

_

∂u

∂y

_

−r cos θ

∂u

∂x

−r sin θ

∂u

∂y

= r

2

sin

2

θ

∂

2

u

∂x

2

−2r

2

cos θ sin θ

∂

2

u

∂x∂y

+r

2

cos

2

θ

∂

2

u

∂y

2

−r

∂u

∂r

,

which yields

1

r

2

∂

2

u

∂θ

2

= sin

2

θ

∂

2

u

∂x

2

−2 cos θ sin θ

∂

2

u

∂x∂y

+ cos

2

θ

∂

2

u

∂y

2

−

1

r

∂u

∂r

.

Adding these results together, we obtain

∂

2

u

∂r

2

+

1

r

2

∂

2

u

∂θ

2

=

∂

2

u

∂x

2

+

∂

2

u

∂y

2

−

1

r

∂u

∂r

,

or equivalently,

∆u =

∂

2

u

∂r

2

+

1

r

2

∂

2

u

∂θ

2

+

1

r

∂u

∂r

.

137

Finally, we can write this result in the form

∆u =

1

r

∂

∂r

_

r

∂u

∂r

_

+

1

r

2

∂

2

u

∂θ

2

. (5.24)

This formula for the Laplace operator, together with the theory of Fourier

series, allows us to solve the Dirichlet problem for Laplace’s equation in a disk.

Indeed, we can now formulate the Dirichlet problem as follows: Find u(r, θ), for

0 < r ≤ 1 and θ ∈ mathbbR, such that

1. u satisﬁes Laplace’s equation,

1

r

∂

∂r

_

r

∂u

∂r

_

+

1

r

2

∂

2

u

∂θ

2

= 0, (5.25)

2. u satisﬁes the periodicity condition u(r, θ + 2π) = u(r, θ),

3. u is well-behaved near r = 0,

4. u satisﬁes the boundary condition u(1, θ) = h(θ), where h(θ) is a given

well-behaved function satisfying the periodicity condition h(θ+2π) = h(θ).

The ﬁrst three of these conditions are homogeneous linear. To treat these

conditions via the method of separation of variables, we set

u(r, θ) = R(r)Θ(θ), where Θ(θ + 2π) = Θ(θ).

Substitution into (5.25) yields

1

r

d

dr

_

r

dR

dr

_

Θ +

R

r

2

d

2

Θ

dθ

2

= 0.

We multiply through by r

2

,

r

d

dr

_

r

dR

dr

_

Θ +R

d

2

Θ

dθ

2

= 0,

and divide by −RΘ to obtain

−

r

R

d

dr

_

r

dR

dr

_

=

1

Θ

d

2

Θ

dθ

2

.

The left-hand side of this equation does not depend on θ while the right-hand

side does not depend on r. Thus neither side can depend on either θ or r, and

hence both sides must be constant:

−

r

R

d

dr

_

r

dR

dr

_

=

1

Θ

d

2

Θ

dθ

2

= λ.

Thus the partial diﬀerential equation divides into two ordinary diﬀerential

equations

d

2

Θ

dθ

2

= λΘ, Θ(θ + 2π) = Θ(θ),

138

r

d

dr

_

r

dR

dr

_

= −λR.

We have seen the ﬁrst of these equations before when we studied heat ﬂow in a

circular wire, and we recognize that with the periodic boundary conditions, the

only nontrivial solutions are

λ = 0, Θ =

a

0

2

,

where a

0

is a constant, and

λ = −n

2

, Θ = a

n

cos nθ +b

n

sin nθ,

where a

n

and b

n

are constants, for n a positive integer. Substitution into the

second equation yields

r

d

dr

_

r

dR

dr

_

−n

2

R = 0.

If n = 0, the equation for R becomes

d

dr

_

r

dR

dr

_

= 0,

which is easily solved to yield

R(r) = A+Blog r,

where A and B are constants of integration. In order for this equation to be well-

behaved as r → 0 we must have B = 0, and the solution u

0

(r, θ) to Laplace’s

equation in this case is constant.

When n ,= 0, the equation for R is a Cauchy-Euler equidimensional equation

and we can ﬁnd a nontrivial solution by setting

R(r) = r

m

.

Then the equation becomes

r

d

dr

_

r

d

dr

(r

m

)

_

= n

2

r

m

,

and carrying out the diﬀerentiation on the left-hand side yields the characteristic

equation

m

2

−n

2

= 0,

which has the solutions m = ±n. In this case, the solution is

R(r) = Ar

n

+Br

−n

.

Once again, in order for this equation to be well-behaved as r → 0 we must

have B = 0, so R(r) is a constant multiple of r

n

, and

u

n

(r, θ) = a

n

r

n

cos nθ +b

n

r

n

sin nθ.

139

The general solution to (5.25) which is well-behaved at r = 0 and satisﬁes

the periodicity condition u(r, θ + 2π) = u(r, θ) is therefore

u(r, θ) =

a

0

2

+

∞

n=1

(a

n

r

n

cos nθ +b

n

r

n

sin nθ),

where a

0

, a

1

, . . . , b

1

, . . . are constants. To determine these constants we must

apply the boundary condition:

h(θ) = u(1, θ) =

a

0

2

+

∞

n=1

(a

n

cos nθ +b

n

sin nθ).

We conclude that the constants a

0

, a

1

, . . . , b

1

, . . . are simply the Fourier coeﬃ-

cients of h.

Exercises:

5.6.1. Solve the following boundary value problem for Laplace’s equation in a

disk: Find u(r, θ), 0 < r ≤ 1, such that

1

r

∂

∂r

_

r

∂u

∂r

_

+

1

r

2

∂

2

u

∂θ

2

= 0,

u(r, θ + 2π) = u(r, θ), u well-behaved near r = 0

and

u(1, θ) = h(θ), where h(θ) = 1 + cos θ −2 sin θ + 4 cos 2θ.

5.6.2. Solve the following boundary value problem for Laplace’s equation in a

disk: Find u(r, θ), 0 < r ≤ 1, such that

1

r

∂

∂r

_

r

∂u

∂r

_

+

1

r

2

∂

2

u

∂θ

2

= 0,

u(r, θ + 2π) = u(r, θ), u well-behaved near r = 0

and

u(1, θ) = h(θ),

where h(θ) is the periodic function such that

h(θ) = [θ[, for −π ≤ θ ≤ π.

5.6.3. Solve the following boundary value problem for Laplace’s equation in an

annular region: Find u(r, θ), 1 ≤ r ≤ 2, such that

1

r

∂

∂r

_

r

∂u

∂r

_

+

1

r

2

∂

2

u

∂θ

2

= 0,

u(r, θ + 2π) = u(r, θ), u(1, θ) = 1 + 3 cos θ −sin θ + cos 2θ

and

u(2, θ) = 2 cos θ + 4 cos 2θ.

140

5.7 Eigenvalues of the Laplace operator

We would now like to consider the heat equation for a room whose shape is given

by a well-behaved but otherwise arbitrary bounded region D in the (x, y)-plane,

the boundary ∂D being a well-behaved curve. We would also like to consider

the wave equation for a vibrating drum in the shape of such a region D. Both

cases quickly lead to the eigenvalue problem for the Laplace operator

∆ =

∂

2

∂x

2

+

∂

2

∂y

2

.

Let’s start with the heat equation

∂u

∂t

= c

2

∆u, (5.26)

with the Dirichlet boundary condition,

u(x, y, t) = 0 for (x, y) ∈ ∂D.

To solve this equation, we apply separation of variables as before, setting

u(x, y, t) = f(x, y)g(t),

and substitute into (5.26) to obtain

f(x, y)g

(t) = c

2

(∆f)(x, y)g(t).

Then we divide by c

2

f(x, y)g(t),

1

c

2

g(t)

g

(t) =

1

f(x, y)

(∆f)(x, y).

The left-hand side of this equation does not depend on x or y while the right-

hand side does not depend on t. Hence both sides equal a constant λ, and we

obtain

1

c

2

g(t)

g

(t) = λ =

1

f(x, y)

(∆f)(x, y).

This separates into

g

(t) = c

2

λg(t) and (∆f)(x, y) = λf(x, y)

in which f is subject to the boundary condition,

f(x, y) = 0 for (x, y) ∈ ∂D.

The same method can be used to treat the wave equation

∂

2

u

∂t

2

= c

2

∆u, (5.27)

141

with the Dirichlet boundary condition,

u(x, y, t) = 0 for (x, y) ∈ ∂D.

This time, substitution of u(x, y, t) = f(x, y)g(t) into (5.27) yields

f(x, y)g

(t) = c

2

(∆f)(x, y)g(t), or

1

c

2

g(t)

g

(t) =

1

f(x, y)

(∆f)(x, y).

Once again, both sides must equal a constant λ, and we obtain

1

c

2

g(t)

g

(t) = λ =

1

f(x, y)

(∆f)(x, y).

This separates into

g

(t) = λg(t) and (∆f)(x, y) = λf(x, y),

in which f is once again subject to the boundary condition,

f(x, y) = 0 for (x, y) ∈ ∂D.

In both cases, we must solve the “eigenvalue problem” for the Laplace op-

erator with Dirichlet boundary conditions. If λ is a real number, let

W

λ

= ¦smooth functions f(x, y) : ∆f = λf, f[∂D = 0¦.

We say that λ is an eigenvalue of the Laplace operator ∆ on D if W

λ

,= 0.

Nonzero elements of W

λ

are called eigenfunctions and W

λ

itself is called the

eigenspace for eigenvalue λ. The dimension of W

λ

is called the multiplicity of

the eigenvalue λ. The eigenvalue problem consist of ﬁnding the eigenvalues λ,

and a basis for each nonzero eigenspace.

Once we have solved the eigenvalue problem for a given region D in the

(x, y)-plane, it is easy to solve the initial value problem for the heat equation

or the wave equation on this region. To do so requires only that we substitute

the values of λ into the equations for g. In the case of the heat equation,

g

(t) = c

2

λg(t) ⇒ g(t) = (constant)e

c

2

λt

,

while in the case of the wave equation,

g

(t) = c

2

λg(t) ⇒ g(t) = (constant) sin(c

√

−λ(t −t

0

)).

In the second case, the eigenvalues determine the frequencies of a vibrating

drum which has the shape of D.

Theorem. All of the eigenvalues of ∆ are negative, and each eigenvalue has

ﬁnite multiplicity. The eigenvalues can be arranged in a sequence

0 > λ

1

> λ

2

> > λ

n

> ,

142

with λ

n

→ −∞. Every well-behaved function can be represented as a convergent

sum of eigenfunctions.

2

Although the theorem is reassuring, it is usually quite diﬃcult to determine the

eigenvalues λ

1

, λ

2

, , λ

n

, explicitly for a given region in the plane.

There are two important cases in which the eigenvalues can be explicitly

determined. The ﬁrst is the case where D is the rectangle,

D = ¦(x, y) : 0 ≤ x ≤ a, 0 ≤ y ≤ b¦.

We saw how to solve the eigenvalue problem

∂

2

f

∂x

2

+

∂

2

f

∂y

2

= λf, f(x, y) = 0 for (x, y) ∈ ∂D,

when we discussed the heat and wave equations for a rectangular region. The

nontrivial solutions are

λ

mn

= −

_

πm

a

_

2

−

_

πn

b

_

2

, f

mn

(x, y) = sin

_

πmx

a

_

sin

_

πny

b

_

,

where m and n are positive integers.

A second case in which the eigenvalue problem can be solved explicitly is

that of the disk,

D = ¦(x, y) : x

2

+y

2

≤ a

2

¦,

where a is a positive number, as we will see in the next section.

3

Exercises:

5.7.1. Show that among all rectangular vibrating membranes of area one, the

square has the lowest fundamental frequency of vibration by minimizing the

function

f(a, b) =

_

π

a

_

2

+

_

π

b

_

2

subject to the constraints ab = 1, a, b > 0. Hint: One can eliminate b by setting

a = 1/b and then ﬁnd the minimum of the function

g(a) =

_

π

a

_

2

+ (πa)

2

,

when a > 0.

5.7.2. Let D be a ﬁnite region in the (x, y)-plane bounded by a smooth curve

∂D. Suppose that the eigenvalues for the Laplace operator ∆ with Dirichlet

boundary conditions on D are λ

1

, λ

2

, . . . , where

0 > λ

1

> λ

2

> ,

2

Note the similarity between the statement of this theorem and the statement of the

theorem presented in Section 4.7. In fact, the techniques used to prove the two theorems are

also quite similar.

3

A few more cases are presented in advanced texts, such as Courant and Hilbert, Methods

of mathematical physics I , New York, Interscience, 1953. See Chapter V, §16.3.

143

each eigenvalue having multiplicity one. Suppose that φ

n

(x, y) is a nonzero

eigenfunction for eigenvalue λ

n

. Show that the general solution to the heat

equation

∂u

∂t

= ∆u

with Dirichlet boundary conditions (u vanishes on ∂D) is

u(x, t) =

∞

n=1

b

n

φ

n

(x, y)e

λnt

,

where the b

n

’s are arbitrary constants.

5.7.3. Let D be a ﬁnite region in the (x, y)-plane as in the preceding problem.

Suppose that the eigenvalues for the Laplace operator ∆ on D are λ

1

, λ

2

, . . . ,

once again. Show that the general solution to the wave equation

∂

2

u

∂t

2

= ∆u,

together with Dirichlet boundary conditions (u vanishes on ∂D) and the initial

condition

∂u

∂t

(x, y, 0) = 0,

is

u(x, t) =

∞

n=1

b

n

φ

n

(x, y) cos(

_

−λ

n

t),

where the b

n

’s are arbitrary constants.

5.8 Eigenvalues of the disk

To calculate the eigenvalues of the disk, it is convenient to utilize polar coordi-

nates r, θ in terms of which the Laplace operator is

1

r

∂

∂r

_

r

∂f

∂r

_

+

1

r

2

∂

2

f

∂θ

2

= λf, f[∂D = 0. (5.28)

Once again, we use separation of variables and look for product solutions of the

form

f(r, θ) = R(r)Θ(θ), where R(a) = 0, Θ(θ + 2π) = Θ(θ).

Substitution into (5.28) yields

1

r

d

dr

_

r

dR

dr

_

Θ +

R

r

2

d

2

Θ

dθ

2

= λRΘ.

144

We multiply through by r

2

,

r

d

dr

_

r

dR

dr

_

Θ +R

d

2

Θ

dθ

2

= λr

2

RΘ,

and divide by RΘ to obtain

r

R

d

dr

_

r

dR

dr

_

−λr

2

= −

1

Θ

d

2

Θ

dθ

2

.

Note that in this last equation, the left-hand side does not depend on θ while

the right-hand side does not depend on r. Thus neither side can depend on

either θ or r, and hence both sides must be constant:

−

r

R

d

dr

_

r

dR

dr

_

+λr

2

=

1

Θ

d

2

Θ

dθ

2

= µ.

Thus in the manner now familiar, the partial diﬀerential equation divides

into two ordinary diﬀerential equations

d

2

Θ

dθ

2

= µΘ, Θ(θ + 2π) = Θ(θ),

r

d

dr

_

r

dR

dr

_

−λr

2

R = −µR, R(a) = 0.

Once again, the only nontrivial solutions are

µ = 0, Θ =

a

0

2

and

µ = −n

2

, Θ = a

n

cos nθ +b

n

sin nθ,

for n a positive integer. Substitution into the second equation yields

r

d

dr

_

r

dR

dr

_

+ (−λr

2

−n

2

)R = 0.

Let x =

√

−λr so that x

2

= −λr

2

. Then since

r

d

dr

= x

d

dx

,

our diﬀerential equation becomes

x

d

dx

_

x

dR

dx

_

+ (x

2

−n

2

)R = 0, (5.29)

where R vanishes when x =

√

−λa. If we replace R by y, this becomes

x

d

dx

_

x

dy

dx

_

+ (x

2

−n

2

)y = 0, y(

√

−λa) = 0. (5.30)

145

The diﬀerential equation appearing in (5.30) is Bessel’s equation, which we

studied in Section 1.4.

Recall that in Section 1.4, we found that for each choice of n, Bessel’s equa-

tion has a one-dimensional space of well-behaved solutions, which are constant

multiples of the Bessel function of the ﬁrst kind J

n

(x). Here is an important

fact regarding these Bessel functions:

Theorem. For each nonnegative integer n, J

n

(x) has inﬁnitely many positive

zeros.

Graphs of the functions J

0

(x) and J

1

(x) suggest that this theorem might well be

true, but it takes some eﬀort to prove rigorously. For completeness, we sketch

the proof for the case of J

0

(x) at the end of the section.

The zeros of the Bessel functions are used to determine the eigenvalues of

the Laplace operator on the disk. To see how, note ﬁrst that the boundary

condition,

y(

√

−λa) = 0,

requires that

√

−λa be one of the zeros of J

n

(x). Let α

n,k

denote the k-th

positive root of the equation J

n

(x) = 0. Then

√

−λa = α

n,k

⇒ λ = −

α

2

n,k

a

2

,

and

R(r) = J

n

(α

n,k

r/a)

will be a solution to (5.29) vanishing at r = a. Hence, in the case where n = 0,

λ

0,k

= −

α

2

0,k

a

2

,

and

f

0,k

(r, θ) = J

0

(α

0,k

r/a)

will be a solution to the eigenvalue problem

1

r

∂

∂r

_

r

∂f

∂r

_

+

1

r

2

∂

2

f

∂θ

2

= λf, f[∂D = 0.

Similarly, in the case of general n,

λ

n,k

= −

α

2

n,k

a

2

,

and

f

n,k

(r, θ) = J

n

(α

n,k

r/a) cos(nθ) or g

n,k

= J

n

(α

n,k

r/a) sin(nθ),

for n = 1, 2, . . . , will be solutions to this eigenvalue problem.

146

-1

-0.5

0

0.5

1

-1

-0.5

0

0.5

1

0

0.25

0.5

0.75

1

-1

-0.5

0

0.5

1

Figure 5.2: Graph of the function f

0,1

(r, θ).

Each of these eigenfunctions corresponds to a mode of oscillation for the

circular vibrating membrane. Suppose, for example, that a = 1. Then

α

0,1

= 2.40483 ⇒ λ

0,1

= −5.7832,

α

0,2

= 5.52008 ⇒ λ

0,2

= −30.471,

α

0,3

= 8.65373 ⇒ λ

0,3

= −74.887,

α

0,4

= 11.7195 ⇒ λ

0,3

= −139.039,

and so forth. The mode of oscillation corresponding to the function f

0,1

will

vibrate with frequency

_

−λ

0,1

2π

=

α

0,1

2π

= .38274,

while the mode of oscillation corresponding to the function f

0,2

will vibrate with

frequency

_

−λ

0,2

2π

=

α

0,2

2π

= .87855.

Similarly,

α

1,1

= 3.83171 ⇒ λ

1,1

= −14.682,

α

2,1

= 5.13562 ⇒ λ

2,1

= −26.3746,

and hence the mode of oscillation corresponding to the functions f

1,1

and g

1,1

will vibrate with frequency

_

−λ

1,1

2π

=

α

1,1

2π

= .60984,

147

-1

-0.5

0

0.5

1

-1

-0.5

0

0.5

1

0

0.5

1

-1

-0.5

0

0.5

1

-1

-0.5

0

0.5

1

Figure 5.3: Graph of the function f

0,2

(r, θ).

while the mode of oscillation corresponding to the functions f

2,1

and g

2,1

will

vibrate with frequency

_

−λ

2,1

2π

=

α

2,1

2π

= .81736.

A general vibration of the vibrating membrane will be a superposition of

these modes of oscillation. The fact that the frequencies of oscillation of a

circular drum are not integral multiples of a single fundamental frequency (as

in the case of the violin string) limits the extent to which a circular drum can

be tuned to a speciﬁc tone.

Proof that J

0

(x) has inﬁnitely many positive zeros: First, we make a change

of variables x = e

z

and note that as z ranges over the real numbers, the corre-

sponding variable x ranges over all the positive real numbers. Since

dx = e

z

dz,

d

dx

=

1

e

z

d

dz

and hence x

d

dx

= e

z

1

e

z

d

dz

=

d

dz

.

Thus Bessel’s equation (5.30) in the case where n = 0 becomes

d

2

y

dz

2

+e

2z

y = 0. (5.31)

Suppose that z

0

> 1 and y(z) is a solution to (5.31) with y(z

0

) ,= 0. We

claim that y(z) must change sign at some point between z

0

and z

0

+π.

148

-1

-0.5

0

0.5

1

-1

-0.5

0

0.5

1

-0.5

-0.25

0

0.25

0.5

-1

-0.5

0

0.5

1

Figure 5.4: Graph of the function f

1,1

(r, θ).

Assume ﬁrst that y(z

0

) > 0. Let f(z) = sin(z − z

0

). Since f

(z) = −f(z)

and y(z) satisﬁes (5.31),

d

dz

[y(z)f

(z) −y

(z)f(z)] = y(z)f

(z) −y

(z)f(z)

= −y(z)f(z) +e

2z

y(z)f(z) = (e

2z

−1)y(z)f(z).

Note that f(z) > 0 for z between z

0

and z

0

+π. If also y(z) > 0 for z between

z

0

and z

0

+π, then y(z)f(z) > 0 and

0 <

_

z0+π

z0

(e

2z

−1)y(z)f(z)dz = [y(z)f

(z) −y

(z)f(z)]

z0+π

z0

= y(z

0

+π)f

(z

0

+π) −y(z

0

)f(z

0

) = −y(z

0

+π) −y(z

0

) < 0,

a contradiction. Hence our assumption that y(z) be postive for z between z

0

and z

0

+π must be incorrect, y(z) must change sign at some z between z

0

and

z

0

+π, and hence y(z) must be zero at some point in this interval.

If y(z

0

) < 0, just apply the same argument to −y. In either case, we conclude

that y(z) must be zero at some point in any interval to the right of z = 1 of

length at least π. It follows that the solution to (5.31) must have inﬁnitely many

zeros in the region z > 1, and J

0

(x) must have inﬁnitely many positive zeros,

as claimed.

The fact that J

n

(x) has inﬁnitely many positive zeros could be proven in a

similar fashion.

149

Exercises:

5.8.1. Solve the following initial value problem for the heat equation in a disk:

Find u(r, θ, t), 0 < r ≤ 1, such that

∂u

∂t

=

1

r

∂

∂r

_

r

∂u

∂r

_

+

1

r

2

∂

2

u

∂θ

2

,

u(r, θ + 2π, t) = u(r, θ, t), u well-behaved near r = 0,

u(1, θ, t) = 0,

u(r, θ, 0) = J

0

(α

0,1

r) + 3J

0

(α

0,2

r) −2J

1

(α

1,1

r) sin θ + 4J

2

(α

2,1

r) cos 2θ.

5.8.2. Solve the following initial value problem for the vibrating circular mem-

brane: Find u(r, θ, t), 0 < r ≤ 1, such that

∂

2

u

∂t

2

=

1

r

∂

∂r

_

r

∂u

∂r

_

+

1

r

2

∂

2

u

∂θ

2

,

u(r, θ + 2π, t) = u(r, θ, t), u well-behaved near r = 0,

u(1, θ, t) = 0,

∂u

∂t

(r, θ, 0) = 0,

u(r, θ, 0) = J

0

(α

0,1

r) + 3J

0

(α

0,2

r) −2J

1

(α

1,1

r) sin θ + 4J

2

(α

2,1

r) cos 2θ.

5.8.3. (For students with access to Mathematica) a. Run the following Mathe-

matica program to sketch the Bessel function J

0

(x):

n=0; Plot[ BesselJ[n,x], ¦x,0,15¦]

b. From the graph it is clear that the ﬁrst root of the equation J

0

(x) = 0 is

near 2. Run the following Mathematica program to ﬁnd the ﬁrst root α

0,1

of

the Bessel function J

0

(x):

n=0; FindRoot[ BesselJ[n,x] == 0 ,¦x,2¦]

Find the next two nonzero roots of the Bessel function J

0

(x).

c. Modify the programs to sketch the Bessel functions J

1

(x), . . . , J

5

(x), and

determine the ﬁrst three nonzero roots of each of these Bessel functions.

5.8.4. Which has a lower fundamental frequency of vibration, a square drum or

a circular drum of the same area?

5.9 Fourier analysis for the circular vibrating

membrane*

To ﬁnish up the solution to the initial value problem for arbitrary initial displace-

ments of the vibrating membrane, we need to develop a theory of generalized

150

Fourier series which gives a decomposition into eigenfunctions which solve the

eigenvalue problem.

Such a theory can be developed for an arbitrary bounded region D in the

(x, y)-plane bounded by a smooth closed curve ∂D. Let V denote the space of

smooth functions f : D → R whose restrictions to ∂D vanish. It is important

to observe that V is a “vector space”: the sum of two elements of V again lies

in V and the product of an element of V with a constant again lies in V .

We deﬁne an inner product ¸, ) on V by

¸f, g) =

_ _

D

f(x, y)g(x, y)dxdy.

Lemma. With respect to this inner product, eigenfunctions corresponding to

distinct eigenvalues are perpendicular; if f and g are smooth functions vanishing

on ∂D such that

∆f = λf, ∆g = µg, (5.32)

then either λ = µ or ¸f, g) = 0.

The proof of this lemma is a nice application of Green’s theorem. Indeed, it

follows from Green’s theorem that

_

∂D

−f

∂g

∂y

dx +f

∂g

∂x

dy =

_ _

D

_

∂

∂x

[f(∂g/∂x)] −

∂

∂y

[−f(∂g/∂y)]

_

dxdy

=

_ _

D

_

∂f

∂x

∂g

∂x

+

∂f

∂y

∂g

∂y

_

dxdy +

_ _

D

f

_

∂

2

g

∂x

2

+

∂

2

g

∂y

2

_

dxdy.

Hence if the restriction of f to ∂D vanishes,

_ _

D

f∆gdxdy = −

_ _

D

∇f ∇gdxdy.

Similarly, if the restriction of g to ∂D vanishes,

_ _

D

g∆fdxdy = −

_ _

D

∇f ∇gdxdy.

Thus if f and g lie in V ,

¸f, ∆g) = −

_ _

D

∇f ∇gdxdy = ¸g, ∆f).

In particular, if (5.32) holds, then

µ¸f, g) = ¸f, ∆g) = ¸∆f, g) = λ¸f, g),

and hence

(λ −µ)¸f, g) = 0.

151

It follows immediately that either λ − µ = 0 or ¸f, g) = 0, and the lemma is

proven.

Now let us focus on the special case in which D is a circular disk. Recall the

problem that we want to solve, in terms of polar coordinates: Find

u(r, θ, t), 0 < r ≤ 1,

so that

∂

2

u

∂t

2

=

1

r

∂

∂r

_

r

∂u

∂r

_

+

1

r

2

∂

2

u

∂θ

2

,

u(r, θ + 2π, t) = u(r, θ, t), u well-behaved near r = 0,

u(1, θ, t) = 0,

u(r, θ, 0) = h(r, θ),

∂u

∂t

(r, θ, 0) = 0.

It follows from the argument in the preceding section that the general solu-

tion to the homogeneous linear part of the problem can be expressed in terms

of the eigenfunctions

f

n,k

(r, θ) = J

n

(α

n,k

r/a) cos(nθ), g

n,k

= J

n

(α

n,k

r/a) sin(nθ).

Indeed, the general solution must be a superposition of the products of these

eigenfunctions with periodic functions of t of frequencies

_

−λ

n,k

/2π. Thus this

general solution is of the form

u(r, θ, t) =

∞

k=1

a

0,k

g

0,k

(r, θ) cos(α

0,k

t)

+

∞

n=1

∞

k=1

[a

n,k

f

n,k

(r, θ) +b

n,k

g

n,k

(r, θ)] cos(α

n,k

t). (5.33)

We need to determine the a

n,k

’s and the b

n,k

’s so that the inhomogeneous initial

condition u(r, θ, 0) = h(r, θ) is also satisﬁed. If we set t = 0 in (5.33), this

condition becomes

∞

k=1

a

0,k

f

0,k

+

∞

n=1

∞

k=1

[a

n,k

f

n,k

+b

n,k

g

n,k

] = h. (5.34)

Thus we need to express an arbitrary initial displacement h(r, θ) as a superpo-

sition of these eigenfunctions.

It is here that the inner product ¸, ) on V comes to the rescue. The lemma

implies that eigenfunctions corresponding to distinct eigenvalues are perpendic-

ular. This implies, for example, that

¸f

0,j

, f

0,k

) = 0, unless j = k.

152

Similarly, for arbitrary n ≥ 1,

¸f

n,j

, f

n,k

) = ¸f

n,j

, g

n,k

) = ¸g

n,j

, g

n,k

) = 0, unless j = k.

The lemma does not immediately imply that

¸f

n,j

, g

n,j

) = 0.

To obtain this relation, recall that in terms of polar coordinates, the inner

product ¸, ) on V takes the form

¸f, g) =

_

1

0

__

2π

0

f(r, θ)g(r, θ)rdθ

_

dr.

If we perform integration with respect to θ ﬁrst, we can conclude from the

familiar integral formula

_

2π

0

sin nθ cos nθdθ = 0

that

¸f

n,j

, g

n,j

) = 0,

as desired.

Moreover, using the integral formulae

_

2π

0

cos nθ cos mθdθ =

_

π, for m = n,

0, for m ,= n,

_

2π

0

sin nθ sin mθdθ =

_

π, for m = n,

0, for m ,= n,

_

2π

0

sin nθ cos mθdθ = 0,

we can check that

¸f

n,j

, f

m,k

) = ¸g

n,j

, g

m,k

) = ¸f

n,j

, g

m,k

) = 0,

unless m = n. It then follows from the lemma that

¸f

n,j

, f

m,k

) = ¸g

n,j

, g

m,k

) = ¸f

n,j

, g

m,k

) = 0,

unless j = k and m = n.

From these relations, it is not diﬃcult to construct formulae for the coeﬃ-

cients of the generalized Fourier series of a given function h(r, θ). Indeed, if we

take the inner product of equation (5.34) with u

n,k

, we obtain

a

n,k

¸f

n,k

, f

n,k

) = ¸h, f

n,k

),

153

or equivalently

a

n,k

=

¸h, f

n,k

)

¸f

n,k

, f

n,k

)

. (5.35)

Similarly,

b

n,k

=

¸h, g

n,k

)

¸g

n,k

, g

n,k

)

. (5.36)

Thus we ﬁnally see that the solution to our initial value problem is

u(r, θ, t) =

∞

k=1

a

0,k

f

0,k

(r, θ) cos(α

0,k

t)

+

∞

n=1

∞

k=1

[a

n,k

f

n,k

(r, θ) +b

n,k

g

n,k

(r, θ)] cos(α

n,k

t),

where the coeﬃcients are determined by the integral formulae (5.35) and (5.36).

Exercises:

5.9.1. (For students with access to Mathematica) Suppose that a circular vi-

brating drum is given the initial displacement from equilibrium described by

the function

h(r, θ) = .1(1 −r),

for 0 ≤ r ≤ 1. In order to ﬁnd the solution to the wave equation with this initial

condition, we need to expand h(r, θ) in terms of eigenfunctions of ∆. Because

of axial symmetry, we can write

h(r, θ) = a

0,1

J

0

(α

0,1

r) +a

0,2

J

0

(α

0,2

r) +. . . .

a. Use the following Mathematica program to determine the coeﬃcient a

0,1

in

this expansion:

d = NIntegrate[r (BesselJ[0,2.40483 r])∧2,¦r,0,1¦];

n = NIntegrate[r (BesselJ[0,2.40483 r]) .1 (1-r),¦r,0,1¦];

a01 = n/d

b. Use a modiﬁcation of the program to determine the coeﬃcients a

0,2

, a

0,3

,

and a

0,4

.

c. Determine the ﬁrst four terms in the solution to the initial value problem:

Find

u(r, θ, t), 0 < r ≤ 1,

so that

∂

2

u

∂t

2

=

1

r

∂

∂r

_

r

∂u

∂r

_

+

1

r

2

∂

2

u

∂θ

2

,

154

u(r, θ + 2π, t) = u(r, θ, t), u well-behaved near r = 0,

u(1, θ, t) = 0,

u(r, θ, 0) = .1(1 −r),

∂u

∂t

(r, θ, 0) = 0.

5.9.2. (For students with access to Mathematica) The following program will

sketch graphs of the successive positions of a membrane, vibrating with a su-

perposition of several of the lowest modes of vibration:

<< Graphics‘ParametricPlot3D‘

a01 = .2; a02 = .1; a03 = .2; a04 = .1; a11 = .3; b11 = .2;

vibmem = Table[

CylindricalPlot3D[

a01 BesselJ[0,2.4 r] Cos[2.4 t]

+ a02 BesselJ[0,5.52 r] Cos[5.52 t]

+ a03 BesselJ[0,8.65 r] Cos[8.65 t]

+ a04 BesselJ[0,11.8 r] Cos[11.8 t]

+ a11 BesselJ[1,3.83 r] Cos[u] Cos[3.83 t]

+ b11 BesselJ[1,3.83 r] Sin[u] Cos[3.83 t],

¦r,0,1¦, ¦u,0,2 Pi¦, PlotRange -> ¦-.5,.5¦

], ¦t,0,1.,.1¦

]

a. Execute this program and then animate the sequence of graphics by running

“Animate selected graphics,” from the Graphics menu. (Warning! Generating

the sequence of graphics takes lots of memory. If you have insuﬃcient memory

for the animation, try inserting PlotPoints -> 8 within the CylindricalPlot

statement.)

b. Replace the values of a01, . . . with the Fourier coeﬃcients obtained in the

preceding problem, execute the resulting program to generate a sequence of

graphics, and animate the sequence as before.

155

Appendix A

Using Mathematica to solve

diﬀerential equations

In solving diﬀerential equations, it is sometimes necessary to do calculations

which would be prohibitively diﬃcult to do by hand. Fortunately, computers

can do the calculations for us, if they are equiped with suitable software, such

as Maple, Matlab, or Mathematica. This appendix is intended to give a brief

introduction to the use of Mathematica for doing such calculations.

Most computers which are set up to use Mathematica contain an on-line

tutorial, “Tour of Mathematica,” which can be used to give a brief hands-on

introduction to Mathematica. Using this tour, it may be possible for many

students to learn Mathematica without referring to lengthy technical manuals.

However, there is a standard reference on the use of Mathematica, which can

be used to answer questions if necessary. It is The Mathematica Book, by

Stephen Wolfram, Fourth edition, Wolfram Media and Cambridge University

Press, 1999.

We give here a very brief introduction to the use of Mathematica. After

launching Mathematica, you can use it as a “more powerful than usual graphing

calculator.” For example, if you type in

(11 - 5)/3

the computer will perform the subtraction and division, and respond with

Out[1] = 2

The notation for multiplication is ∗, so if you type in

2 * (7 + 4)

the computer will respond with

Out[2] = 22

156

You can also use a space instead of ∗ to denote multiplication, so if you input

2 8

the computer will respond with

Out[3] = 16

The computer can do exact arithmetic with integers or rational numbers.

For example, since ∧ is the symbol used for raising to a power, if you type in

2∧150

the computer will calculate the 150th power of two and give the exact result:

Out[4] = 1427247692705959881058285969449495136382746624

On the other hand, the symbol N tells the computer to use an approximation

with a ﬁxed number of digits of precision, so entering

N[2∧150]

will give an approximation to the exact answer, expressed in scientiﬁc notation:

Out[5] = 1.42725 10

45

Real numbers which are not rational, such as π, have inﬁnite decimal expan-

sions which cannot be stored within a computer. However, we can approximate

a real number by a ﬁnite decimal expansion with a given number of digits of pre-

cision. For example, since Mathematica uses the name E to denote the number

e, typing in

N[E]

will tell Mathematica to give a rational approximation to e to a standard number

of digits of precision:

Out[6] = 2.71828

In principle, the computer can calculate rational approximations to an arbitrary

number of digits of precision. Since the number π is represented by Mathematica

as Pi, typing in

N[Pi,40]

will tell Mathematica to give a rational approximation to π to 40 digits of

precision:

Out[7] = 3.1415926535897932384626433832795028841972

The computer can represent not only numbers but functions. Within Math-

ematica, built-in functions are described by names which begin with capital

157

1.5 2 2.5 3

0.2

0.4

0.6

0.8

1

Figure A.1: Graph of the logarithm function.

letters. For example, Log denotes the natural base e logarithm function. Thus

entering

N[Log[2],40]

will give the logarithm of 2 with 40 digits of precision:

Out[8] = 0.693147180559945309417232121458176568076

One can also plot functions with Mathematica. For example, to plot the

logarithm function from the values 1 to 3, one simply inputs

Plot[Log[t],¦t,1,3¦]

and Mathematica will automatically produce the plot shown in Figure A.1.

We can also deﬁne functions ourselves, being careful not to capitalize them,

because capitals are reserved by Mathematica for built-in functions. Thus we

can deﬁne the function

y(t) = ce

kt

by typing

y[t ] := c * E∧(k * t);

Mathematica will remember the function we have deﬁned until we quit Mathe-

matica. We must remember the exact syntax of this example (use of the under-

line character and the colon followed by the equal sign) when deﬁning functions.

In this example c and k are parameters which can be deﬁned later. Just as in

the case of functions, we must be careful to represent parameters by lower case

letters, so they will not be confused with built-in constants. Further entry of

c = 1; k = 1; N[y[1]]

158

yields the response

Out[11] = 2.71828

while entering

Plot[y[t],¦t,0,2¦]

will give a plot of the function we have deﬁned, for t in the interval [0, 2].

We can use Mathematica to solve matrix diﬀerential equations of the form

dx

dt

= Ax, (A.1)

where A is a square matrix with constant entries.

The ﬁrst step consists of using Mathematica to ﬁnd the eigenvalues and

eigenvectors of A. To see how this works, we must ﬁrst become familiar with

the way in which Mathematica represents matrices. Since Mathematica reserves

upper case letters for descriptions of built-in functions, it is prudent to denote

the matrix A by lower case a when writing statements in Mathematica. The

matrix

A =

_

−2 5

1 −3

_

can be entered into Mathematica as a collection of row vectors,

a = ¦¦-2,5¦,¦1,-3¦¦

with the computer responding by

Out[1] = ¦¦-2,5¦,¦1,-3¦¦

Thus a matrix is thought of as a “vector of vectors.” Entering

MatrixForm[a]

will cause the computer to give the matrix in the familiar form

Out[2] = −2 5

1 −3

To ﬁnd the eigenvalues of the matrix A, we simply type

Eigenvalues[a]

and the computer will give us the exact eigenvalues

−5 −

√

21

2

,

−5 +

√

21

2

,

which have been obtained by using the quadratic formula. Quite often numerical

approximations are suﬃcient, and these can be obtained by typing

eval = Eigenvalues[N[a]]

159

the response this time being

Out[4] = ¦-4.79129, -0.208712¦

Deﬁning eval to be the eigenvalues of A in this fashion, allows us to refer to

the eigenvalues of A later by means of the expression eval.

We can also ﬁnd the corresponding eigenvectors for the matrix A by typing

evec = Eigenvectors[N[a]]

and the computer responds with

Out[5] = ¦¦-0.873154, 0.487445¦, ¦0.941409, 0.337267¦¦

Putting this together with the eigenvalues gives the general solution to the

original linear system (A.1) for our choice of the matrix A:

x(t) = c

1

_

−0.873154

0.487445

_

e

−4.79129t

+c

2

_

0.941409

0.337267

_

e

−0.208712t

.

Mathematica can also be used to ﬁnd numerical solutions to nonlinear diﬀer-

ential equations. The following Mathematica programs will use Mathematica’s

diﬀerential equation solver (which is called up by the command NDSolve), to

ﬁnd a numerical solution to the initial value problem

dy/dx = y(1 −y), y(0) = .1,

give a table of values for the solution, and graph the solution curve on the

interval 0 ≤ x ≤ 6. The ﬁrst step

sol := NDSolve[¦ y’[x] == y[x] (1 - y[x]), y[0] == .1 ¦,

y, ¦x,0,6¦]

generates an “interpolation function” which approximates the solution and calls

it sol, an abbreviation for solution. We can construct a table of values for the

interpolation function by typing

Table[Evaluate[y[x] /. sol], ¦x,0,6,.1¦];

or graph the interpolation function by typing

Plot[Evaluate[y[x] /. sol], ¦x,0,6¦]

This leads to a plot like that shown in Figure A.2.

Readers can modify these simple programs to graph solutions to initial value

problems for quite general diﬀerential equations of the canonical form

dy

dx

= f(x, y).

All that is needed is to replace the ﬁrst argument of NDSolve with the diﬀerential

equation one wants to solve, remembering to replace the equal signs with double

equal signs, as in the example.

160

1 2 3 4 5 6

0.2

0.4

0.6

0.8

1

Figure A.2: Solution to y

= y(1 −y), y(0) = .1.

0.5 0.75 1.25 1.5 1.75 2

0.1

0.2

0.3

0.4

Figure A.3: A parametric plot of a solution to dx/dt = −xy, dy/dt = xy −y.

161

In fact, it is no more diﬃcult to treat initial value problems for higher order

equations or systems of diﬀerential equations. For example, to solve the initial

value problem

dx

dt

= −xy,

dy

dt

= xy −y, x(0) = 2, y(0) = .1. (A.2)

one simply types in

sol := NDSolve[¦ x’[t] == - x[t] y[t], y’[t] == x[t] y[t] - y[t],

x[0] == 2, y[0] == .1 ¦,

¦x,y¦, ¦t,0,10¦]

Once we have this solution, we can print out a table of values for y by entering

Table[Evaluate[y[t] /. sol], ¦t,0,2,.1¦]

We can also plot y(t) as a function of t by entering

Plot[Evaluate[y[t] /. sol], ¦t,0,10¦]

Figure A.3 shows a parametric plot of (x(t), y(t)) which is generated by entering

ParametricPlot[Evaluate[¦ x[t], y[t]¦ /. sol], ¦t,0,10¦]

162

Index

Bessel’s equation, 22, 146

Bessel function, 25

boundary value problem, 83, 119

Cauchy-Euler equation, 17, 110, 139

Chebyshev’s equation, 14

comparison test, 5

conic section, 36

convergence, 2

Dirichlet boundary conditions, 85

Dirichlet problem, 119

double Fourier sine series, 126

eigenfunctions, 108, 142

eigenspace, 33, 108, 142

eigenvalue problem, 87, 108, 142

eigenvalues, 30, 108, 142

eigenvectors, 30

ellipse, 37

ellipsoid, 40

Euler equations for a gas, 132

even function, 70

ﬁnite diﬀerences, 94

Fourier coeﬃcients, 63

Fourier cosine series, 72, 91

Fourier series, 63

Fourier sine series, 72, 89

Fourier transform, 79

frequencies of oscillation, 52, 58, 135

Frobenius method, 16

fundamental mode, 100

fundamental frequency, 135

gamma function, 28

geometric series, 2

general solution, 9

generalized Fourier series, 151

generalized power series, 16

Gibbs phenomenon, 67

heat equation, 83, 115, 117

heat ﬂow in a bar, 82

heat ﬂow in space, 116

Hermite’s equation, 10

Hooke’s law, 49

hyperbola, 37

hyperboloid, 40

initial value problem, 85, 98, 103,

124, 134

inner product, 68, 151

Laplace’s equation, 115

Legendre’s equation, 12

linearization of PDE, 132

mechanical systems, 49

modes of oscillation, 52, 58, 135

modiﬁed Bessel equation, 27

Navier-Stokes equations, 133

Neumann boundary conditions, 91

Newton’s second law, 50, 96

odd function, 70

ordinary point, 13

orthogonal matrix, 29

orthonormal basis, 44, 69

partial diﬀerential equation, 81

periodic function, 63

piecewise smooth, 67

potential energy, 50, 95, 129

power series, 1

quadric surfaces, 39

radius of convergence, 3

ratio test, 4

real analytic, 5

recursion formula, 8

regular singular point, 13

separating constant, 86

separation of variables, 86

singular point, 13

sound waves, 130

163

spectral theorem, 30

Sturm-Liouville problem, 108

superposition principle, 86, 115

symmetric matrix, 29

Theorem of Frobenius, 16

variation of parameters, 18

vibrating membrane, 129

vibrating string, 94

wave equation, 96, 115

164

Preface

Partial diﬀerential equations are often used to construct models of the most basic theories underlying physics and engineering. For example, the system of partial diﬀerential equations known as Maxwell’s equations can be written on the back of a post card, yet from these equations one can derive the entire theory of electricity and magnetism, including light. Our goal here is to develop the most basic ideas from the theory of partial differential equations, and apply them to the simplest models arising from physics. In particular, we will present some of the elegant mathematics that can be used to describe the vibrating circular membrane. We will see that the frequencies of a circular drum are essentially the eigenvalues from an eigenvector-eigenvalue problem for Bessel’s equation, an ordinary diﬀerential equation which can be solved quite nicely using the technique of power series expansions. Thus we start our presentation with a review of power series, which the student should have seen in a previous calculus course. It is not easy to master the theory of partial diﬀerential equations. Unlike the theory of ordinary diﬀerential equations, which relies on the “fundamental existence and uniqueness theorem,” there is no single theorem which is central to the subject. Instead, there are separate theories used for each of the major types of partial diﬀerential equations that commonly arise. However, there are several basic skills which are essential for studying all types of partial diﬀerential equations. Before reading these notes, students should understand how to solve the simplest ordinary diﬀerential equations, such as the equation of exponential growth dy/dx = ky and the equation of simple harmonic motion d2 y/dx2 + ωy = 0, and how these equations arise in modeling population growth and the motion of a weight attached to the ceiling by means of a spring. It is remarkable how frequently these basic equations arise in applications. Students should also understand how to solve ﬁrst-order linear systems of diﬀerential equations with constant coeﬃcients in an arbitrary number of unknowns using vectors and matrices with real or complex entries. (This topic will be reviewed in the second chapter.) Familiarity is also needed with the basics of vector calculus, including the gradient, divergence and curl, and the integral theorems which relate them to each other. Finally, one needs ability to carry out lengthy calculations with conﬁdence. Needless to say, all of these skills are necessary for a thorough understanding of the mathematical

i

language that is an essential foundation for the sciences and engineering. Moreover, the subject of partial diﬀerential equations should not be studied in isolation, because much intuition comes from a thorough understanding of applications. The individual branches of the subject are concerned with the special types of partial diﬀerential equations which which are needed to model diﬀusion, wave motion, equilibria of membranes and so forth. The behavior of physical systems often suggest theorems which can be proven via rigorous mathematics. (This last point, and the book itself, can be best appreciated by those who have taken a course in rigorous mathematical proof, such as a course in mathematical inquiry, whether at the high school or university level.) Moreover, the objects modeled make it clear that there should be a constant tension between the discrete and continuous. For example, a vibrating string can be regarded proﬁtably as a continuous object, yet if one looks at a ﬁne enough scale, the string is made up of molecules, suggesting a discrete model with a large number of variables. Moreover, we will see that although a partial diﬀerential equation provides an elegant continuous model for a vibrating membrane, the numerical method used to do actual calculations may approximate this continuous model with a discrete mechanical system with a large number of degrees of freedom. The eigenvalue problem for a diﬀerential equation thereby becomes approximated by an eigenvalue problem for an n × n matrix where n is large, thereby providing a link between the techniques studied in linear algebra and those of partial diﬀerential equations. The reader should be aware that there are many cases in which a discrete model may actually provide a better description of the phenomenon under study than a continuous one. One should also be aware that probabilistic techniques provide an additional component to model building, alongside the partial diﬀerential equations and discrete mechanical systems with many degrees of freedom described in these pages. There is a major dichotomy that runs through the subject—linear versus nonlinear. It is actually linear partial diﬀerential equations for which the technique of linear algebra prove to be so eﬀective. This book is concerned primarly with linear partial diﬀerential equations—yet it is the nonlinear partial diﬀerential equations that provide the most intriguing questions for research. Nonlinear partial diﬀerential equations include the Einstein ﬁeld equations from general relativity and the Navier-Stokes equations which describe ﬂuid motion. We hope the linear theory presented here will whet the student’s appetite for studying the deeper waters of the nonlinear theory. The author would appreciate comments that may help improve the next version of this short book. He hopes to make a list of corrections available at the web site: http://www.math.ucsb.edu/~moore Doug Moore March, 2003

ii

. . . . . 81 . . . . . of power series . . . . . . .Contents The sections marked with asterisks are less central to the main line of discussion. . . 4. . 2. and may be treated brieﬂy or omitted if time runs short. . . . . . . . . . . . . . . . . . . . . . .3 Orthonormal bases . . . . . . . . . .3 Singular points . . . . . . . . . . . . . . . . . . . . .7 Sturm-Liouville Theory* . . . . . .2 The initial value problem for the heat equation . 4. . . . . .2 Conic sections and quadric surfaces . . . . .4 Bessel’s diﬀerential equation .5 The initial value problem for the vibrating string 4. . . . . . . . . . . . . . . . . .4 Complex version of Fourier series* 3. . . 111 iii . 1. . . . . . . . 3. . . . . . . . . . . . . . . . . . . . . . 4 Partial Diﬀerential Equations 4. . . . . . . . . . . 85 . . . .6 A linear array of weights and springs* 3 Fourier Series 3. . . . . . . . . . . 81 .2 Inner products . . . . . . . . . . . . . . . . . . . . . . . . . . 4. .1 What is a power series? . . 1. . . . 98 . . . . . . . . . . . . . . . . . . . . . . . . . . . .1 Eigenvalues of symmetric matrices . . . . . . . . 1 Power Series 1. 1 1 7 15 22 29 29 36 44 49 53 59 62 62 69 72 77 79 . . .5 Fourier transforms* . . . . . 4. . . 2. . . . . . . . . .8 Numerical solutions to the eigenvalue problem* . . . . . . . .3 Fourier sine and cosine series . . 92 . .3 Numerical solutions to the heat equation . . . . . . . . . . . of freedom* . . . . . . . . . . . . . . . . . 94 . . . . . . . . . . . . . . . . .4 Mechanical systems . . . . . . . . . . . .5 Mechanical systems with many degrees 2. . . . . . . . . . 4. . . . . . . . . . . . . . . .2 Solving diﬀerential equations by means 1. . . . . . . . . . . 2. . . . . .6 Heat ﬂow in a circular wire . . . . . 2. . . . . . . .1 Overview .1 Fourier series . . . . . . . . 4. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3. . . . . . . . . . . . 3. . . . 107 . . . . . . . . . . . .4 The vibrating string . . . . . . . . 2 Symmetry and Orthogonality 2. . . . . . 103 . .

5. . . . . . . . . . . 5. . . . .4 Two derivations of the wave equation . 5. . . . . . . . . . . . .8 Eigenvalues of the disk . . . . 5. 115 115 118 123 129 134 136 141 144 150 156 163 iv . . . . . . . . . . . . . . . .2 The Dirichlet problem . .5 Initial value problems for wave equations . . . . . . . . . . . . . . . .5 PDE’s in Higher Dimensions 5. . . . . . . . . . . . . . . .7 Eigenvalues of the Laplace operator . . . 5.9 Fourier analysis for the circular vibrating membrane* . . . . . A Using Mathematica to solve diﬀerential equations Index . . . . . . . . . . . . . . . . 5. . .1 The three most important linear partial diﬀerential equations 5. . . . . .3 Initial value problems for heat equations . 5. . . . . . . . . . . . . . . . . .6 The Laplace operator in polar coordinates .

Chapter 1 Power Series 1. For example. we could calculate 1+1+ 1 2 1 n 1 = 1 = 2. a power series centered at x0 is an inﬁnite sum of the form ∞ a0 + a1 (x − x0 ) + a2 (x − x0 )2 + · · · = n=0 an (x − x0 )n . these power series representations are often used to deﬁne the exponential and trigonometric functions. using a calculator or PC with suitable software installed (such as Mathematica).5.1) as well as the trigonometric functions cos x = 1 − and sin x = x − 1 3 1 x + x5 − · · · = 3! 5! 1 2 1 x + x4 − · · · = 2! 4! ∞ (−1)k k=0 1 2k x (2k)! (−1)k k=0 1 x2k+1 . 2! 3! n! n=0 ∞ ∞ (1. In advanced treatments of calculus. where the an ’s are constants. Examples we have seen in calculus include the exponential function ex = 1 + x + 1 n 1 2 1 x + x3 + · · · = x . (2k + 1)! An inﬁnite series of this type is called a power series.1 What is a power series? Functions are often represented eﬃciently by means of inﬁnite series. 2! n! n=0 1 2 . To be precise. Power series can also be used to construct tables of values for these functions.

1+1+

8

1 n 1 2 1 1 1 + 13 + 14 = 1 = 2.70833, 2! 3! 4! n! n=0 1 n 1 = 2.71828, n! n=0

12

4

1 n 1 = 2.71806, n! n=0

...

As the number of terms increases, the sum approaches the familiar value of the exponential function ex at x = 1. For a power series to be useful, the inﬁnite sum must actually add up to a ﬁnite number, as in this example, for at least some values of the variable x. We let sN denote the sum of the ﬁrst (N + 1) terms in the power series,

N

sN = a0 + a1 (x − x0 ) + a2 (x − x0 )2 + · · · + aN (x − x0 )N =

n=0

an (x − x0 )n ,

**and say that the power series
**

∞

an (x − x0 )n

n=0

converges if the ﬁnite sum sN gets closer and closer to some (ﬁnite) number as N → ∞. Let us consider, for example, one of the most important power series of applied mathematics, the geometric series

∞

1 + x + x2 + x3 + · · · =

n=0

xn .

In this case we have sN = 1 + x + x2 + x3 + · · · + xN , sN − xsN = 1 − xN +1 , xsN = x + x2 + x3 + x4 · · · + xN +1 , sN = 1 − xN +1 . 1−x

**If |x| < 1, then xN +1 gets smaller and smaller as N approaches inﬁnity, and hence lim xN +1 = 0.
**

N →∞

**Substituting into the expression for sN , we ﬁnd that
**

N →∞

lim sN =

1 . 1−x

**Thus if |x| < 1, we say that the geometric series converges, and write
**

∞

xn =

n=0

1 . 1−x

2

On the other hand, if |x| > 1, then xN +1 gets larger and larger as N approaches inﬁnity, so limN →∞ xN +1 does not exist as a ﬁnite number, and neither does limN →∞ sN . In this case, we say that the geometric series diverges. In summary, the geometric series

∞

xn

n=0

converges to

1 1−x

when |x| < 1,

and diverges when |x| > 1. This behaviour, convergence for |x| < some number, and divergences for |x| > that number, is typical of power series: Theorem. For any power series

∞

a0 + a1 (x − x0 ) + a2 (x − x0 ) + · · · =

2 n=0

an (x − x0 )n ,

there exists R, which is a nonnegative real number or ∞, such that 1. the power series converges when |x − x0 | < R, 2. and the power series diverges when |x − x0 | > R. We call R the radius of convergence. A proof of this theorem is given in more advanced courses on real or complex analysis.1 We have seen that the geometric series

∞

1 + x + x2 + x3 + · · · =

n=0

xn

**has radius of convergence R = 1. More generally, if b is a positive constant, the power series x x 1+ + b b
**

2

x + b

3

∞

+ ··· =

n=0

x b

n

(1.2)

has radius of convergence b. To see this, we make the substitution y = x/b, ∞ and the power series becomes n=0 y n , which we already know converges for |y| < 1 and diverges for |y| > 1. But |y| < 1 |y| > 1 ⇔ ⇔ x <1 b x >1 b ⇔ ⇔ |x| < b, |x| > b.

1 Good references for the theory behind convergence of power series are Edward D. Gaughan, Introduction to analysis, Brooks/Cole Publishing Company, Paciﬁc Grove, 1998 and Walter Rudin, Principles of mathematical analysis, third edition, McGraw-Hill, New York, 1976.

3

Thus for |x| < b the power series (1.2) converges to 1 1 b = = , 1−y 1 − (x/b) b−x while for |x| > b, it diverges. There is a simple criterion that often enables one to determine the radius of convergence of a power series. Ratio Test. The radius of convergence of the power series

∞

a0 + a1 (x − x0 ) + a2 (x − x0 )2 + · · · =

n=0

an (x − x0 )n

**is given by the formula R = lim so long as this limit exists.
**

n→∞

|an | , |an+1 |

Let us check that the ratio test gives the right answer for the radius of convergence of the power series (1.2). In this case, we have an = 1 , bn so |an | bn+1 1/bn = n = b, = |an+1 | 1/bn+1 b

and the formula from the ratio test tells us that the radius of convergence is R = b, in agreement with our earlier determination. In the case of the power series for ex , 1 n x , n! n=0 in which an = 1/n!, we have |an | 1/n! (n + 1)! = = = n + 1, |an+1 | 1/(n + 1)! n! and hence R = lim

n→∞ ∞

|an | = lim (n + 1) = ∞, |an+1 | n→∞

so the radius of convergence is inﬁnity. In this case the power series converges for all x. In fact, we could use the power series expansion for ex to calculate ex for any choice of x. On the other hand, in the case of the power series

∞

n!xn ,

n=0

4

In short. (2k)! In this case the coeﬃcient an is zero when n is odd. but sometimes one can use it in conjunction with the Comparison Test. Suppose that the power series ∞ ∞ an (x − x0 )n . while an = ±1/n! when n is even. If |an | ≤ |bn | for all n. then R1 ≤ R2 . power series with smaller coeﬃcients have larger radius of convergence. 1 + 0x − 1 2 1 x + 0x3 + x4 − · · · = 2! 4! ∞ (−1)k k=0 1 2k x . then R1 ≥ R2 . In this case. we have |an | ≤ 1/n!. In either case. It follows from the comparison test that the radius of convergence of ∞ (−1)k k=0 1 2k x (2k)! must be at least large as that of the power series for ex . The ratio test doesn’t always work because the limit may not exist. and the power series does not converge for any nonzero x. A function f (x) is said to be real analytic at x0 if there is a power series ∞ an (x − x0 )n n=0 about x0 with positive radius of convergence R such that ∞ f (x) = n=0 an (x − x0 )n . the radius of convergence is zero. and hence must also be inﬁnite. 5 . |an+1 | (n + 1)! n+1 R = lim n→∞ |an | = lim |an+1 | n→∞ 1 n+1 = 0. we have |an | n! 1 = = . for |x − x0 | < R. If |an | ≥ |bn | for all n. Consider for example the power series expansion for cos x. Power series with positive radius of convergence are so important that there is a special term for describing functions which can be represented by such power series. Thus we can compare with the power series ∞ 1 2 1 n 1 3 1 4 1 + x + x + x + x + ··· = x 2! 3! 4! n! n=0 which represents ex and has inﬁnite radius of convergence.in which an = n!. n=0 n=0 bn (x − x0 )n have radius of convergence R1 and R2 respectively.

To see this.1. n+1 n=0 n=0 c. (2k)! ∞ b. k=0 ∞ (−1)k x2k . 3 (x − 2)n . xn .For example. b. the functions ex is real analytic at any x0 . a power series about x0 in which all but ﬁnitely many of the coeﬃcients are zero. 2n n=0 1 (3x − 6)n . n! This is a power series expansion of ex about x0 with inﬁnite radius of convergence. the monomial function f (x) = xn is real analytic at x0 because n n! xn = (x − x0 + x0 )n = xn−i (x − x0 )i i!(n − i)! 0 i=0 by the binomial theorem. It follows from this that any polynomial P (x) = a0 + a1 x + a2 x2 + · · · + an xn is analytic at any x0 . f. In more advanced courses. Similarly. Use the comparison test to ﬁnd an estimate for the radius of convergence of each of the following power series: ∞ a. Use the ratio test to ﬁnd the radius of convergence of the following power series: ∞ ∞ 1 a. n+1 n=0 ∞ ∞ d. Exercises: 1. k=0 ∞ 1 2k x . Thus for example. 1/(x − 1) is analytic whenever x0 = 1. it is suﬃcient to be aware of the following facts: The sum and product of real analytic functions is real analytic. n=0 (7x − 14)n . n! n=0 ∞ ∞ e. one studies criteria under which functions are real analytic. k=0 .2. is analytic at x0 if and only if x0 is not a zero of the denominator Q(x). 1 (x − π)2k . 22k c. we utilize the law of exponents to write ex = ex0 ex−x0 and apply (1. but fails to be analytic at x0 = 1. 1.1. 1 (x − π)n . (x − x0 )n = n! n=0 n=0 ∞ ∞ where an = ex0 .1) with x replaced by x − x0 : ex = ex0 1 an (x − x0 )n . (−1)n xn . k=0 1 (x − 4)2k 2k 6 d. P (x)/Q(x). For our purposes.1. The quotient of two polynomials with no common factors.

1.) Diﬀerentiating again yields d2 y = 2a2 + 3 · 2a3 x + 4 · 3a4 x2 + · · · = n(n − 1)an xn−2 . the equation of simple harmonic motion d2 y + y = 0. dx2 (1. b. we consider our old friend. dx2 n=2 We can replace n by m + 2 in the last summation so that d2 y = (m + 2)(m + 2 − 1)am+2 xm+2−2 = (m + 2)(m + 1)am+2 xm . We could start by assuming that ∞ y = a0 + a1 x + a2 x2 + a3 x3 + · · · = n=0 an xn . so we expect that dy nan xn−1 . g(x) = 2 . Determine the values of x0 at which the following functions fail to be real analytic: 1 x a. since the term with n = 0 drops out of the sum. dx2 m+2=2 m=0 7 ∞ ∞ ∞ ∞ . f (x) = .1.4) It can be shown that the standard technique for diﬀerentiating polynomials term by term also works for power series. φ(x) = 3 x − 3x2 + 2 x − 5x2 + 6x 1.1.2 Solving diﬀerential equations by means of power series Our main goal in this chapter is to study how to determine solutions to diﬀerential equations by means of power series.3) which we have already learned how to solve by other methods. As an example.3.4. Use the comparison test and the ratio test to ﬁnd the radius of convergence of the power series ∞ x 2m 1 (−1)m . d. (1. = a1 + 2a2 x + 3a3 x2 + · · · = dx n=1 (Note that the last summation only goes from 1 to ∞. x−4 x −1 4 1 c. 2 (m!) 2 m=0 1. h(x) = 4 . Suppose for the moment that we don’t know the general solution and want to ﬁnd it by means of power series.

Thus we are free to replace m by n and obtain the formula d2 y = (n + 2)(n + 1)an+2 xn . 4·3 4·32 4! (−1)n a1 . dx Then the recursion formula can be used to determine the remaining coeﬃcients by the process of induction. dx2 n=0 Substitution into equation(1. 3·2 3! Continuing in this manner. The ﬁrst two coeﬃcients a0 and a1 in the power series can be determined from the initial conditions. It follows that (n + 2)(n + 1)an+2 + an = 0.5) with n = 1 that a3 = − and with n = 2 that a4 = − a2 1 1 1 = a0 = a0 .The index m is a “dummy variable” in the summation and can be replaced by any other letter. (2n)! a2n+1 = 8 .3) yields ∞ ∞ ∞ (n + 2)(n + 1)an+2 xn + n=0 n=0 an xn = 0. dy (0) = a1 . or an+2 = − an . Similarly. or ∞ [(n + 2)(n + 1)an+2 + an ]xn = 0. a power series can be zero only if all of its coeﬃcients are zero. (n + 2)(n + 1) (1. n=0 Recall that a polynomial is zero only if all its coeﬃcients are zero. we ﬁnd that a2n = (−1)n a0 . Indeed it follows from (1.5) This is called a recursion formula for the coeﬃcients an . (2n + 1)! a1 1 = − a1 . 2·1 2 Similarly. it follows from (1.5) with n = 0 that a2 = − a0 1 = − a0 . y(0) = a0 .

Substitution into (1. we say that they are linearly independent solutions. In the terminology used in linear algebra. neither of which is a constant multiple of the other. called the general solution. In the special case where the functions P (x) and Q(x) are real analytic.4) yields y = a0 + a1 x − = a0 1 − 1 1 1 a0 x2 − a1 x3 + a0 x4 + · · · 2! 3! 4! + a1 x − 1 3 1 x + x5 − · · · 3! 5! . then the solutions to the “homogeneous linear diﬀerential equation” d2 y dy + Q(x)y = 0 + P (x) dx2 dx can be organized into a two-parameter family y = a0 y0 (x) + a1 y1 (x). Here y0 (x) and y1 (x) are any two nonzero solutions. This is the content of the following theorem. which is proven in more advanced books on diﬀerential equations: Theorem. It is proven in books on diﬀerential equations that if P (x) and Q(x) are wellbehaved functions. and hence we obtain the familiar expression for the solution to the equation of simple harmonic motion. then any solution y(x) to the linear diﬀerential equation d2 y dy + Q(x)y = 0 + P (x) dx2 dx 9 . The method we have described—assuming a solution to the diﬀerential equation of the form ∞ y(x) = n=0 an xn and solve for the coeﬃcients an —is surprisingly eﬀective. particularly for the class of equations called second-order linear diﬀerential equations. 1 2 1 x + x4 − · · · 2! 4! We recognize that the expressions within parentheses are power series expansions of the functions sin x and cos x. As a0 and a1 range over all constants. We say that y0 (x) and y1 (x) form a basis for the space of solutions. Q(x) = n=0 qn (x − x0 )n with positive radii of convergence R1 and R2 respectively. the solutions y0 (x) and y1 (x) will also be real analytic. y ranges throughout a “linear space” of solutions. y = a0 cos x + a1 sin x. If the functions P (x) and Q(x) can be represented by power series ∞ ∞ P (x) = n=0 pn (x − x0 )n .

both functions being polynomials. whose radius of convergence is ≥ the smallest of R1 and R2 . so that d2 y = (n + 2)(n + 1)an+2 xn .8) 10 . hence power series about x0 = 0 with inﬁnite radius of convergence. Hermite’s diﬀerential equation is d2 y dy − 2x + 2py = 0. dx2 m+2=2 m=0 and then replace m by n once again. As in the case of the equation of simple harmonic motion. = dx n=0 ∞ ∞ ∞ ∞ (1. dx2 dx (1.7) (1. P (x) = −2x. This theorem is used to justify the solution of many well-known diﬀerential equations by means of the power series method. dx2 n=2 ∞ Once again. Q(x) = 2p. but for the moment. we can regard it as merely an example of an equation to which the previous theorem applies. We diﬀerentiate term by term as before. we can replace n by m + 2 in the last summation so that d2 y = (m + 2)(m + 2 − 1)am+2 xm+2−2 = (m + 2)(m + 1)am+2 xm .6) where p is a parameter. and obtain dy nan xn−1 . we write ∞ y= n=0 an xn . Indeed. It turns out that this equation is very useful for treating the simple harmonic oscillator in quantum mechanics. = dx n=1 ∞ d2 y = n(n − 1)an xn−2 . Example.can be represented by a power series ∞ y(x) = n=0 an (x − x0 )n . dx2 n=0 Note that −2x dy −2nan xn .

Indeed it follows from (1.9) Adding together (1.8) and (1. we must have ∞ ∞ ∞ 0= n=0 [(n + 2)(n + 1)an+2 (−2n + 2p)an ]xn . 3·2 3! Continuing in this manner. Since the right-hand side is zero for all choices of x.10) Just as in the case of the equation of simple harmonic motion.9). we obtain d2 y dy − 2x (n + 2)(n + 1)an+2 xn + (−2n + 2p)an xn .7).10) with n = 1 that a3 = and with n = 2 that a4 = − 4 − 2p 2(2 − p) −2p 22 p(p − 2) a2 = a0 = a0 . 4·3 4·3 2 4! 2 − 2p 2(p − 1) a1 = − a1 . 2·1 Similarly. dy y(0) = a0 .while ∞ 2py = n=0 2pan xn . (1. (n + 2)(n + 1) (1. so (n + 2)(n + 1)an+2 + (−2n + 2p)an = 0. (1.10) with n = 0 that a2 = − 2p a0 . 5·4 5·4 3! 5! 11 . + 2py = dx2 dx n=0 n=0 If y satisﬁes Hermite’s equation. (0) = a1 . the ﬁrst two coeﬃcients a0 and a1 in the power series can be determined from the initial conditions. and we obtain the recursion formula for the coeﬃcients of the power series: an+2 = 2n − 2p an . each coeﬃcient must be zero. it follows from (1. dx The recursion formula can be used to determine the remaining coeﬃcients in the power series. we ﬁnd that a5 = 6 − 2p 2(3 − p) 2(1 − p) 22 (p − 1)(p − 3) a3 = a1 = a1 .

” In the language of linear algebra. This equation is very useful for treating spherically symmetric potentials in the theories of Newtonian gravitation and in electricity and magnetism. we need to divide by 1 − x2 to obtain d2 y p(p + 1) 2x dy + − y = 0. Thus we ﬁnd that a6 = y = a0 1 − 2p 2 22 p(p − 2) 4 23 p(p − 2)(p − 4) 6 x + x − x + ··· 2! 4! 6! +a1 x − 2(p − 1) 3 22 (p − 1)(p − 3) 5 x + x 3! 5! − 23 (p − 1)(p − 3)(p − 5) 7 x + ··· .11) where p is a parameter. Tables of values for these functions are found in many ”handbooks of mathematical functions.8 − 2p 2(3 − p) 22 (p − 2)p 23 p(p − 2)(p − 4) a4 = a0 = − a0 . These polynomial solutions are known as Hermite polynomials. where y0 (x) = 1 − and y1 (x) = x − 2(p − 1) 3 22 (p − 1)(p − 3) 5 23 (p − 1)(p − 3)(p − 5) 7 x + x − x +··· . − 2x dx2 dx (1. 3! 5! 7! 2p 2 22 p(p − 2) 4 23 p(p − 2)(p − 4) 6 x + x − x + ··· 2! 4! 6! For a given choice of the parameter p. 7! We can now write the general solution to Hermite’s equation in the form y = a0 y0 (x) + a1 y1 (x). we could use the power series to construct tables of values for the functions y0 (x) and y1 (x). 2 2 dx dx 1−x 1 − x2 Thus we have P (x) = − 2x . When p is a positive integer. 6·5·2 6·5 4! 6! and so forth. we say that y0 (x) and y1 (x) form a basis for the space of solutions to Hermite’s equation. yielding a polynomial solution to Hermite’s equation. one of the two power series will collapse. To apply our theorem. 1 − x2 12 Q(x) = p(p + 1) . Legendre’s diﬀerential equation is (1 − x2 ) d2 y dy + p(p + 1)y = 0. Another Example. 1 − x2 .

a power series centered at 0. a. it can be shown that when p is an integer. Indeed. ﬁnd the recursion formula for an+2 in terms of an . Q(x) = Exercises: 1. Hence our theorem implies that any solution to Legendre’s equation will be expressible as a power series about x0 = 0 which converges for |x| < 1.2. So we assume the solution is of the form ∞ y= n=0 an xn . Experimentation with numerical solutions to Legendre’s equation would show that these suspicions are justiﬁed—solutions to Legendre’s equation will usually blow up as x → ±1. We would like to use the power series method to ﬁnd the general solution to the diﬀerential equation d2 y dy − 4x + 12y = 0. If we substitute u = x2 .Now from the preceding section. Legendre’s diﬀerential equation has a nonzero polynomial solution which is well-behaved for all x. c. and determine the coeﬃcients an . dx2 dx which is very similar to Hermite’s equation. but solutions which are not constant multiples of these Legendre polynomials blow up as x → ±1. Use the recursion formula to determine an in terms of a0 and a1 . As a ﬁrst step. we know that the power series 1 + u + u2 + u3 + · · · converges to 1 1−u for |u| < 1. 1 − x2 the power series converging when |x| < 1. However. Find a nonzero polynomial solution to this diﬀerential equation. The coeﬃcients a0 and a1 will be determined by the initial conditions. 1 − x2 Both of these functions have power series expansions about x0 = 0 which converge for |x| < 1. b. 13 . we can conclude that 1 = 1 + x2 + x4 + x6 + · · · . It follows quickly that P (x) = − and 2x = −2x − 2x3 − 2x5 − · · · 1 − x2 p(p + 1) = p(p + 1) + p(p + 1)x2 + p(p + 1)x4 + · · · .1. we might suspect that the solutions to Legendre’s equation to exhibit some unpleasant behaviour near x = ±1. for 2 ≤ n ≤ 9.

Find a basis for the space of solutions to the diﬀerential equation (1 − x2 ) 1.2.3. 1 − x2 Q(x) = p2 . The diﬀerential equation (1 − x2 ) d2 y dy −x + p2 y = 0. Use the recursion formula to determine an in terms of a0 and a1 . 2 dx dx it would be most natural to assume that the solution has the form ∞ y(0) = 0. is known as Chebyshev’s equation. Find a nonzero polynomial solution to this diﬀerential equation. Use this idea to ﬁnd a polynomial solution to the diﬀerential equation d2 y dy − 4(x − 3) + 12y = 0. b. for 2 ≤ n ≤ 9. dx2 dx f. We want to use the power series method to ﬁnd the general solution to Legendre’s diﬀerential equation (1 − x2 ) d2 y dy − 2x + p(p + 1)y = 0. in the case where p = 3. As a ﬁrst step. dx2 dx Once again our approach is to assume our solution is a power series centered at 0 and determine the coeﬃcients in this power series.2. − 2x 2 dx dx where p is a constant.2. dx y= n=0 an (x − 3)n .d. dy (0) = 1. 1 − x2 . It can be rewritten in the form d2 y dy + Q(x)y = 0. d. ﬁnd the recursion formula for an+2 in terms of an . + P (x) 2 dx dx where 14 P (x) = − x . Find the solution to the initial value problem d2 y dy − 4x + 12y = 0. To solve the diﬀerential equation d2 y dy − 4(x − 3) + 12y = 0. dx2 dx 1. e. a. dx2 dx d2 y dy + 12y = 0. Find a basis for the space of solutions to the equation. c.

Find a basis for the space of solutions to (1 − x2 ) 1. both P (x) or Q(x) have power series expansions about x = x0 with positive radius of convergence. Assuming a power series centered at 0.4. c.3 Singular points Our ultimate goal is to give a mathematical description of the vibrations of a circular drum. (1. Use the recursion formula to determine an in terms of a0 and a1 . Show that making the substitution z = e−x Hermite’s diﬀerential equation 2 /2 y transforms this equation into d2 y dy − 2x + (λ − 1)y = 0. we say that x0 is a singular point. a.2. For this. we will need to solve Bessel’s equation. −x dx2 dx arises when treating the quantum mechanics of simple harmonic motion.13) if the coeﬃcients P (x) or Q(x) are both real analytic at x = x0 . e. or equivalently. Show that if λ = 2n+1 where n is a nonnegative integer. ﬁnd the recursion formula for an+2 in terms of an .12) has a solution 2 of the form z = e−x /2 Pn (x). In the opposite case. 2 dx dx b. If P (x) and Q(x) are represented as power series about x0 = 0. where Pn (x) is a polynomial. A singular point is said to be regular if (x − x0 )P (x) and 15 (x − x0 )2 Q(x) . In the special case where p = 3. thus x0 is a singular point if at least one of the coeﬃcients P (x) or Q(x) fails to be real analytic at x = x0 . A point x0 is called an ordinary point for the diﬀerential equation d2 y dy + P (x) + Q(x)y = 0 2 dx dx (1. for 2 ≤ n ≤ 9. a second-order homogeneous linear diﬀerential equation with a “singular point” at 0. what is the radius of convergence of these power series? b. d. 1. ﬁnd a nonzero polynomial solution to this diﬀerential equation. The diﬀerential equation − d2 + x2 z = λz dx2 (1.12) d2 y dy + 9y = 0.a.

Simmons. the theorem guarantees only one generalized power series solution. Theorem of Frobenius. (1. but it is a regular singular point because (x − 1)P (x) = (x − 1) and (x − 1)2 Q(x) = (x − 1)2 p(p + 1) p(p + 1)(1 − x) = 1 − x2 1+x are both real analytic at x0 = 1. 16 . For example. We will call a solution of the form (1.13) in the case of regular singular points is called the Frobenius method . McGraw-Hill. which may be complex. second edition. 2 dx dx then this diﬀerential equation has at least one nonzero solution of the form ∞ y(x) = (x − x0 )r n=0 an (x − x0 )n .2 2 For more discussion of the Frobenius method as well as many of the other techniques touched upon in this chapter we refer the reader to George F. x0 = 1 is a singular point for Legendre’s equation d2 y p(p + 1) 2x dy + − y = 0. dx2 1 − x2 dx 1 − x2 because 1 − x2 → 0 as x → 1 and hence the quotients 2x 1 − x2 and p(p + 1) 1 − x2 −2x 2x = 2 1−x x+1 blow up as x → 1. The point of these deﬁnitions is that in the case where x = x0 is a regular singular point. but not always. not a basis. New York. If (x−x0 )P (x) and (x−x0 )2 Q(x) have power series which converge for |x − x0 | < R then the power series ∞ an (x − x0 )n n=0 will also converge for |x − x0 | < R.14) where r is a constant. The method of ﬁnding generalized power series solutions to (1. Diﬀerential equations with applications and historical notes. 1991.14) a generalized power series solution. In fortuitous cases. a modiﬁcation of the power series method can still be used to ﬁnd solutions.are real analytic. If x0 is a regular singular point for the diﬀerential equation d2 y dy + P (x) + Q(x)y = 0. one can ﬁnd a basis of generalized power series solutions. Unfortunately.

to solve the diﬀerential equation x2 d2 y dy + 2y = 0.13) for which p q P (x) = . so the general solution to the diﬀerential equation is y = c1 x−1 + c2 x−2 = c1 c2 + 2. This is the special case of (1. In this case. ⇒ x2 (d2 y/dx2 ) = r(r − 1)xr . we can simply take y(x) = xr . substitute into the equation and solve for r. Substitution into the diﬀerential equation yields r(r − 1)xr + 4rxr + 2xr = 0. The Frobenius method is quite simple in the case of Cauchy-Euler equations. so both of these solutions are generalized power series solutions. so x = 0 is a regular singular point for the Cauchy-Euler equation as long as either p or q is nonzero. x x where p and q are constants. n=0 y2 (x) = x−2 ∞ bn xn . Indeed. + 4x 2 dx dx we set y = xr and diﬀerentiate to show that dy/dx = rxr−1 d2 y/dx2 = r(r − 1)xr−2 ⇒ x(dy/dx) = rxr . and dividing by xr yields r(r − 1) + 4r + 2 = 0 or r2 + 3r + 2 = 0. Often there will be two linearly independent solutions y1 (x) = xr1 and y2 (x) = xr2 of this special form. For example. n=0 where a0 = b0 = 1 and all the other an ’s and bn ’s are zero. Q(x) = 2 . in this case.The simplest diﬀerential equation to which the Theorem of Frobenius applies is the Cauchy-Euler equidimensional equation. the general solution is given by the superposition principle as y = c1 xr1 + c2 xr2 . 17 . Note that xP (x) = p and x2 Q(x) = q are real analytic. x x Note that the solutions y1 (x) = x−1 and y2 (x) = x−2 can be rewritten in the form y1 (x) = x−1 ∞ an xn . The roots to this equation are r = −1 and r = −2.

we obtain only a one-parameter family of solutions y = cx−1 .15) . x where a and c2 are constants of integration. 2 dx dx (1. Then dy = v (x)x−1 − v(x)x−2 . which quickly simpliﬁes to yield xv (x) + v (x) = 0. Let us consider the example 2x which can be rewritten as d2 y dy + P (x) + Q(x)y = 0. only one of the basis elements in the general solution is a generalized power series. we replace the parameter c by a variable v(x) and write y = v(x)x−1 . the so-called method of variation of parameters. which has a repeated root. there is a trick that enables us to handle this situation. dx2 d2 y dy + y = 0. v 1 =− . dx2 dx where 18 P (x) = 1 . and we obtain the general solution y = c1 1 log |x| + c2 . if this method is applied to the diﬀerential equation x2 we obtain r(r − 1) + 3r + 1 = r2 + 2r + 1. For equations which are not of Cauchy-Euler form the Frobenius method is more involved. v = c2 . 2x d2 y dy + + y = 0. dx d2 y = v (x)x−1 − 2v (x)x−2 + 2v(x)x−3 . v x log |v | = − log |x| + a. In this case.On the other hand. A further integration yields v = c2 log |x| + c1 . + 3x 2 dx dx Substitution into the diﬀerential equation yields x2 (v (x)x−1 − 2v (x)x−2 + 2v(x)x−3 ) + 3x(v (x)x−1 − v(x)x−2 ) + v(x)x−1 = 0. 2x Q(x) = 1 . Fortunately. x x so y = (c2 log |x| + c1 )x−1 . In this case. In this context.

We can divide by xr . (1. obtaining (2r − 1)ra0 x−1 + ∞ ∞ (2n + 2r + 1)(n + r + 1)an+1 xn + n=0 n=0 an xn = 0. Then dy (n + r)an xn+r−1 . dx n=0 ∞ ∞ Substitution into the diﬀerential equation yields ∞ 2(n + r)(n + r − 1)an xn+r−1 + n=0 n=0 (n + r)an xn+r−1 + n=0 an xn+r = 0. If we let n = m + 1 in the ﬁrst inﬁnite sum. which simpliﬁes to ∞ ∞ xr n=0 (2n + 2r − 1)(n + r)an xn−1 + n=0 an xn = 0. and separate out the ﬁrst term from the ﬁrst summation. The coeﬃcient of each power of x must be zero. (2n + 2r + 1)(n + r + 1)an+1 + an = 0. We begin the Frobenius method by assuming that the solution has the form ∞ ∞ y = xr n=0 an xn = n=0 an xn+r . this becomes (2r − 1)ra0 x−1 + ∞ ∞ (2m + 2r + 1)(m + r + 1)am+1 xm + m=0 n=0 an xn = 0. then all the coeﬃcients must be zero from the second of these equations. obtaining (2r − 1)ra0 x−1 + ∞ ∞ (2n + 2r − 1)(n + r)an xn−1 + n=1 n=0 an xn = 0. Finally. = dx n=0 and ∞ ∞ d2 y = (n + r)(n + r − 1)an xn+r−2 dx2 n=0 ∞ d2 y 2x 2 = 2(n + r)(n + r − 1)an xn+r−1 .16) If a0 = 0. So we must have a0 = 0 and hence (2r − 1)r = 0. In particular. 19 .One easily checks that x = 0 is a regular singular point. we replace m by n. we must have (2r − 1)ra0 = 0. and we don’t get a nonzero solution.

we ﬁnd that 1 a1 = − . we ﬁnd that a1 = −1. (2n + 2)(n + (1/2) + 1) (n + 1)(2n + 3) Given a0 = 1. In general. (2n + 2r + 1)(n + r + 1) for n ≥ 0. 3·7 3! · (7 · 5 · 3) 1 . a3 = − a2 = − 1 1 a1 = . 3 a3 = − and in general. 3·2 3·2 a4 = − 1 1 a3 = . (2n − 1)(2n − 3) · · · 1 · n! One of the generalized power series solution to (1.This is called the indicial equation. the recursion formula becomes an+1 = − 1 1 an = − an . 5·3 (5 · 3)(3 · 2) and so forth. n!(2n + 1)(2n − 1) · · · 1 · n! 20 .16) yields the recursion formula an+1 = − 1 an . 7·4 (7 · 5 · 3)4! 1 an . we would have an = (−1)n 1 . We can try to ﬁnd a generalized power series solution for either root of the indicial equation. r2 = 1 . If r = 0. 3·2 (5 · 3)(3!) (7 · 5 · 3)4! If r = 1/2. it has two roots r1 = 0. In this case. the recursion formula becomes an+1 = − Given a0 = 1. (2n + 1)(n + 1) 1 1 a2 = − . an = (−1)n a2 = − 1 1 a1 = . 2 The second half of (1.15) is y1 (x) = x0 1 − x + =1−x+ 1 2 1 1 x − x3 + x4 − · · · 3·2 (5 · 3)(3!) (7 · 5 · 3)4! 1 2 1 1 x − x3 + x4 − · · · . 2·5 2·5·3 1 1 a2 = − .

determine whether it is regular or not.2. y + xy + (1 − x2 )y = 0.15): 1 1 1 y2 (x) = x1/2 1 − x + x2 − x3 + · · · . just as we saw in the case of the Cauchy-Euler equidimensional equation.3. (Hint: Use the formula xa+bi = xa xbi = xa (elog x )bi = xa eib log x = xa [cos(b log x) + i sin(b log x)] to simplify the answer. x2 d2 y/dx2 − xdy/dx + y = 0. d. a second independent solution can then be found by variation of parameters. b. x2 d2 y/dx2 − xdy/dx + 10y = 0. 3 2·5·3 3! · (7 · 5 · 3) The general solution to (1. c. x2 y + 2xy + (cos x)y = 0. If the roots of the indicial equation diﬀer by an integer. 3 2·5·3 3! · (7 · 5 · 3) We obtained two linearly independent generalized power series solutions in this case. but this does not always happen.) 1. 1. Find the general solution to each of the following Cauchy-Euler equations: a.15) is a superposition of y1 (x) and y2 (x): y = c1 1 − x + 1 2 1 1 x − x3 + x4 − · · · 3·2 (5 · 3)(3!) (7 · 5 · 3)4! √ 1 1 1 +c2 x 1 − x + x2 − x3 + · · · . We want to ﬁnd generalized power series solutions to the diﬀerential equation d2 y dy 3x 2 + +y =0 dx dx 21 . For each of the following diﬀerential equations. determine whether x = 0 is ordinary or singular.1. x2 d2 y/dx2 − 2xdy/dx + 2y = 0. If it is singular.3. c.3. Exercises: 1. y + (1/x)y + (1 − (1/x2 ))y = 0. we may obtain only one generalized power series solution. b.We thus obtain a second generalized power series solution to (1.3. In that case. a. x3 y + 2xy + (cos x)y = 0.

1. x2 d2 y dy +x + (x2 − p2 )y = 0 dx2 dx .3. where r and the an ’s are constants. Our next goal is to apply the Frobenius method to Bessel’s equation. Using the Leibniz rule for diﬀerentiating a product. Determine the indicial equation and the recursion formula.by the method of Frobenius. 1 x and Q(x) = x2 − p2 . a. b. dx2 dx where P (x) = Since xP (x) = 1 and 22 x2 Q(x) = x2 − p2 . b.4 Bessel’s diﬀerential equation d dx dy dx + (x2 − p2 )y = 0. Our procedure is to ﬁnd solutions of the form ∞ ∞ y = xr n=0 an xn = n=0 an xn+r .17) an equation which is needed to analyze the vibrations of a circular drum. Find two linearly independent generalized power series solutions. x x (1. 1. Determine the indicial equation and the recursion formula.4. which will be a nonnegative integer in the vibrating drum problem. To ﬁnd generalized power series solutions to the diﬀerential equation 2x d2 y dy + + xy = 0 dx2 dx ∞ by the method of Frobenius. Find two linearly independent generalized power series solutions. a. as we mentioned before. we assume the solution has the form y= n=0 an xn+r . Here p is a parameter. where r and the an ’s are constants. we can rewrite Bessel’s equation in the form x2 or equivalently as d2 y dy + P (x) + Q(x) = 0.

we ﬁnd that if y is a solution to (1. (1.20) Adding up (1.18) ∞ x2 y = n=0 an xn+r+2 = m=2 am−2 xm+r .20). so the Frobenius theorem implies that there exists a nonzero generalized power series solution to (1. (1. ∞ −p y = − 2 n=0 p2 an xn+r . we have.we see that x = 0 is a regular singular point.17). (1.19) Finally. and (1. we start as in the previous section by assuming that ∞ y= n=0 an xn+r .19). d dx x dy dx ∞ = n=0 (n + r)2 an xn+r . ∞ ∞ [(n + r)2 − p2 ]an xn + n=0 n=2 an−2 xn = 0.17).18). = dx n=0 x dy dx ∞ = n=0 (n + r)2 an xn+r−1 . Replacing m by n then yields ∞ x2 y = n=2 an−2 xn+r . ∞ Then dy (n + r)an xn+r−1 . (1. ∞ ∞ ∞ (n + r)2 an xn+r + n=0 n=2 an−2 xn+r − n=0 p2 an xn+r = 0. = dx n=0 d dx and thus x On the other hand. where we have set m = n + 2. ∞ ∞ x dy (n + r)an xn+r . 23 . This simpliﬁes to yield ∞ ∞ [(n + r)2 − p2 ]an xn+r + n=0 n=2 an−2 xn+r = 0. To ﬁnd such a solution. or after division by xr .

In the special case where p is a nonnegative integer. ⇒ (2p + 1)a1 = 0 ⇒ a1 = 0. The recursion formula implies that an = 0 if n is odd.21) ⇒ [n2 + 2np]an + an−2 = 0. we will get a genuine power series solution to Bessel’s equation (1. [(r +1)2 −p2 ]a1 = 0. The coeﬃcient of each power of x must be zero. If we set 1 a0 = p . 2!(p + 2)! and so forth. m!(p + m)! 24 . which implies that r = ±p. [(n+r)2 −p2 ]an +an−2 = 0 for n ≥ 2. Since we want a0 to be nonzero. 2 p! we obtain a2 = −a0 1 1 =− = (−1) 4p + 4 4(p + 1) 2p p! 1 −a2 = 8p + 16 8(p + 2) 1 2(p + 2) 1 2 p+4 p+2 1 2 1 . so (r2 −p2 )a0 = 0. r must satisfy the indicial equation (r2 − p2 ) = 0. 1!(p + 1)! a4 = = 1 2 p+2 1 = 1!(p + 1)! 1 2 p+4 1 = (−1)2 1!(p + 1)! 1 . The general term is a2m = (−1)m 1 2 p+2m 1 . 2np + n2 (1. Let us assume without loss of generality that p ≥ 0 and take r = p.17). [(n + p)2 − p2 ]an + an−2 = 0 which yields the recursion formula an = − 1 an−2 .Thus we ﬁnd that ∞ (r2 − p2 )a0 + [(r + 1)2 − p2 ]a1 x + n=2 {[(n + r)2 − p2 ]an + an−2 }xn = 0. Let us focus now on this important case. Then [(p + 1)2 − p2 ]a1 = 0 Finally.

3 For a very brief introduction to Mathematica. . Plot[ BesselJ[n. for n = 1. On the open interval 0 < x < ∞.1: Graph of the Bessel function J0 (x).x].3 Mathematica represents the Bessel functions of the ﬁrst kind symbolically by BesselJ[n. Thus when p is an integer. we can plot Jn (x). (m!)2 2 m=0 Using the comparison and ratio tests.2 2 -0.15}] and a plot similar to that of Figure 1.8 0. 15] one simply types in n=0. linearly independent from the Bessel function of the ﬁrst kind. Bessel’s equation has a two-dimensional space of solutions. Bessel functions are so important that Mathematica includes them in its library of built-in functions. {x. Thus to plot the Bessel function Jn (x) on the interval [0. 2. Bessel’s equation has a nonzero solution which is real analytic at x = 0.6 0. However. . the reader can refer to Appendix A. and is denoted by the symbol Jp (x). Note that the graph of J0 (x) suggests that it has inﬁnitely many positive zeros. Thus we ﬁnally obtain the power series solution y= x 2 p ∞ m=0 4 6 8 10 12 14 (−1)m 1 m!(p + m)! x 2 2m .4 Figure 1. we can show that the power series expansion for Jp (x) has inﬁnite radius of convergence.x].2 -0.0. The function deﬁned by the power series on the right-hand side is called the p-th Bessel function of the ﬁrst kind . Similarly. it turns out that when p is a nonnegative integer. 25 . 3 .1 0.1 will be produced.4 0. For example. . a second solution. ∞ x 2m 1 J0 (x) = (−1)m .

suppose that y1 (x) and y2 (x) is a basis for the solutions on the interval 0 < x < ∞.2 4 6 8 10 12 14 Figure 1. his solution is often denoted by Yp (x) and called the p-th Bessel function of the second kind . substitute into Bessel’s equation and solve for v(x).6 0. we can set y = v(x)Jp (x). and let W (y1 . we can. To obtain a basis for the space of solutions. this solution is not well-behaved near x = 0. y2 ) be their Wronskian. 26 . y2 (x) y2 (x) This Wronskian must satisfy the ﬁrst order equation d (xW (y1 . namely. cannot be obtained directly by the generalized power series method that we have presented.2 2 -0. we would obtain a second solution linearly independent from Jp (x).0. dx as one veriﬁes by a direct calculation: x d d d (xy1 y2 − xy2 y1 ) = y1 x (xy2 ) − y2 x (xy1 ) dx dx dx = −(x2 − n2 )(y1 y2 − y2 y1 ) = 0. apply the method of variation of parameters just as we did in the previous section for the Cauchy-Euler equation.4 0. If we were to carry this out in detail.2: Graph of the Bessel function J1 (x). y2 )(x) = y1 (x) y1 (x) . however. deﬁned by W (y1 . y2 )(x)) = 0. Unlike the Bessel function of the ﬁrst kind. Appropriately normalized. To see why.

an expression which is unbounded as x → 0. Hence the general solution to Bessel’s equation in this case is 1 1 y = c1 √ cos x + c2 √ sin x. y2 )(x) = c. x where c is a nonzero constant. The diﬀerential equation x2 d2 y dy − (x2 + p2 )y = 0 +x dx2 dx and d (xJ1 (x)) = xJ0 (x). Show that the functions 1 y1 (x) = √ cos x x are solutions to Bessel’s equation x d dx x dy dx + (x2 − p2 )y = 0.Thus c .4. Exercises: 1.2. dx is sometimes called a modiﬁed Bessel equation. Find a generalized power series solution to this equation in the case where p is an integer. (Hint: The power series you obtain should be very similar to the power series for Jp (x). y2 )(x) = • There is a one-dimensional space of real analytic solutions to (1.4. Let us summarize what we know about the space of solutions to Bessel’s equation in the case where p is an integer: xW (y1 . Using the explicit power series formulae for J0 (x) and J1 (x) show that d J0 (x) = −J1 (x) dx 1. x x 27 .4.17).3. • This one-dimensional space is generated by a function Jp (x) which is given by the explicit power series formula x Jp (x) = 2 p ∞ m=0 (−1)m 1 m!(p + m)! x 2 2m . It follows that two linearly independent solutions y1 (x) and y2 (x) to Bessel’s equation cannot both be well-behaved at x = 0.) 1. or W (y1 .1. and 1 y2 (x) = √ sin x x in the case where p = 1/2. which are well-behaved as x → 0.

it is convenient to use the gamma function deﬁned by ∞ Γ(x) = 0 tx−1 e−t dt. Show that Γ(1) = 1.1. Set a0 = 1 2p Γ(p + 1) . a. d. 28 .4. and use the recursion formula (1. Show that Γ(n + 1) = n! = n(n − 1) · · · 2 · 1.21) to obtain the following generalized power series solution to Bessel’s equation (1.4. c. To obtain a nice expression for the generalized power series solution to Bessel’s equation in the case where p is not an integer. when n is a positive integer. b. Use integration by parts to show that Γ(x + 1) = xΓ(x).17) for general choice of p: y = Jp (x) = x 2 p ∞ m=0 (−1)m 1 m!Γ(p + m + 1) x 2 2m .

1−λ 0 . an n × n matrix B = (b1 b2 · · · bn ) 29 . we could say that an n × n matrix A is symmetric if and only if x · (Ay) = (Ax) · y. An n × n matrix A is said to be symmetric if it is equal to its transpose AT . B T = B −1 .1 Eigenvalues of symmetric matrices Before proceeding further. On the other hand. an n × n real matrix B is orthogonal if its transpose is equal to its inverse. (2. Examples of symmetric matrices include 3−λ 6 5 a b c 1 3 6 b d e . and 3 1 5 0 8−λ c e f Alternatively. we need to review and extend some notions from vectors and matrices (linear algebra). equation (2. which the student should have studied in an earlier course. we will need the amazing fact that the eigenvalue-eigenvector problem for an n × n matrix A simpliﬁes considerably when the matrix is symmetric. Indeed.1) for every choice of n-vectors x and y. since x · y = xT y. which holds for all x and y if and only if A = AT . In particular. Alternatively.1) can be rewritten in the form xT Ay = (Ax)T y = xT AT y.Chapter 2 Symmetry and Orthogonality 2.

b2 . Note that since BT B = I ⇒ (det B)2 = (det B T )(det B) = det(B T B) = 1. the problem of ﬁnding eigenvalues and eigenvectors can be complicated. · · · . The points at which the maximum and minimum values are assumed can be found by the method of Lagrange multipliers (a method usually discussed in vector calculus courses). we can easily check that. We will see that these complications do not occur for symmetric matrices.is orthogonal if its column vectors b1 . We will assume the following two facts. b1 · bn = 0. Moreover. Using this latter criterion. which are proven rigorously in advanced courses on mathematical analysis: 1. . there may not be enough eigenvectors to construct a basis for R n . b2 · b2 = 1.1 Suppose that A is a symmetric n × n matrix with real entries. . . and sin θ cos θ 2/3 −2/3 1/3 are orthogonal. · bn · bn = 1. For each eigenvalue λi . b1 · b2 = 0. Spectral Theorem. 30 . Then its eigenvalues are real and eigenvectors corresponding to distinct eigenvectors are orthogonal. Recall that the eigenvalues of an n × n matrix A are the roots of the polynomial equation det(A − λI) = 0. because eigenvalues need not be real (but can occur in complex conjugate pairs) and in the “repeated root” case. 2. there is an n × n orthogonal matrix B of determinant one such that B −1 AB = B T AB is diagonal. · · · . bn satisfy the relations b1 · b1 = 1. the corresponding eigenvectors are the nonzero solutions x to the linear system (A − λI)x = 0. For a general n × n matrix with real entries. the determinant of an orthogonal matrix is always ±1. Sketch of proof: The reader may want to skip our sketch of the proof at ﬁrst. the matrices 1/3 2/3 2/3 cos θ − sin θ −2/3 −1/3 2/3 . . b2 · bn = 0. Any continuous function on a sphere (of arbitrary dimension) assumes its maximum and minimum values. returning after studying some of the examples presented later in this section. for example. 1 This is called the “spectral theorem” because the spectrum is another name for the set of eigenvalues of a matrix.

we look for “critical points” for the function H(x. λ) = H(x1 . x2 . x2 . In other words. The intersection S n−1 ∩ W is a sphere of dimension n − 2. Our approach consists of ﬁnding of ﬁnding the point on S n−1 at which the function f (x) = f (x1 . . or the points on the sphere at which the gradient of f is perpendicular to the sphere. and g(x1 . A = 21 · · · · an1 an2 · ann a short calculation shows that at the point where f assumes its maximum. x2 . ∂xi or equivalently. If we set a11 a12 · a1n a a22 · a2n . xn ) = xT x − 1. . . . λ) = f (x) − λg(x). .The equation of the sphere S n−1 in R n is x1 x x = 2 . Ax − λx = 0. . . · xn x2 + x2 + · · · + x2 = 1. where We let g(x) = g(x1 . . . . . x2 . . . . We also obtain the condition ∂H = −g(x) = 0. . xn ) = 0. xn . . Thus the point on the sphere at which f assumes its maximum is a unit-length eigenvector b1 . . . . . x2 . . the eigenvalue being the value λ1 of the variable λ. Let W be the “linear subspace” of R n deﬁned by the homogeneous linear equation b1 · x = 0. x2 . These are points at which ∇f (x1 . To ﬁnd this maximum using Lagrange multipliers. . xn ) = xT Ax assumes its maximum values. . so that the equation of the sphere is given by the constraint equation g(x) = 0. . these are the points on the sphere at which the gradient of f is a multiple of the gradient of g. ∂H = 2ai1 x1 + 2ai2 x2 + · · · + 2ain xn − 2λxi = 0. 31 . 1 2 n or xT x = 1. xn ) = λ∇g(x1 . ∂λ which is just our constraint. xn ).

we let g1 (x) = xT x − 1. · · · λn b2 · bn .2) which can be put together in a single matrix equation Ab1 or equivalently. · · · λn Ab2 · Abn = λ1 b1 λ2 b2 · λn bn .2) that Ax − λx = 0.We next use the method of Lagrange multipliers to ﬁnd a point on S n−1 ∩ W at which f assumes its maximum. Ax − λx − µb1 = 0. bn . b2 must be a unit-length eigenvector for A which is perpendicular to b1 . It follows from the constraint equation b1 · x = 0 that b1 · (Ax) = bT (Ax) = (bT A)x = (bT AT )x 1 1 1 = (Ab1 )T x = (λ1 b1 )T x = λ1 b1 · x = 0. . Hence it follows from (2. These eigenvectors satisfy the equations Ab1 = λ1 b1 . λ1 0 · 0 0 λ2 · 0 · 0 · 0 . b2 . Abn = λ2 bn . To do this. ∂xi or equivalently. diﬀerentiation shows that ∂H = 2ai1 x1 + 2ai2 x2 + · · · + 2ain xn − 2λxi − µbi = 0.. This time. Continuing in this way we ﬁnally obtain n mutually orthogonal unit-length eigenvectors b1 . . g2 (x) = b1 · x. µ) = f (x) − λg1 (x) − µg2 (x). . . Ab2 = λ2 b2 . The maximum value of f on S n−1 ∩ W will be assumed at a critical point for the function H(x. . λ. Thus if b2 is a point on S n−1 ∩ W at which f assumes its maximum. A b1 b2 · bn = b1 b2 · bn If we set B = b1 this last equation becomes λ1 0 AB = B · 0 32 0 λ2 · 0 · 0 · 0 .. (2. .

the method for ﬁnding the orthogonal matrix B such that B T AB is diagonal is relatively simple. However. Thus we are in the notorious “repeated root” case. which might be expected to cause problems if A were not symmetric. In the case of repeated roots. since A is symmetric. one good reference is Bill Jacob. so its eigenvalues must be real. which consists of the solutions to the linear system 5−1 4 0 b1 4 5−1 0 b2 = 0. A more complete proof of the theorem is presented in more advanced courses in linear algebra. 1990. New York. W. 0 0 1−1 b3 or 4b1 4b1 +4b2 +4b2 0 = 0. 0 λ2 · 0 · 0 · 0 .Of course. the Spectral Theorem guarantees that we can ﬁnd a basis for R 3 consisting of eigenvectors for A even when the roots are repeated. = 0. at least when the eigenvalues are distinct. see Chapter 5. we must be careful to choose a basis of unit-length eigenvectors for each eigenspace which are perpendicular to each other. · · · λn We can arrange that the determinant of B be one by changing the sign of one of the columns if necessary. Simply let B be the matrix whose columns are unit-length eigenvectors for A. B is an orthogonal matrix. H. Linear algebra.2 In any case. Example. We ﬁrst consider the eigenspace W1 corresponding to the eigenvalue λ1 = 1. or B AB = A=B · · · · · 0 0 · λn 0 we can solve for A. which has the roots λ1 = 1 with multiplicity two and λ2 = 9 with multiplicity one. The matrix 5 A = 4 0 5−λ 4 0 4 5−λ 0 0 0 1−λ 4 5 0 0 0 1 is symmetric. 2 There are many excellent linear algebra texts that prove this theorem in detail. Its characteristic equation is 0= = [(λ − 5)2 − 16](λ − 1) = (λ2 − 10λ + 9)(λ − 1) = (λ − 1)2 (λ − 9). = 0. Freeman. 33 . so it is invertible and obtaining λ1 0 · 0 λ1 0 λ2 · 0 −1 0 −1 B .

The coeﬃcient matrix of this linear system is 4 4 0 4 4 0 . 0 0 0 Applying the elementary row operations 4 4 0 1 1 4 4 0 → 4 4 0 0 0 0 0 Thus the linear system is equivalent to b1 + b2 0 0 = 0, = 0, = 0. to this matrix 0 1 0 → 0 0 0 yields 1 0 0 0 0 . 0

Thus W1 is a plane with equation b1 + b2 = 0. We need to extract two unit length eigenvectors from W1 which are perpendicular to each other. Note that since the equation for W1 is b1 + b2 = 0, the unit length vector √ 1 n=

2 1 √ 2

0 is perpendicular to W1 . Since √ 1 0 2 −1 b1 = 0 ∈ W1 , we ﬁnd that b2 = n × b1 = √2 ∈ W1 . 1 0 The vectors b1 and b2 are unit length elements of W1 which are perpendicular to each other. Next, we consider the eigenspace W9 corresponding to the eigenvalue λ2 = 9, which consists of the solutions to the linear system 5−9 4 0 b1 4 5−9 0 b2 = 0, 0 0 1−9 b3 or −4b1 4b1 +4b2 −4b2 = 0, = 0, = 0.

−8b3

The coeﬃcient matrix of this linear system is −4 4 0 4 −4 0 . 0 0 −8 34

Applying the elementary row operations to this matrix yields −4 4 0 1 −1 0 1 −1 4 −4 0 → 4 −4 0 → 0 0 0 0 −8 0 0 −8 0 0 1 −1 0 1 −1 0 → 0 0 0 → 0 0 1 . 0 0 1 0 0 0 Thus the linear system is equivalent to b1 − b2 b3 0 and we see that = 0, = 0, = 0,

0 0 −8

1 W9 = span 1 . 0 b3 =

1 √ 2 1 √ 2

We set

.

**0 Theory guarantees that the matrix 1 0 √2 −1 B = 0 √2 1 0
**

1 √ 2 1 √ 2

,

0

whose columns are the eigenvectors b1 , b1 , and b3 , will satisfy 1 0 0 B −1 AB = 0 1 0 . 0 0 9 Moreover, since the eigenvectors we have chosen are of unit length and perpendicular to each other, the matrix B will be orthogonal. Exercises: 2.1.1. Find a 2 × 2-matrix B such that B is orthogonal and B −1 AB is diagonal, where 5 4 A= . 4 5 2.1.2. Find a 2 × 2-matrix B such that B is orthogonal and B −1 AB is diagonal, where 3 4 A= . 4 9 35

2.1.3. Find a 3 × 3-matrix B such that B is orthogonal and B −1 AB is diagonal, where 5 4 0 A = 4 5 0 . 0 0 1 2.1.4. Find a 3 × 3-matrix B such that B where −1 A= 2 0 is orthogonal and B −1 AB is diagonal, 2 0 0 2 . 2 1

2.1.5. Show that the n × n identity matrix I is orthogonal. Show that if B1 and B2 are n × n orthogonal matrices, so is the product matrix B1 B2 , as well as the −1 inverse B1 .

2.2

Conic sections and quadric surfaces

The theory presented in the previous section can be used to “rotate coordinates” so that conic sections or quadric surfaces can be put into “canonical form.” A conic section is a curve in R 2 which is described by a quadratic equation, such as the equation ax2 + 2bx1 x2 + cx2 = 1, 1 2 where a, b and c are constants, which can be written in matrix form as x1 If we let A= we can rewrite (2.3) as xT Ax = 1, (2.4) x2 a b b c x1 x2 = 1. (2.3)

a b b c

and

x=

x1 x2

,

where A is a symmetric matrix. According to the Spectral Theorem from Section 2.1, there exists a 2 × 2 orthogonal matrix B of determinant one such that B −1 AB = B T AB = If we make a linear change of variables, x = By, 36 λ1 0 0 λ2 .

or equivalently. the conic is an hyperbola. it is easy to recognize the conic section: • If λ1 and λ2 are both positive. 37 . cos θ We must take the plus sign in this last expression.then since xT = yT B T . the conic degenerates to the the empty set. 2 2 λ1 y1 + λ2 y2 = 1. note that the ﬁrst column b1 of B is a unit-length vector. sin θ for some choice of θ. B takes the standard basis vectors for R2 to vectors which have been rotated counterclockwise through an angle θ. The second column b2 is a unit-vector perpendicular to b1 and hence − sin θ b2 = ± .5) In the new coordinate system (y1 . y1 y2 λ1 0 0 λ2 y1 y2 = 1. because the equation has no real solutions. In the case where λ1 and λ2 are both positive.5) as 2 y1 ( 1/λ1 )2 + 2 y2 ( 1/λ2 )2 = 1. The matrix B which relates x and y represents a rotation of the plane. equation (2. • If λ1 and λ2 have opposite signs. y2 ). x2 )-coordinates by simply rotating counterclockwise through the angle θ. Thus B 1 0 = cos θ . sin θ B 0 1 = − sin θ . we can rewrite (2. B= cos θ sin θ − sin θ cos θ must rotate every element of R 2 counterclockwise through an angle θ.3) is transformed into yT (B T AB)y = 1. cos θ or equivalently. from which we recognize that the semi-major and semi-minor axes of the ellipse are 1/λ1 and 1/λ2 . y2 )-coordinates. and can therefore be written in the form b1 = cos θ . the conic is an ellipse. because det B = 1. • If λ1 and λ2 are both negative. we can obtain the sketch in (x1 . Thus once we have sketched the conic in (y1 . (2. To see this. By linearity.

y2 ) by x1 x2 equation (2.Example. 1 2 or equivalently. 5 −3 −3 5 Note that B represents a counterclockwise rotation through 45 degrees. λ2 − 10λ + 16 = 0. 2 (1/ 2) (1/ 8)2 We recognize that this is the equation of √ ellipse.6) will simplify to y1 or 2 2 2y1 + 8y2 = =B y1 y2 . If we deﬁne new coordinates (y1 . 38 . The characteristic equation of the matrix A= is (5 − λ)2 − 9 = 0. Unit-length eigenvectors corresponding to these eigenvalues are √ √ 1/√2 −1/ 2 √ b1 = . 2 2 y1 y2 √ √ + = 1. The lengths of the semimajor an √ and semiminor axes are 1/ 2 and 1/(2 2). (λ − 2)(λ − 8) = 0.1 shows that these vectors are orthogonal to each other. x1 x2 5 −3 −3 5 x1 x2 (2. 1/ 2 1/ 2 The proof of the theorem of Section 2. y2 2 0 0 8 y1 y2 = 1. and hence the matrix √ √ 1/√2 −1/ 2 √ B= 1/ 2 1/ 2 is an orthogonal matrix such that B T AB = 2 0 0 8 . Let’s consider the conic 5x2 − 6x1 x2 + 5x2 = 1.6) = 1. b2 = . and the eigenvalues are λ1 = 2 and λ2 = 8.

Thus after a suitable linear change of coordinates. a31 a32 a33 x3 where the aij ’s are constants.7) becomes yT (B T AB)y = 1. x3 we can write this in matrix form xT Ax = 1.2 -0.7) can be put in the form λ1 0 y1 0 y1 y2 y3 0 λ2 0 y2 = 1.4 Figure 2. a33 x1 x = x2 . y3 0 0 λ3 39 . surfaces deﬁned by an equation of the form a11 a12 a13 x1 x1 x2 x3 a21 a22 a23 x2 = 1.4 0.2 0.0. We introduce new coordinates y1 by setting x = By.2 -0.4 -0. 1 2 The same techniques can be used to sketch quadric surfaces in R 3 . y = y2 y3 and equation (2. there is a 3 × 3 orthogonal matrix B of determinant one such that B T AB is diagonal. a11 A = a21 a31 If we let a12 a22 a32 a13 a23 . the equation (2.4 0.2 -0. (2.1: Sketch of the conic section 5x2 − 6x1 x2 + 5x2 − 1 = 0.7) According to the Spectral Theorem.

and λ3 are the eigenvalues of A. It is relatively easy to sketch the quadric surface in the coordinates (y1 . where λ1 . • If two of the λ’s are positive and one is negative. (2.8) In other words. if x is an eigenvector for B corresponding to the eigenvalue λ. • If λ1 . the quadric surface is an hyperboloid of two sheets. the quadric surface is an hyperboloid of one sheet. then λ2 (x · x) = (λx) · (λx) = (Bx) · (Bx) = x · x. multiplication by B preserves dot products. the equation represents the empty set. or 2 2 2 λ1 y1 + λ2 y2 + λ3 y3 = 1. y3 ). y2 . we ﬁnd that there are four cases: • If λ1 . note ﬁrst that since B is orthogonal. If the eigenvalues are all nonzero. • If two of the λ’s are negative and one is positive. It follows from this that the only real eigenvalues of B can be ±1. and λ3 are all negative. Indeed. and λ3 are all positive. (Bx) · (By) = xT B T By = xT Iy = x · y.5 0 -0. λ2 . 40 . λ2 . the orthogonal matrix B of determinant one which relates x and y represents a rotation. the quadric surface is an ellipsoid .2: An ellipsoid.4 1 0. λ2 .5 -1 -2 0 2 -4 -2 2 0 Figure 2. To see this. Just as in the case of conic sections.

In either case. non-real eigenvalues must occur in complex conjugate pairs. ⊥ we could say that {y. then B must be the identity. Since λ = ±1. we conclude that λ = 1 must occur as an eigenvalue also in this case. ⊥ Moreover. we cannot have Bz = −(− sin θy + cos θz). Bz must be a unit-length vector in W1 which is perpendicular to By and hence Bz = ±(− sin θy + cos θz). contradicting the fact that u ∈ W1 . On the other hand. 1 = det B = λ(µ + iν)(µ − iν) = λ(µ2 + ν 2 ). λ = 1 is an eigenvalue and W1 = {x ∈ R 3 : Bx = x} is nonzero. z be elements of W1 such that y · y = 1. (By) · (Bz) = 0. so if there is a nonreal eigenvalue µ + iν. in other words Bu = u. there is a one-dimensional subspace W1 of R 3 which is left ﬁxed under multiplication by B. Since det B = 1 and det B is the product of the eigenvalues. However. ⊥ Thus By must be a unit-length vector in W1 and there must exist a real number θ such that By = cos θy + sin θz.so division by x · x yields λ2 = 1. In this case. By (2. It is easily veriﬁed that if dim W1 is larger than one. Indeed. (By) · (By) = 1. λ = 1 must occur as an eigenvalue.8) that (By) · x = (By) · (Bx) = yT B T Bx = yT Ix = y · x = 0. ⊥ Let W1 denote the orthogonal complement to W1 . Let y. (Bz) · (Bz) = 1. it follows from (2. if all of the eigenvalues are real. 41 . y · z = 0. If x is a nonzero element ⊥ of W1 and y ∈ W1 . This is the axis of rotation.8). this would imply (via a short calculation) that the vector u = cos(θ/2)y + sin(θ/2)z ⊥ is ﬁxed by B. then there must be another non-real eigenvalue µ − iν together with a real eigenvalue λ. Thus if B = I. z · z = 1. ⊥ ⊥ so By ∈ W1 . Thus we must have Bz = − sin θy + cos θz. z} form an orthonormal basis for W1 .

2.2.3: Hyperboloid of one sheet. it is easily checked that y + iz and y − iz are eigenvectors for B with eigenvalues e±iθ = cos θ ± i sin θ. Suppose that A= 2 3 3 2 . which must be 1 and e±iθ ). Moreover. We can therefore conclude that a 3 × 3 orthogonal matrix B of determinant one represents a rotation about an axis (which is the eigenspace for eigenvalue one) and through an angle θ (which can be determined from the eigenvalues of B. 2 2. a.5 0 -0.5 -1 -1 0 1 Figure 2. b. Sketch the conic section 2(x1 − 1)2 + 6(x1 − 1)x2 + 2x2 = 1.1. Suppose that A= 2 −2 −2 5 . 42 . Sketch the conic section 2x2 + 6x1 x2 + 2x2 = 1. 1 2 c. ⊥ and multiplication by B must be a rotation in the plane W1 through an angle θ.2.1 0 -1 1 0. Exercises: 2. Find an orthogonal matrix B such that B T AB is diagonal.

1 2 d. Sketch the conic section 2x2 − 4x1 x2 + 5x2 = 1. 1 2 43 .2 2 0 -2 -2 -1 0 1 2 -2 -1 0 1 Figure 2. x2 + 4x1 x2 + 3x2 = 1. Find an orthogonal matrix B such that B T AB is diagonal. 1 2 2.4: Hyperboloid of two sheets. a. which are hyperbolas. etc.2. 1 2 2.2.: a. Determine which of the following conic sections are ellipses.4. 1 2 c. Sketch the conic section 4x2 + 4x1 x2 + x2 − 5x1 + 2 5x2 = 0. 1 2 c. b. Find the semi-major and semi-minor axes of the ellipse 5x2 + 6x1 x2 + 5x2 = 4.5. Sketch the conic section 2x2 − 4x1 x2 + 5x2 − 4x1 + 4x2 = −1.3. −3x2 + 6x1 x2 − 4x2 = 1. √ √ b. a. −x2 + 4x1 x2 − 3x2 = 1. x2 + 6x1 x2 + 10x2 = 1. 1 2 2. 1 2 b.2. Suppose that A= 4 2 2 1 . Find an orthogonal matrix B such that B T AB is diagonal.

· · · . x2 + x2 + x2 + 4x1 x2 + 2x3 = 0. .6. We would like to extend this formula to the case where the standard basis {i. b. a. k} for R 3 is replaced by a more general “orthonormal basis. Determine the angle of rotation. .8.2. x2 − x2 − x2 − 6x2 x3 = 1. c = v · k. Suppose that 0 A= 2 0 2 3 0 0 0 . .2. j. which are hyperboloids of one sheet. A collection of n vectors b1 . 2. b1 · bn = 0. b.3 Orthonormal bases Recall that if v is an element of R 3 . Thus multiplication by B is rotation about some axis through some angle. x2 + x2 − x2 − 6x1 x2 = 1. where a = v · i. Determine which of the following quadric surfaces are ellipsoids. b2 . b2 · bn = 0. b1 · b2 = 0. 9 a. Find an orthogonal matrix B such that B T AB is diagonal. · bn · bn = 1. 1 2 3 2. we can express it with respect to the standard basis as v = ai + bj + ck.” Deﬁnition. b = v · j.9) 44 . Show that the matrix 2/3 2/3 1/3 1/3 B = −2/3 2/3 2/3 −1/3 −2/3 is an orthogonal matrix of deteminant one.: a. which are hyperboloids of two sheets. 1 2 3 c. Find a nonzero vector which spans the axis of rotation. (2. bn in R n is an orthonormal basis for R n if b1 · b1 = 1. b2 · b2 = 1. 1 2 3 b.7. . c. Sketch the quadric surface 4x1 x2 + 3x2 + 9x2 = 1.2.2. · · · . etc. 2 3 2.

10) we simply dot both sides with the vector bi and use (2. dy2 /dt = λ2 y2 . . .9) to conclude that ci = bi · f . dt y1 0 0 y2 . 45 . B −1 AB = · · · 0 0 · · · λn If we set x = By. (2. . the Spectral Theorem of Section 2. . then B dy dx = = Ax = ABy dt dt ⇒ dy = B −1 ABy. Since A is symmetric. cn so that f = c1 b1 + c2 b2 + · · · + cn bn . . j. bn : to ﬁnd constants c1 .From the discussion in Section 2. . (2. This formula can be helpful in solving the initial value problem dx = Ax.1. c2 .1 guarantees that the eigenvalues of A are real and that we can ﬁnd an n × n orthogonal matrix B such that λ1 0 · · · 0 0 λ2 · · · 0 . b2 . It is relatively easy to express an arbitrary vector f ∈ R n in terms of an orthonormal basis b1 . . we have · · = · dyn /dt 0 yn 0 λ2 · 0 ··· ··· ··· so that the matrix diﬀerential equation decouples into n noninteracting scalar diﬀerential equations dy1 /dt = λ1 y1 . (2. In other words. then f ∈ Rn ⇒ f = (f · b1 )b1 + · · · + (f · bn )bn . k}. if b1 . bn is an orthonormal basis for R n .12) in the case where A is a symmetric n × n matrix and f is a constant vector. dt x(0) = f . . . we recognize that the term orthonormal basis is just another name for a collection of n vectors which form the columns of an orthogonal n × n matrix. . · · λn yn Thus in terms of the new variable y1 dy1 /dt λ1 y2 dy2 /dt 0 y = . · dyn /dt = λn yn .11) a generalization of the formula we gave for expressing a vector in R 3 in terms of the standard basis {i. . . b2 .

Transferring back to our original variable x yields λ t c1 e 1 c2 eλ2 t λ1 t λ2 t λn t x=B · = c1 b1 e + c2 b2 e + · · · + cn bn e .1 that A has the eigenvalues λ1 = 1 with multiplicity two and λ2 = 9 with multiplicity one. It is here that our formula (2. using it we obtain x = (f · b1 )b1 eλ1 t + · · · + (f · bn )bn eλn t . c3 e9t 46 . Note that x(0) = c1 b1 + c2 b2 + · · · + cn bn . the orthogonal matrix 1 1 0 √2 √2 −1 1 B = 0 √2 √2 1 0 0 has the property that 1 B −1 AB = 0 0 0 1 0 0 0 .11) comes in handy. . . . . 5 0 x. c2 . b2 . Moreover. . obtaining the general solution λ t c1 e 1 y1 y2 c2 eλ2 t y= = · · . . cn are constants of integration. . cn eλn t where b1 . where f= 0 1 4 We saw in Section 2. 9 Thus the general solution to the matrix diﬀerential equation dx/dt = Ax is c1 et x = B c2 et = c1 b1 et + c2 b2 et + c3 b3 e9t . . c2 . . we need to determine the constants c1 .12).We can solve these equations individually. . yn cn eλn t where c1 . To ﬁnish solving the initial value problem (2. Example. bn are the columns of B. cn so that c1 b1 + c2 b2 + · · · + cn bn = f . Suppose 5 dx = 4 dt 0 we want to solve the initial value problem 4 0 3 1 . . x(0) = f . .

1 0 0 Exercise: 2. Find the solution to the initial value problem 1 3 dx = Ax.3. Find an orthogonal matrix B such that B −1 AB is diagonal. c2 = √2 · 1 = 2. we employ (2. dt e. 4 0 Hence the solution is √ √ 1 1 0 2 2 √ √ −1 1 x = 4 0 et + 2 √2 et + 2 2 √2 e9t .where 0 b1 = 0 . 0 dt 2 47 . d.1. 2 √ 1 1 b3 = √2 . Find the general solution to the matrix diﬀerential equation dx = Ax. Find an orthonormal basis for R 4 consisting of eigenvectors of A. c. Find the eigenvalues of the symmetric matrix 5 4 0 0 4 5 0 0 A= 0 0 4 2 . 0 0 2 1 b.11) to see that √ 1 0 3 3 2 √ −1 c1 = 0 · 1 = 4. To solve the initial value problem.a. 0 2 Setting t = 0 in our expression for x yields x(0) = c1 b1 + c2 b2 + c3 b3 . 1 √ 1 b2 = 0 2 −1 √ . 1 4 4 0 √ 1 3 2 √ 1 c3 = √2 · 1 = 2 2. x(0) = .

2.3.2.a. Find the eigenvalues of the symmetric matrix −3 2 0 A = 2 −4 2 . 0 2 −5 (Hint: To ﬁnd roots of the cubic, try λ = 1 and λ = −1.) b. Find an orthogonal matrix B such that B −1 AB is diagonal. c. Find an orthonormal basis for R 3 consisting of eigenvectors of A. d. Find the general solution to the matrix diﬀerential equation dx = Ax. dt e. Find the solution to the initial value problem 1 dx = Ax, x(0) = 2 . dt 0 2.3.3. (For students with access to Mathematica) a. Find the eigenvalues of the matrix 2 1 1 A = 1 3 2 1 2 4 by running the Mathematica program a = {{2,1,1},{1,3,2},{1,2,4}}; Eigenvalues[a] The answer is so complicated because Mathematica uses exact but complicated formulae for solving cubics discovered by Cardan and Tartaglia, two sixteenth century Italian mathematicians. b. Find numerical approximations to these eigenvalues by running the program Eigenvalues[N[a]] The numerical values of the eigenvalues are far easier to use. c. Use Mathematica to ﬁnd numerical values for the eigenvectors for A by running the Mathematica program Eigenvectors[N[a]] and write down the general solution to the matrix diﬀerential equation dx = Ax. dt 48

1

Figure 2.5: Two carts connected by springs and moving along a friction-free track.

2.4

Mechanical systems

Mechanical systems consisting of weights and springs connected together in an array often lead to initial value problems of the type d2 x = Ax, dt2 x(0) = f , dx = 0, dt (2.13)

where A is a symmetric matrix and f is a constant vector. These can be solved by a technique similar to that used in the previous section. For example, let us consider the mechanical system illustrated in Figure 2.5. Here we have two carts moving along a friction-free track, each containing mass m and attached together by three springs, with spring constants k1 , k2 and k3 . Let x1 (t) x2 (t) F1 F2 = the position of the ﬁrst cart to the right of equilibrium, = the position of the second cart to the right of equilibrium, = force acting on the ﬁrst cart, = force acting on the second cart,

with positive values for F1 or F2 indicating that the forces are pulling to the right, negative values that the forces are pulling to the left. Suppose that when the carts are in equilibrium, the springs are also in equilibrium and exert no forces on the carts. In this simple case, it is possible to reason directly from Hooke’s law that the forces F1 and F2 must be given by the formulae F1 = −k1 x1 + k2 (x2 − x1 ), F2 = k2 (x1 − x2 ) − k3 x2 ,

but it becomes diﬃcult to determine the forces for more complicated mechanical systems consisting of many weights and springs. Fortunately, there are some simple principles from physics which simply the procedure for ﬁnding the forces acting in such mechanical systems.

49

The easiest calculation of the forces is based upon the notion of work . On the one hand, the work required to pull a weight to a new position is equal to the increase in potential energy imparted to the weight. On the other hand, we have the equation Work = Force × Displacement, which implies that Force = Work Change in potential energy =− . Displacement Displacement

Thus if V (x1 , x2 ) is the potential energy of the conﬁguration when the ﬁrst cart is located at the point x1 and the second cart is located at the point x2 , then the forces are given by the formulae F1 = − ∂V , ∂x1 F2 = − ∂V . ∂x2

In our case, the potential energy V is the sum of the potential energies stored in each of the three springs, V (x1 , x2 ) = 1 1 1 k1 x2 + k2 (x1 − x2 )2 + k3 x2 , 1 2 2 2 2

and hence we obtain the formulae claimed before: F1 = − ∂V = −k1 x1 + k2 (x2 − x1 ), ∂x1 ∂V = k2 (x1 − x2 ) − k3 x2 . ∂x2

F2 = −

It now follows from Newton’s second law of motion that Force = Mass × Acceleration, and hence d2 x1 d2 x2 , F2 = m 2 . dt2 dt Thus we obtain a second-order system of diﬀerential equations, F1 = m m d2 x1 = −k1 x1 + k2 (x2 − x1 ) = −(k1 + k2 )x1 + k2 x2 , dt2

d2 x2 = k2 (x1 − x2 ) − k3 x2 = k2 x1 − (k2 + k3 )x2 . dt2 We can write this system in matrix form as m m d2 x = Ax, dt2 where A= −(k1 + k2 ) k2 k2 −(k2 + k3 ) 50 . (2.14)

will diagonalize our system of diﬀerential equations. whose columns are b1 and b2 . −2 − λ 1 1 −2 − λ = (λ + 2)2 − 1 = 0.14) becomes d2 x = dt2 −2 1 1 x. we must solve the characteristic equation det which yields λ = −2 ± 1. and λ2 = −3. x2 2 Example. . −2 (2. x2 ) = − x1 x2 A 1 . The eigenspace corresponding to the eigenvalue −1 is W−1 = {b ∈ R2 : (A + I)b = 0} = . = span 1 1 . 51 . Let us consider the special case of the mass-spring system in which m = k1 = k2 = k3 = 1. The potential energy is given by the expression 1 x V (x1 .1 that the eigenspace corresponding to the other eigenvalue is just the orthogonal complement W−3 = span −1 1 . b2 = 1/ 2 1/ 2 The theorem of Section 2. The eigenvalues in this case are λ1 = −1. It follows from the argument in Section 2. so that the system (2. Unit length eigenvectors lying in the two eigenspaces are √ √ 1/√2 −1/ 2 √ b1 = .15) To ﬁnd the eigenvalues.Note that A is indeed a symmetric matrix. . 1/ 2 1/ 2 .1 guarantees that the matrix √ √ 1/√2 −1/ 2 √ B= .

where A = 1 −2 1 .5 in the case where k1 = 4 and m = k2 = k3 = 1. Find the general solution to this system.5 in the case where m = k1 = k2 = k3 = k4 = 1. dt2 0 1 −2 52 and ω2 .1. of frequencies ω1 2π Exercises: 2. In the original coordinates. Consider the mass-spring system with two carts illustrated in Figure 2. 2π . The motion of the carts can be described as a general superposition of two modes of oscillation. x2 y2 1/ 2 1/ 2 our system of diﬀerential equations transforms to d2 y1 /dt2 d2 y2 /dt2 We set ω1 = 1 and ω2 = √ = −y1 . a system of two noninteracting harmonic oscillators.4. . = −3y2 . 3.Indeed. What are the frequencies of vibration of this mass-spring system? 2. x = b1 (a1 cos ω1 t + b1 sin ω1 t) + b2 (a2 cos ω2 t + b2 sin ω2 t).15) is √ √ x1 1/√2 −1/ 2 a1 cos ω1 t + b1 sin ω1 t √ x= = a2 cos ω2 t + b2 sin ω2 t x2 1/ 2 1/ 2 or equivalently. the general solution to (2. y2 = a2 cos ω2 t + b2 sin ω2 t. 0. Show that the motion of this system is described by the matrix diﬀerential equation −2 1 0 d2 x = Ax.a. b. so that this system assumes the familiar form 2 d2 y1 /dt2 + ω1 y1 2 2 2 d y2 /dt + ω2 y2 = = 0.4. Write down a system of secondorder diﬀerential equations which describes the motion of this system. c. y2 ) by setting √ √ x1 1/√2 −1/ 2 y1 √ = .2. Consider the mass-spring system with three carts illustrated in Figure 2.a. The general solution to the transformed system is y1 = a1 cos ω1 t + b1 sin ω1 t. if we deﬁne new coordinates (y1 .

dt 2.Figure 2. d. For 53 . Find the solution to the initial value problem 1 2 d x = Ax. Find the general solution to the matrix diﬀerential equation d2 x = Ax. dt2 f.4. b.3. x(0) = 2 . e. we can consider more complicated systems consisting of many masses and springs. dt2 0 dx (0) = 0. What are the frequencies of oscillation of a mechanical system which is governed by the matrix diﬀerential equation d2 x = Ax? dt2 2. c.a.6: Three carts connected by springs and moving along a friction-free track. Find an orthogonal matrix B such that B −1 AB is diagonal. Find the eigenvalues of the symmetric matrix −2 1 0 0 1 −2 1 0 .5 Mechanical systems with many degrees of freedom* Using an approach similar to the one used in the preceding section. A= 0 1 −2 1 0 0 1 −2 b. Find an orthonormal basis for R 3 consisting of eigenvectors of A. Find the eigenvalues of the symmetric matrix A.

for 1 ≤ i ≤ n. xn ) = − kxT Ax.7: A circular array of carts and springs.+ k(xn −xn−1 )2 2 2 2 2 −2 1 0 ··· 1 x1 1 −2 1 · · · 0 x2 0 1 −2 · · · 0 x3 . . . . 2 i=1 j=1 54 n n . we could consider the box spring underlying the mattress in a bed. We choose a positive direction along the track and let xi denote the displacement of the i-th cart out of equilibrium position in the positive direction. a system of n carts containing identical weights of mass m and connected by identical springs of spring constant k. example. . it is still possible to use symmetries in the box spring to simplify the calculations. Although such a box spring contains hundreds of individual springs. A= −2 1 0 · 1 1 −2 1 · 0 0 1 −2 · 0 ··· ··· ··· ··· ··· 1 0 0 · −2 . x2 x3 · xn · · · ··· · · 1 0 0 · · · −2 xn 1 V (x1 . and hence the matrix A in the corresponding dynamical system constains hundreds of rows and columns. and make the problem of determining the “natural frequencies of vibration” of the mattress into a manageable problem. . . To illustrate how the symmetries of a problem can make it much easier to solve. . .6. 1 =− k 2 x1 We can write this as x= or equivalently as where 1 V (x1 . . moving along a circular friction-free track as sketched in Figure 2. let us consider a somewhat simpler problem. xn ) = 1 1 1 1 k(xn −x1 )2 + k(x2 −x1 )2 + k(x3 −x2 )2 +.Figure 2. . . . . xn ) = − k aij xi xj . The potential energy stored in the springs is V (x1 . . 2 x1 x2 x3 · xn .

shifting them to the right by one. xn = y1 . xn−1 = yn . x = T y. ∂xi j=1 which could be rewritten in matrix form as F = kAx. To simplify the calculation of the eigenvalues of this matrix. j)-component of the matrix A. x2 = y3 . lew us deﬁne new coordinates (y1 .16) where A is the symmetric matrix given above.17) d2 x = F..where aij denotes the (i.18) . . Indeed. Thus for example. . F1 = − ∂V 1 1 = k a1j xj + k ai1 xi = k a1j xj . T = 0 0 0 · 0 1 1 0 0 · 0 0 0 1 0 · 0 0 ··· ··· ··· ··· ··· ··· 0 0 0 · 1 0 . the other carts being held ﬁxed. ∂x1 2 j=1 2 i=1 j=1 n n n the last step obtained by using the symmetry of A. Just as in the preceding section. we make use of the fact that the carts are identically situated—if we relabel the carts. To ﬁnd the frequencies of vibration of our mechanical system. we need to ﬁnd the eigenvalues of the n × n matrix A.16) yields m d2 x = kAx dt2 or d2 x k = Ax. or in matrix terms. . we obtain the result: n ∂V Fi = − =k aij xj . 2 dt m 55 (2. dt2 m (2. where Then y satisﬁes exactly the same system of diﬀerential equations as x: d2 y k = Ay. the dynamical system remains unchanged. . m Substitution into (2. In general. by Newton’s second law of motion. yn ) by setting x1 = y2 . . the force acting on the i-th cart can be calculated as minus the derivative of the potential energy with respect to the position of the i-th cart. dt2 (2. On the other hand. ..

18) yields A = T −1 AT. If we set x1 = 1. the components of x must satisfy the vector equation T x = λx. · η (n−1)j for the eigenvalue η j . Indeed. if x is an eigenvector for T corresponding to the eigenvalue λ. yielding ﬁnally the equation x1 = λn x1 . x3 = λx2 . xn = λxn−1 . . x1 = λxn . xn = η (n−1)j . d2 x k = Ax 2 dt m ⇒ T d2 y k = AT y 2 dt m or d2 y k = T −1 AT y. In other words the matrices A and T commute. or T A = AT. x3 = η 2j . each eigenspace is one-dimensional. 2 dt m Comparison with (2... 56 . . Thus the solutions to (2. xn = λn xn . In terms of components. and similarly [(e2πi/n )j ]n = 1. we do indeed have an eigenvector 1 ηj ej = η 2j . This equation is easily solved via Euler’s formula: 1 = e2πi ⇒ (e2πi/n )n = 1. we can conclude from (2.20) are λ = ηj . . Similarly. x4 = λ3 x1 .19) Thus x3 = λ2 x1 . thereby obtaining a nonzero solution to the eigenvector equation. . (2. x2 = λn x2 . Moreover. Since at least one of the xi ’s is nonzero.20) for 0 ≤ j ≤ n − 1.21) For each choice of j.On the other hand. . 0 ≤ j ≤ n − 1.. . we must have λn = 1. (2. Thus for each j.. . the vector equation becomes x2 = λx1 . we can try to ﬁnd eigenvectors corresponding to η j . . and so forth. where η = e2πi/n . (2. Now it is quite easy to solve the eigenvector-eigenvalue problem for T .19) that x2 = η j . for 0 ≤ j ≤ n − 1.

of course. It follows from the familiar formula cos(2α) = cos2 α − sin2 α that λj = −2 + 2[cos(πj/n)]2 − 2[sin(πj/n)]2 = −4[sin(πj/n)]2 . where we have used Euler’s formula once again. T (Aej ) = A(T ej ) = A(η j ej ) = η j (Aej ). we need to solve the eigenvalue-eigenvector problem for A. since A and T commute. for some number λj . It is not diﬃcult to verify that 1 cos(πj/n) 1 cos(2πj/n) (ej + en−j ) = 2 · cos((n − 1)πj/n) and 0 sin(πj/n) i sin(2πj/n) (ej − en−j ) = 2 · sin((n − 1)πj/n) 57 . we simply act on ej by A: we ﬁnd that the ﬁrst component of the vector Aej = λj ej is −2 + η j + η (n−1)j = −2 + (e2πij/n + e−2πij/n ) = −2 + 2 cos(2πj/n). Since the eigenspaces of T are all one-dimensional. to the eigenspace corresponding to j = n/2.In the dynamical system that we are considering. Aej = λj ej . and this equation states that Aej is an eigenvector for T with the same eigenvalue as ej . If j = 0 and j = n/2. so we immediately conclude that λj = −2 + 2 cos(2πj/n). however. Note that λj = λn−j . ej and en−j form a basis for the eigenspace corresponding to eigenvalue λj . the eigenvectors for T are also eigenvectors for A. and hence the eigenspaces for A are two-dimensional. On the other hand. which is one-dimensional. in other words. Thus in the special case where n is odd. and if n is even. not for T . since AT = T A. the ﬁrst component of ej is 1. all the eigenspaces are two-dimensional except for the eigenspace with eigenvalue λ0 = 0. Indeed. Aej must be a multiple of ej . To ﬁnd the eigenvalues λj for A. Fortunately. except for the eigenspace corresponding to j = 0.

17) as (n−1)/2 x = e0 (a0 + b0 t) + j=1 1 (ej + en−j )(aj cos ωj t + bj sin ωj t) 2 i (ej − en−j )(cj cos ωj t + dj sin ωj t). the lowest nonzero frequency of oscillation would approach one as n → ∞. Let ωj = −λj = 2 sin(πj/n). 2 (n−1)/2 + j=1 The motion of the system can be described as a superposition of several modes of oscillation. we can write the general solution to our dynamical system (2. Find the eigenvalues of the matrix 0 1 0 0 0 1 0 0 0 T = · · · 0 0 0 1 0 0 0 0 0 · 1 0 k sin(πj/n) . = = ⇒ = .5. π π n 2π mn so if we were to set k/m = n2 . the frequencies of oscillation being ωj = 2π Note that the component 1 1 e0 (a0 + b0 t) = 1 (a0 + b0 t) · 1 corresponds to a constant speed motion of the carts around the track. m π ··· ··· ··· ··· ··· ··· 58 . π/n k 1 1 ω1 .form a real basis for this eigenspace.1. In the case where n is odd. Exercise: 2. If n is large. sin(π/n) .

{j.7.n-1} . so that k/m = n2 .0].8: A linear array of carts and springs. 59 . Just as in the preceding section. m = Table[Max[2-Abs[i-j]. by expanding the determinant −λ 0 0 · 0 1 1 −λ 0 · 0 0 0 1 −λ · 0 0 ··· ··· ··· ··· ··· ··· 0 0 0 . we can show that the carts will move in accordance with the linear system of diﬀerential equations d2 x k = Ax = P x. · 1 −λ 2.6 A linear array of weights and springs* Suppose more generally that a system of n − 1 carts containing identical weights of mass m. and connected by identical springs of spring constant k.n-1} ]. as shown in Figure 2. p = m . {i. We take k = n and m = (1/n). are moving along a friction-free track. We can use the following Mathematica program to ﬁnd the eigenvalues of the n × n matrix A.4 IdentityMatrix[n-1]. when n = 6: n = 6.Figure 2. 2 dt m where P = −2 1 0 · 0 1 −2 1 · 0 0 1 −2 · · ··· ··· ··· ··· ··· 0 0 · · −2 .

eval = Eigenvalues[N[a]]. the smallest eigenvalue seems to approach −π 2 and the plot of the smallest eigenvector looks more and more like a sine curve.n-1} ].n-1} . or n = 60 by simply replacing 6 in the top line with the new value of n. ListPlot[evec[[n-1]]]. evec = Eigenvectors[N[a]]. 2 − |i − j| = 1 if j = i ± 1 ≤0 otherwise. p = m . m = Table[Max[2-Abs[i-j]. we will see that as n gets larger. n = 26. the last line ﬁnds the eigenvalues of A. 60 .{j. If you run this program. · ··· · · ··· 2 the ﬁrst line of the program generates 2 1 1 2 M = 0 1 · · 0 0 The next two lines generate the matrices P and A = n2 P .0]. we can consider this array of springs and weights as a model for a string situated along the x-axis and free to stretch to the right and the left along the x-axis. When n is large. the (n − 1) × (n − 1)-matrix 0 ··· 0 1 ··· 0 2 ··· · . If we experiment with this program using diﬀerent values for n. you will note that all the eigenvalues are negative and that Mathematica provides the eigenvalues in increasing order. A more realistic model would allow the carts to move in all three directions. We can also modify the program to ﬁnd the eigenvalues of the matrix when n = 12. The track on which the cart runs restricts the motion of the weights to be only in the x-direction. Thus the fundamental frequency of the mechanical system seems to approach π/2π = 1/2 and the oscillation in the fundamental mode appears more and more sinusoidal in shape.a = n∧2 p eval = Eigenvalues[N[a]] Since = 2 if j = i. Finally. a = n∧2 p. This would require new variables yi and zi such that yi (t) = the y-component of displacement of the i-th weight.4 IdentityMatrix[n-1]. {i. zi (t) = the z-component of displacement of the i-th weight. Print[eval[[n-1]]]. We can further modify the program by asking for only the smallest eigenvalue lambda[[n]] and a plot of the corresponding eigenvector: n = 14.

1 -0. y and z would satisfy the matrix diﬀerential equations dx k = Ax. dt m dz k = Az. Using a similar approach. · zn then an argument similar to the one given above would show that the vectors x.14 40 60 80 100 Figure 2.or three-dimensional array. · xn x1 x y = 2 .20 -0.04 -0. · xn z1 z z = 2 . we could consider even more complicated systems consisting of many masses and springs connected in a two.06 -0. dt m and each of these could be solved just as before. dt m dy k = Ay. If we were to set x1 x x = 2 .9: Shape of the fundamental mode (n=100).02 -0.12 -0. 61 .08 -0.

For example. Just as a prism or a spectrograph is an experimental apparatus for dividing light into its components of various frequencies. including water waves.” This idea is the key to image compression.Chapter 3 Fourier Series 3. Boston. Suppose. A wavelet tour of signal processing. 1998. but for many other purposes as well. useful not only as a tool for solving partial diﬀerential equations.1 Fourier series The theory of Fourier series and the Fourier transform is concerned with dividing a function into a superposition of sines and cosines. Indeed. The light is a superposition of many frequencies which encode information regarding the material which makes up the stars of the galaxy. Joseph Fourier’s original investigations which led to the theory of Fourier series were motivated by an attempt to understand heat ﬂow.1 Nowadays. y) representing the darkness at the point (x. a black and white photograph could be represented by a function f (x. and so forth. for example. In the following chapter. as we will see in the next two chapters. e St´phane Mallat. we will describe how the theory of Fourier series can be used to analyze the ﬂow of heat in a bar and the motion of a vibrating string. the speed with which the galaxy is receding from the earth. It is a crucial tool for understanding waves. Academic Press. the notion of dividing a function into its components with respect to an appropriate “orthonormal basis of functions” is one of the key ideas of applied mathematics. e 62 . sound waves and light waves. that the function f (t) represents the amplitude of a light wave arriving from a distant galaxy. y) of two variables. Much of our knowledge of the universe is derived from analyzing the spectra of stars and galaxies. y).2 1 Fourier’s 2 See research was published in his Th´orie analytique de la chaleur in 1822. f (x. y) with respect to a well-chosen “wavelet basis. its components of various frequencies. its speed of rotation. The photograph can be stored eﬃciently by determining the components of f (x. so Fourier analysis is a mathematical technique which enables us to decompose an arbitrary function into a superposition of oscillations. which can be used to send pictures quickly over the internet.

Thus f (t) = sin t is periodic of period 2π. . . . . + −π b1 sin tdt + −π b2 sin 2tdt + .We turn now to the basics of Fourier analysis in its simplest context. . the functions cos( 2πkt ) T and sin( 2πkt ) T are also periodic functions of period T .. For simplicity. 2 T T T T (3. so that a0 f (t) = + a1 cos t + a2 cos 2t + . it is easy to construct examples of functions which are periodic of period T —indeed. The main theorem from the theory of Fourier series states that any “wellbehaved” periodic function of period T can be expressed as a superposition of sines and cosines: f (t) = a0 2πt 4πt 2πt 4πt + a1 cos( ) + a2 cos( ) + . . . Our ﬁrst goal is to determine how to calculate these Fourier coeﬃcients.1) In this formula. + b1 sin( ) + b2 sin( ) + . the function f (t) = sin( 2πt ) is periodic T of period T because sin( 2π(t + T ) 2πt 2πt ) = sin( + 2π) = sin( ). for all t ∈ R . and the inﬁnite series on the right-hand side is called the Fourier series of f .. . (3. we will restrict our attention to the case where the period T = 2π. + b1 sin t + b2 sin 2t + . The coeﬃcient a0 is particularly easy to evaluate.2) 2 The formulae for a general period T are only a little more complicated. 63 . We simply integrate both sides of (3. we conclude that π −π f (t)dt = πa0 .2) from −π to π: π π f (t)dt = −π −π a0 dt + 2 π π −π π a1 cos tdt + π −π a2 cos 2tdt + . Since the integral of cos kt or sin kt over the interval from −π to π vanishes. . and are based upon exactly the same ideas. . . A function f : R → R is said to be periodic of period T if it satisﬁes the relation f (t + T ) = f (t). T T T More generally. . . the ak ’s and bk ’s are called the Fourier coeﬃcients of f . if k is any positive integer. Given an arbitrary period T .

5) π sin nt cos mtdt = 0. 2 1 2 π −π cos nt cos mtdt = −π (cos((n + m)t) + cos((n − m)t))dt. for m = n. we obtain cos((n + m)t) + cos((n − m)t) = 2 cos nt cos mt. for m = n.5) and (3.3) To ﬁnd the other Fourier coeﬃcients. for m = n. for m = n. we will need some integral formulae. We claim that if m and n are positive integers.6) in the exercises at the end of this section. The reader is asked to verify the other two integral formulae (3. π cos nt cos mtdt = −π π. We will use the trigonometric identities cos((n + m)t) = cos nt cos mt − sin nt sin mt. −π (3. Adding these together. −π if k = 0. 64 . 0. or cos nt cos mt = Hence π 1 (cos((n + m)t) + cos((n − m)t)). π and since π cos(kt)dt = −π 1 sin(kt) k = 0. −π (3. for m = n. 0. for m = n. obtaining a0 = 1 π π f (t)dt. cos((n − m)t) = cos nt cos mt + sin nt sin mt.4) π sin nt sin mtdt = −π π. 0.6) Let us verify the ﬁrst of these equations.and we can solve for a0 . (3. we conclude that π cos nt cos mtdt = −π π. (3.

bj sin jt cos ktdt + . −π (3.. and (3.2) by sin kt and integrate from −π to π: π π f (t) cos ktdt = −π −π a0 cos ktdt + 2 π π −π a1 cos t cos ktdt + . Let us use formulae (3. −π 0 π m πm 1 π 0 −π f (t) sin mtdt = −π −π sin mtdt + 1 π π π sin mtdt 0 65 . + −π According to our formulae (3.8) to ﬁnd the Fourier coeﬃfor −π < t < 0. . there is only one term which survives: π π f (t) cos ktdt = −π −π ak cos kt cos ktdt = πak .8) Example.7) A very similar argument yields the formula bk = 1 π π f (t) sin ktdt. .To ﬁnd the formula for the Fourier coeﬃcients ak for k > 0. . +..6). for t = 0. −π (3.4) and (3. . We can easily solve for ak : ak = 1 π π f (t) cos ktdt. + −π π ak cos kt cos ktdt + .. 0. f (t) = π. (3. . 2 and am = 1 π π 0 −π π f (t) cos mtdt = −π 1 π −π cos mtdt + 1 π π cos mtdt 0 = while bm = 1 π π 1 −π 1 π [sin mt]0 + [sin mt]π = · · · = 0. for 0 < t < π.7). cients of the function −π. +. π. .3). extended to be periodic of period 2π. we multiply both sides of (3.. . Then a0 = average value of f = 0.

3 5 4 4 sin 3t + sin 5t 3 5 are approximations to f (t) which improve as the number of terms increases. 1 π 1 −π 2 2 [cos mt]0 + [cos mt]π = − cos mπ −π 0 πm π m m m = 2 (1 − (−1)m ) = m 4 m. Thus we ﬁnd the Fourier series for f : f (t) = 4 sin t + The trigonometric polynomials φ1 (t) = 4 sin t. φ3 (t) = 4 sin t + φ5 (t) = 4 sin t + 4 sin 3t 3 4 4 sin 3t + sin 5t + · · · . f (x) = π. By the way.3 2 1 -4 -2 -1 -2 -3 2 4 Figure 3. and we obtain π = 4 sin(π/2) + from which we conclude that π = 4(1 − 1 1 1 1 + − + − · · · ).1: A graph of the Fourier approximation φ5 (t) = 4 sin t + (4/3) sin 3t + (4/5) sin 5t. this Fourier series yields a curious formula for π. 3 5 7 9 4 4 sin(3π/2) + sin(5π/2) + · · · 3 5 66 . If we set x = π/2. if m is odd. if m is even. = 0.

” The Fourier series on the right-hand side of (3. It is an interesting and diﬃcult problem in harmonic analysis to determine how “well-behaved” a periodic function f (t) must be in order to ensure that it can be expressed as a superposition of sines and cosines. with condinuous derivative f .and left-handed limits of 67 . f (t) = a0 + 2 ∞ ak cos( k=1 2πkt )+ T ∞ bk sin( k=1 2πkt ). T ]. Moreover. and at each point t0 of discontinuity. often one wants to apply the theory of Fourier series to functions which are not quite so well-behaved. T (3. If f is a continuous periodic function of period T . However.9). where the ak ’s and bk ’s are constants.9) just as we did for power series in Chapter 1. The technical deﬁnition goes like this: A function f (t) which is periodic of period T is said to be piecewise smooth if it is continuous and has a continuous derivative f (t) except at ﬁnitely many points of discontinuity within the interval [0. then f can be written uniquely as a superposition of sines and cosines. A weaker suﬃcient condition for f to possess a Fourier series is that it be piecewise smooth. in accordance with (3.3 2 1 -4 -2 -1 -2 -3 2 4 Figure 3.9) converges to f (t) for every choice of t. suﬃcient for many applications is: Theorem 1. the right.2: A graph of the Fourier approximation φ13 (t). An easily stated theorem.1) is often conveniently expressed in the Σ notation. such as the function in our previous example. The overshooting near the points of discontinuity is known as the “Gibbs phenomenon. the inﬁnite series on the right-hand side of (3. in fact to functions that are not even be continuous.

1. t→t0 − lim (f (t)). Ruel Churchill and James Brown. Find its Fourier series. Find the Fourier series of the following function: f (t) = t2 . The function f (t) = sin3 t is periodic of period 2π. π]. New York. for −π < t < π. 3. its Fourier series at t0 will converge to the average of the right and left hand limits of f as t → t0 . McGraw-Hill. 1966.3. Fourier series and boundary value problems. proven in more advanced books. which were given in the text. The function f (t) = cos2 t can be regarded as either periodic of period π or periodic of period 2π. 3.) 3. for t = π. 68 . An introduction to Fourier series and integrals. can be extended to be periodic of period 2π.1.1. for −π ≤ t < π.1. Establish the formulae (3.1.1. f can be expressed as a Fourier series. f (t) = a0 + 2 ∞ ak cos( k=1 2πkt )+ T ∞ bk sin( k=1 2πkt ) T where the ak ’s and bk ’s are constants. 3 See.4. 4th edition. If f is any piecewise smooth periodic function of period T . 3.5) and (3.3 ensures that a Fourier decomposition can be found for any function which is piecewise smooth: Theorem 2. for example. for t ∈ [−π.6. The function f (t) = |t|. for −π + 2kπ ≤ t < π + 2kπ.2. 1987 or Robert Seeley. all exist. Here equality means that the inﬁnite sum on the right converges to f (t) for each t at which f is continuous. Find the Fourier series of this extension. t→t0 + lim (f (t)). t→t0 − lim (f (t)). (Hint: This problem is very easy if you use trigonometric identities instead of trying to integrate directly.6).5. Benjamin. Find the Fourier series of this extension. New York. Exercises: 3. Choose one of the two periods and ﬁnd the Fourier series of f (t). 0. f (t − 2kπ). The following theorem. The function f (t) = t. 3.f and f . t→t0 + lim (f (t)). can be extended to be periodic of period 2π. If f is discontinuous at t0 .1.

. if f (t) = sin t and g(t) = 2 cos t. ˆ make up an orthonormal basis for V . b2 . . . by the theorem in the preceding section. cos 3t. any element of of V can be written as a (possibly inﬁnite) superposition of these functions..4). the formulae (3. whenever f and g are elements of V .. We saw in Section 2. • cf. Moreover. when c is a real constant. We say that V is a vector space because elements of V can be added and multiplied by scalars.5). f . these operations satisfying the same rules as those for addition of ordinary vectors and multiplication of ordinary vectors by scalars. h = f. f ≥ 0. with equality holding only if f = 0 (at all points of continuity). . cos 2t. 69 . f = 1 and that two elements f and g of V are perpendicular if f. Thus. . . . −π Thus for example. sin 3t. then f ∈ R n ⇒ f = (f · b1 )b1 + · · · + (f · bn )bn . . g .2 Inner products There is a convenient way of remembering the formulae for the Fourier coeﬃcients that we derived in the preceding section.3 that if b1 . . e2 (t) = cos 2t. . We deﬁne an “inner product” between elements of V by means of the formula f.. • f. We will say that the functions 1 e0 (t) = √ . sin t.3. for example. . we will say that an element f of V is of unit length if f. and (3. In this terminology. ˆ e2 (t) = sin 2t. g = 0. e1 (t) = sin t. g = c f. .. bn is an orthonormal basis for R n . cos t. are of unit length and perpendicular to each other. (3. • f + g. h + g. g = 1 π π f (t)g(t)dt. This suggests that we might use geometric terminology for elements of V just as we did for vectors in R n .6) can be expressed by stating that the functions √ 1/ 2. Let V be the set of piecewise smooth functions which are periodic of period 2π. . sin 2t. g = 1 π π π 2 sin t cos tdt = −π −π sin(2t)dt = − cos(2t)|π = 0. 2 e1 (t) = cos t. h . then f. . g = g. −π The remarkable fact is that this inner product has properties quite similar to those of the standard dot product on R n : • f.

sin 2t . sin 2t sin 2t + . the linear subspaces Wodd and Weven are orthogonal to each other. 1 . cos 2t . a2 = f. . cos 3t.. 2 where a0 = f. e1 (t) e1 (t) + f (t). + b1 sin t + b2 sin 2t + . are even functions. Then f. .. b1 = f. are odd functions. ˆ In other words. Weven is a linear subspace of V . 2 2 + f. . g = 0. . g = 1 π π f (t)g(t)dt = −π 1 π 0 f (t)g(t)dt + −π 1 π π f (t)g(t)dt 0 70 . cos t . . sin 2t. . cos 2t.. sin t sin t + f. √ √ + f. Weven = {f ∈ V : f is odd}.. . e1 (t) e1 (t) + f (t). . cos 2t cos 2t + . Indeed. . . a0 = + a1 cos t + a2 cos 2t + . Thus sin t. f g is odd and hence f. 1 1 f (t) = f. under these conditions. Thus we can say that Wodd is a linear subspace of V . Use of the inner product makes the formulae for Fourier coeﬃcients almost impossible to forget. in other words. while 1. e2 (t) e2 (t) + · · · ˆ ˆ ˆ + f (t). Let Wodd = {f ∈ V : f is odd}. we can write f (t) = f (t). sin t . . cos t. . for every choice of real number c. a1 = f. even if f (−t) = f (t). g ∈ Wodd ⇒ f + g ∈ Wodd and cf ∈ Wodd . Similarly. It is not diﬃcult to show that f ∈ Wodd . . . We say that a function f (t) is odd if f (−t) = −f (t). . · : If f is any element of V . e2 (t) e2 (t) + · · · . sin 3t.. cos t cos t + f. ...The same formula holds when R n is replaced by V and the dot product is replaced by the inner product ·. e0 (t) e0 (t) + f (t). b2 = f. g ∈ Weven ⇒ f..

2.) 3. Exercises: 3. f (t) = 1 (et + e−t ).2. a0 = f. 2 f. 1 = 0. f (t)g(t)dt.= 1 π 0 f (−t)g(−t)(−dt) + π 1 π π f (t)g(t)dt 0 =− 1 π π −(f (t)g(t))(−dt) + 0 1 π π f (t)g(t)dt = 0. 0 The variable of integration has been changed from t to −t in the ﬁrst integral of the second line. for n > 0.3. f (t) = 1 (et − e−t ). 3. d. It follows that if f ∈ Wodd . c. half of the Fourier coeﬃcients are automatically zero. if f ∈ Weven . the Bessel function of the ﬁrst kind. −π in the case where f (t) = cos t and g(t) = | sin t|. f (t) = t2 + |t|. x in the case where f (x) = cos(log(x)) and g(x) = 1. f (t) = J0 (t).2. f (t) = et . bn = f. where log denotes the natural or base e logarithm. Similarly. g = 1 π π an = f. sin nx = 0. and which are neither even nor odd: a. 71 . Thus for an even or odd function. This simple fact can often simplify the calculation of Fourier coeﬃcients. Determine which of the following functions are even.1. b. Evaluate the inner product f. cos nx = 0.2. Evaluate the inner product eπ f. f (t) = t3 + 3t. g = 1 1 f (x)g(x)dx. (Hint: Use the substitution x = eu . 2 e. which are odd.

−f (−t). for all t ∈ R R.3. . L]. ˜ f (t) = f (−t). we can ˜ extend f to an odd function f : [−L. A similar argument can be used to express a piecewise smooth function f : [0. It follows from the ˆ theorem in Section 3. We claim that we can express f (t) as the superposition of sine functions. On the interval [0. L] → R by setting f (t). f (t) = b1 sin(πt/L) + b2 sin(2πt/L) + . L] → R into a superposition of cosine functions. ˆ then to a function f : R → R. L].11) the Fourier cosine series of f . Indeed. ˆ then to a function f : R → R which is periodic of period 2L. This time the extended function lies in the linear subspace Weven . f (t) = a0 + a1 cos(πt/L) + a2 cos(2πt/L) + . for t ∈ [−L. . L].10) the Fourier sine series of f . + an cos(nπt/L) + .11) which involves only cosine functions. . .1 that f possesses a Fourier series expansion. To generate formulae for the coeﬃcients in the Fourier sine and cosine series of f . On the interval [0.1 that f possesses a Fourier series expansion. It follows ˆ from the theorem in Section 3. for t ∈ [0. (3. L] → R by setting ˜ f (t) = f (t). We call (3. for t ∈ [−L. (3. 0]. for t ∈ [0. We call (3. L]. . by requiring that ˆ ˆ f (t + 2L) = f (t). and ˆ from the fact that f is even that all of the bn ’s are zero. . and from the ˆ is odd that all of the an ’s are zero. L] → R be a piecewise smooth function which vanishes at 0 and L. . 0]. we ﬁrst extend f to an even function f : [−L. + bn sin(nπt/L) + . for all t ∈ R . . we begin by deﬁning a slightly diﬀerent inner product space than the one 72 . which is periodic of period 2L by requiring that ˆ ˆ f (t + 2L) = f (t). .3 Fourier sine and cosine series Let f : [0. f restricts ˆ fact that f ˆ to f and the Fourier expansion of f restricts to an expansion of f of the form (3. The extended function lies in the linear subspace Wodd . ˆ ˆ f restricts to f and the Fourier expansion of f restricts to an expansion of f of the form (3.11) 2 ˜ To obtain this expression.10) We could prove this using the theory of even and odd functions.10) which involves only sine functions. .

. This time. . 73 .. . just as in the previous section. L 0 This restricts to an inner product on V0 .1: cos((n + m)πt/L) = cos(nπt/L) cos(mπt/L) − sin(nπt/L) sin(mπt/L). We have seen that any element of V0 can be represented as a superpostion of the sine functions sin(πt/L). Subtracting the ﬁrst of these from the second and dividing by two yields sin(nπt/L) sin(mπt/L) = and hence 0 L 1 (cos((n − m)πt/L) − cos((n + m)πt/L). the integral on the right vanishes unless n = m. a linear subspace of V . we let V be the set of piecewise smooth functions f : [0. Let’s consider now the Fourier sine series.considered in the preceding section.. 2 sin(nπt/L) sin(mπt/L)dt = 1 2 L (cos((n − m)πt/L) − cos((n + m)πt/L)dt. · on V by means of the formula 2 L f.12) Therefore. cos((n − m)πt/L) = cos(nπt/L) cos(mπt/L) + sin(nπt/L) sin(mπt/L). we can evaluate the coeﬃcients of the Fourier sine series of a function f ∈ V0 by simply projecting f onto each element of the orthonormal basis. g = f (t)g(t)dt. Recall the trigonometric formulae that we used in §3. 0 If n and m are positive integers.. . L] → R and let V0 = {f ∈ V : f (0) = 0 = f (L)}. We claim that these sine functions form an orthonormal basis for V0 with respect to the inner product we have deﬁned. we ﬁnd that f (t) = b1 sin(πt/L) + b2 sin(2πt/L) + . When we do this. . sin(nπt/L). + sin(nπt/L) + . We deﬁne an inner product ·. for m = n. in which case the right-hand side becomes 1 2 Hence 2 L π L dt = 0 L . . . . (3. . sin(2πt/L). . 2 sin(nπt/L) sin(mπt/L)dt = 0 1. 0. for m = n.

. . Thus we can evaluate the coeﬃcients of the Fourier cosine series of a function f ∈ V by projecting f onto each element of this orthonormal basis...13) to ﬁnd the Fourier sine series of f (t) = t. . πn2 74 . In this case. π − t. L = π. for π/2 ≤ t ≤ π. + 2 [sin nt]|0 = + 2n n 2n n2 −(π − t) cos(nt) n π π (π − t) sin ntdt = π/2 − π/2 π/2 1 cos ntdt n = Thus π cos(nπ/2) π cos(nπ/2) sin(nπ/2) 1 . 0 (3. form an orthonormal basis for V . First let us use (3. bn = 2 π π/2 π t sin ntdt + 0 π/2 (π − t) sin ntdt . − 2 [sin nt]|π = + π/2 2n n 2n n2 bn = 4 sin(nπ/2) . 2 cos(πt/L).. cos(2πt/L). (3. and according to our formula. We will leave it to the reader to carry this out in detail.13) We can treat the Fourier cosine series in a similar fashion.. We use integration by parts to obtain π/2 t sin ntdt = 0 −t cos nt n π/2 π/2 + 0 0 1 cos ntdt n = while π −π cos(nπ/2) −π cos(nπ/2) sin(nπ/2) 1 π/2 .where bn = f. one obtains the following formula for the coeﬃcient an in the Fourier cosine series: an = 2 L L f (t) cos(nπt/L)dt. we can show that the functions 1 √ . and simply remark that when the dust settles. for 0 ≤ t ≤ π/2. cos(nπt/L).15) In this case.14) Example. sin(nπt/L) = 2 L L f (t) sin(nπt/L)dt. 0 (3.

2 1 0. φ5 and φ7 . π 9π are better and better approximations to the function f (t).3: A graph of the Fourier sine approximations φ1 .5 2 2. π φ3 (t) = 4 4 sin t − sin 3t.2 0. integration by parts yields π/2 t cos ntdt = 0 t sin nt n 75 π/2 π/2 − 0 0 1 sin ntdt n . π − t.5 3 Figure 3.6 0. 2 To ﬁnd the other an ’s. for 0 ≤ t ≤ π/2. .5 1 1.1. This time. for π/2 ≤ t ≤ π. tdt + 0 π/2 (π − t)dt = 2 1 π 2 π 2 2 + 1 2 π 2 2 = π . . . . . φ3 .8 0.14): an = 2 π π/2 π t cos ntdt + 0 π/2 (π − t) cos ntdt . and the Fourier sine series of f (t) is f (t) = 4 4 4 4 sin t − sin 3t + sin 5t − sin 7t + . π 9π 25π 49π (3.16) The trigonometric polynomials φ1 (t) = 4 sin t.4 1.4 0. we use (3. To ﬁnd the Fourier cosine series of f (t) = we ﬁrst note that a0 = 2 π π/2 π t. .

Find the Fourier sine series of the following function deﬁned on the interval [0.17). an = 2 [2 cos(nπ/2) − 1 − 1(−1)n ]. Exercises: 3. . 3. . f (t) = 10 − t.a. π] as either a superposition of sines in (3. 10]: t.3. 2 2n n n = Thus when n ≥ 1.17) Note that we have expanded exactly the same function f (t) on the interval [0. Find the Fourier sine series of the following function deﬁned on the interval [0. 4 π 9π 25π (3. 3. Find the Fourier cosine series of the same function. π]: f (t) = t(π − t). for 0 ≤ t < 5.3. 76 . for 5 ≤ t ≤ 10.1.16) or as a superposition of cosines in (3. for π/2 ≤ t ≤ π. b.3. Find the Fourier sine series of the following function deﬁned on the interval [0. Find the Fourier cosine series of the same function. .3. π]: 4t.a. f (t) = 4π − 4t. b. for 0 ≤ t < π/2. πn2 and the Fourier sine series of f (t) is f (t) = π 2 2 2 − cos 2t − cos 6t − cos 10t − .2.= 1 π sin(nπ/2) π/2 + 2 [cos nt]|0 2n n π sin(nπ/2) cos(nπ/2) 1 + = − 2 2n n2 n (π − t) sin(nt) n π π while π (π − t) cos ntdt = π/2 + π/2 π/2 1 sin ntdt n −π sin(nπ/2) 1 − 2 [cos nt]|π π/2 2n n −π sin(nπ/2) cos(nπ/2) 1 + = − 2 cos(nπ).

.3.2 t∧3) Sin[n Pi t].4. b = Table[f[n]. . . 1]. 2 . deﬁned for t in the interval [0. . .18) b1 it b2 (e − e−it ) + (e2it − e−2it ) + . . or e−iθ + e−iθ = 2i sin θ. ..10}] 3. + c−2 e−2it + c−1 e−it + c0 + c1 eit + c2 e2it + . 3. by running the following Mathematica program f[n ] := 2 NIntegrate[(t + t∧2 . 2 c1 = a1 − ib1 . Find the Fourier sine series of the following function deﬁned on the interval [0. {n.5. which states that eiθ = cos θ + i sin θ. . .3. It is often convenient to recast this Fourier series in complex form by means of the Euler formula. f can be expanded in a Fourier series f (t) = a0 + a1 cos t + a2 cos(2t) + . (3. 2 2 2 + or f (t) = . 1]: f (t) = 5t(1 − t). 2 2i Hence the Fourier expansion of f can be rewritten as cos θ = f (t) = a0 a1 a2 + (eit + e−it ) + (e2it + e−2it ) + . 2i 2i .4 Complex version of Fourier series* We have seen that if f : R → R is a well-behaved function which is periodic of period 2π. sin θ = . .1}]. eiθ + e−iθ eiθ + e−iθ . . . 2 +b1 sin t + b2 sin(2t) + .(For students with access to Mathematica) Find numerical approximations to the ﬁrst ten coeﬃcients of the Fourier sine series for the function f (t) = t + t2 − 2t3 .1. .3.0. where the ck ’s are the complex numbers deﬁned by the formulae c0 = a0 . It follows from this formula that eiθ + e−iθ = 2 cos θ. . .. We say that this is the real form of the Fourier series. . {t. 2 77 c2 = a2 − ib2 .

20).. integrate from −π to π and apply (3. extended to be periodic of period 2π. we obtain π −π f (t)e−ikt dt = 2πck .20) If we multiply both sides of (3.1. (3.19) that ak = (ck + c−k ) = 0. One can then use (3.19) It is not diﬃcult to check the following integral formula via direct integration: π −π eimt e−int dt = 2π. . bk = i(ck − c−k ). Let us use formula (3.21) Example. 2 2 If k = 0. Then ck = 1 2π π −π te−ikt dt. which yields the formula for coeﬃcients of the complex form of the Fourier series: ck = 1 2π π −π f (t)e−ikt dt. 0 for m = n. presented in the text. k 1 πi −iπk πi iπk (−1)k =i + e e . c−2 = . bk = i(ck − c−k ) = −2 (−1)k .. We apply integration by parts with u = t.19) to ﬁnd the real form of the Fourier series. we can solve for ak and bk : c−1 = ak = ck + c−k . 78 . . Exercise: 3.18) by e−ikt . 2π k k k It is often the case that the complex form of the Fourier series is far simpler to calculate than the real form. du = dt and v = (i/k)e−ikt : π 1 ck = (i/k)e−ikt dt (it/k)e−ikt |π − −π 2π −π = It follows from (3.21) to ﬁnd the complex Fourier coeﬃcients of the function f (t) = t for −π < t ≤ π.a1 + ib1 a2 + ib2 . Prove the integral formula (3.4. (3. dv = e−ikt dt.20). for m = n. (3.

where the ck ’s are the complex numbers. Use (3. πL]. Find the complex Fourier coeﬃcients of the function f (t) = t2 extended to be periodic of period 2π.22) The integral in this formula is said to be improper because it is taken from −∞ to ∞. 3. (3.4. .19) to ﬁnd the real form of the Fourier series. . . The idea behind the Fourier transform is to think of f (t) as vanishing outside a very long interval [−πL.4). where ck = 1 2πL πL −πL for −π < t ≤ π. a. it is best to regard it as a limit. for −π < t ≤ π.19) to ﬁnd the real form of the Fourier series. we can write the Fourier expansion of f as f (t) = .3.4. Show that if a function f : R → R is smooth and periodic of period 2πL. . . a. .4.5 Fourier transforms* One of the problems with the theory of Fourier series presented in the previous sections is that it applies only to periodic functions. its Fourier transform is ˆ f (ξ) = ∞ −∞ f (t)e−iξt dt. + c−2 e−2it/L + c−1 e−it/L + c0 + c1 eit/L + c2 e2it/L + .3. b. ∞ −∞ f (t)e−iξt dt = lim πL −πL L→∞ f (t)e−iξt dt. b. . Deﬁnition. .4. According to the theory of Fourier series in complex form (see Exercise 3. 3.4. Use (3. f (t) = . The function can be extended to a periodic function f (t) such that f (t + 2πL) = f (t). . + c−2 e−2it/L + c−1 e−it/L + c0 + c1 eit/L + c2 e2it/L + . 3. If f : R → R is a piecewise continuous function which vanishes outside some ﬁnite interval. . There are many times when one would like to divide a function which is not periodic into a superposition of sines and cosines.2. Find the complex Fourier coeﬃcients of the function f (t) = t(π − t) extended to be periodic of period 2π. The Fourier transform is the tool often used for this purpose. 79 . f (t)e−ikt/L dt.

it can be shown that this last sum approaches an improper integral. + c−2 e−2it/L + c−1 e−it/L + c0 + c1 eit/L + c2 e2it/L + . If we make use of Euler’s formula. 2πL 1 ˆ 1 ˆ 1 ˆ f (0) + f (1/T )eit/L + f (2/L)e2it/L + . .To explain (3. . πL].21) that we can write f (t) = .22) allow one to pass back and forth between a given function and its representation as a superposition of oscillations of various frequencies. if −1 ≤ t ≤ 1.1. . indeed. Like the Laplace transform. . Equations (3. 2πL 2πL 2πL In the limit as L → ∞. (3. it follows from (3. . for t ∈ [−πL. . we suppose that f vanishes outside the interval [−πL.22). We can extend the restriction of f to this interval to a function which is periodic of period 2πL. f (t) = 1 2π i ˆ f (ξ) cos ξtdξ + 2π −∞ ∞ ∞ −∞ ˆ f (ξ) sin ξtdξ.22) and (3. 0. .5. a superposition of sines and cosines of various frequencies. πL]. . Exercise: 3. . we can write the Fourier inversion formula in terms of sines and cosines. where ck = or alternatively. .23) Equation (3. Find the Fourier transform of the function f (t) deﬁned by f (t) = 1. f (t) = . and our formula becomes f (t) = 1 2π ∞ −∞ ˆ f (ξ)eiξt dξ. 80 .23) is called the Fourier inversion formula. + + 1 ˆ 1 ˆ f (−2/L)e−2it/L + f (−1/L)e−it/L + 2πL 2πL 1 ˆ f (k/L). the Fourier transform is often an eﬀective tool in ﬁnding explicit solutions to diﬀerential equations. otherwise. Then ˆ f (k/L) = ∞ −∞ f (t)e−ikt/L dt = πL −πL ˜ f (t)e−ikt/L dt represents 2πL times the Fourier coeﬃcient of this extension of frequency k/L.

which usually mirror the physical phenomena which the equation was ﬁrst used to model. Fluid mechanics is often formulated by the Euler equations of motion or the so-called Navier-Stokes equations. we will give two important simple examples of partial differential equations. there is an important dichotomy between linear and nonlinear equations. The techniques of separation of variables and Fourier analysis are eﬀective only for linear partial diﬀerential equations. Higher dimensional examples will be given in the following chapter. general relativity by Einstein’s ﬁeld equations. In this chapter. Instead. It is therefore important to develop techniques that can be used to solve a wide variety of partial diﬀerential equations. electricity and magnetism by Maxwell’s equations. each type of partial diﬀerential equations exhibits its own special features. The reader may have heard some of these equations mentioned in previous courses in physics. the heat equation and the wave equation. ∂t ∂x2 in which u is regarded as a function of x and t. We will see that just as in the case of ordinary diﬀerential equations. such as the equation ∂u ∂2u = . Many of the foundational theories of physics and engineering are expressed by means of systems of partial diﬀerential equations. Unlike the theory of ordinary diﬀerential equations which centers upon one key theorem—the fundamental existence and uniqueness theorem—there is no real uniﬁed theory of partial differential equations.Chapter 4 Partial Diﬀerential Equations 4.1 Overview A partial diﬀerential equation is an equation which contains partial derivatives. and we will show how to solve them by the techniques of “separation of variables” and Fourier analysis. Nonlinear partial diﬀerential equations are far more 81 .

t)dx + ∂t x2 (µ(x)u(x.x2 is − x2 ρ(x)σ(x) x1 ∂u (x. t) + ν(x) per unit volume. To calculate the rate of change of heat within Dx1 . t)dx. say by a chemical reaction.x2 is also given by the formula F (x2 .x2 with respect to time. the constant of proportionality being determined by the density and speciﬁc heat of the material making up the bar. ∂t (4. t) + ν(x))dx. if heat is being created within Dx1 . t)dx = x1 x1 ρ(x)σ(x) ∂u (x.x2 is given by the exp Rate at which heat leaves Dx1 .x2 = − x2 ρ(x)σ(x) x1 ∂u (x. t)dx. t) is proportional to the partial derivative of temperature. ∂x (4. t) = −κ(x) ∂u (x. the rate of change of heat within Dx1 .x2 .2) where κ(x) is the thermal conductivity of the bar at x.x2 . We imagine that the bar is located along the x-axis and we let u(x. 1991. t). if σ(x) denotes the speciﬁc heat at the point x and ρ(x) is the density of the bar at x.x2 = x1 ρ(x)σ(x)u(x.x2 between x1 and x2 is given by the formula x2 Heat within Dx1 . McGraw-Hill. Hence the rate at which heat leaves Dx1 . then the heat within the region Dx1 . Thus we ﬁnd that the rate at which heat leaves the region Dx1 .) x1 On the other hand. we simply diﬀerentiate under the integral sign: d dt x2 x2 ρ(x)σ(x)u(x. t)dx. 1996. 2nd edition. More generally. ∂t Now heat is a form of energy.x2 .1) (More generally. New York. then the rate at which heat leaves Dx1 . Partial diﬀerential equations: basic theory. We especially recommend Mark Pinsky. Partial diﬀerential equations and boundary-value problems with applications. and form a key topic of contemporary mathematical research. at the rate µ(x)u(x. t) = x2 x1 ∂F (x. 82 .3) 1 Further reading can be found in the many excellent upper-division texts on partial diﬀerential equations.diﬃcult to solve.x2 is simply the rate at which heat enters Dx1 . t) − F (x1 . and conservation of energy implies that if no heat is being created or destroyed in Dx1 . the rate of heat ﬂow F (x. t) = temperature of the bar at the point x at time t. Springer. An excellent but much more advanced book is Michael Taylor. Heat in a small segment of a homogeneous bar is proportional to temperature. F (x. ∂x (4. t)dx.1 Our ﬁrst example is the equation governing propagation of heat in a bar of length L.

t)dx.5) becomes d dx κ(x) du (x) + µ(x)u(x) + ν(x) = 0. Indeed.6) This is our simplest example of a linear partial diﬀerential equation. a slight modiﬁcation of the heat equation was used by Black and Scholes to price derivatives in ﬁnancial markets. it arises in many other contexts as well.1) and (4. ∂t This equation is true for all choices of x1 and x2 .3). so the integrands on the two sides must be equal: ∂F ∂u = −ρ(x)σ(x) .2) that ∂ ∂x −κ(x) ∂u ∂x = −ρ(x)σ(x) ∂u . 1995.4) becomes ∂u κ ∂2u . t)dx = − ∂x x2 ρ(x)σ(x) x1 ∂u (x. (4. i. in the “steady-state” case.4) In the more general case in which heat is being created at the rate µ(x)u(x. (4. Although its most basic application concerns diﬀusion of heat. Cambridge Univ. in which u is independent of time.1.2 Exercises: 4.Comparing the two formulae (4. we obtain the heat equation ρ(x)σ(x) ∂u ∂ = ∂t ∂x κ(x) ∂u ∂x . σ(x) and κ(x) are constants. 83 . ∂t In this way. one could show that heat ﬂow is modeled by the equation ρ(x)σ(x) ∂u ∂ = ∂t ∂x κ(x) ∂u ∂x + µ(x)u + ν(x). Sam Howison and Jeﬀ Dewynne. ∂x ∂t It follows from (4. t) + ν(x) per unit length. and (4. For example.5) In the special case where the bar is homogeneous. dx 2 A description of the Black-Scholes technique for pricing puts and calls is given in Paul Wilmott. The mathematics of ﬁnancial derivatives.1. Press. = ∂t ρσ ∂x2 (4. ρ(x). equation (4. its properties are the same at every point.e. say σ and κ respectively. we ﬁnd that x2 x1 ∂F (x. Study of heat ﬂow often leads to “boundary-value problems” for ordinary diﬀerential equations.

dx2 u(0) = 50. deﬁned for 0 ≤ x ≤ 1 such that d2 u + (1 + x2 )u = 0. deﬁned for 0 ≤ x ≤ 1 such that d2 u + x(1 − x) = 0.a. Solve the following special case of this boundary-value problem: Find u(x). You can do this by running the Mathematica program: a = 0. d. Solve the following special case of this boundary-value problem: Find u(x). Plot[ Evaluate[ u[x] /.b}]. c.a linear ordinary diﬀerential equation with variable coeﬃcients.a. Solve the following special case of this boundary-value problem: Find u(x). u. a. alpha = 50.}. b. Our physical intuition suggests that the steady-state heat equation should have a unique solution with these boundary conditions. beta = 100.1. sol]. (For students with access to Mathematica) Use Mathematica to graph the solution to the following boundary-value problem: Find u(x). u(1) = 100. u(1) = 50. {x. b = 1. ¯ b.b}] 4. t) = √ 1 −x2 /4t e 4πt is a solution to the heat equation (4. u(L) = β. dx2 u(0) = 70. dx2 u(0) = 0. t = t to show that ¯ ua (x. deﬁned for 0 ≤ x ≤ 1 such that d2 u = 0. u(1) = 50. u(1) = 0. {x. Show that the function u0 (x.2. u[a] == alpha.a.6) for t > 0 in the case where κ/(ρσ) = 1. Use the chain rule with intermediate variables x = x − a. t) = √ 1 −(x−a)2 /4t e 4πt 84 . say u(0) = α. u[b] == beta. deﬁned for 0 ≤ x ≤ 1 such that d2 u − u = 0. sol = NDSolve[ {u’’[x] + (1 + x∧2) u[x] == 0. dx2 u(0) = 70. Suppose now that the temperature is speciﬁed at the two endpoints of the bar.

2 The initial value problem for the heat equation We will now describe how to use the Fourier sine series to ﬁnd the solution to an initial value problem for the heat equation in a rod of length L which is insulated along the sides. t) = u(L. By diﬀerentiating under the integral sign show that if h : R → R is any smooth function which vanishes outside a ﬁnite interval [−L. What can you say about the behaviour of the function u0 (x. Then transform this last integral to polar coordinates. 4.) 85 (4. (This is sometimes called the Dirichlet boundary condition. t) satisﬁes the boundary condition u(0. the temperature is zero at the endpoints.7) approaches h(x) as t → 0. t) = −∞ ua (x. c.8) . t)dx = 1.7) is a solution to the heat equation. ∂t ∂x where c is a constant. Hint: Let I denote the integral on the left hand side and note that I2 = 1 4πt ∞ −∞ ∞ −∞ e−(x 2 +y 2 )/4t dxdy. REMARK: In more advanced courses it is shown that (4. t). t) as t → 0? e. (4. In fact. 0) = h(x). Show that ∞ −∞ u0 (x. We expect that there should exist a unique function u(x. in other words. t)h(a)da (4. u(x. d. deﬁned for 0 ≤ x ≤ L and t ≥ 0 such that 1. In the next section. t) satisﬁes the heat equation ∂u ∂2u = c2 2 . 2. L]. whose ends are kept at zero temperature. t) for various values of t. then ∞ u(x.7) gives a formula (for values of t which are greater than zero) for the unique solution to the heat equation on the inﬁnite line which satisﬁes the initial condition u(x.is also a solution to the heat equation. t) = 0. we will see how to solve the initial value problem for a rod of ﬁnite length. Use Mathematica to sketch u0 (x. u(x.

t) satisﬁes the initial condition u(x.8) and obtain f (x)g (t) = c2 f (x)g(t). (4. Now we separate variables. By the superposition principle. In more advanced courses. all the functions involving x on the right: g (t) f (x) = c2 . the two sides must equal a constant. t) = f (x)g(t) into the heat equation (4. Hence neither side can depend upon either x or t. Step II.10) or g (t) = λc2 g(t). which we denote by λ and call the separating constant. it is proven that this initial value problem does in fact have a unique solution. an arbitrary linear superposition of these solutions will still be a solution. Let us ﬁrst carry out Step I. t) = f (x)g(t). (4. We ﬁnd the particular solution which satisﬁes the nonhomogeneous condition by Fourier analysis. 2 g(t) c f (x) which separates into two ordinary diﬀerential equations. the initial temperature of the rod. while the right-hand side does not depend on t. u(x. Our method makes use of the dichotomy into homogeneous and nonhomogeneous conditions: Step I. f (x) or f (x) = λf (x). Note that the heat equation itself and the boundary condition are homogeneous and linear —this means that if u1 and u2 satisfy these conditions. We substitute u(x. We ﬁnd all of the solutions to the homogeneous linear conditions of the special form u(x.3. g (t) = λ. g(t) f (x) The left-hand side of this equation does not depend on x. putting all the functions involving t on the left. We will shortly see how to ﬁnd that solution. c2 g(t) and f (x) = λ. for any choice of constants c1 and c2 . so does c1 u1 + c2 u2 .9) 86 . 0) = h(x). Thus homogeneous linear conditions satisfy the principal of superposition. where h(x) is a given function. In other words. Our equation now becomes g (t) f (x) = = λ.

If g(t) is not identically zero. f (0) = f (L) = 0.11) the eigenvalue problem for the diﬀerential operator L= d2 dx2 acting on the space V0 of well-behaved functions f : [0. dx2 f (0) = 0 = f (L). (As it turns out. It is convenient for us to change basis in the linear space of solutions. 87 . has the general solution √ or f (x) − λf (x) = 0 √ f (x) = c1 e λx + c2 e− λx . L] → R which vanish at the endpoints 0 and L. Then we can write √ √ f (x) = a cosh( λx) + b sinh( λx). and we obtain only the trivial solution u ≡ 0.) Thus to ﬁnd the nontrivial solutions to the homogeneous linear part of the problem requires us to ﬁnd the nontrivial solutions to a boundary value problem for an ordinary diﬀerential equation: f (x) = d2 (f (x)) = λf (x). We need to consider three cases. the diﬀerential equation f (x) = λf (x). In this case. t). the eigenvalue problem (4. 2 √ √ 1 √ sinh( λx) = (e λx − e− λx ) 2 instead of the exponentials. f (0) = 0 = f (L). In this case. only one of these will actually yield nontrivial solutions to our eigenvalue problem. t) = 0 becomes f (0)g(t) = f (L)g(t) = 0. (If g(t) is identically zero.11) becomes f (x) = 0. Case 2: λ > 0. the trivial solution. then so is u(x.11) We will call (4.) Case 1: λ = 0. The general solution to the diﬀerential equation is f (x) = ax + b. and the only particular solution which satisﬁes the boundary condition is f = 0. (4. using √ √ 1 √ cosh( λx) = (e λx + e− λx ). t) = u(L.The homogeneous boundary condition u(0.

or ω = (nπ/L). g (t) = λc2 g(t). we need to ﬁnd a corresponding g(t) solving equation (4. 2 88 . and rewrite the eigenvalue problem as f (x) + ω 2 f (x) = 0. ⇒ a=0 ⇒ f (x) = b sin(ωx). We remember that the diﬀerential equation has the general solution f (x) = a cos(ωx) + b sin(ωx). t) are constant multiples of un (x. The latter possibility will occur if ωL = nπ. we set ω = −λ. √ Case 3: λ < 0. and then f (L) = 0 ⇒ √ b sinh( λL) = 0 ⇒ b=0 ⇒ f (x) = 0. n = 1.with new constants of integration a and b. we conclude that the only nontrivial solutions to (4. t) = sin(nπx/L)e−(ncπ/L) t . where a is a constant of integration. We recognize here our old friend. t) = 0 = u(L. however. the diﬀerential equation of simple harmonic motion.9). f (L) = 0 ⇒ b sin(ωL) ⇒ b = 0 or sin(ωL) = 0. In this case. Thus we ﬁnd that the nontrivial product solutions to the heat equation together with the homogeneous boundary condition u(0. Once again f (0) = 0 Now. . . Therefore. f (0) = 0 = f (L). we obtain f (x) = b sin(nπx/L). 3. where λ = −(nπ/L)2 . This is just the equation of exponential decay. We impose the boundary conditions: ﬁrst √ f (0) = 0 ⇒ a = 0 ⇒ f (x) = b sinh( λx). and hence either b = 0 and we obtain only the trivial solution or sin(ωL) = 0. so we obtain no nontrivial solutions in this case.11) are constant multiples of f (x) = sin(nπx/L). For each of these solutions. . 2. . and has the general solution 2 g(t) = be−(ncπ/L) t . where n is an integer. with λ = −(nπ/L)2 . In this case.

Step II consists of determining the constants bn in (4. t) = b1 sin(πx/L)e−(cπ/L) t + b2 sin(2πx/L)e−(2cπ/L) t + . .3 that the Fourier sine series of h is h(x) = and hence u(x. t) = 0. b3 = 7. 0) = b1 sin(πx/L) + b2 sin(2πx/L) + . Using the techniques described in Section 3. .12) yields h(x) = u(x. Suppose that we want to ﬁnd the function u(x. 0 Example 1. which satisﬁes the initial-value problem: ∂u ∂2u . We saw in Section 3. π 9π 25π 49π . = ∂t ∂x2 u(0. b2 = 2.It follows from the principal of superposition that u(x. . π − x. In this case. = ∂t ∂x2 where h(x) = u(0. . .12) is a solution to the heat equation together with its homogeneous boundary conditions. t) = 0. It follows from the theory of the Fourier sine series that h can indeed be represented as a superposition of sine functions. for π/2 ≤ x ≤ π. . u(x. deﬁned for 0 ≤ x ≤ π and t ≥ 0. . x. . Suppose that we want to ﬁnd the function u(x. Example 2. t) = 4 4 4 sin xe−t − sin 3xe−9t + sin 5xe−25t − . 0) = h(x). . π 9π 25π 89 4 4 4 4 sin x − sin 3x + sin 5x − sin 7x + . 0) = h(x) is satisﬁed.12) so that the initial condition u(x. t). .3. for 0 ≤ x ≤ π/2. t) = u(π. which satisﬁes the initial-value problem: ∂u ∂2u . 0) = h(x) = 4 sin x+2 sin 2x+7 sin 3x. we ﬁnd that bn = 2 L L h(x) sin(nπx/L)dx. so the solution must be u(x. . t). for arbitrary choice of the constants b1 . b2 . . t) = 4 sin xe−t + 2 sin 2xe−4t + 7 sin 3xe−9t . deﬁned for 0 ≤ x ≤ π and t ≥ 0. . . u(x. and we can determine the bn ’s as the coeﬃcients in the Fourier sine series of h. Setting t = 0 in (4. t) = u(π. 2 2 (4. the nonvanishing coeﬃcients for the Fourier sine series of h are b1 = 4. .

4. u(π.Exercises: 4. t) = 50. u(x. = ∂t ∂x2 u(0. t) = u(π. b. . which satisﬁes the following conditions: ∂u ∂2u . = ∂t ∂x2 (In this problem you need to ﬁnd the Fourier sine series of h(x) = x(π − x). dx2 w(0) = 10.3. Find the function u(x. such that d2 w = 0. t) = 0. Find the function u(x.2. t) = u(π. . deﬁned for 0 ≤ x ≤ π and t ≥ 0. t). such that ∂u ∂2u . t) = 0.2. = ∂t ∂x2 u(0. which satisﬁes the following conditions: 1 ∂u ∂2u . deﬁned for 0 ≤ x ≤ π. u(x. f (0) = 0 = f (π) 4. 2. which satisﬁes the following conditions: ∂u ∂2u = .2. t) = 0.2. t). Find the function w(x). Find the general solution to the following boundary value problem for the heat equation: Find the functions u(x. = ∂t ∂x2 You may assume that the nontrivial solutions to the eigenvalue problem f (x) = λf (x). deﬁned for 0 ≤ x ≤ π and t ≥ 0. = 2t + 1 ∂t ∂x2 u(0.13) 90 . t) = u(π. t) = 10. u(x.) 4. 0) = x(π − x).2. deﬁned for 0 ≤ x ≤ π and t ≥ 0. deﬁned for 0 ≤ x ≤ π and t ≥ 0. . which satisﬁes the following conditions: ∂u ∂2u . 4.6.2. t). t) = 0. 0) = sin x + 3 sin 2x. u(0. for n = 1.2. which satisﬁes the following conditions: (t + 1) ∂u ∂2u . where the bn ’s are constants. 0) = sin x + 3 sin 2x. deﬁned for 0 ≤ x ≤ π and t ≥ 0. deﬁned for 0 ≤ x ≤ π and t ≥ 0. are λ = −n2 . t) = 0. u(x. u(0. u(x. ∂t ∂x2 u(0. t). w(π) = 50. t).a. 3.1. (4. t). f (x) = bn sin nx. 0) = sin x + 3 sin 2x − 5 sin 3x. 0) = sin 2x. Find the function u(x. t) = u(π. Find the function u(x. Find the function u(x.5. t) = u(π. 4. 4. .

dt2 b. (Hint: The solution should involve cosines instead of sines. a. t) = 0. Find the general solution to the heat equation ∂u ∂2u = ∂t ∂x2 subject to the Neumann boundary condition (4. 91 .) In this case separation of variables leads to a slightly diﬀerent eigenvalue problem. dx2 f (0) = 0 = f (L). Determine what conditions v must satisfy. Find the particular solution to (4.2. t) = u(π. = ∂t ∂x2 u(0. 4. π] → R which vanish at the endpoints 0 and π by L(f ) = d2 f + 3f. ∂x ∂x (4. t) = u(L.(Hint: Let v = u − w. from which no heat can enter or escape.) b.7. Solve this eigenvalue problem.13) which in addition satisﬁes the initial condition 40 u(x. 0) = sin x + 3 sin 2x. which satisﬁes the following conditions: ∂u ∂2u + 3u. Find the eigenvalues and corresponding eigenfunctions for the diﬀerential operator d2 L = 2 + 3.14) (Physically.14). π 4. t) = (L.) c. this corresponds to insulated endpoints. t) = 0 is replaced by the Neumann boundary condition ∂u ∂u (0. deﬁned for 0 ≤ x ≤ π and t ≥ 0. dt which acts on the space V0 of well-behaved functions f : [0. Find the function u(x. The method described in this section can also be used to solve an initial value problem for the heat equation in which the Dirichlet boundary condition u(0. where w is the solution to part a. which consists of ﬁnding the nontrivial solutions to f (x) = d2 (f (x)) = λf (x).a. t). t) = 0. u(x.8.2. 0) = 10 + x + 2 sin x − 5 sin 2x.

b. t) = u(1. deﬁned for 0 ≤ x ≤ π and t ≥ 0. representing the initial temperature. it can be applied in some cases with variable coeﬃcients when it would be impossible to apply Fourier analysis in terms of sines and cosines. t). t) = 0.3 Numerical solutions to the heat equation There is another method which is sometimes used to treat the initial value problem described in the preceding section. ∂x ∂x u(x. We can also treat a mixture of Dirichlet and Neumann conditions. such that: ∂u ∂2u . = ∂t ∂x2 u(0. t) = 0 and the initial condition u(x. the space of piecewise smooth functions deﬁned for 0 ≤ x ≤ 1 which vanish at the endpoints. For any ﬁxed choice of t0 the function u(x.15) In this case separation of variables leads to the eigenvalue problem which consists of ﬁnding the nontrivial solutions to f (x) = d2 (f (x)) = λf (x). we will describe only the case where ρ and k are constant. where h(x) is a given function. Thus we seek the function u(x. t). deﬁned for 0 ≤ x ≤ π and t ≥ 0. Solve this eigenvalue problem.” Although it yields only approximate solutions. t) = 0. 4. such that: ∂u ∂2u .15). 92 . t) = ∂u (π. a. say u(0. Find the function u(x. ∂x u(x. a numerical method based upon “ﬁnite diﬀerences. which solves the heat equation ∂u ∂2u = ∂t ∂x2 subject to the boundary conditions u(0. Find the general solution to the heat equation ∂u ∂2u = ∂t ∂x2 subject to the mixed boundary condition (4.2. and in fact we will assume that c2 = L = 1. dx2 f (0) = 0 = f (L). c. However. deﬁned for 0 ≤ x ≤ 1 and t ≥ 0. = ∂t ∂x2 ∂u ∂u (0. t) = (π. 4. 0) = 3 cos x + 7 cos 2x.c. 0) = 4 sin(x/2) + 12 sin(3x/2). Find the function u(x. ∂x (4. t). 0) = h(x). for simplicity. t0 ) is an element of V0 . t) = ∂u (L.9. t) = 0.

= n2 [ui−1 (t) − 2ui (t) + ui+1 (t)]. let xi = i/n and ui (t) = u(xi .Our idea is to replace the “inﬁnite-dimensional” space V0 by a ﬁnite-dimensional Euclidean space R n−1 and reduce the partial diﬀerential equation to a system of ordinary diﬀerential equations. For 0 ≤ i ≤ n. =n ∂x ∂u ∂x xi +xi+1 . ∂x 2 xi+1 − xi 1/n Similarly. we can approximate the second-order partial derivative: ∂2u . dt This is a ﬁrst order linear system which can be presented in vector form as −2 1 0 ··· 0 1 −2 1 · · · 0 du 2 0 1 −2 · · · · .t 2 1/n xi + xi+1 ∂u . = n P u. u(t) = 2 · un−1 (t) a vector-valued function of one variable.t 2 . t) = the temperature at xi at time t.t = = n[ui+1 (t) − ui (t)]. (xi . u(0) = h. Since u0 (t) = 0 = un (t) by the boundary conditions. ui+1 (t) − ui (t) = .t 2 − ∂u ∂x xi−1 +xi .t − 2 ∂x xi−1 + xi . the temperature at time t is speciﬁed by u1 (t) u (t) . Thus the partial diﬀerential equation ∂u ∂2u = ∂t ∂x2 can be approximated by a system of ordinary diﬀerential equations dui = n2 (ui−1 − 2ui + ui+1 ). where P = dt · · · ··· · 0 0 · · · · −2 93 . t) = ∂x2 ∂u . This corresponds to utilizing a discrete model for heat ﬂow rather than a continuous one. where h= · h(xn−1 ) We can approximate the ﬁrst-order partial derivative by a diﬀerence quotient: ∂u xi + xi+1 [ui+1 (t) − ui (t)] . The initial condition becomes h(x1 ) h(x2 ) .

Note that since the ends of the string are ﬁxed. via Schr¨dinger’s partial difo ferential equation or via “inﬁnite matrices” in Heisenberg’s “matrix mechanics. This partially explains. t) = vertical displacement of the string at the point x at time t. this time in the time direction. Finally. More advanced courses on numerical analysis often treat the ﬁnite diﬀerence method in detail. one end of the string being at x = 0 and the other being at x = L. we must have u(0. why quantum mechanics possesses two superﬁcially diﬀerent formulations. and the eigenvectors approximate more and more closely the standard orthonormal basis of sine functions. This method for ﬁnding approximate solutions to the heat equation is often called the method of ﬁnite diﬀerences. We assume that the string is free to move only in the vertical direction. It will be convenient to use the “conﬁguration space” V0 described in Section 3. we can rewrite this as du = Au. We will derive a partial diﬀerential equation for u(x. Seventh edition. (4. 2000.the last matrix having n − 1 rows and n − 1 columns. for example. 94 .3.3 For us. Let u(x. Brooks Cole Publishing Company.16) a system exactly like the ones studied in Section 2.” 4.6 to check that the eigenvalues of A approach the eigenvalues of d2 /dx2 as determined in the preceding section. however. t). t) = 0 = u(L. One could continue constructing a numerical method for solution of our initial value problem by means of another discretization. With suﬃcient eﬀort.4 The vibrating string Our next goal is to derive the equation which governs the motion of a vibrating string. such as Burden and Faires. to implement it. We could do this via the familiar Cauchy-Euler method for ﬁnding numerical solutions to the linear system (4. using Mathematica or some other software package. It is sometimes the case that either a partial diﬀerential equation or a system of ordinary diﬀerential equations with a large or even inﬁnite number of unknowns can give an eﬀective model for the same physical phenomenon. one could construct a computer program. t) for all t.5. dt where A = n2 P. It shows that the heat equation can be thought of as arising from a system of ordinary diﬀerential equations when the number of dependent variables goes to inﬁnity. the main point of the method of ﬁnite diﬀerences is that it provides considerable insight into the theory behind the heat equation. Numerical analysis.16). In the limit as n → ∞ one can use the Mathematica program of §2. An element u(x) ∈ V0 represents a conﬁguration of the string at some 3 For further discussion of this method one can refer to numerical analysis books. We consider a string of length L stretched out along the x-axis.

The force acting on a portion of the string when it is in the conﬁguration u(x) is determined by an element F (x) of V0 . Potential energy is only deﬁned up to addition of a constant.17). We will assume that the potential energy in the string when it is in the conﬁguration u(x) is L V (u(x)) = 0 T 2 du dx 2 dx.instant of time. But when du/dx is small.17) where T is a constant. 1 1+ 2 and hence 1 + (du/dx)2 1 is closely approximated by 1 + (du/dx)2 . we could imagine that we have devised an experiment that measures the potential energy in the string in various conﬁgurations. proportional to the length of the string. When the force pushes the string through an inﬁnitesimal displacement ξ(x) ∈ V0 . we know that the length of the curve u = u(x) is given by the formula L Length = 0 1 + (du/dx)2 dx. this expression for potential energy is quite plausible for the following reason: We could imagine ﬁrst that the amount of energy in the string should be proportional to the amount of stretching of the string. or in other words. On the other hand. the total 95 . We imagine that the force acting on the portion of the string from x to x + dx is F (x)dx. Indeed. From vector calculus.17) does indeed represent the total potential energy in the string. Thus to a ﬁrst order of approximation. Letting T denote the constant of proportionality yields L energy in string = 0 T 2 du dx 2 dx + constant. the amount of energy in the string should be proportional to L 1+ 0 1 2 du dx 2 L dx = 0 1 2 du dx 2 dx + constant. so we can drop the constant term to obtain (4. and has determined that (4. 2 du dx 2 2 =1+ du dx 2 + a small error. called the tension of the string. (4.

Now we apply Newton’s second law.3 by a constant factor. ∂t2 ∂x . t). Thus Newton’s law becomes T ∂2u ∂2u dx = ρdx 2 . ∂2u T ∂2u = . we conclude that L L F (x)ξ(x)dx = F (x). (Note that the inner product we use here diﬀers from the one used in Section 3.) On the other hand this work is the amount of potential energy lost when the string undergoes the displacement: L F (x). 2 ∂x ∂t If we divide by ρdx. The force acting on a tiny piece of the string of length dx is F (x)dx. in other words. ∂x Since ξ(0) = ξ(L) = 0. we must have F (x) = T ∂2u . ξ(x) = T 0 0 ∂2u ξ(x)dx. 0 ∂x ∂x Integration by parts yields L F (x). we obtain the wave equation. ξ(x) = −T dx. the work is the “inner product” of F and ξ. so terms containing the square of ξ or the square of a derivative of ξ can be ignored. We are imagining that the displacement ξ is inﬁnitesimally small. ∂x2 for the force density per unit length. ξ(x) = 0 F (x)ξ(x)dx. ∂t2 ρ ∂x2 or 96 ∂2u ∂2u = c2 2 . where ρ is the density of the string. while the mass of this piece of string is just ρdx. ∂x2 Since this formula holds for all inﬁnitesimal displacements ξ(x). L F (x).work performed by F (x) is then the “sum” of the forces acting on the tiny pieces of the string. ξ(x) = T 0 ∂2u ξ(x)dx − T ∂x2 ∂u ξ (L) − T ∂x ∂u ξ (0). force = mass × acceleration. ξ(x) = 0 L T 2 ∂u ∂x 2 L dx − 0 L 0 T 2 ∂ξ ∂x ∂(u + ξ) ∂x 2 2 dx = −T 0 ∂u ∂ξ dx + ∂x ∂x T 2 dx. to the function u(x. and hence L ∂u ∂ξ F (x).

t) can be approximated by the vector-valued function u1 (t) u (t) u(t) = 2 · un−1 (t) of one variable. u(x. The wave equation is then approximated by the system of ordinary diﬀerential equations d2 u = c2 n2 P u. Show that if f : R → R is any well-behaved function of one variable. ∂t ∂x 97 .where c2 = T /ρ. Assume that the string has length L = 1 and set xi = i/n and ui (t) = u(xi . ∂t ∂x (Hint: Use the “chain rule. Just as in the preceding section.”) b. Exercises: 4. t) = the displacement of the string at xi at time t. just as before.a. we could approximate this partial diﬀerential equation by a system of ordinary diﬀerential equations. and we expect solutions to the wave equation to behave like solutions to a mechanical system of weights and springs with a large number of degrees of freedom.4. dt2 where P is the (n − 1) × (n − 1) matrix described in the preceding section. Then the function u(x. Show that if g : R → R is any well-behaved function of one variable.1. t) = g(x − ct) is a solution to the partial diﬀerential equation ∂u ∂u +c = 0. Thus the diﬀerential operator L= d2 dx2 is approximated by the symmetric matrix n2 P. u(x. t) = f (x + ct) is a solution to the partial diﬀerential equation ∂u ∂u −c = 0.

t) = ∂2u ∂2u − c2 2 = 0. the displacement of the string is zero at the endpoints.e. t) = f (x + ct) + g(x − ct) is a solution to the diﬀerential equation ∂2u ∂2u ∂ ∂ − c2 2 = +c 2 ∂t ∂x ∂t ∂x ∂u ∂u −c ∂t ∂x = 0.c. u(x. i.4. Show that 4. the function u(x. t) satisﬁes the boundary condition u(0. ∂u (x. 3.18) where h1 (x) and h2 (x) are given functions. 2 ∂t ∂x u(x. Remark: This gives a very explicit general solution to the equation for the vibrations of an inﬁnitely long string. ∂t d. 2 ∂t ρ(x) ∂x ∂x 4. 0) = h1 (x) and ∂u (x. Show that if the tension and density of a string are given by variable functions T (x) and ρ(x) respectively.2. ∂t2 ∂x where c is a constant. t) satisﬁes the initial conditions u(x. t) = u(L. 0) = h2 (x). then the motion of the string is governed by the equation ∂2u 1 ∂ ∂u = T (x) . u(x. 0) = f (x). t) satisﬁes the wave equation ∂2u ∂2u = c2 2 . Show that for any choice of well-behaved functions f and g. the initial position and velocity of the string. 2. f (x + ct) + f (x − ct) 2 is a solution to the initial value problem u(x. We formulate this problem as follows: we seek a function u(x. t) = 0. u(x.5 The initial value problem for the vibrating string The Fourier sine series can also be used to ﬁnd the solution to an initial value problem for the vibrating string with ﬁxed endpoints at x = 0 and x = L. ∂t (4. t). 98 . deﬁned for 0 ≤ x ≤ L and t ≥ 0 such that 1. 0) = 0.

Note that the wave equation itself and the boundary condition are homogeneous and linear , and therefore satisfy the principal of superposition. Once again, we ﬁnd the solution to our problem in two steps: Step I. We ﬁnd all of the solutions to the homogeneous linear conditions of the special form u(x, t) = f (x)g(t). Step II. We ﬁnd the superposition of these solution which satisﬁes the nonhomogeneous initial conditions by means of Fourier analysis. To carry out Step I, we substitute u(x, t) = f (x)g(t) into the wave equation (4.18) and obtain f (x)g (t) = c2 f (x)g(t). We separate variables, putting all the functions involving t on the left, all the functions involving x on the right: g (t) f (x) = c2 . g(t) f (x) Once again, the left-hand side of this equation does not depend on x, while the right-hand side does not depend on t, so neither side can depend upon either x or t. Therefore the two sides must equal a constant λ, and our equation becomes g (t) f (x) = = λ, 2 g(t) c f (x) which separates into two ordinary diﬀerential equations, g (t) = λ, c2 g(t) and f (x) = λ, f (x) or f (x) = λf (x). (4.20) or g (t) = λc2 g(t), (4.19)

Just as in the case of the heat equation, the homogeneous boundary condition u(0, t) = u(L, t) = 0 becomes f (0)g(t) = f (L)g(t) = 0, and assuming that g(t) is not identically zero, we obtain f (0) = f (L) = 0. Thus once again we need to ﬁnd the nontrivial solutions to the boundary value problem, d2 f (x) = 2 (f (x)) = λf (x), f (0) = 0 = f (L), dx 99

and just as before, we ﬁnd that the the only nontrivial solutions are constant multiples of f (x) = sin(nπx/L), with λ = −(nπ/L)2 , n = 1, 2, 3, . . . .

For each of these solutions, we need to ﬁnd a corresponding g(t) solving equation (4.19), g (t) = −(nπ/L)2 c2 g(t), or g (t) + (nπ/L)2 c2 g(t) = 0.

This is just the equation of simple harmonic motion, and has the general solution g(t) = a cos(ncπt/L) + b sin(ncπt/L), where a and b are constants of integration. Thus we ﬁnd that the nontrivial product solutions to the wave equation together with the homogeneous boundary condition u(0, t) = 0 = u(L, t) are constant multiples of un (x, t) = [an cos(ncπt/L) + bn sin(ncπt/L)] sin(nπx/L). The general solution to the wave equation together with this boundary condition is an arbitrary superposition of these product solutions: u(x, t) = [a1 cos(cπt/L) + b1 sin(cπt/L)] sin(πx/L) +[a2 cos(2cπt/L) + b2 sin(2cπt/L)] sin(2πx/L) + . . . . (4.21) (4.22)

The vibration of the string is a superposition of a fundamental mode which has frequency T /ρ cπ 1 c = = , L 2π 2L 2L and higher modes which have frequencies which are exact integer multiples of this frequency. Step II consists of determining the constants an and bn in (4.22) so that the initial conditions u(x, 0) = h1 (x) and ∂u (x, 0) = h2 (x) ∂t

are satisﬁed. Setting t = 0 in (4.22) yields h1 (x) = u(x, 0) = a1 sin(πx/L) + a2 sin(2πx/L) + . . . , so we see that the an ’s are the coeﬃcients in the Fourier sine series of h1 . If we diﬀerentiate equation(4.22) with respect to t, we ﬁnd that ∂u −cπ cπ (x, t) = [ a1 sin(cπt/L) + b1 cos(cπt/L)] sin(πx/L) ∂t L L 100

−2cπ cπ [a2 sin(2cπt/L) + b2 sin(2cπt/L)] cos(2πx/L) + . . . , L L and setting t = 0 yields + h2 (x) = ∂u 2cπ cπ (x, 0) = b1 sin(πx/L) + b2 sin(2πx/L) + . . . . ∂t L L

We conclude that ncπ bn = the n-th coeﬃcient in the Fourier sine series of h2 (x). L Example. Suppose that we want to ﬁnd the function u(x, t), deﬁned for 0 ≤ x ≤ π and t ≥ 0, which satisﬁes the initial-value problem: ∂2u ∂2u = , ∂t2 ∂x2 u(0, t) = u(π, t) = 0,

∂u (x, 0) = 0. ∂t In this case, the ﬁrst three coeﬃcients for the Fourier sine series of h are u(x, 0) = 5 sin x + 12 sin 2x + 6 sin 3x, a1 = 5, a2 = 12, a3 = 6,

and all the others are zero, so the solution must be u(x, t) = 5 sin x cos t + 12 sin 2x cos 2t + 6 sin 3x cos 3t. Exercises: 4.5.1 What happens to the frequency of the fundamental mode of oscillation of a vibrating string when the length of the string is doubled? When the tension on the string is doubled? When the density of the string is doubled? 4.5.2. Find the function u(x, t), deﬁned for 0 ≤ x ≤ π and t ≥ 0, which satisﬁes the following conditions: ∂2u ∂2u = , ∂t2 ∂x2 u(0, t) = u(π, t) = 0,

∂u (x, 0) = 0. ∂t You may assume that the nontrivial solutions to the eigenvalue problem u(x, 0) = sin 2x, f (x) = λf (x), are λ = −n2 , f (x) = bn sin nx, for n = 1, 2, 3, . . . , where the bn ’s are constants. 101 f (0) = 0 = f (π)

t) = 0. ∂u (x. 0) = 0.0. ∂u (x. 2 ∂t ∂x2 u(0. Construct a sequence of sketches of the positions of the vibrating string at the times ti = ih. deﬁned for 0 ≤ x ≤ π and t ≥ 0. ∂t u(x.6. {n. 4.5. Find the ﬁrst ten terms of the solution to the initial value problem for a vibrating string. t) = u(π.1 by running the Mathematica program: vibstring = Table[ 102 . 2 ∂t ∂x2 u(0.5.5. ∂t u(x. t) = 0.1. ∂u (x. c. ∂t2 ∂x2 u(0.1}]. b = Table[f[n]. ∂2u ∂2u = . t) = 0. t) = u(π. which satisﬁes the following conditions: ∂2u ∂2u = . t) = u(π. ∂t u(x. Find the function u(x. 0) = 0. where h = .4. 0) = 0.4. 0) = sin x + 3 sin 2x − 5 sin 3x. 4. deﬁned for 0 ≤ x ≤ π and t ≥ 0. t). ∂u (x. 0) = 0. Find the ﬁrst ten coeﬃcients of the Fourier sine series for h(x) = x − x4 by running the following Mathematica program f[n ] := 2 NIntegrate[(x . Find the function u(x. 4.10}] b. t).x∧4) Sin[n Pi x]. {x. Find the function u(x.5. t). ∂t2 ∂x2 u(0. t) = 0. which satisﬁes the following conditions: ∂2u ∂2u = . 0) = x(π − x).5. t) = u(π. deﬁned for 0 ≤ x ≤ π and t ≥ 0. which satisﬁes the following conditions: ∂2u ∂2u = .3. 0) = x − x4 . 0) = sin x + sin 2x. (For students with access to Mathematica) a. ∂t u(x.

where h(θ) is a given function. ∂t ∂θ where c is a constant. t) = f (θ)g(t) into the heat equation (4.1. Select the cell containing vibstring and animate the sequence of graphics by running “Animate selected graphics. (4. 4. u(θ. 2. we seek a function u(θ. 0) = h(θ) by the theory of Fourier series. t). u(θ. in other words.Plot[ Sum[ b[n] Sin[n Pi x] Cos[n Pi t]. 0) = h(θ).1} ] d.23) 3. g(t) f (θ) 103 . periodic of period 2π. In this case.. u(θ.. ∂t ∂θ u(θ + 2π. for all θ and t. t) = u(θ. {t. t) satisﬁes the heat equation ∂u ∂2u = c2 2 . t) = u(θ.1. PlotRange -> {-1. deﬁned for θ ∈ R and t ≥ 0 such that 1.6 Heat ﬂow in a circular wire The theory of Fourier series can also be used to solve the initial value problem for the heat equation in a circular wire of radius 1 which is insulated along the sides. t).1} ].1}.10}]. {n. so they must be dealt with ﬁrst. Thus we substitute u(θ.” from the Cell menu. t) is periodic of period 2π in the variable θ. we will be able to ﬁnd the particular solution which satisﬁes the initial condition u(θ. Once we have found the general solution to the homogeneous conditions ∂u ∂2u = c2 2 . the initial temperature of the wire. u(θ + 2π. {x. t).0.23) to obtain f (θ)g (t) = c2 f (θ)g(t) and separate variables: g (t) f (θ) = c2 . Once again the heat equation itself and the periodicity condition are homogeneous and linear.0. t) satisﬁes the initial condition u(θ.

dθ2 f (θ + 2π) = f (θ). and to be consistent with our Fourier series conventions. (4. (4. f (θ) or f (θ) = λf (θ). the eigenvalue problem (4. (4. f (θ + 2π) = f (θ). We thus obtain two ordinary diﬀerential equations. t) becomes f (θ + 2π)g(t) = f (θ)g(t).The left-hand side of this equation does not depend on θ. Case 1: λ = 0. Thus to ﬁnd the nontrivial solutions to the homogeneous linear part of the problem requires us to ﬁnd the nontrivial solutions to the problem: f (θ) = d2 (f (θ)) = λf (θ). t) = u(θ. 2 g(t) c f (θ) where λ is a constant. so neither side can depend upon either θ or t. the diﬀerential equation f (θ) = λf (θ).25) or g (t) = λc2 g(t). In this case. and a + b(θ + 2π) = a + b(θ) ⇒ b = 0. g (t) = λ. and if g(t) is not identically zero. we must have f (θ + 2π) = f (θ). c2 g(t) and f (θ) = λ.11) the eigenvalue problem for the diﬀerential operator L= d2 dθ2 acting on the space V of functions which are periodic of period 2π. while the right-hand side does not depend on t.26) We will call (4. As before.24) The periodicity condition u(θ + π. or f (θ) − λf (θ) = 0 104 . we need to consider three cases. Case 2: λ > 0. and we can write g (t) f (θ) = = λ. Thus the only solution in this case is that where f is constant. In this case. where a0 is a constant.26) becomes f (θ) = 0. The general solution to the diﬀerential equation is f (θ) = a + bθ. we write f (θ) = a0 /2.

−n2 . In this case. we ﬁnd that the solution is g(t) = (constant)e−n 2 2 c t . where c is a constant. t) = a0 . which we can assume is positive. . we set ω = −λ. 2. . As before. √ λθ) + be−( √ λθ) . . . −4. . . so we conclude that a = b = 0. t) = [an cos(nθ) + bn sin(nθ)]e−n 2 2 c t . . the diﬀerential equation of simple harmonic motion. 105 . . We recognize once again our old friend. . −1. Neither of these is consistent with the periodicity conditions f (θ + 2π) = f (θ). Thus the product solutions to the homogeneous part of the problem are u0 (θ. The periodicity condition f (θ + 2π) = f (θ) implies that ω = n. 2 θ → ∞. and we obtain no nontrivial solutions in this case. and f (θ) = an cos(nθ) + bn sin(nθ). Now we need to ﬁnd the corresponding solutions to (4.has the general solution f (θ) = ae( Note that a = 0 ⇒ f (θ) → ±∞ as while b = 0 ⇒ f (θ) → ±∞ as θ → −∞. . 2 un (θ. where n is an integer. where n = 1.24) g (t) = λc2 g(t). −9. 3. and f (θ) = a0 . and rewrite the eigenvalue problem as f (θ) + ω 2 f (θ) = 0. for λ = 0. which has the general solution f (θ) = a cos(ωθ) + b sin(ωθ) = A sin(ω(θ − θ0 )). .26) is λ=0 or λ = −n2 where n is a positive integer and f (θ) = an cos(nθ) + bn sin(nθ). √ Case 3: λ < 0. f (θ + 2π) = f (θ). . Thus we see that the general solution to the eigenvalue problem (4.

t). 2.27) is a periodic solution of period 2π to the heat equation (4. . and f (θ) = f (θ + 2π) = f (θ) a0 . .6. t) = u(θ. .1. 4. for n = 1. . .23). b1 . ∂t ∂θ2 u(θ + 2π. which satisﬁes the following conditions: ∂2u ∂u = . we must impose the initial condition u(θ. 106 . You may assume that the nontrivial solutions to the eigenvalue problem f (θ) = λf (θ). t).6. 2 where the an ’s and bn ’s are constants. t) = 2 2 a0 + Σ∞ [an cos(nθ) + bn sin(nθ)]e−n c t n=1 2 (4. 0) = 2 + sin θ − cos 3θ. t). are λ=0 and λ = −n2 and f (θ) = an cos nθ + bn sin nθ. Thus u(θ. ∂t ∂θ2 u(θ + 2π. . To ﬁnish the solution to our problem. . Find the function u(θ. Find the function u(θ. deﬁned for 0 ≤ θ ≤ 2π and t ≥ 0. Thus the solution to our initial value problem is just (4.27) yields a0 + Σ∞ [an cos(nθ) + bn sin(nθ)] = h(θ).27) in which the constants ak and bk can be determined via the familiar formulae ak = 1 π π h(θ) cos kθdθ. are just the Fourier coeﬃcients of h(θ). −π bk = 1 π π h(θ) sin kθdθ. .Now we apply the superposition principle—an arbitrary superposition of these product solutions must again be a solution. a1 . But setting t = 0 in (4. n=1 2 so the constants a0 . −π Note that as t → ∞ the temperature in the circular wire approaches the constant value a0 /2. 3. . u(θ. t) = u(θ. deﬁned for 0 ≤ θ ≤ 2π and t ≥ 0. . Exercises: 4. 0) = h(θ). which satisﬁes the following conditions: ∂u ∂2u = . t).2. .

the density ρ(x) and the thermal conductivity κ(x) vary from point to point. all the functions involving x on the right: g (t) 1 d = g(t) ρ(x)σ(x) dx κ(x) df (x) dx 1 . t) = f (x)g(t) into (4. σ(x) and κ(x) are positive. this leads to consideration of the partial diﬀerential equation ∂u 1 ∂ = ∂t ρ(x)σ(x) ∂x κ(x) ∂u ∂x . t) = u(θ. t) = 0. 2 ∂t ∂θ2 u(θ + 2π. 4. the initial temperature of the bar. 0) = h(x). 0) = 2 + sin θ − cos 3θ. 0) = 0. 107 (4. t) satisﬁes the boundary condition u(a. deﬁned for a ≤ x ≤ b and t ≥ 0 such that 1. b]. t). which we denote by λ.28) and obtain f (x)g (t) = 1 d ρ(x)σ(x) dx κ(x) df (x) g(t). we expect that there should exist a unique function u(x. we separate variables. deﬁned for 0 ≤ θ ≤ 2π and t ≥ 0. 0) = |θ|.u(θ. g (t) = λg(t). dx Once again. Find the function u(θ. 3.28) where we make the standing assumption that ρ(x). which satisﬁes the following conditions: ∂2u ∂2u = . we substitute u(x. the two sides must equal a constant. deﬁned for x ∈ [a. As in the constant coeﬃcient case. putting all the functions involving t on the left.1. As we saw in Section 4. ∂u (θ. t) satisﬁes the heat equation (4.6. t). 4. (4. ∂t u(θ. u(x. u(x. 2. where h(x) is a given function. t) = u(b. and our equation separates into two ordinary diﬀerential equations.28).7 Sturm-Liouville Theory* We would like to be able to analyze heat ﬂow in a bar even if the speciﬁc heat σ(x). We imagine that the bar is situated along the x-axis with its endpoints situated at x = a and x = b. π]. t). u(x. t) satisﬁes the initial condition u(x.29) .3. for θ ∈ [−π. f (x) As usual. Just as before.

. New York. f2 (x). (4. fn (x). The eigenvalues of L are the constants λ for which (4. Then the general solution to the heat equation (4.31) has nontrivial solutions. The following theorem. σ(x) and κ(x) are smooth functions which are positive on the interval [a. and each eigenspace is one-dimensional.and 1 d ρ(x)σ(x) dx κ(x) df (x) dx = λf (x). Wiley. λ2 . ρ(x)σ(x) dx dx which acts on the space V0 of well-behaved functions f : [a. b]. λn . Suppose that f1 (x). we need to ﬁnd the nontrivial solutions to the boundary value problem: 1 d ρ(x)σ(x) dx κ(x) df (x) dx = λf (x).28) together with the boundary conditions u(a. Seventh edition. . . 2001. t) = u(b. t) = 0 yields f (a) = f (b) = 0. f (a) = 0 = f (b). 108 . . are eigenfunctions corresponding to the eigenvalues λ1 . . the eigenvalues can be arranged in a sequence 0 > λ 1 > λ2 > · · · > λ n > · · · . t) = n=0 4 For cn fn (x)e−λn t . . σ(x) and κ(x) are complicated. b] → R which vanish at the endpoints a and b. the boundary condition u(a. Elementary diﬀerential equations and boundary value problems. due to the nineteenth century mathematicians Sturm and Liouville. . t) = 0 is ∞ u(x. Nonzero elements of the eigenspaces are called eigenfunctions. Given an eigenvalue λ. Then all of the eigenvalues of L are negative real numbers. and one may need to employ numerical methods to obtain approximate solutions. . Thus to ﬁnd the nontrivial solutions to the homogeneous linear part of the problem. t) = u(b. it is reassuring to know that the theory is quite parallel to the constant coeﬃcient case that we treated in previous sections. every well-behaved function can be represented on [a.31) We call this the eigenvalue problem or Sturm-Liouville problem for the diﬀerential operator 1 d d L= κ(x) . . it may be impossible to solve this eigenvalue problem explicitly. Nevertheless. . with λn → −∞. is proven in more advanced texts:4 Theorem. If the functions ρ(x). the corresponding eigenspace is Wλ = {f ∈ V0 : f satisﬁes (4. see Boyce and DiPrima. . . (4. b] as a convergent sum of eigenfunctions. Moreover. Suppose that ρ(x). .30) Under the assumption that u is not identically zero. . further discussion. . Finally.31)}.

or equivalently. if we normalize the eigenfunctions so that they have unit length and are orthogonal to each other with respect to . Example. we conclude that fi and fj are perpendicular with respect to the inner product ·. we need a generalization of the theory of Fourier series. We consider the operator L=x d dx 109 x d dx . With respect to this inner product. b b L(f ). · . we can use exactly the same orthogonality techniques that we have used before. The inner product should be one which makes L like a symmetric matrix. fj . Since λi − λj = 0. g = f. It follows that if fi (x) and fj (x) are eigenfunctions corresponding to distinct eigenvalues λi and λj . so that if we thought of L as represented by a matrix. indeed. Lemma. eigenfunctions corresponding to distinct eigenvalues are perpendicular. as claimed. g ∈ V0 . The key idea here is that the eigenspaces should be orthogonal with respect to an appropriate inner product. but in reverse order. fj = 0. then λi fi . then cn = h. To determine the cn ’s in terms of the initial temperature h(x). ·. fn . g = a ρ(x)σ(x)f (x)g(x)dx. The proof hinges on the fact that L(f ). · . dx dx where the steps represented by dots are just like the ﬁrst steps. To arrange this. g = a ρ(x)σ(x)L(f )(x)g(x)dx = a b d dx K(x) df (x) g(x) dx =− a K(x) df dg (x) (x)dx = · · · = f.where the cn ’s are arbitrary constants. for f. L(g) . Thus to determine the cn ’s. Namely. the inner product that we need to use on V0 is the one deﬁned by the formula b f. and hence (λi − λj ) fi . L(g) = λj fi . cn is just the projection of h in the fn direction. This identity can be veriﬁed by integration by parts. g = f. . the matrix would be symmetric. L(g) . fj = L(f ).

which acts on the space V0 of functions f : [1.32) becomes ˜ d2 f ˜ (z) = λf (z).1. · . . . . . . Show by direct integration that if m = n. eπ ]. we need to ﬁnd the nontrivial solutions to x d dx x df (x) dx = λf (x). The nontrivial solutions are λn = −n2 . we make a change of variables x = ez and note that since dx = ez dz. x (4. . However. (4. there is a simpler approach. where n = 1. for n = 1. ˜ fn (z) = sin nz. 2 dz ˜ ˜ f (0) = 0 = f (π). and as corresponding eigenfunctions we can take fn (x) = sin(n log x). . 2. f (1) = 0 = f (eπ ).32) We could ﬁnd these nontrivial solutions by using the techniques we have learned for treating Cauchy-Euler equations. . g = 1 1 f (x)g(x)dx.7. Thus if we set 1 d d = z dx e dz and hence x d d 1 d = ez z = . Thus the eigenvalues for our original problem are λn = −n2 . 2. the eigenvalue problem (4.33).33) Exercises: 4. The lemma implies that these eigenfunctions will be perpendicular with respect to the inner product ·. Namely. dx e dz dz ˜ f (z) = f (x) = f (ez ). a problem which we have already solved. eπ ] → R which vanish at the endpoints of the interval [1. 110 . the functions fm (x) = sin(m log x) and fn (x) = sin(n log x) are perpendicular with respect to the inner product deﬁned by (4. where log denotes the natural or base e logarithm. To solve the eigenvalue problem. deﬁned by eπ f. based upon the technique of substitution.

We could let ρ(x) = the mass density of the string at x for 0 ≤ x ≤ 1. for all t ≥ 0. We can imagine a violin string stretched out along the x-axis with endpoints at x = 0 and x = 1 covered with a layer of varnish which causes its mass density to vary from point to point. t) = f (x)g(t) as usual.34) yields T g (t) T f (x) f (x)g (t) = f (x)g(t).7. its motion might be governed by the partial diﬀerential equation ∂2u T ∂2u = . which satisﬁes the following initial-value problem for a heat equation with variable coeﬃcients: ∂u ∂ =x ∂t ∂x x ∂u ∂x . t). eπ ] → R which vanish at the endpoints of the interval [1. t) = u(eπ . If the string is under constant tension T . t). t). t) = u(eπ . Substituting into (4. deﬁned for 1 ≤ x ≤ eπ and t ≥ 0.a. ρ(x) g(t) ρ(x) f (x) 111 . eπ ]. or = . u(1. 0) = 3 sin(log x) + 7 sin(2 log x) − 2 sin(3 log x). t) = 0. u(x.35) by separation of variables.4. 0) = 3 sin(log x) + 7 sin(2 log x) − 2 sin(3 log x). which acts on the space V0 of functions f : [1.34) and (4. 4. letting u(x. Find the solution to the eigenvalue problem for the operator L=x d dx x d dx − 3. u(x. t) = 0.2. 4. Find the function u(x.34) It is natural to try to ﬁnd the general solution to (4.3. t) = 0 = u(1. Find the function u(x. ∂t2 ρ(x) ∂x2 which would be subject to the Dirichlet boundary conditions u(0.8 Numerical solutions to the eigenvalue problem* We can also apply Sturm-Liouville theory to study the motion of a string of variable mass density.35) (4. u(1. which satisﬁes the following initial-value problem for a heat equation with variable coeﬃcients: ∂u ∂ =x ∂t ∂x x ∂u ∂x − 3u. deﬁned for 1 ≤ x ≤ eπ and t ≥ 0. b. (4.7.

It is therefore usually necessary to use numerical methods. u(t) = 2 · un−1 (t) a vector-valued function of one variable. Thus f must satisfy the eigenvalue problem L(f ) = λf. The partial derivative ∂2u ∂t2 is approximated by d2 u . In constrast to the case of constant density. it is usually not possible to ﬁnd simple explicit eigenfunctions when the density varies. b] as a convergent sum of eigenfunctions.35) yield f (0) = 0 = f (1). . ρ(x) g (t) = λg(t). denoted by λ. . . . fn (x). f (0) = 0 = f (1). . we let xi = i/n and ui (t) = u(xi .34) and (4. every well-behaved function can be represented on [a. ρ(x) dx2 Although the names of the functions appearing in L are a little diﬀerent than those used in the previous section. the same Theorem applies. Thus the eigenvalues of L are negative real numbers and each eigenspace is one-dimensional. where the an ’s and bn ’s are arbitrary constants. . The simplest numerical method is the one outlined in §4.35) is ∞ u(x. the eigenvalues can be arranged in a sequence 0 > λ1 > λ2 > · · · > λ n > · · · . If f1 (x). The Dirichlet boundary conditions (4. Since u0 (t) = 0 = un (t) by the boundary conditions. λn . Finally. For 0 ≤ i ≤ n. . t) = n=0 fn (x) an cos( −λn t) + bn sin( −λn t) . the displacement at time t is approximated by u1 (t) u (t) .3. with λn → −∞. . and the partial diﬀerential equation separates into two ordinary diﬀerential equations. are eigenfunctions corresponding to the eigenvalues λ1 . Then the general solution to (4. Each term in this sum represents one of the modes of oscillation of the vibrating string. . . . . f2 (x). λ2 . . . dt2 112 . T f (x) = λf (x). where L= T d2 . t) = the displacement at xi at time t. . Moreover.The two sides must equal a constant.

1: Shape of the lowest mode when ρ = 1/(x + . 113 .12 -0.04 -0.3. 0 0 T /ρ(x3 ) · · · · Q= · · · ··· · 0 0 · · · · T /ρ(xn−1 ) Putting all this together.1)? To answer this question.02 -0. the coeﬃcient (T /ρ(x)) can be represented by the diagonal matrix 0 0 ··· 0 T /ρ(x1 ) 0 T /ρ(x2 ) 0 ··· 0 . The eigenvalues of low absolute value are approximated by the eigenvalues of A.08 -0. we ﬁnd that our wave equation with variable mass density is approximated by a second order homogeneous linear system of ordinary diﬀerential equations d2 u = Au. 0 0 · · −2 . Finally.1). dt2 where A = n2 QP. and as we saw in §4.20 -0. we could ask the question: What is the shape of the lowest mode of oscillation in the case where ρ(x) = 1/(x+. the partial derivative ∂2u ∂x2 where P = is approximated by −2 1 0 · 0 1 −2 1 · 0 0 1 −2 · · ··· ··· ··· ··· ··· n2 P u.14 40 60 80 100 Figure 4.1 -0. while the eigenfunctions representing the lowest frequency modes of oscillation are approximated eigenvectors corresponding to the lowest eigenvalues of A.06 -0. For example.

1.1. q := DiagonalMatrix[Table[(1/rho[i/n]). ListPlot[eigenvec[[n-1]]] If we run this program we obtain a graph of the shape of the lowest mode. Note that instead of approximating a sine curve.1).5. a := n∧2 q. rho[x ] := 1/(x + . p := m .n-1 } .n-1 } ]. { i.0].2): n := 100. our numerical approximation to the lowest mode tilts somewhat to the left.4 IdentityMatrix[n-1].we could utilize the following Mathematica program (which is quite similar to the one presented in Exercise 2.n-1 } ]]. as shown in Figure 4. m := Table[Max[2-Abs[i-j]. 114 .p.{ j. eigenvec = Eigenvectors[N[a]]. { i.

Chapter 5 PDE’s in Higher Dimensions 5. This ensures that the principle of superposition will hold. The principle of superposition is essential if we want to apply separation of variables and Fourier analysis techniques. Each of these three equations is homogeneous linear . for any choice of constants c1 and c2 . ∂2u ∂2u ∂2u + 2 + 2 ∂x2 ∂y ∂z . In the ﬁrst few sections of this chapter. ∂2u = c2 ∂t2 ∂2u ∂2u ∂2u + 2 + 2 ∂x2 ∂y ∂z . u1 and u2 solutions ⇒ c1 u1 + c2 u2 is a solution. Techniques developed for studying these equations can often be applied to closely related equations.1 The three most important linear partial differential equations In higher dimensions. where c is a nonzero constant. the three most important linear partial diﬀerential equations are Laplace’s equation ∂2u ∂2u ∂2u + 2 + 2 = 0. that is each term contains u or one of its derivatives to the ﬁrst power. ∂x2 ∂y ∂z the heat equation ∂u = c2 ∂t and the wave equation. We will begin by using the divergence 115 . we will derive these partial diﬀerential equations in several physical contexts.

∂t (5. z) and ρ(x. y. we will see that it is necessary to solve Bessel’s equation. y. y. y. the equation governing heat ﬂow through a region of (x. is u(x. then the heat within a given region D in (x. y. z)σ(x.1) by diﬀerentiating under the integral sign. Separation of variables reduces these partial diﬀerential equations to linear ordinary diﬀerential equations. y.theorem to derive the heat equation. y. z) is the density of the medium at (x. z). We then present two derivations of the wave equation. The most complicated cases cannot be solved by separation of variables. z)-space is given by the formula Heat within D = D ρ(x. z)-space. For example. If no heat is being created or destroyed within D. the rate at which heat leaves D equals minus the rate of change of heat within D. In the rest of this section. z) is the speciﬁc heat at the point (x. the general solution to the one-dimensional wave equation ∂2u ∂2u = c2 2 ∂t2 ∂x for the vibrations of an inﬁnitely long string. For example. z) at time t. t)dxdydz. z)u(x. It is remarkable that the principles developed to solve the three basic linear partial diﬀerential equations can be applied in so many contexts. it is possible to ﬁnd explicit solutions to these partial differential equations under the simplest boundary conditions. Exactly the same wave equation also describes electromagnetic waves. often with variable coeﬃcients. In a few cases. to ﬁnd the explicit solution to the heat equation in a circular room. we consider our ﬁrst example. where f and g are arbitrary well-behaved functions of a single variable. as we studied before. together with suﬃcient theory to understand the qualitative behaviour of the solutions. then by conservation of energy. y. y. Let u(x. gravitational waves. z. under the assumption that no heat is being created or destroyed within the region. y. one for vibrating membranes and one for sound waves. Slightly more complicated cases require the technique of “separation of variables” together with Fourier analysis. t) = temperature at (x. which in turn reduces in the steady-state case to Laplace’s equation. and one must resort to numerical methods. or water waves in a linear approximation. If σ(x. t) = f (x + ct) + g(x − ct). which is − d dt ρσudxdydz = − D D ρσ ∂u dxdydz. y. z. 116 .

we conclude that ρσ D ∂u dxdydz = ∂t ∇ · (κ∇u)dxdydz.2). (5.e. z)(∇u)) . z)σ(x. z) are constants. y. where N is the unit normal which points out of D. y. y. t) = −κ(x. It follows from the divergence theorem that Rate at which heat leaves D = − D ∇ · (κ∇u)dxdydz. i. its properties are the same at every point. y. z) must satisfy Laplace’s equation ∂2u ∂2u ∂2u + 2 + 2 = 0. y. y. heat ﬂow can be represented by a vector ﬁeld F(x. z) and κ(x. t) which points in the direction of greatest decrease of temperature. z. so the integrands on the two sides must be equal: ρ(x. z).2) From formulae (5. y. z) ∂u (x. ∂t ρ(x. y.On the other hand. Thus the rate at which heat leaves the region D through a small region in its boundary of area dA is −(κ∇u) · NdA. z. y. The total rate at which heat leaves D is given by the ﬂux integral − ∂D (κ∇u) · NdA. z)(∇u)(x. z). and the heat equation becomes ∂u κ ∂2u ∂2u ∂2u = + 2 + 2 . ∂x2 ∂y ∂z 117 . D This equation is true for all choices of the region D. z) In the special case where the region D is homogeneous. z. F(x. z)σ(x. y. where ∂D is the surface bounding D. σ(x. y. z) is the so-called thermal conductivity of the medium at (x.1) and (5. ρ(x. y. so that the temperature is no longer changing. y. where κ(x. t). y. z. y. ∂t ρσ ∂x2 ∂y ∂z If we wait long enough. z. y. t) = ∇ · (κ∇u)(x. the “steady-state” temperature u(x. y. t). ∂t Thus we ﬁnally obtain the heat equation ∂u 1 = ∇ · (κ(x.

∂x2 ∂y ∂z ∂2u ∂2u ∂2u + 2 + 2 + u2 = 0.2 The Dirichlet problem The reader will recall that the space of solutions to a homogeneous linear second order ordinary diﬀerential equation. y. the function u(x. the space of solutions to Laplace’s partial diﬀerential equation ∂2u ∂2u + 2 =0 ∂x2 ∂y 118 (5. z) + ∇ · (κ(x.3) . ∂x2 ∂y ∂z d. t) + ν(x. 5. ∂2u ∂2u ∂2u + 2 + 2 = 0. y. y. t) + ν(x. y. z) must satisfy the two-dimensional Laplace equation ∂2u ∂2u + 2 = 0. per unit volume. ∂x2 ∂y ∂z ∂2u ∂2u ∂2u + 2 + 2 + u = 0. z)σ(x. such as d2 u du + qu = 0 +p dt2 dt is two-dimensional. y. 5. y) = u(x. y. y.2.1. ∂x2 ∂y ∂z b. Suppose that a chemical reaction creates heat at the rate λ(x. z. z) ∂u = λ(x.If the temperature is independent of z. z)(∇u)) . z). z. y. e. ∂t ∂2u ∂2u ∂2u + 2 + 2 = ex . ∂x2 ∂y ∂z ∂2u ∂2u ∂2u + 2 + 2 = ex u. a particular solution being determined by two constants. Show that in this case the equation governing heat ﬂow is ρ(x. y.1. z)u(x. y. By contrast. ∂x2 ∂y Exercises: 5. z)u(x.1. For which of the following diﬀerential equations is it true that the superposition principle holds? a. c. Explain your answers.

The Dirichlet Problem for Laplace’s Equation. Suppose that u(x. ∂x ∂u = −6xy. y) represents the steady-state distribution of temperature throughout a uniform slab in the shape of a region D in the (x. ∂x2 ∂y u(x. are solutions to Laplace’s equation. y)-plane. that D = {(x. we need to think of a physical problem which leads to Laplace’s equation. y) = 7. It is not diﬃcult to construct inﬁnitely many linearly independent harmonic functions of two variables. We need inﬁnitely many heaters and refrigerators because there are inﬁnitely many points on the boundary. ∂y 2 ∂2u ∂2u + 2 = 6x − 6x = 0. A solution to Laplace’s equation is called a harmonic function. y)-plane which is bounded by a curve ∂D. y). The mathematical proof that a unique solution exists provides evidence that the mathematical model we have constructed for heat ﬂow may in fact be valid. Specifying the temperature at each point of the boundary imposes inﬁnitely many constraints on the harmonic function which realizes the steady-state temperature within D. Suppose. ∂x2 ∂2u = −6x. Our physical intuition suggests that the Dirichlet problem will always have a unique solution. and u(x. 0 ≤ y ≤ b}. Our goal here is to ﬁnd the explicit solutions in the case where the region D is suﬃciently simple. Find a harmonic function u : D → R such that u(x. for example. for (x. y) ∈ R 2 : 0 ≤ x ≤ a. Let D be a bounded region in the (x. ∂y and hence ∂2u = 6x. 119 . y) ∈ ∂D. This is proven mathematically for many choices of boundary in more advanced texts on complex variables and partial diﬀerential equations. we need boundary conditions which will impose inﬁnitely many constraints. y) = φ(x. say by setting up heaters and refrigerators controlled by thermostats along the boundary. y) = x4 − 6x2 y 2 + y 4 . Thus to pick out a particular solution to Laplace’s equation.is inﬁnite-dimensional. we might expect that the temperature inside the room would be uniquely determined. y) = x3 − 3xy 2 is a solution to Laplace’s equation. and let φ : ∂D → R be a continuous function. To see what boundary conditions are natural to impose. because ∂u = 3x2 − 3y 2 . If we specify the temperature on the boundary of the region. y) = ex sin y Similarly. the function u(x. For example. u(x.

while the right-hand side does not depend on x. such that 1. putting all the functions involving x on the left. Hence neither side can depend upon either x or y. X(x) Y (y) The left-hand side of this equation does not depend on y.Suppose. 120 . y) = X(x)Y (y) into Laplace’s equation (5. b) = f (x). Next we separate variables. Our method for solving the Dirichlet problem consists of two steps: Step I. where f (x) is a given continuous function which vanishes when x = 0 and x = a. y) = X(x)Y (y). an arbitrary linear superposition of these solutions will still be a solution. for any choice of constants c1 and c2 .3) and obtain X (x)Y (y) + X(x)Y (y) = 0. In this case. y) satisﬁes the homogeneous boundary conditions u(0. where f (x) is a given function.4) 2. 0) = 0. so does c1 u1 + c2 u2 . y). To carry out Step I. deﬁned for 0 ≤ x ≤ a and 0 ≤ y ≤ b. while φ(x. y) satisﬁes the nonhomogeneous boundary condition u(x. all the functions involving y on the right: X (x) Y (y) =− . By the superposition principle. 3. y) = φ(a. Note that the Laplace equation itself and the homogeneous boundary conditions satisfy the superposition principle—this means that if u1 and u2 satisfy these conditions. u(x. we seek a function u(x. Step II. y) = φ(x. b) = f (x). We ﬁnd all of the solutions to Laplace’s equation together with the homogeneous boundary conditions which are of the special form u(x. u(x. y) = u(a. We ﬁnd the particular solution which satisﬁes the nonhomogeneous boundary condition by Fourier analysis. u(x. 0) = 0. we substitute u(x. y) = u(x. ∂x2 ∂y (5. y) satisﬁes Laplace’s equation ∂2u ∂2u + 2 = 0. so that φ(0. moreover that the function φ : ∂D → R vanishes on three sides of ∂D.

and call the separating constant. where λ = −(nπ/a)2 . . X(0) = X(a) = 0.6). together with the boundary condition Y (0) = 0. the two sides must equal a constant. Thus we ﬁnd that the nontrivial product solutions to Laplace’s equation together with the homogeneous boundary conditions are constant multiples of un (x. where A and B are constants of integration. with λ = −(nπ/a)2 . dx2 d2 dx2 X(0) = 0 = X(a). n = 1. Our equation now becomes X (x) Y (y) =− = λ. . . y) = u(a. 3. 121 .6) (5. 2. . y) = 0 imply that X(0)Y (y) = X(a)Y (y) = 0.In other words. and Y (y) = −λY (y). Thus we need to ﬁnd the nontrivial solutions to a boundary value problem for an ordinary diﬀerential equation: X (x) = d2 (X(x)) = λX(x).5) are constant multiples of X(x) = sin(nπx/a). we need to ﬁnd a corresponding Y (y) solving equation (5. The diﬀerential equation has the general solution Y (y) = A cosh(nπy/a) + B sinh(nπy/a). as before. If Y (y) is not identically zero. X (x) = λX(x). Y (y) = −λY (y). and the boundary condition Y (0) = 0 implies that A = 0. which we denote by λ. (5. We have seen before that the only nontrivial solutions to equation (5. For each of these solutions. The homogeneous boundary condition u(0.5) which we recognize as the eigenvalue problem for the diﬀerential operator L= acting on the space V0 of functions which vanish at 0 and a. X(x) Y (y) which separates into two ordinary diﬀerential equations. y) = sin(nπx/a) sinh(nπy/a).

7) yields f (x) = B1 sin(πx/a) sinh(πb/a) + B2 sin(2πx/a) sinh(2πb/a)+ . y) = x3 − 3xy 2 . we need to determine the constants B1 . and hence B1 = 3 . y) = 3 7 sin x sinh y + sin 2x sinh 2y. ∂x2 ∂y u(x. f (x. c. f (x. then we must have f (x) = B1 sin(x) sinh(π) + B2 sin(2x) sinh(2π). y) = 0. Which of the following functions are harmonic? a. y) = x2 + y 2 . .7) so that u(x. y).1. . y) = x2 − y 2 . . and f (x) = 3 sin x + 7 sin 2x. . 0 ≤ y ≤ π. y) = B1 sin(πx/a) sinh(πy/a) + B2 sin(2πx/a) sinh(2πy/a) + . u(x. 0) = 0. sinh(π) sinh(2π) Exercises: 5. . + Bk sin(2πk/a) sinh(kπb/a) + . Substitution of y = b into (5. u(0. π) = sin x − 2 sin 2x + 3 sin 3x. a. Thus the solution to Dirichlet’s problem in this case is u(x. . b) = f (x).2. 0 ≤ x ≤ π. For example. . 122 .7) To carry out Step II. 5. B2 . y) = ex cos y. . d.2. (5. f (x. sinh(π) B2 = 7 . which occur in (5. . f (x. if a = b = π. . b. We see that Bk sinh(kπb/a) is the k-th coeﬃcient in the Fourier sine series for f (x). . . sinh(2π) Bk = 0 for k = 3. Solve the following Dirichlet problem for Laplace’s equation in a square region: Find u(x.2.The general solution to Laplace’s equation with these boundary conditions is a general superposition of these product solutions: u(x. . such that ∂2u ∂2u + 2 = 0. . y) = u(π. .

0) = 0. u(0. y).1: Graph of u(x. 0) = 0 = u(x. 0 ≤ x ≤ π. Find a function u(x. t) such that 123 . y) = 3 sinh(π) 3 2 1 0 7 sinh(2π) sin x sinh y + sin 2x sinh 2y. ﬁnd the solution to the Dirichlet problem: Find u(x. y.10 5 0 -5 -10 0 1 2 3 Figure 5. π) = sin x−2 sin 2x+3 sin 3x. such that ∂2u ∂2u + 2 = 0. 0 ≤ x ≤ π. 0 ≤ y ≤ π. such that ∂2u ∂2u + 2 = 0. 5. y) = 0. y) = sin 2y+3 sin 4y. y) = 0. u(x. y) = sin 2y + 3 sin 4y. 0 ≤ y ≤ π. u(x. b. u(x.3 Initial value problems for heat equations The physical interpretation behind the heat equation suggests that the following initial value problem should have a unique solution: Let D be a bounded region in the (x. π). ∂x2 ∂y u(π. By adding the solutions to parts a and c together. and let h : D → R be a continuous function which vanishes on ∂D. c. ∂x2 ∂y u(π. u(0. y). y)-plane which is bounded by a piecewise smooth curve ∂D. Solve the following Dirichlet problem for Laplace’s equation in the same square region: Find u(x.

b. y) ∂2f ∂2f + 2 2 ∂x ∂y . If we let λ denote the constant. t) = u(x. First.9) . separation of variables is done in two stages. (5. t) = u(x. t) = 0. y. we obtain 1 c2 g(t) g (t) = λ = 1 f (x. 0 ≤ y ≤ b}. (5. 0) = h(x. y) ∈ ∂D. t) = f (x.8) 2. and a partial diﬀerential equation ∂2f ∂2f + 2 2 ∂x ∂y 124 = λf. y. so our strategy is to treat them ﬁrst by separation of variables. y). for (x. t) = 0. we write u(x. y) ∂2f ∂2f + 2 ∂x2 ∂y . y)g(t).8) to obtain f (x. y)g (t) = c2 Then we divide by c2 f (x. y) ∈ R 2 : 0 ≤ x ≤ a. y)g(t). 1 1 g (t) = 2 g(t) c f (x. t) = u(a. u satisﬁes the “Dirichlet boundary condition” u(x. In this section. ∂2f ∂2f + 2 ∂x2 ∂y g(t). and then use Fourier analysis to satisfy the last condition. u satisﬁes the heat equation ∂u = c2 ∂t ∂2u ∂2u + 2 ∂x2 ∂y . Hence neither side can depend on x. This separates into an ordinary diﬀerential equation g (t) = c2 λg(t). 3. The left-hand side of this equation does not depend on x or y while the right hand side does not depend on t. u satisﬁes the initial condition u(x. or t. and substitute into (5. The ﬁrst two of these conditions are homogeneous and linear.10) (5. y. 0. In this case. we consider the special case where D = {(x.1. y. y. so both sides must be constant. so that the Dirichlet boundary condition becomes u(0. y.

we obtain a product solution to the heat equation with Dirichlet boundary condition: um. so both sides must be constant.n (x. m = 1. n = 1. . The only nontrivial solutions are X(x) = sin(mπx/a). X(x) Y (y) Hence the Helmholtz equation divides into two ordinary diﬀerential equations X (x) = µX(x).called the Helmholtz equation. with ν = −(nπ/b)2 . The corresponding solutions of the Helmholtz equation are fmn (x. which yields X (x) Y (y) + = λ. while the right-hand side depends only on y. with λmn = −(mπ/a)2 − (nπ/b)2 . 3. X(x) Y (y) or X (x) Y (y) =λ− . X(x) Y (y) The left-hand side depends only on x. we set f (x. 3. . the corresponding solution to (5. In the second stage of separation of variables. . y) = sin(mπx/a) sin(nπy/b). Y (0) = Y (b) = 0. y) = X(x)Y (y) and substitute into (5. 0) = f (x. Y (y) = νY (y). y) = f (a. X (x) Y (y) =µ=λ− . . . where µ + ν = λ. . with µ = −(mπ/a)2 . The “Dirichlet boundary conditions” now become conditions on X(x) and Y (y): X(0) = X(a) = 0. t) = sin(mπx/a) sin(nπy/b)e−c 2 ((mπ/a)2 +(nπ/b)2 )t . For any given choice of m and n.9) is g(t) = e−c 2 λmn t = e−c 2 ((mπ/a)2 +(nπ/b)2 )t . b) = 0. y) = f (x. Hence for each choice of m and n. 2. y. and Y (y) = sin(nπy/b). 125 . .10) to obtain X (x)Y (y) + X(x)Y (y) = λX(x)Y (y). . The Dirichlet boundary condition yields f (0. 2.

The general solution to the heat equation with Dirichlet boundary conditions is an arbitrary superposition of these product solutions. (5. y) sin(pπx/a) sin(qπy/b)dxdy 2 b b = n=1 bpn sin(nπy/b) sin(qπy/b)dy . 0 The expression within brackets is one if p = m and otherwise zero. where p is a positive integer. and integrate with respect to x to obtain 2 a ∞ a h(x. 0 The expression within brackets is one if q = n and otherwise zero. y) sin(pπx/a)dx = 0 n=1 bpn sin(nπy/b). The result is ∞ h(x. so we ﬁnally obtain bpq = 22 ab a 0 0 b h(x. that c = 1. the bmn ’s can be determined by an explicit formula.13) Suppose. (5. y) sin(pπx/a)dx 0 = m.n=1 bmn sin(mπx/a) sin(nπy/b). y) sin(pπx/a) sin(qπy/b)dxdy. As in the case of ordinary Fourier sine series. so 2 a a ∞ h(x.12) expressing the fact that the bmn ’s are the coeﬃcients of what is called the double Fourier sine series of h. To determine it. y) = m. y) = sin x sin y + 3 sin 2x sin y + 7 sin 3x sin 2y.12) by (2/a) sin(pπx/a). we multiply both sides of (5. y.11). where q is a positive integer. t) = m.n=1 bmn 2 a a sin(pπx/a) sin(mπx/a)dx sin(nπy/b). (5. Next we multiply by (2/b) sin(qπy/b). y). y.n=1 bmn sin(mπx/a) sin(nπy/b)e−c 2 ((mπ/a)2 +(nπ/b)2 )t . 126 . 0) = h(x. we need to apply the initial condition u(x. ∞ u(x.11) To ﬁnd the constants bmn appearing in (5. for example. a = b = π and h(x. and integrate with respect to y to obtain 22 ab a 0 0 ∞ b h(x.

p(x)q(y) sin mxdx sin nydy = = p(x) sin mxdx 0 q(y) sin nydy (π − x) sin mxdx π/2 π x sin mxdx + y sin nydy + 0 π/2 (π − y) sin nydy . π − y. y) = and hence u(x. for π/2 ≤ x ≤ π. y. y) = p(x)q(y). t) = sin x sin ye−2t + 3 sin 2x sin ye−5t + 7 sin 3x sin 2ye−13t . t) = 16 π2 ∞ m. Here is another example. m2 n 2 127 . m2 n 2 16 π2 ∞ m. for π/2 ≤ y ≤ π.12) shows that b11 = 1. π 2 m2 n 2 Thus in this case. where p(x) = In this case. Thus the solution to the initial value problem in this case is u(x. we do not need to carry out the integration indicated in (5. b32 = 7.13) because comparison with (5. The integration can be carried out just like we did in Section 3. q(y) = y.3 to yield bmn = 2 π 2 2 sin(mπ/2) m2 = 2 sin(nπ/2) n2 16 1 1 sin(mπ/2) sin(nπ/2) . we see that h(x. y. for 0 ≤ x ≤ π/2. for 0 ≤ y ≤ π/2. π − x.In this case. and all the other bmn ’s must be zero.n=1 1 1 sin(mπ/2) sin(nπ/2) sin mx sin my. bmn = 2 π 2 π 2 π 2 0 π/2 2 0 2 0 π/2 π π π 0 π π x.n=1 2 2 1 1 sin(mπ/2) sin(nπ/2) sin mx sin mye−(m +n )t . Suppose that a = b = π and h(x. b21 = 3.

3. 3. y) = bmn sin mx sin ny. f (x. y.3. t) = u(x. t) = u(π. 2t + 1 ∂t ∂x2 ∂y u(x. y. Find the general solution to the heat equation ∂u ∂2u ∂2u = + 2 ∂t ∂x2 ∂y subject to the boundary conditions u(x. t) = u(π. y) = f (π. y) = λf (x. 0 ≤ y ≤ π and t ≥ 0. You may assume that the nontrivial solutions to the eigenvalue problem ∂2f ∂2f (x. t). 2 ∂x ∂y are of the form λ = −m2 − n2 . 0. y. y. t) = u(x. f (x. t) = sin x − 2 sin 2x + 3 sin 3x.3. . u(x. such that ∂u ∂2u ∂2u + 2.Exercises: 5. y.1. = ∂t ∂x2 ∂y u(x. y). u(x. π. Solve the following initial value problem in a square region: Find u(x. 0) = 2 sin x sin y + 3 sin 2x sin y. where bmn is a constant. and n = 1. t) = 0. y) = 0. π) = f (0. such that ∂u ∂2u ∂2u + 2. t) = 0. t) = 0. Solve the following initial value problem for the heat equation in a square region: Find u(x. . . = ∂t ∂x2 ∂y u(x. t) = u(x. 2. 0) = 2 sin x sin y + 5 sin 2x sin y. u(x. π. y. t) = u(0. 5. 0 ≤ y ≤ π and t ≥ 0. 0) = f (x.2.3. 0. 0 ≤ y ≤ π and t ≥ 0. 5. 0) = 2(sin x)y(π − y). t). . y. 2. such that 1 ∂u ∂2u ∂2u = + 2. . π. y. y) + 2 (x.3. 128 . 0. π. 0.3. where 0 ≤ x ≤ π. t) = u(0. Solve the following initial value problem for the heat equation in a square region: Find u(x. y. for m = 1. where 0 ≤ x ≤ π. t) = u(π. u(x. t).4. t) = 0. y. where 0 ≤ x ≤ π. t) = u(0. 5. y. y. . y. . t) = u(0. t) = u(π. y.

t) denote the height of the point with coordinates (x. y) to a new position u(x. where T is a constant. y) and its derivatives are very small. Just as in the case of the vibrating string.5. the potential energy stored in the membrane is proportional to the extent to which the membrane is stretched. y) at time t. ∂t2 Integrating over the membrane yields an expression for the total work performed when the membrane moves through the displacement η: Work = D η(x. we will see that sound waves arise from “linearization” of the nonlinear equations of ﬂuid mechanics. ∂t Suppose the force displaces the membrane from a given position u(x. Suppose that a homogeneous membrane is fastened down along the boundary of a region D in the (x. Then the total work performed by the force F will be F · η(x. while sound waves are described by a three-dimensional wave equation. then by Newton’s second law. y)ρ ∂2u (x. this stretching is approximated by the integral Potential energy = T 2 ∂u ∂x 2 + D ∂u ∂y 2 dxdy. The vibrating membrane. where η(x. ∂t2 (5.14) On the other hand. y)dxdy. If ρ denotes the density of the membrane (assumed to be constant). In this section we will show that the motion of a vibrating membrane is described by the two-dimensional wave equation. and let u(x. called the tension in the membrane. y) with sides of length dx and dy is given by the expression ∂2u F = ρ 2 (x. y)-plane. y). moreover. In fact. y) + η(x. y)dxdy. that a point on the membrane can move only in the vertical direction. Suppose. y)k = η(x.4 Two derivations of the wave equation We have already seen how the one-dimensional wave equation describes the motion of a vibrating string. y. the force F acting on a small rectangular piece of the membrane located at (x. Replacing u by u+η in this integral yields New potential energy = T 2 ∂u ∂x 2 + D ∂u ∂y 2 dxdy 129 . y)ρ ∂2u (x. y)dxdyk.

and hence Change in potential = − D η(x. ∂2u = T ∇ · ∇u. see Chapter 9 of Alexander Fetter and John Walecka. (5. or Chapter 1 of Alexandre Chorin and Jerrold Marsden. y)dxdy = ∂t2 η(x. z. y)dxdy. New York. third edition. y. Next. it follows that ρ which simpliﬁes to ∂2u = c2 ∇ · ∇u. ρ where c2 = ∂2u ∂2u + 2 ∂x2 ∂y . z)-space.14) and (5. dxdy + T 2 D If we neglect the last term in this expression (which is justiﬁed if η and its derivatives are assumed to be small). y)T (∇ · ∇u)(x. we ﬁnd that New potential energy − Old potential energy = D T ∇u · ∇ηdxdy. 1993. A mathematical introduction to ﬂuid mechanics. 130 . McGraw-Hill. Springer. 1 For a complete derivation of these equations.1 Euler’s equations are expressed in terms of the quantities. we will describe Euler’s equations for a perfect gas in (x.15) The work performed must be minus the change in potential energy. z) at time t). It follows from the divergence theorem in the plane and the fact that η vanishes on the boundary ∂D that T ∇u · ∇ηdxdy + D D T η∇ · ∇udxdy = ∂D T η∇u · Nds = 0. 1980. ∂t2 T . so it follows from (5. t) = (velocity of the gas at (x. y. y)ρ D ∂2u (x. ∂t2 or equivalently ∂2u = c2 ∂t2 This is just the wave equation. D Since this equation holds for all choices of η. y)T (∇ · ∇u)(x.+T D ∂u ∂x ∂η ∂x ∂η ∂x 2 + + ∂u ∂y ∂η ∂y 2 ∂η ∂y dxdy. y)dxdy. y. The equations of a perfect gas and sound waves. v(x. Theoretical mechanics of particles and continua.15) that η(x.

y. D Since this equation must hold for every region D in (x. We make an assumption that the only force acting on a ﬂuid element is due to the pressure. z. y(t). we conclude that the integrands must be equal. ∂t which is just the equation of continuity. We assume that no ﬂuid is being created or destroyed.17) 131 . z) at time t). The ﬁrst of the Euler equations is the equation of continuity. z)-space.ρ(x. t) = (pressure at (x. z. y. z(t). ∂ρ = −∇ · F = −∇ · (ρv). y. The second of the Euler equations is simply Newton’s second law of motion.16) represents the rate at which the ﬂuid is ﬂowing across S in the direction of N. D which must be equal. y. we represent the ﬂuid ﬂow by the vector ﬁeld F = ρv. z) at time t). ∂ρ (x. In this case. It follows from the divergence theorem that the second of these expressions is − D ∇ · F(x. so that the surface integral F · NdA S (5. y. y. p(x. ∂ρ dxdydz = − ∂t and hence D ∇ · Fdxdydz. an assumption which is not unreasonable in the case of a perfect gas. ∂t To derive this equation. t)dxdydz ∂t and − S F · NdA. ∂ρ + ∇ · (ρv) = 0. (mass density)(acceleration) = (force density). t) = (density at (x. z. z. y. (5. t). it turns out that the pressure is deﬁned in such a way that the force acting on a ﬂuid element is minus the gradient of pressure: Force = −∇p(x(t). t)dxdydz. Then the rate of change of the mass of ﬂuid within D is given by two expressions.

16). p and v are so small that their squares can be ignored. t). which relates pressure and density. dv ∂v dx ∂v dy ∂v dz ∂v dt = + + + . where ρ . we need an equation of state. and (5. ρ = ρ0 . y(t).The familiar formula Force = Mass × Acceleration then yields ρ d (v(x(t). where ρ0 and p0 satisfy p0 = a2 ργ . and hence quite diﬃcult to solve. The equation of state could be determined by experiment.19) where a2 and γ are constants. (5. ∂t ∂v 1 = − ∇p . ∂t ρ (5. one explicit solution is the case where the ﬂuid is motionless. Let us write ρ = ρ0 + ρ . dt ∂x dt ∂y dt ∂z dt ∂t dt we can rewrite this equation as ∂v 1 + (v · ∇)v = − ∇p. Substitution into Euler’s equations yields ∂ρ + ρ0 ∇ · (v ) = 0. p = p 0 + p . dt Using the chain rule. (An ideal monatomic gas has this equation of state with γ = 5/3. y(t). z(t). To ﬁnish the Euler equations.) The Euler equations (5.18). It follows from these three equations that ∂2ρ ∂v = −ρ0 ∇ · ∂t2 ∂t = ∇ · ∇p = c2 ∇ · ∇ρ . (5. v = v . 132 . v = 0. z(t). where c2 is a new constant. p = p0 . ∂t ρ0 and p = [a2 γ(ρ0 )(γ−1) ]ρ = c2 ρ .19) are nonlinear. the simplest equation of state being p = a2 ργ . However. 0 Linearizing Euler’s equations near this explicit solution gives rise to the linear diﬀerential equation which governs propagation of sound waves. t)) = −∇p(x(t).18) Note that this equation is nonlinear because of the term (v · ∇)v.

the Navier-Stokes equations form the basis for one of the seven Millenium Prize Problems. t) − ∇p(x(t). z(t). y) 133 . (5. are so diﬃcult to solve.1. you may be able to win one million dollars. one adds an additional term to the expression (5. y. y(t). ∂t2 ρ(x. the density is constant.20) reduces to ∂2ρ = c2 ∂t2 ∂2ρ ∂2ρ + 2 ∂x ∂y 2 .Thus ρ must satisfy the three-dimensional wave equation ∂2ρ = c2 ∇ · ∇ρ = c2 ∂t2 ∂2ρ ∂2ρ ∂2ρ + + 2 2 ∂x ∂y ∂z 2 . The equations used by Navier and Stokes to model an incompressible viscous ﬂuid (with ρ constant) are then ∇ · v = 0. which are extremely diﬃcult to solve except for under very special circumstances. The Euler equations for a perfect gas and the closely related Navier-Stokes equations for an incompressible ﬂuid such as water form basic models for ﬂuid mechanics. you can consult the web address: http://www. y)∇u) .20) If the sound wave ρ is independent of z. (5. Remark: The notion of linearization is extremely powerful because it enables us to derive information on the behavior of solutions to the nonlinear Euler equations. t). Here the Laplace operator is applied componentwise and ν is a constant. singled out by the Clay Mathematics Institute as central problems for mathematics at the turn of the century. y) and ρ(x. y) respectively.claymath. In the case of incompressible ﬂuids. Show that if the tension and density of a membrane are given by variable functions T (x. ∂t ρ It is remarkable that these equations. then the motion of the string is governed by the equation ∂2u 1 = ∇ · (T (x. To allow for viscosity. If you can show that under reasonable initial conditions.17) for the force acting on a ﬂuid element: Force = ν(∆v)(x. z. To ﬁnd more details on the prize oﬀered for a solution. so easily expressed.4. called the viscosity of the ﬂuid. so no equation of state is assumed.org/millennium/ Exercise: 5. exactly the same equation that we obtained for the vibrating membrane. the Navier-Stokes equations possess a unique well-behaved solution. ∂v 1 + (v · ∇)v = ν∆v − ∇p. Indeed.

y. We write u(x. and let h1 . y) ∂2f ∂2f + 2 2 ∂x ∂y . 0) = h2 (x. u satisﬁes the initial condition u(x. y. y. y)g(t). u satisﬁes the “Dirichlet boundary condition” u(x. 3.5 Initial value problems for wave equations The most natural initial value problem for the wave equation is the following: Let D be a bounded region in the (x. so that the Dirichlet boundary condition becomes u(0. for (x. y). 134 (5. t) such that 1. y.3. y. y)-plane which is bounded by a piecewise smooth curve ∂D. ∂2f ∂2f + 2 ∂x2 ∂y g(t). y. 0) = h1 (x. 0.21) to obtain f (x. Once again. y) ∈ R 2 : 0 ≤ x ≤ a. Find a function u(x. y)g(t). If we let λ denote the constant. we conclude that both sides must be constant. h2 : D → R be continuous functions. y. 0 ≤ y ≤ b}. t) = u(x.5. t) = u(x. (5. t) = 0. t) = 0. y) ∂2f ∂2f + 2 ∂x2 ∂y .21) 2. we obtain 1 1 g (t) = λ = 2 g(t) c f (x.22) . t) = u(a. y). This separates into an ordinary diﬀerential equation g (t) = c2 λg(t). b. 1 c2 g(t) g (t) = 1 f (x. let us suppose that D = {(x. and substitute into (5. ∂u (x. y)g (t) = c2 Then we divide by c2 f (x. As before. t) = f (x. u satisﬁes the wave equation ∂2u = c2 ∂t2 ∂2u ∂2u + 2 ∂x2 ∂y . y) ∈ ∂D. ∂t Solution of this initial value problem via separation of variables is very similar to the solution of the initial value problem for the heat equation which was presented in Section 5.

5. The corresponding solution to (5. with λmn = −(mπ/a)2 − (nπ/b)2 . y) = sin(mπx/a) sin(nπy/b). t) = m. y. t).1. (5.and the Helmholtz equation ∂2f ∂2f + 2 ∂x2 ∂y The Dirichlet boundary condition becomes f (0. 135 π a 2 + π b 2 = 1 2 T ρ 1 a 2 + 1 b 2 . b) = 0. The initial value problem considered in this section could represent the motion of a vibrating membrane.n=1 sin(mπx/a) sin(nπy/b)[Amn cos(ωmn t) + Bmn sin(ωmn t)]. Solve the following initial value problem for a vibrating square membrane: Find u(x. the mode corresponding to the pair (m. y. The lowest frequency of vibration or fundamental frequency is ω11 c = 2π 2π Exercises: 5. = λf. √ where ωmn = c −λmn . y) = f (a. such that ∂2u ∂2u ∂2u = + 2. The Helmholtz equation is solved in exactly the same way as before. y. y) = f (x. y. the motion of the membrane is a superposition of inﬁnitely many modes. t) = 0. . Just like in the case of the vibrating string.22) is g(t) = A cos(ωmn t) + B sin(ωmn t). t) = u(x. n) oscillating with frequency ωmn /2π.23) Thus we obtain a product solution to the wave equation with Dirichlet boundary conditions: u(x. ∞ u(x. The general solution to to the wave equation with Dirichlet boundary conditions is a superposition of these product solutions. π. t) = sin(mπx/a) sin(nπy/b)[A cos(ωmn t) + B sin(ωmn t)]. ∂t2 ∂x2 ∂y u(x. 0) = f (x. t) = u(π. t) = u(0. The constants Amn and Bmn are determined from the initial conditions. 0 ≤ y ≤ π. the only nontrivial solutions being fmn (x. y. 0 ≤ x ≤ π. 0.

π. 0) = 2 sin x sin y + 13 sin 2x sin y. y. for π/2 ≤ x ≤ π. t) = u(π. y = r sin θ. t) = 0. Although straigtforward. 0) = 0. ∂u (x. θ). π − y. 0 ≤ x ≤ π. y. y. 0) = 0. ∂t 5. Solve the following initial value problem for a vibrating square membrane: Find u(x. Solve the following initial value problem for a vibrating square membrane: Find u(x. t) = u(π. such that ∂2u =4 ∂t2 ∂2u ∂2u + 2 ∂x2 ∂y . 0) = 0. such that ∂2u ∂2u ∂2u = + 2. q(y) = y. 0 ≤ y ≤ π. y.2. y. π.u(x. 0 ≤ y ≤ π. for 0 ≤ y ≤ π/2. t). u(x. or to solve the wave equation for a vibrating circular drum. 0) = 3 sin x sin y + 7 sin 2x sin y. ∂r ∂r ∂y ∂ = (r sin θ) = sin θ. ∂t2 ∂x2 ∂y u(x. ∂t 5. t) = u(x. the calculation is somewhat lengthy. 0 ≤ x ≤ π. y. ∂u (x. 0. 0. t) = u(x. we need to express the Laplace operator in polar coordinates (r. y. ∂t 5. which we studied earlier in the course. u(x. t) = u(0. t) = 0. u(x. for 0 ≤ x ≤ π/2. The tool we need to express the Laplace operator ∆= ∂2 ∂2 + 2 ∂x2 ∂y in terms of polar coordinates is just the chain rule. ∂r ∂r 136 . where p(x) = x. y. y. for π/2 ≤ y ≤ π. These coordinates are related to the standard Euclidean coordinates by the formulae x = r cos θ. t) = u(0.5. y.5. ∂u (x.3. 0) = p(x)q(y). y. Since ∂x ∂ = (r cos θ) = cos θ.6 The Laplace operator in polar coordinates In order to solve the heat equation over a circular plate. t). π − x. y.

∂2u ∂ ∂u ∂u ∂ ∂u ( )= −r sin θ + r cos θ = ∂θ2 ∂θ ∂θ ∂θ ∂x ∂y = −r sin θ ∂ ∂θ ∂u ∂x + r cos θ ∂ ∂θ ∂u ∂y − r cos θ ∂u ∂u − r sin θ ∂x ∂y ∂u ∂x + sin θ ∂ ∂r ∂u ∂y ∂2u ∂2u ∂2u + 2 cos θ sin θ + sin2 θ 2 .it follows immediately from the chain rule that ∂u ∂u ∂x ∂u ∂y ∂u ∂u = + = (cos θ) + (sin θ) . ∂θ ∂θ For the second derivatives. we ﬁnd that ∂2u ∂ ∂u ∂u ∂ ∂ ∂u ( )= cos θ + sin θ = cos θ = 2 ∂r ∂r ∂r ∂r ∂x ∂y ∂r = cos2 θ Similarly. 2 ∂x ∂x∂y ∂y ∂r 1 ∂2u ∂2u ∂2u ∂ 2 u 1 ∂u + cos2 θ 2 − . ∆u = ∂2u 1 ∂ 2 u 1 ∂u . ∂θ ∂θ it follows that ∂u ∂u ∂x ∂u ∂y ∂u ∂u = + = (−r sin θ) + (r cos θ) . = sin2 θ 2 − 2 cos θ sin θ r2 ∂θ2 ∂x ∂x∂y ∂y r ∂r Adding these results together. ∂r ∂x ∂r ∂y ∂r ∂x ∂y Similarly. ∂x2 ∂x∂y ∂y = r2 sin2 θ which yields ∂2u ∂2u ∂2u ∂u − 2r2 cos θ sin θ + r2 cos2 θ 2 − r . since ∂x ∂ = (r cos θ) = −r sin θ. we obtain ∂2u 1 ∂2u ∂ 2 u ∂ 2 u 1 ∂u + 2 2 = + 2 − . ∂r ∂x ∂y ∂ ∂ ∂ = (−r sin θ) + (r cos θ) . + 2 2 + 2 ∂r r ∂θ r ∂r 137 . ∂θ ∂x ∂θ ∂y ∂θ ∂x ∂y We can write the results as operator equations. ∂θ ∂x ∂y ∂y ∂ = (r sin θ) = r cos θ. ∂ ∂ ∂ = (cos θ) + (sin θ) . 2 ∂r r ∂θ ∂x2 ∂y r ∂r or equivalently.

for 0 < r ≤ 1 and θ ∈ mathbbR. 4. u is well-behaved near r = 0. Θ(θ + 2π) = Θ(θ). allows us to solve the Dirichlet problem for Laplace’s equation in a disk.Finally. r2 ∂θ2 (5. Indeed. θ). we set u(r. To treat these conditions via the method of separation of variables. r2 ∂θ2 (5. r d dr r dR dr Θ+R d2 Θ = 0. Θ dθ2 Thus the partial diﬀerential equation divides into two ordinary diﬀerential equations d2 Θ = λΘ. θ) = h(θ). 3. together with the theory of Fourier series. such that 1. Thus neither side can depend on either θ or r. r2 dθ2 where Θ(θ + 2π) = Θ(θ). Substitution into (5. u satisﬁes Laplace’s equation. where h(θ) is a given well-behaved function satisfying the periodicity condition h(θ+2π) = h(θ). we can now formulate the Dirichlet problem as follows: Find u(r. dθ2 r dR dr Θ+ R d2 Θ = 0. 1 ∂ r ∂r r ∂u ∂r + 1 ∂2u = 0. and hence both sides must be constant: − r d R dr r dR dr = 1 d2 Θ = λ. Θ dθ2 The left-hand side of this equation does not depend on θ while the right-hand side does not depend on r. The ﬁrst three of these conditions are homogeneous linear.25) yields 1 d r dr We multiply through by r2 . and divide by −RΘ to obtain − r d R dr r dR dr = 1 d2 Θ .24) This formula for the Laplace operator. we can write this result in the form ∆u = 1 ∂ r ∂r r ∂u ∂r + 1 ∂2u . dθ2 138 . θ + 2π) = u(r. θ) = R(r)Θ(θ). u satisﬁes the boundary condition u(1. u satisﬁes the periodicity condition u(r. θ).25) 2.

which has the solutions m = ±n. Then the equation becomes r d dr r d m (r ) dr = n2 r m . and un (r. Once again. In order for this equation to be wellbehaved as r → 0 we must have B = 0. the solution is R(r) = Arn + Br−n . so R(r) is a constant multiple of rn . where A and B are constants of integration. r dR dr = 0. and we recognize that with the periodic boundary conditions. In this case. θ) = an rn cos nθ + bn rn sin nθ. 2 where an and bn are constants. 139 . the equation for R becomes d dr which is easily solved to yield R(r) = A + B log r. and λ = −n2 . dr dr If n = 0.r d dr r dR dr = −λR. and the solution u0 (r. When n = 0. the only nontrivial solutions are λ = 0. and carrying out the diﬀerentiation on the left-hand side yields the characteristic equation m2 − n2 = 0. Θ = an cos nθ + bn sin nθ. in order for this equation to be well-behaved as r → 0 we must have B = 0. the equation for R is a Cauchy-Euler equidimensional equation and we can ﬁnd a nontrivial solution by setting R(r) = rm . We have seen the ﬁrst of these equations before when we studied heat ﬂow in a circular wire. for n a positive integer. where a0 is a constant. Substitution into the second equation yields d dR r r − n2 R = 0. Θ= a0 . θ) to Laplace’s equation in this case is constant.

. θ) = h(θ). such that 1 ∂ r ∂r and u(1. . r2 ∂θ2 u(1. θ) = a0 + (an cos nθ + bn sin nθ). . . θ + 2π) = u(r. Solve the following boundary value problem for Laplace’s equation in a disk: Find u(r.6. θ + 2π) = u(r. θ) = a0 (an rn cos nθ + bn rn sin nθ). b1 . θ) = h(θ). 1 ≤ r ≤ 2. + 2 n=1 ∞ where a0 . 140 r ∂u ∂r + 1 ∂2u = 0. and u(2.6. . θ). . Solve the following boundary value problem for Laplace’s equation in a disk: Find u(r. Exercises: 5. . θ) = 2 cos θ + 4 cos 2θ. .6. . 0 < r ≤ 1. for −π ≤ θ ≤ π. θ). θ). θ + 2π) = u(r. such that 1 ∂ r ∂r u(r. θ) = 1 + 3 cos θ − sin θ + cos 2θ . θ). θ).2. r2 ∂θ2 u(r. 0 < r ≤ 1. 2 n=1 ∞ We conclude that the constants a0 . are constants. r2 ∂θ2 u(r. u well-behaved near r = 0 5. .1.3. u well-behaved near r = 0 5. Solve the following boundary value problem for Laplace’s equation in an annular region: Find u(r. a1 . .The general solution to (5. θ). . θ) is therefore u(r. . r ∂u ∂r + 1 ∂2u = 0. where h(θ) = 1 + cos θ − 2 sin θ + 4 cos 2θ. . r ∂u ∂r + 1 ∂2u = 0. a1 .25) which is well-behaved at r = 0 and satisﬁes the periodicity condition u(r. such that 1 ∂ r ∂r and u(1. where h(θ) is the periodic function such that h(θ) = |θ|. θ + 2π) = u(r. are simply the Fourier coeﬃcients of h. b1 . To determine these constants we must apply the boundary condition: h(θ) = u(1.

and we obtain 1 1 g (t) = λ = (∆f )(x.26) to obtain f (x.27) . y)-plane. u(x. 1 1 g (t) = (∆f )(x. y. y) = λf (x. Hence both sides equal a constant λ. y)g(t). (5. y) ∈ ∂D. y). y)g(t).7 Eigenvalues of the Laplace operator We would now like to consider the heat equation for a room whose shape is given by a well-behaved but otherwise arbitrary bounded region D in the (x. the boundary ∂D being a well-behaved curve. The same method can be used to treat the wave equation ∂2u = c2 ∆u. f (x. y. 2 ∂x ∂y Let’s start with the heat equation ∂u = c2 ∆u. ∂t with the Dirichlet boundary condition. y) The left-hand side of this equation does not depend on x or y while the righthand side does not depend on t. c2 g(t) f (x. and substitute into (5. t) = 0 for (x. y)g(t). y) This separates into g (t) = c2 λg(t) and (∆f )(x. y) ∈ ∂D. y) = 0 for (x. Then we divide by c2 f (x. t) = f (x. we apply separation of variables as before. ∂t2 141 (5. y) in which f is subject to the boundary condition. setting u(x. Both cases quickly lead to the eigenvalue problem for the Laplace operator ∆= ∂2 ∂2 + 2. We would also like to consider the wave equation for a vibrating drum in the shape of such a region D. 2 g(t) c f (x. y)g (t) = c2 (∆f )(x.5. y).26) To solve this equation.

In the second case. y)g(t) into (5. u(x. both sides must equal a constant λ. y) ∈ ∂D. The eigenvalues can be arranged in a sequence 0 > λ1 > λ2 > · · · > λ n > · · · . . All of the eigenvalues of ∆ are negative. let Wλ = {smooth functions f (x. f |∂D = 0}. c2 g(t) f (x. Theorem. y) : ∆f = λf. Once we have solved the eigenvalue problem for a given region D in the (x. and each eigenvalue has ﬁnite multiplicity. In both cases. y. To do so requires only that we substitute the values of λ into the equations for g. y) This separates into g (t) = λg(t) and (∆f )(x. f (x. t) = 0 for (x. t) = f (x. y) Once again. In the case of the heat equation. in which f is once again subject to the boundary condition. √ g (t) = c2 λg(t) ⇒ g(t) = (constant) sin(c −λ(t − t0 )). The eigenvalue problem consist of ﬁnding the eigenvalues λ. and we obtain 1 1 g (t) = λ = (∆f )(x. c2 g(t) f (x. y. Nonzero elements of Wλ are called eigenfunctions and Wλ itself is called the eigenspace for eigenvalue λ. y)-plane. y) ∈ ∂D. or 1 1 g (t) = (∆f )(x. the eigenvalues determine the frequencies of a vibrating drum which has the shape of D. we must solve the “eigenvalue problem” for the Laplace operator with Dirichlet boundary conditions. 142 2 λt . y) = λf (x. substitution of u(x. The dimension of Wλ is called the multiplicity of the eigenvalue λ. y). y) = 0 for (x. g (t) = c2 λg(t) ⇒ g(t) = (constant)ec while in the case of the wave equation. y)g(t). it is easy to solve the initial value problem for the heat equation or the wave equation on this region.with the Dirichlet boundary condition. We say that λ is an eigenvalue of the Laplace operator ∆ on D if Wλ = 0. and a basis for each nonzero eigenspace. If λ is a real number.27) yields f (x. This time. y). y). y)g (t) = c2 (∆f )(x.

a b where m and n are positive integers. · · · explicitly for a given region in the plane. y) ∈ ∂D. · · · . New York. 1953. the square has the lowest fundamental frequency of vibration by minimizing the function π 2 π 2 f (a. b) = + a b subject to the constraints ab = 1.with λn → −∞. The nontrivial solutions are λmn = − πm a 2 − πn b 2 . 2 Note the similarity between the statement of this theorem and the statement of the theorem presented in Section 4. There are two important cases in which the eigenvalues can be explicitly determined. We saw how to solve the eigenvalue problem ∂2f ∂2f + 2 = λf.3. A second case in which the eigenvalue problem can be solved explicitly is that of the disk.2 Although the theorem is reassuring. §16. See Chapter V. y)-plane bounded by a smooth curve ∂D. Show that among all rectangular vibrating membranes of area one. y) = 0 for (x. y) : x2 + y 2 ≤ a2 }.7.2. 3 A few more cases are presented in advanced texts. where 0 > λ1 > λ2 > · · · . λn . b > 0. Hint: One can eliminate b by setting a = 1/b and then ﬁnd the minimum of the function g(a) = when a > 0. where a is a positive number.7. The ﬁrst is the case where D is the rectangle. when we discussed the heat and wave equations for a rectangular region. 0 ≤ y ≤ b}. λ2 . D = {(x. a. . π a 2 + (πa) . . the techniques used to prove the two theorems are also quite similar. fmn (x.7. Every well-behaved function can be represented as a convergent sum of eigenfunctions. 2 ∂x ∂y f (x. Let D be a ﬁnite region in the (x. In fact. it is usually quite diﬃcult to determine the eigenvalues λ1 . Suppose that the eigenvalues for the Laplace operator ∆ with Dirichlet boundary conditions on D are λ1 . D = {(x.1. Interscience. Methods of mathematical physics I . .3 Exercises: 5. y) : 0 ≤ x ≤ a. 2 143 . λ2 . 5. y) = sin πny πmx sin . such as Courant and Hilbert. as we will see in the next section. .

Show that the general solution to the wave equation ∂2u = ∆u.3. y) is a nonzero eigenfunction for eigenvalue λn . . where the bn ’s are arbitrary constants. y)eλn t . Θ(θ + 2π) = Θ(θ). t) = n=1 bn φn (x.28) yields 1 d r dr r dR dr Θ+ R d2 Θ = λRΘ. 144 . 5. r2 dθ2 where R(a) = 0. θ) = R(r)Θ(θ). ∂t is ∞ u(x. 0) = 0. . Show that the general solution to the heat equation ∂u = ∆u ∂t with Dirichlet boundary conditions (u vanishes on ∂D) is ∞ u(x. y)-plane as in the preceding problem. we use separation of variables and look for product solutions of the form f (r.each eigenvalue having multiplicity one. it is convenient to utilize polar coordinates r.7. Substitution into (5. Suppose that the eigenvalues for the Laplace operator ∆ on D are λ1 . (5. 5. Suppose that φn (x.28) Once again. Let D be a ﬁnite region in the (x. y. . y) cos( −λn t). . ∂t2 together with Dirichlet boundary conditions (u vanishes on ∂D) and the initial condition ∂u (x. λ2 . t) = n=1 bn φn (x.8 Eigenvalues of the disk To calculate the eigenvalues of the disk. once again. r2 ∂θ2 f |∂D = 0. θ in terms of which the Laplace operator is 1 ∂ r ∂r r ∂f ∂r + 1 ∂2f = λf. where the bn ’s are arbitrary constants.

the partial diﬀerential equation divides into two ordinary diﬀerential equations d2 Θ = µΘ. (5. Once again. Θ = an cos nθ + bn sin nθ. dθ2 r d dr r dR dr Θ(θ + 2π) = Θ(θ). the only nontrivial solutions are µ = 0. the left-hand side does not depend on θ while the right-hand side does not depend on r.We multiply through by r2 . and hence both sides must be constant: − r d R dr r dR dr + λr2 = 1 d2 Θ = µ. Then since r d d =x . dr dx our diﬀerential equation becomes x d dx x √ dR dx + (x2 − n2 )R = 0. for n a positive integer. Θ dθ2 Note that in this last equation. this becomes √ y( −λa) = 0. Substitution into the second equation yields r Let x = √ d dr r dR dr + (−λr2 − n2 )R = 0.29) where R vanishes when x = x d dx x dy dx −λa. and µ = −n2 . − λr2 R = −µR. 145 . (5. Θ dθ2 Thus in the manner now familiar. Θ= a0 2 −λr so that x2 = −λr2 .30) + (x2 − n2 )y = 0. If we replace R by y. r d dr r dR dr Θ+R d2 Θ = λr2 RΘ. Thus neither side can depend on either θ or r. dθ2 and divide by RΘ to obtain r d R dr r dR dr − λr2 = − 1 d2 Θ . R(a) = 0.

Jn (x) has inﬁnitely many positive zeros. . Recall that in Section 1. θ) = J0 (α0. 2 αn. Let αn. which we studied in Section 1. a2 for n = 1.k denote the k-th positive root of the equation Jn (x) = 0.k (r.k (r.k . Bessel’s equation has a one-dimensional space of well-behaved solutions. 2. θ) = Jn (αn.29) vanishing at r = a.k .The diﬀerential equation appearing in (5. we sketch the proof for the case of J0 (x) at the end of the section. Here is an important fact regarding these Bessel functions: Theorem. 146 . . but it takes some eﬀort to prove rigorously. we found that for each choice of n.k ⇒ λ=− 2 αn.k = − and f0. For completeness. note ﬁrst that the boundary condition. r2 ∂θ2 f |∂D = 0. Then √ and R(r) = Jn (αn. will be solutions to this eigenvalue problem.30) is Bessel’s equation. The zeros of the Bessel functions are used to determine the eigenvalues of the Laplace operator on the disk. a2 Similarly. in the case where n = 0.4. Graphs of the functions J0 (x) and J1 (x) suggest that this theorem might well be true. in the case of general n. which are constant multiples of the Bessel function of the ﬁrst kind Jn (x).k = − and fn. λ0. √ y( −λa) = 0. To see how.k = Jn (αn.k r/a) sin(nθ). For each nonnegative integer n.k r/a) cos(nθ) or gn.k r/a) will be a solution to the eigenvalue problem 1 ∂ r ∂r r ∂f ∂r + 1 ∂2f = λf. λn.k r/a) will be a solution to (5. Hence. a2 −λa = αn.k . 2 α0. . √ requires that −λa be one of the zeros of Jn (x).4. .

for example.7832.38274.52008 ⇒ λ0.3 = −139.1 = = .13562 ⇒ λ2.1 α1. α2.65373 ⇒ λ0. α0.1 (r.2 = = .1 = −26.5 0 0.682. Suppose.5 0 1 0. Each of these eigenfunctions corresponds to a mode of oscillation for the circular vibrating membrane.40483 ⇒ λ0. θ).5 1 -1 -0.75 0.5 0.2 = 5. that a = 1.2 α0.1 = −5.83171 ⇒ λ1.87855.1 α0. 2π 2π while the mode of oscillation corresponding to the function f0.2 will vibrate with frequency −λ0. α0.2 = −30.3746.5 Figure 5. Then α0. and hence the mode of oscillation corresponding to the functions f1.7195 ⇒ λ0.60984.039. 2π 2π Similarly.25 0 -1 -0. and so forth.1 and g1.1 = = .2: Graph of the function f0.1 = 2.887. The mode of oscillation corresponding to the function f0. 2π 2π 147 .1 will vibrate with frequency −λ1.1 will vibrate with frequency −λ0.1 0.1 = −14.4 = 11. α1. α0.3 = 8.1 = 3.3 = −74.1 = 5.471.

5 1 Figure 5.31) with y(z0 ) = 0.1 α2.30) in the case where n = 0 becomes d2 y + e2z y = 0. dx e dz dz Thus Bessel’s equation (5.31) Suppose that z0 > 1 and y(z) is a solution to (5.1 = = .1 0. the corresponding variable x ranges over all the positive real numbers.2 (r. 148 .3: Graph of the function f0. Proof that J0 (x) has inﬁnitely many positive zeros: First. dz 2 (5. we make a change of variables x = ez and note that as z ranges over the real numbers. We claim that y(z) must change sign at some point between z0 and z0 + π.1 will vibrate with frequency −λ2.5 0 0. while the mode of oscillation corresponding to the functions f2.5 -1 1 0.1 and g2.81736. The fact that the frequencies of oscillation of a circular drum are not integral multiples of a single fundamental frequency (as in the case of the violin string) limits the extent to which a circular drum can be tuned to a speciﬁc tone. Since dx = ez dz. 2π 2π A general vibration of the vibrating membrane will be a superposition of these modes of oscillation. d 1 d = z dx e dz and hence x 1 d d d = ez z = . θ).5 0 -0.5 0 -1 -0.

a contradiction. θ).31). then y(z)f (z) > 0 and z0 +π 0< z0 (e2z − 1)y(z)f (z)dz = [y(z)f (z) − y (z)f (z)]z0 0 z +π = y(z0 + π)f (z0 + π) − y(z0 )f (z0 ) = −y(z0 + π) − y(z0 ) < 0. Since f (z) = −f (z) and y(z) satisﬁes (5.31) must have inﬁnitely many zeros in the region z > 1.25 -0. Assume ﬁrst that y(z0 ) > 0.1 (r.5 0 Figure 5. d [y(z)f (z) − y (z)f (z)] = y(z)f (z) − y (z)f (z) dz = −y(z)f (z) + e2z y(z)f (z) = (e2z − 1)y(z)f (z). just apply the same argument to −y.5 0 0. If also y(z) > 0 for z between z0 and z0 + π. we conclude that y(z) must be zero at some point in any interval to the right of z = 1 of length at least π. It follows that the solution to (5.25 0 -0.5 1 0. Hence our assumption that y(z) be postive for z between z0 and z0 + π must be incorrect. 149 .5 1 -1 -0. y(z) must change sign at some z between z0 and z0 + π. The fact that Jn (x) has inﬁnitely many positive zeros could be proven in a similar fashion. Note that f (z) > 0 for z between z0 and z0 + π.4: Graph of the function f1.5 0. In either case.0. Let f (z) = sin(z − z0 ). as claimed.5 -1 -0. and J0 (x) must have inﬁnitely many positive zeros. and hence y(z) must be zero at some point in this interval. If y(z0 ) < 0.

Modify the programs to sketch the Bessel functions J1 (x). Which has a lower fundamental frequency of vibration. . 5. Solve the following initial value problem for the heat equation in a disk: Find u(r. θ. θ + 2π. t).2 r) − 2J1 (α1.2. θ. θ.2 r) − 2J1 (α1. From the graph it is clear that the ﬁrst root of the equation J0 (x) = 0 is near 2. θ. r2 ∂θ2 u well-behaved near r = 0.1 r) + 3J0 (α0. c.8. Run the following Mathematica program to sketch the Bessel function J0 (x): n=0.4. θ. t) = 0.15}] b. 0) = J0 (α0. such that ∂2u 1 ∂ = ∂t2 r ∂r u(r. θ. θ. Run the following Mathematica program to ﬁnd the ﬁrst root α0. Plot[ BesselJ[n. (For students with access to Mathematica) a. ∂t u(r.9 Fourier analysis for the circular vibrating membrane* To ﬁnish up the solution to the initial value problem for arbitrary initial displacements of the vibrating membrane. 5. u(1. 0 < r ≤ 1.1 r) cos 2θ. we need to develop a theory of generalized 150 . t) = u(r.1 r) sin θ + 4J2 (α2. t). {x.{x.1 r) cos 2θ.3. r ∂u ∂r + 1 ∂2u . . FindRoot[ BesselJ[n. such that ∂u 1 ∂ = ∂t r ∂r u(r.8. .1 r) + 3J0 (α0.1. u(1. t) = u(r.x]. t).8.0. 0 < r ≤ 1. u(r. and determine the ﬁrst three nonzero roots of each of these Bessel functions. r ∂u ∂r + 1 ∂2u .2}] Find the next two nonzero roots of the Bessel function J0 (x). θ. 0) = J0 (α0. 5.Exercises: 5. Solve the following initial value problem for the vibrating circular membrane: Find u(r. t) = 0. . r2 ∂θ2 u well-behaved near r = 0.8.1 of the Bessel function J0 (x): n=0. t). 0) = 0. θ + 2π.x] == 0 .1 r) sin θ + 4J2 (α2. θ. J5 (x). ∂u (r. a square drum or a circular drum of the same area? 5.

Fourier series which gives a decomposition into eigenfunctions which solve the eigenvalue problem.32) ∂g ∂g dx + f dy = ∂y ∂x = D D ∂ ∂ [f (∂g/∂x)] − [−f (∂g/∂y)] dxdy ∂x ∂y f D ∂f ∂g ∂f ∂g + dxdy + ∂x ∂x ∂y ∂y ∂2g ∂2g + 2 ∂x2 ∂y dxdy. f ∆gdxdy = − D D ∇f · ∇gdxdy. ∆g = − D ∇f · ∇gdxdy = g. g = D f (x. g = 0. 151 . g = 0. on V by f. Hence if the restriction of f to ∂D vanishes. Such a theory can be developed for an arbitrary bounded region D in the (x. It is important to observe that V is a “vector space”: the sum of two elements of V again lies in V and the product of an element of V with a constant again lies in V .32) holds. g = f. ∆f . and hence (λ − µ) f. (5. y)g(x. Similarly. In particular. g . We deﬁne an inner product . ∆g = ∆f. if (5. then either λ = µ or f. g = λ f. The proof of this lemma is a nice application of Green’s theorem. Lemma. y)-plane bounded by a smooth closed curve ∂D. it follows from Green’s theorem that −f ∂D ∆g = µg. Thus if f and g lie in V . Let V denote the space of smooth functions f : D → R whose restrictions to ∂D vanish. f. if f and g are smooth functions vanishing on ∂D such that ∆f = λf. Indeed. y)dxdy. eigenfunctions corresponding to distinct eigenvalues are perpendicular. if the restriction of g to ∂D vanishes. With respect to this inner product. then µ f. g∆f dxdy = − D D ∇f · ∇gdxdy.

j . r2 ∂θ2 r + u well-behaved near r = 0. Thus this general solution is of the form ∞ u(r.k fn. u(1. on V comes to the rescue. ∂u (r. θ.k ’s and the bn. 0) = h(r. (5. θ. gn.k t) + n=1 k=1 [an. 0) = h(r. θ) = Jn (αn.34) Thus we need to express an arbitrary initial displacement h(r.k + bn.k ] = h. θ).k (r. that f0. 152 unless j = k. ∂t It follows from the argument in the preceding section that the general solution to the homogeneous linear part of the problem can be expressed in terms of the eigenfunctions u(r. If we set t = 0 in (5. Recall the problem that we want to solve.k = 0. Indeed. ∂u ∂r 1 ∂2u . t) = k=1 ∞ ∞ a0.k = Jn (αn. (5.k fn. θ)] cos(αn.k gn. θ) as a superposition of these eigenfunctions.k gn.k (r. θ. θ. θ) is also satisﬁed. for example.k (r.k t). and the lemma is proven.k ’s so that the inhomogeneous initial condition u(r. This implies.k g0. θ.k + k=1 n=1 k=1 [an.k r/a) cos(nθ).k /2π. t). The lemma implies that eigenfunctions corresponding to distinct eigenvalues are perpendicular. . θ + 2π. so that ∂2u 1 ∂ = ∂t2 r ∂r u(r.k f0. t).33).33) We need to determine the an.k r/a) sin(nθ). θ. θ) cos(α0. f0. g = 0. the general solution must be a superposition of the products of these eigenfunctions with periodic functions of t of frequencies −λn. 0 < r ≤ 1. Now let us focus on the special case in which D is a circular disk. θ) + bn.It follows immediately that either λ − µ = 0 or f. in terms of polar coordinates: Find u(r. this condition becomes ∞ ∞ ∞ a0. t) = u(r. It is here that the inner product . fn.k (r. t) = 0. 0) = 0. θ.

we obtain an.j .k = h.j . gm. 0 we can check that fn.k = fn. gm. Moreover. Indeed.k = 0.34) with un. for m = n. gn. as desired. sin nθ sin mθdθ = 0 2π sin nθ cos mθdθ = 0.j . on V takes the form 1 2π unless j = k. gm. for m = n. It then follows from the lemma that fn. if we take the inner product of equation (5.j = 0.j . gn.j . unless j = k and m = n. π. unless m = n.j . f. gn.k .j . If we perform integration with respect to θ ﬁrst. fn. gn. the inner product .Similarly. From these relations. θ)g(r. 0.j . To obtain this relation. fm. recall that in terms of polar coordinates. fn. using the integral formulae 2π cos nθ cos mθdθ = 0 2π π.k = fn.k = gn. The lemma does not immediately imply that fn. fm.k = gn.k . θ)rdθ dr. for arbitrary n ≥ 1. fn.k = 0. for m = n.k = gn. g = 0 0 f (r.k = fn. we can conclude from the familiar integral formula 2π sin nθ cos nθdθ = 0 0 that fn.j . gm. 0. θ).k . for m = n.k fn. 153 . it is not diﬃcult to construct formulae for the coeﬃcients of the generalized Fourier series of a given function h(r.k = 0.j .j = 0.j . fn.

k (5. gn. θ) + bn.k = Similarly.1}].k . Determine the ﬁrst four terms in the solution to the initial value problem: Find u(r. a. n = NIntegrate[r (BesselJ[0.2.k fn. θ) in terms of eigenfunctions of ∆. a0.k t) + n=1 k=1 [an.k gn.k (5. Use a modiﬁcation of the program to determine the coeﬃcients a0.k .36).{r.35) Thus we ﬁnally see that the solution to our initial value problem is ∞ u(r. for 0 ≤ r ≤ 1. t) = k=1 ∞ ∞ a0.1. In order to ﬁnd the solution to the wave equation with this initial condition.k . . c.1 r) + a0.1 in this expansion: d = NIntegrate[r (BesselJ[0. fn. θ) = a0. θ)] cos(αn.k (r. Use the following Mathematica program to determine the coeﬃcient a0.1 (1-r).1}]. Because of axial symmetry.2 J0 (α0. Exercises: 5.k (r. bn.k f0. .4 . 0 < r ≤ 1.{r. fn. θ. t). fn. gn. and a0.1(1 − r). (For students with access to Mathematica) Suppose that a circular vibrating drum is given the initial displacement from equilibrium described by the function h(r.k .3 .1 J0 (α0.9.40483 r]) . where the coeﬃcients are determined by the integral formulae (5.40483 r])∧2.2 r) + . we can write h(r.k = h. a01 = n/d b.35) and (5.or equivalently an.0.2 .0.k t). r2 ∂θ2 154 . θ.36) h.k (r.2. . θ) = . gn. we need to expand h(r. so that ∂2u 1 ∂ = ∂t2 r ∂r r ∂u ∂r + 1 ∂2u . θ) cos(α0.

0..8 r] Cos[11. θ. a03 = .2.4 r] Cos[2.0. θ + 2π. 0) = .5.9. execute the resulting program to generate a sequence of graphics. θ.8 t] + a11 BesselJ[1.11. 155 .52 r] Cos[5..1} ] a. (For students with access to Mathematica) The following program will sketch graphs of the successive positions of a membrane.65 r] Cos[8.2.83 t] + b11 BesselJ[1. 5.3.3.83 t]. {t.1. t) = 0.5} ].65 t] + a04 BesselJ[0. θ. vibmem = Table[ CylindricalPlot3D[ a01 BesselJ[0. with the Fourier coeﬃcients obtained in the preceding problem. a04 = .2.) b. (Warning! Generating the sequence of graphics takes lots of memory. t) = u(r. {r.3. . If you have insuﬃcient memory for the animation.1(1 − r).5. Execute this program and then animate the sequence of graphics by running “Animate selected graphics. Replace the values of a01. vibrating with a superposition of several of the lowest modes of vibration: << Graphics‘ParametricPlot3D‘ a01 = .2. u well-behaved near r = 0. θ. . b11 = .” from the Graphics menu. a11 = . try inserting PlotPoints -> 8 within the CylindricalPlot statement. PlotRange -> {-.83 r] Sin[u] Cos[3.52 t] + a03 BesselJ[0.1}.4 t] + a02 BesselJ[0.1. and animate the sequence as before.0.8. t). 0) = 0. {u.2.1. u(r. .u(r.83 r] Cos[u] Cos[3.2 Pi}. ∂t u(1.. ∂u (r. a02 = .

Using this tour. This appendix is intended to give a brief introduction to the use of Mathematica for doing such calculations. or Mathematica. it is sometimes necessary to do calculations which would be prohibitively diﬃcult to do by hand. Matlab.” For example. “Tour of Mathematica. However. it may be possible for many students to learn Mathematica without referring to lengthy technical manuals. 1999. Wolfram Media and Cambridge University Press. if they are equiped with suitable software. so if you type in 2 * (7 + 4) the computer will respond with Out[2] = 22 156 . if you type in (11 . computers can do the calculations for us. which can be used to answer questions if necessary. by Stephen Wolfram. such as Maple. you can use it as a “more powerful than usual graphing calculator. We give here a very brief introduction to the use of Mathematica. It is The Mathematica Book . Most computers which are set up to use Mathematica contain an on-line tutorial.5)/3 the computer will perform the subtraction and division. After launching Mathematica. Fourth edition. there is a standard reference on the use of Mathematica.Appendix A Using Mathematica to solve diﬀerential equations In solving diﬀerential equations. and respond with Out[1] = 2 The notation for multiplication is ∗.” which can be used to give a brief hands-on introduction to Mathematica. Fortunately.

typing in N[E] will tell Mathematica to give a rational approximation to e to a standard number of digits of precision: Out[6] = 2. have inﬁnite decimal expansions which cannot be stored within a computer. For example. the symbol N tells the computer to use an approximation with a ﬁxed number of digits of precision. the computer can calculate rational approximations to an arbitrary number of digits of precision. since ∧ is the symbol used for raising to a power. so entering N[2∧150] will give an approximation to the exact answer. we can approximate a real number by a ﬁnite decimal expansion with a given number of digits of precision. For example. built-in functions are described by names which begin with capital 157 . typing in N[Pi. Since the number π is represented by Mathematica as Pi.1415926535897932384626433832795028841972 The computer can represent not only numbers but functions. so if you input 2 8 the computer will respond with Out[3] = 16 The computer can do exact arithmetic with integers or rational numbers. if you type in 2∧150 the computer will calculate the 150th power of two and give the exact result: Out[4] = 1427247692705959881058285969449495136382746624 On the other hand. However. Within Mathematica.42725 1045 Real numbers which are not rational. such as π. expressed in scientiﬁc notation: Out[5] = 1. since Mathematica uses the name E to denote the number e.71828 In principle.You can also use a space instead of ∗ to denote multiplication.40] will tell Mathematica to give a rational approximation to π to 40 digits of precision: Out[7] = 3.

1 0. k = 1. one simply inputs Plot[Log[t].40] will give the logarithm of 2 with 40 digits of precision: Out[8] = 0. For example. Log denotes the natural base e logarithm function.2 1. We can also deﬁne functions ourselves. letters. For example.1. so they will not be confused with built-in constants.{t. We must remember the exact syntax of this example (use of the underline character and the colon followed by the equal sign) when deﬁning functions.5 2 2.4 0. we must be careful to represent parameters by lower case letters. In this example c and k are parameters which can be deﬁned later. Mathematica will remember the function we have deﬁned until we quit Mathematica.5 3 Figure A. Thus we can deﬁne the function y(t) = cekt by typing y[t ] := c * E∧(k * t).8 0. because capitals are reserved by Mathematica for built-in functions. Further entry of c = 1. to plot the logarithm function from the values 1 to 3. Just as in the case of functions. Thus entering N[Log[2].6 0.1: Graph of the logarithm function. being careful not to capitalize them. N[y[1]] 158 .1.693147180559945309417232121458176568076 One can also plot functions with Mathematica.3}] and Mathematica will automatically produce the plot shown in Figure A.

it is prudent to denote the matrix A by lower case a when writing statements in Mathematica.-3}} with the computer responding by Out[1] = {{-2. we simply type Eigenvalues[a] and the computer will give us the exact eigenvalues √ √ −5 − 21 −5 + 21 . .2}] will give a plot of the function we have deﬁned. Since Mathematica reserves upper case letters for descriptions of built-in functions. 2]. a = {{-2. dt (A. we must ﬁrst become familiar with the way in which Mathematica represents matrices. To see how this works.” Entering MatrixForm[a] will cause the computer to give the matrix in the familiar form Out[2] = −2 5 1 −3 To ﬁnd the eigenvalues of the matrix A. for t in the interval [0.1) where A is a square matrix with constant entries. The ﬁrst step consists of using Mathematica to ﬁnd the eigenvalues and eigenvectors of A.{t.yields the response Out[11] = 2.-3}} Thus a matrix is thought of as a “vector of vectors.71828 while entering Plot[y[t].{1.0.5}.5}. 2 2 which have been obtained by using the quadratic formula.{1. Quite often numerical approximations are suﬃcient. We can use Mathematica to solve matrix diﬀerential equations of the form dx = Ax. and these can be obtained by typing eval = Eigenvalues[N[a]] 159 . The matrix −2 5 A= 1 −3 can be entered into Mathematica as a collection of row vectors.

487445}. as in the example.0.y[x]). 0. The following Mathematica programs will use Mathematica’s diﬀerential equation solver (which is called up by the command NDSolve).6}] This leads to a plot like that shown in Figure A. y(0) = . an abbreviation for solution. We can construct a table of values for the interpolation function by typing Table[Evaluate[y[x] /. remembering to replace the equal signs with double equal signs. y[0] == ..487445 0.1. and graph the solution curve on the interval 0 ≤ x ≤ 6. y).208712} Deﬁning eval to be the eigenvalues of A in this fashion.6.2.208712t e e + c2 . Readers can modify these simple programs to graph solutions to initial value problems for quite general diﬀerential equations of the canonical form dy = f (x.941409. sol]. 0.0. {x. to ﬁnd a numerical solution to the initial value problem dy/dx = y(1 − y).79129.873154. sol]. y. 0.1 }.the response this time being Out[4] = {-4.873154 −4.6}] generates an “interpolation function” which approximates the solution and calls it sol.0.1}].1) for our choice of the matrix A: x(t) = c1 −0. {x. dx All that is needed is to replace the ﬁrst argument of NDSolve with the diﬀerential equation one wants to solve. give a table of values for the solution. allows us to refer to the eigenvalues of A later by means of the expression eval. {0.337267}} Putting this together with the eigenvalues gives the general solution to the original linear system (A. The ﬁrst step sol := NDSolve[{ y’[x] == y[x] (1 .337267 Mathematica can also be used to ﬁnd numerical solutions to nonlinear diﬀerential equations. -0. We can also ﬁnd the corresponding eigenvectors for the matrix A by typing evec = Eigenvectors[N[a]] and the computer responds with Out[5] = {{-0.79129t 0.941409 −0. {x. or graph the interpolation function by typing Plot[Evaluate[y[x] /. 160 .

2 1 2 3 4 5 6 Figure A.2 0.3 0. 161 .1 0.5 0.1 0. 0.75 1.4 0.3: A parametric plot of a solution to dx/dt = −xy.6 0.4 0.5 1.25 1.2: Solution to y = y(1 − y).75 2 Figure A.8 0.1. y(0) = . dy/dt = xy − y.

3 shows a parametric plot of (x(t). y(t)) which is generated by entering ParametricPlot[Evaluate[{ x[t]. For example.2) We can also plot y(t) as a function of t by entering Plot[Evaluate[y[t] /. x[0] == 2.0.y[t].1}] dy = xy − y. {t.2.y}.10}] Figure A. sol]. it is no more diﬃcult to treat initial value problems for higher order equations or systems of diﬀerential equations. {t.1. {t. {t..0.10}] Once we have this solution. dt x(0) = 2. sol]. we can print out a table of values for y by entering Table[Evaluate[y[t] /.1 }.0.In fact. {x. dt one simply types in sol := NDSolve[{ x’[t] == .10}] 162 . sol]. y’[t] == x[t] y[t] . to solve the initial value problem dx = −xy. (A. y[0] == . y(0) = .0.x[t] y[t]. y[t]} /.

70 ordinary point. 139 Chebyshev’s equation. 91 Fourier series. 50. 72. 134 inner product. 89 Fourier transform. 5 recursion formula. 98. 52. 82 heat ﬂow in space. 108. 2 Dirichlet boundary conditions. 30. 37 hyperboloid. 108. 132 even function. 13 separating constant. 10 Hooke’s law. 16 fundamental mode. 132 mechanical systems. 4 real analytic. 8 regular singular point.Index Bessel’s equation. 12 linearization of PDE. 96 odd function. 146 Bessel function. 58. 100 fundamental frequency. 17. 126 eigenfunctions. 9 generalized Fourier series. 63 Fourier sine series. 108. 30 ellipse. 13 orthogonal matrix. 39 radius of convergence. 14 comparison test. 86 singular point. 119 double Fourier sine series. 142 eigenvalues. 124. 28 geometric series. 67 potential energy. 95. 5 conic section. 81 periodic function. 110. 130 . 142 eigenvalue problem. 87. 115 Legendre’s equation. 117 163 heat ﬂow in a bar. 151 generalized power series. 91 Newton’s second law. 94 Fourier coeﬃcients. 36 convergence. 85 Dirichlet problem. 25 boundary value problem. 103. 129 power series. 33. 13 sound waves. 86 separation of variables. 69 partial diﬀerential equation. 2 general solution. 133 Neumann boundary conditions. 50. 116 Hermite’s equation. 16 Gibbs phenomenon. 63 Fourier cosine series. 52. 49 modes of oscillation. 135 gamma function. 68. 135 Frobenius method. 27 Navier-Stokes equations. 29 orthonormal basis. 40 initial value problem. 63 piecewise smooth. 40 Euler equations for a gas. 108. 115. 1 quadric surfaces. 79 frequencies of oscillation. 70 ﬁnite diﬀerences. 49 hyperbola. 3 ratio test. 67 heat equation. 83. 119 Cauchy-Euler equation. 85. 142 eigenspace. 135 modiﬁed Bessel equation. 44. 22. 83. 142 eigenvectors. 151 Laplace’s equation. 58. 72. 37 ellipsoid.

86. 108 superposition principle. 115 164 . 29 Theorem of Frobenius.spectral theorem. 18 vibrating membrane. 30 Sturm-Liouville problem. 115 symmetric matrix. 129 vibrating string. 96. 16 variation of parameters. 94 wave equation.

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