Calculus of Variation and Its Application: Tien-Tsan Shieh

Calculus of Variation and its Application
Tien-Tsan Shieh
Institute of Mathematics
Academic Sinica
July 14, 2011
Tien-Tsan Shieh (Institute of MathematicsAcademic

CalculusSinica)
of Variation and its Application July 14, 2011 1/1
Outline
1 Basic ideas in the Calculus of Variations

I Some review on calculus
I Classical variational problems
I The indirect method:
F The first variation and the Euler-Lagrange equation
F The second variation
I The direct method
2 Applications of the Calculus of Variations in Physics and Chemistry
I The Fermat’s Principles in Optics
I The principle of least action
I The law of maximal entropy

CalculusSinica)
Calculus
Calculus was developed in the late 17th century by Newton and
Leibniz individually.
It is a mathematical discipline focus on limit, derivative, integral and
infinite series.
Derivative of a function at the point x0 :
f (x) − f (x0 )
f 0 (x0 ) = lim .
x→x0 x − x0
df
We also denote by dx (x0 ) as well.
Integral of a function:
Z b n−1
X
f (x) dx = lim f (xi )∆xi
a n→∞, ∆xi →0,
i=0
where ∆xi = xi+1 − xi .
Fundamental theorem of calculus
Z b
f 0 (x) dx = f (b) − f (a).
a
CalculusSinica)
Finding the Maximum and Minimum
Finding maximums and minimums for a giving a smooth function f (x):

Considerer the Taylor expansion of the smooth function f (x):
f 00 (x0 )
f (x) = f (x0 ) + f 0 (x0 )(x − x0 ) + (x − x0 )2 + higher oreder terms
2
f 0 (x0 ) > 0 implies the function f (x) is increasing around x0 .

f 0 (x0 ) < 0 implies the function f (x) is decreasing around x0 .
f 0 (x0 ) = 0 and f 00 (x0 ) > 0 implies x0 is the local minimum.
f 0 (x0 ) = 0 and f 00 (x0 ) < 0 implies x0 is the local maximum.

CalculusSinica)
Review on Multi-dimensional Calculus
Suppose f is a C 2 -function on R2 .
The directional derivative of the function f at →−x along the
direction →
−
v is defined as
→
− f (→
−
x + t→
−
v ) − f (→
−
x)
D−→
v f ( x ) ≡ lim = ∇f (→
−
x)·→ −
v
t→0 t
Direction derivative can also be denoted by
f (x)
∇v f (x), ∂ , fv0 (x), Dv f (x).
∂v
The derivative of f at x ∈ R2 along the direction v:
f (x + tv) − f (x) − tv · ∇f (x)
Dv2 f (x) ≡ lim
t→0 t2
= fx1 x1 (x)v1 + 2fx1 x2 (x)v1 v2 + fx2 x2 (x)v22
2
Here x = (x1 , x2 ) and v = (v1 , v2 ).

CalculusSinica)
Taylor expansion of a multi-dimensional function
t2 2
f (x + tv) = f (x) + t Dv f (x) + D f (x) + higher order terms
2 v
= f (x) + t (fx1 (x)v1 + fx2 (x)v2 )
t2
fx1 x1 (x)v12 + 2fx1 x2 (x)v1 v2 + fx2 x2 (x)v22

+
2
+ higher order terms

CalculusSinica)
Johann Bernoulli’s Challenge
The calculus of variations as a recognizable as a part of mathematics had
its origins in Johann Bernoulli’s challenge in 1696 to the mathematicians
of Europe to find the curve of quickest descent, or brachistochrone. The
brachistochrone means the ”shortest time” in Greek.

CalculusSinica)
Brachistochrone Curve
Newton was challenged to solve the problem, and did so the very next
day.
In fact, the solution, which is a segment of a cycloid, was found by
Leibniz, L’Hospital, Newton, and the Johann Bernoullis and Jakob
Bernoullis.

CalculusSinica)
Formulation of the brachistochrone problem
The time of travel from a point P1 to a point P2 is given by
Z P2
ds
Time =
P1 v
where s is the arclength and v is the speed.

1 2 p
mv = mgy ⇒ v = 2gy
2
r
p dy
ds = dx 2 + dy 2 = 1 + ( )2 dx
dx
Therefore we obtain the following functional
Z P2 p
1 + y 02
F (y ) := √ dx
P1 2gy
You may think functional F as a function defined on a class of paths
(x, y (x)) which connect two points P1 and P2 .
CalculusSinica)
Geodesic Problems
Problem: Find a curve, joining points A and B, with a shortest distance.

Geodesic problem on a plane.
Answer: a straight line joining the points A and B.
Geodesic problem on a sphere.
Answer: a great circle joining the points A and B.

CalculusSinica)
of Variation and its Application July 14, 2011 10 / 1
Geodesic problem on a sphere
Using spherical coordinate,
Y = (R cos θ sin ϕ, R sin θ sin ϕ, R cos ϕ)
A given the curve joining A to B could be

represented by a pair of function (θ(t), ϕ(t))
for t ∈ [0, 1] with ϕ(0) = θ(1) = 0; ϕ(1) = ϕ1
The resulting curve defined by
Y (t) = (R cos θ(t) sin ϕ(t), R sin θ(t) sin ϕ(t), R cos ϕ(t))
and its derivative is

Y 0 (t) = R − sin θ(sin ϕ)θ0 + cos θ(cos ϕ)ϕ0 , cos θ(sin ϕ)θ0 + sin θ(cos ϕ)ϕ0 , −(sin ϕ)ϕ0 (t).


CalculusSinica)
Geodesic problem on a sphere
The length of the curve is
Z 1 Z 1q
0
L(Y ) := |Y (t)| dt = R sin2 ϕ(t)θ0 (t)2 + ϕ0 (t)2 dt
0 0
The Problem
Find a minimum of the functional L among a curve Y (t), represented by
(θ(t), ϕ(t)), satisfying ϕ(0) = θ(1) = 0; ϕ(1) = ϕ1
Z 1q
min L(Y ) = min R sin2 ϕ(t)θ0 (t)2 + ϕ0 (t)2 dt
0
Z 1
1
0

L(Y ) ≥ R ϕ (t) dt = Rϕ(t) = Rϕ1
0 0
Let Y1 (t) is a curve represented by θ(t) = 0, ϕ(t) = tϕ1 . Then
Z 1q
L(Y1 ) = R sin2 (tϕ1 ) 02 + ϕ21 dt = Rϕ1 .
0 Sinica)
Calculus of Variation and its Application July 14, 2011 12 / 1
Minimal Area Problem
Find a least-area surface among all
smooth surface which can be
represented as a graph of a smooth
function u = u(x, y ) on a planar
domain D and satisfies the boundary
condition u|∂D = γ for some given
function defined on the boundary
∂D.
Let S(u) be the associated surface area. The problem is formulated in the
following form:
Z q
min S(u) = min 1 + ux2 + uy2 dxdy
u∈A u∈A D
where A is a collection of continuous differentiable functions
A = {u ∈ C 1 (D) : u = g on ∂D}.

CalculusSinica)
Plateau’s Problem
Suppose C is a closed curve in space. What is the surface S of smallest
area having boundary C ?
This problem is called Plateau’s problem in honor of the physicist,

J. Plateau (1801-1883), who experimentally determined a number of
the geometric properties of soap films and soap bubbles through
interesting experiments with soap films.
In mathematics, Plateau’s problem is to show the existence of a
minimal surface with a given boundary.

CalculusSinica)
The simplest One-dimensional Example:
The variational problem is

Z 1
dy 2
min E (y ) = min | | dx
y ∈A y ∈A 0 dx
where the collection A of functions is given by
A = {y ∈ C 1 (0, 1) : y (0) = 0, y (1) = 2}.
Suppose y ∈ A is a minimizer of the functional E (y ). Let ϕ(x) be any

continuous differentiable function with ϕ(0) = ϕ(1) = 0.
Z 1
dy dϕ 2
E (y + tϕ) = | +t | dx
0 dx dx

CalculusSinica)
The first variation

dE (y + tϕ)
δE (y , ϕ) ≡
dt
t=0
Since y is a minimizer of the functional E , the following derivative is zero.
Z 1 Z 1
dy dϕ dϕ dy dϕ
δE (y , ϕ) = 2 +t dx = 2 dx = 0
dx 0dx dx dx dx t=0 0
For any ϕ ∈ C 1 [0, 1]

with ϕ(0) = ϕ(1) = 0, the following it true
Z 1
dy dϕ
dx = 0.
0 dx dx
By using the integration by part,
dy 1
Z 1 Z 1 2 Z 1 2
dy dϕ d y d y
0= dx = ϕ − 2
ϕ dx = − 2
ϕ dx.
0 dx dx dx 0 0 dx 0 dx
The Euler-Lagrange equation:
( 2
d y
dx 2
= 0 in (0, 1)
=⇒ y (x) = 2x.
y (0) = 0, y (1) = 2
CalculusSinica)
The second variation
The above discussion only guarantee the solution y = 2x is a critical
point for the functional E among all possible variation ϕ.
Consider the second variation
Z 1 2
d 2 E (y + tϕ)

2 dϕ
δ E (y , ϕ) ≡ 2
=2 dx > 0
dt dx t=0 0
Suppose we set Φ(t) = E (y + tϕ). According to the Taylor expansion

of the function Φ(t) at t = 0, we find
1
Φ(t) = Φ(0) + Φ0 (0) t + Φ00 (0) t 2 + high order terms,
2
that is
1
E (y + tϕ) = E (y ) + δE (y , ϕ) t + δ 2 E (y , ϕ) t 2 + high order terms
2
We could conclude that
y = 2x
is a minimizer.
CalculusSinica)
Typical One-dimensional Variational Problems
Let L(x, y , z) a function with continuous first and second (partial)

derivatives in x, y , z. Let E (y ) be a functional defined by
Z 1
E (y ) = L(x, y (x), y 0 (x)) dx
0
on the class A of functions
A = {y ∈ C 1 [0, 1] : y (0) = a , y (1) = b}.
Then the extreme y (x) of the functional E (y ) satisfies the Euler-Lagrange

equation:
∂L d ∂L
− = 0 in on (0, 1).
∂y dx ∂y 0
with the boundary condition y (0) = a, y (1) = b.

CalculusSinica)
The simplest 2-dimensional problem
Let D be some smooth bounded domain and g is a function defined on
the boundary ∂D. Set
A = {u ∈ C 1 (D) : u(x, y ) = g (x, y ) for (x, y ) ∈ ∂D}.
The following is one of the simplest 2-d minimization problem

Z
min E (u) = min ux2 + uy2 dxdy
u∈A u∈A D
The Euler-Lagrange equation:
∂2u ∂2u
+ = 0 in D
∂x 2 ∂x 2
with the boundary condition
u(x, y ) = g (x, y ) on (x, y ) ∈ ∂D.

CalculusSinica)
The typical 2-dimensional variational problem
Let D be some smooth bounded domain and g is a function defined on
the boundary ∂D. Set
A = {u ∈ C 1 (D) : u(x, y ) = g (x, y ) for (x, y ) ∈ ∂D}.
Let L(x, y , z, p1 , p2 ) be a C 2 function in all arguments. Let E (y ) be a

functional defined by
Z
E (u) = L(x, y , u, ux , uy ) dxdy
D
Then the extreme u(x, y ) ∈ A of the functional E (u) satisfies the

Euler-Lagrange equation:

∂L d ∂L d ∂L
− − = 0 in D
∂y dx ∂ux dy ∂uy
with the boundary condition u(x, y ) = g (x, y ) on (x, y ) ∈ ∂D.

CalculusSinica)
The Area Minimizing Problem
Let S(u) be the associated surface
area.
Z q
min S(u) = min 1 + ux2 + uy2 dxdy
u∈A u∈A D
where A is a collection of continuous

differentiable functions
A = {u ∈ C 1 (D) : u = g on ∂D}.
The Euler-Lagrange equation

(ux , uy )
∇· q =0
1 + ux2 + uy2
with the boundary condition
u(x, y ) = g (x, y ) for (x, y ) ∈ ∂D.

CalculusSinica)
Ideas from Calculus
In calculus, suppose f (x) is a C 2 -continuous function.
f 0 (x0 ) = 0 ⇒ x0 is a critical point.
In order to check whether x0 is a maximal point or a minimal point

we need to check the sign of the second derivative.
f 00 (x0 ) > 0 ⇒ f (x0 ) is a local minimal.
f 00 (x0 ) < 0 ⇒ f (x0 ) is a local maximum.

Suppose f (x, y ) is a C 2 -continuous function. The Taylor expansion of
the function f (x, y ) at (x0 , y0 ) is
f (x0 + tu, y0 + tv ) = f (x0 , y0 ) + [fx (x0 , y0 )u + fy (x0 , y0 )v ]t

1
+ [fxx (x0 , y0 )u 2 + 2fxy (x0 , y0 )uv + fyy (x0 , y0 )v 2 ]t 2
2
+higher order terms

CalculusSinica)
Analogy to Calculus of Variation
R1
Suppose E (y ) ≡ 0 L(x, y (x), y 0 (x)) dx and
A = {y ∈ C 1 [0, 1] : y (0) = a , y (1) = b}.
The same issue happen in the calculus of variation.
δE (u, ϕ) = 0 for all possible variation ϕ
i.e.
∂L d ∂L
− = 0 in on (0, 1).
∂y dx ∂y 0
only implies
y is a local extreme point in A.
In order to tell whether the extreme y of the functional E (y ) is a
local minimum or a local maximum, we need check the second
variation of E (y ).

CalculusSinica)
The Second Variation of E (y )
d 2 E (y + tϕ)

2
δ E (y , ϕ) =
dt 2
t=0
Z 1 2
d 0 0

= 2
L(x, y + tϕ, y + tϕ ) dx
0 dt

t=0
Z 1
= (Lyy ϕ2 + 2Lyy 0 ϕϕ0 + Ly 0 y 0 ϕ02 ) dx
0
Suppose y (x) is a local extreme, i.e. δE (y , ϕ) = 0 for all ϕ ∈ C01 [0, 1]. We
have the following conclusion:
If Ly 0 y 0 (x, y (x), y 0 (x)) > 0 for all ϕ ∈ C01 [0, 1] and δ 2 E (y , ϕ) > 0 for
all ϕ ∈ C01 [0, 1], then y (x) is a weak minimum.
If Ly 0 y 0 (x, y (x), y 0 (x)) < 0 for all ϕ ∈ C01 [0, 1] and δ 2 E (y , ϕ) < 0 for
all ϕ ∈ C01 [0, 1], then y (x) is a weak maximum.

CalculusSinica)
Indirect Methods
The classical indirect method of variational problems is based on the

optimistic idea that every minimum problem has a solution. In order
to determine this solution, one looks for conditions which have to
satisfies by a minimizer. An analysis of the necessary conditions often
permits one to eliminate many candidates and eventually identifies a
unique solution. For example, we only have one solution of the
Euler-Lagrange equation satisfying all prescribed conditions. We
tempted to infer that this solution is also be a solution to the original
minimum problem.
The above approach is false. We have to prove the existence of
minimizer before we could conclude the uniqueness of solutions to the
Euler-Lagrange equation.
Usually, in higher dimension solving the Euler-Lagrange equation is
more difficult than finding a minimizer of a functional .

CalculusSinica)
The Direct Method for area minimizing problem
Let F be the a functional defined on an

unit disk.
Z q
F (u) = 1 + ux2 + uy2 dxdy
D
A surface u1 with area π + 1
We can find an area minimizing sequence
{un } such that
lim F (un ) = min F (u) = π.

n→∞ u
1
A surface u2 with area π + 4 If the area minimizing sequence is ”nice
enough”, we could see the sequence {un }
is getting closer and closer to the unit disk
Guess: The minimal surface is the unit
disk.
1
A surface u3 with area π + 16
CalculusSinica)
The Main Idea of Direct Method
Consider a minimization problem on some class A of functions:
min E (u)
u∈A
Suppose there exist a minimizing sequence {un } in A. i.e.

lim E (un ) = min E (u) < +∞.
n→∞ u∈A
Suppose we could find an element v0 in A such that

”un → v0 ” as n → ∞.
Suppose the functional E has some kind of continuity. Therefore
lim E (un ) = E (v0 ).
n→∞
We conclude that v0 is a minimizer of the functional E because

E (v0 ) = lim E (un ) = min E (u).
n→∞ u∈A

CalculusSinica)
The Difficulty of Direct Method
A surface with area π + 1
1
A surface with area π + 4
1
A surface with area π + 1 A surface with area π + 64
16
CalculusSinica)
The Setting of the Direct Method
Consider a minimization problem on some class A of functions:
min E (u)
u∈A
Suppose we have following properties on E and A.

1 (Lower-semi-continuity) For every sequence ”un → u0 ”, we have
E (u0 ) ≤ lim inf E (un ).

n→∞
2 (Compactness) For a bounded sequence {un } in A, there exist a

convergent subsequence {unk } to some u0 ∈ A.

CalculusSinica)
Existence of a Minimizer by the Direct method
Suppose {vn } is an minimizing sequence.
lim E (vn ) = inf E (v ) < +∞

n→∞ v ∈A
If we are possible to show {vn } is bounded in A, there there exist a

subsequence {vnk } and v0 ∈ A such that
vnk → v0 as k → ∞.
By the lower-semi-continuity of the functional E , we have
E (v0 ) ≤ lim inf E (Enk ) = lim E (vn ) = inf E (v )

k→∞ n→∞ v ∈A
This implies v0 is a minimizer.

CalculusSinica)
A minimum problem without a minimizer
Z 1
min (ux2 − 1)2 + u 2 dx
u∈A 0
where
A = {u ∈ C 1 [0, 1] : u(0) = u(1) = 0}
Choose a minimizing sequence {un } which are zigzag functions with slope
±1 and un → 0 as n → ∞.
We have
lim E (un ) = 0
n→∞
but
E (0) = 1.
Therefore the minimum is not attained.
CalculusSinica)
Variational principles in physics
There are many laws of physics which are written as variational principles.
The Fermat’s principle in optics
The principle of least action This principle is equivalent to the
Newton second law of motion in a mechanical system.
The law of maximum entropy: Thermal equilibrium will reach the
maximum entropy of the system.

CalculusSinica)
Fermat’s Principle
In optics, the Fermat’s principle, also called the principle of the
least time, states that a path taken by a ray of light between two
points is the least-time path among all ”possible” paths.
The law of reflection and the law of refraction could be derived from
the Fermat’s principle.
Reflection Refraction
The Fermat’s principle motivate the principle of least action in
mechanic systems.

CalculusSinica)
The Principle of Least Action
In Physics, the principle of least action states that the motion of a
mechanical system will follow the trajectory which minimize the
action of the system.
In classical mechanics, the action is defined as an integral along an
actual or virtual space-time trajectory q(t) connecting two space-time
events, initial event A ≡ (qA , tA = 0) and final event
B ≡ (qB , tB = T ). The action is defined as
Z T
S(q) = L(q(t), q̇(t)) dt
0
where L(q, q̇) is the Lagrangian, and q̇ = dq

dt . The Lagrangian is given
as the difference of kinetic energy K and potential energy V along
the trajectory q(t):
L(q, q̇) = K − V .

CalculusSinica)
Classical Mechanics
Let’s consider the one-particle system in a conservative field. The relation
between the potential energy of the particle and the force acting on the
particle is given by F = (F1 , F2 , F3 ) = −∇V = −(Vx , Vy , Vz ) or
Z B
Work = V (A) − V (B) = F · ds.
A
The kinetic energy of the particle is

1
K = m(ẋ 2 + ẏ 2 + ż 2 ).
2
The associated Lagrangian is
1
L(x, y , z, ẋ, ẏ , ż) = K − V = m(ẋ 2 + ẏ 2 + ż 2 ) − V (x, y , z).
2

CalculusSinica)
Consider the variational problem
Z T
1
min S(x(t), y (t), z(t)) = min m(ẋ 2 + ẏ 2 + ż 2 ) − V (x, y , z) dt
0 2
Z T
δS = m(ẋδ ẋ + ẏ δ ẏ + żδ ż) − (Vx δx + Vy δy + Vz δz) dt
0
Z T
δS = −m(ẍδx + ÿ δy + z̈δz) + (F1 δx + F2 δy + F3 δz) dt
0
Z T
δS = (F1 − mẍ)δx + (F2 − mÿ )δy + (F3 − mz̈)δz dt
0
According to the principle of least action δS = 0, we obtain

 m ẍ = F1
m ÿ = F2
m z̈ = F3 .

This is the Newton second law of motion,

F = ma.
CalculusSinica)
Lagrangian Mechanics
The Lagrangian is given by
L(q1 , . . . , qn , q̇1 , . . . , q̇n ) = K (q̇1 , . . . , q̇n ) − V (q1 , . . . , qn , q̇1 , . . . , q̇n )
where K is the kinetic energy and V is the potential energy of the system
and (q1 , . . . , qn ) is a generalized coordinate. The action S is defined by
Z T
S(q1 , . . . , qn ) = L(q1 , . . . , qn , q̇1 , . . . , q̇n ) dt.
0
According to the principle of least action, the Euler-Lagrange equations are

 ∂L d ∂L
 ∂q1 − dt ∂ q̇1
 = 0
.. .
 . = .. .
 ∂L d ∂L
∂qn − dt ∂ q̇n = 0
∂L ∂L
We usually called F ≡ ( ∂q 1
, . . . , ∂qn
) a generalized force and
∂L ∂L
P ≡ ( ∂ q̇1 , . . . , ∂ q̇n ) a generalized momentum. Therefore, we derive a
Newton second law, Ṗ = F , in the general coordinate.
CalculusSinica)
The principle of least action
Z T
min S(q1 , . . . , qn ) = min L(q1 , . . . , qn , q̇1 , . . . , q̇n ) dt
0
provide us a way to find a ”suitable” coordinate system for the

mechanical system.
The principle of least action could also be applied in the theory of
relativity, quantum mechanics and quantum field theory.

CalculusSinica)
Legendre Transformation
A Legendre transformation
of a convex function f is
defined by
f ∗ (p) = max(px − f (x)).

x
If f is differentiable, then f ∗ (p) can be interpreted as the negative of

the y -intercept of the tangent line to the graph of f that has slope p.
The value of x attains the maximum has the property
f 0 (x) = p.
f ∗ (f 0 (x)) = x f 0 (x) − f (x).
Another definition: Set p = f 0 (x). The inverse function theorem
implies x = x(p). Thus we define
f ∗ (p) = p x(p) − f (x(p)).
CalculusSinica)
Properties of Legendre Transformation
Set p = f 0 (x). The inverse function theorem implies x = x(p). Thus we
define
f ∗ (p) = p x(p) − f (x(p)).
We have following relations:

df
p= (x),
dx
df ∗
x= (p).
dp
Also we have
f (x) + f ∗ (p) = xp.
And also
f = f ∗∗

CalculusSinica)
Hamiltonian Mechanics
The Lagrangian of a system is given by L(q, q̇). We introduce the
Hamiltonian function
H(q, p) = max(p q̇ − L(q, q̇)).
q̇
This is equivalent to
∂L
H(q, p) = p q̇ − L(q, q̇) (q, q̇),and p =
∂ q̇
where the second equation gives us the relation q̇ = q̇(q, p).
Since the double Legendre transformation is itself, we have
∂H
L(q, q̇) = p q̇ − H(q, p) and q̇ = (q, p).
∂p
Example: A system of a single particle
m ∂L p
L(q, q̇) = q̇ 2 − V (q). p= = mq̇ ⇒ q̇ =
2 ∂ q̇ m
p2 p2 p2
H(q, p) = p q̇ −L(q, q̇) = −( −V (q)) = +V (q) = Total energy
m 2m 2m
CalculusSinica)
Hamilton’s equations
Applying the principle of least action to L(q, q̇) = p q̇ − H(q, p), we have
Z t2 Z t2
δ L dt = δ [p q̇ − H(q, p)] dt.
t1 t1
We will find
Z t2
∂H ∂H
q̇ δp + p δ q̇ − δp − δq dt = 0,
t1 ∂p ∂q
Z t2
∂H ∂H
q̇ − δp + −ṗ − δq dt = 0.
t1 ∂p ∂q
This leads us to Hamilton’s equations
(
q̇ = ∂H∂p ,
ṗ = − ∂H∂q .

CalculusSinica)
Thermodynamics
Thermodynamics is a branch of physics which study physical

systems through macroscopic quantities, such as temperature,
volume, pressure, etc.
Thermodynamics concerns phenomena that are in thermal
equilibrium. Studies of non-equilibrium physical processes are out of
the scope of the classical thermodynamics.
The results of thermodynamics are essential for other fields of physics
and chemistry, chemical engineering, aerospace engineering,
mechanical engineering, cell biology, biomedical engineering, materials
science, and economics.

CalculusSinica)
Laws of Thermodynamics
Zeroth law of thermodynamics: states that if two systems are in
thermal equilibrium with a third system, they are also in thermal
equilibrium with each other.
First law of thermodynamics: states that heat is a form of energy.
The law is no more than a statement of the principle of conservation
of energy. Energy can be transformed from one to another.
∆U = ∆Q − W
∆Q = QH − QC
Second law of thermodynamics: is also called the law of increase
of entropy. It states that if a closed system is in a configuration that
is not the equilibrium configuration, the most probable consequence
will be that the entropy of the system will increase monotonically in
successive of time.
Third law of thermodynamics: states that the entropy of a system
approaches to a constant value as the temperature approaches zero.
CalculusSinica)
Entropy
There are two definitions of entropy. One is the thermodynamic
definition and the other is the statistic mechanics definition.
Thermodynamic entropy is a non-conserved state function of
physical systems. Thermodynamic entropy is more generally defined
from the statistical viewpoint, in which the molecular nature of
matter is explicitly considered.
In statistical mechanics, statistical entropy is a measure of ways
which a system could be arranged. The entropy S is defined as
S = kB ln Ω
where Ω is a number of ways and kB is the Boltzmann constant.
Boltzmann showed the statistical entropy is equivalent to the
thermodynamic one.
The first law of thermodynamics tells us that energy is conserved in a
thermodynamic system. The second law tells us natural processes
have a preferred direction of progresses.
CalculusSinica)
Thermal Equilibrium
A system that is in equilibrium experience no change when is

isolated from its surroundings.
In thermodynamics, a system is in thermal equilibrium when it is in
thermal equilibrium, mechanical equilibrium, radiative equilibrium,
and chemical equilibrium and chemical equilibrium.
One of important questions in

thermodynamics is what is the
equilibrium state after we
remove the boundary between
a isolated thermal system and
its surrounding.

CalculusSinica)
Callen’s Postulates of Thermodynamics
I. There exist particular states (called equilibrium states) that,
macroscopically, are characterized completely by the specification of
the internal energy U and a set of extensive parameters X1 , X2 , . . . ,
Xt later to be specifically enumerated.
II. There exists a function (called the entropy)of the extensive
parameters, defined for all equilibrium states, and having the following
property. The values assumed by the extensive parameters in the
absence of a constraint are those that maximize the entropy over the
manifold of constrained equilibrium states.
III. The entropy of a composite system is additive over the constituent
subsystems (whence the entropy of each constituent system is a
homogeneous first-order function of the extensive parameters). The
entropy is continuous and differentiable and is a monotonically
increasing function of the energy.
IV. The entropy of any system vanishes in the state for which
∂U
T ≡ ∂S X ,X ,... = 0.
1 2

CalculusSinica)
The Internal Energy of a system
U = U(X0 , X1 , X2 , X3 , . . . , Xt ) = U(S, V , X2 , . . . , Xt )
where X0 denote the entropy S, X1 the volume, and the remaining Xj are
the mole numbers. For non-simple systems, the Xj may represent
magnetic, electric, elastic extensive parameters to the system considered.
t
X t
X
dU = TdS + Pk dXk = Pk dXk
k=1 k=0
∂U
T =
∂S
∂U
P=
∂V
∂U
Pk = for k = 0, . . . t
∂Xk
TdS is the flux of heat and tk=1 Pk dXk is the work.
P
CalculusSinica)
Entropy Maximum Principle and Energy Minimum Principle
S = S(U, X1 , X2 , . . . , Xt ) ⇔ U = U(S, X1 , X2 , . . . , Xt )
max S(U0 , X1 , . . . , Xt ) min U(S0 , X1 , . . . , Xt )

X1 ,...,Xt X1 ,...,Xt
Entropy Maximum Principle Energy Minimum Principle

CalculusSinica)
Legendre Transformations of the Internal Energy
Experimenters frequently find that the intensive parameters are the
more easily measured and controlled and therefore is likely to think of
the intensive parameters as operationally independent variables and of
the extensive parameters as operationally derived quantities.
A partial Legendre transformation can be made by replacing the
variables X0 , X1 , . . . , Xs by P0 , P1 , . . . , Ps .
s
!
X
∗
U (P0 , P1 , . . . , Ps , Xs+1 , . . . , Xt ) = min U(X0 , X1 , . . . , Xt ) − Pk Xk .
X0 ,...,Xs
k=0
The equilibrium values of any unconstrained extensive parameters

(Xs+1 , . . . , Xt ) in a system in contact with reservoirs of constant
P0 , P1 , . . . , Ps minimize the thermodynamic free energy
(potential) U ∗ .
s
!
X
min U(X0 , X1 , . . . , Xt ) − Pk Xk = min U ∗ (P0 , P1 , . . . , Ps , Xs+1 , . . . , Xt ).
X0 ,...,Xt Xs+1 ,...,Xt
k=0

CalculusSinica)
Some Classical Thermodynamic Free Energies
Suppose the internal energy take the form
U = U(S, V , N).
Helmholtz Free Energy
A(T , V , N) = min [U(S, V , N) − TS]
S
min A(T , V , N)
V ,N
Gibbs Free Energy
G (T , p, N) = min [U(S, V , N) + pV − TS]
S,V
min G (T , p, N)
N
Enthaply
H(S, p, N) = min [U(S, V , N) + pV ]
V
min H(S, p, N)
S,N
Remark: Here pV related to the work done to the surrounding. It could be replaced by other kinds of work in other system.
CalculusSinica)
Nonuniform Binary Systems
Consider a binary system of A component and B component.
The Gibbs energy of the system take the form
Z
G (c) = κ|∇c|2 + ωc(1 − c) + kT [c ln c + (1 − c) ln(1 − c)] dx
Ω
where c is the mole fraction of the A component and (1 − c) is the mole

fraction of the B component.
T temperature
k Boltzmann constant
ω interaction constant between two
components
κ some constant
We will see that sufficient cooling may lead
to phase separation. (Phase transition)

CalculusSinica)
Equilibrium state
The equilibrium state c of the binary system will minimize the Gibbs energy
Z
min G (c) = min κ|∇c|2 + f (c) dx.
c c Ω
Here we set
f (c) = (1 − c 2 )2 .
The Euler-Lagrange equation is
∂f
−2κ∇c + =0 in Ω
∂c
and the boundary condition
n · ∇c = 0 on ∂Ω.

CalculusSinica)
One-dimensional Interface
Suppose interface is one-dimensional. We have to consider the problem
Z ∞
dc
min κ| |2 + f (c) dx
c −∞ dx
and c(x) → −1 as x → −∞ and c(x) → 1 as x → ∞.
d 2c df
−2κ2
+ =0
dx dc
d 2c

df dc
−2κ 2 + =0
dx dc dx
2 !
d dc
−κ + f (c) = 0
dx dx
2
dc
−κ + f (c) = constant = 0
dx
CalculusSinica)
dc p
κ1/2 = f (c) = 1 − c 2
dx
κ1/2 dc
=1
1 − c 2 dx
exp( √xκ ) − exp(− √xκ )

x

c(x) = = tanh √
exp( √xκ ) + exp(− √xκ ) κ
√
This tells us the thickness of the interface is κ.
The energy concentrate near the interface.
We may guess
G (c) → Area functional of the interface
as κ → 0. It is true but the rigorous proof requires more mathematics.

CalculusSinica)
Thank you for your attention!

CalculusSinica)

Calculus of Variation and Its Application: Tien-Tsan Shieh

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Calculus of Variation and its Application

July 14, 2011

Tien-Tsan Shieh (Institute of MathematicsAcademic

1 Basic ideas in the Calculus of Variations

Tien-Tsan Shieh (Institute of MathematicsAcademic

Finding maximums and minimums for a giving a smooth function f (x):

f 0 (x0 ) > 0 implies the function f (x) is increasing around x0 .

Tien-Tsan Shieh (Institute of MathematicsAcademic

Here x = (x1 , x2 ) and v = (v1 , v2 ).

= f (x) + t (fx1 (x)v1 + fx2 (x)v2 )

+ higher order terms

Tien-Tsan Shieh (Institute of MathematicsAcademic

Tien-Tsan Shieh (Institute of MathematicsAcademic

Tien-Tsan Shieh (Institute of MathematicsAcademic

where s is the arclength and v is the speed.

Problem: Find a curve, joining points A and B, with a shortest distance.

Tien-Tsan Shieh (Institute of MathematicsAcademic

Using spherical coordinate,

Y = (R cos θ sin ϕ, R sin θ sin ϕ, R cos ϕ)

A given the curve joining A to B could be

The resulting curve defined by

and its derivative is

Tien-Tsan Shieh (Institute of MathematicsAcademic

where A is a collection of continuous differentiable functions

Tien-Tsan Shieh (Institute of MathematicsAcademic

This problem is called Plateau’s problem in honor of the physicist,

Tien-Tsan Shieh (Institute of MathematicsAcademic

The variational problem is

where the collection A of functions is given by

A = {y ∈ C 1 (0, 1) : y (0) = 0, y (1) = 2}.

Suppose y ∈ A is a minimizer of the functional E (y ). Let ϕ(x) be any

Tien-Tsan Shieh (Institute of MathematicsAcademic

For any ϕ ∈ C 1 [0, 1]

Suppose we set Φ(t) = E (y + tϕ). According to the Taylor expansion

Let L(x, y , z) a function with continuous first and second (partial)

on the class A of functions

A = {y ∈ C 1 [0, 1] : y (0) = a , y (1) = b}.

Then the extreme y (x) of the functional E (y ) satisfies the Euler-Lagrange

Tien-Tsan Shieh (Institute of MathematicsAcademic

A = {u ∈ C 1 (D) : u(x, y ) = g (x, y ) for (x, y ) ∈ ∂D}.

The following is one of the simplest 2-d minimization problem

The Euler-Lagrange equation:

u(x, y ) = g (x, y ) on (x, y ) ∈ ∂D.

Tien-Tsan Shieh (Institute of MathematicsAcademic

A = {u ∈ C 1 (D) : u(x, y ) = g (x, y ) for (x, y ) ∈ ∂D}.

Let L(x, y , z, p1 , p2 ) be a C 2 function in all arguments. Let E (y ) be a

Then the extreme u(x, y ) ∈ A of the functional E (u) satisfies the

with the boundary condition u(x, y ) = g (x, y ) on (x, y ) ∈ ∂D.

where A is a collection of continuous

The Euler-Lagrange equation

with the boundary condition

u(x, y ) = g (x, y ) for (x, y ) ∈ ∂D.

Tien-Tsan Shieh (Institute of MathematicsAcademic

f 0 (x0 ) = 0 ⇒ x0 is a critical point.

In order to check whether x0 is a maximal point or a minimal point

f 00 (x0 ) > 0 ⇒ f (x0 ) is a local minimal.

f 00 (x0 ) < 0 ⇒ f (x0 ) is a local maximum.

f (x0 + tu, y0 + tv ) = f (x0 , y0 ) + [fx (x0 , y0 )u + fy (x0 , y0 )v ]t

Tien-Tsan Shieh (Institute of MathematicsAcademic

δE (u, ϕ) = 0 for all possible variation ϕ

Tien-Tsan Shieh (Institute of MathematicsAcademic

Tien-Tsan Shieh (Institute of MathematicsAcademic

The classical indirect method of variational problems is based on the

exp( √xκ ) − exp(− √xκ )