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09/7
Sheehan Olver
1 Z f (t)
HΓ f (z) = − dt, (1.1)
π Γ t−z
where Γ is an oriented curve in the extended complex plane C, f : Γ → C satisfies a Hölder
condition and z ∈ C, including the possibility of z lying on Γ itself. We also consider the
inverse problem, i.e., finding a continuous function u : Γ → C which satisfies
or in other words, computing HΓ−1 f . In particular, we consider the case where Γ is one of
the following domains (using T = [−π, π) to denote the periodic interval):
1 t+b
log q(t) = log − HR+ θ,
2 t+a
q(t)2 tq 0 (t) = sin θ(t).
The principal value integral in the Hilbert transform means that the solution to this equation
is global: we cannot time-step as in an ODE. If we attempt to solve this equation using an
iterative scheme, we invariably need to either compute Hθ to determine q from θ, or compute
H−1 [log q − 12 log t+a
t+b
] to determine θ from q.
Matrix-valued Riemann–Hilbert problems can be used to solve nonlinear ordinary and
partial differential equations such as the nonlinear Schrödinger equation, the KdV equation
and Painlevé equations [ 9, 10 ]. Such formulations have been used with great success to
determine the asymptotics of solutions, but, to the best of this author’s knowledge, have not
been used to compute solutions numerically. In Section 7 we describe a possible approach in
which the results of this paper can be utilized for computing the solutions to matrix-valued
Riemann–Hilbert problems, and hence to the solution of the associated nonlinear differential
1
equations. To accomplish this, we need to compute not the Hilbert transform itself, but its
limit as z approaches Γ from the left or right.
There are several existing methods for computing Hf , with a recent review found in
[ 14 ]. The simplest method is to subtract out the singularity:
Z
f (t) Z
f (t) − f (z) Z
1
− dt = dt + f (z)− dt. (1.3)
Γ t−z Γ t−z Γ t−z
The singularity in the first integral is now removable, hence — ignoring round-off error caused
by the removable singularity — it can be computed effectively using a standard quadrature
technique. The latter integral, on the other hand, is typically known in closed form. In
particular [ 16 ]:
Z 1
1 1−x
− dt = log for x ∈ I, (1.4)
−1 t−x 1+x
Z ∞
1
− dt = 0 for y ∈ R, (1.5)
−∞ t − y
Z
1
− dt = iπ for z ∈ U.
U t−z
(We use the convention that x ∈ I, y ∈ R and z ∈ U, and for functions, f : I → C, r : R → C
and g : U → C. When Γ is a general curve, we use z as the variable and f as the function.)
If Gaussian quadrature is used, each value of z for which we wish to evaluate the Hilbert
transform costs O n2 operations [ 21 ]. Thus if we wish to compute the Hilbert transform
for n points in Γ, the total cost is O n3 . On the other hand, for Γ equal to R or U, the
method we develop takes only O(n log n) operations to compute the solution at n points,
which is a considerable improvement. At each additional point, including z throughout the
complex plane, only an additional O(n) operations is required. On the unit interval we could
replace Gaussian quadrature with Clenshaw–Curtis quadrature [ 8 ] in (1.3), for a total cost of
O n2 log n operations. However, this still suffers from issues with removable singularities,
as well as issues with evaluation for x near the endpoints of I where the Hilbert transform
blows up.
Over the real line, the problem can be solved using the FFT by expanding f in terms of
the eigenfunctions of HR , i.e., writing
∞
X (1 + iy)k
r(y) = ck ,
k=−∞
(1 − iy)k+1
(1 + iy)k (1 + iy)k
HR = −i sgn k for k 6= 0,
(1 − iy)k+1 (1 − iy)k+1
2
1 1
HR = −i sgn . [ 23 ] (1.6)
1 − iy 1 − iy
Similarly, on the interval I the formula
Tk (x)
HI √ = −Uk−1 [ 14 ] (1.7)
1 − x2
√
can be utilized to compute Hf (by expanding f (x) 1 − x2 into Chebyshev Tk series) or
H−1 f (by expanding f into Chebyshev Uk series). To compute HI f efficiently for smooth
f , the formula
b k−1
2 c j
1 1+x 1 X ck,v
xk−2j−1
X
HI Tk (x) = Tk (x) log − , (1.8)
π 1−x π j=0 v=0 2j + 1 − 2v
bk/2c
ck,j xk−2j ,
X
Tk (x) =
j=0
or, equivalently,
c0,j = 1,
2k−2j−1 (−1)j k(k − j − 1)!
ck,j = , k = 1, 2, . . . . [ 14 ]
j!(k − 2j)!
Equations (1.6) and (1.7) can also be applied to compute the Hilbert transform globally
in O(n log n) time and (1.8) in O n3 time. Our approach is in some sense equivalent to
(1.6) throughout the complex plane, and (1.7) and (1.8) on I itself, though our version of
(1.8) requires only O(n log n) operations at a single point and O n2 operations globally.
Furthermore, the known expansion in terms of Chebyshev polynomials cannot be used for
x off the interval, whereas our approach can be used throughout the complex plane in a
numerically stable manner. Moreover, the additional terms in our equivalent to (1.8) can
be written in terms of Chebyshev series, not power series, making the method numerically
stable.
In the following section, we setup the computation of H in terms of the solution of a
Riemann–Hilbert problem. In Section 3 we construct our method for the circle, and describe
the rate of convergence, which is based on the standard FFT convergence theory. In Section 4
we construct the method for the real axis by mapping it to the circle. In Section 5 we use
the Chebyshev map to solve the Riemann–Hilbert problem on the interval. We can then
compute the semi-infinite Hilbert transform by mapping the half line to the interval. We
can combine the computation of two half lines to compute the Hilbert transform over the
3
real line efficiently, even when the behaviour at ±∞ differ. This is unlike the method of
Section 4 and [ 23 ], which requires that the function has the same asymptotic series at both
+∞ and −∞.
Problem 2.2 Suppose we are given a piecewise smooth oriented curve in the complex plane
Γ and b, f : Γ → C which satisfy a Hölder condition. Find a function Φ which is analytic in
C\Γ such that
We use Φ(∞) to denote the limit Φ(z) as z → ∞ from any direction, assuming it exists.
Likewise, when f is defined only on Γ containing ∞, we use f (∞) to denote the limit as
z → ∞ from any direction along Γ.
In our case, b(x) will be either 1 or −1. The following theorem follows from Plemelj’s
lemma:
Theorem 2.3 [ 16 ] Let Γ be a piecewise smooth oriented curve in the complex plane and
f : Γ → C a function which satisfies a Hölder condition. The function
1 1 Z f (t)
Φ(z) = Hf (z) = dt
2i 2iπ Γ t − z
is analytic in C\Γ and satisfies Φ(∞) = 0. Let z ∈ Γ such that z is not an endpoint or
discontinuity of Γ. Then
Φ+ (z) − Φ− (z) = f (z)
and
Φ+ (z) + Φ− (z) = −iHf (z).
1
MΓ f = HΓ f.
2i
When Γ is clear from context, we use P and M. We also use the notation
5
Φ+ Φ–
We use the standard, counter-clockwise orientation for the unit circle, cf. Figure 1.
Consider a function g : U → C such that it is C 1 [U] and its first derivative has bounded
variation. Then its Fourier coefficients converge absolutely, and we can express g in terms
of its Fourier series:
∞
g eiθ = ĝk eikθ
X
for θ ∈ T.
k=−∞
If g is analytic in an annulus
( )
1
Aρ = z : < |z| < ρ ,
ρ
then this series is guaranteed to converge in Aρ . Otherwise, it will only converge on U. On
the other hand,
∞ −1
ĝk z k ĝk z k
X X
g+ = and g− =
k=0 k=−∞
are analytic in the interior and exterior of the unit disk, respectively, with g = g+ + g− on
U. Therefore, we obtain:
Theorem 3.1 Suppose g : U → C is C 1 [U] and its first derivative has bounded variation.
Then
g+ (z) for |z| < 1
1 for |z| < 1
Pg(z) = g− (z) for |z| > 1 and Mg(z) = Pg(z) −1 for |z| > 1 .
In other words computing the Fourier series allows us to compute the solution to either
Riemann–Hilbert problem on the unit circle.
6
Computation of the Fourier series can be accomplished efficiently using the FFT. Denote
n evenly spaced points in T as
>
2 2
θn = −π, −π + π, . . . , π − π
n n
and n evenly spaced points in U as
>
> iθn iπ ( n2 −1) iπ (1− n2 )
zn = (z1 , . . . , zn ) = e = −1, e ,...,e .
so that
b(n+1)/2c−1
ĝkn eikθ
X
k=−bn/2c
b(n+1)/2c−1
ĝkn z k
X
gn (z) =
k=−bn/2c
Definition 3.2 We denote the Laurent polynomial which takes the data g at the points zn
as
b(n+1)/2c−1
> −bn/2c b(n+1)/2c−1
ĝkn z k .
X
e(z) g = gn (z) = z ,...,z ĝ =
k=−bn/2c
b(n+1)/2c−1 −1
>
ĝkn z k e− (z)> g = ĝkn z k .
X X
e+ (z) g = and
k=0 k=−bn/2c
We also will use g+ = e+ (zn )> g and g− = e− (zn )> g for the values these functions take
at zn . Both of these can be computed with O(n log n) operations by applying the FFT to
compute ĝ, dropping the non-negative/positive entries and applying the inverse FFT.
7
The notation e(z) is chosen to emphasize that e(zk )> g = e>
k g, k = 1, . . . , n. In practice,
e± (z) can be evaluated efficiently and in a stable manner [ 12 ] using the barycentric formula
[ 6 ]:
Pn zk >
> k=1 z−zk ek g+
e+ (z) g = Pn zk for z ∈
/ zn ,
k=1 z−zk
Furthermore,
b(n+1)/2c−1
ĝkn z k
X
Pn g =
k=0
must converge to an analytic function inside the unit circle. Similarly, Pn g converges to an
analytic function outside the unit circle. By uniqueness, we thus obtain Pg = u. For z ∈ U,
we thus obtain the following approximations:
By utilizing results for the convergence rate of Fourier series’, we find that the conver-
gence rate of the approximation depends on the smoothness of g:
8
• If g ∈ C ρ [U] such that the ρth derivative of g has bounded variation, then the rate of
convergence is algebraic, on the order of O nρ+1 ;
• If g is analytic everywhere, except the possible exceptions of zero and ∞, then the rate
of convergence is supergeometric.
Theorem 4.1 Suppose that r is C 1 [R], its first derivative has bounded variation and r(y) ∼
α1
y + O( y12 ) as y → ±∞. Let Φ = MU g, for g(z) = r(R(z)). Then
−1 + 1 for Re y > 1
MR r(y) = Φ(R (y)) − Φ (−1) and PR r(y) = MR r(y) −1 for Re y < 1 .
Proof : The first hypothesis ensures that g is C 1 [U] and its first derivative has bounded
variation. Let ϕ(y) = Φ(R−1 (y)) − Φ+ (−1). Note that, if Φ+ − Φ− = r, then (Φ + c)+ −
(Φ + c)− = r, and adding a constant to a function does not alter its analyticity. Thus,
9
1
0.001
10-6
10-9
10-12
n
50 100 150 200 250 300 350
If r(+∞) = r(−∞) 6= 0, we can use the fact that H1 = 0, cf. (1.4), to compute
Hr = H[r − r(∞)].
Suppose that
ρ+1
X αk
r(y) ∼ (4.1)
k=1
yk
as y → ±∞. Then, if r ∈ C ρ [R], g ∈ C ρ [U]. Thus if r ∈ C ∞ [R] and has the same asymptotic
series at both ±∞, then MR,n and PR,n converge superalgebraically.
As a numerical example, we consider the computation of the Hilbert transform of
1 + sech y
r(y) = .
y2 + 1
In Figure 2, we compare
−
i M+
R,n r + MR,n r (4.2)
10
with the Hilbert transform computed numerically using Mathematica. Mathematica has
a built-in principal value option to its NIntegrate routine, though how it accomplishes this
computation is undocumented (and drastically slower than the approach we have developed).
We did need to increase the working precision of NIntegrate to as much as 30 digits to
compare to the result obtained by (4.2).
11
These functions have branch cuts along (−∞, −1) and (1, ∞), thus are analytic for x ∈ I. T↑
maps the unit interval to the upper circle, with any perturbation above or below I mapping
to a perturbation above or below U↑ . Likewise, T↓ reliably maps I to the lower circle. We
also use the notation l in the same was as ± is used (we do not define any equivalent to ∓).
We denote the Chebyshev series of f as
∞
X
f= f̌k Tk .
k=0
f̌k
ĝ0 = f̌0 , ĝk = ĝ−k = .
2
Let f = f (xn ) = (f (x1 ), . . . , f (xn−1 ), f (xn ))> , where
>
1 1
>
xn = (x1 , . . . , xn ) = −1, cos π −1 + , . . . , cos π 1 − ,1
n−1 n−1
are the n Chebyshev–Lobatto points. Then the sample of g at 2n − 2 evenly spaced points
on the circle is
The barycentric formula at Chebyshev–Lobatto points, i.e., the polynomial which takes the
given data at Chebyshev–Lobatto points, can be expressed in the following form:
P0 n (−1)k >
> k=1 x−xk ek f
eT (x) f = P0 n (−1)k for x∈
/ xn , [6]
k=1 x−xk
where the prime indicates that first and last entry of the sum are halved. It is true that
eT (x)> f = e(T −1 (x))> g for any choice of T −1 . In this case, the barycentric formula is only
useful for x ∈ I.
Computation of PI
Theorem 5.1 Suppose f is C 1 [I] and its first derivative has bounded variation. Let g(z) =
f (T (z)) and Φ = PU g. For constants c ∈ C,
Proof :
It follows from the hypotheses that g is C 1 [U] and its first derivative has bounded vari-
ation. Let u = [Φ(T+−1 (x)) + Φ(T−−1 (x))]/2. As p approaches x ∈ I from above, T+−1 (p)
approaches T↓−1 (x) from the interior and T−−1 (p) approaches T↑−1 (x) from the exterior. As p
approaches I from below, T+−1 (p) approaches T↑−1 (x) from the interior and T−−1 (p) approaches
T↓−1 (x) from the exterior. In other words,
2u+ (x) = Φ+ (T↓−1 (x)) + Φ− (T↑−1 (x)) and 2u− (x) = Φ+ (T↑−1 (x)) + Φ− (T↓−1 (x)).
we obtain
1 h + −1 i
u+ (x) + u− (x) = Φ (T↓ (x)) + Φ− (T↑−1 (x)) + Φ+ (T↑−1 (x)) + Φ− (T↓−1 (x))
2
= f (x).
xf̌0 + c xf̌0 + c
ψ + (x) = −i √ and ψ − (x) = i √ .
2 1 − x2 2 1 − x2
f̌0
Clearly, ψ + + ψ − = 0, whilst ψ(∞) = 2. Thus u − ψ decays at ∞ and satisfies
u+ − ψ + + u− − ψ − = u+ + u− = f.
The fact that this expression includes all possible solutions which satisfy a Hölder condition
follows from Section 84 in [ 16 ], which gives an expression for the class of all such solutions,
in terms of a contour integral.
Q.E.D.
Definition 5.2 Let g = (f (x1 ), . . . , f (xn−1 ), f (xn ), f (xn−1 ), . . . , f (x2 ))> . If x ∈ C\I and
c ∈ C, then, we define
1h i xf̌ n + c
PI,n f (x) = e+ (T+−1 (x))> + e− (T−−1 (x))> g − √ 0 √ .
2 2 x+1 x−1
If x ∈ I, then we define
1h i f̌ n x + c
PI+,n f (x) = e+ (T↓−1 (x))> + e− (T↑−1 (x))> g + i √0 ,
2 2 1 − x2
1h i f̌0 x + c
PI−,n f (x) = e+ (T↑−1 (x))> + e− (T↓−1 (x))> g − i √ .
2 2 1 − x2
As in the unit circle case, the convergence rate of this approximation is an immediate
consequence of the convergence of e(x)> g to g. We omit the details, but it clearly depends
on the differentiability and analyticity of f (cos θ). This is similar to the connection between
the convergence rate of Clenshaw–Curtis quadrature and the analyticity of f in Eρ [ 21 ].
For a vector g = (g1 , . . . , g2n−2 )> , let g↓ = (g1 , . . . , gn )> and g↑ = (gn , . . . , g2n−2 , g0 )> .
These are the values of g corresponding to the points of zn lying in U↓ and U↑ , respectively.
We could approximate iHn−1 f by its values at Chebyshev points plus the unbounded term:
f̌ n x + c
eT (x)> g↑− + g↓+ − g↓− − g↑+ + i √0 , (5.1)
1 − x2
where g↑± = (g ± )↑ and g↓± = (g ± )↓ . However, g ± are not necessarily symmetric, hence a
square root singularity is introduced upon projecting onto the interval. Thus (5.1) does not
14
converge rapidly, unlike Pn+ f − Pn− f . On the other hand, the values of the bounded part at
the Chebyshev points themselves, which equal g↑− + g↓+ − g↓− − g↑+ , converge rapidly.
Computation of MI f
For g(z) = f (T (z)), note that −g(z) sgn arg z is equivalent to projecting f to the lower
circle, and −f to the upper circle. If f (±1) 6= 0, then g(z) sgn arg z has a jump at ±1, hence
does not satisfy any Hölder condition. Therefore, for now, we assume that f (±1) = 0. In a
similar manner to Theorem 5.1, we obtain the following result:
Theorem 5.3 Suppose that f (±1) = 0 and f is C 1 [I] and its first derivative has bounded
variation. Let g(z) = f (T (z)) and Φ = −MU g(z) sgn arg z. Then
Proof :
Let u = [Φ(T+−1 (x)) + Φ(T−−1 (x))]/2 and h(z) = −g(z) sgn arg z. Now
2u+ (x) = Φ+ (T↓−1 (x)) + Φ− (T↑−1 (x)) and 2u− (x) = Φ+ (T↑−1 (x)) + Φ− (T↓−1 (x)).
Therefore
1h i 1
u+ (x) − u− (x) = h(T↓−1 (x)) − h(T↑−1 (x)) = [f (x) + f (x)] = f (x).
2 2
Furthermore,
Φ(0) + Φ(∞) ĥ0
u(∞) = = = 0,
2 2
since h is symmetric. Thus MI f = u.
Q.E.D.
Definition 5.4 Let g̃ = (0, f (x2 ), . . . , f (xn−1 ), 0, −f (xn−1 ), . . . , −f (x2 ))> . If x ∈ C\I,
then we define
1h i
MI,n f (x) = e+ (T+ (x))> − e− (T− (x))> g̃.
2
15
If x ∈ I, then we define
1h i
M+
I,n f (x) = e+ (T↓−1 (x))> − e− (T↑−1 (x))> g̃,
2
1 h i
M− I,n f (x) = e+ (T↑
−1
(x))>
− e− (T↓
−1
(x))>
g̃.
2
√ √
If f (x) = f̃ (x) 1 − x2 , then sgn θf (cos θ) 1 − cos2 θ = f̃ (cos θ) sin θ, hence the differ-
entiability of g(z) sgn arg z depends on the differentiability of f̃ . If the first ρ derivatives of
f vanish at both endpoints, then f (cos θ) is C ρ at zero and π. Thus we still achieve superal-
gebraic convergence whenever f ∈ C ∞ [−1, 1], and f and all its derivatives go to zero at the
endpoints.
It might seem odd that computing H−1 is easier than computing H. This is the oppo-
site of the analytic development in [ 1, 16 ], where the goal is to express the solution to the
Riemann–Hilbert problem as a contour integral. But this is a manifestation of (1.7), since, if
f is C ∞ [I], we can expand it in terms of the basis Uk and √ f in terms of the basis √ Tk
1−x2 1−x2
efficiently.
The formula (1.8) means that it is possible to compute Hf spectrally fast for the case
where f itself is C ∞ [I] as well, even when it does not go to zero at ±1. We can find a related
formula for the computation of Mf . We first solve the moment problem:
Lemma 5.5 Define
(
2 arctanh z for |z| < 1
ψ0 (z) = ,
iπ arctanh z1 for |z| > 1
b m+1
2 c
z 2j−1 1 1 m+1
m+1
= arctanh z − z 2b 2 c+1 φ z 2 , 1, +
X
µ(m, z) = ,
j=1 2j − 1 2 2 2
Proof :
Note that, for z ∈ U,
2 1
ψ0+ (z) − ψ0− (z) = arctanh z − arctanh = sgn arg z,
iπ z
16
Since arctanh z1 → 0 as z → ∞, it follows that
A solution to the problem u+ − u− = z m sgn arg z which does not respect the boundary
condition at ∞ is
z m M sgn arg z = z m ψ0 (z).
But we know that arctanh z has the following Taylor series:
z3 z5 z7
arctanh z = z + + + + ···. [2]
3 5 7
The terms up to O(z m ) can be written as µ(m, z), where the expression in terms of φ follow
from its series definition.
Consider the case where m < 0. Now µ(−m − 1, z) is at most an (−m − 1)-degree
polynomial, hence z m µ(−m − 1, z) decays as z → ∞, and ψm is analytic at ∞. On the other
hand, by the definition of µ,
arctanh z − µ(−m − 1, z) = O z −m , z→0
Remark : Though ψm (z) is the arctanh function plus a polynomial in z, for z off the unit
circle, ψm (z) can potentially be computed more accurately and efficiently using methods to
compute φ. One approach is to use the method developed in [ 3 ], or the built-in Mathemat-
ica routine. Possibly, a more efficient and accurate method could be based on the integral
representation
1 Z ∞ ts−1 e−at
Φ(z, s, a) = dt.
Γ(s) 0 1 − ze−t
j k
1 m+1
In our case this becomes, for s = 2 + 2 ,
Z ∞
e−st 1Z ∞ e−t
φ z 2 , 1, s = dt = dt.
0 1 − z 2 e−t s 0 1 − z 2 e−t/s
17
As m becomes large, the integrand rapidly converges to one, and hence Gauss–Laguerre
quadrature is very effective. As it is outside the scope of this paper, we simply treat each ψm
as a black box special function, which we compute to machine precision using the polynomial
representation with sufficient extra precision arithmetic.
Theorem 5.6 If f is C 1 [I] and its first derivative has bounded variation, then
∞
1X h i
MI f (x) = − f̌k ψk (T+−1 (x)) + ψk (T−−1 (x)) + ψ−k (T+−1 (x)) + ψ−k (T−−1 (x)) ,
4 k=0
1
MI f (x) ∼ − f (−1) [log(−x − 1) − log 2]
x→−1 2iπ
∞
1 X
+ f̌k (−1)k [µ(k − 1, −1) + µ(k, −1)] ,
iπ k=0
∞
1 1 X
MI f (x) ∼ f (1) [log(x − 1) − log 2] + f̌k [µ(k − 1, 1) + µ(k, 1)] ,
x→1 2iπ iπ k=0
and, for x ∈ I,
∞
1X h i
+
MI f = − f̌k ψk+ (T↓−1 (x)) + ψk− (T↑−1 (x)) + ψ−k
+
(T↓−1 (x)) + ψ−k
−
(T↑−1 (x))
4 k=0
2
=− f (x)arctanh T↓−1 (x) (5.2)
iπ
∞
1 X n h i
+ f̌k T↓−1 (x)k µ k, T↑−1 (x) + µ k − 1, T↑−1 (x)
2iπ k=0
h io
+T↑−1 (x)k µ k, T↓−1 (x) + µ k − 1, T↓−1 (x) ,
∞
1X h i
M−
If =− f̌k ψk+ (T↑−1 (x)) + ψk− (T↓−1 (x)) + ψ−k
+
(T↑−1 (x)) + ψ−k
−
(T↓−1 (x))
4 k=0
2
=− f (x)arctanh T↑−1 (x) (5.3)
iπ
∞
1 X n h i
+ f̌k T↓−1 (x)k µ k, T↑−1 (x) + µ k − 1, T↑−1 (x)
2iπ k=0
h io
+T↑−1 (x)k µ k, T↓−1 (x) + µ k − 1, T↓−1 (x) .
Proof :
18
Let g(z) = f (T (z)). By expanding g in terms of its Laurent series, we define
∞
X
Φ(z) = −MU g(z) sgn arg z = − ĝk ψk (z).
k=−∞
By the same logic as Theorem 5.3, we know that u satisfies u+ − u− = f and u(∞) = 0. We
must demonstrate that u is also analytic off the unit interval.
We first prove that this sum does indeed converge. Because each ψk is analytic off the
unit circle, we know the partial sums must take their maximum on the unit circle. Using
(5.4) with ξ = T↓−1 (x) 6= ±1 and the fact that
∞ ∞
1X h i
f̌k ξ k + ξ −k =
X
f̌k Tk (x) = f (x),
2 k=0 k=0
we obtain that u+ is equal to (5.2), assuming we can split the sum into two, or in other
words, as long as the sum converges absolutely. By the same logic, u− is equivalent to (5.3),
subject to the same conditions.
From the summation definition of µ, we know it takes its maximum at z = 1, so that,
for z ∈ U,
k
z [µ(k, z) + µ(k − 1, z)] + z −k [µ(k, z) + µ(k − 1, z)]
b k+1
2 c
$ %!
X 1 k+1
≤4 ≤ 2 log −1 + 2 .
j=1 2j − 1 2
0.001 0.001
10-6 10-6
10-9 10-9
10-12 10-12
n n
4 6 8 10 12 14 4 6 8 10 12 14 16
Figure 3: The maximum error in approximating the Hilbert transform of ex by 2iMI,n f over 200
evenly spaced points on circles of radii 2 (left graph, plain), 25 (left graph, dotted) and 50 (left
graph, dashed) and by i(M+ f + M− f ) at 200 evenly spaced points on the unit interval (right
I,n I,n
graph).
We have yet to prove the behaviour of u at the endpoints. But the behaviour as x → 1
follows from (5.4) and the fact that
1 1
∼ log 2 − log 2 − [log |x − 1| + i arg(x − 1)]
2 2
log 2 − log(x − 1)
= .
2
Similar logic proves the expression as x → −1.
Q.E.D.
define
2 1 h i
M+
I,n f = − eT (x)> f arctanh T↓−1 (x) + µ(T↓−1 (x)) + µ(T↑−1 (x)) f̌ ,
iπ 2iπ
2 1 h i
M− > −1
I,n f = − iπ eT (x) f arctanh T↑ (x) + µ(T↓−1 (x)) + µ(T↑−1 (x)) f̌ .
2iπ
20
Consider the Hilbert transform of ex , which we can find in closed form:
ex
(Ei(1 − x) − Ei(−1 − x))
π
Figure 3 demonstrates the effectiveness of approximating this function by 2iMI,n f through-
−
out the complex plane and i(M+
I,n f + MI,n f ) on the unit interval.
h i
Note that µ is a vector of polynomials, hence µ(T↓−1 (x)) + µ(T↑−1 (x)) f̌ itself is a
polynomial. Depending on the application, it might be more suitable to represent this term
by its values at Chebyshev points. Denote the operator which shifts a vector to the left by
S, padding on the right by zeros. Determine the vector h such that
2
(n+1)/2
4 1
S 2j−1 f̌
X
ȟ = ..
.
j=1 2j − 1
4
using the inverse discrete Cosine transform. Then
We orient the half line R+ = [0, ∞) from the origin to ∞. We can map the interval to
the half line using
1+x
H(x) = .
1−x
We then obtain the following result:
Theorem 6.1 Suppose that r(y) = α
y +O 1
y2
as y → ∞ and r is C 1 [R+ ] and its first
derivative has bounded variation. Let f (x) = r(H(x)). Then,
21
and, for Φ = MI f ,
MR+ r(y) = Φ(H −1 (y)) − Φ+ (1),
Proof :
Let g(z) = f (T (z)) = r(H(T (z))), ϕ = PU g and Φ = PI f . Then, from Theorem 5.1,
ϕ+ (1) + ϕ− (1)
Φ+ (1) = = 0,
2
and likewise, Φ− (1) = 0. Therefore Φ(H −1 (y)) vanishes at ∞, and hence
Now consider the second part of the theorem, where now we define Φ = MI f . Since
f (1) = r(∞) = 0, the logarithmic term in Theorem 5.6 vanishes, and we are left with
∞
1 X
Φ+ (1) = Φ− (1) = f̌k [µ(k − 1, 1) + µ(k, 1)] .
iπ k=0
Q.E.D.
Similar to Section 4, the convergence rate of this approximation depends on the differ-
entiability of f in R+ , and the order of the asymptotic expansion of f at ∞.
22
Computation over two half lines
Let q(y) = r(−y). It is clear that MR− r(y) = −MR+ q(−y), where R− is oriented from
from −∞ to zero. Because it is analytic everywhere off R+ , M+ + f − M− + f = 0 along
R R
+ −
(−∞, 0). Likewise M − f − M − f = 0 on (0, ∞). Therefore,
R R
MR f = (MR+ + MR− )f.
Whereas Section 4 required that f had the same asymptotic series at ±∞ to obtain fast
convergence, by splitting the real line into two half lines, we can drop this requirement.
Furthermore, computation of MR± f only requires that f is C 1 [R± ] and its first derivative
has bounded variation for each choice of ± separately, hence does not require continuity at
zero.
There is one concern which must be addressed, however. We know that MR f is bounded,
whereas MR+ and MR− have singularities at zero. But we find that H −1 (y) = −1 + 2y +
O y 2 , therefore, for p(x) = r(−H(x)) and f (x) = r(H(x)),
1
MR− r(y) ∼ r(0) log y
y→0 2iπ
∞
1 X n o
− p̌k (−1)k [µ(k − 1, 1) + µ(k, 1)] − µ(k − 1, 1) − µ(k, 1) ,
iπ k=0
1
MR+ r(y) ∼ − r(0) log(−y)
y→0 2iπ
∞
1 X n o
+ f̌k (−1)k [µ(k − 1, 1) + µ(k, 1)] − µ(k − 1, 1) − µ(k, 1) ,
iπ k=0
Thus
MR r(y) = MR+ r(y) + MR− r(y)
1
∼ r(0)(log y − log(−y))
y→0 2iπ
∞
1 X n o
+ f̌k − p̌k (−1)k [µ(k − 1, 1) + µ(k, 1)] − µ(k − 1, 1) − µ(k, 1)
iπ k=0
1 1
1 for Re y > 1
= r(0)(arg y − arg(−y)) + · · · = r(0) + ···.
2π 2 −1 for Re y < 1
23
0.1
0.1
-4
10
0.001
10-7
10-10
10-5
-13
10
2n n
50 100 150 200 250 300 1000 2000 3000 4000 5000
Figure 4: The maximum error over the points R(z10 ) of (6.1) (left graph) and (4.2) (right graph).
Note that the value on the bottom axis corresponds to the total number of function evaluations.
to evaluate at the 2n points R(zn ). However, it has the benefit of working with a more
general class of functions. For example, consider the function
erf y
r(y) = .
y+i
Unlike the example in Section 4, this does not have the same asymptotic series at ±∞.
Figure 4 demonstrates that, for r = r(H(xn )) and p = r(−H(xn )),
+ −
M + +M +M r(z) for z < 0
R−,n R−,n
R ,n
i (6.1)
M+ + + M− + + MR−,n r(z) for z > 0
R ,n R ,n
2(µ(1) − µ(−1))(p̌ − ř) for z = 0
7. Future work
The solution to the gravity wave equation is periodic as t → ∞, thus we need to compute
the oscillatory Hilbert transform
−iH[f (t)eiωg(t) ].
An asymptotic expansion for such transforms was found in [ 24 ] and a method based on series
acceleration methods was constructed in [ 15 ]. In recent years, there has been significant
24
progress on the computation of oscillatory integrals of the form
Z 1
f (t)eiωg(t) dt,
−1
LU = U+ − U− G = G − I U (∞) = 0,
where Φ = U + I. The linear operator L maps functions analytic in C\Γ to functions
defined in Γ. But M can be viewed as a one-to-one map from Γ to C\Γ. This applies
equally well to matrix-valued functions in a component-wise manner. Thus by combining
the two linear operators as LM, we obtain a linear operator that maps the class of Hölder
continuous matrix-valued functions on Γ to itself. Thus solving LMV = G − I on Γ means
that U = MV solves the original matrix-valued Riemann–Hilbert problem. Immediately,
this opens up the possibility of constructing spectral methods for solving (7.1).
A particular example is Painlevé II, which can be expressed as a matrix-valued Riemann–
Hilbert problem on a domain consisting of six rays originating at zero:
π π
z ∈ C : arg z = + (k − 1) for k = 1, . . . , 6 . [ 10 ]
6 3
For other Painlevé equations, the domain consists of a combination of circles, intervals, arcs
and rays. Just as we combined M on two half lines to determine M on the real axis,
we propose that it is possible to combine multiple half lines and circles to compute M on
such domains. We hope to apply this approach to computing the solutions to such Painlevé
transcendents in a future paper.
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