Numerical Solution of a Cauchy Problem for the

Laplace Equation
Fredrik Berntsson , and Lars Elden

Dedicated to Pierre Sabatier on the occasion of his 65th birthday

Abstract
We consider a two dimensional steady state heat conduction prob-
lem. The Laplace equation is valid in a domain with a hole. Temper-
ature and heat{ ux data are specied on the outer boundary, and we
want to compute the temperature on the inner boundary. This Cauchy
problem is ill{posed, i.e. the solution does not depend continuously on
the boundary data, and small errors in the data can destroy the nu-
merical solution. We consider two numerical methods for solving this
problem. A standard approach is to discretize the dierential equation
by nite dierences, and use Tikhonov regularization on the discrete
problem, which leads to a large sparse least squares problem. We pro-
pose to use a conformal mapping that map the region onto an annulus,
where the equivalent problem is solved using a technique based on the
Fast Fourier Transform. The ill{posedness is dealt with by ltering
away high frequencies in the solution. Numerical results using both
methods are given.
Key words. ill{posed, Cauchy problem, Tikhonov regularization,
conformal mapping, spectral method

1 Introduction
We consider a two dimensional steady state heat conduction problem. The
Laplace equation is valid in a domain
 [0; 1]  [0; 1], with a hole. The
domain is displayed in Figure 1.1. Find a temperature distribution T 2
Department of Mathematics, Linkoping University, S-581 83 Linkoping, Sweden.
E-mail: laeld@math.liu.se and frber@math.liu.se.

1
1 INTRODUCTION 2

C 2(
) \ C 1(
 ) that satises,

T = 0;in
;
T = g; on ?1 ; (1.1)
~n
T = h; on ?1 ;
r

where ~n denotes outward unit normal, and g; h are the temperature and
heat{ ux data on the outer boundary ?1 . Our aim is to compute an ap-
proximation of T on the inner boundary ?2 . This Cauchy problem for the
Laplace equation arises in applications such as non{destructive testing [1]
and electro-cardiology [13, 14]. A similar problem was studied earlier in [8],
and more recently in [7], see also [21, 23].
y ?1
1

?2

1 x
Figure 1.1: The two dimensional domain
. The hole corresponds to the
set fl1  x; y  l2 g.

In this paper we consider, for deniteness, only square domains, but the
numerical techniques can be applied to general, doubly connected, polygonal
domains. The basic idea is to compute numerically a conformal mapping
of the polygonal domain onto a domain where the problem can be solved,
using a separation of variables technique. Thus, it is also possible to solve
Cauchy problems for the Laplace Equation on simply connected polygonal
domains, where Cauchy data are given on a part of the boundary.
Cauchy problems for elliptic equations are ill{posed [19], i.e. the solution
does not depend continuously on the boundary data, and small errors in the
data can destroy the numerical solution. We discuss the nature of the ill{
posedness, by computing approximately the singular values and singular
functions of a certain operator related to the problem.
We investigate numerical aspects of Tikhonov regularization applied to a
discretization of the problem. The nite dierence method leads to a sparse,
1 INTRODUCTION 3

very ill-conditioned and over-determined system, which we regularize on the

nodes on the inner boundary boundary ?2 . Algorithms for sparse least
squares problems are crucial for the eciency of this method.
An alternative, and considerably more ecient, method is to treat (1.1)
explicitly as a Cauchy problem and solve it using a marching method (in
analogy to methods for the sideways heat equation [10]). This is done by
rst mapping
conformally onto an annulus, and then writing the equation
in polar coordinates. The ill-posedness can now be dealt with by ltering
away high-frequency components in the solution. A similar technique was
used in [20] for a related problem, see also [10, 12]. The Cauchy problem
for the Laplace equation in an annulus is easy to solve, and for this case we
derive an error estimate. Also, we discuss the numerical implementation of
this method, and demonstrate that it can be generalized to the case with
non{zero derivative boundary conditions. The ideas behind this paper were
presented in [4].
For the theoretical analysis we make the additional assumption that the
heat{ ux data, in (1.1), is h = 0. This is not a restriction since a general
problem can always be reduced to this case: Let T1 be a harmonic function
satisfying ~n
rT1 = h, on ?1 , and T1 = 0, on ?2 . Then T = T1 + T2 , where
T2 solves (1.1) with boundary data ~n
rT2 = 0 and T2 = g ? T1, on ?1 .
The function T1 can be computed by solving a well{posed problem. The
numerical implementation of the general case is also discussed.
The paper is organized as follows. In Section 2 we reformulate (1.1) as
an operator equation. The singular value decomposition is used to analyze
the properties of the corresponding linear operator. In Section 3 we discuss
regularization of the nite dierence equations, using Tikhonov's method.
The method based on mapping
conformally onto an annulus is discussed
in Section 4. In Section 5 we give two numerical examples, intended to
demonstrate that the proposed methods work well. We summarize the re-
sults in Section 6, and draw some conclusions. Finally, in the Appendix we
discuss the singular value decomposition of the two linear operators that are
related to the inverse problem.
2 ILL{POSEDNESS AND SVD ANALYSIS 4

2 Ill{posedness and SVD analysis

Consider the following well{posed boundary value problem, with a solution
in the classical sense: Find T 2 C 2(
) \ C 1 (
 ) satisfying,

T = 0; in
;
~n
T = 0; on ?1 ;
r (2.1)
T = f; on ?2 ;
Let g = T j?1 denote the restriction of T to ?1 . Since (2.1) is a well{posed
problem, the linear operator K , mapping the Dirichlet data f = T j?2 onto
g = T j?1 , is well dened. Solving the inverse problem (1.1), with h = 0, is
thus equivalent to solving the operator equation, Kf = g . By discretizing
(2.1) we can compute an approximation of the operator K , cf. Section 3.
Here we use a nite dierence method and an equidistant grid on
. Note
that by using an equidistant grid we get more nodes on ?1 than on ?2 . Thus
the matrix Ke approximating K will be rectangular. Using the singular value
decomposition (SVD) [15] we can formally write the solution of (2.1) in the
form,
X T
fe = uk eg vk ;
k k
where eg and fe are vectors containing the values of f and g on the grid, and
fk ; uk ; vkg are the singular values and singular vectors of the matrix.
In a numerical example we computed the SVD of a matrix Ke 2 R504304.
Thus we had 504 nodes on ?1 and 304 on ?2 . Here the Laplace equation is
valid in a domain
 [0; 1][0; 1], where the hole corresponds to the domain
f0:2  x; y  0:8g. The computed singular values are displayed in Figure
2.1, and a few singular vectors are presented in Figure 2.2. The rate of decay
of the sequence fk g determine the degree of ill{posedness. The numerical
results indicate that the singular values decay exponentially. The singular
values do seem to level out at 10?16. This is a consequence of the nite
precision arithmetic. Thus the problem is severely ill{posed [11, p. 40], and
any attempt to numerically solve the linear system Ke fe= eg would fail. The
rate of decay of the sequence fk g depends on the values of l1 and l2, cf.
Figure 1.1, but the relationship is not known explicitly.
There are several methods available for regularizing the problem (1.1)
so that a numerically stable solution is obtained [16]. In Sections 3 and 4
we describe two such methods.
Remark 2.1 The operator K , considered as a mapping of L2(?2) into
L2 (?1 ), is compact. Thus the singular value decomposition exists, but it
2 ILL{POSEDNESS AND SVD ANALYSIS 5

0
10

−2
10

−4
10

−6
10

−8
10

−10
10

−12
10

−14
10

−16
10

−18
10
0 50 100 150 200 250 300

Figure 2.1: The singular values of the matrix Ke . The sequence fk g tend
rapidly to zero, and several singular values are of the same order of magni-
tude as the machine precision.

is not known explicitly. However, in the case where the dierential equa-
tion,
= 0, is valid in the annulus
0, cf. Figure 4.1, an explicit formula
for the singular values of the linear operator, mapping the Dirichlet data
jr=r0 onto jr=1, can be derived. Asymptotically, the singular values de-
cay as k  e? k , where = ?log(r0)=2, and r0 is the inner radius of
0 .
The factor two is present since the singular values appear in pairs. This is
discussed further in the appendix. By letting
0 be the annulus conformally
equivalent to
, we get in some sense equivalent operators. It is reasonable
to expect the rate of decay for the singular values to be nearly the same.
Numerical experiments, using several dierent domains
, do support this.
Typically in inverse problems, the singular vectors (functions) corre-
sponding to large singular values are very smooth. Here, however, we see
that the vector v1 has spikes at the corner locations. This illustrates the
fact that derivatives of the solution of a well-posed boundary value problem
on
can have singularities at the corners of the inner boundary [6, p. 34].
Similar spikes are present in all of the rst four right singular vectors, and
also in a few of the others. Since these are associated with the large singular
values they cause no diculties in the solution of the inverse problem.
There is a high level of symmetry present in the singular vectors fvk ; uk g.
This is a consequence of the corresponding symmetries in the domain
. We
also see the typical smoothing properties of the operator illustrated in v50,
3 TIKHONOV REGULARIZATION 6

0.06 0.4

0.3
0.05
0.2
0.04
0.1

0.03 0
0 100 200 300 400 500 0 100 200 300
U(:,1) V(:,1)
0.1 0.1

0.05 0.05

0 0

−0.05 −0.05

−0.1 −0.1
0 100 200 300 400 500 0 100 200 300
U(:,5) V(:,5)
0.1 0.1

0.05 0.05

0 0

−0.05 −0.05

−0.1 −0.1
0 100 200 300 400 500 0 100 200 300
U(:,50) V(:,50)

Figure 2.2: Left and right singular vectors of Ke , corresponding to 1 , 5 ,

and 50.

whose corresponding singular value is of the order 5
10?5 .

3 Tikhonov regularization
In the previous section we dened an operator K by the equation Kf = g ,
where g = T j?1 and T solves (2.1). By discretizing (2.1) using nite dier-
ences we approximate the operator equation by an overdetermined linear
system Ke fe= eg, with matrix Ke 2 Rnm and vectors fe and eg. The compu-
tation of the matrix K~ requires solving as many well-posed boundary value
problems on
as the number of points on the inner boundary, which may
be a prohibitively high cost. This is discussed brie y in Remark 3.1 Also,
Ke is not a sparse matrix. Since the original problem is ill{posed, Ke is very
ill{conditioned, if the grid is ne enough. Thus regularization is needed.
3 TIKHONOV REGULARIZATION 7

Tikhonov's method [11, 16] can be written: Find fe minimizing,

    2

min kK f
e e ? gek2 + 2kLfek2
= minm

Ke fe ? ge
;
(3.1)
fe2Rm fe2R
L 0

where m is the number of nodes on ?2 ,  is a regularization parameter,

and L 2 Rmm is either the identity or a discretization of a rst or second
derivative. This approach makes explicit use of the assumption that h = 0.
The least squares problem (3.1) has a structure that can be exploited. Al-
gorithms for solving such problems eciently are discussed in [9, 16].
An alternative approach is to consider the discretization on the whole
domain
, which leads to the sparse system of linear equations
ATe = b; (3.2)
where Te is a vector containing approximate values of T on the whole equidis-
tant grid in
. Here the assumption h =0 is not necessary. Let I be a set of
indices such that Te(I) = fe 2 Rm. Then Tikhonov's method, applied only
to the nodes on ?2 , can be written,
min kATe ? bk2 + 2 kLTe(I)k2: (3.3)
Te
In our numerical implementation of this method we use a matrix L, which
corresponds to a discretization of the second derivative. By this choice we
strongly favor a smooth solution. The problem (3.3) is equivalent to solving
a large, sparse, and structured least squares problem. In a rather small
example, with fe 2 R72 and eg 2 R120, we solved a least squares problem with
a matrix Ae 2 R1081961. In Figure 3.1 we display the matrix Ae and the upper
triangular matrix R, such that Ae = QR and Q is orthogonal. The matrix
R can be computed using a sparse QR algorithm. Note that, although Ae
has only 3509 non-zero elements, R has 30250 non{zero elements. In a more
realistic example, where fe 2 R304 and eg 2 R504, we solved a problem with
a matrix Ae of size 16633  16129 containing 57
103 non{zero elements. The
corresponding upper triangular matrix R had approximately 2
106 non{zero
elements. Thus there is extensive ll{in. The matrix Ae is quite large, but
it has a band structure that can be exploited by the sparse QR algorithm.
Experimentally, we found that O(n4 ) oating point operations are required
to solve the sparse least squares problem, where n is the number of nodes
on ?1 .
4 A SPECTRAL METHOD 8

0 0
100 100
200 200
300 300
400 400
500 500
600 600
700 700
800 800
900 900
1000 1000

0 200 400 600 800 0 200 400 600 800

nz = 3509 nz = 30250

Figure 3.1: The structure of the matrix Ae (left), that correspond to (3.3),
and the matrix R (right), such that Ae = QR, and Q is orthogonal.

Remark 3.1 The matrix Ke can be computed by solving a series of well{

posed problems. Let U and V be two sets of indices such that b(U)= fe 2 Rm
and Te(V) = eg 2 Rn. Thus by (3.2) we have eg = A?1 (V; :)b. Here A?1 (V; :)
denotes the rectangular matrix consisting of the rows of A?1 with row index
k 2 V. If h = 0 then b(k) = 0 for k 2= U, and therefore only the columns of
A?1 with column index k 2 U aect the result, i.e. eg = A?1 (V; U)fe. Thus
the matrix Ke is obtained by computing certain columns of A?1 , i.e. by
solving AX = I (:; U), where I is the identity.

4 A spectral method
Let
0 be the annulus fz = rei : r0 < r < 1g, and assume that (z ) is an
analytic function mapping
conformally onto
0, cf. Figure 4.1. For sim-
plicity of notation we will identify R2 with the complex plane C . Two
properties of conformal mappings are of interest here: If (z ) is harmonic
in
0 then (z ) = ((z )) is harmonic in
. Also ~n
= 0 on the r

boundary @
0 implies that ~n
= 0 on @
. Thus if we nd a function
r

(z ) 2 C 2 (
0) \ C 1 (
 0) such that

= 0; 0   < 2; r0 < r < 1;
(ei ) = (ei ); 0   < 2; (4.1)
@ (ei ) = 0; 0   < 2;
@r
4 A SPECTRAL METHOD 9

where = g  ?1 , then T =  , solves (1.1), with h = 0 The linear

operator mapping jr=r0 onto jr=1 is discussed in detail in an Appendix.
The Cauchy problem for the Laplace equation in the annulus is easy to solve.
For this purpose we use a Fourier series expansion of the solution and the
boundary values jr=1 = ,
X1 X1
(r; ) = b
k (r)eik ; and, (ei ) = k eik :
b (4.2)
k=?1 k=?1
Writing the Laplacian in polar coordinates we get a family of ordinary dif-
ferential equations for the sequence of Fourier coecients f bk g,
! (
@ r @ bk ? k2 b = 0; r < r < 1;
r @r
b
k (1) = bk ; (4.3)
@r k 0 @ bk (1) = 0:
@r
It is easily seen that the solution of (4.1) can be written as the Fourier series,
1  k ?k 
i
(re ) =
X r + r bk eik ; (4.4)
k=?1 2
Note that, since r0  r < 1, the factor r?k grows exponentially as k ! 1.
The corresponding statement is also true for rk as k ! ?1. Therefore the
problem of computing (r0;
) from (1;
) is severely ill{posed. However,
by introducing a \cut o" frequency c , and using only terms with jkj  c
in (4.2), we restore stability. Thus we dene a regularized solution,
k ?k 
i ) = X r + r


c (r e 2 bk eik ; (4.5)
jkjc
Similarly we denote by c the regularized solution with noisy data  .
4.1 Error estimate
In this section we will investigate the dierence between the solution ,
dened by (4.4), and the regularized solution c , dened by (4.5) with noisy
data. We assume that we have an a priori bound, k (r0;
)k  M , on the
exact solution. In this section k
k denotes the norm on L2 ([0; 2 ]).
Lemma 4.1 Let c and c be the regularized solutions, dened by (4.5),
with data and  . Suppose that k ?  k  , then following estimate
holds,
k c(r;
) ? c(r;
)k  (rc + r?c ) 2 : (4.6)
4 A SPECTRAL METHOD 10

1  1

d

0
r0

1
Figure 4.1: The width d in the square geometry determines, uniquely, the
inner radius r0 of the conformally equivalent annulus.

Proof: Using the Parseval relation we obtain,

rk + r?k (b ? b )2 ;
 
X 
k c(r;
) ? 
c (r;
)k = 2
2 
 2 k k 
jkjc
where fb k g and fb k g are for Fourier coecients of and  respectively.
The sum can be estimated,

k c(r;
) ? 

rk + r?k 2 2 X
jb k ? b kj2:
c (r;
)k  jmax
2
kjc 2 jkjc
We make the observation that, for k > 0 and r  1,
rk+1 + r?k?1 ? rk ? r?k = (1 ? r)(r?k?1 ? rk )  0:
Therefore the maximum is attained for jkj = c . Using, once again, the Par-
seval relation, and the bound k ?  k  , we get the desired result. 
We conclude that, for the regularized solution (4.5), we have stable de-
pendence on the data.
Lemma 4.2 Let be the solution (4.4) and c be the solution (4.5), with
exact data . Suppose that we have an a priori bound k (r0;
)k  M . Then
we have the estimate,
k (r;
) ? c(r;
)k  r0c (rc + r?c )M: (4.7)
4 A SPECTRAL METHOD 11

Proof: The Fourier coecients of and c coincide for k  c . There-

fore, using the Parseval relation, we get,
 2
rk + r?k b 2 =2 X  rk + r?k b (r ) :
 
X 
k (r;
) ? c(r;
)k2 =2 
2 k  k ?k k 0 
jkj>c r0 + r0

jkj>c
Since, for k > c ,
rk + r?k =  r0 k  1 + r2k    r0 c (1 + r2c ) = rc (rc + r?c );
r0k + r0?k r 1 + r02k r 0

the sum can be estimated,

!2

k (r;
) ? (r;
)k2  jmax rk + r?k 2 X j b (r )j2

c k 0
kj>c r0k + r0?k jkj>c
 r02c (rc + r?c )2k (r0;
)k2:
Using the a priori bound k (r0;
)k  M we get (4.7). Thus the proof is
complete. 
Note that, for r0 < r, the bound (4.7) tend to zero as c ! 1. Now we
prove the main result of this section.
Proposition 4.3 Let be the solution (4.4), with exact data , and 
c be
the solution (4.5), with noisy data  . Assume that an a priori estimate
k (r0;
)k  M , and a bound k ? k  , is known, and that   2M .
Then if we select the regularization parameter, c = log(=2M )= log(r0), we
get the error estimate,
k (r;
) ? c(r;
)k  2M  1? + ; (4.8)
where  =  (r; r0)=log(r)= log(r0).
Proof: Let c be a regularized solution (4.5), with exact data . By
the triangle inequality,
k (r;
) ? c(r;
)k  k (r;
) ? c(r;
)k + k c(r;
) ? c(r;
)k:
Therefore, using the two previous lemmas and that r0c = =2M , we get,
k (r;
) ? c(r;
)k  r0c (rc + r?c )M + (rc + r?c ) 2 = (rc + r?c ):
4 A SPECTRAL METHOD 12

1 1

0.8
0.5

0.6
0
0.4

−0.5
0.2

−1 0
−1 −0.5 0 0.5 1 0 0.2 0.4 0.6 0.8 1

Figure 4.2: An orthogonal grid on an annulus mapped conformally onto

.

Insert the expression for c , and use that   2M , to obtain

k (r;
) ?  
(rc + r?c ) = 
 

  ? 

c (r;
)k  2 M + 2M
n o
  1 + 2 M  ?   + 2M  1? ;

where  is dened as above. Note that 0    1 so that 2  2. This

completes the proof. 
Thus the regularized solution (4.5) depends continuously on the data,
for r0 < r  1, in the sense of Holder continuity. The estimate is similar to
that obtained for the sideways heat equation in [3, 10].
Remark 4.4 The regularization parameter c is chosen so that, Mr0c = 2 ,
i.e. for this choice the estimates (4.6) and (4.7) are identical. Thus there is
a balance between these two contributions to the total error.
4.2 Numerical implementation
Now we describe the numerical implementation of this method. The change
of variables = g  ?1 can be implemented as follows. Let feik gNk=1 be an
equidistant grid on the unit circle. Then f?1 (eik )g is a non{uniform grid
on ?1 . By approximating the temperature data using a cubic smoothing
spline, we nd approximate values of the data g on the non{uniform grid.
Thus we have the temperature data on the annulus. In our implementation
4 A SPECTRAL METHOD 13

we use the Matlab routine spaps, for computing the approximating cubic
spline. By using the Fast Fourier transform (FFT) we compute approxi-
mately the sequence fb k g. The solution at the inner radius is computed by
solving (4.3) and using the inverse FFT. The frequency components corre-
sponding to jkj > c are explicitly set to zero. The formula (4.5) is well
suited for computations. However, in our implementation we solve (4.3) nu-
merically, using a standard Runge{Kutta method. Both methods are equally
accurate. The dierence in computational cost is not important since the
computation of the cubic spline, used for mapping the boundary data, is
more costly.
Finally, the nodes at the inner radius of the annulus are mapped onto
a set of non{uniform grid points on ?2 , using the conformal mapping. The
solution T j?2 is then obtained by cubic spline interpolation.
For this scheme to work we need a method for computing numerically the
conformal mapping
0 = (
). To nd such a mapping for general regions
is a dicult problem. However, for simply connected polygonal regions
this problem is solved by the Schwarz{Christoel mapping function [24].
A similar mapping function exist for doubly connected domains [17, 18]. A
software package for this case exists, and is freely available from Netlib1 . The
mapping displayed in Figure 4.2 was computed using this code. Numerical
computation of the conformal mapping requires that a non{linear system of
equations, for determining accessory parameters of the mapping, is solved.
The number of unknowns is M + 2, where M is the number of corners in
.
Each point z 2
0 is then mapped onto ?1 (z ) 2
by computing a complex
valued integral. Thus the computational cost for mapping the set of points
feik gNk=1 onto a non{uniform grid on ?1 is O(N ).
The mapping g 7! = g  ?1 is such that smooth boundary data on
?1 are sometimes mapped onto a function that has sharp features. The
derivative of  has a singularity at the corners of
. This can be seen
in Figure 4.2, where the spacing between the grid points on ?1 is very
uneven. As a consequence, = g  ?1 , does not in general have a continous
derivative. Therefore is not nessecarily well approximated by a truncated
Fourier series. This could result in a loss of accuracy.
4.3 Derivative boundary conditions
So far we have assumed that h = 0, i.e. that the normal derivative ~n
rT
is zero on ?1 . A general problem can always be reduced to this case, as ex-
1
http://www.netlib.org/toms/785
4 A SPECTRAL METHOD 14

plained in the introduction. However, doing so would introduce additional

errors and reduce the advantage of the spectral method in terms of com-
putational cost, as compared to the nite dierence method. Assume, for
a moment, that not only  but also the derivative 0 can be extended to a
function that is continuous in
[ ?1 (which is not true here). Because the
mapping  is conformal also on the boundary, dierentiation perpendicular
to ?1 corresponds to dierentiation perpendicular to the unit circle. Thus,
@ (ei ) = j(?1)0 (ei )j @T (?1 (ei )); (4.9)
@~n @~n
where ~n is the outward unit normal [17, p. 268]. Hence, Neumann bound-
ary conditions on
are easily translated to boundary conditions on
0 .
The program package, used for computing the conformal mapping, provides
derivatives of the mapping function at almost no additional cost [18].
Here the derivative of the mapping function has singularities at the cor-
ners of the domain
. Thus by p using (4.9) we introduce singularities in the
data. The principal branch of z is analytic in the half plane Re(z ) > 0.
Thus its real and p imaginary parts are harmonic in the disc fz : jz ? 1j < 1g.
The derivative of z has a singularity at the origin, of exactlypthe same type
as that of the derivative (?1 )0 [17]. Thus, by considering z on the disc
fz : jz ? 1j < 1g, we construct functions that are harmonic in the annulus

0 , and can be used for subtracting the singularities from the data, thereby
creating a new problem with dierent 'well{behaved' data [2, p. 233].
In a practical implementation we need to solve a problem:
= 0 in
0

, with Cauchy data [ ;~n
r ] = [ ;  ], given at r = 1. By (4.9)  =

j(?1)0jh  ?1, where h = ~n
rT j?1 . The change of variables h  ?1 is
implemented using the technique from the previous section. We illustrate the
numerical procedure with an example. The Neumann boundary conditions,
for both domains
and
0 , are displayed in Figure 4.3. Clearly, the function
 contain singularities. Denote by 1 and 2 the real and imaginary parts of
p 1 + z . The functions 1 and 2 are harmonic in
0, and their derivatives
have a singularity at z = ei , cf. Figure 4.3. We remove a singularity from 
by selecting c1; c2 2 R so that 0 = ? c1 1 ? c2 2 has a continuous normal
derivative at the point z = ei . This is done by choosing a small set of grid
points feik g, k 2 I , close to the singularity. The constants c1 and c2 are
then obtained by solving a least squares problem,
j(eik ) ? c0 ? c1 @ @2 (eik )j2
X
1 ik
min
c ;c ;c
0 1 2 @~n (e ) ? c 2
@~n
k2I
5 NUMERICAL EXPERIMENTS 15
8

3
6

2
4

1
2

0
0

−1
−2
−2

−4
−3

−6
−4

−8
−5

−10
0 0.5 1 1.5 2 2.5 3 3.5 4 0 1 2 3 4 5 6

1.5 8

1
4

0.5
0

−2
0

−4

−6
−0.5

−8

−1 −10
0 1 2 3 4 5 6 0 1 2 3 4 5 6

Figure 4.3: The derivative boundary conditions h (top,left) and  (top,right),

on
and
0 respectively.
p Also we display the real part (solid) and imaginary
part (dashed) of z on the circle fz : jz ? 1j = 1g (bottom,left). The
normal derivative of 0 = ?c1 1 ?c2 2, on the unit circle, is also presented
(bottom,right).

In our implementation we use three grid points on each side of the singu-
larity. The modied boundary data 0 = ~n
r 0jr=1 are displayed in Figure
4.3. Clearly 0 has a continuous normal derivative at z = ei . The three
remaining singularities in  can be treated in the same way. The function
0 is obtained by solving a Cauchy problem, with the modied, and well{
behaved, data. Finally, (z ) = 0(z ) + c1 1(z ) + c2 2(z ), z = rei 2
0 ,
solves the original problem.

5 Numerical experiments
In this section we give numerical results demonstrating that the proposed
methods work well. For the numerical experiments we selected a domain
6 CONCLUDING REMARKS 16

, where the hole corresponded to the set f0:2  x; y  0:8g. The test
problems were created in the following way: First we selected the function
T , which is harmonic in
, and computed the corresponding temperature
and heat{ ux data, eg and eh, on ?1 . Normally distributed noise was added
giving vectors eg , and eh . By solving numerically the Cauchy problem (1.1)
we obtained approximations of the steady state temperature on ?2 . We
conducted two separate tests, using dierent functions T as exact solutions.
In Figure 5.1 we display the results obtained using Tikhonov regular-
ization on the nite dierence matrix, i.e. by solving (3.3), where L is a
discretization of a second derivative. In this experiment we used a grid with
504 nodes on ?1 and 304 nodes on ?2 . Thus we solved a least squares prob-
lem with a matrix of size 16633  16129, and with 57541 non{zero elements.
In Figure 5.2 the results obtained by solving an equivalent problem on
the annulus are displayed. Since the normal derivatives on ?1 are non{zero,
we used the technique described in Section 4.3. When solving the Cauchy
problem on the annulus we needed to compute the FFT of vectors of size
4096. The system of ordinary dierential equations (4.3) were solved using
the Matlab code ode45.
From these tests we conclude that the proposed methods work well. In
all cases we managed to solve the inverse problem with acceptable accuracy.

6 Concluding remarks
We have considered two methods for solving a Cauchy problem for the
Laplace equation in a doubly connected domain.
By discretizing the dierential equation on the domain we get an overde-
termined system of linear equations. In this paper we have used the nite
dierence method, which works well for the relatively simple domain consid-
ered here. Alternatively, in the case of a more complicated domain, a nite
element method could be used. Both methods should give comparable re-
sults. Since the original problem is ill{posed the discrete problem is severely
ill{conditioned, if a suciently ne grid is used. Thus methods for solv-
ing discrete ill{posed problems need to be applied. Here we use Tikhonov's
method, applied only to the nodes at the inner boundary. The resulting
numerical code works well, and give good accuracy, but it is expensive in
terms of computations and memory.
The solution to the Cauchy problem for the Laplace equation in an an-
nulus can be written explicitly using a Fourier series. Thus, by mapping the
domain
conformally onto an annulus we obtain an equivalent problem,
6 CONCLUDING REMARKS 17

4.5

4 5

3.5

3
4
2.5

2
3
1.5

1
2
0.5
1
0.8 1
1
0.6 0.8
0.4 0.6
0.4
0.2
0.2 0
0 0 0 0.5 1 1.5 2 2.5

6 6

5
5
4

3 4

2
3
1

0 2

−1
1 1
0.8 1
0.6 0.8
0
0.4 0.6
0.4
0.2
0.2 −1
0 0 0 0.5 1 1.5 2 2.5

Figure 5.1: Results obtained using the nite dierence method, and
Tikhonov regularization. We display the numerical solution in
(left), and
at ?2 (right,solid). Also we display the exact solution at ?2 (right,dashed).
The vertical lines mark the locations of the corners. We solved two dierent
problems, in both cases the noise was of variance 10?3 and we used the
regularization parameter  = 10?5.

that can easily be solved numerically. The numerical code used for comput-
ing the conformal mapping works for doubly connected polygonal domains.
Thus the techniques described here generalize directly to more complicated
domains. This method require much less computational work than that dis-
cussed above. There is an initial cost to compute the conformal mapping,
although for the simple domain considered here the cost is negligible. A cu-
bic spline is used for interpolating the data between grids. This is the part
of the code that require most computations. Thus the computational time
is, too a large extent, determined by the size of the grid used for represent-
A THE SINGULAR VALUE DECOMPOSITION ON
0 18

5 7

4
5

4
3

2 2

1
1
0

−1
0

0 0.5 1 1.5 2 0 0.5 1 1.5 2

Figure 5.2: Numerical results using conformal mapping, and solving an

equivalent problem on the annulus, using the spectral method. Two dif-
ferent problems were solved, and we display the approximate (solid) and the
exact solution (dashed). The vertical lines mark the locations of the corners.
In the two problems the noise was of variance 10?3 and we used the \cut
o" frequency c = 8.

ing functions on the annulus. Unfortunately, the conformal mapping is such

that smooth boundary data on ?1 are mapped onto functions that are not
necessarily well approximated by a truncated Fourier series. This sometimes
results in a less accurate solution, compared to the nite dierence method.
However, if the rst derivative of the data g = uj?1 is small close to the cor-
ners, then this problem does not show up in the numerical computations. In
such cases the spectral method gives accurate approximations, and should
be used.

Acknowledgments
The work of Fredrik Berntsson is supported by a grant from the National
Graduate School for Scientic Computing. Also we thank the referees for
their constructive criticism.

A The Singular value decomposition on

0

Let
0 be the annulus fz = rei : r0 < r < 1g. The Cauchy problem for the
Laplace equation in
0 was discussed in Section 4. However, the problem
A THE SINGULAR VALUE DECOMPOSITION ON
0 19

was not formulated as an operator equation. For reasons of completeness

such a discussion is included here. In this section (
;
) denotes the usual
scalar product on L2([0; 2 ]). In analogy to the discussion in Section 2 we
consider the following well{posed boundary value problem: Find 2 H 1(
0)
satisfying,

= 0; 0   < 2; r0 < r < 1;
@ (ei ) = 0; 0   < 2; (A.1)
@r i
(r0e ) =  () 2 L ([0; 2 ]); 0   < 2:
2

Denote by K 0 the linear operator mapping the Dirichlet data  = jr=r0

onto = jr=1. The singular value decomposition [11, 22] of the operator
K 0 can be1 calculated explicitly. For simplicity we introduce the notation
ck () =  2 cos(k) and sk () =  2 sin(k), for k  1. With c0 = (2)? 21 ,
? ? 1

the set of functions fck g1 1

k=0 [fsk gk=1 forms a complete orthonormal system
in L2 ([0; 2 ]). Therefore,  can be expressed in this basis,
1
X
 ()= (r0 ei )=(; c 0 )c0 + (; ck )ck + (; sk )sk :
k=1
By writing the dierential equation in polar coordinates and by using sep-
aration of variables, cf. Section 4, we calculate the Fourier coecients
f( ; ck); ( ; sk)g. It can be veried that,
1
X
( )
rk + r?k f(; c )c + (; s )s g :
(rei )=(; c 0)c0 + k k k k (A.2)
k=1 r0k + r0?k
is harmonic in
0, and satises the boundary conditions. We conclude that
(A.2) solves (A.1), and that the operator K 0 can be written,
X1
= K 0 =(; c0 )c0 + k f(; ck )ck + (; sk )sk g ; (A.3)
k=1
where k =2(r0k +r0?k )?1 . We see that c0 is a right (and left) singular function
of K 0 , with corresponding singular value equal to 1. Similarly, both ck and
sk are left and right singular functions, with the same singular value k , for
k  1. Clearly the singular values decay exponentially. Hence, K 0 can be
arbitrarily well approximated by a nite rank operator. This implies that
the operator K 0 , considered as a mapping of L2 ([0; 2 ]) into itself, is compact
[5, p. 41]. Note also that the left and right singular functions coincide. Thus
K 0 is self{adjoint and this is actually an eigenvalue expansion.
A THE SINGULAR VALUE DECOMPOSITION ON
0 20

The singular value decomposition for the operator K 0 is related to that

of the original operator K . Denote by fk ; vk ; uk g the singular system for
the operator K 0 . Since K 0 is self adjoint uk = vk , but the distinction between
the left and right singular functions is kept for reasons of clarity. By the
conformal mapping T =  , and therefore,
X1
g =   = (K 0 )   = k (f  ?1 ; vk )(uk  ): (A.4)
k=1
The conformal mapping provides a natural parametrization of the boundary
curve ?2 , ?2 = f?1 (r0ei ) j 0   < 2 g. We want to transform the scalar
product (f  ?1; vk ) to an integral over ?2 . Using the change of variables
s = ?1 (r0ei ) we get,
2 0
(vk  )(s)f (s) jr(s)j jdsj;
Z Z

(f  ?1; vk )= vk (r0 ei )(f  ?1 )(r ei )d =

0
0 ?2 0

where 0 denotes the derivative of  in the tangent direction of ?2 . If we

dene a new scalar product: < ;  >?2 = (r0?1 j0j;  )L2(?2 ) . Then we can
write the operator K as
X1
g = Kf = k < vek ; f >?2 ufk ; (A.5)
k=1
where ufk = uk   and vek = vk  . A corresponding scalar product <
;
>?1 ,
for the outer boundary curve, can be dened in a similar way. Note that
ufk and vek are dened on ?1 and ?2 respectively. After normalization, with
respect to the scalar products <
;
>?1 and <
;
>?2 , the set of functions
fufk ; vek g form a singular system for the operator K 0. The singular values are
changed because of the normalization. However, there is no reason to belive
that the asymptotic rate of decay is changed signicantly.
One more comment is needed. For the case when the Laplace equation
is valid in an annulus we have (by Proposition 4.3) continuous dependence
on the data, c ! as  ! 0, in the interior of the domain. A similar
statement can be made for the original domain. For a xed radius r 2 (r0; 1]
we dene a curve ? = f?1 (rei ) j 0   < 2 g 
, cf. Figure 4.2. Also we
dene a scalar product <
;
>? as before. Then Tc j? = ( c  )j? ! T j?
as  ! 0, with respect to the norms corresponding to the scalar products
<
;
>?1 and <
;
>? . Thus we have continous dependence on the data in
the interior of the domain
.
REFERENCES 21

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