CHAPTER 3

Semi-Classical Orthogonal Polynomials

In Chapter 2, we considered an example of classical orthogonal polyno-

mials. These are polynomials tPn pxqu8
n“0 , which satisfy the relation
⇡pxq Pn1 pxq “ pan x ` bn qPn pxq ` cn Pn´1 ,
for some function ⇡pxq and numbers an , bn , cn . In this chapter, we will
consider generalizations of such classical orthogonal polynomials, which are
called semi-classical orthogonal polynomials.
Why are extensions needed? One motivation comes from a need for
distributions that go beyond the Gaussian ones, which we considered in
Section 2.4. An example of more general distributions arise in quantum field
theory. Here the partition function is defined to be
ª ´ ÿ N ¯π
ZN “ exp ´ U pxi q |xj ´ xk |2 dx1 . . . dxN , (3.1)
RN j“1 j†k

where U pxq is an even function, such that limxÑ˘8 expp´U pxqq Ñ 0.

In this chapter, we consider polynomials orthogonal with respect to the
weight function expp´U pxqq. In Section 3.1, we will consider general choices
of even functions U before focusing on polynomial U . Later, in Section 3.2,
we focus on polynomial U of degree 4.
3.1. Generalizations
Given an even function U pxq, which satisfies
lim e´U pxq Ñ 0,
xÑ˘8
let tPn u8
n“0 be a sequence of monic polynomials orthogonal with respect to
the weight function expp´U pxqq on the real line. That is, we have
ª8
Pn pxq Pm pxq e´U pxq dx “ hn nm . (3.2)
´8
We can show that these polynomials have properties that are very similar to
those of the Hermite polynomials. But, as we will see later, there are some
key differences.
We have studied orthogonal polynomials in several ways in earlier sec-
tions. To get more information about such polynomials, it is also useful to
define moments.
3.1.1. Definition. Given a weight function e´U pxq on R, the moments tµn u8
n“0
are defined by ª 8
µn “ xn e´U pxq dx.
´8

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3.1.A. Exercise. Consider the first two polynomials in the sequence tPn u8 n“0
defined above. We have P0 pxq “ 1, since this is the only monic polynomial
of degree 0. Suppose P1 pxq “ x ` a0 .
(i) Show by using xP0 , P1 y “ 0 that a0 “ 0.
(ii) Express the squared norms h0 “ xP0 , P0 y, h1 “ xP1 , P1 y in terms of
moments.
The evenness of the weight function leads to the following lemma.
Lemma 3.1.2. For all n P N, the polynomials tPn u8
n“0 satisfy
Pn p´xq “ p´1qn Pn pxq. (3.3)
Proof. The proof is almost identical to the one for Hermite polynomials
(see Lemma 2.2.4) and we omit the details here. ⇤
As is the case for all orthogonal polynomials, we can show that tPn pxqu8
n“0
satisfy a 3-term recurrence relation.
3.1.3. Proposition. The polynomials tPn pxqu8
n“0 satisfy the 3-term recur-
rence relation
hn
xPn “ Pn`1 ` Pn´1 , (3.4)
hn´1
for all n P N.
Proof. Since x Pn is a polynomial of degree n ` 1, we can express it
as a linear combination of other polynomials in the sequence, up to degree
n ` 1. That is, we have
n
ÿ pnq
xPn pxq “ Pn`1 pxq ` aj Pj pxq. (3.5)
j“0

(Note that the coefficient of Pn`1 has to be unity because we are considering
monic polynomials.) Now, consider 0 § m § n ´ 2. Then multiplying the
above equation by Pm e´U on both sides and integrating over the real line
gives
n
ÿ pnq
xx Pn , Pm y “ xPn`1 , Pm y ` aj xPj , Pm y. (3.6)
j“0
The orthogonality condition (3.4) gives the left side as
xx Pn , Pm y “ 0,
since xx Pn , Pm y “ xPn , x Pm y, and, furthermore, the degree of xPm is m `
1 § n ´ 1. The term xPn`1 , Pm y on the right side of Equation (3.6) also
pnq
vanishes by orthogonality and so the right side becomes am hm . Therefore,
pnq
we have am “ 0 for all 0 § m § n ´ 2.
Therefore, Equation (3.5) becomes
xPn “ Pn`1 ` ↵n Pn ` n Pn´1 . (3.7)
Take the inner product of this equation with Pn . Then we get
xx Pn , Pn y “ xPn`1 , Pn y
` ↵n xPn , Pn y
` n xPn´1 , Pn y.

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 Special Topics in Applied Mathematics

Oddness of the integral implies xx Pn , Pn y “ 0. Moreover, orthogonality

gives xPn`1 , Pn y “ 0, and xPn´1 , Pn y “ 0. Therfore, we are left with the
equation
↵n hn “ 0,
which gives the result ↵n “ 0.
Now consider the inner product of Equation (3.7) with Pn´1 . Since
orthogonality shows that xPn`1 , Pn´1 y “ 0, we have
xxPn , Pn´1 y “ n xPn´1 , Pn´1 y.
Here, the left side is
xx Pn , Pn´1 y “ xPn , xPn´1 y,
“ xPn , Pn ` n´1 Pn´2 y,
“ xPn , Pn y ` n´1 xPn´1 , Pn´2 y
“ hn .
The right side was n hn´1 , so we obtain
hn “ n hn´1
which yields the desired result. ⇤
3.1.1. Polynomial U . We now restrict U pxq to be a polynomial of (even)
degree p ` 1, with p • 1. In such a case, we can deduce a structure relation
expressing the derivative Pn1 pxq in terms of a sub-sequence of polynomials of
smaller degree k, as shown by the following lemma.
Lemma 3.1.4. Suppose U is a polynomial of degree p ` 1, p • 1. Then, for
all n P N, the orthogonal polynomials tPn pxqu8
n“0 satisfy
n´1
ÿ
d pnq
pPn pxqq “ Ak Pk pxq. (3.8)
dx k“n´p

Proof. Since Pn1 is a polynomial of degree n ´ 1, we can write

n´1
ÿ pnq
d
pPn pxqq “ Ai Pi pxq,
dx i“0
Taking the inner product after multiplying by Pk , for 0 § k § n ´ 1, we
pnq
find the right side becomes Ak hk . On the other hand, using integration by
parts, the left side becomes
ª8 ´ ¯1
1
xPn , Pk y “ ´ Pn Pk e´U dx
´8
ª8 ª8
1 ´U
“´ Pn Pk e dx ` Pn Pk U 1 pxqe´U dx.
´8 ´8
However, U1 U1
is of degree p, so Pk is a polynomial of degree k ` p. Hence
the last term vanishes if k † n ´ p. Similarly, by replacing Pk1 by a lin-
ear combination of polynomials of degree at most k ´ 1, we find that the
remaining term also vanishes. These lead to
pnq
Ak “ 0, 0 § k † n ´ p,
which gives the desired result. ⇤
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3.2. Quartic polynomial U

We now focus on polynomial U of degree 4. Specifically, we take
U pxq “ x4 ´ t x2 ,
where t is a parameter, independent of x and consider monic polynomials
tPn pxqu8n“0 , which are orthogonal with respect to the weight function e
´U

on the real line.

3.2.A. Exercise. Recall that P0 pxq “ 1, P1 pxq “ x, from the results of
Exercise 3.1.A.
(i) Show by using integration by parts that the moment µ0 is given by
ª8
µ0 “ ´ xp´4x3 ` 2txqe´U dx,
´8
“ 4µ4 ´ 2t µ2 . (3.9)
(ii) By using the 3-term recurrence relation (3.4), show that
P2 pxq “ x2 ´ 1,
and so it follows that
2
h2 “ µ 4 ´ 2 1 µ2 ` 1 µ0 .
Note that in §3.1.1, we took degpU q “ p`1, which means we are currently
considering the case p “ 3. In particular, Lemma 3.1.4 gives
d
pPn pxqq “ An Pn´1 pxq ` Bn Pn´2 pxq ` Cn Pn´3 pxq. (3.10)
dx
To find the coefficients An , Bn , Cn , we use orthogonality and Equations
(3.3), (3.4) and (3.10) recursively.
3.2.1. Claim. Bn “ 0.
Proof. By orthogonality, we have
xPn1 , Pn y
Bn “ .
xPn´2 , Pn´2 y
Consider the numerator:
ª8
1
xPn , Pn y “ Pn1 Pn´2 e´U dx,
´8
ª8
` 1 ˘
“´ Pn Pn´2 ´ U 1 Pn´2 e´U dx,
´8
ª8
“ U 1 Pn Pn´2 e´U dx,
´8
where the last equation is found by after applying integration by parts, using
Equation (3.10) with n replaced by n ´ 2, and orthogonality. Using U 1 “
4x2 ´ 2tx2 , we apply the 3-term recurrence relation (3.4) (twice) to get the
desired result. ⇤
To work out the coefficients An and Cn , we use compatibility between
Equations (3.4) and (3.10). First consider the x-derivative of Equation (3.4),
which yields
hn
xPn1 ` Pn “ Pn`1
1
` P1 .
hn´1 n´1
©Nalini Joshi 32
 Special Topics in Applied Mathematics

We now use Equation (3.10) three times (for n, n`1 and n´1) to replace the
derivatives in this result. But this yields an equation containing Pn , Pn´1 ,
Pn´2 , Pn´3 , and Pn´4 . We replace xPn´1 and xPn´3 to obtain an equation
containing only Pn , Pn´2 , and Pn´4 . Since these are orthogonal polynomials,
their coefficients must vanish identically, and these lead to the following
equations arising from the coefficients of Pn , Pn´2 , and Pn´4 respectively:
An ` 1 ´ An`1 “ 0, (3.11a)
hn´1 hn
An ` Cn “ Cn`1 ` An´1 , (3.11b)
hn´2 hn´1
hn´3 hn
Cn ´ Cn´1 “ 0. (3.11c)
hn´4 hn´1
There are several ways of proving the following claim.
3.2.2. Claim. An “ n.
Proof. Equation (3.11a) is a linear first-order difference equation with
general solution
An “ n ` a 0 ,
where a0 is an arbitrary constant. Recall that we have
P0 “ 1, P1 “ x ` const,
for some constant in P1 . From Equation (3.10) with n “ 1 (using the con-
vention that the case of Pn with any negative index n is taken to be zero)
we get P11 “ A1 P0 , which implies A1 “ 1. Hence we have 1 ` a0 “ 1, which
yields a0 “ 0. This is the desired result. ⇤
3.2.3. Claim. Cn “ c0 n n´1 n´2 , where c0 is some arbitrary constant, and
n “ hn {hn´1 .

Proof. Multiplying Equation (3.11c) by hn´4 {hn we obtain

hn´3 hn´4
Cn ´ Cn´1 “ 0.
hn hn´1
Notice that this is an equation of the form
n “ n´1 ,

where n “ Cn hhn´3
n
.This equation is solved by n “ c0 , for an arbitrary
constant c0 . The desired result follows by observing that
hn hn hn´1 hn´2
“
hn´3 hn´1 hn´2 hn´3
“ n n´1 n´2 .
⇤
Note that we had 3 equations: Equations (3.11a), (3.11b), (3.11c), for
two unknown functions An and Cn . So there is one more equation left which
imposes a compatibility condition on these functions. This leads to the
following claim.

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3.2.4. Claim. The ratio n“ hn {hn´1 satisfies the difference equation

` ˘
c0 n n`1 ` n ` n´1 ` c1 n “ n, (3.12)
where c0 is the constant arising in Claim 3.2.3 and c1 is another arbitrary
constant.
Proof. Substituting the results for An and Cn into Equation (3.11b),
we find
n n´1 ` c0 n n´1 n´2 “ c0 n`1 n n´1 ` pn ´ 1q n.
This is a nonlinear equation for n and so the best we can do is to check if
its order can be decreased. We start by considering the terms involving n
explicitly. To convert these to a form that can be “integrated” (i.e., summed),
we divide the equation by n n´1 . This leads to
n n´1 ` ˘
´ “ c0 n`1 ´ n´2 ,
n n´1
` ` ˘˘
“ c0 n`1 ` n ` n´1 ´ n ` n´1 ` n´2 .
Noting that the left side has the form Ln ´ Ln´1 for Ln “ n{ n , while the
right side has the form Mn ´ Mn´1 , for Mn “ c0 p n`1 ` n ` n´1 q, we sum
to obtain Ln “ Mn ` const, i.e.,
n
“ c0 p n`1 ` n ` n´1 q ` c1 ,
n
where c1 is an arbitrary constant, as required. ⇤
Equation (3.12) turns out to be an important equation in mathematical
physics.
3.2.5. Definition. For constant ↵, , , the difference equation
` ˘
wn wn`1 ` wn ` wn´1 “ ↵ n ` ` wn , (3.13)
governing wn is called the string equation.
Note that Equation (3.12) is the special case ↵ “ 1{c0 , “ 0, “ ´c1 {c0
of the string equation. (We will see below that it has another, equally famous,
name.) The constants c0 , c1 can be explicitly evaluated by using the monic
orthogonal polynomials we considered above.
3.2.6. Claim. c0 “ 4.
Proof. Taking the structure relation Equation (3.10) and evaluating it
at n “ 3, we find
P31 “ 3 P2 ` c0 3 2 1 P0 .
Multiplying by P0 , and using orthogonality, we obtain
ª8
c 0 3 2 1 h0 “ P31 P0 e´U dx,
´8
ª8
“´ P3 p´U 1 qe´U dx,
´8
ª8
“ P3 p4x3 ´ 2txqe´U dx,
´8

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 Special Topics in Applied Mathematics
ª8
“4 P3 pP3 ` k2 P2 ` k1 P1 ` k0 qe´U dx,
´8
“ 4h3 .
Note that in the second last line, we expressed the cubic 4x3 ´ 2tx in terms
of a linear combination of P3 , . . ., P0 and then used orthogonality to get the
final line. Now using the fact that
h3
3 2 1 “ ,
h0
we get c0 h3 “ 4h3 , which gives the desired result. ⇤
3.2.B. Exercise. Show that c1 “ ´2t, where c1 is a constant appearing in
Equation (3.12). (You may find it useful to use the results on moments at
the beginning of this section.)
3.2.1. Continuum limits. The continuum limit of a difference equation
with a discrete independent variable n is a limiting case of the equation,
obtained by taking smaller and smaller spacing between successive steps of
the iteration.

wn´2 wn´1 wn wn`1 wn`2

Figure 3.1. The spacing between successive values of the in-

dependent variable in a difference equation is
fixed, but it is taken to be smaller and smaller
in a continuum limit.

We now consider the continuum limit of Equation (3.13). Define new

variables
z “ n✏, wn “ µ ` ✏2 upzq,
where ✏ is arbitrarily small, µ is a constant to be found and upzq is assumed
to be an analytic function of z. Because the iteration n fiÑ n ˘ 1 is equivalent
to z fiÑ z ˘ ✏, we find derivatives of u arising from its Taylor expansions:
✏2 2 ✏3
upz ˘ ✏q “ upzq ˘ ✏u1 pzq ` u pzq ˘ u3 pzq ` . . . .
2! 3!
For this reason, in general, we expect the continuum limit to be a differential
equation.
Because the coefficients of powers of ✏ vanish independently of each other,
we often need the parameters in the equation to also take on limiting forms.
For this reason, we assume that the parameters of the string equation take
the following form:
↵ “ ´⌫ ✏a , “´ 2
{12, for a ° 1.
So the leading-order term in the expansion of Equation (3.13) gives
3 µ2 “ ´ 2
{12 ` µ, ñ µ “ {6.
Assuming a ° 3, we also obtain the coefficient of ✏2 to yield
6µu “ u,

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which is identically satisfied. The next power of ✏ that arises is ✏4 , and if

a “ 5, we find
µ uzz ` 3 u2 “ ´⌫ z.
Taking µ “ ´1{2, ⌫ “ 1{2, we get the ODE
uzz “ 6u2 ` z, (3.14)
which is called the first Painlevé equation or PI . We neglect higher powers
of ✏ by taking the limit ✏ Ñ 0. For this reason, the string equation (3.13) is
also called the first discrete Painlevé equation or dPI for short.
3.2.C. Exercise. Find the continuum limit of the difference equation
yn`1 “ ↵ yn p1 ´ yn q,
by writing x “ ✏ n, yn “ ✏ a upxq, ↵ “ 1 ` ✏ a and assuming upxq to be
analytic and ✏ to be arbitrarily small. Show that the resulting ODE is
u1 “ a up1 ´ uq.
3.3. Deformation in t
We continue our focus on the weight function expp´U q, where U “
x4 ´ tx2 . In the previous sections, we deduced properties of the associated
monic orthogonal polynomials tPn u8 n“0 as n changes or as x does. In this
section, we investigate their properties when the weight function is deformed
by changing t.
Lemma 3.3.1. The rate of change of the polynomial Pn with respect to t is
given by
BPn
“ ´ n n´1 Pn´2 . (3.15)
Bt
Proof. Since the highest degree term in Pn , i.e., xn is independent of
t, it follows that BPn {Bt is a polynomial in x of degree at most n ´ 1. Hence
we can express it as a linear combination of the form
n´1
ÿ pnq
BPn
“ Bk Pk .
Bt k“0
Multiplying by Pm , for 0 § m § n ´ 1, we obtain
pnq
Bm hm “ xBPn {Bt, Pm y.
The right side can be evaluated by using
ˆª 8 ˙ ª8
B ´U
xBPn {Bt, Pm y “ Pn Pm e dx ´ Pn Pm x2 e´U dx,
Bt ´8 ´8
ª8
“0´ pxPn qpxPm qe´U dx,
´8
ª8
“´ pPn`1 ` n Pn´1 qpPm`1 ` m Pm´1 qe´U dx,
´8
ª8
“´ n Pn´1 Pm`1 e´U dx,
´8
“´ n hn´1 n´1,m`1 ,

©Nalini Joshi 36
 Special Topics in Applied Mathematics

where we have used the 3-term recurrence relation twice as well as orthogo-
nality relations following from the fact that 0 § m § n ´ 1. In other words,
we obtain #
pnq 0, if m “ n ´ 2
Bm “
´ n n´1 , if m “ n ´ 2.
This is the desired result. ⇤
Lemma 3.3.2. The rate of change of the squared norm hn with respect to t
is given by
hn t
“ n`1 ` n . (3.16)
hn
Proof. To prove this result, consider
ˆª 8 ˙
B 2 ´U
hn t “ Pn e dx .
Bt ´8
Using similar ideas to those in the previous proof, we find
h2n
hnt “ hn`1 ` ,
hn´1
which implies the desired result. ⇤
Corollary 3.3.3. The lemma above shows that
nt “ n p n`1 ´ n´1 q . (3.17)
Proof. The proof follows by using the relation n “ hn {hn´1 and ap-
plying the above lemma. ⇤
Equation (3.17) is called the Volterra lattice equation, because it is a
special case of the Lotka-Volterra systems which is a model of predator-prey
systems in biology.
3.3.A. Exercise. Separate odd and even iterates of Equations (3.13) or
(3.17) by defining the following variables:
#
uk , for n “ 2k,
n “
vk , for n “ 2k ` 1.
(i) Show that the Volterra lattice equation (3.17) becomes
# ` ˘
u9 k “ uk vk ´ vk´1 ,
` ˘ (3.18)
v9 k “ vk uk`1 ´ uk .
(ii) We can find exact solutions of this system by making the hypothesis:
fk e t
uk “ ,
↵`e t
gk
vk “ ,
↵`e t
for some functions fk , gk of k and constants ↵, . Find the difference
equations that fk and gk must satisfy for this to be a solution of
Equations (3.18).
(iii) Solve the equations for fk and gk you found in the previous question
and hence find explicit solutions of the Volterra lattice equation.

37 ©Nalini Joshi