pdf24 Unido

Maths for Physics
University of Birmingham
Mathematics Support Centre
Authors: Supervisors:
Daniel Brett Michael Grove
Joseph Vovrosh Joe Kyle
October 2015
©University of Birmingham, 2015

Contents
0 Introduction 9
0.1 About the Authors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
0.2 How to use this Booklet . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
1 Functions and Geometry 10

1.1 Properties of Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
Sets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
Composite Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
Inverse Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
Odd and Even Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
Increasing and Decreasing Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
Undefined Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
Continuity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
Periodicity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
The Modulus Function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
1.2 Curve Sketching . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
1.3 Trigonometry . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
Radians . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
SOHCAHTOA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
Trigonometric Formulae and Identities . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
Reciprocal Trigonometric Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
Inverse Trigonometric Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
1.4 Hyperbolics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
Basics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
Reciprocals and Inverses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
Identities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
1.5 Parametric Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
1.6 Polar Coordinates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
1.7 Conics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
Standard Equations of Conics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
Translating Conics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
Recognising Conics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
1.8 Review Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
Easy Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
Medium Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
Hard Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
2 Complex Numbers 40
2.1 Imaginary Numbers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
2.2 Complex Numbers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
Different Forms for Complex Numbers . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
Arithmetic of Complex Numbers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
2.3 Applications of Complex Numbers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
nth Roots of Unity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
Polynomials with Real Coefficients . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47
Quadratic Equations with Complex Coefficients . . . . . . . . . . . . . . . . . . . . . . 48
Phasors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48
Easy Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
Hard Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51

3 Matrices 53
3.1 Introduction to Matrices . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
3.2 Matrix Algebra . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
Addition and Subtraction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
Multiplication by a Constant . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
Matrix Multiplication . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
3.3 The Identity Matrix, Determinant and Inverse of a Matrix . . . . . . . . . . . . . . . . . . 57
The Identity Matrix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
Transpose of a Matrix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
Determinant of a Matrix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58
Inverse of a Matrix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
Easy Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
4 Vectors 62
4.1 Introduction to Vectors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
Vectors in 2-D Space . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
Vectors in 3-D Space . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
Representation of Vectors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
Magnitude of Vectors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
Unit Vectors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65
4.2 Operations with Vectors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
Multiplying a Vector by a Scalar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
Vector Addition and Subtraction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
Vector Multiplication: Dot Product . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
Vector Multiplication: Cross Product . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69
Calculating the Cross Product (Method 1) . . . . . . . . . . . . . . . . . . . . . . . . . 69
Calculating the Cross Product (Method 2) . . . . . . . . . . . . . . . . . . . . . . . . . 70
Projection of one Vector onto another . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
Triple Products . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
4.3 Vector Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72
Lines . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72
Planes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72
4.4 Intersections and Distances . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74
Shortest Distance from a Point to a Plane . . . . . . . . . . . . . . . . . . . . . . . . . 74
Shortest Distance between Two Skew Lines . . . . . . . . . . . . . . . . . . . . . . . . 75
Intersection between a Line and a Plane . . . . . . . . . . . . . . . . . . . . . . . . . . 76
Intersection between Two Planes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77
Types of Intersection between three Planes . . . . . . . . . . . . . . . . . . . . . . . . . 78
Easy Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79
Hard Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81
5 Limits 82
5.1 Notation and Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82
5.2 Algebra of Limits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83
5.3 Methods for Finding Limits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83
Easy Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86

6 Differentiation 88
6.1 Introduction to Differentiation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88
Differentiation from First Principles . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89
Notation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 90
6.2 Standard Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92
Differentiating Polynomials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92
Differentiating Trigonometric Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . 94
Differentiating Exponential Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95
Differentiating Logarithmic Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95
Differentiating Hyperbolic Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97
6.3 Differentiation Techniques . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 98
Differentiating a Sum . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 98
The Product Rule . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100
The Quotient Rule . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102
The Chain Rule . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104
Implicit Differentiation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 107
Differentiating Inverse Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109
Derivatives of Inverse Trigonometric and Hyperbolic Functions . . . . . . . . . . . . . . 110
Differentiating Parametric Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . 111
6.4 Stationary points . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112
Classifying Stationary Points . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113
Easy Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 116
Hard Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117
7 Partial Differentiation and Multivariable Differential

Calculus 119
7.1 Partial Differentiation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119
7.2 Higher Order Partial Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 122
7.3 The Chain Rule with Partial Differentiation . . . . . . . . . . . . . . . . . . . . . . . . . . 124
7.4 Gradients and ∇f . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125
Vector Fields . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125
The Gradient Operator, ∇ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125
Directional Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126
7.5 Other Operations with ∇ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 128
The Laplace Operator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 128
The Divergence of F~ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 128
The Curl of F~ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 128
Identities with div, grad and curl . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129
7.6 Applications of Partial Differentiation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 130
Lagrange Multipliers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 130
Easy Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 132
Hard Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133
8 Integration 135
8.1 Introduction to Integration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135
Notation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 136
Rules for Integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 136
8.2 Standard Integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 137
Integrating Polynomials . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 137
Integrating x−1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 138
Integrating Exponential Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 139
Integrating Trigonometric Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 140
Integrating Hyperbolic Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 141
8.3 Finding the Constant of Integration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 142

8.4 Integrals with Limits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143
8.5 Integration Techniques . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 145
Integrating Odd and Even Functions over Symmetric Limits . . . . . . . . . . . . . . . 145
Using Identities to Solve Integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 146
Integration by Substitution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 147
Integration by Parts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153
Integration using Partial Fractions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 156
Reduction Formulae . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 159
8.6 Constructing Equations Using Integrals . . . . . . . . . . . . . . . . . . . . . . . . . . . . 162
8.7 Geometric Applications of Integration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 164
Arc Length . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 164
Surface Area of a Revolution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 165
Volume of a Revolution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 166
Easy Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 167
Hard Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 168
9 Multiple Integration 170

9.1 Double Integrals (Plane Surface Integrals) . . . . . . . . . . . . . . . . . . . . . . . . . . . 170
Double Integrals in Cartesian Coordinates . . . . . . . . . . . . . . . . . . . . . . . . . 170
Changing the Order of Integration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 174
Double Integrals in Polar Coordinates . . . . . . . . . . . . . . . . . . . . . . . . . . . . 175
9.2 Triple Integrals (Volume Integrals) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 177
Triple Integrals in Cartesian Coordinates . . . . . . . . . . . . . . . . . . . . . . . . . . 177
Triple Integrals in Cylindrical Coordinates . . . . . . . . . . . . . . . . . . . . . . . . . 180
Triple Integrals in Spherical Coordinates . . . . . . . . . . . . . . . . . . . . . . . . . . 182
Easy Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 186
Hard Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 188
10 Differential Equations 190

10.1 Introduction to Differential Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 190
Definitions and Classifications . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 190
Conditions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 191
The Superposition Principle . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 191
10.2 First Order ODEs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 192
Solution by Direct Integration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 192
Separation of Variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 192
The Integrating Factor Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 195
dy
Equations of the Form = f ( xy ) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 197
dx
dy
Equations of the Form + f (x)y = g(x)y k . . . . . . . . . . . . . . . . . . . . . . . . 199
dx
10.3 Second Order Differential Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 201
Homogeneous Second Order Constant Coefficient Differential Equations . . . . . . . . 201
Inhomogeneous Second Order Differential Equations . . . . . . . . . . . . . . . . . . . 204
Equations With Dangerous Terms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 209
10.4 Setting Up Differential Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 211
Easy Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 214
Hard Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 215

11 Series and Expansions 217
11.1 Sequences . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 217
11.2 Summations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 219
11.3 Series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 220
Arithmetic and Geometric Series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 220
Power Series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 223
11.4 Expansions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 225
Order and Rate of Growth . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 225
Binomial Expansions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 226
Taylor Series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 228
Easy Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 232
Hard Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 233
12 Operators 234
12.1 Introduction to Operators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 234
13 Mechanics 237
13.1 Dimensional Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 237
13.2 Kinematics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 240
13.3 Newton’s Laws . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 243
Newton’s Laws of Motion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 243
Gravity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 243
Friction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 244
Air Resistance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 245
13.4 Conservation Laws . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 247
Conservation of Momentum . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 247
Conservation of Energy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 249
13.5 Oscillatory Motion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 252
Definitions and Concepts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 252
Simple Harmonic Motion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 252
Damping . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 254
Forced Oscillations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 255
Resonance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 255
13.6 Circular Motion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 256
Moment and Torque of a Force . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 256
Centripetal Force and Motion in a Circle . . . . . . . . . . . . . . . . . . . . . . . . . . 256
13.7 Variable Mass . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 258
Easy Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 260
Hard Questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 261

Foreword
Mathematics is an integral component of all of the scientific disciplines, but for physics, it is a
vital and essential skill that anyone who chooses to study this subject must master. Mathematics
allows a physicist to understand a range of important concepts, model physical scenarios, and solve
problems. In your pre-university studies you will have encountered mathematics: perhaps when con-
sidering Newton’s laws of motion and gravitation, exploring the laws of electricity and magnetism, or
when comparing the absolute magnitudes of stars. As you move through your university studies you
will see the mathematical concepts underpinning physical ideas develop in increasingly sophisticated
ways; you will need to ensure you not only have a highly developed knowledge of algebra and calculus
but you can apply these effectively to a range of different and complex scenarios. Although there
are many different branches of physics, the ability to understand and apply mathematics will be
important regardless of which you choose to study. Mathematics forms the entire basis for physics,
and is a reason why physics graduates are so highly sought by a range of businesses and industries.
For some time it has become apparent that many students struggle with their mathematical
skills and knowledge as they make the transition to university in a wide range of subjects. It may
perhaps be surprising that this includes physics, however this was one of the original disciplines
where a problem was first identified in a seminal report back in 2000. Despite a range of activities,
interventions and resources, a mathematics problem within physics still remains. A 2011 report from
the Institute of Physics indicated many physics and engineering academic members of staff feel new
undergraduates within their disciplines are underprepared as they commence their university studies
due to a lack of fluency in mathematics. In addition, the report also highlights the concerns that
students themselves are now beginning to articulate in relation to their mathematical skills prior
to university entry. This is despite the evidence that they are typically arriving at university with
increased mathematical grades.
In the summer of 2015 we set out to try to address this problem by working with two dedicated and
talented undergraduate interns to develop a supporting resource for those studying physics. There
are already a range of textbooks available that aim to help physics students develop their mathemat-
ical knowledge and skills. This guide isn’t intended to replace those, or indeed the notes provided
by your lecturers and tutors, but instead it provides an additional source of material presented in
a quick reference style allowing you to explore key mathematical ideas quickly and succinctly. Its
structure is mapped to include the key mathematical content most undergraduate physics students
encounter during their first year of study. Its key feature is that it contains numerous examples
demonstrating how the mathematics you will learn is applied directly within a physics context. Per-
haps most significantly, it has been developed by students for students.
While this guide can act as a very useful reference resource, it is essential you work to not only
understand the mathematical ideas and concepts it contains, but that you also continually practice
your mathematical skills throughout your undergraduate studies. Understanding key mathematical
ideas and being able to apply these to problems in physics is an essential part of being a competent
and successful physicist. We hope this guide provides a useful and accessible resource as you begin
your study of physics within higher education. Enjoy, and good luck!
Michael Grove & Joe Kyle

October 2015

Acknowledgements
First we would like to thank Michael Grove for providing support whenever it was needed, as
well as for entrusting us with this project and giving us the opportunity to make this document our
own work.
Thank you also to Dr Joe Kyle whose feedback on our work has been essential in making our
booklet professional and accurate, and his commitment to providing diagrams and advice has been
invaluable.
We would like to express our gratitude to the University of Birmingham physics department,
in particular Professor Ray Jones, for their willingness to help and for allowing us access to their
resources.
Deepest gratitude are also due to the University of Birmingham Mathematics Support Centre as
this project would not have been possible without their funding.
Many thanks to Samantha Pugh from the University of Leeds for helping set up the project and
Rachel Wood from the University of Birmingham for providing operational support, whenever needed.
Further, we would like to thank Rory Whelan and Allan Cunningham for allowing us to access
and use their templates and LaTeX code from the Maths for Chemistry booklet which they produced
in 2014. This allowed us to quickly get to grips with the coding and therefore focus on the content
of our booklet.
Finally, a huge thank you to our fellow interns Amy Turner, Patrick Morton, Calum Ridyard,
Heather Collis, and Abdikarim Timer who not only gave us support and advice throughout the entire
project, but also provided us with great company.

0 Introduction
This booklet has been produced to assist second year physics students with the mathematics content
of their course. It has been designed as an interactive resource to compliment lecture material with
particular focus on the application of maths in physics. The content in this booklet has been developed
using resources, such as lecture notes, lecture slides and past papers, provided to us by the University
of Birmingham.
0.1 About the Authors

Daniel Brett is currently in his third year, studying a joint honours course in Theoretical Physics and
Applied Mathematics at the University of Birmingham. He has enjoyed producing this learning resource
and hopes that it will help students with their studies.
Joseph Vovrosh has just finished his first year of University, also studying Theoretical Physics and
Applied Mathematics. He has a keen interest in maths and physics and hopes to pursue it as a career.
0.2 How to use this Booklet

The contents contains hyper-links to the sections and subsections listed and they can be easily
viewed by clicking on them.
The book on the bottom of each page will return you to the contents when clicked. Try it out for
yourself now:
In the booklet, important equations and relations appear in boxes, as shown below:

Physics > Maths

Worked examples of the mathematics contained in this booklet are in the red boxes as shown below:
Example: What is the sum 1 + 1?

Solution: 1 + 1 = 2
Worked physics examples that explain the application of mathematics in a physics-related problem
are in the blue boxes as shown below:
Physics Example: A particle travels 30 metres in 3 seconds. What is the velocity of

the particle, v?
distance
Solution: We know that velocity = . Therefore v = 30
3 = 10ms−1 .
time
Some examples can also be viewed as video examples. They have hyper-links that will take you to
the webpage the video is hosted on. Try this out for yourself now by clicking on the link below:
Physics Example: A particle is falling under gravity. After a time t the particle’s
velocity has increased from u to v. The acceleration is a and is described by the equation
v = u + at. Rearrange the equation to make a the subject.
Click here for a video example
Solution: . . .

9
1 Functions and Geometry
1.1 Properties of Functions
This section will explain what is meant by a function, as well as some of its properties, giving formal
definitions and notation. You should already be familiar with much of this content, however it is included
here for completeness and to provide a more formal approach.
Sets
A set is a collection of elements denoted by: {x1 , x2 , x3 , ...} or {x : requirement on x}. You should
already be familiar with the standard sets of numbers:
Natural numbers: N ={1, 2, 3,...}.
Integer numbers: Z ={0, ±1, ±2, ±3,...}.
Rational numbers: Q ={ m
n : m, n ∈ Z, n 6=0}.
Real numbers: R. Real numbers may be rational or irrational.
Complex numbers: C = {a + bi : a, b ∈ R}.

These will be covered in their own section later on in the booklet.
However a set can contain any collection of numbers or objects. In this document we will only consider
sets of numbers.
Example:
Some examples of sets:
1. {apple, pear, 3, x}
2. {1, 4, 9, 2}
x
3. {x : 2 ∈ N}
4. {2, 7, blue, 8, 2}
Note that the third set is the set of positive multiples of 2. Also note that the fourth set is the
same as writing {2, 7, blue, 8} since we ignore repeated elements.
Functions
A function is a rule that transforms each element, x, of a set X to a unique element, y, of a second set
Y , or formally:
A function f from a set X to a set Y is a rule that associates to each number x ∈ X exactly one number
y ∈ Y . The function is denoted as y = f (x), or f : X → Y , where X is the domain of the function, Y is
the codomain of the function and all possible values of y make up the image.
The domain of a function is the set X of all the values which we put into the function. The
domain cannot include values for which the function is undefined.
The codomain is the set Y of all the values which may possibly come out of the function.
The image is the set of all the values that actually come out of the function.
This means that the codomain contains the image, but they are not necessarily equal sets. If we are not
specifically given a domain then the domain convention tells us that we choose the domain as the set
of all real numbers for which the function defines a real number.

10
Example: Let f : N → R such that f (x) = x2 . What are the domain, the codomain and the
image of f ?
Solution: The domain is the set of natural numbers, the codomain is the set of real numbers and
the image is the set of positive square numbers.
Note: The image is a subset of the codomain.
It is very important to note that functions can only be ‘one-to-one’ or ‘many-to-one’ and NOT ‘one-to-
many’. In other words, for any value of x in our domain, a function must only return one value of y.
This becomes important when considering inverse functions, as we are sometimes forced to restrict our
domain so that the inverse function does not become ‘one-to-many’.
Example:
The function f (x) = x2 is ‘many-to-one’,
√ since both x = 1 and x = −1 give f (x) = 1. However,
the inverse function of this, g(x) = x is ‘one-to-many’, since x = √ 1 gives both g(x) = 1 and
g(x) = −1. To make the inverse function ‘one-to-one’, we define √ x carefully√ as2 having the
domain
√ {x : x ≥ 0} and being the unique, non-negative number x such that ( x) = x. Thus
x always represents a positive (or zero) number.
Composite Functions
Consider two functions f (y) and g(x) (or f : Y 0 → Z and g : X → Y ) where the codomain of g is a
subset of the domain of f . A composite function of these two functions is written as f (g(x)), which
applies the function f to g(x). We can also write this composite function as f (g(x)) = f ◦ g(x). Note
that this is not the same as a product of two functions, gf (x). To use a composite function, we first
calculate g(x) to obtain a value x0 , say, and then calculate f (x0 ).
Example: Let f : R → R such that f (x) = x2 and g : R → R such that g(x) = x + 1. Find the
value of g ◦ f (2).
Solution: g ◦ f (x) = g(f (x))
= g(x2 )
= x2 + 1
⇒ g ◦ f (2) = 22 + 1 = 5.
Inverse Functions
An inverse function is formally defined as follows:
For a function f : X → Y the function f −1 : Y → X is called the inverse function of f if f −1 (f (x)) = x
for any x ∈ X and f (f −1 (y)) = y for any y ∈ Y .
In less formal terms, this means that given a function f which turns a value of x into a particular value
of y, the inverse function f −1 converts that value of y back into the original value of x.
We must be careful when working out an inverse of a function as only ‘one-to-one’ functions have an
inverse.
A very simple example is as follows:

11
Example: Given the function f (x) = 2x + 3 from R to R, what is the inverse function of f (x)?
Solution: To apply the original function, we multiply x by 2 and then add 3. To find the inverse
of f , we need to do the opposite of this. Therefore we need to subtract 3 from x and then divide
by 2 so that our inverse function is f −1 (x) = x−3
2 .
To check our answer, we can calculate f −1 (f (x)) and make sure that it is equal to x:
f −1 (f (x)) = (2x+3)−3
2
= 2x
2
= x as required.
Odd and Even Functions

Given a domain X ⊆ R which is symmetric about zero and a codomain Y ⊆ R,
A function f : X → Y is said to be odd if f (−x) = −f (x) for all x in R.
A function f : X → Y is said to be even if f (−x) = f (x) for all x in R.
You may find this easier to understand graphically.
−2 −1 0 1 2
−1
y = x3
−2
Above is the graph of y = x3 . We can see this is an odd function as the negative x portion of the graph
is an upside down reflection of the positive x portion.
y = x2 1
−2 −1 0 1 2
−1
−2
Above is the graph of y = x2 . We can see that this is an even function as the graph is symmetric about
the y-axis.
It is also useful to note that:

The product of two odd functions is an even function.
The product of two even functions is also an even functions
The product of an odd function and an even function is an odd function.

12
This property is important as it allows us to predict the behaviour of functions, and in some cases take
shortcuts during integration, which will be covered in a later chapter.
Example: Determine whether the following functions are odd or even.

1. f (x) = 2x6 + 13x2
1
2. f (x) = 4x3 −2x
Solution:
1. f (−x) = 2(−x)6 + 13(−x)2
= 2x6 + 13x2
= f (x)
⇒ f (−x) = f (x)
Thus the function is even.
2. f (−x) = 4(−x)31−2(−x)
= −4x13 +2x
= −f (x)
⇒ f (−x) = −f (x)
Thus the function is odd.
Increasing and Decreasing Functions

Another important property of functions is whether they are increasing or decreasing.
An increasing function f (x) is such that f (x1 ) < f (x2 ) for all x1 , x2 ∈ X such that x1 < x2 .
A decreasing function f (x) is such that f (x1 ) > f (x2 ) for all x1 , x2 ∈ X such that x1 < x2 .
Example: Find the restrictions of the domain, X = R, for the function

f (x) = (x + 1)2
which make f (x)

1. an increasing function.
2. a decreasing function.
Solution: See the video example above.
Undefined Functions
When the rule of a function cannot be calculated at a point x0 we call it ‘undefined at the point x0 ’.
An example of this is f (x) = x1 at the point where x = 0, i.e. f (0) = 10 . As x gets closer to zero from
above the function will grow without bound to ∞. However, if the initial value of x was negative and
was increased to 0 the function would tend to −∞.

13
4
−4 −3 −2 −1 0 1 2 3 4
−1
−2
−3
−4
From above we can see that at x = 0, this function tends to both +∞ as well as −∞. The function is
thus undefined and so division by zero is forbidden.
Continuity
Informally, we can say a function f (x) is continuous if there are no ‘jumps’ in the function. Graphically,
this means that a function is continuous if there are no breaks in the line, and discontinuous if there
is at least one break in the line. In physics, the most common discontinuity that you will encounter
is an asymptotic discontinuity, which occurs when the curve approaches ±∞ at a point. To find the
discontinuous points of a function, we find the values of x for which the function is undefined. Functions
may have more than one discontinuous point.
An example of an asymptotically discontinuous function is y = x12 , shown below. It has a discontinuous
point at x = 0 since at this point, y tends to ∞ so the function is undefined.
f
−3 −2 −1 0 1 2
Functions with discontinuities must be handled with extra care, especially when differentiating and inte-
grating, which will be covered later. To see the reason for this, think about what happens to the gradient
of the function at the discontinuous point shown above.

14
Example: Find the discontinuous point(s) of the following functions:
1
1. f (x) = x−4
1
2. f (x) = (x2 −1)(x+3)
Solution:
1. We look for the values of x for which the denominator is zero. At the point x = 4, the
1
function becomes 10 which is undefined. Therefore f (x) = x−4 has a discontinuous point at
x=4
2. At the point x = −3 there is a discontinuous point, since (x + 3) becomes zero, and hence
the denominator becomes zero. Now we look at the values of x for which (x2 − 1) is zero.
Since there is an x2 , both x = 1 and x = −1 satisfy this condition. Therefore there exist
three discontinuous points: x = −3, x = −1 and x = 1.
Periodicity
Some functions are ‘periodic’, meaning that they repeat their values in regular intervals or periods. The
general expression for these functions is
f (x + P ) = f (x)
A function of this type has fundamental period P . In other words, after every interval of length P , the
function ‘resets’ and traces out the same pattern for each interval. An important example of a periodic
function is the ‘sine’ function, which will be covered in more detail in the next section. By looking at
the graph of y = sin x, you can see that the pattern is repeated after each interval of 2π.
−2π −3π/2 −π −π/2 0 π/2 π 3π/2 2π

f
−1
The Modulus Function

The modulus function is denoted |x| and is defined by:
(
x, if x ≥ 0
|x| =
−x, if x < 0
This just means that given a number x, if it’s negative, multiply it by minus one. The modulus function
will only output non-negative numbers. The modulus function is extremely useful in cases where we
would like to know the distance between two real numbers. For example, the distance between a and b
can be written as |a − b|. Below is the graph of y = |x|.
1
y = |x|
x
−2 −1 0 1
−1

15
Example:
1. What is the modulus of −324?
2. Solve |x + 1| = 3.
Solution:
1. The modulus of −324 is written as | − 324|
= −1 × −324
= 324
2. To solve this requires an understanding of possible cases of |x + 1|.
If x < −1 this means x + 1 < 0 thus |x + 1| = −(x + 1).

However if x ≥ −1 then x + 1 ≥ 0 and |x + 1| = x + 1
So to achieve a full solution to this problem one needs to consider all cases separately.
(a) Case 1: x < −1.
As seen above, in this case |x + 1| = −(x + 1)
Therefore −(x + 1) = 3
⇒ −x − 1 = 3
⇒ x = −4
(b) Case 2: x ≥ −1.

As seen above, in this case |x + 1| = x + 1.
Therefore x + 1 = 3
⇒x=2
This means that the full solution is x = 2 or x = −4. The solutions can also be shown on a
graph.
4 y
(−4, 3) (2, 3)
a 3
2
y = |x|
x
0
−5 −4 −3 −2 −1 0 1 2 3
−1
Note: This idea of case analysis is very powerful and can be used to solve inequalities involving the
modulus function as well as simple equations like above.

16
1.2 Curve Sketching
If we are given a function f (x), then it is often beneficial to sketch the function in order to understand
how it changes with x. In order to do this, there are a number of properties of the function that we can
look for:
1. Asymptotes: We look for how f (x) behaves as x tends to ±∞.
2. Zeros: Find the values of x for which f (x) = 0, then we know that this is where the function
crosses the x-axis.
3. Singularities: Find the values of x for which f (x) = ±∞.

4. Sign Change: Find where f (x) changes from positive to negative, then we can deduce for what
ranges of x the graph is above or below the x-axis.
5. Stationary Points: We find where the function reaches a local maximum, a local minimum or a
point of inflexion as this gives an idea of the shape of the graph. The method for this is described
in detail in the section on ‘Stationary Points’.

17
Example: Sketch the graph of
1
y =x+
x−2
Solution:
First we look at how the equation acts at x tends to ±∞:
1 1
- We can see that as x tends to +∞ the term x−2 will tend to ∞ = 0 therefore y will
tend to the line y = x.
1
- As x tends to −∞ we can see that x−2 will tend to zero again so y will tend to the line
y = x.
To find out if the equation has any zeros we need to solve
1
0=x+
x−2
⇒ x(x − 2) + 1 = 0
⇒ (x − 1)2 = 0
Therefore x = 1 is a zero of the equation.
We can see the equation has a singularity at x = 2.
1
- As x tends to 2 from negative values of y, x−2 will tend to −∞ so y tends to −∞.
1
- As x tends to 2 from large positive values of y, x−2 will tend to ∞ so y tends to ∞.
The sign of the function only changes either side of x = 2
dy 1 dy
=1− so = 0 at:
dx (x − 2)2 dx
1
1=
(x − 2)2
This expands to give
x2 − 4x + 3 = (x − 1)(x − 3) = 0
So there are turning points at x = 1 and x = 3.
d2 y 2
2
=
dx (x − 2)2
d2 y
At x = 1, > 0 therefore this point is a minimum.
dx2
d2 y
At x = 3, < 0 therefore this point is a maximum.
dx2
Putting all this together gives the following graph (red lines are the asymptotes):
a
y
6
5
4
3
2
1
x
−3 −2 −1. 0 1 2 3 4 5 6
−1
−2
−3
bf

18
1.3 Trigonometry
In this section we will recap trigonometry and discuss some important ideas involving properties of the
trigonometric functions.
Radians
We often use degrees to measure angles, however we also have the option of measuring angles using
radians which can be much more convenient. Instead of splitting a full circle into 360◦ , it is split into
2π radians. We must use radians in calculus (differentiation and integration), complex numbers and
polar coordinates.
Below is shown a full circle showing some angles in degrees and what they are in radians.
π
90◦ 2
45◦
π
4
π 2π
180◦ 360◦
3π 270◦
2
We may wish to convert between degree and radians. In order to turn x degrees into radians we use the
formula:

x◦
× 2π
360◦
In order to convert x radians into degrees we use the formula:

x
× 360◦
2π

19
Example: Convert the following:
1. 60◦ into radians.
3π
2. radians into degrees.
8
Solution:
x◦
1. We need to use the formula × 2π
360◦
x◦ 60◦ π
◦
× 2π = ◦
× 2π = radians.
360 360 3
x
2. We need to use the formula × 360◦ .
2π

3π
x 8 3
× 360◦ = × 360◦ = × 360◦ = 67.5◦
2π 2π 16
SOHCAHTOA
Hypotenuse
Opposite
Adjacent
Given our right-angled triangle we start by defining sine, cosine and tangent before reviewing what their
graphs look like.
Note: The angle θ is measured in radians in the following graphs on the x-axis.
Sine Function
We define sine as the ratio of the opposite to the hypotenuse.

Opposite
sin(θ) =
Hypotenuse
The graph of y = sin(θ) is shown below:
The domain of sin(θ) is the set of real numbers (R)

The range of sin(θ) is {y : −1 ≤ y ≤ 1}

20
The sine function has two very useful properties:
sin θ is an odd function, i.e. sin(−θ) = − sin(θ).
sin θ is periodic with period 2π radians, as mentioned in the section on periodicity, ie. sin(θ+2πn) =
sin(θ).
Cosine Function
We define cosine as the ratio of the adjacent to the hypotenuse.

Adjacent
cos(θ) =
Hypotenuse
The graph of y = cos(θ) is shown below:
The domain of cos(θ) is the set of real numbers (R)

The range of cos(θ) is {y : −1 ≤ y ≤ 1}
As with the sine function, the cosine function also has two very useful properties:
cos θ is an even function, i.e. cos(−θ) = cos(θ).
cos θ is periodic with period 2π radians, as mentioned in the section on periodicity, ie. cos(θ+2πn) =
cos(θ).
Tangent Function
We define tangent as the ratio of the opposite to the adjacent.

Opposite
tan(θ) =
Adjacent
sin(θ)
This leads to the relationship tan(θ) = shown below:
cos(θ)

Opposite
Opposite Opposite × Hypotenuse Hypotenuse sin(θ)
tan(θ) = = = =
Adjacent Adjacent × Hypotenuse Adjacent cos(θ)
Hypotenuse
The graph of y = tan(θ) is shown below:

21
The domain of tan(θ) is {θ : θ 6= (2n+1)π
2 , n ∈ Z}
The range of tan(θ) is the set of real numbers (R)
The function tan(θ) has the useful property that it is periodic with period π.
The definitions of sine, cosine and tangent are often more easily remembered by using SOHCAHTOA.
We can use the formulas in SOHCAHTOA to calculate the size of angles and the length of sides in
right-angled triangles.
S
| O{z H } C
| A{z H } T
Opposite
| O
{z A}
sin(θ)= Hypotenuse Adjacent
cos(θ)= Hypotenuse tan(θ)= Opposite
Adjacent
There are some common values of sin(θ), cos(θ) and tan(θ) which are useful to remember, presented in
the table below.
Angle (θ) sin(θ) cos(θ) tan(θ)
0 0 1 0
√ √
π 1 3 3
6 2 2 3
√ √
π 2 2
1
4 2 2
√
π 3 1 √
3
3 2 2
π
1 0 undefined
2
π 0 −1 0

22
Example: Using SOHCAHTOA find the lengths x, y and z in the right-angled triangles below.
30◦ z
3 7
x
π
4
30◦
y 6
Solution: For shorthand H is used to denote the hypotenuse, O the opposite and A the adjacent.
1. We know the length of the hypotenuse and wish to find the opposite hence we need to use
O O 3
sin(θ) = =⇒ sin(30◦ ) = =⇒ O = sin(30◦ ) × 3 =
H 3 2
Note: This question is in degrees.
2. We know the length of the adjacent and wish to find the opposite hence we need to use
√
O ◦ O ◦ 7 3
tan(θ) = =⇒ tan(30 ) = =⇒ O = tan(30 ) × 7 =
A 7 3
Note: This question is in degrees.
3. We know the length of the adjacent and wish to find the hypotenuse hence we need to use
A π 6 6 √
cos(θ) = =⇒ cos = =⇒ H = π = 6 2
H 4 H cos
4
Note: This question is in radians.
Trigonometric Formulae and Identities

A very useful tool in many areas of physics is to be able to simplify and manipulate trigonometric
expressions. There are a number of formulae that can be used to achieve this, however the most important
of these by far is the identity:

cos2 (θ) + sin2 (θ) = 1

This means that for ANY value of θ, the sum of the squares of the sine and cosine functions is ALWAYS
equal to 1. From this identity and the two following formulae, we can derive many useful equations
which can help us to simplify some of the complicated trigonometric expressions that appear in physics.
The following formulae can be proved geometrically. For the sake of interest, here is a link to the proofs.
Two useful identities are:
sin(A ± B) = sin(A) cos(B) ± cos(A) sin(B)
cos(A ± B) = cos(A) cos(B) ∓ sin(A) sin(B)
From these we can show that:
sin(A ± B) sin(A) cos(B) ± cos(A) sin(B)
tan(A ± B) = =
cos(A ± B) cos(A) cos(B) ∓ sin(A) sin(B)
And dividing through by cos(A) cos(B) gives:
tan(A) ± tan(B)
tan(A ± B) =
1 ∓ tan(A) tan(B)
We can also show that if B = A then,

23

sin(2A) = 2 sin(A) cos(A)

And that
cos(A + B) = cos(2A) = cos2 (A) − sin2 (A)
Using cos2 (θ) + sin2 (θ) = 1 we can further show that:

cos(2A) = 1 − 2 sin2 (A) = 2 cos2 (A) − 1

You only need to remember the first three identities, as long as you can derive the rest of the equations
as above.
Reciprocal Trigonometric Functions

As well as the standard trigonometric functions there are functions that are defined by the reciprocals
of these functions:
The Secant function:

1
sec(θ) =
cos(θ)
The domain is {θ : θ 6= (2n+1)π

2 , n ∈ Z}
The range is {y : −1 ≤ y or y ≥ 1}
The period is 2π
The Cosecant function:

1
cosec(θ) =
sin(θ)
The domain is {θ : θ 6= nπ, n ∈ Z}

The range is {y : −1 ≤ y or y ≥ 1}
The period is 2π
The Cotangent function:

1
cot(θ) =
tan(θ)
The domain is {θ : θ 6= nπ, n ∈ Z}

The range is the set of real numbers (R)
The period is π
An easy way to remember which reciprocal function corresponds to each trig function is to look at the
third letter of each function:
sec → cosine.
cosec → sine.
cot → tangent.
From these we can expand the list of identities above, using cos2 (θ) + sin2 (θ) = 1, and dividing through
by cos2 (θ) and sin2 (θ) separately:

24
Dividing through by cos2 (θ) gives
1 + tan2 (θ) = sec2 (θ).
Dividing through by sin2 (θ) gives

1 + cot2 (θ) = cosec2 (θ)
Example:
sin(θ) sec(θ)
1. Simplify
cos2 (θ)
2. Solve tan(θ) + sec2 (θ) = 1.
Solution:
sin(θ) sec(θ) sec(θ)
1. = tan(θ)
cos2 (θ) cos(θ)
= tan(θ) sec2 (θ)
= tan(θ)(tan2 (θ) + 1)
= tan3 (θ) + tan(θ)
2. Using 1 + tan2 (θ) = sec2 (θ) we get:
tan(θ) + tan2 (θ) + 1 = 1
⇒ tan(θ) + tan2 (θ) = 0

⇒ tan(θ) tan(θ) + 1 = 0
⇒ tan(θ) = 0 or tan(θ) = −1
If tan(θ) = 0, θ = nπ where n ∈ Z
π
If tan(θ) = −1, θ = − + nπ where n ∈ Z
4

25
Inverse Trigonometric Functions
We may be given the lengths of two sides of a right-angled triangle and be asked to find the angle θ
between them or be asked to rearrange an equation with a trigonometric function. In order to do these we
need to introduce the inverse trigonometric functions. As the trigonometric functions are ‘one-to-many’
we also need to restrict the ranges of these inverses. The y-axis is measured in radians.
−1 1
Note: We should also remark that whilst sin(θ) = , the notation sin−1 (θ) is not the same
sin(θ)
since it represents the inverse function of sin(θ) such that sin sin−1 (θ) = θ.

The inverse function of sin(x) is sin−1 (x) and can also be denoted as arcsin(x).
Domain: −1 ≤ x ≤ 1
Range: −π
2 ≤y ≤ 2
π
π/2 y
x
−1 0 1
−π/2
The inverse function of cos(x) is cos−1 (x) and can also be denoted as arccos(x).
Domain: −1 ≤ x ≤ 1
Range: 0 ≤ y ≤ π
π y
π/2
x
−1 0 1
The inverse function of tan(x) is tan−1 (x) and can also be denoted as arctan(x).
Domain: x ∈ R
Range: −π
2 <y < 2
π
Asymptotes at y = ± π2
π/2 y
x
−3 −2 −1 0 1 2 3
−π/2
We use the inverse trigonometric functions with SOHCAHTOA to find the values of angles in right-angled
triangles in which two of the lengths of the sides have been given. Suppose we know that:
1
sin(θ) =
2
To find θ we can apply the inverse sine function to both sides of the equation.

26

1
sin−1 (sin(θ)) = sin−1 .
2

−1 1
=⇒ θ = sin .
2
=⇒ θ = 30◦ .

−1 1 ◦ −1 1 π
We can use a calculator to find sin = 30 or sin = radians.
2 2 6
Example: Using SOHCAHTOA find the size of the angles B, C and D in the right-angled
triangles below.
C 11
5 5
3
D
B
6 6
Solution: For shorthand we have used H to denote the hypotenuse, O the opposite and A the
adjacent.
1. We know the length of the hypotenuse and the opposite.

O 3 3
sin(θ) = =⇒ sin(B) = =⇒ B = sin−1 = 36.9◦ or 0.64 radians.
H 5 5
2. We know the length of the adjacent and the opposite.

O 6 6
tan(θ) = =⇒ tan(C) = =⇒ C = tan−1 = 50.2◦ or 0.88 radians.
A 5 5
3. We know the length of the hypotenuse and the adjacent.

A 6 6
cos(θ) = =⇒ cos(D) = =⇒ D = cos−1 = 56.9◦ or 0.99 radians.
H 11 11

27
1.4 Hyperbolics
Basics
Another set of functions which appear often in physics are the hyperbolic functions. They are convenient
combinations of ex and e−x which have some useful properties and even share some properties with the
trigonometric functions. If you are unfamiliar with the functions ex and ln(x), refer to the following
resource for a detailed explanation: Exponential and Logarithmic Functions
The three main hyperbolic functions are:
sinh(x) (pronounced ‘sinch’ or ‘shine’), which can also be written as
ex −e−x
sinh(x) = 2
3 y
2
1
x
−2 −1 0 1 2
−1
−2
−3
cosh(x) (pronounced ‘cosh’), which can also be written as
ex +e−x
cosh(x) = 2
y
5
1
x
−3 −2 −1 0 1 2 3
tanh(x) (pronounced ‘tanch’ or ‘than’), which can also be written as
ex − e−x e2x − 1
tanh(x) = =
ex + e−x e2x + 1
1 y
x
−3 −2 −1 0 1 2 3
−1

28
Some useful properties:
sinh(x) is an odd function
cosh(x) is an even function
tanh(x) is an odd function
tanh(x) has asymptotes at y = ±1
Example:
√
1. Evaluate tanh(ln 3)
2. Solve sinh(x)+ cosh(x) = 2
3. Using the exponential form of cosh(x) show that 2 cosh2 (x) − cosh(2x) = 1
Solution:
1. Using the exponential form of tanh(x):
√
√ e2 ln 3
−1
tanh(ln 3) = √
e2 ln 3 +1
3−1
=
3+1
1
=
2
2. Using the exponential forms we get:
ex − e−x ex + e−x
+ =2
2 2
⇒ ex − e−x + ex + e−x = 4
⇒ 2ex = 4
⇒ ex = 2
⇒ x = ln(2)
3. Using the exponential form of cosh(x) we get:

2 2x
e + e−x e + e−2x
x
2 −
2 2
e2x + 2 + e−2x − e2x − e−2x

≡
2
2
≡ =1
2
Reciprocals and Inverses

Again these functions all have their inverse functions:
√
sinh−1 (x) = arsinh(x) = ln(x + x2 + 1)
arsinh(x) has domain {x : x ≥ 1}
√
cosh−1 (x) = arcosh(x) = ln(x + x2 − 1)
arcosh(x) has domain {x : x ≥ 1}

29
tanh−1 (x) = artanh(x) = 12 ln(1 + x) − 21 ln(1 − x)
artanh(x) has domain {x : −1 < x < 1}
As well as their reciprocal functions:

1
cosech(x) = sinh(x)
1
sech(x) = cosh(x)
1
coth(x) = tanh(x)
Identities
Hyperbolic function identities have very similar forms to the trigonometric identities however there is
one key difference outlined in Osborn’s rule. This rule states that all the identities for the hyperbolic
functions are exactly the same as the trigonometric identities, except whenever a product of two sinh
functions is present we put a minus sign in front. For example if a trigonometric formula involved a
sin2 (x), then the corresponding hyperbolic formula would contain a − sinh2 (x) instead.
sinh(θ)
Remember : tanh(θ) = cosh(θ) so Osborn’s rule applies for a tanh2 (θ) as well!
Trigonometric Hyperbolic
2
cos (θ) + sin (θ) 2
= 1 cosh (x) − sinh2 (x)
2
= 1
sin(A ± B) = sin(A) cos(B) ± cos(A) sin(B) sinh(A ± B) = sinh(A) cosh(B) ± cosh(A) sinh(B)
cos(A ± B) = cos(A) cos(B) ∓ sin(A) sin(B) cosh(A ± B) = cosh(A) cos(B) ∓ sinh(A) sinh(B)
cos(2θ) = 2
cos (θ) − sin (θ) 2
cosh(2θ) = cosh2 (θ) + sinh2 (θ)
sin(2θ) = 2 sin(θ) cos(θ) sinh(2θ) = 2 sinh(θ) cosh(θ)
2
2
1 + tan (θ) = 2
sec (θ) 1 − tanh (θ) = sech2 (θ)
1 + cot2 (θ) = cosec2 (θ) 1 − coth2 (θ) = − cosech2 (θ)

30
Example:
1. Show that tanh2 (x) + sech2 (x) = 1
q
sinh(x) cosh2 (x) − 1
2. Simplify 1 −
cosh2 (x)
Solution:
1. Using the exponential forms we get:
2 2
ex − e−x

2
+
ex + e−x e + e−x
x
e2x − 2 + e−2x 4
= + 2x
e2x + 2 + e−2x e + 2 + e−2x
e2x − 2 + e−2x + 4
=
e2x + 2 + e−2x
e2x + 2 + e−2x
= =1
e2x + 2 + e−2x
q
2. Using cosh2 (x) − sinh2 (x) = 1 we can see that sinh(x) = cosh2 (x) − 1
q
sinh(x) cosh2 (x) − 1 sinh2 (x)
⇒1− = 1 −
cosh2 (x) cosh2 (x)
⇒ 1 − tanh2 (x)
= sech2 (x)

31
1.5 Parametric Equations
We can also express x and y in terms of a parameter t, which gives us two equations; x = f (t) and
y = g(t). We call these parametric equations. For example given the equation:
y = 9x2 + 5
We can convert this to a Parametric form such as:

1
x= t
3
y = t2 + 5
Another trivial parametric form of the same equation is:
x=t
y = 9t2 + 5
There are actually infinitely many ways we can paramaterise each Cartesian equation but some are gen-
erally more useful than others.
In a physical system, it is often useful to represent trajectories of particles in terms of the time, using time
as the parameter. For example we can say that at time t, a particle has velocity v(t) and acceleration a(t).
Example: Parametrise the equation of a unit circle:

x2 + y 2 = 1
Solution: By considering the identity cos2 (θ) + sin2 (θ) = 1, we can parameterise as:
x = cos(t)
y = sin(t)

32
1.6 Polar Coordinates
You will already be familiar with coordinates in the form (x, y) meaning that we move x units in the
x-direction (along the x-axis) and y in the y-direction (along the y-axis). These are Cartesian coordi-
nates on the x, y-plane. Although Cartesian coordinates are very useful, there are sometimes situations
where it is much easier to use another coordinate system called Polar coordinates. These are coordi-
nates in the form (r, θ) where r is the distance to the point from the origin (0, 0) and θ is the angle,
in radians, between the positive x-axis and the line formed by r. This is all shown in the diagram below:
r
y = r sin(θ) θ
x
x = r cos(θ)
So we could represent the above coordinate as (x, y) in Cartesian form or as (r, θ) in Polar form. From
trigonometry and Pythagoras’ theorem there are the following relationships:
x = r cos(θ)
y = r sin(θ)
r = x2 + y 2
p
We can use the formulae above to allow us to convert between Polar and Cartesian coordinates.

−π
Example: 3, is a Polar coordinate. What is the corresponding Cartesian coordinate?
4
−π
Solution: So r = 3 and θ = . So using the formulae above gives:
4 √
−π 3 2
x = r cos(θ) = 3 × cos =
4 2√

−π −3 2
y = r sin(θ) = 3 × sin =
4 2
√ √ !
3 2 −3 2
So our Cartesian coordinate is , .
2 2
Example: (−2, 3) is a Cartesian coordinate. What is the corresponding Polar coordinate?

Solution:
p p write x = −2√and y = 3. Using the formulae above gives:
So we can
r = x2 + y 2 = (−2)2 + 32 = 13
Now we can find θ.
−1 x

−1 −2
x = r cos(θ) ⇒ θ = cos = cos √ = 2.158 · · · = 2.16 radians
r√ 13
So our Polar coordinate is ( 13, 2.16).
It is also very useful to be able to convert from Cartesian equations to Polar equations and vice versa.
We do this by substituting the above relationships into the equation, so that the new equation only
contains terms in x and y, or r and θ. Sometimes it is necessary to first rearrange the relationships to

33
make the substitution easier. For example, some integrals become much easier, and often trivial, once we
change the coordinate systems. It is also much easier to represent a radial field using polar coordinates.
Example:
1. Convert the Cartesian equation 3x2 − x = 12y + 1 into a Polar equation.
2. Convert the Polar equation r = −3 sin(θ) into a Cartesian equation.
Solution:
1. We substitute x = r cos(θ) and y = r sin(θ) into the equation.
3(r cos(θ))2 − (r cos(θ)) = 12(r sin(θ)) + 1
= 3r2 cos2 (θ) − r cos(θ) = 12r sin(θ) + 1

This is now in Polar form, as all the terms are in r or θ and do not contain x or y.
y
2. We rearrange the relationship y = r sin(θ) so that sin(θ) = . We can then rewrite the
r
equation as
y
r = −3
r
Multiplying through by r gives
r2 = −3y
p
Using the relationship r = x2 + y 2 , we can write
x2 + y 2 = −3y
x2 + y 2 + 3y = 0
This is now in Cartesian form, as all the terms are in x or y and do not contain r or θ.

34
1.7 Conics
Standard Equations of Conics
Conic sections are the family of curves obtained by intersecting a cone with a plane. This intersection
can take different forms according to the angle the intersecting plane makes with the side of the cone.
The standard conic sections are the circle, the parabola, the ellipse and the hyperbola. There are also
special cases, such as a point or a line, however these are trivial (sometimes called degenerate) so we
shall not cover them.
Conic Cartesian Equation Parametric Equation

Circle x2 + y 2 = a 2 x = cos(t), y = sin(t)
Parabola x = 4ay 2 x = 4at2 , y = t
x2 y2
Ellipse a2
+ b2
= 1 x = a cos(t), y = b sin(t)
x2 y2
Hyperbola a2
− b2
= 1 x = b tan(t), a sec(t)
In the case of an ellipse with centre at the origin (0,0), we can use that fact that it crosses the x-axis at
±a and crosses the y-axis at ±b. This fact can be extended to ellipses with a centre other than (0,0) by
translating these axes intercepts according to it’s position.
Note: The circle is a special case of the ellipse, when a = b
Translating Conics
In order to translate a conic (or any equation) in the x or y direction, we just have to add or subtract a
number from x or y respectively.
For example, if we wished to translate the conic y = 2x2 from the origin (0, 0) to the point (3, −1)
then we would subtract 3 from x and add 1 to y, ie x → x − 3 and y → y + 1.
This would give the equation (y + 1) = 2(x − 3)2 ⇒ y = 2x2 − 12x + 17.
Remember: To move a distance a in the x-direction, we substitute x = (x − a) into the equation.

To move a distance b in the y-direction, we substitute y = (y + b) into the equation.
Of course if we want to move a distance −a in the x-direction, for example, then we would substitute
x = (x + a) into the equation instead.
Recognising Conics
The general equation of any conic is Ax2 + Bxy + Cy 2 + Dx + Ey + F = 0. When we see an equation
like this we know that it describes a conic, but to find out which conic it describes one has to manipulate
the equation into one of the equations given above. This is helpful in areas such as chaos, as we are

35
often faced with equations that we cannot solve and so we can only extract some of the information.
One method is to sketch a phase plot which is a graph drawn up from the given equation to allow us to
try understand what the equation describes in a physical system. In many cases we can manipulate the
given equation to take the form of a conic.
Example: Determine the conic described by the equation: 4x2 − 8x + 8y2 + 32y + 20 = 0.
Solution: Notice that we can divide the entire equation by 4:
4x2 − 8x − 8y 2 − 32y + 20 = x2 − 2x + 2y 2 + 4y + 5 = 0
The next step is to complete the square for both x and y:
((x − 1)2 − 1) − 2((y + 2)2 − 2 + 5 = 0
⇒ (x − 1)2 − 2(y + 2)2 = 4

(x − 1)2 (y + 2)2
⇒ − =1
4 2
This is a hyperbola with its centre at (1, −2).
Physics Example: A particle’s motion is described by 9x2 + 4v2 + 10x6 = 36, where v is its
velocity and x is its displacement. Describe the motion of the particle for small displacements.
Solution: As the question only asks us to describe the particle’s motion for small displacements,
we can say that x is much less than one, so that x6 ' 0. We can simplify this equation to give
9x2 + 4v 2 − 18x + 8v ' 36 which is in the general form of a conic.
9x2 + 4v 2 = 36
⇒ 9x2 + 4v 2 = 36
x2 v2
⇒ + =1
4 9
√ √
This is an ellipse. Since a = 4 = 2 and b = 9 = 3, we can deduce that the ellipse crosses the
x-axis at x = −1 and x = 3, and crosses the v-axis at v = −4 and v = 2.
Physically, this situation describes Simple Harmonic Motion.

36
1.8 Review Questions
Easy Questions
Question 1: If
f (x) = 3x2 + 2
and
g(x) = cos(4x)
find g ◦ f (x) and f ◦ g(x).
Answer:
g ◦ f (x) = cos(12x2 + 8)
f ◦ g(x) = 3 cos2 (4x) + 2
Question 2: Find the inverse of the function f (x) if

2
sec 3 (x)
f (x) = .
4
Answer:
3
f −1 (x) = sec−1 (8x 2 )
Question 3: Let
2
f (x) = e−x cos(x)
is f (x) even or odd?
Answer:
f (x) is an even function.
Question 4: What is the period of the functions

1. cos(4x + 2)
2. tan(3x)
3. sin 4x

5
Answer:
π
1.
2
π
2.
3
5π
3.
2
Question 5: Combine the parametric equations

y = 3t2 + 7
x = 4t + 1
to give y as a function of x.
Answer:
3x2 3x
y= − + 10
16 2

37
Medium Questions
Question 6: Solve the inequality

|x + 2| + 3 ≥ 4x
Answer:
5
x≤
3
Question 7: Use the definitions of the hyperbolic functions to prove that

sinh(2x) = 2 sinh(x) cosh(x)
Question 8: Prove that

(sec θ − cosec θ)(1 + tan θ + cot θ) = tan θ sec θ − cot θ cosec θ
5
Question 9: The eccentricity of a hyperbola with center (0, 0) and focus (5, 0) is . What is
3
the standard equation for the hyperbola?
Answer: The planes intersect on the line
x2 y2
− =1
9 16
Question 10: What is the eccentricity of the ellipse 81x2 + y2 − 324x − 6y + 252 = 0?
Answer: √
80
9
Hard Questions
Question 11: Sketch the curve √

y= 3x + 1.
Answer:
y
x
g
−1 0 1 2 3

38
f
Question 13: Shetch the graph of the function

f (x) = e−x+1 (x + 1)2 .
7
y
x
−1 0 1 2 3 4 5 6 7 8 9 10
Answer:
Question 12: Convert the polar equation

r = −8 cos θ
into cartesian coordinates.

Answer: p
y= −8x − x2

39
2 Complex Numbers
2.1 Imaginary Numbers
Imaginary numbers allow us to find an answer to the question ‘what is the square root of a negative
number?’ We define i to be the square root of minus one.
√
i = −1

We find the other square roots of a negative number say −x as follows:
√ √ √ √ √
−x = x × −1 = x × −1 = x × i

Example: Simplify the following roots:

√
1. −9
√
2. −13
Solution:
√ √ √ √
1. −9 = 9 × −1 = 9 × −1 = 3i
√ √ √ √ √
2. −13 = 13 × −1 = 13 × −1 = 13 i
2.2 Complex Numbers

A complex number is a number z that has both a real and an imaginary component. They can be written
in the form:

z
= a + bi
√
where a and b are real numbers and i = −1.
a is the real part of z we denote this Re(z) = a.

b is the imaginary part of z we denote this Im(z) = b.
z ∗ = a − bi is called the complex conjugate of z = a + bi. To find the complex conjugate, we just
replace ‘i’ with ‘−i’. (Note that some books will use z̄ to represent a complex conjugate, rather
than z ∗ )
Just as there is a number line for real numbers, we can draw complex numbers on an x, y axis called
an Argand diagram with imaginary numbers on the y-axis and real numbers on the x-axis. Below is a
sketch of 2 + 3i on the Argand diagram below.
Im(z)
3i 2 + 3i
2i
1i
−3 −2 −1 1 2 3 Re(z)
−1i
−2i
−3i

40
Example: Find the imaginary and real parts of the following complex numbers along with their
complex conjugates.
1. z = −3 + 5i
√
2. z = 1 − 2 3 i
3. z = i
Solution:
1. For z = −3 + 5i we obtain Re(z) = −3, Im(z) = 5 and z ∗ = −3 − 5i

√ √ √
2. For z = 1 + 2 3 i we obtain Re(z) = 1, Im(z) = −2 3 and z ∗ = 1 + 2 3 i
3. For z = i we obtain Re(z) = 0, Im(z) = 1 and z ∗ = −i
Different Forms for Complex Numbers

When a complex number z is in the form z = a + bi we say it is written in Cartesian form. We can also
write complex numbers in:
Modulus-Argument (or Polar) form: z = r(cos(φ) + i sin(φ))
Exponential form: z = reiφ
where the magnitude |z| (or modulus) of z is the length r. The reason for this is due to Euler’s Formula
which is presented below.
√
|z| = r = a2 + b2

and the argument of z is the angle φ (this must be in radians).

−1 b
arg(z) = φ = tan
a

This argument φ is usually between −π and π. Expressed mathematically this is −π < φ ≤ π. It is very
important that we check which quadrant of the Argand diagram our complex number lies in however,
since the above formula calculates the angle from the appropriate side of the x-axis whereas we usually
want the angle from the positive x-axis.
1. If z is in the first quadrant (+x, +y) then arg(z) is simply φ.

2. If z is in the second quadrant (−x, +y) then arg(z) = π − |φ|.
3. If z is in the third quadrant (+x, −y) then arg(z) is simply φ.
4. If z is in the fourth quadrant (−x, −y) then arg(z) = |φ| − π.
We can see on an Argand diagram the relationship between the different forms for representing a complex
number.

41
Im(z)
3i 2 + 3i
2i r
b
1i
φ
−3 −2 −1 1 2 3 Re(z)
a
−1i
−2i
−3i

42
Example: Find the modulus and argument of the following complex numbers:
1. 3 + 3i
2. −4 + 3i
3. −3 + 3i
4. −3i
5. 4
Solution:
√ √

3 π
1. For 3 + 3i we obtain |z| = 32 + 32 = 18 and φ = tan−1 = radians. Since z is in
3 4
π
the first quadrant, arg(z) = φ = radians.
4

p 3
2. For −4 + 3i we obtain |z| = (−4)2 + (3)2 = 5 and φ = tan−1 = −0.64 radians. But
−4
z is in the second quadrant so arg(z) = π − |φ| = 2.5 radians
√

p −3 π
3. For −3 − 3i we obtain |z| = (−3)2 + (−3)2 = 18 and φ = tan−1 = radians.
−3 4
π 3π
Since z is in the fourth quadrant, arg(z) = |φ| − π = − π = − radians.
4 4

p
2 2 −1 −3
4. For −3i we obtain |z| = 0 + (−3) = 3 and arg(z) = tan
0
This calculation does not make sense since we can’t divide by zero. However from plotting
π
−3i on an Argand diagram the argument is clearly arg(z) = − radians. We could use the
2
fact that we are essentially solving 0 = r cos(φ) and −3 = sin(φ) simultaneously.
Im(z)
3i
2i
1i
−3 −2 −1 1 2 3 Re(z)
−1i
−2i
−3i
0 − 3i
√

0
5. For 4 we obtain |z| = 42 + 02 = 4 and arg(z) = tan−1 = 0 radians.
4
Example: Express 4 − 5i in modulus-argument form and exponential form.

Solution: First we need to find the modulus and argument.
√

p
2 2 −1 −5
|z| = r = 4 + (−5) = 41 and arg(z) = φ = tan = −0.90 radians
4 √
So in modulus-argument form r(cos(φ)√ + i sin(φ)) we obtain 41(cos(−0.90) + i sin(−0.90)).
In exponential form reiφ we obtain 41e−0.90 i .

43
De Moivre’s Theorem
An important theorem when using complex numbers is De Moivre’s Theorem, which provides a formula
for calculating powers of complex numbers. The theorem states that when a complex number, z, in
the modulus-argument form, i.e. z = r(cos φ + i sin φ) is raised to the power n, where n ∈ N, we can
rearrange the expression by bringing the modulus to the power n and multiplying the argument by the
power n:
z = r(cos φ + i sin φ)
⇒ z n = rn (cos nφ + i sin nφ)

This also holds when the complex number is in exponential form:
z = reiφ
⇒ z n = rn einφ
Example: Using De Moivre’s Theorem, show that cos(2φ) = 2 cos2 (φ) − 1.

Solution: Notice Re(cos(2φ) + i sin(2φ)) = cos(2φ).
By De Moivre’s Theorem,
cos(2φ) + i sin(2φ) = (cos φ + i sin φ)2
= cos2 φ + i sin φ cos φ + i2 sin2 φ

The real part of this is cos2 φ − sin2 φ (as i2 = −1).
∴ cos(2φ) = cos2 φ − 1 + cos2 φ
= 2 cos2 φ − 1
Euler’s Formula
We saw in the Hyperbolics section that we can write hyperbolic functions in terms of exponentials.
There is a parallel to this involving the trigonometric functions, however we needed to understand com-
plex numbers first.
To determine these formulae, we begin with Euler’s formula:
eiθ = cos(θ) + i sin(θ)
If we substitute −θ instead of θ we get:
e−iθ = cos(θ) − i sin(θ)
since sin(θ) is an odd function and cos(θ) is an even function.
Now we can compute

eiθ + e−iθ = 2 cos(θ)
and hence,
1 iθ
cos(θ) = (e + e−iθ )
2
Similarly for sine, remembering the factor of i, we can write:
1 iθ
sin(θ) = (e − e−iθ )
2i

44
Arithmetic of Complex Numbers
If we are given two complex numbers a + bi and c + di then the following rules for the arithmetic of
complex numbers apply:
1. Addition: (a + bi) + (c + di) = (a + c) + (b + d)i

Add the real parts and add the complex parts separately.
2. Subtraction: (a + bi) − (c + di) = (a − c) + (b − d)i
Same as addition but with subtraction.
3. Multiplication: (a + bi)(c + di) = (ac − bd) + (ad + bc)i
Treat it as two sets of brackets and multiply out as normal. Then collect the real terms and
imaginary terms. Remember that i2 = −1.
a + bi ac + bd bc − ad
4. Division: = 2 + 2 i
c + di c + d2 c + d2
Multiply the numerator and denominator by the conjugate of the denominator. This makes the
denominator a real number and the numerator the multiplication of two complex numbers.
Example: Find the following:

1. (2 + i) + (1 − i)
2. (−4 − 4i) − (−5i)
3. (1 + i)(2 − 3i)
1−i
4.
2 + 3i
Solution:
1. (2 + i) + (1 − i) = (2 + 1) + (1 − 1)i = 3
2. (−4 − 4i) − (−5i) = (−4 − 0) + (−4 − (−5))i = −4 + i

3. (1 + i)(2 − 3i) = ((1 × 2) − (1 × −3)) + ((1 × −3) + (1 × 2))i = 5 − i
1−i (1 × 2) + (−1 × 3) (−1 × 2) − (1 × 3) −1 5
4. = + i= − i
2 + 3i 22 + 32 22 + 32 13 13
Physics Example: A particle is described by a wavefunction Ψ. To calculate the probability

of finding this particle in a particular region, ΨΨ∗ needs to be calculated. When Ψ is in the form:
Ψ = a + bi
calculate ΨΨ∗ .
Solution: Since Ψ = a + bi, this means that Ψ∗ = a − bi. Multiplying them together gives:
ΨΨ∗ = (a + bi)(a − bi) Expand the brackets
2 2
= a + abi − abi − (bi) Simplify this
= a2 − b2 i2 Simplify the i2
= a2 + b2
Note: a2 + b2 is also r2 if the complex number was in polar or exponential form. Since r is called
the modulus, ΨΨ∗ is often called the mod-squared distribution since it produces the modulus
squared.

45
2.3 Applications of Complex Numbers
nth Roots of Unity
An nth root of unity, where n is a positive integer, is a complex number z = a + bi such that
zn = 1
Before meeting complex numbers, the only solution to this equation that we could obtain is z = 1 (and
z = −1 if n is even). Now that we can apply complex numbers to this situation, we see that there are
actually n roots to this equation, however 1 is the only real root (in the case of an even n we have two
real roots z = ±1). In order to work out the other roots, we must apply de Moivre’s Theorem.
Example: Find all the solutions of the equation z 3 = 1.

Solution: Begin by writing z in exponential form
z 3 = (reiφ )3
= r3 e3iφ
Now, since z = 1 is clearly one of the solutions, we know that the modulus of z is 1. The reason
for this is that r ≥ 1 and r3 = 1 so r = 1. A consequence of this is that the roots all lie on a
circle of radius 1. We also know that 1 can be written as 1ei(2πk) , where k = 0, ±1, ±2.... Thus
the equation reduces to
e3iφ = ei(2πk)
By comparing the indices we can say that
3iφ = 2πki
2π
⇒φ= k
3
Therefore r = 1 and φ = 0, ± 2π 4π
3 , ± 3 ...
Then
2π 2π 4π 4π
z = 1, ei 3 , e−i 3 , ei 3 , e−i 3 , ...
Finally, by thinking of these positions on a circle, note that

4π 2π
ei 3 = e−i 3
and similarly for other combinations of solutions. This leaves us with the three distinct solutions:
2π 2π
z = 1, ei 3 , e−i 3
Note: For z n = 1, we will always get n complex roots. It is also possible to apply this method to
complex numbers other than 1.
We can extend this technique to find roots of any complex number.

46
Example: Find all the solutions of the equation z 2 = 2i.
Solution: If we write this in modulus argument form we get

π π
z 2 = 2i = 2 cos + i sin
2 2
As sin(x) and cos(x) are periodic functions with a period of 2π it is true to say

π π
z 2 = 2i = 2 cos + 2πk + i sin + 2πk
2 2
By de Moivre’s theorem we know

√

π π
z= 2 cos πk + i sin + πk
4 4
At k = 0 we have the solution

√

π π
z= 2 cos + i sin
4 4
At k = −1 we obtain
√

−3π −3π
z= 2 cos + i sin
4 4
These are our solutions.
Note: As we had z 2 , we have two solutions. The reason for the k values used above is
that they give arguments in the range −π < θ ≤ π, which is the range for the principle
argument for complex numbers. With other values of k we would obtain either of the solutions
we had already achieved but with an argument out of the principle argument range.
Polynomials with Real Coefficients

We can use what we know about complex numbers and their complex conjugates to help us solve poly-
nomial equations with real coefficients that we could not previously solve.
When using the quadratic formula:

√
−b ± b2 − 4ac
2a
we would not have known what to do if b2 − 4ac was negative, however now we are able to solve this
square root using imaginary numbers.
Example: Solve the equation x2 + 3x + 12 using the quadratic formula

Solution: So a = 1, b = 3 and c = 12 so the quadratic formula gives:
√ √
−b ± b2 − 4ac −3 ± 32 − 4 × 1 × 12
=
2a 2×1
√
−3 ± −39
=
2
√
−3 ± i 39
=
2
√ √
−3 + i 39 −3 − i 39
This gives us x = and x = .
2 2
Note: The two roots are complex conjugates of each other.

47
The above example shows that we obtain two complex roots which are complex conjugates of each
other. In fact, if we obtain a complex root for any polynomial equation with real coefficients, the
complex conjugate of this root is always another root of the polynomial. This means that the roots of a
polynomial with real coefficients are either real numbers, pairs of complex conjugates, or a combination
of these. No polynomial with real coefficients has just one single complex root; they always come in
pairs.
Quadratic Equations with Complex Coefficients

When dealing with a quadratic equation with complex coefficients, the best way to approach solving the
equation is to complete the square.
Example: Given that the square roots of 3 + 4i are given by 2 − i and −2 + i, solve the equation
z 2 + (4 + 6i)z − 8 + 16i = 0 by completing the square.
Solution: By completing the square we obtain
2
z + (2 + 3i) − (2 + 3i)2 − 8 + 16i = 0
2
z + (2 + 3i) − 3 − 4i = 0
2
z + (2 + 3i) = 3 + 4i
As we are given the square roots of 3 + 4i it is clear to see that
z + (2 + 3i) = 2 − i
z = −4i
OR
z + (2 + 3i) = −2 + i
z = −4 − 2i
Phasors
Using the idea that a complex number can be written in the form Aeix allows us to understand phasors,
which can simplify mathematical tasks we face in physics, particularly in optics and AC circuits.
Consider Aeix and replace the x with ωt, Aeiωt , where ω is an angular frequency, this allows us to model
the complex number as a vector spinning around an origin. To understand this, think about plotting
Aeix on an Argand diagram. Now if x is time dependent, the angle to the real axis will also be time
dependent and this angle will increase as time moves forward but the magnitude of the complex number
2π
will stay constant. i.e. the complex number will spin about the origin. Since ω = , where T is the
T
time period, we can say that t = T corresponds to one spin of the phasor as:
2π
Aeiωt = Aei T t = Aei2π
The idea of phasors makes addition of sinusoidal functions a simple task as the real part of the complex
number on the phasor at any t value of Aeiωt−θ is completely equivalent to the value of A cos(ωt − θ) at
the same point. Here is an animated picture that shows this. Since we model the complex number as a
spinning vector, when adding more than one function together on a phasor we use vector addition. Here
is an animated picture that shows how why adding the complex numbers like vectors on a phasor works.

48
Example: Simplify:
cos(ωt + 30) + cos(ωt + 150) + cos(ωt − 90)
1. By trigonometric identities
2. By use of phasors
Solution:
1. Using that cos(A + B) = cos(A) cos(B) − sin(A) sin(B) we obtain
cos(ωt) cos(30) − sin(ωt) sin(30) + cos(ωt) cos(150)−
sin(ωt) sin(150) + cos(ωt) cos(−90) − sin(ωt) sin(−90)

This is equivalent to:
√ √
3 3 1 1
− + 0 cos(ωt) + − − + 1 sin(ωt) = 0
3 3 2 2
2. Using phasors we can simply write:
e30i + e150i + e−90i = 0
Think about the Argand diagram; we end on a purely imaginary number and as we only
consider the real part of the phasor, the answer must be zero.

49
Easy Questions
Question 1: Simplify the following roots:

√
1. −101
√
2. −256
Answer:
√
1. 101i
2. 16i
Question 2: Find the complex conjugate of the following complex numbers:

1. z = 2 − 3i
2. z = 3
Answer:
1. z ∗ = 2 + 3i
2. z ∗ = 3
Question 3: Let z = 4 − 2i and w = 7 + i. Evaluate the following:

1. z + w
2. w − z ∗
3. w∗ z
Answer:
1. 11 − i
2. 3 + i
3. 26 − 28i
Question 4: Simplify
5+i
z=
2 + 3i
Answer:
z =1−i
Question 5: Sketch the following complex numbers on an Argand diagram:

1. z = 1 + 5i
2. w = −2 + 4i

50
Medium Questions
Question 6: Write the following complex numbers in modulus argument form:

√
1. z = 1 − 3
√
3 3
2. w = − + i
2 2
Answer:
1. z = 2(cos(− π3 ) + i sin(− π3 )
√
2. w = 3(cos( 5π 5π
6 ) + i sin( 6 )
Question 7: Write the following complex numbers in exponential form:

√
1. z = −2 − 2 3i
√ √
2 2
2. w = + i
2 2
Answer:
2π
1. z = 4e− 3 i
π
2. w = e 4 i
Question 8: If π
z = 3e 3 i
find z 2 and z 3 in the form a + bi.
Answer: √
2 9 3
z = + i
2 2
z 3 = −27
Hard Questions
Question 9: Find, in exponential form, all the solutions of the equation

z5 = 1
Answer:
z=1
2π
z=e 5 i
4π
z=e 5 i
2π
z = e− 5 i
4π
z = e− 5 i

51
Question 10: Find, in exponential form, all the fourth roots of the complex number
√
z = −2 + 2 3i
Answer: √ π
z= 2e 6 i
√ 2π
z= 2e 3 i
√ π
z= 2e− 3 i
√ 5π
z= 2e− 6 i
Question 11: Given that z = −3 + 2i is a root of the equation

z 4 + 5z 3 + z 2 − 49z − 78
factorise the polynomial in terms of real factors.

Answer:
(z 2 + 6z + 13)(z + 2)(z − 3) = 0

52
3 Matrices
3.1 Introduction to Matrices
A matrix is defined as an array of numbers such as:

3 1 8
0 −4 5
Matrices come in different sizes. We write the size of the matrix as ‘rows × columns’. So the matrix
above is a 2 × 3 matrix.
We use capital letters such as A or B to denote matrices. (Often you will see matrices denoted as
a capital letter with double underlining, e.g. A)
The numbers contained in a matrix are known as matrix elements. They are denoted aij where i
represents the row and j the column in which the element is in. For example in the above matrix
a11 = 3 and a23 = 5.
Matrices with an equal number of rows and columns are called square matrices. For example the
2 × 2 matrix below:

1 −1
0 1
Note: Ordinary scalar numbers such as 14 can be considered as 1×1 matrices, e.g. (14).
Example: For the matrices below find the size of the matrix and the value of a21 and a33 if
possible.
 
4 5 6
1 2 3
1. A = 
4 5

6
1 2 3
 
1
2. B =  −1 
40
 
a b c
3. C =  e d f
g h i
Solution:
1. The matrix A has 4 rows and 3 columns, hence is a 4 × 3 matrix. Here a21 = 1 and a33 = 6.
2. The matrix B has 3 rows and 1 column, hence is a 3 × 1 matrix. Here a21 = −1 and a33
does not exist as this is a 3 × 1 matrix.
3. The matrix C has 3 rows and 3 columns, hence it is a 3 × 3 matrix (also a square matrix).
Here a21 = d and a33 = i
Matrices are an excellent way of expressing large amounts of information or data in a small space.

53
3.2 Matrix Algebra
Addition and Subtraction
Matrices can only be added or subtracted if they are of the same size. Suppose we are given the 2 × 2
matrices below:

a11 a12 b11 b12
A= and B =
a21 a22 b21 b22
Then their sum is found by adding together corresponding matrix elements:

a11 a12 b b a11 + b11 a12 + b12
A+B = + 11 12 =
a21 a22 b21 b22 a21 + b21 a22 + b22

Subtraction works in exactly the same way:

a11 a12 b b12 a11 − b11 a12 − b12
A−B = − 11 =
a21 a22 b21 b22 a21 − b21 a22 − b22

In general if we are adding or subtracting two m × n matrices:
     
a11 a12 · · · a1n b11 b12 · · · b1n a11 ± b11 a12 ± b12 ··· a1n ± b1n
 a21 a22 · · · a2n   b21 b22 · · · b2n   a21 ± b21 a22 ± b22 ··· a2n ± b2n 
..  ±  .. ..  = 
     
 .. .. .. .. .. .. .. .. .. 
 . . . .   . . . .   . . . . 
am1 am2 · · · amn bm1 bm2 ··· bmn am1 ± bm1 am2 ± bm2 ··· amn ± bmn
Note: Matrix addition and subtraction are commutative e.g. A + B = B + A.
Example: Calculate the following:

1 1 −1 4
1. +
4 0 2 −3
   
10 −3
2. −3 −  2 
0 0
 
−9 0 1
9
3. +  13 13 0
−2
9 0 9
Solution:

1 1 −1 4 1 + (−1) 1+4 0 5
1. + = =
4 0 2 −3 4+2 0 + (−3) 6 −3
       
10 −3 10 − (−3) 13
2. −3 −  2  =  −3 − 2  = −5
0 0 0−0 0
3. We can not add these matrices as they are of different sizes!

54
Multiplication by a Constant
The simplest form of multiplication is where we multiply a matrix by a constant or scalar. We show
the rule on a 2 × 2 matrix but it follows in the same way for any sized matrix we simply multiply every
element by the scalar.

a b λa λb
λA = λ =
c d λc λd

Example: Find the following:

−1 2
1. 2
0 4
√
 
−9 0 3
3
2. 12 12 0
3
3 0 3
Solution:

−1 2 −1 × 2 2 × 2 −2 4
1. 2 = =
0 4 0×2 4×2 0 8
 √ √ √   √ √ 
√ −9 × √33 0 × √ 3
3× 3
 
−9 0 3 3 √3 
−3√ 3 0
√ 3
3 3 3 3
2. 12 12 0 =  12 × 3 12 × 0× =  4√ 3 4 3 0

√
 
3 √ √3 √3

3 0 3 3× 3 3
0× 3 3
3× 3 3 0 3
3
Matrix Multiplication
Suppose we want to find the product AB of the matrices A and B. Then:
The number of columns of A must be equal to the number of rows of B.
The product matrix has the same number of rows as A and the same number of columns as B.
Below is the rule for find the product of two 2 × 2 matrices:

a11 a12 b11 b12 a11 b11 + a12 b21 a11 b12 + a12 b22
AB = =
a21 a22 b21 b22 a21 b11 + a22 b21 a21 b12 + a22 b22

In general if we want to find the product AB of a m × l matrix A and k × n matrix B:
   
a11 a12 · · · a1l b11 b12 · · · b1n
 a21 a22 · · · a2l  b21 b22 · · · b2n 
A= . ..  and B =  ..
   
.. .. .. .. .. 
 .. . . .   . . . . 
am1 am2 · · · aml bk1 bk2 ··· bkn
 
c11 c12 ··· c1n
 c21 c22 ··· c2n 
so that AB =  .
 
.. .. .. 
 .. . . . 
cm1 cm2 ··· cmn
We calculate cij to be the scalar product of row i from the first matrix and column j from the second
matrix. (The scalar dot product will be covered more extensively in the section on ‘Vectors’.)

55
Example: Find the following products:

1 0 3 1
1.
2 1 2 1

10 2 2 −5 −3
2.
8 −1 4 2 2
Solution:
1. As we are multiplying a 2 × 2 matrix by another 2 × 2 matrix the product matrix will also
be a 2 × 2 matrix in the form below:

a11 a12
a21 a22
We now calculate the elements of the product matrix above:

To find a11 we take the dot product of row 1 and column 1:

1 3
a11 = • =1×3+0×2=3
0 2

1 1
a12 = • =1×1+0×1=1
0 1

2 3
a21 = • =2×3+1×2=8
1 2

2 1
a22 = • =2×1+1×1=3
1 1

1 0 3 1 3 1
=
2 1 2 1 8 3
2. The number of columns of the matrix on the left does not equal to the number of rows of
the matrix on the right hence this product can not be found!
Note: Matrix multiplication is NOT commutative i.e. in general AB 6= BA
Example:

1 1 −1 4 1 1 15 −1
Let A = and B = Then AB = and BA = This shows
4 0 2 −3 −4 16 −10 2
that matrix multiplication is not commutative as AB 6= BA.

56
3.3 The Identity Matrix, Determinant and Inverse of a Matrix
The Identity Matrix
The Identity Matrix (or Unit Matrix) is a square matrix which is denoted I and has ‘1’ along the leading
diagonal (from top left to bottom right) with ‘0’ in all other positions.
The 2 × 2 identity matrix is:

1 0
I2 =
0 1
The 3 × 3 identity matrix is:
 
1 0 0
I3 = 0 1 0
0 0 1
In general the n × n identity matrix is:
 
1 0 ··· 0
0 1 ··· 0
In =  . .
 
.. .. 
 .. .. . .
0 0 ··· 1
The Identity matrix has the property that when multiplied with another matrix it leaves the other matrix
unchanged:

AI = A = IA
Example:

3 4 1 0 3 4 1 0 3 4
= =
8 9 0 1 8 9 0 1 8 9
Transpose of a Matrix
The transpose of a matrix is denoted AT and is obtained by interchanging the rows and columns of the
matrix. Visually, we may visualise this as ’reflecting’ elements about the leading diagonal. The rule for
a 3 × 3 matrix A is:
'  $
a b c
A = d e f 
g h i
 
a d g
T
A = b
 e h
c f i
& %
Note: This formula can be extended to any square matrix.
Example: For the matrix A below find AT .

 
3 4 7
A = 8 9 11
1 2 6
Solution:
 
3 8 1
A−T = 4 9 2
7 11 6

57
Determinant of a Square Matrix
The determinant of a square matrix is denoted |A| or ‘det(A)’. To find the determinant of a 2 × 2 matrix,
A, the following formula applies:

a b
For A = the determinant is |A| = ad − bc
c d

There exist more complicated methods for finding the determinants of 3×3 matrices and square matrices
of larger size. The first method shown below uses definitions and a provides more formal, general
approach, whereas the second method gives a very practical procedure which can be followed in almost
any case.
Method 1 (Formal):
First we will require some definitions:
The (i, j)-minor of a matrix A is the determinant of the submatrix obtained by deleting the ith
row and jth column of A. We denote this submatrix as Mij (A).
The (i, j)-cofactor of a matrix A is the matrix Cij (A) = (−1)i+j Mij (A).
Now, in order to calculate the determinant of an n × n matrix, we calculate:

det(A) = a11 C11 (A) + a12 C12 (A) + a13 C13 (A) + ... + a1n C1n (A)

This is the formal explanation of how to calculate a determinant, however we can explain this in a less
technical way.
Method 2 (Informal):
If we have a 3 × 3 matrix:  
a b c
A = d e f
g h i
we can write the above formula in a more practical way:

a b c
e f d f d e
det(A) = d e f =a −b +c
h i g i g h
g h i

This formula is obtained by working along the top row of the matrix and, for each element, following
this procedure:
1. Check the matrix of signs:  
+ − + ···
− + − · · ·
 
+ − + · · ·
.. .. ..
 
..
. . . .
and write down the sign that corresponds to the position of our element.
2. Write down the element we are considering.
3. Cover up the row and column containing the element.

4. Calculate the determinant for the submatrix of elements that are not covered up and multiply our
element by this determinant.
5. Move along the row to the next element and repeat steps 1-4.
We can also produce other formulae by completing the above procedure on different rows and columns,
however only one formula is adequate. In addition, this approach can be very easily extended to n × n
matrices.

58
Two useful definitions are as follows:
A matrix whose determinant is zero (|A| = 0) is said to be singular.

A matrix whose determinant is non-zero (|A| =
6 0) is said to be non-singular.
Example: Find the determinant of the matrix A:

1 −4
A=
2 5
Solution:
1 −4
|A| = = (1 × 5) − (−4 × 2) = 13
2 5
Note: The matrix A is non-singular.
Example: Find the determinant of the matrix B:

 
6 3 2
B = 9 11 −3
7 8 4
Solution:
11 3 9 3 9 11
det(B) = 6 −3 +2
8 4 7 4 7 8

= 6 1 × 4 − (−3) × 8 − 3 9 × 4 − (−3) × 7 + 2 9 × 8 − 11 × 7
= 408 − 171 − 10
= 227
Note: The matrix B is non-singular.
Inverse of a Matrix
Only non-singular matrices have an inverse matrix. The inverse of a matrix A is denoted A−1 and has
the following property:

−1 −1
AA = A A = I
To find the inverse of a 2 × 2 matrix A we have the following formula:

a b −1 1 d −b
A= A =
c d |A| −c a
where |A| = ad − bc 6= 0

Note: There exists more complicated methods for finding the inverses of 3 × 3 matrices and square
matrices of larger size, which we will not discuss here.
Example: Find the inverse A−1 of the matrix A.

1 −4
A=
2 5
Solution: From the previous example on determinants we know that |A| = 13. So the inverse of A
is:
!
5 4
1 5 4 13 13
A−1 = =
13 −2 1 2
− 13 1
13

59
Easy Questions
In this section we will let  
1 3 5
A = 3 −9 12
4 4 1
 
5 5 5
B = 16 −4 −8
7 0 0
Question 1: Find A + B and B − A.

Answer:  
6 8 10
A + B = 19 −13 4 
11 4 1
 
−4 −2 0
B − A = −13 −5 20
−3 4 1
Question 2: Show that AB 6= BA.
Question 3: What is 4 × A.
Answer:  
4 12 20
4A = 12 −36 48
16 16 4
Question 4: What matrix X, when multiplied by A, gives A, i.e.

XA = A
Question 5: Find AB T .
Answer:  
45 −36 7
AB T = 30 −12 21
45 40 28
Medium Questions
In this section we will let
5 3
A=
1 0

3 9
B=
1 −5
 
7 −6 7
C = 0 −2 1
4 0 8

60
Question 6: Find the inverse of B.
Answer:
5 3

−1 24 8
B = 1
24 − 18
Question 7: Find the determinant of C.

Answer:
det(C)= −80
Question 8: Find X such that AX = B.

Answer:
1 −5
X= 1 34
3 3

61
4 Vectors
4.1 Introduction to Vectors
When describing some quantities, just a number and units aren’t enough. Say we are navigating a ship
across the ocean and we are told that the port is 5km away but we don’t know in which direction we
have to sail. 5km due east would give us all the information that we need. This is an example of a
vector, a quantity that has magnitude and direction.
Some physics related vector quantities are velocity, force, acceleration, linear and angular momen-
tum and electric and magnetic fields.
Quantities that have just a magnitude are scalars. Examples of these are temperature, mass and
speed.
Notation: To distinguish vectors from scalars we write them with a line underneath, e.g. F is used as
the symbol for a force vector. We can also write them in bold type, e.g. F, or with an arrow above, e.g.
F~ . In addition to this, if we want to specify a vector a from the point A to the point B, we can write
a = AB.~ Using this notation, a vector p from the origin to the point P would be p = OP ~ .
Vectors in 2-D Space

A vector in 2-D space can be written as a combination of 2 base vectors, i being a horizontal vector (in
the x direction) and j being a vertical vector (in the y direction). They are both unit vectors meaning
that their length (magnitude) is 1. For an example the vector v = 2i + 3j is shown below:
v
2
1
j
−2 −1 i 1 2 3
−1
−2
Note: The vector v above also describes all vectors that move 2 i units and 3 j units, they don’t have
to start at the origin. All the vectors in the graph below are exactly the same:
4
v
3
v
i 2
1
j j
−4 −3 −2 −1 i 1 2 3 4
−1
v
−2
−3 i
j
−4
Writing a general 2-D vector u as a combination of the unit vectors would give:

62

u = ai + bj
Where a and b are real numbers

However, if we wish to specify a single point in space then we can use position vectors which always start
~ .
at the origin, for example p = OP
Vectors in 3-D Space

Any vector in 3-D space can be written as a combination of 3 base vectors; i, j and k, each being the
unit vector in the x, y and z directions. Below is a diagram of the 3 axes with their respective unit
vectors:
y
j
i
x
k
z
Writing a general vector v as a combination of the unit vectors would give:

v = ai + bj + ck
Where a, b and c are real numbers

Representation of Vectors
A vector v can be written in the following forms:
1. Unit vector notation:

v = ai + bj + ck

The vector is displayed as the clear sum of it’s base vectors. In 3-D space those are the i, j and k
vectors.
2. Ordered set notation:

v = (a, b, c)

The vector is in the same form as unit vector notation (a, b and c are the same numbers) but it is
more compact.
3. Column notation:
 
a
v =b
c

This is identical to ordered set notation apart from it being vertical. This form makes some
calculations easier to visualise, such as the dot product.

4
For example, the 2-D vector u shown below can be written as u = 4i + 3j or u = (4, 3) or u =
3

63
3
2 u
1
−1 0 1 2 3 4
−1
Magnitude of Vectors
If we know the lengths of each of the component vectors we can find the length (or magnitude) of the
vector using Pythagoras:

For a vector v = ai + bj + ck
√
Magnitude of v = | v | = a2 + b2 + c2

√ √ √
For vector u = 4i + 3j above we can calculate the magnitude | u | to be 42 + 32 = 16 + 9 = 25 = 5
Example: Find the magnitude of the following vectors:

1. (2, 6, 3)
2. i + 7j + 4k
√ 
√2
3.  2 
0
Solution:
√ √ √
1. | (2, 6, 3) | = 22 + 62 + 32 = 4 + 36 + 9 = 49 = 7
√ √ √
2. |i + 7j + 4k | = 12 + 72 + 42 = 1 + 49 + 16 = 66
√ 
√2 √ 2 √ 2 √ √
q
3.  2  = 2 + 2 = 2+2= 4=2
0
Physics Example: A particle is moving with a velocity v of 20i − 15j ms−1 . What is it’s
speed?
Solution: Since speed is the magnitude of velocity, we take the magnitude of the velocity vector.
This gives:
√ √
| 20i − 15j | = 202 + 152 = 625 = 25
The particle’s speed is 25 ms−1

64
Unit Vectors
In an equation such as Newton’s Law of Gravitation:
Gm1 m2
F =−
r2
we may wish to specify in which direction the force F is acting.
In order to do this, we can introduce the idea of ‘unit vectors’. We have already defined a unit vector as
a quantity with magnitude (or length) of 1 and a direction. We denote a unit vector using the normal
notation for a vector, but with a ‘hat’, e.g. â is a vector with magnitude 1, in the direction of a. This
is very useful in specifying the direction of a physical quantity, since multiplying a quantity by a unit
vector does not change the magnitude of the quantity, but simply gives it a direction.
In the example of Newton’s Law of Gravitation above, we can multiply the right hand side of the equation
by the unit vector r̂ to signify that the force due to gravity, F , acts in the opposite direction (because of
the minus sign) to the radius r. The equation now reads:
Gm1 m2
F =− r̂
r2
To calculate a unit vector we use the formula

u
û =
|u|
where û is a unit vector of u and |u| is the magnitude of u.

65
4.2 Operations with Vectors
Multiplication by Scalar
Scalar multiplication is when we multiply a vector by a scalar. We do this by multipling each component
of the vector by the scalar. This can be expressed as:

λ × (x, y, z) = (λx, λy, λz)
Where λ is a real number

Note: Scalar multiplication only changes the magnitude of the vector while the direction stays the same.
Example: Simplify 7(−12, 4)

Solution: We multiply each component of the vector by 7 giving:
(7 × −12, 7 × 4) = (−84, 28)
Vector Addition and Subtraction

When we add or subtract two vectors we add or subtract each of the individual components of the
vectors. This can be expressed as:

(a, b, c) + (x, y, z) = (a + x, b + y, c + z)
Where (a, b, c) and (x, y, z) are both vectors using i, j and k.

~ then we calculate
If we are given two points, A and B, and wish to find the vector from A to B, i.e. AB,

AB~ = OB~ − OA = b − a

where a and b are the position vectors or A and B, respectively.
IMPORTANT: If the vectors have a different number of base components, for example (3, 6) + (1, 0, 7)
then we cannot complete the addition. For all vector-on-vector operations both vectors need to have the
same number of base components.

1. (2, 2, 0) + (5, −1, 3)
2. 3(a, 4a, 0) − a(7, 0, −1)
3. (1, 3, 8) + (2, 1, −5) + (−1, 2, −1)
Solution:
1. (2, 2, 0) + (5, −1, 3) = (2 + 5, 2 − 1, 0 + 3) = (7, 1, 3)

2. 3(a, 4a, 0) − a(7, 0, −1) = (3a, 12a, 0) − (7a, 0, −a) = (3a − 7a, 12a − 0, 0 + a) = (−4a, 12a, a)
3. (1, 3, 8) + (2, 1, −5) + (−1, 2, −1) = (1 + 2 − 1, 3 + 1 + 2, 8 − 5 − 1) = (2, 6, 2)
~
Example: Given A = (1, 3, 4) and B = (9, −3, 6) find the direction vector AB
~ = b − a, so
Solution: We use the formula AB
~ = (9, −3, 6) − (1, 3, 4)
AB
= (8, −6, 2)

66
Vector Multiplication: Dot Product
There are two ways of multiplying two vectors together. The first is the dot (or scalar) product which is
defined to be:

A · B = | A | | B | cos θ
Where θ is the angle between vectors A and B

IMPORTANT: Taking the dot product of two vectors produces a scalar quantity.
Given two vectors, the dot product can also be calculated in the following way:
   
a x
 b  •  y  = ax + by + cz
c z

Note: The dot product can be thought of as how much one vector is pointing in the direction of the other.
θ B
A cos θ
The part of A that goes in the same direction as B has a length of |A| cos θ, making the dot product the
length of B times the length of A that is in the same direction as B

   
3 1
1.  9  • −2
1 10
√
1 2
2. • √
0 2
Solution:
   
3 1
1.  9  • −2 = 3 × 1 + 9 × (−2) + 1 × 10 = 3 − 18 + 10 = −5
1 10
√
1 2 √ √ √
2. • √ =1× 2+0× 2= 2
0 2

67
Physics Example: A √ charged particle has 2 forces acting on it: a resistive force from the
medium with a vector of (3, 7, 3) and an electromagnetic force from an electric field with a vector
of (−5, 3, 4). What is the angle between these two vectors?
Solution: To calculate this we find the dot product of the two vectors and then employ the definition
of the dot product to find the angle. The dot product of the two vectors is:
   
√3 −5 √
 7 •  3  = 3 × (−5) + 7 × 3 + 3 × 4 Simplify this
3 4
√ √ √
= −15 + 3 7 + 12 = −3 + 3 7 = 3( 7 − 1) ≈ 4.937
Using the definition A · B = | A | | B | cos θ we can now find out what θ is. First we must find the
magnitudes of the two vectors:
√ √ √
|(3, 7, 3)| = 32 + 7 + 32 = 25 = 5 For the first vector
p √ √
|(−5, 3, 4)| = (−5)2 + 32 + 42 = 50 = 5 2 For the second vector
Putting all this information into the equation A · B = | A | | B | cos θ gives us:
√ √
3( 7 − 1) = 5 × 5 2 cos θ Rearrange for cos θ
√
3( 7 − 1)
√ = cos θ Take the arccos of both sides
25 2
θ = arccos(0.1396 . . . ) = 81.97◦ · · · = 82.0◦ to 3 s.f.
Note: The next example involves the use of integration. Since we have not yet covered integration in
this booklet, you may want to wait until you have some basic knowledge of integration before attempting
this question.
Physics Example: What is the work done w by the vector force F = (3ti+3j) N on a particle
of velocity v = (5i − tj) ms−1 in the time interval 0 < t < 3 s given that:
Z 3
w= F · v dt
0
Solution: First we must find the dot product F · v.

F · v = (3ti + 3j) · (5i − tj) = 3t × 5 + 3 × (−t) = 12t
Now we have found the dot product we can substitute it in the integral and solve.
Z 3
w= F · v dt
0
Z 3
= 12t dt
0
3
2
= 6t
0

2 2
= 6 × 3 − 6 × 0 = 54 J

68
Vector Multiplication: Cross Product
The cross product (or vector product) is defined to be:

A × B = | A | | B | sin(θ) n̂

Where θ is the angle between the two vectors and n̂ is the unit vector in the direction perpendicular
to both A and B. Two perpendicular vectors are said to be orthogonal and two perpendicular unit
vectors are called orthonormal.
IMPORTANT: The cross product takes two vectors and produces a new vector. This new vector is
in the direction perpendicular to the plane that A and B are in. It is only possible to take the cross
product of two 3-D vectors (and technically 7-D vectors as well).
The cross product is also dependent on the order of the vectors that appear in the product. If we
change the order of the vectors in a cross product then our answer becomes negative. The vector points
in the opposite direction.

a × b = −b × a

The right hand rule determines which way the vector produced will point. We use the rule as follows:
curl your fingers from the first vector in the cross product to the second vector and the direction your
thumb points is the direction of the vector produced by the cross product.
θ
a
In this case, a × b will point out of the page and b × a will point into the page.
Calculating the Cross Product (Method 1)

When using the standard base vectors of î, ĵ and k̂, we can calculate the cross product by considering
the cross product of the base vectors with each other:

i×i=j×j =k×k =0 i × j = −j × i = k j × k = −k × j = i k × i = −i × k = j

Taking the cross products of two vectors is just like expanding brackets. The cross product of two
general vectors, ai + bj + ck × xi + yj + zk , would give ax(i × i) + ay(i × j) + az(i × k) + . . . Fully
expanded and simplified gives:

ai + bj + ck × xi + yj + zk = bz − cy i + cx − az j + ay − bx k
Where a, b, c, x, y and z are real numbers


69
Example: Calculate the following cross product using the method above:
   
3 2
 1  × −1
−2 1
Solution: So to find this we use the formula below:

ai + bj + ck × xi + yj + zk = bz − cy i + cx − az j + ay − bx k

Now we can write the vectors in the question in the form of the rule so ai+bj +ck = 3i+1j −2k

and xi + yj + zk = 2i − 1j + 1k
Hence a = 3, b = 1, c = −2, x = 2, y = −1 and z = 1 and therefore:

3i + 1j − 2k × 2i − 1j + 1k

= 1 × 1 − (−2) × (−1) i + (−2) × 2 − 3 × 1 j + 3 × (−1) − 1 × 2 k
= −1i − 7j − 5k
This could also be written:
     
3 2 −1
 1  × −1 =  −7 
−2 1 −5
Calculating the Cross Product (Method 2)

We can also calculate the cross product of two vectors, ai + bj + ck × xi + yj + zk , by considering
the determinant:
i j k
a b c
x y z
We calculate this determinant as discussed in the section on ‘Matrices’.
This results in the same formula as in the previous method, but using this method means that we do
not need to remember the formula since it is included in the expression for the determinant!
Example: Calculate the following cross product using the determinant method:
   
4 1
3 ×  6 
1 −2
Solution: We can form a determinant and evaluate:

   
4 1 i j k
3 ×  6  = 4 3 1
1 −2 1 6 −2
3 1 4 1 4 3
=i −j +k
6 −2 1 −2 1 6

= i 3 × (−2) − 6 × 1 − j 4 × (−2) − 1 × 1 + k 4 × 6 − 1 × 3
= −12i − (−9)j + 21k
= −12i + 9j + 21k
We can also write:      
4 1 i j k −12
3 ×  6  = 4 3 1 = 9 
1 −2 1 6 −2 21

70
Projection of one Vector onto another
If we have two non-parallel vectors u and v, we can find the component of u which is in the direction of
v. This is called the projection of v onto u. This is calculated by the following formula:

u u
proju (v) = v ·
|u| |u|

Triple Products
Now that we have defined the dot product and the cross product, we can look at what happens when
we want to multiply three vectors using different combinations of these operations.
Scalar Triple Product
The scalar triple product between three vectors a = (a1 , a2 , a3 ), b = (b1 , b2 , b3 ) and c = (c1 , c2 , c3 ) is
defined as

a1 a2 a3
a · (b × c) = b1 b2 b3
c1 c2 c3

which produces a scalar. We can interpret the scalar triple product as the volume of a parallelepiped,
which is a cuboid where every side is a parallelogram.
We can use the scalar triple product to calculate the following volumes, where a, b and c are any
three mutually adjacent edges of the given shape.
The volume of a parallelepiped is
V = |a · b × c|
The volume of a pyramid is
1
V = |a · b × c|
3
The volume of a tetrahedron is
1
|a · b × c|
V =
6
We can also use the scalar triple product to show that three vectors, a, b and c, are coplanar, i.e.
they are all parallel to a common plane. To do this, we only need to show that
a·b×c=0
Vector Triple Product
The vector triple product between three vectors a = (a1 , a2 , a3 ), b = (b1 , b2 , b3 ) and c = (c1 , c2 , c3 ) is
defined as

a × (b × c) = (a · c)b − (a · b)c

which produces a scalar.
Note: the third possibility, a·b·c, is completely meaningless; the first product produces a scalar quantity,
which makes the second product impossible since we cannot perform a dot product between a scalar and
a vector.

71
4.3 Vector Equations
Lines
Vector Equation of a Line
We can describe a straight line in space using vectors. Suppose we have a line L and wish to find an
expression for a general point on the line, R, then we start from a point on the line, P , and move along
the line until we get to R. In terms of an equation, this can be written as

r = p + λq

where r is a general position vector on the line, p is any position vector that gets us onto the line, q is a
vector in the direction of the line and λ is a constant. This is the vector equation of a line.
This approach is very intuitive. Essentially we are starting somewhere on the line, and moving in the
direction of the line, associating each point on the line to a different value of λ. Note that λ can be
positive or negative, which corresponds to moving forward along the line, or backwards, respectively.
We can write the equation for a line in a number of other forms, which each have advantages in different
situations.
Parametric Equation of a Line
By writing the vectors above in terms of their components, i.e. r = (x, y, z), p = (p1 , p2 , p3 ) and
q = (q1 , q2 , q3 ), we can obtain a parametric form of the equation in terms of the parameter λ:

x = p1 + λq1
y = p2 + λq2
z = p3 + λq3

Cartesian Equation of a Line
From this, we can obtain the standard equation of a line by rearranging each of these equations to make
λ the subject and then equating all the expressions for λ:

x − p1 y − p2 z − p3
λ= = =
q1 q2 q3
Example: Find the equations of a line which passes through the points A = (2, 3, −1) and
B = (5, 2, 2)
Solution: We will first find the vector equation of the line. We begin by finding a direction vector
~ = (5, 2, 2) − (2, 3, −1) = (3, −1, 3).
AB
Now we formulate the equation choosing a point on the line. Since we are told that the line passes
through A and B, we can choose either of these. We will choose A. This gives us the vector
equation of the line:
r = (2, 3, −1) + λ(3, −1, 3)
Now to find the parametric equation we separate this into its three equations:
x = 2 + 3λ
y =3−λ
z = −1 + 3λ
To find the standard equation we rearrange these three equations to make λ the subject. This
gives
x−2 y−3 z+1
λ= = =
3 −1 3
Planes
A plane in 3-D space is a flat surface with zero thickness, often denoted as Π. This can be visualised as
a sheet of paper. A normal to a plane is a vector which is perpendicular to the plane. The orientation
of a plane can be specified by a normal vector.

72
A plane has two normal vectors in opposite directions. We denote a unit normal vector as n̂.
We can find a normal vector to a plane by calculating the cross product of two direction vectors in the
plane.
Vector Equation of a Plane
If we have three points A, B and C which do not all lie in the same straight line (i.e. not collinear),
then they lie in a unique plane. We can write down a general equation for a plane by considering a point
on the plane, A, with position vector a, and deducing how we can get to any point on the plane, R. To
reach any point in 2-D space, we require two direction vectors. Think about an x, y-plane: we can get
anywhere on this surface by specifying a distance in the x-direction and a distance in the y-direction.
Similarly, by using the fact that we have three points in the plane, we can calculate two direction vectors
within the plane, for example AB ~ and AC,
~ and state that any linear combination of these will get us to
any point on the plane from an initial point A.
Using this analysis, we can see that the general vector equation of a plane is

~ + µAC
r = a + λAB ~
= a + λ(b − a) + µ(c − a)

Scalar Product Equation of a Plane
Using the concept of the normal vector to a plane, we can formulate another equation of the plane.
Given a point A, with position vector a, on the plane and the general point on the plane R, we know
~ also lies on the plane. Thus we know that the normal vector to the plane,
that the direction vector AR
~ so we can write that AR
n is orthogonal to AR, ~ · n = 0. Therefore (r − a) · n = 0. Now expanding the
brackets gives us the scalar product equation of a plane:

r·n=a·n=d

where d is a scalar calculated from a · n.
Cartesian Equation of a Plane
We can now easily deduce another equation of the plane by calculating the scalar products. If n =
(n1 , n2 , n3 ), and r = (x, y, z), then the cartesian equation of the plane is:

n1 x + n2 y + n3 z = a · n = d

where d is a scalar calculated from a · n.

73
4.4 Intersections and Distances
Shortest Distance from a Point to a Plane
The shortest distance between a point and a plane is always the length of the line that comes out of the
plane at a right angle and meets the point in question. If you are struggling to visualise this try using a
piece of paper as the plane and thinking about the shortest distance to points not on that piece of paper.
Therefore the distance we are trying to work out is parallel to the normal vector. If we work out a unit
vector in the direction of the normal and calculate the dot product between this unit vector and a line
from the point q to a point on the plane, this will give us the distance we want (The understanding of
this is tough and not the important part at this level, but make sure you remember the formulae!).
Consider the plane n.p = d and the point q not on the plane, the unit vector for the vector n is
n
equal to |n| . So the magnitude of the distance we want, D, is equal to:
n |n.qp|
~
D= ~ =
.qp
|n| |n|
qp
~ is the line from the point q to a point on the plane, p. If we let p = (x0 , y0 , z0 ) and q = (x1 , y1 , z1 )
this simplifies further to:
|(x1 − x0 , y1 − y0 , z1 − z0 ).n|
D=
|n|
|(x1 − x0 , y1 − y0 , z1 − z0 ).n|
D=
|n|
If n = (A, B, C) our equation above becomes:
A(x1 − x0 ) + B(y1 − y0 ) + C(z1 − z0 )

D= √
A2 + B 2 + C 2
As n.p = d we can rearrange this using that p = (x0 , y0 , z0 ) and n = (A, B, C) to give d = −Ax0 −
By0 − Cz0 . Therefore:
Ax1 + By1 + Cz1 + d
D= √
A2 + B 2 + C 2
Example: Find the shortest distance between the plane Π = (1, 2, 3) + λ(2, 5, 7) + µ(2, 3, 6) and
the point q = (4, 5, 6)
Solution: We know the equation for the distance we want is:
Ax1 + By1 + Cz1 + d

D= √
A2 + B 2 + C 2
To find A, B, C and D we need to find the normal vector. To do this we need to do the cross
product of the two direction vectors:
i j k
n= 2 5 7 = (9, 2, −4)
2 3 6
To find D we us that n.p = d and therefore:
(9, 2, −4).(1, 2, 3) = d = 1
Therefore the distance we want is equal to:
9(4) + 2(5) + −4(6) + 1

D= p
92 + 22 + (−4)2
23
=√
101

74
Shortest Distance between Two Skew Lines
When two lines are not parallel and do not intersect we call them skew lines. To find the distance
between two skew lines there are various techniques but we will do it by constructing two parallel planes
from these skew lines and using this to find the perpendicular distance between them.
If we have two lines L1 = A + λB ~ and L2 = A0 + λB ~ 0 , to find a normal vector to both of these we just
need find the cross product between the direction vector of L1 and L2 , B ~ ×B ~ 0 . After this we can use
the plane equation n.p = d with the normal vector we worked out and a point on each line to construct
two parallel planes, Π1 and Π2 .
To work out the distance between these planes, which is equal to the distance between the original skew
lines, we first note that Π1 can be described by n · p = d and Π2 can be described by the equation
n · p = d0 and therefore the distance between them is:
|d − d0 |
|n|
z+2
Example: Find the shortest distance between the lines L1 : x − 2 = 1 − y = 3 and L2 :
x+17 z+1
3 = −y + 3 = 2 .
Solution: We can write the equations of the lines in the form:
L1 = (2, 1, −2) + t(1, −1, 3)
L2 = (−17, 3, −1) + s(3, −1, 2)

The cross product of the direction vectors is:
i j k
n= 1 −1 3 = (1, 7, 2)
3 −1 2
Constructing these into planes:

Finding Π1 :
(1, 7, 2) · (2, 1, −2) = 5
Therefore
Π1 : (1, 7, 2) · p = 5
Finding Π2 :
(1, 7, 2) · (−17, 3, −1) = 2
Therefore
Π1 : (1, 7, 2) · q = 2
Therefore the distance we want is:
√
|5 − 2| 3 6
√ =√ =
2 2
1 +7 +2 2 54 6

75
Intersection between a Line and a Plane
If we wish to find the point of intersection, p, between a line and a plane then we must obtain the
equations for the line and the plane, and then solve as them as we would for simultaneous equations to
find a point which lies on both structures.
Example: Find the point of intersection P between the line

r = (2, 3, 1) + t(3, 3, 2)
and the plane

r · (1, −2, 4) = 5
Solution: Since we already have the equations for the line and plane, we can proceed to solve as
simultaneous equations, by substituting the equation of a point on the line into the equation for
the plane.
[(2, 3, 1) + t(3, 3, 2)] · (1, −2, 4) = 5
(2 + 3t, 3 + 3t, 1 + 2t) · (1, −2, 4)
(2 + 3t) − 2(3 + 3t) + 4(1 + 2t) = 5
2 − 6 + 4 + 3t − 6t + 8t = 5
⇒ 5t = 5
⇒t=1
This value of the parameter t corresponds to the point on the line which intersect with the plane.
Now we simply substitute this t value into the equation for the line.
p = (2, 3, 1) + (3, 3, 2) = (5, 6, 2)
Example: Given the plane

2x + 3y + 3z = 6
and a line which is perpendicular to the plane and passes through the point Q : (5, 3, 7), find the
point where the line intersects the plane, P .
Solution: From the general equation of a plane r · n = d, we can deduce that a normal vector to
the plane is (2, 3, 3). Since the line is perpendicular to the plane and passes through the point Q,
we can write the vector equation of the line as
r = (5, 3, 7) + t(2, 3, 3)
Now, as before, we can solve these equations simultaneously to find the parameter t and hence
find P .
2(5 + 2t) + 3(3 + 3t) + 3(7 + 3t) = 6
10 + 4t + 9 + 9t + 21 + 9t = 6
10 + 9 + 21 + 4t + 9t + 9t = 6
⇒ 22t = −34
34 17
⇒t= =
22 11
Hence the point of intersection is
89 84 128
p= , ,
11 11 11

76
Intersection between Two Planes
Two planes, Π1 and Π2 , which are not parallel to each other will intersect along a straight line l. In order
to find the direction vector of l, we can calculate the cross product of the normals of the two planes,
giving us a vector parallel to both planes, and hence the direction of the line of intersection. We can
then find a point of intersection, i.e. a point on the line, by setting y = 0 and solving the equations
of the two planes simultaneously to find x and z values. This will give us our equation for the line of
intersection of the two planes.
Example: Find an equation for the line of intersection of the two planes
Π1 : x − y − z = 1
and
Π2 : 2x + 4y − 5z = 5
Solution: By considering the standard equation for a plane, r · n = d, we can deduce that the
normal vector to Π1 is
n1 = (1, −1, −1)
and the normal vector to Π2 is
n2 = (2, 4, −5)
Now we take the cross product of these normal vectors to find the direction vector for the line of
intersection
i j k
n1 × n2 = 1 −1 −1
2 4 −5
= (5 + 4, −2 + 5, 4 + 2)
= (9, 3, 6)
So a direction vector of the line of intersection is (3,1,2). Now we find a point which lies on both
planes. We set y = 0, and by looking at the equations of the planes, we get the two equations
x−z =1
and
2x − 5z = 5
And we can solve these to get x = 2 and z = −1, so a point on the line is (2,0,-1). Finally we have
our equation for the line of intersection of the two planes.
r = (2, 0, −1) + t(3, 1, 2)

77
Types of Intersection between Three Planes
If we have three planes, there are four possibilities:
The three planes intersect each other at a single point.
The three planes intersect along a single straight line.
The planes do not all share any common points but they all intersect.
The planes do not intersect and are parallel to each other.

78
Easy Questions
Question 1: If
U = (1, 3, −1), V = (4, 5, −3), W = (−7, 3, 4)
find U~W and U~V .
Answer:
U~W = (−8, 0, 5)
U~V = (3, 2, −2)
√
Question 2: Find the magnitude of the vector u = (2, −4, 5).
Answer:
|u| = 5
Question 3: Find unit vector u which has magnitude 6 and has the same direction as the
vector v = (1, −2, 1).
Answer: √ √ √
u = ( 6, 2 6, 6)
Question 4: Find the unit vector, u1 , with the same direction as u and the unit vectoru2 with
the opposite direction vector to u if √
v = (0, 11, 5).
Answer: √

11 5
u1 = 0,,
6 6
√
11 5
u2 = 0, − ,−
6 6
Question 5: If u = (2, 3, −6), v = (3, 11, 0) find

2v − 3u.
Answer:
(0, 13, 18)

79
Medium Questions
Question 6: For each of the following pairs of vectors, determine whether they are perpendic-
ular:
1. u = (2, 4, −1), v = (6, 0, 12)
2
2. u = (3, 9, 1), v = (2, − , 1)
3
3. u = (4, 0, 0), v = (0, 5, −5)
Answer:
1. Yes
2. No
3. Yes
Question 7: Find the value of lambda which makes the two vectors, u and v, parrallel if
u = (1, λ, 4), v = (16, −2λ, 4).
Answer:
λ = ±4
Question 8: Find the v × u if

v = (2, 3, −1)
u = (−2, −2, 2).
Answer:
(5, −2, 4)
Question 9: Find the intersection between the planes Π1 and Π2 such that
Π1 : 3x + y − 4z = 2
Π2 : x + y = 18.
Answer: The planes intersect on the line

x+8 26 − y z
= =
4 4 2
Question 10: Find the projection of v onto u if

v = (1, 4, 2)
u = (2, 5, 7).
Answer:
12 30 42
, ,
13 13 13

80
Hard Questions
Question 11: If a plane, Π, is parallel to the yz-plane and passes through the point (1, 2, 3),
what is the equation of the plane?
Answer:
x=1
Question 12: If a plane, Π, passes through the points U = (1, 1, 3), V = (−1, 3, 2), W =
(1, −2, 5), what is the equation of the plane?
Answer:
x + 4y + 6z = 23
Question 13: The mid-points of the sides AB, BC, CD and DA of a quadrilateral ABCD are
P , Q, R, S respectively. Show, using vectors, that P QRS is a parallelogram.
Hint: Take position vectors relative to an origin O and use the result that a quadrilateral with a
pair of opposite sides which are parallel and equal in length is a parallelogram.
Question 14: Find the angle, θ, between the vectors u = (−1, 1, 0) and v = (−1, 0, 1).
Answer:
π
θ=
3
Question 15: Find the shortest distance between the skew lines
L1 = (1, 2, 2) + s(4, 3, 2)
L2 = (1, 0, −3) + t(4, −6, −1).
Answer:
4 units

81
5 Limits
5.1 Notation and Definitions
We often wish to find the value that a function f (x) approaches as x tends to a particular value. We
call this the limit of f (x) as x tends to a and it is denoted by
lim f (x)
x→a
Limits have many uses including determining the behaviour of a function, calculating the value of an
infinite series, and providing a basis for all of calculus. They can also help us when plotting graphs.
As an example, we consider the function
x2 − 1
f (x) =
x−1
at the point x = 1. Normally, we would just say that the function is undefined, since we would be
dividing by zero. However, as x approaches 1, f (x) actually approaches the value 2. In other words, if
we are infinitely close to the point x = 1, then f (x) is infinitely close to 2, however it never actually
reaches it. To represent this, we can write
2
x −1
lim =2
x→1 x−1
In the next section we will describe methods for proving this.
We can also have ‘one-sided limits’, which is where a function approaches two different values depending
on from which direction we approach the limit point. For example, the function
1
f (x) =
x
tends to minus infinity at x = 0 if we approach x = 0 from the left hand side, but it also tends to plus
infinity if we approach x = 0 from the right hand side. We can see this clearly by considering the graph
1
of f (x) = :
x
4.
3.
2.
1.
f
−4. −3. −2. −1. 0 1. 2. 3. 4.
−1.
−2.
−3.
−4.
We can write these limits as

1
lim = −∞
x→0− x
1
lim =∞
x→0+ x

82
5.2 Algebra of Limits
We can use the algebra of limits to help us find the limits of functions. The rules included in the algebra
of limits are as follows:
The limit of the sum of two functions is the same as the sum of the limits of the two functions:

lim f (x)g(x) = lim f (x) + lim g(x)
x→a x→a x→a
The limit of the product of two functions is the same as the product of the limits of the two
functions:
lim f (x) + g(x) = lim f (x) × lim g(x)
x→a x→a x→a
The limit of the quotient of two functions is the same as the quotient of the limits of the two
functions (provided limx→a g(x) 6= 0) :

f (x) limx→a f (x)
lim =
x→a g(x) limx→a g(x)
Essentially this means that operations with limits are linear.
5.3 Methods for Finding Limits

This section will consist of examples describing different methods of calculating limits.
Example: Calculate the limit:

x2 + x + 1
lim
x→∞ 2x2 + 1
Solution: We can use the algebra of limits and the fact that
1
lim =0
x→∞ x
to find this limit.
First, dividing top and bottom of the fraction by the highest power of x, we get
x2 + x + 1 1 + x1 + x12
lim = lim
x→∞ 2x2 + 1 x→∞ 2 + x12
Now use the algebra of limits to separate this into individual limits:

1 + limx→∞ x1 + limx→∞ x12

2 + limx→∞ x12
1+0+0 1
= =
2+0 2
This technique only works when we can write the expression in terms of limits which tend to zero.

83
x2 − 1
lim
x→1 x − 1
Solution: We can rewrite this as

x2 − 1 (x + 1)(x − 1)
lim = lim
x→1 x − 1 x→1 x−1
= lim (x + 1)
x→1
=2
This technique works where we can eliminate the part of the function that causes the function to
become undefined.
L’Hôpital’s Rule
In some cases we can use L’Hôpital’s rule to help us find the limit of a function, which states that for
two functions f (x) and g(x) such that
limx→a f (x) = limx→a g(x) = 0

or
limx→a f (x) = limx→a g(x) = ±∞
where the limit
f 0 (x)
lim
x→a g 0 (x)
exists (and f 0 (x) is the derivative of f (x) as explained in the section on Differentiation), we can use the
formula

f (x) f 0 (x)
limx→a = limx→a 0
g(x) g (x)


sin(x)
lim
x→0 x
Solution: We must first test the conditions for the rule to work. Let f (x) = sin(x) and g(x) = x.
We can easily check that
lim f (x) = lim g(x) = 0
x→0 x→0
Now we need to check that the limit

f 0 (x)
lim
x→0 g 0 (x)
exists, and if it does then by the rule, this limit is equal to the original limit.
f 0 (x) cos(x)
=
g 0 (x) 1
lim cos(x) = 1
x→0
Hence the limit exists and so

sin(x)
lim = lim cos(x) = 1
x→0 x x→0

84
1 − cos(2x)
lim
x→0 x2
Solution: We know that cos(2x) = 1 − 2sin2 (x) so our limit simplifies to:
1 − 1 − 2 sin2 (x)

sin2 (2x)

lim = 2 lim
x→0 x2 x→0 x2
2
sin(x)
= 2 lim
x→0 x
Using the above we know that
sin(x)
lim =1
x→0 x
Therefore 2
sin(x)
2 lim = 2[1]2 = 2
x→0 x

85
Easy Questions
Question 1: What is the limit of the function

tan(x)
f (x) =
x
as x tends 0?
Answer:
tan(x)
lim =1
x→0 x

3x3 − 2x2 + x + 4
f (x) =
5x3 + 34x2 + 4x + 9
as x tends ∞?
Answer:
3x3 − 2x2 + x + 4 3
lim =
x→∞ 5x3 + 34x2 + 4x + 9 5

x
f (x) =
sin(x)
as x tends 0?
Answer:
x
lim =1
x→4 sin(x)

x2 + x − 2
f (x) =
x−1
as x tends 1?
Answer:
x2 + x − 2
lim =3
x→1 x−1
Medium Questions

sin(2x)
f (x) =
sin(x)
as x tends 0?
Answer:
sin(2x)
lim =2
x→0 sin(x)

86
√ √
f (x) = x + 10 − x
as x tends ∞?
Hint: Use the difference of two squares.
Answer: √ √
lim x + 10 − x =0
x→∞

√ √
5x − 16 − x
f (x) =
x−4
as x tends 4?
Answer: √ √
5x − 16 − x
lim =1
x→4 x−4

87
6 Differentiation
6.1 Introduction to Differentiation
Recall that the equation of a straight line is of the form of y = mx + c where m is the gradient and c is
the y-intercept. We can find the gradient m of a straight line using the triangle method with the formula
m = ∆x∆y , where ∆x means ‘change in x’
Note: Remember that the gradient is a measure of how steep the graph is at a certain point.
As the gradient of a straight line is the same at every point on the line it is easy to find. With a curve
this is not the case. Consider the graph of y = 5e−x shown below. We will use the triangle method with
two different triangles and show that we get two different values for the gradient.
Using the triangle method with the triangle in the graph below gives:
∆y f (x2 ) − f (x1 ) y2 − y1 0.68 − 1.85

gradient = = = = = −1.17
∆x x2 − x1 x2 − x1 3−1
Now if we use the triangle method again but this time with a larger triangle as in the graph below:
∆y f (x2 ) − f (x1 ) y2 − y1 0.25 − 1.85

gradient = = = = = −0.8
∆x x2 − x1 x2 − x1 3−1
We have obtained two different values for the gradient of the curve. This is because the value of the
gradient is not the same at all points on the curve, unlike for a straight line. This should be obvious as
we can see that the steepness of the graph changes along the curve. This means it is quite hard to find
the gradient of a curve using the triangle method and so we need a new method.
Differentiation allows us to find the gradient of almost any graph. This works because when we differ-
entiate we are calculating how one variable changes due to a change in another (in other words the rate
of change). This is useful in physics; for example we might wish to find the acceleration of a particle by
considering the rate of change of velocity.

88
Differentiation from First Principles
The properties of differentiation are born from the idea of calculating the gradient between two points
at the limit that the distance between them tends to zero. As shown in the previous section a gradient
f (x2 ) − f (x1 )
is calculated by , but for differentiation we consider the points f (x + dx) and f (x), where
x2 − x1
dx is the infinitesimal distance between the two points i.e. The derivative, or gradient, of a point on a
curve is:

f (x + dx) − f (x)
lim
dx→0 dx
Using this idea, it is possible to derive all the standard derivatives.
Example: Differentiate from first principles 4x2 :

Solution: The derivative of f (x) is defined above as

f (x + dx) − f (x)
lim
dx→0 dx
so if we let f (x) = 4x2 we get that the derivative is
(x + dx)2 − x2

lim
dx→0 dx
Consider
(x + dx)2 − x2
dx
Expanding the brackets we obtain
x2 + 2xdx + dx2 − x2
dx
This simplifies to
2x + dx2
Therefore the derivative of 4x2 is
lim (2x + dx2 )
dx→0
= 2x

89
Example: Differentiate from first principles xn
Solution: The derivative of xn =
(x + dx)n − xn

lim
dx→0 dx
Consider
(x + dx)n − xn
dx
Using a binomial expansion (see section 11.4) of the bracketed terms gives
(xn + nxn−1 dx + 12 n(n − 1)xn−2 dx2 + ...) − xn

dx
This is equivalent to
1
nxn−1 + n(n − 1)xn−2 dx + ...
2
Therefore the derivative of xn is
1
lim (nxn−1 + n(n − 1)xn−2 dx + ...)
dx→0 2
= nxn−1
Notation
∆y
When we use the triangle method we are finding ∆x where ∆ means ‘the difference in’. Similarly, when
we differentiate we are effectively drawing an infinitely small triangle to calculate the rate of change (or
gradient) of a tiny slice of the function. When differentiating y with respect to x we use the notation:
dy
dx
where the d means an infinitely small difference. (We don’t use ∆ any more since this represents a finite
difference).
We say that dx is the differential of x.
dy
We say that is the derivative of y with respect to x.
dx
Example:
The derivative of x2 , as shown above, is 2x. Using the notation above we would write this as:
dy
If y = x2 then = 2x
dx
Recall that we can write a function as either y or f (x), leading to other notation for differentiation
displayed in the table below:
Function Derivative Pronunciation

dy
y ‘d-y by d-x’ or ‘d-y d-x’
dx
f (x) f 0 (x) ‘f prime of x’ or ‘f dash of x’
d
f (x) (f (x)) ‘d by d-x of f of x’
dx

90
d
Note: We may sometimes refer to as the differential operator.
dx
Example:
So if f (x) = x2 then we can write the derivative in the following ways:
f 0 (x) = 2x
OR
d 2
(x ) = 2x
dx
dy
IMPORTANT: When we find dx we say we are ‘differentiating y with respect to x’. Now suppose
instead that we have the equation a = b2 then:
da
= 2b
db
This works in the same way as we have seen for x and y but in this case we have it in terms of a and b
and would say we are ‘differentiating a with respect to b’.

91
6.2 Standard Derivatives
Differentiating Polynomials
A polynomial is an expression in the form
an xn + an−1 xn−1 + · · · + a2 x2 + a1 x + a0
where
an , . . . , a2 , a1 , a0 are constant coefficients.
xn , xn−1 , . . . , x2 are powers of a variable x.
A rather simple example of a polynomial is the quadratic x2 + 3x + 1.

Differentiation finds the gradient of a curve at a given point. Suppose we want to find the gradient of a
polynomial function such as y = x3 + 1. How do we find this derivative?
As differentiation may be new to many readers we will begin slowly and first explain how to differentiate
the individual terms of a polynomial, for example x2 , before moving on in the section on ‘how to
differentiate a sum’ to help us differentiate polynomial sums such as 4x3 + 1.
The general rule for differentiating polynomials is as follows:

dy
If y = xn then = nxn−1
dx
You can remember this using the phrase: ‘power down the front, one off the power’.
For example:
dy
If we have y = x then this is the same as y = x1 so we have = 1 × x1−1 = 1.
dx
dy
If we have y = x2 then we have = 2 × x2−1 = 2x.
dx
Another important rule to remember is as follows:

dy
If y = c for any constant c then = 0.
dx
We have only considered examples of polynomials up to the power of 2. The next example shows that
we can apply this rule to polynomials of higher powers.
Example: Differentiate y = x5 .
dy
Solution: From above we know that if y = xn then = nxn−1 . So in this example we have
dx
n = 5. This gives the following answer:
dy
= 5x5−1 = 5x4
dx
We can also differentiate using this rule when x is raised to a negative power as shown in the next example.
Example: Differentiate y = x−1 .

dy
Solution: From above we know that if y = xn then = nxn−1 . So in this example we have
dx
n = −1. This gives the following answer:
dy
= −1 × x−1−1 = −x−2
dx
We can differentiate using this rule when x is raised to a fractional power as shown in the next example.

92
1
Example: Differentiate y = x 2 .
dy 1
Solution: So using the rule that if y = xn then = nxn−1 . We have n = . This gives the
dx 2
answer:
1
dy 1 1 x− 2 1
= × x 2 −1 = = 2√ x
dx 2 2
So far we have only considered polynomials which have a coefficient of 1. But how do we differentiate
y = 4x2 where the coefficient is equal to 4? When we have a coefficient a we have the rule:

dy
If y = axn then = a × n × xn−1
dx
Note: The first rule that we discussed is just a special case of the above rule when a = 1.
So going back to y = 4x2 we can see that the coefficient a = 4 and x is raised to the power of n = 2. So
dy
using the rule, if y = axn then = a × n × xn−1 . We have:
dx
dy
= 4 × 2 × x2−1 = 8x1 = 8x
dx
d
IMPORTANT: When differentiating any function f (x) multiplied by some constant a, finding dx [af (x)],
we can take the constant a out of the derivative so:

d d
af (x) = a f (x)
dx dx
d d 3
For example (2x3 ) = 2 × (x ) = 2 × 3x2 = 6x2 .
dx dx
1
Example: Differentiate y = 4x− 2
Solution: This example combines everything we have looked at so far. So using the rule:
dy
If y = axn then = a × n × xn−1
dx
1
we have a = 4 and n = − . This gives the answer:
2
dy 1 1 3
= 4 × − × x− 2 −1 = −2x− 2
dx 2
Physics Example: Coulomb’s Law states that the magnitude of the attractive force F be-
tween two charges decays according to the inverse square of the separating distance r:
1
F =
r2
If we plot a graph of F on the y-axis against r on the x-axis, what is the gradient?
dF
Solution: To find the gradient we find the derivative with respect to r denoted of:
dr
1
F = = r−2
r2
All the examples so far have only contained x and y however in this question we have the variables
dy
F and r. We know y = xn then = nxn−1 , so with y as F and x as r and n = −2. We have:
dx
dF 2
= −2 × r−2−1 = −2 × r−3 = − 3
dr r

93
Below we have the rules for differentiating trigonometric functions:

dy
If y = sin(x) then = cos(x)
dx

dy
If y = cos(x) then = − sin(x)
dx

dy
If y = tan(x) then = sec2 (x)
dx
When we have constants multiplying the trigonometric functions and coefficients multiplying our x we
can use the following rules:

dy
If y = a sin(bx) then = a × b × cos(bx)
dx

dy
If y = a cos(bx) then = −a × b × sin(bx)
dx

dy
If y = a tan(bx) then = a × b × sec2 (bx)
dx
Note: These rules only work when x is being measured in radians.
Example: Differentiate:
1. y = sin(9x)
x
2. y = 4 cos
2
3. y = −2 tan (−7x)
Solution: Using the rules above:

dy
1. If y = a sin(bx) then = a × b × cos(bx)
dx
dy
Note that we have y = sin(9x) so a = 1 and b = 9. So = 9 cos(9x)
dx
dy
2. If y = a cos(bx) then = −a × b × sin(bx)
dx x 1 dy 1 x x
Note that we have y = 4 cos so a = 4 and b = = −4 × × × sin = −2 sin
2 2 dx 2 2 2
dy
3. If y = a tan(bx) then = a × b × sec2 (bx)
dx
dy
Note that we have y = −2 tan (−7x) so a = −2 and b = −7 = (−2) × −7 sec2 (−7x) =
dx
−14 sec2 (−7x) = 14 sec2 (7x)

94
Physics Example: In X-ray crystallography, the Bragg equation relates the distance d be-
tween successive layers in a crystal, the wavelength of the X-rays λ, an integer n and the angle
through which the X-rays are scattered θ in the equation:
2d
λ= sin θ
n
What is the rate of change of λ with θ?
dλ
Solution: The question is asking us to find . So as n and d are constants we can use the rule:
dθ
dy
If y = a sin(bx) then = a × b × cos(bx)
dx

2d
So we have a = and b = 1 with λ as y and θ as x therefore:
n

dλ 2d 2d
= × 1 × cos θ = cos θ.
dθ n n
Differentiating Exponential Functions

The exponential function ex is special, since when we differentiate ex , we just obtain ex again. This is
shown in the rule below:

x dy x
If y = e then =e
dx
We can also differentiate when the x has a coefficient, for example y = e4x , and also when the exponential
is multiplied by a constant, for example y = 3ex . We combine these into the rule below:

bx dy bx
If y = ae then =a×b×e
dx
Example: Differentiate the following with respect to x:

1. y = e2x
x
2. y = 8 exp −
3
Solution:
1. Using the rule
dy
If y = aebx then = a × b × ebx
dx
dy
note y = e2x so a = 1 and b = 2 hence = 2e2x
dx
2. Using the rule
dy
If y = aebx then = a × b × ebx
dx
x 1 dy 1 x 8 x
note y = 8 exp − so a = 8 and b = − hence = 8 × − × exp − = − e− 3
3 3 dx 3 3 3
Differentiating Logarithmic Functions

We differentiate logarithmic functions using the rule shown below:

95

dy 1
If y = ln(x) then =
dx x
We can differentiate when the x has a coefficient, for example y = ln(4x), and also when the logarithmic
function has a coefficient, for example y = 3 ln(x). We combine these into the rule below:

dy a
If y = a ln(bx) then =
dx x
Note: In the above rule, the b disappears and it forms a nice exercise in the practice of using the
laws of logarithms hence we have included the algebra in the next example. We do have to differenti-
ate a sum however so if you are unsure on that step then check out the next section for more information.
dy
Example: For y = a ln(bx) find
dx
Solution: Using laws of logarithms we can write y = a ln(bx) as:
y = a (ln(x) + ln(b))
Now differentiating this as a sum gives:
dy d
= [a(ln(x) + ln(b))]
dx dx
dy d d
=⇒ = a [ln(x)] + a [ln(b)]
dx dx dx
d 1 d
Now as [ln(x)] = and [ln(b)] = 0 as ln(b) is a constant, we have:
dx x dx
dy a
=
dx x
Note: This derivation is included as it provides an advanced example of the use of the laws of
logarithms with differentiation.
Example: Differentiate:
1. y = ln(3x)

4 x
2. y = − ln
5 2
Solution:
1. We use the rule:
dy a
dx x
dy 1
Note that we have y = ln(3x) so a = 1 and b = 3. Hence =
dx x
2. We use the rule:
dy a
dx x

4 x 4 1 dy 4 1 4
Note that we have y = − ln so a = − and b = . Hence =− × =−
5 2 5 2 dx 5 x 5x

96
Differentiating Hyperbolic Functions
Below we have the rules for differentiating hyperbolic functions:

dy
If y = sinh(x) then = cosh(x)
dx

dy
If y = cosh(x) then = sinh(x)
dx

dy
If y = tanh(x) then = sech2 (x)
dx
When we have constants multiplying the hyperbolic functions and coefficients multiplying our x we can
use the following rules:

dy
If y = a sinh(bx) then = a × b × cosh(bx)
dx

dy
If y = a cosh(bx) then = a × b × sinh(bx)
dx

dy
If y = a tanh(bx) then = a × b × sech2 (bx)
dx
Note: that the derivative of cosh(x) is sinh(x) and NOT − sinh(x). We can prove these derivatives by
differentiating the exponential forms of the hyperbolic functions:
Example: Differentiate cosh(x) by converting to the exponential form.

Solution: Begin by writing cosh(x) as
ex e−x
cosh(x) = +
2 2
Differentiating each term:
d ex e−x
cosh(x) = −
dx 2 2
= sinh(x)

97
6.3 Differentiation Techniques
Differentiating a Sum
dy
If we have multiple terms in the form of a sum, for example y = x3 + 8x + 1, then in order to find dx ,
we apply the differential operator on each of the terms in turn. So in other words we differentiate each
part of the sum one by one.
dy d
Consider y = x3 + 8x + 1. If we want to find dx then we would apply the operator dx to both sides of
the equation giving us:
dy d 3 d
= (x + 8x + 1) Now we apply the operator to each term.
dx dx dx
dy d 3 d d
=⇒ = (x ) + (8x) + (1) Now we differentiate each of the terms individually.
dx dx dx dx
dy
=⇒ = 3x2 + 8 + 0 Now simplify.
dx
dy
=⇒ = 3x2 + 8
dx
Example: Differentiate the following:

1. y = ex + 4x6
1
2. y = ln(2x) + sin(9x)
3
Solution:
1. To differentiate y we differentiate all of the terms individually. We use the rules for differen-
tiating exponentials and powers to get:
dy
y = ex + 4x6 =⇒ = ex + 4 × 6x5 = ex + 24x5
dx
2. Again, we differentiate each term.
1 dy 1 1 1
y = ln(2x) + sin(9x) =⇒ = + × 9 cos(9x) = + 3 cos(9x)
3 dx x 3 x
Example: Differentiate z = cos(4t) + 6et + t5 + 2t2 + 7 with respect to t.

Solution: This question is different as our equation is not in terms of y and x, but instead in terms
of z and t. We treat this in the same way as if the terms were y and x, so we differentiate each
term individually.
dz
= −4 sin(4t) + 6et + 5t4 + 4t
dt

98
Physics Example: An equation of motion is
1
s = ut + at2
2
where s is the displacement of a body, t is the time that has passed and u and a are constants.
ds
Find the velocity v = of the body.
dt
Solution: As with the previous example, we aren’t using x and y. We need to differentiate s with
respect to t to find the velocity.

ds d d 1 2
v= = (ut) + at We can now differentiate each of the terms
dt dt dt 2
ds 1
= u + (2at) Then simplify
dt 2
ds
= u + at
dt
This confirms the equation of motion:
v = u + at

99
The Product Rule
Now suppose we want to differentiate y = x2 sin(x). We encounter the problem: How do we differentiate
a function that is the product of two other functions, in this case x2 and sin(x)?
To do this we need the product rule:

If the function y = f (x) is written as the product of two functions say u(x) and v(x) so
dy dv du
y = f (x) = u(x)v(x) then =u +v
dx dx dx
2 2
So returning to our example we have f (x) = x sin(x) with u = x and v = sin(x).
du dv dy dv du
First we find that = 2x and = cos(x) then we substitute into =u +v
dx dx dx dx dx
dy
=⇒ = x2 cos(x) + sin(x)2x
dx
dy
=⇒ = x(x cos(x) + 2 sin(x))
dx
Example: Differentiate using the product rule:

1. y = x ln(x)
2. y = 6ex cos(x)
Solution:
1. Take u = x and v = ln(x).
du dv 1
We can now differentiate these to find that = 1 and that = Using the product rule:
dx dx x
dy dv du
=u +v Substitute in the quantities
dx dx dx

dy 1
=x + ln(x) 1 Expand and simply
dx x
dy
= 1 + ln(x)
dx
2. For this take u = 6ex and v = cos(x).

du dv
Now we differentiate those to find that = 6ex and = − sin(x) By the product rule we
dx dx
obtain:
dy dv du
=u +v Substitute in the expressions
dx dx dx
dy
= 6ex − sin(x) + cos(x) 6ex Expand the brackets
dx
dy
= −6ex sin(x) + 6ex cos(x) Take a factor of 6ex out
dx
dy
= 6ex cos(x) − sin(x)
dx

100
1
Example: Differentiate y = (x2 + 5x) sin(x).
3
Solution: This is a product of two functions and we must use the product rule.
1
Set u = (x2 + 5x) and v = sin(x)
3
du 1 dv
We can differentiate to find that = (2x + 5) and = cos(x)
dx 3 dx
We now use the product rule:
dy dv du
=u +v Substitute in our expressions
dx dx dx
dy 1 2 1 1
= (x + 5x) cos(x) + sin(x) (2x + 5) Simplify by taking a factor of out
dx 3 3 3
dy 1
= (x2 + 5x) cos(x) + (2x + 5) sin(x)
dx 3
The end result may appear complicated and ugly but it is nicer than having all the brackets
expanded.

101
The Quotient Rule
A quotient is a fraction of two functions, for example:
x3
y=
e3x
When we have a function in the form of a quotient we differentiate it using the quotient rule:

If the function f (x) is written as a quotient such as
du dv
u(x) dy v −u
y= then = dx dx
v(x) dx v2

x3
So returning to y = we have u = x3 and v = e3x .
e3x
du dv
du dv dy v −u
Hence 2
= 3x and 3x 2 6x
= 3e and v = e . Then substitute into quotient rule = dx dx
dx dx dx v2
dy e3x 3x2 − x3 3e3x
=⇒ =
dx e6x
dy
=⇒ = 3x2 e−3x (1 − x)
dx
sin(x)
Example: Differentiate y = .
3 ln(x)
Solution: Just as in the previous example, we have u in the numerator and v in the denominator
du
of the quotient so u = sin(x) and v = 3 ln(x). We can now differentiate these to get = cos(x)
dx
dv 3
and = . Using the quotient rule we get that:
dx x
du dv
dy v −u
= dx dx Substitute in what we have
dx v2
3
dy 3 ln(x) × cos(x) − sin(x) ×
= x We can simplify
2
dx 3 ln(x)
3 sin(x)
dy 3 ln(x) cos(x) −
= x A factor of 3 can be taken out
dx 9 ln(x)2
sin(x)
dy ln(x) cos(x) −
= x
dx 3 ln(x)2

102
x
Example: Differentiate y =
e2x
Solution: We have a function x divided by a function e2x so to find the derivative the quotient
du dv
rule needs to be used. So u = x and v = e2x and therefore = 1 and = 2e2x . We can now
dx dx
employ the quotient rule to get:
du dv
dy v −u
= dx dx Substitute what we know in
dx v2
dy e2x × 1 − x × 2e2x
= Simplifying this by taking a factor of e2x out
dx (e2x )2
dy e2x (1 − 2x)
= The e2x on top cancels with one on the bottom
dx (e2x )2
dy
= e−2x (1 − 2x)
dx
Now that we know the quotient rule, we can prove the derivative of y = tan(x)
Example: Differentiate y = tan(x).

Solution: We begin by writing
sin(x)
y = tan(x) =
cos(x)
Now apply the quotient rule:
d d
dy cos(x) (sin(x)) − sin(x) (cos(x))
= dx dx
dx cos2 (x)
cos2 (x) − (− sin2 (x))

=
cos2 (x)
cos2 (x) + sin2 (x)
=
cos2 (x)
1
=
cos2 (x)
= sec2 (x)
as we expected.

103
The Chain Rule
When we have a function inside of a function (called a composite function) we differentiate using the
chain rule. An example of a composite function is y = sin(x2 + 1). There are two functions sin(..) and
x2 + 1. We are applying the sin function to x2 + 1, thus making it a function inside a function, or a
composite function.
As was discussed in an earlier section, the general form of a composite function is:

y = f (g(x))

where f and g are both functions. In the above example y = sin(x2 +1) we would have f (g(x)) = sin(g(x))
and g(x) = x2 + 1.
To use the chain rule we use the following steps:

1. Introduce a new variable u to be equal to u = g(x).
2. Substitute u = g(x) into the expression y = f (g(x)) so that y = f (u).

dy du
3. Find and .
du dx
dy dy dy du
4. The derivative can be found by this equation = × and then substitute u = g(x) back
dx dx du dx
in.
The chain rule is summarised in the box below:

If y = f (g(x)) let u = g(x) hence y = f (g(x)) = f (u)
dy dy du
then = ×
dx du dx
2
Below we follow the steps of the chain rule to differentiate y = sin(x + 1):
1. Introduce a new variable u to be equal to g(x) (the inside function). For this example u = x2 + 1.
2. Substitute u = g(x) into the expression y = f (g(x)) so that y = f (u). As u = x2 + 1 this would
make y = sin(u).
dy du
3. Find and . In this example we have:
du dx
dy
y = sin(u) =⇒ = cos(u)
du
and
2 du
u = x + 1 =⇒ = 2x
dx
dy dy dy du
4. The derivative can be found by this equation = × and then substitute back in
dx dx du dx
u = g(x).
dy
=⇒ = cos(u) × 2x = 2x cos(x2 + 1)
dx

104
Example: Differentiate y = (x2 + 2)3 using the chain rule:
Solution: We take u = x2 + 2 and therefore y = u3 .
Then we differentiate each of those to find:
du dy
= 2x = 3u2
dx du
From the chain rule:
dy dy du dy du
= × Substitute in our expressions for and
dx du dx du dx
dy
= 3u2 × 2x Substitute u = x2 + 2
dx
dy
= 6x(x2 + 2)2
dx
dy
Example: Given y = ln(x3 ) find
dx
Solution: We take u = x3 which means that y = ln(u).
Then differentiate to find that:
du dy 1
= 3x2 =
dx du u
dy dy du
From the chain rule = × we can see that:
dx du dx
dy 1
= × 3x2 Substitute u = x3
dx u
dy 1
= 3 × 3x2 Simplify further
dx x
dy 3
=
dx x
Note: A faster solution would have been to use the laws of logarithms to notice that ln(x3 ) =
3 ln(x) and then differentiate, avoiding the use of the chain rule.
Example: Differentiate y = cos(e2x )

Solution: Let u = e2x therefore y = cos(u).
Differentiate to find:
du dy
= 2e2x and = − sin(u)
dx du
dy dy du
Using the chain rule = × we can show that:
dx du dx
dy
= − sin(u) × 2e2x Substitute that u = e2x
dx
dy
= −2e2x sin(e2x )
dx

105
Physics Example: The Maxwell Boltzmann Distribution is a probability distribution of
finding particles at certain speed v in 3 dimensions. It has the form of:
2
f (v) = Av 2 e−Bv
d
where A and B are positive constants. Using the chain rule and the product rule find f (v).
dv
Solution: This example involves two steps, first of all the product rule is required to differentiate
the whole thing as f (v) is a product of two functions. The chain rule is also needed to differentiate
2
the exponential. Let’s call P = Av 2 and Q = e−Bv , thus making f (v) = P × Q. From the product
rule:
d dQ dP
f (v) = P +Q
dv dv dv
dP dQ
We have = 2Av but we will need to use the chain rule to find .
dv dv
du dQ
We let u = −Bv 2 , making Q = eu . We can then calcuate that = −2Bv and that = eu .
dv du
From here the chain rule tells us that:
dQ dQ du dQ du
= × We substitute our expressions for for and
dv du dv du dv
dQ
= eu × (−2Bv) Substitute u = −Bv 2
dv
dQ 2
= −2Bv · e−Bv
dv
Substituting into the previous equation (shown below) gives us:
d dQ dP
f (v) = P +Q Substitute in what we have found
dv dv dv
d 2 2
f (v) = Av 2 (−2Bv × e−Bv ) + e−Bv × 2Av This can be simplified
dv
d 2 2 2
f (v) = −2ABv 3 e−Bv + 2Av e−Bv Take a factor of 2Av e−Bv out
dv
d 2
f (v) = 2Av e−Bv (1 − Bv 2 )
dv
Note: This example is more complicated since we are using both the product rule and the chain rule.
Even more advanced functions might require the use of many differentiation rules in a calculation of
their derivatives.

106
Implicit Differentiation
Consider two variables x and y which are linked through an implicit formula, f (x, y) = 0. If we are asked
dy
to find there are many ways to achieve this:
dx
Firstly, we may be able rearrange to make y the subject of the equation then differentiate as normal.
dx
Secondly, if it is easier we could make x the subject and find and, as seen in the next section,
dy
dy
the reciprocal of this is .
dx
However neither of the above may be feasible, so we use implicit differentiation.
In the case above, where we have an implicit formula relating x and y, it may not be easy to rearrange
dy
the equation to get y = f (x) or x = g(y). In this case, if we wish to find , we use implicit differentia-
dx
tion. To do this, we treat y as a function of x, i.e. y = y(x) and then simply differentiate each term by
x. Note that if we are differentiating a term involving y(x), we must use the chain rule where appropriate.
For example, consider our method for differentiating (x + 1)2 with respect to x. We use the chain
rule to obtain:
2(x + 1) × 1
Now, if y = x + 1, we can write (x + 1)2 = y 2 and differentiate this with respect to x to obtain
dy
2y ×
dx
Note that since y = x + 1,
dy
2(x + 1) × 1 = 2y ×
dx
and this equivalence allows us to see that implicit differentiation works.
dy
Example: Find if
dx
1
y + x = 3x3 + y 3
3
Solution: Differentiating the left hand side gives

dy
1× +1
dx
Differentiating the right hand side gives
dy
9x2 + y 2 ×
dx
Therefore
dy dy
+ 1 = 9x2 + y 2
dx dx
Thus
dy 9x2 − 1
=
dx 1 − y2

107
dx
Example: Find the value of if
dt
xt = cos(3t) + 4
at t = π.
Solution: Consider x as a function of t, i.e. x(t). On the left hand side of the equation we must
use the product rule to differentiate as we have x(t) × t. This gives
dx
x+t×
dt
Differentiating the right hand side of the equation gives
−3 sin(3t)
Therefore
dx
x+t× = −3 sin(3t)
dt
At t = π we have that
xπ = cos(3π) + 4
xπ = 0 + 4
4
x=
π
4
Thus at t = π x = .
π
Substituting these values in we obtain
4 dy
+π = −3sin(3π)
π dx
Thus
dx 4
=− 2
dt π

108
Differentiating Inverse Functions
Here we look at how the derivative of the inverse of a function is related to the derivative of the original
function. The relationship is given in the following rule.
' $
dx
If y = y(x), find x(y) and calculate
dy
dy 1
then =
dx dx
dy
then substitute y = y(x) into the equation we obtain.
& %
This will become more clear with the help of an example:
1
Example: If we have y = 13 x 5 , we may find it easier to find the inverse function and differentiate
dy
this instead. Using the rule for differentiating inverse functions, find .
dx
1
Solution: First of all, we need to find x(y). To do this, we rearrange the function y = 13 x 5 to make
x the subject.
1
y = 13 x 5 Multiply both sides by 3
1
3y = x 5 Raise both sides to the power 5
243y 5 = x
dx
Now we need to calculate :
dy
dx
= 5 × 243y 4
dy
= 1215y 4
dy
Next, we use the rule above to find :
dx
dy 1
=
dx dx
dy
1
=
1215y 4
1 −4
= y
1215
1 dx
Finally, we must substitute y = 13 x 5 back into the equation so that we have in terms of x:
dy
−4
dy 1 1 1
= x5
dx 1215 3
1 −4
= x 5
15
Although this method is not incredibly useful in this particular example, there are cases when the
derivative of an inverse function is far easier than that of the original function, and so this method can
save us a lot of time. The next section will give an important application of this method.

109
Derivatives of Inverse Trigonometric and Hyperbolic Functions
Now that we have learnt the rule for differentiating inverse functions, we can find the derivatives of
inverse trigonometric functions:

−1 dy 1
If y = sin (x) then =√
dx 1 − x2

dy −1
If y = cos−1 (x) then =√
dx 1 − x2

dy 1
If y = tan−1 (x) then =
dx 1 + x2
We will only provide the proof for one of these derivatives, as the proofs are all rather similar.
Example: Using the method for differentiating inverse functions, differentiate y = sin−1 (x).
Solution: First of all, we need to write x in terms of y:
y = sin−1 (x) ⇒ x = sin(y)
dx
Now we need to calculate :
dy
dx
= cos(y)
dy
dy
Next, we use the rule above to find :
dx
dy 1
=
dx dx
dy
1
=
cos(y)
Notice that we can use the identity cos2 (θ) + sin2 (θ) = 1 to rewrite cos(y) as
q
cos(y) = 1 − sin2 (y)
and using our equation x = sin(y) we can write:
dy 1 1
= =√
dx cos(y) 1 − x2
Similarly, we can find the derivatives of inverse hyperbolic functions:

−1 dy 1
If y = sinh (x) then =√
dx 1 + x2

−1 dy 1
If y = cosh (x) then =√
dx 2
x −1

−1 dy 1
If y = tanh (x) then =
dx 1 − x2
Note that we could also have found these derivatives by writing the inverse hyperbolic functions in log-
arithm form.

110
Differentiating Parametric Equations
dy
We can also differentiate parametric equations to find . The technique used to do this is to differenc-
dx
tiate both y and x with respect to the parameter, t say, then use the rule:

dy dy dt
= ×
dx dt dx
dy
Example: Find for the parametric equation:
dx
y = 12t4 + 3
x = cos(t)
dy dt
Solution: Fist we need to find and , it is easy to see that:
dt dx
dy
= 48t3
dt
dx
= − sin(t)
dt
Using the rule for differentiating inverse functions we can see that:
dt
= − cosec(t)
dx
dy dy dt
Then using = × , we can see that:
dx dt dx
dy
= −48t3 cosec(t)
dx

111
6.4 Stationary points
dy
Stationary points occur when we have = 0. This represents when the gradient of a curve is horizontal.
dx
There are three types of stationary points:
1. Local maximum
We can see that when we pass through a maximum, the gradient goes from being positive i.e.
dy dy
f 0 (x) > 0 (or dx > 0) to being negative i.e. f 0 (x) < 0 (or dx < 0).
2. Local minimum
We can see that when we pass through a minimum the gradient goes from being negative i.e
dy dy
f 0 (x) < 0 (or dx < 0) to being positive i.e f 0 (x) > 0 (or dx > 0).
3. Point of inflection (or Saddle Point)
When we pass through a point of inflection we should note that the gradient does not change sign.

112
Example: Find the stationary point of y = x2
Solution: From the graph of y = x2 we can see that there is a minimum at x = 0 however we need
to find this algebraically.
30
20
10
x
−6 −4 −2 −0 2 4 6
dy dy dy
First we need to find when = 0. Now = 2x and therefore = 0 when x = 0.
dx dx dx
So we know we have a stationary point at x = 0. In the next section we will discuss how to decide
whether this is a maximum, minimum or point of inflection.
Classifying Stationary Points

We now need to introduce the second derivative, which is denoted by:
d2 y
or f 00 (x)
dx2
This means that we differentiate a function twice, so for example if we have y = x3 we would first find:
dy
= 3x2
dx
which we would then differentiate again to find:
d2 y
= 6x
dx2
First Test
The second derivative is used to decide whether a stationary point is a maximum or a minimum. If we
have the point x where there is a stationary point then we substitute this value into the second derivative.
d2 y
If > 0 we have a minimum.
dx2
d2 y
If < 0 we have a maximum.
dx2
d2 y
Unfortunately this test fails if we find that = 0. In this case we could have a maximum, minimum
dx2
or point of inflection and we must carry out the following test in order to decide:
Second Test
First find two x values just to the left and right of the stationary point and calculate f 0 (x) for each. Let
use denote the x value just to the left as xL and the one to the right as xR then:
If f 0 (xL ) > 0 and f 0 (xR ) < 0 we have a maximum.
If f 0 (xL ) < 0 and f 0 (xR ) > 0 we have a minimum.
If f 0 (xL ) and f 0 (xR ) have the same sign (so both are either positive or negative) then we have a
point of inflection.

113
x4 x2
Example: Find and classify the stationary points of y = −
4 2
dy
Solution: First we find where = 0. To find where the stationary points are.
dx
dy
= x3 − x = 0
dx
=⇒ x(x2 − 1) = 0
=⇒ x(x − 1)(x + 1) = 0
Therefore we have stationary points at x = 0, x = 1 and x = −1 to classify them we must find the
second derivative:
d2 y
= 3x2 − 1
dx2
d2 y
Now we substitute our x-values for the location of the stationary points into .
dx2
d2 y d2 y
Now when x = 0 we have 2
= −1 hence < 0 (negative) so this is a maximum.
dx dx2
d2 y d2 y
Now when x = 1 we have = 2 hence > 0 (positive) so this is a minimum.
dx2 dx2
d2 y d2 y
Now when x = −1 we again have = 2 hence > 0 (positive) so this is a minimum.
dx2 dx2
Example: Find and classify the stationary points of y = x3

dy
Solution: First we find when = 0 to find where the stationary points are.
dx
dy
= 3x2 = 0
dx
=⇒ x = 0
Therefore we have one stationary point at x = 0. To classify this point we need to find the second
derivative:
d2 y
= 6x
dx2
d2 y
Now when x = 0 we have = 0 hence our test has failed and we must carry out the further
dx2
test.
Now we need to pick x values close to either side of the stationary point at x = 0. So an x value
just to the left would be xL = −0.5 and one just to the right would be xR = 0.5.
dy
Now as = f 0 (x) = 3x2 we obtain:
dx
f 0 (xL ) = 3(xL )2 = 3 × −0.52 = 0.75 > 0
f 0 (xR ) = 3(xR )2 = 3 × 0.52 = 0.75 > 0
So both f 0 (xL ) > 0 and f 0 (xR ) > 0 are positive so are of the same sign. Hence the stationary
point at x = 0 is a point of inflection.

114
Physics Example: The Lennard-Jones potential decribes the potential energy V between
two atoms separated by a distance r. The equation and graph of this function are shown below:
A B
V (R) = 12
− 6
r r
V (r)
where A and B are constants. The two particles are at their equilibrium separation when the
potential is at a minimum (V is at a minimum). By differentiating this equation with respect to
r, find the equilibrium separation.
Solution: To find the minimum V we need to differentiate it and then set it equal to zero (find
dV
dr = 0). The value of r that this equation gives will be where the potential is a minimum.
Differentiating V with respect to r gives:
dV −12A 6B
= 13 + 7
dr r r
dV
We need to find when = 0 so we need to solve the equation:
dr
−12A 6B −12A
+ 7 =0 Add to both sides
r13 r r−13
6B 12A
= 13 Multiply each side by r13 and divide by 6B
r7 r
13
r 12A
= Simplify both of the fractions
r7 6B
2A
r6 = Take the 6th root of both sides
B
16
2A
r=
B
16
2A
Hence at the equilibrium separation r = .
B

115
Easy Questions
dy
Question 1: Find if
dx
x2 + 5
y=
x2 − 5
Answer:
dy −20x
= 2
dx (x − 5)2
dy
Question 2: Find if
dx p
y= 1 + 2 tan(x)
Answer:
dy sec2 (x)
=p
dx 1 + 2 tan(x)
dy
Question 3: Find if
dx
x
y = ln tanh( )
3
Answer:
dy
= cosech(x) sech(x)
dx
dy
Question 4: Find if
dx
1 + cosh(x)
y = ln
cosh(x) − 1
Answer:
dy
= −2 cosech(x)
dx
dy
Question 5: Find if
dx
x2 + 5x − 3
y= 1
3x 2
Answer:
dy 1 1 5 1 1 3
= x 2 + x− 2 + x− 2
dx 2 6 2
Medium Questions
Question 6: Find the gradient of the circle

y 2 + x2 = 25
at the point (3, −4)

Answer:
3
4

116
dy
Question 7: Find if
dx
y = ln(x3 ex )
Answer:
dy 3
= +1
dx x
dy
Question 8: Find if
dx
y = ln(x ln(x))
Answer:
dy ln(x) + 1
=
dx x ln(x)
dy
Question 9: Find if
dx
y = ln(ex + e−x )
Answer:
dy
= tanh(x)
dx
dz
Question 10: Find if
dp
z = ap
where a is a constant.
Answer:
dz
= ap ln(a)
dp
Hard Questions
Question 11: For x + y = 100 prove that the product P = xy is a maximum when x = y and
find the maximum value of P .
dP dP
Hint: Try finding and .
dx dy
Answer:
Pmax = 2500
Question 12: Two positive quantities p and q vary in such a way that p3 q = 9. Another
quantity z is defined by z = 16p + 3q. Find values of p and q that make z a minimum and hence
find the minimum value of z.
Answer:
zmin = 32
dy
dx
y = xx
Answer:
dy
= xx (ln(x) + 1)
dx

117
dy
dx
y = arccos(x) + 2 arcsin(x)
Hint: Consider each term separately
Answer:
dy 1
=√
dx 1 − x2
Question 15: Show that if y = 3x2 + sin(2x), then

d2 y
+ 4y = 12x2 + 6
dx2

118
7 Partial Differentiation and Multivariable Differential
Calculus
7.1 Partial Differentiation
We often encounter quantities that depend on more than one variable. For example, the temperature T
in a room depends on where you are in the room, so T depends on the three directional vectors x, y and
z. We write T = T (x, y, z), which means that T is a function of three variables x, y and z. Another case
is the ideal gas equation:
nRT
p=
V
The pressure p of a gas depends on its volume V and its temperature T . This can be written as
p = p(V, T ). We often find it useful to calculate how one variable changes with another while the
remaining variables are taken to be constant.
As we have just seen, we can use the notation y = f (x, z) to mean that y is a function of x and z where
x, y, z are variables. For example:
y = x2 + zx
We use partial derivatives to differentiate functions with multiple variables. We do this by differentiating
with respect to one variable and treating the other variable as constant. So for y = f (x, z) the partial
derivative of a y with respect to x is denoted:

∂y
∂x z
This is pronounced ‘the partial derivative of y with respect to x’, or ‘partial y, partial x’.
The ∂x term informs us that we perform partial differentiation with respect to x while the subscript
variable, in this case z, is being considered as a constant (not every textbook uses the subscript notation).
We can use another notation for partial derivatives as follows:
If we have a function f = f (x, y, z), i.e. f depends on three variables x, y and z, then the partial
derivatives of f with respect to its three variables are:

∂f
or fx
∂x
y,z
∂f
or fy
∂y x,z

∂f
or fz
∂z x,y
The second notation is often more convenient and saves time when we are solving questions involving
lots of partial derivatives.
In many cases, we can save time by dropping the subscript and the brackets and just writing

∂y ∂y
=
∂x z ∂x
as it is often implicit which variables are being kept constant, however you should always make sure that
you understand that we are only treating these variables as constant for the sake of partial differentia-
tion.
All of the rules for ordinary differentiation described in the previous chapter also apply to partial differ-
entiation.

119
∂y
Example: Using our example y = x2 + zx, find
∂x
Solution: We note:
The curvy symbol ∂ informs us that we perform partial differentiation.
We are differentiating y with respect to x.
We treat z as a constant.
So we differentiate the x2 term as usual to get 2x. Then we differentiate the zx term treating z as
a constant so this gives z. Hence:
∂y
= 2x + z
∂x
∂y ∂y
Example: For y = 2 ln(z) + sin(zx) find and
∂x ∂z
∂y
Solution: For we treat z as a constant and differentiate with respect to x.
∂x
∂y ∂ ∂
= 2 ln(z) + sin(zx) Treating z as a constant
∂x ∂x ∂x
∂y
= 0 + z cos(zx) = z cos(zx)
∂x
∂y
For we treat x as a constant and then differentiate with respect to z.
∂z
∂y ∂ ∂
= 2 ln(z) + sin(zx) Treating x as a constant
∂x ∂z ∂z
∂y 2
= + z cos(zx)
∂x z

120
Physics Example: The ideal gas equation is pV = nRT . Find:

∂V
1.
∂T p

∂T
2.
∂p V
Solution:

∂V
1. To be able to find we must first make V the subject in the equation. This is done
∂T p
nRT
by dividing both sides by p to produce V = .
p
Now we differentiate with respect to T , taking p to be a constant.

∂V ∂ nRT nR
= Note is a constant.
∂T p ∂T p p

∂V nR
=
∂T p p
This is Charles’s law; at constant pressure, the volume of a gas is directly proportional to
the temperature.

∂T
2. We do the same process to find . First make T the subject by dividing both sides
∂p V
PV
by nR to make T = .
nR
As before we then differentiate, treating V as a constant this time to get:

∂T ∂ pV V
= Note is a constant
∂p V ∂p nR nR

∂T V
=
∂p V nR
This is Gay-Lussac’s (or, the pressure) law; under fixed volume the pressure is proportional
to the temperature.

121
7.2 Higher Order Partial Derivatives
As with ordinary differentiation, we can calculate second order partial derivatives or even higher orders.
This is done in exactly the same way as before, however, since we are handling functions which depend
on multiple variables, we can now differentiate functions with respect to one variable, and then with
respect to a different variable. For example, if we have a function f = f (x, y, z) then we can differentiate
with respect to x, and then differentiate with respect to y. This is written as:
∂2f
or fxy
∂y∂x
where we have dropped the subscript ‘z’ to simplify the notation.
We pronounce this as ‘the second partial derivative of f with respect to x and y’.
It is important to notice that in the first notation we write the order in which we are differentiating
backwards. We can understand the reason for this by writing out exactly what this notation means:
First we are differentiating f with respect to x:
∂f
∂x
We then differentiate this with respect to y:

∂ ∂f
∂y ∂x
And so after expanding the brackets we have:
∂2f
∂y∂x
This is analogous to our notation for composite functions such as f g(x) where we apply g to x first, and
then apply f .
On the other hand, in the second notation given above, we write the subscripts in the same order in
which we differentiate.

122
Example: Given the function f = x cos(z) + xz 2 + zy2 , find:
∂2f
1.
∂z 2
∂2f
2.
∂x∂z
∂2f
3.
∂z∂x
Solution:
1. First we need to differentiate with respect to z:
∂f
= −x sin(z) + 2xz + y 2
∂z
Now to get the second partial derivative with respect to z, we differentiate with respect to z
again:
∂2f
= −x cos(x) + 2x + 0
∂z 2
= −x cos(x) + 2x
2. First we need to differentiate with respect to z:

∂f
= −x sin(z) + 2xz + y 2
∂z
Now to get the second partial derivative with respect to z and x, we now differentiate with
respect to x:
∂2f
= − sin(x) + 2z + 0
∂x∂z
= − sin(x) + 2z
3. First we need to differentiate with respect to x:

∂f
= cos(z) + z 2 + 0
∂z
= cos(z) + z 2
Now to get the second partial derivative with respect to x and z, we now differentiate with
respect to z:
∂2f
= − sin(x) + 2z
∂z∂x
= − sin(x) + 2z
Notice that in this example:
∂2f ∂2f
=
∂x∂z ∂z∂x
and so the order of partial differentiation does not matter. However this is not always the
case! When a function does not have continuous second order partial derivatives, then the
order of partial differentiation does matter!

123
7.3 The Chain Rule with Partial Differentiation
We have already described the chain rule in a previous section, however it can be used with partial
differentiation to greatly simplify problems.
Say for example that we have a function f = f (x, y, z) which depends on the three variables x, y and
df
z. Now suppose that each of these x, y and z all depend on a single variable, t. If we want to find ,
dt
then we can solve the problem by substituting our expressions for x, y and z into f , so that we get an
df
equation in just one variable, t, and then differentiating to get . However, in many cases this method
dt
would be extremely laborious and difficult, so we can use the chain rule to make the calculation simpler.
The following formula is incredibly useful for solving these types of problems:

df ∂f dx ∂f dy ∂f df
= + +
dt ∂x dt ∂y dt ∂z dt

Although the formula looks rather complicated, in practice it is rather simple to compute.
df
Example: Given the function f = 2xy − y2 , where x = t2 + 1 and y = t2 − t, find .
dt
Solution: First, notice that we do not have z in our expression for f , so we can ignore the ‘z’ part
of the chain rule formula as the derivative of zero is just zero.
Begin by calculating all the derivatives and partial derivatives that we will need. These are:
dx
= 2t
dt
dy
= 2t − 1
dt
∂f
= 2y
∂x
∂f
= 2x − 2y
∂y
For the partial derivatives containing x or y, we should now substitute in our expressions for x
and y in terms of t:
∂f
= 2y = 2t2 − 2t
∂x
∂f
= 2x − 2y
∂y
= 2t2 + 2 − 2t2 − 2t
= 2 − 2t
Now that everything is in terms of t, we can apply the chain rule formula:
df ∂f dx ∂f dy
= +
dt ∂x dt ∂y dt
2t × (2t2 − 2t) + (2 − 2t) × (2t − 1)

= 4t3 − 8t2 + 6t − 2

124
7.4 Gradients and ∇f
Note: In this section we will be using vectors. These are covered in their own section earlier on in the
booklet, so feel free to return to that section and recap the key concepts. In this section we will be using
the notation ~u with an arrow to represent a vector.
You should now be confident with calculating partial derivatives, however we have not yet mentioned
what a partial derivative actually means.
Similar to ordinary differentiation, a partial derivative represents the gradient of a function in a par-
∂f
ticular direction. For example, represents the magnitude of the gradient of a function f parallel
∂x
to the x-axis.
Vector Fields
A vector field is an assignment of a vector to each point in space. This means that, for each point in
space, we can place an arrow representing the magnitude and direction of the field at that point. We
can denote a vector field as the vector quantity F~ where
F~ = Fx~i + Fy~j + Fz~k
= (Fx , Fy , Fz )
In other words, F~ consists of three functions Fx , Fy and Fz which each correspond to a different perpen-
dicular (or orthogonal) direction.
As you can imagine, vector fields are very useful for modelling fluids or other media where there is some
sort of ‘flow’.
The Gradient Operator, ∇

We can now define the gradient vector field as:

∂f ~ ∂f ~ ∂f ~
∇f = i+ j+ k
∂x ∂y ∂z

where ∇f is pronounced ‘grad f’ or ‘nabla f’. The ∇ is known as the gradient operator.
This quantity gives us the rate of change of f at any point.
Since the operator ∇ is defined as

∂~ ∂ ∂~
i + ~j + k
∂x ∂y ∂z
we can consider it as a vector in its own right. This allows us to perform operations between ∇ and
vector fields.
Note: Although ∇f is a vector quantity, we do not worry about underlining it or putting an arrow
~ This is because ∇ always represents a vector and so we do not need to specify
above it (i.e. ∇ or ∇).
that it is a vector.
Example: Given the function f = sin(xy) + x2 z 2 , find ∇f .

Solution: We start be calculating all the partial derivatives that we need:
∂f
= y cos(xy) + 2xz 2
∂x
∂f
= x cos(xy)
∂y
∂f
= 2x2 z
∂z
Now we substitute these derivatives into the formula for ∇f :
∇f = (y cos(xy) + 2xz 2 )~i + (x cos(xy))~j + (2x2 z)~k

125
Physics Example: The electric potential at a point (x, y, z) of a point charge placed at the
origin is given by:
Q 1 Q 1
V = = p
4πo r 4πo x + y 2 + z 2
2
where Q, π and 0 are constants. Calculate ∇V .

Solution: As before, we first calculate all the partial derivatives that we will need:
∂V Q 1 1 Q x
= × 2x × − 3 =
∂x 4πo −
2 (x + y + z ) 2
2 2 2 4πo r3
∂V Q 1 1 Q y
= × 2y × − 3 =
∂y 4πo −
2 (x + y + z ) 2
2 2 2 4πo r3
∂V Q 1 1 Q z
= × 2z × − =
∂z 4πo 2 (x2 + y 2 + z 2 )− 23 4πo r3
Now we substitute these derivatives into the formula for ∇V :
Q x~ Q y~ Q z~
∇V = 3
i+ 3
j+ k
4πo r 4πo r 4πo r3
Q
= (x~i + y~j + z~k)
4πo r3
Q
= ~r
4πo r3
Q ~
= r̂
4πo r2
Notice that this is the same as the equation for the electric field strength, so we have essentially
proved the relation E~ = ∇V .
Directional Derivatives
Now that we can use ∇f , we can find the gradient of a function f in any direction. We call this a
directional derivative, and it is calculated as follows:
The directional derivative of f at a point ~a, in the direction of the unit vector ~u is:

Du f (~a) = ~u · ∇f (~a)

Note: ~u · ∇f (~a) is a scalar product (or dot product) and so the directional derivative is a scalar quantity,
not a vector.

126
Example: Let
f (x, y, z) = xy 2 z 3
Find the directional derivative of f at the point (1, 1, 1) in the direction to the point (3, 2, 3).
Solution: We first find the gradient of f .
∇f = y 2 z 3~i + 2xyz 3~j + 3xy 2 z 2~k
At the point (1, 1, 1),

∇f (1, 1, 1) = ~i + 2~j + 3~k
Now we must find the unit vector in the direction from (1, 1, 1) to (3, 2, 3).
(3, 2, 3) − (1, 1, 1) = (2, 1, 2)
2~i + ~j + 2~k 1
⇒ ~u = √ = (2~i + ~j + 2~k)
2
2 +1 +2 2 2 3
Finally, we use the formula for the directional derivative to obtain
Du f (1, 1, 1) = ~u · ∇f (1, 1, 1)
1
= (2, 1, 2) · (1, 2, 3)
3
2 2
= + +2
3 3
10
=
3

127
7.5 Other Operations with ∇
The Laplace operator, ∇2
Since ∇f is a vector, we can take the scalar product ∇ · (∇f ). We often write this as ∇2 f . Using our
method for calculating scalar products, we can interpret this in the following way:

2 ∂ ∂f ∂ ∂f ∂ ∂f
∇ f = ∇ · (∇f ) = + +
∂x ∂x ∂y ∂y ∂z ∂z
∂2f ∂2f ∂2f

= 2
+ 2 + 2
∂x ∂y ∂z
In other words, we calculate the second derivative of f with respect to each of its variables, and then
add these derivatives together.
This is known as the ‘Laplacian of f ’ or ’del squared of f ’. We call ∇2 the ‘Laplacian operator’.
Note: The Laplacian is a scalar.
The Divergence of F~
Given a vector field F~ , we can calculate the object ∇ · F~ . This is often written as div(F~ ) and is called
the ‘divergence of F~ ’. It represents how much the vector field expands (or contracts) about a particular
point. It can also be thought of as the rate of change of volume of a flow.
We define the divergence of F~ as:

~ ~ ∂Fx ∂Fy ∂Fz
div(F ) = ∇ · F = + +
∂x ∂y ∂z
We differentiate each part of F~ with respect to its corresponding direction variable, i.e. Fx is the part
of F~ that acts in the x direction, so we differentiate Fx with respect to x.
We often call ∇· the ‘divergence operator’.
Note: The divergence is a scalar quantity.
Example: Calculate the divergence of the vector field F~ = (x3 y2 , z cos(y), z 2 − x − y)

Solution: Using the formula:
∂ 3 2 ∂ ∂ 2
div(F~ ) = (x y ) + (z cos(y)) + (z − x − y)
∂x ∂y ∂z
= 3x2 y − z sin(y) + 2z
The Curl of F~
Given a vector field F~ , we can calculate the object ∇ × F~ . This is often written as curl(F~ ) and is called
the ‘curl of F~ ’. It represents how much the vector field rotates (or swirls) about a particular point.
We define the curl of F~ as:

~i ~j ~k

~ ~ ∂ ∂ ∂ ∂Fz ∂Fy ~ ∂Fx ∂Fz ~ ∂Fy ∂Fx ~
curl(F ) = ∇ × F = = − i+ − j+ − k
∂x ∂y ∂z ∂y ∂z ∂z ∂x ∂x ∂y
Fx Fy Fz

We often call ∇× the ‘curl operator’.

Note: The curl is a vector quantity.

128
Example: Calculate the curl of the vector field F~ = (y + z − 2, xyz 2 , y3 tan(z))
Solution: Using the formula:
~i ~j ~k
∂ ∂ ∂
curl(F~ ) =
∂x ∂y ∂z
y + z − 2 xyz 2 y 3 tan(z)

∂ 3 ∂ ∂ ∂ 3 ∂ ∂
= 2 ~
(y tan(z))− (xyz ) i+ ~
(y+z −2)− (y tan(z)) j + (xyz )− (y+z −2) ~k
2
∂y ∂z ∂z ∂x ∂x ∂y
= (3y 2 tan(z) − 2xyz)~i + (1 − 0)~j + (yz 2 − 1)~k
= (3y 2 tan(z) − 2xyz)~i + ~j + (yz 2 − 1)~k
For first year physics, an understanding of the proofs for the divergence and curl of a vector field is
not required, however it is useful to remember and be able to apply the formulae.
Identities with div, grad and curl

Given vector fields F~ and G,
~ a scalar function f and the scalars α and β, some useful identities involving
the new operations we have just discussed are as follows:
The divergence operator is linear, i.e.
∇ · (αF~ + β G)
~ = α∇ · (F~ ) + β∇ · (G)
~
The curl operator is linear, i.e.
∇ × (αF~ + β G)
~ = α∇ × (F~ ) + β∇ × (G)
~
The curl of grad(f ) is zero, i.e.

curl(∇f ) = ∇ × (∇f ) = 0
The divergence of grad(f ) is the Laplacian, i.e.
div(∇f ) = ∇ · (∇f ) = ∇2 f
The divergence of curl(F~ ) is zero, i.e.
div(curlF~ ) = ∇ · (∇ × F~ ) = 0

129
7.6 Applications of Partial Differentiation
Lagrange Multipliers
If we have a problem in which we wish to minimise or maximise a function f (x, y, z) subject to the
constraint g(x, y, z) = 0, then we can use the method of Lagrange Multipliers. Examples of when
this is useful is when we wish to find the maximum distance from a point to a sphere, or the largest
rectangular box which fits inside an ellipsoid. We call these types of problems constrained extreme
value problems.
In order to solve these problems, we introduce the Lagrangian function:

L(x, y, z; λ) = f (x, y, z) + λg(x, y, z)

We then find the stationary equations of this function and find each variable x, y and z if terms of the
constant λ. We then substitute our equations for the variables into our constraint and calculate the
possible values for λ. Finally, we substitute the values for λ into our equations for the three variables
and hence calculate the (x, y, z) which correspond to the maxima and minima.
The stationary equations of the Lagrangian function are:

Lx = fx + λgx = 0
Ly = fy + λgy = 0
Lz = fz + λgz = 0
Lλ = g(x, y, z) = 0

where Lx is the partial derivative of L with respect to x and so on.

130
Example: Using the method of Lagrange multipliers, find the maximum and minimum distance
from the point (-2,1,2) to the sphere x2 + y 2 + z 2 = 1
Solution: We know that the distance from (-2,1,2) to the point (x, y, z) is given by
p
d = (x + 2)2 + (y − 1)2 + (z − 2)2
When d approaches a maximum or minimum, so does d2 , so let us choose
f (x, y, z) = d2 = (x + 2)2 + (y − 1)2 + (z − 2)2
with the constraint

g(x, y, z) = x2 + y 2 + z 2 − 1 = 0
Then our Lagrangian function is
L(x, y, z) = (x + 2)2 + (y − 1)2 + (z − 2)2 + λ(x2 + y 2 + z 2 − 1)
Now we write out our stationary equations:

2
Lx = 2(x + 2) + 2λx = 0 ⇒ x = −
1+λ
1
Ly = 2(y − 1) + 2λy = 0 ⇒ y =
1+λ
2
Lz = 2(z − 2) + 2λz = 0 ⇒ z = −
1+λ
Lλ = x2 + y 2 + z 2 − 1 = 0
Substituting our three equations for the variables into Lλ allows us to find the values of λ which
correspond to the minima and maxima of the problem.
2 2 2
2 1 2
− + + − =1
1+λ 1+λ 1+λ
⇒ 4 + 1 + 4 = (1 + λ)2
⇒ λ = 2 or λ = −4
So by substituting these values of λ into our equations for x, y and z, we find that the point on the
sphere which gives the minimum distance is (− 32 , − 13 , 23 ) and the point which gives the maximum
distance is ( 23 , 13 , − 23 )
Finally, we can substitute these points into our expression for the distance f (x, y, z) to get dmin = 2
and dmax = 4.

131
Easy Questions
Question 1: Find fx , fy and fz if

f = z cos(y) + x
Answer:
fx = 1
fy = −z sin(y)
fz = cos(y)
Question 2: Find fx if
f = x sin(xy)
Answer:
fx = sin(xy) + xy cos(xy)
Question 3: Find fxx , fyy and fxy if

f = x sin(y) + yx2
Answer:
fxx = 2y
fyy = −x sin(y)
fxy = cos(y) + 2x
∂z
Question 4: Find if the equation
∂x
yz − ln(z) = x + y
defines z as a function of x and y.
Hint: You will need to use implicit partial differentiation in this question. Refer to the section on
implicit differentiation in the previous chapter if you need to.
Answer:
∂z z
=
∂x yz − 1
∂z
Question 5: Using the chain rule, find if
∂t
z = 2xy − y 2
x = t2 + 1, y = t2 − 1
and express the result in terms of t.
Answer:
∂z
= 4t(t2 + 1)
∂t

132
Medium Questions
Question 6: Find ∇f if
f = y 2 + sin(z) e−x

Answer:
∇f = − y 2 + sin(z) e−x~i + 2ye−x~j + e−x cos(z)~k

Question 7: Let
f (x, y, z) = x2 z + yz 3
Find the directional derivative of f at the point (1, 3, 2) in the direction to the point (2, 1, 3).
Answer:
25
Du f (1, 3, 2) = √
6
Question 8: Calculate divF~ if

F~ = (x2 y, −xze2y , x2 y 2 )
Answer:
div F~ = 2xy − 2xze2y
Question 9: Calculate curlF~ if

F~ = (xyz, x2 cos(z), exy )
Answer:
curlF~ = (xexy + x2 sin(z))~i − (yexy − xy)~j + (2x cos(z) − xz)~k
Question 10: Find ∇2 f if

f = 3x3 y 2 z 3
Answer:
∇2 f = 18xy 2 z 3 + 6x3 z 3 + 18x3 y 2 z
Hard Questions
∂w
Question 11: Using the chain rule, find if
∂t
w = ex yz
x = ts, y = s2 , z = t − s
Hint: You may wish to calculate all the partial derivatives you will need and substitute them into
the formula for the chain rule.
Answer:
∂w
= ets s2 (t − s)s + 1

∂t

133
Question 12: By considering the function
f = x2 yz + exyz
show that div(∇f ) = ∇2 f .
Question 13: Recall the relations between Cartesian coordinates and polar coordinates:
x = r cos(θ) and y = r sin(θ)
Find rx and θx .
x
Hint: Use implicit partial differentiation on two formulae r2 = x2 + y 2 and tan(θ) = .
y
Answer:
rx = cos(θ)
sin(θ)
θx = −
r

Question 14: Consider f g(x, y), h(x, y) , where x = x(t) and y = y(t, s). Find ft and fs .
Hint: You will need to use the chain rule multiple times.
Answer: ! !
∂f ∂g dx ∂g ∂y ∂f ∂h dx ∂h ∂y
ft = + + +
∂g ∂x dt ∂y ∂t ∂h ∂x dt ∂y ∂t
∂f ∂g ∂y ∂f ∂h ∂y
fs = +
∂g ∂y ∂s ∂h ∂y ∂s
Question 15: Use Lagrange multipliers to find the maximum and minimum values of the
function
f (x, y) = x2 y
subject to the constraint
g(x, y) = x2 + y 2 − 3 = 0
Answer:
fmin = −2 and fmax = 2

134
8 Integration
8.1 Introduction to Integration
Integration is the opposite of differentiation so it helps us find the answer to the question:
dy
‘Suppose we have = 2x then what is y?’
dx
From the previous section we know the answer is y = x2 + C, where C is a constant. So we say that the
integral of 2x is x2 + C.
Note: We have an infinite number of solutions to the above question as the constant C could be any
number!
Graphically, we know that differentiation gives us the gradient of a curve. Integration, on the other
hand, finds the area beneath a curve.
x
a b
Suppose we wish to find the area under the curve between the x values a and b in the graph above. Then
we could find an approximate answer by creating the dashed rectangles above and adding their areas.
Now, we can see this does not give a perfect answer, however the smaller the width of the rectangles the
smaller the error in our answer would be.
So if we could use rectangles of an infinitely small width we would find an answer with no error. This is
what integration does. It creates an infinite number of rectangles under the curve all with an infinitely
small width and sums their area to find the total area under the curve.
1.
−2. −1. 0 1.
−1.
−2.
So integration could be used to find the area shaded (between x = −2 and x = 1) on the graph of
y = x2 − 2 above. Note that integration always finds the area between the curve and the x-axis, so when
the curve is below the x-axis, integration finds the area above the curve and below the x-axis as depicted
above.
Note: If the area we are finding is below the x-axis then we get a negative answer when we integrate.

135
This means that if we are integrating to find the area shaded in blue above, we will need to separate
our calculation into two parts: one to calculate the area under the x-axis and one to calculate the area
above the x-axis. We would then have to add up the modulus of our two areas to get the total positive
area.
Notation
We use the fact that the integral of 2x is x2 + C to help introduce the following notation for integration.
If we want to integrate 2x we write this as:
Z Z
2
2x dx = x + C or dx 2x = x2 + C
Z
The tells us we need to integrate.
Z
The dx tells use to integrate with respect to x. So we could write 2z dz = z 2 + C but in this
case we have integrated with respect to z.
Z
We call 2x dx = x2 + C the integral.
We call the expression that we are integrating the integrand. So in this case the integrand is 2x.
Another notation which we can use is the following:

If we have the function f (x) then we write the integral of this as F (x). So if f (x) = 2x then F (x) = x2 +C.
Integration finds the area under the curve. So if we want to find the area between two points on the
x-axis, say a and b, we use the following notation:
Z b
f (x) dx
a
This tell us we want to find the integral of f (x) and then use that information to find the area under
the curve between a and b. We call a and b the ‘limits’ of this integral. We find the area by using the
formula below:

Z b
f (x) dx = F (b) − F (a)
a
Note: This is explained in detail in the section on definite integrals.

When we are given limits then we have a definite integral.
When we are not given limits then we have an indefinite integral.
Rules for Integrals

Integration is a linear operation. This means that:
Z Z
3
1. We can split up a sum into separate integrals. For example (x + 2x + 7) dx = x3 dx +
Z Z
2x dx + 7 dx. Note that each of these integrals will result in a constant, however since these
are all arbitrary numbers, we can combine them into a single constant C.
Z Z
2. We can take constants out of the integral. For example 6x dx = 6 x4 dx. Note that the
4
constant resulting from the integral will be multiplied my 6 too, however as it is arbitrary we can
incorporate the 6 into the constant and just have one constant C.

136
8.2 Standard Integrals
Integrating Polynomials
When we are differentiating xn we multiply by n and then reduce the power on x by 1. When integrating
we do the opposite. First we ‘add 1 to the power, then divide by this new power’. In general we have
the rule:

xn+1
Z
xn dx = +C
n+1

Note: This rule works for all values of n apart from n = −1. If we were to use the rule with n = −1 we
0
would have x0 + C. This would have us dividing by 0 which would be undefined. The integral of x−1 is
discussed on the next page.
Example: Find the integrals of the following:

1. x2
2. 2x + 6x2
3. x(x + 3)
Solution:
xn+1
Z Z
1. We are being asked to find x2 dx, so using the rule xn dx = +C
n+1
x2+1
Z
x2 dx = +C This can be simplified
2+1
x3
= +C
3
Z
2. We are being asked to find (2x + 6x2 ) dx.
When integrating multiple terms we do each of them individually in turn. This means that:
Z Z Z
(2x + 6x ) dx = 2x dx + 6x2 dx
2
Constants are taken out of the integral
Z Z
=2 x dx + 6 x2 dx We can now integrate
x1+1 x2+1
=2 +6 +C This can be simplified
1+1 2+1
= x2 + 2x3 + C
3. First we expand the brackets to produce x2 + 3x. Then we integrate this:
x2+1 x1+1
Z
(x2 + 3x) dx = +3 +C This can be simplified
2+1 1+1
1 3 3 2
= x + x +C
3 2

137
Integrating x−1
We recall that if we differentiate ln(x) we get x−1 . Since integration is the opposite of differentiation,
when we integrate x−1 we get ln(x).
Z
x−1 dx = ln |x| + C
Note: The | signs on either side of the x mean the modulus (or the absolute value) of x as we dis-
cussed on the section on the modulus function. For example |5| = 5 and | − 5| = 5. It is important in
this integral as we can input a negative value of x into x−1 however we cannot take the log of a negative x.
Example: Find the following integral:

x2 + 2x3 − 4x4
Z
dx
x3
Solution: The fraction can be simplified, by dividing each term on the numerator by x3 . This
reduces the original integral to:
Z 2
x + 2x3 − 4x4
Z
1
dx = + 2 − 4x dx Integrate each term individually
x3 x
−4 2
= ln |x| + 2x + x +C Simplify the terms
2
= ln |x| + 2x − 2x2 + C

138
Integrating Exponential Functions
We can recall that:

ax dy
If y = e then = a × eax
dx
So when we are differentiating eax we multiply the exponential by the coefficient of the power. When
integrating we do the opposite so we divide by the coefficient of the power. In general we have:

eax
Z
ax
e dx = +C
a
Example: Evaluate the following integrals:

Z
1. e6x dx
Z
2. (ex + 4e−3x ) dx
Z
3. 9e3z dz
Solution:
eax
Z
1. Using the rule eax dx = + C and dividing by the coefficent of the power we find:
a
e6x
Z
e6x dx = +C
6
2. First we should break up the integral across the sum:

Z Z Z
(ex + 4e−3x ) dx = ex dx + 4 e−3x dx
Now we can apply the rule above to get:
ex e−3x 4e−3x
Z Z
x
e dx + 4 e−3x dx = +4× + C = ex − +C
1 −3 3
3. Using the rule above but this time with respect to z, we find:
e3x
Z Z
9e3z dz = 9 e3z dz = 9 × +C = 3e3x + C 0
3
where C 0 = 9C is just another constant.

139
Integrating Trigonometric Functions
By recalling the derivatives of sin(x), cos(x) and tan(x), we can formulate the following rules by consid-
ering the reverse operations:
Z
sin(ax)
cos(ax) dx = +C
a

− cos(ax)
Z
sin(ax) dx = +C
a
Z
2 tan(ax)
sec (ax) dx = +C
a
Notice that when we integrate sin(x) we get − cos(x).

Note: The integral of tan(x) is more complicated and will be discussed in a later section.

Z
1. cos(4x) dx
Z
2. 6 sin(3x) dx
Z
5 cos(−x) + sec2 (3x) dx

3.
Solution:
Z
sin(ax)
1. Using the rule cos(ax) dx = + C a we find:
a
Z
sin(4x)
cos(4x) dx = +C
4
Z Z
2. First we should note 6 sin(3x) dx = 6 sin(3x) dx
Now we can apply the rules above to get:
− cos(3x)
Z Z
6 sin(3x) dx = 6 sin(3x) dx = 6 × + C = −2 cos(3x)
3
3. Splitting up the integral and extracting constants gives:

Z Z Z
5 cos(−x) + sec2 (3x) dx = 5 cos(−x) dx + sec2 (3x) dx

Now by applying the above rules we get:

Z Z Z
5 cos(−x) + sec2 (3x) dx = 5 cos(−x) dx + sec2 (3x) dx
sin(−x) tan(3x)
=5× + +C
−1 3
tan(3x)
= −5 sin(−x) − +C
3

140
Integrating Hyperbolic Functions
By recalling the derivatives of sinh(x), cosh(x) and tanh(x), we can formulate the following rules by
considering the reverse operations:
Z
sinh(ax)
cosh(ax) dx = +C
a
Z
cosh(ax)
sinh(ax) dx = +C
a
Z
2 tanh(ax)
sech (ax) dx = +C
a
Note: The integral of tanh(x) is more complicated and will be discussed in a later section.
Example: Evaluate the following:

Z
1. 2 sinh(2x) dx
Z
sech2 (−3x) − 9 cosh(2x) dx

2.
Solution:
Z Z
1. First we should note 2 sinh(2x) dx = 2 sinh(2x) dx
Z
cosh(ax)
Using the rule sinh(ax) dx = + C, we find:
a
Z
2 cosh(2x)
2 sinh(2x) dx = +C
2
= cosh(2x) + C
2. Splitting up the integral and extracting constants gives:

Z Z Z
2 2

sech (−3x) − 9 cosh(2x) dx = sech (−3x) dx − 9 cosh(2x) dx
Now by applying the above rules we get:

Z Z Z
2 2

sech (−3x) − 9 cosh(2x) dx = sech (−3x) dx − 9 cosh(2x) dx
tanh(−3x) sinh(2x)
= −9 +C
−3 2
1 9
= − tanh(−3x) − sinh(2x) + C
3 2

141
8.3 Finding the Constant of Integration
In the integrals so far we have always had a constant of integration denoted +C at the end. Consider
the functions y = x2 , y = x2 + 2 and y = x2 − 5, as shown on the graph below. These all differentiate to
2x. When integrating 2x we don’t know whether the actual answer is y = x2 , y = x2 + 2 or y = x2 − 5
so we give the general answer of y = x2 + C.
12 y
10
2
x
−4 −3 −2 −1 0 1 2 3 4
−2
−4
−6
If we are given the gradient of a curve and a point that the curve goes through, we can find the full
equation of the curve and therefore a value of C. This is called using boundary conditions.
Example: A curve of gradient 4x5 passes through the point (1, 2). What is the full equation
of the line?
dy
Solution: We know the gradient is 4x5 meaning = 4x5 . Hence we have:
dx
Z
y= 4x5 dx Now we integrate
4 6
y= x +C Simplify the fraction
6
2
y = x6 + C
3
We now have an expression for y in terms of x however it has a constant C in it. Since we know
a point (1, 2) that the curve passes through we can find this constant. So when x = 1 we have
y = 2. Substituting this into the equation gives:
2
2= × 16 + C Rearrange to find C
3
4
=C
3
We now substitute the value of C into the equation from before to find our answer:
2 6 4
y= x +
3 3

142
8.4 Integrals with Limits
Integrals represent the area under a graph. The probability of finding an electron between two points or
the energy needed to separate two atoms can be represented as the area under a curve and we can use
integration to find their value. Definite integrals are ones evaluated between two values (or limits):

Z b b
f (x) dx = F (x) = F (b) − F (a)
a
a
b
The braces .. with a and b signify that we will evaluate the integral between these two limits.
a
The numerical answer produced by F (b) − F (a) represents the area under the curve.
Z b
Below is a function f (x) integrated between the limits a and b with the shaded area being f (x) dx
a
y = f (x)
x
a b
Note: There is no need to find C when doing this

since the constants
will cancel out. When evaluating
between the two points we will have F (b) + C − F (a) + C = F (b) − F (a) + C − C = F (b) − F (a)
Z 4
Example: Calculate x dx
0
Solution: We first integrate with respect to x.
Z 4 4
1 2
x dx = x Substitute the limits in
0 2 0
4
1 2 1 2 1
x = ×4 − ×0 =8
2 0 2 2
We can verify this answer by seeing that the area in question is a triangle:
y
4
1
x
0 1 2 3 4
We could have easily found the area of the triangle without integration but when we have more
complicated functions then we must use integration.

143
Z π
Example: Find sin(x) dx
0
Solution: To begin we will integrate the function:
Z π π
sin(x) dx = − cos(x) Evaluate this at the limits
0 0
π

− cos(x) = − cos(π) − − cos(0) Evaluate the cosines
0

− cos(π) − − cos(0) = −(−1) + 1 = 2
The integral is 2, which means that the area under the curve from 0 to π is 2 as shown below.
y
x
1 π
2
π
Physics Example: The force on a charged particle, A, due to a second charged particle, B,
is given by
qq0
F =
4πε0 r2
Where Q is the charge of A, q is the charge of B and r is the distance of A from B. The subsequent
motion of A means it travels from r = 1 to r = 4, what is the work done on A.
Solution: The work done on the particle is given by
Z b
W = F (r) dr
a
Therefore Z 4
Qq
W = 2
dr
1 4πε 0r
4
−Qq
=
4πε0 r 1
−Qq Qq
= +
16πε0 4πε0 r
−3Qq
=
16πε0 r

144
8.5 Integration Techniques
Integrating Odd and Even Functions over Symmetric Limits
In some cases where we have symmetric limits (i.e. both limits are the same distance from the origin
but in opposite directions) we can use a trick to simplify integrals of odd and even functions.
Generally, we can use the rules:

If the function f (x) is even then
Z +a Z a
f (x) dx = 2 f (x) dx
−a 0
If the function f (x) is odd then

Z +a
f (x) dx = 0
−a
If the integrand is neither odd nor even then we must solve using other methods and cannot simplify
using these rules.
Example: Evaluate the following integrals using the simplification rules above:
Z π
1. sin(x) dx
−π
Z 3
2. x2 dx
−3
Solution:
1. Note that the integrand sin(x) is an odd function. Therefore we can easily solve this using
the rule for integrating an odd function over symmetric limits.
Z π
sin(x) dx = 0
−π
2. Note that the integrand x2 is an even function, so we can use the rule for integrating an even
function over symmetric limits which simplifies this to
Z 3 Z 3
x2 dx = 2 x2 dx
−3 0
3
1
= 2 x3
3 0
= 18

145
Using Identities to Solve Integrals
We can use our trigonometric and hyperbolic identities to convert some expressions into a form that we
can easily integrate. For example, we may find it difficult to integrate cos2 (x), however we can use the
double angle formula to rearrange this into an expression in terms of cos(2x), which is something we
can integrate. This kind of technique is something that you will become comfortable with the more you
practice!

Z
1. sin2 (x) dx
Z
2. 2 cos(x) sin(x) dx
Z
3. 2 tanh2 (x) dx
Solution:
1. We can rearrange the double angle formula cos(2x) = cos2 (x) − sin2 (x) as follows:
cos(2x) = cos2 (x) − sin2 (x) ⇒ cos(2x) = 1 − 2 sin2 (x)

1
⇒ sin2 (x) =

1 − cos(2x)
2
and use this to simplify the integral.
Z Z
2 1
sin (x) dx = 1 − cos(2x) dx
2
Splitting up the integral and extracting constants gives:
Z Z Z
1 1 1
1 − cos(2x) dx = 1 dx − cos(2x) dx
2 2 2
1 1
= x − sin(2x) + C
2 4
2. We can use the double angle formula sin(2x) = 2 cos(x) sin(x) to simplify the integral.
Z Z
2 cos(x) sin(x) dx = sin(2x) dx
1
= − cos(2x) + C
2
3. We can use the identity 1 − tanh2 (x) = sech2 (x) to simplify the integral.
Z Z
2 tanh (x) dx = 2 1 − sech2 (x) dx
2

Z Z
=2 1 dx − 2 sech2 (x) dx
= 2x − 2 tanh(x) + C

146
Integration by Substitution
If we have an integral that we cannot directly integrate, then we can transform it into something that
we can more easily integrate using a substitution, or change of variable. This approach arises from the
fact that we can differentiate a function of a function using the formula:

dy dy du
=
dx du dx
where y = (u(x)), or in other words, y is a function of u and u is a function of x. This formula was
discussed in the section on the Chain Rule.
This method relies heavily on intuition and knowledge of differentiation and standard integrals, as we
choose our substitution so that our integral becomes closer to something that we know how to integrate.
We do this by choosing a substitution x = x(u) and then writing our integral in terms of only u. This
gives us an expression of the form: Z Z
y(x) dx = y(u) dx
However, notice that we are now integrating a function of u with respect to x! This would of course give
dx
us that the integral is equal to zero. But, since we have a relationship between x and u, we can find .
du
Although we technically cannot do ordinary algebra with differentials such as dx, in this case it is okay
to think of this in terms of normal multiplication and division. Of course we know that we can write
x dx
x = u, so we can also write dx = du. This enables us to write the formula:
u du
Z Z
dx
y(x) dx = y(u) du
du
Now we are integrating with respect to u. In this way, we have changed the variable of our integral from
x to u.
We can also make a substitution u = u(x), however then we must use the rule for differentiating an
dx
inverse function to find .
du
Remember: Once we have our solution in terms of u, we must always remember to return back to our
original variable x.
This method will become clearer with the help of some examples.

147
Example: Evaluate the integral: Z
1
dx
2x + 3
dx du
Solution: We make the substitution u = 2x + 3. To calculate we need to first calculate and
du dx
then use the rule for differentiating an inverse product. (alternatively we could find x in terms of
u, i.e. x(u), however in general it is simpler to use the method that we are using in this example)
du
=2
dx
dx 1 1
⇒ = =
du du 2
dx
Now we can write: Z Z
1 1 dx
dx = du
2x + 3 u du
Z
1 1
= × du
u 2
1
ln |u| + C
=
2
However, since our original integral was in terms of x, we must now substitute our expression
u = 2x + 3 back into our solution, so that our solution is also in terms of x.
Z
1 1
dx = ln |2x + 3| + C
2x + 3 2

1
√ dx
1 − x2
Solution: For integrals such as this, intuition tells us that we should use the substitution x = sin(u).
dx
Now we need to calculate .
du
dx
= cos(u)
du
Substituting these into the formula and using the identity cos2 (θ) + sin2 (θ) = 1 gives
Z Z
1 1
√ dx = q × cos(u) du
1 − x2 1 − sin2 (u)
Z
1
= p × cos(u) du
cos2 (u)
Z
cos(u)
= du
cos(u)
Z
= 1 du = u + C
Now rewrite x = sin(u) as u = sin−1 (x) and substitute into our solution so that everything is in
terms of x: Z
1
√ dx = sin−1 (x) + C
1 − x2

148
2
2xex +1
dx
Solution: By picking an intelligent substitution, we can make this integral very simple. Choose our
dx
substitution to be u = x2 + 1. Now calculate using the rule for differentiating inverse functions:
du
dx 1 1
= =
du du 2x
dx
Substitute these into the formula:

Z Z
x2 +1 1
2xe dx = 2xeu du
2x
Z
= eu du
= eu + C
Notice that our choice of substitution allowed us to eliminate the 2x.
Now substitute u = x2 + 1 into our solution
Z
2 2
2xex +1 dx = ex +1 + C

tan(x) dx
Solution: First, we write Z Z

sin(x)
tan(x) dx = dx
cos(x)
Now make the substitution u = cos(x), so that
dx 1 1
= =−
du du sin(x)
dx
Plug these expressions into the formula:

Z Z
sin(x) 1
tan(x) dx = ×− dx
u sin(x)
Z
1)
= − dx
u
= − ln |u| + C
Now substitute u = cos(x) back in:
Z
tan(x) dx = − ln | cos(x)| + C

149
The integral of tan(x) is an example of a ‘Logarithmic Integral’. This is when we have an integral of
the form Z 0
f (x)
dx
f (x)
In other words, the numerator is the derivative of the denominator. In this case, we can just use the
rule:
Z 0
f (x)
dx = ln |f (x)| + C
f (x)


1
√ dx
25 + 4x2
1
Solution: First, we must rearrange the integrand into the form √ by dividing top and
1 + α 2 x2
bottom of the fraction by 5:
1
q
4 2
5 1+ 25 x
5
For integrals such as this, intuition tells us that we should use the substitution x = 2 sinh(u)
dx
(where 25 = α1 ). Now we need to calculate .
du
dx 5
= 2 cosh(u)
du
Substituting these into the formula and using the identity cosh2 (θ) − sinh2 (θ) = 1 gives
Z Z
1 1 5
r dx = q × cosh(u) du
4 2 2
5 1 + x2 5 1 + sinh (u)
25
Z
1
= q × 52 cosh(u) du
2
5 cosh (u)
Z
cosh(u)
= du
2 cosh(u)
Z
1 1
= du = u + C
2 2
5
Now rewrite x = 2 sinh(u) as u = arsinh( 52 x) and substitute into our solution so that everything
is in terms of x: Z
1
√ dx = 12 arsinh( 52 x) + C
25 + 4x2

150
Example: Evaluate the integral:
Z
2
√ dx
4x2 − 8x + 3
Solution: First, we must rearrange the integrand into a form for which we can make a substitution
by completing the square on the polynomial.
Z Z
2 2
√ dx = p dx
4x2 − 8x + 3 4(x − 1)2 − 1
1 dx
Now, we can see that the substitution x = cosh(u) − 1 will be suitable so we will also need .
2 du
dx 1
= sinh(u)
du 2
Now substitute these expressions into the formula and use the identity cosh2 (u) − sinh2 (u) = 1.
Z Z
2 2 1
√ dx = q × sinh(u) dx
2
4x − 8x + 3 2
cosh2 (u) − 1
Z
sinh(u)
= dx
sinh(u)
Z
= 1 dx
=u+C
1
Now rearrange x = cosh(u) − 1 to make u the subject and substitute this in for u:
2
Z
2
√ dx = arsinh(2(x − 1)) + C
4x2 − 8x + 3
If we are integrating between limits, i.e. finding a definite integral, then we have two approaches to
dealing with these:
Method 1: We can leave the limits in terms of the original variable x and then evaluate the limits
after we have converted our solution back in terms of x.
Method 2: Alternatively, we can use our substitution to change our limits so that they correspond
to the new variable u. If we choose to do this, then we do not need to rewrite our solution in
terms of the original variable; we can just evaluate the limits directly.
Whichever method we use, it is very important that we indicate which variable the limits are in terms
of.
In the next example, we will evaluate an indefinite integral using both methods.

151
Example: Evaluate the definite integral:
√
Z x= 3
1
dx
x=1 1 + x2
Solution:
dx
Method 1: We can use the substitution x = tan(u). Then = sec2 (u).
du
Substituting these into the formula and using the identity 1 + tan2 (θ) = sec2 (θ) gives:
√ √
Z x= 3 Z x= 3
1 1
dx = × sec2 (u) du
x=1 1 + x2 x=1 1 + tan2 (u)
√
x= 3
sec2 (u)
Z
= du
x=1 sec2 (u)
√
x= 3 x=√3
Z
= 1 du = u x=1
x=1
Then rearranging x = tan(u) to u = tan−1 (x) and substituting gives:

x=√3
−1
= tan (x)
x=1
Then evaluate the limits as usual

Z √
x= 3 x=√3
1 −1
dx = tan (x)
x=1 1 + x2 x=1
√
= tan−1 ( 3) − tan−1 (1)
π π π
= − =
3 4 12
dx
Method 2: Again, use the substitution x = tan(u). Then = sec2 (u). Now substitute
du
the x-limits√into x = tan(u) and find the u-limits:
When x = 3, u = π3 . When x = 1, u = π4 .
Substituting all of these into the formula and using the identity 1 + tan2 (θ) = sec2 (θ) gives:
Z u= π Z u= π
3 1 3 1
dx = × sec2 (u) du
u= π
4
1 + x2 u= π
4
1 + tan2 (u)
u= π
sec2 (u)
Z 3
= du
u= π
4
sec2 (u)
Z u= π
3 u= π
= 1 du = u u= π3
4
u= π
4
Then evaluate the limits as usual

√
Z x= 3
1 u= π
2
dx = u u= π3
x=1 1+x 4
π π π
− = =
3 4 12
As you can see, both methods give the same answer, however there is generally less room for
error in the second method.

152
Integration by Parts
In the section on differentiation we discussed the product rule. Since integration is the inverse of differ-
entiation, we can use the product rule in a different form in order to integrate certain types of functions.
You will remember the product rule as:

d du dv
uv = v +u
dx dx dx
where u = u(x) and v = v(x) are functions of x.

We can rearrange this rule and integrate the whole equation with respect to x to obtain:
Z Z
dv du
u dx = uv − v dx
dx dx
dv dv
The trick to using this formula is to write the function we want to integrate as u , choosing u and
dx dx
du
so that we can use our standard rules for integration and differentiation to find v(x) and . Again, this
dx
is a technique that you will get better at with practice.

153
Z
1. x cos(x) dx
Z
2. xex dx
Solution:
dv
1. Begin by choosing u(x) = x and = cos(x).
dx
du dv
Now we need to find by differentiating u(x) = x and v(x) by integrating = cos(x).
dx dx
du
=1
dx
v(x) = sin(x)
Then we substitute these into the formula
Z Z
x cos(x) dx = x sin(x) − 1 × sin(x) dx
And integrate the last term
= x sin(x) − (− cos(x)) + C
= x sin(x) + cos(x) + C
dv
2. Begin by choosing u(x) = x and = ex .
dx
du dv
Now we need to find by differentiating u(x) = x and v(x) by integrating = ex .
dx dx
du
=1
dx
v(x) = ex
Z Z
xe dx = xe − 1 × ex dx
x x

= xex − ex + C

154
We can also use integration by parts to integrate ln(x).

ln(x) dx
Solution: We cannot directly integrate ln(x), however we can differentiate it, so choose u(x) = ln(x)
dv
and = 1.
dx
du dv
Now we need to find by differentiating u(x) = ln(x) and v(x) by integrating = 1.
dx dx
du 1
=
dx x
v(x) = x
Z Z
x
ln(x) dx = x ln(x) − dx
x
Z
= x ln(x) − 1 dx

= x ln(x) − x + C
In some cases, we may be required to apply integration by parts multiple times, as shown in the next
example.

x2 ex dx
dv
Solution: Begin by choosing u(x) = x2 and = ex .
dx
du dv
Now we need to find by differentiating u(x) = x2 and v(x) by integrating = ex .
dx dx
du
= 2x
dx
v(x) = ex
Z Z
2 x 2 x
x e dx = x e − 2xex dx
Z
2 x
=x e −2 xex dx
Now we must
Z apply integration by parts again to the resulting integral. Note that we have already
calculated xex dx in a previous example, so we will just give the final solution here.
Z
x2 ex dx = x2 ex − 2 xex − ex + C

=
= x2 ex − 2xex + 2ex + C

155
Integration using Partial Fractions
Sometimes we will be presented with an integral of the form
Z
S + Tx
dx
P + Qx + Rx2
where P, Q, R, S and T are constants.
We cannot integrate this directly, so we need to find a way of ‘breaking it down’ into smaller parts which
we can integrate.
Suppose we want to add the two expressions:
6 2
+
x+3 x−4
6(x − 4) 2(x + 3)
= +
(x + 3)(x − 4) (x − 4)(x + 3)
6(x − 4) + 2(x + 3)
=
(x + 3)(x − 4)
8x − 18
=
x2 − x − 12
As you can see, this has resulted in an expression in the form above. We also note that we can integrate
Z
6 2
+ dx = ln |x + 3| + ln |x − 4| + C
x+3 x−4
so we would like to have a method for obtaining A and B in the following equation:
S + Tx A B
= +
P + Qx + Rx2 x−a x−b
which would allow us to manipulate the first function into a form which we can integrate.

156
Example: Resolve the expression
1
x2 + 3x + 2
into partial fractions and hence find its integral.
Solution: First, factorise the denominator:
1 1
=
x2 + 3x + 2 (x + 1)(x + 2)
Now write in the form:

1 A B
= +
(x + 1)(x + 2) x+1 x+2
We now need to solve this for A and B. Multiply both sides by (x + 1)(x + 2) to give
1 = A(x + 2) + B(x + 1)
There are two methods for solving this:

Method 1: Collect the terms in each power of x and compare coefficients:
1 = x(A + B) + (2A + B)
⇒ A + B = 0 and 2A + B = 1
⇒ A = 1 and B = −1
Method 2: Notice that when x = −2, we have an expression only in terms of A. So we can easily
find B:
1 = 0 + B(−2 + 1) ⇒ B = −1
Similarly for x = −1:
1 = A(−1 + 2) + 0 ⇒ A = 1
Regardless of which method we use, the result is that we can now write:
1 1 1
= −
x2 + 3x + 2 x+1 x+2
and therefore Z
1
dx = ln |x + 1| − ln |x + 2| + C
x2 + 3x + 2
x+1
= ln +C
x+2
Note: It is important to remember which numerator (A or B) corresponds to which denominator,
as it can be easy to get confused between them.
We can actually apply this approach to ANY fraction of two polynomials, provided the denominator
is of higher order than the numerator (i.e. includes a higher power of x).
Three important points to note are the following:
We can perform the same procedure if the numerator is of the form P x + Q.
1
If we have an x2 inside one of the denominator brackets, for example then we must
(x2 + 4)(x − 5)
write our partial fractions equation as:
1 A Bx + C
= +
(x2 + 4)(x − 5) (x − 5) (x2 + 4)
and solve for A, B and C. (Note: If using Method 2, we can find A as before, and then set x = 0
to find C, and consequently find B)

157
1
If we have a repeated root of the denominator, such as , then we must write our
(x − 1)2 (x + 5)
partial fractions equation as:
1 A B C
= + +
(x − 1)2 (x + 5) (x + 5) (x − 1) (x − 1)2
and solve for A, B and C as before.
Example: Resolve the expression

x+2
(x − 1)2 (x + 5)
into partial fractions and hence find its integral.
Solution: First, write in the form:
x+2 A B C
2
= + +
(x − 1) (x + 5) (x + 5) (x − 1) (x − 1)2
We now need to solve this for A, B and C. Multiply both sides by (x − 1)2 (x + 5) to give
x + 2 = A(x − 1)2 + B(x − 1)(x + 5) + C(x + 5)
We will use Method 2 in this example. Notice that when x = 1, we have

1
1 + 2 = 0 + 0 + 6C ⇒ C =
2
When x = −5:
1
−5 + 2 = A(−1 − 5)2 + 0 + 0 ⇒ A = −
12
Now since we cannot find B by eliminating the other variables, we will just have to choose a value
of x and solve for B (since we now know A and C). For convenience let’s pick x = 0.
When x = 0:
1 5
0 + 2 = A − 5B + 5C ⇒ 2 = − − 5B +
12 2
7
⇒B=
60
So finally we can write:
x+2 −1 7 1
= + +
(x − 1)2 (x + 5) 12(x + 5) 60(x − 1) 2(x − 1)2
Then integrating gives:

Z
x+2 1 7 1
2
dx = − ln |x + 5| + ln |x − 1| + +C
(x − 1) (x + 5) 12 60 2(1 − x)
where we have found the third term using standard integration of polynomials.

158
Reduction Formulae
Reduction formulae provide a means to hugely simplify some integrals which would otherwise be very
demanding to solve. In particular, this approach applies to the integration of functions which are raised
to a power n ≥ 0.
If we have an integral Z
f (x)n dx
then we use the notation: Z

In = f (x)n dx
e.g. Z
I2 = f (x)2 dx
Z
I5 = f (x)5 dx
Reduction formulae allow us to find a formula which can be used to calculate In for any n ≥ 0, however
we are required to obtain an initial integral. For example if we know I0 , a reduction formula could enable
us to find I1 , I2 and so on. This type of relation, where we find a value in terms of previous values in
the sequence, is called a recurrence relation.
Consider the integral Z
In = xn ex dx
If we can find a formula which allows us to find In given In−1 , then by finding an initial value, say I0 ,
we will be able to find In for all n ≥ 0.
In order to find a reduction formula we are required to use integration by parts one or more times to
reduce the integral. Recall the formula for this technique:

d du dv
uv = v +u
dx dx dx
We will now find a reduction formula for the above integral.
dv
We use integration by parts, choosing u = xn and = ex .
dx
du
Now we can find = nxn−1 and v = ex .
dx
Use the integration by parts formula
Z Z
In = x e dx = x e − ex (nxn−1 ) dx
n x n x
Z
n x
=x e −n ex xn−1 dx
Now notice that the integral in the second term is the same as the initial integral, but replacing n with
n − 1. This means that we can write the following:
= xn ex − nIn−1 dx
So we have deduced the reduction formula:
In = xn ex − nIn−1
Z
Now, if we wished to find I2 = x2 ex dx then we can use this formula, rather than integrating by parts
twice.
We begin by calculating Z
I0 = ex dx = ex
Then it follows from the reduction formula that
I1 = xex − I0 = (x − 1)ex

159
And so finally
I2 = x2 ex − 2I1 = x2 ex − (x − 1)ex = (x2 − x + 1)ex
Example: Find a reduction formula for

Z π
2
In = sinn (x) dx
0
Solution: We begin by rewriting the integral as

Z π
2
In = sin(x) sinn−1 (x) dx
0
dv
Now using integration by parts with u = sinn−1 (x) and = sin(x) gives
dx
π2 Z π2
In = − cos(x) sinn−1 (x) − (n − 1) − sinn−2 cos2 (x) dx
0 0
Z π
2
= 0 + (n − 1) sinn−2 cos2 (x) dx
0
Using the identity cos2 (x) + sin2 (x) = 1, we get

Z π
2
In = (n − 1) sinn−2 (x)(1 − sin2 (x))) dx
0
Z π Z π
2 2
= (n − 1) sinn−2 (x) dx + (n − 1) sin2 (x) dx
0 0
Notice that the integral in the third term is In , and so moving this onto the left hand side of the
equation, we have
Z π2
nIn = (n − 1) sinn−2 (x) dx
0
n−1
⇒ In = In−2
n
π
Note that this reduction
Z formula only applies when we have the limits 0 and 2. The general
reduction formula for sinn (x) dx is actually:
1 n−1
In = − cos(x) sinn−1 (x) + In−2
n n

160
Example: Find the reduction formula for the integral:
Z π
2
sechn (x) dx
0
Solution: Notice Z π Z π
2 2
n
sech (x) dx = sech2 (x) sechn−2 (x) dx
0 0
Z Z
dv du
In this form we can use integration by parts ( u dx = uv − v dx) to simplify the inte-
dx dx
dv
grand. Choosing sech2 (x) to be , and sechn−2 to be u.
dx
We know that the integral of sech2 (x) is tanh(x), and the derivative of sechn−2 is (n −
2)(sechn−3 (x))(− sech(x) tanh(x)).
Therefore Z π 2
sech2 (x) sechn−2 (x) dx
0
π2 Z π
2
= sechn−2 (x) tanh(x) − (n − 2) tanh(x)(sechn−3 (x))(− sech(x) tanh(x)) dx
0 0
Z π
3 2
= × 4n−2 − tanh2 (x) sechn−2 (x) dx
25 0
Using that tanh2 (x) = sech2 (x) − 1 we get

Z π Z π
2 2
tanh2 (x) sechn−2 (x) dx = sechn (x) − sechn−2 (x) dx
0 0
Z π Z π
2 2
= sechn (x) dx − sechn−2 (x) dx
0 0
Therefore
Z π Z π Z π
2
n 3 2
n
2
n−2
sech (x) dx = × 4n−2 − (n − 2) sech (x) dx − sech (x) dx
0 25 0 0
Z π
2
By taking the term −(n − 2) sechn (x) dx over to the left hand side, we get that
0
Z π Z π
2
n 3 2
(n − 1) sech (x) dx = × 4n−2 + (n − 2) sechn−2 (x) dx
0 25 0
Finally if
Z π
2
In = sechn (x) dx
0
we have shown that
3
(n − 1)In = × 4n−2 + (n − 2)In−2
25

161
8.6 Constructing Equations Using Integrals
Using the idea of infinitesimals we can set up integrals to solve a variety of problems. Considering a
system as infinitely many small segments and using integration to add up all these segments is a powerful
tool in physics.
Consider a strip of paper of width 2cm and length 10cm, it is trivial to say that the area of the paper is
2×10 = 20cm2 but we will use this example to understand how an integral can ba used to solve problems.
We consider a small segment of the paper, a distance x from the left hand side of the strip, with
width 2cm and length dx. We can say that the area of this segment is 2 × dx = 2dx. Now using the
idea that the area of the whole strip of paper could be made up of infinitely many of these infinitesimal
strips we can add up all the infinitesimal areas using integration to get an answer for the total area of
the strip of paper, i.e. Z 10
Area = 2 dx
0
The limits are obtained from the fact that the distance of the first segment is x = 0m and the distance
of the last segment is at x = 10m. Solving this integral gives
10
Area = 2x = 2 × 10 − 2 × 0 = 20cm2
0
Example: Use the fact that the circumference of a circle is 2πr, where r is the radius of the
circle, and the technique of integration to obtain an equation for the area of the circle.
Solution: Consider the circle as made up of an infinite amount of rings centred at the centre of
the circle with a infinitesimal width dx.
A general ring a distance x from the centre of the circle has circumference is 2πx.
We approximate the area of this ring as
2πx × dx
To find the area of the circle we must add up all the areas of the rings that make up the circle i.e.
Z r
2πx dx
0
The limits are chosen at x = 0 as this is the smallest possible ring and at x = r as this is the
largest possible ring. Z r r
2
2πx dx = πx
0 0

2
= πr − 0
= πr2

162
This idea can be stretched to volumes of shapes, for example we can consider a sphere. We already know
that for a sphere:
4
Volume = πr3
3
where r is the radius of the sphere. However, using integration and the fact that we know the surface
area of the sphere is 4πr2 we can derive this equation for the volume.
Consider an elementary shell centred at a distance x from the centre of the sphere with width dx.
We can approximate the volume of this shell as:
4πr2 × dx
Using integration, we add up all the elementary shells from the centre of the sphere to the edge, i.e.
Z r
Volume = 4πx2 dx
0
r

4 3 4 4 4
= πx = π × r − π × 0 = πr3
3 2
3 0 3 3 3
Example: Use the fact that the area of a circle is πr2 , where r is the radius of the circle, and
the technique of integration to obtain an equation for the volume of a cone of base radius R and
height h.
Solution: Consider an elementary disk with width dx and a radius r at a distance x from the point
of a cone.
As the width of the disk is infinitesimal we can approximate the volume of the disk to be πr2 × dx.
Therefore to add up all the volumes of the infinitesimal disks we need to compute the integral:
Z h
Volume = πr2 dx
0
However r is not a constant so we cannot solve this integral yet. To allow us to continue we need
to find r as a function of x. Note that
r R
tan(θ) = =
x h
Therefore
Rx
r=
h
Substituting this back into our integral gives
h
R 2 x2
Z
Volume = π dx
0 h2
h
R2 R2 R2

3 1
= π 2 ×x = π 2 × h − π 2 × 0 = πR2 h
3 3
3h 0 3h 3h 3

163
8.7 Geometric Applications of Integration
Arc Length
We can use integration to help us find the exact length of a curve between the points a and b.
In order to do this we aim to sum up all the infinitesimal lengths ds, i.e. we want to calculate
Z b
s= ds
a
Since we will usually be working in 2-D space, this is not simple to calculate, so we can use Pythagoras
to write p
ds = dx2 + dy 2
and hence Z b Z b p
s= ds = dx2 + dy 2
a a
Then pulling a dx out of the square root, we obtain the formula:
s
Z b 2
dy
s= 1+ dx
a dx

Example: Find the arc length between the points x = 0 and x = ln(3) on the curve y = cosh(x)
Solution: We know that the formulae for the arc length on a curve is
s 2
Z b
dy
1+ dx
a dx
dy dy
So first we need to find out what is. In this case, where y = cosh(x), = sinh(x).
dx dx
Therefore the arc length that we are asked to work out is equal to
Z ln(3) q
1 + sinh2 (x) dx
0
Using the identity cosh2 (x) = 1 + sinh2 (x) this is equivalent to

Z ln(3)
cosh(x) dx
0
ln(3)
1
= sinh(x) = (eln(3) − e− ln(3) − e0 + e0 )
0 2

1 1 8 4
= 3− = = units
2 3 6 3

164
Surface Area of a Revolution
When we rotate a curve once around the x-axis, we form a solid 3-D shape. We can find the surface area
of this shape between x = a and x = b using integration.
If we consider an infinitesimal piece of the curve ds at a point x at height y, then the contribution to
the total surface area of the revolution from this piece is
dA = ds × circumference = ds × 2π × radius
Therefore we can write Z b
A= ds × 2π × radius
a
p
Using the relation ds = dx2 + dy 2 from the previous section,
Z b p
A = 2π y dx2 + dy 2
a
and then pulling a dx out of the square root, as before, we get the formula:
s
Z b 2
dy
A = 2π y 1+ dx
a dx

Example: Find the surface area of revolution between the points x = 0 and x = 1 on the curve
y = 13 x3
Solution: We know that the formula for the surface area of revolution of a curve is
s 2
Z b
dy
A = 2π y 1+ dx
a dx
dy dy
So first we need to find out what is. In this case, where y = 13 x3 , = x2 .
dx dx
Therefore the surface area of revolution is equal to
Z 1
1 3p
2π x 1 + x4 dx
0 3
du dx 1
Using the substitution u = 1 + x4 we get that = 4x3 , therefore = . This allows us to
dx du 4x3
write Z 1 Z 2
1 3p 1√
2π x 1 + x4 dx = 2π u du
0 3 1 12
2
1 √

1 3
= 2π u 2 = (2 2 − 2) square units
18 1 9

165
Volume of a Revolution
We can also find the volume of a revolution between x = a and x = b using integration. By looking at
the diagram in the previous section and considering an infinitesimal slice of the volume, we can deduce
that
dV = area × width of slice
= πy 2 × dx
Thus we have the following formula for the volume of a revolution:

Z b
V =π y 2 dx
a
π
Example: Find the volume of revolution between the points x = 0 and x = 4 on the curve
y = sec(x)
Solution: We know that the formulae for the volume of revolution of a curve is
Z b
V =π y 2 dx
a
. Therefore the volume of revolution that we are asked to work out is equal to
Z π
4
π sec2 (x) dx
0
This is a standard integral so we can quote the answer as

π4
π tan(x) = π(1 − 0) = π cubic units
0

166
Easy Questions
Question 1: Evaluate the definite integral

3
5x − 4
Z
dx
1 x3
Answer:
14
9
Question 2: Evaluate the integral

Z
2
dx
4x2 − 9
Answer:
1 3 − 2x
ln +C
6 3 + 2x
Question 3: Evaluate the definite integral

Z 3π
4
4 cos(−4x + π) dx
0
Answer:
0

Z
4e3x (3x − 7)2 dx
Answer:
4 3x
e (9x2 − 48x + 65) + C
3

Z
4e3x (3x − 7)2 dx
Answer:
4 3x
e (9x2 − 48x + 65) + C
3
Medium Questions
Question 6: Use integration to obtain an expression for the volume of a cylinder in terms of
it’s radius and height.
Answer:
V = πr2 h

167
Z
sin3 (3x) cos5 (3x) dx
Hint: Use the substitution u = sin(3x)
Answer:
1 2 1
sin4 (3x) − sin6 (3x) + sin8 (3x) + C
12 18 24

Z p
a2 − x2 dx
Hint: Use the substitution u = a sin(θ)
Answer:
a2
p
x x
sin−1 + a2 − x2 + C
2 a 2

Z
ex cos(x) dx
Answer:
1 x
e sin(x) + cos(x) + C
2

Z ∞
2
e−x dx
−∞
Hint: Consider the graph of the integrand
Answer:
0
Hard Questions
Question 11: Find the reduction formulae for

Z
In = tann (x) dx
Answer:
1
In = −In−2 + tann−1 (x)
n−1

168
Z
x+1
√ dx
1 + x2
Hint: Split the integrand up into two separate terms.
Answer: p
1 + x2 + sinh−1 (x) + C

Z
ax dx (a > 0)
Answer:
ax
+C
ln(a)

Z
arctan(x)
dx
x2 + 1
Hint: Try integration by parts.
Answer:
1
arctan2 (x) + C
2

Z
1
√ p dx
x−1+ (x − 1)3
Hint: Rearrange the integrand before trying to Evaluate the integral.
Answer: √
2 arctan( x − 1) + C

169
9 Multiple Integration
We have already discussed the definite integral of a function of one variable, f (x), between x = a and
x = b, and how it can be used to calculate the area enclosed by the function and the x-axis within
the interval. We explained how integration essentially separates the area into many small slices and
calculates the sum of these slices as their size becomes infinitely small. We can now extended this idea
to functions of more than one variable, such as f (x, y) and f (x, y, z).
9.1 Double Integrals (Plane Surface Integrals)

Whereas with single integrals we are calculating an area, double (or plane surface) integrals allow us to
calculate the volume enclosed by a surface by integrating a function of two variables. In order to do this
we consider a region S of the x, y-plane and the function z = f (x, y) which describes a surface, where z
gives the height of the surface at the point (x, y). We can then define the plane surface integral of f (x, y)
as the volume enclosed by the surface above the region S. We can write this as
ZZ
V = f (x, y) dS
S
where dS is an infinitesimal section of the area S. We can imagine this by thinking of separating the
volume into infinitely many pillars, each with volume z dS = f (x, y) dS, and then adding up all of these
volumes to get the total volume. This works in exactly the same way as with single integration, however
now we are calculating a volume and will have two sets of limits: limits on x and limits on y.
Note that if f (x, y) = 1 then the height of the surface is constant and hence
ZZ
1 dS
S
simply calculates the area of the surface S, and so is effectively a single integral.
Double Integrals in Cartesian Coordinates

When working with Cartesian coordinates, we can write the infinitesimal area dS as
dS = dx dy
meaning it is a square area with length dx in the x-direction and length dy in the y-direction. Now if
we wish to find the plane surface integral of f (x, y) over the area

S = (x, y) : a ≤ x ≤ b, c(x) ≤ y ≤ d(x)
then we calculate the integral

ZZ Z b Z d(x)
V = f (x, y) dS = f (x, y) dydx
S a c(x)
Physicists are often lazy and so we may also write this as

Z b Z d(x)
dx dy f (x, y)
a c(x)
Notice that in all cases where the region of integration is not rectangular, y will also depend on x, and
so our limits on y must be written in terms of x.
In order to calculate the above integral, we simply integrate with respect to one variable, treating
the other as constant, and then integrate with respect to the other variable. So if we are integrating
with respect to y and then with respect to x, we can think of this as calculating the area under the curve
z = f (c, y) as in the previous chapter, where c is a constant, and then adding up all the areas for every
single value of the constant c by integrating with respect to x, giving us the total volume of the shape.
Similarly, we could perform the exact same procedure in reverse, integrating with respect to x and then

170
with respect to y, however it is often important to choose the order of integration intelligently. For
example, in the above equation, since our y limits depend on x whilst our x limits are simple numbers,
and must integrate with respect to y first. We can then simply calculate
Z b Z d(x)
f (x, y) dy dx
a c(x)
using our techniques of integration from before. Notice that this is why we have written dydx in this
order above: because we are integrating with respect to y and then with respect to x.
Example: Calculate ZZ
(3 − x − y) dS
S
where S is the region bounded by the x and y axes and the lines x = 1 and y = 2
Solution: By inserting the limits, we can write this integral as
ZZ Z 1Z 2
(3 − x − y) dS = (3 − x − y) dydx
S 0 0
now we integrate with respect to y:

1 2
y2
Z
= 3y − xy − dx
0 2 0
Z 1
= (4 − 2x) dx
0
Now we integrate with respect to x, since y is no longer present in our equation.
1
= 4x − x2
0
=4−1
=3
Notice that since none of our limits depended on the other variable we could have integrated with
respect to x first and then y to give the same answer, i.e.
Z 2Z 1
(3 − x − y) dxdy
0 0

171
Example: Calculate ZZ
(x2 y + 2x) dS
S

where S = (x, y) : 1 ≤ x ≤ 2y, 0 ≤ y ≤ 3
ZZ Z 3 Z 2y
(x2 y + 2x) dS = (x2 y + 2x) dxdy
S 0 1
Since our x limits depend on y, we must integrate with respect to x first, treating y as a constant.
Z 3 2y
1 3
= x y + x2 dy
0 3 1
Z 3
1 4 1
= y + y 2 − y − 1 dy
0 3 3
Now we integrate with respect to y, since x is no longer present in our equation.
3
1 5 1 3 1 2
= y + y − y −y
15 3 6 0
81 3
= +9− −3
5 2
207
=
10
We can also deduce what the limits of integration are if we are given a region over which we want to
integrate. For example, we wish to find the integral
ZZ
f (x, y) dS
S
where S is the region bounded by the triangle with vertices (0,0), (1,0), (1,1). We can sketch this triangle
on the x, y-plane very easily. From this sketch we can see that x goes from x = 0 to x = 1. Now, we
cannot write that y goes from y = 0 to y = 1 because y depends on x. Think about how the limits on y
change as x changes, for example when x = 0.5, y can only go from y = 0 to y = 0.5. By looking at the
diagram we can deduce that our region is defined by:

S = (x, y) : 0 ≤ x ≤ 1, 0 ≤ y ≤ x

172
Thus our integral can be written as
ZZ Z 1 Z x
f (x, y) dS = f (x, y) dydx
S 0 0
Equally, we could have calculated different limits by looking at how the x limits change as y changes.
which would give

S = (x, y) : y ≤ x ≤ 1, 0 ≤ y ≤ 1
ZZ Z 1Z 1
⇒ f (x, y) dS = f (x, y) dxdy
S 0 y
So we can write Z 1 Z x Z 1 Z 1
f (x, y) dydx = f (x, y) dxdy
0 0 0 y
We can also use the idea that ZZ

1 dS
S
is the area of the surface S to find the area enclosed by two functions. For example, say we want to find
the area enclosed between the two functions y = x2 and y = 2x − x2 , then we can find the limits of the
surface S and simply compute the above integral. Sketching a graph can help to find limits, however
we can also do this algebraically. First we want to find the points where these functions intersect, so
we solve them simultaneously to find that they intersect at (0, 0) and (1, 1). Now we know that x has
the limits x = 0 and x = 1 however, as before, we must remember that the limits for y will depend on
x since the region is not rectangular. we notice that x2 > 2x − x2 for all x within [0, 1], and so we can
write that the limits on y are y = x2 to y = 2x − y 2 . We now have our limits so can write our integral
in full and solve: 2
Z Z 1 2x−x
1 dydx
0 x2
Z 1 2x−x2
= y x2
dx
0
Z 1
= (2x − x2 ) − x2 dx
0
Z 1
= 2x − 2x2 dx
0
1
2 2 3
= x − x
3 0
1
=
3

173
Changing the Order of Integration
Whilst the order of integration does not actually change the result, sometimes it is essential to choose
the most appropriate order when integrating a function which cannot be integrated with respect to some
variables. Being able to change the order of integration can also help simplify calculations. The above
approach of using a diagram can allow us to do this. For example, consider the integral
Z 1 Z 1
3
dx √ ey dy
0 x
3
We cannot integrate ey , however by changing the order of integration, we can get it into a form which
we can integrate. Consider the sketch of the region on the x, y-plane represented by the limits Now we
can work out how the√ x limits change as y changes. We can see that y goes from y = 0 to y = 1. Note
that the curve y = x is the same as x = y 2 . Now look at a general point y = y, then x goes from x = 0
to x = y 2 . So we can rewrite our integral as
Z 1 Z y2
3
dy ey dx
0 0
Since our function does not contain x, we can write the integral as follows, however note that even though
this notation looks as if there are two separate integrals, we are still integrating the entire function with
respect to both x and y.
Z 1 Z y2
y3
= e dy 1 dx
0 0
Z 1 y2
3
= ey x 0 dy
0
Z 1
3
= y 2 ey dy
0
We now have an integral that we can compute, by using the substitution u = y 3 , giving
Z 1 Z 1 Z 1 Z y2 y3 1
3 3 e
dx √ ey dy = ey dy 1 dx =
0 x 0 0 3 0
e−1
=
3

174
Double Integrals in Polar Coordinates
As you might expect, we can also compute double integrals using polar coordinates by specifying the
region S in terms of an angle θ and a radius r. It is beneficial to understand that if we hold θ constant
and change r, we simple get a straight half-line stretching out from the origin at an angle θ to the x-axis.
Alternatively, if we hold r constant and change θ, we get a circle of radius r with its centre at the
origin. The lines formed by holding one variable constant and changing the other are called coordinate
lines. In addition, since these two coordinate lines intersect at right angles, we call polar coordinates an
orthogonal coordinate system. Note that Cartesian coordinates are orthogonal also.
Now we must deduce how to find an area dS of a polar coordinate system. Clearly, if we start at a
point on the surface and increase r by dr, (keeping θ constant) then we have generated an element of
length dr, just as we do with Cartesian coordinates. If we keep r constant and increase θ by dθ, then we
actually create a small arc of length rdθ (note that this is not just dθ) and so the element of area which
we form is dS = rdrdθ. This means that when we are integrating with respect to polar coordinates, we
have the double integral
ZZ
f (r, θ) rdrdθ
S
In other words, we must always multiply our function by r before we integrate when using polar coordi-
nates.
Remember that we can convert between Cartesian and Polar coordinates using the relations:
Cartesian → Polar
x = r cos(θ)
y = r sin(θ)
Polar → Cartesian
p
r = x2 + y
2
y
θ = tan−1
x

175
Example: Evaluate the integral ZZ
(x2 + y 2 ) dS
S
where S = {(r, θ) : 1 < r < 2, π3 < θ < π

2 }.
Solution: Since our region of integration is given in terms of polar coordinates, we must change
our integral from Cartesian to polar coordinates, by using the formulae above. Using the relation
r2 = x2 + y 2 , remembering that in polar coordinates dS = r dr dθ and inserting the limits, we can
write the integral as
Z π2 Z 2
r2 × r dr dθ
π
3 1
Remember that we can integrate in any ordersince all th limits are constant, however in this
example we will integrate with respect to r first.
π π 2
2
r4
Z Z Z
2 2
r3 dr dθ = dθ
π
3 1 π
3
4 1
Z π
2 15
= dθ
π
3
4
Now we integrate with respect to θ
π

15 2
= θ
4 π
3

15 π π
= −
4 2 3
5π
=
8

176
9.2 Triple Integrals (Volume Integrals)
We can extend this further to functions of three variables. An integral of a function of three variables is
called a triple (or volume) integral and can represent the mass of a body. In order to compute these we
consider a solid enclosed by the region V of the x, y, z-space and the function f (x, y, z) which describes
the density of the volume. We can then define the volume integral of f (x, y, z) as the total mass of the
body in the region V . We can write this as
ZZZ
V = f (x, y, z) dV
V
where dV is an infinitesimal section of the volume V . A volume integral is far harder to visualise than
a single or double integral, however the calculation is almost identical, albeit with an extra variable of
integration. Essentially, we are adding up the mass of infinitesimal sections of the volume to get the
total mass. Of course, in the case of triple integrals we will have three sets of limits: limits on x, limits
on y and limits on z.
Note that if f (x, y, z) = 1 then the density throughout the volume is constant and hence
ZZZ
1 dV
V
simply calculates the volume of the solid, and so is essentially a double integral.
Triple Integrals in Cartesian Coordinates

We treat a triple integral with respect to Cartesian coordinates in exactly the same way as we do with
double integrals in Cartesian coordinates, except that
we have an extra variable, z. This means that our
infinitesimal volume is dV = dxdydz, and if V = (x, y, z) : a ≤ x ≤ b, c(x) ≤ y ≤ d(x), g(x, y) ≤ x ≤
h(x, y) , then our integral takes the form
Z x=b Z y=d(x) Z z=h(x,y)
f (x, y, z) dzdydx
x=a y=c(x) z=g(x,y)
Note that our limits on z depend on both x and y, so in this case we must integrate with respect to z,
then with respect to y and finally with respect to x. With triple integrals in particular, it is often helpful
to label our limits so that we know which limits correspond to each variable.
If our region of integration is a cuboid, i.e. is bounded by six rectangular planes with edges parallel
to the axes, then our limits for all three variables will just be numbers and so we can integrate in any
order we choose.

177
Example: Calculate ZZZ
xyz dV
V

where V = (x, y, z) : 1 ≤ x ≤ 2, 2 ≤ y ≤ 3, 0 ≤ z ≤ 2
ZZZ Z z=2 Z y=3 Z x=2
xyz dV = xyz dxdydz
V z=0 y=2 x=1
We can now integrate this in a similar way to a double integral with rectangular limits. First we
will integrate with respect to x.
Z z=2 Z y=3 2
1 2
= x yz dydz
z=0 y=2 2 1
Z z=2 Z y=3
3
= yz dydz
z=0 y=2 2
Now we can integrate with respect to y, since x no longer appears in our integral.
Z z=2 3
3 2
= y z dz
z=0 4 2
Z z=2
15
= z dz
z=0 4
And finally since our function only includes z, we can integrate with respect to z
2
15 2
= z
8 0
60 15
= =
8 2
Note that we could have integrated in any order to obtain the same answer.
As with double integrals, we can usually find the limits of a region of integration from a given shape.
For example, we want to evaluate the integral
ZZZ
3x dV
V
where V is the region bounded by the planes x = 0, y = 0, z = 0 and x + 2y + x = 3. We first need

to find the limits on x, y and z. Clearly the lower limit of all the variables is zero, so now we just need
to find the upper limits. By sketching or imagining the diagram, we can see that x takes its maximum
value when z = y = 0, thus our upper x limit is x = 3. Now, since the upper limits of y and z depend on
x, they vary as x varies. Again by consideration of the diagram, the upper y limit occurs when z = 0, so
by substituting this into x + 2y + z = 3, and rearranging to make y the subject gives the upper y limit
as y = 21 (3 − x). Finally, to find the upper z limit, we simply rearrange the equation of the slanted plane
to make z the subject, i.e. z = 3 − x − 2y. We now have all our limits and can write the integral as
Z x=3 Z y= 12 (3−x) Z z=3−x−2y
3x dzdydx
x=0 y=0 z=0
Now we integrate with respect to z (since our z limits contain x and y)

Z x=3 Z y= 12 (3−x)
= 3x(3 − x − 2y) dydx
x=0 y=0
Z x=3 Z y= 12 (3−x)
= 9x − 3x2 − 6xy dydx
x=0 y=0

178
Then we integrate with respect to y now that z no longer appears in the integral
Z x=3
9 3 2 3
= x(3 − x) − x (3 − x) − xy(3 − x)2 dx
x=0 2 2 4
Z x=3
3 3 9 2 27
= x − x + x dx
x=0 4 2 4
And finally we integrate with respect to x
3
3 4 3 3 27 2
= x − x + x
16 2 8 0
81
=
16
Example: Using a triple integral with cartesian coordinates, find the volume of a sphere with
radius 2, centred at the origin.
Solution: Remember that we can use the integral
ZZZ
1 dV
V
to find the volume of the solid represented by V . To do this, we need to find the limits of the three
variables x, y and z. Similarly to the example above, we note that since our solid is a sphere at
the origin with radius 2, the limits on x are x = −2 and x = 2. The equation of this sphere is
x2 + y 2 + z 2 = 4
and by considering
√ the diagram of this, we can deduce that the limits on y occur when z = 0,
y = ± 4 − x2 . Finally our limits on z are found by rearranging the equation of the sphere:
givingp
z = ± 4 − x2 − y 2 . Thus our integral can be rewritten as:
Z Z √ 2 Z √ 2 2
x=2 y= 4−x z= 4−x −y
√ √ dzdydx
x=−2 y=− 4−x2 z=− 4−x2 −y 2
√
Z x=2 Z y= 4−x2 p
= √ 2 4 − x2 − y 2 dydx
x=−2 y=− 4−x2
√
We can then integrate with respect to y using the substitution y = 4 − x2 sin(u) to give
Z x=2
= π(4 − x2 ) dx
x=−2
where we have left out the calculation as a similar example has already been covered in a previous
section. We can then finally integrate with respect to x since x is the only remaining variable.
2
πx3

4πx −
3 −2
16
= π(16 − )
3
32π
=
3
4πa3
as we would expect from the standard formula V =
3

179
Triple Integrals in Cylindrical Coordinates
When we wish to change variables when using triple integrals, we have two options: cylindrical co-
ordinates or spherical coordinates. Cylindrical coordinates are a straightforward extension of two
dimensional polar coordinates into three dimensions, where we simply add a z axis extending from the
origin of the polar circle and perpendicular to r and θ. The relations between Cartesian and cylindrical
coordinates are thus:
Cartesian → Cylindrical
x = r cos(θ)
y = r sin(θ)
z=z
Cylindrical → Cartesian
p
r = x2 + y
2
y
θ = tan−1
x
z=z

−1 y
Note: When using θ = tan remember to check which quadrant θ belongs to.
x
By comparison with polar coordinates, we must remember that the element of volume dV = r drdθdz,
so that a triple integral using cylindrical coordinates is
ZZZ
f (r, θ, z) r drdθdz
V

180
Example: The region bounded by the surface of the paraboloid z = 2 − x2 − y2 and the surface
of a cone z = x2 + y 2 is given by
p
D + {(x, y, z) : x2 + y 2 ≤ 1, x2 + y 2 ≤ z ≤ 2 − x2 − y 2 }
Use a triple integral to find the volume of this region.

Solution: We can see that a change of coordinate system to cylindrical coordinates would be wise
in this example. To help with the limits, we will rewrite the region D in terms of cylindrical
coordinates. Since r2 = x2 + y 2 , we can deduce that r ≤ 1. Also remember that r is always
non-negative as it is a radius. Now θ rotates around a full circle and z is restricted by the surfaces
of the paraboloid and cone.
D = {(r, θ, z) : 0 ≤ r ≤ 1, 0 ≤ θ ≤ 2π, r ≤ z ≤ 2 − r2 }
We can now form an integral to find the volume of D.

Z 2π Z 1 Z 2−r 2
1 r dz dr dθ
0 0 r
Integrating with respect to z first gives

Z 2π Z 1
r(2 − r2 − r) dr dθ
0 0
Z 2π Z 1
= (r − r3 ) dr dθ
0 0
Now we integrate with respect to θ.
Z 1
= 2π(r − r3 ) dr
0
Finally we integrate with respect to r.

1
r2 r4

= 2π −
2 4 0
π
=
2

181
Triple Integrals in Spherical Coordinates
An alternative coordinate system is spherical coordinates which is less easy to visualise than previous
coordinate systems, however it is not all that much more difficult. We imagine a radius of a sphere
ρ and two angles: θ which is the same angle as θ in cylindrical coordinates and rotates around the z
axis, and then an azimuthal angle φ which represents the angle of our radius from the positive z-axis to
the negative z-axis. Note that φ can only take values between 0 and π since it only rotates through a
half-circle. Our relations between the various coordinate systems are:
Cartesian → Spherical
x = ρ sin(φ) cos(θ)
y = ρ sin(φ) sin(θ)
z = ρ cos(φ)
Spherical → Cartesian
p
ρ = x2 + y2 +z 2
y
θ = tan−1
x
−1 z
φ = cos
ρ
Cylindrical → Spherical
r = ρ sin(φ)
θ=θ
z = ρ cos(φ)

y
Note: When using θ = tan−1 remember to check which quadrant θ belongs to.
x

182
Example:
1. Find the cylindrical coordinate and spherical coordinate of a point P with Cartesian coordi-
nate (1,1,1).
2. We can express the surface of an infinite cylinder C of radius R in cylindrical coordinates
using the limits C = {(r, θ, z) : r = R, 0 ≤ θ ≤ 2π − ∞ ≤ z ≤ ∞}. Find this surface in
terms of Cartesian and spherical coordinates.
Solution:
1. Cylindrical: We can use the relations between Cartesian and cylindrical coordinates to find
p √
r = 12 + 1 2 = 2
z=z=1

1 π
θ = arctan =
1 4
Since the point (1, 1) lies in the first quadrant. So the point P in cylindrical coordinates is
√ π
( 2, , 1)
4
Spherical: We can use the relations between Cartesian and spherical coordinates to
find p √
ρ = 12 + 1 2 + 1 2 = 3

1 π
φ = arccos =
3 4

1 π
θ = arctan =
1 4
Since the point (1, 1) lies in the first quadrant. So the point P in spherical coordinates is
√ π π
( 3, , )
4 4
We could also have solved this problem by considering a diagram of the point, and writing
on all our variables.
2. Cartesian: We can use the relations between Cartesian and cylindrical coordinates to find
p
r = R = x2 + y 2
z=z
So the surface of C in Cartesian coordinates can be described by C = {(x, y, z) : x2 + y 2 =
R2 , −∞ ≤ z ≤ ∞}
Spherical: We can use the relations between Cartesian and spherical coordinates to
find
sin(φ)
R = ρ sin(φ) ⇒ ρ =
R
Now, as before θ rotates through a full circle, and because we have an infinite cylinder,
φ rotates through a full half-circle, giving the surface of C in spherical coordinates as
sin(φ)
C = {(ρ, φ, θ) : ρ = , 0 ≤ φ ≤ π, 0 ≤ θ ≤ 2π}
R
Once again, we must now reconsider what our element of volume is by increasing each variable
by an infinitesimal amount and working out the total volume produced. First, by increasing ρ by dρ
whilst keeping θ and φ constant, we generate a length dρ. Now increase θ by dθ and keeping ρ and φ
constant we obtain a length ρ sin(φ)dθ. Finally we increase φ by dφ whilst keeping the other variables
constant, which gives an arc of length ρdφ. Putting all of this together we obtain the element of volume

183
dV = ρ2 sin(φ) dρdθdφ, so that a triple integral using spherical coordinates is
ZZZ
f (ρ, θ, φ) ρ2 sin(φ) dρdφdθ
V
We will now repeat a previous example question on calculating the volume of a sphere to emphasise the
usefulness of spherical coordinates in certain situations.
Example: Using a triple integral with spherical coordinates, find the volume of a sphere with
radius 2, centred at the origin.
Solution: Remember that we can use the integral
ZZZ
1 dV
V
to find the volume of the solid represented by V . To do this, we need to find the limits of the three
variables ρ, θ and φ. Starting with θ, we can see that the limits are θ = 0 to θ = 2π as it describes
a full circle. Now the radius ρ is orthogonal to θ and so its limits are just numbers, in this case
r = 0 to r = 2. Finally, we consider φ and notice that once again, φ is orthogonal to the other
variables and so the limits are φ = 0 to φ = π. We can now write our integral as:
Z 2π Z π Z 2
1ρ2 sin(φ)dρdφdθ
0 0 0
Since our limits are all independent of each other, we integrate with respect to each variable in
any order. We will start with θ.
Z πZ 2
= 2πρ2 sin(φ)dρdφ
0 0
Then integrate with respect to φ

Z 2 π
2
= 2πρ − cos(φ) dρ
0 0
Z 2
= 4πρ2 dρ
0
Finally integrate with respect to ρ
2
1
= 4π ρ3
3 0
8 × 4π
=
3
32π
=
3
4πa3
as we would expect from the standard formula V = and have obtained from a previous
3
example. This example demonstrates that a change of coordinate system can massively simplify
calculations.

184
Example: Using spherical coordinates, find the mass of a solid sphere of radius a which is
centred on the origin, given that it has a mass density given by
4
z
f (x, y, z) = b
a
Solution: We can write the mass as an integral

Z Z Z 4
z
M =b dV
V a
where in spherical coordinates,
V = {(ρ, φ, θ) : 0 ≤ r ≤ a, 0 ≤ φ ≤ π, 0 ≤ θ ≤ 2π}
and
z = ρ cos(φ)
Thus our integral can be written as
Z a Z π Z 2π
b
M= 4 ρ4 cos4 (φ) × ρ2 sin(φ) dθ dφ dρ
a 0 0 0
Since each of our sets of limits do not depend on one of the integration variables, the order
of integration does not matter so we can separate this integral into three separate integrals as
follows, and then evaluate each part individually.
Z a Z 2π Z π
b 6 4
= 4 ρ dρ dθ sin(φ) cos (φ) dφ
a 0 0 0
a 2π Z π
b ρ7
= θ sin(φ) cos4 (φ) dφ
a4 7 0 0 0
We can solve the third integral using the substitution u = cos(φ) to obtain
π
ba3 cos5 (φ)

= 2π
7 5 0
4πρa3
=
35

185
Easy Questions
Question 1: Evaluate ZZ
I= xy dS
S
where
S = {(x, y) : 3 ≤ x ≤ 4, 0 ≤ y ≤ 2}
Answer:
I=7
Question 2: Evaluate ZZ
I= (x2 + y) dA
A
where A is the triangle with vertices at (4, −1), (7, −1) and (7, 5).
Hint: First find the equations of the lines of the triangle.
Answer:
675
I=
2
Question 3: Using a double integral, find the area enclosed between the two curves
y = x2 and y = 2x − x2
Hint: Remember to find where the curves intersect first.
Answer:
1
Area =
3
Note: This question can also be done using single integration.
Question 4: By considering the region of integration, change the limits on the integral
Z ln(3) Z 3
I= f (x, y) dydx
0 ex
so that we could integrate with respect to x first.

Answer: Z 3 Z ln(y)
I= f (x, y) dxdy
1 0

186
Question 5: By converting to polar coordinates, evaluate
y2
ZZ
I= dA
R x2
where R is part of the ring 0 < a2 ≤ x2 + y 2 ≤ b2 lying in the first quadrant and below the line
y = x.
Hint: Remember dA = r drdθ in polar coordinates.
Answer:
4−π 2
I= (b − a2 )
8
Medium Questions

Z 1 Z 3 Z 2
I= x2 z + y dxdydz
0 2 0
Answer:
19
I=
3
Question 7: Let T be the tetrahedron bounded by the planes x = 0, y = 0, z = 0 and

x + 2y + z = 2. Evaluate the integral
ZZZ
I= x dV
T
Answer:
1
I=
3
π π
Question 8: The point P is given in spherical coordinates as 3, , . Find the Cartesian
4 3
and cylindrical coordinates of the point P .
Answer: √ √ √
3 2 3 6 3 2
Cartesian: , ,
4 4 2
√ √
3 2 π 3 2
Cylindrical: , ,
2 3 2
Question 9: Using a triple integral with the appropriate coordinate system, find the volume
of a body bounded by the surfaces x2 + y 2 = 4, z = 0 and z = 2.
Answer:
V olume = 8π

187
Question 10: By changing the order of integration, evaluate
Z 1 Z 1
5
I= ey dxdy
0 x1/4
Answer:
e−1
I=
5
Hard Questions
Question 11: Evaluate ZZZ

I= (y 2 + x2 ) dV
D
where D is the region bounded by the cylinders x2 + y 2 = 1 and x2 + y 2 = 4 and the planes x = y,
x = 0, z = 0 and z = 1.
Hint: Use cylindrical coordinates.
Answer:
15π
I=
16
Question 12: A solid cone has boundary surfaces x2 + y2 = z 2 and z = 1. The density of
the cone at point (x, y, z) is z. Find the mass of the cone using a triple integral in both spherical
coordinates and cylindrical coordinates.
Answer:
2π
V olume =
3
Question 13: By changing to cylindrical coordinates, evaluate the integral

ZZZ
2
+y 2 +z 2 )
I= ze−(x dV
R
where
R = {(x, y, z) : −∞ < x, y < ∞, 0 ≤ z ≤ 1}
Answer:
π
I= (1 − e−1 )
2

Z 1 Z y
xy
I= dxdy
0 0 x2 + y 2
Answer:
1
I= ln 2
4

188
Question 15: Using a triple integral in spherical coordinates, find the volume of a cone of
height h and radius a.
Answer:
1 2
V olume = πa h
3

189
10 Differential Equations
10.1 Introduction to Differential Equations
Definitions and Classifications
A differential equation is an equation involving an unknown function and one or more of its derivatives.
Solving a differential equations involves looking for a function (or functions) that satisfies the equation.
Some simple examples of differential equations are:
dy
+x=y
dx
d2 x dx
+ +x=0
dt2 dt
dy
(x + y) =2
dx
The general form of an Ordinary Differential Equation is:
f (x, y, y 0 , y 00 , ..., y (n) ) = 0
dy 00 d2 y
where x is the independent variable, y is the dependent variable and y 0 = ,y = , etc... are
dx dx2
derivatives of y. Our aim when solving an ordinary differential equation is to find the function y(x)
which satisfies this equation.
We will often refer to Ordinary Differential Equations as ‘ODEs’. (There are other types of differential
equation, such as Partial Differential Equations, or ‘PDEs’, which will not be discussed in this booklet.)
In order to characterize differential equations, we will use the following definitions:
The order of a differential equation is the highest derivative, y (n) , that appears in the equation.
A differential equation is linear if the power on the dependent variable and all its derivatives is
1 and there are no terms which contain a product of these. In other words, we can write the
differential equation as a linear combination of the dependent variable and its derivatives. The
equation is called non-linear if the power on either the dependent variable or any of its derivative
is higher than 1 or the equation contains terms which include a product of these.
The degree of a differential equation is the power on the highest order derivative.
A differential equation is homogeneous if the dependent variable, y, or any of its derivatives are
present in all the terms. Consequently, y = 0 is always a solution of a homogeneous equation.
A differential equation is autonomous if the independent variable, x, is not explicitly present in

the equation.
Examples of classifications of ODEs:

dy
1. (x + y)2 = 3 is a non-linear inhomogeneous ODE of first order and first degree.
dx
d2 y
2. + y = x3 is a linear inhomogeneous ODE of second order and first degree.
dx2
d2 s ds
3. 2 + = 2s + s cos(t) is a linear homogeneous ODE of second order and first degree.
dt2 dt
3 2
d y
4. = y 2 is a non-linear homogeneous autonomous ODE of third order and second
dx3
degree.

190
Conditions
We have two types of extra conditions:
If we specify the dependent variable and/or some of its derivatives at a particular point then we
call these Initial Conditions
If we specify these conditions at different points we call these Boundary Conditions
In this booklet, however, we will just refer to both types of condition as boundary conditions.
Boundary conditions are often in the form y(x0 ) = y0 which means that when x = x0 , then y = y0 .
They can also be in the form y (n) (x0 ) = y0 , which means that when x = x0 , then the nth derivative of y
is equal to y0 . When we are solving a differential equation subject to a boundary condition, we call the
problem an initial-value problem.
The Superposition Principle

The Superposition Principle states that if we have any two solutions, y = u1 (x) and y = u2 (x), to a
linear homogeneous ordinary differential equation, then y = αu1 (x) + βu2 (x) is also a solution for any
constants α and β.
We must adapt this theorem slightly when considering linear inhomogeneous ordinary differential equa-
tions as follows: For any two solutions, y = u1 (x) and y = u2 (x), to a linear inhomogeneous
ordinary differential equation, then y = yP + αu1 (x) + βu2 (x) is also a solution for any constants α and
β and yP is the particular solution.
This theorem enables us to use a variety of techniques to find solutions to linear ODEs, which we will
encounter later on in this chapter.
Important: The Superposition Principle only applies to linear ODEs.

191
10.2 First Order ODEs
Solution by Direct Integration
The most simple form of an ODE is:

dy
= f (x)
dx
In this case we simply need to integrate the function f (x), as we saw in the previous chapter on
Integration.
For example, given the ODE:
dy
= 3x2
dx
we would integrate to get
y = x3 + C
where C is a constant of integration, as usual.
This is called the general solution of the ODE. It is general because we have an arbitrary constant
and so this solution describes an infinite number of curves corresponding to an infinite number of
constants of integration. To find a particular solution, in which we would have no unknown constants,
we require an additional piece of information in the form of a boundary condition.
We do this by simply substituting in our boundary conditions and thereby calculating C from the
equation. For example, in the above problem, if we are given the initial condition y(0) = 2, then we
substitute x = 0 and y = 2 into the general solution, giving:
2=0+C ⇒C =2
Hence our particular solution to this initial-value problem is
y = x3 + 2
Note: We can always check if our answer is a solution by substituting it into the ODE.
Solution by direct integration is actually a special case of the following method, separation of variables,
which occurs when the function g(y) = 1.
Separation of Variables
If we have a differential equation in the form:

dy
= f (x)g(y)
dx
where f (x) is a function of only x and g(y) is a function of only y, then we can use the method of
separating the variables which works by rewriting our differential equation into the form:

dy
= f (x) dx
g(y)
so that we have all the y’s on the left hand side of the equation and all the x’s on the right hand side so
that we can integrate each side with respect to one variable.
Z Z
dy
= f (x) dx
g(y)

192
dy 4x3
Example: If = 2 , use the method of separation of variables to find the function y.
dx y
Solution: First we need to get the differential equation into the correct form with all the x’s on
the right hand side and all the y’s on the left. Multiplying both sides by y 2 gives:
y 2 dy = 4x3 dx
We can now integrate both sides; the left with respect to y and the right with respect to x:
Z Z
y 2 dy = 4x3 dx
1 3 4x4
y = +C
3 4
y 3 = 3x4 + C 0
p3
y = 3x4 + C 0
where C 0 = 3C and is a constant.
dy sin(−x) + e4x
Example: If = then use the method of separation of variables to find an
dx y2
expression for y in terms of x.
Solution: So first we need to get the differential equation into the correct form will all the x’s on
the right hand side and all the y’s on the left. So we have:

y 2 dy = sin(−x) + e4x dx
We can now integrate both sides, the left with respect to y and the right with respect to x:
Z Z
y 2 dy = sin(−x) + e4x dx Split up the integral on the right
Z Z Z
2
y dy = sin(−x) dx + e4x dx Integrate both sides
y3 e4x
= cos(−x) + +C Multiply both sides by 3
3 4
3
y 3 = e4x + 3 cos(−x) + 3C Take the cube root of both sides
4
31
3 4x 0
y= e + 3 cos(−x) + C Where C 0 = 3C
4

193
Physics Example: The force between two particles is modelled to be:
" 13 7 #
12ε a0 a0
F = −
a0 r r
d
Given that force is the negative derivative of potential, i.e. F = − U , and at r = a0 , U = −ε
dr
calculate the potential between the two particles.
Solution: This is a problem of seperating variables so first we set up the problem:
" 7 #
13
d 12ε a0 a0
− U= − Turn this into a nicer form with negative powers
dr a0 r r

d 12ε 13 −13 7 −7
− U= a r − a0 r Multiply by dr and integrate both sides
dr a0 0
Z Z
12ε 13 −13 7 −7 12ε
− dU = a r − a0 r dr Take the constant out of the integral
a0 0 a0
Z
12ε 13 −13
− a70 r−7 dr

−U = a0 r Now integrate the right hand side
a0
a13 a7

12ε
−U = − 0 r−12 + 0 r−6 + C This simplifies down
a0 12 6
−12
− 2a60 r−6 + C

U = ε a12
0 r
Now find C by substitution (r = a0 , U = −ε)

−12
− 2a60 a−6

−ε = ε a12
0 a0 0 +C Simplify this

−ε = ε 1 − 2 + C
−ε = −ε + C
0=C
−12
− 2a60 r−6 .

Back into our equation we get, U = ε a12
0 r
Note: This is another form of the Lennard-Jones 6-12 potential, with a0 being the equilibrium
seperation and ε being the energy needed to move the particles apart to infinity.

194
The Integrating Factor Method
Equations of the form

dy
+ g(x)y = f (x)
dx
are linear and can be solved using the method of integrating factor. In order to use this method, we must
always ensure that our differential equation is in the form above and that there is nothing multiplied by
dy
the .
dx
Our objective is to write our equation in the form
d
I(x)y = I(x)f (x)
dx
by finding an integrating factor I(x). This form is beneficial because we can now directly integrate
this to find the solution.
The formula for the integrating factor is:
R
I(x) = e g(x)

We then simply need to find Z
1
I(x)f (x) dx
I(x)
. For example, given the equation
dy
x + 2y = x2 − x + 1
dx
we begin by dividing everything by x to get the equation in the correct form:
dy y 1
+2 =x−1+
dx x x
1
Now we can compare this equation to our general form for these equations, and note that f (x) = x−1+
x
2
and g(x) = . Now, we can find the integrating factor as follows:
x
R 2
R
g(x) dx dx
I(x) = e =e x
= e2 ln |x| = x2
Now we can write the ODE as

d 1
x y = x2 (x − 1 + ) = x3 − x2 + x
2
dx x
and so we only need to solve Z

1
y= 2 (x3 − x2 + x) dx
x
1 1 4 1 3 1 2
= ( x − x + x + C)
x2 4 3 2
1 2 1 1 1
= x − x + x + Cx−2
4 3 2

195
Example: Find the general solution of the following differential equation:
dy
+ 2xy = 6x
dx
Solution: The integrating factor is

R
I(x) = e 2x dx = ex
2
And as the theory tells us that

d(yI(x))
= 6xI(x)
dx
(Where f (x) = 6x)
This implies that Z
x2 2
ye = 6xex dx
2 2 2 2
Knowing that ex differentiates to 2xex allows us to assume that 2xex integates to give ex .
Therefore we if write the equation above as
Z
x2 2
ye = 3 2xex dx
Then is it easy to see that

2 2
yex = 3ex + C
Therefore 2
y = 3 + Ce−x
Example: Find the solution to the initial value problem:

dy −2y
+ = 8x2
dx x
If x = 1 at y = 0
Solution: The integrating factor is
−2
R
I(x) = e x dx = e−2 ln x = x−2
And as
d(yI(x))
= f (x)I(x)
dx
An f (x) = 8x2 This implies that Z
−2
yx = 8 dx
Therefore
yx−2 = 8x + C
Using the Boundary Conditions, we ge that 0 = 8 + C and therefore C = −8
Our final answer is then
y = 8(x3 − x2 )

196
dy
Equations of the Form = f ( xy )
dx
If we have a homogeneous differential equation of the form

dy y
= f(x)
dx
then we cannot always use separation of variables, so we use the change of variable V = y/x in order to
get our equation into a more manageable form. We can then usually separate the variables and integrate
with respect to this new variable.
Note: In this case, the word homogeneous has a different meaning to the one described on page 194.
We can write these types of equations in an alternate form:

dy F (x, y)
=
dx G(x, y)

In order to use this method, the functions F (x, y) and G(x, y) must be homogeneous functions of degree
one, meaning that they satisfy the condition:
F (kx, ky) = kF (x, y)
For example, if we have the differential equation

p
dy y+ x2 − y 2
=
dx x
p p p
then F (x, y) = y + x2 − y 2 satisfies the above relation since ky + k 2 x2 − k 2 y 2 = k(y + x2 − y 2 ), and
clearly so does G(x, y) = x. Now that we have checked the condition, we can then use the substitution
V = y/x ⇒ y = V x. We then have:
dy dV x dV
= =V +x
dx dx dx
So the equation becomes:
√
dV Vx+ x2 − V 2 x2 p
x = −V =V + 1−V2−V
dx x
dV p
⇒x = 1−V2
dx
This equation is separable and so we can write:
Z Z
1 1
√ dV dx
1−V 2 x
and then integrate this using the methods in the Integration chapter to give:
arcsin(V ) = ln |x| + C ⇒ V = sin(ln |x| + C)
Now we must remember to return to the original variable y by substituting V = y/x:
y = x sin(ln |x| + C)

197
dy
5xy 2 = x3 + 2y 3 , x > 0
dx
Solution: Rearranging the equation we get
dy x3 + 2y 3
=
dx 5xy 2
dy F (x,y)
which is an equation in the form = G(x,y) where F and G are homogeneous equations.
y
dx
Using the substitution v = x we obtain get
dy dv
=v+ and y = xv
dx dx
Using this to re-write the equation gives
dv x3 + (xv)3
v+x =
dx 5x(xv)2
Dividing by x3 on the top and bottom of the fraction gives
dv 1 + v3
v+x =
dx 5v 2
Using the technique of separating the variables gives
5v 2
Z Z
1
dx = dx
x 1 − 3v 3
The integral on the left hand side is a standard integral but the right hand side is more difficult.
However it can be done simply enough with the right trick. Notice that the derivative of 1 − 3v 3
with respect to v is −9x3 . Therefore we can get this integrand to a standard inspection integral
by rewriting it as
−9v 2
Z
5
− dx
9 1 − 3v 3
Z 0
f (x)
(An integral in the form of dx)
f (x)
Integrating both sides gives
5
ln |x| = − ln |1 − 3v 3 | + c
9
Rewriting c as ln |k| and using log rules this equation simplifies further to
x(1 + 3v 3 )5/9
ln =0
k
As ln(1) = 0 we know
x(1 + 3v 3 )5/9
=1
k
and with further rearranging
9 13
( xk ) 5 − 1

v=
3

198
dy
Equations of the Form + f (x)y = g(x)y k
dx
Equations of the form

dy
+ f (x)y = g(x)y k
dx
are often called Bernoulli equations. Clearly we cannot simply separate the variables, but if we use the
substitution z = y 1−k we can get round this. Differentiating with respect to x gives:
dz dy
= (1 − k)y −k
dx dx
On rewriting the original equation as
dy
y −k + f (x)y 1−k = g(x)
dx
and now substituting our substitution in, we obtain:
dz
+ (1 − k)f (x)z = (1 − k)g(x)
dx
We can now solve this equation using an integrating factor as before.
For example, given the equation
dy y
+ xy =
dx x
, we rewrite as
dy
y + xy 2 = x
dx
Now, use the substitution z = y 2 and differentiate this to get:
dz dy
= 2y
dx dx
Substituting these into our equations gives:
dz
+ 2xz = 2x
dx
R
We can now solve this using an integrating factor e 2x dx to get
2
z = 1 + Ce−x
Then, returning to the original variable

2
y 2 = 1 + Ce−x

199
dy
2 + 4xy = 2xy 4 = 0
dx
Solution: Rearranging the equation we get

dy 2x
2y −4 + 2 3 = −2x
dx y
Dividing by 2 gives
dy 2x
y −4 + 3 = −x
dx y
dz dy
Using the substitution z = y 1−k with k = 4 gives = −3y −4 , which allows us to get
dx dx
dz
− 6xz = 3
dx
Using that the integrating factor is
R
e −6x dx = e−3x
2
we obtain Z
2 2
ze−3x = 3xe−3x dx
Rewriting this as Z
−3x2 1 2
ze =− −6xe−3x dx
2
allows us to integrate by inspection
2 1 2
ze−3x = − e−3x + C
2
Which implies
−1 2
z= + Ce3x
2
And in turn
1
y= 1
(Ce3x2 − 12 ) 3

200
10.3 Second Order Differential Equations
A second order differential equation is an equation of the form f (y, y 0 , y 00 ) = 0. In this section we will
only be considering linear second order ODE and our aim when given this type of equation is to find
y(x).
When we are tasked with solving a second order ODE the first question we must ask is whether the
equation we’re given is homogeneous or not. A general second order ODE is:
d2 y dy
a +b + cy = f (x)
dx2 dx
where a, b and c are constants.
This is a homogeneous function if f (x) = 0 since the dependent variable y then appears in all the
terms. i.e.
d2 y dy
a 2 +b + cy = 0
dx dx
Homogeneous Second Order Constant Coefficient Differential Equations

To solve a homogeneous second order ODE we predict a general solution of y = emx . From this we can
determine that
dy
= memx
dx
and that
d2 y
= m2 emx
dx2
Substituting this in to our general equation of a homogeneous second order ODE we obtain
am2 emx + bmemx + cemx = 0
OR
emx (am2 + bm + c) = 0
As we know that an exponential term (in this case the emx ) cannot equal zero we know that am2 +bm+c
must equal zero. Solving this quadratic equation (called the auxiliary equation or characteristic
equation of the ODE) will give us the values of m for which y = emx is a solution of the second order
ODE given.
However there are three cases when solving a quadratic equation: it can have two real roots, one
repeated root or no real roots. Each of these cases requires a different trial function in order to solve the
equation.
Case 1: Two Real Roots
For the case when the equation has two real roots, we have two solutions to the second order ODE
y = em1 x and y = em2 x . We simplify this to one solution by adding them together using the superposition
principle. However to allow this to be a general solution which encompasses all different possible solutions
dependent on initial conditions, we put an arbitrary constant in front of both terms.
i.e. For a homogeneous second order ODE with two solutions to the auxiliary equation, m1 and m2 , we
give the general solution as
y = Aem1 x + Bem2 x
where A and B are arbitrary.

201
Example: Solve the initial value problem
d2 y dy
+2 − 24 = 0
dx2 dx
dy
if x = 0 at y = 8 and = 122
dx
Solution: The auxiliary equation is
m2 + 2m − 24y = 0
This factorises to
(m − 4)(m + 6) = 0
So has two real roots;

m=4
m = −6
Therefore the general solution is

y = Ae4x + Be−6x
If at x = 0, y = 8
8=A+B
dy
= 4Ae4x − 6Be−6x
dx
dy
If at x = 0, = 122
dx
122 = 4A − 6B
Solving these equations simultaneously yields the answer
A = 17
B = −9
Then the particular solution to this problem is
y = 68e4x + 54e−6x
Case 2: One Repeated Root

For this case, we use a general solution of the form
y = emx (A + Bx)
An understanding of why this is the case is not necessary but it is important to remember the general
form.

202
Example: Find the general solution to the second order ODE:
d2 y dy
+6 +9=0
dx2 dx

m2 + 6m + 9 = 0
This factorizes to
(m + 3)2 = 0
So has one repeated root

m = −3

y = e−3x (A + Bx)
Case 3: No Real Roots (Complex Roots)

In the case where the roots are m = α ± iβ, using the solution from case one we obtain
y = Ae(α+iβ)x + Be(α−iβ)x
Taking out the common factor of eα we obtain
eαx (Aeiβx + Be−iβx )
Converting the complex parts to modulus-argument form
eαx (A(cos(βx) + i sin(βx)) + B(cos(−βx) + i sin(−βx))
As cosine is an even function and sine is an odd function we can simplify this further
eαx (A(cos(βx) + i sin(βx)) + B(cos(βx) − i sin(βx)))
eαx ((A + B) cos(βx) + (A − B)i sin(βx))
Combining the constants we obtain
eαx (A0 cos(βx) + B 0 sin(βx))
This is the general form we use when solving a second order ODE of this type.
Example: Solve the initial value problem

d2 y
+ 64 = 0
dx2
π
if at x = π, y = 8 and at x = 8, y=3
m2 + 64 = 0
This has complex roots of
m = ±8i
y = A cos(8x) + B sin(8x)
If at x = π, y = 8 ⇒ A = 1
If at x = π8 , y = 3 ⇒ B = −3
Therefore the solution to the problem is:
y = cos(8x) + −3 sin(8x)

203
Note: There is no need to derive the general formulae each time you do a question, all three are quotable.
Inhomogeneous Second Order Differential Equations

An inhomogeneous second order ODE has the general from
d2 y dy
a +b + cy = f (x)
dx2 dx
where f (x) 6= 0.
To solve these is slightly more laborious however is not particularly difficult. The first step is to solve
the corresponding homogeneous equation (which has the same left hand side, but setting f (x) to 0). The
solution we get with this technique is called the complementary function. After this, to complete the
solution, we need to find the particular integral.
To find the particular integral we need to consider the f (x) term on the right hand side of the equation.
We choose a ‘trial function’ dependent on the form of f (x). Here is a table showing which trial function
to make for each case:
f (x) Trial Function

Polynomial of degree n Axn + Bxn−1 + Cxn−2 + ...
ekx Cekx
cos(kx) and/or sin(kx) C cos(kx) + D sin(kx)
Note: If f (x) is a product of two or three of the terms given in the left hand column of the table, we use
a trial function that is the product of the corresponding trial functions given in the right hand column
of the table.
After choosing the right trial function we proceed to differentiate it one and then twice, and substitute
d2 y dy
these into the equation as , and y correspondingly. By comparing the coefficients of the terms on
dx2 dx
either side of the equation we can get values for all arbitrary constants. Once these are found we know
the particular integral.
The final general solution is
y(x) = yCF (x) + yP I (x)
Where yCF (x) is the complementary function and yP I (x) is the particular integral.

204
Example: Solve the second order ODE
d2 y
− 9y = 2x2 + x
dx2
Solution: Consider the corresponding homogeneous equation:
d2 y
− 9y = 0
dx2
and solve as before.
m2 − 9 = 0
Therefore m = ±3
Therefore the complementary function is
yCF = Ae3x + Be−3x
For the particular integral we will make the trial function Cx2 + Dx + E.
yP I = Cx2 + Dx + E
d(yP I )
= 2Cx + D
dx
d2 (yP I )
= 2C
dx2
Substituting these into the original equation we get:
2C − 9Cx2 − 9Dx − 9E = 2x2 + x
Then equating the coefficients of sine and cosine:

2
−9C = 2 ⇒ C = −
9
1
−9D = 1 ⇒ D = −
9
4
2C − 9E = 0 ⇒ E =
81
The final solution is:
2 1 4
y = Ae3x + Be−3x − x2 − x +
9 9 81

205
d2 y dy
+ 15 + 50y = 4 cos(x)
dx2 dx
Solution: Consider the corresponding homogeneous equation:
d2 y dy
2
+ 15 + 50y = 0
dx dx
and solve as before.
m2 + 15m + 50 = 0
This factorizes to give (m + 5)(m + 10) = 0
Therefore m = −5 or m = −10
yCF = Ae−5x + Be−10x
For the particular integral we will make the trial function C cos(x) + D sin(x).
yP I = C cos(x) + D sin(x)
d(yP I )
= −C sin(x) + D cos(x)
dx
d2 (yP I )
= −C cos(x) − D sin(x)
dx2
−C cos(x) − D sin(x) + 15(−C sin(x) + D cos(x)) + 50(C cos(x) + D sin(x)) = 4 cos(x)
15D − 49C = 4
49D − 15C = 0
15
D=−
544
49
C=−
544
49 15
y = Ae−5x + Be−10x − cos(x) − sin(x)
544 544

206
d2 z dz
12 + 32 + 5 = 25e4x cos(x)
dy 2 dy
Solution: Solving the corresponding homogeneous equation: The auxiliary equation is
12m2 + 32m + 5 = 0
This factorizes to give (2m + 5)(6m + 1) = 0

5 1
zCF = Ce− 2 y + De− 6 y
For the particular integral we will use the trial function e4y (A cos(y) + B sin(y)).
zP I = e4y (A cos(y) + B sin(y))
d(zP I )
= 4e4y (A cos(y) + B sin(y)) + e4y (−A sin(y) + B cos(y))
dx
d2 (zP I )
= 16e4y (A cos(y) + B sin(y)) + 4e4y (−A sin(y) + B cos(y))+
dy 2
4e4y (−A sin(y) + B cos(y)) + e4y (−A cos(y) − B sin(y))
12(16e4y (A cos(y) + B sin(y)) + 4e4y (−A sin(y) + B cos(y))+4e4y (−A sin(y) + B cos(y)) +
e4y (−A cos(y) − B sin(y))) + 32(4e4y (A cos(y) + B sin(y)) + e4y (−A sin(y) + B cos(y))) +
5(e4y (A cos(y) + B sin(y))) = 25e4y cos(y)
313A + 128B = 25
128A + 313B = 0
A = 0.0684 (3sf )
B = 0.0279 (3sf )
4y
zP I = e (0.0684 cos(y) + 0.0279 sin(y))
5 1
z = Ce− 2 y + De− 6 y + e4x (0.0684 cos(y) + 0.0279 sin(y))

207
Physics Example: The motion of a damped driven oscillator is described by
d2 θ dθ
2
+b = λ cos(ωt)
dt dt
where θ is the angle of the pendulum from equilibrium, t is time, ω is the angular frequency and
λ and b are constants. Find the general solution for this ODE.
Solution: Solving the corresponding homogeneous equation:
m2 + bm = 0
This factorizes to give m(m + b) = 0

Therefore m = 0 or m = −b
θCF = Ae0t + Be−bt = A + Be−bt
For the particular integral we will make the trial function C cos(ωt) + D sin(ωt).
θP I = C cos(ωt) + D sin(ωt)
d(θP I )
= −Cω sin(ωt) + Dω cos(ωt)
dt
d2 (θP I )
= −Cω 2 cos(ωt) − Dω 2 sin(ωt)
dt2
−Cω 2 cos(ωt) − Dω 2 sin(ωt) + b(−Cω sin(ωt) + Dω cos(ωt)) = λ cos(ωt)
−Cω 2 + bDω = λ
−Dω 2 − Cbω = 0
λ
C= 2
b − ω2
λb
D=
ω(b2 − ω 2 )
λ λb
θ = A + Be−bt cos(ωt) + sin(x)
b2 − ω 2 ω(b2 − ω 2 )

208
Equations with Dangerous Terms
The technique described above only works when f (x) in not proportional to a term in the complementary
function. For example if we have a complementary function of
y = Ae12x + Be7x
but
f (x) = 6e12x
then as one of the terms in the complementary function is Ae12x which is proportional to f (x) we cannot
choose our trial function as Ce12x as the table would suggest.
When this happens, to solve the problem, we use the trial function multiplied by x. So in this example
we would use:
Cxe12x
However, in our example, if the complementary function had been y = e12x (A + Bx) (in the case of
having a repeated root), even when the trial function was multiplied by x it would still be proportional
to Bxe12x and therefore our trial function would fail again, our technique to solve this is to multiply by
x again and therefore we would use:
Cx2 e12x

209
d2 y dy
+4 + 4 = 7e−2x
dx2 dx
Solution: Solving the corresponding homogeneous equation: The auxiliary equation is
m2 + 4m + 4 = 0
This factorizes to give (m + 2)2 = 0

yCF = e−2x (A + Bx)
For the particular integral we would normally make the trial function Ce−2x . But as f (x) is
proportional to the first term in the complementary function, so we have to multiple it by an x.
Cxe−2x
However, this is proportional to the second term in our complementary function so again we must
multiplied by an x.
Cx2 e−2x
yP I = Cx2 e−2x
d(yP I )
= 2Cxe−2x − 2Cx2 e−2x
dx
d2 (yP I )
= 2Ce−2x − 4Cxe−2x − 4Cxe−2x + 4Cx2 e−2x
dx2
2Ce−2x − 4Cxe−2x − 4Cxe−2x + 4Cx2 e−2x + 4(2Cxe−2x − 2Cx2 e−2x ) + 4(Cx2 e−2x ) = 7e−2x
2Ce−2x = 7Ce−2x
⇒ 2C = 7
7
C=
2
7 2 −2x
yP I = x e
2
7
y = e−2x (A + Bx) + x2 e−2x
2

210
10.4 Setting Up Differential Equations
Knowing how to solve a differential equation is an essential skill, however in physics one must be able to
create the differential equation from the physical situation in the first place. As explained previously, a
derivative is the rate of change of a function with respect to the given variable. A strong understanding
of this concept is key to success in this section. It is hard to picture how the gradient is the rate of
change of the dependent variable with respect the independent variable so we can understand it with
examples.
Physically we understand velociy as how fast something moves, but mathematically we define it as the
rate of change of displacement with respect to time. The two ideas are actually one and the same when
one understands rate of changes; how fast something moves is a measure of how far they have travelled
(the change in displacement) in a specified time (with respect to time).
Physics Example: A particle is released from rest at t = 0 and x = 0, its subsequent velocity
is described by the equation
v = 3t − 45t2 + 3
How what the particles displacement function of time, x(t)?
Solution: We know that the velocity is equal to the rate of change of displacement with respect to
time, i.e.
dx
v=
dt
So
dx
= 3t − 45t2 + 3
dt
By using the method of separation of variables we obtain:
Z Z
x dx = 3t − 45t2 + 3 dt
and therefore:
x2 3t2
= − 15t3 + 3t + C
2 2
Using the boundary conditions we deduce that C must equal 0.
Our final answer is: p
x = 3t2 − 30t3 + 6t
With the understanding of what a derivative is we are able to convert physical situations into mathemat-
ical equations which increases our understanding of the situation at hand and allows us to predict what
will happen if the variables alter. For example if we are told ‘in radioactive decay the rate of change of
one nuclear species into another depends on the amount of un-decayed material present.’ We can say
that:
dN
= −λN
dt
Where N is the number or un-decayed nuclei and λ is the proportionality constant (there is a minus sign
as N is decreasing). Now we have this equation, we could solve for N (t) and make predictions for the
amount of un-decayed material at any time.

211
Physics Example: Determine the time dependence of the temperature of a cup of tea, T(t).
Solution: If we assume that the loss of heat of the cup of tea is proportional to its temperature we
can say that:
dT
= −αT
dt
Where α is a constant of proportionality. Separating the variable we get:
Z Z
1
dT = −α dt
T
ln |T | = −αt + C
If we let T = T0 at t = 0 we obtain that
C = ln |T0 |
Finally we re-arrange:
ln |T | − ln |T0 | = −αt
T
ln = −αt
T0
T = T0 e−αt
Physics Example: What happens to an un-powered boat which has an initial velocity v0
and is moving in a viscous medium such that the viscous force on the boat is proportional to the
velocity of the boat? Produce an equation for the time dependence of the boat’s velocity.
Solution: Note that ‘the viscous force on the boat is proportional to the velocity of the boat’. This
suggests that the resistive force on the boat, R, can be described by:
R = λv
Where λ is a constant of proportionality and v is the velocity of the boat.

From Newton’s second law of motion we know that ‘resultant force = mass × acceleration’ or
F = ma. Using this we say:
−R = −λv = ma
Acceleration is the rate of change of velocity (how much the velocity changes in a unit time) so we
can say that:
dv
−λv = m
dt
Separating the variables gives: Z Z
m
−λ dt = dv
v
−λt = m ln |v| + C
At t = 0 we know that v = v0 , therefore:
−λ × 0 = m ln |v0 | + C
C = −m ln |v0 |
Substituting this in and rearranging gives
−λt
v = v0 e m
The question asks what happens to the boat as time goes on so we need to use this equation to
predict what happens as t increases. It is clear to see that an increase of t will mean that the
exponential term will be less than one and decreasing, i.e. the boat will slow down and stop at
time t = ∞.

212
The following example is harder than the previous two but it is built on the same idea of converting a
situation to equations using rates of change.
Physics Example: A bath tub of volume of 100L is filled with a mixture of 90% water and
10% alcohol. If the plug hole is opened, 1 litre of fluid is lost every minute. A hose is turned on
and put in the tub at t = 0. It sprays 1 litre of a mixture of 50% water and 50% alcohol into the
tub every 30 seconds. At t = 0 the plug hole is also opened. How long does it take for the mixture
in the tub to be 50% water and 50% alcohol?
Solution: The best way to tackle this problem is to consider each liquid a separately. If we consider
water only and define W as the total water in the bath, Wh as the net water from the hose and
Wp as the net water through the plug hole:
The hose is putting a constant volume of half a litre into the tub every 30 seconds, so we can state
that:
dWh 1 1 1
= × =
dt 2 30 60
The plug hole is releasing a constant volume of liquid but the amount of water released is dependent
on the ratio of water to alcohol in the tub:
dWp 1 W W
=− × =−
dt 30 100 3000
So the net loss/increase of water is described by:
dW dWh dWp 1 W
= + = −
dt dt dt 60 3000
Solving this with separation of variables we obtain:
−dW
Z Z
W 1
= dt
3000 − 60
= −3000 ln |W − 50| = t + C
This rearranges to give:
−t+C
W =e 3000 + 50
Or −t
W = C 0 e 3000 + 50
At t=0 there are 90L of water so
0
90 = C 0 e 3000 + 50
⇒ C 0 = 40 So we obtain −t
W = 40e 3000 + 50
If W = 50 −t
50 = 40e 3000 + 50
−t
40e 3000 = 0
Therefore the split of water and alcohol will be even only as t tends to ∞.
You can check this by considering the alcohol rather than the water.
This idea is very useful in all areas of physics but for a 1st year physics course it is mainly seen in the
skills course.

213
Easy Questions
Question 1: Find the solution to this initial value problem

dy
= ex , y(0) = 1
dx
Answer:
y(x) = ex
Question 2: Solve
dy 1
= (1 − y 2 )
dx 2
Subject to the initial condition y(0) = −2
Answer:
x ln(3)
coth −
2 2
Question 3: Solve the second order differential equation

dx dx
−3 + 2y = 0
dt dt
Answer:
x(t) = Aet + Be2 t
Question 4: Solve the differential equation

dy
(y + 1)2 = −x3
dx
Answer:
(y + 1)3 x4
=− +C
3 4
Question 5: Solve the first order differential equation

dx
= 5x − 3
dt
Answer:
1 5t+5C 3
x(t) = e +
5 5

214
Medium Questions

dy
x = y + x3 + 3x2 − 2x
dx
Answer:
x3
y(x) = + 3x2 − 2x ln(x) + Cx
2

dy
x + y = xy 3 (1 + ln(x))
dx
Answer: − 12
4 2 C
y(x) = − x − x ln(x) + 2
9 3 x
Question 8: Taking x and the dependent variable to solve the equation

y ln(y)dx + (x − ln(y))dy = 0
Answer:
ln(y) C
x(y) = +
2 ln(y)
Question 9: Find yin terms of xif

dy x
+ xy =
dx y
Answer: p
y(x) = 1 + Ce− x2
Question 10: Find the solution of the second order differential equation
d2 y dy
2
−2 + 10y = ex
dx dx
Answer:
1
y(x) = ex (A cos(3x) + B sin(3x)) + ex
9
Hard Questions

dy p
x − (y + x2 − y 2 ) = 0
dx
Answer:
y(x) = x sinh(ln(x) + C)

215
Question 12: Solve second order ODE
d2 y
+ 9y = x cos(x)
dx2
Hint: Try the particular integral (ax + b) cos(x) + (cx + d) sin(x).
Answer:
x 1
y(x) = A cos(3x) + B sin(3x) + cos(x) + sin(x)
8 32
Question 13: Solve the second order differential equation

d2 y
− 4y = e2x
dx2
Hint: Be careful with the particular integral.
Answer:
x 2x
y(x) = Ae2x + Be−2x + e
4

d2 y dy
−4 + 4y = (x3 + x)e2x
dx2 dx
Hint: Be careful with the particular integral.
Answer:
x5 x3

y(x) = + + Bx + A e2x
20 6

216
11 Series and Expansions
11.1 Sequences
For completeness, we will briefly discuss what we mean by ‘sequences’, as this will lead directly into the
next section on ‘series’. A sequence is an ordered list of numbers such as
1, 4, 9, 16, ...
or
3, 5, 7, 9, ...
where the ‘...’ means that the list does not end. This should appear familiar from the section on ‘sets’,
however note that in the case of sequences, the numbers are ordered. We can generalise a sequence by
writing
a1 , a2 , a3 , ..., an , ...
where an is called the nth term of the sequence.
Formally, a sequence is a function between the natural numbers N and the real numbers R. For example,
the functions displayed above would represent the functions an = n2 and bn = 2n + 1 respectively. So
for example if we wish to find the nth term of the first sequence, we just need to calculate n2 . We can
also find the function corresponding to a simple sequence by inspection, by looking at the differences
between the terms in the sequence and using our knowledge of different functions.

217
Example:
1
1. Find the first four terms of the sequence an = n+1
2. Find the 6th term, the 18th term and the 2015th term of the sequence bn = 3n − 4.
3. Find the formula which yields the sequence 9, 11, 13, 15, ...
Solution:
1. Since we are only asked to find the first four terms, we just need to substitute n = 1,
n = 2, n = 3 and n = 4 into the formula.
1 1
a1 = =
1+1 2
1 1
a2 = =
2+1 3
1 1
a3 = =
3+1 4
1 1
a4 = =
4+1 5
2. We must substitute the values n = 6, n = 18 and n = 2015 into the formula.
b6 = 3 × 6 − 4 = 14
b18 = 3 × 18 − 4 = 50
b2015 = 3 × 2015 − 4 = 6041
3. First we look at the difference between each consecutive term and see that to get from one
term to the next we add 2. This means that to get from each value of n to the nth term in
our sequence, we have to multiply n by 2. So far our formula looks like cn = 2n + α. Now
we need to find α by substituting the first term into this equation:
9=2×1+α
⇒9−2=α
⇒α=7
So our formula is cn = 2n + 7.
It is a good idea to check that the formula works for the first few terms in the sequence:
2 × 2 + 7 = 4 + 7 = 11
2 × 3 + 7 = 6 + 7 = 13
We are often interested in the behaviour of sequences as n gets increasingly large. In particular, it is
useful to know if a function tends to ±∞ or converges to a real number. We will give a brief, informal
description of what these behaviours mean, however we will not give methods for proving them.
A sequence tends to infinity if after some point A the sequence can be made as large as we like.
Note that a sequence tends to minus infinity if after some point A the sequence can be made
as small as we like.
A sequence converges to a real number ` if for any > 0, |an − `| < for all n ≥ N . In other
words, after some point N , each consecutive term in the sequence can be made as close as we like
to `.

218
11.2 Summations
A finite sum of real numbers,
a1 + a2 + a3 + a4 + ... + aN
is denoted by
N
X
an
n=1
where the ‘n = 1’ below the summation symbol declares which value of n we begin summing from and the
‘N ’ above the symbol declares which value of n we stop summing at. Notice also that the ‘an ’ represents
the formula which we use to calculate each term in the sum, just as in the previous section on sequences.
We call n the ‘index of summation’.
Example:
1. Calculate the sum:
8
X
(−1)n n
n=2
2. Calculate the sum:

4
X 1
n=1
n
Solution:
1. We are required to add up all terms in the sequence an = (−1)n n from n = 2 to n = 8.

Note that the (−1)n is positive for even n and negative for odd n.
8
X
n=2−3+4−5+6−7+8=5
n=2
1
2. We are required to add up all terms in the sequence an = n from n = 1 to n = 4.
4
X 1 1 1 1 1 25
= + + + =
n=1
n 1 2 3 4 12

219
11.3 Series
A ‘series’ is an infinite sum of real numbers and is denoted by
a1 + a2 + a3 + a4 + ...
where, as before, the ‘...’ means that the series does not end.
We can also represent a series using the notation for a summation, ie.
∞
X
an
n=1
where the ‘n = 1’ below the summation symbol declares which value of n we begin summing from and
the ‘∞’ above the symbol tells us that this is an infinite sum. Notice that the notation here is the same
as in the section on ‘summations’, however we have replaced N with ∞.
As with sequences, it can be useful to know the behaviour of a series as n gets increasingly large. To
this end, we use the idea of a partial sum sN , where
N
X
sN = an
n=1
A series can do one of two things:

A series may converge to a real number s. This happens when a series can be made as close as
we like to s as we add more and more terms to the summation. If the sequence of partial sums
N
X
sN = an
n=1
converges, then the infinite series also converges.

If a series does not converge, then it is said to diverge. This is when a series either becomes
increasingly large (or small) as we add more terms to it, or else does something where it does not
converge to a single real number. If the sequence of partial sums
N
X
sN = an
n=1
diverges, then the infinite series also diverges.
Arithmetic and Geometric Series

Arithmetic Series One special type of sequence is called an arithmetic sequence. The general form of
this type of sequence is:
an = an−1 + d , a1 = α
where α is a constant. In words, this means that to get to the next term in the sequence, we add d to
the previous term.
The terms of this sequence can be added up to give an arithmetic series:

N
X
SN = [a1 + (n − 1)d]
n=1
This sum can be can be simplified:

N
X N
X
SN = a1 + (n − 1)d
n=1 n=1
N
X
= N a1 + d (n − 1)
n=2

220
N
X −1
= N a1 + d n
n=1
M
X
0
We now need to consider a different sum S = n. By writing out this sum we obtain
n=1
S 0 = 1 + 2 + ... + (M − 1) + M
Writing this again backwards gives
S 0 = M + (M − 1) + ... + 2 + 1
Adding these together produces

2S 0 = M × (M + 1)
and hence
M
X 1
S0 = n= M (M + 1)
n=1
2
By replacing M in the above formula with (N − 1) as in SN we deduce:

N
X 1
SN = [a1 + (n − 1)d] = N a1 + d(N − 1)(N )
n=1
2
Therefore

SN = 12 N 2a1 + d(N − 1)

Note
a1 + aN = 2a1 + d(N − 1)
So

SN = 12 N (a1 + aN )

Example: Find the sum of the arithmetic series

N
X
SN = 4 + (n − 1)3
n=0
when
1. N = 7
2. N = 28
Solution: Using SN = 12 N 2a1 + d(N − 1) :

7
X 1
1. S7 = 4 + (n − 1)3 = × 7 2 × 4 + 3(7 − 1) = 91
n=0
2
28
X 1
2. S28 = 4 + (n − 1)3 = × 28 2 × 4 + 3(28 − 1) = 1246
n=0
2

221
Example: Find the sum of the arithmetic series
5
X
S5 = 3 + (n − 1)9
n=0
Solution: As a5 = 3 + (5 − 1)9 = 39 and using SN = 12 N (a1 + aN ) we can deduce that
1
S5 = N (3 + 39) = 21
2
Geometric Series
Another special sequence is a geometric sequence. This type of sequence has the general form:
an = an
Again the terms of this sequence can be summed, this gives a geometric series:
N
X
SN = an
n=0
This sum can be re-written to give the formula for the sum of the geometric series:

N
X 1 − aN
SN = an =
n=0
1−a

It is also useful to know that the ‘sum to infinity’ of this series is:

∞
X 1
S∞ = an = , |a| < 1
n=0
1 − a

Example: Find the sum of the geometric series

N
X
SN = 7(0.5n )
n=0
when
1. N = 5
2. N = ∞
Solution:
5 5
1 − 0.55
X X
n n
1. S5 = 7(0.5 ) = 7 (0.5 ) =7× = 7 × 1.9375 = 13.5625
n=0 n=0
1 − 0.5
∞ ∞
X
X 7
2. S∞ = 7(0.5n ) = 7 (0.5n ) = = 14
n=0 n=0
1 − 0.5

222
Power Series
An important type of series, which will come in handy in the next section, is power series. A power
series about the point x = x0 is an expression of the form
∞
X
f (x) = an (x − x0 )n
n=0
= a0 + a1 (x − x0 ) + a2 (x − x0 )2 + ...
where x is a variable and the an are constants.
Power series always have a radius of convergence. This is used to describe for exactly which values the
series will converge. A power series with radius of convergence R will converge for any x such that
|x − x0 | < R and will diverge for any x such that |x − x0 | < R. For |x − x0 | = R, we cannot say whether
the power series converges or not. Note that if R = ∞, the power series converges for all x, and if R = 0,
the power series converges only when x = x0 .
Note: A strong understanding of the radius of convergence is not needed.
Adding and Subtracting Power Series

∞
X
It is possible to add and subtract power series. If we consider the series an (x − x0 )n with the radius
n=0
∞
X
of convergence R1 > 0 and bn (x − x0 )n with the radius of convergence R2 > 0, then:
n=0
∞
X ∞
X ∞
X
an (x − x0 )n ± bn (x − x0 )n = (an ± bn )(x − x0 )n
n=0 n=0 n=0
This new sum has the radius of convergence R ≥ min{R1 , R2 }
Example: Add the two series

∞
X
(n + 2)xn
n=0
∞
X
(3n − 2)xn
n=0
Solution: These add to give:

∞
X ∞
X
(n + 2 + 3n − 2)(xn ) = 4nxn
n=0 n=0
Multiplying Power Series

∞
X
It is also possible to multiply power series. If we consider the series an (x − x0 )n with the radius of
n=0
∞
X
convergence R1 > 0 and bn (x − x0 )n with the radius of convergence R2 > 0, then:
n=0
∞
X ∞
X ∞
X
an (x − x0 )n × bn (x − x0 )n = (cn )(x − x0 )n
n=0 n=0 n=0
Where cn is given by:

a0 bn + a1 bn−1 + a2 bn−2 + ... + an b0
This new sum has the radius of convergence R ≥ min{R1 , R2 }.

223
Differentiating Power Series
Finally it is possible to differentiate power series.
∞
X
If we consider the series f (x) = an (x − x0 )n which converges for |x − x0 | < R, where R > 0 then f
n=0
is differentiable on (x0 − R, x0 + R) and
∞
X
f 0 (x) = nan (x − x0 )n−1
n=1
This means that for all values of x for which f (x) converges, f (x) is differentiable and can be differenti-
ated by differentiating each term separately.
This idea is used to calculate means and help calculate variances of generation physics in probability and
random processes.
Example: Differentiate the following series:

∞
X n4 + 34 n
( )x
n=0
11n
Solution: This differentiates to give:

∞
X n4 + 34 n−1
n( )x
n=0
11n
∞
X n4 + 34 n−1
= ( )x
n=0
11

224
11.4 Expansions
Order and Rate of Growth
A useful technique when approximating functions is to collect terms by their ‘order’ and eliminate terms
that can be considered negligible. For example, if we have a function f (x) which can be expanded
to f (x) = ax + bx3 + cx5 and we a considering how the function behaves for small values of x (i.e.
x ≈ 0) then we can approximate the function by removing terms that do not contribute much. Since x
is small, x3 will be very small and x5 will be incredibly small. Therefore we can remove the term cx5
since it will not contribute to the total function. We may even wish to remove the term bx3 , depend-
ing on how small the values of x that we are considering are and how accurate we want our function to
be. This technique is especially useful where we have an infinite series of terms and we wish to truncate it.
We say that higher powers of x are of higher order and lower powers of x are of lower order. We
can also produce a hierarchy on rate of growth of different functions. In general we can express this as
follows:

c < xs < λx < x!
where c, s and λ are constants and we are considering the rate of growth as we increase the variable x.
In other words, this means that, for example, x! will always eventually beat an exponential term λx as
x increases, and so on.

225
Binomial Expansions
In physics, when trying to describe the world around us with mathematics, the equations that are most
accurate are often very complicated. To allow us to be able to simplify these equations we can use a
binomial expansion. It is a way to eliminate terms of an equation that affect the result in such a small
way that we can consider them negligible. The general binomial expansion for the integer n is:

n
X n n−k k
(a + b)n = a b
k
k=0

n!
The binomial co-efficient nk is defined as

. Therefore this expands to:
k!(n − k)!

n n! n n! n−1 n! n−2 2 n! 2 n−1 n! n
(a + b) = a + a b+ a b + ... + a b + b
n!0! 1!(n − 1)! 2!(n − 2)! (n − 1)!1! n!0!
Note: 0! = 1. If you are interested to find out why click here.

However in physics it is often helpful to use the fact that we can take out a factor of a from the bracketed
term:
n 2 n !
b n! n n! n−1 b n! n−2 b n! b
a 1+ =a 1 + 1 + 1 + ... +
a n!0! 1!(n − 1)! a 2!(n − 2)! a n!0! a
Simplifying to:
n 2 n !
b n! b n! b b
a 1+ =a 1+ + + ... +
a 1!(n − 1)! a 2!(n − 2)! a a
2 3 !
b 1 b 1 b
=a 1+n + n(n − 1) + n(n − 1)(n − 2) + ...
a 2 a 6 a
The reason behind using this form of the expansion rather than the general form is that it allows us to
use the physical relationship between the variables a and b to simplify the expression. The most common
use of this is for when b << a (b is much smaller than a) which allows us to confidently say that ab is
very small, and each time the power is increased on this term it will become increasing small until after
a certain point the influence of this term is negligible and we can approximate the equation by taking
out all the negligible terms as discussed in the previous section on ‘order’.
Generally we can use the formula:

1 1
(1 + x)n = 1 + nx + n(n − 1)x2 + n(n − 1)(n − 2)x3 + ...
2 6

226
Physics Example: The electric field due to an electric dipole is described by:

1 q q
E= −
4πε0 (r − a2 )2 (r + a2 )2
Where q is the charge of each particle, a is the separation of the particles and r is the distance
from the center of the dipoles. Simplify the expression for distances where a << r.
Solution: By taking out a factor of q, then putting both fractions over a common denominator we
obtain :
(r + a2 )2 − (r − a2 )2

q
E=
4πε0 (r − a2 )2 × (r + a2 )2
Expanding the top of the fraction gives:
2
a2
r2 + ar + a4 − r2 + ar −

q 4
E=
4πε0 (r − a2 )2 × (r + a2 )2

2arq 1
=
4πε0 (r − a2 )2 × (r + a2 )2
Notice this is equivalent to:

2arq 1
E= 2
4πε0 (r − a2 ) × (r + a2 )
Which is equivalent to:

2arq 1
E= 2
4πε0 (r2 − a4 )2
Consider the term:
1
2
(r2 − a4 )2
This is equivalent to:
−2
a2

−4
r 1− 2
4r
Using a binomial expansion gives:
−2 2 2 2 3 !
a2
2
−4 −4 a a a
r 1− 2 =r 1−2 +3 −4 + ...
4r 4r2 4r2 4r2
2 2 3 2 4
a2 a2

a a
As a << r we can assume that 2 and the higher order terms, , , etc,
4r 4r2 4r 2 4r2
are negligible.
−2
a2
Therefore r−4 1 − 4r 2 simplifies to just r−4 .
In turn this means that
2arq 1
E= 2
4πε0 (r2 − a4 )2

2arq 1
≈
4πε0 r4
aq
=
2πε0 r3
Therefore:
1 q q aq
E= a 2 − ≈
4πε0 (r − 2 ) (r + a2 )2 2πε0 r3
Using this simplified form of the equation saves a lot of time when calculating predictions for
experiments done with electric dipoles.

227
Taylor Series
One of the most powerful techniques we can use in physics is Taylor series. This enables us to write
many functions as an infinite power series. As in the previous section on the binomial expansion, we can
then find an approximation of the function by considering small values of x and ignoring terms which
are negligible. Just as mentioned in the section on power series, it is worth noting that many Taylor
series of functions only work for a certain range of x values and so has a radius of convergence R. In the
case where x0 = 0, we call the expansion a Maclaurin series.
We can usually find a Taylor expansion for a function f (x) using the following formula:

∞
X f (n) (x0 )
f (x) = (x − x0 )n
n=0
n!

where f (n) (x0 ) is the nth derivative of f (x), evaluated at x0 .
By expanding out the sum, this can be written as:

0 f 00 (x0 ) f 000 (x0 )
f (x) = f (x0 ) + f (x0 )(x − x0 ) + (x − x0 )2 + (x − x0 )3 + ...
2! 3!
This means that if we can differentiate a function multiple times then we can find its Taylor expansion.
However, in some cases, calculating the Taylor series of a function using this formula can be very la-
borious and so it is often useful to know by heart the Taylor series for some simple functions, and use
products of these to find Taylor series of more complicated function. Here are the expansions of some
common functions:
For all x ∈ R,
x2 x3 xn
ex = 1 + x + + + ... + + ...
2! 3! n!
For all x ∈ R,
x3 x5 x2n+1
sin(x) = x − + + ... + (−1)n + ...
3! 5! (2n + 1)!
For all x ∈ R,
x2 x4 x2n
cos(x) = 1 − + + ... + (−1)n + ...
2! 4! (2n)!
We can use the binomial expansion to find the Taylor series for (1 + x)n , however it only works for
|x| < 1.
1 1
(1 + x)n = 1 + nx + n(n − 1)x2 + n(n − 1)(n − 2)x3 + ...
2! 3!

228
Example:
1. Using the appropriate Taylor series, find e2 up to the first six terms.
2. Using the general formula for the Taylor series of a function, prove the above Taylor series
for cos(x) about x = 0 for the first three non-zero terms.
3. Find the first six terms of the Taylor series for eix and hence deduce Euler’s formula: eix =
cos(x) + i sin(x).
Solution:
1. We use the above formula for ex and substitute x = 2.

22 23 24 25
e2 = 1 + 2 + + + + + ...
2 3! 4! 5!
4 8 16 32
=1+2+ + + + + ...
2 6 24 120
4 2 4
=1+2+2+ + + + ...
3 3 15
109
≈ ≈ 7.27
15
Comparing this to the actual value of e2 ≈ 7.39, we see that our approximation is not far off
and would converge to the actual value as we include more terms in our series.
2. Use the formula for the general Taylor series of a function. By differentiating f (x) = cos(x)
we have:
f 0 (x) = − sin(x)
f 00 (x) = − cos(x)
f 000 (x) = sin(x)
f 0000 (x) = cos(x)
Then
cos(0) 2 sin(0) cos(0)
cos(x) = cos(0) − sin(0)x − x + + + ...
2 3! 4!
x2 x4 x2 x4
=1−0+ +0+ + ... = 1 + + + ...
2 4! 2 4!
as required.
3. Using the Taylor series for ex with x = ix, and by considering powers of i, we get:
(ix)2 (ix)3 (ix)4 (ix)5

eix = 1 + ix + + + + + ...
2! 3! 4! 5!
x2 x3 x4 x5
= 1 + ix − −i + + i + ...
2! 3! 4! 5!
Collecting the real and imaginary terms:
x2 x4 x3 x5

ix
e = 1− + + ... + i x − + + ...
2! 4! 3! 5!
Now by comparing this with the Taylor series for sin(x) and cos(x), we have
eix = cos(x) + i sin(x)

229
Example: Find the power series of e4x sin(x) up to and including x4 .
Solution: We know that:
16x2 64x3 (4x)n
ex = 1 + 4x + + + ... + + ...
2! 3! n!
x3 x5 x2n+1
sin(x) = x − + + ... + (−1)n + ...
3! 5! (2n + 1)!
Therefore:
16x2 64x3 (4x)n x3 x5 x2n+1
e4x sin(x) = (1 + 4x + + + ... + + ...)(x − + + ... + (−1)n + ...)
2! 3! n! 3! 5! (2n + 1)!
We can see that when we expand the brackets there will be no term including x0 (or constant term).
We can also see that the only term that includes x1 will be when the first term in each
series is multiplied together, 1 and x. So the first term in our answer will be
To get a term including x2 we can multiply together 4x with x. Therefore our second term in our
answer is
4x2
−x3 16x2
The term including x3 can be found by multiplying 1 with as well as multiplying with
3! 2!
x. Therefore the third term in our answer is
−x3 16x3 47x3
+ =
3! 2! 6
To find the last term in our series we need to look how we will get terms including x4 . We will
−x3 64x3
obtain this from multiplying the terms 4x with and with x. Therefore the fourth and
3! 3!
final term we are looking for is
−2x4 32x4
+ = 10x4
3 3
Therefore:
47x3
e4x sin(x) = x + 4x2 + + 10x4
6

230
Example: What is the Taylor series up to and including the term of order x3 for
ex
1−x
if |x| < 1.
Solution: We know that the Taylor series for ex is:
x2 x3 xn
ex = 1 + x + + + ... + + ...
2! 3! n!
1
And that the Taylor series for 1−x is:
1
= 1 + x + x2 + x3 + ... + xn + ...
1−x
Therefore
ex x2 x3 xn
= (1 + x + x2 + x3 + ... + xn + ...)(1 + x + + + ... + + ...)
1−x 2! 3! n!
Expanding this and collecting like terms gives:
ex 5x2 8x3
= 1 + 2x + + + ...
1−x 2 3

231
Easy Questions
Question 1: What are the first 4 terms of the sequence given by

an = (an−1 )2 + 3
if:
a1 = 4,
a1 = −2,
a1 = 0?
Question 2: Find the sum of the finite series:

4
X
S= n3 + 2n + 1
n=0
Answer:
125
Question 3: Find the sum of the finite series:

6
X
S= 2n
n=0
Answer:
127
Question 4: Find the sum of the infinite series:

∞
X
S= 0.7n
n=0
Answer:
10
3
Question 5: What is
17
X
SN = [3 + (n − 1)2]
n=1
Answer:
323

232
Medium Questions
Question 6: Find first 4 terms of the binomial expansion of

(2 + 3x)6
.
Answer:
64 + 576x + 2160x2 + 4320x3
Question 7: Find the Taylor expansion of sin(x) and ex using the formulae to find a Taylor
expansion.
Answer:
x3 x5 x2n+1
sin(x) = x − + + ... + (−1)n + ...
3! 5! (2n + 1)!
x2 x3 xn
ex = 1 + x + + + ... + + ...
2! 3! n!
Question 8: Find the first 4 terms of

ex sin(x)
using the Taylor expansions derived in the previous question.

Answer:
x3 x5
x + x2 + −
3 30
Hard Questions
Question 11: Use a Taylor expansion to prove that

sin(x)
lim =1
x→0 x

233
12 Operators
12.1 Introduction to Operators
Operators are covered more extensively in the second year, however it is useful to have a basic under-
standing of what an operator is and why they are used. An operator takes its name from the fact that
it is something that acts on a function as opposed to acting on numbers. In first year we are mainly
concerned with Hermitian operators, as all physical observables (quantities) can be represented by a
Hermitian operator in quantum mechanics. This is written as:
ÂΨ = aΨ
The above equation is an example of an eigenvalue equation, where a is an eigenvalue of the operator
Â and Ψ is an eigenfunction. We denote operators with a ‘hat’, and eigenvalues are always real constants.
An operator may have multiple eigenvalues, each representing a possible measurement of the physical
observable in question. However, these eigenvalues are the only values that the observable can take
for that particular wavefunction. If an operator acts on a wavefunction and does not return a constant
multiplied by the wavefunction, then we cannot measure the observable represented by the operator for
this wavefunction and the wavefunction is said to not be an eigenfunction of the observable. This is due
to the Heisenberg Uncertainty Principle, which will not be covered here. Some examples of important
operators in quantum mechanics are:
The momentum operator (in the x-direction):
∂
pˆx = i~
∂x
The kinetic energy operator:

~2 ∂ 2
T̂ = −
2m ∂ 2 x
The total energy operator:
∂
Ê = i~
∂t
So if we have a wave represented by a wavefunction, Ψ(x), and we wish to find the kinetic energy of this
wave, we would calculate
~2 ∂ 2
T̂ Ψ(x) = − Ψ(x)
2m ∂ 2 x
If this returned an expression of the form aΨ, then we know that the kinetic energy of this wave is a.

234
Physics Example:
1. Using the operators defined above, show that Ψ(x, t) = A sin(kx − ωt) is an eigenfunction of
kinetic energy and find the eigenvalue.
2. Using the operators defined above, show that Ψ(x, t) = Ae−i(kx−ωt) is an eigenfunction of
momentum (in the x-direction) and find the eigenvalue.
Solution:
1. We are required to calculate
~2 ∂ 2 ~2 ∂ 2
− 2
Ψ(x, t) = − A sin(kx − ωt)
2m ∂ x 2m ∂ 2 x
~2
=− Ak cos(kx − ωt)
2m
~2
= Ak 2 sin(kx − ωt)
2m
~2 k 2
= Ψ(x, t)
2m
2 2
k
Therefore Ψ(x, t) is an eigenfunction of kinetic energy with eigenvalue ~2m . The physi-
cal significance of this is that if we measure the kinetic energy of a wave with the given
2 2
k
wavefunction, it will have a kinetic energy of = ~2m .
2. We are required to calculate
∂ ∂
i~ Ψ(x, t) = i~ Ae−i(kx−ωt)
∂x ∂x
= i~ × −ikAe−i(kx−ωt)
= −(i)2 ~kAe−i(kx−ωt)
= ~kAe−i(kx−ωt)
= ~kΨ(x, t)
Therefore Ψ(x, t) is an eigenfunction of momentum with eigenvalue ~k. The physical signif-
icance of this is that if we measure the momentum of a wave with the given wavefunction,
it will have a momentum of ~k.

235
Question 1: What will be obtained if the operator

d
Ô = 2x
dx
acts on the function
f (x) = 3 cos(x2 ).
Answer:
−12x2 sin(x2 )
Question 2: If
d
P̂ = 13 cos(x)
dx
and
f (x) = 4x2
what is P̂ 2 f (x)?
Answer:
P̂ 2 f (x) = 1352 cos2 (x)
Question 3: If
d
Q̂ =
dx
what is the general form of the eigenfunctions for this operator?
Hint: What differentiates to give itself?

236
13 Mechanics
In many mechanics questions it can be instructive to draw diagrams of the scenario in order to visualise
what is happening and avoid making mistakes. The examples in this booklet do not include diagrams as
being able to draw a diagram from a piece of text is a useful skill that comes with practice.
13.1 Dimensional Analysis

Physicists measure quantities in different units which depends on what we are measuring, for example
we measure distance in metres and time in seconds. In physics, we often use a large variety of equations
which provide relationships between physical quantities and we can use dimensional analysis to check that
these equations make sense physically. Physical quantities have units (such as metres) and dimensions
which tell us what sort of quantity we are measuring (for example length or time). Below is a table of
some typical quantities in physics with their units and dimensions.
Quantity Units Dimensions

Distance (s) metres (m) L (length)
Time (t) seconds (s) T (time)
Mass (m) kilograms (kg) M (mass)
Velocity (v) ms−1 LT −1
Acceleration (a) ms−2 LT −2
Force (F ) Newtons (N) or kg ms−2 ) M LT −2
Density (ρ) kg m−3 M L−3
Viscosity (µ) kg m−1 s−1 M L−1 T −1
Occasionally we may wish to derive or come up with our own equation for a particular scenario however
it can be difficult to check if an equation really does represent the correct scenario, and so it is useful
to have a means of checking that the equation makes physical sense. One method which we can use to
do this is dimensional analysis, which uses the idea that any physical equation must be dimensionally
correct, in other words it must have the same units on both sides. For example, v = u + at is dimen-
sionally correct, since the dimensions on both sides are ms−1 and so are the same, however the equation
v = a has dimensions of velocity, ms−1 , on the left but units of acceleration, ms−2 on the right hand
side, therefore this second equation makes no sense and cannot be physically correct.
We can check that an equation is dimensionally correct by writing the equation in terms of its dimensions
and checking that everything matches up. For example, we could write v = u + at as
[LT −1 ] = [LT −1 ] + [LT −2 ][T ]
where we write the dimensions of each variable in square brackets. By usual algebra we can obtain
[LT −1 ] = 2[LT −1 ]
however since we are only considering dimensions, we can ignore dimensionless constants and so the
equation is dimensionally correct. A dimensionless quantity has no units and so we can write its dimen-
sions as [1]. Examples of dimensionless quantities are π, amount of substance (mol) and angles measured
in radians (rad).
This technique can tell us if an equation does not make physical sense, however it cannot necessar-
ily confirm that the equation is correct for the scenario. This is because there are often multiple ways
for an equation to be dimensionally correct and because dimensional analysis does not take into account
constants.
We can use dimensional analysis to determine an estimate for a relation between some quantities by
considering the dimensions of the quantities.

237
Physics Example: A student predicts that the drag force F experienced by a sphere of radius
R when immersed in a fluid of viscosity µ and travelling at a velocity v is:
F = kµR2 v
where k is a dimensionless constant. Check whether this equation is correct or not. If it is incorrect,
find a relation between these variables which is dimensionally correct
Solution: Write the equation in terms of its dimensions
[M LT −2 ] = [1][M L−1 T −1 ][L2 ][LT −1 ]
Now use ordinary multiplication to simplify the right hand side and check if it is equal to the left
hand side.
RHS = [M L−1 T −1 ][L3 T −1 ]
= [M L2 T −2 ]
But
[M LT −2 ] 6= [M L2 T −2 ]
so the equation is not dimensionally correct. By simply consideration of the dimensions of the
quantities, we can easily see that we can correct the equation by reducing the power of R by 1.
Thus our correct equation is
F = kµRv
which we can check has the correct dimensions in a similar way to above.
We can also use dimensional analysis to find the dimensions of a quantity, given an equation for which
we know the dimensions of the other quantities.
Physics Example: The following equation for the gravitational attractive force is dimension-
ally correct:
Gm1 m2
F =−
r2
Find the dimensions of the constant G.
Solution: We can rearrange the equation to make G the subject and then write the equation in
terms of its dimensions whilst ignoring scalar multiples (in this case the ‘−1’):
F r2
G=
m1 m2
[M LT −2 ][L2 ]
G=
[M ][M ]
We then use normal multiplication to simplify the dimensions
= [M L3 T −2 ][M −2 ]
= [M −1 L3 T −2 ]
Thus the dimensions of G are kg−1 m3 s−2

238
Physics Example: A researcher expects that the frequency of oscillation ω of a star depends
on the gravitational constant G, the density ρ of the star and the radius R of the star R.
Solution: We can write this above statement as
ω = kGa ρb Rc
where k is a dimensionless constant and a, b and c are constant powers of the quantities which we
need to find. We now write our equation in terms of dimensions
[T −1 ] = [1][M −1 L3 T −2 ]a [M L−3 ]b [L]c
= M −a+b L3a−3b+c T −2a

Then we compare the powers of each of our quantities to get a set of simultaneous equations:
−a + b = 0
3a − 3b + c = 0
−2a = −1
Which gives
1
a= 2
1
b= 2
c=0
Now substituting these values in, we find that a dimensionally correct equation is
p
ω = k Gρ
Notice that the frequency of oscillation does not depend on the radius of the star!

239
13.2 Kinematics
The basic ideas of kinematics evolve from the concepts of velocity and acceleration. In mathematics,
average velocity is defined as
s(t2 ) − s(t1 )
v=
t2 − t2
where t1 is the initial time, t2 is the final time, s is the displacement from the origin and v is the velocity.
Both velocity v and displacement s are vectors, whereas their magnitudes are called speed and distance
respectively and these are scalar quantities. By taking the limit of this as t2 → t1 the instantaneous
velocity is obtained and is defined as
ds
v=
dt
or the rate of change of displacement with respect to time. Similarly acceleration is defined as
dv
a=
dt
or the rate of change of velocity with respect to time. Combining both of these definitions together gives:
dv d ds d2 s
a= = = 2
dt dt dt dt
s
For a body travelling at velocity v and not accelerating you will have been taught that v = . When
t
considering the same body but with a constant acceleration a, this equation still holds but using the
average velocity during the movement, which yields the equation

(u + v)
s= t
2
Keeping the assumption that acceleration is constant and using the definitions above it is true to say
Z 2 Z
d s
dt = a dt
dt2
⇒ v = at + C
If at t = 0 the motion we are describing has initial velocity u this implies

v = u + at
Furthermore: Z Z Z
ds
v dt = dt = u + a dt
dt
1
⇒ s = ut + at2 + C
2
If it is assumed that s = 0 and t = 0 then it follows C = 0, so:

s = ut + 21 at2

Finally by combining both of these results one more useful equation falls out. By solving for t in both
equations, substituting one into the other and re-arranging the result we arrive at:

2 2
v = u + 2as
The equations in boxes are often called SUVAT equations, and they are invaluable in mechanics problems
where there is a constant acceleration.

240
Example: A particle is dropped from rest at a height 5 metres from the floor, with what speed
will the particle hit the floor?
Solution: The information we know about when the ball hits the floor is (taking downwards to be
positive):
s = 5m
u = 0ms−1
a = 9.81ms−2
Using that
v 2 = u2 + 2as
And substituting what we know gives
v 2 = 02 + 2 × 9.81 × 5
√
⇒ v = 98.1 = 9.90ms−1 (3sf )
Example: A stunt car drives up a ramp angled at 30◦ to the horizontal. The car leaves the top
of the ramp, at a height 10m from the ground, at 30ms−1 . What will be the greatest height the
car reaches?
Solution: At the top of the car’s motion the vertical velocity will be zero since it will stop moving
upwards and begin to fall. Using this we can deduce the height we want. The information we
know about the vertical motion of the car at its highest point in its motion is (taking upwards to
be positive):
v = 0ms−1
u = 30 sin(30) = 15ms−1
a = −9.81ms−2
Using that
v 2 = u2 + 2as
and substituting what we know gives
02 = 152 + 2 × −9.81 × s
⇒ s = 11.5m (3sf )
However this is the height above the ramp and not the total height we want. So our final answer
is:
10 + 11.5 = 21.5m

241
Example: A parkour runner jumps horizontally off a building at v = 3ms−1 . If the height of
the building is 2.5 meters, how far will the parkour runner land from the base of the building?
Solution: If we consider the vertical motion first we can work out the how long the parkour runner is
in the air for and use this with horizontal motion to find the distance in question. The information
we know the runner’s vertical motion at the point he hits the floor is (taking downwards to be
positive):
s = 2.5m
u = 0ms−1
a = 9.81ms−2
As we are trying to work out the time of the jump we will use
1
s = ut + at2
2
Substituting what we know gives
1
2.5 = 0t + × 9.81 × t2
2
r
5
⇒t= = 0.713s (3sf )
9.81
Now that we know the time of the flight we know enough about the horizontal at the point he hits
the floor to work out the distance we want.
u = 3ms−1
a = 0ms−2
t = 0.713s
Using
1
s = ut + at2
2
We can deduce that
1
s = 3 × 0.713 + × 0 × 0.7132
2
⇒ s = 2.14m (3sf )

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13.3 Newton’s Laws
Newton’s Laws of Motion
In order to understand what makes an object move, we consider Newton’s laws of motion, which in-
troduce the concept of force and provide some very important relations between different forces and
acceleration. Force (usually denoted as F ) is a vector quantity and is measured in Newtons, N.
The First Law

Newton’s first law of motion states that
A body will remain at rest, or continue to move at constant velocity, unless an external
unbalanced force acts on it.
This means that a force acting on a body is what causes the body to move. The law also explains that
a force causes a change in velocity and does not sustain a velocity, as Aristotle wrongly deduced. By
unbalanced force, we mean there is a resultant force acting on the object that is not zero.
The Second Law

Newton’s second law of motion describes the relationship between the mass m of a body, the acceleration
a of the body and the resultant force F acting on the body as

F = ma
This is a vector equation (i.e. F = ma) and since mass is a scalar and force and acceleration are vectors,
this means that the acceleration of a body is in the same direction as the force acting on it. The resultant
force acting on a body is the vector sum of all the individual forces acting on it. For example if we had
an object being pushed in two opposite directions with the same magnitude of force, the resultant force
on the object would be zero, even though there are two forces acting on it.
The Third Law

Finally, Newton’s third law of motion states that
For every action there is an equal and opposite reaction

meaning that if a body pushes against another object and exerts a force on it, the object will exert a
force of equal magnitude against the body, in the opposite direction to the original force.
Gravity
In mechanics, the force due to gravity is called the weight which we denote as W . Using Newton’s
second law we can obtain the relation

W = mg

where we call g the acceleration due to gravity and is the acceleration of an object due to it’s weight.
On Earth, g generally takes the value g = 9.81ms−1 however on other planets and at extreme heights on
Earth, g can take other values. It is important to understand the difference between mass and weight.
Mass, measured in kg, is a quantity representing ‘how much stuff’ a body contains and is constant
regardless of where the object is. On the other hand, weight is a force which depends on the mass of
a body and the strength of the gravitational field which the body is in. For example, an object on the
Moon would have the same mass as an identical object on Earth, but its weight would be less since the
Moon’s gravitational field is weaker. Newton also formulated another law which gives the force due to
gravity which acts between two masses m1 and m2 . Newton’s law of gravitation states that

Gm1 m2
F =−
r2
where F is the force acting on each mass (it acts on both masses but in opposite directions due to
Newton’s third law), r is the distance between the masses and G is called the gravitational constant with
the value G = 6.67 × 10−23 . Note that the minus sign indicates that the force is attractive rather than
repulsive.

243
Friction
Aristotle theorised that a force acting on a body causes a body to maintain its velocity and accelerate
when the force is increased. Newton proved this to be incorrect and stated in his first law of motion that
an external force causes a body to change its velocity, and a body will maintain its velocity without the
presence of a force. Aristotle’s approach initially appears to agree with physical intuition. Consider a
ball rolling along a carpet; unless we continuously push it along, it will slow down, whereas Newton’s law
suggests that it should keep moving at a steady pace without anything helping it along. The reason for
this is that there is a decelerating force due to the ball getting slowed by the tiny ridges and bumps
in the carpet. We call this force friction, and the strength of this force depends on the smoothness of
the surface the object is moving across, and the reaction force acting on the object. Thus the inequality
for the force due to friction is

FN ≤ µR

where µ is called the coefficient of friction of the surface and is a constant between zero and one. R is
the reaction force described in Newton’s third law which acts perpendicular away from the surface and
FN is the force due to friction and is a vector which acts to oppose the movement of the object.
Example: A particle of mass 3kg is projected up a rough slope, inclined at 30◦ to the horizontal,
with velocity 3ms−1 . If the coefficient of friction between the particle and the slope is 0.7, what
distance s up the slope does the particle travel?
Solution: As the particle is in motion the friction takes its maximum value.
FN = µR
Finding the resultant force up the slope and using Newton’s second law of motion will allow us to
find the acceleration, a, of the particle. The resultant force up the slope is:
−3g sin(30) − 0.7 × 3g cos(30) = −32.6N (3sf )
Thus
−32.6 = ma = 3a
⇒ a = −10.9ms−1 (3sf )
Using v 2 = u2 + 2as and the information we have we obtain
02 = 32 + 2 × −10.9 × s
Therefore
s = 4.12m (3sf )
Example: A box of mass 5kg lies on a rough slope inclined at an angle θ to the horizontal. If
the coefficient of friction between the particle and the slope is 0.5, What is the greatest value of θ
for which the box will not slip down the slope?
Solution: At the point of slipping the friction acting on the box takes its maximum value.
FN = µR
Resolving forces acting parallel to the slope gives:
−5g sin(θ) + 0.5 × 5g cos(θ) = 0 (3sf )
Thus
tan(θ) = 0.5
⇒ θ = 26.6◦ (3sf )

244
Air Resistance
In all the examples when using the SUVAT equations air resistance was ignored, this was due to the
assumption that acceleration was constant. When including air resistance this is no longer the case
as this resistance is proportional to velocity, the two simple cases we will consider are either directly
proportional or proportional to the square of the velocity. In reality it can be very hard to obtain an
equation for the air resistance. To solve these types of problems it is best to use Newton’s second law of
motion.
Case 1: An air resistance of R = mkv

Consider a particle of mass m falling in the Earth’s gravitational field. There is an air resistance of
magnitude R = mkv where v is the particle’s velocity and k is a constant. Find an equation for the
velocity of the particle in terms of time, v(t).
Resolving the forces vertically, taking downwards to be positive, we obtain that the resultant force
is mg − mkv and therefore by Newton’s second law of motion we obtain:
mg − mkv = ma
g − kv = a
dv
= g − kv
dt
Z Z
1
dv = dt
g − kv
1
− ln(g − kv) = t + C
k
If we assume that v = 0 at t = 0 then C = −1 k ln(g)
Substituting this in we get:
1 1
− ln(g − kv) = t − ln(g)
k k
And upon rearranging we obtain:
g
v = (1 − e−kt )
k
It is worth mentioning that in this equation as t tends to infinity the velocity of the particle tends kg ,
which is the terminal velocity of the particle, the maximum speed the particle will achieve when falling.
This occurs due to the air resistance increasing until it equals the weight of the particle and by Newton’s
first law of motion it will no longer accelerate and will continue with constant velocity.
Case 2: An air resistance of R = mkv 2

Consider the same particle of mass m falling in the Earth’s gravitational field. This time there is an air
resistance of magnitude R = mkv 2 acting on it, where v is the particle’s velocity and k is a constant.
Find an equation for the velocity of the particle in terms of time, v(t).
Resolving the forces vertically taking downward to be positive we obtain that the resultant force is
mg − mkv 2 and therefore by Newton’s second law of motion we can say:
mg − mkv 2 = ma
g − kv 2 = a
dv
= g − kv 2
dt
Z Z
1
dv = dt
g − kv 2
Rearranging this gives: Z Z
1 1
g dv = dt
k k − v2

245
Therefore s s !
1 k k
artanh v =t+C
k g g
If we assume that v = 0 at t = 0 then C = 0
s s !
1 k k
artanh v =t
k g g
Upon rearranging we obtain

√
g 1 − e−2 kgt
r
v= √
k 1 + e−2 kgt
r
g
If we let t tend to infinity to find the terminal velocity, the equation yields v = .
k

246
13.4 Conservation Laws
In physics, there are some quantities which are conserved, meaning that there is a constant amount of
them in any closed system. A closed system is a system in which no external forces or changes affect
the system, and so it can be thought of as ‘cut off’ from the rest of the universe. Two examples of
‘conservation laws’ will be considered here, which will enable us to solve physical problems.
Conservation of Momentum
Momentum can be thought of as ‘mass in motion’ or the ‘unstoppability’ of a body and is defined by the
formula

p = mv

where p is the momentum, m is the mass of the body and v is the velocity of the body. A body which
is at rest has zero momentum.
We can also define the impulse of a force as the force multiplied by the time over which the force
acts. This is equivalent to the change in momentum of the object the force is acting on. We can write
this as an equation:

I = F t = ∆p

Conservation of momentum states that the total momentum before an event is equal to the total momen-
tum after an event, this idea is specifically useful when dealing with questions on collisions or explosions.
In this booklet, we will only consider collisions of two objects.
Note: Momentum is a vector quantity.
Example: Two particles, A and B, collide. Before the collision A was travelling with 3ms−1 and
B was travelling with 5ms−1 in the opposite direction. After the collision, A travels in the same
direction as before the collision but with speed 1ms−1 and B’s direction of motion has reversed
and it still travels with 5ms−1 . If B has a mass of 3kg, what is the mass, m, of A?
Solution: Taking the direction of A’s motion to be positive we get the initial momentum of the
system as:
m × 3 − 3 × 5 = 3m − 15
The final momentum of the system is:
m × 1 + 3 × 5 = m + 15
Using conservation of momentum we obtain:
3m − 15 = m + 15
⇒ m = 15kg

247
Example: Two particles, L1 and L2 have a head on collision. Particle L1 was travelling at
30ms−1 just before the collision and had a mass 4kg, L2 was travelling at 15ms−1 in the opposite
direction to L1 just before the collision and had a mass 7kg. After the collision the two particles
coalesce, what is the speed of the combined two particles, v? Which direction are they moving in
after the collision?
Solution: Taking the original direction of L1 ’s motion to be positive we have that the initial
momentum of the system is:
30 × 4 − 15 × 7 = 15kg ms−1
The final momentum of the system is:
(4 + 7) × v = 15kg ms−1
Therefore
15
v= = 1.36ms−1 (3sf )
11
As the velocity is positive we know that the direction of the coalesced particles is in the same
direction as L1 ’s original motion.
An elastic collision is one in which there is no loss of kinetic energy. In physics, the vast majority
of collisions are inelastic, meaning that some kinetic energy is lost during the collision (however we can
often model a collision as being elastic for simplification). In order to do calculations for these inelastic
collisions, we must know the coefficient of restitution, e, of the collision. This is a property which
depends on the materials of both objects in the collision and is defined as:

speed of separation of objects vb − va
e= =
speed of approach of objects ua − ub
where ua and ub are the velocities of the two particles A and B before the collision, and va and vb are
the velocities of the two particles A and B after the collision. For elastic collisions, e = 1.
Example: A particle of mass 2kg is moving at a constant velocity of 5ms−2 . It collides with
a wall and bounces back in the opposite direction to its original motion. If the coefficient of
restitution of the collision is e = 0.7, with what speed, v, does the ball bounce back with? What
is the impulse that acts on the particle?
Solution: As we know
speed of separation of the particles
e=
speed of approach of particles
In this example the wall can be considered to be a particle that doesn’t move before or after
the collision. So the equation becomes (taking the direction of the particle’s original motion as
positive):
0 − (v)
0.7 =
5−0
Therefore
v = −(0.7 × 5) = −3.5ms−1
So the velocity of the particle after the collision is 3.5ms−1 in the negative direction. To find the
impulse that acts on the particle we need to find the change in momentum, i.e.
I = final momentum − initial momentum
I = (2 × −3.5) − (2 × 5) = −17kg ms−1

Therefore the impulse that acts on the particle is 17kg ms−1 in the negative direction.

248
Example: A particle A of mass 6kg is travelling in the positive direction with velocity 5ms−1
when it collides with a particle B of mass m, travelling in the opposite direction with velocity
2ms−1 . After the collision, both particles are travelling in the positive direction, A with velocity
v and B with velocity 4ms−1 . If the coefficient between the two particles is e = 0.4, what is the
mass of B?
Solution: In order to use the conservation of momentum to find the mass of B, we need to know
all the initial and final velocities of the two particles. To find the final velocity of A, v, we can use
restitution:
vb − va
e=
ua − ub
4−v
⇒ 0.4 =
5 − (−2)
⇒ v = 1.2ms−1
Now we can use the conservation of momentum to find the mass of B
6 × 5 − m × 2 = 6 × 1.2 + m × 4
⇒ m(2 + 4) = 6(5 + 1.2)

⇒ m = 6.2kg
Conservation of Energy
If a body applies a constant force to an object, the work done by the body on the object is defined as the
force the body applies to the object, multiplied by the distance travelled by the object in the direction
of the force whilst the force is being applied. As an equation, this is written as

W = F d
Energy is a measure of an object’s ability to do work, measured in joules (J), and it can be transferred to
other objects or converted into different forms. Energy cannot be created or destroyed. There are many
types of energy however the two main types we will consider are kinetic and potential energy. Kinetic
energy is the energy a body possesses by virtue of its motion. The equation we use to quantify it is:

KE = 12 mv 2

where KE is kinetic energy, m is mass and v is velocity.
In mechanics we often encounter two main types of potential energy: elastic potential energy and grav-
itational potential energy. Elastic potential energy is the stored energy in a stretched elastic material,
this energy is released when the elastic material is allowed to return to it’s original shape. The equation
we use to quantify this type of energy is:

EPE = 12 kx2

where EPE is elastic potential energy, k is the spring constant of the extension material and x is the
extension of the material.
Gravitational potential energy is the stored energy in a body due to its position in a gravitational field.
When quantifying gravitational potential energy we consider the energy between two points. To do this
we set an appropriate reference height at which we say that the gravitational potential energy is zero
and calculate the gravitational potential energy relative to this height. For example, we often choose the
Earth’s surface as the reference height and calculate the gravitational potential energy at a distance h
above the surface.

GP E = mgh

where GPE is gravitational potential energy, m is the mass of the body, g is the acceleration due to
gravity at that point and h is the height above the reference point.

249
Note: Normally all types of potential energy can just be referred to as PE, however to distinguish
between them clearly in this booklet we will use EPE for elastic potential energy and GPE for gravita-
tional potential energy.
Conservation of energy allows us to state that in a closed system the total energy before an event
(the initial energy) equals the total energy after the event (the final energy). This idea provides an
alternative approach to solving many problems in mechanics.
Note: Energy is a scalar quantity.
Example: A ball of mass 1kg is thrown vertically upwards from the ground with speed 10ms−1 .
What is the maximum height the ball reaches?
Solution: We set the reference height as the ground level at which we state the ball has no
gravitational potential energy. This allows us to say that at this point the ball has only kinetic
energy at the moment it’s thrown, the magnitude of which is:
1 1
KE = mv 2 = × 1 × 102 = 50J
2 2
When the ball is at its maximum height during its motion, h say, the velocity of the ball is 0ms−1 .
Therefore it’s energy is purely gravitational potential energy with magnitude:
GPE = mgh = 1 × 9.81 × h = 9.81h
From conservation of energy we can say that the kinetic energy the ball was thrown with is equal
to the gravitational potential energy it has at the maximum height of it’s motion, i.e.
50 = 9.81h
Therefore the height we are trying to work out, h, is:

50
h= = 5.10m (3sf )
9.81

250
Example: A man pushes a wagon, of mass 10kg from rest up a slope inclined 60◦ to the
horizontal. After the man has pushed the wagon 10m, they are travelling at a velocity of 3ms−1 .
What is the work done by the man in pushing the wagon 10m up the slope?
Solution: If we set our reference height (at which we consider the gravitational potential energy
to be zero) as the man and wagon’s starting point, we can see that the initial energy of the
system is zero; this is because they ‘start from rest’. However the final energy (the energy when
they are 10m up the slope) is not zero as the man and wagon now have kinetic energy (they are
now moving) as well as gravitational potential energy (their vertical height has increased). The
increase in energy of the wagon is equal to the work done by the man.
The increase in kinetic energy of the wagon is:

1 1
mv 2 = × 10 × 32 − 0 = 45J
2 2
The increase in gravitational potential energy of the wagon is:
mgh = 10 × 9.81 × 10 sin(60◦ ) = 85.0J
Note: The height used to work out the gravitational potential energy is the vertical height the
man travels only.
Therefore the work done by the man is:
45 + 85.0 = 130J
Note: We used 10 sin(60◦ ) for h when calculating the final gravitational potential energy as this
is the vertical height that the wagon rose.

251
13.5 Oscillatory Motion
Definitons and Concepts
Oscillatory (or periodic) motion occurs often in physics, in particular in areas such as astrophysics and
mechanics. In order to effectively study periodic motion, we will need to identity and define some new
quantities:
The period (T ) is the time required to complete a full cycle, measured in seconds (s).
The frequency (f ) is the number of cycles completed in one second. Frequency is measured in
Hertz (Hz) and is related to the period by

1
f=
T
The displacement (x) is the vector distance moved from equilibrium and is measured in metres
(m). It is either positive or negative, depending on its direction from equilibrium.
The amplitude (A) is the maximum distance from equilibrium and is measured in metres (m).
The angular frequency (ω) is a measure of the rate of rotation of the cycle. It is measured in
radians per second (rad s−1 ) and is related to frequency and period by

2π
ω = 2πf =
T
Simple Harmonic Motion

One of the most simple types of oscillatory motion occurs when there is a ‘restoring force’ acting which is
directly proportional to the displacement. This type of oscillation is called simple harmonic motion
(SHM) and an oscillator which undergoes SHM is called a harmonic oscillator. In the case of a particle
attached to a spring, this occurs when the spring obeys Hooke’s law. If the spring has spring constant
k, then the restoring force acting on the particle is

F = −kx
where there is a minus sign because the restoring force acts in the opposite direction to the displacement
from the origin, towards the equilibrium position.
From Newton’s second law of motion, we can then state that the acceleration also acts to oppose the
displacement, and is given by
k
a=− x
m
By consideration of dimensional analysis, we can define the angular frequency as
r
k
ω=
m

We know that acceleration is the second derivative of displacement with respect to time, so we can write
the above as

2
ẍ = −ω x
d2 x dx
where ẍ is a short notation for 2
(equally ẋ = ). An object whose motion is described by this
dt dt
equation is undergoing simple harmonic motion. Now we can find an equation for the displacement x
of the oscillator by solving this differential equation. We can use the methods for solving second order
ODEs as described in a previous section, or we can simply appeal to our knowledge of derivatives to
deduce that a solution to this ODE is

x = A cos(ωt + φ)


252
where the oscillator begins its motion at the furthest point from the origin. This then gives:
ẋ = −Aω sin(ωt + φ)
ẍ = −Aω 2 cos(ωt + φ) = −ω 2 x
which satisfies the differential equation. The constant φ represents the phase angle of the oscillator
which tells us at what point in the cycle the motion was at t = 0.
Example: A particle moves along the x-axis and its displacement from equilibrium is described
by
π
x = sin t
3
1. Show that the particle is a simple harmonic oscillator.
2. Find the period and amplitude of the particle’s motion.
3. Find the maximum velocity of the particle during its motion.
Solution:
1. We need to show that the particle obeys the equation
ẍ = −ω 2 x
We differentiate our equation for x twice to find ẍ.

π π
ẋ = 5 × cos( t)
3 3
2
π π
ẍ = −5 × sin( t)
3 3
2
π
=− x
3
π
Hence the equation for simple harmonic motion is satisfied and ω = .
3

π
2. The amplitude is the maximum displacement which we can find from maximising sin t .
3
The maximum value of sin(..) is 1 and so the amplitude is 5m. The period is found using
2π
the formula ω = . Thus
T
2π
T = π = 6s
3
3. The velocity of the particle is calculated in the first part of this question and is
π π
v = ẋ = 5 × cos( t)
3 3
Using a similar technique to how we found the amplitude, the maximum velocity is when
π
cos( t) = 1, and hence the maximum velocity is
3
5π
vmax =
3
Another note of interest is that the energy of a simple harmonic oscillator continuously changes
between kinetic energy and potential energy. At x = 0, the oscillator has only kinetic energy and no
potential energy since it is moving at maximum velocity and there is no acceleration or deceleration,

253
whereas at x = A, the oscillator has only potential energy and no kinetic energy because it is not
moving and is experiencing its greatest restoring force. Due to conservation of energy, this means that
the maximum kinetic energy is equal to the maximum potential energy, and so we can use this to solve
problems. The graph below shows the kinetic energy (green line) and potential energy (red line) of a
simple harmonic oscillator which begins at the equilibrium position. The straight black line represents
the total energy of the oscillator.
Energy
Time
Example: A particle of mass 3kg is attached to a spring of spring constant k = 10 Nm−1 and
is displaced horizontally by 0.3m from equilibrium. The particle then undergoes horizontal simple
harmonic motion. Find the maximum velocity of the particle.
Solution:
Since the motion all happens in a horizontal direction, the maximum potential energy is entirely
elastic potential energy and occurs at the maximum displacement. Thus
1 2
EP E = kx
2
1
= × 10 × (0.3)2
2
= 0.45J
Using conservation of energy for SHM, the maximum potential energy is equal to the maximum
kinetic energy. This gives
1
0.45 = mv 2
2
r
2 × 0.45
⇒v=
3
√
30
= ≈ 0.55ms−1 (3sf )
10
Damping
We have only considered idealised oscillators so far but in real life, all oscillators experience a damping
force. A damping force is one that opposes the motion of the oscillator and reduces, restricts or prevents
the oscillations. A linear damping force is proportional to the oscillator’s velocity and acts in the opposite
direction to the velocity. An example of a linear damping force is friction, however other, non-linear,
damping forces are possible but are not considered in first year physics. If we add a linear damping term
into the SHM equation we obtain:
d2 x dx
= −ω 2 x − α
dt dt
where α is a constant of proportionality.
There are different types of linear damping forces:

Overdamped - The amplitude of the oscillator exponentially decreases to zero without oscillating.
Critically damped - The oscillator returns to equilibrium as quickly as possible without oscillat-
ing.
Underdamped - The system oscillates (at reduced frequency compared to an undamped case)
with the amplitude gradually decreasing to zero.

254
Forced Oscillations
In first year you will also encounter a forcing term in an equation describing an oscillator. This term
describes a driving force which supplies energy to the oscillator and can take different forms. Two
common forms of the driving force are as follows:
1
A sinusoidal driving force with the general form F (t) = F0 sin(ωt).
m
A step input with the general form
(
ω02 , if t ≥ 0
F (t) =
0, if x < 0
If we were to have an oscillator with a linear damping force and a sinusoidal driving force, the
equation describing its motion would have the form:
d2 x dx 1
+α + ω 2 x = F0 sin(ωt)
dt2 dt m
Resonance
If a system is displaced from equilibrium and the left alone, it will oscillate with a natural frequency.
If we apply a driving force to the system then we will obtain a forced oscillation which will oscillate
with a driving frequency. The driving frequency does not have to be equal to the natural frequency,
however if the driving frequency is close to the natural frequency of the system, then the system will
resonate. This causes the amplitude of the oscillation to increase. The maximum amplitude occurs
when the driving frequency is exactly equal to the natural frequency and thus in this case the system
has the maximum energy it could obtain due to the driving force.
Resonance can occur in any physical system where there is periodic motion and a driving force. Physi-
cists and engineers often try to avoid resonance in machinery and electronics as it can be destructive; for
example if a company of soldiers marches in step across a bridge at the natural frequency of the bridge,
the bridge will resonate and the resulting increase in amplitude may tear the bridge apart. Similarly,
the reason that a tumble dryer vibrates and makes a loud noise is because the driving force due to the
rotation has a similar frequency to the tumble dryer itself, and hence there is resonance.

255
13.6 Circular Motion
Moment and Torque of a Force
The torque, or moment of a force, is defined as the magnitude of the force multiplied by the perpendicular
distance from the pivot to the line of action of the force. It is a measure of the turning effect of the force
and can be calculated using the equation:

Moment = F d
where F is the magnitude of the force and d is the perpendicular distance from the pivot to the line of
action of the force.
Note: The units of a moment are newton metres (Nm).
Centripetal Force and Motion in a Circle

Many situations in physics involve objects moving in a circular motion around a point, for example
charged particles travelling perpendicular to a magnetic field, satellites orbiting the Earth at a constant
height and even cars driving around corners. The motion in these cases is described using many of the
same techniques and definitions as in the section on oscillatory motion, however we are now considering
motion in two dimensional space, rather than one dimensional.
An object travelling in circular motion does so because it experiences a constant force which acts perpen-
dicular to its motion. This is called the centripetal force and causes the object to accelerate towards
the centre of a circular path. Since this force does not have a component acting in the same direction as
the motion, the object travels around the circle at a constant speed, however since velocity is a vector
and has a direction, the velocity is constantly changing, and therefore the object is accelerating despite
moving at a constant speed.
The centripetal force is given by

mv 2
F =
r
where m is the mass of the object, v is the velocity of the object and r is the radius of the circle which
the object describes. This force always acts towards the centre of the circle, regardless of where the
object is on the circle.
From Newton’s second law, we can determine the formula for the acceleration due to change of direction:

v2
a= = ω2 r
r
Another useful formula for centripetal motion can be obtained by considering how quickly the object
moves around the circle. The distance the object travels is the circumference of a circle, given by
C = 2πr
and the time taken to complete one cycle is the time period T . Therefore, the speed with which the
object moves around the circle is the circumference divided by the time period, or:

2πr
v=
T

256
Physics Example: A woman attaches a ball of mass 1kg to a string of length 0.75m and
swings the ball horizontally above her head 90 times in one minute. Calculate the centripetal force
that acts on the ball due to the string.
Solution:
First, we notice that the length of the string will be equivalent to the radius of the circle that
the ball describes and so r = 0.75. We now deduce the frequency of rotation by remembering
90
that frequency is the number of rotations per second and so f = = 1.5Hz. We can use the
60
equation relating frequency and period to obtain the velocity of the ball:
2πr
v= = 2πrf = 2.25πms−1
T
Finally we use the equation for the centripetal force to find the force acting on the ball due to the
string
mv 2 1 × (2.25π)2
F = = = 66.6N (3sf )
r 0.75
Physics Example: If the moon makes a complete orbit around the Earth every 28 days
calculate the distance between the Moon and the Earth’s centre. You may assume the mass of the
Earth is 6 × 1024 kg and G = 6.67 × 10−11 .
Solution: The centripetal force of the moon’s orbit is the force due to gravity, therefore we can say
GM m mv 2
=
r2 r
Where M is the mass of the Earth, m is the mass of the moon, r is the separation of the Earth
and the Moon and v is the velocity of the moon.
GM
r=
v2
2πr
We know that v = where T is the time of one orbit. Therefore
T
GM T 2
r=
4π 2 r2
(6.67 × 10−11 )(6 × 1024 )(28 × 24 × 60 × 60)2
r3 =
4π 2
! 31
(6.67 × 10−11 )(6 × 1024 )(28 × 24 × 60 × 60)2
r=
4π 2
Therefore
r ≈ 3.9 × 108 m

257
13.7 Variable Mass
In all above sections, we have only considered bodies with a constant mass. However, in some situations
this is not the case, for example a rocket loses mass as it travels from the surface of the earth due to
burning fuel. In the event that mass is not a constant we turn to the impulse-momentum principle
which states that the change of linear momentum of the whole system in a time interval, δt, will be equal
to impulse of external forces acting on the whole system in time interval δt.
To understand this principle it is useful to consider a simple example. A body, B, of mass m is falling
due to gravity with velocity v picking up mass as it travels (the extra mass is not moving in this example).
We consider the body B to pick up a mass of δm in a time δt while its traveling. The initial mo-
mentum (before the mass, δm has been collected) is
mv + δm × 0 = mv
After the mass has been collected the new mass is m + δm and the velocity of the particle will have
changed, we will call this new velocity v + δv. Therefore the final momentum (after the mass dm has
been collected) is
(m + δm) × (v + δv)
The force that is acting during this event is the weight of both M and δm, i.e. mg + (δm)g. So the
impulse of external forces acting on the system is
(mg + δm)g × δt
Using the impulse-momentum principle we can state:
(m + δm) × (v + δv) − mv = (mg + δm)g × δt
Expanding this gives

mδv + vδm + δm × δv = mgδt + gδm × δt
As δm and δv are infinitesimal (very small) when they are multiplied together we they are even smaller
and thus we ignore these terms. This yields
mδv + vδm = mgδt + gδm × δt
Dividing each term by dt gives

δv δm
m +v = mg + gδm
δt δt
If we take limits as δt → 0 and using the fact that δm → 0 we have
dv dm
m +v = mg
dt dt
Now we have an equation in a useful form, for example this could be modelled to predict the size or
speed of hail stones when they hit the ground.

258
Example: A rocket has initial mass M0 . It propels itself by ejecting mass at a constant rate
k per unit time with speed u relative to the rocket. the rocket is launched from rest vertically
upwards. Determine an expression for the velocity of the rocket at time t and show your workings.
Solution: We say that at a time t the rocket is travelling at a velocity v and has mass m, after a
short time, δt, the rocket loses a small amount of mass, −δm (negative because it’s a loss of mass).
The initial momentum (before the ejection of mass) is mv.
The velocity of the rocket after the ejection of mass has changed so we will call it v + δv. The
ejected mass, −δm has a speed u relative to the rocket new velocity so the ejected mass has velocity
(v + δv − u). Therefore the final momentum of the system (when the mass is ejected) is
(m − (−δm))(v + δv) + (−δm)(v + δv − u)
(m + δm)(v + δv) − δm(v + δv − u)

The only external force acting on the system is the weight of the rocket and the ejected mass, so
the impulse of external forces acting on the system is

− (m − (−δm))g − (−δm)g δt = −mgδt
Both terms are negative as the weight acts downwards.

Using the impulse-momentum principle it is true to say:
(m + δm)(v + δv) − δm(v + δv − u) − mv = −mgδt
Expanding and simplifying this gives
mδv + δmu = −mgδt
Dividing by δt gives
δv δm
m + u = −mg
δt δt
If we take limits as δt → 0 and using the fact that δm → 0 and δv → 0 we have
dv dm
m + u = −mg
dt dt
Now we have an equation that we can use to answer the question asked. First note that
dm
= −k
dt
Therefore
m = −kt + C
Using this and the fact that at t = 0, m = M0 we obtain that
m = M0 − kt
Substituting this into our equation gives

dv
(M0 − kt) − ku = −(M0 − kt)g
dt
Rearranging this gives
dv ku
= −g
dt M0 − kt
Solving this and using that v = 0 at t = 0 gives

M0
v = u ln − gt
M0 − kt

259
Easy Questions
Question 1: Using dimensional analysis, show that the following equation is dimensionally
correct. r
p
vs = k
ρ
where vs is the speed of sound through a gaseous medium, p is the pressure of the medium, ρ is
the density of the medium and k is a dimensionless constant.
Hint: You may need to look up the dimensions of some of these quantities.
Question 2: The radius, R, of a shockwave from a nuclear explosion depends on the energy
of the explosion, E, the density of the air, ρ, and the time that has elapsed, t. Use dimensional
analysis to express R as a function of the other quantities.
Answer:
1 1 2
R = kE 5 ρ− 5 t 5
Question 3: A ball is thrown upwards from a height of 1.5m with a velocity of 6ms−1 . What
is the maximum height s that the ball will reach?
Answer:
s = 3.34m (3sf )
Question 4: On the planet Zabrox, an alien throws a space-rock off the edge of a space-cliff so
that it leaves his hand 2m above the clifftop. The space-cliff is 13m high. The space-rock initially
has a vertical velocity of 8ms−1 . Given that the acceleration due to gravity on the planet Zabrox
is two-thirds that of Earth, and considering only the vertical motion of the space-rock, find the
time taken t for the space-rock to reach the bottom of the space-cliff and find its instantaneous
velocity v when it reaches the bottom.
Answer:
t = 3.69s (3sf )
v = 12.7ms−1 (3sf )
Question 5: A girl throws a paper aeroplane horizontally with an initial velocity of 2ms−1 .
Calculate the horizontal distance s the paper aeroplane travels before it reaches the ground, 5m
below.
Hint: You will have to consider the vertical motion and the horizontal motion separately.
Answer:
s = 2.02m (3sf )
Medium Questions
Question 6: A rod of length 5m, and uniform mass 5kg, is balancing on a pivot such that the
pivot is a distance 2m from one end of the rod. In order for the system to be in equilibrium a force,
F , is applied to the end of the rod that is closest to the pivot. Find the magnitude and direction
of F .
Answer:
5
F = g N
4

260
Question 7: Two 64kg stick figures are performing an extreme blob jump. One stick figure
stands atop a 7.0m high platform with a 256kg boulder. A second stick figure stands on a partially
inflated air bag known as a blob (or water trampoline). The first stick figure rolls the boulder off
the edge of the platform. It falls onto the blob, catapulting the second stick figure into the air.
What is the maximum height, h, to which the second stick figure can rise? Assume that stick
figures, boulders, and blobs obey the law of conservation of energy.
Answer:
h = 8m
Question 8: A particle, P , with mass 2kg is travelling at 5ms−1 when it collides with a second
particle, Q, with mass mkg, which is at rest. After the collision P reverses its direction of travel
and moves with a velocity 2ms−1 and Q travels in the same direction to P ’s original velocity with
velocity 4ms−1 . What is the mass of Q?
Answer:
7
m= kg
2
Question 9: A particle, A, with mass 4kg is travelling at 3ms−1 when it collides with a second
particle, B, with mass mkg, which is traveling in the opposite direction to A but with an equal
speed. After the collision A reverses its direction of travel and moves with a velocity 2ms−1 . What
is the mass of B and the velocity, v, it travels at after the collision if the coefficient of restitution
1
betweeen the particles is ?
3
Answer:
20
m= kg
3
v = 0ms−1
Question 10: Predict the mass of the Earth given that the distance from the center of the
Earth’s core to the center of the moon is 384, 000km.
Answer:
5.73 × 1024 kg
Question 11: A ferris wheel has a diameter of 80m and takes 12 minutes to complete one
revolution. Find the centripetal acceleration a of each capsule.
Answer:
a = 3.05 × 10−3 ms−2 (3sf )
Hard Questions
Question 12: A rain drop falls under gravity and gains mass in a way such that
dm
= km.
dx
Find velocity as a function of time.
Answer: √
g 1 − e−2t gk
r
√
k 1 + e−2t gk

261
Question 13: A particle, P , of mass 15kg, is dropped from rest. If the resistance to motion
felt by P is 3v, where v is the velocity P falls at, and it takes 2 seconds for P to reach the ground,
what is the velocity of P when it hits the ground?
Answer:
v = 14.3ms−1
Question 14: A particle, Q, of mass 2kg, is dropped from rest. If the resistance to motion felt
by Q is 10v 2 v, where v is the velocity Q falls at, and it takes 15 seconds for Q to reach the ground,
what is the velocity of Q when 1 second before it hits the ground?
Answer:
v = 1.4ms−1
Question 15: A crate of mass 3kg rests in limiting equilibrium on a rough ramp inclined at 30◦
to the horizontal. The coefficient of friction between the crate and the ramp is 1/3. A horizontal
force of magnitude F Newtons is applied to the crate so that the equilibrium is broken and the
crate just begins to move up the ramp. Calculate the force F .
Answer:
F = 33.2N

262
NASA
TT
F-657
c .l
V.F. Krotov, V.Z. Bukreev, and V.I.Gurman
NEW VARIATIONAL
METHODS
IN FLIGHT DYNAMICS
TRANSLATED FROM RUSSIAN
P ublished fo r th e N a tio n a l A e ro n a u tic s and S pace A d m in is tra tio n

and th e N a tio n a l S cien ce F o u n d a tio n , W a s h in g to n , D .C .
by th e Israel P ro gram fo r S c ie n tific T ra n s la tio n s
T T 7 0 -5 0 1 8 6
NASA T T F - 657
P u b lis h e d P u r s u a n t to a n A g r e e m e n t w ith
T H E N A T IO N A L A E R O N A U T IC S AND S P A C E A D M IN IST R A T IO N
and
T H E N A T IO N A L S C IE N C E F O U N D A T IO N , W A SH IN G TO N , D. C.
Copyright © 1971
Israel Program for Scientific Translations Ltd.
IPSTCat. No, 5921
UDC 629.7.015: 519.3
SBN 7065 1136 0
T r a n s l a t e d an d e d ite d by IP S T S ta ff
Printed in Jerusalem by Keter Press

Binding: Wiener Bindery Ltd., Jerusalem
A v a ila b le f r o m th e
U . S. D E P A R T M E N T O F C O M M E R C E
N a tio n a l T e c h n ic a l I n f o r m a tio n S e r v ic e
S p r in g f ie ld , V a . 22151
V/16/3
V.F. Krotov, V.Z. Bukreev, and V.».
NEW VARIATIONAL
METHODS IN FLIGHT
DYNAMICS
(Novye m etody variatsionnogo ischislen iy a v d in am ik e poleta)
Iz d a te l'stv o "M ashinostroenie"

Moskva 1969
T ranslated from Russian
Israel Program for S cie n tific Translations

Jerusalem 1971
Table of C o n te n ts
Preface ................................................................................................................................ vii

In tro d u c tio n ............................................................................................................................. 1
C hapter I. ELEMENTS OF THE TH EO RY .................................................................... 18

§ 1 .1 . S tatem ent of the p r o b le m .................................................................... 18
§ 1 .2 . The sufficient conditions of an absolute m in i m u m ................... 19
§ 1 .3 . Problems w ith a free boundary ....................................................... 22
C hapter II. SOME METHODS OF SOLUTION OF VARIATIONAL

PROBLEMS USING THE SUFFICIENT CONDITIONS OF THE
ABSOLUTE M IN IM U M ......................................................................................... 25
§ 2 .1 . The Lagrange— Pontryagin m ethod .............................................. 25
2 .1 .1 . A strong lo c al m i n i m u m .................................................... 29
2 .1 .2 . Systems lin e ar in th e phase coordinates ...................... 31
2 .1 .3 . The problem of the m in im al m ean e r r o r ...................... 32
2 .1 .4 . Jacobi* s necessary and sufficient condition
of th e v aria tio n a l calculus .............................................. 32
2 .1 .5 . G eneral boundary conditions ........................................... 38
2 .1 .6 . N um erical a s p e c ts ................................................................. 41
§ 2 .2 . H am ilton—Ja co b i— Bellman m ethod. O ptim al
control sy n th e sis...................................................................................... 42
2 .2 .1 . O ptim al control synthesis for systems
lin e a r in th e phase c o o r d in a te s ........................................ 43
2 .2 .2 . A lgorithm ic features of the m e t h o d ............................... 45
§ 2 ,3 . The m ethod of approxim ate o p tim al control s y n th e s is ............. 46
2 .3 .1 . S tatem ent of the p r o b l e m ................................................. 46
2 .3 .2 . Construction o f a m in im izin g sequence ...................... 50
Bibliography for C hapter I I ............................................................................................... 55
C hapter III. DEGENERATE PROBLEMS. SLIDING CONTROL............................... 56

§ 3 .1 . A p articu lar p r o b l e m ............................................................................. 57
§ 3 .2 . Sufficient conditions of an absolute m inim um
and the construction of a m in im izin g s e q u e n c e ......................... 59
iii
§ 3 .3 .
G eneralizations of the L agrange—Pontryagin m e t h o d ................ 64
§ 3 .4 .
Remarks concerning th e H am ilton—Jaco b i— Bellman
m e th o d ............................................................................................................... 67
§ 3 .5 . The m ethod of m u ltip le m a x i m a ....................................................... 68
3 .5 .1 . The sim plest functional ........................................................... 69
3 . 5 .2 . Systems w ith lin e ar c o n t r o l ................................................. 71
3 . 5 .3 . A deg en erate quadratic f u n c tio n a l..................................... 76
3 . 5 .4 . An exam p le w ith constraints on a ; ................................. . 77
3 .5 .5 . Systems w ith several unconstrained control
f u n c tio n s ..................................................................................... 81
3 .5 .6 . M inim um of the second v aria tio n of th e
fu nctional in case of d eg en erate c o n t r o l ......................... 83
3 . 5 .7 . A m ore general p r o b le m ....................................................... 86
Bibliography for Chapter III ................................................................................................... 89
C hapter IV. SOME PROBLEMS OF POWERED FLIGHT

O PT IM IZ A T IO N ............................................................................................ 90
§ 4 .1 . V ertical ascent of a rocket in v a c u u m .............................................. 90
§ 4 .2 . O ptim um m otion control of rockets in a hom ogeneous
g rav itatio n a l field in v a c u u m ............................................................. 93
4 . 2 .1 . S tatem ent of the p r o b l e m .................................................... 93
4 . 2 .2 . Transition to Problem 2 ....................................................... 94
4 . 2 .3 . The solution of Problem 2 in the original set.
The structure of op tim al control fu n c tio n s .......................... 98
4 . 2 .4 . G eneralizatio n to th e case of free end p o i n t s ................. 99
4 . 2 . 5 . Singular control ...................................................................... 100
4 . 2 .6 . G eneralization to th e case of m u ltistag e
r o c k e t s ......................................................................................... 101
§ 4 .3 . V ertical ascent of a rocket in th e atm osphere to
m axim um a l t i t u d e ................................................................................... 103
§ 4 .4 . The d egenerate problem of th e o p tim al powered
ascent trajecto ry of an aircraft .................. 106
§ 4 .5 . A pproxim ate synthesis of op tim al a n g le -o f-a tta c k
control for a liq u id -p ro p ellan t winged aircraft ............................ 114
4 . 5 .1 . S tatem ent of the problem . Equations of m o tio n . . . 114
4 .5 .2 . Changing over to new coordinates. D escription
of Vv ( t ) ......................................................................................... 116
4 . 5 .3 . Solution of th e problem ....................................................... 117
4 . 5 .4 . A schem e for a c o m p u te r....................................................... 120
Bibliography for Chapter I V ............................................................................................... 121
C hapter V. OPTIMAL PROBLEMS IN THE DYNAMICS OF

COASTING IN THE ATMOSPHERE.......................................................... 123
§ 5 .1 . O ptim al tw o-dim ensional coasting of winged aircraft
in the atm osphere ignoring r a n g e ....................................................... 123
5 .1 .1 . S tatem ent of the p r o b l e m .................................................... 123
5 .1 .2 .
Analysis of th e optim um c o n d itio n s .............................. 125
5 . 1 .3 .
A special case of a sym m etric constraint
on th e lift c o e f f ic ie n t....................................................... 127
5 .1 .4 . G eneralization to the case of additional
control e l e m e n t s ................................................................ 130
§ 5 .2 . O ptim al descent program of an aircraft in th e
atm osphere based on the condition of m inim um added
integral h eat in the critic a l z o n e ................................................. 132
5 .2 .1 . Statem ent of the p r o b l e m .............................................. 132
5 .2 .2 . Solution of th e problem .................................................. 134
5 r 2 .3 . Estim ates of th e s o lu t io n ................................................. 137
5 . 2 .4 . N um erical e x a m p l e .......................................................... 139
5 .2 .5 . P ractical re a liz a tio n of th e o p tim al
program ................................................................................ 140
5 .2 .6 . Remarks concerning a controlled drag
c o e f f ic ie n t............................................................................. 143
A ppendix. Estim ating the lim its of the adm issible phase
coordinates for systems of d ifferen tial e q u a tio n s ......................... 145
Bibliography for Chapter V ............................................................................................ 147
C hapter VI. NECESSARY AND SUFFICIENT OPTIMUM CONDITIONS

FOR DISCRETE CONTROLLEDSYSTEMS ....................................... 148
§ 6 .1 .
S tatem ent of the p r o b le m ................................................................ 148
§ 6 .2 .
The optim um p r i n c i p l e ...................................................... 149
§ 6 .3 .
Bellman* s m ethod ............................................................................ 150
§ 6 .4 .
The Lagrange— Pontryagin m ethod ............................................. 151
§ 6 .5 .
Proof of necessity of th e conditions o f the
optim um p r i n c i p l e ............................................................................. 152
Bibliography for Chapter VI ......................................................................................... 153
Supplem ent. THE SIMPLEST FUNCTIONAL ON THE SET OF DIS

CONTINUOUS FUNCTIONS AND FUNCTIONS WITH
A BOUNDED D ERIVA TIVE................................................................ 154
§ 3 .1 . The sim plest f u n c tio n a l.................................................................... 161
1 .1 . S tatem ent of the p r o b le m .................................................... 161
1 .2 . R elation to th e problem of th e absolute m inim um
in the class of piecew ise-sm ooth functions C \ ............. 162
1 .3 . The general c a s e ................................................................... 163
1*4. Special c a s e s ........................................................................... 178
1 .5 . E x a m p le s ................................................................................. 182
§ S.2. Functional on th e set of functions w ith a bounded
d e r iv a tiv e ............................................................................................... 187
§ S.3. O ptim al program for horizontal flig h t of an a i r c r a f t ............. 198
3 .1 . S tatem ent of the problem ................................................. 200
3.2. O ptim al control program ................................................. 202
Bibliography for S u p p le m e n t......................................................................................... 207
References used in th e preparation of th e b o o k ....................................................... 208
v
PREFA CE
The present volume deals with variational methods for the optimization of motion of aircraft and other
objects often encountered in modern technology. The development of aeronautics and astronautics progres
sively focuses ever increasing attention on the determination of optimum flight programs characterized by
minimum time, minimum fuel consumption, maximum range, minimum cost, etc. Numerous publications
which appeared in the USSR and in the West during the last 20 —25 years deal with various aspects of this
optimization problem. The leading contributions were made by I. V. Ostoslavskii, D. E. Okhotsimskii, A. A.
Kosmodem' yanskii, and A. Miele. Their work played an important role in the development of controlled
flight mechanics; they were also the first to com e face to face with the fundamental difficulties that to this
date plague us in the* solution of modern optimal problems. These difficulties are a result of the complex
and varied conditions that must be taken into consideration when formulating and solving the various problems.
The following factors fall under this category;
1) various inequality restraints are imposed on the system variables by physical and practical considerations
(restraints on altitude and velocity, on the overload, angle of attack, engine thrust, etc.);
2) one is required to determine the absolute minimum, rather than a local (or relative) minimum;
3) the sought optimal control often does not exist in the class of admissible controls in the classical for
mulation of the problem or, in more general terms, we have to deal with degenerate problems.
The above features are characteristic of all optimal control problems, and are not specific to flight
dynamics. The difficulties can be overcome in two ways. The first approach called for modernizing the
standard classical methods (transformation of variables, introduction of additional variables, direct analysis
of variations). The second approach involved more radical measures, i. e., development of new optimal
principles with logic not affected by the above considerations.
It is this second approach that produced the new optimization methods due to R. Bellman (dynamic
programming), L. S. Pontryagin (the maximum principle), and the variational methods which constitute the
basis of our book.
The monograph presents a systematic review of the authors' results obtained over a number of years. It
is divided into six chapters and a Supplement. Chapter I reviews the elements of the theory of variational
methods. Unlike the traditional approach, the variational technique also covers the case when the sought
optimal control does not exist in the class of admissible controls and the solution must be derived by construct
ing a minimizing sequence. This is a typical case often encountered in modern practice. The fundamental
theorem of the sufficient conditions of the absolute minimum of a functional is then applied to reduce the
problem of functional minimization to the problem of maximum of some function R of the problem variables
for every fixed value of the argument.
Chapter II describes in detail a number of particular methods. The equations of Pontryagin’ s maximum
principle are derived in § 2.1, and the reader is acquainted with this method from a new angle. These
equations are then reinforced with new conditions of a strong local (relative) minimum. Significantly, these
conditions are linked with the classical sufficient conditions of variational calculus. Jacobi's famous condition
is seen to be equivalent to the requirement of negative-definiteness of the second differential of the function R.
The important concept of the synthesis of optimal control is also dealt with in this chapter. Bellman’ s
equation is derived as a particular case from the conditions of the fundamental theorem, and the different forms
of solution of the optimal problem — synthesis and program — are briefly illustrated. The complete solution
for the synthesis of linear systems is given. The method of approximate synthesis and, primarily, the a priori
upper-bound estimate of the solution accuracy are of the greatest practical importance among these topics.
New methods of this kind are of great value, since the Bellman equation often proves too complicated for
practical application and its exact solution too problematic.
Chapter III considers the structure and the analysis of degenerate and sliding controls. The treatment
starts with a description of the construction of a sliding-control minimizing sequence; the construction is
first described for a simple example and then in a more general form, depending on the properties of the
function R. The methods of Pontryagin and Bellman are then generalized to the case of degenerate solutions.
The last sections of the chapter present a new special method particularly suitable for degenerate and sliding
controls, the method of multiple maxima. This method is highly effective for flight dynamic problems.
Also of considerable interest is the theoretical application of this method to the investigation of the
degenerate second variation of the functional. This approach leads to a natural generalization of all the
standard conditions of variational calculus, including Jacobi's global condition, to the case of degenerate
solutions.
This method is still in the development stage, but the results summarized in this book are quite sufficient
to illustrate its great potential, in particular, for qualitative analysis of various problems with the purpose of
deriving ”quickMestimates. This is a highly valuable attribute at the design and synthesis stage, when exact
solutions are meaningless, insofar as the system parameters have not been fixed.
The next two chapters deal with applications. Chapter IV presents solutions of a number of problems
of powered flight dynamics. First to be considered is the elementary problem of the vertical ascent (descent)
of a rocket in vacuum. The well-known solution of this problem is derived here as an illustration of the
applications of the new methods (here, as in most other applications, the method of multiple maxima is
employed). The general problem of rocket dynamics in a homogeneous field in a vacuum is then considered.
The application of the new method leads to an original treatment of this problem and yields new simple
equations of optimal motion, with coasting integrals playing the role of variables and the direction of thrust
and time figuring as controls.
Next to be considered is the so-called classical problem of flight dynamics, e .g ., the problem of powered
ascent of an aircraft. It was previously solved by different methods by Ostoslavskii, Egorov, and Miele. The
application of our new method yields a more accurate result; in the case of several extremals (e .g ., the
typical situation in supersonic flight) the transition points between the different extremals are naturally
determined.
The last section of chapter IV illustrates a detailed construction of an approximate synthesis of optimal
aircraft control on the ascent section. The synthesis of optimal control is the most desirable form of solution
of the optimal problem, but it is more tim e- and labor-consuming than the construction of the optimal
program. This feature is probably linked with the infrequent use of synthesis solutions in nonlinear systems.
Chapter V investigates optimal coasting controls of winged aircraft subjected to lift. Minimum-time
and minimum-heat descent programs are discussed, using various characteristic restraints (on altitude, angle
of attack, temperature, overload, e tc.). The method of multiple maxima is again very effective in this
case, as it yields approximate optimal solutions (with detailed accuracy estimates) in the form of finite ex
pressions, without involving the engineer in a tedious and difficult solution of bound ary-value problems.
Note that the sought optimal control is found to be a sliding control for the angle of attack over a considerable
length of the trajectory; in practice, it can be realized by a relay control with a moderate switching frequency.
Chapter VI presents an analog of the optimum principle for discrete control systems described by finite-
difference equations. Although the treatment is purely theoretical, its practical value is self-evident in the
light of ever increasing computer applications. Optimal problems using differential equations are converted
into finite-difference schemes for computer solution.
The Supplement at the end of the book is fundamentally different from the earlier chapters. It will be
of interest to readers who wish to acquaint themselves with the basic problems of variational calculus and
with the fundamental ideas that served as a point of departure for this monograph. The Supplement also
contains a useful solution of the problem of maximum-range horizontal flight of an aircraft.
The authors acknowledge the great help of Acad. A. M. Letov, who reviewed the manuscript and made
a number of valuable comments. The authors are also grateful to the scientific editor of the book, I. V.
Ioslovich, for his efforts.
Reader's comments will be most welcome. Please address all correspondence to "Mashinostroenie"
Publishing House, Moscow, K-51, Petrovka 24.
INTRODUCTION
V a r io u s p r o b le m s o f s c ie n c e and te c h n o lo g y o fte n r e q u i r e c h o o s in g
th e b e s t, o r th e o p t i m u m , s o lu tio n a m o n g a s e t of a l l th e p o s s ib le
a l t e r n a t i v e s o lu tio n s . T he m a th e m a ti c a l f o r m a l i s m of p r o b le m s of th is
k in d g e n e r a lly o p e r a t e s w ith tw o c o n c e p ts : th e c o n c e p t o f a s e t and th e
c o n c e p t of a f u n c t i o n a l d e fin e d o v e r a g iv e n s e t. E x a m p le s o f s e t s
a r e th e s e t of a ll r e a l n u m b e r s b e tw e e n 0 and 1, th e s e t o f a ll p o s s ib le
d i r e c t i o n s of th e t h r u s t v e c to r of an a i r c r a f t e n g in e , th e s e t o f a ll p o s s ib le
t r a j e c t o r i e s ta k in g an a i r c r a f t to a g iv e n a ltitu d e , e tc .
A f u n c t i o n a l is s a id to be d e fin e d o v e r s o m e s e t if we know how to
a s s ig n a d e f in ite n u m b e r to e a c h e le m e n t of th e s e t.
C o n s id e r s o m e s im p le e x a m p le s of f u n c tio n a ls .
1. C o n s id e r th e s e t of a ll p la n e c u r v e s . T o e a c h c u r v e we a s s ig n a
c e r t a i n n u m b e r — i t s le n g th . T h e le n g th o f a c u r v e is th u s fu n c tio n a l.
2. C o n s id e r a p o in t in th e (x, y) p la n e w h ic h m a y m o v e alo n g an y p a th
b e tw e e n tw o g iv e n p o in ts A and B so th a t it h a s a d e f in ite v e lo c ity V(x, y)
a t e v e r y p o in t (x, y) of th e p ath . A s s ig n in g to e a c h p a th of th e s e t th e tim e
to t r a v e r s e th a t p ath , we o b ta in a fu n c tio n a l.
3. T h e m a x im u m s u r f a c e t e m p e r a t u r e o f a s p a c e c r a f t d u r in g a tm o
s p h e r ic r e e n t r y is a f u n c tio n a l w h ich d e p e n d s on th e t r a j e c t o r y of th e
s p a c e c ra ft.
T h e g e n e r a l f o r m a lis m o f c h o o s in g o p tim u m s o lu tio n s ( a c c o r d in g to
c e r t a i n " q u a lity " c r i t e r i a ) o p e r a te s w ith a fix e d s e t M and a fu n c tio n a l
I ( v ), d e fin e d o v e r th e e le m e n ts of t h i s s e t w h ich c h a r a c t e r i z e s th e
q u a lity of th e e le m e n t v , so th a t if an e le m e n t V\ is " b e t t e r " th a n an
e le m e n t Vi in a c e r t a i n s e n s e , I(V\) <1 (V2 ) and v ic e v e r s a . T he p r o b le m
i s th u s f o r m u la te d a s fo llo w s: find an e le m e n t v of th e s e t M f o r w h ich th e
fu n c tio n a l I (v) h a s its m in im u m v a lu e I ( v ) = m . T h is p r o b le m , h o w e v e r,
i s not a lw a y s s o lv a b le . T he s e t b e in g c o n s id e r e d d o e s not a lw a y s c o n ta in
an e le m e n t v s a tis f y in g th e e x a c t e q u a lity I ( v ) = m . F o r e x a m p le , th e
fu n c tio n y — ax + b> a > 0 , a t ta i n s i t s m in im u m a t th e p o in t x = 0 on th e s e t of
th e p o in ts x b e tw e e n 0 and 1, p r o v id e d t h i s s e t i s c lo s e d , th e
m in im u m is no t a tta in e d on any p o in t of th e s e t if it is o p en , 0 < x < l . A
s lig h t m o d if ic a tio n in th e s ta te m e n t of th e p r o b le m e l im in a te s th e d iffic u lty .
T h e f in a l f o r m u la tio n r e a d s a s fo llo w s : c o n s id e r a s e t M and a f u n c tio n a l
I(v) o n t h i s s e t, v ( ~M . F in d a s e q u e n c e of e l e m e n ts o f th e s e t M ,
{as } c A f, f o r w h ich l ( v a) —+m f o r 0 0 . T h e r e s u lt in g s e q u e n c e is know n
as a m i n i m i z i n g s e q u e n c e . It a lw a y s e x i s ts , in v i r t u e of th e
d e f in itio n o f th e e x a c t lo w e r bound m —inf / . T h e m in im a l e le m e n t v m a y
M
b e t r e a t e d a s o n e of s u c h m in im iz in g s e q u e n c e s d e fin e d in th e f o r m vs — v
f o r a l l s .1
1
In w h at fo llo w s, w e w ill d e a l w ith m o r e ta n g ib le p r o b le m s : d e t e r m in a tio n
o f th e o p tim a l c o n tr o l f o r o b je c ts d e s c r ib e d by o r d in a r y d i f f e r e n tia l
e q u a tio n s o r by t h e i r d i s c r e t e a n a lo g s — th e f i n i t e - d i f f e r e n c e e q u a tio n s .
A s a p r e l i m i n a r y s te p , w e h a v e to c o n s id e r in s o m e d e t a il th e c o n c e p t o f a
c o n t r o l l e d s y s t e m ( or c o n t r o l l e d o b j e c t ) .
A ty p ic a l e x a m p le of a c o n tr o lle d s y s t e m is p ro v id e d by a n a i r c r a f t .
T h e v e c to r e q u a tio n s o f m o tio n of th e c e n t e r of m a s s o f an a i r c r a f t in
an i n e r t i a l f r a m e of r e f e r e n c e h a v e th e f o r m
mV=F;
r = V; (I.D
m = — pf ,
w h e r e r, V a r e r e s p e c ti v e ly th e r a d iu s v e c to r and th e v e lo c ity v e c t o r of th e
c e n t e r o f m a s s o f th e a i r c r a f t ; m is th e m a s s ; pf is th e m a s s ( p ro p e lla n t)
c o n s u m p tio n p e r se c o n d ; F is th e r e s u l t a n t v e c to r o f a ll th e e x t e r n a l f o r c e s .
W hen s o lv in g th e e q u a tio n s of flig h t d y n a m ic s , th e m o tio n of a n a i r c r a f t
is g e n e r a lly c o n s id e r e d in th e w ind s y s t e m of c o o r d in a te s /4 /:
V = — [P cos (a — 'f) cos p — A' cos p 2 sin p —

m
— G sin 0];
0 = —-— [P [sin (a—cp) cos yc + cos(a—<f)sinPsinYc]—
mV
— X sin p sin yc -J-K cos yc — Z cosp sin yc — G cos 0); ^
tc = mV
~ r rros
— 0IT \1P lsln (a — <P)sin Y, ~ cos (a —
— cp) sin P COS Yc1 + * sin pcos y c-\~y sinYc +
+ Z cosPcos yd;
h = - V sin 0; m = —pf; x ^ l^ c o s O ,
w h e r e V is th e v e lo c ity ; h th e a ltitu d e ; x th e r a n g e on th e E a r t h ’s s u r f a c e ;
0 th e a n g le of in c lin a tio n of th e t r a j e c t o r y to th e lo c a l h o r iz o n ; a th e a n g le
o f a tta c k ; th e a n g le of y aw ; p th e a n g le o f s id e s lip ; Yc th e a n g le o f b an k ;
cp th e a n g le b e tw e e n th e t h r u s t v e c to r and th e v e lo c ity v e c to r ; P e n g in e
t h r u s t ; G a i r c r a f t w e ig h t; A, Y, Z th e d r a g , th e lif t, and th e s id e f o r c e ,
r e s p e c ti v e ly :
X = c, ( M, a) 0 <h^ V2 S ; Y — a ) - ^ — ^ S;
Z = c2(N[, a) e(/,2)K ;- 5 ,
w h e r e o(//) i s th e d e n s ity of th e a t m o s p h e r e ; 5 is th e e f f e c tiv e w in g a r e a ;

M is th e M ach n u m b e r, e q u a l to th e r a t i o of th e flig h t v e lo c ity to th e v e lo c ity
o f sou n d a(h) a t th e g iv e n a ltitu d e ; cx, cy and cz a r e th e a e r o d y n a m ic
c o e f f ic ie n ts . 2
2
E q u a tio n s (I. 2) r e l a t e tw o e s s e n t i a l l y d if f e r e n t g r o u p s o f v a r i a b l e s . T h e
v a r i a b l e s h , K, 0, o|)c, * an d /n e n t e r (1.2) t o g e th e r w ith t h e i r f i r s t d e r i v
a t iv e s and th u s c h a r a c t e r i z e th e s t a t e of th e s y s t e m a t an y tim e t ; th e
n u m b e r of th e s e v a r i a b l e s i s e q u a l to th e o r d e r of th e s y s te m .
S uch v a r i a b l e s a r e g e n e r a lly know n a s p h a s e c o o r d i n a t e s . The
v a r i a b l e s a, p, Vc» , and pf e n t e r (1.2) w ith o u t t h e i r d e r i v a t i v e s and th u s
a c t a s f r e e v a r i a b l e s . T h ey m a y b e d e fin e d q u ite a r b i t r a r i l y a s c e r t a i n
fu n c tio n s of tim e , an d th e y d e t e r m in e th e s o lu tio n o f th e s y s t e m (th e
b e h a v io r of th e c o n tr o lle d s y s te m ) f o r a g iv e n in i t i a l s ta te ho, Vo, 0O, mo.
V a r ia b le s of t h i s k in d a r e know n a s c o n t r o l e l e m e n t s o r c o n t r o l s .
T h e c l a s s i f i c a t i o n o f th e v a r i a b l e s in to p h a s e c o o r d in a te s an d c o n tr o l
e l e m e n ts i s c lo s e ly lin k e d w ith th e p a r t i c u l a r c h o ic e o f th e m a th e m a ti c a l
m o d e l o f th e c o n tr o lle d s y s te m . In s o m e p r o b le m s th e m a th e m a ti c a l
m o d e l ( s y s t e m (I. 2)) p r o v id e s an in s u f f ic ie n tly a c c u r a t e d e s c r i p t i o n o f th e
a c tu a l b e h a v io r of th e a i r c r a f t and i t c a n be im p r o v e d by s u p p le m e n tin g it
w ith th e e q u a tio n of th e a n g u la r m o tio n o f th e a i r c r a f t ab o u t i t s c e n t e r o f
m a s s . In t h i s s y s te m , th e v a r i a b l e s a, p and yc b e c o m e p h a s e
c o o r d in a te s , and th e r u d d e r d e f le c tio n a n g le s a s s u m e th e r o l e o f c o n tr o l
e l e m e n ts . On th e o th e r hand, in s o m e p r o b le m s , c e r t a i n p h a s e c o o r d in a te s
m a y be u p g r a d e d to th e s t a tu s of c o n tr o l e l e m e n ts w ith o u t an y d e t r i m e n t a l
e f f e c ts ; t h i s w ould in v o lv e d r o p p in g th e c o r r e s p o n d in g d if f e r e n tia l e q u a tio n s
f r o m th e m a th e m a ti c a l m o d e l. T h is a p p r o a c h w a s a c tu a lly a p p lie d by s o m e
a u t h o r s /4 , 8 / in s o lv in g th e p r o b le m s of p o w e re d a s c e n t o f a i r c r a f t , w h en
th e t r a j e c t o r y in c lin a tio n a n g le 0 w a s u s e d a s a c o n tr o l e le m e n t.
In p r a c t i c a l p r o b le m s , b e s id e s d i f f e r e n t i a l e q u a tio n s w e h a v e to c o n s id e r
f u r t h e r a v a r i e t y of c o n s t r a i n t s and c o n d itio n s on th e v a r i a b l e s w h ic h s te m
f r o m th e p a r t i c u l a r p r o p e r t i e s o f th e c o n tr o lle d s y s te m . T h e fo llo w in g
ty p ic a l c o n s t r a i n t s a r e im p o s e d on a i r c r a f t fly in g in th e d e n s e r a t m o s p h e r ic
l a y e r s : th e a ltitu d e 0 , th e a n g le o f a tta c k a min < a < a mnx, th e d y n a m ic
head q = l/ 2 QV2<qm&x > th e to t a l o v e r lo a d 7V = — V X 7( h y , u ) -\-Y2 <<
G
< N max, th e s u r f a c e t e m p e r a t u r e Tw(h, V, a ) < 7 u, max. C e r ta in a d d itio n a l
c o n d itio n s a r e a l s o im p o s e d on th e i n i t i a l and th e f in a l s ta te of th e o b je c t.
T h u s , a v e h ic le i s in te n d e d to t r a n s p o r t s o m e p a y lo a d f r o m th e p o in t o f
o r ig in ho, Xo on th e g ro u n d , w h e r e it w a s a t r e s t (V0= 0), to a c i r c u l a r o r b it
a t a ltitu d e /î (0i = 0, V\ = v cir). T h e d if f e r e n t c o n t r o l p r o g r a m s s a tis f y in g a l l
th e s e r e q u i r e m e n t s w ill b e r e f e r r e d to a s a d m i s s i b l e a l t e r n a t i v e s .
T h e s e t of a l l a d m is s ib l e c o n t r o l p r o g r a m s D m a y b e id e n tif ie d w ith th e
s e t M in th e g e n e r a l f o r m u la tio n . We w ill c o n s id e r i n t e g r a l
f u n c t i o n a l s d e fin e d o v e r th e s e t D : th e s e a r e i n t e g r a l s ta k e n b e tw e e n
c e r t a i n tim e l i m i t s o v e r s o m e f u n c tio n s of th e p h a s e c o o r d in a te s and c o n tr o l
e l e m e n ts o r fu n c tio n s of i n i t i a l an d f in a l s t a t e s , o r l i n e a r c o m b in a tio n s o f
t h e s e s t a t e s . E x a m p le s of s u c h f u n c tio n a ls f o r a i r c r a f t a r e th e flig h t r a n g e
t,
V cos Qdt, th e f lig h t d u r a tio n t\— to K f u e l c o n s u m p tio n m0—tti\$ th e f in a l
a ltitu d e h \ , th e f in a l v e lo c ity V\, e tc .
We a r e th u s d e a lin g w ith th e fo llo w in g g e n e r a l p r o b le m .
C o n s id e r a s y s t e m of d i f f e r e n t i a l e q u a tio n s d e s c r ib in g a c o n tr o lle d
s y ste m .
y=f(t, y, u). (1 .3 )
3
w h e r e y ~ ( y \ y 2, . . . , y n) i s th e n - d im e n s io n a l v e c to r o f th e p h a s e c o o r
d in a te s , u ~ (uK k2, . . . , ur) i s th e r - d i m e n s i o n a l v e c to r o f th e c o n t r o l
e le m e n ts .
T h e v a r i a b l e s y, u f o r e v e r y t m a y ta k e on c e r t a i n v a lu e s f r o m s o m e s e t
V(t) d e fin e d by th e a d d itio n a l c o n s t r a i n t s
(y,u)(~V(t). (1 .4 )
T h e p r o je c tio n of t h i s s e t o n to th e s p a c e o f th e p h a s e c o o r d in a te s Y a t
e v e r y t w ill b e d e s ig n a te d Vy (t)> //£ Vy ( t ) , an d it s c r o s s s e c tio n f o r an y t and
y w ill be d e s ig n a te d Vu (t, y), v ( ^ V u (t, y ) . E x p r e s s io n (I. 4) i n c o r p o r a t e s , in
p a r t i c u l a r , th e b o u n d a ry c o n d itio n s
w h e r e y ( t 0)=yo, y ( t \ ) = y x.
In th e s e t D o f th e p a i r s o f v e c t o r fu n c tio n s y ( t ), u(t) s a tis f y in g th e a b o v e
c o n d itio n s , fin d a s e q u e n c e {ys(t)> us(t) } o v e r w h ich th e f u n c tio n a l
fi
/ = J f 0( t , y , u ) d t + F { y 0, yi) (1.5)
*0
g o e s to i t s e x a c t lo w e r bound in th e s e t, I ( y s(t), m*(/)) —*inf / . In p a r t i c u l a r ,

D
if w e a s s u m e th a t th e l e a s t v a lu e of th e fu n c tio n 1 is a tta in e d on s o m e
e le m e n t y ( t ) , u(t) o f c l a s s D , o u r p r o b le m is to fin d th is e le m e n t:
/(< /('), « ( / ) ) = inf /. (L 6 )
L e t u s now c o n s id e r b r ie f ly th e g e n e r a lly a c c e p te d m e th o d s o f s o lv in g
p r o b le m s o f th is kind.
P o n tr y a g in ’s m a x im u m p r in c i p le
L e t, f o r s im p lic ity , th e s e t Vu b e c o n s ta n t (in d e p e n d e n t o f t and y ), th e

b o u n d a r y c o n d itio n s /0, t u yoy y\ fix e d , th e s e t Vv (t) f o r an y t(z(t0, /j) c o in c id e w ith
t h e s p a c e Y ( th e r e a r e no c o n s t r a i n t s on th e p h a s e c o o r d in a te s ) , an d F ( y 0, y^) = 0 .
T o s o lv e th e p r o b le m , w e d e fin e a fu n c tio n o f (2n + r + 2 ) v a r i a b l e s (th e
p r o b le m H a m ilto n ia n )
H(t, to. ty. </, “ ) = 2 VtFV’ y< “ ) +'To/°(<. y, u), (1.7)

1= 1
w h ere ^ 2, •••, i|)n) i s an n - d im e n s io n a l v e c to r , th e f i r s t t e r m on th e

r ig h t is a s c a l a r p r o d u c t o f n - d im e n s io n a l v e c t o r s . T h e s o - c a lle d a d jo in t
s y s t e m of n d i f f e r e n tia l e q u a tio n s i s th e n ad d e d to th e s t a r t i n g e q u a tio n s :
4
T h e m a x im u m p r in c i p le i s e x p r e s s e d by th e fo llo w in g th e o r e m .
T h e o r e m I. 1. L e t (y ( t ). u ( t ) ) be a s o lu tio n of th e p r o b le m , i. e .,
th e p o in t of D m in im iz in g th e f u n c tio n a l / . T h e n t h e r e e x i s t s a v e c to r
(ipo, ip (/)) w h ic h i s no t id e n tic a lly z e r o , w h e r e \p(0 i s th e s o lu tio n o f (I. 8)
f o r y = y ( t ) t u = u ( t ) t tyo is a n o n p o s itiv e c o n s ta n t, s u c h th a t f o r a ll [/o, /i] th e
fu n c tio n //( /, y ( t ), \p0, ip(/). u) a t ta i n s i t s a b s o lu te m a x im u m on Vn fo r u ~ u . '
H (<. t (0. « (0 = «6supVuH *)>o, <K0. «)=l* (0 (*• 9)
an d th e fu n c tio n p(/ ) i s c o n tin u o u s o v e r [/o, t\] .
T h e p r o o f of th is f u n d a m e n ta l th e o r e m w ill be found in /6 , 2, 3 /.
E q u a tio n s (I. 8) —(I. 9) a r e th e n e c e s s a r y c o n d itio n s f o r an o p tim u m
s o lu tio n y{t), u(t). T o g e th e r w ith e q u a tio n s (I. 3), th e y c o n s titu te a s y s t e m
of o r d in a r y d if f e r e n t i a l e q u a tio n s o f o r d e r 2n , c lo s e d by th e f in ite r e l a t i o n
(I. 9); on a g iv e n s e g m e n t [ta t\] th e s o lu tio n of t h i s s y s t e m (y(t), ip(/)> w( 0 )
s h o u ld s a t i s f y 2n b o u n d a ry c o n d itio n s w h ic h c o n s t r a i n th e p h a s e p a th y( t) to
p a s s th r o u g h g iv e n p o in ts i/o, y\ a t t i m e s tQ and t\ , r e s p e c ti v e ly .
In o th e r w o rd s , th e m a x im u m p r in c i p le r e d u c e s th e o p tim iz a tio n p r o b le m
to a b o u n d a r y - v a lu e p r o b le m f o r a s y s t e m o f o r d i n a r y d i f f e r e n t i a l e q u a tio n s .
T h e s o lu tio n o f t h i s b o u n d a r y - v a lu e p r o b le m , in g e n e r a l, m a y p r o v e to
b e d if f e r e n t f r o m th e so u g h t o p tim u m s o lu tio n , s in c e th e e q u a tio n s of th e
m a x im u m p r in c i p le p r o v id e o n ly th e n e c e s s a r y c o n d itio n s of o p tim a lity .
H o w ev er, if w e c a n be c e r t a i n th a t, f i r s t , th e m in im u m o f th e f u n c tio n a l
e x i s t s (in th e s e t D ) and, se c o n d , th e s o lu tio n o f th e bound a r y - v a lu e
p r o b le m i s u n iq u e , th e s o lu tio n o b ta in e d by th is m e th o d is in d e e d th e
o p tim u m s o lu tio n .
T h e m a x im u m p r in c ip le g e n e r a l i z e s th e c l a s s i c a l o p tim u m c o n d itio n s
— th e E u l e r —L a g r a n g e e q u a tio n s and W e i e r s t r a s s * s c o n d itio n — to th e c a s e
o f a c lo s e d and b o u n d ed s e t Vu ( th e s e a r e th e c o n d itio n s m o s tly e n c o u n te r e d
in p r a c tic e ) . If th e s e t V n c o in c id e s w ith th e e n t i r e s p a c e U , we h av e
f r o m (I. 9)
H u ( t t y> t|>, u ) = 0 , (I. 10)

w h e r e H U= (HU>, H u4, H ur) is th e v e c t o r of th e p a r t i a l d e r i v a t i v e s of
th e fu n c tio n H w ith r e s p e c t to th e c o m p o n e n ts of th e v e c to r u . E q u a tio n s
(I. 3), (I. 8), and (I. 10) f o r m a s y s t e m of c a n o n ic a l E u l e r —L a g r a n g e e q u a tio n s
f o r th e fu n c tio n s y ( t) , i|>(/), u (t) • T h e f u n c tio n s opo, ^ i ( 0 » •••. 'P«(0
c o in c id e in th is c a s e w ith th e L a g r a n g e m u l t i p l i e r s , an d r e l a t i o n (I. 9)
c o in c id e s w ith W e i e r s t r a s s 's n e c e s s a r y c o n d itio n . In d ee d , f r o m th e
d e f in itio n of th e s u p r e m u m , (I. 9) im p l ie s th a t
H(t, y , ip, u ) —H(t, y , i|), u ) ^ 0, (T H )
f o r an y u £ Vu .
In g e n e r a l, w h en th e s e t Vu i s c lo s e d , th e p o in t a t w h ic h th e fu n c tio n
H( u) r e a c h e s i t s m a x im u m n e e d n o t be a s t a t i o n a r y p o in t of th e fu n c tio n , so
th a t th e E u l e r —L a g r a n g e e q u a tio n s (I. 10) a r e n o t a lw a y s th e n e c e s s a r y
c o n d itio n s of o p tim u m .
N o te th a t v a r i o u s t r a n s f o r m a t i o n s m a p p in g th e s e t Vu o n to s o m e o p e n
s e t, w h ic h a r e w id e ly u s e d by v a r io u s a u t h o r s (e. g ., /7 —9 / ) in c o n ju n c tio n
w ith th e a p p a r a tu s of v a r i a t i o n a l c a lc u lu s , le a d to th e e q u a tio n s o f th e
m a x im u m p r in c i p le (I. 3), (I. 8), (I. 10), if t h e i r a p p lic a tio n i s v a lid . 5
5
E x a m p l e I. 1. A s an e x a m p le , l e t u s c o n s id e r th e p r o b le m o f th e
s h o r t e s t p a th b e tw e e n tw o g iv e n p o in ts A and B . T h e s e t D o f a ll th e a d -
m i s s i b l e p a th s i s lim ite d by a d d itio n a l c o n d itio n s r e q u ir in g s in g l e - v a lu e d n e s s
o f y ( x ) , z ( x) on (xAy x B) . T h e f u n c tio n a l and th e e q u a tio n s d e s c r ib in g th e
s e t D th e n ta k e th e f o r m
XB
/ = J V \ - \ - u 2- \-v2 dx\ (I. 12)
XA
dy . dz
y dx Z dx (I. 13)
y ( x A ) = y a ' y ( x B) = y £ ; (I. 14)
z (x a ) = z a \ z (* b ) = z b■ (I. 15)
H e re th e r e c t a n g u l a r c o o r d in a te s y and z a r e th e p h a s e c o o r d in a te s
o f th e p r o b le m , and th e d e r i v a t i v e s of th e f u n c tio n s y ( x) and z ( x ) a r e th e
c o n t r o l e l e m e n ts .
T h e v e c to r ^ s h o u ld a l s o h a v e tw o c o m p o n e n ts . We d e s ig n a te th e m ipy
an d \J)z , r e s p e c t i v e l y : '»!>*).
By / 6 /, w e h a v e
H (•*. to. + K l + « 2 + t>2 ,
i. e ., th e fu n c tio n H d e p e n d s o n ly on th e v e c to r ip and th e c o n tr o l e l e m e n ts
u, v. E q u a tio n s (I. 8) th u s ta k e th e f o r m
i|3y= 0; o|>2= 0,
w h e n c e it fo llo w s th a t th e c o m p o n e n ts o f th e v e c to r a r e c o n s ta n t:
= const; ^2 = const.
L e t u s in v e s tig a te th e m a x im u m of H w ith r e s p e c t to u . F o r ip0= 0 ,

H h a s a m a x im u m o n ly f o r = 0 . T he t r i v i a l s o lu tio n = =0
d o e s not s a tis f y th e m a x im u m p r in c ip le , and w e t h e r e f o r e h a v e to ta k e
. F o r an y g iv e n x, ipo<0. \J)y, \J?Z , th e fu n c tio n H (u, v) h a s a s in g le
p o in t of m a x im u m , u , v , w h ic h is in d e p e n d e n t of x .
U sin g e q u a tio n s (I. 8), w e find th a t th e s h o r t e s t p a th is th e lin e o f c o n s ta n t
s lo p e , i. e ., a s t r a i g h t lin e ; s in c e o n ly o ne s t r a i g h t lin e c a n b e p a s s e d
th r o u g h tw o g iv e n p o in ts , th e s h o r t e s t p a th i s u n iq u e . S in ce th e s h o r t e s t
p a th b e tw e e n tw o p o in ts c e r t a i n l y e x i s ts , w e c o n c lu d e th a t o u r s o lu tio n
in d e e d g iv e s th e s h o r t e s t p a th — th e s t r a i g h t lin e jo in in g th e p o in ts A an d B .
B e l l m a n s d yn am ic p r o g r a m m in g m ethod
C o n s id e r a p a r t i c u l a r c a s e o f th e g e n e r a l p r o b le m , w h en th e i n i t i a l
v a lu e s o f t an d y a r e fix e d , th e f in a l v a lu e o f t is g iv e n , b u t no c o n s t r a i n t s
a r e im p o s e d on th e f in a l v a lu e o f y . M o r e o v e r, t h e r e a r e no c o n s t r a i n t s 6
6
on th e p h a s e v e c t o r in th e e n t i r e i n t e r v a l (tfo> t\)» s o th a t th e s e t Vy (t) is
a n o p e n d o m a in .
A s u ita b le e x a m p le i s th e o p tim a l h o m in g o f a liq u i d - p r o p e l la n t r o c k e t
o n a f r e e t a r g e t in v a c u u m . C o n s ta n t e n g in e t h r u s t is a s s u m e d , b u t its
d ir e c t i o n c a n be a l t e r e d a t w ill. If th e d if f e r e n c e s in g r a v it a tio n a l
a c c e l e r a t i o n on th e tw o o b je c ts a r e ig n o r e d , th e h o m in g e q u a tio n s r e l a t i v e
to th e f r e e t a r g e t m a y be w r i tte n in th e f o r m
(I. 16)
w h e r e r, V a r e th e r a d i u s - v e c t o r and th e v e lo c ity v e c to r , p is th e u n it
v e c t o r in th e d ir e c tio n of th e t h r u s t (a c o n t r o l e le m e n t) , a ( / ) i s th e t h r u s t -
p ro d u c e d a c c e l e r a t i o n (a know n fu n c tio n of tim e ) . T h e in i t i a l p o s itio n ro
an d th e i n i t i a l v e lo c ity V0 of th e h o m in g r o c k e t a r e know n. T h e p r o b le m
i s to m in im iz e th e s q u a r e of th e d is ta n c e to th e t a r g e t r\ a t th e f in a l tim e
t=ti.
In ta c k lin g p r o b le m s of t h i s k in d . B e llm a n ’s m e th o d u s e s a s e lf - e v id e n t
o p tim u m p r in c i p le / l / .
O p tim a l b e h a v io r h a s th e p r o p e r ty th a t, w h a te v e r th e in it ia l s t a t e and th e
i n i t i a l s o lu tio n , s u b s e q u e n t s o lu tio n s c o n s titu te an o p tim u m in r e la tio n to
th e s t a t e e n s u r e d by th e o r ig in a l s o lu tio n . In o th e r w o rd s : an y c o m p o n e n t
of an o p tim a l p r o c e s s is an o p tim a l p r o c e s s in r e l a t i o n to th e c u r r e n t
( in s ta n ta n e o u s ) s ta te .
T h e s o u g h t o p tim a l s o lu tio n and th e m in im u m v a lu e o f th e fu n c tio n a l
c l e a r l y d e p e n d o n ly on th e i n it ia l tim e t and th e i n i t i a l s ta te y . We th u s
h a v e a s c a l a r fu n c tio n S(t, y) d e fin in g th e m in im u m v a lu e of th e fu n c tio n a l
f o r g iv e n t, y , w h ic h a r e t r e a t e d a s th e i n i t i a l v a lu e s of th e p r o b le m . In
o u r e x a m p le , th is s c a l a r fu n c tio n is th e s q u a r e of th e m in im u m d is t a n c e
to th e t a r g e t a t th e end of th e h o m in g ru n , a s s u m in g th a t th e h o m in g
m i s s i l e w a s la u n c h e d a t th e tim e t f r o m p o in t r w ith v e lo c ity V . T h e
f u n c tio n S ( i , r, V) in o u r e x a m p le is th u s d e fin e d a s
5 ( / „ r y ) = r 2. (1.17)
T h e o p tim u m p r in c i p le is e x p r e s s e d by th e fo llo w in g fu n c tio n a l e q u a tio n :
(I. 18)
w h e r e { u } is th e s e t of th e a d m is s ib l e v a lu e s of th e c o n tr o l e le m e n ts ; x is
s o m e tim e f r o m th e i n t e r v a l [t, ti]; y(t) is th e s o lu tio n o f (I. 3) in th e tim e
i n t e r v a l [t, t] w ith th e c o n tr o l e le m e n t u(t) and th e in i t i a l c o n d itio n s t, y ;
y ^ - y ( ^ ) i s th e v a lu e o f th is s o lu tio n f o r t = x . A llo w in g t to go to / and
a s s u m in g c o n tin u ity and d if f e r e n tia b ili ty o f S(t, y), w e r e a d i l y fin d th e
fo llo w in g p a r t i a l d if f e r e n tia l e q u a tio n :
(1 .1 9 )
w ith b o u n d a r y c o n d itio n (I. 17). W hen t h i s e q u a tio n i s s o lv e d , w e o b ta in
th e fu n c tio n S (/, y ) ; th e o p tim u m c o n tr o l e le m e n t a t an y p o in t (/, y) i s found
b y m in im iz in g th e e x p r e s s i o n in b r a c e s .
It is r e a d i l y s e e n th a t in t h i s w ay w e n o t o n ly fin d th e o p tim u m p r o g r a m
f o r g iv e n in i t i a l v a l u e s /o, yo, b u t in f a c t s o lv e a m o r e g e n e r a l p r o b le m o f
th e o p tim u m b e h a v io r f o r an y p a i r o f v a lu e s t, y , t r e a t e d a s th e i n it ia l
v a lu e s . T h is ty p e o f s o lu tio n i s know n a s o p t i m u m c o n t r o l
s y n t he s i s .
In o u r p a r t i c u l a r e x a m p le . B e llm a n ’s e q u a tio n (I. 19) t a k e s th e f o r m
— - + -^ - i/ + i n f / - ^ _ ^ ( / ) ) = 0. ( 1. 2 0 )
dt dr ? \ 6V /
S e e in g th a t and th e s c a l a r p r o d u c t ~ p is m in im u m w h en th e
_» ^ dV
u n it v e c to r p i s a n t i p a r a l l e l to — ,
dV
dS dS
P (1 .2 1 )
dV dV
w e r e w r i t e (I. 20) in th e f o r m
dS_ dS
a(t) = 0. (I. 22)
dt dV
T h is is a n o n lin e a r p a r t i a l d i f f e r e n tia l e q u a tio n o f f i r s t o r d e r . Its s o lu tio n

w ith b o u n d a ry c o n d itio n (I. 17) g iv e s a c e r t a i n fu n c tio n S(t, r, V). E x p r e s s io n
(I. 21) th e n d e f in e s th e fie ld o f o p tim u m c o n tr o l e le m e n ts , i. e ., th e o p tim u m
d i r e c t i o n o f th e t h r u s t v e c t o r f o r an y s t a t e i, r, V .
L ik e th e m a x im u m p r in c i p le . B e llm a n ’s e q u a tio n h a s i t s c l a s s i c a l
a n a lo g — th e H a m ilto n —J a c o b i e q u a tio n of c l a s s i c a l m e c h a n ic s w h ic h d if f e r s
f r o m (I. 19) in th a t u is o b ta in e d f r o m th e c o n d itio n
/ ^ , y , u ) + f « ( i , y , u ^ = 0, (1 .2 3 )
an d n o t by m in im iz in g th e e x p r e s s i o n in b r a c e s .
E q u a tio n (I. 19) i s e v id e n tly m o r e g e n e r a l and it e s s e n t i a l l y c o in c id e s
w ith th e H a m ilto n —J a c o b i e q u a tio n in c a s e s w h en th e g iv e n e x p r e s s io n a t ta i n s
i t s m in im u m a t a u n iq u e s t a t i o n a r y p o in t.
B o th m e th o d s — th e m a x im u m p r in c i p le an d B e llm a n ’s d y n a m ic
p r o g r a m m in g m e th o d — a r e w id e ly u s e d b e c a u s e th e y a r e o r g a n ic a ll y lin k e d
w ith th e p a r t i c u l a r f e a t u r e s o f m o d e r n a p p lie d p r o b le m s an d a llo w in a
s t r a i g h t f o r w a r d m a n n e r f o r th e p h y s ic a l c o n s t r a i n t s im p o s e d on th e v a r io u s
e l e m e n ts . A w id e r a n g e o f o p tim u m c o n tr o l p r o b le m s h a v e b e e n s o lv e d by
th e s e m e th o d s .
T h e r e e x i s t s a n o th e r e x te n s iv e c l a s s of p r o b le m s (in c lu d in g ty p ic a l
f lig h t d y n a m ic s p r o b le m s ) , h o w e v e r, w h ic h a r e v e r y d if f ic u lt and o fte n
im p o s s ib le to ta c k le by th e s e m e th o d s .
L e t u s c o n s id e r s o m e s im p le e x a m p le s o f t h i s k in d .
8
E x a m p l e I. 2. C o n s id e r th e p r o b le m of th e o p tim a l c o n d itio n s of th e
v e r t i c a l a s c e n t o f a r o c k e t la u n c h e d f r o m th e s u r f a c e o f th e E a r th , w h ich is
r e q u i r e d to r e a c h a g iv e n a ltitu d e w ith m in im u m f u e l c o n s u m p tio n ( o r,
e q u iv a le n tly , to r e a c h a m a x im u m a ltitu d e w ith a g iv e n f u e l c h a r g e ) / 5 / .
T h e e q u a tio n s of m o tio n o f th e r o c k e t a r e
h=V; (1 .2 4 )
V-— X { k ’v) - g W + P l m ; (1 .2 5 )
m
m = ---- !—P. (1 .2 6 )
H e re , h, V, tn a r e r e s p e c ti v e ly th e a ltitu d e , th e v e lo c ity , and th e m a s s

of th e r o c k e t; X ( h , V) is th e d r a g ; g ( h ) i s th e g r a v i t a t i o n a l a c c e le r a tio n ;
P i s th e e n g in e t h r u s t , c o n t r o l la b le b e tw e e n th e l i m i t s 0 t0 b e th e
g iv e n i n i t i a l v a lu e s of th e a ltitu d e , th e v e lo c ity , th e m a s s , an d tim e ; hi, t\
a r e th e f in a l a ltitu d e and tim e .
A c h a r a c t e r i s t i c f e a tu r e of t h i s p r o b le m is th e l i n e a r d e p e n d e n c e o f th e
r ig h t- h a n d s id e s of e q u a tio n s (I. 24) —(I. 26) on th e c o n tr o lle d t h r u s t P .
L e t u s a n a ly z e th e p r o b le m u s in g P o n t r y a g i n 's m a x im u m p r in c ip le .
L et
H(tyu*hA3,h,V,m,P)=1hV-\-')/7 ( ---- ~ X ( h , V ) — g(h)-\— —) — ^ — P,

\ m m J c
(1.27)
6I
OH : dH \ dH
i r : t2=— : sr
be th e H a m ilto n ia n and th e a d jo in t s y s t e m of e q u a tio n s , r e s p e c t i v e l y . T h e
o p tim u m s o lu tio n is th e n s e le c te d f r o m a m o n g th e s o lu tio n s o f th e s y s t e m o f
d i f f e r e n t i a l e q u a tio n s (I. 24) —(I. 27) c lo s e d by th e a d d itio n a l r e la tio n
H (ti. tz. fc, h, V, m, P ) = m a x H (<|i„ <|<2>tfe, h, V, m, P). ( I. 28)

0</,<Pmax
T h e so u g h t s o lu tio n s sh o u ld s a tis f y th e fo llo w in g b o u n d a ry c o n d itio n s ;

f o r t = t Q,
h-=h0; V = V 0; m = m 0;
fo r t = t x ,
L e t u s c o n s id e r (I. 28) in m o r e d e ta il. S e e in g th a t th e f u n c tio n H d e p e n d s

l i n e a r l y on th e c o n tr o lle d t h r u s t , w e r e a d i l y c o n c lu d e th a t d e p e n d in g on th e
s ig n of th e c o e f f ic ie n t b e f o r e P (th e s w itc h in g fu n c tio n ),
9
M =t y 2ltn—1^3/ c , (1 .2 9 )
t h i s e q u a tio n i s s a t i s f i e d by
1 ) P = P max f o r A f > 0
2) P = 0 for A f < 0 (I. 30)
3) Af = 0
In c a s e 3, H is e v id e n tly in d e p e n d e n t o f P , s o th a t an y P m a y be c h o s e n
f r o m [0, Pmax]-
In o u r e x a m p le , c a s e 3 in (L 30) m a y be id e n tic a lly s a tis f ie d o v e r s o m e
tim e i n te r v a l T he c o r r e s p o n d in g s o lu tio n in th e th e o r y of o p tim a l p r o c e s s e s
is know n a s th e s i n g u l a r c o n t r o l s o lu tio n .
T h e c o r r e s p o n d in g c o n tr o l fu n c tio n is o b ta in e d by m a k in g th e f in ite
e q u a tio n M = 0 c o n s is te n t w ith s y s t e m (I. 24) — (I. 27).
S e ttin g th e to t a l tim e d e r iv a tiv e o f M e q u a l to z e r o ,
j k _ h!!L _ J b = 0 , (1 .3 1 )
m ml c
an d in s e r t i n g th e r ig h t- h a n d s id e s o f (I. 24) —(I. 27) t o g e th e r w ith th e e q u a lity
/ / = 0 , w e o b ta in a new fin ite r e la tio n , w h ich is in d e p e n d e n t of P :
(I. 32)
m
R e p e a tin g th e s a m e o p e r a tio n fo r (I. 32), w e o b ta in a l i n e a r e q u a tio n f o r

P , f r o m w h ich th e so u g h t c o n tr o l fu n c tio n is found.
T h e c o n s tr u c tio n of th e o p tim u m p r o g r a m g e n e r a lly in v o lv e s th e s o lu tio n
o f a bound a r y - v a l u e p r o b le m f o r (I. 24) —(I. 28). A s w e h a v e s e e n a b o v e ,
th e r a t i o n a l e o f th e p r o c e d u r e b a s e d on th e n e c e s s a r y c o n d itio n s o n ly is
tw o fo ld : f i r s t , th e e x is te n c e o f th e so u g h t o p tim u m p r o g r a m m u s t be
e s ta b l is h e d and, se c o n d , th e u n iq u e n e s s o f th e s o lu tio n s a tis f y in g th e s e
n e c e s s a r y c o n d itio n s sh o u ld b e p r o v e d . T h e
e x is te n c e of an o p tim u m p r o g r a m f o r th e
p r o b le m b e in g c o n s id e r e d (th e r ig h t- h a n d
s id e s of th e e q u a tio n s (I. 2 4 ) — (I. 2 6) a r e
(*tM l i n e a r fu n c tio n s of th e c o n t r o l e le m e n ts )
fo llo w s f r o m th e g e n e r a l c o n s id e r a t io n s
of th e th e o r y of o p tim a l p r o c e s s e s . T he
u n iq u e n e s s of th e s o lu tio n of a b o u n d a r y -
v a lu e p r o b le m f o r a n o n lin e a r s y s t e m o f
d if f e r e n tia l e q u a tio n s , on th e o th e r h an d ,
i s by no m e a n s c e r ta in . T h e e x is te n c e of
s in g u l a r c o n t r o l m a r k e d ly a g g r a v a te s th e
s itu a tio n . In d ee d th e s in g u l a r c o n tr o l
p r o g r a m is th e s e t of s w itc h in g p o in ts
M = 0 , so th a t a t e a c h o f th e s e p o in ts we
m a y ta k e b o th P = 0 an d P = P ma.\
FIGURE 1 .1 ( F ig u r e I. 1).10
10
N ot e v e r y t r a j e c t o r y o b ta in e d in th is w ay n e e d be c o n s is te n t w ith th e
b o u n d a ry c o n d itio n s , and t h e r e a r e in fa c t e x a m p le s sh o w in g th a t t h e r e
m a y be in f in ite ly m a n y s u c h t r a j e c t o r i e s .
We th u s s e e th a t c o m p le te s o lu tio n o f p r o b le m s o f t h i s k in d r e q u i r e s
s u f f ic ie n t o r , a t l e a s t , a d d itio n a l n e c e s s a r y c o n d itio n s o f o p tim u m , w h ich
w ould e n a b le u s to e lim in a te a ll th e in c o m p a tib le s o lu tio n s .
T h e d y n a m ic p r o g r a m m in g m e th o d in th is c a s e le a d s to a n o n lin e a r
p a r t i a l d i f f e r e n t i a l e q u a tio n
°*p*pm>x
or
f + i f d .3 3 )
w h ere
MJ r> n 11 SS 1 dS 1 .
MP fo r M ---------------------------> 0,
dV m dm c
0 f o r M < 0.
No s u f f ic ie n tly g e n e r a l th e o r e m s of th e e x i s te n c e of s o lu tio n s f o r th e s e
e q u a tio n s (w ith a n o n - d if f e r e n tia b le le f t- h a n d p a r t) a r e a v a ila b le ; n o r a r e
t h e r e r e g u l a r m e th o d s f o r t h e i r s o lu tio n ( n u m e r ic a l o r o th e r w is e ) .
We a r e th u s fa c e d w ith a c o n tr a d ic tio n : in th o s e c a s e s w h en th e
a d d itio n a l n e c e s s a r y and s u f f ic ie n t c o n d itio n s of o p tim u m a r e r e q u ir e d f o r
c o n s tr u c tiv e p u r p o s e s , th e y a r e in fa c t in a p p lic a b le . N ew e f f e c tiv e
o p tim u m c o n d itio n s of s in g u l a r c o n tr o l th u s h av e to be found.
E x a m p l e I. 3. L et u s c o n s id e r th e s a m e p r o b le m a s in E x a m p le I. 1
w ith one d if f e r e n c e : th e e n g in e is not th r o ttl e d , and it is e i t h e r on o r off
(th e t h r u s t P m a y o n ly ta k e on tw o v a lu e s , 0 and Pmax). In th is c a s e , a s
is r e a d ily s e e n , th e e q u a tio n M = 0 i s n o lo n g e r c o m p a tib le w ith e q u a tio n s
(I. 24) —(I. 27) of th e m a x im u m p r in c ip le , so th a t th e s in g u l a r c o n t r o l
s o lu tio n is n o t in c lu d e d a m o n g th e a llo w e d s o lu tio n s of th e s e e q u a tio n s .
H o w e v e r, e v e n if a u n iq u e s o lu tio n h a s b e e n o b ta in e d f o r th e b o u n d a r y - v a lu e
p r o b le m of e q u a tio n s (I. 24) —(I. 27), w e c a n by no m e a n s be c e r t a i n th a t
t h i s s o lu tio n is th e o p tim u m , a s we do n o t know th a t th e o p tim u m s o lu tio n
e x i s t s a m o n g th e a d m is s ib l e s o lu tio n s . T h e p r o b le m is s o lv e d in th is c a s e by
a m in im iz in g s e q u e n c e , p ro v id in g a s o - c a l l e d s lid in g c o n tr o l p r o g r a m . It
w ill b e sh o w n in w h at fo llo w s th a t a ty p ic a l s o lu tio n of t h i s p r o b le m is a
s u c c e s s i o n of t h r u s t p r o g r a m s w ith in f in ite ly i n c r e a s i n g t h r u s t s w itc h in g
f r e q u e n c y a r o u n d th e lin e Af = 0, JV—0.
We a r e th u s fa c e d w ith a new p r o b le m o f fin d in g a p p r o p r ia t e m in im iz in g
s e q u e n c e s .1
11
P r o b le m s o f t h i s c l a s s c a n be r e p la c e d by a n o th e r p r o b le m , f o r w h ich
th e o p tim u m s o lu tio n is know n to e x is t. H o w e v e r, th e m in im iz in g s e q u e n c e
o f th e o r ig in a l p r o b le m c o r r e s p o n d s to th e s in g u l a r c o n t r o l s o lu tio n o f th e
n ew p r o b le m , and in th e f in a l a n a ly s i s th e s lid in g c o n tr o l p r o b le m r e d u c e s
to a s in g u l a r c o n tr o l p r o b le m . B e llm a n ’s e q u a tio n f o r t h i s p r o b le m
p r e c i s e l y c o in c id e s w ith e q u a tio n (I. 33), w ith a ll i t s c o n s e q u e n c e s .
E x a m p l e 1 . 4 . S u p p o se th a t th e t h r u s t in E x a m p le I. 2 d o e s n o t h a v e
a m a x im u m v a lu e ( th is i s a ty p ic a l s itu a tio n in th e m e c h a n ic s of s p a c e
f lig h t). In t h i s c a s e , a s i s r e a d i l y s e e n , b o th th e fu n c tio n H and th e le f t -
h and s id e of B e llm a n ’s e q u a tio n a r e in f in ite f o r p o s itiv e M , s o th a t n e i t h e r
th e m a x im u m p r in c i p le n o r th e d y n a m ic p r o g r a m m in g m e th o d a r e
a p p lic a b le in t h e i r o r ig in a l f o r m . M o r e o v e r, w ith a r b i t r a r y b o u n d a ry
c o n d itio n s , th e a d m is s ib l e s o lu tio n s of th e p r o b le m do n o t in c lu d e th e
o p tim u m s o lu tio n , s o th a t w e h a v e to c o n s tr u c t a m in im iz in g s e q u e n c e ,
a lth o u g h of a d if f e r e n t ty p e : a s e q u e n c e a llo w in g in d e fin ite g r o w th o f th e
t h r u s t . T h is i s a ty p ic a l f e a t u r e of s y s t e m s w ith u n b o u n d ed l i n e a r c o n t r o l
e l e m e n ts . In a d d itio n to t h e s e f u n d a m e n ta l d if f ic u ltie s , t h e r e a r e
d if f i c u lt ie s of s e c o n d a r y im p o r ta n c e a s s o c ia te d w ith th e a c tu a l n u m e r i c a l
s o lu tio n of th e p r o b le m s . T h is r e m a r k p r i m a r i l y a p p lie s to B e llm a n ’s
m e th o d . How a r e w e to s o lv e n u m e r i c a l ly e q u a tio n (I. 19), s a y ? C o n s id e r
th e s o lu tio n by th e g r id m e th o d , w hen w e h a v e to c o m p u te th e p a r t i a l
d e r i v a t i v e s of th e fu n c tio n S ( t \ y y) a t c e r t a i n t a b u l a r p o in ts (th e fu n c tio n is
k n o w n f o r t = t \ ).
F r o m e q u a tio n (I. 19) w e th e n fin d th e v a lu e s o f dSfdt a t th e s a m e t a b u l a r
p o in ts and a p p r o x im a te to th e v a lu e s of 5 f o r t = t \—A u s in g th e e q u a lity
T h e s a m e p r o c e d u r e is th e n r e p e a te d f o r S ( t \ —A, y) , e t c ., u n til w e
r e a c h /0- C o n s id e r th e c a s e of a m id c o u r s e m a n e u v e r in s p a c e . T h e n
r, V a r e t h r e e - d i m e n s i o n a l v e c to r s , and S (f, r, V) i s a f u n c tio n of s e v e n
v a r i a b l e s . T h e n u m e r i c a l g r id c o n s i s t s of te n v a lu e s of e a c h v a r i a b l e f o r
e v e r y t . It th u s c o m p r i s e s 106 p o in ts , a t w h ich th e fu n c tio n S sh o u ld be
c o m p u te d and th e r e s u l t s s to r e d . S uch a tr e m e n d o u s v o lu m e of d a ta
c a n n o t be s to r e d in th e i m m e d i a t e - a c c e s s m e m o r y o f m o s t c o m p u te r s .
A nd y e t, t h i s i s a v e r y m o d e s t n u m b e r c o n s id e r in g th e r e q u ir e d
a c c u r a c y . If th e g r id s p a c in g is re d u c e d o n ly by a f a c to r o f 2, t h i s n u m b e r
w ill i n c r e a s e by a f a c t o r of 26= 64, so th a t e v e n th e m o s t o p tim is ti c
f o r e c a s t s of th e f u tu r e d e v e lo p m e n t of c o m p u te r s c a n h a r d ly c a tc h u p w ith
t h i s " g r o w th ” . S u p p o se th a t e q u a tio n (I. 19) h a s b e e n so lv e d ; it i s s t i l l n o t
c l e a r , h o w e v e r, how w e a r e to s t o r e and u s e th e s o lu tio n , w h ic h is a
fu n c tio n of s e v e n v a r i a b l e s d e fin e d by i t s n u m e r i c a l v a lu e s . C e r t a in
te c h n iq u e s c a n be a p p lie d in o r d e r to r e d u c e t h i s " c u r s e of d im e n s io n a lity ” ,
to b o r r o w B e llm a n 's e x p r e s s io n , but it c a n n o t be e lim in a te d c o m p le te ly , so
th a t a t th e p r e s e n t s ta g e n o n lin e a r p r o b le m s of th i r d o r f o u r th o r d e r
a p p a r e n tly c o n s titu t e th e lim it a s f a r a s B e llm a n ’s m e th o d i s c o n c e r n e d .
T h e m a x im u m p r in c i p le d o e s n o t le a d to s u c h c a ta s tr o p h ic e f f e c ts ,
an d i t is m u c h m o r e p o w e rfu l and m o r e p r o m is in g in th is r e s p e c t . In v ie w
o f th e d if f i c u lt ie s in v o lv e d in th e s o lu tio n of b o u n d a r y - v a lu e p r o b le m s , w e
h a v e to c o n c e n t r a te on d e v e lo p in g a l t e r n a t i v e m e th o d s o f o p tim a l s o lu tio n . 12
12
w h ic h w ill no t r e q u i r e s tr a i g h tf o r w a r d c o m p a r is o n of a l l th e d if f e r e n t
a l t e r n a t i v e s s a tis f y in g th e n e c e s s a r y o p tim a lity c o n d itio n s . T h is i s a h ig h ly
im p o r ta n t and a s y e t u n s o lv e d p r o b le m .
A new a p p r o a c h to th e s o lu tio n of th e g e n e r a l p r o b le m , c o n s id e r e d in
th e n e x t s e c tio n , o p e n s new p o s s i b i l i t i e s f o r o v e r c o m in g th e s e fu n d a m e n ta l
d if f i c u lt ie s .
O ptim um p r in c ip le b ased on a re d u ctio n of th e

g iv e n p r o b le m to a t r iv ia l p ro b lem
C o n s id e r th e p r o b le m of m in im iz in g th e f u n c tio n a l
t,
/ (y(t), u ( t ) ) = — J fi ( t , y, u ) d t + 9 (y0, //,) (I. 34)
on th e s e t E of p a i r s of v e c to r f u n c tio n s y { t ) t u ( t ) , w h ic h d i f f e r s f r o m th e
s e t D o n ly in th a t y( t) and u(t) a r e no t r e la te d by d if f e r e n tia l e q u a tio n s .
T h is p r o b le m w ill be c a lle d a t r i v i a l p r o b l e m . T h e fo llo w in g a lm o s t
o b v io u s o p tim u m c o n d itio n s a p p ly to th is p r o b le m . T h e fu n c tio n a l / is
m in im iz e d on th e s e t E by th e v e c to r f u n c tio n s y ( t) , u(i) w h o se v a lu e s a t
e v e r y i n t e r i o r p o in t of th e s e g m e n t [/o, M m a x im iz e th e in te g r a n d R ( t , y y u)
o v e r th e s e t V(t) and th e v a lu e s a t th e in te g r a tio n l i m i t s /0> t x m in im iz e th e
fu n c tio n (f/o, i/i) o v e r th e s e t Vy (t0) + Vy (t\ ) :
R « )= sup R( t , y, «)/£(/(>. t\)\ (I. 35)

(y. u) £ V( f ) ,
<*> (0o> Hi) = in f ® (0o> 0 i) . (1- 3 6 )

y 0 e V y ( t 0)
</. 6 v y (t,)
In o th e r w o rd s , th e p r o b le m of m in im iz in g th e f u n c tio n a l o v e r th e s e t of
fu n c tio n s y ( t ), u (t) , i. e ., o v e r an in f in ite s e t of n u m b e r s , i s th u s r e d u c e d
to fin d in g th e m a x im u m of a fu n c tio n R (ty y y u) of n-j-r v a r i a b l e s y \ uk f o r
e v e r y g iv e n t (tQ, /j) and th e m in im u m of th e fu n c tio n $>(r/0, y x) of 2n
v a ria b le s .
T h e s e c o n d itio n s , w ith s lig h t r e s e r v a t i o n s , a r e g e n e r a liz e d to th e c a s e
o f a m in im iz in g s e q u e n c e {t/s (/), w s(0 } .
T h is s e q u e n c e s a t i s f i e s th e c o n d itio n s
R [*, 0s, « s ) ^ sup /? (/, y, U\ /£(/<>, î); (I- 37)

( y, u ) e v ( t )
® ( ys (*o). 0s *nf * (00, 0i>. (I- 38)

y0evy {to)
y , e v y ( t l )31
13
In v ie w of th e s im p lic ity o f t h e s e c o n d itio n s , it i s a d v is a b le to r e d u c e
th e g e n e r a l v a r i a t i o n a l p r o b le m w ith d if f e r e n tia l c o n s t r a i n t s to a t r i v i a l
p r o b le m , i. e ., w e h a v e to fin d th e fu n c tio n s /?(/, //, u) an d O ( y 0t y {) s u c h
th a t th e s o lu tio n of th e t r i v i a l p r o b le m is a l s o a s o lu tio n of th e o r ig in a l
p r o b le m . T h is i s th e e s s e n c e o f th e v a r i a t i o n a l m e th o d c o n s id e r e d in th is
book.
L e t u s p r e s e n t, w ith o u t p ro o f, th e b a s ic r e s u l t on w h ic h th e v a r i a t i o n a l
p r in c i p le d e v o lv e s . T h e f u n c tio n s R and O a r e so u g h t in th e fo llo w in g f o r m :
n
R V , y, “ ) = 2 ' f V / ' « . y . , y, «) + ?,; (I. 3 9 )
/=]
®(l/o, f/i) = f ( j/ o . i/i) — <P('o. y o l (1 .4 0 )
w h e r e <py/, a r e th e p a r t i a l d e r i v a t i v e s of s o m e fu n c tio n (p(/, y) w h ic h is

c o n tin u o u s and d i f f e r e n tia b le o v e r Vy (t) .
L et
().(/)= sup R (t, y, u); (1 .4 1 )

y.uevu)
m= inf <t>(z/0, !/(). (1 .4 2 )
yo e VyVo), y,€ VyVi)
T h e o r e m I. 2. C o n s id e r a p a i r of v e c to r f u n c tio n s y ( t) , u(t) f r o m th e
s e t D and a fu n c tio n qp(/, y ) , s u c h th a t
1) # [ * , 7(0, « (/)] = !*(/); (1-43)
2) ® l?(/o). ~y (*i)] = m. (1 .4 4 )
T h is p a i r y ( t ) y u(t) m in i m iz e s th e f u n c tio n a l / . T h e f u n c tio n s R(t, y , u)

and ®(yo, y\) m e n tio n e d a b o v e th u s h a v e th e f o r m (I. 39), (I. 40) and a r e
e x p r e s s e d in t e r m s of th e fu n c tio n cp(/, y) of th e /z + 1 a r g u m e n ts t, y 1' ,
/ =1 , 2, n , w h ic h s a t i s f i e s th e c o n d itio n s of th e th e o r e m .
In a m o r e g e n e r a l c a s e , w h en o u r p r o b le m is to fin d a m in im iz in g
s e q u e n c e . T h e o r e m I. 2 i s f o r m u la te d in a s o m e w h a t d if f e r e n t fo rm .
T h e o r e m 1.3. C o n s id e r a s e q u e n c e {i/s(0> } f r o m D and a
fu n c tio n (p , s u c h th a t
1) R K Us (0, n s (t)] -> fi(0, (I. 45)
2) * l y s Vo), y s (* i) ]^ (1-46)
3) p (/) i s p ie c e w is e - c o n tin u o u s and m is a f in ite n u m b e r;

4) th e s e q u e n c e R[t, y s (t), iis(/)] i s b o u n d ed .
T h e n t h i s s e q u e n c e m in i m iz e s th e fu n c tio n a l / on th e s e t D . C o n d itio n s
1 and 3 m a y be r e p la c e d by a m o r e g e n e r a l, th o u g h l e s s o b v io u s, c o n d itio n
jW y j ( 0 . «s(01 d t - * | v ( t ) dt . (I. 47)

to to
14
T h e m a in d if fic u lty a s s o c ia te d w ith th e a p p lic a tio n of t h i s p r in c i p le is
th e d e f in itio n of th e fu n c tio n <p(/, y) .
T h e d e f in itio n of <p e s s e n t i a l l y d e t e r m i n e s th e m e th o d of s o lv in g th e
p r o b le m . We w ill s e e a t a l a t e r s ta g e th a t o n e of th e p o s s i b le d e f in itio n s
o f (p le a d s , in p a r t i c u l a r , to th e e q u a tio n s of P o n t r y a g in 's m a x im u m
p r in c i p le a s th e n e c e s s a r y c o n d itio n s f o r th e m a x im u m of th e f u n c tio n R ,
w h ile a n o th e r m e th o d le a d s to B e llm a n ’s e q u a tio n s . T h e s e tw o a l t e r n a t i v e s ,
h o w e v e r, do n o t e x h a u s t a l l th e d if f e r e n t p o s s i b i l i t i e s .
T h e a r b i t r a r i n e s s in h e r e n t in th e d e f in itio n of cp m a y b e p ut to w o rk so
a s to d e v is e th e b e s t p r o c e d u r e f o r e a c h p a r t i c u l a r p r o b le m .
L e t u s c o n s id e r tw o s im p le e x a m p le s w h ic h i l l u s t r a t e th is p o in t.
E x a m p l e 1 . 5 . M in im iz e th e f u n c tio n a l
1
(i/2 — u)dt
s u b je c t to th e c o n s t r a i n t s
y = u\ M < 1 ; i/(0) = 1/ ( 1) = 0 .
H e r e y and u a r e s c a l a r fu n c tio n s .
T h e fu n c tio n R ( t , y y u) h a s th e f o r m
R = cpy«—y2+ u + <pf (I •48)
(T h e fu n c tio n (I) is a p r i o r i m in im iz e d by T h e o r e m s I. 2 — I. 3, s in c e i/o, y\

a r e fix e d n u m b e r s . ) T h e fu n c tio n <p i s d e fin e d so a s to m a k e R in d e p e n d e n t
o f u . T o t h i s en d , it s u f f ic e s to ta k e
(py —— 1, (I- 49)

w hence
<p=— y + C ( t ) y
w h e r e C(t) i s an y d if f e r e n tia b le fu n c tio n .

T h u s,
R = * - y 2+ Cu (I. 5 0 )
an d t h i s fu n c tio n h a s a m a x im u m f o r y = 0 (w ith an y u )•
S e ttin g y ( f ) —0 in th e e q u a tio n y —u , w e fin d u(t) = 0 . S in ce y( t)
s a t i s f i e s th e b o u n d a ry c o n d itio n s , th e p a i r y ( 0 ~ 0 , u ( t ) = 0 is th e s o u g h t
s o lu tio n m in im iz in g th e f u n c tio n a l. N o te th a t w e h a v e o b ta in e d th e
m in im iz in g s o lu tio n w ith o u t s o lv in g an y b o u n d a r y - v a lu e p r o b le m s .
F o r c o m p a r is o n , l e t u s c o n s id e r a n o th e r d e f in itio n of <p, w h ic h le a d s
to B e llm a n ’s e q u a tio n . A c c o rd in g to t h i s a p p r o a c h , w e fin d th e m a x im u m
o f th e fu n c tio n R w ith r e s p e c t to u f o r a n y t and y and s e t it id e n tic a ll y
e q u a l to z e r o :
su p /? (/, y , «)=|<Pif + l| — #2 + <P<= 0.

\u\<\15
15
T h is is a f a i r l y c o m p lic a te d n o n lin e a r p a r t i a l d if f e r e n tia l e q u a tio n (w ith
a n o n d if f e r e n tia b le le f t- h a n d s id e ). T h e f i r s t te c h n iq u e is th u s m u c h
s im p le r.
E x a m p l e I. 5. U n d e r th e s a m e c o n s t r a i n t s , m in im iz e th e f u n c tio n a l
/ = j ''W-u*)dt.
o
T h e fu n c tio n R h a s th e f o r m
R = q>yu—y 2+ u2+ tpf. (!•51)
We ta k e <p„ = 0; <p/ = 0 . T h e fu n c tio n R , f o r an y t and y , th u s h a s tw o

m a x im a , u = + ] . I ts m a x im u m w ith r e s p e c t to y , a s b e f o r e , c o r r e s p o n d s
to y = 0 . We th u s h a v e
17(0= 0; m,(/) = + 1; u2( t ) = — \.
It is r e a d ily s e e n th a t n e i t h e r of th e tw o s o lu tio n s m a x im iz in g th e fu n c tio n

R s a t i s f i e s th e d i f f e r e n t i a l e q u a tio n y = u . H o w ev er, th e e x i s te n c e o f t h r e e
p o in ts a t w h ic h R h a s m a x im a e n a b le s u s to c o n s tr u c t a s e q u e n c e of
s o lu tio n s of th e e q u a tio n y = u s u c h th a t R g o e s to a m a x im u m f o r e v e r y t ,
R ( t . ys(t), us ( 0 ) - p ( 0 = I-
T h is s e q u e n c e is c o n s tr u c te d a s sh o w n in F ig u r e I. 2.
A s th e t h r u s t s w itc h in g f re q u e n c y in d e fin te ly
in c re a s e s _ (S — oo), w e h a v e y $ ( t ) —*0. F o r a n y S
w e h a v e u 2s (t) = 1.
T h is s e q u e n c e p r o v id e s c o n d itio n a l s lid in g
s o lu tio n w ith z e r o c l o s e n e s s fu n c tio n y( t) = 0
an d b a s i s c o n tr o ls «i,2= ± l .
T h e a b o v e e x a m p le s h a v e t h e i r ow n c h a r a c
t e r i s t i c f e a t u r e s , a s th e p r e v io u s l y c o n s id e r e d
p r o b le m s . In e a c h c a s e , th e d e f in itio n of cp
to o k in to c o n s id e r a tio n th e p a r t i c u l a r f e a t u r e s
of th e p r o b le m , and th u s le d to an e f f e c tiv e
s o lu tio n of th e p r o b le m by a m e th o d e n t i r e l y
d if f e r e n t f r o m th e t r a d i t i o n a l te c h n iq u e s .
FIGURE 1.2
Bibliography for Introduction
1. B e l l m a n , R . D y n am ic P r o g r a m m in g . — P r in c e t o n U n iv . P r e s s . 1957.
2. B o l t y a n s k i i , V. G. M a te m a tic h e s k ie m e to d y o p tim a l* n o g o u p r a v le n iy a
( M a th e m a tic a l M e th o d s of O p tim a l C o n tro l). — N a u k a . 1966.
3. D u b o v i t s k i i , A . Y a. and A. A . M i 1 y u t i n . Z a d a c h i n a e k s tr e m u m p r i
n a lic h ii o g r a n ic h e n ii ( E x tr e m u m P r o b le m s w ith C o n s tr a in t) . —
Z h u r n a l V y c h is lite l’n o i M a te m a tik i i M a te m a tic h e s k o i F iz ik i,
5, N o . 3. 1965.
16
4. O s t o s l a v s k i i , I. V. and I. V . S t r a z h e v a . D in a m ik a p o le ta .
T r a e k t o r i i l e t a t e l ’nykh a p p a r a to v ( F lig h t D y n a m ic s . A i r c r a f t
T r a j e c t o r i e s ) . — O b o ro n g iz . 1965.
5. O k h o t s i m s k i i , D. E . K t e o r i i d v iz h e n iy a r o k e t (T h e T h e o r y of
R o c k e t M o tio n ). — P r ik l a d n a y a M a te m a tik a i M e k h a n ik a , 10, N o. 2.
1946.
6. P o n t r y a g i n , L .S . e t a l. M a te m a tic h e s k a y a t e o r i y a o p tim a l1nykh
p r o t s e s s o v ( M a th e m a tic a l T h e o r y of O p tim a l P r o c e s s e s ) . —
F iz m a tg iz . 1961.
7. T r o i t s k i i , V. A. O v a r ia ts io n n y k h z a d a c h a k h o p tim iz a ts ii p r o t s e s s o v
u p r a v le n iy a ( V a ria tio n O p tim iz a tio n P r o b le m s fo r C o n tro l
P r o c e s s e s ) . — P r ik l a d n a y a M a te m a tik a i M e k h a n ik a , 26, N o. 1.
1962.
8. M i e l e , A . G e n e r a l V a r ia tio n a l T h e o r y o f th e F lig h t P a th s o f R o c k e t
P o w e r e d A i r c r a f t , M is s ile s and S a te llite C a r r i e r s . — A s tr o n a u ti c a
A c ta . 1958.
9. V a l e n t i n e , F .A . T h e P r o b le m of L a g r a n g e w ith D if f e r e n tia l
I n e q u a litie s a s A dded S id e C o n d itio n s . — A d i s s e r t a t i o n . T h e
U n iv e r s ity of C h ic a g o . 1937.
17
Chapter I
ELEMENTS OF THE THEORY
§ 1 .1 . STA TEM EN T OF TH E PRO BLEM
O u r p r o b le m i s to m in im iz e th e fu n c tio n a l
/
! = j f°(t> y . u)dt-\-F(y0, i/,) ( 1. 1)
on a s e t D of th e p a i r s o f v e c t o r f u n c tio n s y( t ) , u(t) s a tis f y in g th e fo llo w in g

c o n d itio n s :
a) T he v e c t o r fu n c tio n y(t) = [y](t), . . . , y n(t)] i s d e fin e d o v e r th e s e g m e n t
Po, i 1]; i t s c o m p o n e n ts y l (/) ( /= 1, 2, n) a r e c o n tin u o u s o v e r [tQ, t\] an d h a v e
a p ie c e w is e - c o n tin u o u s d e r iv a tiv e ; f o r an y fix e d t (^[tQ, t\], th e v e c to r y(t)
b e lo n g s to a g iv e n r e g io n Vv (t) in an n - d im e n s io n a l v e c to r s p a c e .
b) T h e v e c to r fu n c tio n u(t) —[u1 ( t ) , . . . , ur (/)] i s d e fin e d o v e r [to, t{\; i t s
c o m p o n e n ts u J ( /) ( / = 1, 2, . . . . r) a r e c o n tin u o u s e v e r y w h e r e in (to, t]),
e x c e p t f o r a f in ite n u m b e r of p o in ts , w h e r e th e y m a y h a v e d is c o n tin u i tie s
o f th e f i r s t k in d ; f o r an y (/o, t\), y ^ Vy (t), th e v e c to r u(t) b e lo n g s to a
g iv e n s e t Vu (t, y).
T h e fu n c tio n F (y Q, y ] ) i s c o n tin u o u s f o r a ll y 0, y i, w h e r e
yo=y(t*),y\=y(t\)- ( 1. 2)
T h e c o n d itio n s im p o s e d on y( t) and u(t) d e fin e a s e t V(t) o f a d m is s ib l e
v a lu e s of c o m b in a tio n s of n + r n u m b e r s (y 1, u f ) f o r e v e r y t £ (/0, t\)> a r e g io n
Vv o f th e a d m is s ib l e v a lu e s of (/, y) in th e ( n + 1)-d im e n s io n a l ( t, y ) s p a c e , and
a s e t V o f a d m is s ib l e c o m b in a tio n s o f ri + r + 1 n u m b e r s ( y l, u t )
( t — l t 2 , , n, j = 1, 2 , . . . , r) . In a d d itio n to th e a b o v e c o n d itio n s , th e p a i r of
v e c to r fu n c tio n s y ( t) , u(t) sh o u ld a ls o s a tis f y th e s y s t e m o f n d if f e r e n t i a l
e q u a tio n s
y = i { t , y, u). ( 1 .3 )
w h ere (/i, j2, , / n).
T h e fu n c tio n s fi (t, y, u), 1, . . . , n, a r e d e fin e d an d c o n tin u o u s f o r a ll
t,y,u.
T h e v e c to r y — (ylt y 2, . . . , y n) i s g e n e r a lly kn o w n a s th e p h a s e v e c t o r o r
th e s ta te v e c to r , and i t s c o m p o n e n ts a r e th e p h a s e c o o r d in a te s . T h e
v e c to r u = (u1, u2, . . . , ur) i s know n a s th e c o n tr o l v e c to r , an d i t s c o m p o n e n ts
a r e th e c o n tr o l fu n c tio n s o r c o n t r o l s . F o r m a lly th e p h a s e c o o r d in a te s
a r e d is tin g u is h e d f r o m th e c o n tr o l fu n c tio n s in th a t th e d i f f e r e n t i a l e q u a tio n s
18
( 1 .3 ) c o n ta in d e r i v a t i v e s of th e p h a s e c o o r d in a te s and d o n o t c o n ta in
d e r i v a t i v e s o f th e c o n t r o l fu n c tio n s . T h e s e t s Vy(to) an d Vy(t\) of th e
a d m is s ib l e v a lu e s o f y0, \)\ c o n s titu te th e b o u n d a ry c o n d itio n s .
T h e a r g u m e n t t m a y be id e n tif ie d w ith tim e , an y a s c e n d in g fu n c tio n ,
a p h a s e c o o r d in a te , o r s o m e o th e r p a r a m e t e r .
T h e p r o b le m i s f o r m u la te d a s f o llo w s : in th e s e t D o f th e p a i r s of
f u n c tio n s y(t)> u(t) fin d a p a i r y ( t ), u (f), w h ich m in im iz e s ( m a x im iz e s )
th e fu n c tio n a l / .
If th e s e t D d o e s n o t c o n ta in s u c h a p a i r of fu n c tio n s , th e p r o b le m i s
f o r m u la te d in a s lig h tly d if f e r e n t f o r m : fin d a s e q u e n c e { y s ( t ) t &s(t) } C D
s u c h th a t f o r S —-oo th e f u n c tio n a l ( 1 .1 ) g o e s o v e r th is s e q u e n c e to i t s
lo w e r - b o u n d v a lu e on th e s e t D,
T h e s o u g h t p a i r of fu n c tio n s y ( t) , u{t) w ill b e r e f e r r e d to a s th e o p tim u m
s o lu tio n o r th e a b s o lu te m in im iz in g s o lu tio n , an d th e s o u g h t s e q u e n c e o f
ys(t), us (t) w ill b e c a lle d a m in im iz in g ( o p tim iz in g ) s e q u e n c e .
We w ill m a in ly be c o n c e r n e d w ith m in im iz in g a g iv e n f u n c tio n a l. T h e
p r o b le m o f m a x im iz in g th e fu n c tio n a l c a n a lw a y s b e r e d u c e d to th e
m in im iz a tio n p r o b le m by a s im p le r e v e r s a l of th e fu n c tio n a l s ig n .
§ 1.2. T H E S U F F IC IE N T CO N D ITIO N S O F AN
A B S O L U T E M INIM UM
In t h i s s e c tio n we w ill p ro v e a th e o r e m w h ic h c o n s titu t e s th e b a s i s f o r

a ll th e m e th o d s of s o lv in g th e o p tim iz a tio n p r o b le m s d e s c r ib e d in th is b ook.
F i r s t , h o w e v e r, w e h a v e to p ro v e one le m m a .
L e t th e f u n c tio n a l I (t/) be d e fin e d o v e r s o m e s e t M , v £ M. L e t
inf I (v) = m .
v£M (1. 4)
F in d th e a b s o lu te m in im u m of / on M, i. e ., fin d a s e q u e n c e {vs}
s u c h th a t
lim I ( v s) = tn.
S-*- oo (1. 5)
We c a ll t h i s s e q u e n c e a m in im iz in g s e q u e n c e and it i s s a id to m in im iz e
th e fu n c tio n a l I o v e r th e s e t M. If t h e r e e x i s t s an e le m e n t v £ M s u c h th a t
I( v)=m, ( 1 .6 )
we m a y ta k e V s ^ v ( 5 = 1 , 2 . . . ) . In th is c a s e th e p r o b le m r e d u c e s to fin d in g
th e e le m e n t v E M f o r w h ic h th e f u n c tio n a l / a t ta i n s i t s a b s o lu te m in im u m
o v e r th e s e t M .
C o n s id e r a s e t N M o v e r w h ic h a fu n c tio n a l L i s d e fin e d , s o th a t
L ( v ) = I ( v ) f o r v 6 M.
Lemma. C o n s id e r a s e q u e n c e {vs } C M s a tis f y in g th e c o n d itio n
]im Z.(iis) = / , (1 .7 )
w h ere s~*°°
l= \T \iL (v ) v £ N .
T h is s e q u e n c e m in i m iz e s th e f u n c tio n a l / o v e r M :
I (v s ) m.
19
Proof. L e t (1 .7 ) h o ld t r u e . By d e fin itio n , L($s) =I ( vs )- We w ill now
sh o w th a t l = m . If th is i s n o t so , th e n f r o m M Q N w e h a v e m > l s o th a t
m —/ > e > 0 . S in ce { r s } C M , w e h a v e / ( v s)—/ > e f o r an y 5 . T h is , h o w e v e r,
c o n t r a d ic t s (1. 7). H en c e l = m , and (1 .5 ) fo llo w s f r o m (1 .7 ). Q. E . D.
T h is le m m a e n a b le s u s to r e p la c e th e p r o b le m o f m in im iz in g a fu n c tio n a l
o v e r a s e t M by a n a n a lo g o u s p r o b le m o v e r a l a r g e r s e t N . T h e ' ‘a u g m e n te d ’1
p r o b le m m a y p r o v e to b e s i m p l e r if th e s t r u c t u r e o f th e s e t N i s r e l a t i v e l y
s im p le .
C o n s id e r a fu n c tio n tp(£, y) w h ich is c o n tin u o u s f o r a ll t, y and h a s
c o n tin u o u s p a r t i a l d e r i v a t i v e s cp;, <py= (cpy1, . . -, <pyn) f o r a ll t, y, e x c e p t a f in ite
n u m b e r o f s e t s / = c o n s t in th e (/, y) s p a c e . Now c o n s tr u c t th e fu n c tio n s
y\)=F(y<» '/ i ) + <p(*i. yo\ t 1-8 )

R ( t , y, u)=<fy/(t, y, u ) — f>(t, y, « ) + ? ,; (1 .9 )
(i(<)=sup/?(^, y, u). (1 .1 0 )
v</>
H e r e (py is an / i - d im e n s io n a l v e c to r fu n c tio n , an d th e f i r s t t e r m on
th e r ig h t in (1 .9 ) i s a s c a l a r p r o d u c t of n - d im e n s io n a l v e c t o r s :
<f’v / = 2 V / ' -
/-I
T h e v e c t o r s y and u on th e r ig h t in (1.10) a r e a s s u m e d to be in d e p e n d e n t.
T h e o r e m 1.1. C o n s id e r a s e q u e n c e {ys(t), Us(t) } C D. F o r th is
s e q u e n c e to m in im iz e th e fu n c tio n a l / o v e r th e s e t D, it is s u f f ic ie n t th a t
t h e r e e x i s t s a fu n c tio n q>(t, y) s u c h th a t
1) R [ t %*s (0, 16 (/0, *,)*; (1 .1 1 )
2 ) ®Vyos~yis) - * inf ®Ga>. y \ ) > — ( 1 . 12)

y0€Vry(/o)^.€'V 'I):
3) ji(/) i s p ie c e w is e - c o n tin u o u s o v e r [t0, t\];
4) t h e r e e x i s t s a f in ite n u m b e r Q s u c h th a t f o r an y S < oo and an y t o (/0, M
/?(/. ys ( t ) , us ( t ) ) > Q •
Remark. If th e a b s o lu te m in im iz in g s o lu tio n (y ( 0 , w(/)) G D e x i s ts .
T h e o r e m (1 .1 ) ta k e s th e fo llo w in g fo rm . C o n s id e r th e p a i r (y(t), u(t)) C D.
A s u f f ic ie n t c o n d itio n f o r th e f u n c tio n a l (1 .1 ) to a tta in an a b s o lu te m in im u m
on th is p a i r i s th e e x is te n c e of a fu n c tio n y(t, y), s u c h th a t
1) /? (/, y(t), « (/)) = !*(<) (Ml*)
a lm o s t e v e r y w h e r e in (/0, t\);
2 ) ® (y0. yi)— , inf ,, * (tfo. yJ- ( 1. 1 2 *)
vo&gVo),
C o n d itio n s 3 and 4 in th is c a s e a r e s a tis f ie d a u to m a tic a lly .
Proof. H e re th e s e t M of th e p r e v io u s le m m a i s id e n tif ie d w ith th e
s e t D of th e p a i r s of v e c to r f u n c tio n s y(t) , u(t). T h e s e t jV is d e fin e d a s th e
s e t E of th e p a i r s of v e c t o r f u n c tio n s y ( t) , u(t) w h ic h d i f f e r s f r o m D in th e
fo llo w in g tw o r e s p e c t s : f i r s t , th e fu n c tio n s y l (t ), (/= 1 , 2, . . . yn) m a y h a v e
d is c o n tin u i tie s of th e f i r s t k in d a t a f in ite n u m b e r o f p o in ts o f th e s e g m e n t
[/0, t\] and, se c o n d , th e v e c to r fu n c tio n s y ( t) , u( t)a.re n o t r e l a t e d by
d if f e r e n tia l e q u a tio n s (1 .3 ). We d e fin e th e fo llo w in g fu n c tio n a l on E :
* Convergence in the measure is implied here: the measure of the set of points / 6 (/0( /,), where p ( / ) —/?s> e ,
goes to zero for any given e.
20
L(y{t), u(t))=<S> (y0, / / , ) - | R ( t , //(O, « (0 )* O (1 .1 3 )
On D w e h a v e L = /. In d ee d , u s in g (1 .3 ) an d (1 .9 ), w e g e t
« = ? - / “, (</«), « ( 0 ) e A ( i.i4 )
w h e r e (p i s th e to t a l d e r iv a tiv e of th e f u n c tio n <p in v i r t u e o f (1 .3 ).
I n s e r tin g (1 .1 4 ) in (1 .1 3 ) an d r e m e m b e r in g th a t y(t) a r e c o n tin u o u s
fu n c tio n s f o r u(t))(?D, w e o b ta in L = I.
S u p p o se th a t t h e r e e x i s t s a fu n c tio n cp(£, y) and a s e q u e n c e {ys(0» “ s ( 0 } € D
s a tis f y in g c o n d itio n s 1 th r o u g h 4 o f th e th e o r e m . We w ill sh o w th a t in th is
c a s e iys(t ) ,us(t) } i s a m in im iz in g s e q u e n c e o f th e fu n c tio n a l L o v e r th e s e t E ,
i. e ..
I'm L ( y s (t), us ( t)) — l = 0,

S -*oo
w h ere
/ = inf £ (i/(0, « (0 ). (1 .1 5 )
E
S in ce th e f u n c tio n s y(t) w h ic h b e lo n g to th e s e t E m a y h a v e d is c o n tin u i tie s ,

th e f i r s t and th e s e c o n d t e r m s in e x p r e s s io n (1 .1 3 ) f o r L a r e in d e p e n d e n t.
T h erefo re
1= inf ®(i/o, y i ) ~ sup (/?(*, i/(0, u{t))dt. (1-16)

(i/oV,)e V y ( * o ) ± E j0
We h a v e
I'm L («/,(0> « s ( 0 ) - /= lim « I > ( i/os, y is) -

5-00 5-00
— i nf® (I/U, i/,)+ s u p f R ( t , 1/(0, u ( t ) ) d t —

(f..S',)6K ;/(l0)+V i/(I1) B /;
— <lm f /? (7 s (0 , u s (t))dt. (1 .1 7 )
5 -0 0
U sin g (1 .1 1 ), (1 .1 2 ), and L e b e s g u e 's th e o r e m on th e li m i t o f an i n te g r a l,

w e w r ite
— — *
lim L (ys (0, « s ( 0 ) —/ = s u p f R (/, y ( t \ u(t))dt —
E *o
j
t __ _
— lim ys (0, us (t))dt=
/, '* i,
= s u p j R (/, i/(0, « ( 0 ) ^ ~ £ (I'm R ( y s (0. (0) dt=>
21
t, t,
= sup (1 .1 8 )
E
S u p p o se th a t o u r p r o p o s itio n i s n o t t r u e , i. e ., th e g iv e n s e q u e n c e d o e s
n o t m in im iz e th e fu n c tio n L o v e r £ . T h e n t h e r e e x i s t s a n u m b e r e > 0 s u c h
th a t
lim L ( y s (t), u s ( / ) ) - / > £ ,

S'-*- oo
and by (1.1 8 )
*i t,
sup j R(t , y (/), u { t ) ) d t - U ( 0 (1 .1 9 )
*0 *0
A c c o rd in g to th e d e f in itio n o f th e e x a c t u p p e r bound, t h e r e e x i s t s a
s e q u e n c e {yk ( t ) y uk (t) } C £ s u c h th a t f o r a s u f f ic ie n tly l a r g e k
t,
s u p j R ( t , y(t), u ( t ) ) d t - y„(t), u „ ( t ) ) d t < - j . (1 .2 0 )
to to
S u b tra c tin g in e q u a lity (1 .2 0 ) f r o m (1 .1 9 ), we fin d
J / ? K y*(9. u „ ( t ) ) d t - ^ { t ) d t > - i- ,
or
r,
f [/? (* , y * ( 0 . « * ( 0 ) - su p /? (< . y , « ) ] < # > H r > ° - ( 1. 21)

J (».«)6V(0 2
*0
T he in te g r a n d is n o n - p o s itiv e a lm o s t e v e r y w h e r e in (i0> t\), s o th a t th e

i n t e g r a l i s a l s o n o n - p o s itiv e , and in e q u a lity (1 .1 9 ) b r e a k s dow n.
T h e s e q u e n c e {ys(t), us (t) } th u s in d e e d m in i m iz e s th e f u n c tio n a l L o v e r £ .
In v i r t u e of o u r le m m a , t h i s s e q u e n c e a ls o m in im iz e s th e fu n c tio n a l I
o v e r D. Q. E . D.
§ 1 .3 . P R O B L E M S W ITH A F R E E BO UNDARY
So f a r w e t r e a t e d [to, î] a s a s e g m e n t w ith fix e d en d p o in ts . In s o m e

p r o b le m s , h o w e v e r, t\ i s n o t fix e d and m a y b e c h o s e n f r o m c o n s id e r a t io n s
o f o p tim a lity .
We a g a in c o n s id e r th e m in im u m of th e fu n c tio n a l
/ = j /°(<. y . u ) d t + F(y„, y t, I?,). ( 1 . 22 )
00
H e re t\ i s an e le m e n t of th e s e t r o f p o in ts o f th e t a x is c o n ta in e d in th e
s e g m e n t [f0, T), T < o o . T h e v e c to r fu n c tio n s y ( t ) t u ( t ) s a tis f y a l l th e
c o n d itio n s l i s t e d in § 1 . 1 .
T h e s e t s Vv (t) and Vu (t) a r e a s s u m e d to be d e fin e d o v e r th e s e g m e n t [tQ, T'].
T h e fu n c tio n F ( t \ y r/o, y i ) i s d e fin e d and c o n tin u o u s f o r t\ 6 t, //o 6 Vv(to)*
y\ 6 Vv ( ti). E a c h e le m e n t o f th e s e t D i s now a c o m b in a tio n o f a n u m b e r
11 6 t and th e v e c to r f u n c tio n s y(t) and u(t) d e fin e d o v e r th e s e g m e n t [/o, 0].
T h e a n a lo g o f T h e o r e m 1. 1 in th is c a s e i s f o r m u la te d a s fo llo w s.
T h e o r e m 1 . 2 . C o n s id e r a s e q u e n c e {i,s, ys {t ), ws ( 0 } C F o r th is
s e q u e n c e to m in im iz e th e f u n c tio n a l I o v e r D , it i s s u f fic ie n t th a t t h e r e
e x i s t s a fu n c tio n cp(£, y) ( s e e § 1 . 2 ) s u c h th a t
1) R(t , ys (t), «5(0 )-^ l* (0 (1-23)
o n ( t0, JIS);
2) ‘f* (fis. Has- i/is'- *' W ®(*i, y0<Vi)> — °°: (1 .2 4 )
3) f i ( / ) s O on (to, T);
4) t h e r e e x i s t s a f in ite n u m b e r Q s u c h th a t f o r an y S < o o and an y
tQ(lo, tia):
R ( t , ys(t), us ( t ) ) > Q ,
w h e r e R ( t , y , u) and p,(0 a r e d e fin e d by (1 .9 ), (1 .1 0 ).

Proof. We d e fin e a s e t E of th e t r i a d s (fi, y ( t ) y u( t)) w h ich d if f e r s
f r o m D in tw o r e s p e c t s : f i r s t , th e fu n c tio n s y l (t) ( /= 1, 2, . . . , n) m a y h a v e
d is c o n tin u i tie s of th e f i r s t kin d a t a fin ite n u m b e r of p o in ts of th e s e g m e n t
[t0, T] and, s e c o n d , th e v e c to r fu n c tio n s y ( t ) , u ( t ) a r e no lo n g e r r e la te d by
d if f e r e n t i a l e q u a tio n s (1 .3 ). On E we d e f in e th e fu n c tio n a l
^ ( 'i. y(f), u(t)) = ® (f„ yo, (/,) — J R(t, y, u)dt. (1 .2 5 )
C l e a r ly L = / f o r ( t u y ( t ) y u( t) ) 6 D. We w ill now sh o w th a t c o n d itio n s 1

th r o u g h 4 of th e th e o r e m a r e s u f f ic ie n t f o r th e s e q u e n c e {T|S, ys(t)» i7s(0 } to
m in im iz e th e f u n c tio n a l L o v e r E . In a l l o th e r r e s p e c t s , th e p r o o f c o in c id e s
w ith th a t to T h e o r e m 1. 1 .
L et
k { t x) = inf L ( t u y ( t \ u (OX (1 .2 6 )
(0(o.«<o)e£(M
w h e r e E(t \) is th e s e c tio n o f th e s e t E f o r a fix e d t\, i. e ., th e s e t o f e l e m e n ts
[/i, 1/(0* u ( t ) ] £ E f o r a fix ed t u
W i)= Inf ®(*1, yo, y&, (1 .2 7 )
(yo.ifde v y(t0)+vy(tt)
m= (1 .2 8 )
U sin g (1 .2 6 ), (1 .2 7 ), (1 .2 8 ) and c o n d itio n 3 o f th e th e o r e m , w e m a y

w r i te
l = M L ( t u y ( t ), «(/)) = inf A(/,) = in f ^ ^ ) = m. (1-29)
E / i6t t x6 t
On th e o th e r h an d , th e li m i t o f th e f u n c tio n a l L o v e r an y s e q u e n c e
{îs, l/s(0* us ( t ) } £ £ s a tis f y in g th e c o n d itio n s o f th e th e o r e m is a ls o e q u a l
to m:
23
l i m i t s , ys ( t \ u s ( 0 ) = l i m l $ ( / ls, y os, y is) -
Sôo 5-~
- $ * * ( * , ysV), « s W ) ^ j = i i n i 4* (hs, yos. y i s ) ~

to ^ I S-*-oo
~ J i» I ys^' Us®' Ms (0) dt. (1. 30)

*0
S in c e t h e s e t t i s bou n d ed , we s e e , u s i n g th e p r o p e r t i e s of t h e s e q u e n c e
R(t, ys(t)> us (t)), t h a t t h e s e c o n d t e r m v a n i s h e s . T h e r e f o r e , u s i n g th e l a s t
e q u a l i t y t o g e t h e r w ith (1.24), (1.27), (1.28), we find
lim L (t1Sl ys (t), u s { t ) ) = m — l,

S-oo
i. e ., t h e s e q u e n c e {t\s, y s ( t ), us(t) } in d e e d m i n i m i z e s t h e f u n c t i o n a l L on E .
T h e r e s t of th e p r o o f i s c o n d u c te d a s f o r T h e o r e m 1 . 1 .
5921 24
Chapter II
SOME METHODS OF SOLUTION OF VARIATIONAL

PROBLEMS USING THE SUFFICIENT CONDITIONS
OF THE ABSOLUTE MINIMUM
In t h i s c h a p t e r we c o n s i d e r s o m e m e t h o d s of s o lu t io n of v a r i a t i o n a l
p r o b l e m s b a s e d on T h e o r e m s 1.1 and 1.2; t h e s e a r e m e t h o d s w h ich sh o w
how to c h o o s e t h e f u n c tio n cp(/, y) so a s to r e d u c e t h e t r e a t m e n t to s t a n d a r d
c l a s s i c a l m e t h o d s — L a g r a n g e ' s m e th o d and th e H a m i l t o n - J a c o b i m e th o d —
m o d if y in g t h e m to s u c h an e x t e n t t h a t a c o m p l e t e s o lu t io n of th e p r o b l e m
i s o b ta in e d , i. e., th e a b s o l u t e m i n i m i z i n g s o l u t i o n i s found.
All th e r e s u l t s a r e d e r i v e d fo r th e c a s e w hen t h e m i n i m i z i n g s o lu t io n
(//(/), U(t)) i- D e x i s t s . A m o r e g e n e r a l c a s e is t r e a t e d in th e n ex t c h a p t e r .
§2 .1 . TH E LA GR A NG E-PO N TR Y AG IN METHOD
T h i s m e th o d e n j o y s th e w id e s t a p p l i c a b i l i t y , a lth o u g h it is not a l w a y s
t h e s i m p l e s t . T he u n d e r l y i n g i d e a i s to find th e p a r t i a l d e r i v a t i v e s of
cp(/, y) at th e p o in ts of th e m i n i m i z i n g s o lu t io n
ti(0 [A y(01. ' = I. 2.........n, (2.1)
and a l s o th e m i n i m i z i n g s o l u t i o n (//(/), u ( 0 ) i ts e lf , w hile th e p r o o f of th e
e x i s t e n c e of th e f u n c tio n tp(/, //) s a t i s f y i n g th e c o n d i tio n s of T h e o r e m 1. 1 is
p o s tp o n e d to a l a t e r s t a g e .
F o r s i m p l i c i t y , le t t\ be fixed, le t Vy(t) be an o p e n r e g i o n fo r a l l t 6 (to, i\)>
w h ic h f o r t —t0 and t —t x r e d u c e s to th e p o in ts
y ( fo> = M
‘ y (i= (2-2)
th e s e t Vu is in d e p e n d e n t of y . In w hat f o llo w s, th e f u n c ti o n a l / i s c o n v e n
i e n t l y r e p l a c e d by a f u n c ti o n a l tyol, w h e r e \\)0 i s a p o s i t i v e c o n s ta n t . T h i s
s u b s t i t u t i o n e v i d e n t l y d o e s not a f f e c t th e e s s e n t i a l f e a t u r e s of th e p r o b l e m .
We m o r e o v e r a s s u m e t h a t th e f u n c ti o n s / ' (/, y , //), 1= 1, 2,. . . , n, a r e
c o n t in u o u s and d i f f e r e n t i a b l e f o r a l l t , y , u . If we f u r t h e r d e m a n d t h a t
cp(/, y) be t w ic e c o n t i n u o u s l y d i f f e r e n t i a b l e at th e p o in ts c o r r e s p o n d i n g to
th e p r e s u m a b l y m i n i m i z i n g s o lu t io n y ( t \ we c a n w r i t e th e n e c e s s a r y
c o n d i t i o n s of a m a x i m u m of R in th e f o r m
25
«) = 'Pin S f i t , y, u) + <fyfvk U, y , « ) —
- f o / M * . 7. «) + <P/*»=0;
£ = 1, 2 , . . . , // (2 .3 )
f’.v/lA y, «) —f o / ° ( ^ « )=
= sup[fy/ ( / , ‘(/, «)].
U sin g (2.1) and th e e q u a l i t y /(/, i/, u ) —y , (y(/). u ( / ) ) £ / ) , we o b ta in
/?»* K 7/ (0, « (01 = ~ + / / , * = 0; (2.4)

at
H \ U t(0» Ml = sup /y [/, y { t \ «],(2 .5 )
w h e r e >)<(/)= I _ i s th e g r a d i e n t of th e f u n c ti o n cp(/, y) at a po in t
/ / = / / ( 0 i n t h e space Y >
H(t , y, w) = ^ ( / ) / ( / , y, «) —fc/°(/, y, «)• (2*6)
C o n d itio n s (2.4) and (2.5), t o g e t h e r w ith (1.3), c o n s t i t u t e 2n + /* e q u a t i o n s
in 2n + r u n k now n f u n c ti o n s
*/'(/), 11*(0 . *= U 2........ n; s = 1, 2, . . ., r.
T o g e t h e r w ith b o u n d a r y c o n d i tio n s (2.2), t h e s e e q u a t i o n s d e f in e an
e x t r e m a l , i. e., a p a i r (y( t) , u ( / ) ) £ D w h ic h s a t i s f i e s t h e n e c e s s a r y
c o n d i tio n s (2.3) f o r th e s u p r e m u m of /?(/, y, u), and a v e c t o r f u n c ti o n ^ ( t ) o r ,
by (2.6), th e g r a d i e n t of th e fu n c tio n cp(/, y) at th e p o in ts of th e e x t r e m a l .
C o n d i tio n s (1.3) and (2.4) c o n s t i t u t e a s y s t e m of o r d i n a r y d i f f e r e n t i a l
e q u a t i o n s f o r th e f u n c t i o n s .(/'(/). /= 1 . 2 , . . . , /z, c l o s e d by th e f in ite
r e l a t i o n (2.5), a c c o r d i n g to w hich f o r u — u(t) th e f u n c tio n //[/, y ( t ) , \|>(/), w)
r e a c h e s i t s l a r g e s t v a l u e c o m p a r e d to i t s v a l u e s f o r a l l th e a d m i s s i b l e
c o n t r o l f u n c ti o n s f o r e v e r y fix ed / £ (tQ, t\). E q u a t i o n s (1.3), (2,4) m a y be
w r i t t e n in th e f o r m
dH_ m
y (2.7)
dH (2. 8)
r= dy
T h e s e e q u a t i o n s c o n s t i t u t e a s o - c a l l e d H a m i l t o n i a n s y s t e m and
th e f u n c tio n //(/, y , u) i s know n a s th e H a m i l t o n f u n c t i o n o r t he
Hamiltonian.
T he v a r i a b l e s y l and i|>,- and th e r e s p e c t i v e s y s t e m s (2.7) and (2.8) a r e
s a id to be c o n j u g a t e .
E q u a t i o n s (2.4), (2.5) p r o v e to be not only th e n e c e s s a r y c o n d i t i o n s f o r
a m a x i m u m of th e f u n c tio n /?, but a l s o th e n e c e s s a r y c o n d i t i o n s f o r a
m i n i m u m of th e f u n c ti o n a l, p r o v id e d th e s t r i c t i n e q u a l i t y \|)o>0 i s r e p l a c e d
by th e w e a k e r c o n d i tio n i|)o^0 . T h i s i s s o b e c a u s e , a f t e r t h e i n e q u a l i t y
a d j u s t m e n t , t h e s e e q u a t i o n s c o i n c i d e w ith th e n e c e s s a r y c o n d i t i o n s f o r th e
m i n i m u m of th e f u n c ti o n a l c o r r e s p o n d i n g to P o n t r y a g i n ’s m a x i m u m
principle.
26
At a l l p o in ts of t h e s p a c e T x Y w h ic h a r e not p o i n t s of th e e x t r e m a l , t h e
f u n c ti o n cp(/, y) m a y be d e f in e d q u i t e a r b i t r a r i l y . If t h e r e e x i s t s a f u n c ti o n
cp(/, y) s u c h t h a t at th e p o in ts of t h e e x t r e m a l y ( t ) , u(t) b o th th e n e c e s s a r y
and t h e s u f f i c i e n t c o n d i tio n s f o r t h e m a x i m u m of R ( t , y , u) a r e s a t i s f i e d f o r
e v e r y fix e d t t \), T h e o r e m 1.1 i n d i c a t e s t h a t th e e x t r e m a l (y ( t ) , Jt(i))
i s in f a c t th e a b s o l u t e m i n i m i z i n g s o lu t io n . T h i s r e s u l t c a n be s u m m a r i z e d
by t h e f o llo w in g t h e o r e m .
T h e o r e m 2.1. L e t th e f u n c ti o n s y ( t) , u ( t ) y ij)(/) c o n s t i t u t e a s o l u t i o n of
e q u a t i o n s (1.3), (2.4), (2.5). A s u f f i c i e n t c o n d i tio n f o r t h e e x t r e m a l
u ( t ) ) t o be an a b s o l u t e m i n i m i z i n g s o l u t i o n f o r th e f u n c t i o n a l (1.1) i s th e
e x i s t e n c e of a f u n c tio n (p(£, y) w h ic h i s c o n t i n u o u s l y d e f in e d f o r a l l
/£ t \], y £ Vv (t) and i s tw i c e d i f f e r e n t i a b l e w ith r e s p e c t to y f o r a l l
y(z Vv (t), *6 [f0, t{\ and p i e c e w i s e - d i f f e r e n t i a b l e w ith r e s p e c t to t t s u c h t h a t
1) V K * . {/(0) = 'l',(0. * = 1 . 2 , n\
2) R((, y, u ) = sup R ( t , y, u), /€(4>. *i)
T h i s t h e o r e m g i v e s a s u f f i c i e n t c o n d i tio n of t h e a b s o l u t e m i n i m u m w hich,
u n lik e W e i e r s t r a s s 1s s u f f i c i e n t c o n d i tio n of v a r i a t i o n a l c a l c u l u s and i t s
g e n e r a l i z a t i o n s / 2 / , d o e s not r e q u i r e t h e c o n s t r u c t i o n of th e f ie ld of
e x t r e m a l s n o r th e d e r i v a t i o n of any o t h e r e x t r e m a l s e x c e p t th e one b e in g
c o n s i d e r e d y ( t ) y Ii(t).
T he a l g o r i t h m of th e m e th o d r e d u c e s to s o lv i n g a b o u n d a r y - v a l u e
p r o b l e m f o r th e s y s t e m of o r d i n a r y d i f f e r e n t i a l e q u a t i o n s (1.3), (2.4), (2.5)
and c h o o s in g a f u n c tio n cp(/, y) w h ic h s a t i s f i e s th e c o n d i tio n s of T h e o r e m 2.1
o r , m o r e p r e c i s e l y , p r o v in g th e e x i s t e n c e of s u c h a f u n ctio n . T h i s i s a
h ig h ly s i g n i f i c a n t q u a l i f i c a t i o n : it s h o w s t h a t in L a g r a n g e ' s m e th o d we do
no t h a v e to d e t e r m i n e th e p a r t i c u l a r f o r m of t h e fu n c tio n cp(/, y) s a t i s f y i n g
th e c o n d i t i o n s of T h e o r e m 2.1, and it i s s u f f i c i e n t to p r o v e th e e x i s t e n c e of
t h i s f u n c ti o n only.
In p a r t i c u l a r , we m a y s t a r t w ith th e e x p r e s s i o n
<p(*. u) ='\>i(l ) y ‘ +Oi j( t )Ay‘A yi , (2.9)

t, j = 1 ,2 ........n,
w here
Ay' = y ‘—y ! (t)
and th e f u n c ti o n s
= [/, ~y(t)\ (2.10)
a r e c o n t in u o u s and p i e c e w i s e - d i f f e r e n t i a b l e o v e r [/0, /,]. T h e o r e m 2.1 t h e n
l e a d s to C o r o l l a r y 2.1.
C o r o l l a r y 2.1. F o r th e e x t r e m a l y ( t ) , u (t) t o be t h e a b s o l u t e
m i n i m i z i n g s o l u t i o n of th e f u n c t i o n a l (1.1), it i s s u f f i c i e n t t h a t t h e r e e x i s t
n2 f u n c t i o n s Oij(t) s u c h t h a t
R[t, <K0 . otf). y, « ]= K 0 . ( 2 . 11 )
27
where
£ = (+,+=/./• Ai/;')/''(*. U< IJ, K) +

+ [=*K O a//'a^]- (2 .1 2 )
Example 2.1. L e t u s ap p ly th e ab o v e m e th o d to i n v e s t i g a t e th e
f u n c ti o n a l
/--- J (u2 - i P ) d l ,
U (2.13)
//-• w; //(0) = (/(/,) • 0.
F i r s t le t u s find an e x t r e m a l . We h a v e
H = '\u — u 1 + ;/2.
liq u a t i o n s (2.7), (2.8) a r e w r i t t e n in th e f o r m
' f - —2y\ y — u\
uu~ - 2 < 0 .
If t\=£mn (rn= 1, 2, .. . ) th e u n iq u e s o lu t io n of t h i s s y s t e m s a t i s f y i n g th e
b o u n d a r y c o n d i t i o n s is
y(t) = « ( 0 ~ ^ ( 0 = o, t £ (t0, /,). (2.14)

Let
tp(/, //) - a ( / ) y 2; cp,,= 2 a</.
Then
/?(/, y, u ) = cpyf / - ^ 2-|-//: + (pr (1 + n ) y r>+ 2ay^—w2. (2.15)
F o r th e e x t r e m a l (2.14) to be an a b s o l u t e m i n i m i z i n g s o lu tio n , it is
s u f f i c ie n t th a t t h e r e e x i s t s a c o n t in u o u s fu n c tio n a(t) su c h th a t th e q u a d r a t i c
f o r m ■ R ( t , y %u) be p o s i t i v e d e f in i te f o r e v e r y / £ (0, /j). T h e n e c e s s a r y and
s u f f i c i e n t c o n d itio n of t h i s is
- /?fltf= 2 > 0 ; RvyR uu- R l u -r. - 4 ( H - s 2-{-o)>0.
T he f i r s t i n e q u a l i t y i s s a t i s f i e d i d e n t i c a l l y , w h e r e a s th e s e c o n d i m p o s e s
a c o n s t r a i n t on o( / ) :
1 + cr2+ a < 0 ; / ^ ( 0 , /j). (2.16)
T h u s, f o r th e f u n c ti o n a l (2.13) to a t t a i n an a b s o l u t e m i n i m u m on th e
e x ti- e m a l (2.14), it i s s u f f i c ie n t th a t t h e r e e x i s t s a f u n c tio n a(t) s a t i s f y i n g
( 2 .1 6 ) . F o r e x a m p l e , l e t / j —1/ 3. L e t a(t) = - 2/. It i s r e a d i l y s e e n th a t
(2.16) i s s a t i s f i e d e v e r y w h e r e on th e s e g m e n t [0, 1 /3 ] , so t h a t on t h i s
s e g m e n t (2.14) is an a b s o l u t e m i n i m i z i n g s o lu tio n .
28
L e t u s find th e m a x i m a l v a l u e of t\ f o r w h ic h t h e e x t r e m a l (2.14) s a t i s
f i e s (2 .1 6 ), i. e ., le t u s find a c o n t in u o u s f u n c ti o n a(t) w h ic h s a t i s f i e s (2.16)
o v e r t h e m a x i m a l i n t e r v a l (0, t\). T h i s f u n c ti o n i s o b ta in e d by s o lv i n g th e
equation , . 2, n
1 - f a 2+ a = 0,
and c h o o s in g a s o l u t i o n w h ic h i s c o n t in u o u s o v e r t h e m a x i m a l i n t e r v a l
(0, t\). T h e g e n e r a l s o l u t i o n of t h i s e q u a t i o n i s
a ( 0 = — ta n(< + c).
A p a r t i c u l a r s o l u t i o n w h ich i s c o n t in u o u s o v e r t h e m a x i m a l i n t e r v a l i s
T h e c o n t i n u i t y i n t e r v a l of t h i s s o l u t i o n i s (0, jt). T h u s f o r any t \ < n , th e

e x t r e m a l (2.14) i s t h e a b s o l u t e m i n i m i z i n g s o lu t io n . A s we know / 7 / , th e
p o in t / = jt i s th e c o n j u g a te of th e po in t (0, 0) and by J a c o b i ' s n e c e s s a r y
c o n d i tio n t h e r e i s no m i n i m u m on th e e x t r e m a l (2.14) f o r
O u r s u f f i c i e n t c o n d i t i o n s in t h i s c a s e t h u s c o i n c i d e w ith th e n e c e s s a r y
c o n d i t i o n s " a p a r t f r o m th e point t [ = x n.
2. 1. 1. A stro n g lo cal m inim um
W e s a y t h a t th e f u n c ti o n a l / h a s a s t r o n g l o c a l m i n i m u m on th e e x t r e m a l
y(l)> u(t) if t h e r e e x i s t s e > 0 s u c h th a t
/ [ £ ( / ) , "( t ) } <I \ y ( l ) %«(/)] (2.17)
f o r a l l th e p a i r s (£/(/), « ( / ) ) £ D, \y(t) —y ( t ) \ <*■*, e v e r y w h e r e on [/0, t\].
L et f ‘ and f° be tw i c e d i f f e r e n t i a b l e f u n c ti o n s f o r a n y / £ [ / 0, /,];
(u, y) £ V (/ ) and th e s e t !/„(/) i s an o p e n b o u n d e d r e g i o n .
We h a v e th e fo llo w in g s u f f i c i e n t c o n d i t i o n s f o r a s t r o n g l o c a l m i n i m u m .
T h e o r e m 2 . 2 , L e t th e v e c t o r f u n c t i o n s y(t), u(()> i|)(0 c o n s t i t u t e a
s o l u t i o n of s y s t e m (1.3), (2.4), (2.5). A m o n g t h e s e f u n c ti o n s , u(t) i s a
s t r i c t m a x i m u m of H(t, u) e v e r y w h e r e on |7o, t\], i. e.,
H(t, u ) < H ( t y w), u £ V n(t), u ^ u , (2.18)
and th e m a t r i x l|—HuS t\\, s, t = \ y 2 , . . . , r i s p o s i t i v e d e f in i te .
T h e n a s u f f i c i e n t c o n d i tio n f o r th e f u n c t i o n a l / to h a v e a s t r o n g lo c a l
m i n i m u m on th e e x t r e m a l (j/(/), “ ( 0) i s t h e e x i s t e n c e of n2 c o n t in u o u s
p i e c e w i s e - d i f f e r e n t i a b l e f u n c ti o n s a , j ( 0 w h ic h on [/0, /»] s a t i s f y n d i f f e r e n t i a l
in eq u alities
A.+jf/, a(t), a( / ) J>0, /= 1 , 2, . . . . n. (2.19)
H ere
— R u ' u ' ..................... R u 'ar R u 'y' • . ♦ R u 'yi
A — R u * u ' .......................... — R u * u r — R u ’y' • • • — R u 'y)

(2. 20)
&r +J— _ _ _ _ _
R y'u' Ry'u* •• . R y'u r R y ly 1 • • • R u 'y)
R y i ux R y f u - ................................................... R yiyJ
29
— — \
f \ u $U * == •* U 'ru *I
R u sy j — a U ( f u 5_h H t i 5y l \
( 2 . 21 )
R y ly i = au + aikfy i + ai k f ky i '\‘ ^ y iy K
/, j \ k = l, 2 , . . . , n\ s, t = \ 9 2 , . . . , r.
(su m m a tio n o v e r & is im p lied ).
T h e b a r d e n o t e s t h e v a l u e s of th e c o r r e s p o n d i n g f u n c ti o n s f o r y = y ( t ) ,
u=u(t).
R e m a r k 2 . 1 . T h e c o n d i t i o n s of t h e t h e o r e m i n c o r p o r a t e t h e c o n d i tio n s
of n e g a t i v e d e f i n i t e n e s s of th e q u a d r a t i c f o r m
d 2R [ t , y , u ] = R y i y ) ky lLi J- \- 2Ryiusk y lk u s+
“T" Rusu* h u shu (2.22)
f o r an y fix e d t \] ( s u m m a t i o n o v e r r e p e a t i n g i n d i c e s i s i m p l i e d ) .
Proof. T h e f u n c ti o n cp(t, y) i s c h o s e n in th e f o r m (2.9). T h e n
R ( t , y, u) t a k e s t h e f o r m (2.12), w h e r e t h e m a t r i x Oih(t) s a t i s f i e s i n e q u a l i t i e s
(2.19).
By (2.1), t h e r e e x i s t s e i > 0 s u c h t h a t
/?(/. y. u ) < R ( t , y( t ) , u ( t) ) (2.23)
f o r \y— y \ < e \, \u— u | < e i e v e r y w h e r e on (/0, î).
Now, by (2.18), we h a v e
R(ty y , « ) < / ? ( / , y , h), «^;1/u (/),
i. e ., f o r a l l « £V\, (/), w ith th e e x c e p t i o n of «.
S ince R(t> y y u) i s c o n t in u o u s , f o r e v e r y fixed t t h e r e e x i s t s S2>0 s u c h
that
R(t, y, u ) < R ( t , y , u ) (2.24)
for
\ y — i/l< e2i u t v u (ty, \ u — « | < s 2: t c-(/0, /,).
L e t e be th e s m a l l e r of th e tw o n u m b e r s £i and £2 . T h en , by (2.24),
R(t> y> u) <R(t> y , w);

|y—y | < f . « £ I M / ) . «¥=«, (<o. tj) ^2 ' 2
and it f o llo w s f r o m T h e o r e m 1. 1 t h a t th e f u n c ti o n a l / h a s a s t r o n g lo c a l
m in im u m .
R e m a r k 2 . 2 . T h e o r e m 2 . 2 i s f o r m u l a t e d a s s u m i n g an o p e n s e t
Vu . If Vu i s a c l o s e d r e g i o n , w e h a v e t h e f o llo w in g a n a l o g o u s
th eo rem .
T h e o r e m 2. 3. L e t t h e v e c t o r f u n c t i o n s y ( t ), u ( t ) y (/) c o n s t i t u t e a
s o l u t i o n of s y s t e m s (1.3), (2.4), (2.5). H e r e u(t) i s a s t r i c t m a x i m u m of
M ( t y y , yp, u) . T h e n a s u f f i c i e n t c o n d i tio n f o r a s t r o n g l o c a l m a x i m u m on
th e e x t r e m a l (y(t), U(t)) i s th e e x i s t e n c e of n2 c o n t in u o u s p i e c e w i s e -
d i f f e r e n t i a b l e f u n c ti o n s Oij(t) and a n u m b e r e > 0 s u c h t h a t f o r a l l n o n z e r o
30
lA i/'I O , 1AM1! < e
(2.26)
j , i = 1, 2 n, s = 1, 2.........r; <€(A>> <i)
we h a v e th e i n e q u a l i t y
— d*R(t, *7, « ) + dR(t , y, u) = R uAy - f R u (t, y, m)A« +

_ _ (2.27)
+ (Ruû1AusAu‘ -\- 2Rusy' &u*Ay' RytyJAy'Ayi) < 0.
H e r e R vy, a r e t h e c o e f f i c i e n t s d e f in e d by (2,21),
A y = y — y;
Au = u— u.
S u p p o se t h a t .a s o l u t i o n Gij(t) of th e s y s t e m of d i f f e r e n t i a l i n e q u a l i t i e s
(2.19) h a s b e e n found and th e e x i s t e n c e of a s t r o n g l o c a l m i n i m u m on th e
e x t r e m a l (y(t), 5 ( 0 ) h a s t h u s b e e n p r o v e d . By C o r o l l a r y 2.1, t h e p a i r
( y(t), 5 ( 0 ) i s t h e s o u g h t s o l u t i o n if th e f u n c ti o n R ( t t y, u) d e f in e d by (2.12)
h a s an a b s o l u t e , a s w e ll a s a lo c a l, m a x i m u m on 1/(0 at th e po in t (i/( 0 . 5 ( 0 )
f o r any t £ (/<>. 0).
N ote t h a t th e p r o o f of th e e x i s t e n c e of an a b s o l u t e m i n i m u m on th e
e x t r e m a l (y ( t ) , 5 ( 0 ) i s o f te n c o n d u c te d in a s t r a i g h t f o r w a r d m a n n e r , w ith o u t
f i r s t p r o v i n g t h e e x i s t e n c e of a l o c a l m i n i m u m . T h is , in p a r t i c u l a r , i s
th e a p p r o a c h u s e d in t h e fo llo w in g tw o p r o b l e m s .
2. 1. 2. S y s t e m s l i n e a r in t h e p h a s e c o o r d i n a t e s
L e t t h e r i g h t - h a n d s i d e s of e q u a t i o n s (1.3) and t h e i n t e g r a n d in (1.1)

h a v e th e f o r m
/'= i, y = l, 2 , . . . . n\ (2.28)
/ ° = « $ ( 9 ^ + A°(*. “ )• (2.29)
T h e b o u n d a r y c o n d i t i o n s a r e f ix e d :
yo=yoi; y\=y\i-
E q u a t i o n s (2.4) and (2.5) in t h i s c a s e t a k e t h e f o r m
i / ] + a ' A - a ° j = 0; (2.30)
H * ( t , u) = (t, u) — h° (t, « ) = sup H* (t, u). (2.31)
u e v u(t)
S u p p o se t h a t (y ( t ), 5 ( 0 , t|)(/)) i s a s o l u t i o n of (2.28), (2.30), (2.31). We

w ill sh o w t h a t t h e e x t r e m a l (y(0» 5 ( 0 ) i s an a b s o l u t e m i n i m i z i n g s o l u t i o n
of t h e f u n c t i o n a l o v e r th e s e t D.
31
Let
<p(t, y) =“ty i ( t )y ' , « =i , 2, . . . . n. (2.32)
Then
W , y, « ) = + 'i'y— « S )^ + H , {f, u ) = H ’ (t, a). (2 .3 3 )
S i n c e /?(/, y, a) i s i n d e p e n d e n t o f y, u s i n g (2,31) we find f o r a l l (/o, M
R ( t , y, u ) = s u p / ? ( f , y y « ) = | i ( 0 . (2.34)
(//.«) e v (/)
T h u s by T h e o r e m 1.1 th e p a i r (y ( t ), u ( 0 ) i s th e a b s o l u t e m i n i m i z i n g
s o lu t io n .
2. 1. 3. T h e p r o b l e m of t h e m i n i m a l m e a n e r r o r
L e t th e r i g h t - h a n d s i d e s of e q u a t i o n s (1.3) h a v e th e f o r m
f = a'j(t) i/l — bÔu*,

(2.35)
i, j = 1, 2 , . . . , n ; s = ] , 2 , . . . , r.
and th e f u n c ti o n f°(ty y y « ) i s non-*negative and c o n v e x on V ( t ), t (t0y /i). T h i s

i s g e n e r a l l y th e f in a l f o r m to w h ic h t h e p r o b l e m of o p t i m a l c o n t r o l of th e
p e r t u r b e d s t a t e of a s y s t e m n e a r s o m e g iv e n s t a t e y ( t ) = 0 i s r e d u c e d .
E q u a t i o n s (2.35) a r e t h u s t h e e q u a t i o n s of th e p e r t u r b e d s t a t e , and th e
f u n c ti o n (1.1) i s a m e a s u r e of d e v i a t i o n of th e s y s t e m f r o m th e g iv e n s t a t e .
E q u a t i o n s (2.4), (2.5) d e f in i n g th e e x t r e m a l h a v e th e f o r m
f c + 4 - / 5 i = 0; (2 .36)
H(t, y(t ), 6(/), u) = sup /-/•(/, y ( t \ *(*), u). (2.37)
* e vu(t)
S u p p o se t h a t ( y( t) , u( t ), ^ ( 0 ) i s a s o l u t i o n of s y s t e m (2.35) — (2.37). We
w ill sh o w t h a t t h e e x t r e m a l (//(/), ?7(/)) i s an a b s o l u t e m i n i m i z i n g s o lu t io n .
We t a k e cj (/, y) in th e f o r m (2.32). T h e n
R(t> y, y* ±fy(t)bsu s //, u).

T he f u n c ti o n R ( t y y y u ) i o r e v e r y fix ed t i s c o n v e x and it t h u s h a s a s i n g l e
s u p r e m u m y, u o n V ( t ) . T h e r e f o r e , by T h e o r e m 1.1, th e p a i r ( y ( / ) t w( / ) ) i s
an a b s o l u t e m i n i m i z i n g s o lu t io n .
2. 1. 4. J a c o b i rs n e c e s s a r y and s u f f i c i e n t c o n d i tio n
of t h e v a r i a t i o n a l c a l c u l u s
U sin g t h e p a r t i c u l a r c a s e of a v e r y s i m p l e f u n c ti o n a l, we w il l e s t a b l i s h
a r e l a t i o n s h i p b e t w e e n t h e c o n d i t i o n s of a m a x i m u m of t h e f u n c ti o n R and
J a c o b i ' s v a r i a t i o n a l c o n d i tio n of a w ea k l o c a l m i n i m u m of a f u n c ti o n a l.
32
C o n s i d e r th e p r o b l e m of m i n i m i z i n g th e f u n c ti o n a l
/ = j /<>(/, y, u)di; (2.38)

*0
£/ = «,
y0% ijx a r e g iv e n ,
w h e r e y ( t ) , u(t) a r e s c a l a r f u n c ti o n s , /°(/, y y u) i s a c o n t in u o u s f u n c tio n

w ith c o n t i n u o u s p a r t i a l d e r i v a t i v e s to t h i r d o r d e r i n c l u s i v e .
L e t V(t) w ith t £ ( t o , t[) be a n o p e n d o m a in .
L e t t h e f u n c t i o n s <p(/, y) h a v e c o n t in u o u s p a r t i a l d e r i v a t i v e s w ith r e s p e c t
t o t and y t o t h i r d o r d e r i n c l u s i v e .
T h e f u n c ti o n R i s w r i t t e n in t h e f o r m
R ( t . y, u)=(p„u—}°(t, y, «)+<p,(f, y). (2.39)
F o r s u p R w ith r e s p e c t to y and u to b e a t t a i n e d on t h e p a i r (j/(/), «( / ) ) £ D,
it i s n e c e s s a r y t h a t
(2.40)
N ote t h a t c o n d i t i o n s (2.40), t o g e t h e r w ith e q u a tio n (2.38), a r e e q u i v a l e n t

to E u l e r ’s e q u a tio n (w h ich m a y be o b ta in e d by e l i m i n a t i n g i|) and u b e t w e e n
th e a p p r o p r i a t e e q u a tio n s ) .
T h e n e x t n e c e s s a r y c o n d i tio n of a m a x i m u m o f R i s t h a t th e q u a d r a t i c
form
d2R = RyyAy^ 2HyUAyAu R uuAu? (2.41)
be n o n - p o s i t i v e ; h e r e b a r s d e n o t e th e v a l u e s of t h e s e c o n d - o r d e r d e r i v a t i v e s
c o r r e s p o n d i n g to th e p a i r ( j / ( 0 , u(t)).
S e ttin g a(t) = <pI/y(£, y ( t ) ), we o b ta in
Ruu----/»« (^ y , u ) — f uu\ (2.42)

Ryu— Jlu', (2.43)
= (2-44)
L e t y ( t ) b e a c o n t in u o u s f u n c tio n . T h e n t r ( 0 i s a l s o c o n t in u o u s .
A q u a d r a t i c f o r m i s n o n - p o s i t i v e if and o n ly if t h e d i a g o n a l m i n o r s of t h e
m a trix
Ryy Ryu
Ryu Rm
a r e n o n -n eg a tiv e / 4 / . U s in g (2. 42), we c a n t h u s w r i t e

(2 .45)
1) 72. > 0;
2) fan (° fyy) —(° — ^ 0. (2 .46)
33
T h e f i r s t i n e q u a l i t y in (2.45) i s L e g e n d r e ’s w e l l - k n o w n c o n d itio n . L e t
u s c o n s i d e r in s o m e d e t a i l c o n d i tio n (2 .4 6 ): t h i s i s a d i f f e r e n t i a l i n e q u a l i t y
i n v o lv i n g th e f u n c ti o n a(t). L e t /U„ > 0 e v e r y w h e r e i n [ / 0, t{\. N o te t h a t s i n c e
a(t) i s q u ite a r b i t r a r y , c o n d i tio n (2.46) c a n a l w a y s be s a t i s f i e d on a
s u f f i c i e n t l y s m a l l i n t e r v a l (to, t\) by a n a p p r o p r i a t e c h o i c e of t h e i n i t i a l
c o n d i t i o n s a(/o) andff(/o). T o c h e c k w h e t h e r o r not (2.46) i s s a t i s f i e d on t h e
e n t i r e i n t e r v a l (/0, U)> w e w r i t e it in t h e f o r m of a R i c c a t i e q u a t i o n f o r t h e
f u n c ti o n o(t):
- 7 U ° - A y ) - (o - 7 S * ) * - «(07S«. (2 •4 7)
w h e r e e ( / ) > 0 i s s o m e c o n t in u o u s f u n c ti o n of L We know f r o m th e t h e o r y
of d i f f e r e n t i a l e q u a t i o n s t h a t th e s i n g u l a r p o in ts of t h e s o l u t i o n of (2.47)
(th e p o i n t s w h e r e a(t) d o e s not e x i s t ) c o i n c i d e w ith t h e z e r o s o f t h e n o n
t r i v i a l s o l u t i o n of th e s e c o n d - o r d e r h o m o g e n e o u s l i n e a r e q u a t i o n
— ( A u i ) -f-[-— 7 “u- 7 ^ + e] = o, (2 .4 8 )
w h ic h i s o b ta in e d f r o m (2.47) by a t r a n s f o r m a t i o n
flu. (2.49)
V
F o r e = 0 e q u a t i o n (2.48) r e d u c e s to J a c o b i ' s e q u a t i o n / 2 /
— (72«^)-(75» * = o . (2-50)
E q u a t i o n (2.48) w ill be i n v e s t i g a t e d u s i n g S t u r m ' s t h e o r e m an d th e

t h e o r e m of t h e a l t e r n a t i n g z e r o s of s o l u t i o n s of s e c o n d - o r d e r l i n e a r
h o m o g e n e o u s e q u a t i o n s . T h e t h e o r e m of th e a l t e r n a t i n g z e r o s i n d i c a t e s
t h a t th e m a x i m a l i n t e r v a l (/o, t\) on w h ic h th e s o l u t i o n v ( t ) o i e q u a tio n (2.48)
d o e s not v a n i s h f o r a g i v e n e(t) c o r r e s p o n d s to th e s o l u t i o n w h ic h s a t i s f i e s
t h e i n i t i a l c o n d i tio n u (/o )= 0 ; in o t h e r w o r d s , it c o r r e s p o n d s to a s o l u t i o n
w ith one o f t h e z e r o s c o i n c id i n g w ith t h e l e f t - h a n d end p o in t of (ô, t\), L e t
t h i s s o l u t i o n be d e s i g n a t e d v ( t , to). S t u r m ' s t h e o r e m l e a d s to t h e f o llo w in g
p roposition.
L e t v(to) = 0 f o r e q u a tio n (2.48) f o r any e ( t ) ^ 0 . T h e n a m o n g a l l th e
e q u a t i o n s (2.48) w ith an y e ^ O , t h e m a x i m a l i n t e r v a l (to, t) on w h ic h th e
s o l u t i o n v(t, t0) d o e s not v a n i s h c o r r e s p o n d s t o J a c o b i ' s e q u a tio n .
In o t h e r w o r d s , u n d e r t h e a b o v e d o n d iti o n s , f o r e ( O ^ 0 , t h e n e x t z e r o
o f th e s o l u t i o n of (2.48) on t h e r i g h t of t0 i s no f a r t h e r f r o m t0 th a n th e
c o r r e s p o n d i n g z e r o of t h e s o l u t i o n of J a c o b i ' s e q u a tio n , g e n e r a l l y c a l l e d
t h e c o n j u g a t e p o in t o f t = t0.
T h u s, if ' f l > 0 and t h e r e e x i s t s a c o n t in u o u s and d i f f e r e n t i a b l e f u n c ti o n
a ( / ) s u c h t h a t c o n d i tio n (2.46) i s s a t i s f i e d on (t0, t\), t h e i n t e r v a l (to, t\)
c o n t a i n s no p o in ts c o n j u g a t e t o 0, t h i s b e in g J a c o b i ' s n e c e s s a r y c o n d i tio n
f o r a m i n i m u m of t h e f u n c t i o n a l (2.38).
C o n v e r s e l y , th e c o m p a r i s o n t h e o r e m s h o w s t h a t i f (to, t\) d o e s not
c o n t a i n p o i n t s c o n j u g a te to to, t h e r e e x i s t s a f u n c ti o n e ( / ) ^ 0 s u c h t h a t th e
s o l u t i o n v ( t , /0) of e q u a t i o n (2.48) d o e s not v a n i s h a n y w h e r e in (to, t\).
If /| i s t h e c o n j u g a te of t0i w e h a v e e(t) = 0. T h e n t h e r e e x i s t s a
c o r r e s p o n d i n g s o l u t i o n o f R i c c a t i ' s e q u a tio n o r , in o t h e r w o r d s , a f u n c ti o n
a ( / ) s u c h t h a t (2.46) i s s a t i s f i e d .
34
L e t u s c o n s i d e r t h e c o n d i tio n s of n e g a t i v e d e f i n i t e n e s s of th e f o r m (2.41),
n a m e l y t h a t e v e r y w h e r e in[/o, /i], f Uu > 0 , and on (to, t\) t h e r e e x i s t s a f u n c tio n
n(t) s u c h th a t th e s t r e n g t h e n e d c o n d itio n (2.46) (the s t r i c t i n e q u a li ty ) is
s a t i s f i e d o r , e q u i v a le n tly , e ( / ) > 0 on (/0. U) in (2.47) and (2.48). T he f o r m
(2.41) i s th e n n e g a t i v e d e f in i te . We w ill sh o w t h a t w h en t h e s e c o n d i t i o n s
a r e s a t i s f i e d , t h e s e g m e n t [to, t\] d o e s not c o n t a i n p o in ts w h ic h a r e c o n j u g a te
to to.
S u p p o s e t h a t t h i s i s n o t so, i. e., t\ i s t h e c o n j u g a t e of to ( th e i n t e r v a l
(to> /i), a s we h a v e s e e n b e f o r e , c o n t a i n s no c o n j u g a te p o in ts ) and v(t, to)
v a n i s h e s at t\. T h e n f o r a n y e ( t ) > 0 th e n e a r e s t z e r o of t h e s o l u t i o n of
(2.48) i s n e a r e r t h a n t\, ly in g i n s i d e t h e i n t e r v a l (/o, t\). T h i s s i g n i f i e s
t h a t t h e q u a d r a t i c f o r m d2R c a n n o t be n e g a t i v e d e f in i te , a t v a r i a n c e w ith
th e c o n d i t i o n s of th e t h e o r e m .
C o n v e r s e l y , l e t /2m> 0 on [t0, £i] and l e t [t0, t\\ c o n t a i n no p o in ts w h ic h a r e
c o n j u g a te to t0. S ince t h e s o l u t i o n of J a c o b i ’s e q u a t i o n f o r v( t0) = 0 d o e s
not v a n i s h on t h e h a l f - o p e n i n t e r v a l [fo> î], t h e r e e x i s t s 6 > 0 s u c h t h a t t h e
s o l u t i o n o f e q u a t i o n (2.50) d o e s not v a n i s h on (A), / i + 6 ) e i t h e r .
B e c a u s e of t h e c o n t in u o u s d e p e n d e n c e of th e s o l u t i o n s of l i n e a r
d i f f e r e n t i a l e q u a t i o n s on p a r a m e t e r s , t h e r e e x i s t s a c o n s t a n t e > 0 s u c h t h a t
th e s o lu t io n of e q u a t i o n (2.48) d o e s not v a n i s h on [/0, î] e i t h e r . H en c e it
f o llo w s t h a t a f u n c ti o n o(t) s a t i s f y i n g th e s t r e n g t h e n e d c o n d i tio n (2.46)
e x i s t s on (/0| /j).
We h a v e t h u s p r o v e d th e f o llo w in g t h e o r e m .
T h e o r e m 2 . 4 . C o n s i d e r a p a i r ( y(t)j u ( t ) ) £ D , w h e r e u (t) i s c o n t in u o u s
and f°uu > 0 e v e r y w h e r e in [t0, ^]. A n e c e s s a r y and s u f f i c i e n t c o n d i tio n f o r
th e e x i s t e n c e of a c o n t in u o u s and c o n t i n u o u s l y d i f f e r e n t i a b l e f u n c ti o n o(t)
s u c h th a t f o r an y fixed ti~ (t0, t\) th e q u a d r a t i c f o r m
d2R = R uubu2+ 2 R vub y b u + R vy&y2

i s n e g a t i v e d e f i n i t e i s t h a t f o r th e p a i r y ( t ) , u(t) t h e i n t e r v a l (/o, M ( o r th e
s e g m e n t [to, /]]) c o n t a i n s no p o in ts c o n j u g a te to t0.
T h u s fo r a n o n d e g e n e r a t e ^ 0 ) c l a s s i c a l L a g r a n g e ' s p r o b l e m , th e
c o n d i tio n of a n o n - p o s i t i v e q u a d r a t i c f o r m
I ( 2 .5 D
<€('„. ^ J
i s e q u i v a l e n t to J a c o b i ’s n e c e s s a r y c o n d i tio n of a w e a k l o c a l m i n i m u m , and
t h e s t r e n g t h e n e d c o n d i tio n (2.51) i s e q u i v a l e n t to J a c o b i ' s s t r e n g t h e n e d
c o n d i tio n . H o w e v e r , th e r e g i o n of a p p l i c a t i o n of c o n d i t i o n (2 .5 1 ) o r of i t s
e x t e n d e d v e r s i o n (2.27) i s m u c h w i d e r t h a n o f J a c o b i ' s c o n d i tio n : t h e y a r e
a p p l i c a b l e to d e g e n e r a t e p r o b l e m s (w hen t h e d e t e r m i n a n t v a n i s h e s ,
| H uiu) (t, y, u) | = 0 ) and to p r o b l e m s w ith a c l o s e d r e g i o n VUt w h e r e
J a c o b i ’s c o n d i tio n d o e s not ap p ly . N ote t h a t i t i s f o r t h e s e p r o b l e m s t h a t
th e a n a l y s i s of t h e s e c o n d - o r d e r c o n d i t i o n s i s e s p e c i a l l y i m p o r t a n t . T h e y
a r e n e e d e d not o n ly f o r c h e c k i n g p u r p o s e s , but a r e a c t u a l l y u s e d
c o n s t r u c t i v e l y , s i n c e th e y p r o v i d e a m e a n s f o r i s o l a t i n g th e l o c a l m i n i m i z i n g
35
s o l u t i o n f r o m t h e s e t of a l l e x t r e m a l s (in t h e s e c a s e s , a s d i s t i n c t f r o m t h e
c a s e of n o n d e g e n e r a t e p r o b l e m s , t h e e x t r e m a l s a r e n o t u n iq u e ).
E x a m p l e 2. 2. A s a n e x a m p l e of s u c h a p r o b l e m , l e t u s m i n i m i z e
the functional
+1
/= - J ty2dl;
-1
(2 .5 2 )
y = u; |«|<1;
< / ( - l ) = * / ( l ) = 0.
C o n d i tio n s (2.4), (2.5) t a k e th e f o r m
ty; (2.53)
H — tyu -|- ty2= slip H (/, y y u). (2.54)
|M|«1
T h e l a s t c o n d i tio n c o r r e s p o n d s to t h r e e t y p e s of c o n t r o l :
+ 1 for t> 0
u= -1 for +<o (2.55)
arbitrary within the limits |U|^ 1 for
It i s r e a d i l y s e e n t h a t c o n d i t i o n s (2.52), (2.53), (2.55) a r e s a t i s f i e d by a n

i n f in it e s e t of e x t r e m a l s ( F i g u r e 2.1), w h ic h d i f f e r f r o m one a n o t h e r in th e
n u m b e r o f c o n t r o l s w i t c h i n g p o in ts and t h e n u m b e r of i s o l a t e d z e r o s of th e
f u n c ti o n i|)(/). T h e i n i t i a l s e g m e n t of e a c h e x t r e m a l c o r r e s p o n d s t o th e
t h i r d c o n t r o l t y p e in (2.55). Indeed, d i f f e r e n t i a t i n g th e i d e n t i t y ip(/) = 0
and i n s e r t i n g (2.53), w e find z/(0 — 0.
To s e l e c t th e a b s o l u t e m i n i m i z i n g s o l u t i o n f r o m a m o n g t h e s e e x t r e m a l s ,
a m o r e d e t a i l e d i n v e s t i g a t i o n o f th e m a x i m u m o f R ( t , y , u) i s r e q u i r e d .
36
We have
R = <py(t, y ) u + ty2 + <p,(t, y). (2 .56)
H e r e <p(/, y) i s r e g a r d e d a s a t h r i c e d i f f e r e n t i a b l e fun ctio n .

We s e e k a s o l u t i o n of th e p r o b l e m s a t i s f y i n g th e c o n d i tio n of th e
f u n d a m e n t a l t h e o r e m . Such a s o l u t i o n y ( t ), u(t) s h o u ld s a t i s f y th e c o n
d iti o n
R(t, y, u) > /? (/, y, u) (2.57)
fo r a ll (y, u ) f ( j .
H e r e G i s a h o r i z o n t a l s t r i p on th e y, u p la n e b e t w e e n th e s t r a i g h t l i n e s
u ~ ± 1 ( F i g u r e 2.2). F o r (2.57) to be s a t i s f i e d on G, it i s n e c e s s a r y in
p a r t i c u l a r f o r (2.57) to be s a t i s f i e d on a t h i n s t r i p G( e n c l o s i n g th e s e g m e n t
[ - 1 , + 1 J of th e v e r t i c a l lin e y = y in th e (y, u) p la n e . F o r t h o s e t w hen
we h a v e « = + T h e n e c e s s a r y c o n d i t i o n fo r t h i s i s
Ryy — '?uyi/ (^» y) M"4" '?yyt H“ 2/ I 0,

| w-u(t)
o r , s e e i n g t h a t y — u, and w r i t i n g
a (f)^<?yv[t, y( t ) l
w e o b ta in
RyyV* y > ii)= ° + 2/ < 0 . (2.58)
In Ge we n e e d o nly r e t a i n th e f i r s t t e r m s in th e e x p a n s i o n of <p and R

in p o w e r s of Ay = y —y , and we m a y th u s w r i t e
<t(t, y) = <f(t, (/(0)-|-'M0A4f+-— A«/2 + 0 (Af/2);
R — { ; \ + ° ^ y ) u - \ - t (</ + At/)2+ 4 ,(ai/)-|-
+ - (a y f + ? (/. » (0) - W O + 0 (0 a y) y.
37
We s e e f r o m t h e l a s t f o r m u l a t h a t f o r i|?=0 th e f u n c ti o n R ( y , u) h a s a
s u p r e m u m on Ge at t h e p o in ts (y, 1) and (y, — 1) f o r a = 0 only. T h u s , f o r
c o n d i tio n (2.57) to be s a t i s f i e d f o r t £ ( — 1, -M ), it i s n e c e s s a r y t h a t t h e r e
e x i s t s a c o n t in u o u s f u n c ti o n a(t) s a t i s f y i n g (2.58) w h ic h v a n i s h e s f o r t h o s e
t w h e n ^ = 0, i. e., at t h e s w i t c h i n g p o i n t s . It f o llo w s f r o m (2.58)
t h a t f o r / > 0 , a i n c r e a s e s and c o n s e q u e n t l y t h e r e m a y e x i s t o n ly one t —T,
f o r w h ic h < j=0, i. e., (2.57) i s s a t i s f i e d only by an e x t r e m a l c o n t a i n i n g at
m o s t one s w i t c h i n g p o in t w ith a p o s i t i v e a b s c i s s a . T h e o n ly s u c h
e x t r e m a l i s e x t r e m a l 2 in F i g u r e 2.1.
T h u s , th e n e c e s s a r y c o n d i tio n f o r t h e e x i s t e n c e of ct(/) f o r w h ic h R h a s
a m a x i m u m in y in a s m a l l n e i g h b o r h o o d s e l e c t s a s i n g l e e x t r e m a l —
e x t r e m a l 2 — f r o m a m o n g an in f in it e n u m b e r of e x t r e m a l s . T h i s e x t r e m a l
i s r e a d i l y s h o w n to s a t i s f y th e c o n d i tio n s of T h e o r e m 1.1. L e t <p be g iv e n
in th e f o r m
?(/, y ) = H 0 y + — 1 ( y ~ y m (2.59)
w h e r e a(/) i s a c o n t in u o u s f u n c tio n s a t i s f y i n g in e q u a l i t y (2.58) and th e

c o n d i tio n a(/£2)) = 0 , a ( 0 = 0 f o r t < t \ 2). T h e n R i s a q u a d r a t i c f o r m and
s a t i s f i e s (2.57) f o r an y / , w h e n c e it fo llo w s t h a t e x t r e m a l 2 i s an a b s o l u t e
m i n i m i z i n g s o lu tio n .
2. 1. 5. G e n e r a l b o u n d a r y c o n d i tio n s
1. L et th e s e t s Vtj(io) and Vy (t\) be s o m e g e n e r a l s e t s in t h e s p a c e Y ,

and not th e p o in ts yo and ;/i a s a s s u m e d b e f o r e ; t\ m a y t a k e v a l u e s f r o m a
g iv e n b o u n d ed s e t t . T he fu n c tio n F(t\, r/lt yo) e n t e r i n g (1.1) i s c o n t in u o u s
and d i f f e r e n t i a b l e . In t h i s c a s e , a d d i t i o n a l c o n d i t i o n s (1.24) of T h e o r e m s
2.1 —2. 4 a r e i m p o s e d on th e s o u g h t m i n i m i z i n g s o l u t i o n y{t ), u(t) and th e
f u n c ti o n <p(/, y), w h ic h d e m a n d t h a t th e fu n c tio n ® ( y 0, y u t\) h a v e a m i n i m u m
for = yi=-yu h = ti an d t h a t ft(/) = 0.
A n e c e s s a r y c o n d i tio n f o r a m i n i m u m of <D(/If y i, yo) a t th e po in t
11, y 0, y i i s p r o v i d e d by th e in e q u a l i t y
(2.60)
f o r a ll
êt, to Q V ytfo ), y ^ v
w h e r e Af/0— k{h = y l — y l\ A — a r e a l l s u f f i c i e n t l y s m a l l (the

b a r d e n o t e s th e v a l u e s of th e d e r i v a t i v e s f o r yi = yu t\ = t \ ) .
U sin g (1.8), we w r i t e (2.60) in a m o r e e x p l i c i t f o r m :
U s in g th e n o ta tio n f r o m (2.1) and (2.6), and s e e i n g t h a t in v i r t u e of t h e
i d e n t i t y jj,(^) = 0
_ f0 _ d i ( t, yV)) f { f j - )==
dt J dy J K }
= - / / ( / , y(t\ m u[t ) \
we f in a l ly o b ta in
[■£ HA?/o+ +(<,)]Ltji+

+ [ - J - « f t , 5 i . « (<i))] A / , > 0
f o r a ll
' 1 6 *; yi£Vy{ti); v ^ V y (t0). (2.61)
T h i s in e q u a li ty , t o g e t h e r w ith th e c o n d i t i o n s r/0£ Vy(to), y \ ^ V v ((\) and

/ £ t , s p e c i f i e s 2n+ \ b o u n d a r y c o n d i t i o n s f o r th e s y s t e m of d i f f e r e n t i a l
e q u a t i o n s (1.3), (2.4), (2.5) and a f in ite v a l u e of th e a r g u m e n t t\.
T h e s e b o u n d a r y c o n d i t i o n s c a n be w r i t t e n in a m o r e c o n c r e t e f o r m if
th e p a r t i c u l a r s e t s t, Vv (t\), and Vv (t0) a r e d e f in e d e x p l i c i t l y .
In o u r p r e v i o u s e x a m p l e , w hen t h e s e t s w e r e i d e n tif ie d w ith fixed p o in ts
in s p a c e , i n e q u a l i t y (2.60) did not i m p o s e any c o n s t r a i n t s on th e v e c t o r s
t|>(/o). \), s i n c e
Ay0= A yl = A t l =0.
A n o t h e r c o m m o n ty p e of b o u n d a r y c o n d i t i o n s c o r r e s p o n d s to t h e f o llo w in g
c a s e : yo i s a f ix e d point, th e s e t Vv (t\) c o i n c i d e s w ith th e e n t i r e s p a c e Y ,
i. e., t h e r e a r e no c o n s t r a i n t s on */(, and t h e s e t t c o r r e s p o n d s to th e
s e m i - i n f i n i t e i n t e r v a l (/o, oo). In t h i s c a s e , f o r i n e q u a l i t y (2.60) to be
s a t i s f i e d , t h e c o e f f i c i e n t s b e f o r e Ay\ and A/i m u s t v a n i s h , i. e..
(2.62)
-e-
(i
i
y {>iX « ( /i ) ) = | f • (2.63)
dt i
T h e s e e q u a l i t i e s d e f in e th e n + 1 m i s s i n g b o u n d a r y c o n d i t i o n s f o r th e
s y s t e m (1.3), (2.4) and t h e t i m e t \ .
W hen i n v e s t i g a t i n g t h e s u f f i c i e n t c o n d i tio n s f o r a m i n i m u m , t h e c o n d i tio n
of a m i n i m u m of <D(y0, y\, t\) i m p o s e s a d d i t i o n a l b o u n d a r y c o n d i t i o n s on t h e
d i f f e r e n t i a l i n e q u a l i t i e s f o r th e f u n c ti o n s Oij(t). T h e y m a y be d e r i v e d f r o m
the in e q u ality
2 dyo dy, Al/i + —

dt i
- +
, 1/3** . ) , o
+ T +
Ay’oAyi -J-
39
+ 2 TTT, by'o&ti + 2 —7 7 A y W i +
dy\pt I dy\dt,
■ a?’!’
Af/iAi/i + - ^ - ( A / , ) 5 | > 0 . (2 .6 4 )
(*>)5 /
w h ich s h o u ld be s a t i s f i e d f o r a l l s u f f i c i e n t l y s m a l l n o n - z e r o i n c r e m e n t s
Af/o, At/i, A/j w h e n
 dF
^(ô) +
<fyo <tyo ’
—
<^//1 = + + ( ' ■ ) + Of/ ]
7 7 = - ^ t/(/,).«(/,));
oil Of]
<tfT» _ a-^ „ x
_a?T> _a2?
&yW~<>yW\ ’
a?* _ 6>2/=*
dyl0dt ] di/'a/,
_a»& _ a^
a?(t> _ d*F _ ~
k / + au y ly J-
(<?/,)2 “ ^ ,) 2
S u m m a t i o n o v e r r e p e a t i n g i n d i c e s i s a s s u m e d th r o u g h o u t .
F o r t h e p r e v i o u s l y c o n s i d e r e d p a r t i c u l a r c a s e — t h e p r o b l e m w ith a f r e e
r i g h t - h a n d end p oint — i n e q u a l i t y (2.64) i s e q u i v a l e n t to th e c o n d itio n of
p o s i t i v e d e f i n i t e n e s s of th e q u a d r a t i c f o r m
a?<J> t • o
dy[dy{ A^ ' + 2 i ^ 7, Af/(A(j -f- (dt,)2 ( ^ ) 2.
40
2. 1. 6. N u m eric al asp ects
L a g r a n g e ' s m e th o d t h u s r e d u c e s t h e v a r i a t i o n a l p r o b l e m to fin d in g th e
e x t r e m a l (y ( t ), iZ(/))and a v e c t o r f u n c tio n , i. e., to s o lv i n g a s y s t e m of
o r d i n a r y d i f f e r e n t i a l e q u a t i o n s of o r d e r 2n w ith b o u n d a r y c o n d i tio n s (2.61),
fo llo w ed by v e r i f y i n g th e s u f f i c i e n t c o n d i t i o n s of o p t i m a l i t y on t h i s e x t r e m a l ,
e . g . , by s o lv i n g th e d i f f e r e n t i a l i n e q u a l i t i e s (2.19) f o r t h e f u n c ti o n s cH j ( t ) .
It i s s i g n i f i c a n t t h a t th e b o u n d a r y c o n d i t i o n s a r e s e p a r a t e d , i. e., s o m e
of t h e m c o r r e s p o n d t o th e v a l u e t0 of t h e a r g u m e n t , w h ile th e r e m a i n i n g
b o u n d a r y c o n d i t i o n s c o r r e s p o n d to t \ . T h e r e s u l t i s a b o u n d a r y - v a l u e
p r o b l e m , a s d i s t i n c t f r o m t h e C a u c h y p r o b l e m , w h en a l l t h e b o u n d a r y
c o n d i t i o n s a r e s p e c i f i e d f o r t h e s a m e v a l u e of t h e a r g u m e n t , tQ o r t\ . T h e
m a j o r i t y of th e m o d e r n c o m p u t a t i o n a l g o r i t h m s s o l v e a g iv e n b o u n d a r y -
v a l u e p r o b l e m by c o n s t r u c t i n g a s e q u e n c e of s o l u t i o n s of C a u c h y p r o b l e m s
o b ta in e d by v a r y i n g t h e m i s s i n g i n i t i a l c o n d i t i o n s u n t i l th e r e q u i r e d f in a l
conditions a r e s a tisfie d .
L e t u s c o n s i d e r t h e a c t u a l p r o c e d u r e f o r s o lv i n g th e C a u c h y p r o b l e m
f o r s y s t e m (1.3), (2.4) by E u l e r ' s p o ly g o n a l m e th o d . A c c o r d i n g to t h i s
m e th o d , t h e s e g m e n t [f0, î] i s d iv id e d in to s p a r t s by th e p o in ts
Ti=/o, T2>Ti, T3>t2, . . . xa= t\. G iv e n y ( t 0), ty(to), we find u ( t 0) f r o m th e
c o n d i tio n of th e m a x i m u m of th e f u n c ti o n H ( t y y ( t o), *|)(ô). « )and, i n s e r t i n g th e
r e s u l t on th e r i g h t in (1.3), (2.4), we o b ta in y ( t 0) and ty(to) . T h e f i n i t e -
d i f f e r e n c e f o r m u l a s of E u l e r ' s m e th o d
y (*2) = y (*o) 4- y (t0) (T2— *i);

t (*2) = t (*o)+ 1 (fo) (t2— f 1)
a r e t h e n a p p l ie d to d e t e r m i n e y{xi) and i|)(t2). R e i t e r a t i n g th e p r o c e d u r e ,

we find
'H t3).......... y(* 1). tUi).
In s o lv i n g t h e b o u n d a r y - v a l u e p r o b l e m , t h i s p r o c e d u r e i s r e p e a t e d f o r
v a r i o u s v a l u e s of y( t$) t ^(^ 0) u n til y( t 1), ( /1), t\ s a t i s f y th e f in a l c o n d i t i o n s
w ith s u f f i c i e n t a c c u r a c y .
T h i s e x p l a i n s why th e s o l u t i o n of b o u n d a r y - v a l u e p r o b l e m s i s so t i m e
c o n s u m in g , e v e n w ith m o d e r n c o m p u t e r s .
V a r i o u s m e t h o d s e x i s t w h ich cut dow n t h e s e a r c h f o r th e i n i t i a l v a l u e s
y(to), Vp(to) and o fte n m a r k e d l y r e d u c e t h e v o l u m e of c o m p u t a t i o n . T h e s e
i m p r o v e d m e t h o d s in c lu d e N e w t o n 's m e t h o d / 3 / , t h e m e t h o d o f f a s t e s t
d e s c e n t / 9 / , r a n d o m a c c e s s m e t h o d s / 5 / . H o w e v e r , e v e n w ith t h e s e
m e t h o d s , t h e s o l u t i o n of b o u n d a r y - v a l u e p r o b l e m s i n v o l v e s s i g n i f i c a n t
d i f f i c u l t i e s , e s p e c i a l l y a s n one of t h e m i s a b s o l u t e l y r e l i a b l e .
It s h o u ld be e m p h a s i z e d t h a t d e s p i t e a l l th e e f f o r t s , th e e x t r e m a l o b
t a i n e d in t h i s w ay m a y p r o v e not to be t h e s o u g h t m i n i m i z i n g s o lu t io n ,
s i n c e e q u a t i o n s (1.3), (2.4), (2.5) only g iv e t h e n e c e s s a r y c o n d i t i o n s f o r a
m a x i m u m of R .
No a d e q u a t e a l g o r i t h m s a r e a v a i l a b l e s o f a r w h ic h would e n a b l e u s to
t a c k l e t h e s e c o n d p a r t of t h e p r o b l e m , n a m e l y t h e v e r i f i c a t i o n of t h e
41
s u f f i c i e n t c o n d i t i o n s . In a n u m b e r of c a s e s , t h i s p r o b l e m i s s o l v e d
r e l a t i v e l y s i m p l y by c h o o s in g an a p p r o p r i a t e f u n c tio n <p, a s in 2 .1 .2 and
2 .1 .3 a b o v e . In o t h e r c a s e s , t h e s o l u t i o n c a n be s i m p l i f i e d by u s i n g
i n e q u a l i t i e s (2.19) f o r Oij(t).
§ 2. 2. H A M IL T O N —JA C O B I —B E L L M A N M E T H O D .
O P T I M A L C O N T R O L SYN TH ESIS
In th e p r e s e n t t r e a t m e n t , w e c h o o s e a f ix ed t\ and m a k e Vy (t) c o i n c id e
w ith t h e e n t i r e s p a c e Y f o r t(z (ô, t\) and w ith th e p o int y = yo f o r t = tQ;
F ( y u yo) i s in d e p e n d e n t of yo .
We c o n s t r u c t th e f u n c ti o n
P (t,y)= sup R ( t , y, u) (2.65)

u e v u ( t, y )
and t r y t o s e l e c t cp(/, y) so t h a t P i s in d e p e n d e n t of y , i. e.,
P(t,y)= sup [<p„f(t , y, u) — f 0(t,y,u)}-\-f, = C(t), (2.66)
w h e r e C(t) i s a n a r b i t r a r y p i e c e w i s e - c o n t i n u o u s fu n c tio n .
T h e n P ( t , y ) = ^ ( t ) at any p o in t of t h e s p a c e Y . L e t u(t, y) be th e v a l u e
o f u f o r w h ic h R ( t , y , u ) a t t a i n s a s u p r e m u m at th e p o in t t, y , i. e.,
R(t, y, u ) = P ( t , y) (2.67)
and l e t y( t) be th e s o l u t i o n of t h e s y s t e m
y=f[t, y, u(t, y)] (2.68)

w ith t h e b o u n d a r y c o n d i tio n y ( Q ) = y 0; a l s o l e t u ( t ) = u ( t , y ( t ) ) . T h e p a i r of
v e c t o r f u n c t i o n s (y ( t ), u ( t )) b e l o n g s to th e c l a s s D and s a t i s f i e s c o n d i tio n 1
of T h e o r e m 1.1. F o r t h i s p a i r to s a t i s f y c o n d itio n 2 of t h i s t h e o r e m , i. e.,
to b e a n a b s o l u t e m i n i m i z i n g s o lu t io n , it s u f f i c e s to t a k e
F(y)-\~V(tu y) = const, (2.69)

i. e ., it i s s u f f i c i e n t th a t f o r t = t \ th e f u n c ti o n F + cp be i n d e p e n d e n t of y .
T h u s , if th e f u n c ti o n <p(t, y) c a n be s e l e c t e d so t h a t s u p R i s in d e p e n d e n t of
u
y , o r m o r e p r e c i s e l y , if we c a n s o l v e th e p a r t i a l d i f f e r e n t i a l e q u a tio n
(2.66) w ith th e b o u n d a r y c o n d i tio n (2.69), o u r p r o b l e m i s c o m p l e t e l y s o lv e d .
M o r e o v e r , a m u c h m o r e g e n e r a l p r o b l e m i s so lv e d , n a m e l y how, s t a r t i n g
f r o m any g iv e n s t a t e (fo» yo) ( z V , to r e a c h t h e l e a s t v a l u e of t h e f u n c t i o n a l
(1.1) in a t i m e t { . T o a c c o m p l i s h th i s , at e v e r y p o in t (t, y ) t s t a r t i n g w ith
(ta yo), we c h o o s e a c o n t r o l f u n c tio n u(t> y ) . If <p(^> y) i s know n, u(t, y) i s
o b ta in e d f r o m (2.66). T h e f u n c tio n y( t) i s t h e n found f r o m (2.68).
U s in g t h e t e r m i n o l o g y of th e a u t o m a t i c c o n t r o l t h e o r y , w e r e f e r to t h e
s o l u t i o n o f t h e v a r i a t i o n a l p r o b l e m c o n s t r u c t e d in t h i s w ay a s t h e
42
o p t i m a l c o n t r o l s y n t h e s i s , and to th e fie ld u(t, y) a s t h e
s y n t h e s i z i n g f u n c t i o n . In d i s t i n c t i o n f r o m s y n t h e s i s , th e o p t i m a l
c o n t r o l f u n c ti o n u(t) c o r r e s p o n d i n g to th e g iv e n i n i t i a l c o n d i tio n s (ta */o)
i s c a l l e d th e o p t i m a l c o n t r o l p r o g r a m .
T h e s e tw o f o r m s of s o lu t io n of t h e p r o b l e m c o r r e s p o n d to tw o f u n d a m e n
t a l l y d i f f e r e n t m e t h o d s of p r a c t i c a l o p t i m a l c o n t r o l . T h e s y n t h e s i s s o l u t i o n
i s i m p l e m e n t e d by a c l o s e d a u t o m a t i c c o n t r o l s y s t e m (a f e e d b a c k s y s t e m ) .
In t h i s s y s t e m , th e s y n t h e s i z i n g f u n c ti o n i s r e g a r d e d a s an a l g o r i t h m w h ic h
d e t e r m i n e s th e r e s p o n s e of th e f e e d b a c k o p e r a t o r t o th e s i g n a l s f r o m th e
s e n s o r e l e m e n t s m e a s u r i n g th e t i m e and t h e c u r r e n t s t a t e of t h e c o n t r o l l e d
o b je c t ( F i g u r e 2.3).
T h e c o n t r o l p r o g r a m s o l u t i o n i s i m p l e m e n t e d by an o p e n s y s t e m , w ith o u t
f e e d b a c k , a s sh o w n in F i g u r e 2.4.
y(t)
FIGURE 2.3 FIGURE 2.4
T h e m e th o d d e s c r i b e d a b o v e i s in f a c t th e J a c o b i - H a m i l t o n m e th o d
w h e r e b y v a r i a t i o n a l p r o b l e m s a r e r e d u c e d to p a r t i a l d i f f e r e n t i a l e q u a t i o n s .
E q u a t io n (2.66), a p a r t f r o m t h e a r b i t r a r y f u n c ti o n C(/), c o i n c i d e s w ith
B e llm a n 's equation / l / .
B e l l m a n ' s e q u a tio n i s t h u s o b ta in e d a s a p a r t i c u l a r c a s e f r o m
T h e o r e m 1.1 w ith a f u n c ti o n cp(/, y) of s p e c i a l f o r m . At th e s a m e t i m e ,
t h i s e q u a t i o n c o n s t i t u t e s a s u f f i c i e n t c o n d i tio n of an a b s o l u t e m i n i m u m .
2. 2. 1. O p t i m a l c o n t r o l s y n t h e s i s f o r s y s t e m s l i n e a r in
the p hase c o o rd in a te s
L e t th e r i g h t - h a n d s i d e s of e q u a t i o n s (1.3) and t h e i n t e g r a n d in (1.1) h a v e

th e f o r m
/ * = 2 a?(*)</'+ **(*>«) (i,k = \,2,...,n);

1= 1
n (2.70)
o r in v e c t o r n o t a tio n
43
f = A ( t ) y + h(t, u); f ° = a ° ( t ) y + h ° ( t t u), (2.71)
w h e r e j4(/)=|J<z* || i s t h e m a t r i x of t h e c o e f f i c i e n t s (/, & = 1 , 2 , . . . , n). T h e

s e t Vu i s a s s u m e d to d e p e n d on t a lo n e .
O u r o b j e c t i s a g a i n to m i n i m i z e t h e f u n c ti o n a l (1.1). T h e c o n d i t i o n s on
Vy (t) a r e t h e s a m e a s in t h e p r e v i o u s s e c t i o n . L e t
F (y)^X y, (2-72)
n
w here is a g iven n -d im e n s io n a l v e c to r; X i s the
/= i
s c a l a r p r o d u c t of t h e v e c t o r s X and y .
I n s e r t i n g (2.71) in (1.9), we o b ta in
R(t, y, u) = (^*cp1/— a0)^+cp<(/1 y ) + y vh(t, u)—h°(t , w),

w h e r e A * is th e t r a n s p o s e of m a t r i x A , i. e., A* = \\alk | | .
Now f r o m (2.66)
P(*> y ) = { A * 1 y - a ^ y + Vt + X(i,y)'A
^{^y)~ s a P [Vyhtf, u) — h°(t, u)].
uevu (/) J
I (2.73)
In o r d e r to s a t i s f y e q u a t i o n (2.66), we h a v e to c h o o s e cp(/, y) so t h a t th e
f u n c tio n P i s in d e p e n d e n t of y .
We s e e k cp in th e f o r m
cp—i|)(/)y. (2.74)
I n s e r t i n g (2.74) in (2.73), w e find
P={k-\-A*t/—a0)y-\-?e(t)-, (2.75)
5 ? ( 0 = sup \W)h(t,u)-h\t,u)}. (2.75a)

u 6 v u (I)
T h e v e c t o r f u n c ti o n o|?(/) i s d e f in e d by th e e q u a t i o n s
ty + A*(t)ty=afi(t); ) (2.76)
t ( / i ) = ^ x- /
T h e f u n c ti o n P(t, y ) ~ ^ C ( 0 i s t h e n in d e p e n d e n t of y and CD(y)=Xy~{-

+ —0, i. e., c o n d i t i o n s (2.66) and (2.69) i m p o s e d on cp(£, y) a r e
s a t i s f i e d . T h e s e a r c h f o r th e f u n c ti o n <p(^, y) i s th u s r e d u c e d to th e
s o l u t i o n of a C a u c h y p r o b l e m f o r a s y s t e m of l i n e a r d i f f e r e n t i a l e q u a t i o n s
(2.76) w ith i n i t i a l c o n d i t i o n s (2.69). If A and a0 a r e i n d e p e n d e n t of t ,
e q u a t i o n s (2.76) a r e i n t e g r a b l e in a c l o s e d f o r m . G iv e n th e v e c t o r ij)(/),
we find t h e o p t i m a l c o n t r o l f u n c ti o n u(t) f r o m e q u a tio n (2.7 6), w h ich in t h i s
c a s e h a s th e f o r m
H)(t)h(t, u ) ~ h °((, u ) = 3 V (t).
44
Let
h k = b * u (£ = 0, 1 , . . . , « ) ,
w h e r e u is a s c a l a r (i. e., r = l ) c o n s t r a i n e d by th e i n e q u a l i t y | w | < l , bh(t)

a r e c o n t in u o u s f u n c ti o n s on [ô* ^1]. We h a v e
&€ (t) = s u p [ij)(/)&—6°]«= |i|)(/)6—6°|.

I«l0;
u ( t ) — — 1 f o r a l l t w h en ty(t)b—6 ° < 0.
The equation
^(/)&_fc° = 0
d e f i n e s t h e s e t of " s w i t c h i n g p o i n t s . "
T h e p r o b l e m of th e o p t i m a l a p p r o a c h to th e h y p e r p l a n e t = t\ f r o m any
p o s i t i o n y0 i s t h u s c o m p l e t e l y s o lv e d f o r th e p a r t i c u l a r c a s e w hen
f l (i = 0, 1, n) a r e l i n e a r f u n c ti o n s of th e p h a s e c o o r d i n a t e s .
2. 2. 2. A l g o r i t h m i c f e a t u r e s of th e m e th o d
T h e H a m i l t o n - J a c o b i m e th o d r e d u c e s th e v a r i a t i o n a l p r o b l e m to th e
s o l u t i o n of a C a u c h y p r o b l e m f o r a s e c o n d - o r d e r p a r t i a l d i f f e r e n t i a l
e q u a t i o n fo r th e f u n c ti o n (p{t, y). T h i s p r o b l e m h a s a n u m b e r of c h a r a c
t e r i s t i c f e a t u r e s . E q u a t io n (2.66) c o n t a i n s only th e p a r t i a l d e r i v a t i v e s cpy
and <p* , and d o e s not c o n t a in th e fu n c tio n <p i t s e l f . A ll th e p a r t i a l
d e r i v a t i v e s , e x c e p t <p<, e n t e r th e e q u a tio n n o n l i n e a r l y , b e c a u s e of th e
n o n l i n e a r o p e r a t i o n of th e s u p r e m u m o v e r u . E q u a t io n (2.66) i s a l w a y s
s o l v a b l e f o r th e p a r t i a l d e r i v a t i v e <j)f; th e b o u n d a r y c o n d i t i o n s a r e
d e f in e d on th e h y p e r p l a n e t — t\ in th e (/, y) s p a c e . B e c a u s e of th e
l a s t tw o f a c t o r s , th e a r g u m e n t t o c c u p i e s a p r e f e r e n t i a l p o s it io n a m o n g
th e ti+ 1 a r g u m e n t s of t h e f u n c tio n (p and m a k e s it p o s s i b l e to c o n s t r u c t th e
s o l u t i o n of th e p r o b l e m in th e d i r e c t i o n of d e c r e a s i n g t , s t a r t i n g w ith t\ .
T he s o l u t i o n a l g o r i t h m , u n lik e th a t of th e L a g r a n g e ’s m e th o d , i s th u s
in d e p e n d e n t of t h e b o u n d a r y - v a l u e p r o b l e m . T h is i s one of th e p r i n c i p a l
a d v a n t a g e s of t h e m e th o d . A n o t h e r a d v a n t a g e i s t h a t th e s o l u t i o n of th e
p a r t i a l d i f f e r e n t i a l e q u a tio n (2.66) c o m p l e t e l y e x h a u s t s t h e s o lu t io n of t h e
v a r i a t i o n a l p r o b l e m : any p a i r (y ( i ), u( t ) ) c o n s t r u c t e d by t h i s m e th o d is
t h e a b s o l u t e m i n i m i z i n g s o lu t io n , w h e r e a s in L a g r a n g e ’s m e th o d th e
s o l u t i o n of th e b o u n d a r y - v a l u e p r o b l e m f o r t h e c o r r e s p o n d i n g s y s t e m of
d i f f e r e n t i a l e q u a t i o n s only c o n s t i t u t e s t h e f i r s t s t e p t o w a r d t h e s o l u t i o n of
th e p r o b l e m , a s it r e m a i n s to v e r i f y w h e t h e r o r n ot th e e x t r e m a l o b ta in e d
in t h i s w ay i s in d e e d th e a b s o l u t e m i n i m i z i n g s o lu t io n . F i n a l l y , an o b v io u s
a d v a n t a g e of t h e m e th o d i s t h a t it s o l v e s t h e o p t i m a l s y n t h e s i s p r o b l e m ,
w h ic h c o n s t i t u t e s a m u c h m o r e g e n e r a l p r o b l e m t h a n th e s i m p l e s e a r c h f o r
a s i n g l e p a i r ( y( t) , « ( / ) ) .
45
T h e g r e a t e r g e n e r a l i t y of th e r e s u l t h o w e v e r , i s a n o u t c o m e of th e
g r e a t e r c o m p l e x i t y of th e a l g o r i t h m : i n s t e a d of a s y s t e m of o r d i n a r y
d i f f e r e n t i a l e q u a t i o n s , a s in L a g r a n g e ’s m e th o d , w e a r e d e a l i n g w ith a
p a r t i a l d i f f e r e n t i a l e q u a tio n (2.66). No r e g u l a r n u m e r i c a l m e t h o d s a r e
a v a i l a b l e f o r s u c h an e q u a tio n . M o r e o v e r , no e x i s t e n c e t h e o r e m s f o r th e
s o l u t i o n s of e q u a t i o n s of t h i s t y p e a r e kn o w n e i t h e r .
It i s t h e r e f o r e d e s i r a b l e to d e v e lo p s u i t a b l e m e t h o d s f o r a p p r o x i m a t e
o p t i m a l s y n t h e s i s . A g e n e r a l a p p r o a c h to t h i s t a s k and one of t h e p a r t i c u l a r
s c h e m e s a r e d e s c r i b e d in t h e n e x t s e c t i o n .
A s h o r t c o m i n g of t h i s m e th o d c o m p a r e d to L a g r a n g e ’s m e th o d i s t h a t i t s
a p p l i c a t i o n i s m o r e r e s t r i c t e d . It i s not by c h a n c e th a t it i s d e s c r i b e d in
r e f e r e n c e to a p a r t i c u l a r c l a s s of p r o b l e m s , th e s o - c a l l e d p r o b l e m s w ith a
f r e e r i g h t end point.
H o w e v e r , n u m e r o u s p r o b l e m s w ith a s e t Vy o i a d i f f e r e n t s t r u c t u r e m a y
be a p p r o x i m a t e l y r e d u c e d to t h i s p a r t i c u l a r p r o b l e m by an a p p r o p r i a t e
m o d i f i c a t i o n of th e f u n c ti o n a l. F o r e x a m p l e , p r o b l e m s w ith a fix ed r i g h t
end p o int (fix e d y\ ) f o r a f u n c ti o n a l / a r e r e a d i l y r e d u c e d to p r o b l e m s w ith
a f r e e r i g h t end p o in t f o r t h e f u n c ti o n a l
1 ^ r h { y [ — y \i? '
w h e r e y \{ a r e t h e f ix ed v a l u e s , y lv X, a r e s u f f i c i e n t l y l a r g e p o s i t i v e n u m b e r s .
§ 2. 3. THE M ETHOD O F A PP R O X IM A T E O PT IM A L
C O N T R O L S YN TH ESIS
2. 3. 1. S t a t e m e n t of t h e p r o b l e m
In v i r t u e of th e e q u a t i o n s
y= f(t,y,u) (2.77)
th e v a l u e of th e f u n c ti o n a l
i,
/ = = j /°(*. «)<# + ^(</i) (2.78)
*0
i s g iv e n if t h e i n i t i a l p o in t (t0l y 0) and th e c o n t r o l p r o g r a m u(t) on [/0, t{\

a r e g iv e n . L e t
^(*o,I/o)= inf ^ Uo, */o> « (OL (2 .7 9 )
{“ <'>)
w h e r e {u(t) } i s t h e s e t of a l l th e a d m i s s i b l e c o n t r o l f u n c ti o n s on [to, î] •
A f u n c ti o n w ( / ) is c o n s i d e r e d a d m i s s i b l e if t h e r e e x i s t s a f u n c tio n y(t)
s u c h t h a t t h e p a i r (y{t), u( t ) ) £ D . T h e l a t t e r r e l a t i o n i m p l i e s t h a t th e
s o lu t io n of t h e s y s t e m of e q u a t i o n s
y = f ( t , y, u ( t )), y ( t 0) = y 0 (2.80)
46
f o r a l l t(~ [/o, *i] b e l o n g s t o Vv (t) and u ( t ) ^ V u (t, y(t))> It i s a s s u m e d t h a t
{u(t) } i s n ot e m p ty . In v i r t u e of t h e d e f i n i t i o n o f a l o w e r bound, t h e r e
e x ists a sequence
C {«(0),
su c h th a t
/[/o, i/o, u*(t)]^d(to> y 0) f o r a - ^ o o .
F o r e v e r y fixed i n i t i a l p o in t (to, y 0) , we h a v e to s e l e c t s u c h a s e q u e n c e
f r o m a c e r t a i n g iv e n s e t Vyo in th e s p a c e (/, y ). In o t h e r w o r d s , we h a v e to
s o l v e t h e p r e v i o u s l y s t a t e d p r o b l e m f o r a l l to and yo^Vyo .
L e t to min be th e m i n i m a l to c o r r e s p o n d i n g to th e s e t V vq .
T h e s e t Vy (t), t £[/0, t\], in e a c h of t h e r e s u l t i n g p r o b l e m s i s d e f in e d a s
f o llo w s : e a c h t £[£omin» ^1] i s a s s i g n e d to a s e t (t) and it i s a s s u m e d t h a t
Vy(to) ~yo (*o);

Vv (t) = Vy l (t) f o r t £ ( t o t /,].
O u r p r o b l e m i s s o lv e d o n c e we h a v e c o n s t r u c t e d a m i n i m i z i n g s e q u e n c e
of s y n t h e s i z i n g f u n c ti o n s u a (t, y) t ^fomin, t\]> y ^ V vi(t) . A s e q u e n c e ua (t, y)
of s y n t h e s i z i n g f u n c ti o n s i s s a id to be a m i n i m i z i n g s e q u e n c e if th e s e q u e n c e
of th e c o n t r o l f u n c ti o n s
«a(/o, y 0 >t) =Ua It, y a(t)]
b e l o n g s to t h e s e t of a d m i s s i b l e c o n t r o l f u n c t i o n s and c o n s t i t u t e s a
m i n i m i z i n g s e q u e n c e f o r any to, yo H e r e y* ( 0 i s t h e s o l u t i o n of
s y s t e m (2.80) w ith th e i n i t i a l c o n d i tio n s y(to)=yo f o r u = ua (t, y) .
T h e p r o b l e m i s f in a l ly s t a t e d in th e f o llo w in g f o r m : in a r e g i o n Vyo of
th e ( /z+ 1) - d i m e n s i o n a l s p a c e (/, y), c o n s t r u c t a m i n i m i z i n g s e q u e n c e of c o n t r o l
f i e l d s { u a (t, y ) } f o r th e f u n c ti o n a l (2.78).
E v e r y e l e m e n t of t h i s s e q u e n c e w ill be c a l l e d a n a p p r o x i m a t e o p t i m a l
s y n t h e s i s . T h e d e g r e e of a p p r o x i m a t i o n w ill be m e a s u r e d by th e n u m b e r
a.= sup [ / (t0, y 0, u . ( t 0, y0, t)] — d ( t 0, y0).
0o-y.'e vyo
E v id e n tly , —*0 f o r a — oo .
T h e fo llo w in g t h e o r e m e n a b l e s u s t o e s t i m a t e th e a c c u r a c y of th e
s y n t h e s i s w ith o u t s o lv i n g e q u a t i o n (2.65).
C o n s i d e r a f u n c ti o n cp(^, y) w h ic h i s c o n t i n u o u s and d i f f e r e n t i a b l e f o r
t(z [ômin, t\], y £ Vyi (t). G iv e n y>(t, y ) , we c a n c o n s t r u c t th e f u n c tio n
R ( t , i t , u ) = v y( f ,y ) f ( i , y , u ) — f ° ( t , y , u ) + v t. (2.81)
L e t u(t, y) be t h e c o n t r o l f u n c tio n f o r w h ic h R a t t a i n s i t s m a x i m u m
v a l u e on Vu (t, y), i. e.,
R(t ,yî (t, y) ) = sup R( t ,y , u) = P(t,y); (2.82)

uevu (t.y)
47
(2.83)
m— inf $>(y);
yevy{it)
y ( t , t0, yo) i s t h e s o l u t i o n of t h e s y s t e m
y = f(t,y7u{t,y)\ y ( h ) = y o
a nd _ (2.84)
u{t, t0,yQ) = u ( t , y ( t J 0,y0)).
L e t f o r a l l (to, yo)^Yvo and t £ (t0, t\)
y(t, to, </o)6 Vy(t).

L et f u r t h e r
A = f | sup P ( t , y ) — inf P (t,y)\dt sup <*>(#)— inf O (y). (2.85)
'omin yevyin vtVyit) yeVyV*)
Theorem. T h e f u n c ti o n a l (2.78) o v e r th e fie ld of c o n t r o l f u n c ti o n s
u(t, y) s a t i s f i e s th e fo llo w in g e s t i m a t e ;
11 Vo,yo,“ (*)] — <1(ô.yo)l u\dt — <f(t0,yo) + ‘r ( t 1,y1) + F(yi), (2.87)
d e f in e d o v e r th e s e t E of t h e i n d e p e n d e n t p a i r s of v e c t o r f u n c ti o n s ( y ( t ) , u ( t ) ) .
T h i s f u n c ti o n a l h a s t h e f o llo w in g p r o p e r t y : on t h e s e t D C E of t h e p a i r s
(y ( t ), u( t)) s a t i s f y i n g e q u a t i o n s (2.80), L = l f o r any <p(/, y ) .
Let
L [ y{t\u (/)] = L [y(t),u (/),? (t,y)]; (2.88)
7= inf L[y(t),u(t)}. (2.89)

W').«(0)6E
We h a v e
7 = — J i»(<)^ + <p(î.yi)+m. (2.90)

10
w here
p(0 = sup R[t, y, « ] = sup P \ t , I/]. (2.91)
“ 6 V ') »£>'»,
S eeing th a t
R \ t , y, u(t)] = P \ t , y).
48
and u s i n g (2.85), (2.87), and (2.90), we o b ta in
r,
L[~y(0, "(01 - * “< \ 1- ' P (/. y (0 H-|T(0] d t + 9 [ 5 ( 0 ] (2.92)
S in c e
(5(0. « ( 0 ) 6 A
we h a v e
T-15(0. « ( 0 1 = ^ [0.{/o.«(01.
and t h u s
(2.93)
S in ce D Q E , w e s e e t h a t d(/o. </o)^T and, u s i n g (2.93), we find
U [^ o .« W l“ ^ ( W l < A - (2.94)
Q. E. D.
Corollary. C o n s i d e r a s e q u e n c e <pa (/, £/) s u c h th a t
Aa ~A(cpa ) —*0 (2.95)
f o r a — oo . T h e s e q u e n c e of th e c o n t r o l f i e l d s u a (t, y) i s t h e n a m i n i m i z i n g
sequence.
If a p a r t i c u l a r c o n s t r u c t i o n of th e s e q u e n c e <p<x(/, y) s a t i s f y i n g (2.95) is
g iv e n and t h e p a t h s y*(t) c o r r e s p o n d i n g to qja(/, y) a r e s e e n , in v i r t u e of
(2.80), (2.82), and (2.83), to s a t i s f y th e c o n d i tio n
y«(t, t0, yo) e V v V ) f o r <£ Ro, fi], (to, yo) (zVy(to),

th e c o r o l l a r y i m p l i e s th a t a r e g u l a r a l g o r i t h m f o r th e c o n s t r u c t i o n of th e
c o n t r o l s y n t h e s i s Ua (/, y) i s a l s o g iv e n , w h ic h f o r s u f f i c i e n t l y l a r g e a i s a s
c l o s e a s we d e s i r e to th e o p t i m u m c o n t r o l s y n t h e s i s . M o r e o v e r , th e
t h e o r e m p r o v i d e s a s p e c i f i c e s t i m a t e (2.94) of th e c l o s e n e s s of th e s y n t h e s i s
ua (t, y) to th e o p t i m a l s y n t h e s i s .
In p r a c t i c e , th e p r o p o s e d m e th o d of c o n s t r u c t i o n of th e m i n i m i z i n g
s e q u e n c e ua(t, y) i s i m p l e m e n t e d a s f o llo w s : th e s e q u e n c e <p«(f, y) i s
c o n s t r u c t e d s o t h a t A„ —-0 f o r a —*oo , and c o n d i tio n (2.94) i s v e r i f i e d a
p o s t e r i o r i , a f t e r t h e c o n s t r u c t i o n of th e s y n t h e s i s u a(t%y) . F o r t h i s
m e th o d of s o l u t i o n to be s u c c e s s f u l , th e s e t Vv\(t) s h o u ld c o r r e s p o n d to a
s u f f i c i e n t l y l a r g e r e g i o n of t h e s p a c e Y . A l s o n o te t h a t if t h e s e t Vy\ (^)
in t h e i n i t i a l s t a t e m e n t of t h e p r o b l e m c o i n c i d e s w ith th e e n t i r e s p a c e Y ,
it s h o u ld be r e p l a c e d by a b o u n d ed r e g i o n t o p e r m i t s e a r c h i n g f o r th e
s u p r e m u m in (2.91) in p r a c t i c e . Vy\{t) s h o u ld r e m a i n s u f f i c i e n t l y l a r g e s o
t h a t c o n d i tio n (2.94) i s s a t i s f i e d .
Remark. T h e c o n s t r u c t i o n of th e s e q u e n c e <pa (/, y) s a t i s f y i n g (2.95)
m a y b e c o n s i d e r e d a s a n a p p r o x i m a t e m e t h o d of s o l u t i o n of t h e p a r t i a l
d i f f e r e n t i a l e q u a t i o n (2.82), if q)«(/, y) i s c o n v e r g e n t in s o m e n o r m . In o u r
f o r m u l a t i o n , h o w e v e r , t h e q u e s t i o n of t h e c o n v e r g e n c e of <pa (/, y) d o e s not
49
a r i s e . T h e s e q u e n c e <p«(£ y ) , and h e n c e u(t , y ) , m a y h a v e no l i m i t . T h e
o n ly r e q u i r e m e n t i s t h a t (2.95) be s a t i s f i e d by th e e x a c t s o l u t i o n and t h a t
A* be s u f f i c i e n t l y s m a l l f o r s o m e a w h en th e s o l u t i o n i s a p p r o x i m a t e .
2. 3. 2. C o n s t r u c t i o n of a m i n i m i z i n g s e q u e n c e
A s a p a r t i c u l a r e x a m p l e of th e c o n s t r u c t i o n of a m i n i m i z i n g s e q u e n c e ,
c o n s i d e r t h e fo llo w in g t e c h n i q u e . <pa(/, y) i s d e f in e d a s a p o l y n o m i a l w ith
kno w n c o e f f i c i e n t s aH O :
E x p r e s s i o n (2.96) f o r <ptt c o n t a i n s a = l \ ‘ l2 . . . In a r b i t r a r y c o n t in u o u s
f u n c t i o n s tyi,i2... in (t) w h ic h a r e s e l e c t e d so a s to m i n i m i z e A* in s o m e way.
T o t h i s end, we d e f in e N s u p p o r t i n g c u r v e s y —y p (/) w h ic h a r e a r r a n g e d
in Vv(t) f o r e a c h t in th e f o llo w in g m a n n e r . T h e r a n g e of e a c h v a r i a b l e
y L c o r r e s p o n d i n g to Vy(t) i s p a r t i t i o n e d in to s e g m e n t s by la y in g off l\
p o in ts on th e y l a x i s , l2 p o in ts on th e y 2 a x i s , e tc . H y p e r p l a n e s
p e r p e n d i c u l a r to th e c o r r e s p o n d i n g a x e s a r e p a s s e d t h r o u g h t h e s e p l a n e s .
T h e i n t e r s e c t i o n s of a l l t h e s e h y p e r p l a n e s g iv e N = l \ - l 2 . . . ln t a b u l a r
p o in ts . R e p e a t i n g th e s a m e c o n s t r u c t i o n f o r e v e r y t i m e t and e n s u r i n g
c o n t in u o u s t i m e - v a r i a t i o n of th e c o o r d i n a t e s of th e t a b u l a r p o in ts , we
o b ta in a f a m i l y of s u p p o r t i n g c u r v e s y = y$(t) . In p r a c t i c e , th e c o n s t r u c t i o n
of s u p p o r t i n g c u r v e s sh o u ld m a k e u s e of f a m i l i e s of c u r v e s w h ic h h a v e a
c o n v e n ie n t a n a l y t i c a l d e s c r i p t i o n , s u c h a s th e f a m i l y of s t r a i g h t l i n e s
y(t) = A \ t + A 2, th e f a m i l y of p a r a b o l a s y —A \ t 2+ A 2t-\~Az, th e f a m i l y of
p o ly g o n a l l i n e s , e tc .
I n s e r t i n g th e e x p r e s s i o n f o r cp* (f, y) in (2.82) and d e m a n d i n g t h a t (2.82)
and (2.83) a r e s a t i s f i e d on t h e s u p p o r t i n g c u r v e s only, we o b ta in th e follo w in g
s y s t e m of d i f f e r e n t i a l e q u a t i o n s and b o u n d a r y c o n d i t i o n s f o r th e f u n c ti o n s
'H O :
(2.97)
® (y<? (î)) = f [i/p (î)l (î))—-^li (2.98)

p=0. /„ =
H e r e (p(/, y) i s d e f in e d by (2.96), and <pyi (t, y) i s th e p a r t i a l d e r i v a t i v e
of (2.96) w ith r e s p e c t to y l .
F r o m th e p o in t of v ie w of n u m e r i c a l w o rk , th e a r b i t r a r y f u n c tio n of
t i m e K(t) and t h e c o n s t a n t Ki a r e c o n v e n ie n tly s e t e q u a l to z e r o , / C ( / ) = 0 ,
K x = 0 . T h e n u m b e r o f e q u a t i o n s (2.97) th e n c o i n c i d e s w ith t h e n u m b e r of
r e f e r e n c e c u r v e s . S y s t e m (2.97) c o m p r i s e s N f i r s t - o r d e r l i n e a r o r d i n a r y
d i f f e r e n t i a l e q u a t i o n s in th e u nknow n f u n c ti o n s \|>(0. f u n c ti o n s y ly {t)
50
e n t e r i n g th e c o e f f i c i e n t s a r e know n. We r e c a l l t h a t t h e s u b s c r i p t p
i d e n t i f i e s a g iv e n v e c t o r f u n c tio n y?(t), and th e s u p e r s c r i p t i s p e c i f i e s th e
p a r t i c u l a r c o m p o n e n t of t h i s v e c t o r f u n c tio n . T h e i n i t i a l c o n d i t i o n s f o r
(2.97) a r e d e f in e d by a s y s t e m of IV l i n e a r a l g e b r a i c e q u a t i o n s in N u n k n o w n
f u n c ti o n s T h e p r o b l e m of s o lv i n g (2.97) f o r th e d e r i v a t i v e s i s
e q u i v a l e n t to th e p r o b l e m of i n t e r p o l a t i o n of th e f u n c ti o n - y , cpy), d e f in e d
by i t s v a l u e s on t h e s u p p o r t i n g c u r v e s u s i n g th e p o l y n o m i a l (2.96). S i m i l a r
ly, t h e p r o b l e m of s o lv i n g (2.97) i s e q u i v a l e n t to t h e i n t e r p o l a t i o n of th e
f u n c tio n [—F ( y u *i)] d e f in e d by i t s v a l u e s at th e p o in ts y £ (t) u s i n g th e
p o l y n o m i a l (2.96).
O u r a l g o r i t h m i s b u ilt to c o p e w ith t h e s e p r o b l e m s , s i n c e , a s c a n be
show n, t h e y a r e r e d u c e d to th e s o l u t i o n of a s e r i e s of o n e - d i m e n s i o n a l
i n t e r p o l a t i o n p r o b l e m s u s i n g p o l y n o m i a l s of d e g r e e /i*/2, . In o r , in o t h e r
w o r d s , to th e s o l u t i o n of a s y s t e m of l i n e a r a l g e b r a i c e q u a t i o n s of o r d e r
lit ht •••» In w ith n o n - d e g e n e r a t e m a t r i c e s ( V a n d e r m o n d e m a t r i c e s ) .
T h e s o l u t i o n of (2.97) w ith th e a p p r o p r i a t e b o u n d a r y c o n d i t i o n s y i e l d s
th e f u n c ti o n s \|?p(/), w h ic h d e f in e (p(t, y) and h e n c e th e a p p r o x i m a t e c o n t r o l
s y n t h e s i s u(t, y) . T h e s y n t h e s i s u(t, y) o b ta in e d in t h i s w ay e v i d e n tl y
s a t i s f i e s t h e e s t i m a t e (2.94).
In p a r t i c u l a r p r o b l e m s , to e v a l u a t e t h e e s t i m a t e (2.95), it is o fte n
c o n v e n ie n t to s u p p l e m e n t th e i n t e g r a t i o n of (2.97) f o r (/o, /]) by a s i m u l
t a n e o u s s o l u t i o n of th e e q u a tio n
sup P(fy y ) — inf P(t, y) (2.99)
u UCVyt t >
( 2. 100)
In th e m a j o r i t y of p u b l i c a t i o n s on m a n y - d i m e n s i o n a l i n t e r p o l a t i o n , th e
i n t e r p o l a t i o n p o l y n o m i a l is g iv e n e x p l i c i t l y o r i m p l i c i t l y in th e f o r m (2.96),
and th e r e f e r e n c e p o in ts a r e a r r a n g e d a s d e s c r i b e d a b o v e . In / 1 0 / , th e
i n t e r p o l a t i o n p r o b l e m is so lv e d in g e n e r a l f o r m and g e n e r a l e x p r e s s i o n s
f o r th e p o l y n o m i a l c o e f f i c i e n t s a r e g iv e n . T h e s e e x p r e s s i o n s , h o w e v e r ,
a r e v e r y u n w ie ld y and it is not c l e a r to w h at e x t e n t th e y w ill be u s e f u l in
p r a c t i c a l n u m e r i c a l w o rk on c o m p u t e r s and how f a v o r a b l y th e y w ill c o m p a r e
w ith i n f o r m a t i o n g i v e n in th e o r i g i n a l i m p l i c i t f o r m by e q u a t i o n s (2.97).
In n u m e r i c a l s o l u t i o n of (2.97), th e d e r i v a t i v e s s h o u ld be d e t e r m i n e d at
e v e r y s t e p f r o m e x p l i c i t and i m p l i c i t e x p r e s s i o n s . T h e n u m b e r of s t e p s
s h o u ld be s u f f i c i e n t l y l a r g e . T he e x a m p l e t h a t fo llo w s s h o w s t h a t a s li g h t
m o d i f i c a t i o n of th e o r i g i n a l e q u a t i o n s m a y e n a b l e u s to c h o o s e th e r e f e r e n c e
c u r v e s s o t h a t th e e l e m e n t s of t h e c o e f f i c i e n t m a t r i x of (2.97) a r e e i t h e r
c o n s t a n t s o r s i m p l e f u n c ti o n s of t i m e ; t h e e l e m e n t s of th e c o r r e s p o n d i n g
i n v e r s e m a t r i x c a n be d e t e r m i n e d b e f o r e h a n d , in t h e f o r m of c o n s t a n t s o r
s i m p l e f u n c t i o n s of t i m e . In t h i s c a s e , t h e d e t e r m i n a t i o n of t h e d e r i v a t i v e s
a t e a c h s t e p i n v o l v e s c o m p u t a t i o n s u s i n g f a i r l y s i m p l e f o r m u l a e . S ince
th e m a t r i x i n v e r s i o n i s p e r f o r m e d o n ly o n c e and t h u s h a r d l y a f f e c t s t h e
t o t a l c o m p u t e r t i m e , th e e x a c t f o r m in w h ic h th e o r i g i n a l i n f o r m a t i o n a b o u t
th e f u n c tio n i|)(/) i s s p e c i f i e d i s of no p a r t i c u l a r c o n s e q u e n c e .
51
L e t u s s u m m a r i z e . We d e s c r i b e d a n a l g o r i t h m f o r th e a p p r o x i m a t e
c o n s t r u c t i o n of a n o p t i m a l c o n t r o l f ie ld u a (t, y). A n e s t i m a t e o f th e
c l o s e n e s s o f t h e a p p r o x i m a t e s y n t h e s i s ua ((, y) t o t h e o p t i m a l s y n t h e s i s i s
g i v e n by e x p r e s s i o n (2.94).
T h e a l g o r i t h m c o m p r i s e s t h e f o llo w in g s t a g e s .
1. a r e f e r e n c e c u r v e s y$ (/) a r e d e f in e d , i. e., a p o in ts in a r e g i o n
Vy(ti) of t h e s p a c e Y f o r e v e r y fix e d *i] •
2. T h e C a u c h y p r o b l e m i s s o l v e d f o r s y s t e m (2.97) of o r d i n a r y
d i f f e r e n t i a l e q u a t i o n s w ith i n i t i a l c o n d i tio n s (2.98). S y s t e m (2.97) sh o u ld be
s o lv e d n u m e r i c a l l y in th e d i r e c t i o n f r o m t\ to /omrn- W hile c o n s t r u c t i n g th e
r i g h t - h a n d s i d e s of (2.97), we d e t e r m i n e th e s y n t h e s i z i n g f u n c ti o n u a (/, y)
f r o m (2.82).
3. T h e n u m b e r Aa i s c o m p u t e d f r o m (2.95) and i n e q u a l i t y (2.86) i s t h e n
a p p l ie d to d e t e r m i n e th e c l o s e n e s s of t h e s y n t h e s i s iia (t, y) to th e o p t i m a l
s y n t h e s i s . If t h e r e s u l t i s i n s u f f i c i e n t l y c l o s e , a l a r g e r a i s s e l e c t e d and
th e p r o c e d u r e i s r e i t e r a t e d .
E x a m p l e 1. C o n s t r u c t th e o p t i m a l s y n t h e s i s f o r t h e s y s t e m y —u in
th e r e g i o n t < t i of t h e t, y p la n e f r o m th e c o n d itio n of m i n i m u m of th e
functional
i,
/ = f « a< a+ X 0*(<,), x>o. (2 . 101)
*0
B e c a u s e of t h e i n c r e m e n t Xyi2 , th e f u n c ti o n a l f a l l s in a s u f f i c i e n t l y s m a l l
n e i g h b o r h o o d of i / ( ^ ) = 0 f o r s u f f i c i e n t l y l a r g e X. We h a v e
R{t,y*u) = Vyti — U2+ <p,; u (/,y) = 1 (/,y)

P (t,y) = sup R ( t yy, u) = !/4<pj + <P/; & & y # v) =
T h e f u n c ti o n F(y) —Xy2 i s a q u a d r a t i c p o ly n o m i a l, and th e l e a s t n u m b e r

a f o r w h ic h (2.98) m a y be s a t i s f i e d i s t h e r e f o r e a —2. L e t u s now c o n s t r u c t
an a p p r o x i m a t e s y n t h e s i s u.2 (t, y ) . We h a v e
T h e c u r v e s y = y p (t) ( p = l , 2) a r e c h o s e n a s th e s t r a i g h t l i n e s
y \ = 0; y 2, 3= ± 1.
1. S y s t e m (2.97) h a s th e f o r m
ti+ ^ + x H ' i + 2,l'2]2- y ^=0;

(2. 102)
— ti + 1’s + " 7 [ti — 2<h]2— \ fj= 0
52
or
’fe 4- +2 = 0; ^2 + ^2 + 4*1+ 'h — 0-
T he b o u n d a r y c o n d i tio n s (2.98) h a v e th e f o r m
^ i ( ^ i ) =0 ; ,i|52(î ) = — (2.103)
T h e s o lu t io n of s y s t e m (2.102), (2 .103) i s
\____
M * ) = - t\ + 1/X — /
F u rth e r,
— -=p2( ^ ) =
___ .
t\ 4* 1A — ^
..... y____ (2 .104)
<] + i A - < '
C h e ck th e c l o s e n e s s of u2(t, y) to t h e o p t i m a l s y n t h e s i s :
Pi (t,y) = y ( 2 ^ ) 2+ W 2= 1 1* I- +2] y1= 0, (2 . 105)

i. e., th e s e c o n d a p p r o x i m a t i o n c o i n c i d e s w ith th e e x a c t s o lu tio n .
E x a m p l e 2. C o n s t r u c t a s y n t h e s i s f o r th e s y s t e m
y= u |u j< l (2.106)
in th e r e g i o n 0 < / ^ 0 . 5 , |*/|<1 of th e (/, y) p la n e w h ic h w ill be o p t i m a l in
t e r m s of e n s u r i n g m i n i m u m d e v i a t i o n f r o m z e r o of th e c o o r d i n a t e y in th e
m easure
t,
/= j
10
We h a v e
Q( t , y, u) =t yu — y2 f <p<; (2.107)
«(*.y)=sign<p„;
/3(<.i/)=l?ir| — + ] (2.108)
91 (<.!MV) = I 9y \ — yl - I
F i r s t ap p ro x im atio n :
<pi(*. y)
L e t f/p (/) = ± 1 , (3=1, 2.

S y s t e m (2.97) i s w r i t t e n in t h e f o r m
2t|) = 0,
53
and t h e i n i t i a l c o n d i tio n (2.98) t a k e s th e f o r m *i|)(M=0. We h a v e
<|p(0 = 0; P i ( t , y ) = — yi \
0.5 0.5
Ai = j I s u p P ^ j / ) — infP ( y ) \ d t = ^ dt = 0.5. (2.109)
A ny c o n t r o l f u n c ti o n u(t, y) i s p o s s i b l e by (2.108). T h e f i r s t a p p r o x i
m a t i o n in t h i s c a s e t h u s d o e s not p r o d u c e a s y n t h e s i s . E s t i m a t e (2 .109) in
t h i s c a s e i n d i c a t e s t h a t f o r any a d m i s s i b l e c o n t r o l f u n c tio n , th e d e v i a t i o n
o f t h e f u n c t i o n a l f r o m i t s m i n i m u m v a l u e d o e s not e x c e e d 0.5.
S econd a p p r o x i m a t i o n :
't2(.f, y ) = h ( t ) y + ' k ( t)y*;

tPw='l’i + 2'fe/.
Let
< /i( 0 = 0 ; yi,3 = ± 1 .
S y s t e m (2.97) t a k e s t h e f o r m
' h + ' k + l ' W + S ' k l —I ' M— 1 = °; 1

—+ i + + j + u ,i — 2<m—ii'i i— 1= 0 . j
I n itia l c o n d i t i o n s (2.98) t a k e th e f o r m
< h (O = 0; <h(/,) = 0.
T his s y s te m h as th e solution
<h(0 = 0; < h ( 0 = l / 2 [ e 2< ' - ' . > - l l .
F u rth e rm o re
«2 V>y) = sign 2+2(/) y = — sign y.
It i s r e a d i l y s e e n t h a t th e s y n t h e s i s u2(t, y) c o i n c i d e s w ith t h e o p t i m a l
s y n t h e s i s . L e t u s c h e c k e s t i m a t e (2.94). U sin g th e a b o v e r e l a t i o n s , we
find
P 2 ^ y ) = { \ - e ^ ) ) ( \ y \ - y 2)\
05
A2= f | sup P 2(t,y)— inf P 2( t , y ) \ d / =
o y €1-1.+ 11 y€ [—1.+ 1J45
A2 0.045
= 9%.
0.5
54
D e s p i te t h e f a c t t h a t U2 (t, y) i s a s t r i c t l y o p t i m a l s y n t h e s i s , t h e e s t i m a t e
i s not z e r o , u n lik e t h a t in E x a m p l e 1: t h e a p r i o r i e s t i m a t e in t h i s e x a m p l e
i s t h u s to o high.
Bibliography for Chapter II
1. B e l l m a n , R. D y n a m ic P r o g r a m m i n g . — P r i n c e t o n U niv. P r e s s . 1957.
2. B o l t y a n s k i i , V. G. M a t e m a t i c h e s k i e m e t o d y o p t i m a l ' n o g o u p r a v l e n i y a
( M a t h e m a t i c a l M e th o d s of O p t i m a l C o n t r o l) . — N a u k a . 1966.
3. V i n o k u r o v , V . A . O b o b s h c h e n n y i m e t o d N 'y u t o n a d l y a r e s h e n i y a
k r a e v y k h z a d a c h ( G e n e r a l i z e d N e w t o n 's M e th o d f o r th e S o lu tio n o f
B o u n d a r y - V a l u e P r o b l e m s ) . — K o s m i c h e s k i e I s s l e d o v a n i y a , N o. 4.
1965.
4. G a n t m a k h e r , F . R . T e o r i y a m a t r i t s ( M a t r i x T h e o r y ) . — N a u k a .
1967.
5. D e m i d o v i c h , B . P . and I. A . M a r o n . O s n o v y v y c h i s l i t e l ' n o i
m a t e m a t i k i ( E l e m e n t s of N u m e r i c a l M e th o d s ) . — N a u k a . 1965.
6. K r a s o v s k i i , N . N . K t e o r i i o p t i m a l ' n o g o u p r a v l e n i y a ( O p t i m a l C o n t r o l
T h e o r y ) . — A v t o m a t i k a i T e l e m e k h a n i k a , 18, N o. 11. 1957.
7. L e t o v , A . N . A n a l i t i c h e s k o e k o n s t r u i r o v a n i e r e g u l y a t o r o v ( A n a l y t i c a l
D e s i g n of R e g u l a t o r s ) . — A v t o m a t i k a i T e l e m e k h a n i k a , 21, N o. 4 —6.
1960; 22, No. 4. 1961; 23, No. 11. 1962.
8. M o i s e e v , N . N . M e to d y d i n a m i c h e s k o g o p r o g r a m m i r o v a n i y a v t e o r i i
o p t i m a l ' n y k h u p r a v l e n i i ( D y n a m ic P r o g r a m m i n g M e th o d s in
O p tim al C o n tro l T h eo ry ). — Z h u rn a l V y c h is lite l'n o i M a tem atik i i
M a t e m a t i c h e s k o i F i z i k i , 4 , N o. 3. 1964; 5, N o. 1. 1965.
9. E n e e v , G . M . O p r i m e n e n i i g r a d i e n t n o g o m e t o d a v z a d a c h a k h t e o r i i
o p t i m a l ' n o g o u p r a v l e n i y a ( A p p l ic a tio n of th e G r a d i e n t M e th o d to
O p t i m a l C o n t r o l T h e o r y ) . — K o s m i c h e s k i e I s s l e d o v a n i y a , N o. 5.
1963.
10. S t o j a k o v i c . S o lu tio n du p r o b l e m e d ' i n v e r s i o n d 'u n e c l a s s e
i m p o r t a n t e de m a t r i c e s . — C. r . A c a . S c i., 2 4 6 : 1 1 3 3 . 1958. 5
55
C h a p t e r III
DEGENERATE PROBLEMS. SLIDING C O N T R O L
In C h a p te r II we a s s u m e d th a t an a b s o lu te m in im iz in g s o lu tio n (y ( t ) y u( t ) )
o f th e fu n c tio n a l (1 .1 ) e x is te d in th e c l a s s D o f th e a d m is s ib l e p a i r s o f v e c t o r -
f u n c tio n s y( t ) , u(t). T h is a s s u m p tio n is n o t u n i v e r s a l l y tr u e , a lth o u g h it is
v a lid f o r n u m e r o u s im p o r ta n t p r o b le m s . T h e c l a s s D m a y c o n ta in no
a b s o lu te m in im iz in g s o lu tio n s . T h e r e a lw a y s e x i s t s a s e q u e n c e
{ys(t)> u- s(t )}CD > h o w e v e r, s u c h th a t
J(ys>as)~* d < d = inf
(a m in im iz in g s e q u e n c e ) .
If a m in im iz in g s o lu tio n u ( t )) £ D d o e s n o t e x is t, th e fu n c tio n a l
(1 .1 ) is m in im iz e d by fin d in g a m in im iz in g s e q u e n c e . O n ce a m in im iz in g
s e q u e n c e h a s b e e n found, w e c a n a p p r o x im a te a s c lo s e a s d e s i r e d to th e
o p tim a l c o n tro l, a lw a y s r e m a in in g in th e c l a s s of a d m is s ib l e fu n c tio n s .
A c o n s tr u c tio n of a m in im iz in g s e q u e n c e f o r th e c l a s s i c a l o b je c t of
v a r i a t i o n a l c a lc u lu s — th e fu n c tio n a l J f°(ty y, y' )dt — i s d e s c r ib e d in / 4 — 6 /
( s e e a l s o S u p p le m e n t). T h e m a in f e a tu r e o f th is c o n s tr u c tio n is th a t th e
s e q u e n c e of p a th s ys(t) in th e p h a s e s p a c e g o e s to s o m e fu n c tio n z/(£)(the
z e r o c l o s e n e s s fu n c tio n ), w h e r e a s th e s e q u e n c e o f c o n tr o l fu n c tio n s Us{t)
h a s no lim it, g o in g to in f in ite ly f r e q u e n t s w itc h in g b e tw e e n s e v e r a l (tw o
f o r a p la n e p r o b le m ) fix ed c o n tr o l fu n c tio n s u p (t). T h e s e t e r m i n a l
fu n c tio n s y( t) and u p (/), p = l , 2 , fu lly d e s c r i b e a m in im iz in g s e q u e n c e .
S e q u e n c e s of th is k in d d e fin e w h at i s know n in a u to m a tio n th e o r y a s
s l i d i n g c o n t r o l . T e c h n ic a l e x a m p le s o f a m in im iz in g s e q u e n c e a r e
p ro v id e d by th e " i n t e r m i t t e n t t h r u s t c o n t r o l " o f an a i r c r a f t e n s u r in g
m a x im u m r a n g e w ith th e e n g in e b e in g s w itc h e d on an d o ff w ith th e h ig h e s t
p o s s ib le f r e q u e n c y ( s e e S u p p le m e n t) of th e o p tim a l p u ls a tin g p u n c h in g s c h e d u le
w ith th e p r e s s o p e r a tin g a t th e h ig h e s t p o s s ib le f re q u e n c y / 7 / .
In th is c h a p te r w e w ill d e s c r i b e s o m e m e th o d s of s o lu tio n o f v a r ia tio n a l
p r o b le m s f o r th e c a s e w h en no m in im iz in g s o lu tio n e x i s t s in th e c l a s s of
a d m is s ib l e p a th s , and in v e s tig a te th e p r o p e r t i e s o f m in im iz in g s e q u e n c e s .
In t e r m s of th e c o r r e s p o n d in g a lg o r ith m , th e s e p r o b le m s a r e p a r t o f a w id e r
c l a s s o f s o - c a l l e d d e g e n e r a t e v a r i a t i o n a l p r o b le m s , w h o se s o lu tio n in v o lv e s
a n u m b e r o f s p e c if ic d if f i c u lt ie s . In p a r t i c u l a r , th e m e th o d s of th e p r e v io u s
c h a p te r a r e in e f f e c tiv e f o r th e s o lu tio n o f d e g e n e r a t e p r o b le m s e v e n if th e
m in im iz in g s o lu tio n is c o n ta in e d a m o n g th e a d m is s ib l e p a i r s y ( t) , u ( t ) .
T h e th e o r y d e v e lo p e d in t h i s c h a p te r i s in f a c t th e th e o r y o f d e g e n e r a t e
v a r i a t i o n a l p r o b le m s .
5921 56
L e t u s f i r s t c o n s id e r a p a r t i c u l a r c a s e of th e v a r i a t i o n a l p r o b le m
a d v a n c e d in § 1 .1 , w h ic h i l l u s t r a t e s th e s p e c if ic d if f i c u lt ie s e n c o u n te r e d
in th e s o lu tio n of d e g e n e r a te p r o b le m s .
§ 3. 1. A P A R T IC U L A R P R O B L E M
L e t /*, / —0 , 1 , . . . , n be f u n c tio n s o f th e o n e v a r i a b l e u , l e t Vv {t) c o in c id e

w ith th e e n t i r e s p a c e Y f o r an y (/o, /i)> an d l e t Vu b e a c lo s e d r e g io n
in d e p e n d e n t o f t and y . T h e en d p o in ts a r e fix e d , ^0= 0; — (0) = 0 ;
y(t\)=y\i.
T o s o lv e th e p r o b le m , w e m a k e u s e o f T h e o r e m 1 .1 . We h a v e
R { t , y , u ) = f yt (t, i/ ) / '( « ) —/ ° («) + f t (t,y). (3 .1 )

If w e ta k e <p(/, y ) = \ p y , w h e r e t|) = c o n s t, th e fu n c tio n
R = R(u) = W \ u ) - P i u ) ( 3 .2 )
i s in d e p e n d e n t of y and th e s u f f ic ie n t c o n d itio n o f an a b s o lu te m in im u m of
th e f u n c tio n a l on th e p a i r u ( t )) € D ta k e s th e f o r m
R ( u ) = sup R(u). (3 .3 )
uevu
L e t R ( u ) h a v e a s in g le s u p r e m u m p o in t u f o r an y . T h is p o in t is
c l e a r l y in d e p e n d e n t of t . T h en , by T h e o r e m 1.1, th e p a i r y (t) = f ( u ) t y u ( ^ )
i s an a b s o lu te m in im iz in g s o lu tio n of th e f u n c tio n a l. T h e v e c to r tj)—c o n s t
i s d e fin e d by th e c o n d itio n th a t th e s t r a i g h t lin e (/, y ( t ) ) p a s s e s th r o u g h
g iv e n p o in ts (0, 0) and (/if, */if) o f th e ( /, y ) s p a c e . F o r s im p lic ity , a
t h r e e - d i m e n s i o n a l s p a c e i s a s s u m e d , i. e ., n = 2 . If th e p o s itio n o f th e
t e r m i n a l p o in t ( /jf, y\{) is a l te r e d , th e v e c t o r yp, th e o p tim a l c o n tr o l
fu n c tio n u , and th e d ir e c tio n of y of th e s t r a i g h t lin e y( t) a ll c h a n g e .
N ow s u p p o s e th a t t h e r e e x i s t s a v e c t o r i|>— (i|>i, ^ 2) s u c h th a t R(u) h a s a t
l e a s t r t + l = 3 s u p r e m a U\y u2y u3 w h e re
1 / '( « , ) / 2(«i)
1 f x(u2) P ( u 2) ¥= 0. ( 3 .4 )
1 /H*h) / 2(«a)
I n s e r tin g th e c o n tr o l fu n c tio n s U\, u2, u3 in th e e q u a tio n y = f ( u ) , w e o b ta in

t h r e e l i n e a r l y in d e p e n d e n t d i r e c t i o n s in th e t h r e e - d i m e n s i o n a l s p a c e
( t y y \ y 2)» w h ic h m a y be d e fin e d by th e v e c t o r s
= f \ t i p), P = l , 2, 3. (3 .5 )
A ny v e c t o r in th e ( t, y ) s p a c e , in c lu d in g th e v e c t o r a ( /1f, y \ ^ y 2f) , m a y
b e r e p r e s e n t e d a s a l i n e a r c o m b in a tio n o f th e v e c t o r s a p :
a = Y pa p, p = l , 2, 3,
w h ere y*» Y2»Y3 a r e s o m e n u m b e r s . 57
57
In o th e r w o rd s , th e o r ig in m a y be jo in e d to an y p o in t (tu y \, y\ ) by a
p o ly g o n a l lin e c o n s is tin g o f s t r a i g h t s e g m e n ts p a r a l l e l to th e v e c t o r s a p .
T h is p o ly g o n a l lin e b e lo n g s to th e c l a s s of a d m is s ib l e p a th s if an d o n ly if
th e c o e f f ic ie n ts y 1, y2, y3 (th e p r o je c tio n s of th e v e c t o r a o n to ap ) a r e
n o n - n e g a tiv e :
y P > 0 , 0 = 1 , 2, 3. (3 .5 a )
C o n d itio n (3 .5 ) h a s a n o b v io u s g e o m e t r i c a l i n t e r p r e t a t i o n : th e t e r m i n a l
p o in t (îf, y jf1 y \$ ) c a n be jo in e d to th e in i t i a l p o in t (0, 0, 0) by a p o ly g o n a l lin e
c o n s is tin g of s e g m e n ts p a r a l l e l to flj, a2, a3, w h ic h b e lo n g s to th e c l a s s of
a d m is s ib l e p a th s o n ly if t h i s p o in t l i e s in s id e
th e t r i h e d r a l s o lid a n g le (c o n e ) to w ith i t s a p e x
a t th e o r ig in , sp a n n e d by th e v e c t o r s a lf a2, a3
( F ig u r e 3 .1 ). T h e s itu a tio n i s e n t i r e l y
s i m i l a r in th e n - d im e n s io n a l p r o b le m .
E a c h o f t h e s e p o ly g o n a l li n e s i s an a b s o lu te
m in im iz in g s o lu tio n . It c o r r e s p o n d s to a
p ie c e w i s e - c o n s t a n t c o n tr o l fu n c tio n w(/)
ta k in g on th e v a lu e s u h u2) «3 . In d ee d , an y
s u c h p a i r y ( t ), u(t) b e lo n g s to th e c l a s s D o f
a d m is s ib l e s o lu tio n s and s a t i s f i e s a l l th e
c o n d itio n s of T h e o r e m 1 .1 . It (tu y\) £ co,
FIGURE 3.1 t h e r e a r e o b v io u s ly in f in ite ly m a n y s u c h
m in im iz in g s o lu tio n s . We c a n th u s a lw a y s
s e l e c t a m in im iz in g s o lu tio n c o n s is tin g o f th e
l e a s t n u m b e r of s t r a i g h t s e g m e n ts (and th e l e a s t n u m b e r of c o n t r o l s ) .
If th e p o in t (^f, y if) l i e s in s id e th e a n g le co, th is n u m b e r i s / z + l = 3 ; if it
l i e s on one of th e f a c e s of th e t r i h e d r a l a n g le , n ~ 2 , and f in a lly if it l i e s
on one o f th e e d g e s , n — 1.
T h u s, th e m in im iz in g s o lu tio n s of th e f u n c tio n a l a r e o f f u n d a m e n ta lly
d if f e r e n t f o r m , d e p e n d e in g on th e p r o p e r t i e s of th e fu n c tio n R(u) . In d eed ,
if R(u) h a s a s in g le s u p r e m u m p o in t u o v e r Vu , th e m in im iz in g s o lu tio n
( y(t), u( t) ) i s u n iq u e . T o find th is m in im iz in g s o lu tio n , w e h a v e to s o lv e
a v e r y s im p le b o u n d a r y - v a lu e p r o b le m : find a v e c to r (o|?i, o)^) s u c h th a t
th e s t r a i g h t lin e y=f[u(ty)]t p a s s e s th r o u g h th e p o in t (îf, yjf, y \{ ). If, h o w e v e r,
a v e c to r e x i s t s s u c h th a t R(u) h a s t h r e e s u p r e m u m p o in ts up , s a tis f y in g
th e c o n d itio n (ti{y y Xf) £co , th e fu n c tio n a l h a s in f in ite ly m a n y m in im iz in g
s o lu tio n s , w h ic h a r e p o ly g o n a l lin e s . T o find th e c o n s ta n ts o|>2 and th e
c o n tr o l f u n c tio n s Wp , we do n o t h av e to s o lv e an y b o u n d a ry v a lu e p r o b le m s :
th e y a r e in d e p e n d e n t of th e t e r m i n a l p o in t (^f, y \ f) £ co and a r e d e te r m in e d
f r o m th e f in ite r e l a t i o n (3 .3 ).
C o n d itio n (3 .3 ) in o u r c a s e c o n ta in s fiv e e q u a tio n s : t h r e e n e c e s s a r y
c o n d itio n s of a lo c a l m a x im u m , e. g ., .ftu(w p)=0, p —1, 2, 3, if wp lie in s id e
Vu j and tw o n e c e s s a r y c o n d itio n s of a n a b s o lu te m a x im u m a t e a c h o f th e
p o in ts wp :
R(ui ) = R ( u ? ) t p « 2 f 3. (3 .6 )
T h e o th e r c o n d itio n s in c lu d e d in (3 .3 ) a r e in e q u a li tie s . T h e n u m b e r k
o f f in ite e q u a tio n s (3 .6 ) d e fin in g th e v e c to r ty w ill be c a lle d th e
d e g e n e r a c y o f th e v a r i a t i o n a l p r o b le m . T h e d e g e n e r a c y k c a n be 58
58
d e fin e d a s th e n u m b e r of l i n e a r l y in d e p e n d e n t v e c t o r s ap (th e d im e n s io n o f
th e s o lid a n g le co) m in u s o n e. T h e ab o v e c a s e s c o r r e s p o n d (in th e s a m e
o r d e r ) to k = 0 and k = n = 2 .
A n i n te r m e d ia te c a s e , k = \ , is a ls o p o s s i b le . H e re , f o r s o m e *11?= (o|)i, ^ 2 )
^ (m) h a s o n ly tw o s u p r e m a , U\ and U2 , s u c h th a t th e v e c to r a = (t\f, y \ f, yfo) m a y
b e w r i tte n in th e f o r m a = yVa$, w h e re = [1, f l (u$ ), / 2(«p )], y p ^ 0 . P = l , 2 . In
th is c a s e , to is a p la n e a n g le s p a n n e d by aj and a2. T h e f u n c tio n a l h a s in f in ite ly
m a n y m in im iz in g s o lu tio n s , and th e c o r r e s p o n d i n g p a th s in th e (£f y) s p a c e a r e
p o ly g o n a l li n e s c o n s is tin g of s t r a i g h t s e g m e n ts p a r a l l e l to a\ an d a2. In
c o n t r a s t to th e c a s e k = 2 , th e c o n s ta n ts i|)i, ^2 an d wp d e p e n d on th e p o s itio n
of th e t e r m i n a l p o in t ( t if, r/Jf, yfi ), a lth o u g h th e y a r e " l e s s s e n s i t i v e " to th is
f a c to r th a n f o r k = 0 . F o r k —0 t tw o b o u n d a ry c o n d itio n s h ad to be s a tis f ie d ,
t2)] = #{f. * = 1 .2 .
and f o r k = 1 o n ly o n e c o n d itio n i s to be s a t i s f i e d : th e v e c t o r s a ^ a 2 and
a= sh o u ld b e c o p la n a r .
§ 3.2. S U F F IC IE N T C O N D ITIO N S O F AN A B S O L U T E
M IN IM U M AND T H E C O N ST R U C T IO N O F A
M IN IM IZ IN G SE Q U E N C E
L e t u s r e t u r n to th e g e n e r a l v a r i a t i o n a l p r o b le m a s s u m in g a fix e d t\ .
T h e s u f f ic ie n t c o n d itio n o f an a b s o lu te m in im u m f o r th is p r o b le m is f o r
m u la te d by T h e o r e m 1.1.
C o n s id e r a m in im iz in g s e q u e n c e {y s(t), us(t) } C D and a fu n c tio n <p(t, y)
w h ic h s a t i s f y a ll th e c o n d itio n s of th e th e o r e m . L e t u s a n a ly z e th e s t r u c t u r e
o f th is s e q u e n c e d e p e n d in g on th e f o r m of th e fu n c tio n R(y, ut t). L e t
( y ( t ) y u (t) ) be th e p o in t of th e ( n + r ) - d im e n s io n a l s p a c e ( y, u ) w h e re R (t, y, u)
a t ta i n s i t s m a x im u m f o r a g iv e n t .
L e t t h e r e be o ne s u c h p o in t on s o m e s e g m e n t (tj, t 2)£ (ta / 1). L e t f u r t h e r
y( t) be a b o u n d ed , c o n tin u o u s , and p ie c e w i s e - d if f e r e n tia b le f u n c tio n and
u(t) a b o u n d ed and p ie c e w is e - c o n tin u o u s fu n c tio n . T h en , by (1 .1 1 ),
e v e r y w h e r e on t h i s s e g m e n t
0s(O-»-0(O. and us ( t ) ^ u { t ) . (3:7)

S in ce {f/s(0» us ( 0 } C D > a n e c e s s a r y c o n d itio n f o r th e c o n v e r g e n c e (3 .7 )
i s th a t y ~ f ( t t y> u) a lm o s t e v e r y w h e r e on (tj, T2) . T h u s, f o r th o s e p o in ts
w h e r e th e fu n c tio n R(t, y> u) h a s a s in g le s u p r e m u m p o in t (y , u) , th e
m in im iz in g s e q u e n c e c o n v e r g e s to (y ( t ), u( t ) ) , an d th is p a i r o f v e c to r
fu n c tio n s sh o u ld s a t i s f y e q u a tio n s (1 .3 ).
N ow s u p p o s e th a t on th e s e g m e n t (ti, T2) C (ta ^1) t h e r e a r e m d if f e r e n t
c o n t r o l fu n c tio n s Wp s u c h th a t R {t , y , u) h a s a s u p r e m u m a t e v e r y p o in t
(y , wp) o f th e s p a c e ( y, u) ( y i s th e s a m e f o r a l l th e s u p r e m a ) , i. e .,
RV, 0(0, P= 1 , 2 , ( 3 . 8 ) 95
59
an d le t t h e r e b e £ + l < m c o n tr o l f u n c tio n s up, p = l , 2, k + \ , s u c h th a t
th e v e c t o r s ap =[1, f(t, y , hP )] o f th e (t, y) s p a c e a r e l i n e a r l y in d e p e n d e n t.
T h e n , by (1 .1 1 ), ys(t) (t)* w h e r e a s th e c o n t r o l fu n c tio n us {t) d o e s n o t
n e c e s s a r i l y h a v e a l i m it. It i s s u f f ic ie n t if t h i s c o n t r o l fu n c tio n ,,o s c i l l a t e s ,,
b e tw e e n u p (/). T h e l a t t e r s ig n i f ie s th a t f o r an y e > 0 an d a s u f f ic ie n tly l a r g e
t e r m i n a l S , on e of th e in e q u a li tie s
\us (t) — u t (t) |< e , p » l , 2, . . . . m , (3 .9 )
s h o u ld be s a t i s f i e d e v e r y w h e r e on (ti, T2) , w ith th e e x c e p tio n o f a s e t o f p o in ts

w h o se m e a s u r e g o e s to z e r o f o r 5 —*0 0 .
T h e l i m i t fu n c tio n y( t ) in th is c a s e i s n o t n e c e s s a r i l y a s o lu tio n o f (1 .3 )
f o r an y u( t ). It i s n e c e s s a r y , h o w e v e r, th a t on (tj, T2) th e v e c to r a(t) — ( \ , y )
of th e s p a c e (t, y ) b e lo n g s to th e a n g le co|7, y ( t ) ] , w h ic h i s a c o n v e x e n v e lo p e
o f th e v e c t o r s
« p = [ i . / ,(^. y> « p ) ./2(*> y> y, «p)],

p = i , 2..... * + 1.
In o th e r w o rd s , it i s n e c e s s a r y th a t t h e r e e x i s t s o m e f u n c tio n s y p (0 >
p = l , 2, . . . . k + \ , s u c h th a t on (tj, T2) th e v e c to r (1, y) i s r e p r e s e n t a b l e in
th e f o r m
a ( 0 = ( 1 .y ) = Yp,a?; Yp( 0 > 0 , (3 .1 0 )
y=vHt)f(t,y,Uf>), ( 3 .u )
or
*+1
2 Yp = l; Yp > 0 , P=l, (3 .1 2 )
p
( s u m m a tio n o v e r p is im p lie d ) . T h e fu n c tio n s y p (0 a r e p ie c e w is e - c o n tin u o u s .

A s a r e s u l t , y ( t) is p ie c e w i s e - d if f e r e n tia b le .
T h e h ig h e r th e d im e n s io n k-\-\ of th e a n g le o>, th e w e a k e r th e " c o u p lin g "
im p o s e d by (1 .3 ) on th e v e c t o r fu n c tio n y ( t ) . F o r k = n , th e c o n d itio n
(1. i/) £ to im p o s e s s im p le in e q u a lity c o n s t r a i n t s on y ( t ) , in s te a d o f e q u a tio n s
(1 .3 ). F o r £ = 0 , c o n v e r s e ly , y( t) sh o u ld be th e s o lu tio n o f th e e q u a tio n
y = f \ t , y, (01.
w h ere is an y of th e m a x im a o f th e fu n c tio n R f o r a fix e d y = y ( t ) .
We w ill now sh o w th a t if (1, y ) £ 0 on (tj, T2) , w e m a y in d e e d c o n s tr u c t
a s e q u e n c e { y s ( t ) t tistt)} C D s a tis f y in g (1 .3 ) and (1 .1 1 ) on (tj, T2). M o r e o v e r,
w e w ill a c tu a lly c o n s tr u c t th is s e q u e n c e . We p a r ti tio n th e s e g m e n t (tj, T2)
in to S i n t e r v a l s by th e p o in ts ri = i6< t ]< . . . < / 5 < t 2. T h is p a r ti tio n is
e x p e c te d to s a t i s f y o ne c o n d itio n o n ly : fo r 5 —*00 ,
As = m a x |t f + i _ / T |_ ,o , Y = 0 ,l,2 , . . . , 5 - 1 .
for S-*op
60
L et _
y s it^ y in + o^sl
w hen— ---- >0 f o r As -»• 0.
&S
E v e r y p o in t ( ys (fi)) in th e { t %y ) s p a c e i s jo in e d w ith th e a d ja c e n t
p o in t ( ^t+i? j/5 (/7+1) ) by a p o ly g o n a l lin e c o n s is tin g of s t r a i g h t s e g m e n ts
p a r a l l e l to th e v e c t o r s
o » ( < 0 = ll, f [ * #{ ?) , «P (*)]}• 0 .1 3 )

P= l, 2,.... k + 1.
T h e p o ly g o n a l lin e ys(t) c o n s tr u c te d in th is w ay is a s o lu tio n , to t e r m s
of th e o r d e r 0 (A s), of e q u a tio n (1 .3 ) w ith a p ie c e w i s e - c o n s t a n t c o n tr o l
fu n c tio n us ( t ) , w h ic h i s e q u a l to wp(/7) o v e r th e p a r t y p(^7)AT of e a c h
i n t e r v a l AT= / 7+1—/ T. If (1 .3 ) i s to be e x a c tly s a tis f ie d , th e s t r a i g h t s e g m e n ts
p a r a l l e l to th e v e c t o r s n p(/f) sh o u ld be r e p la c e d by th e s o lu tio n s o f th e
e q u a tio n s
y = f [<. y . « p ('T))-
T h e s e q u e n c e {ys(t), « s (0 } c o n s tr u c te d in t h i s w ay s a t i s f i e s a ll th e
c o n d itio n s of th e th e o r e m on (ti, T2): it s a t i s f i e s e q u a tio n s (1 .3 ) and f o r an y
t t ( T i , Tj),
Vs. «,) ^ ( f ) .
w h ere
!»(*)=/?[*, i/(0. « p (01
is bo u n d ed and c o n tin u o u s a lm o s t e v e r y w h e r e on (ti, X2 ) in v ir tu e o f th e

p r o p e r t i e s of th e fu n c tio n s R, y ( t ), u$(t) . T h u s, if t h i s s e q u e n c e s a t i s f i e s
th e c o n d itio n s of th e th e o r e m on [/0, £1] > i. e ., b ey o n d th e l i m i t s o f th e
i n t e r v a l (ti, x2 ) , it is a m in im iz in g s e q u e n c e .
T h e m in im iz in g s e q u e n c e c o n s tr u c te d by th is m e th o d h a s m u c h in
c o m m o n w ith th e s lid in g c o n tr o l fu n c tio n s of r e l a y s y s t e m s in a u to m a tic
c o n tr o l th e o r y , w h ich s w itc h f r o m one s t a t e to a n o th e r . F o r th is r e a s o n ,
it w ill be r e f e r r e d to a s th e o p t i m a l s l i d i n g c o n t r o l .
T h e li m i t f u n c tio n y( t) o f a s e q u e n c e o f o p tim a l p a th s ys(t) w ill be c a lle d
th e z e r o c l o s e n e s s fu n c tio n of th e s lid in g c o n tr o l. In th e lim it, th e s lid in g
c o n t r o l m a y be t r e a t e d a s ’’s lid in g m o tio n ” a lo n g th e p a th y( t) w ith in f in ite ly
f r e q u e n t s w itc h in g b e tw e e n d if f e r e n t c o n t r o l fu n c tio n s Up (t) .
T h e c o n t r o l s w itc h in g m a y o c c u r in an y o r d e r , a s lo n g a s th e
a p p r o x im a tin g p a th r e m a i n s in a s u f f ic ie n tly s m a l l n e ig h b o rh o o d o f
th e p a th y ( t ) .
T h e o p tim a l s lid in g c o n tr o l i s fu lly d e fin e d by th e z e r o c l o s e n e s s
f u n c tio n y( t ) and a s e t of k + \ b a s i s c o n t r o l f u n c tio n s u$( t) t p = l , 2, . . . . & + 1 .
T o fin d t h i s c o n tr o l, w e h a v e to fin d i t s d e fin in g c h a r a c t e r i s t i c s .
T h e l e a s t n u m b e r I of s w itc h in g s of « s(0 o n e v e r y s m a l l in t e r v a l
A? = (^7, t i +1) £ (ti, x2) w ill be c a lle d th e b r a n c h i n g o f th e o p tim a l
c o n t r o l on ( n t *2) . B r a n c h in g c a n be d e fin e d a s th e l e a s t n u m b e r o f 61
61
s t r a i g h t s e g m e n ts w h ic h m a k e u p an e l e m e n ta r y p o ly g o n a l lin e in th e (/, y)
s p a c e m in u s o n e. We h a v e an o b v io u s in e q u a lity l ^ k .
N o te th a t in o u r c o n s tr u c tio n of th e m in im iz in g s e q u e n c e , w e d e a lt n ot
w ith th e t o t a l n u m b e r m of th e s u p r e m a ( y, Wp) o f R(t, y , u ) t b u t w ith th e
n u m b e r & + l < m o f th e b a s is c o n tr o l fu n c tio n s «p s u c h th a t
*(*, y, « e ) = n ( 0 , P“ i. 2, f t+ l, (3 .1 4 )
an d th e v e c t o r s ap [1, /(ap )] in th e (t, y) s p a c e a r e li n e a r l y in d e p e n d e n t.
C o n d itio n (3 .1 4 ) i s e q u iv a le n t on (tj, X2 ) to c o n d itio n (1 .1 1 ) if th e s e q u e n c e
[ys(t), us(t)] i s c o n s tr u c te d by th e a b o v e m e th o d .
T h e n u m b e r k i s c a lle d th e d e g e n e r a c y o f th e s o lu tio n o f th e v a r i a t i o n a l
p r o b le m on (tj, T2) . T h is n u m b e r, a s we h a v e n o te d b e f o r e , c h a r a c t e r i z e s
to w hat e x te n t th e z e r o c l o s e n e s s fu n c tio n is ''in d e p e n d e n t” o f th e c o n s t r a i n t s
(1 .3 ). T h e c o n tr o l fu n c tio n s u p (/) d e fin in g th e b a s is v e c t o r s a p t (3=1, 2, . . . ,
/<H-1, w h ic h s p a n th e a n g le co(/) w ill be c a lle d th e b a s is f u n c tio n s of th e
o p tim a l s lid in g c o n tr o l.
L et
H [ t , y(i), t ( 0 , «] = t W / K y{t), « ] - / » ( / , y, u), (3 .1 5 )
w h ere
W)=<?y[t, y(t)]. (3 .1 6 )
By (3 .1 4 ),
H[t, y(t), t ( 0 . « e ] = M ') = sup H_[t, y(t), *(<), a], (3 .1 7 )

uevu(t.u)
P = 1, 2,..., k + \
or
+ /K y ( t \ wp] ~ / ° [ ^ */(/), a P] = M O , (3 .1 8 )
P = l, 2.... k + l .
S ince th e v e c t o r s ap a r e l i n e a r ly in d e p e n d e n t, th e m a tr ix
I i p ( « i ) , - , / ' , («i)
(3 .1 9 )
II 1 / ’ ( « * + ] ) . - , /"(K * + l)
is o f r a n k k + \ . T h is m a t r i x c o in c id e s w ith th e m a t r i x o f th e c o e f f ic ie n ts
b e f o r e jmi, ^ in (3 .1 8 ).
A d e g e n e r a c y of k th u s c o r r e s p o n d s to th e e x is te n c e of k in d e p e n d e n t
f in ite e q u a tio n s (3 .1 8 ) to be s a tis f ie d by th e v e c t o r tJ>(/) and th e fu n c tio n
jii(f)- If on (ti, T2) th e s o lu tio n h a s a d e g e n e r a c y k , th e n a s lid in g c o n t r o l
w ith b r a n c h in g /= & , a z e r o c l o s e n e s s fu n c tio n y ( t ) , and b a s i s c o n tr o l
fu n c tio n s ap (0 > P = l , 2,k + \ , is o p tim a l on th is in te r v a l. 62
62
Is t h i s s lid in g c o n tr o l u n iq u e o r do t h e r e e x i s t o th e r o p tim a l s lid in g
c o n t r o l s w ith th e s a m e z e r o c l o s e n e s s fu n c tio n b u t a s m a l l e r b r a n c h in g on
(ti, t 2) ? A s u f f ic ie n t c o n d itio n f o r th e e x is te n c e of s u c h c o n t r o l s is th e
e x i s te n c e of an a n g le coi[/,y(0]of d im e n s io n k\ + \ < k + \ . In p a r t i c u l a r , f o r
th e z e r o c l o s e n e s s fu n c tio n y( t) to be p a r t o f th e p h a s e p a th of an a b s o lu te
m in im iz in g s o lu tio n , i t i s s u f f ic ie n t th a t t h e r e e x i s t s a c o n tr o l fu n c tio n
v(t) w h ic h , f i r s t , s a t i s f i e s th e e q u a tio n y = f ( t y y y v) on (tj, r2) (th e
a n g le coi in t h i s c a s e fci = 0 d e g e n e r a t e s in to th e v e c t o r (1, ij) an d , s e c o n d ,
s a t i s f i e s th e c o n d itio n
H[t. y ( t ) . * ( / ) , v]=H[t, y ( t ) , * « ) . «p (3 .2 0 )
F o r e x a m p le , in p r o b le m s w h ic h a r e l i n e a r in c o n tr o l fu n c tio n s ,
f l — A l (tyy) + B) (/,y ) «/, / = 0,1A ..

j = l,2 ,...r,
s u c h a s o lu tio n a lw a y s e x i s t s , and a m in im iz in g s o lu tio n ( y ( t ) y u ( t ) ) £ D

t h e r e f o r e a l s o a lw a y s e x i s ts , a lth o u g h a lo n g a s o - c a l l e d s in g u l a r c u r v e
y( t) s a tis f y in g th e e q u a lit ie s
t,W £ j B)[ t >y(t)]=0, (3 .2 1 )

J = 1,2.... <
7.
th e d e g e n e r a c y i s k = q . In d ee d , by (3 .2 1 ), th e fu n c tio n
HV7yV) , W ) , u \ = t / lB j, u > - B ) u l + A°(t, y(t)), (3 .2 2 )
i = \ t2y...yn y
j = q + \,...r
i s in d e p e n d e n t of th e c o n tr o l fu n c tio n s u.J , / = 1 , 2, q,
T h e r e f o r e , any c o n tr o l fu n c tio n v(t) = {uxy ...» u r } , w h e re th e f i r s t
c o m p o n e n ts a r e a r b i t r a r y and th e l a s t c o m p o n e n ts m a x im iz e (3 .2 2 ), s a t i s f i e s
(3 .2 0 ), In p a r t i c u l a r , a c o n t r o l f u n c tio n w ith f i r s t q c o m p o n e n ts s a tis f y in g
(1 .3 ) a ls o s a t i s f i e s (3 .2 0 ).
I r r e s p e c t i v e o f th e d e g e n e r a c y k , th e m in im iz in g s o lu tio n ( y ( t ) y u(£))
e x i s t s in th e c l a s s o f a d m is s ib l e s o lu tio n s D if th e b r a n c h in g / i s z e r o . If
on s o m e (ti, r 2) , / > 0 , no m in im iz in g s o lu tio n e x i s t s in D , an d a m in im iz in g
s e q u e n c e h a s to be c o n s tr u c te d a s d e s c r i b e d a b o v e . T h is s o lu tio n o f th e
v a r i a t i o n a l p r o b le m w ill be c a lle d a n o p tim a l c o n tr o l w ith b r a n c h in g on
(ti, t 2) , o r an o p tim a l s lid in g c o n tr o l on ( tjt r 2), o r s im p ly o p tim a l c o n tr o l
if t h e r e i s no d a n g e r of c o n fu s io n .
T h e o r e m 1. 1 r e d u c e s th e p r o b le m o f m in im iz in g a fu n c tio n a l on a
s e t D to th e p r o b le m o f fin d in g a m a x im u m o f th e fu n c tio n R ( t y y y u) f o r
e v e r y fix e d t . O u r u n k n o w n s in t h i s p r o b le m a r e th e m in im iz in g s e q u e n c e ,
d e fin e d by th e z e r o c l o s e n e s s f u n c tio n y ( t) and th e b a s i s c o n tr o l fu n c tio n s 63
63
Kp , and th e fu n c tio n q>(/, y ) . T h e c o n d itio n s o f th e th e o r e m do n o t p r e s c r i b e
a n u n a m b ig u o u s c h o ic e o f th e fu n c tio n <p(t, y ) . M a k in g u s e o f th is a m b ig u ity ,
a s in C h a p te r II, w e m a y s e l e c t d if f e r e n t a l g o r i th m s b a s e d on T h e o r e m 1.1
f o r th e s o lu tio n o f th e v a r i a t i o n a l p r o b le m .
§ 3. 3. G E N E R A L IZ A T IO N O F T H E
L A G R A N G E —P O N T R Y A G IN M ETH O D
F o r s im p lic ity , w e a s s u m e th a t y ( t ) l i e s in s id e Vv f o r a l l t £ (t0, t{)9

th e v e c t o r s y o = y ( t 0), y \ = y { t \ ) a r e g iv e n , th e r e g io n Vu is d e fin e d by th e
in e q u a li tie s
\ u ) \ < U j = l , 2........r .
an d th e fu n c tio n s f l (/, y, u ), z= 0, 1, n , a r e c o n tin u o u s and tw ic e

d if f e r e n tia b le .
C o n s id e r an o p tim a l c o n tr o l w ith a z e r o c l o s e n e s s fu n c tio n y ( t ) w h ich
s a t i s f i e s a ll th e c o n d itio n s o f T h e o r e m 1.1, i. e ., e q u a lity (1 .1 1 ) in o u r c a s e .
On (ti, T2) C {to, t \ ) , th is o p tim a l c o n t r o l h a s a d e g e n e r a c y k . We w ill
w r i te o u t a l l th e e q u a tio n s w h ic h a r e c o n ta in e d in (3 .1 4 ) an d w h ich sh o u ld
be s a tis f ie d by th e so u g h t f u n c tio n s on (ti, T2). T h e fu n c tio n <p(/, y) is
a s s u m e d to be tw ic e d if f e r e n tia b le in th e p r o c e s s .
1. C o n d itio n (3 .1 7 ) c o n ta in in g k e q u a tio n s (3 .1 8 ) and r ( k + 1) c o n d itio n s
f o r a lo c a l m a x im u m o f H :
e ith e r
H uj = 0, \4 \< l. (3 .2 3 )
or
^ = ± 1 . (3 .2 4 )
w h ere
P - 1 ,2 ,...,f t + 1 ; y — 1,2..... r.
2. T he n e c e s s a r y c o n d itio n s f o r a m a x im u m o f /? w ith r e s p e c t to y :
Qt t ( Q ' U t ) = 9 m , f ( f .y'Ut)+<?fyl+<t»fy, ( t , y , u t ) - f h ( t , y , u t ) \ y. 7(n= o,

or
I _ =0. (3 .2 5 )
it at * I y*=y{ t )
T h e in d e x p in th e f i r s t t e r m in (3 .2 5 ) s ig n if ie s th a t th e to t a l d e r iv a tiv e
of qpy/ (/, y) is ta k e n in v ir tu e o f th e e q u a tio n y ~ \ { t y y, u $ ) . T h e to ta l n u m b e r
of e q u a tio n s in (3 .2 5 ) i s (&+ I)/z .
U sin g (3 .1 1 ), we m a y w r i te
♦1M = — v 1 ^ ( 0 ] = yp — •[V P - 64
64
F o r e v e r y fix e d i, we m u ltip ly e a c h of th e fc-f 1 e q u a lit ie s in (3 .2 5 ) by
yP and add th e m up. U sin g th e l a s t id e n tity , w e o b ta in
<i»i + p) = °> (3 .2 6 )
/ = 1,2,.,.,/t; P= l,2 * + l.
L e t u s w r i te th e n e c e s s a r y c o n d itio n s f o r a m a x im u m o f R ( t , y, w) on
( t|, T2) s u p p le m e n tin g th e m w ith c o n d itio n s (3 .1 1 ), (3 .1 2 ) w h ich sig n ify th a t
th e s o u g h t m in im iz in g s e q u e n c e b e lo n g s to th e s e t of s lid in g c o n t r o l s on
(ti, t 2):
y = y * f ( t ty tu ?);
tj»+yp//|/ (^y,ttp) = 0;
H [*/KO.0(O.0p]= sup//(/,t(0, y{t),u)\ (3 .2 7 )
u£Va
*+l
2 y?= 1 ; Yp W > 0; p = l , 2 , . . . . * + l .
P-1
H e re H is d e fin e d by (3 .1 5 ) and (3 .1 6 ).
T h is s y s t e m is an a n a lo g of th e e q u a tio n s of P o n try a g in * s m a x im u m
p r in c ip le f o r a m in im iz in g s o lu tio n of c l a s s D. In c a s e of z e r o d e g e n e r a c y
(k = 0), e q u a tio n s (3 .2 7 ) c o in c id e w ith (1 .3 ), (2 .4 ), and (2 .5 ) of th e m a x im u m
p r in c i p le .
E q u a tio n s (3 .2 7 ) c o n ta in 2n-\-r-\-k + k • r + 1 unkn o w n f u n c tio n s : th e s e
in c lu d e n p h a s e c o o r d in a te s y l (t), n fu n c tio n s i|),(/)t r ( k + I) c o m p o n e n ts
o f b a s is c o n tr o l f u n c tio n s , and k~\-\ f a c t o r s yP ( t ) . T h e n u m b e r of
e q u a tio n s i s a ls o 2n + r + k + k • r + 1 . In d e e d , we h a v e 2n e q u a tio n s f r o m
(3 .1 1 ) and (3 .2 6 ), one e q u a tio n f r o m (3 .1 2 ), and k + r + r - k e q u a tio n s f r o m
(3 .1 7 ).
T h e n u m b e r of e q u a tio n s in (3 .2 7 ) i s th u s e q u a l to th e n u m b e r of
u n k n o w n s.
E q u a tio n s (3 .2 7 ) in c lu d e k in d e p e n d e n t f in ite r e l a t i o n s
H U , y , t n? 1 = 0* (3 .2 8 )
P= 2.3,....ft + 1,
w h ic h fo llo w f r o m (3 .1 7 ). T h e s e r e l a t i o n s in d ic a te th a t th e fu n c tio n
H ( t , y, a|5, u) f o r fix e d t, y} -ij) h a s e q u a l v a lu e s a t a ll th e s u p r e m a u . H en ce
i t fo llo w s th a t th e i n i t i a l c o n d itio n s (t, y, \J)) f o r th e 2n d if f e r e n tia l e q u a tio n s
c o n ta in e d in (3 .2 7 ) c a n n o t be c h o s e n a r b i t r a r i l y : th e y m u s t s a tis f y (3 .2 8 ),
an d so th e o r d e r of th e s y s t e m (3 .2 7 ) i s a t m o s t 2n— k .
C o n d itio n s (3 .2 8 ) sh o u ld be s a tis f ie d id e n tic a ll y a lo n g an y s o lu tio n o f
(3 .1 1 ) , (3 .2 6 ) on (ti, r 2) . S e ttin g th e to t a l d e r i v a t i v e s of (3 .2 8 ) w ith r e s p e c t
to t e q u a l to z e r o and in s e r i n g f o r tj) and y th e r ig h t- h a n d s id e s f r o m (3 .1 1 )
an d (3 .2 6 ), w e o b ta in th e fo llo w in g s y s t e m of l i n e a r e q u a tio n s in yP:
65
^ [ H y \ u; f ( u 9) - H yf \ u; ] = - H , \ U
u\ (3.29)
a = 2 , 3 ..... k + \; p=l,2,...,A + l.
Here
e tc . T he le f t- h a n d s id e s c o n ta in s c a l a r p r o d u c ts o f th e n - d im e n s io n a l
v e c t o r s / and H y = ( H v i> H v . . . . H yn ) .
If e q u a tio n s (3 .2 9 ), (3 .1 2 ) a r e c o m p a tib le f o r an y /, y, ij?, th e y d e fin e th e
c o e f f ic ie n ts y p • H o w ev er, t h e s e e q u a tio n s m a y p ro v e to be c o m p a tib le o n ly
f o r th o s e t, y , w h ic h s a tis f y c e r t a i n f in ite r e l a t i o n s . T h is w ill e v id e n tly
lo w e r th e o r d e r o f s y s t e m (3 .2 7 ) e v e n f u r t h e r .
L e t 6 = 1 . T h en (3 .2 8 ), (3 .2 9 ), and (3 .1 2 ) ta k e th e f o r m
H — H (t,y ,t,a ,) = 0; (3 .3 0 )
Y1 \(Hy («,) - Hy ( « , ) ) / ( « , ) - Hy ( « ,) ( / («S) - / («,))] +
^ [ ( H y ( u 2) - H y ( u , ) ) f { u 2) - H y { u , ) ( f ( u , ) - f { u x) ) } = - H , ( u 2) + H t (ul)\ (3.31)
Yi-j-Y2 = l . (3 .3 2 )
C o lle c tin g s i m i l a r t e r m s in (3 .3 1 ), we o b ta in
(V1+ V2) [ / / » ( « » ) / ( « , ) - / * , ( « , ) / ( « * ) ] - - / / / ( « * ) + H t («,),
w h e n c e , u s in g (3 .1 2 ), w e o b ta in an a d d itio n a l f in ite r e l a t i o n s u p p le m e n tin g

(3 .3 0 )
\Hy («*) / ( « , ) + ^ , («*)] - [ / / , ( « , ) / (a2>+ H t (*i)] = 0,
s o th a t s y s t e m (3 .2 7 ) in t h i s c a s e i s a t m o s t o f o r d e r 2/t—2 .
T h e g e n e r a l p r o c e d u r e f o r th e c o n s tr u c tio n of a s o lu tio n by L a g r a n g e ’s
m e th o d is n o t v e r y c l e a r a t th is s ta g e . In p r in c ip le , h o w e v e r, it c a n be
d e s c r ib e d a s fo llo w s.
C h o o se an a r b i t r a r y i n i t i a l v e c to r i|>0==i|>(fo) and in v e s tig a te th e m a x im a
of th e fu n c tio n
H( t0> y0, f , u ).
S u p p o se th a t H ( t 0l y0»ty°, u) h a s a s in g le a b s o lu te m a x im u m U\ . T h is
m e a n s th a t f o r th e p a r t i c u l a r c h o s e n , th e d e g e n e r a c y i s z e r o a t th e
c o r r e s p o n d in g p o in t, 6 = 0 , an d e q u a tio n s (3 ,2 7 ) c o in c id e w ith th e o r d in a r y
e q u a tio n s of P o n tr y a g in 's m a x im u m p r in c i p le . U sin g th e s e e q u a tio n s , w e
c o n s tr u c t ( n u m e r ic a lly , s te p by s te p ) th e f u n c tio n s y ( t ) , i))(/), U](t). If f o r
s o m e / = T| th e fu n c tio n H\t, y , \j)(0, h] i s found to h a v e s e v e r a l a b s o lu te
m a x im a ( b a s is c o n tr o l f u n c tio n s ) U\(t), um(t), m > 1 , and s y s t e m (3 .2 7 )
i s c o m p a tib le a t t h i s p o in t, th e c o n s tr u c tio n of th e e x t r e m a l c a n b e c o n tin u e d ,
in g e n e r a l, f r o m th is s t a t e in m d if f e r e n t d ir e c tio n s ,
V-1= /(«?)).
66
ta k in g &= 0 , a s b e f o r e , and a s lid in g c o n tr o l o f d e g e n e r a c y k —m — 1 c a n
b e c o n s tr u c te d u s in g e q u a tio n s (3 .2 7 ). E a c h o f th e s e a l t e r n a t i v e s s a t i s f i e s
e q u a tio n s (3 .2 7 ) e q u a lly w e ll, b u t th e s e e q u a tio n s o n ly p r o v id e th e n e c e s s a r y
c o n d itio n s f o r a m a x im u m o f R ( t , y %u) . T o c h o o s e th e o p tim a l a l te r n a t iv e ,
w e m u s t r e l y on c o n d itio n s (1 ,1 1 ).
S u p p o se th a t th e o p tim a l b r a n c h on (ti, î) i s a s lid in g c o n tr o l of
d e g e n e r a c y k — m — 1 . E q u a tio n s (3 .2 7 ) t o g e th e r w ith th e i n i t i a l c o n d itio n s
y = y ( *i)> fu lly d e fin e th is c o n tr o l. It i s c o n s tr u c te d a s fo llo w s.
G iv e n y ( t j ) , o|)(ti), w e find th e a b s o lu te m a x im u m «p o f H ( t u w) ; f r o m
(3 .2 9 ) and (3 .1 2 ) w e find th e f a c t o r s y p • I n s e r tin g th e s e ap (ti) and y p (ti)
in (3 .1 1 ) an d (3 .2 6 ), w e o b ta in y ( ti), ip(xi), an d a p p ly in g an y s u ita b le
n u m e r i c a l m e th o d o f in te g r a tio n of d i f f e r e n t i a l e q u a tio n s , we c o n s tr u c t
s te p by s te p a s o lu tio n of (3 .2 7 ) up to t — t\. If y(t\) = £ yi f , a d if f e r e n t i|)° i s
s e le c te d an d th e e n t i r e p r o c e s s is r e p e a te d ; a l te r n a t iv e l y , f o r th e s a m e ,
s o m e T2 £ [ ti, î] i s c h o s e n and, if p o s s ib le , o n e of th e a b o v e c o n tr o l
a l t e r n a t i v e s w ith d e g e n e r a c y k < m — 1 i s c o n s tr u c te d f r o m th is p o in t.
A c h a r a c t e r i s t i c f e a tu r e o f s y s t e m (3 .2 7 ) w ith £ > 0 i s th a t i t s s o lu tio n s
a r e n o t u n iq u e . T h e n u m b e r of s o lu tio n s m a y b e in f in ite , a s E x a m p le 2.2
in C h a p te r II sh o w s (a d e g e n e r a te p r o b le m w ith l i n e a r c o n tro l).
It sh o u ld be s t r e s s e d th a t in th e d e g e n e r a t e c a s e , e q u a tio n s (3 .2 7 ) do not
y ie ld th e n e c e s s a r y in f o r m a tio n e v e n f o r c o n s tr u c tin g lo c a l m in im iz in g
s o lu tio n s . W ith n o n d e g e n e r a te s y s t e m s , on th e o th e r h an d , th e e q u a tio n s
of th e m a x im u m p r in c ip le a r e o fte n s o lv a b le o r h a v e a fin ite n u m b e r of
s o lu tio n s , s o th a t in p r in c ip le th e m in im iz in g s o lu tio n ca n be found by
c o n s tr u c tin g a ll th e p o s s ib le e x t r e m a l s and c h o o s in g th e b e s t a l te r n a t iv e .
F o r & ^ 2 , e q u a tio n s (3.29) a r e o fte n s o lv a b le fo r , so th a t (3 .2 7 ) is
of o r d e r 2n— k , i. e ., th e s e t of i t s s o lu tio n s c o n ta in s 2n — k c o n s ta n ts .
F u r t h e r a n a ly s i s of th e fu n c tio n R ( s e e § 3.5) sh o w s th a t th e n e c e s s a r y
c o n d itio n s f o r a m a x im u m o f th e s e c o n d d e r iv a tiv e of R a r e s a tis f ie d o n ly
by th o s e s o lu tio n s of (3.2 7) (if th e y e x is t) f o r w h ic h th e c o e f f ic ie n ts of (3 .2 9 )
i d e n tic a lly v a n is h , so th a t th e r ig h t- h a n d s id e s of th is s y s t e m a r e a ll e q u a l.
k ( k _1)
T h is g e n e r a t e s ——-— - + k a d d itio n a l fin ite r e l a t i o n s . If th e y t u r n to be i n
d e p e n d e n t, th e o v e r a l l o r d e r of s y s t e m (3 .2 7 ) d o e s n o t e x c e e d
2 £ ji
T h e s y s t e m of f in ite r e l a t i o n s m a y c o n ta in l e s s th a n 2k-\ in
dependent r e la tio n s . 2
F o r e x a m p le , i t c a n be sh o w n th a t if th e d e g e n e r a c y i s k = n and th e
in te g r a n d i s in d e p e n d e n t of th e c o n tr o l fu n c tio n an d h a s a s ta tio n a r y p o in t
y( t ) f o r e v e r y (t0, t\) > w h e r e y( t ) i s a c o n tin u o u s and d if f e r e n tia b le
v e c t o r fu n c tio n , s y s t e m (3 .2 7 ) is of o r d e r z e r o .
§ 3 .4 . R E M A R K S C O N C E R N IN G TH E H A M IL T O N —
JA C O B I — B E L L M A N M E T H O D
T h e H a m ilto n —J a c o b i—B e llm a n m e th o d w a s c o n s id e r e d in C h a p te r II f o r

th o s e c a s e s w h en th e m in im u m e x i s t s in D . U n lik e th e L a g r a n g e m e th o d . 67
67
w h e r e P o n tr y a g in 's m a x im u m p r in c i p le e q u a tio n s a r e r e p la c e d b y (3 .2 7 ),
th e H a m ilto n —J a c o b i—B e llm a n m e th o d i s e x te n d e d to th e c a s e of s lid in g
c o n tr o l w ith o u t a n y c h a n g e .
In d ee d , c o n s id e r th e fu n c tio n P(t, y ) , (2 .6 5 ), and c h o o s e <jp(^ y) s o th a t
P b e c o m e s in d e p e n d e n t o f y , i. e ., s o th a t e q u a tio n (2 .6 6 ) i s s a tis f ie d .
A s in C h a p te r II, th e fu n c tio n <p(?, y) d e s c r i b i n g th e o p tim a l c o n t r o l fie ld
i s d e fin e d by th e p a r t i a l d i f f e r e n tia l e q u a tio n (2 .6 6 ) w ith th e b o u n d a r y
c o n d itio n (2 .6 9 ). ^
H aving found a s o lu tio n <$(t, y) of th is e q u a tio n , w e o b ta in a n o p tim a l
c o n tr o l fu n c tio n u (t, y) a t e v e r y p o in t (/, y ) , b u t th is c o n t r o l i s n o t
n e c e s s a r i l y u n iq u e . It i s d e fin e d by e q u a tio n (2 .6 5 ) an d in p r a c t i c e is o b ta in e d
in th e c o u r s e o f c o n s tr u c tio n of P[t, //, (p(t, y)) .
T o o b ta in a n o p tim a l s o lu tio n c o r r e s p o n d in g to s o m e fix e d i n i t i a l
c o n d itio n (to, y o )f , it is s u f f ic ie n t to in te g r a te s y s t e m (1 .3 ), c lo s e d by
e q u a tio n (2 .6 5 ), w ith th is in i t i a l c o n d itio n . If th e s o lu tio n o f th e p r o b le m
w ith th is i n i t i a l c o n d itio n c o n ta in s a s lid in g c o n tr o l s e c tio n in ( t j , t 2)» th e
r e q u i r e d s o lu tio n is r e a liz e d a u to m a tic a lly . O th e r w is e w e w ould h a v e en d ed
u p w ith a n o n - o p tim a l s o lu tio n s a tis f y in g th e c o n d itio n s of T h e o r e m 1.1,
w h ic h i s im p o s s ib le .
In n u m e r i c a l in te g r a tio n , th e s lid in g c o n tr o l s e c tio n e m e r g e s a s a
c o n tr o l s c h e d u le w ith v e r y f r e q u e n t c o n tr o l s w itc h in g . T h e s w itc h in g
f re q u e n c y i n c r e a s e s a s th e in te g r a tio n in t e r v a l d im i n is h e s , an d th e s o u g h t
m in im iz in g s e q u e n c e i s th u s in d e e d o b ta in e d by r e d u c in g th e in te g r a tio n
i n te r v a l.
We w ould lik e to s t r e s s s o m e c h a r a c t e r i s t i c f e a t u r e s of th e p a r t i a l
d if f e r e n t i a l e q u a tio n (2 .6 6 ) in t h i s c a s e .
L e t th e fu n c tio n H ( t t y, i|), u) h a v e th e f o r m
H = K ( t , y , i|>) + L ( t , y y ^)tf,
w h ere [— 1, + 1 ] i s a s c a l a r . T he fu n c tio n P th u s ta k e s th e f o r m
P = K(t, y, q>„) + | L(t, y, <p„) |+<p<,
i. e ., th e le f t- h a n d s id e of th e p a r t i a l d i f f e r e n tia l e q u a tio n (2 .6 6 ) i s n o n -
d if f e r e n tia b le . T h is s itu a tio n i s c h a r a c t e r i s t i c o f a ll d e g e n e r a t e p r o b le m s .
§ 3. 5. T H E M E T H O D O F M U L T IP L E M AXIM A
C o n s id e r a n o th e r m e th o d o f s o lv in g d e g e n e r a t e v a r i a t i o n a l p r o b le m s ,
w h ic h d i f f e r s f r o m th e L a g r a n g e and th e H a m ilto n —J a c o b i m e th o d s . W hen
a p p lic a b le , it h a s a n u m b e r o f d is t in c t a d v a n ta g e s w h ic h w ill be c o n s id e r e d
b e lo w . T h is m e th o d u s e s a p a r t i c u l a r d e f in itio n of th e fu n c tio n <p(/, y ) .
F i r s t l e t u s c o n s id e r a p a r t i c u l a r p r o b le m o f m in im iz in g th e fu n c tio n a l
d . i ) . 68
68
3. 5. 1. T h e s i m p l e s t fu n c tio n a l
L et
/ - j f /»(<,*,«)<#;
(3 .3 3 )
r ! < « < r 2.
H e r e */(f) and u(t) a r e s c a l a r fu n c tio n s ,

yo~you y\=y\i~
L e t /u > 0 f o r a £ [ r i , r j an d l e t th e r e g io n Vv {t) o f th e a d m is s ib l e v a l u e s o f
y be r e s t r i c t e d to th e s o lu tio n s o f th e e q u a tio n s y ~ f ( t , y> IY 2) w h ic h p a s s
th r o u g h th e g iv e n i n i t i a l and t e r m i n a l p o in ts . A d d itio n a l c o n d itio n s m a y a ls o
b e im p o s e d on Vy (t). _
A t e v e r y p o in t /, y £ Vv (t) we find i p = ' i p y) s u c h th a t f f = aj)/—f° a t ta i n s a
s u p r e m u m a t l e a s t f o r tw o v a lu e s of u ,
n ( y # (A y ) , «, ('. y)\ — h [t,y,'htyV<y) ’ u 2 (''.</)]= d ( t , y ); ( 3. 3 4 )
d(t,y)= sup H ( t , y $( t ,y ) , u \ (3 .3 5 )
r,<u<r,
an d th e v e c t o r s [1, f ( u\) \ and [1, f ( u2)] a r e l i n e a r l y in d e p e n d e n t, i. e .,

f ( ui ) ¥=f (u2).
A s w e h a v e s e e n b e f o r e , r e l a t i o n s (3 .3 4 ) an d (3 .3 5 ) in c o r p o r a t e t h r e e
e q u a tio n s in t h r e e u n k n o w n s Uu u2j a|) . L e t T i< W i< r 2 an d ^2 = ^ . T h en
K«) 1? =
^ 'K /( r 2) - / ( « I)]-[/° (r2) - / 0(«1)] = 0 ; (3 .3 6 )
/ / .( « i ) - t / .( « .) - / 2 («i)-o.
S o lv in g th e se c o n d e q u a tio n in (3 .3 6 ) f o r ij) an d in s e r t in g th e r e s u l t in th e
f i r s t e q u a tio n , w e o b ta in an e q u a tio n f o r ti\.
T h e fu n c tio n <p(/, y) is now d e fin e d by th e e q u a lity
(3 .3 7 )
<p(<.4f ) = \ W , y ) d y.
T h e i n t e g r a l in (3 .3 7 ) is in d e fin ite , w ith fix e d t , s in c e an a d d itiv e

c o n s ta n t in th e e x p r e s s i o n f o r <p d o e s n o t a f f e c t th e s o lu tio n o f th e p r o b le m .
Thus
R ( t , y tu ) = w , y ) f ^ y ^ ) - f 0 ( t , y , u ) + l tyt(t,y)dy, (3 .3 8 )
P ( t , y ) = su p /?=<*(<,y ) + ^ $t (t,y)dy. (3 .3 9 )
M a x im iz in g P ( t t y) w ith r e s p e c t to y f o r e v e r y fix e d t £ (t0> t\) , w e fin d a

s o lu tio n y (/) o f th e e q u a tio n 69
69
P ( t , y ) = sup P { t, y) = ]x{t). (3 .4 0 )
yeVyi t)
T h e f u n c tio n y( t) in g e n e r a l c o n s i s t s o f p ie c e s o f th e b o u n d a r y o f Vy (t)
an d th e s o lu tio n s of th e e q u a tio n
R y {t,y) = 0 (3 .4 1 )
in VB(f).
L e t y( t) be c o n tin u o u s and p ie c e w i s e - d if f e r e n tia b le on [to, t] . L e t it
f u r t h e r s a t i s f y th e in e q u a lity
f{t, y, u \ y , u2), (3 .4 2 )
w h ic h in o u r c a s e i s e q u iv a le n t to th e c o n d itio n (1, a>(£, y ( t ) ) . T h e n y( t) is

a z e r o c l o s e n e s s f u n c tio n of an o p tim a l c o n tr o l o f d e g e n e r a c y k = \ w ith th e
b a s i s c o n tr o l fu n c tio n s «i, u2 .
In d ee d , f o r e v e r y t £ ( t o , t j) , th e fu n c tio n R ( t yy, u) define*! by (3 .3 8 ) h a s an
a b s o lu te m a x im u m a t th e p o in ts (y , U\) and (yy u2) of th e p la n e (y, u) . T h e
p r o b le m i s th u s s o lv e d .
T h e ab o v e d i s c u s s io n a l s o r e v e a l s th e c h a r a c t e r i s t i c f e a t u r e s o f t h i s
a lg o r ith m . In a s e n s e , i t i s " a n tip o d a l" to th e H a m ilto n —J a c o b i—B e llm a n
m e th o d . B oth th e s e m e th o d s , in c o n t r a s t to th e L a g r a n g e m e th o d , im p o s e
c e r t a i n c o n s t r a i n t s on (p(t, y) w h ic h sh o u ld be s a tis f ie d id e n tic a ll y in Vy .
In B e llm a n 's m e th o d th e o p tim a l p a th i s s e le c te d by c h o o s in g a c o n t r o l
f u n c tio n u = u w h ich e n s u r e s su p R , w h ile R is m a x im iz e d w ith r e s p e c t to
vu
y by an a p p r o p r ia t e c h o ic e of <p(£ y ) . In th e n ew m e th o d , on th e o th e r h an d ,
a m in im iz in g s o lu tio n is o b ta in e d b y c h o o s in g th e p o in t y = y in th e p h a s e
s p a c e f o r e v e r y t on w h ic h s u p R i s a tta in e d ; th e m a x im u m w ith r e s p e c t t o
u is e n s u r e d b e f o r e h a n d by an a p p r o p r ia t e c h o ic e of y(t, y) . In d ee d , £ (1, y) .
T h e s p e c if ic f e a t u r e s of e a c h m e th o d a u to m a tic a lly d e fin e th e r a n g e of
p r o b le m s to w h ic h th e y a r e b e s t a p p lie d : th e H a m ilto n —J a c o b i—B e llm a n
m e th o d i s l i t t l e s e n s itiv e (a t l e a s t in p r in c ip le ) to c o n s t r a i n t s on th e c o n tr o l
fu n c tio n , w h ile b e in g e x t r e m e l y s e n s itiv e to c o n s t r a i n t s im p o s e d on th e
p h a s e c o o r d in a te s , th e c o n s t r a i n t s on th e v e c to r y in c lu d e d . F o r th e new
f o r m a lis m , on th e o th e r h and, th e c o n s t r a i n t s on th e p h a s e c o o r d in a te s a r e
o f no s ig n if ic a n c e .
In v i r t u e o f th e p a r t i c u l a r c o n s tr u c tio n u s e d , th e m e th o d o f m u ltip le
m a x im a is a p p lic a b le o n ly to d e g e n e r a t e p r o b le m s (a lth o u g h n o t n e c e s s a r i l y to
b r a n c h in g c o n tr o l) . T h is is a ty p ic a l m e th o d f o r s o lv in g d e g e n e r a t e p r o b le m s .
T h e ab o v e d i s c u s s io n i l l u s t r a t e s th e e f f ic ie n c y of th e m e th o d . T h u s,
in s te a d of s o lv in g a bound a r y - v a l u e p r o b le m f o r a s y s t e m o f d i f f e r e n t i a l
e q u a tio n s , w h o se s o lu tio n is f a r f r o m c o v e r in g a ll th e p o s s ib le c o n tr o l
p r o g r a m s ( L a g r a n g e 's m e th o d ), o r s o lv in g a n o n lin e a r p a r t i a l d i f f e r e n tia l
e q u a tio n (th e H a m ilto n —J a c o b i m e th o d ), th e m e th o d o f m u ltip le m a x im a
r e d u c e s th e e n t i r e p r o b le m to e l e m e n ta r y r e l a t i o n s . T h is s im p lif ic a tio n is
m a d e p o s s i b le by th e r e la x a ti o n o f th e c o n s t r a i n t s on y ( t ) y u(t) a s a r e s u l t
o f d e g e n e r a c y . T h e c o n d itio n of th e s t r i c t e q u a lity o f th e v e c t o r s (1, y)
an d (1, / (t, y t u)) in th e (t, y) s p a c e i s r e p la c e d by th e w e a k e r c o n d itio n th a t
th e v e c to r (1, y) sh o u ld b e lo n g to th e a n g le co(/, y ( t ) ) ,07
70
We w ill now c o n s id e r th e g e n e r a liz a t io n of th e m e th o d o f m u ltip le m a x im a
to s o m e c o m m o n m u ltid im e n s io n a l ( n > I ) v a r i a t i o n a l p r o b le m s .
3. 5. 2. S y s te m s w ith lin e a r c o n tr o l
C o n s id e r th e fo llo w in g p a r t i c u l a r c a s e of th e g e n e r a l v a r i a t i o n a l p r o b le m
( C h a p te r I). T h e fu n c tio n a l / i s g iv e n by
t,
/ = J f ° V , y , v ) d t - \ - F (//0,i/i), (3 .4 3 )
*o
th e d i f f e r e n t i a l e q u a tio n s (1 .3 ) h av e th e f o r m
y = f ( ( , y, u) = g ( t , y, v ) + h ( t , y) w, (3 .4 4 )
w h ere
u — {vt w), v = ( u l, v2, i>r_1),
an d w i s a s c a l a r c o n tr o l fu n c tio n .
T h e s e t Vu (t, y) is d e fin e d by th e c o n d itio n s
v ^ V v(t, y ) , w ^ V w(t, y)-, (3 .4 5 )
y £ V y (t), /£ [ /„ . CiL (3 .4 6 )
w h e r e Vv (t, y) is a g iv e n s e t of p o in ts in th e (r— 1 )- d im e n s io n a l v e c to r
s p a c e . Via is th e s e g m e n t [w\(t, y ), w2(t, y)].
T h e v e c to r f u n c tio n s g (t, y, v) = ( g \ g 2, . . . , g n ) and h (t, y) = (hlt h2, . . . , h n )
a r e c o n tin u o u s and d if f e r e n tia b le fo r a ll t £ [ t 0y t{]\ y ^ V y( t ) t v £ V v(t, y) .
P r o b le m s o f th is k in d c o n s titu te a s p e c i a l c l a s s in v a r i a t i o n a l c a lc u lu s ,
s in c e th e s ta n d a r d c l a s s i c a l n e c e s s a r y and s u f f ic ie n t c o n d itio n s do n o t
p r o v id e a s o lu tio n fo r th e lo c a l m in im u m of th e f u n c tio n a l in th is c a s e .
T h u s, W e i e r s t r a s s 's and L e g e n d r e 's s tr e n g th e n e d c o n d itio n s / 3 / a p r i o r i
do no t h o ld . J a c o b i 's c o n d itio n is m e a n in g l e s s f o r th e s e p r o b le m s .
T o s o lv e th e p r o b le m , w e w ill a p p ly T h e o r e m 1 .1. We h a v e
R{t, y, v, y, i>)+h(t, y ) w ) — f°(t, y, u)+cp#. (3 .4 7 )
T h e f u n c tio n cp b e in g a r b i t r a r y to a d e g r e e , w e d e fin e i t s o th a t f o r an y
a d m is s ib l e t and y ,
<p» A ( U j) - o. <3 -4 8 >

G iv e n th is cp, th e fu n c tio n R is in d e p e n d e n t o f w .
C o n d itio n (3 .4 8 ) is a p a r t i a l d i f f e r e n t i a l e q u a tio n f o r th e fu n c tio n cp . T h e
g e n e r a l s o lu tio n of t h i s e q u a tio n i s an a r b i t r a r y c o n tin u o u s an d d if f e r e n tia b le
f u n c tio n 71
,i),
71
w h ere
’i = n {t,y)\ (3 .4 9 )
x\(t, #) = (y> rl2» •••* 'nn~ 1) i s a s e t of th e (n— 1) in d e p e n d e n t f i r s t i n t e g r a l s

o f th e s y s t e m of d i f f e r e n t i a l e q u a tio n s
~ = h (t,y). (3 .5 0 )
dx v
We c h o o s e t, y a s th e n ew a r g u m e n ts of th e f u n c tio n <pj . T h is g iv e s
fl = J?i(*,Tl,y,®) = <Pi.| / 0(t ,y.v) + ’fu- (3 .5 1 )
T h e p r o b le m now r e d u c e s to fin d in g th e m a x im u m o f R\ f o r e v e r y fix ed

t i) on th e s e t of p o in ts (r), y, v, w) in th e (n + r + l) - d i m e n s io n a l s e t,
w h ich s a tis f y th e c o n d itio n s (3 .4 5 ), (3 .4 9 ) and th e c o n d itio n y £ V v (t) .
F o r m a lly , th e R d e fin e d by e x p r e s s io n (3 .5 1 ) is a fu n c tio n of th e
f u n c tio n a l (3 .4 3 ) and th e fo llo w in g s y s t e m of c o n s t r a i n t s :
n
1i = 2 1W ( '. 0 .®)+Ti/; (3. 52 )
/-I
r\j = n i ( t , y \ y = 1, 2,..., / i - l , (3 .5 3 )
w h e r e rj;’ a r e p h a s e c o o r d in a te s , */*, ^ a r e c o n tr o l f u n c tio n s .

We w ill sh o w th a t in th e a b s e n c e o f any c o n s t r a i n t s on xvt th e i n it ia l
p r o b le m (w e d e s ig n a te it P r o b le m 1) c a n be re d u c e d , a c tu a lly a s w e ll a s
f o r m a lly , to th e p r o b le m of m in im iz in g th e fu n c tio n a l (3 .4 3 ) on th e s e t of
e l e m e n ts (i] (/), y( t ) , u (/), w ( t ) ) s a tis f y in g e q u a tio n s (3 .5 1 ), (3 .5 2 ) and c o n
d itio n s (3 .4 5 ), (3 .4 6 ) (we d e s ig n a te it P r o b le m 2).
C o n s id e r a s e t D\ of e l e m e n ts (r\ (/), y(t)> v(t), w ( l ) ) s a tis f y in g th e
fo llo w in g c o n d itio n s :
1. T he v e c t o r fu n c tio n rj(0 = (Tl ,» t)2, t] * '1) is c o n tin u o u s and p ie c e w is e -
d if f e r e n tia b le on [/o, fj] ; r]' a r e th e new p h a s e c o o r d in a te s .
2. T h e v e c to r fu n c tio n (y(t), v( t ) ) is c o n tin u o u s e v e r y w h e r e on [/o, l\]
w ith th e p o s s ib le e x c e p tio n of a fin ite n u m b e r o f p o in ts , w h e r e it m a y h av e
d is c o n tin u i tie s of th e f i r s t k in d .
3. F o r e v e r y ((£ [to, t{\ th e v e c to r (n, y, v) b e lo n g s to th e s e t V\(t) o f th e
( 2/i+r) - d i m e n s i o n a l s p a c e d e fin e d by c o n d itio n s (3 .4 5 ), (3 .4 8 ), and (3 .4 6 ).
4. T he fu n c tio n s r)(0 , y ( t) , ^ ( 0 s a tis f y e q u a tio n s (3 .5 1 ). T h e s e t of a ll
c o n tr o l fu n c tio n s (y ( t ), v (t ) ) i s d e s ig n a te d D2 . P r o b le m 2 i s f o r m u la te d a s
fo llo w s . F in d an e le m e n t (r\(t), y ( t ) , v ( t ) ) £ D { on w h ich th e fu n c tio n a l
(3 .4 3 ) a t ta i n s i t s m in im u m v a lu e on D l . F o r th e p u r p o s e s o f P r o b le m 2 it
i s a s s u m e d th a t th e so u g h t e le m e n t (tj(/), # (/), y ( 0 ) i s c o n ta in e d in D\ .
A ll th a t fo llo w s c a n be g e n e r a liz e d w ith o u t d if fic u lty to th e c a s e w hen th e
m in im u m o f 1 is no t a tta in e d on and a m in im iz in g s e q u e n c e is to b e
c o n s tr u c te d in D\,
L e t u s c o n s id e r th e s im u lta n e o u s e q u a tio n s (3 .4 4 ), (3 .5 2 ) f o r (y(t), v(t) ,
w{t )) . T h en , by (3 .5 3 ), t h e r e a r e o n ly n in d e p e n d e n t e q u a tio n s a m o n g
(3 .4 4 ) , (3 .5 2 ), and th e e q u a tio n s in (3 .5 2 ) a r e in d e p e n d e n t o f o n e a n o th e r .
We w ill now sh o w th a t D2^ D .72
72
Indeed* le t D2' by a s u b s e t o f e l e m e n ts o f D2 s a tis f y in g a l l th e c o n d itio n s
of D , w ith th e e x c e p tio n of e q u a tio n s (3 .4 4 ). T h e n D2 zd D , s in c e s y s t e m
(3 .5 2 ) c o n ta in s f e w e r in d e p e n d e n t c o n s t r a i n t s th a n s y s t e m (3.52)* (3 .4 4 ),
w h ic h i s e q u iv a le n t to s y s t e m (3 .4 4 ). H en c e, D i s a s u b s e t o f D2i D2r>D .
T h en , in v i r t u e of th e p a r t i c u l a r s t r u c t u r e o f th e fu n c tio n a l (3 .4 3 ), w e h a v e
th e o b v io u s r e l a t i o n s
inf / = i n f / < i n f / . (3 .5 4 )
Dx Da D
S u p p o se th a t P r o b le m 2 h a s b e e n s o lv e d , sa y , by f u r t h e r in v e s tig a tio n
of th e fu n c tio n R\ an d th e c o n d itio n s (1 .1 2 ). L e t (y( t) , w(/), w( t) ) m in im iz e
th e f u n c tio n a l (3 .4 3 ) on D2 , w h e re w( t) m a y b e an y p ie c e w is e - c o n tin u o u s
fu n c tio n on [to, t j], s in c e th e f u n c tio n a l and s y s t e m (3..52) a r e in d e p e n d e n t
of w . We w ill now sh o w th a t a fu n c tio n w(t) e x i s t s s u c h th a t t h e r e i s an
e le m e n t (y(t)> v ( t ), w ( t ) ) s a tis f y in g e q u a tio n s (3 .4 4 ) w h ich s a t i s f i e s to an y
d e s i r e d a c c u r a c y th e b o u n d a ry c o n d itio n s (3 .4 6 ) and th e c o n s t r a i n t s (3 .4 5 ),
(3 .4 6 ) and a p p r o x im a te s * to th e e le m e n t (y( t) , v( t) , w( t) ) £ D2 .
In d e e d , if y( t) i s c o n tin u o u s and p ie c e w i s e - d if f e r e n tia b le , w ith a f in ite
n u m b e r o f p o in ts o f d is c o n tin u ity o f th e d e r iv a tiv e , th e n i n s e r t i n g y ( t) in
o n e of th e e q u a tio n s in (3 .4 4 ) (s u c h th a t th e s u b s t itu tio n d o e s n o t g iv e a
t r i v i a l r e l a t i o n of th e f o r m 0 = 0 ) and s o lv in g th e r e s u l t i n g e q u a tio n f o r w ,
w e o b ta in a fu n c tio n w(t) w h ich , in v ir tu e of th e p r o p e r t i e s o f y(t) and
g , h h a s a t m o s t a f in ite n u m b e r of d is c o n tin u i tie s o f th e f i r s t k in d . In
t h i s c a s e (y( t) , v ( i ), w( t ) ) £ D and w e m a y ta k e
(y(t), v ( t ), w( t) ) = (y(t), v ( t ) y w ( t ) ) .
If y ( t) h a s a f in ite n u m b e r of d is c o n tin u i tie s of th e f i r s t k in d , w e p r o c e e d

a s fo llo w s . S u p p o se th a t r e l a t i o n s (3 .4 9 ) a r e w r i tte n in th e f o r m
*/ = X O W ), X = ( x \ x 2, - - X n), (3 .5 5 )
w h e r e %l ( tj, 0, t) a r e s o m e c o n s t r a i n t s w h ic h a r e c o n tin u o u s and d i f f e r e n
tia b le f u n c tio n s of t h e i r a r g u m e n ts , 0 is s o m e s c a l a r v a r ia b le .
We know f r o m th e th e o r y of o r d in a r y d i f f e r e n t i a l e q u a tio n s th a t s u c h a
r e p r e s e n t a t i o n in d e e d e x i s t s ( s e e , e. g ., / 2 / ) . T h e s u b s titu tio n of v a r i a b l e s
r e d u c e s (3 .5 2 ) to th e f o r m
f| = v = (v1,v2,...,v',‘- 1), (3 .5 6 )
w h e r e v J (t|, 0, v, t) a r e s o m e c o n tin u o u s f u n c tio n s o f t h e i r a r g u m e n ts , and

(3 .4 4 ) i s r e d u c e d to th e f o r m
f) = v(T), 6yV,t); (3 .5 7 )
e = v? Oi, (n. K 0 w. (3 .5 8 )
• We say that a continuous vector function %(f) approximates on [/0, fj] with an accuracy e to some
piecewise-continuous function r.(t) with a finite number of discontinuities of the first kind if
I x ( 0 — * ( 0 I< 8 everywhere on (/o. /»]. with the possible exception of the e -neighborhoods of the dis
continuity points of %(f).73
73
T h e f u n c tio n a l (3 .4 3 ) and th e o th e r r e l a t i o n s f ig u r in g in th e p r o b le m a r e
a ls o e x p r e s s e d in th e n ew v a r i a b l e s . In (3 .5 7 ), (3 .5 8 ), 0 i s a c o n tr o l
e le m e n t, w h e r e a s in (3 .5 6 ) it i s a p h a s e c o o r d in a te . L e t 0(/) be th e c o n tr o l
fu n c tio n 0(/) c o r r e s p o n d in g to th e s o lu tio n o f P r o b le m 2. In o u r c a s e , 0(/)
i s s o m e p ie c e w is e - c o n tin u o u s fu n c tio n w ith a f in ite n u m b e r o f d is c o n tin u i tie s
o f th e f i r s t k in d ( F ig u r e 3 .2 ). E v id e n tly ,
y ( 0 = x ( n W . 8(0, o.
We p a r t i t i o n th e s e g m e n t [/0, t\] in to s u b in t e r v a ls A5 s o th a t th e d i s
c o n tin u itie s c o in c id e w ith s o m e of th e p a r ti tio n p o in ts . J o in in g th e p o in ts
(^,_j) (/«)) by s t r a i g h t s e g m e n ts , we o b ta in a c o n tin u o u s p o ly g o n a l lin e
(t, 0s(O ) ’'in s c r i b e d " in s id e th e c u r v e ( / , ! ) ( / ) ) . H e re 5 = 1 , 2 , . . . , 5 .
L e t u s find th e _ s o lu tio n r)s(0 of (3 .5 6 ) f o r 0 ( / ) = 0s(O» v { t ) = v ( t ) and th e
i n i t i a l c o n d itio n s r ] s ( 0 =Ti ( 0 ) . F i r s t we w ill in v e s tig a te th e b e h a v io r o f th e
s o lu tio n T)s (/). We s e e f r o m th e c o n s tr u c tio n o f 6S (t) th a t f o r any a r b i t r a r i l y
s m a ll e > 0 , t h e r e e x i s t s 6 ( f o r S —+oo , m a x As—>0) s u c h th a t
80 = , | 0 ( / ) — <is (/) | < e
e v e r y w h e r e on [/o, t \ ] , w ith th e p o s s ib le e x c e p tio n o f th e e - n e ig h b o r h o o d s

o f th e d is c o n tin u ity p o in ts of 0(/). B e c a u s e of th e c o n s t r a i n t s , w e c a n
c o n s tr u c t a c lo s e d b o u n d ed r e g io n G in th e s p a c e o f th e v a r i a b l e s rj, 0, t
w h ic h c o n ta in s a l l th e a d m is s ib l e v a lu e s of th e v a r i a b l e s c o r r e s p o n d in g to
th e s o lu tio n of s y s t e m (3 .5 2 ) w ith th e ab o v e in i t i a l c o n d itio n s . S in ce th e
f u n c tio n s v 1 (rj, 0, t) a r e c o n tin u o u s , th e in c r e m e n t
8v= |v (r i, 0(0, v (t\ /) — v(n, MO, ®(0, 01 (3 .5 9 )
is of th e o r d e r e , i. e ., 6v< £e f o r 60<ê j w h e re k i s s o m e c o n s ta n t.
N e a r th e d is c o n tin u ity p o in ts of 0 ( /) , A0 and 6v a r e b o u n d ed , i. e .,
6 0 < /, 6v<^m w h e r e I, m a r e c o n s ta n ts . H ence w e o b ta in an e s t i m a t e f o r
fr) = h ( 0 —ris(0 |:
0 n
w h e r e r n, rc= J, 2, N, a r e th e d is c o n tin u ity p o in ts o f 0 (/). 74
e ( t;
t
FIGURE 3. 2
74
T h e s a m e e s t i m a t e e v id e n tly a p p lie s to
s / = |7 s —7 | .
H en c e it fo llo w s th a t_ fo r S -j_ o o ( m a x £$-* -0 ), I )] (/)— T is(/)|-> 0 f o r a ll

'G I V il (in p a r t i c u l a r , ^ ( 7 )-> riV,).
I n s e r tin g 0s(f), t)s (0 in (3 .5 5 ), we o b ta in
y s ( t ) = x ^ s ( t ) , M O . t). (3 - 6
T h e f u n c tio n s xOl* 0, 0 b e in g c o n tin u o u s , w e o b ta in
ys(î) —►
yUi)
f o r 5 — 00 . __ __
I n s e r tin g 0s(0» Tls(0» ^ (0 in (3 .5 8 ) and s o lv in g th e r e s u l t i n g e x p r e s s io n
f o r w , we o b ta in s o m e p ie c e w is e - c o n tin u o u s fu n c tio n w( t) w ith a f in ite
n u m b e r of d is c o n tin u i tie s of th e f i r s t k in d .
T h e s e q u e n c e (*/s (/), # ( 0 . w\s(0) is a m in im iz in g s e q u e n c e , e a c h o f i t s
e le m e n ts s a tis f y in g e q u a tio n s (3 .4 4 ) and, w ith an a c c u r a c y o f z , th e
a p p r o p r ia t e b o u n d a ry c o n d itio n s and c o n s tr a in ts ; in o th e r w o rd s , it b e lo n g s
to th e s e t D w ith an a c c u r a c y of e .
We th u s a r r i v e a t th e fo llo w in g g e n e r a l s c h e m e f o r th e s o lu tio n of th e
p r o b le m . T he s t a r t i n g s y s t e m of e q u a tio n s is r e p la c e d by e q u a tio n s (3 .5 2 ),
(3 .5 3 ), w h e re th e p h a s e c o o r d in a te s a r e th e f i r s t in t e g r a l s of (3 .5 0 ) and th e
c o n tr o l f u n c tio n s a r e y{l ), v(t). In v ir tu e of th e p r o p e r t i e s o f th e f i r s t
in t e g r a l s , th is s y s t e m is in d e p e n d e n t of th e c o n t r o l fu n c tio n a)(£). We th u s
d e fin e a s e t D2 o f th e e le m e n ts (y(t), v ( t ) ) . We th e n m in im iz e th e fu n c tio n a l
(3 .4 3 ) on th e s e t D2 (in a c e r t a i n s e n s e , th is is a s i m p l e r p r o b le m , b e c a u s e
th e new s y s t e m o f d i f f e r e n tia l c o n s t r a i n t s h a s a lo w e r o r d e r th a n th e
o r ig in a l s y s te m ) . T h e s o lu tio n o b ta in e d in th is w ay e i th e r b e lo n g s to D o r
c a n be a p p r o x im a te d w ith an y d e s i r e d a c c u r a c y by a s e q u e n c e in D w h ich
c o n v e r g e s to th is s o lu tio n and is a t th e s a m e tim e a m in im iz in g s e q u e n c e
of th e o r ig in a l p r o b le m . In o u r c a s e , w h en th e c o n tr o l fu n c tio n w is u n
c o n s tr a in e d , P r o b le m s 1 and 2 a r e in f a c t e q u iv a le n t.
In g e n e r a l, w hen Vw(t, y) is b o u n d ed . P r o b le m s 1 and 2 a r e not
e q u iv a le n t. T h e ab o v e s c h e m e m a y be a p p lie d in th is c a s e a ls o : th e o n ly
a d d itio n a l s te p is to c h e c k th a t th e fu n c tio n w(t) s a t i s f i e s th e c o n s tr a in ts .
If it d o e s n o t, th e so u g h t s o lu tio n w ill c o n ta in s e c ti o n s c o r r e s p o n d in g to
th e b o u n d a ry v a lu e s o f w . O u r s c h e m e is in a p p lic a b le in th is c a s e f o r a
r i g o r o u s s o lu tio n o f th e p r o b le m . H o w ev er, th e s o lu tio n o f P r o b le m 2
a g a in p r o v e s q u ite u s e f u l: it h e lp s to fo rm a q u a lita tiv e id e a o f w hat th e
s o u g h t s o lu tio n sh o u ld be (th e d is c o n tin u ity p o in ts o f y(t) g e n e r a lly c o r r e s
pond to th e b o u n d a ry c o n tr o l w) and to o b ta in a lo w e r - b o u n d e s t i m a t e o f
th e s o u g h t s o lu tio n ( r e la t io n (3 .5 4 )). T h e c o n d itio n s of th e o p tim u m
p r in c i p le (1 .1 1 ), (1 .1 2 ) a r e n a t u r a lly v a lid in th e g e n e r a l c a s e a ls o . T h e
so u g h t m in im iz in g s o lu tio n in th is c a s e is p r o b a b ly a c o m b in a tio n of s e g
m e n ts c o r r e s p o n d i n g to th e i n t e r i o r p o in ts o f th e s e t ^ ( s i n g u l a r s e c tio n s )
an d s e g m e n ts c o r r e s p o n d i n g to th e b o u n d a ry of Vw . On s in g u l a r s e c tio n s ,
th e fu n c tio n <p i s n a t u r a lly d e fin e d a s a s o lu tio n o f th e p a r t i a l d if f e r e n tia l
e q u a tio n (3 .4 8 ), and a f t e r th a t w e p r o c e e d to in v e s tig a te th e fu n c tio n R\ .
75
S in g u la r s e c ti o n s a r e d e s c r i b e d by e q u a tio n s (3 .5 2 ), (3 .5 3 ). On s e c ti o n s
c o r r e s p o n d i n g to th e b o u n d a r y w, cp sh o u ld b e d e fin e d p r o c e e d in g f r o m
th e s p e c if ic f e a t u r e s o f th e p a r t i c u l a r p r o b le m s b e in g c o n s id e r e d ( s e e 3. 5. 4).
F in a lly , w e o b ta in e q u a tio n s w h ic h d e s c r i b e s e c ti o n s o f d if f e r e n t ty p e s
an d th e f u n c tio n <p on th e s e s e c ti o n s . T h e l a s t s te p in th is s o lu tio n
p r o c e d u r e i s th e a p p r o p r i a t e m a tc h in g o f th e d if f e r e n t s e c ti o n s an d a f in a l
v e r i f i c a t i o n o f c o n d itio n s ( 1. 11), ( 1 . 12).
3. 5. 3. A d e g e n e r a t e q u a d r a tic f u n c tio n a l
T h e ab o v e m e th o d w ill now be a p p lie d to m in im iz e th e fu n c tio n a l
/ = J (a ii(i )yiy i + b, (t ) ytw)dt (3 .6 2 )

f0
w ith th e c o n s t r a i n t s
y = M ( t ) y + L{t)w, (3 .6 3 )
yVt)=y(ti)=o, (3 .6 4 )
w h ere
y = ( y \ y 2.........y " );
M(t) and L ( t ) ~ ( L \ L2, . . . , L n ) a r e r e s p e c t i v e l y an n X n m a t r i x and an « -
d im e n s io n a l v e c t o r o f th e c o e f f ic ie n ts of l i n e a r s y s t e m (3 .6 3 ). S u m m a tio n
o v e r r e p e a tin g in d ic e s i s im p lie d .
T h e p r o b le m sh o u ld be r e d u c e d to th e f o r m (3 .4 3 ), (3 .4 4 ), and to th is
en d w e w ill t r e a t it a s a p r o b le m o f m in im iz in g */°(/,) f o r th e s y s t e m
y<>= a,j (t ) y ‘y) -f b, (t) y lw,

(3 .6 5 )
y=M(t)y-\-L{t)w,
w ith c o n s t r a i n t s (3 .6 4 ) and a n a d d itio n a l c o n d itio n j/°(/0) = 0 .

In t h i s c a s e f°(t. y, v ) = 0 ; F ( y 0, y , ) = y ] ; g(t, y, v) = ( a ^ y 1y 1 , M ( t ) y ),
h — (b(i)y, L ( t ) ) .
L e t u s find th e in d e p e n d e n t f i r s t i n t e g r a l s o f (3 .6 5 )
- ~ = b(0y; (3 .6 6 )
= (3 .6 7 )
T h e y h a v e th e f o r m
ti°= </°— 77 (My) yn----- l— bL (y"T\ (3 .6 8 )

L" 2(L")276
76
Ai = y i—— y \ i. (3 .6 9 )
E q u a tio n s (3 .5 2 ) ta k e th e f o r m
r\*= a u y lyl — — bj (M*y) y n - — ( M ;) y-
(3 .7 0 )
(3 .7 1 )
w h e r e y 1^ s a tis f y (3 .6 8 ), (3 .6 9 ); M* is th e j - t h ro w of th e m a t r i x M .
E x p r e s s in g yi in t e r m s of V anc* y n f r o m (3 .6 8 ), (3 .6 9 ) and i n s e r t i n g in
(3 .7 0 ) and (3 .7 1 ), w e o b ta in
n = g»t (0 rtW + g,„ (0 n V + g„„ (0 {yn) \ (3 .7 2 )
T|*=m/(0n'+**(0 y", (3 .7 3 )
k, 1 = 1,2..... n - 1,
w h e r e ghi(t), ghn( t ) y g n n (0 * m i (0 * /* (0 a r e th e c o e f f ic ie n ts o b ta in e d a f te r
th e s u b s titu tio n and c o lle c tio n of s i m i l a r t e r m s ; r\k (/) a r e th e new p h a s e
c o o r d in a te s ; y n (/) a r e th e new c o n tr o l f u n c tio n s .
If g n n ^ 0 , P r o b le m 2 is n o n - d e g e n e r a te and c a n be so lv e d in fin ite f o r m
b y th e s ta n d a r d m e th o d s , e. g ., b y a p p ly in g J a c o b i 's c l a s s i c a l c o n d itio n .
T h e o r ig in a l p r o b le m is th u s a ls o s o lv e d .
A p r o b le m of th is k in d a r i s e s in c o n n e c tio n w ith th e se c o n d v a r i a t i o n o f
th e f u n c tio n a l if th e e x t r e m a l (th e s o lu tio n of th e L a g r a n g e —E u le r e q u a tio n s )
i s d e g e n e r a te , i. e ., if H ww= 0 a lo n g th e e x t r e m a l .
3. 5. 4. A n e x a m p le w ith c o n s t r a i n t s on w
M in im iz e th e fu n c tio n a l
rt i
i = U y ' ~ w ? ) dt (3 .7 4 )
o
y 1— y7’in>; (3 .7 5 )
(3 .7 6 )
y ' >-0; |w|<:i4; A >0; (3 .7 7 )
77
y'(0)=yH0)=0, y '(V = y 'v yH t,)= yl (3 .7 8 )
w h ere tx is fre e .
T o s o lv e th e p r o b le m , w e find th e f i r s t in t e g r a l of th e s y s t e m 78
dy' _ 2 W - i,
dx * dx (3 .7 9 )
T h e f i r s t i n t e g r a l i s g iv e n by
*= ^ + — o t - (3 .8 0 )
C h a n g in g o v e r to new v a r i a b l e s T|, y \ w in (3 .7 4 ), (3 .7 5 ), (3 .7 6 ), w e
e x p r e s s (y2) 2 in t e r m s o f r\ and y x f r o m (3 .8 0 ):
I = \ (3</>-2t,)«*; (3 .8 1 )
o
(3 .8 2 )
yx
t/' = V 2 (ri— i/1) ® . (3 .8 3 )
S in ce th e r ig h t- h a n d s id e s of (3 .8 1 ) — (3 .8 3 ) a r e in d e p e n d e n t of t an d t\
i s f r e e , w e c a n c o n v e n ie n tly c h a n g e o v e r to a n ew a r g u m e n t tj . By (3 .7 7 ),
i] ^ 0 * and t h i s s u b s titu tio n is le g itim a te . T h e p r o b le m is th u s r e d u c e d to
th e e q u iv a le n t p r o b le m of m in im iz in g th e fu n c tio n a l
/ i = \ / 0( ^ '.n ) ^ 'i= \ y' ' y ? dr\ (3 .8 4 )

J J T\ — y x
Vo Vo
(y1)’= f ( y \ n,w) = *____ ®; (3 .8 5 )

a>
(3 .8 6 )
II
O
ll
«/1(Tlo ) = 0; y'Cn1) = y \ ; (3 .8 7 )
T o s o lv e th e p r o b le m , w e in v e s tig a te th e m a x im u m of th e fu n c tio n
R = ?y< __ *!____ W i/1 y n +<fV (3 .8 8 )

K 2( > i-f i) ’i - y '
R a t ta i n s a m a x im u m w ith r e s p e c t to w u n d e r th e fo llo w in g c o n d itio n s :
cpî = 0, an y w (3 .8 9 )
^ . > 0 , w = A; (3 .9 0 )
<Pt/i < 0 , w = — A. (3 .9 1 )
78
In th e f i r s t c a s e , R ta k e s th e f o r m
3*1=31+ 9 (3 .9 2 )
*i — y 1
T h e d e p e n d e n c e of R on y x f o r s o m e fix e d rj i s sh o w n in F ig u r e 3 .3 .
It is r e a d i l y c h e c k ed th a t th e m a x im u m R f o r e v e r y fix e d -q i s a tta in e d
f o r y l (n) = r\ (s e e F ig u r e 3.3). T h e s o lu tio n o f P r o b le m 2 th u s h a s
th e f o r m
«/>= ( l- V T /3 ) r ) ( 0 < » ) < i l 1);'

(3 .9 3 )
yl = y \ (Ti = tii).
It i s r e a d i l y s e e n th a t t h i s s o lu tio n g iv e s an a b s o lu te m in im u m of th e
fu n c tio n a l (3 .8 4 ), if th e d i f f e r e n t i a l c o n s t r a i n t i s ig n o r e d .
I n s e r tin g (3 .9 3 ) in (3 .8 5 ), w e s e e th a t 10 = 00 f o r r| = 0, r| = -q1 , so th a t th e
c o n s t r a i n t s im p o s e d on w b r e a k dow n. T h e r e f o r e , on th e in it ia l an d th e
f in a l s e c ti o n s , w i s b o u n d a ry c o n tr o l. U sin g t h i s in f o rm a tio n ,
w e c o n s tr u c t a t r a i l m in im iz in g s o lu tio n , w h ic h c o n s is ts o f th e fo llo w in g
t h r e e s e c ti o n s ( F ig u r e 3 .4 ):
I. (j/(ti))i i s th e s o lu tio n of e q u a tio n (3 .8 5 ) f o r w —A and th e
b o u n d a r y c o n d itio n i/ 1(tio) = 0 .
II. » i2 < n < n 3 . ( £ ( n ) ) „ = l/( n ) .
III. ^3 < î, (yOl))m is th e s o lu tio n of e q u a tio n (3 .8 5 ) f o r w = A and
th e b o u n d a r y c o n d itio n t/1(*n1) = .
T h e f u n c tio n <p(r|, y ]) i s d e fin e d on I, II in th e f o r m
?0l. = + (3 .9 4 )
w h e r e ^ ( t i) , a(r)) a r e s o m e c o n tin u o u s an d p ie c e w i s e - d if f e r e n tia b le
f u n c tio n s of r\ .
T h e s u f f ic ie n t c o n d itio n s of a lo c a l m a x im u m o f R on I and III h a v e th e
fo rm
<jy > 0 ; (3 .9 5 )
P V‘= ( t] , y \ A ) = y ' + H v >= 0 , (3 .9 6 )
79
T\t =0 1)2 ^ 1) - 11
FIGURE 3 .4
P„,„. o' 4 -23 ( — yl -) A + H y , y, < 0, (3 .9 7 )

\ ]/2(T] —yl) jU'
w h ere
P ( t)1) = sup ft(r),yl,w). (3 .9 8 )

\w\<A
A t th e p o in ts t)2, t]3 w e sh o u ld h av e
*) = % (« , = 0, (9 ),= 0 ; (3 .9 9 )
11= 1)3, (’{ ')ni= 0, (°)m = 0. (3 .1 0 0 )
O th e r w is e , th e fu n c tio n (p(rj, y ]) w ill be d is c o n tin u o u s in y x at th e s e

p o in ts (o n s e c tio n II, <Py,==0 ).
It is r e a d ily s e e n th a t th e s o lu tio n of e q u a tio n (3 .9 6 ) on III w ith b o u n d a ry
c o n d itio n s (3 .1 0 0 ) i s p o s itiv e .
In d ee d , c o n s id e r th e g e n e r a l s o lu tio n of (3 .9 6 )
= g ( V ) e Fdy, / r ( n ) = j h{r\)dy,
T,s Vs
w h e r e h(r\) is a c o e f fic ie n t b e f o r e in (3 .9 6 ); g ( r ] ) = / ° , .
On th is s e c tio n f 0yl > 0 ( s e e F ig u r e 3.3 ). H en ce ‘i |)(ti)> 0 f o r a ll
■n 6 (t)s. tii).
A s i m i l a r s itu a tio n i s o b s e r v e d on s e c tio n I. T h e o n ly d if f e r e n c e i s th a t
th e b o u n d a ry c o n d itio n h e r e is d e fin e d f o r th e r ig h t end p o in t and pyX < 0 ,
s in c e y ]<^y 1. H e re a g a in \f)(ri)>0 e v e r y w h e r e on [rjo, t)2] . S in ce cp^ is
c o n tin u o u s , w e c o n c lu d e th a t t h e r e e x i s t s a n e ig h b o rh o o d of th e c u r v e
i/(1, (t]) w h e r e 80
80
(3 .1 0 1 )
C o n s id e r c o n d itio n (3 .9 7 ). T h is in e q u a lity m a y b e r e p la c e d by a n e q u a tio n

w ith a p o s itiv e r ig h t- h a n d s id e
«' + 2 » / „ . , 4 + = «(ii)f (3.102)
w h e r e e (r])> 0 is so m e p ie c e w is e - c o n tin u o u s fu n c tio n o f rj .

E q u a tio n (3 .1 0 2 ) w ith b o u n d a ry c o n d itio n s (3 .1 0 0 ) is a p r i o r i s o lv a b le
on I and III (a C a u ch y p r o b le m f o r a l i n e a r d i f f e r e n tia l e q u a tio n ). H en c e it
fo llo w s th a t t h e r e e x i s t s a fu n c tio n (p(i), y ]) s u c h th a t th e s o lu tio n
c o n s tr u c te d on I, III c o r r e s p o n d s a t l e a s t to a lo c a l m a x im u m o f P ( y l> rj) ,
an d th e s o lu tio n on II c o r r e s p o n d s to an a b s o lu te m a x im u m o f /?(r|, y lt v ) .
We th u s s e e th a t th e s o lu tio n c o n s tr u c te d ab o v e e n s u r e s a t l e a s t a s tr o n g
lo c a l m in im u m of th e f u n c tio n a l in o u r p r o b le m .
In th is e x a m p le . P r o b le m s 1 and 2 a r e n o t e q u iv a le n t b e c a u s e of
c o n s t r a i n t s (3 .7 7 ) im p o s e d on th e C o n tro l fu n c tio n w . A s a r e s u l t , w e d id
n o t c h a n g e o v e r to P r o b le m 2 a t th e v e r y b e g in n in g . H o w ev er, we d id
c h a n g e o v e r to new p h a s e c o o r d in a te s (ylt ri) and th e s o lu tio n of th e p r o b le m
w a s th u s c o n s id e r a b ly s im p lif ie d .
R e m a rk s
1. P r o b le m 2 (th e fu n c tio n R j ) m a y t u r n o u t to h a v e th e s a m e s i n g u l a r i t i e s
a s th e o r ig in a l p r o b le m (th e fu n c tio n R ). T h e m e th o d of m u ltip le m a x im a
th e n c a n be a p p lie d r e p e a te d ly to a n a ly z e P r o b le m 2.
2. A p r a c t i c a l s h o r tc o m in g of th e ab o v e m e th o d is th a t it r e q u i r e s
d e t e r m in a tio n of th e f i r s t i n t e g r a l s of s o m e s y s t e m of o r d in a r y d if f e r e n tia l
e q u a tio n s (3 .5 0 ). In a p p lie d p r o b le m s and, in p a r t i c u l a r , in m o s t p r o b le m s
o f flig h t d y n a m ic s , e q u a tio n s (3.5 0 ) a r e s u f f ic ie n tly s im p le and t h e i r f i r s t
i n t e g r a l s a r e o b ta in e d w ith o u t d iffic u lty .
3. T h e a b o v e m e th o d c a n be g e n e r a liz e d w ith o u t an y c h a n g e s to th e
c a s e w hen th e v e c to r fu n c tio n h d e p e n d s on th e c o n tr o l fu n c tio n v , b u t so
th a t fo r fix e d I and y th e v e c to r h m a in ta in s a c o n s ta n t d ir e c tio n w h en v
is v a r ie d . In o th e r w o rd s , th e u n it v e c to r fu n c tio n h ( t , y , v) /\ h( t , y %v) | is
in d e p e n d e n t of v , and no c o n s t r a i n t s a r e im p o s e d on w.
We w r ite h ( t %y t u) w in th e f o r m hi(t, y ) w \ , w h e r e h {= — W\ = \ h \ w , and
I h |,
t^ iis u s e d a s th e new c o n tr o l fu n c tio n . T h e p r o b le m is th u s re d u c e d to th e
one c o n s id e r e d ab o v e .
3. 5. 5. S y s te m s w ith s e v e r a l u n c o n s tr a in e d c o n tr o l fu n c tio n s
L e t th e fu n c tio n a l (1 .1 ) and s y s t e m (1 .3 ) h a v e th e f o r m
/ = ( P{t,y)dt+ f (3 .1 0 3 )
to18
81
*
y=g(t>y)+'2> hl {t,y)ul, (3 .1 0 4 )
/-I
w h e r e u l, / = 1, 2, k » a r e th e c o m p o n e n ts o f th e c o n t r o l v e c to r u . T he
s e t Vu c o in c id e s w ith th e s p a c e U . T h e v e c t o r fu n c tio n s hi a r e c o n tin u o u s
an d d if f e r e n tia b le f o r e v e r y t £ ( t 0, 11), y £ Vv , and th e fu n c tio n s g , a re
m o r e o v e r b o u n d ed f o r b o u n d ed t, y, u .
A lth o u g h th e p r o b le m c a n be so lv e d by th e m e th o d o f th e p r e v io u s s u b
s e c tio n , u s in g s e v e r a l r e c u r s i v e r e d u c tio n s to P r o b le m 2, w e w ill d e s c r i b e
a d if f e r e n t a p p r o a c h w h ic h a p r i o r i e n a b le s u s to in d ic a te th e c o n d itio n s to
b e s a tis f ie d by th e v e c to r fu n c tio n s hi(t, y) so th a t th e fu n c tio n
y)+ ft (3 .1 0 5 )
f o r e v e r y t £ (to, t\) a t ta i n s a m a x im u m on
y( t ) € v»(0> « ( 0 € K , ( 3. 1 0 5 a)
F o r s im p lic ity , w e a s s u m e Vy (t) to be an o p e n b o u n d ed r e g io n . We w r ite
R in th e f o r m
R= A(t,y)u+ B(t,y), (3 .1 0 6 )
w h e r e A(t , y) i s a v e c t o r w ith c o m p o n e n ts <pvhi(t, y), 1=1, 2, . . . . k,
B(t, y)=q>vg(t, y)+<?t—f°(t, y).

F i r s t w e p r o v e th e fo llo w in g le m m a .
L e m m a . F o r th e fu n c tio n (3 .1 0 6 ) to a tta in a m a x im u m on (3 .1 0 5 a ) f o r a
fix e d t , it i s n e c e s s a r y and s u f f ic ie n t th a t
1) A (t,y) = 0, (3 .1 0 7 )
2) B { t , y ) = max B(t,y). (3.108)
P ro o f. N e c e s s ity . We w r ite th e v e c to r u in th e f o r m
U= QV,
u
w h e r e v = | u\\ q i s a u n it v e c t o r ~ .
T h e in e q u a lity
R(t , y, u ) —R(t, y( t ) , « ( / ) ) < 0
i s s a tis f ie d f o r a l l y £ Vy (t), u £ U , if an d o n ly i f
ma x R — R (t,y,«) = ma x | A (t, y) qv + B (t, y)} —

0 Q
- R ( t r y , u ) = \ A ( t , y ) \ v + B ( t 9y) — R { t t y , u ) ^ 0 (3 .1 0 9 )
f o r a l l y ( z V v (t), v £ [0, + o o ]. 82
82
T h e m a x im u m w ith r e s p e c t to q i s a c c o u n te d f o r a s fo llo w s. T h e
s c a l a r p r o d u c t A q i s th e p r o je c tio n o f th e v e c to r A on th e d ir e c tio n o f q .
It a t ta i n s a m a x im u m , e q u a l to th e m a g n itu d e o f A , if q p o in ts a lo n g th e
v e c to r A .
S u p p o se th a t (3 .1 0 7 ) is not s a tis f ie d an d A(t, y*( t ) ) =£0 f o r s o m e y = y * ( t ) ^
£ Vv { t ) . T h en , s in c e th e f i r s t t e r m in (3 .1 0 9 ) is p o s itiv e an d th e t e r m s
B(t> y * ( 0 ) and y> u) a r e f in ite , w e c a n fin d s u c h v th a t in e q u a lity
(3 .1 0 9 ) i s n o t tr u e .
T h is p r o v e s th e v a lid ity o f (3 .1 0 7 ) and h e n c e o f (3 .1 0 8 ), s in c e f r o m (3 .1 0 7 )
we have
R{t%y, u) = B(t,y).
T h e s u f f ic ie n c y of (3 .1 0 7 ) and (3 .1 0 8 ) i s s e lf - e v id e n t. Q. E . D.
C o n d itio n (3 .1 0 7 ) is a s y s t e m of li n e a r h o m o g e n e o u s p a r t i a l d if f e r e n tia l
e q u a tio n s f o r th e fu n c tio n <p :
n
i —I
*»'•*!('.*)=°- (s.n o )
In g e n e r a l, s u c h s y s t e m s a r e in c o m p a tib le . A n e c e s s a r y c o n d itio n of
t h e i r c o m p a tib ility is th a t th e s o - c a l l e d P o is s o n b r a c k e t s f o r th e fu n c tio n s
Li{ty y, cpy) v a n is h id e n tic a lly ( s e e , e. g ., / 9 / , p .3 6 5 ):
s
7-1
dh{
(Dyl = 0 . (3 .1 1 1 )
C o n d itio n s (3 .1 1 1 ) c o n s titu te a new s y s t e m o f l i n e a r h o m o g e n e o u s p a r t i a l

d i f f e r e n t i a l e q u a tio n s f o r ,
w e c o n c lu d e th a t th e n u m b e r of t h e s e e q u a tio n s i s — ~ ^ .
T h e s e e q u a tio n s sh o u ld be ad d e d to (3 .1 1 0 ), e lim in a tin g f r o m th e c o m b in e d
s e t i d e n titi e s and e q u a tio n s w h ich a r e l i n e a r c o m b in a tio n s of o th e r e q u a tio n s .
T h e s u b s e q u e n t s ta g e s of th e p r o c e d u r e a r e d e s c r ib e d in / 9 / , an d no
d e t a i l s a r e g iv e n h e r e .
C o n d itio n s (3 .1 1 1 ) w ill be u s e d in th e n e x t s u b s e c tio n .
3. 5. 6. M inim u m o f th e se co n d v a r ia tio n o f th e fu n ctio n a l

in c a s e o f d e g e n e r a te c o n tr o l
C o n s id e r th e s y s t e m of d i f f e r e n tia l e q u a tio n s (3 .1 1 ), (3 .1 2 ) w h ic h d e s c r i b e
th e c a s e of d e g e n e r a te c o n tr o l of d e g e n e r a c y k . T h e in te g r a n d in th e
f u n c tio n a l (1.1) m a y be w r i tte n in th e f o r m / 2 / 83
83
^ ° = yW ° ( ' , y,«j). (3 .1 1 2 )
E q u a tio n s (3 .1 1 ) m a y b e t r e a t e d a s a n o r d in a r y s y s t e m o f d if f e r e n tia l
e q u a tio n s w ith l i n e a r c o n t r o l f u n c tio n s y P . S o lv in g (3 .1 2 ) f o r y 1, sa y , and
i n s e r t i n g th e r e s u l t in (3 .1 1 ), w e find
* ,= /= • = /( ',* /.« ! ) + Y3 L f V , y . U f ) - f V , y ,«,)); (3 .1 1 3 )
F° = p (it,y,u,) + Yp ( /° ( /,,« > ) - / ° (/.».«,)). (3 .1 1 4 )

P= 2, 3.... *+1,
w h e r e y 3 a r e now in d e p e n d e n t and s a tis f y o n ly th e fo llo w in g c o n s t r a i n t s :
*+!
Yp > 0 ; 2 Y3 < 1 . (3 .1 1 5 )
P-2
S u p p o se th a t a d e g e n e r a t e c o n tr o l is o b s e r v e d on s o m e s e c tio n ,
s a tis f y in g (3 .2 7 ) w ith th e z e r o c l o s e n e s s fu n c tio n y ( t ) ~ y ( t ) and th e b a s is
c o n tr o l fu n c tio n s
u = u p (/), p = 2, 3, . . . . k + \ ,
Yp = ? ( 0 , P = 2, 3................. 1.
w h ere yp (0 s a tis f y th e s t r i c t in e q u a li tie s in (3 .1 1 5 ):
_ *+1_
Yf W > 0 ; 2 v " ( 0 < l . (3 .1 1 5 a )
P-2
A d d in g s m a ll in c r e m e n t s to th e f u n c tio n s y ? (t) s u c h th a t (3 .1 1 5 a ) a r e
s t i l l s a tis f ie d fo r th e in c r e m e n te d f u n c tio n s (yP + 6 Y 3 ) w ith u n a l te r e d
« ,(/) , Sp(0» P = 2, 3, k + \ , and fixed b o u n d a ry c o n d itio n s y(r\) =y ( x \ ) ,
we o b ta in f r o m e q u a tio n s (3 .1 1 3 ), (3 .1 1 4 ) th e c o r r e s p o n d in g in c r e m e n t s of
th e z e r o c l o s e n e s s fu n c tio n , th e _ in te g ra n d fu n c tio n , and h e n c e th e fu n c tio n a l
r e l a t i v e to th e v a lu e s on ( y ( t ) , y? (0> «p (0 )• F o r s u f f ic ie n tly s m a ll
in c r e m e n t s 6 y p> we c a n r e t a i n o n ly th e l i n e a r c o m p o n e n ts of th e in c r e m e n t s
y ( t ) —y( t) j w h ich a r e d e s c r ib e d by a li n e a r s y s t e m of v a r ia tio n a l e q u a tio n s
Z1= F v)(t) z' ( /)v 3, (3 .1 1 6 )

w h e re
and in v e s tig a te th e s u m of th e f i r s t and th e se c o n d v a r ia tio n of th e fu n c tio n a l

to w ith in t e r m s of h ig h e r o r d e r .
It is r e a d ily s e e n th a t th e f i r s t v a r ia tio n of th e fu n c tio n s is z e r o by (3 .2 7 )
and it th u s r e m a in s to c h e c k th a t th e se c o n d v a r ia tio n is n o n - n e g a tiv e , th is
b e in g th e n e c e s s a r y c o n d itio n fo r th e m in im u m o f th e f u n c tio n a l. 84
84
L e t Sft be th e H a m ilto n ia n o f (3 .1 1 3 ), (3 .1 1 4 ):
*e = t y F - F ° = H ( ( , <j>, y, « , ) - y, <|>, u 9) - H { f , y, f, a,)), (3 .1 1 7 )

w h ere
/ / ( ', y, *, «)= */(*. y* « )- /° ( * . y> «)
i s th e H a m ilto n ia n o f (1 .3 ). T h e s e c o n d v a r ia tio n o f th e fu n c tio n a l i s th e n
w r i tte n in th e f o r m ( s e e , e. g ., /1 1 /)
8 V = - 1 ( W „ V ( 0 * '* ' + ^ V < /> * 'v l>) <**' (3 .1 1 8 )
i, y = l , \ . . . , «; P - 2 , 3...... A+ l.
T h e s u p e r i o r b a r in (3 .1 1 6 ) and (3 .1 1 8 ) id e n tif ie s th e f i r s t d e r i v a t i v e s of
th e v e c t o r fu n c tio n F and th e fu n c tio n . S u m m a tio n o v e r r e p e a tin g in d ic e s
i s im p lie d .
T h e p r o b le m r e d u c e s to in v e s tig a tin g th e m in im u m of th e fu n c tio n a l
(3 .1 1 8 ) u n d e r c o n d itio n s (3 .1 1 6 ) and th e b o u n d a ry c o n d itio n s
z (T i ) = z ( t 2) = 0.
No r e s t r i c t i o n s a r e im p o s e d on th e v a r i a b l e s 2/, vP.
T h is p r o b le m th u s c o r r e s p o n d s to th e c a s e c o n s id e r e d in th e p r e v io u s
s u b s e c tio n . T o f in a lly r e d u c e th is p r o b le m to th e f o r m (3 .1 0 3 ), (3 .1 0 4 ), w e
w ill f o r m u l a te it a s M a y e r ’s p r o b le m , i. e ., th e p r o b le m o f m in im iz in g th e
f in a l v a lu e o f z f o r z e r o in i t i a l c o n d itio n , s u p p le m e n tin g (3 .1 1 6 ) w ith th e
e q u a tio n
z ° = 3£yty) (/) z V + 3£yt-,t ( /) z V . (3 .1 1 9 )

E q u a tio n s (3 .1 1 0 ) now ta k e th e f o r m
L f (cp) , p (/) z ’ + <p,/ Tty ( 0 = 0 . (3 .1 2 0 )

H e re
h h ^‘ F [ 9( o = / \ 2 .
N ote th a t o n ly h jj d e p e n d s on th e p h a s e c o o r d in a te s ; th e r e m a in in g h 9l
a r e in d e p e n d e n t of 2 , s o th a t t h e i r d e r iv a tiv e s w ith r e s p e c t to z « in th e
P o is s o n b r a c k e t s a l l v a n is h .
I n s e r tin g th e e x p r e s s i o n s f o r h ^1 in (3 .1 1 1 ), w e find
T h e s e c o m b in a tio n s s h o u ld v a n is h id e n tic a lly in v i r t u e o f (3 .1 1 1 ). B ut

<p2o =^0 . O th e r w is e , c o n d itio n (1 .1 2 ) of T h e o r e m 1. 1 i s n o t s a tis f ie d . We
sh o u ld t h e r e f o r e h a v e
(3 .122) 58
85
B o th t e r m s on th e r ig h t a r e s c a l a r p r o d u c ts o f th e v e c t o r s f and H y .
N ow tu r n in g to e q u a tio n s (3 .2 9 ) and (3 .1 2 ), w e e x p r e s s y l f r o m (3 .1 2 ) in
t e r m s o f th e o th e r y P :
k+1
v ' = i - 2 v ’.
p-2
I n s e r tin g y l i n (3 .2 9 ) and c o lle c tin g s i m i l a r t e r m s , w e o b ta in
(3 .1 2 3 )
a, P= 2, 3 , . . . , £-)-1,
a n d th e c o e f f ic ie n ts of th e s e e q u a tio n s c o in c id e w ith th e le f t- h a n d s id e s o f
k ( k _1)
(3 .1 2 2 ) and sh o u ld t h e r e f o r e v a n is h . T h e n u m b e r o f t h e s e e q u a lit ie s i s ----------- ,
an d , a s w e sa w in § 3.2, in v ir tu e of (3 .1 2 3 ) th e y le a d to k f u r t h e r e q u a lit ie s
h \::+ K : /( « ,) - h v <«,) = o. 0 . 124)
E q u a l itie s (3 .1 2 2 ) w e r e o b ta in e d a s th e n e c e s s a r y c o n d itio n s o f a
m a x im u m o f R and a m in im u m o f ® w hen m in im iz in g th e s e c o n d v a r i a t i o n in
d e g e n e r a t e c o n tr o l p r o b le m s . T h ey w e r e o r ig in a lly d e r iv e d in / l / a s th e
n e c e s s a r y c o n d itio n s f o r o p tim a l d e g e n e r a t e c o n tr o l.
N o te th a t o n c e c o n d itio n s (3 .1 2 2 ) h a v e b e e n v e r if ie d , th e p r o b le m of
m in im iz in g th e se c o n d v a r ia tio n c a n be so lv e d to c o m p le tio n by s u c c e s s iv e ly
c h a n g in g o v e r to P r o b le m 2.
3. 5. 7. A m o r e g e n e r a l p r o b le m
C o n s id e r th e s a m e p r o b le m a s in 3. 5. 2, u s in g d i f f e r e n tia l e q u a tio n s of a
s lig h tly m o r e g e n e r a l f o r m :
Jl = g ( t , y, v ) + h ( t , y, w), (3 .1 2 5 )
w h e r e g ( t , y , v) h a s th e s a m e p r o p e r t i e s a s in 3. 5. 2, and h(t, y , w) and th e

b o u n d a r ie s W$t, y) an d W2 (t, y) f r o m (3 .4 5 ) a r e s u c h th a t th e f u n c tio n s
h ( t , y t W\(t, y) ) an d h(t> y, W2 (t, y) ) a r e c o n tin u o u s an d c o n tin u o u s ly d i f f e r e n
tia b le w ith r e s p e c t to t and y f o r a ll t £ (t0, t$> (/).
T h e fu n c tio n R f o r th is p r o b le m h a s th e f o r m
R(t , y, v, w) = y vg(t, y, v) +q>vh(t, y, — y, v) +<p,. (3 .1 2 6 )

We c h o o s e <p(t, y) s o th a t f o r a ll t £ (t0, t t), y(^ Vv (t) th e f u n c tio n R
a t t a i n s i t s a b s o lu te m a x im u m on tw o v a lu e s o f w, W\(ty y) an d w2((, y)>
R(ty y> v, &i(t, y ) ) = R ( t y y , v, W2(ty y ) ) = su p R ( t y y, v, w). (3 .1 2 7 )

{(. y)
We s e e f r o m (3 .1 2 7 ) th a t o n ly th e t e r m
<Pv -h(t, y, w)
d e p e n d s on w .
C o n d itio n (3 .1 2 7 ) r e d u c e s to a c e r t a i n c o m b in a tio n o f in e q u a lity
c o n s t r a i n t s 86
86
y). (3 .1 2 8 )
w h e r e Q(/, y) i s a s e t in th e s p a c e of v e c t o r s (py , an d th e c o n d itio n
?„(*(*, y, ®i(*. y. w2(', i/))=o, (3 . 129 )

w h ic h i s a l i n e a r p a r t i a l d if f e r e n tia l e q u a tio n f o r th e fu n c tio n <p . I ts g e n e r a l
s o lu tio n i s an a r b i t r a r y c o n tin u o u s and d if f e r e n tia b le fu n c tio n of th e f o r m
<p=<v(t, -n),
w h e r e r](/, y) — (tj1, rj2, .. ., rjM_l) i s th e s e t o f in d e p e n d e n t f i r s t i n t e g r a l s o f

th e s y s t e m of o r d in a r y d if f e r e n tia l e q u a tio n s
d-2 - = h { t , y, w x(t, y)) — h(t, y, w 2(t, y)), (3 .1 3 0 )

ax
w ith t t r e a t e d a s a p a r a m e t e r .
L e t /?! = su p /? . T h en
2 v s ,<(#. y> « )+ ’!<•

1
We w ill f u r t h e r in v e s tig a te th e m a x im u m o f th e fu n c tio n R i f o r e v e r y

/ (z (ô» M on th e s e t of p o in ts ( rj, y, v ) s a tis f y in g c o n d itio n s (3 .4 5 ), (3 .4 6 ) an d
th e a d d itio n a l c o n d itio n s
n =A(t.y)- ( 3 . 1 3 1)
It is f u r t h e r a s s u m e d th a t th e fu n c tio n (p(^, y) s a t i s f i e s (3^128)^ _
S u p p o se th a t s u c h a fu n c tio n <p(/, y) e x i s t s an d a s o lu tio n (rj(/), y ( t ), v( t) )
h a s b e e n found w h ic h u n d e r th e g iv e n c o n d itio n s e n s u r e s an a b s o lu te m a x i
m u m of th e f u n c tio n R j f o r e v e r y t £ [/o» t{\; m o r e o v e r , c o n d itio n s (1 .1 2 )
and (3 .1 2 8 ) a r e a ls o s a tis f ie d . S u p p o se th a t th is s o lu tio n s a t i s f i e s th e
fo llo w in g s y s t e m of d if f e r e n tia l e q u a tio n s :
y = M g ( . l< */. — y, TOi)) + v2(g-(/, y , v ) - \ - ■

+ h{t, y, w 2)) = g{t, y, v) + \\h(t, y, y, w 2), (3 .1 3 2 )
w h e r e v i(/), v2(t) a r e s o m e p ie c e w is e - c o n tin u o u s fu n c tio n s ,
vi (t) + v 2(0 = 1.
If s u b s titu tin g th e s o lu tio n {y (t)yv(t)) in th is s y s t e m w e find th a t vi, v2

s a t i s f y th e c o n d itio n s
v i,2 ( 0 > 0 , (3 .1 3 3 )
th e n (t, y) {- co and th e s o lu tio n c o n s titu t e s a z e r o c l o s e n e s s c u r v e o f a
s lid in g c o n t r o l w ith th e b a s is c o n tr o l fu n c tio n s w\(t> £/), w2(t, y) and th e b a s is
v e c t o r s 87
87
« i = l i . / ( * . y . v < ® i) l;)
(3 .1 3 4 )
«2 = [1, f ( t , y, V, ®2)]- J
T h u s , if a l l th e a b o v e c o n d itio n s a r e s a tis f ie d , o u r s o lu tio n d e f in e s th e
s o u g h t m in im iz in g s e q u e n c e and th e p r o b le m i s s o lv e d . If no fu n c tio n
<p(/, y ) e x i s t s and no s o lu tio n ( t v ( t ) ) s a tis f y in g a ll th e a b o v e c o n
d itio n s , w e c o n c lu d e th a t th e so u g h t o p tim a l c o n tr o l m a y c o n s is t of s e c ti o n s
o f d if f e r e n t ty p e s — b o u n d a ry s e c tio n s , E u le r s e c tio n s , s lid in g c o n tr o l
s e c ti o n s . On s lid in g c o n t r o l s e c tio n s , th e fu n c tio n <p(£ y) m a y b e d e fin e d
by th e m e th o d th a t w e d e s c r ib e d .
A s in a p r o b le m w ith l i n e a r c o n tr o l f u n c tio n s w , w e c a n c h a n g e o v e r to
P r o b le m 2 a s fo llo w s.
T h e i n it ia l e q u a tio n s (3 .1 2 5 ) a r e s u p p le m e n te d w ith th e e x p r e s s i o n s f o r th e
th e t o t a l d e r i v a t i v e s of r\(t, y) w ith r e s p e c t to t :
n = 2 V (i’ V' v ) + h t V> y> « ') ) + ’!/• (3 .1 3 5 )

1
E q u a tio n s (3 .1 2 5 ) and (3 .1 3 5 ) c o n s id e r e d jo in tly c o n s titu te a s y s t e m of

{2rt— 1) e q u a tio n s w h e re , in v ir tu e o f (1 .1 3 1 ), o n ly n e q u a tio n s a r e in d e p e n d e n t
an d w h ich i s o b v io u s ly e q u iv a le n t to th e i n it ia l s y s t e m (3 .1 2 5 ).
We f u r t h e r c o n s id e r th e p r o b le m of m in im iz in g th e fu n c tio n a l (3 .4 3 ) on
th e s e t L> of th e e l e m e n ts (tj(/), y ( t ), v(t), ££’(/)) w h ic h o n ly s a t i s f y e q u a tio n s
(3 .1 3 5 ) and (3 .1 3 1 ), w h e r e rj/ (t) a r e new p h a s e c o o r d in a te s and y y v, w a r e
n ew c o n tr o l fu n c tio n s .
T h e r e m a in in g c o n d itio n s ( 3 .4 5 ) — (3 .4 6 ) do n o t c h a n g e . T h e s e t of n ew
c o n tr o l fu n c tio n s ( y ( t ) y v ( t ) y w( t) ) i s d e s ig n a te d D2 . R e p e a tin g th e s a m e
a r g u m e n ts a s in 3. 5. 2, w e r e a d i l y s e e th a t D2=>D and
i nf / = i n f / < inf/.
Da D, D
S u p p o se th a t P r o b le m 2 h a s b e e n s o lv e d . T he c o r r e s p o n d in g o p tim a l
c o n tr o l w{t) m a y ta k e on v a lu e s c o r r e s p o n d in g e i t h e r to o n e o f th e b o u n d a r ie s
w i, w2 o f Vw o r to i t s i n t e r i o r p o in ts . In th e f o r m e r c a s e , b o th w\ and
w2 a r e o p tim a l v a lu e s , w — w Xi2. In d ee d , th e fu n c tio n s V (/, y) a r e
s o lu tio n s o f th e p a r t i a l d i f f e r e n t i a l e q u a tio n s (3 .1 2 9 ) (a p r o p e r ty of th e f i r s t
i n t e g r a l s o f (3 .1 3 0 )). H en c e it fo llo w s th a t th e r ig h t- h a n d s id e s of (3 .1 3 5 ) a r e
n o t a f f e c te d w h en W\ i s r e p la c e d w ith w2 and v ic e v e r s a , so th a t rj r e m a i n s
u n c h a n g e d . T he d e g e n e r a c y in th is c a s e i s k = \ and th e f u n c tio n s
y( t ) , v ( t ), w(t) sh o u ld o n ly s a tis f y e q u a tio n s (3 .1 3 5 ) and c o n d itio n (3 .4 5 );
y ( t ), v(t), w(t) c a n be a p p r o x im a te d to any a c c u r a c y by c o n s tr u c tin g an
a p p r o p r ia t e s e q u e n c e in D ( s lid in g c o n tro l). T he s o lu tio n o f P r o b le m 2
c a n be c o n s tr u c te d in D u n d e r c e r t a i n b o u n d a ry c o n d itio n s . In th e se c o n d
c a s e , it is n o t th e p r o p e r t i e s o f r\(t, y) th a t c a u s e n o n - u n iq u e n e s s o f w ( t ) .
A s a r u le , w(t) i s u n iq u e in th is c a s e and, w h en s u b s titu te d w ith v ( t ) in
th e o r ig in a l s y s t e m (3 .1 2 5 ), it d e f in e s u n d e r th e a p p r o p r ia t e i n i t i a l c o n
d itio n s a u n iq u e s o lu tio n y*(t), w h ic h d o e s n o t n e c e s s a r i l y c o in c id e w ith
th e y ( t ) d e r iv e d f r o m o th e r c o n d itio n s . In t h i s c a s e , th e s o lu tio n o f
P r o b le m 2 in g e n e r a l c a n n o t be c o n s tr u c te d in D .
5921 88
B ib lio g ra p h y for C hapter III
1. V a p n y a r s k i i , I . B . T e o r e m a s u s h c h e s tv o v a n iy a o p tim a l'n o g o
u p r a v le n iy a v z a d a c h e B o l 'ts a , n e k o to ry e e e p r ilo z h e n iy a i n e o b -
k h o d im y e u s lo v iy a o p tim a l'n o s ti s k o l'z y a s h c h ik h i o so b y k h
r e z h im o v (T he T h e o r e m of E x is te n c e of th e C o n tro l in B o l z a 's
P r o b le m , S om e of I ts A p p lic a tio n s , an d th e N e c e s s a r y C o n d itio n s
of O p tim a lity of S lid in g an d S in g u la r C o n tr o ls ) . — Z h u r n a l V y -
c h i s l i t e l ’n o i M a te m a tik i i M a te m a tic h e s k o i F iz ik i , No. 2. 1967.
2. G a m k r e l i d z e , R. V. O s k o l’z y a s h c h ik h o p tim a l’n y k h r e z h im a k h
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3. I o f f e , A. D. P r e o b r a z o v a n iy a v a r ia ts io n n y k h z a d a c h ( T r a n s f o r
m a tio n o f V a r ia tio n a l P r o b le m s ) . — I z v e s tiy a AN SSSR, te c h ,
c y b e r n e t i c s . N o s. 3 , 4 . 1967.
4. K r o t o v , V . F . O r a z r y v n y k h r e z h e n iy a k h v v a r ia ts io n n y k h z a d a c h a k h
(D is c o n tin u o u s S o lu tio n s of V a r ia tio n a l P r o b le m s ) . — I z v e s tiy a
V u z q v , m a th , s e r . . N o. 2. 1961.
5. K r o t o v , V . F . O b a b s o ly u tn o m m in im u m e f u n k ts io n a lo v n a
s o v o k u p n o s ti f u n k ts ii s o g r a n ic h e n n o i p ro iz v o d n o i (T he A b s o lu te
M in im u m of F u n c tio n a ls on th e S et of F u n c tio n s w ith a B o u n d ed
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6. K r o t o v , V . F . R a z ry v n y e r e s h e n iy a v a r ia ts io n n y k h z a d a c h
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7. K r o t o v , V . F . a nd M. Ya. B r o v m a n . E k s t r e m a l ’nye p r o t s e s s y
p la s tic h e s k o g o d e f o r m ir o v a n iy a m e ta llo v ( E x tre m u m P r o c e s s e s
of P l a s t i c D e fo rm a tio n of M e ta ls ). — I z v e s tiy a AN SSSR, m e c h a n ic s
and m a c h in e b u ild in g s e r i e s . N o. 3. 1962.
8. L a v r a n e t ’ e v , M .A . and L . A. L y u s t e r n i k . O sn o v y v a r i a t s i o n -
nogo is c h is le n iy a ( E le m e n ts of V a r ia tio n a l C a lc u lu s ) , V o l . l , P a r t s
1 an d 2. — ONT1. 1932.
9. S m i r n o v , V. I. K u r s v y s s h e i m a te m a tik i (A C o u r s e in H ig h e r
M a th e m a tic s ) , V ol. IV. — F iz m a tg iz . 1958.
10. S t e p a n o v , V . V. K u rs d if f e r e n ts i a l'n y k h u r a v n e n ii (A C o u r s e in
D if f e r e n tia l E q u a tio n s ) . — G o s te k h iz d a t. 1945.
11. T r o i t s k i i , V . A . O v a r ia ts io n n y k h z a d a c h a k h o p tim iz a ts ii
p r o t s e s s o v u p r a v le n iy a ( V a r ia tio n a l O p tim iz a tio n P r o b le m s f o r
C o n tro l P r o c e s s e s ) . — P r ik l a d n a y a M a te m a tik a i M e k h a n ik a ,
26, N o . 2. 1962. 89
89
Chapter IV
SOME PROBLEMS OF POWERED

FLIGHT OPTIMIZATION
§ 4. 1. V E R T IC A L A S C E N T O F A R O C K E T IN
V A CU UM
T h e p r e s e n t s e c tio n d e a ls w ith a r e l a t i v e l y s im p le p r o b le m o f r o c k e t
d y n a m ic s , n a m e ly th a t o f r e a c h in g e x t r e m e (m a x im u m ) a ltitu d e in o n e
d im e n s io n a l v e r t i c a l m o tio n in v a c u u m ( a i r l e s s s p a c e ). C o n s ta n t
g r a v it a tio n a l a c c e l e r a t i o n is a s s u m e d . T h is p r o b le m m a y be t r e a t e d a s a
s im p lif ie d m o d e l of th e g e n e r a l o p tim iz a tio n p r o b le m of r o c k e t m a n e u v e r s
in a h o m o g e n e o u s fie ld , w h ic h is s o lv e d in th e n e x t s e c tio n . T h e m e th o d of
s o lu tio n and th e s p e c if ic p r o p e r t i e s of th e s o lu tio n o f th e g e n e r a l p r o b le m
a r e c o n v e n ie n tly i l l u s t r a t e d in th is s im p le c a s e .
T h e e q u a tio n s of th e v e r t i c a l m o tio n of a r o c k e t w ith c o n tr o lle d t h r u s t
m a y be w r i tte n in th e f o r m
(4 .1 )
h' = ~ T v '
m p (4 .2 )
L. (4 .3 )
w h e r e h is th e a ltitu d e re c k o n e d f r o m th e s u r f a c e of th e p la n e t, V i s th e
v e lo c ity , t i s tim e , m i s th e m a s s , c is th e n o z z le v e lo c ity , g is th e
g r a v it a tio n a l a c c e l e r a t i o n ( a s s u m e d c o n s ta n t), p is th e p e r - s e c o n d r a t e
of fu e l c o n s u m p tio n (th e c o n tr o l e le m e n t) , 0 < p < p max. T h e in d e p e n d e n t
v a r i a b l e in th e s e e q u a tio n s i s th e c u r r e n t m a s s (a n o n - in c r e a s in g fu n c tio n
o f tim e ) .
T h e fo llo w in g b o u n d a ry c o n d itio n s a r e u s e d :
h0= 0, 1/0=0, /o= 0 (4.4)
f o r m —rrio (th e r o c k e t s t a r t s f r o m r e s t ) ; th e v a lu e s of V\ and t\ f o r m = m x

a r e no t g iv e n .
O u r p r o b le m is to fin d th e m o tio n r e a c h in g th e m a x im u m a ltitu d e at
th e end of th e p o w e re d flig h t (i. e ., m in im iz e (—hi ) ). 09
90
T h e s o lu tio n of th e p r o b le m is d iv id e d in to tw o s ta g e s : f i r s t w e s o lv e
th e p r o b le m f o r an y fix e d t\ s u c h th a t
{t\— /o) ^ (m0—ffl\) 1/Pmax»
and th e n c a r r y o u t o p tim iz a tio n w ith r e s p e c t to , w h ich y ie ld s th e f in a l

s o lu tio n .
T h e fu n c tio n s R and (D of o u r p r o b le m a r e w r itte n in th e f o r m
(4 .5 )
<b= —h1 fiu Vu ^,). (4 .6 )
N ote th a t — m a y be t r e a t e d a s a l i n e a r c o n t r o l fu n c tio n and e q u a tio n s

P
( 4 .1 ) —(4 .3 ) h a v e th e s a m e f o r m a s th e e q u a tio n s t r e a t e d in 3. 5. 2.
We w ill u s e th e m e th o d of m u ltip le m a x im a . S o lv in g th e p a r t i a l
d i f f e r e n t i a l e q u a tio n
— VhV + Vvg — 9t = 0, (4 .7 ) 91
w e o b ta in th e f i r s t i n t e g r a l s g, r) of th e c h a r a c t e r i s t i c s y s t e m
dh . r ciV (4.8)
dt ' dt~~ g'
n a m e ly
t = V+ gty r \ = h - V t - ± g P . (4 .9 )
T h e g e n e r a l s o lu tio n of (4.7) is an a r b i t r a r y c o n tin u o u s d if f e r e n tia b le

fu n c tio n r], m). I n s e r tin g th is fu n c tio n in (4 .5 ), (4 .6 ) and c h a n g in g
o v e r to new v a r i a b l e s £ and , we find
— (?U — W ) ( “ + Vm' (4 .9 a )
l *i. 'll1- (4 .1 0 )
T h e fu n c tio n <pi is g iv e n in th e f o r m
(4 .1 1 )
w h ere tj> a r e s o m e c o n s ta n ts . T hen
Tim —0; <Pu= 't(o: (4 .1 2 )
an d (4 .1 0 ) t a k e s th e f o r m
^ i= — — V i+ 'h o S i + (4 .1 3 )
T a k in g = ^(i,}= 1, w e fin d
= — gt\ = const = min <E>j (4 .1 4 )

Ci,7)i
91
f o r any gi, rji. T h e fu n c tio n Ri t a k e s th e f in a l f o r m
* ! = “ (*,- 0 - £fit- • ( 4. 15)
L e t u s in v e s tig a te th e m in im u m of t h i s fu n c tio n * f o r an y fix e d m £ ( m ]f m 0).

T h e m in im u m is c l e a r l y o b ta in e d a t th e lo w e r lim it v a lu e o f t , i . e . , t L(m).
T h e e x t r e m e v a lu e s of t o v e r th e i n t e r v a l (mo, m \ ) , i. e ., t i( m) and
tu(m) , a r e o b ta in e d f r o m e q u a tio n (4 .3 ) w ith th e a p p r o p r ia t e b o u n d a r y
c o n d itio n s and th e c o n s t r a i n t s on (3 . T h e lo w e r lim it t L(m) i s th e s o lu tio n
o f e q u a tio n (4 .3 ) f o r p = pmax w h ic h p a s s e s th r o u g h th e p o in t (m0, t0), and
tu(m) is th e s a m e s o lu tio n p a s s in g th r o u g h th e p o in t (m lt ( F ig u r e 4 .1 ).
In d ee d , no s o lu tio n of (4.3) p a s s in g th r o u g h (m0, to) m a y lie b elo w ti ( m)
f o r an y m < m 0 > and no s o lu tio n p a s s in g th r o u g h ( m i, t\) m a y lie a b o v e /y(m)
f o r an y m > m x , s in c e t h i s w ould n e c e s s i t a t e P>pmax . T h e tw o s t r a i g h t
lin e s t i(m) and tv (m) a r e p a r a l l e l .
T h is c o n c lu d e s th e f i r s t s ta g e of th e s o lu tio n . T h e r e s u lt in g m o tio n
s t a r t s f r o m th e i n it ia l p o in t a lo n g th e lo w e r lim it t — and th e n
a b r u p tly " j u m p s ” a t m = m 1 f r o m to t\ . In o th e r w o rd s , m a x im u m
t h r u s t p = pmnx is m a in ta in e d u n til a ll th e fu e l h a s b u rn t o u t, fo llo w e d by a
c o a s tin g s ta g e u n til t\.
FIGURE 4.1
H e re t(m) is a d is c o n tin u o u s fu n c tio n . We c a n r e s t r a i n th e s o lu tio n to

r e m a in in D by r e p la c in g th e v e r t i c a l s e g m e n t is s u in g f r o m th e p o in t t x ( s e e
F ig u r e 4.1) w ith an in c lin e d s e g m e n t e x te n d in g to in t e r s e c t i o n w ith ti(m)
and m a k in g th e s lo p e f a c t o r of th is s e g m e n t go to in fin ity k —+oo. T h is i s
a c h ie v e d by c o n s tr u c tin g a c o n t r o l s e q u e n c e w ith p ^ O o v e r a f in ite le n g th
of tim e . T h is s e q u e n c e s a t i s f i e s a l l th e c o n d itio n s of T h e o r e m 1 .1.
In d eed , c o n d itio n (1 .1 2 ) is s a tis f ie d in v ir tu e of (4 .1 4 ) an d c o n d itio n (1 .1 1 ) is
s i m i l a r l y s a tis f ie d , s in c e on th is s e q u e n c e th e fu n c tio n R d e fin e d by (4 .1 5 )
is m in im u m e v e r y w h e r e , e x c e p t a s e t of p o in ts m w h o se m e a s u r e g o e s
to z e r o .
T o find th e o p tim u m v a lu e of t x (th e s o lu tio n of th e s e c o n d s ta g e of th e
p r o b le m ), it s u f f ic e s to i n t e g r a t e (4.1) —(4.3) in o r d e r to o b ta in th e
d e p e n d e n c e of hx on t\ and th e n find th e m a x im u m o f h \ . It i s r e a d ily s e e n
• The condition of maximum R (Theorem 1.1) is replaced, as is readily seen, by a condition of minimum
when a decreasing argument is substituted for an increasing argument.92
92
th a t th e so u g h t t\ c o r r e s p o n d s to V i= 0 , and th e m a x im u m v a lu e of h { is
g iv e n by
(4 .1 6 )
T h e r e a d e r w ill be a b le to a p p ly th e s a m e m e th o d to s o lv e th e p r o b le m
of s o ft v e r t i c a l la n d in g w ith m in im u m v e lo c ity on th e s u r f a c e of a p la n e t
w ith o u t an a t m o s p h e r e , f o r g iv e n in it ia l c o n d itio n s .
§ 4. 2. O P T IM U M M O TIO N C O N T R O L O F R O C K E T S IN
A H O M O G EN EO U S G R A V IT A T IO N A L F IE L D IN
VA CU UM
V a r io u s p r o b le m s of r o c k e t d y n a m ic s a r e c o n c e r n e d w ith m a n e u v e r s
w h ic h m u s t be p e r f o r m e d w ith in a r e l a t i v e l y s m a l l r e g io n of s p a c e and in
a c o m p a r a tiv e ly s h o r t tim e , s o th a t th e r e a l g r a v it a tio n a l fie ld a c tin g on
th e v e h ic le m a y be t r e a t e d a s c o n s ta n t (th e h o m o g e n e o u s fie ld a p p r o x im a tio n
th e r e a l fie ld d e p e n d s in g e n e r a l on th e p o s itio n of th e s p a c e c r a f t and th e
tim e ) .
F o r m a n e u v e r s p e r f o r m e d n e a r th e g ro u n d w ith in a s p h e r e of s o m e
100 k m r a d iu s , th e r e l a t i v e e r r o r of th is a p p r o x im a tio n is a b o u t 1.5%.
A s th e r o c k e t m o v e s f a r t h e r f r o m th e p r i m a r y c e n t e r of a t tr a c t io n , th e
e r r o r d e c r e a s e s ( o th e r c o n d itio n s b e in g c o n s ta n t), so th a t a m id c o u r s e
c o r r e c t i o n on a lu n a r o r an in t e r p l a n e t a r y t r a j e c t o r y m a y be t r e a t e d a s
ta k in g p la c e in a h o m o g e n e o u s fie ld . T h is s ig n if ic a n tly s im p lif ie s th e
a n a ly s i s and le a d s to e f f e c tiv e s o lu tio n o f n u m e r o u s o p tim u m p r o b le m s of
r o c k e ts d y n a m ic s /8 , 9 /.
T h e g e n e r a l s t r u c t u r e of o p tim u m m o tio n c o n tr o l in a h o m o g e n e o u s
fie ld h a s b e e n in v e s tig a te d by a n u m b e r of a u t h o r s /2 , 3, 1 1 /.
4. 2. 1. S ta te m e n t of th e p r o b le m
T h e m o tio n of th e c e n t e r of m a s s of a r o c k e t p o w e re d by a t h r u s t v e c to r
in v a c u u m in a h o m o g e n e o u s g r a v it a tio n a l fie ld is d e s c r ib e d by th e fo llo w in g
s e t of e q u a tio n s :
(4 .1 7 )
(4 .1 8 )
(4 .1 9 )
w h e r e r = ( r l, r2, r3), V = ( V ,, V2, V3) a r e , r e s p e c ti v e ly , th e r a d iu s v e c t o r

an d th e v e lo c ity v e c t o r of a p o in t in th e i n e r t i a l f r a m e of r e f e r e n c e ;
g = (g 1, g 2, g 3) i s th e c o n s ta n t g r a v i t a t i o n a l a c c e l e r a t i o n v e c to r ; p i s th e u n it
t h r u s t v e c t o r (a c o n t r o l e le m e n t) ; t is tim e ; m i s th e m a s s (in d e p e n d e n t
v a r ia b le ) ; p i s th e r a t e of m a s s c o n s u m p tio n ( a n o th e r c o n tr o l e le m e n t) ;
c is th e n o z z le v e lo c ity . In a d d itio n to (4 .1 7 ) — (4 .1 9 ), th e a d m is s ib l e
m o tio n s a l s o s a tis f y th e c o n s t r a i n t s
° < P <&».„. w h e r e Pmax < oo (4 .2 0 )
an d th e b o u n d a ry c o n d itio n s
(r0, Vo)K:B(m0) (4 .2 1 )
f o r /0 —/of and m = m o» and

(r,. l / ,) £ £ (/« ,) (4 .2 2 )
f o r /j — /jf and m = rri\.

H e r e B ( m ) i s a s e t in th e v e c t o r s p a c e (r, V) . T h e s e t of c o n tr o l
fu n c tio n s
z ( m) = (r(m), V ( m ), t ( m) , p ( m) , P(m ))
s a tis f y in g th e ab o v e c o n d itio n s w ill be d e s ig n a te d D . O u r p r o b le m is to

fin d a c o n tr o l fu n c tio n z ( m) in D on w h ic h th e fu n c tio n a l — s o m e fu n c tio n
F ( r ]t V]) — a t ta i n s i t s m in im u m .
If th e s o u g h t c o n t r o l f u n c tio n z( m) d o e s n o t e x is t in D , w e w ill h a v e to
c o n s tr u c t a m in im iz in g s e q u e n c e zs(m) in D .
4. 2. 2. T r a n s it io n to P r o b le m 2
We c o n s tr u c t th e f u n c tio n s
R ( r , V, p, P, m) = or ( — L ^ V - p - + <P, ( - ~ (4 .2 3 )
VV r ly V x) ^ F { r ^ “I- ? (f*i, ^ i) V 0, ^ fno)> (4 .2 4 )
T h e f i r s t tw o t e r m s on th e le ft in (4.23) a r e s c a l a r p r o d u c ts o f t h r e e -
d im e n s io n a l v e c t o r s .
T h e fu n c tio n (p i s d e fin e d a s th e g e n e r a l s o lu tio n o f th e p a r t i a l d if f e r e n tia l
e q u a tio n
+ 9v8-r-f, = 0, (4 .2 5 )
w h e r e th e le ft-h a jid s id e i s th e c o e f fic ie n t b e f o r e — in e x p r e s s i o n (4 .2 3 ) f o r
th e fu n c tio n R . T h e s o lu tio n of t h i s e q u a tio n h a s th e f o r m
<P=<Pi(£, *1, (4 .2 6 )
94
w h e r e 5= (^, S2, E3), T1 = ( T111 “H2, T]3)) a r e th e v e c to r f i r s t in t e g r a l s of th e
c h a r a c t e r i s t i c s y s t e m of e q u a tio n (4 .2 5 ):
dr
= V\ (4 .2 7 )
dt
dV
(4 .2 8 )
n = g-
It is r e a d i l y s e e n th a t th e c h a r a c t e r i s t i c e q u a tio n s in t h i s c a s e d e s c r i b e
th e c o a s tin g of a p o in t in a h o m o g e n e o u s f ie ld .
T he f ir s t in te g ra ls rj a r e g iv e n by
\= V -g t\ (4 .2 9 )
^ = r — V t g t 2. (4 .3 0 )
I n s e r tin g th e s o lu tio n (4 .2 6 ) in e x p r e s s i o n s (4 .2 3 ), (4 .2 4 ) f o r R an d <D

an d c h a n g in g o v e r to new v a r ia b le s , we o b ta in
y?j= m in R = — — {cpc — <pT(/j ^ + <pm; (4 .3 1 )

p m
<1*1 = ^ ri(£i, *1,, o + <?,($!. ’ll. "*i)-«Pi(Eo. ’lo. «o)- (4 .3 2 )
T h e fu n c tio n s R\ and (Di r e q u i r e f u r t h e r in v e s tig a tio n . In a c c o r d a n c e

w ith th e th e o r y of 3. 3. 2, th is tr a n s f o r m a t i o n of th e fu n c tio n s R and CD m a y
be i n t e r p r e t e d a s a t r a n s i t i o n to P r o b le m 2, w h ic h c a l l s f o r m in im iz a tio n
of th e s a m e fu n c tio n a l o v e r th e s e t D , c h a r a c t e r i z e d by th e s a m e s y s t e m of
b o u n d a ry c o n d itio n s and c o n s t r a i n t s and a n ew s y s t e m of d i f f e r e n tia l
r e la tio n s :
l' = ---- - p; (4 .3 3 )
m
n ' = — pt, (4 .3 4 )
m
w h e r e th e c o m p o n e n ts of th e v e c t o r s g, r) p la y th e r o le of p h a s e c o o r d in a te s ,
an d th e c o m p o n e n ts of p and th e tim e t a r e th e c o n t r o l e l e m e n ts . If
e q u a tio n s (4 .3 3 ), (4 .3 4 ) a r e s u p p le m e n te d w ith e q u a tio n (4 .1 9 ), th e r e s u lt in g
s y s t e m w ill be e q u iv a le n t to e q u a tio n s (4 .1 7 ) — (4 .1 9 ). S u ita b le t r a n s f o r
m a tio n of c o o r d in a te s w ill m o v e one s y s t e m in to th e o th e r . T h e e x p r e s s i o n s
f o r th e f u n c tio n a l and th e b o u n d a ry c o n d itio n s c h a n g e a c c o r d in g ly u n d e r t h i s
t r a n s f o r m a t i o n . S in ce (4 .3 3 ), (4 .3 4 ) c o n ta in f e w e r c o n s t r a i n t s th a n
(4 .1 7 ) — (4 .1 9 ), th e s e t D\ is w id e r th a n D , i. e ., D xzdD t s o th a t
in f/< in f/. (4.35)

D, D
We w ill sh o w in w h at fo llo w s th a t th e e q u a lity s ig n a p p lie s in (4 .3 5 ), i. e.,
th e in i t i a l p r o b le m m a y b e r e p la c e d by P r o b le m 2.
N o te th a t (4 .3 3 ), (4 .3 4 ) h av e a p e c u lia r c h a r a c t e r i s t i c : th e r ig h t- h a n d
s id e s of th e s e e q u a tio n s a r e in d e p e n d e n t of th e p h a s e c o o r d in a te s .
95
The n ecessa ry conditions for a minimum of R are the following:
tfisOi, n, p , t, m) = 0 - > t u ) = 0 ; (4 .3 6 )
f l u ( I 0, p, t, m ) — 0 —»■)>(,) = 0; (4 .3 7 )
#i(S , *>. P< i, m ) — inf R ($. V, p, t, m). (4 .3 8 )

P.<6[<l .<u]
w h ere
1>(5) = <Pe(«*, ?, n ) ,
td i>— 5, *)).
H e r e £(m ), r\(m) a r e th e v a lu e s of £, r| a lo n g th e so u g h t o p tim a l

s o lu tio n .
R e la tio n s (4 .3 6 ) — (4 .3 8 ) c o r r e s p o n d to th e a d jo in t s y s t e m and th e c o n d itio n
of m in im u m of H (a f u n c tio n w ith a d e c r e a s in g a r g u m e n t) in P o n tr y a g in 's
m a x im u m p r in c i p le . T h e s e e q u a lit ie s th u s g iv e th e n e c e s s a r y c o n d itio n s
of o p tim a lity . By (4 .3 6 ), (4 .3 7 ), a r e c o n s ta n t ( s in c e th e r ig h t- h a n d
s id e s of (4 .3 3 ), (4 .3 4 ) a r e in d e p e n d e n t of th e p h a s e c o o r d in a te s ) .
T h e f u n c tio n H h a s th e f o r m
H = —— P i^D -î). (4 .3 9 )
m
T h e m in im u m of H is e v id e n tly a tta in e d f o r
(4 .4 0 )
I 'h o - 'h i ) ‘ \
and it is e q u a l to
(4 .4 1 )
U
7TIq 771
FIGURE 4.2
96
T h e m in im u m of H x w ith r e s p e c t to t c o in c id e s w ith th e m a x im u m of th e
r a d ic a n d in (4 .4 1 ), w h ich i s a q u a d r a tic t r i n o m i a l in / . If ^=0 , th e
c o e f fic ie n t b e f o r e t2 i s p o s itiv e , s o th a t th e r a d ic a n d in (4 .4 1 ) c a n a tta in
a m a x im u m o n ly f o r e x t r e m e v a lu e s of / , i. e ., tu(m) ( F ig u r e 4 .2 ).
C o m p a r is o n of th e v a lu e s of Hi a t th e lo w e r an d th e u p p e r l i m its y ie ld
th e fo llo w in g c o n d itio n s f o r o p tim u m s e le c tio n w ith r e s p e c t to t :
t,(m) fo r <l ( m )+ /u(m)_

(*<,>)’ 2
' = Um) fo r (4 ‘42)
_ (*<,»)* 2
S in c e th e le f t- h a n d s id e of th e in e q u a lity in (4 .4 2 ) is c o n s ta n t and th e r ig h t- h a n d
s id e is a m o n o to n ic a lly d e c r e a s i n g fu n c tio n of m a s s , th e m o tio n f r o m m D
to m\ (in th e d ir e c tio n of d e c r e a s in g m a s s ) c a n h a v e a t m o s t one c o n tr o l
c h a n g e , n e c e s s a r i l y f r o m th e lo w e r lim it th{rn) to th e u p p e r tu ( m).
In p a r t i c u l a r c a s e s , d e p e n d in g on th e v a lu e s of Û)<j>(T1), c o n t r o l f u n c tio n s
w ith o u t a b r u p t c h a n g e a r e p o s s ib le : e i t h e r t = t i( m) o r t = tu ( m) .
F o r ii)(Tl)= 0 , th e fu n c tio n Hi is in d e p e n d e n t of t an d th e c o n d itio n o f
m in im u m of H x w ith r e s p e c t to t is s a t is f ie d by a n y p ie c e w is e - c o n tin u o u s f u n c
tio n t(m) v a r y in g b e tw e e n th e fixed l i m i t s . T h is c a s e is o b s e r v e d w h en e i th e r
th e in it ia l o r th e fin a l v a lu e of th e v e c to r is f r e e .
If th e fu n c tio n F x is c o n c a v e and th e b o u n d a ry c o n d itio n s a r e fix ed o r
d e fin e d by l i n e a r f o r m s in t e r m s of th e i n i t i a l an d th e fin a l v a lu e s of th e
c o o r d in a te s (th e c o m p o n e n ts of th e v e c t o r s £o. t]o, £i, r\i)t th e n e c e s s a r y
c o n d itio n s (4.3 6 ) — (4 .3 8 ) a r e a ls o s u f f ic ie n t, s in c e th e r ig h t- h a n d s id e s of
(4 .3 3 ), (4 .3 4 ) a r e in d e p e n d e n t of th e p h a s e c o o r d in a te s . T h e r e f o r e e a c h
s o lu tio n s a tis f y in g th e ab o v e c o n d itio n s is of n e c e s s i t y o p tim a l. In p a r
t i c u l a r , if th e lim it v a lu e tî o r r]o of th e v e c to r r\ is f r e e , th e o p tim a l
s o lu tio n s a r e in h e r e n tly not u n iq u e . A ny c o m b in a tio n of th e c o n tr o l
fu n c tio n s
w h ere is s e le c te d so th a t th e b o u n d a ry c o n d itio n s a r e s a tis f ie d and

t ( m ) is any f u n c tio n f a llin g w ith in th e a d m is s ib l e l i m i t s , i s an o p tim a l
s o lu tio n of P r o b le m 2. T h is c a n be v e r if ie d d i r e c t l y , by e lim in a tin g
e q u a tio n (4 .3 4 ) f r o m s y s t e m (4 .3 3 ), (4 .3 4 ) an d c o n s id e r in g th e p r o b le m f o r
e q u a tio n (4 .3 3 ) o n ly , w h o se r ig h t- h a n d s id e i s in d e p e n d e n t of t .
In th e g e n e r a l c a s e of n o n lin e a r b o u n d a r y c o n d itio n s an d n o n lin e a r
f u n c tio n a ls , c o n d itio n s (4 .3 6 ) — (4 .3 8 ) a r e o n ly n e c e s s a r y . T o fin d th e
o p tim a l s o lu tio n in th is c a s e , a f u r t h e r a n a ly s i s i s n e e d e d (e. g ., f u r t h e r
in v e s tig a tio n of R ). H o w ev er, s in c e c o n d itio n s (4 .3 6 ), (4 .3 8 ) a r e
n e c e s s a r y , th e y d e s c r i b e th e s t r u c t u r e of th e o p tim a l s o lu tio n . 97
97
4. 2. 3. The so lu tio n o f P r o b le m 2 in th e o r ig in a l
s e t . T h e s tr u c tu r e o f o p tim a l c o n tr o l fu n ctio n s
T h e s o lu tio n o f P r o b le m 2 b e lo n g s to th e s e t D . If t h i s s o l u t i o n i n
th e (/, m) p la n e s a t i s f i e s e q u a tio n (4 .1 9 ) w ith th e g iv e n c o n s t r a i n t s on p , it
a l s o b e lo n g s to th e o r ig in a l s e t D and i s th u s a s o lu tio n o f th e o r ig in a l
p r o b le m . It i s r e a d i l y s e e n th a t s o lu tio n s of th e f o r m sh o w n in F ig u r e 4.2
( th e c a s e ij)^) =#=0 ) s a t i s f y e q u a tio n (4 .1 9 ). T h e s e c ti o n s o f th e u p p e r and
th e lo w e r b o u n d a r ie s c o r r e s p o n d to P^Pmax (m o tio n w ith m a x im u m th r u s t) ,
an d th e ju m p a t th e s w itc h in g p o in t c o r r e s p o n d s to p = 0 ( c o a s tin g w ith th e
t h r u s t off). T h e d ir e c tio n of th e t h r u s t v e c t o r a lo n g th e p o w e re d s e c ti o n s
is d e te r m in e d by e q u a tio n (4 .4 0 ). If w e s t r i c t l y c o n fin e th e s o lu tio n s to th e
c l a s s D , w h ic h c o r r e s p o n d s to c o n tin u o u s fu n c tio n s t(m), th e s o lu tio n of
th e p r o b le m is p r o v id e d by a s e q u e n c e w h ic h in th e (t, m) p la n e ( F ig u r e 4.2)
c o r r e s p o n d s to a s e q u e n c e of th e fu n c tio n s t ( m ) o b ta in e d w h en th e su d d e n
ju m p s a t th e p o in ts m0, /72|, m$ a r e r e p la c e d by in c lin e d s t r a i g h t s e c tio n s
w ith th e s lo p e f a c to r g o in g to in f in ity ( a s in § 4. 1).
T h e c a s e ij)(T))= 0 r e q u i r e s s p e c ia l c o n s id e r a tio n . T h e s o lu tio n o f
e q u a tio n s (4 .3 6 ) — (4 .3 8 ) in t h i s c a s e i n c o r p o r a t e s a ll th e p ie c e w is e -
c o n tin u o u s fu n c tio n s t(m) s a tis f y in g th e c o n s t r a i n t s t i ( m ) ^ t ( m ) <t u( m) on
[mu m 0] and th e b o u n d a r y c o n d itio n s to, /j. T h e s e f u n c tio n s m a y in c lu d e th o s e
w h ic h do n o t s a t i s f y e q u a tio n (4 .1 9 ). If th e c o n d itio n s a r e n o n lin e a r a t th e
tw o end p o in ts , f u r t h e r a n a ly s i s i s r e q u ir e d in o r d e r to fin d th e o p tim a l
s o lu tio n of P r o b le m 2. T h e r e is d a n g e r , h o w e v e r, o f e n d in g u p w ith an
o p tim a l s o lu tio n w h ic h c o r r e s p o n d s to a f u n c tio n t(m) th a t d o e s n o t s a tis f y
e q u a tio n (4 .1 9 ).
In o r d e r to a s s e s s th e im m in e n c e of t h i s d a n g e r , le t u s c o n s id e r th e
s o lu tio n of s y s t e m (4 .3 3 ), (4 .3 4 ) f o r —0 . By (4 .4 0 ) w e h a v e
p = — ^ - = eonst. (4 .4 3 )
|*«>l
H en c e
(4 .4 4 )
m\
'I j ^ o ) dm (4 .4 5 )
m0
We s e e f r o m (4 .4 4 ) and (4 .4 5 ) th a t th e v e c t o r s (£i— £o) and (ip —r)o) a r e

c o l l i n e a r w ith th e v e c t o r p and th e e n d s of th e v e c t o r s (r]i— rjo) d e fin e a
s e g m e n t in th e d i r e c t i o n p w ith th e end p o in ts
m,
(4 .4 6 )
trio
98
T h e so u g h t o p tim a l v a lu e of (tji—rio) m u s t l i e in s id e th is s e g m e n t. If it
c o in c id e s w ith one of th e end p o in ts , th e c o r r e s p o n d i n g fu n c tio n th{m) o r
tu(m) i s u n iq u e and is r e p r e s e n t e d by e q u a tio n (4 .1 9 ). If, h o w e v e r, it l i e s
in s id e th e in te r v a l, t h e r e a r e in f in ite ly m a n y s o lu tio n s /(m ) s a tis f y in g th e
o n ly c o n d itio n
m,
p (>1, - 110) = - c f dm. (4 .4 7 )
J m
mp
A m o n g t h e s e s o lu tio n s , w e c a n a lw a y s c h o o s e a s e t of fu n c tio n s t(m)

s a tis f y in g e q u a tio n (4 .1 9 ) and th e a p p r o p r ia t e b o u n d a ry c o n d itio n s . A
s u ita b le fu n c tio n t(m) m a y be so u g h t in th e f o r m
i ( m ) ~ ----- -— m-\~a, (4 .4 8 )
pmax
w h e r e th e c o n s ta n t a i s r e a d ily o b ta in e d f r o m (4 .4 7 ). It fo llo w s f r o m th e
a b o v e th a t in an y c a s e th e s o lu tio n of P r o b le m 2 in c o r p o r a t e s th e s o lu tio n of
th e o r ig in a l p r o b le m , w h ich i s r e a d ily d e r iv e d f r o m th e f o r m e r . We th u s
in d e e d h a v e th e e q u a lity s ig n in (4 .3 5 ).
4 . 2. 4. G e n e r a liz a ti o n to th e c a s e of f r e e en d p o in ts
T h e a b o v e r e s u l t s s ig n if ic a n tly d e p e n d on th e c o n s tr u c tio n of th e lim it

v a lu e s of t , w h ic h c a n be d o n e f a i r l y e a s il y f o r th e c a s e of fix e d en d p o in ts .
T h e s o lu tio n of th e p r o b le m w ith f r e e end p o in ts b e lo n g s to th e s e t of
s o lu tio n s of p r o b le m s w ith fix e d end p o in ts an d t h e r e f o r e h a s th e s a m e
s t r u c t u r e a s b e f o r e . T h e a d d itio n a l c o n d itio n s of o p tim u m f o r m0, t0, m \ c a n
be o b ta in e d by v a r y in g th e g e n e r a l s o lu tio n of P r o b le m 2 w ith fix e d end
p o in ts w ith r e s p e c t to th e s e p a r a m e t e r s . T h e o n ly e x c e p tio n s a r e th e
p r o b le m s s e e k in g m in im u m t\ and m a x im u m m x: th e f o r m e r s in c e / i s a
c o n t r o l e le m e n t in P r o b le m 2, and n o t a p h a s e c o o r d in a te , an d th e l a t t e r
s in c e p r o b le m s w ith fix e d m x a r e m e a n in g le s s . T h e c o r r e s p o n d in g p r o b le m s
c a n be so lv e d by in tr o d u c in g new v a r i a b l e s
t ~ a x \ m = b\i,
w h e r e T, p a r e th e new v a r i a b l e s (w ith fix e d en d p o in ts ), an d a and b a r e

in tr o d u c e d in (4 .3 3 ), (4 .3 4 ) a s a d d itio n a l p h a s e c o o r d in a te s w ith th e
a p p r o p r i a t e s u p p le m e n ta r y e q u a tio n s a ' —0, b ' = 0. It i s r e a d ily s e e n th a t
th e s t r u c t u r e of th e s o u g h t s o lu tio n r e m a i n s u n c h a n g e d in th is c a s e a ls o .
In d ee d , th e e q u a tio n s of P r o b le m 2 in t h i s c a s e ta k e th e f o r m
(4 .4 9 ) 9
99
w h e re th e d e r iv a tiv e s a r e w ith r e s p e c t to p , and the u p p er and lo w e r
lim it s of t ( ty ( p ) and TL(p) ) a r e co n str u c te d u sin g th e eq u a tio n
___6 J_
T“
w ith fix e d b o u n d a ry v a l u e s to, po, tj, pi . T h e y a r e d e s c r ib e d by th e
e q u a tio n s
t l(ii) = t o— ~ — — (p— to);

a Pmax (4 .5 0 )
'ru(tk) = Ti — - — —(i*—1*1)•
a Pmax
T h e fu n c tio n s H and //j f o r th is s y s t e m a r e o b ta in e d by s u b s t itu tin g ax

f o r t in (4.39) and (4 .4 1 ). S in ce th e r ig h t- h a n d s id e s of th e s e e q u a tio n s
a r e in d e p e n d e n t of £ and T] , th e v e c t o r s ipu) and ^(Tj) a r e a g a in c o n s ta n t
a lo n g th e o p tim a l s o lu tio n , s o th a t a l l th e p r e v io u s c o n c lu s io n s r e m a i n in
fo rc e .
T h e new s y s t e m of e q u a tio n s i s s u p p le m e n te d w ith e q u a tio n s f o r ifta)
and il)<6),
d/ <hL,u.
da dx da
, dx^jj
dt db ’
w h e r e th e t e r m s w ith th e d e r i v a t i v e s ^ ^ - u and a c c o u n t f o r th e d e p e n
ds db
d e n c e of th e c o n s t r a i n t s f o r T on a and b . W hen r ta k e s o th e r th a n on e
of i t s lim it v a lu e s , th e s e d e r i v a t i v e s v a n is h . F o r th e lim it v a lu e s of t ,
th e e q u a tio n o f th e c o r r e s p o n d in g b o u n d a ry is d if f e r e n tia te d .
T h e s e c o m m e n ts a r e no t to be r e g a r d e d a s p r a c t i c a l r e c o m m e n d a tio n s
f o r th e s o lu tio n of o p tim u m p r o b le m s . T h e i r a im is to c l a r i f y th e g e n e r a l
s t r u c t u r e of th e s o lu tio n . In p r a c tic e , th e s e p r o b le m s m a y s o m e tim e s be
s o lv e d by c o n s id e r in g th e c o n ju g a te p r o b le m s , n a m e ly th e m a x im iz a tio n of
th e c o o r d in a te f o r fix e d en d p o in ts to, m\, t \ .
4. 2. 5. S in g u la r c o n tr o l
S o m e tim e s th e c o n d itio n of m a x im u m of H w ith r e s p e c t to u d o e s n o t

p e r m i t id e n tify in g a f in ite n u m b e r of p o te n tia l o p tim u m p r o g r a m s . T h is
s itu a tio n is e n c o u n te re d , e. g., w h en one of th e c o n tr o l f u n c tio n s e n t e r s th e
H a m ilto n ia n in l i n e a r f o r m and i t s c o e f fic ie n t v a n is h e s in th e o p tim a l
c a s e . T h e c o r r e s p o n d in g c a s e s a r e know n a s s i n g u l a r c o n t r o l (in
th e s e n s e of th e m a x im u m p r in c ip le ) . T h e n e c e s s a r y c o n d itio n s of th e
m a x im u m p r in c ip le f o r th e o r ig in a l p r o b le m o fte n do n o t p e r m i t r e a c h in g
d e f in ite c o n c lu s io n s r e g a r d in g th e o p tim a lity of th e s e c o n tr o l fu n c tio n s ,
and th is in i t s t u r n i n t e r f e r e s w ith th e e lu c id a tio n of th e g e n e r a l s t r u c t u r e
of th e o p tim a l c o n tr o l. 10
100
L e t u s c o n s id e r t h i s a s p e c t in m o r e d e ta il. We w ill u s e th e e q u a tio n s
o f m o tio n in new v a r i a b l e s (4 .3 3 ), (4 .3 4 ), (4 .1 9 ), w h ich a r e e q u iv a le n t to
(4 .1 7 ) — (4 .1 9 ).
T h e fu n c tio n H f o r th e s e e q u a tio n s h a s th e f o r m
t f = - ( 'h E > - 'W ) — (4 .5 1 )

m p
w h e r e b y th e c o n ju g a te s y s t e m i|)(C) and <j>(t)) a r e c o n s ta n t and ipc/)(m) is
d e s c r i b e d b y th e e q u a tio n
<4 -521
H e r e ^(/>(/n) i s th e c o n t r o l s w itc h in g fu n c tio n .
A lo n g th e s in g u l a r c o n tro l, p i s g iv e n by (4 .4 0 ) and
tyzj = 0. (4 .5 3 )
By (4 .5 2 ), c o n d itio n (4 .5 3 ) le a d s to
(<P<e>— t('))0 t(i)= 0 . (4.54)
T h e l a s t e q u a lity is s a tis f ie d u n d e r th e fo llo w in g c o n d itio n s
1) t ~ c o n s t = 1(£)<^(T|) ; (4.55)
^(T)>
2) <]>(T))= 0 . (4 .5 6 )
C o n d itio n (4 .5 5 ) c o r r e s p o n d s to y = 0 (p u ls e d c o n tro l). T h is is a c a s e
o f s o - c a l l e d p u ls e d s in g u l a r c o n tr o l. Its o p tim a lity c a n be e lu c id a te d by in
v e s tig a tin g P r o b le m 2 a n a lo g o u s to th e o r ig in a l p r o b le m , w ith i t r e a t e d a s
a c o n t r o l e le m e n t. It is r e a d ily s e e n th a t (4 .5 5 ) c o r r e s p o n d s to a s ta t i o n a r y
p o in t of th e q u a d r a tic t r i n o m i a l in t in th e r a d ic a n d in (4 .4 1 ). S in ce th e
c o e f f ic ie n t b e f o r e t is p o s itiv e , th e H a m ilto n ia n h a s a m a x im u m (an d n o t
a m in im u m ) w ith r e s p e c t to t in P r o b le m 2. T h e c o n c lu s io n is th a t th e
s in g u l a r c o n t r o l of th e ty p e b e in g c o n s id e r e d is n o t o p tim a l.
We h a v e s e e n b e f o r e th a t th e s in g u l a r c o n t r o l f u n c tio n s s a tis f y in g
c o n d itio n (4 .5 6 ) m a y be o p tim a l and a s a r u le th e y a r e n ot u n iq u e . T h e
s t r u c t u r e of o p tim a l c o n tr o l in th is c a s e h a s b e e n fu lly e lu c id a te d .
4. 2. 6. G e n e r a liz a tio n to th e c a s e of m u ltis ta g e r o c k e ts
T h e p r e c e d in g c o n s id e r a t io n s c a n b e g e n e r a liz e d to th e c a s e of m u l t i
s ta g e r o c k e t s w hen th e e n g in e o f e a c h s ta g e h a s its ow n m a x im u m t h r u s t .
T h e a r g u m e n t in t h i s c a s e i s c o n v e n ie n tly c h o s e n a s th e c h a r a c t e r i s t i c
v e lo c ity , w h ic h u n lik e m a s s i s a c o n tin u o u s fu n c tio n o f tim e : 10
101
Equations (4.33), (4.34) take the form
(4 .5 7 )
da
a n d e q u a tio n (4 .1 9 ) i s w r i tte n a s
dt mi {a) (4 .5 8 )
---- = n e C
da c${u)
w h e r e ni i ( u) t f}(w), Ui(u), c(u) a r e know n p ie c e w i s e - c o n s t a n t fu n c tio n s of

u (uu mi a r e th e c h a r a c t e r i s t i c v e lo c ity and th e m a s s of th e r e m a in in g p a r t
of th e r o c k e t w h en a s ta g e is je ttis o n e d ) .
It is r e a d ily s e e n th a t e x p r e s s io n (4 .4 0 ) f o r th e o p tim a l c o n t r o l fu n c tio n
p and th e r a d ic a n d in H j do not c h a n g e in th is c a s e . O nly th e r e g io n of
a d m is s ib l e v a lu e s of t c h a n g e s . It is c o n s tr u c te d a lo n g th e s a m e l in e s a s
b e f o r e ; i t s f o r m is sh o w n in F ig u r e 4 .3 . B o th th e u p p e r t^(u) and th e lo w e r
ti(u) l i m i t s of t f o r u £ (w0, U\) a r e s o lu tio n s of (4 .5 8 ) f o r t ; t i ( u ) p a s s e s
th r o u g h th e p o in t (/o, u0) , and tu (u) th r o u g h th e p o in t (/i, « i). S in ce ti(u)
and tu(u) a r e m o n o to n ic fu n c tio n s and th e in t e r v a l (t i ( u ), ^r(w)) i s fix e d ,
th e p r e v io u s r e s u l t s r e m a i n a p p lic a b le .
T h e a b o v e r e s u l t s a r e g e n e r a liz e d to th e c a s e w h en th e o r ig in a l e q u a tio n s
h a v e th e f o r m
r ' = — r ( * + / i (0);
■ /* « ; (4 .5 9 )
102
w h e r e fi(t), f2(t) a r e s o m e p ie c e w is e - c o n tin u o u s v e c to r fu n c tio n s s u c h
th a t th e i n t e g r a l s
e x i s t. In t h i s c a s e , o n ly th e e x p r e s s i o n s of th e f i r s t i n t e g r a l s g, t] in
t e r m s of r, v, t c h a n g e . T h e e q u a tio n s of P r o b le m 2 an d th e c o n c lu s io n s
r e l a t i n g to th e r e a l i z a t i o n of i t s s o lu tio n s and s in g u l a r c o n t r o l s r e m a i n
unchanged.
T h e g e n e r a l v a r i a t i o n a l p r o b le m of th e d y n a m ic s of a p o in t of v a r y in g
m a s s in v a c u u m in a h o m o g e n e o u s g r a v it a tio n a l fie ld th u s h a s b e e n re d u c e d
c o m p le te ly to a new P r o b le m 2 f o r s y s t e m (4 .3 3 ), (4 .3 4 ), w ith th e m a s s
a p p e a r in g a s th e a r g u m e n t, th e c o a s tin g i n t e g r a l s of th e p o in t m a s s a s th e
p h a s e v a r i a b l e s , and th e t h r u s t d ir e c tio n p and tim e t a s th e c o n tr o l
e le m e n ts . T h e c o n s t r a i n t s on tim e a r e p ro v id e d by e q u a tio n (4 .1 9 )
an d th e b o u n d a ry c o n d itio n s f o r t an d m. T h e r ig h t- h a n d s id e s o f
(4 .3 3 ), (4 .3 4 ) a r e s ig n if ic a n tly in d e p e n d e n t of th e p h a s e c o o r d in a te s ;
a s a r e s u l t , th e a d jo in t f a c t o r s a r e c o n s ta n t. T h e in v e s tig a tio n of
P r o b le m 2 g a v e th e fo llo w in g r e s u l t s .
1. O p tim a l c o n tr o l in g e n e r a l m a y c o m p r i s e tw o p o w e re d s e c ti o n s of
m a x im u m t h r u s t s e p a r a te d by a c o a s tin g s ta g e . In th e lim it, w ith
Pmax— ' t hi s c o r r e s p o n d s to a c a s e of tw o - p u ls e m o tio n , w hen th e f i r s t
p o w e r p u ls e i s a p p lie d at th e in it ia l in s t a n t and th e se c o n d p u ls e at th e
f in a l in s ta n t.
2. W ith s p e c ia l b o u n d a ry c o n d itio n s , w hen th e f in a l v a lu e o f th e
v e c t o r r\ i s e i t h e r f r e e o r i s fix e d so th a t th e v e c to r i n c r e m e n t s rji—k)q and
£i—go a r e c o lin e a r , th e o p tim a l s o lu tio n is n o t u n iq u e . In t e r m s of th e
m a x im u m p r in c ip le , th e s e s o lu tio n s c o n s titu te th e s in g u l a r c o n t r o l f o r th e
o r ig in a l p r o b le m .
3. P u ls e d s in g u l a r c o n tr o l is n o n - o p tim a l an d is n o t in c lu d e d in th e
s t r u c t u r e of o p tim a l s o lu tio n s .
4. T h e s t r u c t u r e of o p tim a l s o lu tio n s d e s c r ib e d ab o v e is fu n d a m e n ta lly
in d e p e n d e n t of th e n u m b e r o f s ta g e s , e v e n if th e m a x im u m t h r u s t p o te n tia l
of e a c h s ta g e is d if f e r e n t,
5. T h e e q u a tio n s of o p tim a l c o n tr o l c a n be r e a d ily in te g r a te d a n a ly tic a lly .
A ny p a r t i c u l a r o p tim iz a tio n p r o b le m f o r m o tio n in a h o m o g e n e o u s fie ld
th u s m a y be so lv e d a s a p r o b le m of m in im u m o f a fu n c tio n of a f in ite n u m b e r
of v a r i a b l e s , a lth o u g h th is i s n o t a g e n e r a l r e c o m m e n d a tio n . In a n u m b e r
of c a s e s , p r o c e e d in g f r o m th e s p e c if ic f e a t u r e s of p a r t i c u l a r p r o b le m s , th e
e x p r e s s i o n s o f th e c o n tr o l fu n c tio n s m a y be m a r k e d ly s im p lif ie d b e f o r e
in te g r a tio n , and th e f in a l r e s u l t is th u s o b ta in e d by a s h o r t e r p a th .
§ 4. 3. V E R T IC A L A S C E N T O F A R O C K E T IN T H E
A T M O S P H E R E TO M AXIM UM A L T IT U D E
T h e p r e s e n t s e c tio n i s d e v o te d to th e s o lu tio n o f a p r o b le m p r e s e n te d
in I n tr o d u c tio n ( E x a m p le s 1.1 an d I. 2). T h is p r o b le m o f r o c k e t d y n a m ic s
103
h a s b e e n t r e a t e d by a n u m b e r of a u t h o r s / 4 , 10, 1 3 /. On th e o n e h a n d , it
i s of im m e d ia te p r a c t i c a l i n t e r e s t f o r p r o g r a m m in g th e t h r u s t o f so u n d in g
r o c k e ts , an d on th e o th e r h an d , it m a y b e r e g a r d e d a s a m o d e l o f m o r e
c o m p le x , tw o - d im e n s io n a l and t h r e e - d i m e n s i o n a l p r o b le m s o f r o c k e t
d y n a m ic s . P r o c e e d in g f r o m th e c o n s id e r a t io n s in th e I n tro d u c tio n , w e s e e
th a t s o lu tio n s s a tis f y in g E u l e r ’s e q u a tio n a r e n o t n e c e s s a r i l y o p tim a l. T h e
a n a ly s i s th a t fo llo w s n o t o n ly p r o v id e s a n i l l u s t r a t i o n o f th e te c h n iq u e b u t
a c tu a lly s o lv e s th e p r o b le m in f u ll f o r m and p r o v e s th e o p tim a lity o f th e
s o lu tio n s .
L e t u s b r ie f ly r e i t e r a t e th e p r o b le m . F in d th e m o tio n r e a c h in g th e
m a x im u m a ltitu d e a m o n g a ll th e a d m is s ib l e m o tio n s s a tis f y in g th e c o n d itio n s
h = V; V = — — (X(h, V) — P) — g(h);
m
m = — Pjr; (4 .6 0 )
h(Q) — ft0; 1/(0) = V m ( 0 ) — m0; 0 < P < o o ,
w h e r e h, V, m a r e th e a ltitu d e , th e v e lo c ity , and th e m a s s o f th e r o c k e t;

X ( h t V) is th e d r a g ; P is th e t h r u s t ; g(h) is th e g r a v it a tio n a l a c c e le r a tio n ;
c is th e n o z z le v e lo c ity .
A s i s r e a d ily s e e n , th e e q u a tio n s o f m o tio n (4 .6 0 ) c o n ta in th e c o n tr o lle d
t h r u s t P in l i n e a r fo rm , so th a t th e m e th o d o f m u ltip le m a x im a c a n be
a p p lie d .
T h e fu n c tio n s R and ® f o r th is p r o b le m ta k e th e f o r m
/?=<?nV + 9 v \ - — X ( h , V ) - g ( h ) + P l m ] - 9mP l c + ' ( l; (4 .6 1 )
«>(*,. V u /,) = *, + «p(/„ m„ A,, V ,) — <p(/0, m0, h0, V 0). (4 .6 2 )
T h e e q u a tio n of m u ltip le m a x im a in th is c a s e r e d u c e s to
V — (4 .6 3 )
m
and i t s g e n e r a l s o lu tio n i s
? = cPi(/', h, n (\/, m)), (4 .6 4 )
w h ere
1\(V, m ) = v - c \ n ^ - . (4 .6 5 )
m
T h e p h y s ic a l m e a n in g of th e f i r s t i n t e g r a l r} is th e d if f e r e n c e b e tw e e n
th e a c tu a l v e lo c ity and th e c h a r a c t e r i s t i c v e lo c ity o f th e r o c k e t.
T h e e q u a tio n s of P r o b le m 2 h a v e th e f o r m
A= v ; ---- - X ( h , V) — g(h). (4 .6 6 )
m
S eein g th a t th e tim e o f m o tio n i s n o t fix ed and t] i s a m o n o to n ic fu n c tio n
of tim e ( tj is s t r i c t l y n e g a tiv e by (4 .6 6 )), w e m a y c h a n g e o v e r to a new
104
v a r ia b le , d ro p p in g th e e q u a tio n f o r t . T he p r o b le m th u s r e d u c e s to in
v e s tig a tin g th e o n e e q u a tio n
dfi V ______
f (ft, *1, m). (4 .6 7 )
di\
— X { h %V) + g{h)
ni
w h ere
1/ = ’1+ c In — .
m
Now, a p p ly in g th e m a x im u m p r in c ip le , s a y , we d e r iv e c o n d itio n s w h ic h
e x h a u s t th e s o lu tio n of th e fo llo w in g M a y e r p r o b le m : f o r e v e r y fix e d r\ f r o m
th e i n te r v a l (rii.rjo)
/(7/(»l), •n.m (Tl))= inf / ( a (.n), n, m) (4.68)

an d a t th e f in a l in s ta n t
f ( h Wi) = 0. (4 .6 9 )
By (4 .6 9 ), V \ = 0 , i. e .,
r]Y= — c In — .
m \
T he lim its m l (iq) and /?7u(rj) a r e c o n s tr u c te d u s in g th e e q u a tio n
dm P/c (4 .7 0 )
dr\
— X + g{h)
m
w h ic h is o b ta in e d by c h a n g in g o v e r to th e new v a r ia b le rj in th e o r ig in a l
s y s t e m (4 .6 0 ) and in th e b o u n d a ry c o n d itio n s .
FIGURE 4.4
105
T h e c o n s tr u c tio n s in t h i s c a s e a r e e n t i r e l y a n a lo g o u s to th o s e c o n s id e r e d
in § 4. 1. T h e u p p e r and th e lo w e r l i m i t s mu(r]), /?2l(ti) a r e th e s o lu tio n s o f
e q u a tio n (4 .7 0 ) f o r P = 0 w h ic h p a s s th r o u g h th e p o in ts (m0, rjo), ( m^ rji),
r e s p e c t i v e l y . T h e y a r e sh o w n in F ig u r e 4. 4. E v id e n tly , m Li(tio) o,
^ l ( t h ) = m i . T he s o lu tio n of e q u a tio n (4 .6 8 ) fo r th e g e n e r a l c a s e is sh o w n
in F ig u r e 4 .4 . D e p e n d in g on p a r t i c u l a r b o u n d a ry c o n d itio n s and r o c k e t
p a r a m e t e r s , a ll th e t h r e e c a s e s sh o w n in F i g u r e 4 .4 , a , b, c , c a n be
a tta in e d . C a s e a c o r r e s p o n d s to a c o m b u s io n p u ls e in w h ich a l l th e fu e l
is b u rn t, fo llo w e d by c o a s tin g to ili(F i = 0). C a se b is a c o m b in a tio n o f an
i n it ia l p u ls e w ith th e fu e l b u rn in g to s o m e m ( r j o ) th e n a s ta g e of
th r o ttl e d t h r u s t m(r)) w h ic h s a t i s f i e s th e c o n d itio n
i^ = 0 (4 .7 1 )
dm
u n til a ll fu e l h a s b u rn t o u t and c o a s tin g to 1^= 0. F in a lly , c a s e c
d if f e r s f r o m th e p r e v io u s c a s e in one r e s p e c t o n ly : th e b o o s tin g p u ls e is
r e p la c e d by d e c e l e r a t i o n dow n to a v e lo c ity V , c o r r e s p o n d in g to th e
c o n d itio n
m(r\) = m0. (4 .7 2 )
If we a r e to r e m a in s t r i c t l y in th e s e t o f a d m is s ib l e s o lu tio n s , th e p u lse d
s o lu tio n s sh o u ld be a p p r o x im a te d w ith s e q u e n c e s of c o n tr o l fu n c tio n s w ith
th e t h r u s t in c r e a s i n g to in f in ity ( c u r v e s 1, 2, 3, . . . in F ig u r e 4 .4 ).
C o n d itio n (4 .7 1 ) c o r r e s p o n d s to th e d e p e n d e n c e d e r iv e d in E x a m p le s I. 1
and I. 2 by d if f e r e n tia tin g th e e q u a tio n of th e c o n tr o l s w itc h in g lin e M = 0 .
T h is d e p e n d e n c e , in its tu r n , is e q u iv a le n t to th e r e la tio n s o b ta in e d f o r
th r o ttl e d t h r u s t p r o g r a m s in /2 , 4, 10, 1 3 /.
It is r e a d i l y s e e n th a t th e s o lu tio n of P r o b le m 2 c o n s tr u c te d in th is w ay
s a t i s f i e s th e o r ig in a l e q u a tio n s and t h e r e f o r e s o lv e s th e o r ig in a l p r o b le m .
T h is s o lu tio n in d ic a te s th a t th e s in g u l a r c o n tr o l is o p tim a l in th e p r e s e n t
case.
§ 4. 4. T H E D E G E N E R A T E P R O B L E M O F T H E O P T IM A L
P O W E R E D A S C E N T T R A JE C T O R Y O F AN A IR C R A F T
C o n s id e r th e m o tio n of th e c e n te r of m a s s of an a i r c r a f t in th e v e r t i c a l
p la n e u n d e r th e c o m b in e d a c tio n of th e g r a v it a tio n a l f o r c e s , a i r d r a g , and
e n g in e t h r u s t . T he e q u a tio n s o f m o tio n a r e w r i tte n in th e f o r m / 7 /
m V = P(h, V ) - X ( h y V, a) — m g sin 0; (4 .7 3 )
mVQ = P(h, V ) a - \ - Y (h, V , a ) —-m g cos 0, (4 .7 4 )
w h e r e h is th e a ltitu d e , V i s th e v e lo c ity of th e a i r c r a f t c e n t e r o f m a s s ,
m is th e m a s s , 0 i s th e a n g le of in c lin a tio n of th e t r a j e c t o r y to th e h o riz o n ,
a is th e a n g le of a tta c k , i. e ., th e a n g le b e tw e e n th e w ing c h o rd and th e
d ir e c tio n of th e v e lo c ity v e c to r , g i s th e g r a v it a tio n a l a c c e le r a tio n , w h ich
is a s s u m e d c o n s ta n t in m a g n itu d e and d ir e c tio n , P ( h , V) is th e e n g in e t h r u s t
106
s p e c if ie d a s a fu n c tio n of a ltitu d e and v e lo c ity , X and Y a r e th e d r a g and
th e lif t on th e a i r c r a f t , r e s p e c ti v e ly :
X = cx (M ,a) e (^ V- 5 ;
(4. 75)
Y = cy (M, a) C’(/'2) V— 5 .
H e re Q(h) i s th e d e n s ity o f th e a tm o s p h e r e , 5 is th e e f f e c tiv e w in g a r e a ,

M is th e M ach n u m b e r, d e fin e d a s th e r a t i o of th e v e lo c ity V to th e s p e e d
of so u n d a ( h ) at a g iv e n a ltitu d e , cx and cy a r e th e d r a g c o e f f ic ie n ts ; th e
d e p e n d e n c e of th e d r a g c o e f f ic ie n ts on th e a n g le o f a tta c k f o r flig h t in th e
d e n s e l a y e r s of th e a tm o s p h e r e is e x p r e s s e d by th e r e l a t i o n s
cx (M, a ) = c^0(M )-f * (M )a2, (4 .7 6 )
c„(M, a) = C;( M ) a . (4 .7 7 )
E q u a tio n s (4 .7 3 ), (4 .7 4 ) a r e w r i tte n a s s u m in g s u f f ic ie n tly s m a ll a n g le s

of a tta c k , and we m a y t h e r e f o r e ta k e c o s a « l an d s in a ^ a . T h e s e e q u a tio n s
sh o u ld be s u p p le m e n te d by tw o f u r t h e r r e l a t i o n s
fi = V sin 0; (4 .7 8 )
m = — P(A, I/), (4 .7 9 )
w h e r e (3 is th e p e r - s e c o n d fu e l c o n s u m p tio n (a know n fu n c tio n of h and V ).
We w ill o n ly c o n s id e r a s c e n t t r a j e c t o r i e s w ith
0 0< jt. (4 .8 0 )
H o riz o n ta l flig h t w ith 0 = 0 is a llo w e d in th e lim it.

T h e im p o r ta n c e o f th is c o n d itio n s f o r f lig h t n e a r th e E a r t h is q u ite
e v id e n t. F o r m a n y ty p e s of a i r c r a f t , it is h ig h ly d e s i r a b l e o v e r th e e n t i r e
s e c tio n of p o w e re d a s c e n t. T h u s, u s in g (4 .7 8 ) and r e m e m b e r in g th a t
b e c a u s e of th e in e q u a lity /z>0 we m a y e l im in a te th e tim e t f r o m th e
e q u a tio n s of m o tio n , we c h a n g e o v e r to th e a r g u m e n t h an d w r ite
dV P —X g
(4 .8 1 )
dh mV sin 6 V
dfi _ Pa + Y g ctg 0
(4 .8 2 )
dh mV2 sin 0 V2
dm 0 (4 .8 3 )
dh V sin 0
If th e a i r c r a f t m o tio n is d e s c r ib e d by th e s e e q u a tio n s , th e t h r e e n u m b e r s
V, 0, h m a y be r e g a r d e d a s a p h a s e v e c to r , an d th e a tta c k a n g le a a s s u m e s
th e r o le of a c o n t r o l e le m e n t.
T h e s e t Va of th e a d m is s ib l e v a lu e s of th e c o n t r o l e le m e n t a i s d e fin e d
by th e in e q u a lity
M < y. (4 .8 4 )
107
w h e r e th e n u m b e r y > 0 i s c h o s e n f r o m c o n s id e r a t io n s o f a i r c r a f t s ta b ili ty
an d m e c h a n ic a l s tr e n g th .
S u p p o se th a t a t th e i n i t i a l tim e / = 0 th e a i r c r a f t h a s kn o w n a ltitu d e ,
k n ow n v e lo c ity , and know n m a s s .
h ( Q ) = h 0; 1/(0) = l/0; m(0) ==m0. (4 .8 5 )

W hen a t a g iv e n a ltitu d e h \ > h0 , th e a i r c r a f t i s r e q u i r e d to h a v e a g iv e n
v e lo c ity V i > V o , i. e ..
V(/,) = V,. (4 .8 6 )
T h e s e b o u n d a ry c o n d itio n s d e fin e tw o s e t s Vv (h —hQ) and Vv (h\) o f th e
a d m is s ib l e s t a t e s of th e a i r c r a f t a t a l titu d e s h = ho and h ~ h \ . L e t u s
d e t e r m in e th e s e t Vv (h) o v e r th e in t e r v a l (ho> hi). We a s s u m e th a t th e m a s s
o f fu e l c o n s u m e d by th e e n t i r e m a n e u v e r is s u f f ic ie n tly s m a ll, s o th a t w e
m a y ta k e
m « /n 0= co n st. (4 .8 7 )
T h e a n g le 0 a c c o r d in g to th e ab o v e is r e s t r a i n e d to th e l i m i t s O < 0 < n .
T h e v e lo c ity V sh o u ld s a tis f y th e in e q u a litie s
Vi ( h ) < V < V 2{h), (4 .8 8 )

w h e r e th e lo w e r l i m i t V] (h) i s d e fin e d by th e f o r m u la
(4 .8 9 )
ji
V\(h) is th e s o ju tio n of e q u a tio n (4 .8 1 ) f o r a — ± y , 8 = w ith th e in it ia l
c o n d itio n V(h0) ~ V o. T he u p p e r lim it is e x p r e s s e d by th e e q u a lity
V 2(h) = m i n [ V 2 ( h \ V £ (h)]. (4 .9 0 )
V=V,(n),a=iY,^^
FIGURE 4.5
108
H e r e V2(h) i s th e s o lu tio n of e q u a tio n (4 .8 1 ) f o r a —± y t 0 = w h ich p a s s e s
th r o u g h th e p o in t h\y V\ of th e ( h, V ) p la n e ( F ig u r e 4 .5 ), and V2*(h) is
o b ta in e d f r o m e n g in e e r in g c o n s id e r a t io n s . T h u s, c o n s id e r a t io n s of
m e c h a n ic a l s tr e n g t h d e m a n d th a t th e d y n a m ic h e a d d o e s n o t e x c e e d s o m e
fix ed v a lu e q :
Q(h)V2
(4 .9 1 )
T h e c u r v e s V —V$h) and V = V 2(h) a r e th e p r o je c tio n s o f th e " m a x im u m

b r a k in g " t r a j e c t o r y o n to th e (h , V) p la n e . T h is " m a x im u m b r a k in g " is
a tta in e d f o r v e r t i c a l a s c e n t = and m a x im u m d r a g (a=±y).
P h y s ic a lly , th e c o n d itio n Vi(h) < V < V 2{h) m e a n s th a t an a i r c r a f t m o v in g
a t an a ltitu d e h w ith v e lo c ity V(h) > V 2(h) , sa y , w ill r e a c h th e a ltitu d e h {
w ith v e lo c ity V { h \ ) > V u th u s v io la tin g th e b o u n d a ry c o n d itio n V{h$ = V\.
A n e le m e n t z of th e s e t D of a d m is s ib l e t r a j e c t o r i e s is th u s a c o m
b in a tio n of a p ie c e w i s e - d if f e r e n tia b le v e c to r fu n c tio n y(h) = ( V (h) , Q(h))
an d a p ie c e w is e - c o n tin u o u s fu n c tio n a(h) d e fin e d on th e s e g m e n t [h0, h\]y
w h e r e th e y s a tis f y e q u a tio n s (4 .8 1 ), (4 .8 2 ) and c o n d itio n s
y ( h ) e V y (h);
(4 .9 2 )
a(h)QVo.
T h e l a s t c o n d itio n s a r e e q u iv a le n t to th e b o u n d a ry c o n d itio n s (4 .8 5 ),
(4 .8 6 ) and in e q u a litie s (4 .8 0 ), (4 .8 4 ), (4 .8 8 ).
A m o n g a ll th e e le m e n ts z £ D , fin d th e o n e w h ich m in im iz e s th e
f u n c tio n a l
ht
I —-— d h . (4 .9 3 )
J V sin 0
ha
In o th e r w o rd s , we a r e lo o k in g f o r an a d m is s ib l e flig h t t r a j e c t o r y s u c h
th a t th e a s c e n t f r o m a ltitu d e h$ to h\ and a c c e l e r a t i o n f r o m v e lo c ity V0 to
V) is e f fe c te d w ith m in im u m e x p e n d itu r e of fu el.
B e fo r e p r o c e e d in g w ith a s o lu tio n of th e p r o b le m , w e h av e to m a k e o ne
f u r t h e r a s s u m p tio n c o n c e r n in g th e p r o p e r t i e s of th e' r ig h t- h a n d s id e s o f
e q u a tio n s (4 .8 1 ), (4 .8 2 ), w h ic h w ill f u r t h e r r e s t r i c t th e r a n g e of a p p lic a tio n
o f th e p r o b le m b u t s ig n if ic a n tly s im p lif y i t s s o lu tio n . We w ill a s s u m e th a t
w ith in th e l i m i t s s p e c if ie d by (4 .8 4 ), th e d r a g c o e f fic ie n t m a y b e t r e a t e d
a s in d e p e n d e n t of th e a n g le o f a tta c k :
r x(M, a ) s c ® ( M ) + 6 (M )a 2 = ^(yM). (4.94)

T h is a s s u m p tio n m a k e s th e p r o b le m d e g e n e r a t e (th e c o n t r o l e le m e n t a
i s now a l i n e a r c o m p o n e n t on th e r ig h t in th e r e le v a n t e q u a tio n s ), and i t
c a n th u s be so lv e d by th e s p e c ia l m e th o d s d e s c r ib e d in C h a p te r III.
T h u s fo llo w in g th e g e n e r a l o u tlin e f o r th e s o lu tio n of v a r i a t i o n a l
p r o b le m s f r o m th e s u f f ic ie n t o p tim u m c o n d itio n s , w e in tr o d u c e a f u n c tio n
109
<p(ht V, 0) w h ic h d e p e n d s on th e a r g u m e n t h and th e p h a s e c o o r d in a te s V
an d 0 . We f u r t h e r c o n s tr u c t th e f u n c tio n s
R(h, V, 0, a ) = 9„[-
mV sin B
1 (4 .9 5 )
+ <P8 [P«-f-K(//, V, a) —mg cos 0]
mV2 sin 0
K «i)=<p(Ai, ^ i f 6 i ) - ? (Aof, ^l/0f

0, 60).
«o). (4 .9 6 )
We a r e lo o k in g f o r th e v e c to r fu n c tio n s (V (h ), 0 (h) , a ( h ) ) £ D and a

fu n c tio n cp(/z, V, 0) s u c h th a t
/?[/*, l/(A ), 0(/i), a(/r)]= p.(^) — sup /?(//, V, 6, a); (4 .9 7 )

l«l<T
V,(/i)<1/<^2(A)
0<0<rc
«>(K0, 00. v ,, 0",)= inf ® (K 0l K.,00, 0,). (4 .9 8 )

O<0o<*
0 < 6 ,< w
In v ir tu e o f (4 .7 5 ), (4 ,7 7 ), and (4 .9 4 ), R is l i n e a r in a . We m a y th u s u s e
th e m e th o d of m u ltip le m a x im a in o r d e r to find (p(h, V, 0). If R i s to be i n
d e p e n d e n t of a , w e sh o u ld h a v e
<p,(A, V, 0) = O. (4 .9 9 )
T h e g e n e r a l s o lu tio n of th is e q u a tio n is
cp= cp1(/?t V ), (4 .1 0 0 )
w h e r e <pi (h, V) i s a n a r b i t r a r y fu n c tio n of h and V .

I n s e r tin g <p= q>i(/z, V) in (4 .9 5 ) and (4 .9 6 ), w e find
R(h, V, 0 )= [< ? ,K — - P| — ( 4- 101)

I m J Vsin 0 V
®(VQ, e0f Vu 0j) = cpI ( / / 1, 1^,) —<p(/r0, V0). (4.102)

C o n d itio n (4 .9 8 ) i s now s a tis f ie d a u to m a tic a lly f o r an y qpt (hy V ) , s in c e
O is in d e p e n d e n t of 0o and 0 i , w h e r e a s Vo and V\ a r e fix e d .
T h e fu n c tio n R i s now in d e e d in d e p e n d e n t o f a , i. e ., an y a m a x im iz e s
t h i s f u n c tio n f o r fix e d h, V , and 0 . We s e e f r o m (4 .1 0 1 ) th a t by im p o s in g
a n a d d itio n a l c o n d itio n on <p=<pi (h, V),
<fw ^ —P = 0, (4 .1 0 3 )
m
w e m a k e R in d e p e n d e n t of 0 e i t h e r . C o n d itio n (4 .1 0 3 ) im p o s e d on <pi(/z, V)
c o r r e s p o n d s to a r e p e a te d a p p lic a tio n o f th e m e th o d o f m u ltip le m a x im a to
o u r p r o b le m , s in c e 0 in P r o b le m 2 is a c o n tr o l e le m e n t.
110
F r o m (4 .1 0 3 ) w e h a v e
n${h,V) (4 .1 0 4 )
? n / = P{ h , V) — X
—(h,V) ’
V
9l(h, V ) = j dV\ (4 .1 0 5 )
P —X
(4 .1 0 6 )
*»<*• v’> - 4 s - f c b K
T h e i n t e g r a l in (4 .1 0 5 ) an d (4 .1 0 6 ) i s e v a lu a te d f o r fix e d h f r o m an
a r b i t r a r y lo w e r l i m i t V0- I n s e r tin g (4 .1 0 4 ), (4 .1 0 5 ), (4 .1 0 6 ) in (4 .1 0 1 ), w e
fin d
/? /? , V ) = — f A (— —$ \dV . 4 .1 0 7
' (P-X)V ^ J dk [ P - X )
T h e r ig h t- h a n d s id e of t h i s e q u a lity is a know fu n c tio n of h an d V .

C o n d itio n (4 .9 7 ) f o r a m a x im u m o f R w ith th e g iv e n <p d e f in e s th e o p tim a l
d e p e n d e n c e V(h):
R{h, V (/* ))= sup R(h, V). (4 .1 0 8 )
H e re R(h, V) is g iv e n by (4 .1 0 7 ).
It fo llo w s f r o m (4 .1 0 8 ) th a t th e o p tim a l flig h t p r o g r a m V(h) f o r e v e r y
fix e d h e i t h e r c o in c id e s w ith o ne o f th e lim i t v a lu e s V\(h) o r V2 (h), o r is
a s o lu tio n of th e e q u a tio n
R v (h, V ) = - — f 1 + m — f—-— 1 = 0 , (4 .1 0 9 )
' dK [ (/> - X) V J ^ dh [z5 — X] v '
-
o r , fin a lly , c o r r e s p o n d s to a v e r t i c a l ju m p (in th e ( h, V) p la n e ) f r o m on e

o f th e s e V ( h —0) to a n o th e r K(/i + 0) c o r r e s p o n d i n g to h o r iz o n ta l flig h t. T h e
o r d e r in w h ich th e s e p ie c e s a r e " m a tc h e d " i s d e te r m in e d by e q u a tio n
(4 .1 0 8 ), w h ich fu lly d e s c r i b e s th e o p tim a l p r o g r a m .
Ill
L e t u s now c o n s id e r th e e n g in e e r in g c o m p u ta tio n s of th e o p tim a l
p o w e re d a s c e n t t r a j e c t o r y p r o c e e d in g f r o m (4 .1 0 8 ).
1. N u m e r ic a l in te g r a tio n g iv e s th e s o lu tio n s Vt (h) and ^ ( /z ) o f e q u a tio n
(4 .8 1 ) f o r th e v e r t i c a l a s c e n t w h ic h p a s s th r o u g h th e p o in ts (/z0, Vo),
a n d (hu V \ ) , r e s p e c t i v e l y . T h e s e s o lu tio n s a r e p lo tte d in th e ( h, V) p la n e .
T h e c u r v e o f c o n s ta n t d y n a m ic h e a d q is p lo tte d in th e s a m e p la n e ,
2 ~ q>
an d u s in g (4 .8 8 ), (4 .8 9 ) w e c o n s tr u c t th e l i m i t s V\{h) and V2 (h) o f th e a d
m i s s i b l e v e l o c it ie s .
2. F o r e v e r y fix e d h £ [/z0, h x\ , w e u s e (4 .1 0 7 ) to c o n s tr u c t th e fu n c tio n
R(h, V) on th e s e g m e n t [V\( h) y Vz(h)]. T h e i n te g r a l in (4 .1 0 7 ) i s o b ta in e d
by n u m e r i c a l o r g r a p h i c a l in te g r a tio n . F ig u r e 4 .6 sh o w s a s p e c im e n
fu n c tio n of th is k in d .
3. F o r e v e r y h , w e c h o o s e a v e lo c ity V(h) c o r r e s p o n d in g to th e m a x im u m
v a lu e of R(h, V) o v e r [V\(h), V2 W ] . A s a r u l e ( s e e F ig u r e 4 .6 ), th e f u n c tio n
R(h, V) h a s tw o lo c a l m a x im a s a tis f y in g e q u a tio n (4 .1 0 9 ) (th e s u b s o n ic and
th e s u p e r s o n i c e x t r e m a l s , r e s p e c ti v e ly ) ; f o r h < h * (lo w a ltitu d e s ) ,
R[h, V' ( h)]>R[hy Vu (h)]t a n d f o r h > h * ( h ig h a ltitu d e s ) , R[hy Vl (h)]<R[ht F n (/z)].
T h e r e m a y , h o w e v e r, be m o r e th a n tw o m a x im a .
T h e o p tim a l d e p e n d e n c e V(h) c o r r e s p o n d in g to th e f u n c tio n R(h, V) o b

ta in e d in th is c a s e is sh o w n in F ig u r e 4.7 fo r th e i n it ia l c o n d itio n s /z0= 0 ,
l/0= 0 . F o r /z</z*.
V(h) = Vl ( h) y
an d f o r h > h * ,
V ( h ) = m \ n [ V l ( h) y V2( h) l
T h is V(h) c o r r e s p o n d s to th e fo llo w in g f lig h t c o n d itio n s . T h e a i r c r a f t

f i r s t a c c e l e r a t e s a lo n g a h o r iz o n t a l t r a j e c t o r y f r o m K0= 0 to s o m e v e lo c ity
F ! (0) a t th e s a m e a ltitu d e /z= 0 (in p r a c tic e , o b v io u sly , th e flig h t a ltitu d e
112
i s s o m e w h a t h ig h e r ) . T h e a i r c r a f t th e n c lim b s a t th e s u b s o n ic e x t r e m a l
v e lo c ity V — V1(A) to th e a ltitu d e h —h *, w h e r e V1(A*) = Vu (A*). A t th is
a ltitu d e , th e a i r c r a f t a g a in a s s u m e s a h o r iz o n t a l t r a j e c t o r y , a c c e le r a tin g
f r o m V/ , (A *)to Vn (h*), c o v e r in g th e e n t i r e s o n ic r a n g e of v e l o c it ie s . T h e n
th e a i r c r a f t c l im b s alo n g th e s u p e r s o n i c e x t r e m a l Vu (h) u n til th e l i m it of
th e d y n a m ic h e a d c o n s t r a i n t i s r e a c h e d . A f te r th a t it m o v e s w ith c o n s ta n t
d y n a m ic h e a d q , a g a in a lo n g th e s u p e r s o n i c e x t r e m a l , and f in a lly
a c c e l e r a t i n g in th e h o r iz o n t a l d ir e c tio n a t a ltitu d e hi to v e lo c ity V \ .
A d if f e r e n t o p tim a l t r a j e c t o r y T (A )is sh o w n in F ig u r e 4 .8 . S e c tio n s o f
t h i s t r a j e c t o r y m a y c o r r e s p o n d , in th e lim it, to v e r t i c a l a s c e n t o f th e a i r
c ra ft.
I n s e r tin g th e o p tim a l d e p e n d e n c e V(h) in (4 .8 1 ), we find th e c o r r e s

p o n d in g o p tim a l d e p e n d e n c e 0 (A). __
T h e k in k s in V(h) c o r r e s p o n d to d is c o n tin u i tie s in 0(A). S tr i c tl y s p e a k in g ,
t h i s s o lu tio n , a lth o u g h e x a c t in th e s e n s e of P r o b le m 2, d o e s n o t e x i s t in th e
o r ig in a l c l a s s D, s in c e th e fu n c tio n s 0(A) in th is c l a s s a r e c o n tin u o u s .
A s o lu tio n w h ich b e lo n g s to D c a n be o b ta in e d if th e a b o v e s o lu tio n o f
P r o b le m 2 is r e p la c e d in th e n e ig h b o rh o o d of th e d is c o n tin u ity p o in ts by
s o lu tio n s of th e o r ig in a l s y s t e m of d i f f e r e n t i a l e q u a tio n s w ith a = + v f o r th e
d is c o n tjn u i tie s w h e r e 0 i n c r e a s e s and w ith a = — y f o r th e d is c o n tin u i tie s
w h ere 0 d e c re a s e s .
T h e s o lu tio n f o rm e d in th is w ay sh o u ld be t r e a t e d a s an a p p r o x im a te
s o lu tio n in D, w ith th e e s tim a te | / 2—/* |, w h e r e h i s th e m in im u m v a lu e o f
th e f u n c tio n a l in P r o b le m 2, / * i s th e v a lu e o f th e f u n c tio n a l f o r th e new
s o lu tio n . S in c e / 2< / , w h e r e / i s th e e x a c t m in im u m o f th e fu n c tio n a l on D,
we have
If th e le f t - h a n d s id e of th is in e q u a lity i s s u f f ic ie n tly s m a ll, th e r ig h t- h a n d

s id e i s a l s o s m a ll, i. e ., th e a p p r o x im a te s o lu tio n i s s u f f ic ie n tly e x a c t an d no
b e t t e r a p p r o x im a tio n n e e d b e so u g h t. If th e e s t i m a t e | / 2—/* | i s l a r g e an d
d o e s n o t s a t i s f y th e r e q u i r e d a c c u r a c y , th e a b o v e m e th o d c a n n o t be a p p lie d in
u n d ilu te d f o r m to th e s o lu tio n of th e p a r t i c u l a r p r o b le m , an d it o n ly p r o v id e s a
113
q u a lita tiv e d e s c r i p t i o n of th e so u g h t s o lu tio n . In th e s e c a s e s , th e r e s u l t m a y
b e u s e d , sa y , a s th e f i r s t a p p r o x im a tio n in s o m e s u c c e s s i v e a p p r o x im a tio n s
s c h e m e w h e re b y th e s o lu tio n is b ro u g h t to a n en d .
R e m a r k 1. A s i m i l a r p r o c e d u r e c a n be a p p lie d to fin d a t r a j e c t o r y
V(h) m in im iz in g th e m a n e u v e r tim e
T = \ -----------dh. (4 .1 1 0 )
J V sin 8
h0
To t h i s end, P (h, V) sh o u ld be r e p la c e d w ith u n ity in e x p r e s s io n (4 .1 0 9 )

f o r th e fu n c tio n R(h, 1/).
R e m a r k 2. T h e d e g e n e r a t e p r o b le m of th e o p tim u m p o w e re d a s c e n t o f
an a i r c r a f t c o n s id e r e d in th is s e c tio n p la y e d an im p o r ta n t r o le in th e d e v e lo p
m e n t of o p tim u m flig h t th e o r y . It w a s f i r s t ta c k le d by O s to s la v s k ii and
L e b e d e v / 6 / in 1946. T h e y o b ta in e d th e s u b s o n ic e x t r e m a l Vl (h), know n a s
O s t o s l a v s k i i 's c u r v e . M i e l e / 1 2 / , by a n in g e n io u s a p p lic a tio n of G r e e n 's
th e o r e m , p ro v e d th e o p tim a lity of t r a j e c t o r i e s c o n ta in in g o n e o f th e e x t r e m a l
b r a n c h e s and d e s c r ib e d th e f u n d a m e n ta l s t r u c t u r e o f th e o p tim a l t r a j e c t o r y
in th e c a s e of m u ltip le e x t r e m a l s . T h e q u e s tio n of th e o p tim a l p o s itio n o f th e
" ju m p s " (th e h o r iz o n t a l flig h t s e c tio n s ) b e tw e e n th e d if f e r e n t e x t r e m a l s r e
m a in e d open, h o w e v e r. A c o m p le te s o lu tio n of th e p r o b le m by th e m e th o d
d e s c r ib e d in th is s e c tio n w a s f in a lly p u b lis h e d in / 5 / .
§ 4. 5. A P P R O X IM A T E SY N TH ESIS O F O P T IM A L
A N G L E -O F -A T T A C K C O N T R O L F O R A
L IQ U ID -P R O P E L L A N T W INGED A IR C R A F T
4. 5. 1. S ta te m e n t o f th e p r o b le m . E q u a tio n s o f m o tio n
T h e o b je c t of o u r a n a ly s i s in t h i s s e c tio n is a liq u i d - p r o p e l la n t w in g ed
a i r c r a f t n o r m a lly fly in g in th e d e n s e l a y e r s o f th e a tm o s p h e r e , a t a l titu d e s
u p to 20 k m . T he m o tio n of th e a i r c r a f t is in v e s tig a te d in th e w ind s y s t e m of
c o o r d in a te s u n d e r th e fo llo w in g b a s ic a s s u m p tio n s .
1. T h e a i r c r a f t m o tio n is c o n s id e r e d in a v e r t i c a l p la n e in th e a t m o
s p h e r e o f a n o n - r o ta tin g E a r t h w ith a h o m o g e n e o u s g r a v it a tio n a l fie ld .
2. T h e a i r c r a f t i s t r e a t e d a s a p o in t of v a r y in g m a s s , s in c e liq u id -
p r o p e lla n t e n g in e s a r e c h a r a c t e r i z e d by h ig h r a t e s o f f u e l c o n s u m p tio n .
3. S in c e th e e n g in e t h r u s t is a s s u m e d to r e m a i n c o n s ta n t, th e a i r c r a f t
m o tio n is e n t i r e l y d e te r m in e d by c o n tr o llin g th e a n g le of a tta c k of th e
w in g s.
4. T h e p e r - s e c o n d c o n s u m p tio n o f th e liq u id p r o p e lla n t u n d e r c o n d itio n s
o f c o n s ta n t e n g in e t h r u s t is in d e p e n d e n t of flig h t v e lo c ity and flig h t a ltitu d e
/ 6 / , i. e ., th e a i r c r a f t m a s s i s a know n f u n c tio n of tim e .
5. T h e e n g in e t h r u s t is c o n s ta n t, and th e d ir e c tio n o f th e t h r u s t v e c to r is
alo n g th e lo n g itu d in a l a x is of th e a i r c r a f t .
114
6. T he p o la r c u r v e of th e a i r c r a f t is a f a m ily of q u a d r a tic p a r a b o la s
of th e f o r m
cx = cxo (M) -f* c (M) a2;

cy= A (M )a, (4 .1 1 1 )
w h e r e cx is th e d r a g c o e f fic ie n t, cxo is th e c o m p o n e n t of th e d r a g c o e f f ic ie n t
f o r z e r o a n g le of a tta c k , n s a c o e f fic ie n t w h ich a llo w s f o r th e l i f t - d r a g
c o u p lin g , a i s th e a n g le of a tta c k , M is th e M ach n u m b e r.
T h e f u n c tio n s cx0 = f ( M) ; c = f ( M ); A —f ( M) a r e r e p r e s e n t e d a s p o ly n o m ia ls
in M.
7. T h e a e r o d y n a m ic f o r c e s on th e a i r c r a f t a r e d e te r m in e d a s s u m in g
s ta t i o n a r y c o n d itio n s .
8. T h e l i m i t s o f v a r ia tio n of th e a n g le of a tta c k a r e s u f f ic ie n tly s m a ll and
w e m a y t h e r e f o r e ta k e
. a2
sin a » a; cos a % 1 ---------.
2
T h e e q u a tio n s of m o tio n of an a i r c r a f t in th e w ind s y s t e m of c o o r d in a te s
u n d e r th e a b o v e a s s u m p tio n s ta k e th e f o r m
V = — [ P - X 0( V, t i) — {p.5P + X , i y , h ) ) a * — m g sin 01; (4 .1 1 2 )

m
6 = - ^ - {[p + n i 'V 0 ] « - '« £ C O s e } ; (4 .1 1 3 )
A= 1 /sine, (4 .1 1 4 )
w h e r e V is th e f lig h t v e lo c ity in k m / s e c , h is th e flig h t a ltitu d e in k m , 0 is
th e a n g le o f in c lin a tio n of th e flig h t t r a j e c t o r y to th e h o r iz o n in ra d . P i s th e
e n g in e th r u s t , Xo(Vt h) is th e d r a g f o r z e r o a n g le of a tta c k , Xi(V, h ) a 2 an d
Y(h, V)a a r e , r e s p e c ti v e ly , th e in d u c e d d r a g an d th e lift.
T h e a t m o s p h e r ic d e n s ity and th e sp e e d of so u n d a s a f u n c tio n of a ltitu d e
a r e d e s c r ib e d by th e fo llo w in g r e l a t i o n s :
0 = ° .1 2 5 ; a (A)= 0 .3 4 0 j/1 - 0 .0 2 2 5 5 ft .
__h_
q — 0.2105£ 63<°; a (A) = 0.295 ( f o r h > 11 km ).
In w h at fo llo w s a is c o n s id e r e d a s a c o n t r o l e le m e n t, w ith th e fo llo w in g

in e q u a lity c o n s t r a i n t s :
a ) < a < a 2. (4 .1 1 5 )
__We w ill c o n s tr u c t an o p tim a l s y n th e s is of th e a n g le of a tta c k a (/, y) =

= a(£, hy V, 0) w h ic h m o v e s any p o in t of th e s p a c e (t, h y V, 0) in to a p o in t £if, h\fy 0if,
V\ w ith th e m a x im u m v e lo c ity V\.
H e re £ if = 1 0 0 s e c , 19,000 m , 0j f ~ 0.1 7 4 r a d .
T h is is c l e a r l y th e d u a l p r o b le m of th e p r o b le m of m in im u m tim e ( o r
m in im u m fu e l c o n s u m p tio n , s in c e th e d e p e n d e n c e m(t) f o r r e a c h in g th e p o in t
t\> /hf, 0 if, V\f is know n).
115
Instead of a p roblem with a fixed right end point, we w ill co n sid er a
problem with a free right end point for the functional
3
(4 .1 1 6 )
I —2
w here ta, 3 a re so m e p o sitiv e con stan ts.
4. 5, 2. Changing over to new co o rd in a tes. D escrip tion of Vv(t)
The se t Vv(t) is defined a s a p arallelep ip ed in the y space, d escrib ed by

the follow ing in eq u a lities:
0 — e ^ 0 ^ 9-)-e; (4 .1 1 6 a )
/j’—x < /z < /z + x,
w here
V = 0.000066/2+ 0.00 2 7 /; (4 .1 1 7 )
6 = 0.0002163/2- 0.03875/ + 1.92; (4 .1 1 8 )
h = 0.0013/2 _|_ 0.04824/; (4 .1 1 9 )

Y = 0 .2 k m / s e c ; e = 0 . 1 r a d ; x = 1k m .
T his d efinition of Vy (t) is dictated by tentative e stim a te s of that region of

the (/, y) sp ace w here the optim al tr a je c to r ie s corresponding to the sought
sy n th e sis lie (we do not intend to co n sid er th is problem in any d etail here).
Given th is region Vv (t), we can change over to new coord in ates (tf z) using
the tran sform ation s
(4 .1 2 0 )
w here y l (t) are defined by ( 4 .1 1 7 ) — (4 .1 1 9 ).

The equations of m otion thus take the form
a)= — \ P - X Q(V + z \ A+ z 3) -
-[O.SP + X^V + z', A+ 23) ] a 2 - m g s in C e + «2)) -0 .0 0 0 1 3 2 /- 0 .0 0 2 7 ; (4 .1 2 1 )
z , a ) - - — — i - -------([P + K (K + *', A+ z3)] a -

(K + * l) m ( < )
- mg cos (fl + z2) ) - 0.0004326/+0.03875; (4.122)
z 3 = P i t , z, a) = ( V + z 1)s in (0- f z 2) - 0.0026/-0.04824. (4 .1 2 3 )
116
4. 5. 3. S o lu tio n o f th e p r o b le m
%
By a p p ly in g th e m e th o d of C h a p te r III, we r e d u c e th e s o lu tio n o f th e
p r o b le m to fin d in g a fu n c tio n cp(/, z) w h ic h s a t i s f i e s th e fo llo w in g c o n d itio n s
o f an a b s o lu te m a x im u m of th e f u n c tio n a l:*
P{t,z)= inf R (t,z,a)— inf [<fJ(t,z,a)-\-<i?(t)\=c(ty, (4 .1 2 4 )
ae[®.»*»] ■€[*!.«»]
« (h,z i ) = zl + sx/ (z \ + z L f +?(î.«i) = const, (4.125)
in o th e r w o rd s , we h a v e to s o lv e th e C a u c h y p r o b le m f o r a f i r s t - o r d e r n o n
l i n e a r p a r t i a l d if f e r e n tia l e q u a tio n .
No e x a c t s o lu tio n of th is p r o b le m c a n b e o b ta in e d in g e n e r a l. We w ill
t h e r e f o r e u s e th e a p p r o x im a te m e th o d of o p tim a l s y n th e s is d e s c r ib e d in
§ 2 . 3 . T h e fu n c tio n <p is s o u g h t in th e f o r m of a p o ly n o m ia l
2
? (* .z )= 2 2 1 (Z3)' 1 (4 .1 2 6 )
/,-o /»—o
w ith unknow n c o e f f ic ie n ts (f). T h e r e is a t o t a l of 27 c o e f f ic ie n ts h e r e .

We f u r t h e r d e m a n d th a t c o n d itio n s (4 .1 2 4 ), (4 .1 2 5 ) be s a tis f ie d f o r a l l t a t
27 s p e c ia lly c o n s tr u c te d r e f e r e n c e p o in ts in Vv (t) (and d e f in ite ly n o t e v e r y
w h e re in th is re g io n ), w h ich a r e o b ta in e d by c o m b in in g th e fo llo w in g v a lu e s
o f th e v a r i a b l e s z l \
z 1: 0,Y4 2v;
(4 .1 2 7 )
z 2: — e. 0, + e;
z 3: — x> 0, +* ■.
In th is c a s e th e r e f e r e n c e c u r v e s — th e lo c i of r e f e r e n c e p o in ts — a r e
p a r a l l e l s t r a i g h t lin e s z p = co n st, (5=1, 2, . . . . 27, in th e (t, z) s p a c e .
T h e fu n c tio n R m a y be r e p r e s e n t e d in th e fo llo w in g fo rm , w h ich is p a r
t i c u l a r l y c o n v e n ie n t f o r m in im iz a tio n w ith r e s p e c t to a :
R = Aa* + Ba + C + vh (4 .1 2 8 )
w h e re
A = — <p,. [0.5 -£- + * ,( /, V + z ' , A+ z 3)]; (4 .1 2 9 )
* = ?» ■ [ t + 7 t ( t + K ( ^ l 7 + *1’ * + z3)) ] : (4>130)
C = 9 z> [— — X 0(t, p ' + z 1, A + z 3)— g-sin((T+z2) —

Lm _
— 0.000132/ —0.0027 j — jV c°s^ + z ? )
+ 0 .0 0 0 4 3 2 /-0 .0 3 8 7 5 ] + ^ . [ ( F + z ^ s i i + f l + z 5) - 0.00 2 6 /-0 .0 4 8 2 4 ]; (4 .1 3 1 )
9z/and <p* a r e p a r t i a l d e r iv a tiv e s of th e p o ly n o m ia l (4 .1 2 6 ) w h ich , a f t e r e x

p a n s io n of th e p a r e n t h e s e s and t r a n s i t i o n to a c o n tin u o u s n u m e r a tio n o f th e
u n k n o w n s, ta k e th e f o r m
* In maximizing the functional, the condition of maximum of R in Theorem 1.1 is replaced by a condition
of minimum.
117
<P= fe + fez' + + V 3+ fe (2')2+ fe i^T- + *7 (Z*)2+
+ fez’z2+ fez’z 3+ ti0z2z 3+ felZ1(z2f + fe2z' (z2)2+
+ fe3z2(z3)2+ fe4(z])22 2+ fe5(z')2z 3+ fee (z2)2z 3+
+ fe7(Z,)2(Z2)2+ fe8(21)2(23)2+ fe9(22)2(23)2+ 1-2oZ12223+
T felZ’22(z3)2+ fe2Z’ (Z2)223+ fe3(Z1)22223+
+ fe4z' (z2)2(z3)2+ fes (z')z2(z3)2+ fee (z1)2(2 2)22 3+ fe7(z1)2(z2)2(z3)2. (4.132)
M in im iz a tio n of th e q u a d r a tic tr i n o m i a l (4 .1 2 8 ) in a u n d e r th e ab o v e
c o n s t r a i n t s on a g iv e s th e fo llo w in g r e s u l t s , w h ich d e p e n d on th e v a lu e of
th e t r i n o m i a l c o e f f ic ie n ts :
/>(/, z) = inf /?(/, z, a) = yt(ti z) + ? (0, (4 .1 3 3 )

a
w h ere fo r A ^ O ,
B .
% = A a ] + B a l -{.C a = aj
__ B_ . B
a«<T------ < a , ; (4 .1 3 4 )
a 2A 2A 1
“»l5
Q
A
W = A a l + B a 2C
II
a1
1
to
mo
$£ = Aa a 2\-\-B
i n _
a l - if C a = a !;
(4 .1 3 5 )
$$ == A a 2~j—Bo.2 ~j- C Q= U2»
an d th e c o e f f ic ie n ts A, Bt C a r e o b ta in e d f r o m (4 .1 2 9 ) — (4 .1 3 1 ).
S in c e (4 .1 2 4 ) m u s t be s a tis f ie d on th e r e f e r e n c e lin e s z p, w e o b ta in
th e r e l a t i o n s
<p/p = —#£p(P= 1, 2.............. 27), (4 .1 3 6 )

w h ic h c o n s titu te a s y s t e m of f i r s t - o r d e r n o n lin e a r o r d in a r y d if f e r e n tia l
e q u a tio n s . T h e s e e q u a tio n s a r e n o t so lv e d f o r th e d e r i v a t i v e s rjjp, b u t th e s e
d e r i v a t i v e s e n t e r th e e q u a tio n s in l i n e a r f o r m . U sin g m a t r i x n o ta tio n , w e
m a y w r ite (4 .1 3 6 ) in th e f o r m
(4 .1 3 7 )
w h e r e A i s th e m a t r i x of th e s y s t e m c o e f f ic ie n ts , is th e c o lu m n v e c to r o f
th e f r e e t e r m s , is th e c o lu m n v e c to r w h o se e le m e n ts a r e th e u n k n o w n s.
T h e s o lu tio n of th e ab o v e s y s t e m of e q u a tio n s w ith th e r e f e r e n c e lin e s
zp — c o n s t is o b ta in e d w ith o u t c o n s id e r a b l e d iffic u lty , s in c e th e e l e m e n ts o f th e
d i r e c t c o e f f ic ie n t m a t r i x A a r e c o n s ta n t a t an y tim e t £ (to, /i). T o o b ta in th e
s o lu tio n , w e f i r s t s o lv e th e s y s t e m f o r ajj,
<}>= - A - ' 3 f , (4 .1 3 8 )
an d s in c e th e e le m e n ts of th e d i r e c t c o e f fic ie n t m a tr ix A a r e c o n s ta n t a t an y
tim e , th e in v e r s e m a tr ix A ~ l sh o u ld be d e te r m in e d o n ly a t th e v e r y b e g in n in g
w hen s o lv in g (4 .1 3 7 ).
118
T h e in i t i a l c o n d itio n s f o r t|>p ( p = l , 2, . . . , 27) a t tim e t= t\ a r e o b ta in e d
f r o m (4 .1 2 5 ):
4>(/„ z [ ) = z \ + l 2{zz- z f f + X ,( ? - z\? + <p(<„ z \, z\, z])= C, (4 .1 3 9 )
or
® ( ' i . 4 . *? . 2 P = 2 ! + xi K ??)2 + 2 z t f + (z^ \ + X2 [(£?)* -
—2z3z \ + (z ? )2] + -W+ f 2z ; + f c 2 ! + -W2 * +
+ l ( 2 i)2+ t « (2?)2+ t? (2?)2 + te2 !2?+

+ V I 2 ?+ tio2?2 ! + t n 2 ! (2 ?)2+ tw 2 ! (2 ?)2+
+ +132 ? (2?)2+ ^ 4 (2 !)2 2 ?+ t . . (2 D22? +
• f + .6 ( 2 ?)2 2 ? + <J>1T ( 2 D 2 ( 2 i ) 2 + t » ( 2 D 2 ( 2 ?)2 +
+ a(2 ;)2(2 ?)2 + -ho2 !2 ;2 ? f ^z\z\(z^ +

H- fe z K 2 ;)22? + U Z\TZ\Z\ + ^ z \ { z \ f ( z ] f +
- j - t s (2 1)2z ? (zj)2 + ’M 2 !)2 (2p 2 2? + tn (2 !)2 (2 ;)2(2J)2= 0 . (4 .1 4 0 )
C o n d itio n (4 .1 2 5 ) in th e ab o v e c a s e m a y be e x a c tly s a tis f ie d i: w e r e q u e s t

th a t
® , = H - f e + 2')»5zi-L>)-82? + 'l'92H-'l'n(2?)2+ >l-1o(22)2+

*1
+ 2 t 142 !2? + 2t,52 !2? i - 2<h72 j(z;)s + 2 t,8 z] (z » )* + hozlz] +
+ 2 i (2 ?)2 + t » (2 ?)2 2 ? + 2 M 1 4 * ? f t n (2 ?)2(2 ?)2 +
H- 2 ta 2!2? (2?)2+ -'hez l { z ^ z \ + 2<|»27 z\ ( z ] f (*•)»=0; (4 .1 4 1 )
® 2 = 2V ? f ’>3- + 2t6z2 + fe2! + tio2? + 2tn2!2?+
1 + 1.3 iZD- + t.4 (2 !)2 + 2 tl6 2 l 2 l + 2 t l 7 2 l(2 i)2 + 2 t I92 K2 ?)2 +
+ ta)2! 2? T 'r'il2! (2?)2+ 2->22z\ z]z] -1- t 2S(2!)22? +
+ SI-242 ! 2 ? ( 2 ? )2 + f e ( 2 ! ) 2 ( 2 ? )2 + 2-1-26 ( 2 ! ) 2 2 ? 2 ? +
+ 2-1-27 (2 !)22?(2 i)2= 0; (4 .1 4 2 )
® s = 2 ^ - 2 M H t < + 2->72? + t 92! + tio2i +

2i
+ 2ti22 ! z\ + 2 t,3z 2zJ + ti5 (2 P2+ tie (2P2+ 2-J-ifl {z\fz\ +
+ 2 t i 9 ( z 2)22* + t202 ! 2 ? + S-l-212 ! 2 ! 2 ? + f e 2 ! (2 P 2 +
+ t23(2 !)22?+ 2t242 !(2 ?)22H 2t35(2 !)2Z?2 H t 2 6 ( 2 j)2(2?)2+
+ 2<!-27(2l)2( 2?)22? = 0 . (4 .1 4 3 )
119
It fo llo w s f r o m (4 .1 4 1 ) —(4 .1 4 3 ) th a t a t tim e t = t i th e f u n c tio n s i|?p (t\) sh o u ld
ta k e on th e v a lu e s
t i = - M z ? ) 2- * 2(2?)2, fc = l, fc = 2X1^ ,
*4 = 2 <|»7= — X2, (4 .1 4 4 )
*5='!,8^='l’9 = • • • = f e = 0 .
H e re Xj and X2 a r e s o m e p o s itiv e n u m b e r s , w h ich a r e s u f f ic ie n tly l a r g e in
our sense.
T h e s o lu tio n of s y s t e m (4 .1 3 6 ) w ith th e ab o v e b o u n d a ry c o n d itio n s g iv e s
th e unknow n c o e f f ic ie n ts ij)p(/) of th e p o ly n o m ia l (4 .1 2 6 ) and th u s d e t e r m i n e s
th e s o u g h t a p p r o x im a te e x p r e s s io n o f th e fu n c tio n 9 ,^ i t s d e r i v a t i v e s , and
f in a lly ( f r o m (4 .1 3 4 ) an d (4 .1 3 5 )) th e e x p r e s s io n fo r a ( t, z ).
S im u lta n e o u s ly w ith th e in te g r a tio n o f (4 .1 3 6 ), we ca n i n t e g r a t e th e
e q u a tio n
A= sup (/, z) — Inf P (/, z) (4 .1 4 5 )

vy vv
w ith th e in it ia l c o n d itio n A (£ i)= 0 . T h is g iv e s an e s t i m a t e A of th e
a p p r o x im a te s y n th e s is a t th e i n it ia l tim e .
4. 5. 4. A sch em e for a com puter
T h e p r o b le m w a s s o lv e d on th e B E S M -2 c o m p u te r . T h e s p e c ia l p r o g r a m
u s e d in th is c a s e c o n s i s t s o f tw o p a r t s : th e d i r e c t p r o g r a m , w h ich s o lv e s th e
s y s t e m of o r d in a r y d i f f e r e n t i a l e q u a tio n s (4 .1 3 6 ) and d e t e r m i n e s th e e r r o r
in th e d i r e c t i o n f r o m 11= 100 s e c to ?o= 30 s e c , an d th e i n v e r s e p r o g r a m ,
w h ic h is u s e d to c o n s t r u c t th e o p tim a l t r a j e c t o r y f o r a c e r t a i n c h a r a c t e r i s t i c
c o m b in a tio n o f i n i t i a l c o n d itio n s .
T h e e r r o r of th e m e th o d , th e o p tim a l t r a j e c t o r y c o n s tr u c te d , and th e
c o r r e s p o n d in g o p tim a l p r o g r a m f o r th e a n g le o f a tta c k a (/) a r e sh o w n in
F i g u r e s 4.9 th r o u g h 4.13. T h e fo llo w in g i n it ia l c o n d itio n s w e r e u s e : ^ = 3 0 se c ,
V(to) — 0 .1 3 9 k m / s e c , 0(/o) = 1 .1 1 5 r a d , h = 2.7 k m (z' = z 2= z 3^ 0 ) .
A/
FIGURE 4.9
5921 120
V km/sec
30 (40 50 60 70 80 90 WOt sec
FIGURE 4.10 FIGURE4.il
30 40 50 60 70 80 90 WOt sec
FIGURE 4.12 FIGURE 4.13
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S m ith s o n ia n I n s t. P u b l. , M is c . C o ll., 71, N o. 2. 1919.
11. L e i t m a n n , G. On a C l a s s of V a r ia tio n a l P r o b l e m s in R o c k e t
F lig h t. — J . A e r o /S p a c e S c i., 26, N o. 9. 1959.
12. M i e l e , A. P r o b le m i d i m in ito te m p o n e l v o lo n o n - s ta z io n a r io d e g li
a e r o p la n i. — A tti. a c c a d . s c i. T o rin o , c l a s s e s c i. f is . - m a t . e
n a t ., 85. 1950 — 1957.
13. T s i e n , H .S . and R . C . E v a n s . O p tim u m T h r u s t P r o g r a m m in g f o r
a S ounding R o c k e t. — ARS J o u r n a l, 21, N o. 5. 1951.
122
C hapter V
O P T IM A L P R O B L E M S IN THE D YN A M IC S
O F C O A S T IN G I N T H E A T M O S P H E R E
T h e p r e s e n t c h a p te r d e a ls w ith th e g e n e r a l v a r i a t i o n a l p r o b le m o f th e
d y n a m ic s of tw o - d im e n s io n a l (p la n e ) m o tio n in th e a t m o s p h e r e of a w in g ed
a i r c r a f t w ith c o n tr o lla b le a e r o d y n a m ic lif t; c o n s t r a i n t s on th e c o o r d in a te s
and th e c o n tr o l e le m e n t a r e ta k e n in to c o n s id e r a tio n . We w ill a n a ly z e a
ty p ic a l c a s e w hen th e so u g h t o p tim a l c o n tr o l is d e g e n e r a t e (th e c a s e of
s lid in g c o n tr o l) . It is show n th a t if th e l im it v a lu e s of th e c o n tr o l fu n c tio n
a r e e q u a l in m a g n itu d e , th e a n a ly s i s of th e s lid in g c o n tr o l r e d u c e s to
m in im iz in g an in te g r a l fu n c tio n a l w ith o u t d if f e r e n tia l c o n s t r a i n t s . T h e
r e s u l t s of th is a n a ly s i s a r e th e n a p p lie d to s o lv e th e p r o b le m of th e o p tim a l
d e s c e n t of an a i r c r a f t in th e a tm o s p h e r e w ith m in im u m ad d e d in te g r a l h e a t
in th e c r i t i c a l zo n e of th e a i r c r a f t . T h e m e th o d of m u ltip le m a x im a d e
s c r ib e d in C h a p te r III is u se d .
§ 5. 1. O P T IM A L T W O -D IM E N SIO N A L C O A ST IN G
O F W INGED A IR C R A F T IN T H E A T M O S-
S P H E R E IGN O RIN G RANGE
5. 1. 1. S tatem en t of th e p ro b lem
We w ill c o n s id e r th e m o tio n of a w in g ed a i r c r a f t , w ith its e n g in e s

c u t off, in th e a tm o s p h e r e of a s p h e r i c a l n o n - r o ta tin g E a r t h u n d e r th e
fo llo w in g c o n d itio n s :
1 ) e q u a tio n s of m o tio n of th e c e n t e r of m a s s of th e a i r c r a f t :
h = V sin 0; (5 .1 )
V = - X { h , V t Cy) g sin 0; (5 .2 )
(5 .3 )
2 ) b o u n d a ry c o n d itio n s
h (0), K (0), 0 (0 ))£ 5 (0 ); (hit,), V ( t , \ 6(f1) ) ^ B ( t 1); (5 .4 )
123
3) c o n s t r a i n t s , f o r / £ (0, ti) t
(a, k , 8 > e ^ w , a, n <?*(/, a, v % ( 5 . 5)
H e r e A, V, 0 a r e r e s p e c t i v e l y th e a ltitu d e , th e v e lo c ity , an d th e in
c lin a tio n of th e a i r c r a f t t r a j e c t o r y (th e p h a s e c o o r d in a te s ) ; cv is th e l i f t
c o e f f ic ie n t of th e a i r c r a f t (a c o n tr o l e le m e n t) ; Y (A, Vy cy), X ( h , V, cy) a r e
th e lif t and th e d r a g p e r u n it m a s s of th e a i r c r a f t ; g is th e g r a v it a tio n a l
a c c e le r a tio n ; r E i s th e E a r t h 's r a d iu s .
E q u a tio n s (5 .1 ) —(5 .3 ) a r e c o n s id e r e d ig n o r in g th e h o r iz o n ta l f lig h t r a n g e .
T h e fu n c tio n s X(h, Vt cy)> Y (A, V, cv) a r e a s s u m e d to b e d e s c r ib e d by th e
o r d in a r y e q u a tio n s of s ta tio n a r y a e r o d y n a m ic s :
X ( h , V, = ^ — (<*.(*, V ) + b ( h , V, CV));
y (A, v, Cy) = Sf ^
w h e r e q is th e d e n s ity o f th e a t m o s p h e r e , 5 i s th e c h a r a c t e r i s t i c a r e a , G is
th e a i r c r a f t w e ig h t; f o r e v e r y fix e d A and V t b ( h , V, cy) is a s y m m e tr ic a l
c o n c a v e fu n c tio n of cy. T h e v a r ia tio n of th e g r a v it a tio n a l a c c e l e r a t i o n g
w ith a l titu d e i s ig n o r e d . T h e l a s t a s s u m p tio n , lik e th e n e g le c t of th e E a r t h 's
n o n s p h e r ic ity and i t s s p in , in tr o d u c e v e r y s lig h t e r r o r s in th e c o m p u ta tio n
r e s u l t s , an d y e t g r e a t l y s im p lif y th e m a th e m a ti c s . T h e s e e f f e c ts c a n a lw a y s
be r e s t o r e d in fu ll w ith o u t an y m o d if ic a tio n of th e b a s ic m a th e m a tic a l
a p p a r a tu s . T h e c h a n g e in a i r c r a f t m a s s a s s o c ia te d w ith p o s s ib le h e a t s u b
t r a c t i o n is a l s o ig n o r e d . T h e fu n c tio n s h(t), V ( t ) , 0 (/) a r e c o n tin u o u s an d
p ie c e w i s e - d if f e r e n tia b le , cv (t) is a b o u n d ed p ie c e w is e - c o n tin u o u s fu n c tio n .
T h e s e a s s u m p tio n s a r e c o m m o n ly u s e d in v a r ia tio n a l p r o b le m s o f flig h t
d y n a m ic s .
L e t D b e th e s e t of th e a d m is s ib l e m o tio n p r o g r a m s h(t), V ( t ), 0(O» cy (t)
s a tis f y in g th e v a r io u s c o n d itio n s and a s s u m p tio n s .
O u r p r o b le m c a n be s ta te d a s fo llo w s . F in d a s e q u e n c e of m o tio n
p ro g ra m s
\hM v s (t), es (0, ff,(/))££> (5 .6 )
on w h ic h th e fu n c tio n a l
/ = j / ° ( h , V)dt-\-F(h0, V 0, 0O, A „ 6 ,) (5 .7 )
0
g o e s to i t s l e a s t v a lu e o v e r th e s e t D.
T h e f o r m of th e fu n c tio n a l (5 .7 ), th e c o n s t r a i n t s (5 .5 ), and th e b o u n d a ry
c o n d itio n s (5 .4 ) d e p e n d on th e p a r t i c u l a r p r o b le m b e in g c o n s id e r e d . T h e y
w ill be im p r o v e d and a d ju s te d w hen n e c e s s a r y . W ith o u t l o s s o f g e n e r a lit y ,
w e m a y ta k e cy\<^cV2 ,
124
5. 1. 2. A n a ly s is of th e o p tim u m c o n d itio n s
We w ill now in v e s tig a te th e fu n c tio n R f o r th e g iv e n s y s t e m c o m p r i s in g

th e fu n c tio n a l and th e c o n s tr a in ts ,
sin8 —c?v {X(h, V, £sin 6)4-
+ ?e i [ K ( A , l / , 0 + ^ - « r ) c o s 8 ] - / » ( A , K ) + T<. (5.8)
If th e f u n c tio n (p{t, h, V, 0) is g iv e n , th e fu n c tio n R f o r s o m e fix ed t, h, V, 0

w ill d e p e n d on cy only, and i t s c h a r a c t e r , in v ir tu e o f th e p r o p e r t i e s of th e
fu n c tio n s X ( h , V, cy) an d Y(h, V, cv) , w ill be d e te r m in e d p r i m a r i l y by th e
m a g n itu d e and th e s ig n s of th e c o e f f ic ie n ts o f q>v an d cpo. S u p p o se th a t th e
fo llo w in g c o n d itio n s a r e o b s e r v e d in s o m e r e g io n of th e (t, h, Vy 0) s p a c e :
?v<0; (5 .9 )
fir [A-(A, V, ctx) - X { h , V , p,-Jr[J'(A. V, V , <?„)]-= 0. (5.10)

A s is r e a d i l y s e e n , R a t ta i n s a m a x im u m fo r tw o v a lu e s o f cy , n a m e ly
cv\{t,h, V) and cV2 {t,h, V). If th e so u g h t o p tim a l p r o g r a m b e lo n g s to th e
r e le v a n t r e g io n and s a t i s f i e s c o n d itio n s (5 .9 ), (5 .1 0 ), it c o n s titu t e s
d e g e n e r a t e (s lid in g ) c o n tr o l w ith d e g e n e r a c y k of a t l e a s t 1. If c o n d itio n s
(5 .9 ), (5 .1 0 ) a r e no t s a tis f ie d , th e m a x im u m of R is a tta in e d o n ly on o n e
cy, e i t h e r in s id e th e s e g m e n t [cyi, cy2] o r a t o n e of th e end p o in ts cyi, cy2.
T h e c o r r e s p o n d i n g o p tim u m c o n tr o l is of E u le r ty p e in th e f o r m e r c a s e
an d of b o u n d a r y ty p e in th e l a t t e r . W e o n ly in v e s tig a te th e c o n d itio n s
c o r r e s p o n d i n g to d e g e n e r a te p r o g r a m s s in c e , f i r s t , a s we s h a ll s e e f r o m
w h a t fo llo w s, th e y a r e q u ite ty p ic a l of th e p r o b le m s b e in g c o n s id e r e d , an d ,
s e c o n d , E u le r an d b o u n d a ry o p tim a l c o n t r o l s h a v e b e e n w id e ly t r e a t e d
in th e l i t e r a t u r e /2 —5/ ,
F o llo w in g th e s c h e m e d e s c r ib e d in C h a p te r III (th e m e th o d of m u ltip le
m a x im a ), we w ill find th e g e n e r a l s o lu tio n o f th e p a r t i a l d if f e r e n tia l
e q u a tio n (5 .1 0 ). T o th is end, we f i r s t d e t e r m in e th e in d e p e n d e n t f i r s t
i n te g r a l of th e s y s t e m
[X(h, V , Cy,) — X ( h , V , Cy,)]; (5 .1 1 )

cLx
■ f = 7 [|'(*, V. ctx) - Y ( h , V , c„)l, (5.12)

ax V
w h ic h h a s th e f o r m
S= 0 + j / C M , V ) d V y (5 .1 3 )
w h ere
(5 .1 4 )
K V ’ h' V ^ T ^Y - ’
X U2 = X (h, V y cyly2(flf V, t)); (5 .1 5 )
V ]»2 —y (^1 V * CVl j 2 ( f t t V y 0 )* (5 .1 6 )
125
T h e g e n e r a l s o lu tio n of e q u a tio n (5.1 0 ) is an a r b i t r a r y c o n tin u o u s and
d if f e r e n tia b le fu n c tio n
V)Y (5 .1 7 )
I n s e r tin g th is fu n c tio n in e x p r e s s io n (5 .8 ) f o r R, w e find
R i = 9ihv sin 0—<pu (K (t, h, V ) [X (h, V, c„) + g sin 6] -f-

+ - - [ K ( A ,^ ,^ i) + (— - ^ ) c o Se]}-/0(A , !/) + <?,„ (5.18)
or
,, . „ I f A'jl'j — -KjK, .
= <?UV sin 0 —9 i£- ( x ~ x7 ~+
-{•Kit, h, KJ^sinfl— —gr) c o s e j —f°(h , K) + <p1(, (5.19)
w h e r e V and 0 a r e r e la te d by (5 .1 3 )
H e r e h, g a r e th e p h a s e c o o r d in a te s (th e a r g u m e n ts of th e f u n c tio n cpi) and
V and 0 a r e th e c o n tr o l e l e m e n ts (th e y a r e r e la te d by (5 .1 3 )). U sin g (5 .1 3 ),
w e c a n e lim in a te 0 . T h e fu n c tio n R i f o r e v e r y fix e d t w ill th e n d e p e n d on
h, £ and V, w ith V a c tin g a s a c o n tr o l e le m e n t.
F u r t h e r in v e s tig a tio n of th e fu n c tio n Ri in g e n e r a l f o r m d o e s n o t a c h ie v e
an y u s e f u l p u r p o s e . O ne of th e w a y s f o r f u r t h e r s o lu tio n is to c h a n g e o v e r to
P r o b le m 2 and m in im iz e th e fu n c tio n a l (5 .7 ) w ith th e fo llo w in g d if f e r e n tia l
c o n s tra in ts :
h = V sin 0; (5.20)
i= — K(t, It, V ) g s i n e - h ( ^ - g ) cose, (5.21)
w h ere
6 = ( ~ f K ( t , h, V )d V .
A s w e co u ld h a v e e x p e c te d , th is p r o b le m is s i m p l e r th a n th e o r ig in a l
p r o b le m s in c e th e o r d e r o f s y s t e m (5 .2 0 ), (5 .2 1 ) is 1 l e s s th a n th e o r d e r of
(5 .1 ) —(5 .3 ).
P r o b le m 2 c a n be s o lv e d by th e m e th o d of a p p r o x im a te o p tim a l s y n th e s is
( s e e § 2 .3 ). T h is m e th o d c a n be a p p lie d d i r e c t l y to th e o r ig in a l p r o b le m (if
th e c o n s t r a i n t s on th e p h a s e c o o r d in a te s a r e s u f f ic ie n tly s im p le ) , b u t it i n
v o lv e s in te g r a tio n o f a s y s t e m of d if f e r e n tia l e q u a tio n s o f o r d e r m-f-n w h e r e
ti is th e o r d e r of th e s y s t e m of c o n s t r a i n t s , an d m is th e d e g r e e of th e
a p p r o x im a tin g p o ly n o m ia l. T h e r e f o r e , e v e n if th e o r d e r ti is lo w e r e d by 1
o n ly, th e r e s u l t is a s u b s t a n tia l r e d u c tio n o f th e o v e r a ll c o m p u ta tio n a l w o rk .
126
O n ce P r o b le m 2 h a s b e e n so lv e d , we h a v e to c h e c k th e a p p lic a b ility of
c o n d itio n s (5 .4 ), (5 .5 ) and e s t a b l i s h th a t th e s o lu tio n in d e e d J ^ e lo n g s to jd ie
a n g le co(/)- T h e l a t t e r is v e r if ie d by in s e r t in g th e s o lu tio n h( t), V(f), 0 ( 0 in
th e e q u a tio n
fi = - [ v* ' i + ( l + v) r 2 + ( ^ - ^ ) cosfl] (5 .2 2 )
w h ic h is th e n s o lv e d f o r v . If a ll th e ab o v e c o n d itio n s a r e s a tis f ie d , th e
s o lu tio n of P r o b le m 2 d e f in e s th e z e r o c l o s e n e s s fu n c tio n o f th e s lid in g
c o n tr o l. T h e o r ig in a l p r o b le m is th u s so lv e d . O th e r w is e , a s w e h a v e s e e n
b e fo re , th e fu n c tio n qp is c o n s tr u c te d by a d if f e r e n t m e th o d . A lth o u g h in
t h i s c a s e th e s o lu tio n of P r o b le m 2 d o e s not s o lv e P r o b le m 1, it n e v e r t h e l e s s
p r o v id e s s o m e in f o r m a tio n c o n c e r n in g th e ty p e of th e so u g h t s o lu tio n . U sin g
t h i s in f o rm a tio n , we c a n c o n s tr u c t a r e f e r e n c e s o lu tio n w h ich is s u b s e q u e n tly
im p r o v e d by s o m e s c h e m e of s u c c e s s iv e a p p r o x im a tio n s , e. g ., by th e
m e th o d of a p p r o x im a te o p tim a l s y n th e s is f o r th e o r ig in a l p r o b le m . A
c l e v e r c h o ic e of th e r e f e r e n c e t r a j e c t o r y r e d u c e s th e r e g io n in w h ich th e
o p tim a l s y n th e s is is c o n s tr u c te d and th u s lo w e r s th e d e g r e e o f th e
a p p r o x im a tin g p o ly n o m ia l. A s b e f o r e , th is le a d s to a m a r k e d r e d u c tio n in
th e v o lu m e of c o m p u ta tio n s .
5. 1. 3. A s p e c ia l c a s e of a s y m m e tr ic c o n s tr a in t on
th e l i f t c o e f f ic ie n t
L et
V)\ = V)\ = cylim{t, hf V). (5 .2 3 )
In th is im p o r ta n t c a s e , th e a n a ly s i s o f o u r g e n e r a l p r o b le m c a n be
c o n tin u e d m u c h f u r t h e r . S in ce th e fu n c tio n X(h, V, cy) is s y m m e tr ic a l, we
have
X{h, V, cn ) = X{h, V, erf,
an d c o n d itio n (5 .1 0 ) ta k e s th e f o r m <p0 = 0 . T h is m e a n s th a t th e fu n c tio n qp

is in d e p e n d e n t of 0 . T h e fu n c tio n Rt ta k e s th e f o r m
= s i n e ( A , V, It, V ) ) + y Sine]- / » ( * , V ) + y u . (5 .2 4 )
It fo llo w s f r o m th e s t r u c t u r e of qpi and Ri th a t s in 0 is th e c o n t r o l e le m e n t

in th is c a s e : it e n t e r s th e e x p r e s s io n f o r Ri in l i n e a r f o r m . P r o b le m 2, in
i t s tu r n , is d e g e n e r a t e and it c a n be so lv e d by th e m e th o d of m u ltip le
m a x im a . We d e fin e <pi(^ K V) so th a t th e c o e f fic ie n t b e f o r e s in 0 in (5 .2 4 )
id e n tic a lly v a n is h e s ,
<?vy — 9 i v g = 0- (5 .2 5 )
127
T h e g e n e r a l s o lu tio n o f th e p a r t i a l d i f f e r e n tia l e q u a tio n (5 .2 5 ) is an
a r b i t r a r y c o n tin u o u s and d if f e r e n tia b le f u n c tio n
( 5-2 6)
w h ere
i = a+
YL (5 .2 7 )
2s
i s th e in d e p e n d e n t f i r s t in te g r a l of th e s y s t e m
d± = v -
dx
(5 .2 8 )
dV
dx = - £ •
I n s e r tin g th is s o lu tio n in th e e x p r e s s io n f o r R\ , w e find
^ 2 = —(?2nX(hi V 1cuUm(t9 h, V)) —f Q(ht l/) - f cp2/% (5.29)
w h e r e h, V, and t) s a t i s f y (5 .2 7 ). In (5 .2 9 ), t] is th e p h a s e c o o r d in a te , and
h and V a r e th e c o n tr o l e le m e n ts (th e y a r e r e l a t e d to t] by (5 .2 7 )). We c a n
c h a n g e o v e r to o n e in d e p e n d e n t c o n tr o l e le m e n t, h sa y , by e x p r e s s in g V
f r o m (5 .2 7 ) in t e r m s of r) and h :
V = y2g(r\-h).
A s in th e g e n e r a l c a s e , it is b e t t e r a t t h i s s ta g e to p a s s to a m o d ifie d
p r o b le m (w e c a ll it P r o b le m 3) m in im iz in g th e f u n c tio n a l (5 .7 ) w ith a s in g le
d iffe re n tia l c o n s tra in t
— *^ ( ^ j ^ i c f/lim(î ^ r))» ( 5. 30)

S '
w h e r e h, V, 0 s a tis f y (5 .2 7 ). P r o b le m 3 c a n be s o lv e d by a p p r o x im a te
o p tim a l s y n th e s is , w h ich in th e p r e s e n t c a s e v ir t u a l l y r e d u c e s to in te g r a tin g
a s y s t e m of f i r s t - o r d e r o r d in a r y d if f e r e n tia l e q u a tio n s w h e r e th e n u m b e r of
e q u a tio n s i s e q u a l to th e d e g r e e of th e a p p r o x im a tin g p o ly n o m ia l p lu s 1
( o n e - d im e n s io n a l synthesis^).
T h e r e s u lt in g s o lu tio n (/*(/), K(/ )) of P r o b le m 3 sh o u ld b e in s e r t e d in th e
e q u a tio n s o f P r o b le m 2 in o r d e r to o b ta in s in 0. If th e r e s u l t s a t i s f i e s th e
c o n s t r a i n t s , (h(t)y V(t), 0(/ )) is a s o lu tio n of P r o b le m 2. We t r e a t th is
s o lu tio n a s b e f o r e .
In p r a c t i c e , th e c o n s t r a i n t s on cy and th e p h a s e c o o r d in a te s in p r o b le m s
of th is k in d a r e g e n e r a lly d e te r m in e d by p h y s ic a l c o n s t r a i n t s on o v e r lo a d in g ,
t e m p e r a t u r e , e tc ., w h ich d ep e n d on th e f lig h t a ltitu d e and v e lo c ity and a r e
in d e p e n d e n t of tim e . In n u m e r o u s p r o b le m s th e f in a l tim e t\ is n o t g iv e n
(e. g ., th e p r o b le m o f th e m in im u m a d d e d h e a t in th e c r i t i c a l zo n e , w h ic h is
c o n s id e r e d b elo w ). In th is c a s e , th e r ig h t- h a n d s id e o f e q u a tio n (5 .3 0 ) is
tim e - in d e p e n d e n t. U sin g th is f a c t and f u r t h e r r e m e m b e r in g th a t an y
128
p h y s ic a lly a d m is s ib l e m o tio n o f th e a i r c r a f t w ith th e e n g in e c u t off, d e
s c r i b e d by e q u a tio n s (5 .1 ) —(5 .3 ), is c o n s tr a in e d by th e in e q u a lity
(th e to ta l e n e r g y of th e a i r c r a f t c a n n o t i n c r e a s e w ith tim e ) , w e m a y c h a n g e
o v e r f r o m M o a new in d e p e n d e n t v a r ia b le rj, w ith o u t d i s t o r t i n g th e p h y s ic s
of th e p r o b le m . P r o b le m 3 i s th u s f in a lly r e d u c e d to th e p r o b le m of
m in im iz in g th e fu n c tio n a l
/= - f f H h ’ V)— dr\-\-F{ha, V 0, 0O, hi, l/„ 0,), (5 .3 1 )

\ — X ( h , V , c y)
^0
w h ere
v = V 2 g (n-h)1
w ith o u t d if f e r e n tia l c o n s t r a i n t s and w ith in e q u a lity c o n s t r a i n t s o f th e f o r m

(5 .5 ) im p o s e d on th e f r e e fu n c tio n s h(r\), cy(r]) an d on th e p a r a m e t e r s 0o
an d 0 i; in o th e r w o rd s , th e g e n e r a l p r o b le m is r e d u c e d to an e l e m e n ta r y
p r o b le m o f th e a b s o lu te m in im u m of a fu n c tio n of a s in g le v a r i a b l e f o r e v e r y
fix e d T]. L e t (tI* cv) d e n o te th e in te g r a n d in (5 .3 1 ). T h e s o lu tio n of
P r o b le m 3 th e n c o in c id e s w ith th e s o lu tio n o f th e e q u a tio n s
f i ( n , h ( r \ ) J y (h, Tl)) = inf/i(r), h, cB), t]£ (n „ r)0); (5 .3 2 )

(Tj)
\cy\ < cylim(h' ^
F (^» Vô (ô» ô)» ô» î» V i (î> î)» ®i)==

= inf(/?0, V0 (//o» no), V (fily Qj), (5 .3 3 )
(h9. B0)6B0
(Ai.fli) 6Bi
w h e r e B(r]), B 0y B\ a r e th e r e g io n s of th e a d m is s ib l e v a lu e s of h, 0o, 0i d e fin e d

by c o n d itio n s (5 .5 ), o r th e r e g io n s of th o s e h, 0O| 0i w h ic h a r e a c tu a lly
a t ta i n a b le f o r s y s t e m (5 .1 ) —(5 .3 ) u n d e r c o n d itio n s (5 .4 ), (5 .5 ).
A lth o u g h th e s o lu tio n of P r o b le m 3 is e l e m e n ta r y , we h a v e to c o n s id e r
i t s e x i s te n c e in th e s e t D. T h e s t r u c t u r e of th e f u n c tio n a l in P r o b le m 3 is
so s im p le th a t it p e r m i t s d ra w in g so m e im p o r ta n t c o n c lu s io n s c o n c e r n in g
th e f e a s ib ili ty of th e s o lu tio n of th is p r o b le m . In d eed , l e t u s find th e
m a x im u m o f th e in te g r a n d in (5 .3 1 ) w ith r e s p e c t to cy f o r an y a d m is s ib l e
fix e d T) and h . N o te th a t th e c o r r e s p o n d in g o p tim a l v a lu e c* (r|, h) d e p e n d s
o n ly on th e s ig n of th e fu n c tio n f \ ( h , t j , cy). If < 0 , t h e r e i s o n ly o n e
o p tim a l v a lu e o f cy, c* = 0 . If / ? > 0 , th e m in im u m of i s a tta in e d f o r tw o
d if f e r e n t v a l u e s of cVt
Cy ~ i^ r/lim (^» *0-
In th e n e g a tiv e c a s e , th e s u b s titu tio n cy = c* in th e o r ig in a l s y s t e m d e t e r

m in e s , in c o m b in a tio n w ith th e in it ia l c o n d itio n s , th e u n iq u e s o lu tio n of
s y s t e m (5 .1 ) —(5 .3 ), i. e ., a b a l l i s t i c t r a j e c t o r y w h ic h d o e s n o t n e c e s s a r i l y
c o in c id e w ith th e s o lu tio n ( / i ( t i ) , V ( t] ) , 0 ( t | ) ) o b ta in e d u n d e r c o m p le te ly
d if f e r e n t c o n d itio n s .
129
In th e p o s itiv e c a s e , th e s o lu tio n of P r o b le m 3 d o e s n o t n e c e s s a r i l y
s a t i s f y e q u a tio n s ( 5 .1 ) —(5 .3 ) f o r cv —c*. It o n ly h a s to s a tis f y th e c o n s t r a i n t s
on s in 0 and to lie w ith in th e a n g le co c o n s tr u c te d a t e a c h p o in t of th e
t r a j e c t o r y . In th is c a s e th e s o lu tio n c a n be r e a l i z e d by a s lid in g p r o g r a m —
a s u c c e s s io n of c o n tr o l fu n c tio n s , e a c h c o m p r i s in g a l t e r n a t i n g f lig h t s e c ti o n s
w ith m a x im u m and m in im u m a n g le of a tta c k .
T h e d e n o m in a to r of th e in te g r a n d in (5 .3 1 ) f o r an y v a lu e s o f th e a r g u m e n ts
is d e f in ite p o s itiv e , s o th a t th e s ig n o f th e f r a c ti o n /° c o in c id e s w ith th e s ig n
of th e n u m e r a to r , i. e ., i t is d e te r m in e d e n t i r e l y by th e p a r t i c u l a r f o r m o f
th e f u n c tio n f°(ht V) (th e g iv e n o p tim a lity c r i t e r i o n ) . T h u s, if f°(h, V ) = 1
(th e p r o b le m o f m in im u m d e s c e n t tim e ) , th e s o lu tio n o f P r o b le m 3 is in d e e d
f e a s ib le .
If, on th e o th e r h an d , f°(h, V) s s — 1 (th e p r o b le m o f m a x im u m lif e tim e ) ,
th e s o lu tio n of P r o b le m 3, s t r i c t l y s p e a k in g , d o e s n o t e x i s t in D and an
a l t e r n a t i v e m e th o d h a s to be u s e d .
If f°(h, V) c h a n g e s its s ig n , th e s o lu tio n of P r o b le m 3 is s t r i c t l y f e a s ib le
in th a t r e g io n of th e (h., V) s p a c e w h e r e /°(/z, K )> 0 .
5. 1. 4. G e n e r a liz a ti o n to th e c a s e o f a d d itio n a l
c o n t r o l e l e m e n ts
T h e p r e c e d in g r e s u l t s a r e g e n e r a liz e d w ith o u t m u c h d if fic u lty to th e c a s e

w h en th e a n g le of a tta c k cv is no t th e on ly c o n tr o l e le m e n t: o th e r c o m m o n
c o n tr o l e l e m e n ts a r e th e a n g le of b an k y and th e d r a g c o e f fic ie n t cxo. In
p r a c t i c e , cxo c a n be c o n tr o lle d w ith th e a id of b r a k in g a p p a r a tu s in th e f o r m
o f s k i r t s , f la p s o r a i r b r a k e s , and p a r a c h u te s .
L e t u s c o n s id e r th e p r e v io u s p r o b le m o f m in im iz in g th e fu n c tio n a l (5 .7 )
o v e r th e s e t D of flig h t p r o g r a m s s a tis f y in g th e fo llo w in g c o n d itio n s .
1. T h e e q u a tio n s of m o tio n
A= 1/sin0; (5.34)
V = —AT(/f, V, cXu, cy) —g sin 0; (5.35)
6 = i [ K ( A , V , c, ) cosy + ( ^ - - * ) cos 8 ] , (5.36)
w h e r e h, V, 0 a r e th e p h a s e c o o r d in a te s ; cyt y, cx0 a r e th e c o n tr o l e le m e n ts .
2. B o u n d a ry c o n d itio n s (5 .5 ), w ith f r e e end tim e t\.
3. C o n s tr a in ts , f o r t (0, t{).
(h, Vy e ) t B ;
(5 .3 7 )
(fix,, cy)fz Q(h, V).
T h e a n g le of b a n k y is e i t h e r no t c o n s tr a in e d (— K c o s y ^ + l)* i . e . ,
e q u a tio n s ( 5 .3 4 ) — (5 .3 6 ) a r e in f a c t th e p r o je c tio n s o f th e t h r e e - d i m e n s i o n a l
e q u a tio n s of m o tio n on th e v e r t i c a l p la n e , o r ta k e s on th e v a lu e s 0 and jt
(cos v = Hhl) on ly , i . e . , th e a i r c r a f t is t r u l y c o n s tr a in e d to p e r f o r m tw o -
d im e n s io n a l ( o r a l m o s t tw o - d im e n s io n a l) m o tio n .
130
We w ill a c c e p t a ll th e a s s u m p tio n s lis te d in 5. 1. 1.
N ote th a t ow ing to th e p r e s e n c e o f th e a d d itio n a l c o n tr o l e le m e n t y , w e
m a y t r e a t th e p r o d u c t Y (h, V> cv) cos y a s an in d e p e n d e n t l i n e a r c o n tr o l
e le m e n t Ya w h ic h a s s u m e s v a lu e s in s id e th e i n te r v a l
I— Y J-K 1
i îm* ‘ alim **
w h e r e ^ a i^ m a y d e p e n d on h and V.
T h e fu n c tio n R ta k e s th e f o r m
R = f hV sin9 — t v [X(h, V , cXo>cy ) + g sin 0] + <p9 — —^ j c o s 0 j + tp,. (5 .3 8 )
S u c c e s s iv e ly a p p ly in g th e m e th o d of m u ltip le m a x im a and c h a n g in g o v e r
to a new a r g u m e n t, w e end up, a s b e f o r e , w ith P r o b le m 3 m in im iz in g th e
fu n c tio n a l
/,= - f f ° (h' V)-------- flHl + F(Ao, ^ o , ^ . A „ V r„ 0 i). (5 .3 9 )

) — X ( h , V , Cxa, c u)
Vo
w h ere
V = V2
F o r e v e r y r] £ (rii, r\0), th e s o lu tio n %(r|), Caro('n), Cy(r]) of P r o b le m 3 is d e

fin e d by th e c o n d itio n
/ i ( 1 . A(»l), cx.(r|),7,(»))) = ln f/?lT i,A ,c,..r,), (5.40)

(I)
w h e r e /J (r\, h, cxq, cv) is th e in te g r a n d in (5 .3 9 ). In o th e r w o rd s , fo r e v e r y

r\ £ (r|i,r]o), th e v a lu e s of ft, cxo, cy a r e o b ta in e d a s th e p o in t o f a b s o lu te
m in im u m of th e f u n c tio n /J (t|, h y cxo, cy) w ith r e s p e c t to a ll th e t h r e e in
d e p e n d e n t v a r i a b l e s h t cxq, cy .
O w ing to th e a d d itio n a l c o n tr o l e le m e n t y , th e t r a n s i t i o n to P r o b le m 3
d o e s n o t r e q u i r e any a s s u m p tio n s c o n c e r n in g e q u a l l i m i t s of v a r ia tio n of
th e a n g le of a tta c k . In g e n e r a l, th e s o lu tio n of P r o b le m 3 e x i s t s in D
w h en cy (r\) is u n iq u e , p ro v id e d th a t
In d ee d , i n s e r t i n g 7it cv, cxo in th e in it ia l c o n d itio n s , w e fin d 0 (r|) and
th e n s o m e fu n c tio n Ya {r\) and th e c o r r e s p o n d in g " r e q u i r e d " v a lu e (co sy )r.
If | (cos y) r | < 1 and th e s o lu tio n (%(ri), 0 (iq)) s a t i s f i e s th e b o u n d a ry c o n d itio n s ,
w e h a v e so lv e d th e o r ig in a l p r o b le m . If th e a n g le y is n o t c o n s tr a in e d ,
w e m a y ta k e co sy = (c o sy )r . if co sy is c o n s tr a in e d to th e tw o v a lu e s ± 1,
^ ( T))» 0(11) m a y be a p p r o x im a te d in D by c o n s tr u c tin g a s lid in g p r o g r a m w ith
th e b a s is c o n tr o l fu n c tio n s (cxo(t)), C y ^ ), c o s y i,2)> w h e r e cosyi = — 1 ,cos >*2= + 1.
131
§ 5. 2. O P T IM A L D E S C E N T PR O G R A M O F AN A IR C R A F T
IN T H E A T M O S P H E R E BA SED ON T H E C O N D IT IO N
O F M INIM UM A D D E D IN T E G R A L H E A T IN T H E
C R IT IC A L Z O N E
5. 2. 1. S ta te m e n t o f th e p r o b le m
C o n s id e r th e p r o b le m of a i r c r a f t d e s c e n t in th e a t m o s p h e r e w ith m in im u m
a d d e d h e a t in th e c r i t i c a l zo n e . T h e ad d e d h e a t is e s tim a te d by th e
fu n c tio n a l
/= 1/315 dt. (5 .4 1 )
w h e r e K q is a c o n s ta n t.
T h e a d m is s ib l e m o tio n p r o g r a m s s a t i s f y th e fo llo w in g c o n d itio n s .
T h e e q u a tio n s of m o tio n
h = V sin 0; (5 .4 2 )
V = — X(fi, I/, Cy) — g sin 0; (5 .4 3 )
(5 .4 4 )
w h ere
Ya = Y (h, V, cu) cos Y-
B o u n d a ry c o n d itio n s :
A l t e r n a t i v e 1. O nly th e in itia l and th e fin a l e n e r g y le v e ls a r e g iv e n :
*= 0, *)(0)=T)of
(5 .4 5 )
t = ''l. = 7il
( t r a n s it io n f r o m one e n e r g y le v e l to a n o th e r ).
A l t e r n a t i v e 2. T he in it ia l v a lu e s of th e p h a s e c o o r d in a te s and th e
f in a l v a lu e of th e e n e r g y le v e l a r e g iv e n :
f = 0, h(0) = hof; V (0) = l/of; 0(O) = Oof; ^ = nlf. (5 .4 6 )
In b o th a l t e r n a t i v e s , t { is f r e e .
T h e so u g h t o p tim a l p r o g r a m is e x p e c te d to s a tis f y th e fo llo w in g
c o n s tra in ts :
1) Cy ^ Cyylm\ (5 .4 7 )
2) h > h lim\ (5 .4 8 )
3) [ N ( h , V t c t f m i ± [ X * ( h , V , c , ) + Y * { h , V , c , ) \ < N \ imi (5 .4 9 )
4) ?,(A ,V 't c , ) < ? t . lim. (5 .5 0 )
132
I n e q u a lity (5 .4 7 ) is an e n g in e e r in g c o n s t r a i n t o n th e l i f t c o e f fic ie n t; cv nm
m a y be id e n tif ie d w ith c„ nii, s a y . In (5 .4 8 ) hum i s th e g e o m e t r i c a l a ltitu d e
l i m i t , i. e ., th e g r o u n d le v e l. R e la tio n s (5 .4 9 ), (5 .5 0 ) im p o s e c o n s t r a i n t s
o n th e to ta l o v e r lo a d N an d th e h e a t flu x q t a t s o m e c r i t i c a l p o in t o n th e
a i r c r a f t s u r f a c e . T h e l i m i t v a lu e s of th e s e p a r a m e t e r s a r e fix e d f r o m
s t r u c t u r a l s t r e n g t h c o n s id e r a t io n s and f r o m s a f e ty r e q u i r e m e n t s f o r th e
c r e w an d th e in s tr u m e n ta tio n . It i s a s s u m e d th a t f o r an y fix e d h an d V ,
q t (h, V, cv) i s a s y m m e t r i c a l and m o n o to n ic (o n b o th s id e s of th e o r ig in )
fu n c tio n of cy.
F r o m c o n s id e r a t io n s o f p r o b le m s o lu tio n , c o n s t r a i n s t s (5 .4 9 ), (5 .5 0 )
a r e b e t t e r w r i tte n in th e f o r m (5 .5 ). N o te th a t b o th N2 and qt f o r a n y fix e d
h, V h a v e a m in im u m f o r cv —0.
C o n d itio n (5 .4 9 ) is th e n e q u iv a le n t to th e fo llo w in g tw o in e q u a li tie s :
(5 .5 1 )
(5 .5 2 )
w h e r e c*(ht V) is th e p o s itiv e s o lu tio n of th e e q u a tio n
V, cy ) ~ ^ i im (5.53)
f o r an y fix e d h and V w h ic h s a tis f y (5 .5 1 ). C l e a r ly , fo r o th e r h, V, th e

s o lu tio n c*y d o e s n o t e x is t.
C o n d itio n (5 .5 0 ) is s i m i l a r l y e q u iv a le n t to th e fo llo w in g in e q u a li tie s :
(<7t)r„-o<<7t.lin; (5.54)
cy < cV ( h' V ) , (5 .5 5 )
w h e r e c**(hy V) i s th e p o s itiv e s o lu tio n o f th e e q u a tio n
<7t(^» Vt (5.56)
T h e fu n c tio n s (N2(h, V))cy- o an d [qt (h, V))cy-o d e c r e a s e m o n o to n ic a lly

w ith i n c r e a s i n g a ltitu d e and i n c r e a s e m o n o to n ic a lly w ith i n c r e a s i n g v e lo c ity .
T h e r e f o r e (5 .5 1 ) m a y be w r i tte n in th e f o r m
h > h '( V \ (5 .5 7 )
FIGURE 5.1
133
w h e r e h*(V) i s th e s o lu tio n o f th e e q u a tio n
I / ) ) , , . , = ^ lm (5 .5 8 )
f o r an y fix e d V , an d (5 .5 4 ) m a y b e w r i tte n in th e f o r m
h > h " ( V ), (5 .5 9 )
w h e r e h**(V) i s th e s o lu tio n o f th e e q u a tio n
(*71 (^» 0^t.lim (5 .6 0 )
f o r an y fix e d V .
S u m m in g up, w e c a n w r i t e th e v a r io u s c o n s t r a i n t s in th e fo llo w in g f o r m
( F ig u r e 5 .1 ):
^lim* ô r ^
h-(V) for (5 .6 1 )
h~(V) for
cy ISm f°r cy
= for c ; < r , Um , C (5 .6 2 )
c” {h,V) for cj
- Y { h , V, cv„) < Ka < Y (A, V , cvh). (5 .6 3 )
an d in th is f o r m th e y w ill be u s e d in w h a t fo llo w s .
N o te th a t th e p h y s ic a l m e a n in g o f th e c o n s t r a i n t s and th e c o r r e s p o n d in g
c l a s s i f i c a t i o n a r e of no c o n s e q u e n c e f r o m th e p o in t o f v ie w of th e m e th o d
o f p r o b le m s o lu tio n . We a r e m e r e l y c o n c e r n e d w ith th e f o r m a l c l a s s i f i c a t i o n
o f c o n s t r a i n t s , w h ic h d is t in g u is h e s b e tw e e n c o n s t r a i n t s on th e p h a s e
c o o r d in a te s (g ro u p (5 .6 1 )) and c o n s t r a i n t s on th e c o n tr o l e l e m e n ts d e p e n d in g
on th e p h a s e c o o r d in a te s ( g ro u p (5 .6 2 )).
We c a n now p r e s e n t a r i g o r o u s f o r m u la tio n o f th e p r o b le m , d e n o tin g by
D th e s e t o f a d m i s s i b l e m o tio n p r o g r a m s s a tis f y in g th e a b o v e c o n d itio n s :
F in d a s e q u e n c e of p r o g r a m s {(E s(0*K s(0> 0s(t), cv S {t), ys ( t ) ) \ c i D on
w h ic h th e f u n c tio n a l (5 .4 1 ) g o e s to i t s l e a s t v a lu e o v e r th e s e t D .
5. 2. 2. S o lu tio n o f th e p r o b le m
S e e in g th a t th e tim e t\ i s f r e e an d c o n s t r a i n t s ( 5 .6 1 ) — (5 .6 3 ) do n o t d e p e n d
e x p lic itly on tim e , w e w ill s o lv e P r o b le m 3 c o r r e s p o n d in g to th e o r ig in a l
p r o b le m . We th u s m in im iz e th e fu n c tio n a l
(5 .6 4 )
134
w h ere
V = V2g(r}~ti)
u n d e r c o n s t r a i n t s (5 .6 1 ), (5 .6 2 ). T h e m in im u m o f th e f u n c tio n a l (5 .6 4 )
y ie ld s a c e r t a i n s o lu tio n %(?]), cv (r\) on w h ich , f o r e v e r y fix e d T] £ (r|i, T)o) ,
th e in te g r a n d in (5 .6 4 ) a t ta i n s i t s m in im u m u n d e r th e s a m e c o n s t r a i n t s .
S in c e in o u r c a s e f°(h, V )> 0 , th e m in im u m o f th e in te g r a n d f o r an y
fix e d r\ and h is a tta in e d f o r \cv \ = c vb (hy r ]) . We now i n s e r t \cy \ = cl/b in
(5 .6 4 ) an d fin d th e m in im u m of th e f u n c tio n
g0.5y3.15
*01, h) = (5 .6 5 )
— X ( h , V , C y h(h, 1,))
8
on th e s e t h>hb(v\). H e r e Ab('n) is o b ta in e d by
t r a n s f o r m i n g hb(V) to th e new c o o r d in a te s ( s e e
F ig u r e 5.1 ).
F ig u r e 5.2 sh o w s s o m e ty p ic a l c u r v e s of th e
fu n c tio n y,(h) f o r s e v e r a l fix ed v a lu e s o f tj. T h e
m in im u m of x ( /i) is a tta in e d a t th e k in k p o in t 7iopt,
h w h ic h is p r e c i s e l y th e p o in t o f t r a n s i t i o n f r o m
FIGURE 5J2 one cy, Cyiim, to a n o th e r cy o r c **. In o th e r w o rd s ,
th is i s th e p o in t w h e r e
^Viim ) — -^lim
or
"H, cy\im ) — *7t.lim«
T h e s o lu tio n of P r o b le m 3 f o r th e tw o a l t e r n a t i v e s e t s of b o u n d a ry
c o n d itio n s th u s h a s th e fo llo w in g f o r m ( F ig u r e 5 .3 ).
A l t e r n a t i v e 1.
fo r /*opt Cn) ^ ^lim

(5 .6 6 )
fo r A0pt</*m n-
FIGURE 5.3
135
Alternative 2.
[ft= A of fo r ^ = ^0
* = V W fo r *0pt(,l ) > h\im- (5 .6 7 )
l^lim fo r Aopt < Alim-
F o r b o th a l t e r n a t i v e s .
\ C y \ ---- Cy l i m .
We w ill now c o n s i d e r th e e x i s te n c e of th e s o lu tio n o f P r o b le m 3 in D,

i. e ., th e a c tu a l c o n s tr u c tio n o f th e s o u g h t m in im iz in g s o lu tio n .
In e q u a tio n s (5 .4 2 ) — (5 .4 4 ) w e c h a n g e o v e r to a new a r g u m e n t r | :
ti-- / i (T|> hy 6, Cy); (5 .6 8 )

X(h, V, Cy)
g [ r a + ( ^ ~ g ) cos° ] _ (5 .6 9 )
6' Cy).
V 2X ( h f V , Cy )
T h e s o lu tio n o f P r o b le m 3 is f e a s ib le in D o n ly if th e d ir e c tio n (1, 0 '(t|),

h{i})) in th e ( h, 0, t j ) s p a c e , f o r e v e r y T ), l i e s w ith in th e a n g le co s p a n n e d by
th e v e c t o r s
f ft* hy 0* ^lim )l
an d
= 1 1 , /O l, h> ^ — Cy],
w h e r e / = ( / * , / 2).
In o th e r w o rd s , th e s u b s titu tio n of 0'(r]) in th e e q u a tio n
9'(n) = v /* ( r|t A, I - ^ in) + ( l - v ) / 2(Tl, h, 0 ' + c wim) (5 .7 0 )
sh o u ld g iv e v w h ic h s a t i s f i e s th e c o n s t r a i n t s 0 < v < l .
A t th e s a m e tim e , th e fu n c tio n s %(tj), 0(t]) m a y be d is c o n tin u o u s . T h e
v a lu e s ^ o f 0' a t th e d is c o n tin u ity p o in ts a r e n o t b o u n d ed , and th e d ir e c tio n
[1, 0'] t h e r e f o r e a p r i o r i d o e s n o t l i e w ith in th e a n g le co s in c e th e fu n c tio n s
f 2(h, 0, tj, ±^yiim) a r e b o u n d ed . In t h i s s e n s e , th e s o lu tio n o f P r o b le m 3 d o e s
n o t s o lv e a t th e s a m e tim e th e o r ig in a l p r o b le m . H o w e v e r, u s in g th is
s o lu tio n a s a g u id e lin e , w e c a n c o n s tr u c t s o m e p r o g r a m %(t]), 0 (r|), cy(r])
f r o m D w h ich c a n b e r e g a r d e d a s a p o te n tia l o p tim a l p r o g r a m .
N o te th a t u n d e r th e a b o v e c o n s t r a i n t s , th e c o n d itio n 0<Tv<l is g e n e r a l l y
s a tis f ie d on th e c o n tin u o u s s e c ti o n s (^(rj), 0(t])) f o r a w id e r a n g e of tj,
w ith th e e x c e p tio n o f v e r y s m a ll tj, w h en m o tio n a lo n g TioptOl) r e q u i r e s
s m a l l e r v a lu e s of Ya th a n th e ^ lim a v a ila b le .
A p o te n tia l o p tim a l p r o g r a m c o n s tr u c te d in th is w ay is sh o w n in
g e n e r a l o u tlin e in F ig u r e 5.3. It c o m p r i s e s f lig h t s e c ti o n s c o r r e s p o n d i n g
to th e lim itin g v a lu e s o f Ya and s lid in g c o n tr o l s e c ti o n s , w ith th e c o n tr o l
136
s w itc h in g b e tw e e n th e tw o l i m i t v a lu e s of Ya a lo n g th e ^(rj) lin e . In
p a r t i c u l a r c a s e s , s o m e of th e s e c ti o n s sh o w n in F ig u r e 5.3 m a y b e m is s in g .
5. 2. 3. E s t i m a t e s o f th e s o lu tio n
S in ce th e s o lu tio n (rj), 0 (r]), cy(i]) c o n s tr u c te d a b o v e is o n ly a p o te n tia l

o p tim a l s o lu tio n , it r e q u i r e s f u r t h e r v e r if ic a ti o n . O ne of th e p o s s ib le
te c h n iq u e s is to v e r if y th e s u f f ic ie n t c o n d itio n s of a lo c a l m in im u m / l / .
A n o th e r a p p r o a c h is to im p r o v e th e s o lu tio n by s u c c e s s i v e a p p r o x im a tio n s
(e . g ., by a p p r o x im a te o p tim a l s y n th e s is ) , u s in g th e a v a ila b le s o lu tio n a s
th e f i r s t a p p r o x im a tio n (a r e f e r e n c e s o lu tio n ).
We p r o p o s e to c h e c k th e p o te n tia l o p tim a l s o lu tio n by c o m p a r is o n w ith
a n o th e r s o lu tio n (*n), 0 (r|), cy(r)) )c w h ic h d o e s n o t n e c e s s a r i l y b e lo n g to D
b u t on w h ic h th e fu n c tio n a l i s a p r i o r i know n to a t ta i n a v a lu e n o t e x c e e d in g
i t s e x a c t lo w e r bound on D.
L et
001), c * 0 l))= z .
T hen
/ ( z c) < i n f / .
(5 .7 1 )
By (5 .7 1 ) w e c l e a r l y h av e
| A / | = | / ( z ) - l n f / | < | / ( 5 ) - / ( z c)| = A / c.
T h u s A/c p r o v id e s a n e s t i m a t e of th e s o lu tio n , an d th e a c c u r a c y of th is
e s t i m a t e c l e a r l y d e p e n d s on th e p a r t i c u l a r fu n c tio n 2C c h o s e n .
We c a n c h o o s e zc, sa y , a s th e s o lu tio n o f P r o b le m 3. F o r b o u n d a ry
c o n d itio n s in A lte r n a tiv e 1, th is e s t i m a t e i s e x p e c te d to be f a i r l y a c c u r a t e .
F o r b o u n d a ry c o n d itio n s in A lte r n a tiv e 2, on th e o th e r h an d , th is e s t i m a t e
m a y p r o v e to be to o c r u d e , s in c e in th is c a s e th e p o te n tia l m in im iz in g
s o lu tio n m a y m a r k e d ly d if f e r f r o m 2C o v e r s o m e lo n g s e c ti o n s ( s e e
F ig u r e 5.3).
A m o r e e x a c t e s tim a te c a n be o b ta in e d , b u t th is r e q u i r e s s o m e a d d itio n a l
c o n s tr u c tio n .
U sin g i n it ia l c o n d itio n s (5 .4 6 ), l e t u s c o n s id e r th e s o lu tio n of th e s y s t e m
of s ix e q u a tio n s (w ith th e a r g u m e n t
(5 .7 2 )
137
T h e m in im a and th e m a x im a o f th e c o r r e s p o n d in g f u n c tio n s a r e lo c a te d
f o r e v e r y fix e d Q in th e r e g io n
— ’i X Cy Cyunih* Tl);
“ y (^> ^ y* ^ y V1, Tl,
(5 .7 3 )
«l ( Q X * < W ) -
In v ir tu e of th e r ig h t- h a n d s id e s of e q u a tio n s (5 .7 2 ) ( s e e A p p en d ix ), t)L( 0
is s o m e lo w e r l i m i t v a lu e o f r| (w h ic h l i e s b elo w th e e x a c t lo w e r l im it of rj
f o r th e o r ig in a l s y s te m ) f o r e v e r y fix e d Q t an d i t s i n v e r s e f u n c tio n is s o m e
lo w e r l i m i t of Q f o r fix ed r] ( F ig u r e 5.4). We c o n tin u e th e s o lu tio n of th is
s y s t e m to i t s i n t e r s e c t i o n in th e p la n e ( hi, riL) w ith th e lin e £ (ri),i] . T h e
q u a n t itie s r e l a t i n g to th e i n t e r s e c t i o n p o in t a r e d e n o te d w ith an a s t e r i s k
A s i m i l a r c o n s tr u c tio n c a n be c a r r i e d o u t a t th e le f t end p o in t o f th e in te r v a l
(tji, r|o) u n til hi(r\i) i n t e r s e c t s 7i(r\) a t th e p o in t rj**.
Exact limit
FIGURE 5.4
7C is ta k e n in th e f o r m
T h e e s t i m a t e is o b ta in e d a s f o llo w s :
M c = \lc - I ( z ) \ (5 .7 5 )
or
5 .7 5 a)
138
5. 2. 4. N u m e r ic a l e x a m p le
A s a n e x a m p le , we c o m p u te d th e o p tim a l d e s c e n t of a h y p o th e tic a l a i r
c r a f t w ith th e fo llo w in g s p e c if ic a ti o n s :
w e ig h t G = 5000 km , w in g lo a d - ^ - = 153 k g / m 2.
T h e p o la r c u r v e of th e a i r c r a f t i s
^jc= 0.1 + 1 .8 3 |sin3a|; j (5 .7 6 )

Cy — Az 1.83 sin3a c o s a . J
( E x p r e s s io n s (5 .7 6 ) a r e b o r ro w e d f r o m / 6 / . )
h km
tOO ZOO ti 300 WO 500 Cl t
FIGURE 5.5
139
T h e fo llo w in g b o u n d a ry c o n d itio n s and c o n s t r a i n t s w e r e u s e d :
ti0= 2.93- 106m; hQ=S0>\Q^m;

n ,= 15* 103m; (5 .7 7 )
^ lim= 5 ; 2 ^ lim= 0.645.
No c o n s t r a i n t s w e r e im p o s e d on th e h e a t flu x . T h e d e n s ity of th e a t m o
s p h e r e w a s ta k e n in a c c o r d a n c e w ith th e S A -64 s ta n d a r d a t m o s p h e r e m o d e l.
T h e c o m p u ta tio n s w e r e c a r r i e d ou t on th e B E S M -2 c o m p u te r . E q u a tio n s
(5 .4 2 ) — (5 .4 4 ) w e r e in te g r a te d in o r ig in a l f o r m w ith th e a r g u m e n t t.
T h e r e s u l t s a r e p lo tte d in F i g u r e s 5.5 and 5.6.
F i g u r e 5.5 sh o w s th e tim e v a r ia tio n of th e p h a s e c o o r d in a te s h, V, 0 and
th e v a r i a b l e s Q, Q f o r Aflim= 5, 2 . F ig u r e 5.6 sh o w s th e a u x i lia r y c h a r a c t e r 1
i s t i c s of th e o p tim a l p r o g r a m : th e t r a j e c t o r y in th e c o o r d in a te s h, x, w h e r e
x is th e h o r iz o n t a l r a n g e , and h, t). F ig u r e 5.6 a l s o g iv e s th e fu n c tio n
^ l( til) . T h e fo llo w in g e s t i m a t e s a r e o b ta in e d f o r th is p r o g r a m .
A l t e r n a t i v e 1.
AÔ.
Alternative 2.
A= 4.1% ;
WIim= 2 ; 1 = 0 .6 % .
5. 2. 5. P r a c t i c a l r e a l i z a t i o n o f th e o p tim a l p r o g r a m
In th e p a r t i c u l a r p r o b le m c o n s id e r e d in th is s e c tio n , th e l i m i t s f o r th e
v a r ia tio n of th e a n g le o f a tta c k a r e a s s u m e d to b e e q u a l in a b s o lu te v a lu e .
140
T h e s o u g h t s o lu tio n in th is c a s e c a n b e r e a l i z e d in m o r e th a n one w ay . L e t
u s c o n s id e r in s o m e d e t a il tw o r e a l i z a t i o n s o f th e o p tim a l p r o g r a m .
A c c o rd in g to one te c h n iq u e , th e a n g le o f a tta c k i s c o n tr o lle d by a l t e r i n g
th e a n g le of p itc h w h ile m a in ta in in g a c o n s ta n t a n g le o f b an k y = 0 o r y = jt.
T h e s e c ti o n s w ith Ta = —îimo r b e a tta in e d by ta k in g cv= —cyiim
o r Cy—CyWxn, r e s p e c ti v e ly . S e c tio n s w ith — )iim< y ,a< y iirn in th is c a s e a r e
s lid in g c o n tr o l s e c ti o n s and a r e a tta in e d by s w itc h in g b e tw e e n th e tw o l i m i t
v a lu e s of th e a n g le o f a tta c k .
A c c o rd in g to a n o th e r te c h n iq u e , th e b a n k in g of th e a i r c r a f t i s c o n tr o lle d
s o th a t Cy=Cyiim o r Cy=—Cyiim. A n u m b e r o f a l t e r n a t i v e v e r s i o n s of th is
te c h n iq u e m a y be c o n s id e r e d , c o r r e s p o n d i n g to d if f e r e n t p r o g r a m s of a l
a l t e r i n g th e a n g le o f b an k . A ll th e s e p r o g r a m s a r e c h a r a c t e r i z e d by th e
s a m e ' ’m e a n " p r o je c tio n o f th e lif t on th e v e r t i c a l p la n e , w h ic h is e q u a l to
Ya, w h e r e a s th e " m e a n " p r o je c tio n of th e l i f t on th e h o r iz o n t a l p la n e is
v a r i a b l e . O ne of th e p o s s ib le p r o g r a m s m a y m a in ta in th e in s ta n ta n e o u s
a n g le o f b an k in a c c o r d a n c e w ith th e r e la tio n
C0SY = J1a , (5 .7 8 )
' lim
a n o th e r p r o g r a m m a y r o ta t e th e a i r c r a f t w ith a v a r i a b l e a n g u la r b a n k in g
v e lo c ity , a th ir d p r o g r a m m a y in d u c e o s c i l l a t o r y m o v e m e n t o f th e a i r c r a f t
in a c e r t a i n r a n g e o f b an k in g a n g le s , e tc . T h is f r e e d o m o f b a n k in g c o n tr o l
c r e a t e s w id e p o s s i b i l i t i e s f o r l a t e r a l m a n e u v e r s .
W ith th e f i r s t c o n tr o l te c h n iq u e , th e s lid in g
c o n tr o l s e c tio n is r e a liz e d by s w itc h in g o v e r
Y_ysl b e tw e e n th e tw o l i m i t a n g le s o f a tta c k in flig h t.
A n e l e m e n ta r y s w itc h in g c y c le is sh o w n in
~l F ig u r e 5.7. T o a s s e s s th e d e p a r t u r e o f th e r e a l
Tc
v a lu e s of th e fu n c tio n a l f r o m i t s lo w e r bound,
l e t u s c o n s id e r th e e x p r e s s io n o f th e f u n c tio n a l
f o r cy = Cyb (hy ri) T h e in te g r a n d n(h, r]) f o r
e v e r y fix e d rj d e p e n d s o n ly on th e a ltitu d e h.
T h e d e v ia tio n s o f th e fu n c tio n a l f r o m i t s
m in im u m a r e d e te r m in e d by th e a ltitu d e
d e v ia tio n s
Ah = h~'h(y])
fo r a ll
L e t u s e s t i m a t e th e m a g n itu d e o f th e s e d e v ia tio n s
f o r d if f e r e n t n u m b e r of c y c le s . T o th is en d , w e in tr o d u c e th e fo llo w in g
a s s u m p tio n s . In th e r a n g e o f a l titu d e s c o r r e s p o n d i n g to th e p e r m i s s i b l e
d e v ia tio n s A h , ^ t h e v e lo c ity V and th e d e n s ity q a r e ta k e n e q u a l to th e o p tim a l
v a l u e s F (ti), q('h); cos 0 « 1; sin 0 ^ 0 . T h e n in th e r e le v a n t r a n g e o f a l titu d e s ,
f o r fix e d t].
X — X = const;
Y = 7 = const.
141
We f u r t h e r a s s u m e an e x p o n e n tia l d e n s ity d is t r ib u t io n in th e a tm o s p h e r e .
Q=Qoe~ fih~'t°), P = 1 . 3 M 0 '<m ' 1.

U n d e r th e s e a s s u m p tio n s , th e e q u a tio n s o f th e r e l a t i v e d e v ia tio n s
A h —h—Tt, A 0 = 0 —0 ta k e th e f o r m
(AA)=
(5 .7 9 )
( A 6 ) = ^ ( ± K - K S),
w h ere
Y* = W (h, V, ~cnin) + (1 - V ) y (h, V - C ^ .
T h e c h a n g e in v e lo c ity d u r in g a s in g le c y c le i s ig n o r e d .
T h e in te g r a n d x(r), h) in (5 .6 5 ) m a y be r e p la c e d in th e r e l e v a n t n e i g h b o r
hood of Tt by th e e x p r e s s io n
x(r), A)-='x-fx/kAA, A //>0, (5 .8 0 )
w h e r e , a s i s r e a d ily s e e n .
(W'2);
(5 .8 1 )
$ ( l/2 ) = a p — 4 - ; a = 0 .5 ; 6 = 0.007.
vz
H en c e w e e a s il y find th e r e l a t i v e d e v ia tio n o f th e f u n c tio n a l f r o m i t s

m in im u m o v e r a c y c le
r c /2
(5 .8 2 )
L e t u s e v a lu a te th e in t e g r a l in (5 .8 2 ) u s in g e q u a tio n s (5 .7 9 ). I n te g r a tio n
o f (5 .7 9 ) o v e r At ( s e e F i g u r e 5.7) g iv e s
A 4 = (K -K S) ^ , 0 < A / < t,
A/i = ( K - Y s ) ^ + ( K - K s ) x ( A / - t ) - ( K — K s) ,
w h ere
T = -L L ± i l T
4 Y c
I n s e r tin g th e e x p r e s s i o n s f o r Ah in (5 .8 2 ) an d in te g r a tin g , w e o b ta in
142
)■
Tc i s r e l a t e d to th e n u m b e r of s w itc h in g s by th e e q u a lity
T N = ilH-h
c 2N 2Tc
T h e to ta l d e v ia tio n 6/ i s th u s e x p r e s s e d by th e r e la tio n
(5 .8 3 )
§1
I
e
6
4
z
0
10 20 30 40 50 Tc sec
FIGURE 5.8
T h e d e p e n d e n c e of 6 /// on Tc is show n in F ig u r e 5 .8. It is r e a d ily s e e n

th a t a p r o g r a m w ith Tc ~ 30 s e c is a l r e a d y s u f f ic ie n t to p r o v id e an a d e q u a te
a p p r o x im a tio n to th e o p tim u m . T h e t r a n s i t i o n tim e b e tw e e n th e tw o lim it
v a lu e s of cy a p p a r e n tly c a n be ig n o re d in c o m p a r is o n w ith Tc .
T h e d e v ia tio n of th e fu n c tio n a l f r o m th e t r u e m in im u m in th e se c o n d
te c h n iq u e d e p e n d s on th e p a r t i c u l a r b a n k in g c o n tr o l p r o g r a m . It s e e m s
th a t, i r r e s p e c t i v e of th e p a r t i c u l a r p r o g r a m , b a n k in g c o n tr o l in v a r ia b ly
g iv e s a b e t t e r r e a l i z a t i o n of th e o p tim u m f o r th e s a m e n u m b e r o f c y c le s ,
s in c e in th is c a s e |c v| = an y tim e . T h e p r o g r a m fix in g th e a n g le o f
b an k in a c c o r d a n c e w ith (5.78) a t ta i n s th e e x a c t lo w e r bound of th e fu n c tio n a l.
5. 2. 6. R em arks con cern in g a con trolled

drag co e ffic ien t
We w ill now s e e how th e s o lu tio n of th e p r o b le m is a f f e c te d if cxo is

c o n t r o l la b le w ith in c e r t a i n l i m i t s
CjcO min ^CxQ^CxO maxi
w h ic h a r e e i t h e r im p o s e d by e n g in e e r in g c o n s t r a i n t s o r a r e f u n c tio n s of
h, V, and cyt a s it fo llo w s f r o m th e c o n d itio n
N (h, V, CxOj (5.84)
(th e c o n s t r a i n t on th e h e a t flu x i s d is r e g a r d e d ) .
143
C o n d itio n (5 .8 4 ) is b e t t e r w r i tte n a s a s y s t e m o f tw o c o n s t r a i n t s
V, Cjq, O X M in ,; (5 .8 5 )
C x { Cx0* c y ) ^ * \r lim (^ i ^ 0 » (5 .8 6 )
w h e r e cx\im{K V) is th e s o lu tio n of th e e q u a tio n
W { h , V, c ,( c r0, c, ))=JV^ m. (5 .8 7 )
L e t u s in v e s tig a te th e in te g r a n d in (5 .6 4 ) u n d e r th e s e c o n s t r a i n t s , ta k in g
cxo to be v a r i a b l e . S in ce /° > 0 , th e m in im u m of th e in te g r a n d w ith r e s p e c t to
cxo, cv c o r r e s p o n d s to th e m a x im u m w ith r e s p e c t to cxo> cu o f th e fu n c tio n
m V, Cx (Cx0, Cy)),
w h ich , f o r an y fix e d h, x\t is a tta in e d on th e m a x im u m v a lu e of cx (cxo, cy),

i. e .,
C x(cX0* Cy ) — Cxlim(^» 'n)-
E q u a tio n (5 .8 7 ) m a y be w r i tte n in th e f o r m
cK cx> cv) ~rcly (5 .8 7 a )

\ S 12
h o (^ 2)]
T h e fu n c tio n cx(cx0, cv) a t ta i n s its m a x im u m , u n d e r c o n s t r a i n t (5 .8 7 a ),
f o r cxo= cx0maX(h, V), w h e r e cxomax is e i t h e r th e s o lu tio n of e q u a tio n (5 .8 4 )
f o r an y fix e d h, V (in th is c a s e cy —0 ) o r th e u p p e r e n g in e e r in g l im it
cxo max f (in th is c a s e \cy \ is o b ta in e d f r o m (5 .8 7 a )).
I n s e r tin g th e r e s u l t s f o r cxo and cy in th e in te g r a n d in (5 .6 4 ), we find th a t
th e fu n c tio n x(r\, h) a t t a i n s i t s m in im u m on h = 7t(j\), w h ich is d e t e r m in e d f r o m
th e c o n d itio n
V , cM n a f , cviim) = N ^ m. (5 .8 8 )
We th u s s e e th a t th e o p tim a l p r o g r a m s w ith c o n tr o lle d cx0 a r e e s s e n t i a l l y

th e s a m e a s w ith a fix e d cxq . If th e fix ed cx0 c o in c id e s w ith cxomin fo r th e c a s e
o f c o n tr o lle d cxo, th e a ltitu d e H(i\) is e v id e n tly g r e a t e r th a n w ith fix ed cx0.
144
Appendix
E stim atin g the lim its of the a d m issib le phase

coord in ates for s y s te m s of d ifferen tia l equations
C o n s id e r a s y s t e m of d i f f e r e n tia l e q u a tio n s
{ / '= / 'O', y', y2, ■ ■ ■, y" ,«);

y2= f 2(t, yt, y2, . . • . y", «); (5 .8 9 )
y " = f n(t, y \ y2, . . • , y", «),

w ith g iv e n in it ia l c o n d itio n s
i/* ( 0 ) = yl , y2(0) = y t ................. y (0) = y l (5 .9 0 )
T h e f u n c tio n s f l (t, y \ y 2, . . . , y n, u) a r e a s s u m e d c o n tin u o u s an d d i f f e r e n

t ia b le in a l l t h e i r a r g u m e n ts , u(t) is a n r - d im e n s i o n a l v e c to r fu n c tio n ( c o n tr o l
fu n c tio n ) w h o se v a lu e s lie in s o m e r e g io n Q(t, y l, y 2, . ..» y n) in th e
r - d im e n s io n a l s p a c e .
We u s e (5 .8 9 ) to fo rm a new s y s t e m of 2n d if f e r e n tia l e q u a tio n s
y[= inf f l (t, y \ y2, . . . , y", «■);

yx,y a...... yn, u
i/i= sup P ( t , (/>, y2........ y \ u)\
y* ,y3 .. . yn,u
y\— inf P ( t , y \ y2, . . . , y n, u); (5 .9 1 )
y x,£/5........yn,u
yl= sup f 2{t, y \ y2........ y \ u)\
y'.y2.......ynu
T h e m a x im a and th e m in im a of th e c o r r e s p o n d in g f u n c tio n s li e in th e
r e g io n
y[(() < y 2<
v (tl )
yl(t)<yn< y n
It c a n be sh o w n th a t th e f u n c tio n s (£), y £ (/) c o r r e s p o n d in g to th e
s o lu tio n of s y s t e m (5 .9 1 ) w ith i n it ia l c o n d itio n s (5 .9 0 ) c o n s titu te c e r t a i n
u p p e r an d lo w e r l i m i t s (n o t n e c e s s a r i l y e x a c t) of th e f u n c tio n s y l (t)
c o r r e s p o n d i n g to a ll th e a d m is s ib l e s o lu tio n s of s y s t e m (5 .8 9 ) w ith th e
s a m e i n i t i a l c o n d itio n s .
We w ill f i r s t e x a m in e th e q u e s tio n of l i m i t s f o r th e c a s e of o n e f i r s t -
o r d e r d i f f e r e n tia l e q u a tio n . T h e fo llo w in g p r o p o s itio n h o ld s tr u e .
145
Lemma. C o n s id e r a f i r s t - o r d e r d if f e r e n tia l e q u a tio n
# = / ( * , * / . «). (5 .9 3 )
w h e r e u i s a n r - d im e n s io n a l v e c t o r fu n c tio n (a c o n tr o l fu n c tio n ) ta k in g i t s
v a l u e s in s o m e r e g io n Q(t, y) of th e r - d i m e n s i o n a l s p a c e . T h e fu n c tio n
f(t, y, u) is a s s u m e d to b e c o n tin u o u s an d d if f e r e n tia b le in a l l i t s a r g u m e n ts .
T h e in it ia l c o n d itio n y(0) =yo i s g iv e n . T h e s o lu tio n y L(t) o f th e e q u a tio n
y1 = inf A f , ») (5 .9 4 )
uSQV.y)
w ith th is in it ia l c o n d itio n p r o v id e s th e e x a c t lo w e r lim i t f o r a l l th e a d
m i s s i b l e v a lu e s o f y an d e v e r y fix e d t £ [0 , t\] f o r th e s o lu tio n s o f e q u a tio n
(5 .9 3 ) w ith th e s a m e i n it ia l c o n d itio n .
In d ee d , th e n e c e s s a r y c o n d itio n s f o r a m in im u m o f y ( t \ ) = y \ in th e
M a y e r p r o b le m f o r e q u a tio n (5 .9 3 ) a r e
/ ? » = 0 - t = —1/», 4,= cP i yL); (5 .9 5 )

R {*, y v «) = sup R ( t , </L, a); ( 5.9 6 )
ueQ(t.y)
4>y, = ° - > 'M<i ) = — 1. (5 .9 7 )
w h ere
R ( t , y, U) = <fyf { t , y , «) + <p,; (5 .9 8 )
®(*i. < / i ) = '/ i + <P(/i. f/i); (5 .9 9 )
<p(t, y) is an a r b i t r a r y c o n tin u o u s an d d if f e r e n tia b le fu n c tio n .

It fo llo w s f r o m (5 .9 5 ), (5 .9 7 ) th a t ty(t) < 0 e v e r y w h e r e on (0, £i), b e in g
a s o lu tio n of a h o m o g e n e o u s l i n e a r e q u a tio n w h ich is n e g a tiv e a t l e a s t a t
o ne p o in t. B ut th e n (5 .9 6 ) i s e q u iv a le n t to (5 .9 5 ), w h ich to g e th e r w ith th e
i n it ia l c o n d itio n # (0 )= r/o d e f in e s a u n iq u e s o lu tio n o f th e e q u a tio n . S in ce
( 5 .9 5 ) — (5 .9 7 ) a r e n e c e s s a r y c o n d itio n s , th e u n iq u e s o lu tio n is of n e c e s s i t y
o p tim a l. T h u s yi (t \) is th e a b s o lu te m in im u m o r th e e x a c t lo w e r l i m i t o f
y(t\) f o r e q u a tio n (5 .9 3 ) w ith th e g iv e n in it ia l c o n d itio n . S in ce /j> 0 is
a r b i t r a r y tim e , y ^ t ) is th e e x a c t lo w e r l im it o f a ll th e a d m is s ib l e v a lu e s
o f y f o r an y t.
It i s s i m i l a r l y p r o v e d th a t th e s o lu tio n o f th e e q u a tio n
yL= sup f ( t , y, u) (5 .1 0 0 )
«€<?(*, y)
w ith th e s a m e c o n d itio n s is th e e x a c t u p p e r bound of y f o r e v e r y fix e d
*>0 .
L e t u s now r e t u r n to s y s t e m s (5 .8 9 ), (5 .9 1 ). If e a c h e q u a tio n f r o m
(5 .8 9 ), s a y th e e q u a tio n f o r y l , i s c o n s id e r e d in d e p e n d e n tly o f th e o th e r
e q u a tio n s , it h a s th e s a m e f o r m a s e q u a tio n (5 .9 3 ), w ith « ( /)a n d th e p h a s e
c o o r d in a te s e x c e p t y l t r e a t e d a s th e c o n tr o l f u n c tio n s . T h e f i r s t an d th e
s e c o n d e q u a tio n in (5 .9 1 ) h a v e th e f o r m o f e q u a tio n s (5 .9 4 ) and (5 .1 0 0 ) in
iA/L
r e l a t i o n to (5 .9 3 ) an d th e y t h e r e f o r e d e t e r m in e th e u p p e r an d th e lo w e r
l i m i t of y l if th e r e g io n of th e v a lu e s o f y l w h e r e th e m a x im u m an d th e
m in im u m a r e s o u g h t c o in c id e s w ith th e r e g io n o f th e a d m is s ib l e v a lu e s of
y l o r e n c lo s e s it.
T h e in it ia l r e g io n o f th e c o o r d in a te s i s g iv e n : in o u r c a s e th is i s th e
p o in t ^*(0) —#<{• A t e v e r y s u c c e e d in g tim e , e q u a tio n s (5 .9 1 ) d e f in e th e
l i m i t s o f th e a d m is s ib l e v a l u e s of y l, so th a t (5 .9 2 ) d e fin e th e r e g io n o f th e
a d m is s ib l e v a lu e s o f th e v a r i a b l e s a t an y tim e , e tc .
H en c e it fo llo w s th a t th e s o lu tio n of s y s t e m (5 .9 1 ) d e f in e s th e l i m i t s of
th e c o m p o n e n ts o f th e s o lu tio n of s y s t e m (5 .8 9 ) a t an y tim e .
Bibliography for Chapter V
1. K r o t o v , V . F . an d V. I. G u r m a n . O p tim a l'n o e r e g u li r o v a n ie u g la
a ta k i k r y la to g o a p p a r a t a iz u s lo v iy a m in im u m a k o n e c h n o i s k o r o s t i
(O p tim u m A n g le - o f - A tta c k C o n tro l of a W in g ed A i r c r a f t u n d e r th e
C o n d itio n o f M in im u m F in a l V e lo c ity ). — In: " I s s l e d o v a n i y a p o
d in a m ik e p o le ta ," M a s h in o s tr o e n ie . 1969.
2. R u l e v , V .A . O n e o b k h o d im y k h i d o s ta to c h n y k h u s lo v iy a k h
e k s tr e m u m a v v a r ia ts io n n y k h z a d a c h a k h d in a m ik i p o le ta l e t a t e l ’n y k h
a p p a r a to v ( N e c e s s a r y and S u ffic ie n t E x tr e m u m C o n d itio n s in
V a r ia tio n P r o b l e m s of A i r c r a f t F lig h t D y n a m ic s ). — I z v e s tiy a
V u zo v , a v ia tio n e n g n g , N o . l . 1967.
3. S i v k o v , G .V . N a iv y g o d n e is h ie m a n e v r y v v e r t i k a l ’n o i p lo s k o s ti
a p p a r a t a p e r e m e n n o i m a s s y (O p tim a l V e r t i c a l - P l a n e M a n e u v e rs
of a V a r y in g M a s s V e h ic le ). — I z v e s tiy a V u zo v , a v ia tio n e n g n g .
N o . 4. 1959.
4. T a r a s o v , E . V. O p tim a P n y e r e z h im y p o le ta l e ta t e l'n y k h a p p a r a to v
(O p tim a l A i r c r a f t F lig h t P o lic i e s ) . — O b o ro n g iz . 19 6 3 .
5. B r e a k w e l l , J . V . T h e O p tim iz a tio n of T r a j e c t o r i e s . — J . S o c.
Ind. A p p l. M a th ., N o. 7. 1959.
6. D y n a s o a r . — A e r o /S p a c e E ngng, 20, N o . 8. 1960
147
Chapter VI
NECESSARY AND SUFFICIENT OPTIMUM
CONDITIONS FOR DISCRETE CONTROLLED
SYSTEMS
§ 6. 1. STA TEM EN T OF THE PRO BLEM
C o n s id e r tw o q u ite g e n e r a l s e t s Y and U w ith e l e m e n ts y an d u , r e s p e c

tiv e ly , and a f in ite n a t u r a l s e q u e n c e >4 = (0, 1, 2, N). T o e v e r y i (-A
c o r r e s p o n d s a s u b s e t V(i) of th e d i r e c t p r o d u c t Y X U .
We f u r t h e r in tr o d u c e a s e t D of th e p a i r s y{t), u(i) o f fu n c tio n s o f th e
i n t e g r a l a r g u m e n t i d e fin e d o v e r A , s u c h th a t f o r a ll i ( ^ A
(y(0, «(/))€ I ' (/); M , ( 6. 1 )

y(* + l ) = / [ * . y(0, « « ] ; *= 0, ^ -1 , (6 .2 )
w h e r e th e fu n c tio n ( o p e r a to r ) /(/, y, u) is d e fin e d o v e r th e d i r e c t p r o d u c t

A X Y X U , m a p p in g it o nto th e s e t Y. It i s a s s u m e d th a t D is n o n e m p ty .
A n e le m e n t y i s s a id to be a s t a t e o f th e s y s t e m o r i t s p h a s e s ta te ; u i s th e
c o n tr o l. T h e f o r m e r d if f e r s f r o m th e l a t t e r in th a t it e n t e r s th e c o n s tr a in t
e q u a tio n s (6 .2 ) w ith d if f e r e n t v a lu e s of i .
We d e f in e a f u n c tio n a l on D,
i = 2 /°l'> y W . « (')], ( 6. 3)
/*=o
w h e r e f°(i, y, u) is a fu n c tio n a l d e fin e d on A x Y x U . L e t th e fu n c tio n a l / be
b o u nded f r o m b elo w on D , i. e ..
inf I — d > — oo.

D
We s e e k a s e q u e n c e { y s ( t ) , u s ( i ) } C D w h ic h m in i m iz e s th e fu n c tio n a l /
o v e r D, i. e ., a s e q u e n c e s u c h th a t /[^s(0» us(i)]—*d f o r S ^ oo. In p a r t i c
u l a r , if t h e r e e x i s t s a n e le m e n t (y ( i ), u( l)) £ D s a tis f y in g th e e q u a lity
I[y(i), u(i)] = d ( th is e le m e n t i s c a lle d th e a b s o lu te m in im iz in g s o lu tio n ), th e
p r o b le m r e d u c e s to th e d e t e r m in a tio n of th is e le m e n t.
148
§ 6. 2. T H E O P T IM U M P R IN C IP L E
We d e fin e a n a r b i t r a r y fu n c tio n a l q>(/, y) on th e d i r e c t p r o d u c t A X Y an d

u s e it in th e fo llo w in g c o n s tr u c tio n s :
R(i, y. « )= i p U + i . / ( ' . y . «)]--?(*'. y, «); (6 .4 )
!!(/')= sup R(i, y, «); (6 .5 )

(U.u)6V(l)
*o(if,. « ) = —<p|l, / ( 0 , y, h ) H - /° (0, y , a); \ (6 .6 )
* . ( y.. u ) = t ( N , y ) - \ - f a( N , y , «); I
m0= in{ % ( y , a); m , = inf O, ( I / , a). (6 .7 )
( y. u)€V(0) (y,u)evm
We w ill p r o v e th e fo llo w in g th e o r e m .
T h e o r e m 6 .1 . ( O p t i m u m p r i n c i p l e ) . C o n s id e r a s e q u e n c e
{ y s ( l ) , u s ( i ) } C D. F o r th is s e q u e n c e to m in im iz e th e f u n c tio n a l / o v e r D it
is s u f fic ie n t, and if f o r a ll i(^ /4 th e fu n c tio n a l f°(/, r/, u) is b o u n d ed on V(i) f o r
e v e r y i £ A, it is a ls o n e c e s s a r y th a t t h e r e e x i s t s a f u n c tio n a l <p(/, y) s a t i s
fy in g th e fo llo w in g c o n d itio n s :
1) a fu n c tio n |i(/) e x p r e s s e d by (6 .5 ) is d e fin e d on {1, 2, N — 1};
2) f o r a ll / = ! , 2, . . . . N — 1,
R I*. I s (0, US (0] -> H (0, 5 - oo; (6 .8 )
3) **>0IfAs(O). a s (0)] m0, | ^
R e m a r k . If th e s e q u e n c e in tr o d u c e d in th e th e o r e m h a s th e f o r m
j7sO)= I7(Oi us(i) = u ( l ) f o r a ll S , th e c o n d itio n o f c o n v e r g e n c e in (6 .8 ), (6.9)
is r e p la c e d by e q u a lity and th e p a i r y( i) , u ( i ) £ D s a tis f y in g th e c o n d itio n s
o f th e t h e o r e m i s t h e a b s o lu te m in im iz in g s o lu tio n .
Sufficiency. We w ill u s e th e le m m a f r o m § 1 .2 . T h e s e t Af o f th is
le m m a is id e n tif ie d w ith /) , and th e s e t jV is id e n tif ie d w ith a new s e t E w h ich
s a t i s f i e s a ll th e c o n d itio n s of D e x c e p t e q u a lit ie s (6 .2 ). On th is s e t we d e fin e
a fu n c tio n a l
L [ y ( i \ it(i)] = ®o(y(0). « (0 ))+ « > ,(!/(AO, u ( N ) ) - «(<)]• <6-1 0 )

I- 1
F o r y ( i ) t u(i) £ D, L=I. T h is is q u ite o b v io u s if w e r e w r i t e (6 .1 0 ) in
th e f o rm
L[y(i\ «(0] = / + 2 <f’I/> <pl'« / ( ‘ —I). y(i —1). “ («'-!)]• (6 . 1 1 )

/-I
S u p p o se th a t t h e r e e x i s t s a f u n c tio n a l <p(/, y) s u c h th a t th e c o n d itio n s o f
th e t h e o r e m a r e s a tis f ie d on s o m e s e q u e n c e { f/s(0 1 Us(0 } C D. T h is s e q u e n c e
th e n m in i m iz e s th e fu n c tio n a l L on E an d , in v i r t u e o f th e le m m a , it a ls o
m in i m iz e s th e fu n c tio n a l / on D. T h e s e c o n d p a r t o f th e th e o r e m —
— n e c e s s i t y — w ill b e p r o v e d in § 6.5.
149
T h e p r e s e n t th e o r e m g e n e r a l i z e s to th e d i s c r e t e c a s e th e s u f f ic ie n t
o p tim u m c o n d itio n s f o r m u la te d f o r c o n tin u o u s p r o c e s s e s . If th e c o n d itio n s
o f § 1 . 1 — § 1 . 2 a r e im p o s e d on th e s e t s Y and U an d on th e f u n c tio n a l <p and
c o n s t r a i n t (6 .2 ) is r e p r e s e n t e d a s a d if f e r e n c e s c h e m e
y ( i + V ) —y (0 = a / [*, y (0. «(*)],

w h e r e A i s a p o s itiv e n u m b e r, w e r e a d ily s e e th a t th e f u n c tio n s R an d (D o f
th e t h e o r e m c o in c id e w ith th e c o r r e s p o n d i n g fu n c tio n s of § 1 .2, a p a r t f r o m
a f a c t o r A and t e r m s of h ig h e r o r d e r in A. It i s s ig n if ic a n t th a t th e
t r a n s i t i o n to a n i n te g r a l a r g u m e n t m a d e it p o s s ib le to r e d u c e to a m in im u m
th e v a r io u s m a th e m a ti c a l c o n c e p ts and c o n s t r a i n t s r e q u ir e d f o r f o r m u la tin g
th e r e s u l t . T h e p r o b le m is now s ta te d in t e r m s o f g e n e r a l s e t s , o p e r a t o r s
d e fin e d on th e s e s e t s , and fu n c tio n a ls .
T h e o p tim u m p r in c i p le f o r m u la te d in th is s e c tio n c a n be a p p lie d to r e d u c e
th e p r o b le m o f m in im iz a tio n o f th e fu n c tio n a l / on D to th e p r o b le m of
m a x im iz in g th e f u n c tio n a l R(i, y , u) on V(i) f o r e v e r y / — l, 2, N — 1 and
th e f u n c tio n a ls 0 O{y> ti) an d ®\(y, u). T h e n e c e s s a r y r e la tio n b e tw e e n th e s e
s u b p r o b le m s is e s ta b l is h e d by an a p p r o p r ia t e c h o ic e o f th e f u n c tio n a l <p(/, y).
T h e c o n d itio n s of th e th e o r e m le a v e u s c o n s id e r a b l e f r e e d o m in c h o o s in g
th e f u n c tio n a l <p(/, y) . By im p o s in g a d d itio n a l c o n s t r a i n t s on cp, we c a n th u s
d e v e lo p v a r i o u s m e th o d s of s o lu tio n w ith in th e f r a m e w o r k of th e p r o p o s e d
f o r m a l i s m , in c lu d in g d i s c r e t e a n a lo g s of th e c o n tin u o u s m e th o d s c o n s id e r e d
in p r e v io u s c h a p t e r s . We w ill now d e s c r i b e s o m e o f th e s e a n a lo g s .
§ 6. 3. B E L L M A N 'S M E T H O D
S u p p o se th a t f o r a ll I th e s e t V(i) c o in c id e s w ith th e s e c tio n V*(l) of th e

c l a s s D fo r a g iv e n i . L e t Vy (i) be th e p r o je c tio n o f Vi on Y, i. e ., th e s e t
o f e l e m e n ts y £ Y e a c h of w h ich c a n be p a i r e d w ith a t l e a s t o ne e le m e n t u
s u c h th a t (y, u) £ V(i); Vu {i, y) is th e s e c tio n of V(i) f o r a g iv e n y £ Vy (l).
On Vy (i) w e c o n s t r u c t th e f u n c tio n a ls
P (/, y ) = sup /?(/, y, u), /=lf 2 , N — 1;

uevu(i,y)
Fo( y ) = inf %(y< «): ( 6 . 12 )

«e VulN,y)
F 1( y ) = inf ®,(y, a), / = 0, 1........ N

vevu(K,y)
an d c h o o s e y(i, y) so th a t
1) th e f u n c tio n a l P(i, y) e x i s ts and is in d e p e n d e n t o f y,
P(i., y ) = c { i ) t 1=1, 2, . . . . N — 1, (6 .1 3 )
w h e r e c{i) i s an a r b i t r a r y fu n c tio n ;
150
2) th e fu n c tio n a l F x(y) e x i s t s and i s in d e p e n d e n t o f y .
F\(y) —ci (6 .1 4 )
w h e r e C\ i s an a r b i t r a r y n u m b e r.
In p r a c tic e , th e s e le c tio n of th is cp a m o u n ts to s o lv in g a C a u c h y p r o b le m
f o r th e f u n c tio n a l e q u a tio n (6 .1 3 ) w ith th e i n it ia l c o n d itio n (6 .1 4 ) in th e
d ir e c t i o n f r o m N t o 0. In d eed , f r o m (6 .1 4 ) w e find
cp(A/, y ) = — \nif°(N, y, u ) + c {j
uevu (N,y)
an d th e n f r o m (6 .1 3 ) f o r i = N — 1
<P(A7-1, y ) = sup {<p[Af, f ( N - 1, y, u ) ] - f ° ( N — 1, y, «)}, (6 .1 5 )

u £ V u ( N - l , y)
e tc . If th e f u n c tio n a l f°(i, y, u) is b o u n d ed on V(i) f o r e v e r y I (zA, it i s

r e a d i l y s e e n th a t th e s o lu tio n <p(/, y) of th is p r o b le m a lw a y s e x i s ts .
L e t {us{i, y) } be th e s e q u e n c e o f th e e l e m e n ts u £ Vu(l> y) on w h ich
RV, y> M.v. i)]-+P(t, y) fo r *= i. 2 , . . . . N - \ (6 .1 6 )
an d
«i(0, y)\^> Fo(y\,

u s ( N , y))^> F , ((/), (6 .1 7 )
an d le t {ys(0 } be th e s e q u e n c e of th e s o lu tio n s o f th e s y s t e m
{/(«' + ! ) = / [ ' . y ( ‘), Us (i, 1/( 1 ))],

1= 0, 1........... N — \; (6 .1 8 )
F 0 [</s (0)] -*■ ma.
T h e s e q u e n c e {ys ('), us(i) = us[l, ys(/)]} b e lo n g s to D and s a t i s f i e s th e

s u f f ic ie n t c o n d itio n s of th e th e o r e m , i. e ., it is a m in im iz in g s e q u e n c e .
T h is m e th o d of s e le c tin g cp(/, y) th u s le a d s to a c o m p le te s o lu tio n o f th e
p r o b le m .
If we ta k e c ( / ) = 0 , and i n t e r p r e t <p(/, y) a s m in u s th e Mg a in fu n c tio n ”,
s e ttin g
*7(0)='/o; HN)=*yN,
th e f u n c tio n a l e q u a tio n (6 .1 3 ) c o in c id e s w ith th e e q u a tio n o f B e llm a n ’s

o p tim u m p r in c i p le / ! / .
§ 6. 4. T H E LA G RANG E - P O N T RY AGIN M E T H O D
L e t Y and U be f in ite - d i m e n s i o n a l E u c lid e a n s p a c e s w ith th e e l e m e n ts

y — (y1, .. ., y n ) an d (u 1, . . . , u r ), r e s p e c ti v e ly ; V(i) = Vv (i) X Vu (i); th e s e t s
151
Vy(0) and Vv (N) a r e th e fix e d p o in ts yQ£ Y an d yN Y, and Vv (i) w ith
/ = 1, 2 , . . . . N— 1 c o in c id e w ith Y; Vu(t), i = 0t , N , c o in c id e w ith U; th e
v e c t o r fu n c tio n s f ( i t y , u) an d th e fu n c tio n s f°(c, y, u) a r e c o n tin u o u s an d
d if f e r e n tia b le on V(i)%i — 0, 1, Af.
In th is m e th o d , th e fu n c tio n <p(/, y) i s so u g h t s im u lta n e o u s ly w ith th e
e x tre m a l u( i)) A s s u m in g <p(/, y) to be c o n tin u o u s an d d i f f e r e n
tia b le w ith r e s p e c t to y f o r e v e r y i and in tr o d u c in g th e v e c t o r fu n c tio n
d e fin e d a s th e g r a d ie n t of cp a t th e p o in ts of th e e x t r e m a l .
*(/?)= y)!dy\v, y (i), (6.19)
we w r i te th e n e c e s s a r y c o n d itio n s f o r a m a x im u m o f R :
—I . . = - ♦ « ) + — H [ / , + ( / + 1), y(i), u(i)] = 0; ( 6. 20)

°y Iy-yU),u-u(i) dy
— W , y, «)| . . = — H [/, *(i + 1 \ y (/). a (/)] = 0, ( 6. 2 1 )

au ly=y(i).u~u(t) ou
w h ere
H \ i , <|>, y, «! = '(</(<, y, u) — f ° ( i , y„ u). ( 6. 22 )
T h e s e e q u a tio n s a r e a d i s c r e t e a n a lo g of th e E u le r - L a g r a n g e e q u a tio n s
o f v a r i a t i o n a l c a lc u lu s in P o n tr y a g in ’s f o r m . T o g e th e r w ith th e b o u n d a ry
c o n d itio n
y (0)=</o; y ( N ) = y N\
■ f ®o[y„. 5 ( 0 ) ] ® - *(!)■£- / ( 0 . y 0, “ (0)) -(-
du du
+ — / ° l°, y0. S(0)] = 0; (6' 23)
±<t>l lyN, u ( N ) ] - ^ ± / o { N , yN, u(N)} = 0,

du du
th e y d e fin e th e e x t r e m a l (i/(i), u (/)) £ D and i|?(/). T o b r in g th e s o lu tio n to

c o m p le tio n , i. e ., to p r o v e th a t th e p a i r u( i ) is in d e e d th e so u g h t a b s o lu te
m in im iz in g s o lu tio n , w e m u s t sh o w th a t t h e r e e x i s t s a fu n c tio n <p(/, y)
s a tis f y in g (6 .8 ), (6 .9 ), and (6 .1 9 ).
Remark. E q u a tio n s (6 .2 1 ) a r e th e n e c e s s a r y c o n d itio n s f o r th e
m a x im u m of R( i , y , u) and a l s o f o r th e m in im u m o f / on D / 3 /. F u r t h e r
n o te th a t in th e d i s c r e t e c a s e , a s d is t i n c t f r o m th e c o n tin u o u s c a s e , th e
m a x im u m of th e H a m ilto n ia n H w ith r e s p e c t to u ( P o n tr y a g i n ’s m a x im u m
p r in c ip le ) d o e s n o t p r o v id e a n e c e s s a r y c o n d itio n f o r th e m a x im u m of
R(i, y, u ) , n o r is it a n e c e s s a r y c o n d itio n o f o p tim u m / 3 / .
§ 6.5. P R O O F O F N E C E S S IT Y O F T H E CO N D ITIO N S
O F T H E O P T IM U M P R IN C IP L E
We w ill now p r o v e th e s e c o n d p a r t of T h e o r e m 6.1, th e n e c e s s i t y .

It fo llo w s f r o m th e le m m a th a t if t h e r e e x i s t s a f e a s ib le a l g o r i th m f o r
5921 152
f o r th e c o n s tr u c tio n of th e f u n c tio n a l (p (/, y) s a tis f y in g th e c o n d itio n s o f th e
le m m a , th e n c o n d itio n s 1 th r o u g h 3 o f th e th e o r e m a r e in d e e d th e n e c e s s a r y
c o n d itio n s f o r an o p tim u m . Such an a lg o r ith m , in p a r t i c u l a r , i s d e fin e d
by B e llm a n ’s m e th o d if th e s e t s Vv (i)> i — 1, 2, . . . , Af, c o in c id e w ith Y and th e
f u n c tio n a l f°(i, y, u) i s bo u n d ed on V(i) f o r e v e r y fix ed i
C o n s id e r th e a u x i lia r y p r o b le m of m in im iz in g th e fu n c tio n a l
7= 2 /° ^ *<o>
/ =0
on th e s e t D of th e p a i r s y ( i ), u(i). H e r e f ° [ i y y, u \ = / ° ( / , y y u) f o r y £ V u(i)
an d f ° = K f o r y £ V y (/); K = q -f sup f ° ( i y y y u); q is a n y n u m b e r s a tis f y in g
th e in e q u a lity (y.u)ev(i)J€A
inf
(y.u)eV(i) /°(*\ y* «)].
T h e s e t D d i f f e r s f r o m D o nly in th e s t r u c t u r e of th e s e t V(l) of th e a d
m i s s i b l e p a i r s (y, u) (^YXU. In d eed , Vv(i) c o in c id e s w ith Y f o r a ll i £ A ,
an d Fu(/, y) c o in c id e s w ith Vu(i, y) f o r y(~ Vv (i) and w ith U f o r y £ Y/Vy(i).
C l e a r ly D C D an d T=I f o r (y(i), u(i ))^D. On an y e le m e n t f r o m D w h ich
d o e s n o t b e lo n g to D , th e fu n c tio n a l T a s s u m e s a v a lu e w h ich i s g r e a t e r
th a n i t s v a lu e on an y e le m e n t of D. In d eed , s u p p o s e th a t th e c o n d itio n
(//(/) , u(i)) (- V(l) b r e a k s dow n fo r K m < N + \ v a lu e s o f /. T h e n
/ — + inf / — sup/ > (m — 1)q > 0 .

D E E
T h is s ig n i f ie s th a t s t a r t i n g w ith s o m e S = s a ll th e e l e m e n ts of th e m i n i
m iz in g s e q u e n c e of th e fu n c tio n a l T lie in D , i. e ., {ys(0> “ s ( 0 } C D f o r S > s
S in ce T = I on D t th is s e q u e n c e i s a l s o a m in im iz in g s e q u e n c e f o r th e
fu n c tio n a l / .
L e t th e f u n c tio n a l <p(/, y) s a tis f y th e c o n d itio n s o f th e th e o r e m fo r th is
p r o b le m . T h e f u n c tio n a ls R(i, y, u ) y d)0> an d G>i c o r r e s p o n d i n g to th is <p(/, y)
c o in c id e on V(i) w ith th e a n a lo g o u s f u n c tio n a ls of th e o r ig in a l p r o b le m , and
s in c e V(i) ( V(i), th e y go on th e s e q u e n c e {ys(0* ws (/) } C D to t h e i r l a r g e s t
( s m a l le s t) v a lu e on V(i), i. e ., th e f u n c tio n a l q)(/, y) s a t i s f i e s c o n d itio n s 1
th r o u g h 3 of T h e o r e m 6.1 f o r th e p r o b le m of m in im iz in g I on D a ls o . S in ce
th e p r o b le m of m in im iz in g T on D b e lo n g s to th e ty p e of p r o b le m s f o r w h ic h
th e e x i s te n c e of th e f u n c tio n a l <p(/, y) is a n e c e s s a r y c o n d itio n , it i s a l s o a
n e c e s s a r y c o n d itio n f o r th e o r ig in a l p r o b le m .
B ibliography for Chapter VI
1. B e l l m a n , R. D y n a m ic P r o g r a m m in g . — P r in c e t o n U n iv . P r e s s . 1957.
2. B u t k o v s k i i , A. G. T e o r iy a o p tim a l’nog o u p r a v le n iy a s i s t e m a m i s
r a s p r e d e l e n n y m i p a r a m e t r a m i ( T h e o r y o f O p tim a l C o n tro l o f
S y s te m s w ith D is tr ib u te d P a r a m e t e r s ) . — N au k a. 1965.
3. P r o p o i , L. I. O p r i n t s i p e m a k s im u m a d ly a d is k r e tn y k h s i s t e m
u p r a v le n iy a (T h e M a x im u m P r i n c i p l e f o r D is c r e te C o n tro l
S y s te m s ). — A v to m a tik a i T e le m e k h a n ik a , 26, No. 7. 1965.
153
S u p p le m e n t
T H E S I M P L E S T F U N C T IO N A L ON T H E S E T OF D IS
C O N T IN U O U S F U N C T I O N S A N D F U N C T I O N S W IT H
A BOUNDED D E R IV A T IV E
T h e c a lc u lu s o f v a r i a t i o n s a r o s e b a c k in th e 1 7th an d th e 18 th c e n tu r y a s a
b r a n c h o f m a th e m a ti c a l a n a ly s i s c o n c e r n e d w ith th e s e a r c h o f o b je c ts ( fu n c tio n s,
c u r v e s , s u r f a c e s , e tc . ) on w h ich a g iv e n in t e g r a l a tta in e d i t s m in im u m o r
m a x im u m v a lu e . B e c a u s e of th e th e n p r e v a ilin g c o n c e p ts in m a th e m a ti c s
an d th e f i r s t p a r t i c u l a r a p p lic a tio n s of th e th e o r y (th e b r a c h is to c h r o n e
p r o b le m , th e p r o b le m of lig h t r e f r a c ti o n , th e p r o b le m of i s o p e r i m e t e r s ,
an d l a t e r th e l e a s t a c tio n p r in c ip le ) , it w a s n a t u r a lly a s s u m e d th a t th e
m in im u m ( o r th e m a x im u m ) w ould be a tta in e d on a s m o o th o r , in th e w o r s t
c a s e , p ie c e w i s e - s m o o th c o n tin u o u s c u r v e , p ro v id e d th e lo w e r bound of th e
fu n c tio n a l e x is te d . T h is c o n v ic tio n p e r s i s t e d u n til th e tim e of W e i e r s t r a s s ,
an d it a c tu a lly s e r v e d a s a b a s is f o r L a g r a n g e ’s m e th o d o f v a r ia tio n s , w h ich
r e d u c e d th e p r o b le m of th e e x tr e m u m of a fu n c tio n a l to a b o u n d a r y - v a lu e
p r o b le m f o r d if f e r e n tia l E u l e r —L a g r a n g e e q u a tio n s w h o se s o lu tio n w as
fo llo w ed by a v e r i f i c a t i o n of a w h o le g a m u t of n e c e s s a r y an d s u f f ic ie n t
c o n d itio n s . A f te r L a g r a n g e , c o n s id e r a b l e c o n tr ib u tio n s to th e th e o r y w e r e
m a d e by L e g e n d re , J a c o b i, W e i e r s t r a s s , and H ilb e r t, w ho d e v e lo p e d
L a g r a n g e ’s m e th o d to a s ta g e w h en it b e c a m e a h ig h ly r e f in e d , p o w e rfu l, and
o fte n i r r e p l a c e a b l e to o l of a n a ly s i s , w h ich to th is d a y c o n s titu t e s th e
f u n d a m e n ta l a l g o r i th m f o r th e s o lu tio n o f v a r ia tio n a l p r o b le m s .
H o w e v e r, W e i e r s t r a s s in h is fa m o u s d is p u t e s w ith R ie m a n n p ro d u c e d
n u m e r o u s e x a m p le s sh o w in g th a t th e m in im u m o f a f u n c tio n a l / (u) , w h e re
u is an e le m e n t of s o m e s e t U, is n o t n e c e s s a r i l y a tta in e d on th e e le m e n ts
of th a t s e t. In p a r t i c u l a r , if u C\, th e m in im iz in g s o lu tio n d o e s n o t a lw a y s
b e lo n g to th e c l a s s C\ of c o n tin u o u s s m o o th fu n c tio n s y( t) an d i t s d e r iv a tiv e ,
an d e v e n th e f u n c tio n its e lf , m a y h a v e d is c o n tin u i tie s . M o r e o v e r, a s we
s h a ll s e e belo w , th e fu n c tio n y(t) m a y f a il to r e p r e s e n t a c u r v e . H en c e it
fo llo w s th a t by c o n fin in g th e a n a ly s i s to Cj w e c a n n o t o b ta in a c o n c lu s iv e
s o lu tio n of th e p r o b le m r e g a r d in g th e a b s o lu te m in im a o f f u n c tio n a ls .
T h is d e v e lo p m e n t w a s a p p a r e n tly r e s p o n s i b le f o r H ilb e r t’s u n c o n v e n tio n a l
a p p r o a c h to th e p r o b le m of th e a b s o lu te m in im u m o f th e f u n c tio n a l
B
(S. 1)
A
154
H e r e j e c t e d th e e n t ir e r e f in e d , s o p h is tic a te d , and r i g o r o u s c l a s s i c a l
a p p a r a tu s of th e m e th o d o f v a r i a t i o n s and d e fin e d th e fu n c tio n a l (S. 1) o n th e
s e t of a ll r e c tif ia b l e c u r v e s . He th e n p r o c e e d e d to c o n s t r u c t th e s e c u r v e s ,
s e le c tin g th o s e w h o se le n g th — th e f u n c tio n a l I — a p p r o a c h e d a lo w e r b o und
(a m in im iz in g s e q u e n c e ). A s th e n e x t s ta g e , h e p r o v e d th e e x i s te n c e of a
lim i t c u r v e and e s ta b l is h e d i t s e x t r e m a l and fu n c tio n a l p r o p e r t i e s . T h is
a p p r o a c h c o n s titu te d th e p r o to ty p e o f a new a lg o r ith m , o n e o f th e s o - c a lle d
d i r e c t m e th o d s of v a r i a t i o n a l c a lc u lu s . We w ill c o n c e n t r a te on tw o t r e n d s
a m o n g th e v a r io u s id e a s p r e v a ilin g in th is fie ld .
1. The th e o re tic a l- f u n c tio n a l trend. T h is tr e n d i s m a in ly
c o n c e r n e d w ith th e e x i s te n c e of an a b s o lu te e x t r e m a l an d th e d e t e r m in a tio n
o f i t s fu n c tio n a l p r o p e r t i e s . A c h a r a c t e r i s t i c f e a tu r e o f th is tr e n d i s th e
l a r g e - s c a l e a p p lic a tio n of th e th e o r y o f fu n c tio n s o f a r e a l v a r i a b l e . T h e
p r o b le m o f m in im u m i s c o n s id e r e d on th e s e t o f a b s o lu te ly c o n tin u o u s
fu n c tio n s , u s in g L e b e s g u e i n t e g r a l s . T h is tr e n d r e a c h e d i t s p e a k in th e
1 9 2 0 —-1 9 3 0 ?s in th e w o rk of T o n e lli and h is s c h o o l in th e W e st an d K ry lo v ,
B o g o ly u b o v , and L a v r e n t ’ev in th e USSR. T o n e lli / 1 7 / sh o w e d , f o r a
n u m b e r o f im p o r ta n t p a r t i c u l a r c a s e s , th a t th e a b s o lu te e x t r e m u m is
a tta in e d in th e c l a s s of a b s o lu te ly c o n tin u o u s fu n c tio n s . L a v r e n t ’ev / 1 0 /
p r o v e d th a t th e p r o b le m of th e a b s o lu te m in im u m of th e fu n c tio n a l
b
( S .2 )
a
b e c o m e s m e a n in g le s s if th e c l a s s of a d m is s ib l e fu n c tio n s i s e x te n d e d to
in c lu d e a ll fu n c tio n s o f bo u n d ed v a r ia tio n . H e a l s o d e r iv e d th e s u f f ic ie n t
c o n d itio n s f o r th e lo w e r lim i t of th e f u n c tio n a l (S. 2) in th e c l a s s of a b s o lu te ly
c o n tin u o u s fu n c tio n s to c o in c id e w ith i t s lo w e r lim it in th e c l a s s of
c o n tin u o u s ly d if f e r e n tia b le fu n c tio n s . L a t e r , th is r e s u l t w a s s tr e n g th e n e d by
T o n e lli. U n d e r c e r t a i n a d d itio n a l c o n d itio n s im p o s e d on F(t, y, y'), th e
m in im iz in g s o lu tio n y(t) h a s a l m o s t e v e r y w h e r e a f i r s t an d a s e c o n d d e r iv a tiv e ,
p r o v id e d it b e lo n g s to th e c l a s s of a b s o lu te ly c o n tin u o u s fu n c tio n s .
B o g o ly u b o v / l / g e n e r a liz e d T o n e l li’s r e s u l t s . We th u s s e e th a t th e
t h e o r e tic a l- f u n c tio n a l sc h o o l p r o d u c e d q u ite s ig n if ic a n t r e s u l t s . H o w e v e r,
th e fu n d a m e n ta l p r o b le m o f th is s c h o o l — n a m e ly th e p r o b le m o f e x i s te n c e
o f th e a b s o lu te e x tr e m u m and th e f u n c tio n a l p r o p e r t i e s of e x t r e m a l s —
r e m a i n s on th e w h o le u n s o lv e d e v e n f o r th e s i m p l e s t fu n c tio n a l (S. 2), n o t
to m e n tio n th e p r a c t i c a l c o n s tr u c tio n of e x t r e m a l s . It i s n o t c l e a r u n d e r
w h a t c o n d itio n s th e e x t r e m a l b e lo n g s to th e c l a s s o f a b s o lu te ly c o n tin u o u s
f u n c tio n s and w h en it d o e s n o t b e lo n g to th is c l a s s an d , if th e l a t t e r a p p lie s ,
w h e th e r o r n o t th e c l a s s o f th e a d m is s ib l e o b je c ts c a n be e x te n d e d so a s
to in c lu d e th e o b je c ts on w h ic h th e m in im u m is a tta in e d .
T h e m a t e r i a l o f th e fo llo w in g s e c ti o n s in d ic a t e s th a t th e s e p r o b le m s
c a n n o t be so lv e d a t a ll by tr a d i t i o n a l t h e o r e tic a l- f u n c tio n a l m e th o d s . A f t e r
a ll, th e c h o ic e of th e c l a s s of a d m is s ib l e o b je c ts i s p r e s c r i b e d n o t by th e
i n n e r lo g ic of th e v a r i a t i o n a l c a lc u lu s b u t by e n t i r e l y e x t r a n e o u s f a c t o r s
s te m m in g f r o m th e e le m e n ts of th e th e o r y o f fu n c tio n s of a r e a l v a r i a b l e .
T h u s , th e a b s o lu te ly c o n tin u o u s fu n c tio n s a r e a d o p te d a s th e c l a s s o f a d
m i s s i b l e o b je c ts b e c a u s e th e L e b e s g u e i n t e g r a l i s d e fin e d on th is c l a s s .
B u t th is is c l e a r l y o f no r e le v a n c e f o r th e fu n d a m e n ta l p r o c e s s e s o f th e
c a lc u lu s o f v a r ia tio n s .
155
T h e a b o v e c o n s id e r a t io n s r e v e a l th e lim ita tio n s o f th e t h e o r e t i c a l -
fu n c tio n a l m e th o d s , b u t in no w ay d e t r a c t f r o m t h e i r v a lu e , s in c e in a
n u m b e r of im p o r ta n t c a s e s th e y p r o v id e th e b e s t an d , p o s s ib ly , th e o n ly
to o l f o r th e s o lu tio n o f th e p r o b le m o f th e e x is te n c e an d th e p r o p e r t i e s o f
a b s o lu te e x t r e m a l s .
2. T h e s e c o n d tr e n d in th e th e o r y of d i r e c t m e th o d s c a n be d e s c r ib e d a s
th e a p p l i e d t r e n d . T h e d e t e r m in a tio n of a m in im iz in g s e q u e n c e
d i r e c t l y in v o lv e s th e so u g h t f u n c tio n on w h ic h th e e x t r e m u m is a tta in e d and
c a l l s f o r a p p r o x im a tin g th is fu n c tio n by a s u ita b le s e q u e n c e . If a m in im iz in g
s e q u e n c e c a n be e f f e c tiv e ly c h o s e n , w e a u to m a tic a lly p r o v e th e e x i s te n c e
an d o fte n a p p r o a c h (a lth o u g h p u r e ly th e o r e tic a ll y ) w ith an y d e s i r e d a c c u r a c y
to th e s o lu tio n of th e p r o b le m . S in ce th e E u l e r —L a g r a n g e e q u a tio n s a r e
a n a ly ti c a lly s o lv a b le in e x c e p tio n a l c a s e s on ly , th is d i r e c t a p p r o x im a tio n is
g e n e r a lly m o r e e f f e c tiv e th a n th e s o lu tio n of th e c o r r e s p o n d in g b o u n d a ry
p r o b le m . T h e se c o n d tr e n d i s th u s m a in ly c o n c e r n e d w ith th e v a r io u s
a s p e c t s of th e p a r t i c u l a r c h o ic e of m in im iz in g s e q u e n c e s an d t h e i r
co n v erg en ce.
H is to r ic a ll y , th e f i r s t m e th o d of c o n s tr u c tio n o f a m in im iz in g s e q u e n c e
w a s d e v e lo p e d by E u le r (h is f in ite - d i f f e r e n c e m e th o d ). A f te r tw o c e n t u r i e s
in o b liv io n , it w a s r e s u r r e c t e d and r ig o r o u s ly d e v e lo p e d by S o v iet m a th e m a
tic ia n s , m a in ly L y u s te r n ik / l l / , and a l s o P e tr o v s k ii, K ry lo v , B o g o ly u b o v .
In th e W est, th is m e th o d w a s ta k e n up by C o u r a n t 's s c h o o l / 8 / .
A p o w e rfu l d i r e c t m e th o d f o r th e s o lu tio n of v a r ia tio n a l p r o b le m s is
R i t z 's m e th o d , f i r s t a d v a n c e d in / 1 6 /. R itz c o n s id e r s a n n - p a r a m e t r i c
f a m ily o f fu n c tio n s y n (t, a ), a = {a]7 a2, an}- On th e s e f u n c tio n s , th e
fu n c tio n a l I(y) is r e d u c e d to a f u n c tio n of a f in ite n u m b e r o f v a r i a b l e s . T h e
e x t r e m u m / ( # n) = /n is found by d e t e r m in in g th e c o e f f ic ie n ts f r o m th e
e q u a tio n s
j Z~°- ' - 1* 2.........-■
In o r d in a r y p r o b le m s , th e s e q u e n c e o f th e s e e x t r e m a l fu n c tio n s y n (t) w a s
a s s u m e d to go in th e l i m i t to a fu n c tio n e x t r e m iz in g th e f u n c tio n a l I ( y ) . T h is
m e th o d found w id e a p p lic a tio n s in a v a r i e t y of p r o b le m s . P o in c a r e r e f e r r e d
to it a s a m e th o d f o r th e e n g in e e r , th u s s t r e s s i n g i t s o u ts ta n d in g a p p lie d
im p o r ta n c e .
V e ry e x te n s iv e l i t e r a t u r e , b o th S o v ie t and W e s te rn , is c u r r e n t l y a v a ila b le
on R i t z 's m e th o d . Of p a r t i c u l a r m e r i t i s th e stu d y o f K ry lo v an d T a m a r k in
/ 9 / w ho e s ta b l is h e d a t h e o r e t i c a l fo u n d a tio n f o r R i t z 's m e th o d by p r o v in g th e
c o n v e r g e n c e of th e m in im iz in g s e q u e n c e f o r a w id e r a n g e of im p o r ta n t
a p p lie d p r o b le m s .
T h e c o m p le te s o lu tio n of th e v a r i a t i o n a l p r o b le m by th e d i r e c t m e th o d
is o b ta in e d by a c o m b in a tio n of th e tw o s c h o o ls of th o u g h t and in c lu d e s th e
fo llo w in g s ta g e s :
1. C o n s tr u c tio n of a m in im iz in g s e q u e n c e { y n (/)}.
2. P r o o f o f th e c o n v e r g e n c e of { yn (t) } to a fu n c tio n y(t) w h ich b e lo n g s
to th e c l a s s of a d m is s ib l e c u r v e s .
3. P r o o f of th e c o n v e r g e n c e
inf/(y(0) = Hm/(y,W).
y(t) n-+ ~
156
S ig n ific a n t d if f ic u ltie s a r e e n c o u n te re d a l r e a d y in th e f i r s t s ta g e , s in c e
w e h a v e to s o lv e a s y s t e m o f n f in ite e q u a tio n s in n u n k n o w n s f o r e v e r y fix ed
n —>oo. S in ce th e s e e q u a tio n s , a s a r u le , a r e n o n lin e a r , new s o lu tio n s m a y
a r i s e a t e v e r y s u c c e s s iv e s ta g e , g r e a t l y c o m p lic a tin g th e s itu a tio n . In
g e n e r a l, a d i r e c t s o lu tio n of th e v a r i a t i o n a l p r o b le m is m o r e in v o lv e d th a n
th e s o lu tio n by th e m e th o d of v a r ia tio n s , s in c e in a d d itio n to o b ta in in g th e
e x t r e m a l w e a t th e s a m e tim e s o lv e th e m o r e g e n e r a l p r o b le m o f i t s
a p p r o x im a tio n by s o m e g iv e n s y s t e m of fu n c tio n s .
H o w e v e r, th e s o lu tio n of p r o b le m s r a i s e d by W e i e r s t r a s s 's d is c o v e r y
d o e s n o t n e c e s s a r i l y fo llo w H i l b e r t ’s p a th : th e m e th o d o f v a r i a t i o n s c a n b e
im p r o v e d and g e n e r a liz e d to a w id e r c l a s s of a d m is s ib l e c u r v e s . In th is
c a te g o r y w e h a v e th e d e r iv a tio n o f th e w e ll-k n o w n E r d m a n n —W e i e r s t r a s s
c o n d itio n s a t th e c o r n e r p o in ts of th e e x t r e m a l an d th e th e o r y of d e e p e r d i s
c o n tin u itie s d e v e lo p e d by th e S o v iet m a th e m a ti c ia n H a z m a d z e / 1 3 /.
R a z m a d z e p r o c e e d e d f r o m W e i e r s t r a s s 's w e ll-k n o w n e x a m p le : th e in t e g r a l
j-i
/ = | Py'*dt
—1
w ith th e b o u n d a ry c o n d itio n s y ( — 1 ) = — 1, y ( 1) = 1 h a s a z e r o lo w e r bou n d .
In d ee d , th e v a lu e of th is in te g r a l on th e f a m ily o f c u r v e s
g o e s to z e r o f o r e —-0 , but th e lo w e r bound is n o t a tta in e d f o r an y c o n tin u o u s

c u r v e . In o th e r w o rd s , th e p r o b le m h a s no c l a s s i c a l s o lu tio n . T h e l i m i t
o f th e f a m ily y(t, e) f o r e —>0 i s th e d is c o n tin u o u s fu n c tio n
t< 0
y
*>o.
an d I ( y ) = 0. T h u s, if th e c l a s s of a d m is s ib l e fu n c tio n s i s e x te n d e d to
in c lu d e fu n c tio n s w ith a d is c o n tin u ity of th e f i r s t k in d , th e in t e g r a l c a n be
m in im iz e d . R a z m a d z e r a i s e d a g e n e r a l q u e s tio n : in w h at c a s e s a p r o b le m
w h ic h is u n s o lv a b le in th e c l a s s of c o n tin u o u s f u n c tio n s h a s a s o lu tio n on a
w id e r s e t o f c u r v e s w ith one d is c o n tin u ity p o in t.
A n in t e g r a l of a d is c o n tin u o u s fu n c tio n i s d e fin e d a s a s u m o f th e i n t e g r a l s
o v e r th e c o n tin u o u s s e c ti o n s :
<(«/)= J F (t, y, y ' ) d t = J F ( t , y, y' )dt-\- j F (t, y , y' )dt , (S. 3)

a a <o+0
w h e r e to i s a p o in t o f d is c o n tin u ity o f th e f i r s t k in d o f y(t). T h e f u n c tio n a l
o f th e d is c o n tin u o u s fu n c tio n y(t) d e fin e d in t h i s w ay s a t i s f i e s th e c o n d itio n
I ( y ) = \ \ m l (c„), (S. 4)
n-+ oo
157
w h e r e {cn } (^C\ i s an a p p r o x im a tin g s e q u e n c e of c o n tin u o u s s m o o th f u n c tio n s ,
o n ly if w e h a v e a t th e d is c o n tin u ity p o in t t0
/{to, y, o, l) = !im p F ( t 0, y, — ) = 0 . (S.5)

p -*o \ p )
T h e n e c e s s a r y c o n d itio n s to be s a tis f ie d by th e e x t r e m a l a t th e d i s
c o n tin u ity p o in t a r e d e r iv e d .
^ V k r-o — ^V l/0+o = ° '

(S. 6)
^r|/0_o = / 7|/0+o.
A f te r th a t, th e th e o r y of s u f f ic ie n t c o n d itio n s is d e v e lo p e d .
In g e n e r a l, w h en c o n d itio n (S. 4) d o e s n o t r e s t r i c t th e c l a s s of a d m is s ib l e
c u r v e s , th e d is c o n tin u ity i s " f lo a tin g " , i. e ., n o t fix e d . In p a r t i c u l a r c a s e s ,
w h en c o n d itio n (S. 5) is s a tis f ie d o n ly in is o la te d p o in ts o f th e s e g m e n t
[a, b\, th e d is c o n tin u ity p o in t is fix e d ( W e i e r s t r a s s 's e x a m p le b e lo n g s to
th is c a te g o r y ) .
F u r t h e r d e v e lo p m e n t of th e m e th o d of v a r i a t i o n s a lo n g th e l in e s la id dow n
by R a z m a d z e w a s u n d e r ta k e n by N ik o la d z e / 1 2 / , E r m i l i n /2 , 3, 4 /, K e r im o v
/5 , 6, 7 /. K ry lo v g e n e r a liz e d th e fu n d a m e n ta l le m m a o f v a r i a t i o n a l c a lc u lu s
u s in g R a z m a d z e 's r e s u l t s .
R a z m a d z e 's m a in a c h ie v e m e n t, in o u r o p in io n , is th e in c lu s io n o f c u r v e s
c o n ta in in g a f in ite n u m b e r of v e r t i c a l s e g m e n ts a m o n g th e a d m is s ib l e
c u r v e s . T h is g e n e r a liz a t io n in i t s e l f d o e s n o t r e s o lv e th e d iffic u lty , b u t it
c o n s titu t e s an im p o r ta n t s te p f o rw a r d to w a rd th e a p p lic a tio n o f a new
a lg o r ith m , d e s c r ib e d below , w h ich e n s u r e s a c o m p le te s o lu tio n o f th e
p r o b le m of th e a b s o lu te m in im u m f o r a w id e c l a s s o f f u n c tio n a ls . T h is
a l g o r i th m in c lu d e s R a z m a d z e 's g e n e r a l c a s e a s a p a r t i c u l a r c a s e and
e s s e n t i a l l y a d v a n c e s th e s o lu tio n of th e p r o b le m f o r f u n c tio n a ls n o t in c lu d e d
in th is c l a s s . P a r t i c u l a r r e s u l t s of R a z m a d z e 's m e th o d and th e e n t i r e
th e o r y o f n e c e s s a r y and s u f f ic ie n t c o n d itio n s lo s e m u c h of t h e i r v a lu e in
t h i s c a s e , s in c e b o th th e a b s o lu te and th e s tr o n g lo c a l m in im a a r e a tta in e d
on th e (y, z) m in i m a l s c o n s tr u c te d by th is a l g o r i th m and o n ly on th e m .
R a z m a d z e 's th e o r y r e t a i n s i t s o r ig in a l v a lu e o n ly f o r th e p a r t i c u l a r c a s e of
fix e d d is c o n tin u ity p o in ts .
A n o th e r, a lth o u g h l e s s s ig n ific a n t, p o in t to be r e m e m b e r e d is th a t
d e f in itio n (S. 3) of a f u n c tio n a l on a d is c o n tin u o u s fu n c tio n is by no m e a n s
u n o b je c tio n a b le . It s u f f ic e s to n o te th a t th is d e f in itio n i s m e a n in g l e s s e v e n
f o r th e s i m p l e s t p r o b le m o f a c u r v e of m in im u m le n g th , s in c e it ig n o r e s
th e le n g th of th e v e r t i c a l s e c tio n s .
A m o r e g e n e r a l an d m o r e n a t u r a l d e f in itio n o f a fu n c tio n a l on d is c o n tin u o u s
fu n c tio n s w ill be g iv e n b elo w . It w ill in c lu d e , a s a p a r t i c u l a r c a s e , th o s e
p r o b le m s f o r w h ich d e f in itio n (S. 3) is m e a n in g fu l.
A new m e th o d is p r o p o s e d f o r th e s o lu tio n of v a r ia tio n a l p r o b le m s . T h is
m e th o d e s t a b l i s h e s th e e x i s te n c e o f a n ew c l a s s o f m in im iz in g s o lu tio n s ,
w h ich a r e no l e s s ty p ic a l th e n th e c l a s s i c a l E u l e r —L a g r a n g e e x t r e m a l s , but
a r e of f u n d a m e n ta lly d if f e r e n t n a tu r e . U n lik e th e E u l e r —L a g r a n g e e x t r e m a l s ,
th e s e new e x t r e m a l s a r e n o t s o lu tio n s of a n y b o u n d a ry v a lu e p r o b le m . T h e i r
f in ite e q u a tio n s a r e w r i tte n d i r e c t l y in th e f o r m o f th e n e c e s s a r y c o n d itio n s
of e x tr e m u m . T h e new m in im iz in g s o lu tio n s a r e n o t n e c e s s a r i l y fu n c tio n s :
158
th e y m a y b e lo n g to an e n t i r e l y new c l a s s of o b je c ts , c a lle d (y, z) c u r v e s .
If z(t) = y'(t) e v e r y w h e r e , th e (y, z) c u r v e is an o r d in a r y p ie c e w is e -
s m o o th fu n c tio n . If, h o w e v e r, y'(t) =£z(f), th e (y, z) m in im a l is n o t
a fu n c tio n , bu t if it i s know n, i. e ., th e p a i r o f f u n c tio n s y ( t ) y z(t) a r e know n,
a m in im iz in g s e q u e n c e of p ie c e w is e - s m o o th c u r v e s a p p r o x im a tin g to th e
(y, z) m in im a l i s a l s o know n. T h e new m e th o d is c o n s id e r e d fo r th e p a r t i c
u l a r c a s e of th e s i m p l e s t f u n c tio n a l
/ = j F((, y, y' )dt . (S. 7)
y ( a ) = a 1; i/(6)=& i.
T h is fu n c tio n a l is tr a d i tio n a l ly u s e d a s a to u c h s to n e f o r a ll n ew t h e o r i e s
in v a r ia tio n a l c a lc u lu s (in m a n y c a s e s it is s u f f ic ie n t to r e j e c t a th e o ry ) ,
and m o r e th a n h a lf th e p u b lic a tio n s on th e s u b je c t a r e c o n c e r n e d w ith it.
If th e fu n c tio n
/ ( ' . y, Pi y< --•)
f o r pz^= 0 e x i s t s and is c o n tin u o u s in p in th e (t, y) p la n e , th e p r o p o s e d

a l g o r ith m g iv e s a c o m p le te s o lu tio n of th e p r o b le m o f th e a b s o lu te m in im u m
o f th e fu n c tio n a l (S. 7). In th is c a s e , th e m in im u m is a tta in e d on th e a b o v e -
m e n tio n e d m in im a ls of th e new ty p e . An e x c e p tio n a lly s im p le n e c e s s a r y
and s u f f ic ie n t c o n d itio n of m in im u m is d e r iv e d in th e f o r m of a m in im u m
of s o m e know n fu n c tio n S(^, y, z) w ith r e s p e c t to y and z f o r e v e r y fix ed
[a, In o th e r c a s e s , th e m in im u m m a y be a tta in e d b o th on th e (y, z)
m in im a ls and on th e c l a s s i c a l E u l e r —L a g r a n g e e x t r e m a l s .
N ext we c o n s id e r th e im p o r ta n t a p p lie d p r o b le m of th e m in im u m of th e
f u n c tio n a l (S. 7) on th e s e t of f u n c tio n s w ith a b o u n d ed d e r iv a tiv e , i. e.,
fu n c tio n s s a tis f y in g in e q u a lity c o n s tr a in ts . It is sh o w n th a t in th is c a s e we
a r e a g a in d e a lin g w ith m in im a ls w h ich a r e a n a lo g s of th e (y, z) m in im a ls
of th e s i m p l e s t fu n c tio n a l, but th e r o le of th e v e r t i c a l d i r e c t i o n s is a s s u m e d
by th e l im it d i r e c t i o n s
y ' = U ( t y) or y'=h(t> y)-
U n d er c e r t a i n c o n d itio n s , th e m in im u m in th is p r o b le m is a tta in e d on
r e g u l a r E u le r e x t r e m a l s .
T h e new m e th o d is a p p lie d to s o lv e s o m e m o d e rn v a r ia tio n a l p r o b le m s
of a p p lie d m e c h a n ic s . T h e s e s o lu tio n s a r e of in d e p e n d e n t i n t e r e s t and,
m o r e o v e r , p ro v id e an e x c e lle n t il l u s t r a t i o n of th e a p p lic a tio n of th e new
m e th o d and th e a c tu a l f o r m of th e in ta n g ib le (y, z) m in im a ls .
Some introductory propositions
L e t a fu n c tio n a l / s a tis f y in g th e c o n d itio n
i n f / ( w ) > — 00 (S. 8)
ueM
be d e fin e d on s o m e s e t M.
159
We a r e lo o k in g f o r th e a b s o lu te m in im u m o f I (u) o v e r Af, i. e ., f o r an
o b je c t u w h ic h s a t i s f i e s th e e q u a lity
I ( u ) = i nil (u) . (S. 9)
T h e e l e m e n ts of th e s e t M do n o t n e c e s s a r i l y in c lu d e th e e le m e n t u on
w h ic h th e lo w e r bound i s a tta in e d . In th is c a s e , w e s h a ll t r y to e m b e d Af
in a w id e r s e t Af ) Af in w h ic h th e m in im u m e le m e n t u is c o n ta in e d ,
a p p r o p r i a t e l y e x te n d in g th e d e f in itio n of th e f u n c tio n a l / on th e s e t M .
T h e e x te n s io n (th e d e f in itio n o f / on Af) o n ly h a s to m e e t th e fo llo w in g
re q u ire m e n ts :
1) on th e e l e m e n ts of Af it c o in c id e s w ith th e o r ig in a l fu n c tio n a l, i. e .,
J~m («) fc Af;
2) if u (- M t h e r e e x i s t s a s e q u e n c e {u n } Q Af s u c h th a t
I ^ ( u ) = U m ( u n). (S. 10)
If a s u ita b le s e t M is g iv e n (in th e p a r t i c u l a r c a s e u £Af it c o in c id e s

w ith Af), th e e le m e n t u £ A f m in im iz in g th e f u n c tio n a l I ^ (u ) on M h a s b e e n
d e t e r m in e d , an d th e s e q u e n c e {tz„} Q M s a tis f y in g th e c o n d itio n
/ (w) = lim / (a„) (S. 11)

n—>°°
h a s b e e n c o n s tr u c te d , w e c o n s id e r th e p r o b le m o f th e a b s o lu te m in im u m
o f th e f u n c tio n a l on th e s e t M so lv e d .
T h e e le m e n t u £ M is c a lle d th e a b s o lu te m in im iz in g s o lu tio n ( o r th e
a b s o lu te m in im a l) of th e fu n c tio n a l / on M . T h e s e q u e n c e {u n } is a
m in im iz in g s e q u e n c e , and th e s e t M i s an / - e x te n s io n o f th e s e t M .
Lemma. L e t u (- M s a tis f y (S .9). T h e n
/ («) = inf I(u). (S. 12)
u£M
C o n v e r s e ly , if u s a t i s f i e s (S. 12), (S. 9) h o ld s t r u e . L e t (S. 9) be tr u e ,
an d s u p p o s e th a t (S. 12) is n o t s a tis f ie d . T h e n t h e r e e x i s t s an e le m e n t
v M s u c h th a t I ( v ) 0.
In v i r t u e o f th e d e f in itio n of / on M , t h e r e e x i s t s a s e q u e n c e {u}}} ( M
s u c h th a t |/( u ) — I (un) | < P f o r s u f f ic ie n tly l a r g e n and t h e r e f o r e I ( u n) < / (u).
T h e l a s t in e q u a lity c o n t r a d ic t s (S. 9), h o w e v e r. L e t (S. 12) be tr u e . S in ce
M CM , w e h a v e / ( w ) < /( u ) , u £ M . On th e o th e r h an d , a c c o r d in g to th e
d e f in itio n o f / on M , .th e r e e x i s t s a s e q u e n c e {un } C M s u c h th a t I ( u n) —f ( u ) .
H en c e, in v i r t u e o f th e d e f in itio n of th e lo w e r bound, w e o b ta in (S. 9).
T h is le m m a sh o w s th a t th e m in i m a l s o f th e fu n c tio n a l / on th e s e t s Af
an d Af c o in c id e , s o th a t in s te a d of m in im iz in g th e f u n c tio n a l on th e s e t Af
w e m a y m in im iz e / on Af, if th is p r e s e n t s a n y a d v a n ta g e s .
5921 160
§ S. 1. T H E S IM P L E S T F U N C T IO N A L
1 .1 . S ta te m e n t o f th e p r o b le m
C o n s id e r th e m in im u m of th e fu n c tio n a l
/( # ) = ■ /F ( f . y , y')dt (S.13)
a
on th e s e t U o f c u r v e s w ith th e fo llo w in g p r o p e r t i e s :
1) th e c o o r d in a te s t an d y of th e p o in ts of th e c u r v e u £ V m a y be r e
p r e s e n te d a s c o n tin u o u s fu n c tio n s of s o m e p a r a m e t e r k ;
2) th e fu n c tio n y( t) i s c o n tin u o u s a lo n g th e c u r v e u an d i s s in g le - v a lu e d
e v e r y w h e r e on [a, b\, e x c e p t a f in ite s e t of p o in ts {ik} (/= 1 , 2, k)t
w h e r e i t m a y h a v e d is c o n tin u i tie s of th e f i r s t k in d ;
3) th e d e r iv a tiv e y' (t ) o f th e fu n c tio n y(t) i s c o n tin u o u s an d b o u n d ed on
th e s e t [a, 6]/{p<};
4) th e f u n c tio n y( t) s a t i s f i e s th e c o n d itio n
y ( a ) = a x\ y ( b ) = b u (S. 14)
w h e r e a\ and b\ a r e know n;
5) th e c u r v e s u £ U lie in th e r e g io n B on th e (t, y) p la n e w h e re th e
fu n c tio n F(t, y f z ) i s c o n tin u o u s in a ll th e th r e e a r g u m e n ts t o g e th e r w ith th e
d e r iv a tiv e s Ft, Fv% Fz f o r a n y z ;
6) th e u p p e r an d th e lo w e r b o u n d a r ie s T i(/)a n d T2(t) of th e r e g io n B, if
th e y e x is t, h a v e th e p r o p e r t i e s 1 — 3 of th e s e t U.
D e f i n i t i o n 1. T h e r ig h t- h a n d s id e of (S. 13) i s i n t e r p r e t e d a s a lin e
in te g r a l a lo n g th e c u r v e u in th e d ir e c tio n f r o m th e p o in t A (a, a\) to th e
p o in t B(b, bi), i. e ..
/ ( « ) = J / ( * . y, y)dk, (s. 15 )
a
w h ere
f ( t . y, P> y ) = p F { t , y, -j-'j ; (S. 16)
k is th e p a r a m e t e r ta k in g th e v a lu e s k = a f o r t = a, y = a\ an d &= p > a f o r
t = b, y = b\ w h ic h i n c r e a s e s a lo n g u f r o m A to B.
In v i r t u e o f th e ab o v e p r o p e r t i e s o f th e f u n c tio n F ( t y y , z) an d th e s e t u ,
th e l a t t e r c o n ta in s c u r v e s on w h ich th e fu n c tio n a l i s f in ite . F o r th e p r o b le m
to be m e a n in g fu l, w e h a v e to a s s u m e f u r t h e r th a t
inf I(u) = m > —oo. (S.17)

ueu
T a k in g d k = d t f o r and d k = \ d y \ f o r f = | i „ /= 0 , 1, k, w h e r e
Iio~at \ih = b, w e o b ta in f r o m D e fin itio n 1
161
n
(S. 18)
; (« )= 2 ^ + 2 ® y^ ’ y
i -0 /-0
w h ere
(S. 19)
M
-/+ 0
y
®(*. y , i/) = | W p , 6, sign (y (/)) rflj; (S. 20)
y = y ( t +°)< y = y V —Qy- (S. 21)

U^(/, y, sign {y — y)) = lim / (/, y, p , 1);
lpl->0, sign p = sign (y — y). (S. 22)
B e c a u s e o f th e p r o p e r t i e s of th e fu n c tio n F(t, y , z) and th e s e t U , th e i n t e g r a l s
//'a lw a y s e x i s t. T h e r e f o r e I(u) e x i s t s on th o s e and o n ly th o s e c u r v e s u £ U
f o r w h ic h th e i n t e g r a l s (S. 20) e x i s t on th e v e r t i c a l s e c tio n s (if an y ).
L e t th e c u r v e u £ U be th e m in im a l o f I ( u ) i n U, i. e ., / (u) —m i l ( u ) . By
(S. 17), I (u ) e x i s t s and th e e x is te n c e of th e i n t e g r a l s yu yi) on th e
v e r t i c a l s e c ti o n s t h e r e f o r e m a y be r e g a r d e d a s th e f i r s t n e c e s s a r y c o n d itio n
to be s a tis f ie d by th e m in im iz in g s o lu tio n u.
T h i s o n e c o n d itio n e n a b le s u s, in s o m e h ig h ly im p o r ta n t p a r t i c u l a r c a s e s ,
to a s s e s s th e q u a lita tiv e c h a r a c t e r of th e m in im u m an d , in p a r tic u la r- , th e
p o s s ib le e x i s te n c e of d is c o n tin u itie s and t h e i r p o s itio n .
T h e g e n e r a l c a s e in o u r t r e a t m e n t is s u c h th a t th e c o n d itio n o f e x i s te n c e
of <D(t, y, y) a t th e p o in ts o f d is c o n tin u ity d o e s n o t im p o s e an y a d d itio n a l
c o n s t r a i n t s on th e c l a s s of a d m is s ib l e c u r v e s , i. e ., <X>(^ y, y) e x i s t s f o r
a ll t, y, y £ B .
1. 2. R elation to the problem of the absolute m inim um

in the c la s s of p ie c e w ise -sm o o th functions Cj
In th e c l a s s of p ie c e w i s e - s m o o th fu n c tio n s Cu D e fin itio n 1 c o in c id e s

w ith th e c o n v e n tio n a l c l a s s i c a l R ie m a n n in t e g r a l / ( a ) , / / £ Cj.
L e t th e o b je c t u £ U be th e a b s o lu te m in im a l o f I on U, w h e re U i s s o m e
/ - e x t e n s i o n of U. T h e s e t U i s th e / - e x t e n s i o n o f th e c l a s s C jif f o r e v e r y
cu rv e U t h e r e e x i s t s a s e q u e n c e {cn } C Ci s u c h th a t
/ „ ( « ) = lim f ( c n) (S. 23)
H e r e th e s u b s c r i p t u in d ic a t e s th a t th e f u n c tio n a l i s ta k e n in th e s e n s e o f
(S. 15). In d eed , in v ir tu e of th e d e f in itio n o f th e / - e x te n s io n , f o r a n y u ^ U
t h e r e e x i s t s a s e q u e n c e {un } c U s a tis f y in g (S. 12) and, th e r e f o r e , by (S. 23),
a l s o a s e q u e n c e {cn } C Ci s u c h th a t
h ( u ) = \im I (c-).
162
By o u r le m m a , th e a b s o lu te m in im a l u o f th e fu n c tio n a l / in u i s t h e r e f o r e
a l s o th e a b s o lu te m in im a l in th e c l a s s Cj, i. e .,
/ ( a ) = in f /( « ), (S. 24)
u€Cl
if f o r e v e r y u ^ U t h e r e e x i s t s a s e q u e n c e {cn } C C\ s a tis f y in g (S. 23).
We w ill sh o w in w h a t fo llo w s th a t th is c o n d itio n i s a lw a y s s a tis f ie d in th e
g e n e r a l c a s e . In th e s o - c a lle d p a r t i c u l a r c a s e s , it i s n o t a lw a y s s a tis f ie d .
If th e a b s o lu te m in im a l in U is a ls o th e a b s o lu te m in im a l in C\, w e w ill
r e f e r to it a s th e a b s o lu te m in im a l of th e f u n c tio n a l / (w ith o u t m e n tio n in g
any c la s s e s ).
1. 3. The g en e ral ca se
T h e g e n e r a l c a s e in o u r te r m in o lo g y i s s u c h th a t th e c o n d itio n of
e x i s te n c e of y y y) on th e v e r t i c a l s e c ti o n s d o e s n o t im p o s e an y a d d itio n a l
r e s t r i c t i o n s on th e c l a s s of c u r v e s , i. e ., ®(t, y , y) e x i s t s f o r a ll t, y , y .
T h is im p l ie s th a t f o r e v e r y fix e d i £ [a, b\, th e tw o f u n c tio n s o f a s in g le
v a r i a b l e f[t, y , ±0,1] sh o u ld be s u m m a b le on a n y s e g m e n t [y, y] £[1 ^(0 * r i (/)]-
In w h at fo llo w s, w e a s s u m e th a t b o th fu n c tio n s f (t, y, ± 0 ,1 ) m o r e o v e r
e x i s t s and a r e c o n tin u o u s w ith t h e i r d e r i v a t i v e s ft and f v e v e r y w h e r e in B .
We w ill s e e b elo w th a t th e c h a r a c t e r of th e e x t r e m a l s i s d e t e r m in e d by
th e p r o p e r t i e s of th e fu n c tio n f { t , y , p , 1) f o r p —0 , s p e c if ic a lly , by w h e th e r
th e fu n c tio n f(t, y, p, 1) f o r p = 0 is c o n tin u o u s o r d is c o n tin u o u s in p. B oth
th e s e c a s e s a r e of th e g r e a t e s t s ig n if ic a n c e b o th f r o m t h e o r e t i c a l an d a p p lie d
c o n s id e r a t io n s , and w e w ill c o n s id e r th e m s e p a r a t e l y in s o m e d e ta il.
T h e s y s t e m of d e f in itio n s an d t h e o r e m s in tr o d u c e d b elo w le a d s to a
c o m p le te s o lu tio n of th e p r o b le m of a b s o lu te m in im u m o f th e fu n c tio n a l
(S. 13) in th e f i r s t c a s e and d i s c l o s e s a n u m b e r of h ig h ly v a lu a b le new f a c ts
in th e s e c o n d . It a d m its o f v e r y e x te n s iv e g e n e r a l i z a t i o n s and p r o v id e s a
fo u n d a tio n f o r a ll f u r t h e r c o n s tr u c tio n s ( F ig u r e S. 1).
C o n s id e r th e s e t o f p o ly g o n a l lin e s , (y„) C.U,, d e s c r ib e d by th e f u n c tio n s
y A /) = y i + y'i(/ — h) f o r * , < i = 0, 1 , . . . , n — \, w h e r e
a = fo C ' l C - <t„ = b
a r e th e a b s c i s s a s of th e d is c o n tin u ity p o in ts o f y n ( t ) , an d yu y\ a r e 2n in
d e p e n d e n t p a r a m e t e r s d e fin in g th e p o ly g o n a l lin e y n f o r an y fix e d p a r ti tio n .
D e f i n i t i o n 2. C o n s id e r a lin e u d e fin e d by th e fu n c tio n y(t).
We s h a ll s a y th a t th e s e q u e n c e {yn} a p p r o x im a te s th e lin e u, o r {y„}—i>u,
if n~*°°
yi=y(U+o), (s . 25)
an d f o r a n y e > 0 .
f/l < e; — < /'(f/+ o )| < e (S. 26)
163
f o r n > N ( e ) . H e r e 1=0, 1, n — 1. In th is s e n s e , {y n } i s e v e r y w h e r e d e n s e
on U .
D e f i n i t i o n 3. C o n s id e r a p a i r o f fu n c tio n s y( t ) £ U and z( t) w h ic h a r e
d e fin e d , b o u n d ed , an d c o n tin u o u s on th e s e t [a, 6]/{pi}. We c o n s tr u c t th e
s e q u e n c e {Yn} so th a t
y t = y ( t i+ 0 ) (S. 27)
an d f o r an y e > 0
I h+\ — * i l < e; |y)— * ( * / + 0 ) | O (s. 28 )
f o r n > N ( e ) , i = 0, l t . n— I. In th is c a s e w e s a y th a t th e s e q u e n c e {yn }
a p p r o x im a te s th e (y, z) lin e Uo, o r {Yn}— Th e s e t of th e s e (y, z) l in e s
i s d e s ig n a te d U0, T h e fu n c tio n y(t) i s th e z e r o c l o s e n e s s fu n c tio n o f th e
(y, z) lin e Uo a n d z(t) i s th e lo c a l s lo p e of th is lin e .
If
z(t)=y'(f) (S. 29)
a l m o s t e v e r y w h e r e on [a, b], w e h a v e u0 £ £ /. T h u s U Q U0.

D e f i n i t i o n 4. T h e fu n c tio n a l (S. 13) of a (y, z) lin e i s d e fin e d a s th e
lim i t
/ ( « 0)= lim /(Y „ ). (S. 30)
T h e o r e m 1. If th e fu n c tio n /(/, y, p, 1) e x i s t s an d i s c o n tin u o u s in p

f o r p = 0 and f o r an y t, y ^ th e fu n c tio n a l I ( u 0), u0( zU0, e x i s ts an d is
e x p r e s s e d by th e f o r m u la
/( « o ) = 2 1 [ F ( t , y , z ) + W { t , y ) ( y ' ~ z ) ] d t + 2 * (ft, y„ Hi) (S. 31)

/ - o *i+° l- 0
o r by
/(«< ,)= (/?) J S ( t, y, z)dt+<S>(b, bu c (A ,))- «i, £(<*,)), (S. 32)

a
164
w h ere
S(l, y, z) = F(t, y, z ) - W ( ( , y) (z - c ' ( t ) ) - J

c{t)
W,(t, $)<«, (S. 33)
w h e r e c(t) £ C\ i s a n a r b i t r a r y fu n c tio n ; W(t, y) an d ®(t, y, c ) a r e d e fin e d by

(S. 20) an d (S. 22); jj.% a r e th e d is c o n tin u ity p o in ts o f y(t), <= 0, 1, k.
T h e s y m b o l (R) in d ic a t e s th a t a R ie m a n n in t e g r a l is m e a n t. S in c e
f(t, y, p, 1) is c o n tin u o u s f o r p —0,
W(t,y, \) = W(t, y, - \ ) = W ( t , y ) =f ( t , y, 0, 1). ( S .3 4 )
U sin g (S. 20) an d (S. 34), w e m a y w r i te
y, 17) =C D (^ , y, c ) ~ 4 > (t , y, c), (S. 3 5 )
w h e r e c(t) i s an a r b i t r a r y fu n c tio n . In w h at fo llo w s w e ta k e c(t) £ C\.

B y (S. 18) an d (S. 35),
/(Y„) = 2 5 ' A/' + a)(*’ b" * ( * ) ) - * ( * • * !.* (* )). (S .3 6 )

i-o
w h ere
'/M " 0
S,M ,= f * F (t, yn, y '„) dt-\-<3>(tt, y h c) —
^+0
+ [}l \ll 0 ;
U a r e th e d is c o n tin u ity p o in ts of th e f u n c tio n y n (t), I— 0, 1, n — 1, o r

u s in g L a g r a n g e 's th e o r e m of f in ite d if f e r e n c e s
Si = F [ f l yn (t]\ ^ ( /;) ] - 0 '( /;, yn{t]\ c(t])) =

= ynift), y{t])[yn{t])~
- c'(t I ) ] - f Wt (t\\)dh (S .3 7 )
c(t*)
= + 0 < 0 < 1.
U sin g (S. 27) and (S. 28), w e m a y w r i te
/( « „ ) = 2 ; s i r , y ( n . * ( O ] a /,+ 0 ( .) +
+ ® ( K \ , c( b) )- <b{a, a u c (a)). (S. 38)
T a k in g th e l i m i t y n—+uo in (S. 30), s o m e t e r m s in (S. 38) g o to in fin ity ,

an d | / l+1—/i| ^ 0 .
In v i r t u e o f th e p r o p e r t i e s of F(t, y, z), th e fu n c tio n S[t, y( t ) , 2 ( / ) ] i s
c o n tin u o u s in a ll i t s t h r e e a r g u m e n ts in r e g io n B o f th e ( t, y) p la n e f o r an y
f in ite z . S in ce y( t) and z(t) a r e c o n tin u o u s a l m o s t e v e r y w h e r e an d b o u n d ed
o n [a, b], S[/, y ( t) , 2(01 i s a l s o c o n tin u o u s a l m o s t e v e r y w h e r e , s o th a t b y th e
165
L e b e s g u e th e o r e m , th e fu n c tio n S ( t , y( t ) , z ( t) ) is R ie m a n n - in te g r a b le . T h is
in d ic a t e s th a t f o r {yn}—- u0 th e s u m (S. 38) h a s a lim it, i. e ., it i s in d e p e n d e n t
o f th e p a r t i c u l a r c h o ic e o f th e s e q u e n c e {yn } —+«o (in d e p e n d e n t o f th e p a r ti tio n
{t * } and th e p o s itio n o f th e p o in ts /* ).
We p r o v e d th e e x i s te n c e o f th e fu n c tio n a l /(w 0) on a n y (y, z) lin e u0 £ U0
an d th e v a lid ity o f (S. 31). S im ila r ly , s t a r t i n g w ith (S. 18), w e p r o v e th e
v a lid ity of (S. 31) ( th is f o r m u l a i s p ro v e d in a m o r e g e n e r a l f o r m in
T h e o r e m 2). Q. E. D.
T h e o r e m 2. If th e fu n c tio n f ( t , y y p, 1) h a s a d is c o n tin u ity o f th e f i r s t
k in d in p f o r p = 0 f o r a n y (t, y) £ B , th e fu n c tio n a l I ( u 0), Uo £ £/0, e x i s t s and
i s e x p r e s s e d by th e e q u a lity
*-i n , . + 1-o
/(* o)= 2 J y, z) + WV, y , s i g n ( y ' - z ) ) ] X
1=0 I\ +0
ft y•
X ( i f '- * ) r f / + 2
1=0 y{
J sig n (y ,-y ,))rf» (S. 39)
o r by th e e q u a lity
/(K 0)= ( 7 ? )j‘ 5 (t, y, z, sign(y' — z))dt +

a
r _
+ 9' c' y , c 9 sig n (y‘ — z))]+
j =i _
-|- O [b, c, sign (bl — y(b))\ — [a, a * c, sign (y (a) — a^ ], (S. 40)
tj a r e th e p o in ts w h e r e th e d if f e r e n c e y f—z r e v e r s e s i t s sig n , / = 1, 2, . . . . r.
By (S. 18), (S. 27), and (S. 28), r e m e m b e r in g th a t y( t) , z(t) a r e c o n tin u o u s
an d b o u n d ed , w e h a v e
n—\ —0 n y.
/(v„)=i-O2 //J+0 y* *)< #+2 ytJ w I''" sl’gn ( yi — yt)]dlJ =

= 2
i-0
^
+ * & ), sIg n (y '(/<) - * ( / /) + 0 ( .) ) H - 0 ( « ) ) ( //+1- / f) +

" ?<»i) _
+2 J » > / . sig n (< /,-< /,)] *+0(«). (S. 41)
<■=0
In v i r t u e o f th e p r o p e r t i e s o f th e f u n c tio n s F(t, y, z ), W(t, y , ± 1 ) , */(/),

an d ^ (f), th e fu n c tio n
F(t, y(l), z(t )) + W t y{t), s i g n ( y ' ( t ) - z ( t ) ) ] ( y ' ( t ) - z ( t ) )
i s b o u nded an d c o n tin u o u s a l m o s t e v e r y w h e r e in th e i n t e r v a l s (îf, Pi+i).

H en ce, by th e L e b e s g u e th e o r e m , it i s R i e m a n n - in te g r a b le , i. e ., th e
l i m i t (S. 30), w h e r e f ( y n) i s e x p r e s s e d in th e f o r m (S. 41), e x i s t s and i s
in d e p e n d e n t o f th e c h o ic e of th e s e q u e n c e y n -Ûo.
T h e v a lid ity of (S. 40) i s p ro v e d a lo n g th e s a m e l in e s a s T h e o r e m 1.
166
C o r o l l a r y 1. T h e fu n c tio n a l / («o) * «o 6 t/o> d e p e n d s on tw o in d e p e n d e n t
f u n c tio n s y(t) and z(t) w h o se d e r i v a t i v e s e i t h e r do n o t e n t e r th e in te g r a n d ,
a s in (S. 31), o r o n ly e n t e r a s s ig n (yf—z), a s in (S. 40).
C o r o l l a r y 2. It fo llo w s d i r e c t l y f r o m e x p r e s s i o n s (S. 31) and (S. 39)
f o r /( « 0) th a t th e fu n c tio n a l i s c o n tin u o u s on th e s e t Uq o f (y, z) lin e s in th e
s e n s e th a t
|/ ( « „ ) - / (H0) l< * .
if (S. 42)
Iy ( t ) - y (0l <»!(»): I* (0 - * (0| < »!(•)
e v e r y w h e r e on [a, b], e x c e p t th e - n e ig h b o r h o o d s o f th e p o in ts w h ere

y(t) i s d is c o n tin u o u s .
C o r o l l a r y 3. It fo llo w s f r o m (S. 32) an d (S. 40) th a t D e f in itio n s 1 and
4 c o in c id e on th e s e t of y(t).
C o r o l l a r y 4. It fo llo w s d i r e c t l y f r o m D e fin itio n 4 an d C o r o lla r y 3
th a t th e s e t U0 is an / - e x te n s io n of th e s e t U .
Remark. E x p r e s s io n (S. 40) f o r I ( u ) , u ( ^ U Q, i s n o t d e fin e d on o r d in a r y
s m o o th c u r v e s , i. e ., f o r y' (t ) = z(t). T h e c o n tin u ity of th e fu n c tio n a l on U0
sh o w s th a t i t s d e f in itio n c a n be e x te n d e d f o r th e s e c u r v e s if w e ta k e f o r
y'—z = 0
sign (y'—z) = 1, or sign («/'—z) = — 1.
In th is c a s e , e x p r e s s io n (S. 40), lik e (S. 39), is d e fin e d o v e r th e e n t ir e

s e t U0.
We w ill now show th a t U t and a ls o U0, a r e / - e x t e n s i o n s of th e c l a s s C\
of p ie c e w is e - s m o o th f u n c tio n s , i. e ., f o r an y lin e u t h e r e is a s e q u e n c e
{cn } £ Ci s u c h th a t
/ J « ) = H m / (r„). (S. 23)
C o n s id e r s o m e lin e u (~ U . We r e p l a c e a ll th e v e r t i c a l s e g m e n ts of th e
lin e u to s e g m e n ts m a k in g a n a n g le of — to th e v e r t i c a l w h ich p a s s th r o u g h
n
th e m id p o in ts of th e v e r t i c a l s e g m e n ts . L e t n > 0 if th e d e f le c tio n f r o m th e
v e r t i c a l is in th e c lo c k w is e d ir e c tio n , and az<^0 if th e d e f le c tio n is c o u n t e r
c lo c k w is e . T h e d e f le c tio n sh o u ld be s u c h th a t th e r e s u lt in g lin e cn c o r r e s
p o n d s to a s in g l e - v a lu e d fu n c tio n y n (t), i. e .,
signh = sign -j-0) — y{Pi — 0)]. (S. 4 2a)
167
C l e a r ly \cn\(LC\> th e n
(S. 43)
sign /z ~ sign dy.
T a k in g th e l i m i t rc — o o in (S. 43), we o b ta in on th e r ig h t e x p r e s s io n (S. 18)

f o r I (u) in th e s e n s e o f D e fin itio n 1. H en ce, f o r an y lin e u ( r U , t h e r e
e x i s t s a s e q u e n c e {cn } C C\ w h ich s a t i s f i e s (S. 23). T h e r e f o r e , th e a b s o lu te
m in im a l on U is a t th e s a m e tim e th e a b s o lu te m in im a l of (S, 13) on C x.
In o u r d e f in itio n o f U0, we im p o s e d th e fo llo w in g c o n d itio n s on i t s
e le m e n ts , (y, z) l i n e s : y( t) £ U and z(t) i s b o u n d ed e v e r y w h e r e on [a, b] an d
c o n tin u o u s on [a, &]/{|Jii}, w h e re {juj} is a f in ite s e t o f p o in ts .
D e f i n i t i o n 5. We s a y th a t th e s e q u e n c e of (y, z) lin e s {un } £ Uo g o e s
to a {y, z) o b je c t u ^ U o if f o r fix ed t , a l m o s t e v e r y w h e r e on [a, 6],
i/(/) = lim yn(t);

(S. 44)
z ( t ) = \ \ m z n {t).
T h e l a s t e q u a lit ie s a r e to be i n t e r p r e t e d in th e fo llo w in g s e n s e : if y( t)
i s f in ite a t a p o in t t , th e n f o r an y g iv e n e > 0 t h e r e e x i s t s N s u c h th a t
I? » (0 -!/W I < E for n>N. (S. 45)
If y(t) = ± oo, th e n f o r any M > 0 o r , r e s p e c ti v e ly , M < 0 , t h e r e e x i s ts

N s u c h th a t f o r n > N
(S. 46)
o r, re s p e c tiv e ly .
< /n (l)< A f< 0 . (S. 47)
T h e c o n v e r g e n c e f o r z n (t) is s i m i l a r l y i n t e r p r e t e d .
T h e s e t f70 of (y, z) o b je c ts is c a lle d th e c l o s u r e o f U0. E v id e n tly , t / 0 is
an / - e x te n s io n of U0.
168
Definition 6. T h e fu n c tio n a l ( S. 13) on a n obj e c t U £ Uo is d e fin e d by
th e e q u a lity
I(u)= lim /(«„)• (S. 48)
H e r e f ( u n) i s e x p r e s s e d by a n y o n e o f th e e q u a lit ie s (S. 31), (S. 32), (S. 39),

(S. 40).
L e t u s now c o n s id e r s e p a r a t e l y th e tw o c a s e s w h en f(t, y, p, 1) is
c o n tin u o u s a t p = 0 and w h en it h a s a d is c o n tin u ity a t p = 0.
1. T h e fu n c tio n f(t, y, p, 1) i s c o n tin u o u s in p f o r p = 0 an d f o r a n y (/, y) £
T h e p r o b le m o f th e a b s o lu te m in im u m of th e fu n c tio n a l (S. 13) in th is c a s e
i s c o m p le te ly s o lv e d by th e fo llo w in g th e o r e m .
T h e o r e m 3. T h e a b s o lu te m in im u m o f th e fu n c tio n a l (S. 13) i s
a tta in e d on a (yt z) o b je c t u ^ U o w h ic h s a t i s f i e s th e c o n d itio n
S ( t , y, z ) = ' ini S (t , y, z) (S. 49)

r,(0<i'(O<r1(0;
f o r fix e d t a l m o s t e v e r y w h e r e on [a, b] and o n ly on th is o b je c t.
Proof. We w ill f i r s t p ro v e th e th e o r e m f o r th e a b s o lu te m a x im u m on
U0 . By (S. 17) an d th e le m m a w e h a v e
inf / (u) = m > — oo. (S. 50)
ueu0
A c c o rd in g to th e d e f in itio n o f a lo w e r boun d , t h e r e e x i s t s a s e q u e n c e
{««} C tfo s u c h th a t I ( u n) —+mt l ( u n) < m . E x p r e s s io n (S. 31) f o r l ( u) , u £ U0,
n -* -o o
an d (S. 50) d i r e c t l y sh o w th a t:
1. T h e lo w e r bound o f S(t, y, z) e x i s t s e v e r y w h e r e on [a, b],
1(0= inf S ( t , y, z)
r i(0<il<r,(0. —eo«Z< + oo
an d s in c e S(t> y, z) i s c o n tin u o u s in y and z t t h e r e e x i s t y( t) an d z(t) on
w h ic h S — l(t).
2. On th e s e q u e n c e {un } f o r n —*oo,
S V* y n> z n ) ^ 1(0 an d yn (t) y (/), (t) i (0
in th e s e n c e o f D e fin itio n 5. S in c e (yn (0> z n (t)) £ Uo, th e (y, z) o b je c t u d e

s c r i b e d by th e p a i r (y (0* z ( 0 ) b e lo n g s to Uo.
3. F r o m th e d e f in itio n of th e lo w e r bound an d f r o m ite m 2 a b o v e w e
have
m=s lim ^ («/,)= Hm J z n) d t + c o n s t (S. 51)

n+~, (unh u 0 VnV)+7(0l *„(*)+*(*) a
B y D e f in itio n 6, th e l a s t e x p r e s s i o n i s th e f u n c tio n a l / ( « ) , u £ Uo.

We p r o v e d th a t th e a b s o lu te m in im u m o f th e fu n c tio n a l (S. 13) on Uo i s
a tta in e d on th e (y, z) o b je c t u £ Uo s a tis f y in g (S. 49) an d , b y it e m 2, o n ly
169
on t h i s o b je c t. T h e th e o r e m is th u s v a lid f o r m in im a on U0 . S in ce U0,
an d h e n c e Uo, a r e / - e x t e n s i o n s of U and C\, o u r le m m a s h o w s th a t th e
th e o r e m r e m a i n s t r u e f o r th e a b s o lu te m in im u m a ls o . Q. E. D.
C o r o l l a r y 1. It fo llo w s f r o m (S. 49) and th e c o n tin u ity o f S ( t , y, z) and
i t s p a r t i a l d e r i v a t i v e s , th a t if th e z e r o c l o s e n e s s fu n c tio n y( t) o f th e
m in i m a l u l i e s in s id e th e r e g io n B , and th e lo c a l s lo p e z ( / ) i s f in ite , th e n
a l m o s t e v e r y w h e r e on [a, b]
(S. 52)
C o r o l l a r y 2. If th e c l a s s i c a l E u l e r —L a g r a n g e e x t r e m a l y( t) w h ich
i s th e s o lu tio n o f th e e q u a tio n
6/ ( y ( t ) ) —0
in th e c l a s s Cj o f.c o n tin u o u s p ie c e w i s e - s m o o th f u n c tio n s d o e s n o t s a tis f y
(S. 49) ( z = y ' in th is c a s e ) , th e fu n c tio n a l / e i t h e r h a s a w eak lo c a l m in im u m
in Ci on th is e x t r e m a l o r h a s no m in im u m a l to g e t h e r . No s tr o n g lo c a l
m in im u m in Cj, and c e r t a i n l y no a b s o lu te m in im u m , c a n be a tta in e d on th is
e x tre m a l.
Discussion. C o n d itio n ( S. 49) d e f in e s a (y , z) o b je c t u on w h ich th e
fu n c tio n a l (S. 13) a t ta i n s i t s a b s o lu te m in im u m , i. e ., it d e f in e s th e z e r o
c l o s e n e s s fu n c tio n y( t) of th e fu n c tio n a l and th e lo c a l s lo p e z(t). If w e find
th a t y( t) (z U and y f (t) = z ( t ) e v e r y w h e r e on [a, b], e x c e p t a f in ite n u m b e r o f
p o in ts , th e n u £ U . O th e r w is e , th e m in im a l u £ t/ , b u t th e s o lu tio n
y ( t) , z ( 0 d e f in e s a m in im iz in g s e q u e n c e {y„} £ U. If u £ U0i th e m in im iz in g
s e q u e n c e {y^} C U i s c o n s tr u c te d a s in d ic a te d in D e fin itio n 2, i. e ., we
c o n s t r u c t th e p o ly g o n a l l in e s y^ so th a t
m — y (//); in = * (//), t = o, i , 2........... // — l .
I r r e s p e c t i v e o f th e p a r ti tio n of th e s e g m e n t [a, b],
If U £ Uq, w e f i r s t s e l e c t a s e q u e n c e of p a i r s {ym(t), Zm(t)} C C /o w h ich

g o e s to u in th e s e n s e of D e fin itio n 5, and on e a c h e le m e n t o f th e s e q u e n c e
w e c o n s t r u c t a s e q u e n c e of p o ly g o n a l lin e s {y„ £ UQin th e s e n c e of
D e fin itio n 3. A ny s e q u e n c e {y*} s e le c te d so th a t m — oo, n ^ o o f o r k - ^ o o is
a m in im iz in g s e q u e n c e .
T h u s , if w e found th e e x t r e m a l p a i r y ( t ), z(i) w e h a v e a ll th e e le m e n ts
o f th e m i n i m i z i n g s e q u e n c e .
If th e m in im a l £ U, th e m in im iz in g s e q u e n c e is of s p e c ia l im p o r ta n c e ,
s in c e th e m in im a l i t s e l f c a n n o t be c o n s tr u c te d .
L e t u s in v e s tig a te th e m in im a ls in m o r e d e ta il, a s s u m in g a d d itio n a lly
th a t F(t, y , z) and W(t, y) a r e tw ic e d if f e r e n tia b le in a ll t h e i r t h r e e a r g u m e n ts
in r e g io n B of th e (/, y) p la n e f o r an y z .
170
1. L e t (S. 52) h a v e a u n iq u e s o lu tio n y°(t), z°(t) an d a p o s itiv e d e t e r m in a n t
D (^, y®, 2°) = Syy •Szz SyZJ> 0. (S. 53)
S in ce th e r ig h t- h a n d s id e s of (S. 52) a r e c o n tin u o u s and h a v e c o n tin u o u s

p a r t i a l d e r i v a t i v e s , th e e x is te n c e th e o r e m o f im p l ic i t f u n c tio n s in d ic a te s th a t
y°(t), z°(t) a r e c o n tin u o u s and d if f e r e n tia b le on [a, b]. If ^ ( 0 < 0 ° (O < T i (0
e v e r y w h e r e on [a, b], y°(t) c o in c id e s w ith th e z e r o c l o s e n e s s fu n c tio n y ( t) of
th e m in im a l an d z°(t) c o in c id e s w ith i t s lo c a l s lo p e z(t) e v e r y w h e r e on [a, b\.
A t th e p o in ts t —a an d t = b , th e v a lu e s o f y and y° in g e n e r a l do n o t c o in c id e :
y( a) =ai =£yo{a).
T h u s , if D ( t , y°, z ° ) > 0 , th e m in im a l w0 n o t o n ly b e lo n g s to (J0, b u t i t s

z e r o c l o s e n e s s fu n c tio n y( t) and th e lo c a l s lo p e z(t) a r e c o n tin u o u s and
d if f e r e n tia b le e v e r y w h e r e on [a, b], e x c e p t th e p o in ts t ~ a an d t — b, w h e r e
y{t ), in g e n e r a l, m a y h a v e d is c o n tin u i tie s o f th e f i r s t k in d . If a p o s t e r i o r i
w e fin d th a t y r(t) —z(t) a l m o s t e v e r y w h e r e on [a, b], th e n u (3 U.
2. Now s u p p o s e th a t s y s t e m (S. 52) h a s a f in ite n u m b e r o f s o lu tio n s f o r
w h ic h D-5^=0 a l m o s t e v e r y w h e r e on [a, b], By th e e x i s te n c e t h e o r e m of
im p l ic i t fu n c tio n s , th e s e s o lu tio n s a r e p ie c e w i s e - d if f e r e n tia b le . T h e
m in im a l y ( t ), z(t) c o n s i s t s o f th e s e c ti o n s of th e s e s o lu tio n s w ith D > 0 and
o f s e c ti o n s of th e b o u n d a ry . T h e s e le c tio n of th e s e s e c ti o n s i s d e te r m in e d
by th e s u f f ic ie n t and th e n e c e s s a r y c o n d itio n (S. 49). It fo llo w s f r o m th e
s a m e c o n d itio n th a t, b e s id e s th e en d p o in ts , th e fu n c tio n s y( t) an d z(t) m a y
h a v e d is c o n tin u i tie s of th e f i r s t k in d a t p o in ts / —fxt , w h e r e
S ( ^ , y(l>(!»,), = y<2>((t,X z<2> ((*,))• (S. 54)
H e r e £/<•>(/), z ^ ( t ) and yW(t), zF>(t) a r e d if f e r e n t s o lu tio n s o f (S. 52) o r

p ie c e s o f th e b o u n d a ry . A t th o s e p o in ts w h e r e (S. 54) i s n o t s a tis f ie d b ut
D ~ 0, y ' ( t ) o r z'(t) m a y b e c o m e in f in ite o r n o t e x i s t a t a ll. M o r e o v e r , a t
s o m e p o in ts of th e s e g m e n t [a, b] o r on s o m e c o n tin u u m , w e m a y fin d th a t
c o n d itio n (S.49) i s not s a t i s f i e d f o r an y o f th e s o lu tio n s o f (S .5 2 ), an d in f S(t, y, z)
is a tta in e d f o r z = ± o o o r , if B i s u n b o u n d ed , f o r y ~ ± o o { S r e m a in in g
b o u n d ed ). It fo llo w s th a t in th is c a s e th e m in im a l u d o e s n o t n e c e s s a r i l y
b e lo n g e i t h e r to U0 o r to Uo. __
By T h e o r e m 3, it a lw a y s b e lo n g s to U0 . A s in p r e v io u s c a s e s , th e
m in im a l ?(£)> y (0 i s fu lly d e fin e d by (S. 49).
T o g e th e r w ith r e g io n B , we in tr o d u c e a r ig h t c y lin d e r Q in th e (t, y, z)
s p a c e h a v in g B a s i t s b a s e in th e (t, y) p la n e . A c c o rd in g to th e s ta te m e n t
o f o u r p r o b le m , th e f u n c tio n F(t, y t z) i s c o n tin u o u s in Q to g e th e r w ith i t s
d e r i v a t i v e s Ft, Fv, Fz .
3. S y s te m (S. 52) h a s no s o lu tio n s in th e i n t e r i o r o f th e c y l in d e r Q in
th e (t, y, z) s p a c e . T h e m in im u m i s a tta in e d on th e b o u n d a r y o f Q ■
S u p p o se th e m in im u m i s a tta in e d on th e u p p e r b o u n d a ry Fj (/). We th u s
have
<7=r,(0 - (S. 55)
171
T h e lo c a l s lo p e z o f th e m in im a l i s o b ta in e d f r o m th e c o n d itio n
5 (/, r , (t), z ) = inf 5 (/, r , (t), z). ( S. 5 6)

—co<£<oo
If z ( t ) i s f in ite , it s a t i s f i e s th e n e c e s s a r y c o n d itio n
sz=F2(t, r , (/), Z)-W(t, r ,( /) ) = o . (s . 5 7 )
If T i(/) £ U an d z(t) is b o u n d ed , w e h a v e u £ U 0. We w ould lik e to m a k e

o n e o b s e r v a tio n c o n c e r n in g th is c a s e .
If r ' ( / ) —z(t)<C0, the ap p ro x im a tin g se q u e n c e {yn } c o n str u c te d a lo n g the
p r e v io u s ; lin e s , i. e ., the c u rv e
*/* = */(^< + 0); yi—z{tr\-fyy * = o , 1, 2
d o e s n o t b e lo n g to th e s e t of a d m is s ib l e lin e s , s in c e it e x te n d s b ey o n d th e
b o u n d a r y of B . In th is c a s e w e sh o u ld ta k e
y i = y ( (i + 0); </l=z(^+o), (s. 58)
w h ere
Hi = Vi- 1
+ y't- 1
• A* ;-1 = yn(ti — 0).
T h e s e q u e n c e {yn} c o n s tr u c te d in t h i s w ay c l e a r l y b e lo n g s to B an d , in
v i r t u e o f th e c o n tin u ity of th e f u n c tio n a l I (u), u £ (J0, in th e s e n s e of (S. 42),
it is a l s o a m in im iz in g s e q u e n c e .
4. D(t, y, z) = 0 e v e r y w h e r e in th e c y lin d e r Q. S y s te m (S. 52) is
e q u iv a le n t to th e s in g le e q u a tio n
f ( t y , z ) = 0. (S. 59)
T h is e q u a tio n c o n ta in s tw o in d e p e n d e n t u n k n o w n fu n c tio n s , y and 2 .

In d ee d , th e c l a s s U& in g e n e r a l, c o n ta in s in f in ite ly m a n y (y, z) l in e s s a t i s -
fy in g th e n e c e s s a r y c o n d itio n s (S. 52). T h e s e li n e s m a y in c lu d e e x t r e m a l s
w h ic h b e lo n g to U. T h e l a t t e r sh o u ld s a tis f y , a l m o s t e v e r y w h e r e on [a, b],
th e d i f f e r e n t i a l e q u a tio n
f ( t> y, y ' ) =Q . (s . 60)
S uch an e x t r e m a l m a y h a v e d is c o n tin u i tie s o f th e f i r s t k in d on an y f in ite

s e t o f a r b i t r a r i l y s e le c te d p o in ts /{(-[a, b] c o n ta in in g a t l e a s t on e p o in t. On
th e s m o o th s e c ti o n s it s a t i s f i e s th e e q u a tio n
y ( t ) =y 0 ( t , Ci),
w h e r e y*(t, Ci) i s a g e n e r a l s o lu tio n o f (S. 60), and Ci i s th e in t e g r a l c o n s ta n t

f o r th e i - t h s e c tio n , if t h e r e e x is t C i ^ C i + i s u c h th a t c o n d itio n (S. 54) is
s a t i s f i e d a t th e p o in ts t i , w h ich ta k e s in th e p r e s e n t c a s e th e f o r m
y° 0U, C,), yO'(th Ct)) = S ( t h y<>(th Ci+l\ y«' (th C/+1)). (S. 61)
172
T h u s in g e n e r a l th e e x t r e m a l a b e lo n g in g to th e s e t U i s n o t u n iq u e . The
o n ly e x c e p tio n i s th e c a s e w hen
fc = 0. (S.62)
T h e e x t r e m a l i s th e n u n iq u e an d i s d e fin e d by th e e q u a tio n
m < / ) = o.
In v i r t u e of th e p r o p e r t i e s of F(t, y, z) an d W(t, y), th e fu n c tio n y(t) is
c o n tin u o u s and s m o o th e v e r y w h e r e e x c e p t th e end p o in ts , p ro v id e d fv (t, y) =^0
e v e r y w h e r e on (a, b).
A m o r e r e s t r i c t e d p r o b le m c a n be f o r m u la te d : fin d th e e x t r e m a l w ith
th e l e a s t n u m b e r o f d is c o n tin u i tie s on U . It i s r e a d i l y s e e n th a t th is
e x t r e m a l in o u r c a s e c o n s i s t s of tw o s m o o th b r a n c h e s w h ic h a r e s o lu tio n s
o f e q u a tio n (S. 60) p a s s in g th r o u g h th e p o in ts (a, a{) and (b, &i)and a s t r a i g h t
v e r t i c a l s e g m e n t t = to jo in in g th e e n d s of th e s e b r a n c h e s , w h e r e t0 is s o m e
p o in t of th e s e g m e n t [ay b].
T h is r e s u l t c o in c id e s w ith R a z m a d z e 's r e s u l t o b ta in e d in / 1 3 /.
R a z m a d z e 's c o n d itio n fo r th e c a s e of a ’'f lo a tin g " d is c o n tin u ity p o in t a l s o
c a n be o b ta in e d w ith o u t d if fic u lty :
^ ('o . yo* y'o) = F (4)> l/o, y'o); I ( s 63)

/V ( 'o , l/o, yo) = F y>(t0^ yQy yo)— 0, J
w h e r e yo = y(to + 0 ) , yo = y(to—0). T o th is en d , it s u f f ic e s to ta k e W (t, y) —0.

in (S. 52) and (S. 54). T h e n f r o m th e se c o n d e q u a tio n in (S. 52) w e o b ta in
th e s e c o n d c o n d itio n in (S. 6), and f r o m (S. 54) w e o b ta in th e f i r s t e q u a tio n
in (S. 6). N ote th a t R a z m a d z e 's c o n d itio n s b o th f o r a fix ed and a " f lo a tin g "
d is c o n tin u ity a r e v a lid o n ly w hen W ~ 0.
T h e s u f f ic ie n t c o n d itio n s of e x tr e m u m , a s b e f o r e , a r e p r e s e n te d by
( S. 49).
5. A s we h a v e s e e n a b o v e , if y(t) £ U an d z (t) = y' (t) a l m o s t e v e r y w h e r e
on \a, b)t th e m in im a l u0 (Û. It is r e a d ily s e e n th a t in th is c a s e y(t) a l m o s t
e v e r y w h e r e s a t i s f i e s E u l e r 's e q u a tio n
Fy(t, y, y ' ) — - j ; F irV' y< y ' ) = o. (s. 64)
T o show th is , it s u f f ic e s to d if f e r e n tia te th e s e c o n d e q u a tio n in (S. 52)

an d s u b t r a c t it f r o m th e f i r s t .
C o n c l u s i o n s . I. L e t u s s u m m a r iz e th e r e s u l t s o f th is s e c tio n . If th e
f u n c tio n f(t, y, p, 1) fo r p = 0, (t, y) B , e x i s ts an d is c o n tin u o u s in p , th e
a b s o lu te e x t r e m u m of th e fu n c tio n a l (S. 13) is a tta in e d on e x t r e m a l s o f a
s p e c ia l k in d (w e c a ll th e m ty p e a e x t r e m a l s ) , w h ich a r e f u n d a m e n ta lly
d if f e r e n t f r o m th e c l a s s i c a l E u le r e x t r e m a l s (w h ich w e c a ll ty p e b
e x t r e m a l s ) . In d is t in c t io n f r o m ty p e b e x t r e m a l s , e v e r y l i n e a r e le m e n t
(y, z) of ty p e a e x t r e m a l s is in d e p e n d e n t of th e o th e r e l e m e n ts an d m in im iz e s
th e f u n c tio n S(t, y, z) f o r e v e r y fix e d t [a, b]t T o o b ta in f in ite e q u a tio n s
o f th e s e e x t r e m a l s , w e do n o t h a v e to s o lv e an y b o u n d a r y - v a lu e p r o b le m s :
th e y a r e o b ta in e d d i r e c t l y in th e f o r m of th e n e c e s s a r y c o n d itio n (S. 52).
A n e x t r e m a l o n V m a y b e lo n g e i t h e r to th is s e t o r to a l a r g e r s e t U0. In
173
th e l a t t e r c a s e , a lth o u g h u th e s o lu tio n y( t) , z(t) fu lly d e s c r i b e s a
m in im iz in g s e q u e n c e {yn} ( s e e D e fin itio n 3).
II. T h e fu n c tio n f(t, y, p, 1) f o r p = 0 and an y t, y £ B h a s a d is c o n tin u ity
o f th e f i r s t k in d in p.
In th is c a s e , no a n a lo g o f T h e o r e m 3 g iv in g th e n e c e s s a r y and s u f fic ie n t
c o n d itio n s of m in im u m and p ro v id in g a c o m p le te s o lu tio n o f th e p r o b le m
e x i s t s . We w ill o n ly d e r iv e th e n e c e s s a r y c o n d itio n s o f m in im u m in UQ.
T h e m in im u m is a tta in e d b o th on th e (y, z) m in im a ls of th e ty p e
c o n s id e r e d b e f o r e and on th e c l a s s i c a l E u l e r —L a g r a n g e e x t r e m a l s . L e t
u £ U 0- By T h e o r e m 2 w e h a v e
k o
/ ( ") = 2 1 \F [ i ' y ' y> si®n (»'-*>] x

1-0 | ^/+°
X (y’ — z)dt-\- j W f a l , sign (//,-//,.))<# (S. 39)

*/
H e r e j.i,- a r e d is c o n tin u ity p o in ts of y(t). By (S. 39), th e fu n c tio n a l I(u)
m a y be t r e a t e d a s d e p e n d in g on a p a i r of in d e p e n d e n t fu n c tio n s y ( t) , z(t).
U sin g e x p r e s s io n (S. 39), w e c a n w r ite and in v e s tig a te th e e x p r e s s io n fo r
th e f i r s t v a r i a t i o n of I (u) w ith r e s p e c t to y( t) and z(t) in th e u s u a l c l a s s i c a l
s e n s e . T h e c l a s s of a d m is s ib l e f u n c tio n s is f u r t h e r r e s t r i c t e d by th e
r e q u ir e m e n t of sm o o th z ( / ) o n th e i n t e r v a l s ( |Hi+i). T h e d is c o n tin u ity
p o in ts ji{ a r e a s s u m e d fix ed .
T h e n e c e s s a r y c o n d itio n of m in im u m is
6 /( « ) > 0 . (S. 65)
T h e e x p r e s s io n of th e f i r s t v a r ia tio n is
»/ ( « ) = 2 ’’ '
l<
=0 I*/-10
f + F*hz Jr w y ( y ' - z '>*y+
Jr W%(y‘- z ) ) d t + ^ { W [ ^ y„ sign (y, — (/,)] Si/,- —

/-0
—W\y.h Vh sig n (^ / — yi)+ tyi —Si//)] (S. 66)
w h ere
° y = y * ({) — !/(&, iz = z ‘ (t) —Z(t)\ W = tf(t) — y '( t \
y*( i) , z* (t) a r e th e c o r r e s p o n d in g f u n c tio n s of th e lin e u* £ U0 w h ic h i s
s u f f ic ie n tly c lo s e to f i r s t o r d e r to th e lin e u .
S in ce th e fu n c tio n a l (S. 39) is l i n e a r in y'(t), its v a r ia tio n w ith r e s p e c t
to //'c o in c id e s w ith th e in c r e m e n t w ith r e s p e c t to //'(/). T h e r e f o r e y*' is
n o t n e c e s s a r i l y c lo s e to y'(t) and we m a y ta k e 6y( t) £ U, A fte r s im p le
m a n ip u la tio n s , th e in t e g r a l t e r m in th e e x p r e s s io n of th e f i r s t v a r i a t i o n
i s e a s il y w r i tte n in th e f o r m
* n/ + |- °
= 2 I *y + F , i y ' + ( W - F , ) l ( y ' - Z ) \ d t .
/-0 I1/* 0
T h is e x p r e s s io n g iv e s 6/ (u) i a s a fu n c tio n a l o f f o u r in d e p e n d e n t f u n c tio n s
y ( t) , z ( t) , by(t) and b( yf—z( t) ). S ince 6y( t) £ Ut we r e g a r d th e f u n c tio n s
174
y(t)>z (t)» and 6 (y'— z {t) ) a s g iv e n and u s e (S. 31) an d (S. 39) to o b ta in
6/ ( « ) = 2 " HJ l l ^ + U W - z ) ] 5' / - j - F , ('. i/W , * W<«) <« +

/=o c—o
* i*/+,-o
+ 2 \ [W^ (/, if. sign ( y ' - z + ly' - l z ) - F z) 5(y' - z ) X
/« 0 ^/ + o
* r 5^ + i hu -i k
x ^ + 2 f F , ( p i+ lW - j F z (? ,)d i + 2 lU /((1 ' s,S “ ( y « - # i ) » » | -
/ - 0 L c=0 f-0 J /=0
— _ _ A,—*
y(. Sign (y - y,)) Bt/,] + 2 \(W (tj, yj, sign FJjfiyt-lyj),
j-o
w h e r e k\ i s th e n u m b e r of d is c o n tin u ity p o in ts o f 6//(Z).
F in a ll y we o b ta in
* ^/ +1-o
8/(")= /E- I l\-+J0 [Fv - T t F * + w y ( y ' - z ) ] hyd t +
h ia ^ j ~ 0
+ 2 j [W (t, y, sign (</' — z + l y ' — lz)) —
/-0 H/-I-0
/-o
h , s ig n ( y ,-y ,)) ] — /=■,((»,, 7 /. y) M -f
ft,-* _
+ 2 11*7 W- siSn (sw - 8y<)) - F* Vh yi, *i) 1(8y; ~ 8w)- ( s. 67)
J- o
H e re 6*/an d 6 (1/ '—2) a r e in d e p e n d e n t v a r i a t i o n s . (S. 67) le a d s to th e
fo llo w in g c o n c lu s io n s .
1. T h e fu n c tio n a l m a y h av e a m in im u m o n ly if th e r ig h t an d th e le f t
l i m i t s o f f(t, y, ± 0,1) a lo n g th e e x t r e m a l s a t i s f y th e c o n d itio n
W (t, y, sign e) e > 0 . (S. 68)
T h is is r e a d ily e s ta b l is h e d if w e ta k e in (S. 67)
ly{t) = 0
fo r
I '- 'o l ^ , [a, b\
an d
sy = 8y ( ' o ) / 0
fo r
I ' - ' o K 1!. hho.
175
F o r a m a x im u m , t h i s in e q u a lity sh o u ld be r e v e r s e d . T h is c o n d itio n
c a n b e r e g a r d e d a s th e f i r s t n e c e s s a r y c o n d itio n to b e s a t i s f i e d by th e
f u n c tio n a l if i t i s to h a v e a n e x t r e m u m on th e c l a s s U o f a d m is s ib l e lin e s .
2. T h e e x t r e m a l s o f th e fu n c tio n a l (S. 13) m a y b e o f th e fo llo w in g ty p e s :
a) T h e f u n c tio n s y{t) an d z( t) s a tis f y th e e q u a tio n s
5, _ F y (t, y,z) - Wy ( t , y, s i g n { y ' - z ) ) z - W , (t,y ) = 0; '
(S. 69)
Sz = F z (t,y,z) — W(t, y, Sign ( i f ' — z ) ) = 0 .
It is r e a d i l y s e e n th a t th e s e e q u a tio n s le a d to z e r o c o e f f ic ie n ts b e f o r e
by and b{yr—z). T o v e r if y th is , it s u f f ic e s to d if f e r e n tia te th e s e c o n d e q u a tio n
in (S. 69) an d s u b t r a c t it f r o m th e f i r s t . E q u a tio n s (S. 69) m a y be w r i tte n
in a m o r e d e ta ile d f o r m
Sy — Fy — Wy(t,y,\) Z—W, ( t , y, \ ) =0\ j

S z = F z — W 1 ) = 0 , f/' — z > 0 ; J
S y = F y - W y ( t , y , - \ ) - W ( t , y , ~ \ ) ^ 0 ;
S z = F z - W ( l , y , - \ ) = 0 , y ' - z < 0 .
A lo n g t h e s e e x t r e m a l s , th e f i r s t v a r i a t i o n i s z e r o , i. e ., th e e x t r e m a l s
a r e s ta tio n a r y . M o r e o v e r , a s w e s e e f r o m (S. 69), th e y s a tis f y th e
n e c e s s a r y c o n d itio n s of m in im u m of th e fu n c tio n S(t, y, z) , b ut now th e
fu n c tio n a d d itio n a lly d e p e n d s on th e s ig n o f th e d if f e r e n c e y ' —z. T h e s e
e x t r e m a l s a r e a n a lo g o u s to th e (y, z) m in im a ls o f th e p r e v io u s s e c tio n . A ny
in f in it e s im a ll y s m a ll s e c tio n of th e s e e x t r e m a l s r e t a i n s th e p r o p e r ty of
m a x im u m o r m in im u m an d is in d e p e n d e n t o f a ll o th e r e le m e n ts , b u t o n ly
w ith in th e l i m i t s c o n s is te n t w ith th e in e q u a li tie s in (S .7 0 ) an d (S. 71).
A ll th a t w e h a v e s a id in th e p r e v io u s s e c tio n r e m a i n s v a lid f o r th e s e
e x t r e m a l s w ith o ne r e s e r v a t i o n : c o n d itio n (S. 49) i s n o t s u f f ic ie n t in th is
c a s e f o r a n a b s o lu te m in im u m .
b) T h e f u n c tio n s y(t) and z(l) a r e c o n tin u o u s on (a, b) an d s a t i s f y th e
c o n d itio n s
z { t ) = y ' (0; F y - - —- F z = 0;
signe) — F y- e ^ 0;
(S. 72)
|U7 (a,y {a), sign (y ( a ) + &</ (a) —a,)) — F y (a,y(a ), y' (a))] Sy (a) > 0;
[W (b,y(b), sign (bx ~~y(b) - By(b)))-Fy(b,~y(b), y' (*))] 8y{a) > 0.
T h e f i r s t tw o e q u a tio n s in (S. 72) d e fin e y(t) an d z(t) and sh o w th a t a ty p e b

e x t r e m a l on U ( U0) i s a c o n tin u o u s d if f e r e n tia b le fu n c tio n w h ic h s a t i s f i e s
E u l e r 's e q u a tio n . E v e r y in f in it e s im a l s e c tio n of th e s e e x t r e m a l s is
d e p e n d e n t on th e p o s itio n of th e n e ig h b o rin g e l e m e n ts an d , in g e n e r a l, d o e s
n o t p o s s e s s th e p r o p e r t y o f m a x im u m o r m in im u m .
H o w e v e r, u n lik e th e e x t r e m a l s in c l a s s C, th e e x t r e m a l s in c l a s s U
s h o u ld s a tis f y an a d d itio n a l c o n d itio n on (a, b), n a m e ly th e f i r s t in e q u a lity
in (S. 72).
5921 176
T h e l a s t tw o in e q u a li tie s in (S. 72) d e fin e e x t r e m a l b o u n d a ry c o n d itio n s
f o r th e d e t e r m in a tio n o f th e in t e g r a l c o n s ta n t s Ct and C2. S in c e 6y(a) is
a r b i t r a r y , th e f i r s t of th e s e in e q u a li tie s i s s a tis f ie d if one of th e fo llo w in g
t h r e e c o n d itio n s h o ld s tr u e :
1) W ( a, y ( a) ,\ ) — F y ( a , y ( a ) , y ' (a ))= 0 ;
y( a) — a , > 0;
2) W (a,y (a), 1) - F y<(a,y(a),y' (a)) -= 0; (S. 72a)
y ( a ) — a l < 0;
3) y ( a ) = a }.
T h e s e c o n d in e q u a lity d e f in e s a n a lo g o u s c o n d itio n s a t th e r ig h t en d .
T h u s , if th e s o lu tio n of E u l e r ’s e q u a tio n i s u n iq u e f o r e a c h p a i r of
t h e s e b o u n d a ry c o n d itio n s , t h i s e q u a tio n to g e th e r w ith (S. 7 2 a) an d
a n a lo g o u s c o n d itio n s on th e r ig h t end m a y p r o d u c e n in e ty p e b e x t r e m a l s .
T h e f i r s t tw o e q u a lit ie s in (S. 72a) c o n s titu te n a t u r a l b o u n d a ry c o n d itio n s ;
th e y a r e m e a n in g fu l if y ( a ) —f l i >0 o r y( a) ~~a j < 0 , r e s p e c ti v e ly . T h e l a s t
e q u a lity in (S. 72a) fo llo w s d i r e c t l y f r o m th e f i r s t in e q u a lity in (S. 72); it
sh o w s th a t th e s o lu tio n of E u l e r 's e q u a tio n fo r th e b o u n d a ry c o n d itio n s
y ( a ) = a \ and y ( b ) = b \ is a ls o an e x t r e m a l in U.
c) It fo llo w s f r o m (S. 67) th a t, in a d d itio n to ty p e a and ty p e b e x t r e m a l s ,
t h e r e a r e a ls o m ix e d e x t r e m a l s c o n s is tin g o f p ie c e s of ty p e a and p ie c e s
of ty p e b, w ith th e fu n c tio n s y( t) and z ( t ) s u f f e r in g d is c o n tin u i tie s a t th e
p o in ts j.ii.
In d ra w in g up th e e x p r e s s io n f o r th e f i r s t v a r ia tio n (S. 67), we u s e d th e
c o m p a r is o n lin e s u* w h o se fu n c tio n s y( t) and 2(t) a r e c lo s e to th e o r ig in a l
y{t) and z(t) e v e r y w h e r e , e x c e p t a t th e d is c o n tin u ity p o in ts jli,. We now
e n l a r g e th e g r o u p of c o m p a r is o n l in e s by in c lu d in g (y, z) lin e s w ith th e
d is c o n tin u ity p o in t d is p la c e d in an 6- n e ig h b o r h o o d of Hi. U sin g e x p r e s s io n
(S. 61) f o r th e fu n c tio n a l l{u) and c o m p a r in g it w ith th e fu n c tio n a l alo n g
th e s e lin e s , w e o b ta in , a s in th e p r e v io u s s e c tio n , an a d d itio n a l n e c e s s a r y
c o n d itio n , w h ich sh o u ld be o b s e r v e d a t th e d is c o n tin u ity p o in ts h u
S (n i, yu Z i ) = S ( y „ i/i, z,). (s. 73)
H e r e th e p a i r s o f fu n c tio n s y ( t ) , z(t) and y { t ), z(t) a r e e i t h e r o n e of th e

s o lu tio n s of s y s t e m (S. 69) o r th e s o lu tio n of E u l e r 's e q u a tio n w ith z ( t ) = y ' ( t )
an d o ne of th e b o u n d a ry c o n d itio n s a t th e d is c o n tin u ity p o in t h»,
y , - ~ y t >Q\ ( s 74)
2 ) W'(|»i,yi, - l ) - F , . t W ; ) = 0 ;
3) y, = ys.
c o n s id e r e d jo in tly w ith one of th e a n a lo g o u s c o n d itio n s a t th e o th e r end

p o in t.
We h a v e th u s e s ta b l is h e d th a t if th e le f t an d th e r ig h t l i m i t s of
f ( t , y, ± 0,1) e x i s t, and a r e d if f e r e n t f r o m e a c h o th e r , th e fu n c tio n a l (S. 13)
m a y h a v e e x t r e m a l s o f tw o ty p e s , a an d b. T y p e a e x t r e m a l s a r e a n a lo g o u s
177
to th e (y, z) e x t r e m a l s of th e p r e v io u s s e c tio n , and ty p e b e x t r e m a l s c o in -
c id e w ith th e e x t r e m a l s in th e c l a s s of c o n tin u o u s f u n c tio n s on (a, b).
T h e r e a r e a l s o m ix e d e x t r e m a l s c o n s is tin g o f p ie c e s o f ty p e s a an d b.
A d d itio n a l n e c e s s a r y c o n d itio n s h a v e b e e n d e r iv e d w h ich th e f u n c tio n a l m u s t
s a tis f y in o r d e r to h a v e a n e x tr e m u m in U , w h ich c o in c id e s w ith a w e a k
lo c a l e x t r e m u m in th e c l a s s of c o n tin u o u s f u n c tio n s C.
1. 4. S p e c ia l c a s e s
We w ill now c o n s id e r th e m o s t c h a r a c t e r i s t i c p a r t i c u l a r c a s e s w h en th e
c o n d itio n of e x is te n c e of d>(m, y, y) e n a b le s u s to fix th e v a r io u s d i s
c o n tin u ity p o in ts of th e e x t r e m a l y(t) and to d e t e r m in e i t s q u a lita tiv e
b e h a v io r .
1. T h e f u n c tio n s /(/, y, ± 0,1) do n o t e x i s t a n y w h e re in r e g io n B in th e (/, y)

p la n e .
T h e fu n c tio n y , y) d o e s not e x i s t fo r a ll t, y, y £_B, y ¥=y. T h e i n te g r a l
(S .l 3) e x i s t s and i s f in ite o n ly on th e c o n tin u o u s c u r v e s f r o m U. T h e m in im a l,
if it e x i s ts , b e lo n g s to th is c a te g o r y . T h e p r o b le m th u s r e d u c e s to fin d in g
a m in im u m in th e c l a s s C of c o n tin u o u s fu n c tio n s . F u r t h e r in v e s tig a tio n
o f th is c a s e r e q u i r e s a p p lic a tio n of th e th e o r e tic a l- f u n c tio n a l te c h n iq u e s
(1 —4) d e s c r ib e d in th e in tr o d u c tio n .
An e x t r e m a l in g e n e r a l d e p e n d s on tw o p a r a m e t e r s w h ich a r e d e te r m in e d
by th e v a lu e s of th e fu n c tio n y(t) a t th e tw o e n d s , y ( a ) —a\\ y ( b ) = b \ . U n d e r
c e r t a i n c o n d itio n s , th is is a sm o o th c u r v e s a tis f y in g th e E u le r e q u a tio n .
F u n c tio n a ls w ith th e f u n c tio n s f(t, y, ± 0,1) e x is tin g a t a f in ite n u m b e r of
p o in ts / — a r e c lo s e to th is ty p e . A s b e f o r e , th e c o n d itio n of e x is te n c e of
(D(£, y, y) l i m i t s th e c l a s s of a d m is s ib l e c u r v e s to c u r v e s f r o m U on w h ich
y( t) is c o n tin u o u s e v e r y w h e r e , p o s s ib ly w ith th e e x c e p tio n of t = \ii ( /= 1,
2, k). T h e m in im a l, if it e x i s t s , a ls o b e lo n g s to th is s e t.
T h e p r o b le m th u s r e d u c e s to fin d in g an e x tr e m u m in th e c l a s s o f
c o n tin u o u s p ie c e w is e - s m o o th fu n c tio n s and d e te r m in in g th e e x t r e m a l
" m a tc h in g ” c o n d itio n s of th e c o n tin u o u s p ie c e s a t th e v e r t i c a l s f = |Hi. We
w ill c o n fin e o u r a n a ly s i s of th e f u n c tio n a ls of th is ty p e to th e d e r iv a tio n of
th e " m a tc h in g " c o n d itio n s and d is c u s s io n of s o m e o f th e c o r o l l a r i e s .
T h e s e c o n d itio n s a r e d e te r m in e d by th e p r o p e r t i e s of th e fu n c tio n
f(t, y, p, 1) f o r p = 0 o n th e s t r a i g h t lin e s t = ya.
II. T h e fu n c tio n f(t, y, p, 1) e x i s t s and is c o n tin u o u s on th e s t r a i g h t lin e
' = 1*1. p = 0 , r 2( i » , ) < y < r I(i»l).

C o n s id e r o n e s u c h v a lu e t = y £ (a, b). T h e fu n c tio n W i s in d e p e n d e n t
o f s ig n Ay, i. e .,
U7(n, y, l ) - r ( | i , y, - 1 )
an d w e m a y w r i te
® ((*.(/.</)= ® ((*.!/,0— ® (f*,i!,c), (S. 75)
178
w h e r e c i s a c o n s ta n t.
By (S. 18) and (S. 75),
/ ( 0 ) = / ( l ) - |- / l 2 ) ;
/ (i ) _ j F ( / , y , y ' ) d t — Q>(p,y(\i),cy,
a (S. 76)
b
/<5> = j F{t, y, y')dt-\r <t>(i/.,y,c).
P-
/( w )th u s s e p a r a t e s in to tw o in d e p e n d e n t f u n c tio n a ls . T h e r e f o r e , i t s
e x t r e m a l is m a d e u p of tw o c o n tin u o u s p ie c e s , w h ich a r e e x t r e m a l s of th e
in d e p e n d e n t f u n c tio n a ls (S. 76), jo in e d by a v e r t i c a l s e g m e n t t — j.i0. S in ce
CP (|.i, y, c) is c o n tin u o u s to g e th e r w ith i t s d e r iv a tiv e , th e s e p ie c e s a t / = jxo
s a tis f y n a t u r a l b o u n d a ry c o n d itio n s of th e f o rm
F t ----- ^ * ( W . c ) = 0 ; F , ---- J i - O f r , y , c ) =0 ,
<tyo Wo
or
F y lPo,y0,y'0) — W7 0;
(S. 77)
F y (t*o. yo>y'0) - u7 (i*o. Po)= o.
It is r e m a r k a b l e th a t e a c h p ie c e of th e e x t r e m a l d e p e n d s o n ly on th e
p o s itio n of one o f i t s end p o in ts , and is in d e p e n d e n t of th e p o s itio n Qf th e
o th e r end. If th e c o n tin u o u s p ie c e s of th e e x t r e m a l a r e p ie c e w is e - s m o o th ,
th e y s a tis f y E u l e r 's e q u a tio n w ith b o u n d a ry c o n d itio n s (S. 13) and (S. 77) and
E r d m a n n —W e i e r s t r a s s c o n d itio n s a t th e c o r n e r p o in ts . In th e p a r t i c u l a r
c a s e W ( t 0, y) = 0 , c o n d itio n s (S. 77) c o in c id e w ith H a z m a d z e ’s c o n d itio n s
f o r a fix ed d is c o n tin u ity p o in t / 1 3 /.
T h e r e s u l t s a r e r e a d ily g e n e r a liz e d to th e c a s e of n d is c o n tin u ity p o in ts .
In t h i s c a s e , th e e x t r e m a l c o n s i s t s of n + \ c o n tin u o u s p ie c e s , and e a c h
/ - t h p ie c e of th e e x t r e m a l c o in c id e s w ith th e e x t r e m a l of th e fu n c tio n a l
v-i ¥i
l,= J F ( i >y, y' ) dt -j- J J W ^^dL (S. 78)
^/—l c «“
E a c h of th e s e e x t r e m a l s i s a c u r v e d e p e n d e n t on tw o p a r a m e t e r s . T h e s e
p a r a m e t e r s a r e d e te r m in e d f r o m th e n a t u r a l b o u n d a ry c o n d itio n s a t th e d i s
c o n tin u ity p o in ts Hi-1 and jlh*
Fy' (Hv—i» Ui-u tJi-1) ~ W (//_!,(//_!) = 0 ;
(S. 79)
F y ((*/. yidl'd — W7 ((*/.P/) = 0, / = 1,2, 1.
F o r th e f i r s t and th e l a s t p ie c e of th e e x t r e m a l , th e tw o p a r a m e t e r s a r e
d e te r m in e d f r o m th e c o n d itio n s
y ( a ) = Oj; F'y (t*o,i/o,i/;)-W7 ((*o.i/o) = 0 (S. 80)
and
y(b) = bl; F y (v-n.y„y'n) — W(]xa,yn) = 0. (S. 81)
179
If th e c o n tin u o u s s e c ti o n s of th e e x t r e m a l fu n c tio n a r e p i e c e w i s e - s m o o t h
th e y s a tis f y E u l e r ’s d if f e r e n tia l e q u a tio n f o r th e f u n c tio n a l (S.13) an d th e
E r d m a n n —W e i e r s t r a s s c o n d itio n s a t th e c o r n e r p o in ts . A r e m a r k a b l e f e a t u r e
o f th e e x t r e m a l s is th a t, w ith th e e x c e p tio n o f th e p ie c e s a d jo in in g th e end
p o in ts , th e y a r e in d e p e n d e n t of th e v a lu e s o f th e f u n c tio n y(t) a t th e e n d s
o f [a, b].
III. T h e fu n c tio n s / ( p ,, y, p, 1) a r e d is c o n tin u o u s in p f o r /? = 0, b u t th e

l i m i t s f(\xu y , ± 0,1) e x i s t and a r e c o n tin u o u s f o r y £ [ r 2(|it), ri(|Lit)].
C o n s id e r on e s u c h p o in t
£ {o* b ) .
By (S. 18)
V-o h
/ ( « ) = J F(t,y(t),y'(t)dt+<S>(\i0,y0,y0) + § F {t , y, y' ) dt . (S. 82)
0 U.0
T h e f u n c tio n (I>(po, yo, yo) in th is c a s e no lo n g e r c a n be w r i tte n in th e

f o r m (S. 75) and i t s d e r iv a tiv e s an d a r e d is c o n tin u o u s a t yo—^0 = 0 .
T h e s e d e r i v a t i v e s a r e e x p r e s s e d by th e fo llo w in g r e l a t i o n s :
, _ p '(t* o .y o . fo r y0 — y o > 0 ;
y‘ W(Pod/o’ — 1) for y0 — y_Q<_ 0;
(S. 83)
— W7 ((*o,yo. 1) for y0 — y g > 0 ;
— W'GV'/o- — 1) fo r y0 — y0< o .
We w ill o n ly c o n s id e r th e c a s e w hen th e c o n tin u o u s p ie c e s of th e e x t r e m a l

a r e sm o o th . T h e n th e f i r s t v a r ia tio n o f th e fu n c tio n a l (S. 83) m a y be w r i tte n
in th e f o r m
P-0
8 / [Fy ~ " i r Fy,\
a
b
^ ^ vj ty dt — F y' (t»o>J/oi yo)^yo~\~8® (l*D»yo<yo)i (S. 84)
l*v
w h ere
w (H-oô. 1)si/o — W (ft.'/o .l)8'/o
npn y0 — y0 > 0
8®((<o.yo.J/o)=
f o r y0 — y0< 0 (S. 85)
W' (i*o, y0. 1) (s6fo—sô). if 8J/o — 8Jfo > 0 l f o r % _ - = 0

— *)(8</o— 8Jfo). if 8</o ‘8J/o < 0 I
180
T h e n e c e s s a r y c o n d itio n o f a m in im u m o f th e f u n c tio n a l /(« ) is
6/(u)>0. (S. 86)
T h is c o n d itio n is s a tis f ie d if bo th p ie c e s of th e e x t r e m a l s a tis f y E u l e r 's

e q u a tio n
Fy~ (S. 87)
and one of the fo llo w in g co n d itio n s is s a t is f ie d at the d isc o n tin u ity point:
Fu' (Po.l/o,ô) — w (ft>.#o, 1) = 0; (S. 88)

^Wftj.i/o.l/o) — ^ (ft),l/o, + 1) = 0;
! /o - |/o > 0 ;
(ft>»i/o,i/o) w (ft>»i/o» i ) = 0; (S. 89)

Fy' (lJ,o»l/o,|/o) (t^ci/o, — 1) = 0;
!/0- i / o < 0;
f^ v (ô,i/o,i/;)- ^ (ft),i/o,i)] i ^ v (^ ,i/o ,i/;)- ^ (ft),i/0, - i ) ] < 0 ; (S. 90)

|/o“ l / o = 0 .
T h u s, if E u l e r 's e q u a tio n (S. 87) is u n iq u e ly s o lv a b le f o r th e b o u n d a ry

c o n d itio n s (S. 14), (S. 88), (S. 89), and (S. 90), th e fu n c tio n a l (S. 13) m a y h av e
th r e e e x t r e m a l s in th is c a s e w h ich s a tis f y on e o f th e th r e e c o n d itio n s ab o v e
a t th e p o in t w h e r e th e lim it /(/, y, ± 0,1) e x i s t s . T w o o f th e s e e x t r e m a l s ,
s p e c if ic a ll y th o s e s a tis f y in g c o n d itio n s (S. 88) and (S. 89), a r e d is c o n tin u o u s
a t th is p o in t. U n lik e c a s e II, th e c o n tin u o u s p ie c e s of th e s e e x t r e m a l s a r e
no lo n g e r in d e p e n d e n t o f one a n o th e r , s in c e t h e i r en d p o in ts on th e lin e
/= a r e in te r lin k e d by th e in e q u a li tie s in (S. 88) and (S. 89); h o w e v e r,
b e tw e e n th e l i m i t s c o m p a tib le w ith th e s e in e q u a li tie s , th e d if f e r e n t p ie c e s
a r e s t i l l in d e p e n d e n t. C o n d itio n (S. 90) sh o w s th a t b e s id e s d is c o n tin u o u s
e x t r e m a l s , a c o n tin u o u s e x t r e m a l m a y a ls o e x i s t in th is c a s e , s a tis f y in g
E u l e r 's e q u a tio n and th e b o u n d a ry c o n d itio n s (S. 14).
If t h e r e a r e n p o in ts ( i = 0 y 1 , 2 — 1) on th e s e g m e n t [a, b] a t w h ich
th e l i m i t s U^(jli,-,y, 1) and W(\iiyy y— 1) e x i s t b u t a r e d if f e r e n t, th e n e c e s s a r y
e x t r e m u m c o n d itio n s a r e s a tis f ie d by any fu n c tio n y(t) c o n s is tin g of
c o n tin u o u s p ie c e s w h ich s a tis f y E u l e r 's e q u a tio n , c o n d itio n s (S. 14) a t th e
e n d s , and one of th e c o n d itio n s (S. 88), (S. 89), (S. 90) a t th e p o in ts Hi
(1 = 0, 1, . n — 1). In p a r t i c u l a r , one of s u c h fu n c tio n s i s th e c o n tin u o u s
fu n c tio n y(t) s a tis f y in g E u l e r 's e q u a tio n on [a, b) w ith b o u n d a ry c o n d itio n s
(S. 14).
W e c o n s id e r e d th e m o s t c h a r a c t e r i s t i c c a s e s w h en th e e x is te n c e of th e
i n t e g r a l s d>(n„ yu yi) p r o v id e s s o m e in d ic a tio n o f th e q u a lita tiv e b e h a v io r
o f th e m in im a l and f ix e s th e p o s itio n of th e d is c o n tin u ity p o in ts . In a d d itio n
to c a s e s I— III, t h e r e m a y b e m ix e d c a s e s w h en f o r s o m e l = th e c o n d itio n s
of c a s e II a p p ly , w h e r e a s f o r t — \i2 th e c o n d itio n s o f c a s e III. In s o m e c a s e s ,
o n ly one o f th e l i m i t s f( \iy y y ± 0,1) m a y e x i s t on th e v e r t i c a l / =
f ( (x, y, + 0,1 ). In th is c a s e , th e c o n d itio n of e x i s te n c e o f 0 ( p , */o, yo) sh o w s
th a t th e m in im a l y ( t) a t m a y o n ly d is p la y a p o s itiv e ju m p s a tis f y in g
(S. 88) o r not ju m p a t a ll, i. e ., y 0— y 0= 0,
181
1. 5. E x a m p le s
Example 1. C o n s id e r th e e x tr e m u m o f th e l i n e a r f u n c tio n a l
b
I = l [ P ( t , y ) + Q(t ,y)y']dt, y(a)=ah y W -b i. (S. 91)
a
T h is e x a m p le is of in d e p e n d e n t i n t e r e s t b e c a u s e o f n u m e ro u s a p p lic a tio n s .
We have
/ ( / , y, 0 ,D = lim p[P + Q— ]= Q (/, y);

W(t,y)=Q(f,yl
y (S. 92)
S = P ( / , y ) - j Q t ( t,- ) dl
r=const
F o r th e f u n c tio n a l (S. 91) to a tta in an e x tr e m u m on th e fu n c tio n y = y( t) ,

it is n e c e s s a r y and s u f f ic ie n t f o r th e fu n c tio n o f a s in g le v a r ia b le S(t, y) to
h a v e an a p p r o p r ia t e e x tr e m u m f o r e v e r y fix ed t b], T h e e q u a tio n of
th e e x t r e m a l is
S v= Pv (t, y ) ~ Q t ( t , y) = 0 , t £ (a, b). (s. 9 3 )
W e th u s o b ta in e d th e n e c e s s a r y and s u f f ic ie n t c o n d itio n of e x tr e m u m of
a l i n e a r f u n c tio n a l (S. 91) in th e c l a s s of c u r v e s w ith v e r t i c a l s e g m e n t s .
T h e e x t r e m a l , in g e n e r a l, c o n s i s t s of v e r t i c a l s e g m e n ts t = a and t = b and
th e c u r v e (S. 93) and b e lo n g s to th e s e t U.
E q u a tio n (S. 93) a ls o c a n b e o b ta in e d b y th e m e th o d o f v a r ia tio n s , in th e
f o r m o f d e g e n e r a t e E u l e r ’s e q u a tio n . U sin g G r e e n ’s th e o r e m , w e c a n
d e r i v e th e s u f f ic ie n t c o n d itio n s f o r a s tr o n g lo c a l m in im u m on i ts s o lu tio n
y°(t). It c o in c id e s w ith th e c o n d itio n o f lo c a l m in im u m of S(t, y) in th e
n e ig h b o rh o o d of y° f o r e v e r y fix ed t. If e q u a tio n (S. 93) h a s s e v e r a l s o lu tio n s ,
th e a b s o lu te m in im a l c o n s i s t s of p ie c e s of th e s e s o lu tio n s and p ie c e s of
th e b o u n d a ry , jo in e d by v e r t i c a l s e g m e n t s .
T h e c o n s tr u c tio n of th e a b s o lu te m in im a l f r o m th e s e p ie c e s b y th e
m e th o d of v a r i a t i o n s c o m b in e d w ith G r e e n 's th e o r e m is n ot a s im p le
p r o c e s s . O u r m e th o d p r o v id e s an a t t r a c t i v e l y s im p le s o lu tio n s to th is
p r o b le m : u s in g (S. 92) w e c o n s tr u c t th e fu n c tio n S(t, y) and fo r e v e r y fix e d
t(~ [a, b] find th e v a lu e of y(t) on w h ic h S(t, y) a t ta i n s it l e a s t v a lu e on
th e s e g m e n t IV O ^ y < T \ ( 0 .
T h e f a c t th a t S is in d e p e n d e n t of z s ig n if ie s th a t t h e r e a r e in f in ite ly
m a n y m in i m a l s u in U0. T h is c a t e g o r y in c lu d e s a n y (y, z) lin e u £ U0 w ith
a z e r o c l o s e n e s s fu n c tio n y(t) c o n s tr u c te d b y th e ab o v e m e th o d f o r an
a r b i t r a r y (fin ite ) lo c a l s lo p e z ( t ) . In o th e r w o rd s , an y s e q u e n c e of p o ly g o n a l
lin e s (yn} C U s a tis f y in g th e c o n d itio n
!/t = j7Ut + 0), \y i | < A f, £= 0, 1, . . . , n— 1,
w h e r e A f > 0 is any n u m b e r, is a m in im iz in g s e q u e n c e .
182
L e t P = Q — ty. T h e e q u a tio n of th e e x t r e m a l is / —y —0, ^)* F u r t h e r ,
S= ty— A lo ng th e e x t r e m a l S = ~ we h av e
\S = ty— -------- - = — (t-yf< 0 .
T h e r e f o r e , a lo n g a p o ly g o n a l lin e c o n s is tin g o f th e v e r t i c a l s e g m e n ts
t = a and t = b an d th e s t r a i g h t lin e (S. 93) th e f u n c tio n a l a t t a i n s its a b s o lu te
m in im u m . T h e e x t r e m a l is u n iq u e .
E x a m p l e 2. ( R a z m a d z e ). C o n s id e r th e e x tr e m u m o f th e fu n c tio n a l
b
/ = J s in (yy')dt- y ( a ) = a y ( b ) = b t. (S. 94)
a
T h e fo llo w in g c o n d itio n s a r e s a tis f ie d :
/ ( / , */, 0,1) = lim p sin ( y — \ e x i s t s an d is c o n tin u o u s ;

p ~+o V p )
^ ( < /) = 0 ;
5 (t, y,z) = F (t,y,z) = sin (yz)\
5 „ „ x = l; 5 mIn((/,z ) = - l
f o r any y and 2 , so th a t w e o b ta in th e fo llo w in g e q u a tio n s f o r th e tw o

f a m i lie s of e x t r e m a l s in (Jq:
y z — j - + 2kn, y y ' = -----Y + 2kn< ( S, 95)

k — 0, r t l , - h 2 .. . .
T h e e q u a tio n s o f th e p ie c e s of th e e x t r e m a l s b e lo n g in g to U a r e
yy' = — + y y ' = ------^ + 2 * j t .

I n te g r a tio n g iv e s
y1— (2& \ )n t-\-C t-, y t= { 2 k — \ ) j d + C,. (S. 96)

k — 0, iL 1, + 2, . . .
S in ce th e fu n c tio n S is in d e p e n d e n t of C ,, an y e x t r e m a l m a y h a v e d i s
c o n tin u itie s a t a n y p o in t t t £ \a, b].
T h e fu n c tio n a l (S. 95) th u s h a s tw o f a m i lie s o f e x t r e m a l s in (/, c o n s is tin g
o f p ie c e s w h ic h s a t i s f y th e f i r s t an d th e se c o n d e q u a tio n in (S. 96), w ith
a r b i t r a r y C*, and h av e a n y n u m b e r of d is c o n tin u ity p o in ts w ith a r b i t r a r y
a b s c i s s a s . O n th e f i r s t of th e s e tw o f a m i lie s th e f u n c tio n a l (S. 94) a t ta i n s
i t s a b s o lu te m a x im u m , a n d on th e se c o n d f a m ily i t s a b s o lu te m in im u m .
E x a m p l e 3. M in im iz e th e fu n c tio n a l
b
/ ( < / ) = ! \y\ V T T y ^ d t ;
a (S. 97)
y ( a ) = a , > 0, ^(6) = f r , > 0
183
(th e p r o b le m of th e l e a s t s u r f a c e o f r e v o lu tio n ). H e re
W ( t , y , ± \ ) = \ i m \ y \ y 1+ — — = ± 1 H
^-*•±0 r p* m
w h e r e W d e p e n d s on th e s ig n of p . T h e r e f o r e , th e f u n c tio n a l (S. 97)

c o r r e s p o n d s to ty p e II o f th e g e n e r a l c a s e .
F u rth e r,
W(y, signe) -e= |r/.e|> 0 ,

i. e ., th e fu n c tio n a l (S. 97) s a t i s f i e s th e n e c e s s a r y c o n d itio n o f th e e x i s te n c e
o f e x tr e m u m (S. 68).
L e t u s find a ty p e a e x t r e m a l . We h av e
S(t.y,z)=\y\ y i + z 2— |y |z s ig n ( ( /' — z);

(S. 98)
S (y>z ) = Iy I V T + J2—z sign (i/' —z).
We u s e th e n e c e s s a r y and s u f f ic ie n t c o n d itio n o f a lo c a l e x t r e m u m (S. 49),

w h ic h i s a l s o v a lid f o r f u n c tio n a ls w ith a d is c o n tin u o u s d e r iv a tiv e Fyt s u c h
a s (S. 97). We h a v e
Sm[n(y, z) = S ( 0, z) = 0 .
T h e e q u a tio n of th e e x t r e m a l s is
y( t ) ==0; a < t < b (S. 93)
f o r a n y z . S in c e z i s a r b i t r a r y , t h e r e e x i s t in f in ite ly m a n y ty p e a
e x t r e m a l s in U0. T h is is a r e f le c tio n o f th e f a c t th a t f o r an y c u r v e y * ( t ) ^ 0,
\y* (t) \<r]j w h e r e t] is s u f f ic ie n tly s m a ll, t h e r e is a lw a y s a p o ly g o n a l lin e
w ith a r b i t r a r y s e c tio n s lo p e s
y { =z{ti) and y {= 0 (< = 0, 1, . . . , n ) ,
w h e r e n is f in ite , s u c h th a t I ( y n) A m o n g th e s e e x t r e m a l s , t h e r e
is one w h ic h b e lo n g s to U, s p e c if ic a ll y
y( t ) = 0; z ( t ) = y ' ( t ) = 0; a < t < b . (S. 99)
T h is e x t r e m a l i s u n iq u e . It is c o n tin u o u s o n (a, b) an d h a s d is c o n tin u i tie s

a t t = a and t = b. T h e s u r f a c e o f r e v o lu tio n o f th is c u r v e c o m p r i s e s tw o
d is k s of r a d i i a,\ a n d 6 1# jo in e d by a tu b e of z e r o r a d iu s . T h e m in im u m v a lu e
of th e fu n c tio n a l (S. 97) is o b ta in e d f r o m (S. 40):
b b ,
/ min = J S mm(y,z)dt-\- 1 I ^ |s i g n ( ^ - y ( 6 ) ) r f y —
a f®0
a,
- J \ y \ ^ g n ( y ( a ) - a l) d y = - j - ( a 2l+b]).
c-0 z
184
L e t u s now find a ty p e b e x t r e m a l . F o r a c u r v e to be s u c h a n e x t r e m a l in
(J, it is n e c e s s a r y and s u f f ic ie n t f o r it to b e a n e x t r e m a l in th e c l a s s C of
c o n tin u o u s f u n c tio n s on (a, b), and f o r th e fu n c tio n a l to s a tis f y th e f i r s t i n
e q u a lity in (S. 72) a lo n g th is c u r v e .
L e t u s c h e c k th is c o n d itio n .
[W(i, y, signe) — F j,’] e = | y | [| s | — e — y' — 1 > 0 .

I VT+T'-\
T h is c o n d itio n is s a tis f ie d id e n tic a lly , an d t h e r e f o r e a l l e x t r e m a l s in C
a r e a t th e s a m e tim e ty p e b e x t r e m a l s in U . T h e e x t r e m a l s in C s a tis f y
E u l e r ’s e q u a tio n , w h o se s o lu tio n in th is c a s e i s d e s c r ib e d by th e c a te n a r y
i/ = C , c h ^ - = ^ , (S.100)
Ci
w h e r e Cj an d C2 a r e in t e g r a l c o n s ta n ts . T h e s e c o n s ta n ts a r e d e te r m in e d
f r o m b o u n d a ry c o n d itio n s (S. 72), w h ic h in t h i s c a s e ta k e th e f o r m
{/(<*) = 0; y(b) = 0\
(S. 101)
y ( a ) = a y ( 6 ) = 6 ,.
T h r e e p a i r s of b o u n d a ry c o n d itio n s (S, 101), t o g e th e r w ith (S. 100), y ie ld

th e e x t r e m a l s b, bj, b2, w h ich a r e sh o w n in F ig u r e S. 2. T h e fo u rth p a i r
y ( a ) = y ( b ) = 0 w h en in s e r t e d in (S. 100) le a d s to e q u a tio n s w h ich a r e u n s o lv a b le
f o r Cj and C2 . T h is is a r e f le c tio n o f th e e x is te n c e of a n e x t r e m a l w h ic h is
n o t a c a te n a r y , i. e ., d o e s n o t s a t i s f y E u l e r ’s e q u a tio n . T h is is th e p r e v io u s ly
c o n s id e r e d p o ly g o n a l lin e A C D B , a ty p e a e x t r e m a l , w h ich i s c o n tin u o u s an d
d if f e r e n tia b le on (a, b).
F in a lly , l e t u s find m ix e d ty p e e x t r e m a l s . S in ce th e fu n c tio n S ( y , z,

s \ gn( y' —z) ) is e v e r y w h e r e z e r o on th e t a x i s an d i s in d e p e n d e n t o f z an d ,
m o r e o v e r , y =£0 f o r a ll 5 > 0 , c o n d itio n (S. 73) is s a tis f ie d if and o n ly if
yi=yi=0-
T h u s , in a d d itio n to ty p e a an d b e x t r e m a l s , t h e r e a r e in f in ite ly m a n y
m ix e d ty p e e x t r e m a l s (ty p e c e x t r e m a l s ) in F i g u r e S. 2. H o w e v e r, o n ly tw o
185
e x t r e m a l s s a tis f y th e s u f f ic ie n t c o n d itio n s of m in im u m : th e ty p e a e x t r e m a l
by (S. 49) and th e ty p e b e x t r e m a l w h ic h is c o n tin u o u s on [a, b]. T h e a b s o lu te
m in im u m is a tta in e d on o ne of th e s e c u r v e s , d e p e n d in g on th e r e l a t i v e
p o s itio n of th e p o in ts A and B .
E x a m p l e 4. F in d th e e x t r e m a l in U of th e fu n c tio n a l
+1
/( a ) = j P y ’*di;
(S. 102)
< / ( - ! ) = - ! ; y( + 1) = ± 1.
We h av e 0 ^ / ( « ) < o o , s o th a t w e n e e d o n ly c o n s id e r a m in im u m . T h e
fu n c tio n W(t, y, ± 1 ) d o e s n o t e x i s t a n y w h e re on [— 1, 1], e x c e p t a t th e p o in t
/ —0 , w h e r e
W(0, y, l ) s 117(0, y, - 1 ) ^ 0 ,
i. e ., we a r e d e a lin g w ith a ty p e II fu n c tio n a l. T h e r e f o r e , th e e x t r e m a l of

fu n c tio n a l (S. 102) c o n s i s t s of tw o c o n tin u o u s p ie c e s jo in e d a t t —0 by a
v e r t i c a l s e g m e n t. T h e le f t p ie c e is th e e x t r e m a l of th e fu n c tio n a l
/,= j t2y ' 2dt + j W ( 0 , y ) d y = J t2y ' 2dt
f o r y ( — 1 ) = — 1 and th e r ig h t p ie c e is th e e x t r e m a l of th e f u n c tio n a l
ifo i
t2y ' 2d t - \- ) W (0 , y) d y = § Py' 2dt
C 0
f o r y ( \ ) = 1.
E a c h of th e s e f u n c tio n a ls if p o s itiv e d e f in ite an d v a n i s h e s f o r y' = 0.
H en c e, t h e i r m in im u m is a tta in e d on s t r a i g h t lin e s p a r a l l e l to th e t a x is
w h ic h p a s s th r o u g h th e p o in ts ( - 1 , - 1 ) and (1, 1), r e s p e c ti v e ly . T h e
e x t r e m a l u0 c o n s i s t s of th e s e s t r a i g h t lin e s and a jo in in g s t r a i g h t s e g m e n t
t= 0,
f ( u 0) = 0 .
Example 5. M in im iz e th e fu n c tio n a l
a (S. 103)
y ( d ) = a l- y ( b ) = b 1.
We h av e
0 , 1 ) = I'm - —-[y>( \ - \ - p ) Jr $ t o p ) = y i,
p~> ±0 p
186
i. e ., }(t, y, 0, l ) 2 e x i s t s and i s c o n tin u o u s . M o r e o v e r,
W=y*;
S = y2 + sinz;
Sm\n(y,z)= S (0,2nm---- | - ) = — 1 .
m = 0,1,2,...
T h e fu n c tio n a l (S. 103) h a s c o u n ta b ly m a n y m in im a ls o. T hey a ll

h av e a c o m m o n z e r o c l o s e n e s s lin e
y ( t ) = 0; a < t < b (S. 104)
w ith d if f e r e n t lo c a l s lo p e s
* m (0 = 2 jw « --§ -. (S. 105)
T h is s e t c o n ta in s no li n e s f r o m U .
§ S. 2. F U N C T IO N A L ON T H E S E T O F F U N C T IO N S
W ITH A B O U N D ED D E R IV A T IV E
T h e a b o v e r e s u l t s c a n be a p p lie d to th e f u n d a m e n ta l p r o b le m of m in im iz in g
th e fu n c tio n a l
/ (u) = ^ F ( t , y yp ) d t (S.106)
a
u n d e r th e c o n s tr a in t
y'=g(t,y,p>. (S. 107)
\P\<U (S. 108)
y(a) ~ ai\ y(b)=bi. (S. 109)

It is a s s u m e d th a t F ( t y, p) a n d g ( /, y, p) a r e c o n tin u o u s an d h av e c o n tin u o u s
p a r t i a l d e r i v a t i v e s f o r an y t and y f o r |/? |< ; I. It i s m o r e o v e r a s s u m e d th a t
f o r th e s e t, y, p
^ - > ° (S .1 1 0 )
an d th e fu n c tio n s g(t, y } I) and g ( t , y, — 1) r e t a i n a c o n s ta n t s ig n .

O u r p r o b le m th u s c a n be s ta te d a s fo llo w s : a m o n g th e p a i r s o f f u n c tio n s
y ( t ), p(t) s a tis f y in g c o n d itio n s (S. 107), (S. 108), (S. 109), fin d a p a i r y(t)> p( t )
on w h ic h th e fu n c tio n a l (S. 106) a t ta i n s i t s m in im u m v a lu e . If y(t) i s g iv e n ,
e q u a tio n (S. 107) u n iq u e ly d e f in e s th e fu n c tio n p(t) = g ~ l (ty y ( t ) , y' (t)). T h e
p r o b le m is t h e r e f o r e e q u iv a le n t to m in im iz in g th e f u n c tio n a l
187
»
/ ( y ( 0 ) = j ? (t,y,y')dt (S. I l l )
a
y ( a ) = a l\ y { b ) = b l
on th e s e t o f f u n c tio n s y( t) w ith a b o u n d ed d e r iv a tiv e
g ( t , y , - \ ) < y ' { t ) < g ( t , y, 1). (S .1 1 2 )
H ere
y, y') =F[t, y, g ~1(t, y, y')]. ( S. 113)
L e t u s e lu c id a te s o m e p r o p e r t i e s of th e s e t o f c o m p a r is o n lin e s , w h ic h
i s d e s ig n a te d Up :
1) By (S. 107), (S. 108), and (S. 110), th e fu n c tio n y( t) is c o n tin u o u s a lo n g
th e lin e u (~UP an d /? (/)(a n d h e n c e y' (t)) is b o u n d ed an d m a y h a v e d i s
c o n t in u iti e s o f th e f i r s t k in d .
2 ) T h e lin e u(Ûp b e lo n g s to a c lo s e d s im p ly c o n n e c te d r e g io n G in th e
( t y) p la n e w h o se u p p e r b o u n d a ry y = T 2 (t) c o r r e s p o n d s to th e s o lu tio n s of th e
e q u a tio n s
y ' = g ( t , y . 1) and y ' = g { t , y, — 1),
r e s p e c t i v e l y , p a s s in g th r o u g h th e p o in ts A(a, a i) an d B ( b , 61) and th e lo w e r

b o u n d a r y |/ = r i ( 0 to th e s o lu tio n of th e e q u a tio n y ' = g ( t , y, 1) p a s s in g th r o u g h
B an d th e s o lu tio n o f th e e q u a tio n y f —g { t, y t — 1) p a s s in g th r o u g h A .
3) We im p o s e a n a d d itio n a l r e s t r i c t i o n on U p, n a m e ly th a t p(t) is
p ie c e w i s e - s m o o th and m a y o n ly h a v e a f in ite n u m b e r o f d is c o n tin u i tie s
o f th e f i r s t k in d , and c o n s e q u e n tly m a y o n ly c o n ta in a f in ite n u m b e r of
s e c t i o n s w ith p = 1 o r p ~ — 1.
L et
y = ’t(t,i); )
(S. 114)
y=W ,T) 1
be th e g e n e r a l i n t e g r a l s of th e e q u a tio n s
y'=g(t, y, i)
an d
y'=g(t, y, — 1),
re s p e c tiv e ly . H e r e T and T a r e in t e g r a l c o n s ta n t s . We h a v e
fi=g(t,y,i); ) ,
* / , = g ( t , y - 1). 1 ( '
In v i r t u e o f th e a b o v e p r o p e r t i e s o f th e fu n c tio n g ( t , y y p), o n ly c u r v e
«/=<p(/, t ) o r y ^ i p i t , T) p a s s e s th r o u g h e a c h p o in t /0, yo in G , i. e ., to e v e r y
p o in t {to,yo) c o r r e s p o n d s a s in g le p a i r o f v a lu e s % an d T.
188
C o n s id e r a p a i r o f p ie c e w i s e - s m o o th fu n c tio n s y(t) £ U p a n d q ( t ) ,
w h e r e |< 7 |^ 1 . We c o n s tr u c t th e fo llo w in g s e q u e n c e o f p o ly g o n a l lin e s
{Y"} £ Up : th e s e g m e n t \a, b] is p a r titio n e d in to n in t e r v a l s by th e p o in ts
c l ~ .. . <^tn—\<Ctn = b.
We ta k e
y n (t i ) =y{t i ) (S. 115a)
an d th r o u g h e a c h p o in t (tu y(U)) p a s s a p a i r o f c u r v e s t<) an d

0— Ti) w h ic h to g e th e r w ith th e p a i r y —^ ( t t t*+i), y=^^(t, 7\+i) on /<+1)
d e f in e a r e g io n G* of th e a d m is s ib l e v a lu e s o f y n (t)> w h ich is c o n s tr u c te d
a lo n g th e s a m e lin e s a s th e r e g io n G. F o r a ll (/;, tff+1) w e ta k e
Pn = q(t) (S. 116)
an d y n (t) i s c o r r e s p o n d in g ly s e t e q u a l to th e s o lu tio n of th e e q u a tio n

y ' = g ( t , y, q( t)) f o r th o s e t £ (ti, ti+i) w h e r e th is s o lu tio n b e lo n g s toG,-, and
Un(t) =(p(t, Ti+i) o r y „ ( 0 = t Ht, T’.+i) (S. 117)
f o r a l l o th e r t £ (f,-, fj+i). T h e c h o ic e of e q u a lity (S. 117) i s d e t e r m in e d by

th e c o n d itio n o f c o n tin u ity of yn(t).
We s a y th a t th e s e q u e n c e {Yn} a p p r o x im a te s to th e lin e u £ U p o r {Yn} —
an d c o r r e s p o n d in g ly {yn (t) }— u if
y'(t)=g(t> y> q) (s. n s )

a l m o s t e v e r y w h e r e on {a, 6]J an d f o r n —*oo,
| G + 1— ^»|max—'■0. (S . 119)
If th e p a i r y, q d o e s n o t s a t i s f y (S. 118), we s a y th a t {yn} a p p r o x im a te s to

a (y, q) lin e U q ^ U p , o r fy n } —-Wo; y(t) is th e z e r o c l o s e n e s s fu n c tio n o f th e
lin e u0, and q(t) i s a lo c a l v a lu e of th e p a r a m e t e r p.
We ta k e
/( « o ) = lim I ( u n). (S. 120)
T h e o r e m 1. T h e fu n c tio n a l f(uo), Wo (- U g t e x i s t s an d m a y be r e
p r e s e n te d in th e f o r m
/(« o )= $ \F ( t , y , ± V + \ F V,y,<J)-F ftjMfcOI) x
X — y' —eV-V' ± 1(— at, (s. 121)

g{t>y,q) — ± U
189
w h ere
± 1=signQ/'—g(t, y, q)].
We h av e
n—1
1 (?*) = 2 + F ['V,{//,sign(i/,+1 —
1-0 __ _
(^/+i“ ^/)) + o ( a^/), (S. 122)
w h ere
yi = y{ti) \ q i ^ q ( ti ) ; A/, = /i + r /{,
/,• £ (*<» fi+i) is th e a b s c i s s a o f th e p o in t w h e r e th e s t r a i g h t lin e
y ^ y i + g i t u yu ?*) (/—/,•) (S. 123)
m e e ts th e b o u n d a ry of G,-, i. e ., i n t e r s e c t s th e c u r v e y = y(t, r»+i) if

y i+i— y ( t i ) > 0 and th e c u r v e y = ^ ( t , 7\+i) if y i+i ~ y ( t i ) < 0 .
We have
*i — y' Vi) —g(t;,yh ± ]) _ j_o(A/-V

Mi g (tj ,yl tqi) —g (ti,i/it ± 1) '
(S. 124)
S'gn [<//+i —yUi)] = sign [yi+l — y , — g (t i, yt, qt) X
X M, ] = sign [y’(t,) - g{t„y,,q,) + o (A*1;)].
F o r s u f f ic ie n tly s m a ll A/,-,
sign[y.+i—«/(?i) ] = sign[{/r(/,) —g y u ?.)], (S. 125)
y'Ui)^g(ti, y{, <7i).
F r o m (S. 122), u s in g (S. 124) and (S. 125), we find

n—l
1 yt 4 i ) - F V h </,-.±i)]) x
/-0
X (S. 126)
g{ti,yi>qi) —g{*i,yi, d- i,
1) ■> J a/ , + o ( a/,).
T h e a r g u m e n t ± 1 in th e s e e x p r e s s io n s s ta n d s f o r
sign[f/'(*i)—g ( tu yu <7i)]-
In v ir tu e o f th e p r o p e r t i e s of F(t, y, q ) f y ( t ), and<7(/), th e fu n c tio n
(t,y,<J)- F ( t , y , ± 1)] , / + F ( t , y (0. ± 1) (S. 127)

g ( l , y ( t ) , q ( t ) ) - g ( t , y ( / ) , ± 1)
190
is b o unded and c o n tin u o u s a l m o s t e v e r y w h e r e on [a, b]. T h e r e f o r e , by th e
L e b e s g u e th e o r e m , it is R ie m a n n - in te g r a b le . T h e li m i t (S. 120), w h e re
/(Yn) is d e fin e d by (S. 126), t h e r e f o r e e x i s ts , is e q u a l to (S. 121), an d d o e s
n o t d e p e n d on th e c h o ic e of th e s e q u e n c y {Yn} — «o. Q. E . D.
C o r o l l a r y 1. If y f —g ( t , y, q), th e in te g r a n d in (S. 121) is e q u a l to
F(t, y y q) and, th e r e f o r e , d e f in itio n s (S. 106) and (S. 120) c o in c id e on Up.
C o r o l l a r y 2. S in ce y' e n t e r s th e in te g r a n d in (S. 121) in l i n e a r f o r m
f o r y'—g(t, y, q ) ^ 0 , an d d o e s not a p p e a r in th e in te g r a n d a t a ll f o r
y ' — g(t, y, <7)=0, th e fu n c tio n a l (S. 121) is c o n tin u o u s on in th e s e n s e th a t fo r
a n y g iv e n e > 0 t h e r e e x i s t s 6 > 0 s u c h th a t
|/ ( u ) —/ ( u ) |< e , (S. 128)
if | y —y |< T |, \q—g |< 6 a l m o s t e v e r y w h e r e on [a, b]. A c c o rd in g to th e le m m a ,

th e m in im a ls in Up and U% c o in c id e , and t h e r e f o r e in s te a d of m in im iz in g th e
f u n c tio n a l in U p w e c a n m in im iz e it in th e c l a s s of (y, q) lin e s , u s in g
e x p r e s s io n (S. 121) f o r /(wo). H o w ev er, e x p r e s s io n (S. 121) in i t s o r ig in a l
f o r m is not p a r t i c u l a r l y c o n v e n ie n t f o r th e d e t e r m in a tio n of th e a b s o lu te
m in im u m , s in c e it c o n ta in s th e d e r iv a tiv e of th e z e r o c l o s e n e s s fu n c tio n y'.
We w ill ad o p t a d if f e r e n t a p p r o a c h and t r y to e s ta b l is h a r e la tio n s h i p b e tw e e n
th is p r o b le m and th e p r o b le m of m in im u m of I ( u 0), u0 £ Uq . T o th is en d ,
w e u s e (S. 31) and T h e o r e m 3. A long an y lin e u ^ U p, th e e q u a tio n y(t) =
= (p(^, t) d e f in e s a p ie c e w is e - s m o o th fu n c tio n t —t(x) w h ich h a s d i s
c o n tin u itie s of th e f i r s t kin d a t th e p o in ts T = |ii ( /= 1, 2, ri) c o r r e s p o n d in g
to th e s e c ti o n s p(t) = I of th e lin e u , if an y . S in ce e a c h t c o r r e s p o n d s to a
s in g le t> th e v a r ia b le t c a n b e c h o s e n so th a t t ( t) is a n in c r e a s i n g fu n c tio n ,
i. e .,
— >0 (S. 129)
dx
on th e s m o o th s e c tio n s and
£ ( t + 0 ) —t ( x—0 ) > 0 (S. 130)
a t th e d is c o n tin u ity p o in ts .
T h e fu n c tio n a l I(u) m a y be c o n s id e r e d on th e s e t of th e fu n c tio n s y( t) ,
an d not on th e s e t o f y ( t ) , if we m a k e th e fo llo w in g s u b s titu tio n o f v a r i a b l e s
in (S. 106):
/ = <Pi(*. </);
1) (S. 131)
at— ax,
w h e r e <pi (t, y) is th e i n v e r s e o f <p(t, t). S in ce g ( t , y, 1) m a in ta in s a c o n s ta n t

sig n , it e x i s t s and is c o n tin u o u s and d if f e r e n tia b le .
We h a v e
n
/ ( « ) = 2 J / r i ( T- ^ ) r f t + (S. 132)
i= i n
191
<f>ug (vuy*l )g(9uy>p)
y = g i ( r ,y,p) (S. 133)
g(vi,y,i) — g(vi'yup)
w h ere
v.l=a = x(a,al), f*„= P = T (*A ); ( S. 134)
Fi = F{ t i ,y,P) (S. 135)

g(<ei ,</.>) — g(<ei ,y,p)
^ [ yi (T,€),e.ii (S. 136)
® (W )= J ^ (< .?(< ,t),! ) < « = $ dl;
C o n s id e r th e s e t Uz of p ie c e w i s e - s m o o th lin e s on w h ich th e fu n c tio n

y(x) is s in g le - v a lu e d e v e r y w h e r e , e x c e p t a fin ite n u m b e r of p o in ts t = p*,
w h e r e y(x) m a y h a v e d is c o n tin u i tie s of th e f i r s t k in d . In th e (r, y ) p la n e ,
th e s e t U' is a p e r f e c t a n a lo g of th e s e t U in th e {t, y) p la n e , a s in tr o d u c e d
in C h a p te r II.
We h av e l)p Q U*. L e t u (~ U \ T h is lin e b e lo n g s to Up if
p( t ) > - 1 ; 1
K P i+ 0 )-j(frO )> 0 . 1 (S. 137)
T h e c o n d itio n p ( t ) ^ l is s a tis f ie d a u to m a tic a lly , in v i r t u e o f th e p a r t i c u l a r

c h o ic e of th e in d e p e n d e n t v a r ia b le t . T h e v e r t i c a l s e g m e n ts of th e lin e u
in th e (t, y) p la n e , r = p i , a r e th e s o lu tio n s of th e e q u a tio n (S. 107) f o r p = 1.
It fo llo w s f r o m (S. 133) th a t fo r */ — oo, we h a v e p —+l. p ( x f y , y) c a n be
e x p r e s s e d f r o m (S. 133). I n s e r tin g th e r e s u l t in (S. 135), we o b ta in th e
f u n c tio n F ( x , y, y). We h av e
W ( T ,y )= lim F , (t,y,y) ,1} • (S. 138)

i-„ y
T h e f u n c tio n a l I{u), u £ U z, is d e fin e d by (S. 132). S in ce th e in te g r a n d in

(S. 136) c o in c id e s w ith th e lim it (S. 138), and th is lim it d o e s n ot d e p e n d on
th e s ig n of th e d if f e r e n c e y\ — yi th is d e f in itio n c o in c id e s w ith D e fin itio n 1
f ro m § S. 1, and th e fu n c tio n a l I (u) , u £ £ / T, c o r r e s p o n d s to ty p e I of th e
g e n e r a l c a s e , w hen th e fu n c tio n pF\ y, —j e x i s t s an d is c o n tin u o u s f o r
p = 0 . T h e r e f o r e a ll th e th e o r e m s f o r m u la te d f o r th is c a s e s t i l l a p p ly to th is
fu n c tio n a l.
We in tr o d u c e th e s e t of (y, z) lin e s £ /j. H e re z is th e lo c a l s lo p e of th e
lin e Uo (- £/j in th e c o o r d in a te s t, y . T o e v e r y z c o r r e s p o n d s s o m e q d e fin e d
by th e e q u a tio n
2 =gi( r, y , q). (S. 139)
T h is is a o n e - to - o n e c o r r e s p o n d e n c e , s in c e > 0 f o r z = o o . S in ce
dq
g i(t, y , q) is c o n tin u o u s , w e h av e z —*z0 if <7— q0, and v ic e v e r s a . T h e lin e
u0 m a y t h e r e f o r e be d e fin e d e i t h e r by th e p a i r o f fu n c tio n s (y, z ), o r
192
by th e p a i r (y, q). We h a v e r e f e r r e d to th e fu n c tio n q a s th e lo c a l v a lu e o f
th e p a r a m e t e r p . By T h e o r e m 1, we m a y w r i te
0
/ ( « o )= J S ( r , y , z ) d x + 9 & ( a , a t,c);
(S. 140)
y
S = f x( r , y , z ) - W ( r , y ) z - \ W\(r,S)<«.
C
w h e r e c i s a n a r b i t r a r y c o n s ta n t, o r , u s in g (S. 133) an d (S. 135),
(S. 141)
I (« o )= j S,(x,y,q)dx-\-<b($,bhc) — ®(a,<z„c);
*S‘l = <Plx F(v\,y,g)g(v\*yA) — ^(y,y.0g(yi.y.<y)

£ (?i (*,</).4*. 0 — £(<pi (x,y),y,g)
Ft (Yi >1/ >1) ^ ( y t >i ) — F(<?} >y,i)gt Q p i.y .l)
(S. 142)
y) S1(V>Ct(?),y,l) d y-
T h e th e o r e m s of § S. 1 e n s u r e a c o m p le te s o lu tio n of th e p r o b le m of
m in im iz in g / on Ux. T o a p p ly th e s e th e o r e m s to th e p r e s e n t c a s e , we h a v e
to e s t a b l i s h a r e la tio n s h i p b e tw e e n th e s e t s f /j an d Up T h is r e la tio n s h i p
is e s ta b l is h e d by th e fo llo w in g le m m a .
L e m m a 1. C o n s id e r a (yt q) lin e Uo £ £/j. A n e c e s s a r y an d s u f f ic ie n t
c o n d itio n f o r th e e x is te n c e of a s e q u e n c e of p o ly g o n a l lin e s {yn} {y*} C Up>
i. e ., a n e c e s s a r y and s u f fic ie n t c o n d itio n f o r «0 (~ U%, is th a t th e f u n c tio n s
<7(t)and y{x) s a tis f y th e c o n s t r a i n t s
q{ T ) > - 1 ; (S. 143)

y —gi (t, y, ? ) > o (S. 144)
a t th e p o in ts of c o n tin u ity of y(x) an d th e c o n s t r a i n t
y( \n) —y{\ H)> 0 (S. 145)
a t th e p o in ts of d is c o n tin u ity fi* of y ( t) .

Necessity. 1) By (S. 137), th e s e q u e n c e {yn } a p p r o x im a tin g a (y, q)
lin e u £ //J b e lo n g s to Up if
?(* )> - 1 ; (S. 146)

y i — y {> o.
(S. 143) fo llo w s d i r e c t l y f r o m th e s e in e q u a li tie s .

2) L e t a t th e p o in t To £ (a, p),
y (to )—^ i(t0, y(x0), <7(to)) < 0 .
L e t yn be a n a p p r o x im a tin g p o ly g o n a l lin e s u f f ic ie n tly c lo s e to u, an d x*

an d Tt+i, Ti<To^*Tt+i, a r e th e p a r ti tio n p o in ts c l o s e s t to to. We h a v e
193
y i+ i— yt+1— 1 y n ( x* ) ‘ &Ti —
= \ y (To)— g f a . y fa ), y (To))+ ° (at,)] a t ,. ( s. i 4 7 )

H e r e t * (3 f a , t i + i ] , A T i = T i + i — t,-. C h o o s in g n so th a t A ti i s s u f f ic ie n tly s m a ll,
w e fin d
yi+i—yi+1<0.
T h is s ig n i f ie s th a t (S. 137) is n o t s a tis f ie d a t th e p o in t ti+ i, i. e ., f o r

/z>JV(Ati), th e s e q u e n c e {yn } d o e s n o t b elo n g to Up. T h u s , (S. 143) an d
(S. 144) a r e n e c e s s a r y c o n d itio n s . T h e n e c e s s i t y o f (S. 145) i s s e lf - e v id e n t.
Sufficiency. L e t (S. 143), (S. 144), an d (S. 145) a p p ly . T h e c o n d itio n
p < l i s s a t is f ie d a u t o m a t ic a lly on th e e n t i r e s e t U z (an d t h e r e f o r e on U p a ls o )
b e c a u s e of th e p a r t i c u l a r c h o ic e of th e in d e p e n d e n t v a r ia b le t . C o n s tr u c t
a s e q u e n c e of p o ly g o n a l lin e s {yn} a p p r o x im a tin g a (y, q) lin e Uo (3 f a . We
w ill sh o w th a t f o r ti >N, {yn} QUp. T o th is en d it s u f f ic e s to sh o w th a t
(S. 146) is s a t i s f i e s f o r n > N . T h e f i r s t c o n d itio n is t r u e by (S. 143). Now,
l e t th e z e r o c l o s e n e s s fu n c tio n y( t) be c o n tin u o u s and d if f e r e n tia b le on
(ti-i.Ti):
T/ xi
yt—hi = y i- \ —j g \ d ' = \ (y—gi^,y,<i))dr.
’/-I ’H
B y (S. 144)
y — g i> o .
s o th a t
y<—y i > o.
L e t now y ( t) h a v e a d is c o n tin u ity on t, ) . F o r s u f f ic ie n tly l a r g e n
( s m a l l Atmax). t h i s i s th e o n ly d is c o n tin u ity o n (r,_i, ti). T h e n
y i —yi = y W —~y iv) - f o ( at,. ),

w h e r e (.1 is th e p o in t of d is c o n tin u ity of y{x). By (S. 145), f o r s u f f ic ie n tly
l a r g e n.
Vi— yC& o.
T h u s , f o r n > N , (S. 146) i s s a tis f ie d f o r a ll i= 0 , 1, n — 1, n . H en ce

{Yn}C U p . Q. E . D.
A s i m i l a r le m m a f o r th e l in e s u £ f/J i s p r o v e d by r e p la c in g (S. 143),
(S. 144), an d (S. 145) w ith th e fo llo w in g c o n d itio n s :
?< 1; (S. 148)
gt{T,y,q)<0 (S. 149)
194
a t th e p o in ts w h e r e y( t ) i s c o n tin u o u s , and
WT\ + 0 ) -* /(7 \— 0 K 0 (S. 150)
a t th e p o in ts 7\ w h e r e y ( T) is d is c o n tin u o u s .
L e t y , q be a p a i r o f fu n c tio n s s a tis f y in g th e c o n d itio n
(S. 151)
an d y*, q* a p a i r s a tis f y in g th e c o n d itio n
Si(T,y*,q*)= inf S t (T,y,q). (S. 152)
H e r e U£ , gziT, y, q), S 2(Ty y, q) a r e th e a n a lo g s of f/g , g h Si in th e c o o r d in a te s

T. y.
We now p r o v e th e fo llo w in g th e o r e m .
T h e o r e m 2. L e t th e (y, q) lin e u £ £/g d e fin e d by th e p a i r y y q s a tis f y in g
(S. 151) s a t i s f y c o n d itio n s (S. 143), (S. 144), (S. 145). T h e n u is th e a b s o lu te
m in im a l o f th e fu n c tio n a l (S. 106), i. e ..
/ ( 2 ) = inf f(u). (S. 153)

ueup
It fo llo w s f r o m e x p r e s s i o n (S. 141) f o r I(u) , u £ £ 7 g ,th a t u is a m in im a l
on th e s e t of th e [y, q) l in e s u £ £ /g s a tis f y in g th e a d d itio n a l c o n d itio n q ^ — 1.
S in ce th is s e t e n c lo s e s Up, w e h a v e / ( £ ) < / (a), a £ £/*.
If u s a t i s f i e s (S. 144) an d (S. 150), t h e r e e x i s t s a s e q u e n c e {yn } —*•£,
{ V n } C U p . T h u s, by d e f in itio n of th e lo w e r bound.
/ (u ) — inf / (u).
ueup
Q. E. D.
A s i m i l a r p r o o f c a n be g iv e n fo r T h e o r e m 2*.
T h e o r e m 2*. I f a lin e u* £ U T 0 d e fin e d by th e p a i r y *, q * s a tis f y in g
(S. 152) s a t i s f i e s c o n d itio n s (S. 149), (S. 150), w e h a v e
/ ( u * ) = inf I(u). (S. 154)
u 6u p
Corollary. L e t th e lin e w* £ U*Q d e fin e d by (S. 152) s a t i s f y (S. 148),
(S. 149), (S. 150), i. e ., u* (z U p . T h en , if I (u ) =£l(u*), w h e r e /(S ) i s d e fin e d
by (S. 141), th e lin e u d o e s not s a tis f y (S. 144), (S. 145), i. e ., u d o e s n o t
b e lo n g to U%. T h e r e v e r s e p r o p o s itio n i s a l s o tr u e .
In d ee d , s u p p o s e th a t th e s e c o n d itio n s a r e s a tis f ie d on u £ £/g. T h en , by
T h e o r e m s 2 an d 2*, / ( u ) , u ( ^ U p, h a s th e lo w e r b o u n d s I ( u ) an d in
c o n t r a d ic t io n to th e d e f in itio n o f th e lo w e r bound.
T h e o r e m 3. L e t th e f u n c tio n a l (S. 106) h a v e a m in im u m o n th e (y, q)
lin e u £ U p. F u r t h e r m o r e , l e t th e fo llo w in g in e q u a li tie s h o ld t r u e a l m o s t
e v e r y w h e r e f o r th e p a i r s y , q an d y*y q* d e fin e d by (S. 151) a n d (S. 152):
(S. 155)
195
T h e m in im a l i s th e n a c o n tin u o u s p ie c e w i s e - s m o o th fu n c tio n .
S in ce u £ £ /£ , w e s e e th a t y ( 0 anc^ a r e p ie c e w is e - c o n tin u o u s an d ,
t h e r e f o r e , u m a y c o n s is t o n ly of a f in ite n u m b e r o f s e c ti o n s o n w h ic h o n e
o f th e fo llo w in g t h r e e c o n d itio n s i s s a t i s f i e d : e i t h e r 1) y'(t) —g(t , yy q ) > 0,
o r 2) y'(t) —g(t, y, q ) = 0 , o r 3) y'(t)—g(t, y, ? ) < 0 .
By th e r e m a r k to T h e o r e m 1, c o n d itio n (S. 151) sh o u ld be s a t i s f i e d on
th o s e s e c ti o n s w h e r e y ' — y\ g ) > 0 , i. e ., y —y an d q = q , b u t th is
c o n t r a d i c t s (S. 155). C o n s e q u e n tly , s u c h s e c ti o n s do n o t e x is t. S im ila r
a r g u m e n t p r o v e s th a t s e c ti o n s o f ty p e 3 d o n o t e x i s t e i t h e r . T h e r e f o r e ,
w e h a v e a l m o s t e v e r y w h e r e on [a, b]
. y, g)=o, (S. 156)
i. e ., u ^ U p .
Corollary. S in ce th e m in im a l u is p ie c e w is e - s m o o th , it c a n
b e d e t e r m in e d by o r d in a r y c l a s s i c a l m e th o d s , e. g ., th e m a x im u m p r in c ip le .
T h e m in im a l c o n s i s t s of a f in ite n u m b e r of E u le r p ie c e s an d p ie c e s h a v in g
th e l i m i t d i r e c t i o n p( t) = ± 1.
T h e o r e m 4. L e t [ti, T2] £ [a, p] b e a n is o l a te d s e g m e n t on w h ich th e
f u n c tio n s y ( x), q(x) o b ta in e d f r o m (S. 151) s a t i s f y c o n d itio n s (S. 144), (S. 145).
We c o n s t r u c t th e fo llo w in g o b je c t u :
1. O n [a. Til, th e m in im a l U c o in c id e s w ith th e a b s o lu te m in im a l o f th e
fu n c tio n a l
(S. 157)
w ith a f r e e r ig h t end y i = y ( t i ) .
2. O n (ti, X2 ), th e o b je c t 5 i s a {y, <7) lin e :
y=~y(x); g = ? ( x)- (S. 158)
3. On [t2, P), th e o b je c t u c o in c id e s w ith th e a b s o lu te m in im a l o f th e

f u n c tio n a l
/j(«2,y>)=j F \ (x,y<p)* x+ ® (*2.1/2), (S. 159)
w ith a f r e e le f t en d y 2 —y ( t 2 )-
If
y i < y ( ri);
(S. 160)
y*i ^ y ( T2)1
th e o b je c t u i s th e a b s o lu te m in im a l o f th e fu n c tio n a l (S. 106), i. e .,
I ( u ) = inf / ( « ) . (S. 161)

u e Up
Proof. T h e fu n c tio n a l I ( u ) m a y b e w r i tte n in th e f o r m
Ti t,
/ ( w ) = j /=■,* — ®(T,,yI) + J’ S{x~y,q)dx-{-
196
p _ _ tl ___
+ J / r I^ T + ® ( T 2, y 2) = = / 1( a 1, ^ l ) + / 2 ( « 2 ^ 2 ) + J
T, T,
S im ila r ly , a lo n g a n y lin e u ^ U p ,
1 ( « ) = /1 ( « i, ( / i) + / 2(M2.«/2) + J ^ (v , y , p ) d r .
By th e c o n d itio n s of th e th e o r e m .
^2(w2>{/2) — 12(a 21</2)^' 0;

T , x 9 <ta
J S ( i , y , p ) d x — J S(T,];,<?)rfT=J*i [5 (t,j/,p )— 5 ( t,1 /,< 7 ) ] > 0,

*«
an d t h e r e f o r e
I ( u ) — I (u ) > 0 .
On th e o th e r h a n d , by th e c o n d itio n s of th e th e o r e m an d by L e m m a 1, we
s e e th a t t h e r e e x i s t s a s e q u e n c e {yn } C Up s u c h th a t / (yn) — /( k ) . T h e r e f o r e ,
in v ir tu e o f th e d e f in itio n of th e lo w e r bound, (S. 161) a p p lie s . Q. E. D.
Remark. If /i = a o r t2= b , (S. 160) is r e p la c e d o n ly by th e f i r s t o r th e
s e c o n d in e q u a lity , r e s p e c ti v e ly .
Corollary. If (S. 160) i s now s a tis f ie d a t th e p o in ts X\ an d x2, th e
e x t r e m a l p a i r ( y ( t ) , g ( t) ) d o e s n o t n e c e s s a r i l y c o in c id e w ith z/(t), q( t) on
[ti, x2], but s o m e of i t s p r o p e r t i e s e m e r g e f r o m T h e o r e m 3.
1. If t h e r e e x i s t a t l e a s t tw o p o in ts t = 6i, t —£2 w h e r e
< /(*)= £ (*)> (S. 162)
f o r T £ [£ 1, I2] w e h a v e y — y an d q = q.
2. If c o n d itio n (S. 160) i s n o t s a tis f ie d a t a s in g le p o in t, Ti s a y , w e h a v e
y W ^ y ( x) f o r [ti, T2]. If a t l e a s t one r o o t £ £ [ti, T2] of e q u a tio n (S. 162)
e x i s t s in th is c a s e , f o r £ < t< T 2 w e h a v e y = y, q = q- An a n a lo g o u s th e o r e m
c l e a r l y c a n be p r o v e d f o r a n is o l a te d s e g m e n t [t 1, t2] o n w h ic h th e fu n c tio n s
y( t) and q{t) d e fin e d by (S. 152) s a tis f y (S. 149) an d (S. 150). I n e q u a litie s
(S. 160) sh o u ld r e v e r s e t h e i r s ig n in th is c a s e .
Discussion. 1. It fo llo w s f r o m th e th e o r y th a t th e f u n c tio n a l ( S. 106)
on th e s e t U p of f u n c tio n s w ith a b ounded d e r iv a tiv e h a s (y, q) m in i m a l s w ith
a ’’b r a n c h e d " d e r iv a tiv e , s i m i l a r to th e (y, z) m in i m a l s o f th e s i m p l e s t
f u n c tio n a l. T h e r o l e o f th e v e r t i c a l d ir e c tio n s in th is c a s e is a s s u m e d b y
th e d ir e c tio n s p = ± l .
2. A s f o r th e s i m p l e s t f u n c tio n a ls of ty p e I (th e f u n c tio n pFyt, y, is
c o n tin u o u s f o r p —0), th e s o lu tio n o f th e v a r ia tio n a l p r o b le m sh o u ld n o t s t a r t
w ith th e s o lu tio n o f E u l e r 's e q u a tio n s , i. e ., w e s h o u ld n o t a t te m p t to fin d a
w e a k lo c a l m in im a l on th e c l a s s Ci. A b e t t e r a p p r o a c h i s to s e t u p th e
f u n c tio n S\(t, y> <7) ( o r S 2(t, y , q)) an d to fin d i t s m in im a y ( x ) , q(x) f o r e v e r y
fix e d [a, ffl. If th e f u n c tio n s y( x) , £ (t) s a t i s f y th e c o n d itio n s o f T h e o r e m 2
197
( T h e o r e m 2*), th is c o m p le te s th e s o lu tio n . T h e f u n c tio n s y ( t ) , q{x) d e fin e
a (y , q) lin e u on w h ic h th e fu n c tio n (S. 106) h a s a n a b s o lu te m in im u m .
If a l m o s t e v e r y w h e r e on [a, p],
V—g i ( ru y, q ) =0 ,
we have u O th e r w is e , th e p a i r y , q d e f in e s a m in im iz in g s e q u e n c e
{Yn} ( z ^ p • F o r a n y g iv e n e > 0 , t h e r e e x i s t s N s u c h th a t f o r n > N ,
\I(u)—I(u )\< e,
w h e r e u is an y lin e f r o m Up.
3. If th e c o n d itio n s of T h e o r e m 2 a r e n o t s a t is f ie d on u and u*f
T h e o r e m 4 e n a b le s u s to id e n tify p ie c e s of th e a b s o lu te m in im a l on th o s e
s e g m e n ts w h e r e th e c o r r e s p o n d in g c o n d itio n s h o ld tr u e . T o o b ta in a c o m p le te
s o lu tio n of th e p r o b le m in th is c a s e , w e h a v e to find th e p ie c e s o f m in im a l on
th o s e s e c ti o n s w h e r e th e c o n d itio n s of T h e o r e m 4 do n o t h o ld tr u e . T h e s e
p ie c e s c o in c id e w ith th e m in im a ls o f th e c o r r e s p o n d i n g f u n c tio n a ls (S. 157)
an d (S. 159) d e fin e d on th e c o r r e s p o n d in g s e c tio n s .
4. If th e li n e s u and u* s a tis f y th e c o n d itio n s of T h e o r e m 3, th e m in im a l
u of th e fu n c tio n a l (S. 106) is p ie c e w i s e - s m o o th w h en u and it
c a n be found by c o n v e n tio n a l c l a s s i c a l m e th o d s , e . g . , by P o n tr y a g in 's
m a x im u m p r in c ip le .
5. If w e c o m p a r e th e r e s u l t s w ith th o s e o f§ S. 1, w e s e e th a t th e fu n c tio n a ls
(S. 106) w ith r e g a r d to t h e i r e x t r e m a l p r o p e r t i e s a r e th e c l o s e s t to ty p e I
f u n c tio n a ls of th e g e n e r a l c a s e .
T h e s t r o n g e s t d i r e c t e x p r e s s io n of th is a n a lo g y i s p ro v id e d by T h e o r e m 2.
H o w ev er, u n lik e th e ty p e I f u n c tio n a ls , fu n c tio n a l (S. 106) m a y a l s o h a v e
s m o o th E u le r m in im a ls , if th e c o n d itio n s o f T h e o r e m 2 ( T h e o r e m 2*) a r e
n o t s a tis f ie d . In th is r e s p e c t , fu n c tio n a l (S. 106) is c l o s e r to th e s im p l e s t
fu n c tio n a l o f ty p e II of th e g e n e r a l c a s e ( f(t, y, p, 1) h a s a d is c o n tin u ity o f
th e f i r s t k in d f o r p = 0 ). T h e r e is a h ig h ly s ig n if ic a n t d if f e r e n c e b e tw e e n th e
tw o ty p e s : f o r ty p e II fu n c tio n a ls th e m in im u m of 5 a lo n g th e (y, z) lin e u0
i s o n ly a n e c e s s a r y c o n d itio n of a m in im u m o f I(u) on th e lin e Uo, an d in th e
p r e s e n c e of th is m in im a l th e a b s o lu te m in im u m m a y be a tta in e d on an
o r d in a r y E u le r e x t r e m a l , w h e r e a s f o r th e o th e r ty p e , a s f o r s i m p le s t
f u n c tio n a ls of ty p e I, th e m in im u m of 5 on a (y, q) lin e u ( z U $ is a s u f f ic ie n t
c o n d itio n f o r th e a b s o lu te m in im u m of th e fu n c tio n a l on th is lin e .
§ S. 3. O P T IM A L PR O G R A M F O R H O R IZ O N T A L
F L IG H T O F AN A IR C R A F T
We w ill now c o n s id e r th e o p tim a l t h r u s t c o n t r o l f o r th e h o r iz o n ta l flig h t

o f a je t a i r c r a f t o v e r a m a x im u m r a n g e . T h is p r o b le m w as d e a lt w ith by
H ib b s / 1 5 / and by M ie le and C ic a la / 1 4 / . A c c o rd in g to t h e i r r e s u l t s ,
a s s u m in g a l i n e a r d e p e n d e n c e of t h r u s t on fu e l c o n s u m p tio n ,
p=i». (S. 163)
198
w h e r e P i s th e t h r u s t , p is th e fu e l c o n s u m p tio n , / — c o n s t i s th e e f f e c tiv e
n o z z le v e lo c ity , w e c a n r e d u c e th e o r ig in a l p r o b le m to e x t r e m iz in g a
fu n c tio n a l o f th e f o r m
m) + V ' B ( V , m ) ] dm, (S. 164)
w h e re m i s th e in s ta n ta n e o u s a i r c r a f t m a s s , V is th e a i r c r a f t v e lo c ity ,
dV
V' —— . E u l e r 's e q u a tio n f o r th is f u n c tio n a l d e g e n e r a t e s to a f in ite e q u a tio n
dm
3A___ dB_ (S. 165)
dV dm
w h ich in th e g e n e r a l c a s e d o e s n o t p a s s th ro u g h th e g iv e n i n it ia l an d t e r m i n a l
p o in ts (Ko, m0), (Vx, m t ) in th e ( m, V) p la n e .
An in g e n io u s a p p lic a tio n of G r e e n ’s t h e o r e m e n a b le d M ie le to c o n s t r u c t
th e s o u g h t s o lu tio n and to sh o w th a t it is m a d e u p o f p ie c e s s a tis f y in g
e q u a tio n (S. 165) o r th e c o n d itio n s P = Pmaxand p = 0. F o r th e c a s e o f a n o n
l i n e a r d e p e n d e n c e P —P (P ) th e s o lu tio n is no lo n g e r d e g e n e r a t e and th e
m e th o d of L a g r a n g e 's m u l t i p l i e r s m u s t be a p p lie d .
In th e p r e s e n t s e c tio n , th is p r o b le m is so lv e d by a d if f e r e n t m a th e m a ti c a l
a p p r o a c h , n a m e ly by th e th e o r y p r e s e n te d in § S. 1 an d § S. 2.
A q u ite g e n e r a l d e p e n d e n c e P = P ( P) is a s s u m e d . As in / 1 5 /, w e s e e k a
d e p e n d e n c e V= V(m) e n s u r in g th e m a x im u m r a n g e f o r g iv e n v a lu e s o f m0> Vo
an d m t, V x. It is show n th a t th is p r o b le m of m a x im iz in g a fu n c tio n a l c a n be
r e d u c e d to m a x im iz a tio n of a fu n c tio n of tw o v a r i a b l e s S(m, V, p) f o r
e v e r y fix e d m £ (mo, m t ), w h e r e V and P a r e a s s u m e d in d e p e n d e n t. T he
o p tim a l p r o g r a m o b ta in e d in th is w ay is found to be d e g e n e r a te , i. e ., in
d e p e n d e n t of th e p o s itio n of th e end p o in ts (m0, Vo) an d (m t> V\). In c a s e o f a
l i n e a r c h a r a c t e r i s t i c P —/ p, / — c o n s t, S is in d e p e n d e n t o f p an d th e s o lu tio n
V—V(m) c o in c id e s w ith th a t f r o m / 1 4, 1 5 /. If P = P (p ) i s n o n lin e a r , th e
a b s o lu te m a x im u m r a n g e i s a tta in e d w ith th e " p u ls e d t h r u s t " p r o g r a m ,
w h ic h in f a c t c o n s titu t e s th e (y, q) e x t r e m a l th a t we m e n tio n e d b e f o r e . T h is
p r o g r a m a m o u n ts to th e fo llo w in g : th e a i r c r a f t s t a r t s f r o m th e in it ia l s ta te
(mo, Vo) w ith i t s e n g in e off (P = 0) o r a l te r n a t iv e l y w ith m a x im u m t h r u s t
P= Pmax u n til it r e a c h e s s o m e c u r v e V — V ° ( m ) i n th e (m , V) p la n e . A fte r th a t,
th e o p tim a l p r o g r a m r e d u c e s to a n a l te r n a t in g s u c c e s s io n o f p o w e re d
s e c ti o n s w ith s o m e o p tim a l t h r u s t P ( p ) = c o n s t an d c o a s tin g s e c ti o n s w ith c u t
e n g in e s (p —0, m = c o n s t ) . T h e e n g in e is s w itc h e d on w h e n e v e r th e
c o a s tin g v e lo c ity h a s d r o p p e d to V = V °(m). T h e e n g in e s w itc h in g fre q u e n c y
sh o u ld be a s h ig h a s p o s s i b le . T h e h ig h e r th e s w itc h in g f r e q u e n c y , th e
d e e p e r i s th e m a x im u m . T h is p r o g r a m i s c o n tin u e d u n til th e a i r c r a f t
r e a c h e s th e lin e p = 0 (m = c o n s t) o r p = pmax p a s s in g th r o u g h th e p o in t( m tt Vt )
f o r V°( mt ) > V t o r Vo(mt) < Vt , r e s p e c ti v e ly .
199
3. 1. S ta te m e n t o f th e p r o b le m
T h e e q u a tio n s of m o tio n of a j e t a i r c r a f t in h o r iz o n t a l r e c t i l i n e a r m o tio n

are
m V ~ P { h y V, ?) + AT(A, V, Y) = 0;
Y — m g r = 0;
(S. 166)
m = — p;
w h e r e m i s th e a i r c r a f t m a s s , g T i s th e g r a v it a tio n a l a c c e l e r a t i o n , x i s th e
h o r iz o n t a l c o o r d in a te of th e a i r c r a f t , V is th e a i r c r a f t v e lo c ity , h is th e
a l titu d e of h o r iz o n ta l flig h t, X is th e d r a g , Y is th e lif t, V = and m =
& dt dt
We a d o p t th e fo llo w in g h y p o th e s e s r e g a r d i n g th e f o r c e s e n t e r in g (S. 166):
1. T h e a e r o d y n a m ic f o r c e s X and Y a r e in d e p e n d e n t of th e a i r c r a f t
a c c e l e r a t i o n (the a e r o d y n a m ic la g i s ig n o r e d ) . S in c e th e a ltitu d e is
c o n s ta n t , X an d Y a r e f u n c tio n s of v e lo c ity o n ly . X is f u r t h e r m o r e a
fu n c tio n of th e lif t Y.
2. T h e t h r u s t P i s a fu n c tio n of th e v e lo c ity V an d th e p e r - s e c o n d fu e l
c o n s u m p tio n (5. It m a y be w r i tte n in th e f o r m
P(V, p ) = / ,( K ) / 2(P),
w h e r e }i(V) is th e v e lo c ity c h a r a c t e r i s t i c of t h r u s t — an a r b i t r a r y p o s itiv e

fu n c tio n ; M P ) is th e fu e l c o n s u m p tio n c h a r a c t e r i s t i c of t h r u s t — an i n c r e a s i n g
fu n c tio n , g e n e r a lly d is p la y in g th e p r o p e r ty M p ) |< 0 .
P=o
T h e p h y s ic a l m e a n in g o f P(V, 0) is b a c k - p r e s s u r e ! T h e d e p e n d e n c e P(h)
i s of no c o n s e q u e n c e , s in c e
h = const.
3. T h e g r a v it a tio n a l a c c e l e r a t i o n g T i s c o n s ta n t. E q u a tio n s (S. 166) a r e

in f a c t w r i tte n a s s u m in g c o n s ta n t g and ig n o r in g th e e f f e c ts o f th e E a r t h 's
s p in . T h e a i r c r a f t in th e s e e q u a tio n s is r e g a r d e d a s a p o in t m a s s .
4. T h e fu e l c o n s u m p tio n P m a y v a r y b e tw e e n 0 an d P m a x -
L e t u s f o r m u l a te th e b o u n d a ry c o n d itio n s . We a s s u m e th a t a t th e in it ia l
tim e t = 0 th e a i r c r a f t m a s s i s m Q and th e v e lo c ity is Vo* T h e p o in t of o r ig in
i s c h o s e n so th a t x ( 0 ) = 0 .
At th e en d o f th e flig h t, we have
m = m u V = Vu x = x u
w h e r e n e i t h e r t t n o r x t a r e fix ed . O u r p r o b le m i s to find a s y s t e m o f
fu n c tio n s x ( t) , V{t), m ( t ) t P (0 . Y(t) s a tis f y in g e q u a tio n s (S. 116) w h ich e n s u r e
a m a x im u m r a n g e x l on th e s e t of p e n ta d e s
[*(/), V(t ), m (t ) , p ( 0 , r w )
200
s a tis f y in g (S. 166). We a r e d e a lin g w ith fiv e u n k n o w n f u n c tio n s an d f o u r
e q u a tio n s , i. e ., th e s y s t e m h a s one d e g r e e of f r e e d o m . T h e l a s t e q u a tio n
in (S. 166) g iv e s a n e x p r e s s io n fo r th e fu n c tio n a l to be m a x im iz e d
11 0 ma
(S. 167)
E lim in a tin g Y and dt b e tw e e n th e f i r s t t h r e e e q u a tio n s in (S. 166), w e fin d
— ------ - ^ ( V , m)]. (S. 168)
T h e p r o b le m th u s r e d u c e s to m a x im iz in g th e f u n c tio n a l
jm
(S. 167*)
u n d e r th e c o n s t r a i n t s
(S. 168*)
o < P < Proax; (S. 169)

V ( m t) = V t ; V ( m 0) = V 0. (S. 170)
P r o b le m s o f th is k in d w e r e p r e v io u s ly c o n s id e r e d in § S. 2. H e re we
have
F (m , V, P ) = - j - ; (S. 171)
P
g ( m , V, P ) = - ~ [ P ( V , p) - * ( « , V)]. (S .1 7 2 )
In v ir tu e of th e a b o v e p r o p e r t i e s of th e fu n c tio n P(V, p),
-r< 0 (S. 173)

dp
f o r a l l p £ [0, Pmax].
T o f in a lly r e d u c e th is p r o b le m to th e f o r m d is c u s s e d in § S. 2, it s u f f ic e s
to r e p la c e p w ith an a u x i lia r y p a r a m e t e r
P = 2- 1. (S. 174)
I n e q u a litie s (S. 169) th e n ta k e th e f o r m
Ip K i. (S. 175)
an d c o n d itio n (S. 173) r e d u c e s to

dg > 0 .
dp (S. 176)
201
F o r p — 1, i. e ., p = pmax, th e d e r iv a tiv e V' —g( m, V, p) ta k e s on th e l e a s t
a d m is s ib l e v a lu e a t th e p o in t (m, V) of th e p h a s e p la n e , an d f o r p = 1, p = 0 it
ta k e s th e l a r g e s t v a lu e :
V ' = g ( m } V , p) —
>■oo fo r p-*0. (S. 177)
P h y s ic a lly (S. 177) s ig n i f ie s th e f a c t th a t th e li m i t v a lu e p = 0 c o r r e s p o n d s

to f lig h t w ith c o n s ta n t m a s s ( m — c o n s t), i. e ., m o tio n o f th e r e p r e s e n t i n g p o in t
a lo n g th e v e r t i c a l in th e p h a s e p la n e ( m, V). T h e
l a t t e r f a c to r s ig n i f ie s th a t th e in d e p e n d e n t v a r ia b le
m h a s th e p r o p e r t i e s of th e a u x i lia r y v a r i a b l e t i n
tr o d u c e d in § S. 3 (c o n s ta n c y on th e lim i t d ir e c tio n p = 0).
L e t u s now e s ta b l is h th e b o u n d a r y of th e r e g io n
B o f th e p h y s ic a lly a d m is s ib l e v a lu e s o f th e
fu n c tio n V(m) . T h e b o u n d a ry is m a d e u p of
p ie c e s of th e fo llo w in g lin e s ( F ig u r e S. 3):
L in e 1: m gr— Y(V, amaxJÔ, w h e r e a max is th e
m a x im u m a d m is s ib l e a n g le o f a tta c k . T h is lin e
i s th e lo w e r l im it f o r th e a d m is s ib l e v a lu e s of
th e fu n c tio n V ( m ).
L in e s 2 and 3: th e v e r t i c a l s e g m e n ts m —mo
and m = m x.
L in e s 4 and 5: lin e s of flig h t w ith m a x im u m
t h r u s t P = p max p a s s in g th ro u g h th e p o in ts (mo, Vo) an d
(m r, F t ) w h ich g iv e , r e s p e c ti v e ly , th e u p p e r .and th e lo w e r lim it of th e a d
m i s s i b l e v a l u e s o f V(m).
3. 2. O p tim a l c o n tr o l p r o g r a m
L e t u s f i r s t d e t e r m in e th e fu n c tio n S( m, V, q). H e re V(m) is th e z e r o

c l o s e n e s s fu n c tio n o f th e so u g h e x tr e m a l, q ( m ) i s th e lo c a l v a lu e of th e fu e l
c o n s u m p tio n p. S in ce th e in d e p e n d e n t v a r ia b le m is a l s o th e p a r a m e t e r ,
w e m a y u s e e x p r e s s io n (S. 49) fo r S . T h u s,
S = F - W g ( m , V, 3 ) - | W m(m, (S. 178)

C
F (m , V, 0)
(S. 179)
g(m, V, 0)
U sin g (S. 171) and (S. 172), w e m a y w r ite
W (m, mV • -(S . 180)

x(m,V)
x ( m , V ) = X - P ( V , 0); (S. 181)
S ( m , V, <7) = - L + ^ — \ P ( V , q ) - X ( m , V)] —
q x mq
- ] W m(m, \)dt.
202
o r , u s in g (S. 181),
v
s__yf±
x ( m , V) Jl
C
X ( m , £ ) - / > < £ , 0)
(S. 182)
w h ere
(S. 183)
F o r a n id e a l l i q u i d - p r o p e l la n t e n g in e , j is in d e p e n d e n t o f P an d g iv e s
th e id e a l n o z z le v e lo c ity .
L e t u s fin d th e p a i r of f u n c tio n s F (m ), q ( m ) on w h ich S(m , V, q) a t ta i n s
its a b s o lu te m in im u m o v e r th e s e t of a d m is s ib l e v a lu e s of V an d q f o r
e v e r y fix e d m [mt , m0]«
W ritin g th e t h r u s t in th e f o r m
P(V, P)=MF)MP)>
we c a n d e v is e an a t t r a c t i v e l y s im p le m e th o d of s o lu tio n of th e l a s t p ro b le m .
In fa c t, th e p o in t q = q on w h ich S a t ta i n s i t s m a x im u m f o r an y m, V £ B is
in d e p e n d e n t o f m and V c o in c id e s w ith th e m a x im u m of th e fu n c tio n / ( P) on
(X p^P m ax- F i g u r e s 4 a and 4b sh o w tw o a l t e r n a t i v e fu e l c o n s u m p tio n
c h a r a c t e r i s t i c s of th e t h r u s t p r o g r a m . D raw a fa m ily of im a g in a r y r a y s
f r o m th e p o in t (0, MO)) w h ich h a v e a t l e a s t one c o m m o n p o in t w ith th e c u r v e
o f MP) on th e s e m i - i n t e r v a l (0, pmax). In th is fa m ily , we s e l e c t a r a y y w h ich
m a k e s th e l a r g e s t s lo p e a n g le to th e h o r iz o n ta l a x is . T h e a b s c i s s a s qu . • •,
of th e i n t e r s e c t i o n p o in ts of th is r a y w ith th e c u r v e MP) on th e s e m i - i n t e r v a l
(0, pmax) g iv e th e m a x im u m o f / (p), i. e ., 5 , a s we s e e f r o m (S. 183). T h u s,
if P(Vj P)_is r e p r e s e n t a b l e in th e f o rm of a p ro d u c t MF)Mp), th e o p tim a l
v a lu e P= P is in d e p e n d e n t o f m an d V.
FIGURE S. 4
T h e o p tim a l d e p e n d e n c e V°=V°(tn) is s p e c if ie d by th e c o n d itio n o f

a b s o lu te m a x im u m o f th e fu n c tio n of s in g le v a r ia b le S{m, j maXy V°) in B fo r
e v e r y fix e d m . A s a n e c e s s a r y c o n d itio n , it sh o u ld c o n s i s t o f p ie c e s of
th e b o u n d a ry of B and of c o n tin u o u s p ie c e s s a tis f y in g th e fin ite e q u a tio n .
/1 ftp ymax mV
= 0 (S. 184)
X ( V , m) — P(V, 0) X ( V f m) — P ( V t 0) \m
203
w h ic h a r e jo in e d by v e r t i c a l s e g m e n ts a t th e p o in ts m ~ \ i i ( / = ! , 2, r) w h e r e
S(\h> Jmax> Vl(Pi)) = S(Ph y'max. (S. 185)
V\(m) an d ^ ( / n ) b e in g tw o s o lu tio n s o f (S. 184).

E q u a tio n (S. 184) c o in c id e s w ith th e e q u a tio n IF = 0 , th e s o - c a lle d
" s i n g u l a r c u r v e " f r o m / 1 4 / , i. e ., it c o in c id e s w ith E u l e r 's d e g e n e r a t e
e q u a tio n f o r th e c a s e o f l i n e a r d e p e n d e n c e o f t h r u s t on f u e l c o n s u m p tio n ,
if w e t a k e / ) (Vr, 0 ) = 0 , fi(V) = 1 and /max—¥ 2 = c o n s t, th e e f f e c tiv e n o z z le
v e lo c ity , i s a s s u m e d c o n s ta n t. H e r e th e f i r s t tw o c o n d itio n s a r e th e
s im p lif y in g a s s u m p tio n s a d o p te d in / 1 4 / . C o n s e q u e n tly , w e c a n a p p ly th e
r e s u l t s o f / 1 4 / f o r q u a lita tiv e e s t i m a t e of th e z e r o c l o s e n e s s fu n c tio n an d
th e o p tim a l Vr= F °(m ). In o th e r w o rd s , a ll th e p r o p e r t i e s of th e e x t r e m a l
V(m) in v e s tig a te d in d e ta il in / 1 4 / a r e a p p lic a b le :
1) E q u a tio n (S. 184) h a s tw o s o lu tio n s : s u p e r s o n i c V°=V°] (m)^>a and s u b
s o n ic V°= F§ (m) < a , w h e r e a is th e v e lo c ity
o f so u n d a t a l titu d e h. A long b o th s o lu tio n s
— > 0 ( m o tio n w ith d e c r e a s i n g v e lo c ity ), and
dm
V\ (m) in v a r i a b ly p a s s e s th r o u g h th e o r ig in .
2) T h e o p tim a l flig h t p r o g r a m f i r s t fo llo w s
th e lin e V\(m) u p to th e p o in t ra = jx, w h e r e
c o n d itio n (S. 185) is s a tis f ie d . T h e n it c h a n g e s
to c o a s tin g a lo n g th e v e r t i c a l m = jx u n til it
r e a c h e s th e lin e ^ ( w ) , an d th e n it p r o c e e d s
a lo n g th e lin e Vzim)-
T h e m o tio n f r o m th e p o in t (m0, Fo) to th e
s o lu tio n o f (S. 184) an d f r o m th e l a t t e r to th e
p o in t (m t, F t ) p r o c e e d s a lo n g th e a p p r o p r ia t e
p ie c e o f th e b o u n d a r y of B , i. e ., e i t h e r w ith
p = 0 o r w ith p = p m a x , a c c o r d in g a s th e p o in ts (m0, Vo) an d (rat, Vt ) a r e
r e s p e c t i v e l y lo c a te d b elo w o r a b o v e th e lin e V°=V°(m) ( F ig u r e S. 5).
A c c o rd in g to o u r r e s u l t s , th e e n t i r e o p tim a l fu n c tio n V = V° ( m) i s d e t e r -
m in d (w ith n e c e s s i t y and s u ffic ie n c y ) by th e c o n d itio n o f th e a b s o lu te
m a x im u m o f th e fu n c tio n of a s in g le v a r i a b l e S ( m , / max, V) in B f o r e v e r y
fix e d m .
We h a v e th u s o b ta in e d a lo c a l v a lu e of th e fu e l c o n s u m p tio n q on th e
in c lin e d s e c tio n s , w h ich i s in d e p e n d e n t o f m and V an d c o r r e s p o n d s to th e
m a x im u m v a lu e of /. We h a v e a l s o o b ta in e d th e f u n c tio n F°(m ) w h ic h
c o in c id e s w ith th e o p tim a l v e lo c ity K( m) i f c o n s ta n t n o z z le v e lo c ity /max i s
assu m ed .
By T h e o r e m 2, th e p a i r F (m ), q (m) d e f in e s th e a b s o lu te (y, q) m in im a l
u (z Uo if if s a t i s f i e s th e in e q u a li tie s
- f - - g ( m , V , q ) > 0; (S. 186)

am
\ / ( fi + 0 ) ~ l 7 ( { x ~ 0 ) > 0 , (S.187)
w h e r e (x is th e p o in t o f d is c o n tin u ity of F (m ). In e q u a lity (S. 186) is a lw a y s

s a tis f ie d , s in c e th e r e s u l t s o f / 1 4 / show th a t if th e m in im a l F (m ) c o n ta in s
p ie c e s of b o th b r a n c h e s , V\(m) an d F2(m ), m o tio n a lw a y s p r o c e e d s f i r s t
204
a lo n g th e s u p e r s o n i c b r a n c h V\(m) and th e n a lo n g th e s u b s o n ic b r a n c h V2 (m) .
It th u s r e m a i n s to c h e c k (S. 187).
dVO
A s w e h a v e m e n tio n e d b e fo re , ---- > 0 a lo n g b o th e x t r e m a l b r a n c h e s . On
dm &
th e o th e r h an d , a c c o r d in g to (S. 172), g < 0 w h e n e v e r
P(V, p ) ^ X . (S. 188)
T h e l a s t in e q u a lity a lw a y s h o ld s tr u e , i. e ., th e m a x im u m / a s a r u le
c o r r e s p o n d s to a t h r u s t w h ich is g r e a t e r th a n th e d r a g . In th is c a s e , (S. 186)
i s n a t u r a lly s a tis f ie d . T h e d r a g X i n c r e a s e s w ith i n c r e a s i n g V an d m , so
th a t (S. 188) m a y fa il, if a t a ll, on th e s u p e r s o n i c b r a n c h V\ (m). B ut on th is
b ran c h a l s o r e a c h e s i t s m a x im u m v a lu e ( s e e / 1 4 /) , an d (S. 186) is s a t i s -
dm
fie d e v e n if (S. 188) d o e s n o t ap p ly .
T h e p a i r F (m ), q ( m )^ th u s c o n s titu t e s th e s o u g h t s o lu tio n o f th e p r o b le m .
It d e f in e s a (V, q) lin e u £ V q on w h ich th e r a n g e h a s i t s a b s o lu te m a x im u m .
L e t u s e x a m in e th e p h y s ic a l m e a n in g o f th is ( V, q) m a x im a l u.
E a c h a p p r o x im a tin g p o ly g o n a l lin e y n U r e p r e s e n t s m o tio n w ith p e r io d ic
t h r u s t s w itc h in g . T h e in c lin e d s e c ti o n s of th e p o ly g o n a l lin e Yn c o r r e s p o n d
to p o w e re d flig h t w ith fu e l c o n s u m p tio n = and th e v e r t i c a l s e c ti o n s
r e p r e s e n t c o a s tin g w ith th e e n g in e cu t.
T h e e n g in e is a lw a y s s w itc h e d on a s so o n a s th e c o a s tin g v e lo c ity w ith
m = m,- r e a c h e s th e v a lu e V°(mi), and it is c u t o ff w hen th e m a s s d r o p s to m i+j.
T h e e n g in e is s w itc h e d on a to ta l of n tim e s .
We r e f e r to th is p r o g r a m a s ’’p u ls e d t h r u s t ” p r o g r a m w ith f re q u e n c y n,
m e a n v e lo c ity I/0(m), an d p o w e r t h r u s t q. T h e (V, q) lin e u ( ^ U 0 r e p r e s e n t s
a p u ls e d t h r u s t p r o g r a m o f in f in ite f re q u e n c y .
L e t u s now c o n s id e r th e e x t r e m a l f o r v a r io u s ty p ic a l p a r t i c u l a r c a s e s .
I. T h e r e is a f in ite n u m b e r of v a lu e s q{ ( /= 1,2, . . . , &) s a tis f y in g th e
c o n d itio n ; ( P ) = /max(a f in ite n u m b e r of in t e r s e c t i o n p o in ts b e tw e e n th e r a y y
an d th e c h a r a c t e r i s t i c /2(f) on (0, Pmax)). All qi s a tis f y in e q u a lity (S. 186)
e v e r y w h e r e on [mt, mo].
T h e fu n c tio n p°(m) d e fin e d by th e e q u a tio n
dV°riim) m>] (S. 189)
c o n tin u o u s ly v a r i e s w ith m. S ince, on th e o th e r h an d , an y of th e o p tim a l

v a lu e s q = p* = c o n s t, w e h a v e g ( m , V, q H en ce, th e o p tim a l p r o g r a m
dm
is a (V, q) lin e in th e (m, V) p la n e , i. e ., th e ’’p u ls e d t h r u s t ” p r o g r a m of
in f in ite f re q u e n c y . T h e r e p r e s e n t i n g p o in t in th e ( m, V) p la n e sh o u ld
t h e r e f o r e m o v e f r o m p o s itio n (m0, Vo) a lo n g th e b o u n d a ry o f £ ( p = 0 o r p==pmax)
u n til it r e a c h e s th e z e r o c l o s e n e s s lin e V =F°(m ).
A fte r th a t, th e ’’p u ls e d t h r u s t ” p r o g r a m b e g in s w ith m a x im u m p e r
m i s s i b l e f re q u e n c y . T h e fu e l c o n s u m p tio n on th e p o w e re d s e c ti o n s sh o u ld be
e q u a l to an y one of th e qi v a lu e s , and th e m e a n v e lo c ity sh o u ld c o in c id e w ith
th e o p tim a l fu n c tio n V—F°(m). T h is p r o g r a m sh o u ld be c o n tin u e d u n til th e
r e p r e s e n t i n g p o in t a g a in r e a c h e s th e b o u n d a ry . T h e n th e m o tio n c o n tin u e s
a lo n g th e b o u n d a ry u n til th e t e r m i n a l p o s itio n (m t, Vt ) i s r e a c h e d .
205
II. T h e r e i s a f in ite n u m b e r o f v a lu e s qu < = 1 ,2 , .. ., k.
S om e o f th e m s a tis f y in e q u a lity (S. 186), w h e r e a s o t h e r s do n o t s a tis f y
t h i s in e q u a lity . T h e so u g h t o p tim a l i s a ’’p u ls e d t h r u s t " p r o g r a m , s i m i l a r
to th a t d e s c r i b e d u n d e r I. T h e f u e l c o n s u m p tio n on th e p o w e re d s e c ti o n s
s h o u ld be e q u a l to an y of th e pi s a tis f y in g (S. 184).
III. T h e r e i s a c o n tin u u m of v a lu e s
f o r w h ic h j ( q ) s=jm&x (th e r a y y h a s a c o m m o n s e g m e n t w ith th e t h r u s t

c h a ra c te ris tic P), F ig u r e S. 6). P a r t o f th e s e g m e n t fPo, Pt] s a t i s f i e s i n
e q u a lity (S. 188), w h e re th e o th e r p a r t d o e s n o t n e c e s s a r i l y s a tis f y th is
in e q u a lity .
FIGURE S. 6
T h e p a r t i c u l a r c a s e Po=0, Pt —pmax h e r e c o r r e s p o n d s to a l i n e a r t h r u s t
c h a r a c t e r i s t i c . In th is c a s e , in f in ite ly m a n y o p tim a l s o lu tio n s e x is t. T h e y
c o r r e s p o n d to " p u ls e d t h r u s t " p r o g r a m s w ith in f in ite sw itc h in g f re q u e n c y
an d a c o m m o n z e r o c l o s e n e s s lin e F = F 0 (/max. w h ich a r e a n a lo g o u s to
th o s e d e s c r ib e d u n d e r I, but d if f e r in g in th a t th e y m a y h a v e an y d e p e n d e n c e
q ( m )(z fPo, Pt] a s l ° n g a s ^ s a t i s f i e s in e q u a lity (S. 188). As a p a r t i c u l a r
c a s e , we m a y e v e n ta k e a d e p e n d e n c e ^ = P°(m) w h ich c o n v e r ts th e i n
e q u a lity in (S. 188) in to e q u a lity . T h e " p u ls e d t h r u s t " p r o g r a m th e n
d e g e n e r a t e s in to Hibbs* s c o n tin u o u s c o n tr o l / 1 5 / o r ig in a lly d e r iv e d fo r a
l i n e a r c h a r a c t e r i s t i c P (p ), and th e o p tim a l fu n c tio n V(m) c o in c id e s w ith th e
z e r o c l o s e n e s s lin e F°(m).
T h e p h y s ic a l m e a n in g of th e m u ltip le s o lu tio n s in t h i s c a s e i s th a t th e
r a n g e is a f f e c te d o n ly by th e m e a n v e lo c ity F°(m ), an d is in s e n s iti v e to
lo c a l d e v ia tio n s f r o m th e m e a n .
H o w e v e r, a s th e sw itc h in g f re q u e n c y is o f n e c e s s ity f in ite in p r a c tic e ,
a s in g le m in im a l sh o u ld be s e le c te d a m o n g th e in f in ite ly m a n y o p tim a ls , on
w h ic h th e r a n g e a t ta i n s a s t r i c t m a x im u m . T h is m in im a l c o in c id e s w ith
H ib b s* s c o n tin u o u s t h r u s t c o n tr o l c h a r a c t e r i s t i c .
In m a th e m a ti c a l t e r m s , th e in fin ity o f s o lu tio n s im p lie s th a t / = c o n s t on
[Po, Ptl and t h e r e f o r e th e fu n c tio n S ( m, /, V) is in d e p e n d e n t of q , b ein g a
fu n c tio n of a s in g le v a r ia b le V f o r e v e r y fix e d m.
206
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is c h is le n iy a (Som e P r o b le m s of V a r ia tio n a l C a lc u lu s ) . — U c h e n y e
Z a p is k i LG U, N o. 1 1 1 ., m a th . s e r . , I s s u e N o. 16. 1949.
5. K e r i m o v , M .K . O d v u m e rn y k h r a z r y v n y k h z a d a c h a k h v a r ia ts io n n o g o
is c h is le n iy a (T w o - D im e n s io n a l D is c o n tin u o u s P r o b l e m s o f
V a r ia tio n a l C a lc u lu s ) . — T ru d y M a te m a tic h e s k o g o I n s titu ta AN
G rS S R , N o. 18. 1951.
6. K e r i m o v , M .K . O n e o b k h o d im y k h u s lo v iy a k h e k s tr e m u m a v
r a z r y v n y k h v a r ia ts io n n y k h z a d a c h a k h s p o d v is h n y m i k o n ts a m i
( N e c e s s a r y E x tr e m u m C o n d itio n s in D is c o n tin u o u s V a r ia tio n a l
P r o b le m s w ith F r e e E n d s ). — D o k lad y AN SSSR, 79. 1951.
7. K e r i m o v , M .K . K t e o r i i r a z r y v n y k h v a r ia ts io n n y k h z a d a c h s
p o d v iz h n y m i k o n ts a m i (T h e o ry of D is c o n tin u o u s V a r ia tio n a l
P r o b le m s w ith F r e e E n d s ). — D o k lad y AN SSSR, 136, N o. 3. 1961.
8. C o u r a n t , R. a nd D. H i l b e r t . M e th o d s of M a th e m a tic a l P h y s ic s .
New Y o rk , I n te r s c ie n c e , V ol. 1. 1953; V ol. 2. 1962.
9. K r y l o v , N . M . and Y a. T a m a r k i n . S u r le m e th o d e d e W. R itz . —
I z v e s tiy a R o s s iis k o i A k a d e m ii N auk, N o s. 2 — 3. 1918.
10. L a v r e n t ' e v , M .A . S u r q u e lq u e s p r o b le m e s du c a lc u l d e s
v a r i a t i o n s . — A n n ali d i m a te m . 1926.
11. L y u s t e r n i k , L .A . U b e r e in ig e A n w en d u n g en d. d ir e k t e n
M e th o d en in V a r ia tio n s r e c h tu n g . — M a te m a tic h e s k ii S b o rn ik ,
X X XIII. 1926.
12. N i k o l a d z e , G. N. E in ig e E ig e n s c h a fte n d e r R is s p u n k tk u r v e
in d e r V a r ia tio n s r e c h n u n g . — T b i l i s s i B u lle tin .
13. R a z m a d z e , A. M. S u r l e s s o lu tio n s d is c o n tin u e s d a n s le c a lc u l
d e s v a r i a t i o n s . — M a th . A n n ., 94. 1925.
14. C i c a l a , P . a nd A. M i e l e . G e n e r a liz e d T h e o r y of th e O p tim u m
T h r u s t P r o g r a m m in g f o r th e L e v e r F lig h t of a R o c k e t- P o w e r e d
A i r c r a f t . — J e t P r o p u ls io n , 26, N o. 6. 1956.
15. H i b b s , A . O p tim u m B u rn in g P r o g r a m f o r H o r iz o n ta l F lig h t. —
J o u r n a l of A m e r ic a n R o c k e t S o c ., 22, N o. 4. 1952.
16. R i t z . U b e r e in e n e u e M e th o d e z u r L o su n g g e w is s e r V a r ia tio n s p r o b -
le m e d e r m a th e m a ti s c h e n P h y s ik . — J o u r n a l f u r d ie r e in e u n d
an g e w . M a th e m ., 135. 1909.
17. T o n e l l i , L. F o n d a m e n ti d i c a lc o lo d e lle v a r ia z io n i , B o lo g n a,
1 - 2 , No. 7. 1921 - 1 9 2 3 .
207
R E F E R E N C E S USED IN T H E P R E P A R A T I O N OF
T H E BOOK
K r o t o v , V . F . M etody r e s h e n iy a v a r ia ts io n n y k h z a d a c h n a o sn o v e
d o s ta to c h n y k h u s lo v ii a b s o ly u tn o g o m in im u m a (M eth o d s of
S o lu tio n of V a r ia tio n a l P r o b le m s f r o m th e S u ffic ie n t C o n d itio n s
of th e A b s o lu te M in im u m ), P a r t I. — A v to m a tik a i T e le m e k h a n ik a ,
N o. 12. 1962; P a r t II — A v to m a tik a i T e le m e k h a n ik a , N o. 5. 1963;
P a r t III — A v to m a tik a i T e le m e k h a n ik a , N o. 7. 1964.
K r o t o v , V . F . N e k o to r y e n o v y e m e to d y v a r ia ts io n n o g o is c h is le n iy a
i ikh p r ilo z h e n iy a k d in a m ik e p o le ta (S om e New V a r ia tio n a l
M e th o d s an d T h e i r A p p lic a tio n to F lig h t D y n a m ic s ). — D i s s e r t a t i o n .
1963.
K r o t o v , V . F . P r ib l iz h e n n y i m e to d s in t e z a o p tim a l’n o g o u p r a v le n iy a
(An A p p ro x im a te M ethod of O p tim a l C o n tro l S y n th e s is ). — A v to m a tik a
i T e le m e k h a n ik a , N o. 11. 1964.
K r o t o v , V . F . O sn o v n a y a z a d a c h a v a r ia ts io n n o g o i s c h is le n iy a d ly a
p r o s te i s h e g o f u n k ts io n a la n a s o v o k u p n o s ti r a z r y v n y k h f u n k ts ii
(T h e F u n d a m e n ta l P r o b le m s of V a r ia tio n a l C a lc u lu s f o r th e
S im p le s t F u n c tio n a l on th e S et o f D is c o n tin u o u s F u n c tio n s ) . —
D o k lad y AN SSSR, 137, N o. 1. 1961.
K r o t o v , V . F . N o v y i m e to d v a r ia ts io n n o g o is c h is le n iy a i n e k o to ry e
e g o p r ilo z h e n iy a (A New M ethod of V a r ia tio n a l C a lc u lu s an d S o m e
o f Its A p p lic a tio n s ). — D is s e r t a ti o n . 1962.
K r o t o v , V . F . O b o p tim a l'n o m r e z h im e g o r iz o n ta l'n o g o p o le ta s a m o le ta
(O p tim a l H o r iz o n ta l F lig h t of an A ir c r a f t ) . — In: " M e k h a n ik a ."
O b o ro n g iz . 1961.
K r o t o v , V . F . D o s ta to c h n y e u s lv iy a o p tim a l’n o s ti d ly a d is k r e tn y k h
u p r a v ly a e m y k h s i s t e m (S u ffic ie n t C o n d itio n s o f O p tim a lity f o r
D i s c r e t e C o n tr o l S y s te m s ). — D o k lad y A N SSSR, 172, N o. 1. 1 9 6 7.
B u k r e e v , V .S . O b o d nom m e to d e p rib liz h e n n o g o s in t e z a o p tim a l’n o g o
u p r a v le n iy a (A M ethod of A p p ro x im a te S y n th e s is of O p tim a l
C o n tr o l) . — A v to m a tik a i T e le m e k h a n ik a , N o. 11. 1968.
G u r m a n , V . I. Ob o p tim a l'n y k h p r o t s e s s a k h o so b o g o u p r a v le n iy a
(O p tim a l P r o c e s s e s of S in g u la r C o n tro l) . — A v to m a tik a i T e l e
m e k h a n ik a , N o. 5. 1965.
G u r m a n , V . I . M etod is s le d o v a n iy a odnogo k l a s s a o p tim a l'n y k h
s k o l'z y a s h c h ik h r e z h im o v (in v e s tig a tio n of a C e r t a in C l a s s of
O p tim a l S lid in g C o n tr o ls ) . — A v to m a tik a i T e le m e k h a n ik a , N o . 7.
1965.
G u r m a n , V. I. M etod k r a tn y k h m a k s im u m o v i u s lo v iy a o tn o s i te l 'n o i
o p tim a l’n o s ti v y ro z h d e n n y k h r e z h im o v (T h e M eth o d of M u ltip le
M a x im a an d th e C o n d itio n s of th e R e la tiv e O p tim u m of D e g e n e r a te
C o n tr o ls ) . — A v to m a tik a i T e le m e k h a n ik a , N o. 12. 1967.
5921 208
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I. V Misyurkeyev
Problems in
Mathematical
Physics
with solutions
PROBLEMS IN MATHEMATICAL PHYSICS
with Solutions
with Solutions
I. V. MISYURKEYEV
translated by Scripta Technica, Inc.
editor of English edition

Michael Yanowitch
Department of Graduate Mathematics
Adelphi University
McGraw-Hill Book Company

NEW YORK ST. LOUIS SAN FRANCISCO TORONTO LONDON SYDNEY
with Solutions
Copyright © 1966 by McGraw-Hill, Inc. All Rights
Reserved. Printed in the United States of America.
This book, or parts thereof, may not be reproduced in
any form without permission of the publishers.
Library of Congress Catalog Card Number 65-27785
Originally published as Zadachi po Metodam Matcma-
ticheskoy Fiziki by Moscow University Press, 1964.
1234567890 MR 721069876
FOREWORD TO THE ENGLISH EDITION
This collection of problems and exercises is suitable for use

in courses in which the student is expected to acquire some of
the fundamental mathematical techniques for formulating and
solving physical problems. In American universities, courses
of this nature are usually given for advanced undergraduate and
first year graduate students in various departments of physics,
mathematics and engineering.
The first three chapters deal with basic properties of scalar
and vector fields. The next three are devoted to the formulation
of initial and boundary value problems, and to their solution by
the method of waves, and the method of separation of variables.
Chapter 6 includes material on special functions which is needed
for the application of the method of separation of variables in
polar and spherical coordinates. The last chapter contains
problems on the theory of probability.
The abundance of hints, directions, and of completely worked
out solutions make this little volume particularly valuable for
self-study.
M. Yanowitch
October, 1965
PREFACE
This collection of problems and exercises in the methods of

mathematical physics is designed to fit the present curriculum
of the departments of physics and mathematics in universities
and other institutes of higher education.
In compiling this collection, I made use of various text and
problem books pertinent to the different sections.
To assist in the solution of the difficult problems, and to
indicate more rational ways of solving them, I have given di
rections concerning methods of solution for most problems, and
have included complete solutions of some. The more difficult
problems are indicated by an asterisk.
The author considers it his pleasant duly to express his deep
appreciation to Professor V. I. Levin, and also to Lecturers
V. M. Rudyak and S. I. Mogilevskiy, who read the manuscript
and made a number of valuable suggestions.
I. V. Misyurkeyev
CONTENTS________________________________________________
Foreword to the English Edition v
Preface vii
PART I —The Foundations of Mathematical Field Theory 1

Chapter 1. Two- and Three-Dimensional Scalar Fields 3
Chapter 2. Vector Fields. Field Lines 9
Chapter 3. Second-Order Differential Operators. The Laplacian.
Harmonic Functions 23
PART II — Differential Equations of Mathematical Physics 27
Chapter 4. Solution of the Vibrating Equation by the Method of
Waves (d’Alembert's Method) 29
Chapter 5. The Fourier Method. The Method of Eigenfunctions 33
Chapter 6. Problems Involving Special Functions 45
PART III —The Elements of Probability Theory 51
Chapter 7. The Basic Concepts and Theorems of Probability
Theory. The Binomial Distribution 53
Answers and Directions 67
Appendices 133
Index 143
IX
PART I
The Foundations of Mathematical

Field Theory
CHAPTER 1
Two- and Three-Dimensional Scalar Fields
1. Level curves and surfaces
1. Describe the level curves of the following functions

<p(x, y) = x2-j-y2— 1; <p(x, y) = + 1-
2. Construct the level curves of the following functions:
(a) x — y; (b) ex-\-x ; (c) sin a: + sin y; (d) ^ ^ 2'; (e) V~xyi
(f) — (2x — y - f l ) (a:=#0).
3. Describe the level surfaces of the following fields:
(a) <?= x-\-y-\- z\ (b) cp= x2-f- y2+ z2\ (c) <p=Ar2+ y 2— z2.
4. Describe the level surfaces of a plane-parallel field, of
a field with axial symmetry, of a cylindrical field, and of a
spherical field.
5. Describe the isothermal surfaces in the temperature
field around a heated straight wire of infinite length.
6 . What is the change in the temperature along an isotherm?
7. Describe the equipotential surfaces of the potential due
to a point mass. Do the same for the potential due to a uniform
mass distribution along a straight line segment.
8 . Show that the level curves (resp. surfaces) do not pass
through the extrema of a plane (resp. space) scalar field.
Can the level curves of the following plane fields pass
through the points shown:
(a) <p(x, y) = x3 y3— 3Ary through A (1, 1);
(b) f {x, y) = 2Ary — 3at2— 2y2-f-10 through 5(0, 0);
(c) <]>(x, y) = 4 (x — y) — x2— y2 through C (2, - 2)?
9. A scalar ip(x, y) is at every point (x, y) equal to the sum
of the distances of this point from two given fixed points and
F2 What are the level curves tp = const.?
3
4 The Foundations of Mathematical Field Theory
10. In a three-dimensional space, <p(M) is the sum of dis

tances of a point M from two fixed points. Find the level sur
faces of the function <?(M).
11. In a three-dimensional space, <p(M) is the distance from
the point M to a fixed straight line. Find the level surfaces of
the function <p(jVI).
12. Consider two point charges ex and —e2 at a certain dis
tance from each other. Find the surface on which the potential
v — £i — £i is equal to zero (where rt denotes the distance from
' r2
the charge et to an arbitrary point P of the unknown surface).
2. Directional derivatives
13. Does the function/(x, y) = 3x4 — xy -f- y3 have a deriva
tive in every direction at the point A1J1, 2)?
14. Does the function /(x . y)=V^*y-f-y 2— 1 have a derivative
in every direction at the point M (0 , 2)?
15. Find the directional derivative of the function 5x 2 -
3x - y2 —1 at the point M (2, 1) along the line from this point to
the point N (5, 5).
16. Calculate the derivative of the function /(x, y) in the
following directions: (a) along the bisector of the first quad
rant; (b) along the negative half of the x-axis.
17. Find the derivative of the field yJA 2 at a point on the
ellipse 2x2-f-y2= C in the direction of the outward normal to the
ellipse.
18. Find the magnitude of the derivative of the function u =
In (x2-|- y2) at the point M (x0, y0) in a direction perpendicular to
the level curve passing through that point.
19. Find the magnitude of the derivative of the function z =
x2-|-y 2 at the point M (1 , —2) in a direction perpendicular to the
level curve passing through that point.
2 0 . Show that the rates of increase of a field <p at a given
point in the direction of the normal n to the level surface pass
ing through that point and in any other direction 1 are related by
d<f
_ = _
d? .
c° s („. |).
From this, it follows (1) that the derivative in the direction 1

has its greatest value if this direction coincides with the direc
tion of the normal n to the level surface and (2) that the deriva
tive of the function in any direction tangent to the level surface
is equal to zero.
Two- and Three-dimensional Scalar Fields 5
21. In what direction should one take the derivative of the
function u = xy at the point AI0(x0, y0) i n order for the derivative
to have its maximum value? What is the derivative of the given
function in the direction tangential to the level curve xy = .v0y0
at the point Af0(jc0, y0)?
3. The g r a d ie n t of a function
22. Show that

grad Ca = C grad a, (C = const.),
grad (a -f- v) = grad a -f- grad v.
grad (v) — Srad u ~ a Srad 'y)>
grad (an) = nun~l grad a,
grad [a (-y)] = ur (-u) grad v.
23. Show that
grad / (cp. t) = -§£ grad <P+ grad <{>.

where cp and <|>are scalar fields possessing gradients and / is a
differentiable scalar function of its arguments.
24. Find the gradients of the following fields:
(a) (p= 5xiy — 3xy5-{-y4z; (b) cp= x2yz2; (c) cp= eJr+y+*; (d)cp =
y2z — 2xyz~i~z2 at the point M (0, 0, 0) and find the gradients of
the fields (e) cp = arctan (y /x ) + C; (f) <p= l / r (where r =
Y x 2 y2 z2) at an arbitrary point other than the coordinate
origin.
25. Find the derivative of the function u = u(x, y, z) in the
direction of the gradient of the function v = v(x, y, z). Carry
out the calculations in particular for the functions a = x2+y2 +
z2— 1 and v = x 4- y -)- z. Using these results, show that if
grad a is perpendicular to grad v, the derivative of the function
a in the direction of grad v is zero.
26. Find the angle between the gradients of the field cp=
jcy + y z -f- xz at the points A (0, 1, 1) and B (2, 0, 1).
27. Find the magnitude and direction of the gradient of the
function cp(jc, y, z ) = x2+ 2y2-f- 3z2— xy — 4x-{-2y — 4z at the point
M (0 , 0 , 0).
28. Find the gradient of the potential of the electric field
caused by a point charge e placed at the coordinate origin.
29. A temperature field is given by the function T = x2y —
y2z - f- 1. What is the direction of the maximum temperature
increase at the point M0(0. 0 , 1)?
6 The Foundotions of Motheniatical Field Theory
30. At what points of the xy-plane is the gradient of the field

tp= x2-(-y2— 3xy. (a) perpendicular to the y-axis; (b) parallel to
the y-axis?
31. Figure 1 shows the vector MN = grad <p(x, y). Find by a
geometrical construction the derivative of the scalar field
<p(x, y) in the directions MA, MB, and MC [where the direction of
MC is tangent to the level curve <p(x, y) = cp(M)\.
32. A scalar field is given by the function <p{x, y)=-^-+-fr— 1-

Show that at a point M (x0, y0) on the level curve cp(x, y) = 0 the
gradient of this field is equal to r° + R°, where r° and R° are unit
vectors in the directions r = FjM and R= F2M respectively, F,
and F2being the foci of the ellipse serving as a level curve.
33. Consider an ellipsoid of revolution with foci at Pxand
P2, and a mirrored inner surface. Suppose that a source of light
is located at the point Pa. Show that all the rays of light origi
nating at this focus and reflected from the surface of the ellip
soid will meet at the other focus P2.
34. Suppose that the ellipsoid of the preceding problem is
replaced with a paraboloid of revolution and that a source of
light is located at its focus. Show that the rays of light origi
nating at the focus will all be parallel after they are reflected
from the paraboloid.
35. A scalar field is given by the function cp= <p(r), where
r = Y x2~h y2-\- z2- Suppose, by treating r as an arbitrary func
tion of a parameter we can represent dtp in the form of the
scalar product of some vector g (depending on r) and dr:
dcp= g • dr.
Show that the vector g coincides with the vector grad cp.
Two- and Three-dimensional Scalar Fields 7
Use this result to evaluate (a) grad r; (b) grad r2; (c) grad r5;
(d) grad (ar) (where a is a constant vector); (e) J grad <p• dr,
C
where <p= <p(x, y) is a differentiable function defined on a simply-
connected domain D, C is a closed curve in D, and r is the
radius vector of the point (jc, y).
36. Calculate the gradients of the scalar fields
tp0— 19r2 (r < a),
(a) M= j cp0—upa2(l-|- 2 In ( r > a ) ; c°s expressed
in terms of the cylindrical coordinates r, 0, z and of the fields
(c) u = — £ 0rcos9(l — ^ + C; (d) « = 2wp JJ; (e) u =
(1 — 3 cos 2 9); (f) m= expressed in terms of the

spherical coordinates r, 0, <p.
37. Suppose (5) is a smooth curve (closed or otherwise) in
thexy-plane and p(P) is a continuous function defined on it. Then,
the function
1
«(ô)= / F(^) 1" r PoP dSp>
(5)
where p is the distance from an arbitrary point P on the
curve (5) to a fixed point P0of the plane, is called the logarithmic
potential of a simple layer and the function \>.(P) is the density of
this layer. Calculate the vector grad/>„ a at a point P0 not on the
curve (5).
38*. Suppose a continuous function p(P) is defined in a bounded
region (u>) of the xy-plane bounded by a piecewise-smooth closed
curve (I1). Then, the function
v (P0)= f(ui)f F(P) *n rpc1p du>p,

where rPtP is the distance from an arbitrary point P of the re
gion (u>) to a fixed point P0of the plane is called the logarithmic
potential of the region (u>) with density n. Find the vector
gradp, v at a point PQ(x0, y0) lying outside the region (u>). Show
that this representation of gradp„ v also holds when the point P0
is in (o>). ______
Consider the behavior at infinity (as r = Y xl + -ô °°) °f the
logarithmic potential of a region and show that it can be repre
sented in the form
v (P 0) = y W ln | + v *(P 0).
8 The Foundotions of Mathematicol Field Theory
where v*(P0)-> 0 as r-> oo and r2 |gradp0v*\ < C (C being some

constant) and where M — j J\idwp is the total “m ass” in (co).
39*. Let (T) be a plane<<u)curve, <p-theangle between the nor
mal to the curve (I1) at the point P and the direction from this
point to a fixed point PQ(xQ, y0), and r„p-the distance between the
points P0 and P. Then, the expression
cos <p
v (P0) = / HP) dSp,
rptp
m
is called the logarithmic potential of a double layer with dipole
moment of density v(P). Show that, for sufficiently large r =
V4+yl
r21gradp0v\ < C,
where C is a positive constant.

CHAPTER 2
Vector Fields
1. Vector fields. Field lines
40. Show that, at a point P(x, y, z), the gravitational field in
tensity F(P)due to a mass m0 concentrated at a point M0(x0, y0, z0)
is equal to the gradient of the scalar field <p(P) = — m0/ r, where
r = rPM, = V ( * — xo)2+ (y — y 0)2 - K * — ^0)2-
Generalize this result to the case of a Newtonian gravita

tional field caused by n point m asses mv . . mn.
41. Show that the gradient field of a plane-parallel scalar
field is a plane-parallel vector field, that the gradient field of a
scalar field with axial symmetry is also symmetric about the
same axis, and that the gradient field of a spherical scalar field
is a central vector field. Is the gravitational field of a point
mass a central field?
42. Suppose that a unit mass is displaced along a given path
AB in a potential field. Show that the work done by a force F in
causing this displacement is equal to the increase in the po
tential function <p from the point A to the point B (the so-called
potential difference).
43. Show that a central vector field R= ^ u r , where /(r) is
a scalar function of a positive argument, is derivable from a
scalar potential. Find its potential.
44. Show that for a vector field to be derivable from a po
tential, it is necessary and sufficient that it be the gradient of
some scalar field.
In problems 45-48, it is assumed that a unit mass is con
centrated at the point in question and that on the attracting
surfaces there is a uniform distribution of mass with unit
density.
9
45. Find the force of attraction on a point P(0. 0, t) by a

homogeneous surface of a sphere of radius R. Consider the
cases R > C R < C P = C
46. With what force F does the homogeneous lateral surface
of a right circular cylinder of altitude h attract the center of the
base of the cylinder?
47. Find the intensity of the field caused by the homogeneous
lateral surface of a right circular cone of altitude h at the cen
ter of the base.
48. Calculate the potential of a Newtonian attractive force
at the point P( 0, 0, C)by the homogeneous surface of a sphere or
radius R. Consider the cases P > Cand R < C
49. Compute the force with which a homogeneous sphere of
radius R and density n attracts a material point of mass m
located at a distance r (where /• > P) from its center. Show that
the force of interaction is the same as if the entire mass of the
sphere were concentrated at its center.
50. Suppose there is a uniform mass (charge) distribution
of density ii/2 along a line segment of length 21 (—/ < z < /)
which is parallel to the z-axis and does not pass through the
point P0(x0, y0). Compute the potential and the field intensity Ft
at P0(x0. y0)(see Fig. 2).
Solve this problem for the case in which the straight line is
infinitely long (but still homogeneous).
FIG. 2
51. A constant electric current / flows upward along an in

finitely long wire placed along the z-axis. Find the magnetic
field intensity vector H and the lines of force, produced by the
current, at an arbitrary point M (x, y. z \
52*. Let (v ) denote a finite region in a three-dimensional
space bounded by a piecewise-smooth closed surface (5). Then,
if a continous bounded function p (P ) is defined in (v ), the function
Vector Fields 11
«(P0) = Jf f fJ p ( P rp0
) ^p .
fa)
where rPoP is the distance between a fixed point PQ(x0, y0, z0) of
space and the point P(x, y, z) of the region (v), is called the
Newtonian potential of the masses distributed in the region (v)
with density p (or the Coulomb potential of spatially distributed
charges).
(a) Calculate the vector gradp„ a at a point P0 outside the
region (v ).
(b) Show that if the point P0 is sufficiently far away r —
V xl~\~yl~\-zl from the coordinate origin, the following approxi
mation holds:
u{Po)^~,
where M = III
(V)
pdvp is the mass located in the region (v).
(c) Examine the behavior of the potential a (PQ) at infinity
(that is, as r->oo). Show that in this case,
r21gradp0a | < C,
where C is a constant.
53. Find the field lines of the following vector fields.
(a) * l-|- 2yj; (b) a = (x2— y1— z2) i-j-2xyj-j-2zxk; (c) r = xl-j-
yj-f-zk; (d) a = xi — yj — 2zk; (e) the field E = ?r/r3 of a point
charge q , where r is the distance between the point in question
and the charge.
54. Show that the field lines of the homogeneous field R
(where R = const.) are parallel lines.
55. (a) Find the equation for the lines of force of the field
of two parallel infinitely-long wires with charges of -f-e and — e
per unit length.
(b) Find the equation for the lines of force of the electric
field of a dipole at great distances from it in thexy-plane.
Assume that the y-axis coincides with the direction of the di
pole field vector P.
56. Prove the following:
(a) If the vector field a = afef + a9eT+ az<tz is given in cylin
drical coordinates (see Fig. 3a), the differential equations of
the family of field lines of the field a are of the form
dr r dy dz
df
(b) If the vector field a = arzr-f- fle®e+ aT®? is given in spher

ical coordinates (see Fig. 3b), the differential equations of the
family of field lines of the field a are of the form
d r _ r sin 0 tfy __ r dQ
CLf- ^0
57. Find the equation for the field lines of the field given in
spherical coordinates by
2a cos 0 , a sin 0
a = — — e r + —— ee-2
2. A hydrodynamical model
58. Let v = vxi -f- vyj be the velocity field corresponding to a
steady potential flow of an ideal incompressible fluid. Show that
the equation for the stream lines is u(x, y) = const., where
u(x, y) is a stream function defined by the following line inte
gral (to within an additive constant):
<r. y)
u(x, y ) = j vxdy — vydx,
(*o, Vol
where (x0, y0) is a fixed point, and (x, y) a variable point in the
field (which is assumed to be solenoidal, i.e., such that
dVy
-r—= 0 at all points of the field).
Vector Fields 13
59. Let cp= tp(A:, >0 be the potential of the velocity field v =
vx't ~\~vyi (solenoidal) of an incompressible fluid. Show that the
stream function can be represented in the form:
y) <-«•,
u(x, y )= f — +const..
(* o , Vo)
where (jc0, y0) is a fixed point and (x, y) is a variable point in the
field.
60. Show that the potential <p(x, y) and the stream function
u(x, y) corresponding to the velocity field v = vxi-\-vyj of a po
tential flow of an incompressible fluid are connected by means
of the following partial differential equations (Euler-d’Alembert
equations*):
dy du dy du
dx dy * dy dx *
From this, deduce the following:
(X, y)
<?(x, y )= J jfL ctx — dy + const. =

(x„, y«)
(x. y)
= J vxdx~\-vydy-\- const.
(* o ,y0)
Show that the family of stream lines and the family of equi-
potential lines are mutually orthogonal.
61. Show that the velocity potential cp(x, y) of the steady-state
motion of an ideal incompressible liquid without sources or
sinks, and also the stream function u(x, y), satisfy Laplace’s
equation:
d2? , d*? _ 0 d*u d*u _ 0
dx* dy* ~ ' dx2 dy2 ~
62. In the following problems, find the particle trajectories

and the magnitude and direction of the velocity vector from the
given velocity potential corresponding to the plane motion of an
ideal incompressible liquid without sources or sinks:
(a) f = x i (b) <f = ^.2 yj' 5 (c) <p= x -j- y2 •
♦More commonly called the Cauchy-Riemann equations.—.Trans.

The Foundations of Mathematical Field Theory
14
3. Surface integrals. The flux and divergence of a vector

field. Ostrogradskiy’s theorem*
63. Evaluate the surface integrals:
(1) J Jy dS , where S is the hem isphere 2 = + / / ? 2—* 2—y2.
S
(2) J J (x2+ y2)z dS, where 5 is the upper half of a sphere of
radius a5with center at the coordinate origin.
<3> If zdS, where 5 is the total surface of the tetrahedron
intercepted from the first octant by the plane x-\- y + z = 1 .
(4) f f . zdS.. . where S is that portion of the paraboloid z =
'' JS J x2 y2
x2+ y 2 intercepted by the cylinder x 2-l- y2— a2.
(5) f f x 2y2z dx dy, where 5 is (a) the outer surface of the
lower half of the sphere x2 y2 z2= R2; (b) the inner surface
of the same hemisphere.
<6> J > ! dxdy, where S is the outer surface of the ellip-
y2 5 u2 p<2
soid -^r + -p- + 7r = 1 .
(7) J J xyzdxdy, where 5 is the outer surface of that portion
of the sphere x2-j-y2+ z2= llying in the first and eighth octants:
jc > 0 , y > 0 .
(8) f f (y — z)dydz + (z — x)dx d z - h ( x —y)dx dy, where 5 is
§
the upper side of the surface of the sphere Jc2+ y2+ z<2= 2/?*
intercepted by the cylinder jc2-|- y2= rlrx (where r < R and z > 0).
(9) / J yz dx dy + xzdy dz-{- xy dx dz, where 5 is the outer
side of the surface located in the first octant and formed by the
cylinder x2-\-y2=.R2 and the plane x = 0, y = 0, z — 0, andz — H.
64. (a) Use Ostrogradskiy’s formula to transform the sur
face integral
/ = J J (x2dy dz -|- y2dx dz -|- z 2dx dy)
s
into an integral over the region wbounded by the closed surface 5.
(b) Use Ostrogradskiy’s formula to evaluate the surface
integral
J J (z 2cos (n, x) -j- x2cos (n, y) + y2cos(rt, z))dS.
♦More commonly called Gauss* or Green's theorem .—.Trans.

Vector Fields 15
(c) Set Q = R = 0 and P = uv in Ostrogradskiy’s formula and

obtain the formula for integrating a triple integral by parts:
J f faTZd*= ~ / (If) f vWd*+ /5 f uv'cos ("■ *>'dS-

o»
65. Suppose in a steady flow of an ideal incompressible
fluid, the velocity of each particle is equal in magnitude and
direction to the radius vector from the origin to the particle.
How much fluid flows out of volume T per unit time?
66 . Find the flux of the vector r = *i -J- yj -f- zk (a) through
the outer side of the surface of aright circular cone whose apex
coincides with the coordinate origin if the radius of the base of
the cone is R and its altitude is H; (b) through the outer side of
the surface of a right circular cylinder whose lower base is
centered at the coordinate origin (as with the cone, the radius of
the base is R and the altitude is H) ; (c) from a sphere of radius
R with center at the coordinate origin.
67. Calculate the flux of the vector a = (v — 2y) i + zj 4*
(3y + z) k through that portion of the surface of a unit sphere
with center at the coordinate origin that is contained in the first
octant, that is, in the region in which x2 y2-\-z2> 1 .
6 8 . In a steady flow of an ideal incompressible liquid, the
velocity of each particle is directed to the coordinate origin and
has a magnitude equal to 1//•*, where r is the radius-vector of
the particle. Calculate the amount of liquid flowing from a
volume G in unit time.
69. The projection of a certain vector R onto the outer nor
mal of the surface of the tetrahedron formed by the planes
x-\-y~\-z—X, x > 0 , y > 0, 0 is equal to l/(l-F-*+y)2. Calcu
late the outward flux of this vector through the surface.
70. The magnitude of a vector R at a given point M is usu
ally represented graphically by drawing field lines through a
surface element AS that is perpendicular to the vector R at the
point M. The number of lines drawn is proportional to the
magnitude of the vector R. Show that the flux of the field R
through a surface 5 is proportional to the number of field lines
crossing the surface S.
71. (a) Calculate the flux of the electric field E— qr/r3 due
to a point charge q across a sphere of radius a with center at
the charge. What is the flux if the charge q lies outside the
sphere? What is the flux of the vector E through an arbitrary
surface?
(b) Show that the flux of an arbitrary field R through an
arbitrary closed surface is equal to 4n times the sum of the
masses m1....... mn producing the field, that are enclosed by the

surface:
n
Q(R; S) = — 4 « 2 m„
(In electrostatics, this assertion is called the Gauss-Ostro
gradskiy electrostatic theorem). The equation
Q(R; S) = — 4 * fff v{P)dvP.
is a generalization of this assertion for the case of continuously

distributed masses (or charges) with density [x(P) within the
region (v) bounded by a closed surface 5.
72. A sphere of radius a has an electric charge uniformly
distributed over the surface with surface density a = q/4.na2.
Find the intensity D of the field at points inside and outside the
sphere.
73. An infinitely long circular cylinder of radius a is elec
trically charged with a uniform surface density a. Determine
the intensity of the field at a point located at a distance r from
the axis of the cylinder. Consider the cases r > a and r < a.
74. Suppose that a mass m is concentrated at the coordinate
origin. What is the flux of the gravitational field inward through
the surface of a cylinder of radius r and altitude 2h that is co
axial with the 2-axis and has one base in the xy-plane?
75. An infinitely thin plane is electrically charged with a
surface charge density a. Find the intensity of the field at a
point M located at a distance r from the plane.
7 6 . Calculate the flux of the vector a = arer -f- -f- azez
(given in a cylindrical coordinate system) through that portion
S of a cylindrical surface of radius r whose axis coincides with
the 2-axis.
77. Show that the flux of the vector a = are,-|-a e
(given in a spherical coordinate system) through any portion 5
of a spherical surface of radius r with center at the coordinate
origin is equal to the integral
78. Find the divergence of the field R= 5xi + 3yj — 2zk and
give a physical interpretation of this result.
79. What is the divergence of the homogeneous field a==
fljri + flyJ + azk (where ax, ay, az are constants)? Give a hydro-
dynamic interpretation of the result.
Vector Fields 17
80. By using the definition of the divergence, evaluate

(a) the divergence of the vector r == xi + yj at the centers of
the circle x2-\- y2= R2 and of the square — R -< x, y R.
(b) the divergence of the field r = xi + yj - f zk at the center
of the sphere x2-\- y2-f- z2= R?.
81. Does the field R= 3jc2i — 5xyj-\-z2k have either sources
or sinks at the points P,(l, 2, 3), P2(l, - 5 , - 1 ) , P3(2, 0, - 1)?
If so, determine their strength.
8 2 . Evaluate the divergence of a central vector field R= / (r) r,
where / (r) is a differentiable function and r = xi + yj + zk, where
r = |r|.
83. Find the source distribution belonging to the vector field
R= *i — y~l + xzk and the total output of the sources of the given
field that lie within the sphere x2-\-y2-\- z2= l .
84. Find the divergence of the velocity field v of a liquid
rotating around an axis, and of the field H in problem 51.
85. A certain liquid that is moving with a velocity v fills a
volume 0 . Assuming that the velocity field in the region G is
solenoidal, derive the equation of continuity:
-£ -+ d iv ( p v ) = 0.
where p= p(x y, z, t) is the density of the liquid at the instant t

at the point (x, y, z ).
From this, derive the condition for incompressibility of the
liquid:
dlv v = 0.
86. Experiment shows that the velocity of an incompressible
liquid in a vector tube increases in places where the cross-
section of the tube decreases. Explain this fact from the point
of view of mathematical field theory.
Show that the fluxes of a solenoidal vector field through dif
ferent cross sections of a vector tube are different.
87. (a) Show that the divergence of the gravitational field of
a finite number of point m asses is everywhere zero outside
these m asses. Generalize this assertion to the case of the
gravitational field of a continuously distributed mass in a
region (v ).
(b) Show that the divergence of the gravitational field F of a
continuously distributed mass in a region (v) is equal to
div F = — 4rcp.,
where m is the density of the substance.

88. The field of the electric displacement vector D is di

rected along the radius of a sphere a and its values are given by
/r (0 < r < a ) ,
la3
7r r (a < r < °o),
where r == xl -f- yj -f- z k , r = | r |, and 0 < / = const. Find the dis
tribution of the charges producing this field.
89. Show that a central vector field R(r) = ( f(r)/ r)r will be
solenoidal only when the magnitudes of the vectors of this field
are inversely proportional to the squares of the distances of
the points in question from the center.
90. Evaluate the divergence of the following vectors:
<2*3
(a) a = r2zer + *2<peT—-g-e„ defined in cylindrical coordinates
and
(b) a = ar{r, 6, cp)er; (c) a = 2C°2S6 er -f- sin 0ea; (d) a =
ê, + tpef — y e^; (e) —V^- c°s 9j, defined in spherical co
ordinates.
91. Show that the fields a = y2f -f- z2j -|- x2k and b= - C°3S9 ef -f-
sl”36 ee (in spherical coordinates) are solenoidal.
4. The circulation of a vector field aroun d a closed

contour. The curl of a vector. Stokes' theorem
92. Calculate the circulation of the given vector field along
the curve indicated and explain the physical meaning of the sign
of the circulation (here and in what follows, we take the counter
clockwise direction around a curve in a right-handed coordinate
system as the positive direction);
(a) a = —- y i 4 - xj-j- 5k. (C): Jt2+ y 2= l , 2 = 0;
(b) &— (C): the circle x2-\-y2-\-z2= a 2t x-|-y -f- z == 0 ;
/v y « 1 x
(C) a = — 7,_j_yS l + (C;: any simple closed curve
(with no points of self-intersection);
(d) a (^3y-f- ey) i -j- (xy3-|- xey — 2y) j, (C): any closed curve
that is symmetric about the origin or about both coordinate
axes;
(e) a = _yi — xj, (C): the closed curve formed by the coordinate
axes and the fir st quarter of th eastroidr = flc o s 3^ • i + /?sin3/! • j;
Vector Fields 19
(f) a = y2i, (C): the closed curve consisting of the right half
of the ellipse r = aj cos sin t • j and a segment of the
y-axis;
(g) a = (y —z)i-f-(z —x)jH-(jc — y)k, (C): the circle x2-\- y2-{-
z2= R2, y = x tan a (for 0 < a < rc), where the positive direction
is the counter-clockwise direction as viewed from the positive
half (x > R) of the x-axis;
(h) R= y2z2i -f- x2z2j + x2y2k along the closed curve x = a cos t ,
y = a cos 2t , z = a cos 31, taken in the direction of increasing
values of the parameter t.
93. (a) Show that the circulation of a vector field depends
on its orientation in the field by calculating the circulation of
the field a = yi around the circle with center at the point (0 , b, 0)
and radius b that lies in the xy-plane and then for a circle of
same radius and center that is located in the plane y = b.
(b) Calculate the curl of the field a = yi around the circle
x = b cos t, y = b + b sin t, z — 0 (for at the center of
this circle Pu(0, b, 0)in the positive direction of the z-axis.
94. Calculate the circulation of the vector H in problem (51)
around the circle (L): x2-\-y2= R2, z = 0. What is the circulation
of this vector around any simple closed curve (C) not encircling
the conductor?
95. Suppose the components of the vector field &= axi-4-
ayj -j- azk have continuous derivatives with respect to the coordi
nates in the neighborhood of a point P. Show that the curl of the
field a at the point P can be calculated from the formula
i j k
d d d
dx dy dz
a x ay az
From this formula, derive expressions for the components

of the vector curl a.
Use the formula given above to calculate the curl of the fol
lowing vector fields at an arbitrary point:
(a) R= oi-f- b\ -f-ck (where a, b, and c are constants),
(b) R= / (/•) r, where r = xi + yj zk. and r = | r |.
96. Calculate the flux of the curl of the field a = x3y:i\ -f-
j + zk: (a) through the hemi sphere z = -f- Y R 2— x2— y2, (b) through
an arbitrary piecewise-smooth 2-sided surface 5 “ stretched”
across the circle x2-f-y2— R2, z = 0. Compare the two results.
Show that the flux of the curl through a closed surface is inde
pendent of the shape of the surface and depends only on the
shape and position of the curve bounding this surface.
97. A propeller of infinitely small radius with a large num

ber of blades that can rotate freely about an axis is placed in
the velocity field v of a liquid in motion. Let 1 denote a unit
vector in the direction of the axis of the propeller. Show that
the magnitude of the angular velocity a) of the propeller will be
greatest if the vector 1 is directed along the vector curl v. Show
that the angular velocity vanishes if the axis of rotation is per
pendicular to the direction of the vector curl v. Finally, show
that it is neither zero nor its maximum value if the axis of ro
tation is in any other direction.
98. Show that Stokes’ formula can be written in vector form
as follows:
J F dL = J j curl F dS.
L S
where dL = dLt, dS = n dS, * is a unit vector tangential to the
curve L in the positive direction, and that n is a unit vector
normal to the surface S.
99. Show that the direction of the curl of the velocity field
corresponding to the flow of a liquid rotating like a solid around
some axis is along the axis of rotation and that its magnitude is
equal to twice the angular velocity.
100. Show that the circulation of the magnetic field intensity
II, due to an electric current, around a closed curve is equal to
4rc/c times the albegraic sum of the currents “threading” the
curve, where c is the velocity of light in a vacuum.
101. Calculate the curl of the field R(P) = /(p)'t(P), where p
is the distance from the point P to a fixed straight line / and
t (P) is a unit vector perpendicular both to the line I and to the
line drawn from the point P to the line I (see Fig. 4). Assume
that the function/(p) is differentiable.
FIG. 4
102. Find conditions which are necessary and sufficient for

the field of the preceding problem to be irrotational.
Vector Fields 21
103. Show that the circulation of the magnetic field intensity

H, due to an electric current, around a closed curve I that does
not encircle any current-carrying conductor is equal to zero.
Compare this result with the assertion in problem 100.
104. Determine the angular velocity w with which a rigid
body rotates about an axis that passes through some point of
the body if its linear velocity is given by v = 2xi y2j -|- xzk.
105. Show that the field of the curl of a vector R is free of
sources.
106. Show that the flux of the curl of a vector R through an
arbitrary closed surface 5 is zero.
107. Calculate the total strength of sources of the field of
the curl of a vector R that are enclosed by a closed surface S.
108. The velocity of each particle of a liquid in plane
steady flow is characterized by the vector
V = « i-f-v j.
(1) Find the amount of the liquid Q that flows through a

closed contour C enclosing a region 5 containing the source of
the liquid. (2) Calculate the circulation r of the velocity vector
V around the curve C. (3) Show that the components u and v of
the field V satisfy the Euler-d’Alembert (or Cauchy-Riemann)
equations
du dv du dv
dx dy 9 dy dx *
if the liquid is incompressible and the flow is irrotational.

109. In a source-free space, a magnetic field H satisfies
the equations
curl H = 0, div H = 0.
Show that these equations imply that
H— grad a, Am _ + dyt + dg2 — 0.
where u is the potential of the field H.

110. Suppose that a direct current / is flowing through a
cylindrical wire of radius a. Find the magnetic field intensity
at an arbitrary point located at a distance r from the wire.
111. Find the magnetic field intensity caused by a direct
current / flowing down a hollow cylindrical tube.
112. Derive the differential equations of the magnetic field

of a direct current:
curl H = ^ -j, ( 1)
div(xH = 0. (2)
where j is the current-density vector, n is the magnetic per

meability of the medium, and c is the velocity of light in a
vacuum.
113. Prove (a) that every field derivable from a scalar po
tential is an irrotational field and (b) that identical vanishing of
the curl of a differentiable vector field in a simply-connected
domain implies that the field is derivable from a scalar po
tential.
114. Show that the fields a = x3i — y3j + z3k and b = yz (2x-\-
y-\-z)i-j-xz(x-\-2y+z)}-}-xy(x-t-y-\-2z)k and the magnetic field H
of the line current / in problem 51 have corresponding potentials
and evaluate their potentials. How can we reconcile the state
ment that the field H has a potential with the answer to prob
lem 94?
115. Calculate the curl of the following fields:
(a) The axis-symmetric fields a = ar(r, z ) t r+ a z(r, z)e2 and
b = r2zer — rz2z2‘,
(b) a central field a = ar(r, 6, cp)e^ and fields:
(c) a = sin cper + e?— rze./,
CHAPTER 3
Second-Order Differential Operators.

The Laplacian. Harmonic Functions
116. Show that

div (t{»grad cp) = t|;V2<p-f- V.
117. Calculate the Laplacian of the functions 2/u In (1/ r)

(where r2= x 2-\-y2 and n = const.), (1/ r) (where r2= x2-f- y2+ z2)
and
In the last two expressions, assume that u = u(x, y, z) is har

monic.
118. It is shown in electrodynamics that the intensity E of
an electric field caused by a charge density p satisfies Max
w ell’s equations for an electrostatic field at every point of the
region in question:
d iv E = — p, curlE = 0.
£ r
Find the field E.

119. Suppose that the divergence and the curl of some field
a are given at all points of a region (v ) bounded by a surface 5:
curla = b> diva = c, ( 1)
23
and that the values of the normal component a„ of the vector a on

the boundary 5 are given:
( 2)
Show that there exists a unique vector a satisfying equations

(1) and the boundary condition (2).
120. Show that if a function u(x, y, 2) is harmonic in a region
( ) bounded by a surface (S), then
id
121. By using the expressions for the Laplacian in cylin

drical and spherical coordinates, find the general form of the
function u — u (r) such that Am= 0 .
122. Write Ostrogradskiy’s formula for the vector grad cp.
By using this relation, show that, if cp is a harmonic function in
a region T bounded by a surface S, then
Give a hydrodynamic interpretation of this result by consider

ing the flux of the velocities v = grad <p of the steady motion of
a liquid.
123. Show that if the functions <p and 41 are harmonic inside
the surface S, then
124. Show that if a nonconstant function//(v, y, 2)is harmonic

and continuous in a region it cannot have extreme values in the
interior of the region but attains them only on its boundary (the
maximum-minimum principle).
Use this theorem to show that if two harmonic functions u1
and u2 coincide on the boundary of a region, they must also co
incide everywhere within that region.
125. Can a vector field with nonzero divergence possess a
vector potential?
126. Evaluate the magnetic field of an infinitely long straight
wire conducting a current I by evaluating first the vector po
tential A and then the field intensity from the formula H =
curl A.
Second-order Differential Operators 25
127. Calculate the vector potential of a system of currents

flowing in three mutually orthogonal infinitely long conductors
at a point P(x, y, z ) as shown in Fig. 5.
21
I
...... Y
FIG. 5
128. The vector potential of the magnetic field of a circular
current / with radius a is, at great distances R (that is,f?^>a),
A = — •[{!. R].
where p is the magnetic moment of the current. Evaluate the

intensity of the field H.
129. Calculate the potential u of the electrostatic field caused
by a sphere of radius R throughout which a charge e is uniformly
distributed.
130. By integrating Laplace’s equation in spherical coordi
nates, calculate the potential of an electrostatic field inside and
outside a conducting sphere of radius a on the surface of which
a charge e is uniformly distributed.
131. Calculate the potential and intensity of the field of an
infinite circular cylinder of radius a if its interior is elec
trically charged with a uniform density p.
PART II
Differential Equations of Mathematical

Physics
CHAPTER 4
Solution of the Vibrating String Equation

by the Method of Wa ves
(d’ Alembert’s Method)
132. Suppose the vibrations of an infinitely long string are

excited by an initial displacement of the segment (— C, C) in the
shape of a parabola, symmetric with respect to the u-axis (u
denotes the displacement from equilibrium).
Formulate the initial value problem under the assumption
that the string is initially at rest, and that the maximum initial
displacement is h.
133. Formulate the mixed initial-boundary value problem for
the longitudinal oscillations of a rod of uniform cross section,
under the hypothesis that one end (x = 0) is rigidiy fastened,
while the other end (x = l) is free, and that the initial displace
ment and velocity are respectively ^(x)and v(jc).
134. Derive the equation for small torsional vibrations of a
homogeneous cylindrical rod of length I. Give a mathematical
formulation of the problem of torsional vibrations of a rod with
one end clamped and a pulley fastened to the other end.
135. Solve the Cauchy problems
. . d2a d2u
(a) -faT dxi »
(— oo < * < oo, t > 0)
/ da {xt 0 ) n
u{x%0) = sin*, --- j t—- — 0
d2a d2u
(b) ~W a1'dx2t
u(x , 0) = 0, - U
- - = A sin x (A = const-)
(— oo < x < co, t > 0).
29
30 Differential Equations of Mathematical Physics
136. Suppose that a homogeneous infinitely-long string,

satisfying the initial conditions
u(x, 0) = p. (at). dU °- = v (a:) (— oo < at < co)
is subjected to a uniform external load distribution q(x, t). Find

the displacement of an arbitrary point on the string for t > 0 .
137. Find the distribution of voltages and currents along an
infinitely long conducting wire possessing self-inductance L,
capacitance C, resistance R, and leakage G, all measured per
unit of length, assuming that the initial conditions are
v (jc. 0) = tp(jc). /(x . 0) = <1>(*) (— co < x < co).
and that the four parameters listed are related by the equation
R / l - g / c (distortionless line).
138. Suppose that at an initial instant of time, a sem i
infinite string 0 x < co has the following shape
for x < C .
-(x -C ) for C < x < 2C,
u = (A> 0. C > 0)
-0- (x — 3C) for 2C < x < 3C,
0 for x > 3C
Draw the profiles of the string corresponding to the instants

c/ a, t2= 2c/ a, t3= 3 c / a, and t4= 7c/2a(where a is the
velocity of propagation along the string).
139. Solve the equation
a tt = a 2ux x , (0 < x < co, / > 0)
with boundary and initial conditions
«(x, 0) = [a(x), - U(£ 0) = v (x);
«(0, o = t( 0 -
Calculate the solution when (x) = x2, v(x) = sin x9and (t) — t,
140* Suppose a backward wave described by f ( x , t) =
1/2 sin was traveling along a sem i“infinite string 0 <
x < oo with velocity a = 1 when t < 0 . Calculate the displace
ment from equilibrium of the point x = 2k at the time t = 10 sec
(a) if the end * = 0 is fixed, (b) if the end * = 0 is fr e e (^ ( 0, 0 = 0).
Solution of the Vibrating String Equation 31
141. The end x = Oof a semi-infinite rod 0 O < o o moves ac
cording to the law «(0, t)=r,Ae~KIbeginning at t — 0. Here, A and
K are constants. Find the displacement a (x, t ) of points of the
rod for / > 0 if the initial velocities and displacements are
equal to zero.
142. The end x = 0 of a semi-infinite string whose cross
section is a circle of diameter 1 mm undergoes a harmonic
transverse vibration of the form A cos u>t (where A = const.).
Find the displacement u (x, t) of the string at an arbitrary in
stant of time and also the velocity of propagation of a wave if
the tension is T — 4 kg and the density is 7.8 gm /cm 3. Assume
that the initial displacement and initial velocity of points on the
string are both zero.
143. A semi-infinite tube 0 < x < co filled with an ideal gas
has a freely moving piston of mass M at the end of x — 0. At
the instant t — 0 , a blow imparts to the piston an initial velocity
v0. Study the propagation of a wave in the gas if the initial dis
placements and velocities of particles of the gas are both zero.
144. A semi-infinite string 0 of linear density p and
tension pa2 is originally in a state of rest. For t > 0 , the point
x = 0 undergoes small vibrations given by A sin u>/. Find the
displacement of an aribtrary point x of the string.
145. At the end x — 0 of a semi-infinite cylindrical tube filled
with gas, a piston executes harmonic oscillations with displace
ment A sin u>/. At some initial instant of time, the condensation
and the particle velocities are zero. Determine the displace
ment u(x, t) of the gas for / > 0 .
146. Suppose the initial shape of a homogeneous string whose
ends at x = 0 and x — l (see Fig. 6) are fixed is that of a para
bola symmetric with respect to the perpendicular line drawn
F IG . 6
through the point x — l/2. Suppose that its maximum displace

ment is h. Determine graphically the displacement of the string
at the instants t }= i/2a and t2~ i/a, where a is the velocity of
propagation, assuming that the string is initially at rest.
147. Solve the following boundary-value problem:
ln = a2“xx>
u(x, 0) = p.(-v). ut (x, 0) = v(at), (0 < * < /, t > 0)
u (0, t) = a (I, t) = 0
148. Suppose a gas is initially at rest, and that the initial
condensation S0 is constant inside a sphere of radius R, and
vanishes outside the sphere. Determine the condensation 5 for
all t > 0 outside of the region where the gas is initially dis
turbed.
149. Find the displacement for t > 0 of points on a finite
homogeneous string which is initially at rest, if the end points
x = 0 and a: = I are fixed, while the initial velocities are zero
and the initial displacement is given by
u (x, 0) = A sin - j - for

CHAPTER 5
The Fourier Method. The Method

of Eigenfunctions
1. Problems associated with the one-dimensional

wave equation
150. Find the natural frequencies of the transverse vibra

tions of a string of length I, linear density p, and tension T that
is fastened at both ends.
151. Find the natural frequencies of the longitudinal vibra
tions of a rod 0 < x < /, the left end of which is fastened, if a force
F(t) = At (where A = const.) is applied to the right end at the
instant / = 0. Assume that the medium offers no resistance to
the vibrations.
Solve this problem with the hypothesis that a weight of mass
M0 is attached to the free end.
152. Find the frequency of vibrations of a string 10 cm long
with rectangular cross section, 0.2 mm x 0.4 mm if its density
is t = 7.8 gm/cm? and if the tension in it is 1 kg.
153. One end of a rod (0 < j c < » is fastened (* = 0) and the
other is free. What are the amplitude and the period of the free
oscillations of the rod if the initial conditions are of the form
<f (x, 0) = (a(x), <st (x , 0) = v(x)
154. Find the law of vibration of a homogeneous string of

length I with both ends fixed if at the initial instant it has the
shape of a parabola symmetric with respect to a line perpendic
ular to the string at its midpoint. The string is initially at rest.
Solve this problem under the assumption that the length of
the string is / = * and that the initial deviation from the equi
librium position is given by P(x) — sin x.
33
155. Integrate the equation of small longitudinal vibrations

of a cylindrical rod of length/one end of which ( a : = 0) is fastened
and the other is free. The initial displacement and velocity are
respectively p(jt)and v( x ) . Apply the general formula to the case
in which p ( jc ) = x 2 and v( x ) = sin x .
156. Suppose that a homogeneous string with fixed ends
jc = 0 and x = l is stretched by displacing the point x = x Qa. dis
tance h from the equilibrium position and released with zero
initial velocity at the instant / = 0 . Calculate the energy of the
rath harmonic of the vibrating string.
157. Examine the forced vibrations of a string of finite
length (0 < * < / ) caused by a periodic disturbing force q =
A sinu>/ under the hypothesis that the ends of the string are
fastened and the initial conditions are nonhomogeneous:
u(x, 0) = (i(jc), ut ( x , 0) = v( x )
where p-(-v) and v(je) are given continuous functions defined for
0 x / that vanish at a: = 0 and x = / (compatibility conditions).
Do not consider the resonant case.
158. Show that the solution of the equation
U tt — 11X X + ^
for x £ [0, it] and / > 0 that satisfies the conditions

ra(0, /) = u (it, /) = 0,
u(x, 0) = «,(*, 0) = 0,
is the function
u(x, t) = ± V f x*sina ( t - x ) < h

o
n=\
where k is an arbitrary natural number.
159. A homogeneous rod of length 21, with center at the
point x = 0, is compressed by forces applied to its ends. This
compression shortens the rod to a length 21 (/ — e). At the in
stant t == 0 , these forces are removed. Find the displacement
u (x, t) of a cross section with abscissa a- for / > 0 .
160. A string with fixed ends is set into vibration by a blow
from a flat hammer which imparts to it the following initial
velocity distribution:
0 — 8.
at {x. 0) = v(jc) =
*0— 8 O < j c 0-|- 8.
0 A-0 + 8 ^ X /.
The Fourier Method 35
Find the vibrations of the string if the initial displacement is 0.
Solve the problem under the condition that the string is set into
vibration by a sharp hammer which gives it an inpulse P at the
point x0.
161. A string fastened at the end points is displaced by a
force F0 applied at the point x = c. Find the vibrations of the
string if this force is suddenly removed at the initial instant.
162. One end of a rod is held in place and a constant force
F0 is applied to the other. Find the longitudinal vibrations of the
rod if this force is removed at the initial instant.
163. A string of length I is placed in a medium that offers a
resistance proportional to the speed of motion of the string. In
this case, the wave equation has the form
d2u 9 d2u du
~W = a T ? 2k ~St
where k — h h {h being a proportionality constant and p the

density of the string).
Solve this equation by the Fourier method with the initial
conditions
u(x, Q) = f(x). du{*’V = F ( x )
and the boundary conditions

u (0, f) — u (I, 0 = 0
164. A continuously distributed force with linear density

* sin uit is suddenly applied to a string fastened at the ends.
Find the purely forced vibrations of the string. Neglect the re
sistance.
165. Find the general solution of the problem of transverse
vibrations of a beam simply supported at its end * = 0 and
x = l subject to arbitrary initial conditions:
u( x, 0 ) = f(x), du^ ’°^ = g(x) (0 < x < l )
166. An isolated homogeneous electric cable 0 < x < / is

charged to some constant potential. At the initial instant, the
end x = 0 is grounded, while the end x — l remains isolated.
Find the potential distribution in the conductor if the self
inductance is L, the resistance is R and the capacitance is C
per unit length of the conductor.
Differential Equations of Mathematical Physics
36
167*. In the region Q the following mixed

boundary-value problem is posed:
. d2U !/ \
u (0, t) = u(l, 0 = 0. «(*. 0) = (*(*), da 0) = *(*)•
where
L(u) = £ ( k ( x ) £ ) - q ( x)u
(k (x) > 0, q (x) > 0, p(x) > 0)
Show that the eigenfunctions of the problem are orthogonal with
weight p(*) in the interval [0, I] and that the eigenvalues are all
positive.
2. Problems associated with the two-dimensional

wave equation; Laplace’s equation, and Poisson’s equation
168. (a) Find the natural frequencies of vibration of a rec
tangular membrane with sides /, and /2 that is fastened along the
edges. Consider the case in which /, = /2.
(b) Find the frequency of the fundamental tone of a square
membrane of side I that is fastened along the edges.
169. Find the eigenvalues and eigenfunctions of the boundary-
value problem
Av-f-^v = 0 (v = v(x, y); 0 x a; 0 ^ y ^ . b )

v\x =0= v\x=a = v\ y=0= v\y=t) = 0.
170. A homogeneous square membrane is fastened along

its edges. If its shape at the initial instant t = 0 is given by
a(x, y, 0 )= Axy(l — x)(l — y)t where A = const., and if its initial
velocity is zero, find the free vibrations of the membrane.
171. Solve the boundary-value problem
A = const.
T he Fourier Method 37
172. Suppose that a rectangular membrane 0 <; x /„ 0 <

y <1 h is fastened along the edges. Find the transverse vibra
tions caused by a force of density
F(x, y, t) = A(x, y)sinu>/ ( /> 0).
applied perpendicularly to the surface of the membrane. Con

sider the resonant case.
A d2U . d2U ^ ,rs ^ ^ r, / . ,.
A“ = - ^ 4 - - ^ 2- = 0 (0<x<a; 0< y < 6 )
u l.*=o= v = const., u\JC=a = ujy=0 = 0, u |y=6=©o=const.
174. Find the harmonic function <p(x, y) inside the rectangle

0 < x < a, 0 < y < b, if its values on the boundary are given:
<pL=o = Ay{b — y), cp|J.=o = 0 (0 < y < 6),

cp|y=0= 5sin-^ -, cp|y=6= 0 (0 < x < a ) ,
where A and B are constants.

17 5. Find the electrostatic field inside the region bounded
by conducting plates y = 0 , y = b , and x = 0 (x > 0), if the plate
x = 0 is charged to a potential v0= con st., if the plases y = 0 and
y — b are grounded, and if there are no charges inside the region
in question.
176. Find the potential of an electrostatic field u(x, y) inside
a rectangular box, 0 < x < c , — 6 / 2 < y < 6 / 2 (see Fig. 7) if
the potentials on its edges are as follows:
b_
<Pi(x) for y 2’
_ b_
U= <p2(x) for y 2’
'l'i(y) f°r
'h 00 for x = a
and if there are no charges inside the box.

177. Find the solution of the equation
Am= — y cos x
inside the sem icircle x2-f-y2 < l , y > 0 that satisfies the con
ditions
u= 0 for y = 0,
u = Y 1 — x2^cosv— f°r y >
on the boundary.
y
b U:<P,
2
u=v2
0 a *
b
~2 U-fi
FIG. 7
178. We know that the problem of torsion of an arbitrary

prismatic body whose cross section is a region D bounded by a
contour L leads to the following boundary-value problem: Find
the solution of Poisson’s equation
Aa = — 2,
that vanishes on the contour L . Here, the basic quantities needed

for the analysis are the components x.zx and ~2y, of the shear
stress and the twisting moment M, These are expressed in
terms of a stress function u as follows:
da da
i, zy = — G0 dx ’
M — 2G0 s i u dxdy ,
(D)
where 9 is the angle of twist per unit length and 0 is the modulus
of shear.
Give a direct solution of the problem (that is, find the stress
function, x2X, and M) for the torsion of the rectangle
179*. Find the static deflection of a rectangular membrane

with sides 2a and 2d under the action of a line load uniformly
38 Di fferen t ia l Equation s of Mathematical Phys ic s
tor y = O.
on the boundary.
y
b u ~ <p,
"i
U:ft! U, 'l',
)(
0 a
-zb !!='P,
FIG. 7
178. We know that the proble m of tor s ion of an arbitrary

prismatic body whose cross section is a region I) bounded by a
contour L le ads to the following boundary- value pr oble m: Find
the solution of Poisson ' s e quation
D.a = - 2,
that vanis he s on the contour L . Here, the basic quantities needed

for the analysis a re the components ' zx and ' w of the she ar
s tress and the t'-'<i s ting mome nt M . These a r e expressed in
terms of a s tr ess function a as follows :
~,.=08-ay.
au
'•y= - o8 ax·
iJu
111 =208 JJ
(D)
udxdy,
where 8 is the angle oftwistperunit le ngth and 0 is the modulus

of s he ar .
Give a direct solution of the problem (that is, find the str ess
function, ~" ' ~., and 11<1) for the torsion of the r ectangle
D(O< x<: a).

O<:y<:b
179*. Find the static deflection of a r ectangular membrane
with sides 2a a nd 2/J under the action of a line load uniformly
182. Find the temperature at each point of an insulated

copper rod of length l = 100 cm if the temperature at the ends
of the rod is held at 0 ° and the initial temperature in the rod is
p(x)— 50° sin 2*x/i.
For copper, c — 0.094 cal/gm , £.= 0.9 cal-sec/cm , and
p= 8.9 gm/cm3.
183. Find the temperature distribution for positive values
of t in an infinitely long plate whose surfaces * — 0 and x = I
are insulated if at the initial instant, T(x, 0) = A sin x(l — x)/i\
that is, show just how the temperature becomes equalized
throughout the plate.
184. If a thread of very small cross section is bent to form
a closed circle, it is called a ring. In a certain ring of length
2u, an initial temperature distribution f (x) is given. If the ring
is allowed to cool freely, what will the temperature distribution
be after an arbitrary interval of time?
185. (The problem of the cooling of a sphere.) A sphere of
radius R is immersed in a medium at temperature 0°. The
initial temperature at each point of the sphere is given by f (r),
where r denotes the distance from the center of the sphere. On
the surface of the sphere, the cooling proceeds according to
Newton’s law:
= 0.
r=R
where h is a positive constant.

Study the process of cooling of the sphere for t > 0.
186. Derive the equation for diffusion in a hollow tube (with
out sources of matter) when there is no diffusion through the
walls of the tube:
where D is the coefficient of diffusion, C is the coefficient of

porosity, and u — u{x , t) is the concentration of the substance in
the cross section x at the instant t . If C and D are constants,
the equation then takes the form
du 9 d2a
(See Tikhonov and Samarskiy, Uravneniya matematicheskoy

fiziki [Equations of Mathematical Physics].)
187. Suppose that a sphere of radius R with initial tempera

ture distribution /(r) is given. At an initial instant of time, the
sphere is dipped into icewater, so that the surface temperature
is maintained at 0°C. Find the temperature distribution within
the sphere at any subsequent instant. The cooling proceeds uni
formly since the temperature depends only on the radius-vector
r and the time t. Consider the case in which / (r) = t0= const.
188. One end of a rod x = 0 is thermally isolated and the
other jc = / is held at 0°. At the instant t — 0, the temperature
has the same value T0 at all points of the rod. Determine the
temperature u (x. t) at every point x at an arbitrary subsequent
instant of time.
ut = a2uxx -f- g (x, t), (0 < * < /. 0 < t < oo)

«Uo = /(*)« (0 < x < l )
ux Lr=0 = 0* (0 < t < CO)
A ( « L = / — «/) = — k u x \ x = i («/ = «/ ( 01-
Give a physical interpretation of this problem.

190. Set up the one-dimensional heat-flow equation taking
account of the heat exchange through the lateral surface of a
homogeneous rod.
191. Find the steady-state temperature distribution u(x, y)
in an infinitely long beam of square cross section (see Fig. 9),
three sides of which are held at 0 ° and the fourth is held at a
constant temperature u(x, a) = T.
192. Consider a rod of rectangular cross section, two op

posite sides of which y = 0 and y = b are held respectively at
temperatures 0 ° and T== const, and the other two sides ( x = ± a)
radiate heat into the surrounding medium according to Newton’s
law. If the temperature of this medium is 0 °, find the tem
perature at the point (0 , b/2) of the rod.
193. Find the temperature of a rod 0 x with thermally

insulated lateral surface if the initial temperature is every
where zero, if the temperature at the ends is held at zero, and
if a source of constant strength Q is concentrated at the point x0
(where 0 < x0 < /.) in the rod.
4. Fourier integrals and the Fourier transformation

194. Represent the function
1 for | x | < 1.
/(* ) = ' j for |* |= 1 ,
0 for | * | > 1.
by means of a Fourier integral. Show that
/ sin t k
~ r dt= t-
o
Determine the functions / (x) and cp(x) from the following:
relations: ^
°° OO
f / ( x)cosXxdx = j r~ T, J<p(x)sinXx d x
0 0 *24 -x* *
196. Show that the functions
/(X) = «-•", g(k) =

1
X2- f a2
are the Fourier cosine transforms of the functions
fix) = Y ^ e~*- * (* )“ £ v^f*"**•

197. Solve the following Cauchy problems
(a) u tt — a?uxx -f- x t , (— oo < x < oo. / > 0)
«(x. 0) = 0. « ,(x . 0) = 0. ( - o o < x < o o ) .
( = 0 ( co'< x < co, / > 0 )
«(x. 0) = fx(x). ( - 00 < * < co).
valuate the unknown function when [x(x)= T0= const
(c) ut = a?uxx -f- / (x, t), (— 00 < x < 00. / > 0)
u(x, 0) = (j, (x).
198. Solve the following boundary-value problems:

(a) uit = a2uxx, (0 < x, t < d o )
a (0, t) = t2, (0 < / < co)
a(x , 0) = at (x, 0) = 0, (0 < x < oo).
(b) u, = a2uxx, (0 < x, t < oo)
u (0, 0 = 0. (0 < t < oo)
u (x , 0) = f(x), (0 < * < oo).
(C) ut = a2axx, (0 < / < oo)
ux(0, 0 = 0. a(x, 0) = / (x).
199. Find the solution of Laplace’s equation
■g-^ + -gp- = ° ( 0 < a: < o o . 0<y<oo)
with boundary conditions
“ly=o = °- I f L =0= /(:y)'

200. Find the solution of the heat-flow equation in a homo
geneous rod in a medium of temperature U:
*± — a2j ^ - b 2{U-a) = g{x. t) (— o o < x < o o , />0)
with the initial condition u(x, 0) = /(*). Consider this problem

when £/ = £/„ = const, and there are no heat sources.
CHAPTER 6
Problems Involving Special Functions
201. Euler’s gamma function is defined for all positive p by

the convergent improper integral
oo
Y(p) = f x p- le ~ x d x .
o
Show that 1) = pT(p)foT arbitrary real p. Derive the formula
oo
Y ( n - \ - \ ) — tt \ — ^ x ne ~ x d x ( n — 1, 2, 3, . . . ) .
o
202. Prove the identities
(a) (« = 1. 2. 3. ...)•
(b) A ( x ) — — Jo (x); { x J t (x)]' = x J 0 ( x) .
X
(c) f l/0(Qdt = x J t (x)

0
x
f vl (05) d \ = — [Jl ( a x ) + A(a->c)]
0
X
f 1% © d l = 2*V0(Jt) + ( x 3 — 4 x ) J x (x).
0
(d) ^
•gj \ x ~ pJp (*)] = — x ~ pJp + l ( x )
for arbitrary p.
45
46
(e) xJp (x) pJp (x) — xJp-1(x),
x/p ( X) — pJp ( X) = - xJpMx).
Jp-1 (x) — JP+1 (-*■)= 2Jp(x),
Jp-i (x) -f- Jp+\(x) = ~£ /p (x)
for arbitrary p. By setting p = n - 1 (for n — 1 , 2, 3, . . .) in the

last relationship, derive the recursion formula
Jn(x) = ^— Jn- A x) - J n - 2 { x) ( " = 2' 3- 4- •••)•
Express J2(x), J3(x), and JA(x) in terms of J„(x) and Jx(x).

203. Find expressions for J i (x), i i (x), Jjs (x).
2 2 2
204. Integrate the equations:
<a> T ^ ( x £ r ) + (a2- ^ y = 0 (n = °' h 2’

(b) / + = o (« = o*
/'-j- JCy= 0.
(°)
205. Prove the relations

if m + p,
if m — p.
where the amn are the positive roots of the equation Jn(*) = 0, the
subscript m indicating the ordinal number of the root.
206. Expand the following functions in Fourier-Bessel series:
(a) f(x) = xp (for P — l/2 ) in a series of the functions
JP(KX\ Jp (X2x), . . . in the interval 0 < x < 1 (where the X(. are
the positive roots of the equation Jp (X) = 0).
(b) / (x) = x3 in a series of the functions {J3(X,x)) in the in
terval 0 < x < 2 (where J3(X(.) = 0 for X; > 0 w it h /= 1,2, 3, . . .).
207. Use Rodrigues’ formula for the Legendre polynomials
d n (x* — l ) n
2"n! dxn
to find the first five Legendre polynomials and draw their graphs.
Problems Involving Special Functions 47
208. The Legendre polynomials may be defined as the co

efficients of r" in the expansion of the generating function
(1 — 2rx-j-r2) ?in a series of powers of r (where | x | < 1 and
MOD:
co
(l _ 2rx + r2)"2 = 2 />»Wr", (D
(* 1•3 •5 ... (2n —2k—1) x„_2k
Evaluate P„(l), Pn( - D » and Pn(0).

Derive the recursion formula
(« + 1) Pn+i + (2» + 1) xPn- nPn_, = 0 (n = 1. 2, 3 ...).

by differentiating the relation (1) with respect to r and equating
terms of like powers of r" on the two sides of the equation.
209. Expand the functions
®) = ( 1 — 2 (7 ) cos 2
and
0 for — 1 ^ x < 0,
/(* ) = 1 for 0< x 1
in a series of Legendre polynomials

210 . Prove the identities:
1.3.5... (2« —l)
(a) P2n+1(0) = 0. P2n(0) = ( - ! ) " — 72:•4 ... 2n
(b) P„- 1(0) - P n+1(0) = ^ LPn- 1(0).
(C) (2»+ \)Pn(x) = Pn+l(x) — Pn-l(x).
n =£ m
n — m.
( 2/1+ 1 ’
1 for n — 0
0 for 2 and even,
(e) f P n( x ) d x = \ Li 3.5-7... (n-2)
0 l) ‘ 2 -4-6 ... (/i+l)
for n ^ 1 and odd.
48
211. Find the bounded solutions of Laplace’s equation
inside and outside a sphere of radius R if the solutions are equal

to a function /(0) on its surface. Carry out the calculations for
r < R = 1 and / (6) = cos20.
212. Examine the axially symmetric vibrations of a circular
membrane of radius R that are caused by an impulse P applied
at the instant t — 0 and distributed over a circular area of radius
e. The membrane is fastened along its edge.
213. Determine the form of forced vibrations of a circular
membrane of radius R that is fastened along its edge if a pul
sating load is uniformly distributed over its surface according
to the law q sin (u>i + ijj) (where q is a constant).
214. Suppose that a weight is applied at the instant t = 0 to
a circular membrane of radius R. If the weight is uniformly
distributed with density q(t) over the annulus < r < r2, deter
mine the form of the membrane for t > 0. Assume that the
membrane is fastened along the edge.
215. A homogeneous circular membrane of radius R has the
form of a paraboloid of revolution
at an initial instant t — 0 , where b is the initial deviation of the

center r = 0. The initial velocities and the boundary condition
are given in the form
d f t =0 = v o(r) = 0; u(R ,t) = 0.
Find the displacement of the center r = 0 of the membrane at

an arbitrary instant t > 0 . Calculate the period of the funda
mental tone of the membrane, assuming that it is made of paper
of thickness 0.2 mm. The radius R = 5 cm, and the tension is
T — 100 gm/cm. The density of paper is 1 gm /cm 2.
216. A sphere of radius R is placed in an irrotational par-
allel flow of an incompressible liquid moving with a constant
veiocity a. Study the distribution of the velocities in this flow.
17. Study the free radial vibrations of a circular membrane
of radius R fastened along its edge with arbitrary initial condi
tions. Also, carry out the calculations for the case in which the
Problems Involving Special Functions 49
initial displacement is /(r) = r2 and the initial velocity is

g{r) = r2.
218. Determine the natural frequencies of the radial vibra
tions of the circular membrane of problem 217 and also the
amplitude of the vibrations of each tone.
219. Consider an infinitely long cylinder of radius a the
lateral surface of which is thermally insulated. Find the tem
perature as a function of position and time if the initial tem
perature is axially symmetric and is given by u(r, 0) = r2.
d3w _ 2 / _L ^ I 2 dw \ 2w ) /0 r roA
dt* a ( 7 r " 57\r ~dF) W j y t > 0/ ’
Wr(r0’ 0 = ° <*>°>*
w(r, 0) = vr, w't (r, 0) = 0 (0 < > .< > 0, v = const.).
by the method of separation of variables.

221. Suppose that a spherical vessel containing a liquid (gas)
is in uniform motion with velocity v. If at the instant t = 0 the
vessel suddenly stops, find the resulting vibrations in the fluid.
222. Suppose that the temperature in an infinitely long cyl
inder of radius R is radially distributed and given by a function
/(r). At an initial instant, the surface of the cylinder is suddenly
cooled to 0° and is then held atthat value. Find the temperature
distribution inside the cylinder at an arbitrary instant of time.
Consider the case in which f(r) = i0= const.
223. Show that the function
Un={curn+ - $ r ) Y n{Q, 9)
is a particular solution of Laplace’s equation A«(r, 9, <p)= 0

(where the cin, for i — 1 , 2 , are arbitrary constants).
224. A homogeneous circular membrane of radius R is
fastened along its edge. It is in equilibrium under tension T.
At an instant t = 0, a uniformly distributed pulsating load
PQsin u)t is applied to the surface of the membrane. Find the
radial vibrations of the membrane.
225. Find the potential of the horizontal velocities of water
particles vibrating in a right circular cylinder with horizontal
base if the initial conditions possess radial symmetry and the
pressure on the surface of the water is constant.
226. A spherical conductor is partitioned into two hemis
pheres by a layer of insulating material. The upper hemisphere
50
is charged to a potential U1and the lower to a potential U2. Find

the potential of such a conductor at an arbitrary point M of the
electrostatic field (see Fig. 10).
227. A homogeneous nth degree polynomial Un satisfying

Laplace’s equation Au(x, y, z ) = 0 is called a harmonic pol y
nomial. Obviously, the polynomials
U0— a,
Ux= ax-{-by -f- cz
are polynomials of degree 0 and 1.
Find the general form of the second- and third-degree har
monic polynomials U2 and Uz. Show that the spherical functions
( sinh ® '
r v mh(fi, T) = r"Pm.(cos 0 ) ( coshTJ
are harmonic polynomials of degree rn.

PART III
The Elem ents of Probability Theory

The Elements of Probability Theory
54
236 A region D of area 5 contains a circle C of radius R

with center at the point A. Suppose that N points are chosen at
random in D. What is the probability that at least one of these
points will be inside the circle Cl
237. If A and B are two events, show that
P {A + B) = P (A) ■+ P (B) — P (AB)
Generalize this equation to an arbitrary finite number of

events:
p(t V ) =i-i£ m
V -i /
) - i ,2j “ i /’( ¥ / ) +
-f- 2 ••• ”b(—1)" •^>(AiA2 ... An)
i,j, *=i
238. An urn contains 5 white and 3 black balls. Two balls

are taken from the urn, one after the other. Find the probability
that both balls will be white. Solve the problem both under the
hypothesis that the first ball is not returned to the urn and then
under the hypothesis that it is returned.
239. In a lot of 200 objects, 150 are of first grade, 30 are of
second grade, 16 are of third grade, and 4 are rejects. What is
the probability that an object chosen at random will be either of
first or of second grade?
240. An urn contains white, black, red, and green balls. The
probability of taking a white ball at random is 0.15, a black ball
0.23, and a red ball 0.17, What is the probability of taking a
green ball?
241. Someone fires at a circular target consisting of three
zones: I, II, in (see Fig. 11). The probability of his scoring a
hit in the first zone is 0.25, in the second zone 0.35, and in the
third zone 0.15. What is the probability of his missing the tar
get entirely?
242. Two dice are thrown. What are the probabilities that
(a) the sum of the spots thrown will be a multiple of 3 , (b) the
sum will be equal to 7 and the difference will be equal to 3,
(c) the sum will be equal to 7 when it is known that the differ
ence is 3?
243. An airplane is fired on three times. The probabilities
of a hit are, in the three cases, 0.4, 0.5, and 0.7. What is the
probability that exactly one hit will be scored? What is the
probability that at least one hit will be scored?
The Basic Concepts and Theorems of Probability Theory 55
FIG. 11
244. Consider two lots of objects:
1 st lot 2nd lot
Grade Number of objects Grade Number of objects

I 8 I 12
II 3 II 2
III 1 III 1
Rejects 1 Rejects 2
Total 13 Total 17
One object is chosen at random from each lot. What is the

probability that these two objects chosen will both be grade I?
245. Suppose that the conditions of the preceding problem
are modified as follows: both objects are chosen from the first
lot and the first object chosen is returned before the second
object is chosen. What is the probability that the first object
will be grade I and that the second will be grade II?
246. As a second modification, suppose that three objects
are chosen, all from the first lot, and that each object is re
turned before another selection is made. Find the probability
that all three objects will be grade I.
247. A student seeking a particular book decides to try three
libraries. In each case, there is a fifty-fifty chance that the
library has the book, and, if so, the chances are fifty-fifty that
someone already has the book out. What is more probable: that
the student will find the book, or that he will not?
248. One marksman hits a target 80% of the time; another
hits it 70% of the time. If both fire at the target, what is the
probability that at least one will hit it?
56 The Elements of Probability Theory
249. Consider an event A that may occur together with one

of a set of events Ev Ev .... En. If the £ ’s constitute a complete
set of mutually exclusive events (i.e., a partition of the sample
space), prove the following formula for the probability of A (the
complete probability formula):
P ( A ) ^ i 1P(Ei)P(A/Ei)
/=1
250. A bag of wheat seed for sowing that is classified
grade I contains small admixtures of grade n, III, and IV seeds.
The probability that an individual seed taken at random will be
grade I is 0.96; that it will be grade II is 0.01; that it will be
grade HI, 0.02; that it will be grade TV, 0.01. Suppose that the
conditional probability that a seed that is grade I will yield a
stalk containing no fewer than 50 seeds is 0.50; for a grade II
seed, the figure is 0.15; for a grade III seed, it is 0.20; for a
grade IV seed, it is 0.05. Find the unconditional probability that
a seed chosen at random will yield a stalk with at least 50 seeds.
251. Suppose that each of six identical boxes contains 15 ob
jects and that the number of first-grade objects in each is given
by the following table:
Number of objects
Box
number
total first-grade
1 15 8
2 15 8
3 15 8
4 15 6
5 15 6
6 15 5
Someone takes an object at random from one of the boxes.

What is the probability that he will take a first-grade object?
252. By using the theorem on multiplication of probabilities
and the formula for total probability (see problem 249) prove
the following theorem: suppose that Ey, E.2........... En constitute a
s e t o f m u t u a l l y exclusive events. Denote the prob-
abilities of these events before an experiment by P(El)t P(E2)$
• * * » p (En)’ Let an experiment be performed as a result of
which an event A is observed to happen. Then, the probability
o the event Eit for i = l , 2, . . . , n, after this experiment is
The Basic Concepts and Theorems of Probability Theory 57
given by Bayes’ formula
P (EiIA)= / ( g J ' W d
%P(Ek)P(AIEk)
253. Two marksmen each fire a shot at a target. Suppose
that the probability that the first will get a hit is 0.6 and the
probability that the second will get a hit is 0.3. Suppose that
after both have taken their shots, someone examines the target
and finds one bullet-hole in it. What is the probability that it
was made by the first marksman? By the second?
254. Buffon’s problem. A set of parallel lines are drawn in
a plane at a distance 2a from each other. A needle of length 2a
(and negligible diameter) is tossed onto the plane. Show that the
probability that the needle will cross one of the straight lines is
equal to 2/* » 0.637.
255. A box contains white, black, and red balls. The prob
ability of taking a white, black, or red ball is respectively px—
0.15, p2 — 0.22, pz = 0.12. Find
(1) the probability of taking a white ball in a single random
selection;
(2) the probability of taking a white ball in 10 random selec
tions;
(3) the probability of taking at least one white ball in 10
random selections;
(4) the probability of taking at least 9 white balls in 10 ran
dom selections.
256. Suppose that
n
<?n(Z)=Yl(PlZ+<h)
i =1
where denotes the probability of occurrence of an event A in

the fth Bernoulli trial and = 1—/>,.
Show that the probability that the event A will occur exactly
m times in n independent trials is equal to the coefficient of zm
in the expression for the function <?n (z). The function <p„ (z) is
called the generating function of the probabilities Pn(m).
Use the expansion of the generating function to solve the
following problem: four persons shoot at a target from different
distances. The probabilities of their scoring a hit are respec
tively />,= 0.1, p2= 0.2, Pi= 0.3, and pA= 0.4. Find the proba
bility of one, two, three, four, no hits.
257. From the data of problem 239, find the probability that
in a random selection of five objects.
58 The Elements of Probability Theory
(1) all five objects will be of first-grade,

(2) four will be of first-grade and one will not be of first-
grade,
(3) three objects will be of first-grade and two will not be
of first-grade,
(4) not one of the objects will be of first-grade.
2. Random variables. Distribution functions. Numerical

characteristics of random variables
258. Give some examples of discrete and continuous random
variables.
What is a distribution series (or distribution table) of a ran
dom variable? Give some examples. What is the distribution
function of a random variable? What are its properties? What
is the probability density function of a random variable? What
are its properties?
259. Someone fires a single shot at a target. The proba
bility of a hit is 0.2. Write the distribution series and the dis
tribution function of the number of hits I.
260. A random variable $ has the following probability
density
a cosx for — -y < * < - £ ;

f(x) =
0 for x < — — or x > -£-
(a) Find the coefficient a.

(b) Construct a graph of the probability density/(x).
(c) Find the distribution function F (x)and construct its graph.
(d) Find the probability that the random variable S will fall
in the interval (0, n/4).
261, What is the probability that a random variable ; with
probability density
/(x) = 1
71(1 4-JC *)
will fall in the interval (—1 , + 1) ?

262. A random variable $ is defined by the following dis
tribution table:
€ i 2 3
p 0 0.2 0.8
Random V ariab les 59
A second random variable tj, independent of the first, is defined

by the following distribution table:
**] 1 2 3
p 0.2 0.5 0.3
Find the law of distribution for the sum

263. A coin is tossed until it falls heads. Find the average
value of the number of tosses that will be necessary.
264. Suppose that an electric current flows through a con
ductor whose resistance depends on random causes and that the
current strength is also randomly determined. Suppose that it
is known that the average value of the resistance of the conduc
tor is 25 ohms and that the average value of the current is
6 amps. What is the average value of the emf $ across the con
ductor?
265. Suppose that a random variable can assume only two
values: 1 —if a particular event occurs and 0 —if this event does
not occur. Show that the mathematical expectation of this ran
dom variable is equal to the probability of the event referred to.
266. A box contains 500 objects, three of them grade I.
Suppose that someone takes an object from the box. Find the
mathematical expectation of the number of grade I objects.
Compare the result with the assertion in the preceding problem.
267. Show that the mathematical expectation of a random
variable always lies between its smallest and largest values:
^mln ^ ^ ^max
268. Show that the variance of a discrete random variable

that assumes the values $2, . . . , £„ with probabilities px,
/?2» . . . , pîs equal to
£>: = a2-(M D 2
where
*2= 2 ^ /
269. Calculate the mathematical expectation and the variance
of a random variable whose probability density function is
1 for a < x < p;
/(•*) = P—«
0 for x< a or x>$
60
270 An airplane is fired upon until a hit is scored. The

probability of a hit is P for each shot. Find the mathematical
expectation, the variance, and the standard deviation of the
number of shots that are made. ,
271 An approximative measurement of the diameter a ot a
circle indicates that For successive calculations, d
is treated as a random variable with a uniform law of distribu-
tion in the interval ( a , b ) . Find the mean value and the variance
of the area of the circle.
272. Find the probability that a random variable ; with a
normal Gaussian law of distribution will fall in the following
intervals i
(1) (a — a, a - f °): (2) (a — 2a, a - f- 2a); (3) (a — 3a, a -f- 3a).
273. The law of distribution of the absolute value of the
velocity v of a molecule is given by the formula*
P (v) = 4 1f
(The constant a is determined by the temperature of the gas and

the mass of the particle in question: a — m/2kT, where k is
Boltzmann’s constant.)
(a) Find the mean value of the path traversed by the mole
cule in a unit of time (the mean free path of the molecule).
(b) Find the mean value of the kinetic energy of the molecule
(the “ average energy” of the molecule).
274. A random variable S obeys a normal Gaussian law with
known mean value a and standard deviation a. Find the proba
bility that $ will fall in the interval (a, (3). Evaluate this proba
bility for (a. p)= (5, 10), a = 20, and a = 5.
275. Calculate the probability that a random variable 5 that
obeys a normal Gaussian law will fall on a segment of length 2/
symmetric about the center of dispersion a .
276. Suppose that a particle (for example, a molecule of gas)
is, at the instant / = 0 , at a distance x 0 from an infinite plane
wall that exerts a repelling force on the particle when the latter
is close to it. According to the theory of Brownian motion, the
expression
w (x)dx = — e- -\-e wt \dx
gives the probability that this particle will at any instant t be at

a distance between a: and x-\-dx from the wall. Find the mean
‘See, for example, G. P. Boyev, Teoriya veroyatnostey (Probability Theory),

Gostekhizdat, 1950, p. 108.
Random V ariab les 61
value of the displacement, the mean value of the square of the

displacement of the particle in the time t, and the variance of
the quantity x.
277. Suppose that 5 and are independent random variables
with a uniform law of distribution, 5 in the interval (a, b), yj in
the interval (c, d) (see problem 269). Find the mean value and
the variance of the product of these random variables.
278. A random variable x is distributed according to a
normal law with mean x and standard deviation Qx. Show that
the probability that the absolute value of the deviation x — x will
be between the numbers a and b (where 0 < a < b) is equal to
where
t Z1
2 dz
279. A certain object is manufactured at a factory. Its

length a: is a random variable distributed according to a nor
mal Gaussian law. Its mean value is 20 cm and its variance is
0.2 cm. Find the probability that the length of a particular ob
ject will be between 19.7 cm and 20.3 cm, that is, that its length
will not deviate from the mean length either way by more than
0.3 cm.
280. With the hypotheses of the preceding problem, what
precision in the length can be guaranteed with probability 0.95?
281. When a gun is fired, three mutually independent factors
may cause the shell to veer away from the target: (1) inaccuracy
in determining the position of the target, (2) error in sighting,
and (3) errors resulting from causes that vary from shot to shot
(the weight of the shell, atmospheric conditions, etc.). Suppose
that all three of these types of error are distributed according
to a normal law with mean value zero and that their probable
deviations are 24 m, 8 m, and 12 m. Find the probability that
the final deviation from the target will not exceed 40 m.
282. A random variable 5 is distributed according to the law
0, if x<0
/(* ) = 1
ae a if x > 0.
Find its mathematical expectation, variance, and distribution

function/7(x)and construct its graph.
62
fired from a point_0 along the x-axis. The

hv a shell i s x = 1500 m. Assume that
where a is the parameter of the distribution, equal to 0.6267 M^.

Show that , . ,
(1) the variance of a random variable that obeys Maxwell s
law is equal to (3 — 8/*) a2= 0 . 454a2;
(2) the distribution function is given by
where
3. Limit theorems in probability theory

285. The probability of a certain event is equal to 0.005.
What is the probability that this event will occur exactly 40
times when 10,000 trials are performed?
286. Suppose that 40% of a certain lot of articles are of first
grade. If 50 objects are chosen in succession with each object
returned before the next is chosen, what is the probability that
exactly 25 of those chosen will be of first grade?
287. In problem 285, find the probability that the event will
occur no more than 70 times.
288. Suppose that 100 series of bombs are dropped on a
strip of enemy fortifications. With each such series, the mathe
matical expectation of the number of hits is 2 and the mean
square deviation of the number of hits is 1.5. Find approxi
mately the probability that with 100 such series the number of
bombs that will hit the strip will' be between 180 and 200 .
289. An urn contains white and black balls. The probability
of taking a white ball at random is p — 0 . 75 .
(a) What is the probability that 8 out of 10 randomly chosen
balls will be white?
L im it Theorems in P ro b a b ility Theory 6 3
Evaluate the probability that, out of 100 randomly chosen

balls (with replacement), the number of white balls will be
(b) no fewer than 70 and no more than 80;
(c) no fewer than 81;
(d) no more than 70.
(e) What is the probability that, out of 400 balls chosen at
random (with replacement) the relative frequency of appearance
of a white ball will deviate from pby an amount less than 0.035?
2 9 Suppose that a lot of 500 objects contains 300 that are
0 .
of first grade. If 150 objects are chosen at random with replace

ment, what is the probability that the number of first-grade ob
jects chosen will be
(a) between 78 and 102 ?
(b) between 78 and 108?
2 9 Use Laplace’s local theorem to find the probability
1 .
that, out of 10,000 births, 4,800 will be girls if the probability

of the birth of a girl is p = 0.485.
2 9 Suppose that the probability of occurrence of a certain
2 .
event is p = 0.3 in each of 2 500 independent trials. Use Laplace’s

integral theorem to find the probability that the event will occur
no fewer than 1500 and no more than 2000 times.
2 9 The average percent of rejects among certain manu
3 .
factured articles is 3%. How large must a sample of these ob

jects be for the probability that the deviation of the frequency of
occurrence of rejects from the value 0.03 will not exceed 0.02
to be 0.9? (Use Laplace’s integral theorem.)
2 9 (a) The probability of occurrence of an event A in each
4 .
of n independent trials is p. If the number of trials is increased

indefinitely, the frequency m,/n of the event A converges in prob
ability to its probability p; that is, for arbitrary e > 0 ,
limP
n - tc o
(Jakok Bernoulli’s theorem). Prove this by using Laplace’s

integral theorem.
(b) The probability of occurrence of an event in a single
trial is p = 0.6. Use Bernoulli’s theorem to find the smallest
number n of independent trials that will make the probability of
the inequality | m./n — 0.6 | < 0.1 exceed 0.97.
(c) If p = 0.8, what is the lowest number n of independent
m p | ^ 0.05 0.98?
trials that will verify the inequality P j n
(Again use Bernoulli’s theorem.)
(d) In a certain factory, the percentage of rejects is 2.5%.
Use Bernoulli’s theorem to find the probability that the deviation
64
from this figure in a sample of 8000 objects will be less than
295 Fifty objects are chosen (with replacement) from a

certain lot. What is the probability that half of those chosen will
be of first grade if the probability of choosing a first-grade ob
ject is 0.4? . . .
296. An observer makes a count of the number ot calls
people make from a certain phone booth during an interval of
time t. Find
(a) the probability that he will not witness a single call;
(b) the probability that he will witness exactly two calls;
exactly n calls.
297. Suppose that on the average n electrons are emitted
from a hot cathode per unit of time. What is the probability
that exactly m electrons will be emitted from the cathode during
an interval ht?
298. A certain volume V of an ideal gas contains N mole
cules. Find the mean square deviation of the number of mole
cules n in a volume v (where v < V ) from its mean value n and
the probability PN(n) that the number of particles in this volume
is exactly n.
299. Suppose that exactly n calls are made through a certain
switchboard in an hour. What is the probability that exactly m
calls will be made through this switchboard during a specified
one-minute interval?
300. There are n particles of an impurity in a volume V of a
certain liquid. Suppose that we examine a small portion of
volume v under a microscope. What will be the probability that
this small volume will contain m particles of the impurity?
301. Prove the following assertion: For any positive num
ber s, the probability that a discrete random variable » with
mathematical expectation and variance D\ will deviate from
its mathematical expectation by an amount less than e is bounded
above by the ratio Dk/P:
P(|S-jW S|> 8) < - 5 -
This is known as Chebyshev’s inequality. To what is the prob

ability
P(|$ — M\\ < e ) .
equal?
302. The mean length of objects in a certain set is 50 cm
and the variance is 0 . 1. Use Chebyshev’s inequality (problem 301)
L im it Theorems in P ro b a b ility Theory 65
to get a bound for the probability that the length of any one of
these objects will lie between 49.5 cm and 50.5 cm.
303. Suppose that the probability of the birth of a boy is
0.515. Use Chebyshev’s inequality to obtain a bound for the
probability that out of 1000 births, the number of boys will be
between 480 and 550 inclusively.
304. Let
n’
be a sequence of independent random variables. Suppose that

the random variable xn can assume the values — na, 0 , n% with
probabilities l / 2n2, 1 — l / n 2, 1/2 n2 respectively. Is the law of
large numbers applicable to this sequence of random variables?
305. In a set of Bernoulli trials p = 0.5. Show that
1
i^ r + T '
306. Suppose that ................... xn, . . . are dependent random
variables and that
D
lim f=1 = 0.
oo
n2
Show that the arithmetic mean of the observed values of these

random variables converges in probability to the arithmetic
mean of their mathematical expectations (Markov’s theorem).
Answers and Directions
3. (a) A family of parallel planes; (b) a family of concentric
spheres with center at the coordinate origin; (c) a family of
hyperboloids of two sheets for cp< 0 ; a family of hyperboloids of
one sheet for 0 ; a cone for cp== 0 .
8. In parts (a), (b), and (c), the given points are the extreme
values of the corresponding fields.
9. The level curves <p= const. > Z7,/^ are confocal ellipses
with foci at Z7, and F2. The level curve <p= const. = Z7,Z72de
generates into the segment/7,/^.
10. Ellipsoids of revolution (with axis of revolution passing
through the fixed points).
11. Circular cylinders for which the fixed straight line is
the axis.
FIG. 12 FIG. 13
12. A sphere of radius R = VP\Pi» where pt is the distance

from the charge et (for l = 1, 2) to the center of the sphere,
which lies on the continuation of the line segment joining the
given charges at a point that satisfies the equation
13. Yes
14. No.
15. 8 . 6 .
69
70
16* <a) ( | j + l y ) (b)

17. 0 .
18 ^
* V 4 + y l'
19. 2 / 5 . „ , . .
20. Suggestion: Consider two infinitesimally close level sur
faces and <p+ Acp, where A 0 (see Fig. 13). From the draw
ing, we see that the magnitudes of the displacements in the
direction n from the point A to the point B and in the direction I
from tiie point A to the point C are connected by the relationship
A/t = A/cos (n. I). Consequently, -|f-= cos (n, *)• I*1 the lim it,
this equation gives the desired relationship.
21. In the direction of the vector y0i + *oJ* The derivative in
the direction tangential to the level curve is 0. Hint: See prob
lem 20 .
24. (a) 0 ; (b) 0 ; (c) i + j + k; (d) 0 ; ( e ) ^ = ^ ; (f) - r/ r \
du _grad u ■grad v . 2v
dl | grad v \ ’ Y 3 _
26. cos (grad <p(A), grad <?(B)) = V 2 1 / 6 .
27. | grad cp(Ai)|= 6 . The direction cosines of the vector
grad tp(M) are respectively — 2/3, l / 3 , and — 2/3.
28. — (e / r ) r \ Hint : The potential of the field 9 = e /r .
29. Hint: The increase in the temperature T at the pointAt0
is in the direction of the vector grad T (Af0), which is perpendicu
lar to the isothermal surface T (M) = T (Al0).
30. (a) On the straight line y — 2>x/2\ (b) on the straight line
y = 2jc/3.
31. Hint: Draw a circle with diameter AIN. Then, the de
rivative of the function cp(.r, y) in the directions MA, MB, and MC
will be respectively MAV — MBlt and 0.
32. Solution: The level curve <p(*, y )= 0 is the ellipse -^r +
-51-= 1 (see Fig. 14). Since |r| + |R| = 2a(r = FlM, R = F 2M), we
have d |r |-M |R |= 0 . B u t R = r + F2F1 and dR = dr. By using the
relations d jR|=dR • R°and dr = dr • r°,we easily obtain (dr, r°-f-R°) =
0. This means that the vector r°-(-R0 is perpendicular to the
vector dr, which is tangent to the ellipse. Thus, the vector
r° + R° is directed along the outward normal to the level curve
y(x, y) = 0 , that is, in the direction of increasing values of the
sum (r J— J—JR| and, consequently, of grad <p(AI) = r° + R°. The
Answers ond Directions 71
reader should observe how | grad <p(Ai)| varies as the point M is

moved around the ellipse.
33*. Solution: The surface of an ellipsoid of revolution is

one of the level surfaces of the scalar field ®(M)=/-(Pl, M)-\-
r(Pv M ) = r x-\-rr Therefore, grad <p(Af)= grad r t -(- grad r2 =
— - 1—— . From the sum of the unit vectors rt/ r , andr2/r 2we
ri
construct the vector grad <p(M) (according to the parallelogram
rule). The diagonal of the parallelogram constructed bisects
the angle between the sides. Since the vector grad <p(Af) is
orthogonal to the level surface of the function <p(M) (cf. the
solution of problem 32), it follows that the normal to the ellip
soid at the point Ai bisects the angle between the rays P XM and
P2M. The assertion of the problem then follows easily.
34*. Cf. the solution to problem 33*.
35. (a) t/r-, (b) 2 r ; (c) 5r3r; (d) a; (e) 0 .
36. (a) — 2irp/-ef (r o) and —2npa2—
(b) e, — y s in 0e9+ cos0e2.
(c) — E0 cos 0 ( l + - ^ ) e , + £ 0( l — ^ -jsln fle,.
4 / v 3(1 — 3cos2 0) ^ , 3<702sin20

(d ) — jr.pre,. (e) r5 e' — e»*
2jj. cos 0 ^ u cos 0
(f) r3 e' 73— eV
37. grad P,u = - f M P ) ^ 2PoP P'
PoP
PoP
38*. gradp0v = .2 dmp •
PoP
72
where
rPiP=(*<>— x) ‘ + (y<>— y) j •
r
43. The potential of the field is equal to f f(r)rdr-\-C, where
r»
rQ= const.
45. Fx = Fy = 0, = l^ - '•D * [|fl 2—1*| *]’
for R > L Fz = 0 ; for R < C, P* = — for R = C, Fz = — 2ir.

Hint: The Newtonian force of attraction of the point P (S. y\. C),
at which the unit mass is concentrated, due to the gravitational
field caused by a mass continuously distributed on the surface
(5) with surface density p. (at, y, z ) is given by the formula
F (P) = Fx (P) i - f Fy (P) j + Fz (P) k.
where
P, = / f
(5)
F , = f f r W * p < t s M.
(S)
Fz ~ I f
(5)
r = r ( P , M) = Y ( x — f)2+ (y — + (z — C
)2.
46. If the z-axis is used as the axis of the cylinder and the
base is in the xy-plane, then
FX= F = 0 , Fz = 2i: R( --------- 1 V

y * \R V R '+ h * )
47. If the center of the base of the cone is at the coordinate

origin and its axis coincides with the 2- axis, then
Fx = Fy = 0, Fz = ^ ( R + h ) - ^ \
where
l = Y h2+ R 2-
Answers and D irections 73
48. ? = —— (/? —
f- C— |/?—C|). For R > C. <f = 4nR; for /?<C,
4n R*
49. kMm/ r2, where M is the mass of the sphere and k is the
gravitational constant.
on the straight line.

In the case of an infinite line, the desired potential is
<o = |x In------
rp ,p
and the gravitational field strength is grad v. To obtain the po
tential v, take the limit of ul as /-> oo.
51. II = 2//p 2 (—yl —|—jcj), where p2= x2-\-y2. The field lines
are given by the equations * 2+ y 2= 2ct, z = c2.
Procedure: Consider a small element PPX= rfCof the z-axis
(where OP = C). According to the Biot-Savart law, the direction
of the magnetic field strength dH that will exist at a point M as a
result of a current passing through the element d(. of the con
ductor will be perpendicular to the plane defined by the point M
and the elem en ts.
x
FIG . 15
More specifically, the magnetic field vector will point in a

direction such that it will tend to produce a rotation that ap
pears clockwise as viewed from the negative z-axis (whence the
74
current flows) (see Fig. 15). In other words, the direction of the
vector dtt coincides with that of the cross product X r;, where
dl = PPx (|dC|=dC) and r^ P M . From the same law, the calcu-
lated value of the magnetic field intensity is d H = l / r l sin r,)<*(.
(where rt == |r,|). Since |dt X r| = sin (<$. O , we may write
d H =-V(dC X rt)
r\
Therefore,
H = f 4 ( 4 X r .)
To evaluate this integral, it is convenient to work with the pro

jections. We have
r, = PM= OM—OP = r —OP = (xi + yj + zk) — Ck =
= *l + yj + Cz — Qk
and
r , = Y x 2~\~y2~\~(z — Q 2 = V ?2 — (z — C)2,
where p= y x 2-)-y2 is the distance between the point M and the

conductor. Therefore, we easily find d^X rt = — y d£i + * and
oo
H= /(— yi + xj) f ------- ------- sj-

—oo
J [p2+ (^—i)2]Vl
Here, the integral is easily evaluated by means of the substitu
tion 6= z — } tan t.
We finally obtain
H= ^ ( - y i + xj); |H| = —-
The system of differential equations of the field lines of the field

H is of the form
dx dy dz
—y x 0
By integrating this system, we find the family of field lines that

we are seeking.
52*. grad/>„« =
53. (a) x 2 = c y ; (b) y = c xz , * 2+ y 2+ z 2= c2y; ( c ) x = c xy , y = c 2z \
(d) the curves of intersection of the hyperbolic cylinder with the
parabolic cylinders are of the form x y = c v y 2= c 2z \ (e) rays
issuing from the point at which the charge is placed.
55. (a) (x — c)2H-y2= a2+ c2, where 2a is the distance be
tween the wires; (b) (x2-\-y2),h= cx2. Solution: Since the wires
are infinitely long, the field caused by them cannot depend on
E
the coordinate z; that is, the field is the same at all points of
any straight line MN (see Fig. 16) parallel to the wires: if we
draw a plane perpendicular to the wires through an arbitrary
point on this straight line, this plane will divide the wires into
two infinitely long parts. Thus, the field in question is plane.
Suppose that = £ J - \ - E yj. Then, the differential equation of the
E
lines of force can be written in the form
Let us find Ex and Ey. A sa preliminary to this, we find the po

tential <p of the field. Because of the symmetry referred to
above, we may take a point P in theAF-plane as our point of
observation. Then, the potential caused by the wires at the point
P is, because of the principle of superposition of fields,
oo oo
If we integrate, we obtain cp= 2e(ln r2— ln/-j). Also, if we start

with the relation E = —. grad <p, we find
= '9
; r2 - 7'1 ri
2 r l
If we denote the distance between the wires by L = 2a, so that

the coordinates of the points A and Bare respectively (0, — a, 0)
and (0 , a, 0), we have
fj = xi (y + a) j,r2— jci -f- (y — a) j
and
76
The differential equation of the lines of force (1) becomes,

after we substitute the values found for Ex and Ey,
[x2— (y2— a2)] dx + 2xy dy = 0
If we now set f - a 2= u2, we obtain the homogeneous equation
/ x 2 _u2
)dx + 2xu du = 0. When we solve this equation and return
to the original variables, we obtain the desired equation of the
lines of force of this field: (x — c)2+ y2= a2-\-c2..
57. r = c sin? 0, <p= const. Hint : Use the assertion in prob

lem 56b.
62. (a) The trajectories are the lines y = const.; the motion
proceeds in the direction of the positive jc-axis with velocity
equal to 1. (b) The trajectories constitute a family of circles
passing through the coordinate origin with centers on the y-axis.
The fluid streams out from the coordinate origin to the left and
into the coordinate origin from the right (see Fig. 17) with
velocity
v - y r ( i^ ) + (-§ t) 2- ^ t 4 :72
(c) The trajectories are the curves y ---x rx -y r = const. The

- j-
velocity is
v _ £ z i£ L Vi 2xy
(jc, +y*)* I (**+y*) 2 J
63. (1) 0; (2) na2; (3) l /6 (2 + ]/l); (4) n/6 [ ( l + 4 o2)Vl — 1];
(5) (a) 2n7?7/l05; (b) — 2*/?7/105; (6) 0; (7) 2/15; (8) ^Rr2; (9)
R2H (2/3 R + rJf/8).
Answers and D irectio ns 77
FIG. 17
64. ( l ) / = 2 J J z)rfu>; (2) 0.
65. Solution: Q (v; S) = Q (r; S) — J j rnd S = J J (x cos a-f-

y cos p + z cos i ) dS = 3 T, where v = r = jcI H—yj -j- zk , rn= r • n,
where in turn n = cos ai + cos pj + cos -(k is the unit outer nor
mal vector to the surface 5 of the body (T).
66. (a) it/?2//; (b) 3it/?2//; (c) 4w/?3.
67. (« + 2)/3.
68 . Q = 0, if the body (0) does not contain the coordinate
origin. If it does contain the coordinate origin, Q = —4 it. Pro-
cedure : Let r = xi -j- yj -|- zk denote the velocity of a particle of
1 r r
the liquid v = -pTX y = -pr- Let n = cos ai -f- cos pj + cos fk de
note the outer normal to the surface 5 of the body (0). Then, the
amount of liquid is given by
Q = Q(v, S) = f f v ndS
(S)
Obviously, the direction cosines of the vector r are
/ X n, y , Z
COS a ' — — , C OS P = y , C OS 7 = y
Therefore
Q= j J )*7+ cos 7 cos 7') dS =
(cos a cos a ' -f- cos p cos p(S
Answers ond Directions
78
and we have arrived at what is known as Gauss’ surface integral.
(For the evaluation of this integral, see, for example, Kurs dif-
ferentsial’nogo i integral’nogo ischisleniya [Course in differential
and integral calculus], Vol. 3, by G. M. Fikhtengol’ts, 1949,
p. 409).
69. l l ^ l - l - ( / 2 - l ) l n 2.
70. Solution: The flux of the vector R through the surface
5 is
Q(R, S)=f f RdS

(S)
where dS is a vector directed along the normal to a surface ele

ment dS and equal in magnitude to the area of that element. We
may represent this flux as the limit of the corresponding ap
proximating sum
Q(R. S ) = lim 2M S,
m ax d {i )
where d (ASt) is the diameter of the element dSt. In the scalar

product R; AS[=Ri hSi cos (R,. AS;), the factor AS;cos (R;, AS;) rep
resents the projection of the element AS; in the direction per
pendicular to the vector R;:
AS; C OS (R;, AS;) = AS;n = (AS;)„ ( |n I= 1)
Through an area (AS;)„ there pass Nt = fc|R;| (AS;)„ field lines.

Therefore,
R;AS;=|R;|(AS;)n= " L
and
Q(R, S )= lim
d (45<)'>0 ;
"S\R(AS; = i-k N
where N is the number of field lines crossing the surface S.
71. (a) The flux is equal to —4t:<7 if the charge q lies within
the sphere and it is equal to zero if it lies outside. This result
holds for an arbitrary closed surface—a consequence of the fact
that the flux of an arbitrary vector a is independent of the shape
of the surface, which is a consequence of the Gauss-Ostrogradskiy
Answers ond D irections 79
theorem. Let us prove this. Suppose that there is an isolated

source of a field a at a point P enclosed by an arbitrary surface
5. Consider the region (v) bounded by the two surfaces 5 and 5,,
where 5, lies inside 5 (see Fig. 18). Within this region, div a = 0.
It follows from the Gauss-Ostrogradskiy theorem that
f f andS + { { Qnt dS —- 0 •
(5) 5,
Here, the projections of the vector a are taken on the outer
normals to the surfaces in question. If we reverse the direction
of the outer normal to the surface 5,, the projection will change
its sign and we will obtain
f J andS — f J an)dS, t. e. Q(a; S ) — Q( a; S,).
s s.
This equation may be interpreted as follows: The flux of the
vector through a closed surface remains unchanged as a result
of deformation of that surface so long as this surface does not
touch new sources or sinks (where div a 0). Therefore, it
follows in particular that in a solenoidal field a (where div a = 0)
the same number of field lines will pass through all sections of
a vector tube (see problem 70); that is, in such a field, the field
lines neither appear nor disappear but either go out to infinity
or form closed curves.
72. Solution'. Let us construct a spherical surface 5 through

the point in question. Then,
Q(D; S) = D cos (D. a) dS.
(S ) (S )
From the Gauss-Ostrogradskiy theorem (problem 71),

J jDcos(D, a)dS — 4icl.q.
($)
Because of the symmetry of the situation, the vector D must
have the same value at all points of the spherical surface and,
80 Answers and Directions
since cos (D, a)= 1, it follows from the preceding equation

that
D ■4izr2= 4tzlq
and
where r is the distance from the point in question to the center

of the sphere (which we may assume to be at the coordinate
origin). Therefore, we note that if the point in question lies
inside the charged sphere (where r < a) (see Fig. 19), there will
be no charges within the sphere of radius r, so that 1q = 0 and
D = 0. On the other hand, if the point in question lies outside the
sphere 5, this sphere of radius r will enclose the sphere of
radius a. Therefore, it will enclose a charge q. In this case,
Fq = q = a ■4ira2
and
D = I?
r2
4-a2(
(r > a).
r3
r iu . i s
on.73/ So/whon; Let us draw a cylindrical surface S0 (see Fig.

20) of altitude h through the point in question. And let us form
a closed cylinder by drawing plane surfaces S, and S2 through
the top and bottom of this cylindrical surface. Because of the
symmetry of the situation, the vector D is directed perpendicu
larly to the lateral surface S0 and must be of the same magnitude
at all points of it. From this it follows that the flux through the
surfaces Sj and S2 is 0. From Ostrogradskiy’s theorem,
J J Dnd S = f f DdS = D • 2izrh = 4itlq.

Sq+ S i+ S i So
A charge I q enclosed by the combined surface 50-(-5 ,+ 52is

distributed on a cylinder of radius a and altitude h and is equal
to Lq = 2-!zaho. From this, we find
D — At. 22r.rh
Tiah<3 4naQ
r2 r (r > a).
By a procedure analogous to that followed in solving problem
72, we can verify that the field within the charged cylinder is
equal to zero.
2a
F IG . 20
74 Ar.imr*h wjjere the universal gravitational constant.

75. 2 ico.
76. Q(a; S) = j f ( ± a r)rd<?dz,
(S )
78. 6 .
79. 0.
80. (a) 2 ; (b) 3.
81. (a) At the point Pu there is a source of density 7 / 4 tc; at
the point P2» there is a sink of density 1/4ti; at the point P3 there
is neither a source nor a sink.
82
82. div R = 3 / (r)—rf' (r).

83. Method of solution: The scalar field defined by the equa
tion <p= div R is called the source field belonging to the vector
field R. The total strength of the sources of the field R that lie
within a closed surface bounding a region (G) is equal to the
integral f f f div Rdv.
(0)
84. The divergence of both fields is zero. Procedure: As
suming that the axis of rotation of the liquid coincides with the
Z-axis and that r is the radius-vector of the revolving point
M(x, y, z), we find v = w X r, where w = u>k is the angular veloc
ity. From this, we easily obtain v = o>(— yi + xj )., where u>= |u>|.
86 . Hint: Cf. the answer to problem 71.
87. Hint for part (b): Since the flux of the vector F from
within the region (v ) is equal to
Q = ~ 4« f / JV dv.
(V)
to compute div F, we may use the invariant definition of the di

vergence and the mean-value theorem for integrals.
88 . The field is caused by charges distributed with constant
density p= 3//4tc inside the given sphere. (Outside the sphere,
the charge density is 0 .)
89. Solution: Let us find div R(P ) = rep' (r) + 3? (r), where <p(r) =
/(r)/r. From this, we conclude that the field R will be solenoidal
only when the function cp(r) satisfies the differential equation
r?'(r)~h 3<p(r)= 0. If we solve this equation, we obtain cp(r) = c/r3.
Consequently,
|R| = 1 /( 0 1 = — r-
9°. (a) 3rz.i (b) — £-(r 2ar); (c) (d) 0 ; (e) 0 .

92. (a) 2-re; (b) — 4ita2\^3; (c) r== 0 if the coordinate origin
is outside the circle and F — 2^ if the coordinate origin is within
the circle (C); (d) 0; (e) - 3re/?Vl6; (f) 0; (g) 2* V~2R? sin («/4 - a);
(h) 0, If the vectors in the condition of the problem are thought
of as a distribution of forces applied to the contour, the inequality
F 0 means that the contour will rotate in the positive direc-
tion. If r < 0, the contour rotates in the negative direction.
93. (a) If the circle lies in the A'K-plane, the circulation Tof
the vector a will be — id>2. If the circle lies in the plane v = b,
then r = 0 .
— 1.
94. r = J H rfr = 4it/; 0

L
95. (a) 0 ; (b) 0 .

96. The assertion that the flux of the curl is independent of
the shape of the surface follows immediately from Stokes’
theorem:
!
(Cf. answer to problem 71a).
97. Hint'. Derive the formula m— l / 2 curl v • 1.
99. Hint'. Cf. problem 97 and the hint to it.
100. Hint'. The assertion in the problem is a specific case
of Stokes’ theorem (as applied to the magnetic field vector).
101. curl R(P) — (pep' (p)-f- 2'?(p)] k, where <p(p)= /(p)/p.
Solution: It is convenient to write the vector R(P)in the form
R(/>) = / ( p ) - ^ p - = < P ( p ) t ( P ) .
where <p(p)= / ( p)./p, and t(P) is a vector colli near with-c(P) and of
length p. We direct the Z-axis along the straight line I and the
X- and K-axes in a plane perpendicular to it. We denote the co
ordinates of the point P by x, y, and z. Then, the components of
the vector t(P)will be — y ,x ,0 and the components of the vector
R(P)will be
Rx (P)=*~y<?( p); R y (P) = x <p(p); R Z(P)== o.
Therefore
or, since
we have
Analogously,
d Ry (P) X2
dx <?' ( p ) - i - ? (p )-
p
A lso, obviously,
dRx dR v
d z d z
= 0.
Finally, by using the formula given in problem 95 for curl

R(P) we obtain the desired result.
102. The length of the vector R(P) must be inversely propor
tional to the distance p.
Hint: Use the result of the solution of problem 101.
103. Solution: For simplicity, let us consider the field of a
direct current /. The circulation of the vector H around a curve
can be represented in the form
r = J(H, t ) d s = J (H, d\), (I = abcda),

I abcda
where
dl = x dS.
We represent the vector denoting the displacement of a point

in the form (Fig. 21a)
dl = d\v -\~d\r
where dlf is directed along the tangent to a line of force, which,
in the present case, is a circle with center on the axis of the
current and d\r is a vector directed along the normal to the line
of force or to the vector H.
Obviously,
(H. dl) = (H, dl? + rfl/.) = (H. d y .
But dlv = ds = r d<? and H — 2 l / c r . This formula is obtained from
the Biot-Savart law. Therefore,
(H. rfl).= ^rfcp.

Consequently,
Answers ond D irectio ns 85
We note that this formula is valid for an arbitrary relative po

sition of the curve abcda with respect to the conductor; that is,
it applies both when the curve abcda encircles the conductor and
when it does not. If the curve abcda does not encircle the con
ductor (Fig. 21b),
P= f (H. d l ) = f (H, d\) +f (H. dl).

abcda abc cda
But since
/ (H. rf!)= — (<P2— ?,)
abc
and
/ (H. dl) = --(?! — <p2) .
cda
we finally obtain r = 0 .
104. w(/>) = — zj.

Hint: to(P) = 1/2 curl v (see problem 99).
105. Hint : It will be sufficient to show that div curl R = 0.
106. Hint : The problem consists in showing that
J J curl„R dS = 0.
IS)
Use Ostrogradskiy’s theorem and the assertion of problem 105.

107. 0. Cf. the hint to problem 83.
108. Q = f J 'd iv v d S = f f ( ^ - h - ^ ) d x d y>

(S ) (5 )
(S)
110. Solution: It follows from the symmetry of the problem

that the magnetic field intensity is the same at all points equi
distant from the axis and that it is directed tangentially to a
circle with center on the axis of the conductor. To solve the
problem, we use the assertion in problem 100. As our curve /,
we take a magnetic line of force (see Fig. 22). Then, the circu
lation of the vector H will be
f (H, dl) = H f dl = ^-Zi,

« (i) C
or, since f dl = 2nr, we have H = 22/./ cr . if the point in question

(0
lies outside the conductor (that is, if r > a), i / is the total cur
rent / flowing through the conductor and H = 2i/ cr. If the point
in question lies within the conductor (in which case, r < a), £/
denotes the current flowing through the circle with density nr2,
and is equal to
£'= -A 'i = - £ .
where j is the current density ( / = l/*<?). Consequently, in this

case, / / = 2 /r/caJ.
FIG. 22
111. The field outside the tube is Hext = 21/cr; the field in-
side the tube is 0 .
112. Solution : According to assertion of problem 100,
/ (H, d\) = h i,
(0
where (/) is an arbitrary closed contour in the magnetic field in
question. In the expression above, h i represents the algebraic
sum of the currents threading the contour. If a surface 5 is
drawn over the contour (I) (that is, if (/) is the boundary of the
surface S), all these currents pass through S. Therefore, E/ can
be represented as the integral of the current density through the
surface
(S)
where <#S is an area vector, that is , a vector directed perpen

dicularly to the surface and equal in magnitude to the area. Thus,
/(« ■ * > = //£ )■ * •

(0 (5)
But, from Stokes’ theorem,
/H U = f J curl HdS.
(I) (s)
Therefore, for an arbitrary surface 5,
curl HdS = ff dS.

(S) (s)
From this we get
curl H= —
C
j.
This equation is the differential form of the circulation theorem

formulated in problem 100.
Equation (2) expresses the fact that the divergence of the
magnetic flux density vector B = p.H of a constant magnetic field
is 0 .
114. As an example, let us consider the solution of the
problem for the field H= 2/A 2 (xj — y i ) , where r2— x2-\-y2. If we
use, for example, the formula given in problem 95, we easily
find that curl H= 0. Consequently, the field H has a potential
88
(see problem 113) and therefore, H= grad , (where , Is the po-
tential of the field H). Furthermore,
Hdr = 2 / £ = j £ ( i d x + }(ty-\-kdz) =
= 2/ = 2fd (arctan i + 1c ) ■
Therefore (see problem 35), we conclude that the desired po
tential is
<p = 2 / ârctan ^ +
115. (a) curla = ( - ^ - - ^ r ) v curl b = (r2+ z2) e9;
(b) curl a = FiJrF|^ e , —

, k , , cos <p
(c) curl a = ze9-{---- — e*.
i s!n 0
(d) curl a = —p r e<p\
(e) 0.
117. The Laplacians of all these functions are equal to zero
(in the first two expressions, we assume that r j= 0).
118.
E=f f h~^dv-
(V)
119. Hint: If we assume that there exist two vectors ai and

a2 satisfying equations (1) and the boundary condition (2), we ob
tain the boundary-value problem
divb = 0, curlb = 0,
*„ = ()•
for the vector b = aL— a2. From this it follows that the vector b
has a potential: b = grad <p; therefore, div grad <p==A<p = 0.
Green’s formula can then be used if we set u = v = <p.
120. Hint: Set 9 = 1 and ty= w2 in the second of Green’s
formulas.
121. In the case of cylindrical coordinates, u = c1Inr-\-c2\ in
the case of spherical coordinates, u = c J r - \ - c 2.
122. Ostrogradskiy’s formula for the vector grad <pis of the
form
/ / / A T d 7 ' = / / | i rfs. (1 )
(r) s
The integral JJ dS is equal to the flux of the vector v (that

(S)
is, the amount of liquid flowing through the surface 5 in a unit of

time). Since v = grad <p, we have Acp= div v. Equation (1) shows
that the integral of the divergence of the vector v over the vol
ume T occupied by the liquid is equal to the flux of this vector
through the boundary of the region T. If the liquid is incom
pressible (in which case div v = 0), this flux will be equal to
zero.
125. No.
126. Solution: By definition, the vector potential of the mag
netic field of a linear current is
oo
—oo
Because of the symmetry of the situation, the field will be the

same in all planes perpendicular to the Z-axis (see Fig. 23);
therefore, we may take our point of observation P on theAY-plane.
Obviously, Ax = Ay = 0 and
oc N
dz dz
— lim
- r f V r* + . c yv->oo - N Vr* + -
= — lim fin ( A /+ y /V2 -f- x 2 -J- y2) — In r\.
C iV*>oo w
Also,
dAz dAz
H = H xi + H yj
dy dx >).N » o o
so that
dAz dAz
dy jV - oc
cr2 ^ y dx TV-co
Consequently,
H= H=\W \ = YH l + H2
y^ ^ .
As the final expression for the vector Hshows, the logarithmic

divergence of the vector A has no significance. Therefore, the
logarithmically divergent term In (N -f- *\fN2~t~*2 y2) the
90
expression A can be discarded. (The vector A has no actual

S S meaning but the vector H represents: forces acb n gjn a
magnetic field on moving charges and conductors.) Thenifore,
the desired potential A can be represented in the form A Azk
— 2l/c In r • k..
127. A = - l/c [i l n ( r - * ) + j l n ( r - y ) + k ln (r -z )], where

r2_ x2_j_ ^2 z2, (in the expressions for the projections of the
vector A, the terms that are logarithmically divergent at in
finity and which do not contribute in the evaluation of the field
intensity are discarded. Cf. the solution to problem 126.)
128.
3(ti, R)R (i
n— R3 R3•
129.
2^ (r < R )
£_
r (r> R).
where n is the volume charge density:

p = const. for r < R ,
0 for r > R .
Solution: The problem reduces to integrating Poisson’s equa
tion Aa = —4itp.. Because of the spherically symmetric charge
distribution (note that the potential u depends only on the dis
tance r), in spherical coordinates (with origin at the center of
the sphere) the equation becomes

j _ j _ / 2 du _ \ _ ( — 4 * p ( : < * > •
r* d r V dr ) — \ 0 (r > R).
The arbitrary constants that appear in the general solution of
this equation must be determined from the boundary conditions:
(1) The potential must remain finite as r -> 0 and it must
vanish at infinity; (2) the potential of an electrostatic field
must be a continuous function of the points in space, so that
= ?«(/?); (3) (-^r) = . This last condition means
that the normal component of the vector E must not have a dis
continuity on the surface of the sphere since the surface charge
density is zero.
130. e / r .
131.
«0 — -izpr2 (r a)
u0 — i r p a 2 ^ l 4 - 2 I n -^j (r^>a)
2itpr (r < a),
2irp-^ r (r > a),
where u0 is the potential of the field on the axis of the cylinder.

Solution: The problem leads to Poisson’s integral equation Au =
— where [x = p for r < ; a and fx = 0 for r >> a. Because of the
obvious symmetry of the field, this equation can be written in
cylindrical coordinates, r, 6, z (with z-axis placed along the
axis of the cylinder) in the form
1 d_ / du_\ __ { 4lrP (r <

~r ~dr\ dr )' \ 0 (r > a).
Solving this equation, we obtain

Uj = — tzpr2 -f- cj In r c2 (r < a).
u=
ue= c3 In r -)- c4 (r>a)
and the field intensity is
(r < a).
P _____ due- ____ (/•> a).
dr r
To keep Et bounded for r = 0, we must take c ,= 0. Since

ui ->c2 as r —
> 0 (because we are taking cx— 0), we take c2= «0>
which is the potential of the field on the axis of the cylinder.
The constants c3 and c4 are determined by the requirement that
the potential and the normal component of the vector E be con
tinuous on the surface of the cylinder:
»,(«)-?.(«); ( 4 ? - L = ( 4 H . „ -
132. The displacement k (x. t) of the point a: from the equilib
rium position at an arbitrary instant t > 0 satisfies the equation
utt = a 2uxx (— oo < x < co, / > 0)
and the initial conditions
I h_ (c2— X 2) (— C < * < C ).

c2
(— oo < X < — c, C < X < oo).
0 ut (x, 0) = 0.
133. The displacement «(*, t) of the cross section with

abscissa x at an instant / > 0 satisfies the equation
M J r .r = = ~^2 u l t — " y i 0 < A' / > 0 ),
where £ is Young’s modulus and f is the line density. The ad

ditional conditions are:
u (0, t) — 0 (the condition that the end a- = 0 be clamped)

ux (I, 0 = 0 (the condition that the end a; = / be free)
u( x, 0) = [i (x) | '
u, (x, 0) = v(x) ) thG inltial conditions (0 < x < /).
134.
, d20 2 d2Q f GI-
134- — = V “a =
y T' =
0 (0, 0 = 0 , V' 0 — C2 <?0(/-O. 2 O/
( a :, 0) = cp0 ( at ) , — ( * ’' 0 ) = yi ( jc ) (0 < * < / ) ,
a b s c is s V ^ b p °f ^ ° f the Cr° SS Section of the rod with

inertia of thr?^ ^ S^ ar modulus* 1 is the polar moment of
oss section, k is the moment of inertia per unit
length of the rod, and k} is the moment of inertia of the pulley

about the axis of the rod. Remark: The term “torsional vibra
tions” of a rod is applied to vibrations such that the cross sec
tions of the rod rotate with respect to each other while rotating
about the axis of the rod.
135. (a) u ( x , t ) — sin x cos t ; (b) u ( x , t) — A / a sin x sin a t .
136.
u(x, t) = -i- Ip. ( x — a t ) -t-p(* +
x+ at
+-ST
x-at
f (£*)
where a 2 = t / p is the region of integration ( D) shown in Fig. 24,

that is, a triangle whose sides are segments of the character
istics x — a t = const, and x - \ - a t = const.
137.
v(x, t) — e~al | l<p(x — 4~
+ -2 ^ (* — at) — }.
/ (x , t) = e~al | |<]>(x — at)-\- (x +
+ “2oT1<p(a: — — + }’
where
Hint: The intensity v = v { x . t ) and the current I{x ,t) in a

distortionless line satisfy the equations
vu= a 2v x x , l ti — a 2I xx [a =
94
(See, for example, A. N. Tikhonov and A. A. Samarskiy,

Uravneniya matematicheskoy fiziki (Equations of Mathematical
Physics).) To integrate these equations, we set v = e w,
choosing f so that the coefficient d w / d t will vanish.
139. Hint: Seek a solution for
u(x, t ) = U ( x , r, t ),
where U ( x , t) is the solution of the boundary-value problem
U"t, = aU"xx (0 < * < oo; t > 0)

U(x, 0) = ^(v). Ut(x, 0) = v(at) («)
U(0. o = o,
and v(x, t) is a solution of the problem
v'u = av"xx (0 < jc < co; t > 0).

v ( x , 0 ) = v'l ( x , 0) = 0, ( v)
v(0. 0 = <K0 -
To solve the problem («), we extend the initial conditions as

odd functions to the entire real line (— co < x < oo) and we then
use d’Alembert’s formula. We obtain
x+at
P (x-\-at) —[i (at — x) . 1
+ 2a / v(0 ^ f°r
a t- x
t > —
a
:
U (x, 0= ' x-\ at
P (x -f- at) -f M
-( x — at) , 1
2
f V($) dl for
x -a t
t < —
a
.
The solution of problem (v) is the function
for t > 4-;

a
0 for t < — .
a
140. (a) u(2*, 10) = sin 2^; (b) «(2 ir, 10) = 0 .
141 .
Ae for a
.
u(x, t) =
0 for o < t < -a .
Hint : The problem consists in integrating the equation

ui( = a2uxx (x > 0, t > 0)
with the conditions
«(0, t) = \i(t) ( / > 0);
«(x, 0 ) = « , ( • * • 0 ) = 0 (0 < < ). x o o
Seek a solution in the form of a wave being propagated with

velocity a along the rod: u (x , t) — 0 (x — at).
142 . u(x, t) = A cos o) (/ — x / a ) for x^.at and u(x, t ) = 0 for
x > at. The velocity of propagation of the wave a = 80.8 m /sec.
143 .
TP'S
aMv9 I , — pMa* ( x —at)
u(x, 0 = -tP»s L1
for x — at < 0,
0 for x — at > 0.
Hint: The problem consists in integrating the equation
u tt = * 2 u xx>
where u(x, t) is the condensation of the gas, that is, the relative
change in the density of the vibrating gas (p —p0)/p (see V. I.
Levin, Metody matematicheskoy fiziki [Methods of Mathematical
Physics], p. 96) with the conditions
Mutt (0, t) = S-\PQu(0. t),
u( 0, 0) = 0, ut{0, 0) = v0, ut (x, 0) = 0 (x > 0),
Here, P0 is the initial pressure of the gas, 5 is the area of a
cross section of the tube, ? = cp/ cy is the ratio of the specific
heat at constant pressure to the specific heat at constant vol
ume . * = ] / cpô and p0 is the initial density of the gas.
Vo
144 .
0 for t < —,
a
u (x, t) =
i4sinu>^ — for^ > - L .
145.
0 for t < — ,
a
A sin — ( a t
a v
— x )' for / > —
a
.
146. At the instant / i = //2a, all points of the string lie on

the A-axis. At the instant t2= 1/a , the string is in the position
occupied by the mirror image of its original position with re
spect to the A-axis.
147. Procedure : The functions^ ( x ) and v(;t) should be extended
as odd functions from the interval [0, /] to the interval [— /, 0]
and then as periodic functions with period 21 to the entire x -
axis. The function <1*(x, t). defined according to d’Alembert’s
formula in terms of the extensions described above of the orig
inal functions p.(at) and v ( x ) , gives an initial disturbance of an
infinite string (— oo < x < oo), that coincides with the desired
disturbance on the interval [0, /].
148.
r—R
for 0 < t <
5= So (r — at)
2r
for a
< t < ^
a
-
0 for r +' R" < t < oo.
Procedure'. The condensation S(x, y, z, t) satisfies the wave

equation
Stt = a2hS =
Between the condensation S and the velocity potential u of the

gas, we have the relationship
• Problem amounts to integrating the wave equation above

with the initial conditions
S0 for r< R,
S dS
= 0.
(= 0 0 for r> R; dt
t=o
where r is the distance from the coordinate origin (the center

of the sphere is assumed to be at the origin) to a variable point
M (x , y. z). In solving the problem, one must remember that the
initial vibrations of the gas are of a radial nature.
149.
u(x, t) = A s in c o s • (0 < at < /. t > 0).
150.
nan nn , f T , . 0 „ .
— y Y ( n = \ , 2. 3. ...).
151.
= (» = 0. 1.2. 3. ...).
where a = j / ’y , E is Young’s modulus, and p is the density of

the rod. In the case in which a weight M0 is attached to the free
end, u>„= j - y n (for n = 1 , 2 , . . .), where the are the positive
roots of the equation y tan y = m / m0, m being the mass of the rod.
152. 632 vibrations per second^______
153. The amplitudes are Hn = V A2n-\-B 2n; the period of vibra
tion is
X" ~- 2 ( i 4/ l/~ -
+ l F E '
where
i
A, = T /1^(0 sin
0
I
0
= (» = 0. 1. 2. 3. ...).
p is the density of the rod, and E is the modulus of elasticity of
the material of which the rod is made.
Procedure : Remember that the stress is zero at the free
end. Therefore, ux(l, 0 = 0. The harmonics
un(x. 0 = (Aa cos aknt + Bnsin a\nt) sinl nx,
X„= (» = 0. 1. 2. ...)
represent standing waves in the rod. If we write un(x, t ) in the

formula
«„(*• 0 = ^nsin(flV + a«)sinX«A:-

(sina„ = - ^ , cosa„ = - ^ ) ,
we find
Hn = V aI + b I.
The period is given by the formula

2n _ 2tc
“n — ’
The quantities An and Bn are determined in the course of solving

the boundary-value problem.
154.
„ 2,2h 1 • <2n+l)itjc 2/j-f-l
“<*• ^ ) = - ^ 2 ^(2n+ l )3 Sln ----- 1-----C0S---- J— ™*'
n -0
where h is the maximum initial deviation of the string from its

equilibrium position. In the particular case mentioned.
u(x, t) = cosatsinx (0 < x < it, / > 0).
155.
u{x, t) =
= ^ [ancos ~ 2i 1 *at + b„ sin ^2T~ sin 2n21 1

«“0
where
2 f . . . 2n + l
an = ~[ J V-(x)sm—^j— nxdx,
\)
I
t _ 4 r / \ • i »
*» = W + T ) ^ J Hx) s i n - ^ - * x d x .
•0
Procedure : The problem amounts to integrating the equation

under the conditions
«(0. 0 = 0, «,(/, 0 = 0 (t > 0),
u(x, 0) = p.(x), u,(x, 0) = v(x) (0 < * < / ) .
where u (x , t) is the displacement of the cross section whose
abscissa is x, p is the linear density, and E is Young’s modulus.
156.
En= plh2 a*P

sin rctlXt
n*n2x 0 (/ — *o)2 I '
Hint : The energy of the nth harmonic (the /tth standing wave
un) of the transverse vibrations of the string is equal to
0
where T is the tension and p is the linear density of the string.
157. The deviation u(x, t) at an instant t > 0 of the point on
the string whose abscissa is x is given by the formula
u(x . 0 = 2 (o«COSU)^ + ^ sin(“'»^sin ^T~~^

n«1
sin oit.
where
nna 2 C / x • nn* dx,

“T~ an= TJ M * )sm —
0
I
2
---- r / \ • nnx
I v(jc)sin— j
y-dx.
bn %na J v / I
Hint : First solve the problem of the purely forced vibrations

of the string under the action of an external force equal to
a / ? sin or/, where p is the constant density of the string, and
then seek a solution in the form
u2(x, t) = X (x)sinotf.
159.
2/J+ l
. 0 - ■ £ £ £ ¥ £ «■ ^ « • cos ^ 21
n~0
where a is the velocity of propagation of longitudinal waves in
the rod.
100
Hint : The problem amounts to integrating the equation utt —

a ^ w it h the conditions
ux (— l, 0 = 0, ux {l, t) = 0,
u(x, 0 ) = — sx, ut (x, 0) = 0.
160 . For the flat hammer,

oo
4 v J VI 1 . nnx0 . nnh . nnx . nnat
“ (X- o = iS r 2 j :s,n V * :8,11 ~ r s,n ~ r s,n — ■
n =l
for the sharp hammer,
71/ZJC . TTfia/
, ^ 2P V 1 • «/uf0 . Ktu
«(*• () = w i l s,nT sl" 'T sin — r -
1
161.
(30
, 21F0 V 1 1 . nnc . nnx r.nat
U(x, 0 = ^ sin ~ r sin ~ t ~ cos ~ ■
n=1
Procedure-, The problem amounts to integrating the equation
u"t = a,2u"xx with the conditions
u (0, t) = u(l, 0 = 0.
u (x, 0) = |x (jc), a '( j c, 0) = 0,
where the function p. (a:) (the initial deviation) must first be found
from the given condition. Obviously (see Fig. 25), to determine
jx(jc) it will be sufficient to find the maximum initial displace
ment h . It can be found from the condition of equilibrium. The
projection onto the U- axis of the tensile force T acting at a point
M of the string on the left portion OM is Tv — T sin a. Analogously,
the projection of the tensile force T on the right portion IM will
be
TU= T sinp.
Obviously, the projection of the force T onto the A-axis will
be equal in magnitude on the two portions but opposite in sign.
By applying d’Alembert’s principle, we obtain
7 (sin cc—|- sin P) = Fq.
Since the vibrations are of small amplitude, we may take
Now, we easily obtain

h _ Foc (i —c)
IT
At this point, the determination of the initial shape of the

string is obvious.
162. The displacement of the section whose abscissa is x at

an instant / > 0 is
2n + \ , , 2n+\
cos —21— Sn —21— nX
-f 1)J
/z-0
where a2= e / p, B is Young’s modulus, p is the linear density,
and / is the length of the rod.
163. oo
«(x , t) == Tn(t ) sin —- x,

n -1
where
e- w( a „ cos (]nt -f- sin for ( ^ - j 2> /e 2 .
^ (0 =
(flnch p„t + sh p„t) for
a„ = j f /(x)sin-^dx,
0
I
. 2 f „ / \ , %nx , , kan
bn= l T n ) F{X)%Xn- r dX + - ^ '
( = ) ’ > **.
it
( - s f < *».
should be replaced with p„in the expression for bn.
164.
to \ s i n 2 a it
---X ----X \ ------S-,
u(x' t ) = (~r*~i a po>2
\ sinT l
where p is the density of the string.
Procedure: The problem amounts to integrating the equation
utt = aluxx- \ - x h sin at (for 0 < x < l . t > 0) with homogeneous
boundary and initial conditions
tt(0, t) = u(l, 0 = 0; u(x, 0) = =0

(t > 0; 0 < * < / ) .
We seek a solution in the form u = X l (x) sin at-^X^x) cos at. It
should be borne in mind that it is always convenient to seek a
solution of a problem dealing with purely forced vibrations of a
string in this form if the external force is of the form F = A sin at,
where A is a function of x. In the present case, it is more con
venient yet to seek a solution in the form u = XeM , where
X = X(x) is a function to be determined.
165.
u(x, 0 = -7 ^ cosantJ/(^)sln-~idi-^-
n-lL
nn
-OTTSlno.^ f gQ) S l n ^ i d t s i n — x.
7t2n2#2 EJ
where an= —j?—, a'2= —g-, e is Young’s modulus, J is the mo
ment of inertia of a cross section, p is the density of the beam,
and 5 is the area of a cross section. Hint: The problem amounts
to integration of the differential equation for transverse vibra
tions of a beam
+ = 0 («2= — )
"(*• o) ==/(*) «;(*, o ) = g ( X)
and boundary conditions
«(0 . t) = u"xx(0, t) = u(l, t) = u'xx(l, 0 = 0.
Use the method of separating the variables.
166.
/? 00
v(x, 0 = e 2L 1 ^ o „ sin -^ J _ itA :sin ((i)n/-(-tpn),
n«0
where ^ __ (2n+ i)n f' c^RH1
U>n 2lV~CL V nH. (2/i-f 1)J
(it is assumed that L >
an
____ 4t>o____
51(2n+ 1) sin f„
and
ta n c P« = 2o» « |- -
Procedure : The passage of an electric current through a

conductor with the parameters C, L, R, and 0 (the leakage)
evenly distributed along the length of the conductor is char
acterized by a current / and voltage v . These last are functions
of the position of a point x and the time t and they satisfy the
following system known as the telegraph equations:
1‘ + Cv'-+-Gv = 0,
(1 )
vx + Li' + Rl = 0. ''
From this system, we easily find equations for / and v:

l"xx = Ci;t + (CR + GL) l\ + GRl, (2)
vxx = CLv"u + (CR + GL) v\ + GRv. (3)
(See A. N. Tikhonov and A. A. Samarskiy, Uravneniya mate-

maticheskoy fiziki (Equations of Mathematical Physics), 1951,
P. 29.)
104
For problem 166, equation (3) takes the form

v'
XX= C L v " .tt. - \ '- CRv'
‘ (0 < x < l , t > 0), (4)
since the assumption that the conductor is insulated implies

that 0 = 0 . The boundary and initial conditions take the form
v (0, t ) — v'x (I, t ) = 0 (t> 0), (5)
v ( x , 0) = V0, v't ( x , 0) = 0 (0 < * < / ) . (6)
If we set
a = e ktv (v = e ~ u -u),
where X = R /2l, equation (4) is reduced to the form
uu = a2u"
xx+ b2u' (7)
where
For the function «, conditions (5) and (6) take the form
u (0, t) = u'x(l, 0 = 0. (8)

a ( at, 0) = i >0 ; — Xu(x, 0) + « (' ( * , 0) = 0. (9)
If we set u(x, t) = X (x)T(t) and separate the variables in equa

tion (7), we obtain the following equation for X (x)
X" + \2X = 0 (0 < -V' < /). (10)
Because of conditions (8), the function^ (v)must satisfy the

boundary conditions
XQD) = X(l) = 0. (11)

The eigenvalues and eigenfunctions of problem (10) and (11) are
X n {x) = s\n ~ x (a = 1, 2, 3, . . .)
(up to an arbitrary constant factor).

A solution of problem (7), (8), (9) should be sought in the
form
oo
u(x, 0 = 2 Tn(Osin + (12)

rz-1
The boundary conditions are satisfied. If we substitute (12) into
(7), we obtain the differential equation for Tn(ty
r; + [(— )’- » '] 7-= 0. (13)

By virtue of conditions (9), the function Tn(t) must satisfy the
conditions
Tn(°) = j = (14)
Tn (0) = l nTn(0) = ^ - [(—1)"— 1). (15)
168, (a) wmn — im (7^) (for m, n — 1 , 2 , 3 , . . . ) ,

where a = j/"-y-, T is the tension per unit length of the contour,
71 2T
and p is the surface density of the membrane; (b) u>n = -j y —•
169. The eigenvalues are Xmn= tc2 -y-)2+ (y )2J: the eigen
functions (up to a constant factor) are
v mn(x > y) — Sin ~7 f “ s’n (m - « = ! • 2. 3, ...)•
170.
2/2 + 1 , 2/72 + 1
----- ^ — tix « sin ------ j ----- 7i y
64Al< s i n
u(x, y, t) = £ ( 2 / 7 + l ) 3 (2 /7 2 + l) 3
x
m, 0
r.at
X c o s /(2 * + l)2 + (2 m + l)2^
171.
2/71 -j- 1 2/z -j- 1
00 s n ---------r - — T t j t r - s i n — - — 7ty
(2m +l)3(2rt + l)3«mn

106
where
2n + l \*
— Kd h ) '
172.
OO
u(x, y, t ) = ^ Amn (s X
__ - _ i
where
Amn = ------r ----- 2T f dx [ /4<°) >*) Sin X

12v mn 7o 0
X s i n - ^tof i f y ¥=«>).
»«« = ™ / (tt)2+ (t )2• ^(0) <*’ y) = 7 ^ ■y)-

If a) = u)mo„, (this is the resonance frequency),
oo
A™ (sin —— sin ®mfl/ J sin — X
m, n =0
X sin •—
/2
- Am (sin a)/ — u>*cos u>/) sin mf x- sin *2
where Amn is determined from the preceding formula and
A"*> = i h ; i dx i A(0){x' v)sini!7 r sin n f dy-

0 0
Remark : If the frequency is a multiple frequency, that
is, if it corresponds to a multiple eigenvalue, we shall have not
just one resonance term [the term not under the summation sign
in the expression for u(x, y, /)] but a set of resonance terms of
the form shown. The number of these terms is equal to the
multiplicity of the frequency u>mo„0.
Hint: The problem reduces to integrating the equation
u"u = a2(u"xx -|- u"yy) + Aw (x, y) sin wt

(a (01 (, v , y) = ~A(x, y)J
Answers and D irections
107
under the conditions
“U o = « L .,1= «ly, o = “ly./J= ° -

u ( x , y, 0) = 0.«'(jc, y, 0) = 0
(0 < x < l v 0 < y < l2).
We neglect the reaction of the surrounding medium.

173.
n*sinh amy
l)sinhflm£
m «0
4v \ \ sin bmy sinh bm (a — x)
(2m -|- l)sinh6mn
m -0
where
u(2m + l) _*<2m + l)
a • °m— b
174.
sinh71
nx ,
sin *------b
?(•*. y) = 5 nb a ‘
sinh
CO ,i„h *> , ! l , i » ± i - y
SA b 2 b b
(2n + l)‘ , 2n -}—1
2 s in h ----- 1---- na
n-0 b
175. The potential of the field is

cx>
2wr--
+ iT
, 2m+ 1
s in -----rb— tzy
— OT
“ <*• 2m+ 1
m =0
= ^ a r c t a n ( ! ^ |.
Hint: The problem reduces to integrating Laplace’s equation

/ 0 < X < OO,
«« + «yy = 0 in the region G\ o < y oo.
To obtain a solution in closed form, one should use the ex
pansion
S - (2-r + 1) y = j -c h m 4 ^ (* > 0).

m =0
176.
«(*. y ) = u l (x, y) + u2(x, y).
where
«i(*. y): ^ , 7 tn b cl .a
x
2cosh—jr— 2sinh—^—
»=T L 2a 2a
r.n x
X sin- t*
1 n n
X
Z j ^ 2c°sh_ _ ' 2nS m• u
h _7ina
v . . , Tin ( ci \ . nn ( I b \
X s i n h - p j ) JSln + 2)’
«<'> = - / <P, « ) sin — £ d£; « « = 1 / <p2a)sin — £ d£:
8«)==t J (^)sinJ^ (7! + 4 ) d7i;
l(n f +2 (v)sin — [r, + drj.
Procedure : The solution of the problem may be obtained as

the sum of the solutions of the following two simpler problems:
Au t
d2Ui d 2a t
dx2 dy2
0 0*= 1. 2),
tp, (x) for y = - ^1 (y ) for x = 0,
«i = cp2(x) for y = — - it. (y) for x — a
0 for x^Q and x ~ a 0 for y = ±

By means of the coordinate transformation

/ _____ |& / CL
* = y + 2 -; y = x — -2
the problem («2) reduces to the probelm («j). However, the roles
of the numbers a and b are reversed and, instead of the func
tions <pj and tp2» we shall have <J», and <]>2.
177, u(x, y)=y(cos x — 1/ 2).
178. The solution of Poisson’s equation in the region D that
vanishes on the boundary of D is
7iny
cosh
2a 7M X
u (x , y) = x(a — x) — 7mb
sin
a
n3 cosh
a
azb
M = 2G» T ns
/i*1,3, 5,
The tangential stresses can be found by differentiating the equa
tion foru(jc, y).
179*.
coshu — + 1 uy
2/1—----- 2/z+l
2a J cos- i r w
u(x, y) (2n + l )2
cosh, — p"
c4"1 tioL
------
n=0 \ 2a
Another form of the solution is
CO
sinh — * {a — | .r I)
u(x, y)
4 pb V (-i)n X
+ 2f Z j( 2« + 1)2 u 2n + l
c o s h --- ^7---- 1MI
n=0 2b
2n+ :
X cos 26
Procedure : First, assume that the external line load p is

uniformly distributed along some strip 0 * 1 0 \y \ <b). Then,
the problem reduces to integrating Poisson’s equation:
£u . d?u _ q {x, y) _ J~
<^2 + °y2 T \ 0 (|*| >e).
with the homogeneous boundary conditions

no Answers and Directions
Now take the limit as e -+ 0. Here, q is the external load per

unit of area, and T is the tension per unit length of contour of
the membrane.
1 8 0 * . The problem amounts to integrating the equation
0 2a _ 9 ( d 2u 1 dP0
dt2 ° \ dx2 ' dy2 ) ' ( dt
with the conditions
du du I du I ____ du
= 0
_
~dx x~o dx \x=a dy ly=o dy y =b
u(x, y, 0 ) = 0 , ut (x, y t 0) = 0
where a2= gh, g being the acceleration due to gravity.

(2n+l)»«»a» .
1 8 1 I.. (a) u{x, 0- = 8c 2 (2n+l)3

sin I f o + ‘) " * ;
n=0
(b) u(x, 0 = a ne ° Kn> • COsXnJC,

where
___“L frnfx)c Or ) X dX I ^ ^ ’ û 0 l 2/1-+■ 1

1- / J V(X) C0S X»X dX + ~(2n +1) * 1
\ / 2Aco V 1 -(^ -)2,
B) V(X, t) = ------ — 2 j X
n=»1
w . *nx r KZ
X sin —~j— J e ” cos u>; d $
where X„= *n a / i ,
1 8 2 . T(x, t) = 50 °e-°-m i s i n ~ ,
1 8 3 .
/
T(x, t) = T f T(x, 0 ) dx +
o
+ e p cosn r f T °)cos n dx
n»I 0
The reader can continue the calculations.
Answers and D irectio ns Ill
184. Procedure'. The heat-flow equation in a ring is of the
form
ui — a2uxx — qu (1)
where a and q are positive constants, t denotes the time, x is
the length of wire as measured along its axis from some chosen
zero point, u = u(x, t) is the temperature of the cross section
whose abscissa is x at the instant t, If we set u = ve~at, Eq. (1)
is reduced to the form
and the problem is reduced to integrating this equation with the

conditions
v(x, 0) = /(x), v (x -\-2 k, t) = v(x, t)
(The last condition indicates the periodicity (with period 2 k ) of

the desired function and fills the role of a boundary condition.)
oo
185. u(r. 0 = 2 Ane - aH2"‘ • s i n ^ f ,
/I*1
where
R
2 f ? l2n + (Rh — l) 2
~R R2)^ -h ( R h - \ ) Rh 0
frf(r)sinl„r dr,
and the are the positive roots of the equation
tsmXnR — i J L r /i •
Procedure : Because of the radial symmetry of the problem,

the heat-flow equation becomes
If we make the substitution u — v/ r , this equation becomes the

following one:
dv 9 d2v 0 < r < r:
W ~ ° 2~drT 0 < t < coi
112
The boundary condition is transformed into the condition
llr = V ir = R , t > 0 )
and the new initial condition is

v(r. 0) = r/(r) (0 < r < R).
To solve the problem, use Fourier’s method.
187 .
“ sinn*^- 9 r r V —
«(r. 0 = S — — ‘ i f rf(r)slnp„£dr-e n *
n=1 6
where |*„ = /nc (for « = 1, 2, 3, . . .). For f(r) = t0= const., we

obtain
-1 _2_ R sinb n -V?n^L

K2
u(r, t) = t0 £ ( - l ) n
Il n
«=i
Procedure : The problem amounts to integrating the equation
« , < , < * . , > 0)
with the conditions

u(r, 0) = /(/•).
u(R, t) = tc = 0°
tf (0, /) < oo,
du (0, -y) __
The last condition is the condition of symmetry. The differential

equation can be written in the form
d[ru(r, 0 ] _ „2 & \ r u ( r t t)]

dt —a dP *
Use the method of separating the variables

188 .
(2/1- 1)271^2
u(x, t) 4^0 V (—l)n~] £ 4/2 • C O S 2/2—1 1TJC
AU 2/i—l 2/
Hint : The problem amounts to integrating the equation u't =
a2u" with the initial condition u(x, 0) = T0and the boundary con
ditions
8^(0. 0 = 0; b (/./) = 0
(The temperature of the external medium is assumed to be 0°.)
189. Hint : To use the method of separating the variables, it
is necessary to have homogeneous boundary conditions. By
means of the substitution
v(x, t) = u ( x , 0 — 8, (0 .
the boundary conditions of the problem are replaced with the
homogeneous conditions
^ L o = 0;
190. u't — a2u"x — b2(U — ii) = g, where a2— k/c P and b is the
thermal conductivity of the surrounding medium, U is the tem
perature of the medium, and g is the heat source density in the
rod.
co
191. u(x, y) = ^ C „ sinh— tircy sin *x, where
n=0
AT ________
(2/i -|- 1) 7isinh(2/z -f- 1) it *
192.
sinh
n= 1 sinh Tn ~
where the f„ are the positive roots of the equation tan f = oftA
numbered in increasing order for «== 1 , 2, 3, . . . , the con
stant h being the coefficient of heat exchange.
193. ii 2n 2a 2
2Ql )sln
U ( X . 0 = cpu2as
n«l
The problem reduces to the boundary-value problem
u - a 2uXJC+ ^ - H x - x 0) (0 < x < l , t> 0)
i ** cp
«(0. /) = «(/. 0 = 0 (t>0)>
u(xt 0) = 0 (0 < x < /),
where 8(£). is the delta function.
114
194. /(* ) = !■ / — cosuxdu.

0
195. /(*) = «-**; < ( ) = «-*'.
p x
197. (a) u(x, t ) = xt*/6;

oo ( * -E ) J
4a>/ ; for \>-= T0 we set:

 = Z 11® '
u(x, t)
r elux
(c)«(*. t ) = f M (co) e ~a2ui2t + J G(to, j
—co o J
where
M(u)) = ~ J p( x) e~ilDX d x f
—oo
oo
G((o. / ) = 2^ J /(x. t)e‘“>*dx.
198. 0 for 0< t < —

(a) <*(*, /) =
f o r
M )’ '> T
f/mt: Use the Fourier sine transformation.
U+El5 (X - W
(b) u(x, t) -. wt e 4a5/ )f(Vd\. e —

2a Yb' f (
Hint : Use the Fourier sine transformation, noting that
“ ,r
j e-av cos^x dx = ~2 ~-e 4a’.
1 ?( <*+W\
(C) u(x, t) = —— j \e~ w -j-<T ** }f(s)d\
o
199. OO / CO
u(x, t) = — —J I J /(y)sinX y dy I e - u sinXy d\.

o \o
20 0 . « (x, o — uw(i — c-f’04-
4a*/ r dz C
2a 5* / /( ! ) ‘ y w I y T ^ T f lg('r x)+
2 a
U-EP
+ ^ ( u - .t y 00)]e
For U = Uay= const., we have
bH «
u(x. = - e - n - + — =- f / & e dl
Procedure'. By means of the substitution u = U03-\-ve-bH,

where U^ is the temperature of the outside space at infinity, the
equation of the problem can be reduced to the following equation
for the new function v(x, t):
vt - a?vxx = [g + b * {U - UJ]
(the reader should verify this) with initial conditions
v(x, 0) = «(*. 0) — U00= f(x) — U00.

203.
Ji^ ( * ) =
2
— sin-*;; J_i_(x)=]/r nx cos jc;
Jz (*) = ^ T Z sin * - C0S
Procedure : We have
J/ * , = 7 % ) ( ' “ 2~ 3 +
.___ ^__________ i_ )=
2-4-3-5 2-4-6-3-5-7^ )
1 / JC3 _l ^L_i_ )=
= 7 5 7 ( |) 1 3 ,+ 5 ' 71 J
sin jc.
= 7 5 7 ( |)
But
V «
r ( ! K rG K /* -* F 1 = /— ^
We proceed analogously in the evaluation of J_^(x). To evaluate

j 3 (x), we make the substitution p=- 1/2 in the last formula of
problem 202 .
204. (a) y = C 1Jn ( * x ) + C 2N n ( a x y ,

(b) Hint: Use the substitution z = Y x y\
(c) y = l / x * ( C iJ2 ( x ) + C 2N 2 ( x ) ) , where N k is B essel’s
function of the second kind of order k.
Procedure : B essel’s equation x 2y " - \ - x y ' - \ - ( x ‘1— p 1) y = 0 , where
p ^ . 0 , can, by the substitution y = x p z , be reduced to the equation
z" _ ^ 2 p ± l z'+ z = 0.
' X '
Setting p = 2 gives equation (c) of the problem.
206. (a) xp = Jj C nJ (knx ) , where

1
Cn~ Vp+i (V (P > 2 * 0 < * < !) ;
00 J ("2
(b) * 3= 1 6 £
Kf* (K) ( ° < x < 2>-
/I=1
207.
Po (jc) = 1; Pi (*) = cos 6 = x;

/>2W = -(3cos 2e - l ) = i ( 3 ^ - l ) ;
P3(x) = ~ (5 cos39— 3 cos 9) = 1 (5*3— 3 a : 2) ;
P4(x) = - (3 5 a :4 — 30*3+ 3).
208.
^ , 0 ) = 1. ( - ! ) = ( - If.
( _i\sf 1 • 3 • 5 , . . (n — 1) p
Pn(0) = ( ’ 2 • 4 • 6 ... n ~ for n even-
0 for /i odd.
209.
?(/■. 6)=]V] (~) P„(cos9) ( r > I);

7-21
/ (*) — "2 + 22" 00 2*. 2! jj ^2(X) - 11' 4i p
2a•312! *3 W ——
(x )^
211.
oo
2 A n (-£-) Pn (cos 6) (r < R),
AX 71=0
“ (r' °) = j oo
2 A .(T )n+l/U cos0> (/•>/?).
where
f f (9) Pn(cos 6) sin 0 </0.

0
In the particular case, «(r, 0)= 1/3 (1 — r2) + r2 cos 20.

212.
, ,, 2Pa Vi 7| I7'1 p ) Tn^

«('•. 0 = —— \ •/> R
n-1 I n ' l ( I n )
’
where the are the successive positive roots of the equation

M 7 > = 0 , a = / ? • ? is the tension per unit length of contour,
and p is the surface density of the membrane.
Procedure'. The problem amounts to integrating the equation
__ L i!fi
dr3 ' r dr a3 dt3
with the conditions

u (0. 0 is bounded;
u (R , 0 = 0 ;
p for 0 ^ r < e,
du (r, 0) 7U2p
u{r , 0) = 0; dt | 0 for e < r R,
where p is the surface density of the membrane, assumed to be
constant.
213 .
u{r. 0 = - - r sin (0)/ + ^)*

118
where a = ] / ” T is the tension per unit length of contour, p is

the surface density of the membrane, and Jq(X) is Bessel s func
tion of the first kind of order zero.
214.
2a Vi
u(r, t) T 2ml X
//=*i 7^1 On)
■£) • f 9 (Osin y a{fR- ^ d-
where a = y j ~ a n d the are the positive roots of the equation

M 7)=°-
215.
oo
u(0, t) = b ^ Bkcosa>kt
9 \3 1
( p- ) J (p ) * ^ is the P°sittve root of the equa
tion y0((x) = 0 , and <oft = a is the angular frequency of the £th
harmonic of the membrane.
The period of the fundamental tone is Tl 0.00596
sec, 7 being the surface density of the membrane.
216. Solution: We place the origin of a spherical coordinate
system at the center of the sphere and we direct the Z-axis op
posite to the direction of flow of the liquid (see Fig. 26). The
velocity potential u satisfies the equation
d_
dr sin 0 (i)
We see from the drawing that the normal component of the

velocity of a particle of the liquid on the surface of the sphere is
AB = a cos (u — 0).
From this we obtain the boundary condition
du
~5r = — a cos 0. ( 2)
r=R
We seek a solution of the problem (1), (2) in the form of a

series of Legendre polynomials:
co j
« ( '• 0) = S Cnp n (cos 9 ) (— ). (r > R).
//- 0
On the basis of condition (2), we have
oo
— -j=r 2 (» + 1) (cos 0) = — a cos 9 .

/J—
0
This equation will hold if
C0 = 0; = C2 = C3= . . . = 0.
Consequently, the desired solution is

«(/•. 0) = ^-cOS 0.
217. The displacement of a point on the membrane is given

by the series
oo
u(r, t) = 2 G4 /i cos sin 7 0 (^//)*
where
/ rf ( r) J 0 <k„r)dr.
A" r2A o-,)
Here, /(/•) and g(r) are respectively the initial displacement and
the initial velocity of a point on the membrane:
and is the nth positive zero of the 'function y0(p.). K — v-n/Rt and
218. The natural frequencies are co„= aln= ^ y —.

The amplitude of the vibrations of each tone is equal to Hn\J0(knr) |,
where Hn= VA2„+ B2n, A„ and B„ having the values indicated in
the answer to problem 217.
Hint : The individual harmonic vibrations (An cos aXnt -f-
Bn sin aknt) J0(Artr), that combine to make the composite vibration
of the membrane can be represented in the form
un(r , t) = H„ sin (a\nt + an) J0(X„r),
where
Hr = V Al + Bl, sinan = -,
The reader should verify this.

219.
2 <
where the yn are successive positive roots of the equation

where the p* are the positive roots of the equation
V-j'l (pO—4^3 (pi)= 0,

2 T
PaA / j —- jjj
221. Procedure-. Let us place the origin of a spherical co

ordinate system at the center of the vessel and let us direct the
0-axis in the direction of the motion of the vessel for t < 0 .
Then, the potential u of the velocities of the particles of the
liquid or gas will depend on the angle <p and we have the follow
ing boundary-value problem for u:
d*u ,11 d ( , d u \ , 1 d ( f du \\
dt* ~ a( r» d r (r d r ) + rJsin 0 «?8 (Sln 6 d6 j } *
(0 < r < r Q, 0 < 0 < ir. 0 < t < oo),
«;(r0. 0. / ) = 0.
u(r, 0, 0) = vr cos 0,
«'(r. 0, 0) = 0 ( 0 < r < r 0. O <0<»-
We should seek a solution of this problem in the form

u ( r , 0, t) = w ( r , t) cos 0.
To determine the function tv ( r , t ), we obtain the boundary-

value problem of problem 220 .
222.
«(' • o= „S=i
■'J 0
-ifrf^J»(ft. t?)dre~*n*•
where the p„ are the positive roots of the equation J0(\>.) = 0. For
/(r) = t0= const., we can verify that
ft
122
Hint: The problem amounts to integrating the equation
du( r , t ) (0 <■ r < R, t > 0 )

ft I, dr1 ~ r dr }
with the conditions

«(r, 0) = /(r).
u( R, 0 = 0.
^ - ^ = 0, «(0, / ) < o o .
224.
a*P0 ■(?)' sin a)/ —

f ( r • t) — — Ta>2
'•(¥ )
sin - n^— Jo
2aP0<»R3
t a ■'id.)'
where the y„ are the successive positive roots of the equation
4>(t) = °*
Procedure: The problem amounts to integrating the equation
d2y , 1 dy 1 d2y __ P 0 sin cat

dr2 ' r dr a2 dt2T (*)
with the conditions
|cp(0, 01 < °o, <f(R. 0 = 0.
? ( r - 0) = 0. ^ ° > - = 0.
We seek a solution of this problem in the form of a sum

<p= u-\-v, where u is a solution of the form B (r) sin a>t of the
nonhomogeneous equation (*) that satisfies the boundary condi
tions
|a (0 , 0 | < ° ° . u ( R, 0 = 0.
and v is the solution of the corresponding homogeneous equation
with the conditions
|v (0 , 0 | < ° ° . v(JR, t ) ~ 0.
dv (r, 0) __ du (r, 0)
v (r, 0) = — u (r, 0);
dt ~ ~ ~ t
225.
0
u(r. 0 = 4 f r V?(')+ty{r)\dr +
r«o
+ |; K cos^ '+ b , s, „ ^ ) Ji ( ^ ) ,
«=1
where
B„ —■ f ^ ( r ) J 0(^~)dr;
“Voô On) 0J
<p(r) = «(r, 0); <l>(r) = «J(r. 0)
r0 is the radius of the base of the cylinder (0 < r rc) and the j*n
are the positive roots of the equation Jy(jj.) = 0 .
Hint: The desired potential is a solution of the boundary-
value problem
d 2u , / d 2u . 1 . . . . .
~W — a ( ° < r < ro- 0 < / < o o ) ,
|«(0, /)| < °°> —■ = 0 (0 < / < oo),
u(r, 0) = cp(r), u't (r, 0) = ^(r) ( 0 < r < r t)).
226.
J h p L + J h ^ [ ^ Pi(C0Se ) -
_ T("^)3 />3(COS6)+ • • •] (r < ^ '
- j ( t ) 4p3(cos9)+ . . . ] (r > R).
Hint: Because of the symmetry of the problem, the potential

u is independent of the coordinate cp and is a function only of the
coordinates r and r) : u = u ( r , 0), The problem amounts to inte
grating the equation
124
with the boundary condition
ul for 0< 0< y

u lr=R —
u2 for y < 0 < it,
where R is the radius of the conductor.

227. U 2 = a (x2- z 2) + 6 (y2—z2) + dxy - f eyz + f x z ',U3 = a (*2y —
1/3 y 3) t*2* “ 1/3 z3) -he; (y2* —l/3 x3) -f-rf (y2^ —1/3 z3) +
e (z2x — 1/3 x3)-^-/ (z2y— 1/3 y3).-|-ftA:yz , where the coefficients in
both polynomials are arbitrary constants.
228. The event B consists in having exactly one of the three
shots hit the target. The event C consists in having at least two
shots hit the target. _ _ _
229. (1) 5-M C ; (2) AB + AC + BC\ (3) AB-\- ABr, (4) A + B . \
(5) AB\ (6) A+ B ; (7)/IB.
230. (1) The event is equivalent to the eventA-|-A, thus, it is
certain. (2) The event is impossible.
231. 1/720.
23Z 0.225.
233. 0.35.
234. 1/30.
pm pn - m
235. Pm =
CN_
236. Solution: The probability that the first point will not
fall in C, is 1 — nR^/S, where 5 is the area of the region D. The
same holds for the second point, etc. Consequently, the proba
bility that a single point will fall in C is equal to ^1 itS/?8\N
) *
Therefore, the desired probability is 1 — (1 — ^1 —

238. 20/56; 25/64.
239. 0.9.
240. 0.45.
241. 0.25.
242. (a) 1/3; (b) 1/18; (c) 1/3.
243. 0.36; 0.91.
244. 0.4344.
245. 0.142.
246. 0.2326.
247. Solution: Let P denote the probability that the library
in question does keep a copy of the book and let p denote the
probability that no one else has the book out. Then, the proba
bility that the student will find the book available in one of the
three libraries is 1 — (1 —Ppf. By hypothesis, P — p = 1/ 2 .

Therefore, the probability that he will find the book is 37/64 >
1/ 2 .
248. 0.94.
250. 0.48.
251. 41/90.
253 7/ 9 * 2/9
255*. (1) » 0.49; (2) P10 (1) « 0.1114; (3) « 0.9989; (4) *
0.0091.
257. (1) 243/1024; (2) 405/1024; (3) 270/1024; (4) 1/1024.
259.
0 for x 0,
F(x) = P(l < x) = 0,8 for 0<jc<1
1 for x > 1.
260. Hint: To find the coefficient a , we use the property of

the probability density that
J f (x) d x = 1;
261. P{— 1 < ? < 1) = 0.5,

263.
1 • J + 2 ' 2*"^ 3 2» + ' ' '

(i •••) — 2
264. 150 v.
266. 0 . 6 .
269. W = £; D; = ^-(p— a)2.
271.
AI(Jr !) = T r ^ 2+ a* + fl2): D { ^ r ) = i & D ^ =

= ^ [Md* — (Md2)21= — (6 — a)2(4A2+ Tab + 4a2).
272. (1) 0.68269; (2) 0.95450; (3) 0.99730.

__ oo ___
— f s3e~aS3rfs = — = 2 1/ — ; (b) the en-
n J V na v nm
0 r
ergy of a molecule E = ms2/ 2, so that
CO
ME = J ~ ms2/?(s) ds = --- £7\

o
274. iD( a < t (*)is

given in the answer to problem 274.
276. (1) The mean value of the variable x is
----- c
Mx = f xw(x)dx = 2 y — f e~x'dx
o v n y k /
where
p __ -*0 .
' 2y m ’
CO CO
(2) M (x2) = j x2w (x) dx — ~=- J (x0+ 2 ]/ Dt •i f e~ "d\ -(-

-c
f ( - x 0+ 2 V D n y e - i ’dt 2a:2f e-*dZ + 8 D t f

V *
a2 -(- 2 D/; and the desired variance is Djc = M (x2) — (Mx)2\
(3) The mean value of the displacement a — x0 is
M (x — x0) = 2 y r Dt e- c 1
71 r t f ‘- ' t *
(4) The mean value of the square of the displacement is

D f a v 2 00
/ TC V Tl J
r
f e. x>dx
0
277.
j) = £ ± ± . ± ± ± ;
n /t + c2+ c d + d* (a + 6)2 (c + df
^ 3 3 4---- 4----
Hint-. Use the formula
D (i ■rj) = M (<V) — IM (5^)]2= MpMrj2— (MQ2(Af^z
279. 0 . 866 .
280. Procedure1 . The problem consists in finding a number
a > 0 such that
P ( \x — x\ < a ) > 0.95
We obtain a > 0.394; that is, with probability exceeding 0.95,
we may guarantee that the deviation of the length will not ex
ceed approximately 0.4 cm.
281. « 0.665. Procedure: The probable deviation (or the
“ mean deviation” or “mean error”) is defined as one-half the
length of the interval symmetrically located about the center of
dispersion the probability of falling within which is equal to 1/ 2.
It can be shown that if x, y, and z are mutually independent ran
dom variables obeying a normal law, the probable deviation of
the variable u = x-\- y-{~ z is equal to
eu=
V eI + e ] + e ]
where Ex, Ev, and Et are the probable deviations of x, y, and z
respectively. In the present problem, the deviation of the total
error is y 282-f-82-|- 122= 28 m .
2 82. M' = a ; D5= a2;
0. if x < 0
F(*) = X
1 1 — e~~“ . if x > 0
2 8 3 . * 4%.
285. « 0.00206. Hint : Use Laplace’s asymptotic local
theorem:
1 / in-np V
* e 2 \ VTpq )
P„ (m) Y2nnpq
to obtain
1 1 , r ---- 0.3989
—f= = — r_ : V npq = ,■
V 2-r.npq Y 2w V npq
286. Hint: Use Laplace’s local theorem (see hint to prob

lem 285). Since n = 5 0 , p = 0 A , q = 0 . 6 , and m = 25, the desired
probability is
P = 2-50-U.40.6 ~ 0 ,1 1 5 ,- 1 ,0 4 2 ^ Q ,0 4 |
50 Y so •0.4 •0.6
287. Solution: Use Laplace’s integral theorem to obtain
p ( m < 7 0 ) = p ( -------- 5 0 _ < 2£\
I 1^49,75 Y^pq ^ Y 49.75 /
2.84 fj
= p(_7,09 < ^ = ^ < 2 . 8 4 ) « — f e ~ d t = 0.9975.
\ V n pq 1 y 2n ^
288. 0.82.
289. (a) />io(8) = C?0(-|-j8(-5-j2=:» 0.2816. Since n is small, use
of the formula
I (m-np)*
p’ (ro)~ F s 5 r
gives the crude result: « 0.2724.
(b) Since the given bounds (70 and 80) differ from np =
75 by the same amount, we use Laplace’s approximate integral
formula in the form
P„{a < m < b ) ^ Y ^ f e~ ' dz = $(t).
In the present case, a = 70, b = 80, t = —^ ^ so that the

ynpq Y 3
desired probability is
Answers and D irections
129
70
(d) S ^ W « * ( - ^ ) + 0 . 5 « 0 . 1 2 4 1 .
m-0 ' '
(e> M tS S H ® * 1-62’ = ° - 8948-

290. (1) P1S0(78 < m < 102) = O (2) = 0.9545.
(2) Pxso(78 < m < 108) = 0.9759.
295. 0.0408. Hint : Use Laplace’s local theorem.
296, Solution : We divide the interval / into a large number
of small subintervals At. Obviously, in case (1), there will not
be any calls at all in the interval t if there are no calls in the
subintervals. Therefore, the probability P0(t) that there will be
no calls in the interval t is equal to the product of the analogous
probabilities P0(At) for the subintervals At:
/>o(0 = [/>o(AoF.
where t/At is the number of intervals. If q(At) is the probability
that a call will be made during an interval At, the preceding
equation can be written in the form
Po(t) = 0 - q ) M.
Therefore,
lnP0(/) = — I n ( l — 0
and, for small q. In (1 — q) « — q . Therefore,
In =
so that
P0(f) = e-k‘.
In case (2), we take an interval of length t and, abutting it on
the right, a small interval A/. Together, they form an interval
If n calls are made in this interval, either all will occur
in t and none in A/ or n — 1 will occur in t and one in A/. In all
other cases, more than one call will occur in the interval A/.
Since these cases are very unlikely, we may neglect them. The
probability of n calls in the interval /-f-A/ is equal to
P n (t + At) = z P n ( t ) ( l — k At) + P n_ x(t) k At
(Here, we use the theorems on the multiplication and addition

of probabilities.) This last relation can easily be reduced to the
recursion differential equation (letting M -> 0):
^ (P/i-i pfi)
for the desired probability Pn. For n — l , we obtain the equation
l £ - + kPl = kP0^ k e - * t,
where
Px= (cx-\-kt)e-kt.
The constant c1 is determined from the conditions that as

^ 0, From this, we obtain
P ^ k t e - * 1.
Analogously, we find
<*01 e -kt'
P* 2!
Obviously, in general,
Pn {kt)n e -kt'
n\
297. The number of electrons flying off the cathode in the

interval At is distributed according to a Poisson law:
Pm (n At)m e - n U'
tn\
298. = n2— n —n.
299.
300.
Answers ond Directions 131
301. P( | 5— M5I < « ) > 1 —

302. P(|£ — Al^| ^ 0.5 >• 0.6, where $ is the length of the
object.
304. Yes, since the hypotheses of Chebyshev’s theorem are
satisfied:
= 0, M?n = a2, Dln = a2.
306. HinU Apply Chebyshev’s inequality to the quantity

n
2 xl
ft
Appendices
APPENDIX I
Table of Valu es of Bessel Functions
X Jo( x) J i (x) YoOc) y i u) lo W Jl(x)
0.0 + 1 .0 0 0 0 0 .0 0 0 0 — oo — oo + 1 .0 0 0 0 .0 0 0 0
0.1 0.9975 + 0.0499 -1 .5 3 4 2 -6.4589 1.003 + 0.0501
0.2 0.9900 0.0995 1.0811 3.3238 1.010 0.1005
0.3 0.9776 0.1483 0.8073 2.2931 1.023 0.1517
0.4 0.9604 0.1960 0.6060 1.7809 1.040 0.2040
0.5 + 0.9385 + 0.2423 -0 .4 4 4 5 -1 .4 7 1 5 1.063 0.2579
0.6 0.9120 0.2867 0.3085 1.2604 1.092 0.3137
0.7 0.8812 0.3290 0.1907 1.1032 1.126 0.3719
0.8 0.8463 0.3688 -0.0868 0.9781 1.167 0.4329
0.9 0.8075 0.4059 + 0.0056 0.8731 1.213 0.4971
1 .0 + 0.7652 + 0.4401 + 0.0883 -0 .7812 1.266 0.5652
1.1 0.7196 0.4709 0.1622 0.6981 1.326 0.6375
1.2 0.6711 0.4983 0.2281 0.6211 1.394 0.7147
1.3 0.6201 0.5220 0.2865 0.5485 1.469 0.7973
1.4 0.5669 0.5419 0.3379 0.4791 1.553 0.8861
1.5 + 0.5118 + 0.5579 + 0.3824 -0.4123 1.647 0.9817
1.6 0.4554 0.5699 0.4204 0.3476 1.750 1.085
1.7 0.3980 0.5778 0.4520 0.2847 1.864 1.196
1.8 0.3400 0.5815 0.4774 0.2237 1.990 1.317
1.9 0.2818 0.5812 0.4968 0.1644 2.128 1.448
2.0 + 0.2239 + 0.5767 + 0.5104 -0.1070 2.280 1.591
2.1 0.1666 0.5683 0.5183 -0.0517 2.446 1.745
2.2 0.1104 0.5560 0.5208 + 0.0015 2.629 1.914
2.3 0.0555 0.5399 0.5181 0.0523 2.830 2.098
0.0025 0.5202 0.5104 0.1005 3.049 2.298
2.4
-0 .0 4 8 4 + 0.4971 + 0.4981 + 0.1459 3.290 2.517
2.5 2.755
2.6 0.0968 0.4708 0.4813 0.1884 3.553
0.4416 0.4605 0.2276 3.842 3.016
2.7 0.1424
0.4097 0.4359 0.2635 4.157 3.301
2.8 0.1850
0.3754 0.4079 0.2959 4.503 3.613
2.9 0.2243
+ 0.3391 + 0.3768 + 0.3247 4.881 3.953
3.0 -0 .2 6 0 1 4.326
0.2921 0.3009 0.3431 0.3496 5.294
3.1 5.747 4.734
3.2 0.3202 0.2613 0.3070 0.3707
0.2207 0.2691 0.3878 6.243 5.181
3.3 0.3443 5.670
0.1792 0.2296 0.4010 6.785
3.4 0.3643
135
136 Appendices
Appendix I (Continued)
X Jo (x ) J l(x) Y0 (%) Y i (x) / o(x) h (x )
3.5 -0.3801 -0 .1 3 7 4 + 0.1890 + 0.4102 7.378 6.206

3.6 0.3918 0.0955 0.1477 0.4154 8.028 6.793
3.7 0.3992 0.0538 0.1061 0.4167 8.739 7.436
3.8 0.4026 0.0128 0.6450 0.4141 9.517 8.140
3.9 0.4018 0.0272 0.2338 0.4078 10.37 8.913
4.0 “ 0.3971 -0 .0660 “ 0.0169 + 0.3979 11.30 9.759
4.1 0.3887 0.1033 0.0561 0.3846 12.32 10.69
4.2 0.3766 0.1386 0.0937 0.3680 13.44 11.71
4.3 0.3610 0.1719 0.1296 0.3484 14.67 12.82
4.4 0.3423 0.2028 0.1633 0.3260 16.01 14.05
4.5 “ 0.3205 “ 0.2311 -0.1947 + 0.3010 17.48 15.39
4.6 0.2961 0.2566 0.2235 0.2737 19.09 16.86
4.7 0.2693 0.2791 0.2494 0.2445 20.86 18.4S
4.8 0.2404 0.2985 0.2723 0.2136 22.79 20.25
4.9 0.2097 0.3147 0.2920 0.1812 24.91 22.20
5.0 -0.1776 “ 0.3276 “ 0.3085 + 0.1479 27.24 24.34
5.1 0.1443 0.3371 0.3216 0.1137 29.79 26.68
5.2 0.1103 0.3432 0.3312 0.0792 32.58 29.25
5.3 0.0758 0.3460 0.3374 0.0445 35.65 32.08
5.4 0.0412 0.3453 0.3402 + 0.0101 39.01 35.18
5.5 “ 0.0068 “ 0.3414 -0.3395 -0 .0 2 3 8 42.69 38.59
5.6 + 0.0270 0.3343 0.3354 0.0568 46.74 42.33
5.7 0.0599 0.3241 0.3282 0.0887 51.17 46.44
5.8 0.0917 0.3110 0.3177 0.1192 56.04 50.95
5.9 0.1220 0.2951 0.3044 0.1481 61.38 55.90
6.0 + 0.1506 -0.2767 “ 0.2882 -0 .1 7 5 0 67.23 61.34
6.1 0.1773 0.2559 0.2694 0.1998 73.66 67.32
6.2 0.2017 0.2329 0.2483 0.2223 80.72 73.89
6.3 0.2238 0.2081 0.2251 0.2422 88.46 81.10
6.4 0.2433 0.1816 0.1999 0.2596 96.96 89.03
6.5 + 0.2601 -0.1538 -0 .1 7 3 2 -0 .2741 106.3 97.73
6.6 0.2740 0.1250 0.1452 0.2857 116.5 107.3
6.7 0.2851 0.0953 0.1162 0.2945 127.8 117.8
6.8 0.2931 0.0652 0.0864 0.3002 140.1 129.4
6.9 0.2981 0.0349 0.0562 0.3029 153.7 142.1
7.0 + 0.3001 -0.0047 -0.0259 -0.3027 168.6 156.0
7.1 0.2991 + 0.0252 + 0.0042 0.2995 184.9 171.4
7.2 0.2951 0.0543 0.0338 0.2934 202.9 188.2
7.3 0.2882 0.0826 0.0628 0.2846 222.7 206.8
7.4 0.2786 0.1096 0.0907 0.2731 244.3 227.2
7.5 + 0.2663 + 0.1352 + 0.1173 -0.2591 268.2 249.6
7.6 0.2516 0.1592 0.1424 0.2428 294.3 274.2
7.7 0.2346 0.1813 0.1658 0.2243 323.1 301.3
7.8 0.2154 0.2014 0.1872 0.2039 354.7 331.1
7.9 0.1944 0.2192 0.2065 0.1817 389.4 363.8
Appendices 137
Appendix I (Continued)
X Jo (*) J i(x ) Y 0 (x) Y ito /<>(*) h(x)
8.0 + 0.1717 + 0.2346 + 0.2235 -0.1581 427.6 399.9

8.1 0.1475 0.2476 0.2381 0.1331 469.5 439.5
8.2 0.1222 0.2580 0.2501 0.1072 515.6 483.0
8.3 0.0960 0.2657 0.2595 0.0806 566.3 531.0
8.4 0.0692 0.2708 0.2662 0.0535 621.9 583.7
8.5 + 0.0419 + 0.2731 + 0.2702 -0.0262 683.2 641.6
8.6 + 0.0146 0.2728 0.2715 + 0.0011 750.5 705.4
8.7 -0 .0 1 2 5 0.2697 0.2700 0.0280 824.4 775.5
8.8 0.0392 0.2641 0.2659 0.0544 905.8 852.7
8.9 0.0653 0.2559 0.2592 0.0799 995.2 937.5
9.0 -0 .0 9 0 3 + 0.2453 + 0.2499 + 0.1043 1094 1031
9.1 0.1142 0.2324 0.2383 0.1275 1202 1134
9.2 0.1367 0.2174 0.2245 0.1491 1321 1247
9.3 0.1577 0.2004 0.2086 0.1691 1451 1371
9.4 0.1768 0.1816 0.1907 0.1871 1595 1508
9.5 -0 .1 9 3 9 + 0.1613 + 0.1712 + 0.2032 1753 1658
9.6 0.2090 0.1395 0.1502 0.2171 1927 1824
9.7 0.2218 0.1166 0.1279 0.2287 2119 2006
9.8 0.2323 0.0928 0.1045 0.2379 2329 2207
9.9 0.2403 0.0684 0.0804 0.2447 2561 2428
10.0 -0 .2 4 5 9 + 0.0435 + 0.0557 + 0.2490 2816 2671
APPENDIX II
Table of Roots of the Equations J q (x ) = 0 , J \ ( x ) = 0
k j i (/tfe) n fk Jo 0*1, fe)
1 2.405 + 0.5191 3.832 -0 .4028

2 5.520 -0.3403 7.016 + 0.3001
3 8.654 + 0.2715 10.17 -0.2497
4 11.79 -0 .2 3 2 5 13.32 + 0.2184
5 14.93 + 0.2065 16.47 -0 .1 9 6 5
6 18.07 -0.1877 19.62 + 0.1801
7 21.21 + 0.1733 22.76 -0 .1 6 7 2
8 24.35 -0.1617 25.90 + 0.1567
9 27.49 + 0.1522 29.05 -0 .1480
10 30.63 -0 .1 4 4 2 32.19 + 0.1406
138
APPENDIX III
_t 2
Table of Values of the Function (pit) = — e 2
yj2n
1 0 1 2 3 4 5 6 7 8 9
0.0 3989 3989 3989 3988 3986 3984 3982 3980 3977 3973
0.1 3970 3965 3961 3956 3951 3945 3939 3932 3925 3918
0.2 3910 3902 3894 3885 3876 3867 3857 3847 3836 3825
0.3 3814 3802 3790 3778 3765 3752 3739 3725 3712 3697
0.4 3683 3668 3653 3637 3621 3605 3589 3572 3555 3538
0.5 3521 3503 3485 3467 3448 3429 3410 3391 3372 3352
0.6 3332 3312 3292 3271 3251 3230 3209 3187 3166 3144
0.7 3123 3101 3079 3056 3034 3011 2989 2966 2943 2920
0.8 2897 2874 2850 2827 2803 2780 2756 2732 2709 2685
0.9 2661 2637 2613 2589 2565 2541 2516 2492 2468 2444
1.0 2420 2396 2371 2347 2323 2299 2275 2251 2227 2203
1.1 2179 2155 2131 2107 2083 2059 2036 ,2012 1989 1965
1.2 1942 1919 1895 1872 1849 1826 1804 1781 1758 1736
1.3 1714 1691 1669 1647 1626 1604 1582 1561 1539 1518
1.4 1497 1476 1456 1435 1415 1394 1374 1354 1334 1315
1.5 1295 1276 1257 1238 1219 1200 1182 1163 1145 1127
1.6 1109 1092 1074 1057 1040 1023 1006 0989 0973 0957
1.7 0940 0925 0909 0893 0878 0863 0848 0833 0818 0804
0790 0775 0761 0748 0734 0721 0707 0694 0681 0669
1.8
1.9 0656 0644 0632 0620 0608 0596 0584 0573 0562 0551
0540 0529 0519 0508 0498 0488 0478 0468 0459 0449
2.0
0440 0431 0422 0413 0404 0396 0387 0379 0371 0363
2.1 0290
2.2 0855 0347 0339 0332 0325 0317 0310 0303 0297
0277 0270 0264 0258 0252 0246 0241 0235 0229
2.3 0283
0213 0203 0203 0198 0194 0189 0184 0180
2.4 0224 0219
0167 0163 0158 0154 0151 0147 0143 0139
2.5 0175 0171
0129 0126 0122 0119 0116 0113 0110 0107
2.6 0136 0132
0099 0096 0093 0091 0088 0086 0084 0081
2.7 0104 0101
0075 0073 0071 0069 0067 0065 0063 0061
2.8 0079 0077
0056 0055 0053 0051 0050 0048 0047 0046
2.9 0060 0058 0034
0043 0042 0040 0039 0038 0037 0036 0035
30 0044 0000 0000
0001 0001 0000 0000 0000 0000 0000
4.0 0001
139
APPENDIX IV
Table of Values of ihe Function Fi t ) 2 ds
for different values of t
t F(t) t Fi t ) t F( t ) t Fi t )
0.00 0.00000 0.30 0.23582 0.60 0.45149 0.90 0.63188

01 00798 31 24344 61 45814 91 63718
02 01596 32 25103 62 46474 92 64243
03 02393 33 25860 63 47131 93 64763
04 03191 34 26614 64 47783 94 65278
05 03988 35 27366 65 48431 95 65789
06 04784 36 28115 66 49075 96 66294
07 05581 37 28862 67 49714 97 66795
08 06376 38 29605 68 50350 98 67291
09 07171 39 30346 69 50981 99 67783
0.10 0.07966 0.40 0.31084 0.70 0.51607 1.00 0.68269
11 08759 41 31819 71 52230 01 68750
12 09552 42 32552 72 52848 02 69227
13 10348 43 33280 73 53461 03 69699
14 11134 44 34006 74 54070 04 70166
15 11924 45 34729 75 54675 05 70628
16 12712 46 35448 76 55275 06 71086
17 13499 47 36164 77 55870 07 71538
18 14285 48 36877 78 56461 08 71986
19 15069 49 37587 79 57047 09 72429
0.20 0.15852 0.50 0.38292 0.80 0.57629 1.10 0.72867
21 16633 51 38995 81 58206 11 73300
22 17413 52 39694 82 58778 12 73729
23 18191 53 40389 83 59346 13 74152
24 18967 54 41080 84 59909 14 74571
25 19741 55 41768 85 60468 15 74986
26 20514 56 42452 86 61021 16 75395
27 21284 57 43132 87 61570 17 75800
28 22052 58 43809 88 62114 18 76200
29 22818 59 44481 89 62653 19 76595
140
Appendices 141
Appendix IV (Continued)
t F( t ) t F( t ) t F( l ) t F(t)
1.20 0.76986 1.70 0.91087 2.20 0.97219 2.70 0.99307

21 77372 71 91273 21 97289 71 99327
22 77754 72 91457 22 97358 72 99347
23 78130 73 91637 23 97425 73 99367
24 78502 74 91&14 24 97491 74 99386
25 78870 75 91988 25 97555 75 99404
26 79233 76 92159 26 97618 76 99422
27 79592 77 92327 27 97679 77 99439
28 79945 78 92492 28 97739 78 99456
29 80295 79 92655 29 97798 79 99473
1.30 0.80640 1.80 0.92814 2.30 0.97855 2.80 0.99489
31 80980 81 92970 31 97911 81 99505
32 81316 82 93124 32 97966 82 99520
33 81648 83 93275 33 98019 83 99535
34 81975 84 93423 34 98072 84 99549
35 82298 85 93569 35 98123 85 99563
82617 86 93711 36 98172 86 99576
36
82931 87 93852 37 98221 87 99590
37
83241 88 93989 38 98269 88 99602
38 99615
39 83547 89 94124 39 98315 89
0.83849 1.90 0.94257 2.40 0.98360 2.90 0.99627
1.40 99639
41 84146 91 94387 41 98405 91
92 94514 42 98448 92 99650
42 84439
93 94639 43 98490 93 99661
43 84728 99672
85013 94 94762 44 98531 94
44 95 99682
45 85294 95 94882 45 98571
95000 46 98611 96 99692
46 85571 96 99702
97 95116 47 98649 97
47 85844 99712
98 95230 48 98686 • 98
48 86113 99721
99 95341 49 98723 99
49 86378
0.95450 2.50 0.98758 3.00 0.99730
1.50 0.86639 2.00 99739
01 95557 51 98793 01
51 86696 02 99747
02 95662 52 98826
52 87149 03 99755
03 95764 53 98859
53 87398 04 99763
04 95865 54 98891
54 87644 98923 05 99771
87886 05 95964 55
55 98953 06 99779
88124 06 96060 56
56 98983 07 99786
88358 07 96155 57
57 99012 08 99793
88589 08 96247 58
58 59 99040 09 99800
59 88817 09 96338
2.60 0.99068 3.10 0.99806
1.60 0.89040 2.10 0.96427 99813
96514 61 99095 11
61 89260 11 12 99819
12 96599 62 99121
62 89477 99146 13 99825
89690 13 96683 63
63 64 99171 14 99831
64 89899 14 96765 99837
96844 65 99195 15
65 90106 15 16 99842
16 96923 66 99219
66 90309 99241 17 99848
90508 17 96999 67
67 99263 18 99853
90704 18 97074 68
68 69 99285 19 99858
90897 19 97148
69
142 Appendi ces
Appendix IV (Continued)
t Fi t ) t Fi t ) t Fi t ) t Fi t )
3.20 0.99863 3.40 0.99933 3.60 0.99968 3.80 0.99986

21 99867 41 99935 61 99969 81 99986
22 99872 42 99937 62 99971 82 99987
23 99876 43 99940 63 99972 83 99987
24 99880 44 99942 64 99973 84 99988
25 99885 45 99944 65 99974 85 99988
26 99889 46 99946 66 99975 86 99989
27 99892 47 99948 67 99976 87 99989
28 99896 48 99950 68 99977 88 99990
29 99900 49 99952 69 99978 89 99990
3.30 0.99903 3.50 0.99953 3.70 0.99978 3.90 0.99990
31 99907 51 99955 71 99979 91 99991
32 99910 52 99957 72 99980 92 99991
33 99913 53 99958 73 99981 93 99992
34 99916 54 99960 74 99982 94 99992
35 99919 55 99961 75 99982 95 99992
36 99922 56 99963 76 99983 96 99992
37 99925 57 99964 77 99984 97 99993
38 99928 58 99966 78 99984 98 99993
39 99930 59 99967 79 99985 99 99993
INDEX
Angular velocity 21 Electric cable 35

Astroid 18 Electric current, passage of 103
characteristics of 103
Baye*s formula 57 Electric displacement vector 18
Bernoulli trial 57 Electric field 11
B essel functions, table of 135 lin es of force of 11
Binomial distribution 53 Electrostatics 16
Biot-Savart law 73 Ellipse 4
Boundary-value problem 29 Equipotential lines 13
Bounded function 10 Equipotential surfaces 3
Boyer, G. P. 60 Euler’s gamma function 45
Brownian motion 60 Euler-d’Alembert equations 13
theory of 60
Buffon’s problem 57 Field intensity 24
Field intensity, gravitational 9
Cauchy problems 29 Field lin es 9
Cauchy-Riemann equations 13 Fikhtengol’ts, G. M. 78
Charge distribution 10 Flat-hammer method 100
Charged sphere 80 Fluid, incom pressible 13
Chebyshev’s inequality 64, 131 F ourier-B essel series 46
theorem 131 Fourier integrals 42
Compatibility conditions 34 method 33
Condensation 32 sine transformation 114
Confocal ellip ses 69 transformation 42
Continuity, equation of 17 Free oscillations 33
Continuous function 7 Free vibrations 36
Coulomb potential 11 Function, gradient of 5
Current-density integral 87
Curves, level of 3 Gas particles 121
Cylindrical coordinates 11 Gauss* surface integral 78
Cylindrical coordinate system 16 theorem 14
Gauss-Ostrogradskiy electrostic theorem
d’A lem bert’s method 29 16
Density, unit of 9 Gaussian distribution 60
Deviation, mean square 62 Generating function 57
Differentiable function 7 Gravitational constant 73
Differential equations 12 Gravitational field, flux of 16
Diffusion 40 Green’s theorem 14
Direct current 21
Directional derivatives 4 Harmonic functions 23
Distribution functions 58 Harmonic polynomial 50
Distribution se r ie s 58 Harmonic transverse vibration 31
Heat-flow equations 39
Eigenfunctions, method of 33 Heat-source density 113
Hydrodynamical model 12
Eigenvalues 36
E lasticity, modulus of 97 Hyperbolic cylinder 75
143
144 Index
Isothermal surface 70 Scalar fields, plane-parallel 9

spherical 9
Laplace’s asymptotic local theorem 127 Scalar potential 9
integral theorem 128 Segment displacement 29
Laplace’s equation 25, 36 Sharp-hammer method 35
Laplacian 23 Sinks 13
Legendre polynomials 46 Solenoidal field 12
Levin, V. I. 95 Sources 13
Light source 6 Space, three-dim ensional 4
velocity of 22 Sphere, cooling of 40
Limit theorems 62 Spherical coordinates 7, 12
in probability theory 62 Spherical functions 50
Linear density 101 Standard deviation 61
Linear velocity 21 Static deflection 38
Logarithmic potential 7 Stokes’ theorem 18
Stream function 12, 13
Magnetic field, intensity of 74 Stream lin es 13
Magnetic field vector 73 S tress function 38
Magnetic line of force 86 S tresses, tangential 109
Markov’s theorem 65 Stretched surface 19
Mass 8 String equation, vibrating 29
uniform distribution of 9 solution of 29
Mathematical field theory 17 String profiles 30
Maximum-minimum principle 24 Subintervals 129
Maxwell's equation 23 Superposition of field s, principle of 75
M irror image 96 Surface-charge density 91
Molecule, kinetic energy of 60 Surface integrals 14
Surfaces, level 3
Newtonian force 72 isotherm al 3
Newtonian gravitational field 9
Newtonian potential 11 Telegraph equations 103
Nonconstant function 24 Temperature distribution 40
T ensile force 100
One-dimensional wave equation 33 Thermal conductivity 113
Operators, second-order differential 23 Threading 20
O scillations, longitudinal 29 Tikhonov, A. N. 40, 94
Ostrogradskiy’s formula 24
Ostrogradskiy’s theorem 14 Unit vectors, sum of 71
Uniform distribution 9
Parallelogram rule 71 of m ass 9
Partial differential equations 13
Particle trajectories 13 Vector curl 18, 20
Particle velocity 77 Vector fields 9
in a liquid 77 flux and divergence of 14
Poisson’s equation 36 circulation of 18
Potential difference 9 components of 19
Potential, gradient of the 5 Vector potential 24
Prism atic body 38 Vector tube 17
Probability theorems 53 V elocity, distribution of 34
Velocity field 13
Radial vibrations 49 Velocity potential 13,118
Random variables 58 Velocity vector 13
numerical characteristics of 58 Vibrations, membrane of 36
Recursion differential equation 130 torsional 29
Resonance frequency 106 transverse 99
Revolution, ellipsoid of 6
paraboloid of 6 Wave equation, two-dimensional 36
Rodrigues’ formula 46 Wave method 29
Wave-propagation velocity 95
Samarskiy, A. A. 40, 94
Scalar fields 3 Young’s modulus 92
Smirnov: Problems
on the equations of
m athem atical physics
1234567190
*N O O R D H O FF S E R IE S OF MONOGRAPHS AND
S TEXTBOOKS ON PURE & APPUED MATHEMATICS
M. M. Smirnov
PROBLEMS ON THE
EQUATIONS OF
MATHEMATICAL PHYSICS
The collection is divided in three

paragraphs. The first paragraph
contains introductory exercises on
the reduction of partial differential
equations in canonical form. The
second paragraph deals mainly with
problems, the general solution of
which can be formed by means
of the method characteristics e.g.
Cauchy’s (or also Goursat’s) and
mixed problems. The third para
graph presents the method of sepa
ration of variables.
Contents:
Part I - Problems
1. Reduction of partial differential

equations with two independent
variables to canonical form
Equations of hyperbolic type - Equa
tions of parabolic type - Equations
of elliptic type
2. The method of characteristics
3. Separation of variables
Equations of hyperbolic type - Equa
tions of parabolic type - Equations
of elliptic type
Part II - Solutions and hints
P. N O O R D H O F F LTD.
M. M. SMIRNOV
Problems on The Equations o f

Mathematical Physics
TRANSLATED BY W . I. M . W lLS
1966
N O O R D H O FF • G R O N IN G E N • TH E N ETH ER LA N D S
© Copyright 1967 by P. Noordhoff,\ Ltd., Groningen, The Netherlands.
This book ofparts thereof may not be reproduced in any form without written
permission o f the publishers.
Printed in the Netherlands

PREFACE
The aim of the present collection of problems is to illustrate the

theory of partial differential equations as it is given in various
textbooks.
The problems of this collection are divided in three paragraphs. The
first paragraph contains introductory excercizes on the reduction
of partial differential equations to canonical form. The second
paragraph deals mainly with problems, the general solution of which
can be formed by means of the method of characteristics e.g.
Cauchy’s (or also Goursat’s) and mixed problems.
In the third paragraph the most important method is presented,
namely the separation of variables. This is done for mixed problems
(for hyperbolic and parabolic equations) and for boundary value
problems (elliptic equations).
The solutions of all excercizes are given. Most of the problems are
accompanied by an explanation of the solution method used: so
that this problem book can also be used for self study.
In preparing the present book the following books were consulted.
(A. N. Tychonoff and A. A. Samarskii - Equations of mathematical
physics. Pergamon Press.).
(N. M. Gunter and R. O. Kusmin - A collection of problems in
higher mathematics).
(N. S. Koschkjakow - Important equations in mathematical
physics) and other sources. Part of the problems is taken from the
cited titles.
CONTENTS
Part I. Problems........................................................................ 7
1. Reduction of partial differential equations with two
independent variables to canonical form ........................... 7
1. Equations of hyperbolic ty p e ...................................... 7
2 . Equations of parabolic t y p e ...................................... 8
3. Equations of elliptic t y p e .......................................... 8
2. The method of characteristics.............................................. 9
3. Separation of variables......................................................... 23
1. Equations of hyperbolic t y p e ...................................... 26
2. Equations of parabolic type.......................................... 33
3. Equations of elliptic ty p e .............................................. 38
Part. II. Solutions and h i n t s .................................................. 43

Part I
PROBLEMS
§ 1. Reduction of partial differential equations with two

independent variables to canonical form
The partial differential equation

, 82u 82u 82u
a(x, y) + 2b(x, y) + c(x,y) +
8x2 8x8y 8y2
/ 8u 8 u \
( 1)
is called an equation of hyperbolic type if b2 — ac > 0 , of para

bolic type if b2 — ac = 0 and of elliptic type if b2 — ac < 0 .
Here a, b and c are functions of x and y twice continuously differ
entiable with respect to both variables.
To reduce equation (1) to canonical form one must write down the
equation for the characteristic curves
ady2 — 2bdxdy + cdx2 = 0 , (2)
which breaks up into two equations
ady — (6 + V b 2 — ac)dx = 0 , (3)
ady — (b — V b 2 — ac)dx = 0 (4)
and find their general integrals.
1. Equations of Hyperbolic Type
b2 — ac > 0.
The general integrals cp(x, y) = c\y and y)(x, y) = c2 of equations
(3) and (4) are real and different and define two different families
of real characteristic curves.
8 PROBLEMS
Transformation to new variables (£, rj) instead of (xt y)

f = <p(x> y)
v = v>(%, y)
reduces equation ( 1) to:
d2u du
(5)
'* a g ' dr] ■)
y
This is the canonical form of the partial differential equations of
hyperbolic type.
2. Equations of parabolic Type
b2 __ ac = 0.
Equations (3) and (4) coincide and we obtain one general integral
of equation (2): cp(xt y) = c.
In this case let us put f = (p(xt y) and rj = rj(xf y) where the Jacob
ian does not vanish in the domain of parabolicity.
D(x, y) F
Equation (1) reduces to
6
( )
This is the canonical form of the equations of parabolic type.
3. Equations of Elliptic Type
b2 — ac < 0 .
The general integrals of equations (3) and (4) are complex conjug
ated: they define two families of complex characteristic curves.
The general integral of equation (3) has the form
<p{x, y) + iy(x, y) = c,
where <p(x, y) and y)(x, y) are real functions.
KKI MI CTI ON Ol' I’A KTI A I. 1)11'l'K KK NT I A I. KQ I) ATI O NS 9
With
f = <p(x, y)
v = v>(*. y)
equation ( 1) reduces to
d2u d2u / du du\
= 3\ V’ U’ ~ d f’ ^V ) '
This is the canonical form of the equations of elliptic type.
In case of ellipticity we suppose that the coefficients a, b and c are
analytic functions.
We remark that a transformation of the derivatives with respect to
x and y to the new variables i and rj is represented by the formulas:
du du d£ du drj du du di du dr]
dx di dx ^ dr] dx * dy di dy drj dy
d2u d2u d2u d£ Sri
4 - 2 -------------- -------- - +
dx2 di2 m dtjdrj dx dx
82u ( dn \ 2 du d2£ du d2rj
+
drj2 di dx2 drj dx2
d2u _ 82u / 8$ V d2u
dy2 ~ ~ d t2 \ d y )
+2 d^dr] dy dy
( 8)
d2u / dr] \ 2 du d2i du d2r]

+
dr]2 \ d y ) d£ dy2 dr] dy2
d2u d2u
dxdy ~ W ' dx dy didr] \ dx dy dy d x)
d2u dr] dr] t du d2i ^ du d2^
+
dr]2 ' - dx
r - — 7T~ + T T
dy di dxdy dr] dxdy
More details can be found in:
(I. G. Petrowski: Lectures on partial differential equations.
Gostekhizdat 1953)
Example: The equation

_ d2u d2u
;2 -------- y2----- = 0. (9)
dx2 dy2
10 PROBLEMS
is of hyperbolic type because

b2 — ac = x 2y 2 > 0 (for x ^ 0 and y ^ 0).
Following the general theory we consider the characteristic equation
x2dy2 — y2dx2 = 0
or
xdy + ydx = 0 , xdy — ydx = 0 .
After integration of these equations we obtain
y
xy = ci and — = C2 .
x
We transform to new variables f and rj:
y
f = xy and rj = —
oc
Formula 8 gives:
d2u n d2u y2 d2u y2 d2u y du
-----= y2---------- 2 — •------ . -I------ *------- (- 2 — •----]
dx2 d£2 x2 d£drj x4 drj2 x3 drj
d2u d2u d2u ‘ 1 d2u
___ __ x2____ L2 ______I____•____.
dy2 dg2 d^drj x2 drj2
Substitution of these values in (9), reduces this equation to canonical
form:
d2u 1 du q '
d£drj ” "2l'~dn =
Reduce the following equations to canonical form:
d2u d2u d2u du du
1. ------ b 2 ---------- 3 ------- V 2------b 6 ----
dx2 dxdy dy2 dx dy
„ vv d2u d2u du du
2 . ------- b 4 -------- b 5 ------- ^--------b 2 ----- = 0 .
dx2 dxdy dy2 dx dy
d2u d2u d2u du „ du
------b — ~b ==
dxdy + ■dy2
3. cl
~dx* dx H dy ■
I IIIC M E T H O D O F C H A R A C T E R I S T I C S 11
d2u d2u . d2u du

4. -t—z------2 cos x ——------- (3 + sin2 x) — ——y ---- = 0.
dx2 dxdy dy2 dy
d2u d2u _ d2u du
2x2— —+ y - — = 0 .
dx2 dxdy dy2 dy
_ d% d2w d% o dw
*• **! * & T - 2yt* x - ^ + rV + **!‘ * a r = °-
d2^ d2w
+ " ^ 2* =
d2U d2u d2u du
8. X* — + 2Xy ------—3y2 — -— 2x------- \-
dxdy y dy2 dx
du
+ 4y------ 1- 16#% = 0.
dy
. / d2u / o. d2u &u

9. [ l + * ) l s i . + V + r t w + * — + y — -0 .
. O d2u . o d2u
10. sm2 x — ---- 2y sin x ----------b y2 — —= 0 .
dx2 y dxdy y dy2 •'
„ d2u d% du
11. — + y — —+ a —- = 0 (a = const.).
dx2 dy2 dy
§ 2. The Method of Characteristics
Find general'solutions of the following equations:

d2u d2u d2u du
12. 2 sin x — COS2 X cos x? 0.
dx2 dxdy dy2 dy
d2u du du
13. x2 —2 xy + x ------ b y — 0.
dxdy ^ dx y dy
d d2u
14.
~dx dy2”'’
12 PROBLEMS
82u du du
15. ( x - y ) = 0.
dxdy dx ^ dy
d2u 82u d2u d2u „ d2u
16. 2xy ——— )- y2 + 2yz + *2^ nr +
dx2 dxdy dy2 dydz dz2
d2u
+ 2zx - o.
dzdx
d2u c)2m d2w
17. = <*11 -T-T- + 2«12 + <*22 (<*H<*22 = <*f2).
dt2 “ dx2 dxdy dy2
<*ii, <*12 and <*22 are positive and constant.
dhi n dhi d*u
18. — - —2 + — = 0.
dxi dx2dy2 dy4
19. Find the regions where the equation
d2u d2u d2u
(1 - x2) 2xy - (1 + y2)
dx2 dxdy 'dy2
du du
— 2 x ------- 2y -----= 0 .
dx y dy
is hyperbolic, parabolic or elliptic and find its general solution.
20. Give necessary and sufficient conditions for the existence of
functional invariant solutions of the following equation with
constant coefficients. Find also its general solution.
d2u d2u
L(u) = a n 2ai 2
dx2 dxdy + a22^ r +
, du du
+ bi —----b 1 ------= 0 (*)
dx dy v9
{6 = a\2 — a n a 22 > 0),
We call a function u a functional invariant solution of (*), if for
every (smooth enough) function F also F(u) is a solution of the
equation.
21. Show that if
011&2 — 2012^1^2 “4“ 022^1 4<5c = 0,
TII K M E T H O D OF C H A R A C T E R I S T I C S 13
then the equation with constant coefficients
L(u) -f cu = 0 (**)
has a general solution of the form:
u(x, y) = e(fcE+mv)/2, |>i(ai* — y) + y>2(a2* — y)];
Where y)\ and \p2 are arbitrary functions, k = #2261 — ^ 12^2,
m = anb 2 — ^ 12^1 and ai, a 2 are the roots of the equation
a n a 2 — 2ai2<x, -j- a 22 = 0 .
If the condition given in this problem is not fulfilled, reduce then
equation (**) to the form
d2v
= cv,
dtjdrj
with
a?i(ai6i — &2)(a2&i — ^2) 4~ 4anC<$
c
16^
f = ai^ — y, 77 = a 2# — y.
22. Show that a general solution of the equation:

d2v
--------- = V
dxdy
has the form:
v{x, y) = / v>i(<)Jo(2*Vy(x — t)dt +

0
+ / V2WJo(2*V*(y — + V(0, 0)Jo(2iy/xy)

0
where and y>2 {t) are arbitrary functions.

23. Show that a general solution of the equation
d2u n du m du ^
dxdy x —y dx x —y dy
14 PKOHLISMS
has the form

flm+n—2V X{x) — Y(y)
u(x, y) =
dxm~1dyn~1 |_ x —y J
where X(x) and Y(y) are arbitrary functions.
24. Find the general solution of the equation
d2U 2 du 3 du 3
------- "7---- -
1------- u = 0.
dxdy x — y dx ' x — —y dy (x — y)2
d2u du du
£ (« ,< * ) = + = 0
(0 < a, /? < 1, a + P # 1)
has the form:
u(x, y) = (y — f <p[x + (y — x )£]£“*(1 — +
o
i
+ f v l x + (y■— — tY~xdt
0
where 9? and y>are arbitrary functions.

d2u n du m du
------------1------------------------------------------------- ---- 0
has the form:
« (* . ? ) = (* - ~ ]
27. Find a general solution of the equation:
d2u d2u du
---------h y ---------h a ----- == 0 ( £ < « < \ ,y < 0).
dx2 y dy2 dy
28. Find propagating waves for the equation:
d2u d2u
a) = x2----- +
dt2 dx2
TI I 1C MI CTHOD <)l* C I I A K A C T K K I S T I C S 15
d2u n d2u ^ du ^ du
b) — -----4x2 — — 2 ------(-2 ---- u = 0
dx2 dt2 dx dt
29. Find a singular solution for each of the equations
d2u d2u 32u
H—i «—b
~W d#2 #y2
d2u d2u d2u d2u

b) ~ W = - M + ~ w + - d * + c u ’
which vanishes on the surface of a characteristic cone in infinity.

d2u d2u
3 — z- = 0 ,
dx2 dxdy dy2
du
Mlv=o = 3*2, = 0.
y=0
31. Calculate the solution of the equation

d2u du du
(1 + * 2) - -- (1
(i -t- ' t ] ------- 1
+ vy2) - xX —----- y - ~ = 0
dx2 dy2 8X dy
with initial conditions.
du
«U=o = yo{x), = <pi{x).
dy y=0
d2u d2u . _ d2u . du
— —4- 2 cos x -----------sin2 x — ----- sin x ----- = 0
dx2 dxdy dy2 dy
du
^\y=BiD.x *Po{pt)>
dy i/=8in x

d2u d2u _ d2u
— ---- 2x y ---------- 3y2 — —= 0
dx2 dxdy dy2
16 PROBLEMS
subject to the initial conditions

du
u\y=i = q>o(x), — - n(*)-
y—i
34. Determine the solution of the equation
d2u d2u d2u \
= a2 (- + ^n r +
dt2 \ dx2 dy2 ~dz2
W)9
which satisfies the initial conditions
«|i=o = <p(r), ^ = y>(r), r = V x2 + y2 + z2>

t=0
where y(r) and ip(r) are given functions for r ^ 0 (spherical symme
try).
d2u 0 - ~ 1du
•y 2 -------------= 0
dy2 7 dx2 2 dx
du
^ly=0 = (po{%). = <p!(x).
dy y =0
36. Show that the equation

d2u d2u 1 du
dx2 iy<)
has a unique solution which satisfies the following conditions
du
U \ y = Q = T( X) ,
dy y=o
where k is a finite constant.
T H E M E T H O D OF C H A R A C T E R I S T I C S 17
satisfying the following initial conditions

du
u\x=y = r{x), (— y)»- = v{x).
dy y=0
d2v
= V,
dxdy
subject to the conditions
du dv
v\y-x — = 0 >l(x), — = a)2(x),
3x y=x dy
(p'(x) = coi(tf) + a)2(x).

d2u d2u d2u
= #11 ^ 0 + 2ai 2 ——----H #22 («11«22 = «?2)>
dt2 J’J’ dx2 ' dxdy dy2
which satisfies the initial conditions

du
u\t=o = f(x> y), = F{x, y).
dt t=o
Find also a solution for the special case

f(x, y) = x2 + y2 and F(x, y) = 0.

d*u dH dht,
~dx* dx2dy2 + - dy4 = o,

du
u\y=0 = r(x), = *(*)>
dy 3/=0
d2u d2u
= nW , = n(x).
dy2 1/-0 dy3 y=o
10 I’ K O H L K M S
41. A homogeneous string of linear density p, which is put under a

large tension, slides over two fixed pulleys with constant velocity v.
The part of the moving string between the pulleys executes trans
versal vibrations. Find the period of these vibrations.
d2u d2u
dt2 ~ dx2 '
with prescribed values on two characteristic curves:
On the segment OA (fig. 1) of the characteristic curve x + t = 0 is
u(x, t) = <p(x) ;
on the segment OB of the characteristic curve t — x = 0 is
u(x, t) = y>(x)
where 9?(0) = v>(0)-
d2u d2u 1 du
dx2 W + (y< h
if the values of u on the segment OB (fig. 2) of the characteristic
curve L±:x — 2 V — y = 0 and on the segment AB of the charac
teristic curve L%:x + 2 V — y = 1 are given by
uix>y) Iz,! = <Pi{x) for 0 < X y)\u = w W for i < ^ < 1,
T l l l t M E T H O D ()!• C H A R A C T E R I S T I C S 1?
Fig. 2
with
9>i(i) = 9>a(i).
82u 82u 1 du ,
y — ir H---------- = 0 (y < 0),
~dx? y By2 2 dy ’
if the values of u on the positive *-axis and the characteristic curve

L \\x — 2 V — y = 0 (fig. 2) are given by
u(x, y)\y=o = <px{x), (x > 0)
«(*. y)\u = n ix )
where 9?i(0) = 92(0).
d2u d2u
with given values of u on the segment OA of the characteristic curve

t — x = 0 (fig. 3) and on the curve L. The curve L starts in the
origin and is contained in the triangular region with sides wich are
the characteristic curves t ± x = 0 and L is such that it has
exactly one intersection point with each characteristic curve
t — x = c.
Discuss in particular the solution if L is a straight line
t — kx = 0 (k > 0).
20 PROBLEMS
<
0 x 0 X
Fig. 3 Fig. 4

d2u d2u
= ~dx2~*
if the values of u and its normal derivatives are known on the

positive x-3.xis, and if also the values of u on the semi-infinite
straight line t — kx = 0 are given, k > 1 (fig. 4):
du
u\t=o = n ( x)> -x r = n ( x) (x > °).
ot (=.0
u \t ~ k x = y>(x) {X > o ) ;
where
<po{0) = y>(0).
Give conditions, such that the solution is smooth in the domain
under consideration.
47. At time t = 0 a gas is contained inside a spherical volume of
radius R, such that there the density is uo, whereas it vanishes
outside this volume. Find the density of the gas in a point M outside
the volume at time t > 0 .
48. A semi-infinite string (x > 0) of linear density p has a tension
p a 2 and is at rest. At time t > 0 the point x = 0 executes small
vibrations A sin cot. Show that the displacement of a point of the
T H E M E T H O D OF C H A R A C T E R I S T I C S 21
string with abscis x > 0 is given by the formula:
„ X
0 for t < — >
a
u(x, t) =
A sin co f,or / > —
x
a*
49. Derive the equation for longitudinal vibrations of a rod and
integrate it, subject to the condition that one end is fixed and the
other end is free.
50. A homgeneous string of length I is fixed at its ends. At time
t = 0 the point x = lj3 is pulled aside over a small distance h and
then released with initial velocity zero. Show that the motion of
the string is described for 0 < t < //3a by the formula
for 0 < x < ------ at,

3
— at\ fo
r I
r------ 1
at < x < ------ b at,
7 3 3
fo r----- 1- at < x < I

3
51. A semi-infinite tube (x ^ 0) filled with an ideal gas has at one
end (x = 0) a freely moving piston of mass 1. At the moment t = 0,
the piston is given an initial verlocity vq by the impact of a hammer.
Describe the process of wave propagation in the gas if the initial
displacements and the initial velocity of the gas are zero.
52. An infinite string having a concentrated mass M at the point
x = 0 is at rest. At time / = 0 the mass M is given the initial
velocity v$. Prove that for t > 0 the vibrating string has the shape
shown in fig. 5 where u\(x, t) is an ingoing wave determined by the
formula
Ul{xt t) = [1 _ for x - at < 0,

2T0
ui(x, t) = 0 for x — at > 0 ,
22 PROBLEMS
Fig. 5
and U2 (x, t) is an outgoing wave determined by the formula
«*(*, f) = for * + at > 0,

2T o
w2(#, £) = 0 for # + atf < 0
To is the tension of the string.
53. A rod of length I moving with velocity v\ overtakes an identical
rod moving in the same direction with velocity < v±. Determine
the distribution of the velocities of the longitudinal waves in the
two rods. It is assumed that the impact is totally inelastic.
54. A mass M with velocity v strikes the upper free end (x = I) of
a rod, the lower end of which (x = 0) is kept fixed. Find the velocity
of the longitudinal displacement of that cross-section, which has
at the moment t = 4l/a the abscis x = l\ 2 .
d2u d2u
---------------- = u,
dt2 dx2
du
«l*-0 = <Po{%)> -£■ = cpi(x) (0 < ^ 21)
t=o
and the boundary-conditions
u \x=2l = h { t ) [t > 0 ).
S E P A R A T I O N OF V A R I A B L E S 23
56. Determine the solution of the system of equations
du
satisfying the conditions.

u\z=0 = 0 , V\y=Q = 1.
57. Determine the solution of the system of the equations
du dv dv a du
dt ^ dx dt p dx
u\t=o = 0 , v\t=o = 0 (0 < x < I)
u\x=o = 0 , v\x=i = a(£)(l + pu) — 1 {t > 0)
where a, j8 and p are constant and a(t) is a given function.
§ 3. Separation of variables
We look for the solution of the equation

. . d2u d f / v "I
( 1)
which satisfies the boundary conditions
ccu(0, t ) + 0 = 0,
ox
( 2)
„ % o #«(/, t)
yu(l, t) -j- ^ — = 0

du(x, 0)
u(x, 0 ) = <p0(x), = ©i (x\ (0 ^ x (3)
dt
24 PROBLEMS
The functions g(x)f p(x) and q(x) are sufficiently smooth and
satisfy the conditions: p(x) > 0 , > 0 and q(x) ^ 0 .
Suppose u(x, t) is a nontrivial solution of (1), which satisfies the
boundary conditions (2) and can be represented in the form of a
product
u(x, t) = T{t)X{x).
Substituting (4) into ( 1) we obtain
Wx W _ r W- 1 [ * W - q(x)T(t)X(x)
or
d r dX~[
= - A,
p(x)X(x) T(t)
where Ais a constant.
It follows that this is equivalent to
[ #(*> - S r ] + = °- (5>
T"(t) + XT{t) = 0. (6)
Since T(t) does not vanish identically the function (4) satisfies
the boundary conditions (2) if and only if u(x, t) satisfies
aX(0) + PX'(0) = 0 ,
(7)
yX{l) + 8X'{1) = 0 V]
Thus we arrive for the evaluation of the function X{x) at the
following boundary value problem for an ordinary differential
equation: Find those values A, called eigenvalues, for which non
trivial solutions of (5) exist, which satisfy the boundary con
ditions (7) and find also the non-trivial solutions, called *'eigen
functions'' associated with these.
The following theorems can be proven:
1. There exist an infinite number of eigenvalues Ai < A2 < . . .
< l n < . . . , with corresponding eigenfunctions X \(x)y Xz(x) . ..
2. For q(x) ^ 0 all the eigenvalues are positive.
3. Eigenfunctions associated with different eigenvalues are ortho

gonal and can be normalized with weight p(x).
0 for m n,
f p(x)Xn(x)Xm(x)dx (8)
1 for m = n.
4. (Theorem of Steklov). Every function f(x), which satisfies the
boundary conditions (7) and which has a continuous first order
and a piece-wise continuous second order derivative, can be ex
panded in an absolutely and uniformly convergent series with
respect to the eigenfunctions X n(x).
oo I
fix) — S cnX n(x), cn = fp (x )X n(x)f(x)dx.
71 = 1 0
Furthermore equation (6) has a solution for every eigenvalue Xn-

The general solution of (6) for A = Xn, which we shall denote by
T n(t) has the form:
T n(t) = A n cos VXnt + B n sin VXnt.
Where A n and B n are arbitrary constants.
We get an infinite set of solutions of equation (1) of the form:
t) = T n(t)Xn(x) = {An cos V%it + B n sin V x nt)X n(x).
In order to satisfy the initial conditions (3) we form the series
oo __ __
u(x, t) = 2 (An cos VXnt + B n sin VXnt)Xn(x). (9)
n= 1
If this series and the series of the first order derivatives with
respect to x and t converge uniformly, then its sum satisfies equation
(1) and the boundary conditions (2).
The initial conditions (3) on u(xf t) become
oo
u(x, 0) = 2 A n X n{x) = fo(x), (10)
71 = 1
= i VXnBnX»(x) = n(x). ( 11)

vt 71=1
If the series (10) and ( 11) converge uniformly we can calculate the
26 PROBLEMS
coefficients A n and B n by multiplying both sides of equations ( 10)

and ( 11) by p(x).X n(x) and by integrating with respect to x from
0 to 1.
With the aid of (8) we get
An =fp(x)<p0(x)Xn(x)dx,
0
0
Substitution of these values of A n and B n in the series (9) gives
the solution of our problem. (For more details see I. G. Petrowski,
Lectures on partial differential equations).
1. Equations of hyperbolic type
58. A homogeneous string is fixed at the ends x = 0 and x = I

and has at time t = 0 the form
where h is positive and sufficiently small. The initial velocities are

zero. Investigate the free vibrations of the string.
59. A homogeneous string with fixed ends x = 0 and x = I has at
time t = 0 the form of a parabola symmetric with respect to the
normal in the point x = Z/2 . Find the deflection of the string from
the equilibrium position if the initial velocities are zero.
60. A homogeneous string is fixed at x = 0 and x = Z. The point
x = c of the string is displaced over a small distance h and released
at time t = 0. The initial velocities are zero. Find the deflection
u{xt t) of the string for t > 0 .
61. A homogeneous string spanned between two fixed points is in
equilibrium. At time t = 0, it is excited by the impact of a hammer
at the point x = c, so that it obtains at this point a constant
velocity vq. Find the deflection u(x, t) of the string at time t > 0.
Investigate two cases:

a) The string is exited with the initial velocity
71
w0 for \x — c\ <
du{x, 0)
dt
0
This corresponds to the impact of a plane rigid hammer with width

nfh at the point x = c.
b) The string is excited with the initial velocity
71
Vo cos h(x — c) for \x — c\ < ——,
du(x, 0)
dt
0 fori* —
This case corresponds to the impact of a convex rigid hammer

with width n/h at the point x = lj 2.
62. One end (x = 0) of a string of length I is fixed, while the other
end is attached to a ring, the mass of which can be neglected.
The ring, which can move along a smooth rod, is displaced over
a small distance from the equilibrium position and is released at
timet t = 0. Describe the vibrations of the string for t > 0.
63. A tube, one end of which is open, moves in a direction parallel
to its axis with constant velocity Vo and stops instantaneously at
time t = 0 . Find the vibrations of the gas in the tube at a distance
x of the closed end.
64. Integrate the equation for small longitudinal vibrations of a
cylindrical rod, one end of which is rigidly fixed, while the other
end is free.
65. One end of a rod is rigidly fixed and a force Q is applied to the
other end. Find the longitudinal vibrations of the rod when the
force Q instantaneously disappears at time t = 0 .
66. Investigate the free longitudinal vibrations of a homogeneous
rod of length I with free ends.
28 PROBLEMS
67. A force is applied to the ends of a homogeneous rod of lengtht I,

such that it is compressed to a lengtht 2/(1 — e). At time t — 0
the force disappears. Show that the displacement u(x, t) of the
cross-section with abscis x is given by the formula
oo ( - 1)*+1 (2n + 1)nx (2ft -f- 1)jcut
u{x, t) S sin cos
n= 0 (2n + l )2 21 21
where x = 0 corresponds with the midpoint of the rod and where

a is the velocity of the longitudinal wave.
68. Torsional vibrations of a rod are vibrations where the cross-
sections are given small angular displacements in planes perpend
icular to the axis. Derive the differential equation for small
torsional vibrations of a homogeneous cylindrical rod and integrate
this equation subject to the boundary condition that one end of
the rod is rigidly fixed and that at the other end a disk is attached.
69. A homogeneous rod has lengtht I and cross-sectional area o'.
One end (x = 0) is rigidly fixed and at the other end a concentrated
mass M is attached. The rod is stretched by a force Q. Find the
longitudinal vibrations if the force disappears instantaneously.
70. The ends of a homogeneous rod of lengtht I are constrained to
move on two straight lines parallel to the w-axis by means of
elastical forces. Investigate the free transversal vibrations of the
rod when the initial displacements and velocities of all of its points
are given.
71. Investigate the free vibrations of a string with fixed ends and
which vibrates in the midpoint, if the resistance is proportional
to the velocity.
72. Calculate the forced transversal vibrations of a string with
one fixed end (x = 0), if at the end x = I a harmonic force is
applied, such that it moves according to the law u(l, t) = A sin cot.
73. A rod of lengtht I with one fixed end (x = 0) is in equilibrium.
At time / = 0 a force Q per unit cross-section directed along the
axis of the rod is applied to the other free end. Find the longitudinal
vibrations at time / > 0 .
74. Find the longitudiual vibrations of a homogeneous cylindrical

rod of lenght I if the end x = 0 of the rod is rigidly fixed and
a force F = A sin cot is applied to the other end such that its
direction coincides with the axis of the rod.
75. Investigate the forced vibrations of an inhomogeneous rod
which consists of two homogeneous rods, joined together at the
point x = c, if one end of the rod is rigidly fixed and the other end
moves according to the law u(l, t) = A sin cot.
76. A vertical rod is clamped in such a way that the displacement
of each of its points is equal to zero. At time t = 0 the constraining
forces are removed but the upper end is kept fixed. Find the forced
vibrations of the rod.
77. A homogeneous string of lenght I with fixed ends vibrates under
the influence of an external harmonic force F(x, t) = pf(x)- sin cot
(per unit length). Find the deflection u(xf t) for arbitrary initial
conditions. Investigate the possibility of resonance and find the
solution in that case.
78. Solve the boundary value problem for the equation
d2u d2u
— ir
dt2 = a2— r + b ©in x
dx2
with initial and boundary conditions
du(x, 0)
u(0 , t) = u(l, t) = 0 ; u(x, 0) = 0 ;
dt
d2u d2u
+ bx(x — I)
dx2
with zero initial conditions and boundary conditions
u(0, t) = 0 , w(Z, t) = 0 .
d2u d2u __ du
- a 2- 2h ------- b2u = 0
d2x dt2 dt
30 PROBLEMS
with zero initial conditions and boundary conditions

u{0, t) = A, u(l, t) = 0.
81. A homogeneous heavy string of lenght I, which is fixed at the
point x = I of the vertical axis, rotates with a constant angular
verlocity co about this axis. Derive the equation for small vibrations
of the string and show that the deviation from the equilibrium
position is given by the formula:
u(x, t) = 2 (A* cos ah t + B k sin akkt)J 0 ( pk

k=1 \
with
i
0
where pi, . . . are the positive zeros of the Besselfunction Jo(#)-
82. Find the steady-state vibrations of a homogeneous circular
membrane of radius R fixed around the edge, if the initial deflection
is a paraboloid of revolution and the initial velocities equal zero.
83. Investigate the free radial vibrations of a membrane fixed
around the edge and vibrating in the center, if the restistance is
proportional to the velocity.
84. A heavy homogeneous string of lenght I fixed at the upper end
x = I is displaced from its equilibrium position and released with
an initial velocity equal to zero. Show that the equation for the
small vibrations of the string under the influence of the gravitational
force is given by
d ( d u \ _ \ d*u
dx \ dx ) a2 dt2
where a =
Integrate this equation subject to the conditions given in the

problem.
85. Given a very long tube of radius R (which may be considered
to be infinitely long at both ends). Investigate the small transverse
vibrations of a homogeneous gas with which the tube is filled.
86. A flexible homogeneous string rotates with constant angular
velocity co about a vertical axis. At time t = 0 the relative equi
librium position is disturbed and its points may obtain an initial
velocity. Find the deflection u(x, t) of the string at time t > 0.
87. A homogeneous circular membrane of radius R fixed around
the edge is in equilibrium, while a tension T is present. At time
t = 0 a constant pressure P is applied to one side of the membrane.
Show that the deflection of a point of the membrane is given by
the formula:
Jo
(Hr)
u(r,t) = — f i (^ 2 — r 2) _ 2i ?2 J
1 L k=l
COS
R J‘
where p i, ^ 2, . are the positive zeros ofJo(*)«
88. A homogeneous circular membrane of radius R fixed around
the edge is in equilibrium while a tension T is present. At time
t = 0 a uniformly distributed pressure / = P 0 sin a>t is applied to
one side of the membrane. Find the radial vibrations of the mem
brane.
89. A square homogeneous membrane fixed around the edge
started vibrating without initial velocities and had the initial form
Axy(b — x)(b — y). Find the free vibrations of this membrane.
90. Find the free vibrations of a homogeneous membrane fixed
around the edge, which are produced by a blow near the center of
the membrane, such that
lim f f vodxdy = A
8—>0 Oi
is, where vq is the initial velocity and A a constant.
32 PROBLEMS
91. Find a solution for the wave equation

1 d2u
Au — = 0
v2
in the domain
t > 0 , 0 <. a ^ r ^ b, 0 ^ 99 ^ 2jt, 0 ^ 0 ^ a < tt;
w|f=a = w|r=& = /M'\q=(x = 0
*l*-o = 9>(r, 0)eim\ — = 9i(r, 0)e

t=0
where m is a positive integer.
92. Investigate by means of the method of separation of variables
the transversal vibrations of a doubly sustained bar of lenght I.
93. An e.m.f. E is applied to an electric distortion free conductor
(2?/2 = G/c) of lenght I. The end x = I is insulated and at time t — 0
the end x = 0 is earthed. Show that the potential in a point x is
given by:
1 . 2w "I- 1 2n -j- 1
sin — —----nx •cos-----—— nat
n=0 (2w + 1) 21 21
where
R 1
b «2
T ’ T c’
94. The end x = I of a conductor of lenght I and negligibly small
loss (G = 0) is insulated. The initial current and voltage equal zero.
An e.m.f. E is applied at the end x = 0 at time t = 0.
Find the current and voltage at time t > 0.
S E P A R A T I O N OF V A R IA B L E S 33
2. Equations of parabolic type

du „ d2w
— = a2------, 0 < x < I, t > 0 ,
dt dx* ’
which satisfies the conditions
u(0, t) = u(l, t) = 0, t > 0,
for 0 < x < — ,

z
u(x, 0) =
I —x for — < x < L
2
96. Find the temperature distribution at time t > 0 of a thin

homogeneous rod of lenght I, thermally insulated, if its initial
temperature distribution is given by
cx(l — x)
/(*) = Z2
and if its ends are maintained at temperature zero.

97. The temperature distribution of a sphere of radius R and with
center at the origin is a function only of the distance r from the
origin. At the surface a temperature zero is measured at all times
of interest. Find the distribution of the temperature inside the
sphere for t > 0 .
98. Given a thin homogeneous rod of lenght I, whose sides are
thermally isolated. The initial temperature is known. At the end
x = 0 a temperature zero is maintained, while at the other end
x = I an exchange of heat takes places with the surroundings at
temperature zero. Find the temperature distribution at time t > 0.
99. Solve problem 98 assuming that an exchange of heat takes
place at both ends of the rod.
100. Solve problem 97 if it is assumed that the sphere is cooled in
a medium at temperature zero.
34 PROBLEMS
101. A homogeneous sphere of radius R has a constant temperature

uo at time t = 0 and is surrounded by a spherical shell of thickness
R, made of the same material and whose temperature vanishes.
Find the radial distribution of temperature in the sphere.
102. The initial temperature distribution of a rod, thermally
isolated along the surface, is given by u{x, 0) = 9o(x). Find the
temperature of the rod if also one of its ends is thermally insulated
and if the temperature of the other end is maintained equal to uo.
103. The initial temperature of a thin homogeneous rod of lenght I
is equal to zero. The end x = 0 is maintained at zero temperature,
while the temperature at the other end x = 0 increases linearly,
such that u(0, t) = At, where A is a positive constant. Find the
distribution of the temperature of the rod.
104. Solve problem 103 assuming that the temperature at the end
x = 0 changes according to the law v(0, t) = A sin cot,
105. Find a solution for the equation
du n d2u
11 =“ -^ ( » < * < ' . < > 0),
which satisfies the initial condition

u(x, 0) = 0
. du
«U=o = A(\ — e at), — + Hu\x=i = 0
OX
where A, H > 0 and a > 0 are constant.

106. A homogeneous sphere of radius R has at time t = 0 zero
temperature and is surrounded by a medium of the same tempera
ture. At time t = 0 the temperature of this medium starts to
increase linearly according to u = bt, where b > 0 is constant.
The exchange of heat takes place obeying Newton's law. The
heating is uniform (spherical symmetry). Find the distribution of
temperature at time t > 0 inside the sphere as a function of r,
the distance to the origin.
107. An infinite plane layer of thickness 2R with initial temp

erature zero is uniformly heated on both sides by a constant flow
of heat q. Compute for an arbitrary time t > 0 the temperature
distribution as a function of the thickness.
108. The initial temperature distribution of a thin homogeneous
rod of lenght I is equal to f(x). At the end x = 0 a constant tempera
ture uo is maintained and at the other end x = I a constant tempera
ture î). At the surface of the rod heat is transfered by radi
ation to the environment, which is at zero temperature. Find the
distribution of the temperature in the rod for time t > 0 .
109. A thin homogeneous rod of lenght I has an initial temperature
zero. The end x = 0 is maintained at a constant temperature uq.
At the end x = I as well as at the surface heat is transfered by
radiation to a medium with temperature zero. Find the temperature
of the rod at time t > 0 .
110. When the equation for the conduction of heat in a homo
geneous ring with a very small cross-section is constructed, one can
assume that an exchange of heat with the environment takes place
at the surface.
Solve the equation if the initial temperature is known.
111. Find the temperature distribution of a conductor of lenght I,
through which a constant electric current flows, if at the ends
of the conductor the temperature is maintained equal to uo and u\
respectively. At the surface an exchange of heat takes place with
the environment at zero temperature. The initial temperature of
the conductor is 0 °.
112. Investigate the radial conduction of heat in an infinitely long
circular cylinder of radius R, if the surface is maintained at a
constant temperature u$. The initial temperature of the cylinder is
zero.
113. Find the temperature distribution of an infinitely long
circular cylinder of radius R if the initial temperature is a function
of r only: f(r). At the surface of the cylinder heat is radiated to the
surrounding medium which has the temperature 0°.
36 PROBLEMS
0m m g l X
Fig. 6
114. A thin rod of lenght I is obtained by joining together two rods,

made of different materials (fig. 6). At the end x = 0 of the rod
the temperature is maintained constant and equal to while
the other end is at zero temperature. The initial temperature of
both rods equals zero. Find the temperature distribution at time
t > 0.
115. The initial temperature of a thin rectangular plate with
sides I and m is known. It is observed that at all times t > 0 the
sides x = 0 and x = I are at zero temperature, while the other
sides have a given distribution of the temperature
u\y=Q = <po(*), u \y= m = 0 < x < I.
Determine the temperature of an arbitrary point of the plate at
time t > 0 .
116. The temperature distribution of a homogeneous circular
cylinder of radius R and lenght I is f(x, r). At time t = 0 the en
vironment is at zero temperature. The exchange of heat at the
surface with the surrounding medium obeys Newton's law. Find
the distribution of the temperature inside the cylinder for arbitrary
time t > 0 .
d2u du
dx2 = iU - *2) ~dt9
which satisfies
u(0, t) = 0, — = 0, u(x, 0) = 1.
CX x=l
118. Show that the solution of the equation

du d2u
dt dx2
satisfying the boundary conditions

u(0, t) = P = const, u(l, t) = 0 (t > 0)
u(x, 0) = 0 (0 < x < l)
can be expressed in the closed form:
, x P(l - x)
u(x, t) — — h
P T 1 T sin (;
(x - IW ir e_iH _
+
2ni J t |_ si
sin ly /ii
sin (x — l)V — it
ir
sin i V — ir
8u du

u{0, t) = 0 ,
u(l, t) = 0 (t > 0)
w|f=0 = /(*) (0
120. Find the temperature of an semi-infinite rod at times t > 0,
if the initial temperature is given and if at the end x = 0 the
temperature is maintained equal to zero.
121. The initial temperature of a semi-infinite rod, thermally
insulated along the surface, is known. At the end of the rod an
exchange of heat takes place with the environment at zero temper
ature. Find the temperature distribution of the rod as a function
of the length of the rod for arbitrary times t > 0 .
122. An infinite rod is obtained by joining together a semi-infinite
38 PROBLEMS
Fig. 7
rod at zero temperature and a semi infinite rod at temperature u$.

Find the temperature distribution in the two rods at time t > 0.
3. Equations of elliptic type
123. Find the solution of Laplace's equation

d2u d2u
------- 1------- = 0
dx2 dy2
in the rectangle D: 0 < # < a, 0 < y < 6, which satisfies at the
boundaries
u\x=0 = <po(y). u\x=a = <P1(y). o < y < b,
*|»-o = yo{x), u\y=b = y>i(x), 0 < * < a
where
9o{0) = v>o(0), <po(b) = fi[0), <po(0) = y>i(a), <pi(b) = fi(a).
Solve this problem in the special case:
7tX
(po{y) = Ay(b — y), y>0{x) = B sin
a > <pi(y) = v>iix) = o.
124. Find the solution of Laplace's equation in the semi-infinite
strip 0 < x 0 < y < oo, which satisfies the boundary con
ditions
u(0 , y) = 0, u(a, y) = 0, u(x, 0) = A
u(x, oo) = 0 (0 < x < a).

125. Find the function, harmonic inside the ring 1 < r < 2 and
_r i t t t t H ± t t J t t t - l l t t t l l
A X
Fig. 8

U\r=l = 0, W|r=2 = Ay.
126. Solve the Dirichlet problem for Laplace's equation in the ring
R i < r < i?2-
d2u d2u
------- 1------- = 0
dx2 dy2
Investigate the case where R± tends to zero.
127. Find a solution for Laplace's equation in the ring R i < r < i?2,
du
~dr = tm , «l r - A = W ) -
r= R i
128. Find the solution of Laplace’s equation in the rectangle

D: 0 ^ x ^ a, 0 y ^ 6, satisfying the boundary conditions
u(0, y) = A, u(a, y) = Ay,
du du
= 0.
dy dy y=b
129. Find the function, harmonic inside the circular section
0 ) = A<p.
130. Determine the function, harmonic inside a sphere of radius
1 and which assumes the values <p(0) = cos2 6 on the sphere.
131. The sides AC and BC of a rectangular plate OACB (fig. 8)
40 PROBLEMS
are thermally insulated. Through the side OA a uniform constant

flow of heat into the rectangle takes place and through the side
OB a uniform constant flow of heat into the environment. Find
then the stationary temperature distribution of the plate.
132. Find a solution u of Poisson's equation
d2u ( d2u
2
in the rectangle D : 0 < * < a, — 6/2 < y < + 6/2, vanishing

on the boundary.
133. Find a solution of Poisson's equation
d2u d2u
4
dx2 'ey2
in a circle of radius a with center at the origin, if the solution
satisfies:
wlr=a — 0*
134. Find a solution of Poisson's equation
d2u 02U
= —xy
~dx2 'ey2
in a circle of radius a, and vanishing on the boundary.
U\r=a = 0.
135. Solve the boundary-value problem for Poisson's equation

d2u 82u
\2(x2 *—y2)
dx2 dy2
in the ring a < r < b and with boundary conditions
■ . du
^|r=o — 0 , —— —0 .
dr r=b
136. The lateral sides and the bottom of a straight circular cylinder
of height I and radius R are at zero temperature. The temperature
distribution of the upper side is a function of r alone. Find the

stationary temperature distribution inside the cylinder.
137. The lateral sides of a straight circular cylinder of height h
and radius R are thermally insulated. The temperature of the
bottom equals zero and the distribution of the temperature of the
upper side is a function of r alone. Find the stationary temperature
distribution inside the cylinder.
138. Solve problem 136, assuming that the bottom of the cylinder
is cooled in air at zero temperature.
139. The lower and the upper side of a straight circular cylinder of
radius R and height h are at temperature zero. The temperature of
the lateral side is a known function of z. Find the stationary temper
ature distribution inside the cylinder.
140. Solve problem 139, assuming that the bottom of the cylinder
is thermally insulated.
141. The bottom of a straight circular cylinder of radius R and
height H is at temperature wo- The lateral and upper sides of the
cylinder are cooled freely in air at temperature zero. Find the
stationary temperature distribution inside the cylinder.
142. Find the temperature distribution in a semi-shpere if the
temperature of the bottom is equal to zero and the surface of the
semi-sphere is at temperature u$.
143. Solve the boundary-value problem for the equation
Av + k2v = 0
in a sphere of radius R , if the boundary-conditions are
V\r-R = f(0, <p).
Av + k2v = 0
in the domain D: 0 < a < r < 6, 0 < < 2n, 0 < 6 < a < n,
which satisfies the boundary condition
v\r=a = v\r=b = 0 , v\e=a = f(r)eim<p9
where m is a positive integer.
Part II
SOLUTIONS AND HINTS
d2U 8u
1.
+ 0: l = *+ ” = 3* ' - y -
d2u d2u du
i = *•
~W + W + ~ ^ = ° ; * = 2 x ~ y> r‘
d2u ^ du du
3. - w - + (« + ® - t f + p - ^ + cu = 0’ * = x + y, r) = y.
82u f /
V — du \
4. +
32
\a F “ a^) = 0:
£ = 2x + sin x + y, rj = 2x — sinx — y
S2w S2w 1 du 1 du
5. - ^ + — + 0;
d£2 ' c)»?2 £ — r/ d£ 2t) dr)
I = a;2 — y2, ?; = x2.
d2u 2£ du
y-
W ~ V ^ f ~ 0: { = y s ,n *’
d2w d2w 1 du
I y* (y > o);
~ ss* + W + * i ' ~ t y ~ '
d2u 1 f du du\
dgdrj 6 (| — rj) \ 0{ ^ = * - i ( - y)*.
= * + f ( - y)# (y < o).
1 du I du #3
8. = *y, *7 = — .
d£drj 4rj d£ ^ dr) ^ ^ y
d2u d2u
9■ ~ W + ^ ) i" = 0;
f = In (x + V l + x2; rj = In (y + V \ + y2).
44 S O L U T I O N S AND H I N T S
. d2u 2f du x
I0- V - — p + j r i f = 0: t = v = y-
s»\
d£8y S -r i\d $ to ,) y’
r) = x + 2 V — y (y < 0);
d2w d2w 2a — 1 du
-isr+ V -+ - ^ — ^ = a i - * . v - 2 y / y < y > o).
12. y) = <p(# + y — co s #) + — y + cos a:).
13. w(#, y) = 9>(#y) In y + vK*y)-
it + ^ +
X
Hint: Introduce a new function v, defined by v = x-u.
15. u(x, y) = -----X ^ L t where X(x) and Y(y) are arbitrary

x —y
functions.
H int: Introduce a new function v :
v = (x — y)u.
y z\ ( y z\
are arbitrary functions. (—, — J + W — * — ); where q> and ip

X X) \x X)
Hint: Introduce new independent variables f, rj and | defined by

v z
f = — , rj = C = Z — y.
X X
17. u(x, y, t) = <p(x + V a n t, y + Vazri) +

+ y)(x — V an t, y — V amt),
where q> and ip are arbitrary functions.
18. u(x, y) = (x — y)fi(x + y) + (x + y)f2(x — y) +
+ h(% - y ) + U{% + y)>
where f\, fz, and are arbitrary functions.
S O L U T I O N S AND H I N T S 45
19. b2 — ac = 1 — x2 + y2.
For 1 — x2 + y2 > 0 the equation is of hyperbolic type, for
1 — x2 + y2 < 0 of elliptic type. On the curve x2 — y2 = 1 the
equation is of parabolic type.
/ y + V \ — x2 + y2 V 1 — x2 + y2
u(x, y) = (p
v 1+*
H int: Introduce new variables (z, t) by t2 = 1 —- x2, y = zt to
integrate the equations of the characteristic curves
(xy ± V 1 — x2 + y2)dx + (1 — x2)dy = 0 .
20. If b± = &2 = 0 , the equation L(w) = 0 has two functional-
invariant solutions and its general solution is
u{x, y) = y)i(<xix — y) + v>2(a2* — y),
where xp\ and y)%are arbitrary functions and a\ and a% solutions of
the equation
a\\ofl — 2î2a -f- a 22 = 0 .
If b\ ^ 0, 62 7^ 0 and ai = 62/ 6i the equation L(w) = 0 has only
one functional invariant solution the general form of which is given
by
u (x >y) — e[au(a2i,1“ (,a)(aiX-1/)1/4a — y) + 9>2(ai* — y),
where cp\ and <p2 are arbitrary functions. For the case that the
equation L(u) = 0 has non-constant coefficients see the paper of
N. P. Erugin .1
21. Hint: Transform the equation L(u) -f Cu = 0 to the canonical
form and try a solution of the form u = v-w. See also the paper of
N. P. Erugin .1
22. Hint: Apply the method of successive approximations. See
also the paper of N. P. Erugin .1
1 (N. P. Erugin, Functional-invariant solutions of a partial differential

equation of second order in two independent variables. Scientific Papers of
the Leningrad State University. Mathematical Series Volume 16, 1949).
23. H int: Differentiate the equation

82z dz 8z
( * - y ) dxdy 8x 8y
(m — 1) times with respect to x and (n — 1) times with respect to y.
24.
x —y dx [_ x —y J
Hint: Introduce a function v by the substitution
u = v(x — y)-1.
25. The equation E(a, P) = 0 has special solutions of the form
(a — x)~a(y — a)~Py where a is constant. Also
v
u(x, y) = f <p{z){z — x)-<*(y ~ z)~0dz,
X
where cp(z) is an arbitrary function, is a solution of the equation

E(a, p) = 0 .
If Z(a, P) is a solution of the equation E(a, /?) = 0 then Z(a, /?}
satisfies
(y - a). (*>
v
The function f y>(z)(z — where ^>(2) is an arbi-
X
trary function, is a solution of the equation 2t(l — /?, 1 — a) = 0 ,

and by (*) we get for the equation E(oc, P) = 0
y
( y — x ) 1- * - ^ f y ) ( z ) ( z — x y - ^ y — z y ^ d z .
The general solution of the equation E(a, P) = 0 is given by

y
u(x, y) = f y>{z)(z — x)-*(y — z)-$dz +
X
y
+ (y — ip(z)(z — x)^~1(y — z y ^ d z .
X
After the substitution z = x{\ — t) + yt, we find the required

solution of the equation E(ac, ft) = 0.
S O L U T I O N S A ND H I N T S 47
26. H int: Substitution of a = a' + w, + m in the formula

(*) of problem 25 and investigation of the identity
flm+n
Z(a' + m, ft' + n) = Z(a, /S'),
8xm8yn
gives
8m+^Z(oc', /S')
(x - i - p ’- n , \- c c '- m ) =
8xm8yn
If the formula (*) is used again, the result will be
(x — — p _ n> 1 — a' — m) =
_ d^+n T Z{ 1 — P, 1 — a') "I
_ 0*™0y» |_ (* _ y p + P -1 J ‘
If 1 — /S', 1 — a', n and m are substituted for a , /S', m and n re

spectively, this becomes Z(a! — m, p — n) =
0m+» r i
m + n + 1 —a '—/0
= (* - y) 8xn8ym L (* - J‘
For a' = |S' = 0 we get
Y(y) j
Z ( — m , — fl) = (X — y )i» + n + l
dxndy'
27. «(*, y) = — y)i-«f& [x - 2 V - y(l - 2f)]<*“a X

0
X (1 - t)k- adt + / f [ x - 2 V ^ y ( l - 20]f‘- , (l -

(y < 0)
where 0 and ip are arbitrary functions.
Hint: See problems 11 and 25.
28. a) t) = v V F ^ ln x — t);
b) u(x, t) = e~xF 2 (x2 — £),
where F i and F 2 are arbitrary functions.
H int: Assume that the solution has the form
u(x, t) = 0(x)F[o)(x) — t\.
48 S O L U T I O N S A ND H I N T S
©ofVcP
29. a) u(x y, t) =
with
p = V (t — r )2 — {x — i)2 — (y — rj)2 ;
^ / * Jo(V - Cp) , V - CJ'o(V - Cp) ,

b) «(*, y, z, t) = -------- 1----------------------------In p,
with
p = V{t — t)2 - ( x - |)2 - (y - rj)2 - (z - £)2.
H int: Find a solution only depending on p.
30. y) = 3#2 + y2.
Hint: The solution is a special case of the general solution
u(x, y) = (p{x + y) + — y)
of the given equation.
31. u(x, y) =
with
x + V 1 + x2
a = (x + V l + x2)(y + V \ + y2),
y + V 1 + y2
<po(x — sin # + y) + <po(* + sin x — y)
32. u(x, y) = +
a:—sin x + y
+ \ f (pi{z)dz.
x + s in x —y
33. u(x, y) = l(po{x^y) + +

. ------- x/ v xj y
+ x9V f <po{x)x~!idx — \^ /x 2y f <pi(x)x~Vidx.
a 3
xVv xVv
(r — at)(p(r — at) + {r + at)q>(r + at

o4. u \ r , t) = -------------------------- \-
2r
r+ a t
+ — J r —at
py>(p)dP.
Hint: Introduce spherical coordinates. Obviously the solution is

only a function of the radius and time. Therefore the wave equation
reduces to
d2u ( d2u 2 du\
= a \d r* + ~r ~dr)
The general solution of this equation is
, Oi (r — at) + 02(r + at)
My, t) — ,
T
where 0\ and 02 are arbitrary functions.
35. u(x, y) =
i
\/n y
j <Pi[% + y2{t — *(i — t) i dt +
m m
1
+ r m n i) f n [x + yH t ~ *)]r*(1 “
with
r(s) = f e-Bxt-idx for s > 0 .
o
Hint: Reduce the equation to canonical form and use the general
solution of problem 25 for
a = J and /? = f .
__ . t ( x — 2 V — y) + t(x + 2 V — y)
36. u(x, y) = ---------------------- (y < 0).
H int: The solution is a special case of the general solution

u(x, y) = Oi(x — 2 V — y) + 02(* + 2 V — y)
of the given equation.
37. u(x, y) =
= - 2r(2^ (| l ~ ) y)1"a J ’ [ * - 2 \ / ~— y ( l - 20]<»- X

0
1
X (1 - ^ ~ ‘j f t[* - 2 V ^ ( 1 - 2QF"* X
™(* — t) J
X (1 - t)a~*dt.
Hint: See problem 27.
38. v(x, y) = fy>i(t)F(y(x — t))dt +

0
+ fn (t)F {x (y — t)) dt + 9>(0).F(*;y),
o
with
ViW — V>2(x) =
X
= - ^ j M r) - <0 2 ( t ) ] F ( t ( t - x))dr, F(z) = J0(2»V*).

0
ipi(x) + y>2 {x) =
X
= — [?(*) - * J
0
y(r)F (r(r - *))*■].
H int: Use the general solution of problem 22. See also the paper ol
N. P. Eurugin .1
39. u{x, y, t) = f(x — V a n t, y — V a ^t) +
x-t- ^ ant
+ 2^ /— J [V a u fx(x, y) + V a 22fy{x, y) + F(x, y)\dx.

x —*Jant
1 See footnote for problem 20.

Put
l/«22 °1
y = rV —
an x —
v 7an •
—
H int: See problem 17.

u(x>y> *) = x 2 + y 2 + ian + ^22)^-
40. u(x, y) = 4 [t (x + y) + r(x — y)] — 2y[r'(x + y) —
x+y
— t '( x — y)] — 2y(v{x + y) + v(x — y)] + 6 J v(t)dt +
x —y
x+y x+y
+ 2y f vi(t)dt — J [(x —■t)2 — y2]v2 (t)dt-
x —y x —y

2al
41. T =
a2 — v2 ’
with a = j / — and where I is the distance between the pulleys.
42. u(x, t)=<p + * ( ~ y ~ ) “ ?(°) •
H int: The solution can be derived from the general solution

u(x, t) = 6\(x — t) + Q%(x + t).
( x + 2V - y \ f x - 2 V - y + l \
43. u(x, y) = <p1 1------------------- 1+ 9)2! ----------- ^------------ ) _
-
Hint: The solution is a special case of the general solution

u{x, y) = Oi(x — 2 V — y) + 0^{x + 2 V — y) (y < 0).
44. u(x, y) = <pi{x — 2V — y) — — V — y^ +
+ n ( ^ + V' —y^.
H int: See the hint of problem 43.

45. Solution:
„(*, «>= , ( i + i ) _ , ■»] +
+ y>(fi(x — *))>
with z = x — f(x) : and therefore x =
Special case:
Hint: Integrate the given equation subject to the conditions:

u(x, t) = cp(x) on the characteristic curve x — t = 0 ;
u(x, t) = yj(x) on the curve L, with t = f(x), with <p(0) = y>(0).
46. The solution
x-\-t
, ,x 9o{x — t) 4- <p0(x + 0 ,. , , f
Ui(x, t) = -------- —
-----------h$ J <pi{z) dz
X—t
satisfies the initial conditions. Its values on the characteristic

curve x — t = 0 are
2x
9>o(0) + <Po(2*)
<p(x) = + \ J <pi(z) dz.
The solution
( , - t \ « (* + ') - w ( — (*-«))
**<*• <) = 'r (T z n ) + --------------------2------------------- +
x+1
+ T I
(l + k l l - k ) ( x - t )
transforms on the straight line t = kx into y>{x), on the characteristic

curve x — t = 0 it equals q>(x).
A necessary and sufficient condition that not only u\ and U2
SOLUTIONS AND HIN TS 53
themselves be equal, but also their first order derivatives on the

characteristic curve x — t = 0 , is
du\ du2
dn dn
where n is the normal to the characteristic curve x — t = 0 .
This is the case when in addition the following condition is satisfied:
<po'(0) + *<pi(0) = y)'(0).
47. For values of t, in the interior of the segments ( 0, —---- — ) and

fr + R \ J , \ a J
I --------- , oo J, the density equals zero.
_ r —R r+ R , , uo(r — at)
F o r --------- < t< -----------the density equals u =
a a ~ 2y
H int: The problem can be reduced to the integration of the equation
d2u ( d2u d2u d2u \
= a2 ( — —+■ +
\ddx2
x2 dy2 dz2
~d&)
' Uo Ior r < R du
u\ = o.
f=0= ( o for r > R, dt t=o
Use also the hint of problem 34,
48. Hint: Apply the method of characteristics to integrate the
equation
d2u d2u
dt2 dx2
subject to the boundary conditions
u \x=q = A -sin cot
du(x, 0)
u(x; 0) = 0 ; = 0 for x > 0 .
dt
49. Hint: Apply the method of characteristics to integrate the
54 SO L U T IO N S AND H IN T S
equation
d2u d2u
----- = a2------
8t2 dx2
du
u\x=0 = 0 , — =0 (t > 0)
dx x=l
w|e=o = <po(x)> “7 7 = <Pi(*) (0<x<l).

ct t=o
The functions qpo{x) and (pi{x) can be continued from the segment
(0 , 1) to the segment (/, 21) by means of the following formulas:
ip0(x + I) = (po(l — x)} <pi(x + I) = <pi(l — x).
Now the functions y\ and y% can be defined on the whole interval
(— 21, 21) as anti-symmetric functions and therefore with period 41.
aMv o e i y p o S I M a ' ) ( x - a t y ] f QV x — at < 0
51. u(x, t) = yp0S
0 for x — at > 0 ,
where is the initial pressure, S a cross-sectional area of the tube
and y = cvjcv.
H in t: This problem can be reduced to the integration of the equation
d2u d2u
-----= a2------ {x > 0)
dt2 dx2
- S y p . ^
dP dx
du(x, 0) , du(0,0)
u{x, 0) = 0 (x > 0); = 0 (x£> 0); = v 0.
dt
52. Because of the symmetry one can limit oneself to the investi
gation of the string only for x > 0 and one can apply the method
SO L U T IO N S AND H IN T S 55
of characteristics to the integration of the equation

d2u\ d2u±
= a2 - ( x >0 )
dt2 dx2
82u± dui
M- = 2 ro—
dt2 x=0 x=0

dui(x, 0) , v dî(0 , 0)
«i(*, 0) = 0 (x > 0); — y = 0 ( * > 0); - VJ - = y 0-
53. For the first cylinder ^ is a periodic function with period

dt
^T = —
41 :
a
I—x
for
A
A
Vl 0 9
a
1— X 1+ X
i(»i + v2) a < t< 9
dui(x, t) a a
8t 1+ X 31 — x
v2 a < t< t
a a
31 — x 31 x
+ w2) >> < t<
a a
etc.
For the second cylinder we get
I —x
V2 for 0 < t<
a
I — X 31 — X
\{V1 + V2) „ < t<
du2(x, t) a a
dt 31 — x I+ *
Vi < t<
a a
I+ x 51 — X
i(wi + v2) „ — < t<
a a
56 S O LU TIO N S AND H IN T S
etc. where u\(x, t) is the longitudinal displacement of a cross-

section of the first cyUnder and u^{xy t) that of the second cylinder.
Hint: Integrate the equation:
d2u\ d2u\ d2u% 2 d2U2 E
—— = ----—, where a =
dt2 dx2 dt2 Z=a dx2 9 P
(E is the modulus of elasticity, p = the density of the cylinder)
$wi(0 , t) du2{2l, t)
= 0; = 0;
dx dx
8ui(l, t) du2(l, t)
Ml (I, t) = U2(l, t),
dx dx
Ui(x, 0) = 0, U2{x, 0) = 0;
dui(x, 0) du2(x, 0)
54. ----- = — x) — f'(at + x)~\

dt
with
Eo)
f ’(z)= — e -« z- n + — [1 - 2k(z - 3l)]e-k(z- 3l), k=
a a Ma 2 '
E is the modulus of elasticity, M the mass of the falling load,
o) the crosssectional area of the rod and p its density.
Hint: Integrate the equation
d2u d2u
----- = a2------
dt2 dx2
d2u(l, t) du(l, t)
w(0 , t) = 0 , M = — Eo
dt2 dx ’
u(x, 0) = 0 (0 < x < /),
du(x, 0) du{0 , 1)
(0 < a: < I),
dt dt
S O LU TIO N S AND H IN T S 57
55. See the paper of N. P. Erugin .1
56. T(x, y) = e- av- bx[b*fe»t J 0(2iVaby(x - t))dt +
+ Jo(2*V abxy)],
6(x, y) = — ie av bx[b2f ebt J i(2 iVaby(x — ()) X

0
x —t bxJo(2iV abxy) ”1
X — H----------- 7 = = - ----- I.
V aby(x — t) V aJxy J
Hint: After elimination of 8(x, y) we find for T(x, y) the equation
dzT 8T 8T
a ------ h b---- = 0
8x8y dx dy
with the conditions
T\x=0 = e -a*, T\y=0 = 1.
Putting
T(x, y) = e~av~bxu, £ = ax, r\ = by,
we get
d2u
= u, m||=o = 1, u\v=o — e{bm.
d^drj
Use also the general solution of problem 22.
57. u{x,t) = <p(t — — +
with
<p{x) = 0 in ( — — , —Y
\ CL CL J
\ <>) l + *>«(<) PrAi) + i \ a)
1 See the footnote for problem 20.

58 SOLUTIONS AND H IN TS
Hint: Reduce the system of equations of first order to a single

equation of second order.
(2w + 1)nat . (2n + 1)nx
cos---------- ----- sin ----------- —
% 1536 00 I I
58. ulx, t) = ------ S .
V ' 5 nr 0 (2n + I)®
(2 n + 1)nat . (2n + 1)nx
c o s------- ;------- s m ---------------
2>2h 00 I I
59. u ( x ,t) = - — S
7L n=0 (2n + l )3
with h u (^2 ’
Hint: Apply Fourier’s method to integrate the equation

d2u 82u
----- = a2------
dt2 " dx2
u(0, t) = 0 , u(l, t) = 0 ;
« f r , 0) , 4 to ((- * ) , ***.<» = 0 (0
I2 8t
2hl2 °° 1 nnc . nnx nnat
60. u(x, t) — 2 ——sin —;— sin —;— cos -
n2c(l — C) n = l n2 I I I
Hint: Replace the first initial condition in problem 59 by the
condition:
h
for 0 < x < c
u(x, 0) =
h{x - I)
for c < x < I.
c- I
4voI 00 1 nnc . nn2 . nnat . nnx
61. a) u(x, t) = — — S — sm —- sin—— sin— — sin— —;
n*a n=i n* I 2hi I I
nnc nn 2
, sm —— cos ——
, , x 4hvo 00 I 2hi nnat . nnx
b u (x j) = - — S. sm —-— sm —-—,
TrAr
n d n=1 n ln2 \
SO LU TIO NS AND H IN TS 59
-co , - 8A ~ - 1» 2n + 1)nat . 2n + \)nx

62. u(x, t) = —- 2 -------— r cos -----~ ---- sin ----- — 1— .
n* n=o (2» + l )2 71 71
o2u 82u
----- = a 2 ------
m 8x*
/ v dull, t)
U(0, t) = 0, - 4 ^ - = 0,
ox
hx 8u(x, 0)
8vl 1 . (2w + lWatf . (2m + 1W

63. u(x, t) = — ^ 2 sin--------------- sin ■
an2 n=0 (2» + l )2 71 71
Hint: Replace the initial conditions in problem 62 by the con
ditions
. rt. 8u(x, 0)
u(x, 0) = 0, = v.
dt
(2n + \)nat
64. u(x, t) = 2 I (tf
' i COS +
ra= 0 L 2/ 1
. j (2n-\- \)nat~\ . (2n + \)nx
+ bn sin sin -
71 71
with
2 . (2w -f~ 1) tcx

tin = y J f{x) sin ------ —------dx,
71
. (2n + 1)nx
bn — / f w sin dx.
(2n + 1)an 21

60 SO L U T IO N S AND H IN T S

, v dull, t)
u (0 ,t)= 0 , — i ^ = 0 (t > 0);
ox
u(x, 0) = /(*), 8u^ ’ = F(x) (0 < * < / ) .
u is the displacement of the cross-section with abscis x; I is the

length of the rod, p the linear density and E the modulus of elastici
ty-
(2n + \)nat . (2n +
cos------ —------ sin -
8Ql x 21 21
65. u(x, t) = — S o(-1)*
hon* 72,= (2n + l )2

z
66. «(*, t) = y J [<poW + +
njiat . nnat \ nnx

+ 5S (| a«» cos —----- f- £>„ sin —-— I cos -
i=i \ I
with
I I
nnx .
«» = —- I <Po(x) COS Ax, bn = —— f ?>i(*) cos —-— ax.
I J I UTtCL J V
0 0
82u 8*u
= a2
8t2 8x2
8u{0, t) 8u(l, t)
= 0, = 0;
8x~ 8x~
u(x, 0) = <po(x), 8U^X’ = <p\{x) (0 < x < I),

ot
67. Hint: Integrate the equation of problem 66 subject to the
conditions
du{— I, t)
dx dx
u(x, 0) = —ex, dU^X’ = 0.

ot
68. 6O(x,
! t)4\ = S
Z (I t*nat
cos — j---- h, bn
J. sin
• —-— I sin
• —-—,
j««*
n=l \ I I J I
I
an —
2 fj,n + sin 2 fjin J 1*71%
<Po(x) cos —-— dXy
j
i
41 f*nX j
bn — COS — — dxy
ajun(2 jun + sin 2 fiT
n) J
|V (*) V
where fii, p 2 , /1 3 , . . . are the positive roots of the transcendental

equation
i«tg n = y =
H int: The-problem can be reduced to the integration of the equation

8*6 8*6 1 / GI
■= a*— a — I/——
~8t2" 8x2 I k
x 8 *6 {I, t) n8 6 (1 , GI
6 0 ( , t) = 0 , — = —c* v
8 t2 ' 8 xr 1 - ‘ - t
86 (x, 0)
6 (x, 0) = <po(x), = 0 < X < I.
dt
0 is the angle of deflection of a cross-section with abscis x ; G is the
shear modulus, I is the geometric moment of inertia of a cross-
section of the cylinder about its axis, k is the mechanical moment
of inertia per unit length of the rod and k\ the moment of inertia
of the disk about the axis of rotation.
Pn°d \ . PnX I
cos-
X
Ql_ ____ “ V - I j Sm—
69. u(x, t) =
Ea . I
2a 2 y 0- __________
»=i Pi sin pn{a + «2 + PI) J’
where Pi, p2 , Pz, • • • are the positive roots of
P tg P = ct (a = — Y
\ mj
82u 82u
----- - a 2 -----
8 tz dx2

_ 4 ^ d2u(l, t) ^ duil.t)
u(0, t) = 0, m ----—— = — Ea
8t2 dx ’
/ ^ Qx 8u(x, 0)
= 'e 7 ' - V - = °
70. u(x, t) = S (ân cos - + bn sin ^ — ^jXnix),

with
f <po(x)Xn{x)dx J <pi{x)Xn(x)dx
a n — ----- 1------------ , bn —
fX *{x)dx ^ /X l(x )d x
HnX 2h\l . finx

X n(x) = cos— ---- h —---- sin—— ,
I T ofin I
where pi, ^ 3, . . . are the positive roots of
(p Ah\h<zl\ ( To \
f^ -) 2\fn + h 5 /

82u 82u
-----= a2------
m2 dx2

du 2hi du 2h2
—-------——u = 0, ------ b -7^—u = 0;
dx To x=o dx To x=l
/ ^0) = <po(x),
u(x, /x — dU(X>
-—°) = <pi{x)
/ V
where hi and h2 are positive constants.

nnx
71. u(x, t) = e u 2 {<*n cos qnt + bn sin qnt) sin
71=1 I
] / r&cfin2* TO
«»= r — p— *2’
with
I
• j
a* = j2 If 9>o(*)
1 \
sin —j —dx,
0
7 A 2 C , v . wjt# 7
— (pi(x) sm —— dx.
q% kJn J *
Hint: Apply the method of the separation of variables to the

integration of the equation
d2u du
------- l 2h----= a2------
dt2 8t dx2
«(0 , t) = 0 , u(l, t) = 0 ;
u{x, 0) = <po(x), dU^ = cpi{x).
where h is a small positive constant.
72. u(x, t) =
in(v*)si
A sin sin cot
+
60 I7
sm —
•
a
64 S O L U T IO N S AND H I N T S
2Acoa “ (— I)71- 1 . razatf . raz#

+ - ^ - s sin — -— sin —-—
I n=l 9 / « w» \

d2u d2u
= a2 (*)
dt2 dx2
u(0, t) = 0 , u(l, t) = A sin cot;
/ r\\
u{x, 0) = r,0 , dU (X >° )
— -— = 0
The solution can be found by assuming that it has the form

u = v + w where w is a solution of the equation (*) which satisfies
the conditions w(Q, t) = 0 ; w(l, t) = ^4.sina>^; and where v is a
solution of the equation (*) with
v(0, t) = 0 , v(l, t) = 0 ;
dv(x, 0) dw(x, 0)
v(x, 0) = —w{x, 0),
dt dt
73. u(x91) =
(2n + 1)jiat . (2n + 1)nx
cos-------------- sin---------------
Q 8QI 00 , x 21 21
= — %___ — y i— \)n __________________________
E n2E nr 0 v 1 (2n + I)2
d2u d2u
-----= a 2------
dt2 dx2
du(l, t) Q
u(Q, t) = 0,
dx E ’
t v du(x, 0)
u (x ,0 )= 0 , \ 7 ^0
dt
See also the hint for problem 72.
. ( a> \ .
sin I — x 1sin
si a)t
aA
74. u(x, t) = +
Eco col
cos-
2dcoA 00 (— l )""1 s m k nx
+ VI 2 ----- 1-----------i----h2T sm ak^>
El n=0 kn ft>2—
., , (2» +1)^1 , ,
with kn = ----- —----- and a> ^ as».
2JL
a2w d2u
= a*
dt2 d#2
. . dull, £) 4 .
w(0 , £) = 0 , = — sm cot]
K 9 dx E
^ - O L
See also the hint for problem 72.

cox .
^4 s m ---- sm co£
«i
75. =
with
_ A( . coc . coc £ ia 2 coc COC\ cox .
P = Al sm — sm ------h —----cos — COS sm---- sm cot -f
\ d\ a2 *2 J U2
J . COC COC E\d2 .c o c coc \ cox .
+ A\ sin — cos--------- sm ---- cos — 1 cos---- sin cot;
\ d\ &2 E^dl #2 #1/ <*2
coc coc E \d 2 . C OC ft)CN\ <ol
— cos ----------- — ------ sin ------COS COS---------h
ai U2 £-2 ^1 d2 «1 J1 d2
coc . COC E \d 2 COC (OC'\ . col

+ ^sin sin --------- 1- — ------ cos ------COS sin — .
ai d2 dl «2 , / d2

d2ui 2 d2u±
—dt2 (° < * < c);
d2U2 d2U2 Et
= a2 - 5- 5- { c < x < I), with a? = —
dt2 OX* Pi

ui(0,t) = 0 , U2 (l, t) = A sin cot;
,
Ui(c, f
t) = u2{c, 4\
t), EIT1 —
8 U l— — = EIT2
(C> dU 2(C’ ^
8x dx
A solution can be found by assuming that there are solutions of
the form
u\(x, t) = Xi(x) sin cot, U2 (xyt) = X 2 {x) sin cot.
gx(2l — *)
76. u(x, t) =
2«2
16gl* 1 (2n -f- 1)nat . (2n + 1)nx
■cos-------- ------- sin -
n3a3 re=o (2w + l)3 21 21
where g is the constant of gravitation.
82u 82u
= a2
dt2 dx2 + g (*)

^ du(l} t)
u(0y t) = 0y y } = 0;
ox
, dulx, 0)
u(x,0) = 0, —— = 0.
Assume that the solution has the form u = v + w, where v is a

solution of the inhomogeneous equation (*)
with
8v(l, t)
v(0, t) = 0 , = 0
8x
and which has the form A x2, + Bx + C; w is a solution of the

homogeneous equation, which satisfies the condition
dw(l, t)
w(0 , t) = 0 ,
dx
dw(x, 0) dv(xt 0)
w(x, 0) = —v(x, 0),
dt dt '
__ . . 00 / _ x . nnx
77. u(x, t ) = 2 (an cos cont + bn sin (ont) sin— ---- \~
71=1 I
fn . . , . . . . nnx
+ s (co sin (ont — cowsin cor) sin
7i=l cow(co2 — co*) I 9
with
; ?
2 f / \ • , , 2 f .
an = — \ <po(x) sin —— dxy bn = yAx) sin ——- dxf
/ J t flTld J I
0 0
I
J
/» = — /(*) sm
nnx ann
sir —— dxt (on — —-—
t L
Resonance will occur if the frequency co of the applied external

force corresponds with one of the characteristic frequencies
an±n
coM =
I
of the string.
When resonance occurs the solution has the form
f n\nx
«(*> t) = ~ ^ r f (sin (onit - to)ni cos a>nit) sin— -----
7 7 . . . nnx
+ 2 \an cos cont + bn sin (ont) sm —----- \~
71=1 *
fn nnx
+ S' (co sin a)nt — (on sin cot) sin
71=1 o ) n (o ) 2 — co * ) ~ T 9
where the prime indicates that the summation is only over terms
with n ^ n\.
I 68 S O L U T I O N S AND H I N T S

d2u d2u .
= a2 + / (*) sincot
dt2 dx2
u(0 , Z) = 0 , u(l, t) = 0 ,
du(x. 0)
u{x, 0) — (po{x), — = <pi(x) (0 < X < I).
dt
78. m(*, t) = ~ ©in Z— ©in ^ +
2b 00 (— l)w razatf . nnx

H------—2 --------- cos— :— sm-
a2n n- 1 w
26^ ©in I n WTiaZ . njr#
S (- 2 2 , 72 cos ’—;— sin -
n=l W % 2 + Z2 I I
Hint: A solution can be found by assuming that it has the form
u(x, t) = v(x) + w(x, t)y where v(x) is a solution of the ordinary
differential equation
a2-v"(x) + 6 *©in x = 0
with boundary conditions tf(0) = v(l) = 0 ; w is a solution of the
equation
d2w d2w
= a2
dt2 dx2
with conditions
w(0 , t) = 0 , w(l, t) = 0,
w(x, 0 ) = —v(x, 0), M j : 0) - 0 .

dt
bx
79. u(x, t) = ---- — (a;3 — 2^2/ + /3) -f-
(2 m + 1)nat . (2 m + 1)m #
cos------- ;------- sin ------- ;-------
8Z4 00 2 /
+ -v S (2 m + 1)5
n=0
©in b(l — x)
80. u(xyt) = A
©in bl
_, °° 2kn / „ u \ . knx
~-2Ae ** S \ Q7o , L0.o ( n^ + T ©m nk t) sm
fc=i b2l2 + &2^ 2 I 9
with
fi = —T, nk = ~ — V h 2l2 - a2(b2l2 + k2n2).

a2l
81. Hint: The problem can be reduced to the integration of the

equation
d2u d ( du\
= a2 — ( x ----] + w2w with a = \/g
dx\dx) V6

u(0 , t) is bounded; u(l, t) = 0
u{x, 0) = f(x), = F(x) (0 < * < I).
i? ) ^
82. «(r, t) = 8A £
n= 1 / 4 J i W C°S -R '
where/^1,^ 2,/43, . • • are the positive roots of the equation Jo(ft) = 0 .

H int: Apply the method of separation of variables to the integration
of the equation
d2u 1 du 1 d2u
dr2 r dr a2 dt2
with conditions:
u(0, t) is bounded; u(R, t) = 0;
u(r, 0) = A ^1 — 8U^ ’t = 0. with A = const.

For the determination of the coefficients in the series expansion

the following formulas are useful.
f t ] o ( t ) d t = x]i(x),
0
= 2x2J 0(*) + (*3 - 4*)Ji(*).

0
2 00 / h \
83. u(r, t) = — S e“w( cos qnt ^---- sin
71=1 \ /
R
Jo
* J l(t*n)
J
0
f*p(p)h dp,
with qn = — A2 and where pi, pi, . . . are the positive roots

V- i ?2
of Jo(j«) = 0.
82u M du oI/c>2w 1 du\
+ 2h— = a21[ ^------ — )
~8t \ dr2 dr J
(h is a small positive constant)
subject to the conditions:
u(0, t) is bounded, u(R, t) = 0;
8u(r, 0)
u{r, 0) = <p(r),
8t
84. u(x, t) =
i
1
s — iJ *i ( ^rw~\—
7 1=1 )
cos V 7 27 J
yl
0
/(*)Jo^»«
where pi, p%, . . . are the positive roots of Jo(/j) = 0 .

H int: Integrate the equation for the small vibrations of the string

u(0, t) is bounded, u(l, t) = 0 ;
u(x, 0) = f{x), ~ ~ = 0.
85. u(r, t) = J J(p) + tF(p)]pdp +
+I £2 ((a„cos , l +
l*n a t —— „ s tin\ ——
■ Jt1nU T( W \
an —
bn — j p m h ( — - y P-,
where [ii, {jl2, . . . are the positive roots of Ji(^) = 0 .

H int: Take the axis of the tube as 2-axis and transform the equation
for the vibration of the gas to cylindrical coordinates r, cp, z. Find
now the solution of the equation
d2u 1 du 1 d2u
dr2 r dr a2 dt2
which satisfies the conditions:
du(R, t)
ulO, t) is bounded,---------- = 0 ;
dr
u(r, 0) = f(r), dU{T’ 0) = F(r), 0 < r< R .

ot
oo
86. u(x, t) = 2 Van cos V 2n(2n — 1)at -\-
n= 1
+ bn sin V 2n(2n — \)a(]P2 n-i

with
i
an —
4n — 1
I
0
J f(x)P 2n - l{ ~ [ Sj dx]
bn ■ 4n 1------ f F{x)P%n- i( ^ - \d x .
V2n(2n — 1)-al J \ IJ
where
1 d*
P*{x) =
2kk\ ~dx* [(* » - 1)*]
are the Legendre polynomials.
1 82u co
{I2 - x2)
U = "\/2

w(0, /) = 0 ; «(/, t) is bounded;
8u(x, 0)
u(x, 0) = f(x), = *(*)•
a/
following equation
82u 1 du 1 82u P
8r2 r 8r a2 8t2 Y '

8u(r, 0)
u(x, 0) - 0 ,
8t
To determine the coefficients in the series expansion compare

with the hint for problem 82.
88. u(r, t) =
a 2P 0
T o 2
>•(?) - 1 sin (ot —
nnat ( finr \
2aPo(oRs
t „tr, - « v s j;m ’
pi, f*2 >p 3, . •. are the positive roots of the equation Jo(/*) = 0 .
H int: The problem can be reduced to solving the equation
d2u ( 1 du 1 d2u Po sin cot
+ V — Ifi ~ W = T
where the following conditions are imposed:
„ ( ,, 0 ) - 0 . ^ - = 0.
The solution of the equation can be found using the form u = v Jr w,

where v is a solution of the inhomogeneous equation (*) and satisfies
the conditions:
v(0, t) is bounded; v(R, t) = 0.
Choose for v the form B (r) •sin cot; w is the solution of the correspond
ing homogeneous equation and satisfies the conditions
w(0, t) is bounded; w(R, t) — 0 ;
dw(r, 0) 8v(r, 0)
w{r, 0) = —v(r, 0),
8t 8t
See the hint for problem 82 for the calculation of the coefficients
of the series expansion.
. (2n + 1)nx . (2m + l)7ry
A,. sin --------------- sin-------- --------
tAAb 4 00 bb
89. u(x, y, t) = ——— S — X
71° n ,m = 0 (2n + 1 )3 (2 m + 1)3
ant
X cos V (2n + l )2 + (2m + l )2
Hint: The problem is equivalent to solving the equation

02u ( 82u d2u '
m
<W — +
" \dx* 8y2 )
«U =0 = u \x =6 = U\y=Q = u\y=b = 0,
du
w|t=o = Axy{b — x){b — y), = 0.
8t t —0
y>kr ( L
4A \ 2 ’ ~ 2 ) V>kv{x, y) sin [Xkvnat,
90. u(x, y, t) = ~
UTClfll Jc,v= 1 [Akv
. . . knx . vny
with y>kv(%, y) = sin —— sin----- , /ujcv
I m - / ( t )■ + (-)■

0% „ ( 0% c% \
dt2 = a ^\ dx2 + dy2
subject to the following conditions
^| z=0 = M\ x = l = 2/=0 = ^ 1 =
, v
u(x, y, 0) = 0 , — = 0 , but for a sufficiently small environment
t= 0
I m\
of the point (
V T >
91. w(r, 0, 9?, £) = eimq> S cos kjvt + 6^ sin kjVt)vVj(r, 0),

7>=1
with
dmPu{x)
x Pfc.»(cosfl), p , fflw = ( i - * r
dx*
Pu{x) are the Legendre polynomials, and h, h y h, . . . are the real
roots of the equation

*\m(cOS «) = 0
and ki, kz, k$, . . . are the real roots of the equation
Y l+i(kb)Jl+i(ka) - J l+i(kb)Yl+i(ka) = 0,
b a
apj = ~ j 2~ J J <
P(r>Q)v'Ar>% 2 sin QdrdB,
^ a 0
b a
= y-
** a
JJ 0
<pi(r, 0)vVj(r, d)r2 sin ddrdd,
Alj = f f v^(r, d)r2 sin ddrdd.

a 0
Hint: Introduce spherical coordinates r, 0, <p and look for a solution

of the form
u{r, 0, <p, t) = T(t)v(r, 0, cp).
Substitute this in the wave equation and separate the variables.
There follows:
T"(t) + k2T(t) = 0,
d2v 2 dv 1 ( . „ dv \
+ —~ + [ sin 0 — ) +
dr2 r dr r2 sin 0 36 V *>)
1 d2v
+ + k2v = 0 .
r2 sin2 0 dcp2
We write the solution of this equation in the following form:
v{r, 0, <p) = eimq,R(r)P(6).
n2n2b , n2ji2b . nnx
92. u(x , t) — 2 f ^ n cos— - — t + B n sin —- — t
n= l \ I2 I2 ) sm — :
2 f , . . nnx
= -j-J WW sin
21
dx>B n = n2n2b J <Pi(x) sm
nnx 7
si —-—

d*u d*u
+ * = 0
dt2 dx4
82u
u = 0, = 0 for x = 0 , x = I and arbitrary t > 0 ;
dx2
u(x, 0) = <po(x), 8u^ ’t - <pi{x).

telegraphist equation
dV rM dV
-----= R I + L — , C
dx ^ d t dx ~dt
V(x,0) = E, I(x, 0) = 0
F( 0 , t) = 0 , 1(1, t) = 0 .
0 7? oo
94. / = S cos-
IL »=o vn 21
V = E - — e-<**'2i> S C < W dn (2” + -

71 n=
n=oo 2w
2w 4 - 11 21
^ . e- ( T O y siny»* (2 w + l)tt*
ttL n=0 V„(2« + 1 ) 2/
with
_ ] / (2» + 1)2^ fiT
' 4Z2CZ, H 2"'
Hint: The problem can be reduced to the integration of the first
order system
8V_ a /= c iF
= RI + L ^ ~ ,
dx dt dx dt
with boundary conditions

I ( U ) = 0, V (0, t) = E
and initial conditions
/(*, 0) = 0, V(x, 0) = 0.
In order to solve this, p u t:
(2n + 1)nx
I(xt t) = S Tn(t) cos
71= 0 21
, s -r, 00 _ .. . (2 n + \ ) tix
V(x, t) = E + S r*(/) sin V
- - ~r — .
n= 0
A/ 00 / i\n (2w + l):rc#

95. „(*,*) = _Z_ S
jr2 n=o (2w + l)2 Z
8c 1 e-[(2»+l)***a*/l,]< x
96. u{x, t) = — S
7T3 n=0 (2^ + l)3
. (2n + \)nx
X sin--------------- .
L
R
97. u{r, t) — — £ e- (nW/B,)< sin f p/(p) sin dp.
s\.Y n —l JK J
H int: The problem can be reduced to solving the equation

dv 32v l/ k
= a2 with v = ru, a — 1/ —
St " dr2 I cp
fl(0, 0 = 0, v(R, t) = 0, v(r90) = rf(r).
98. u(x, t) =
2 P 2 + i*l e (vjaniv). g^n sin— — dx,
= T S I J I
^ »=i P(P + ! ) + ; “»
p\> pz, p 3, • •. are the positive roots of the equation
tg n = — p = HL > 0.
p

du „ d2u
= a2
dt dx2
with the conditions
du h
u{0,t) = 0, — + Hu\x=l = 0, H = — > 0, u{x,0)= f{x).
OX k
i l • ftn X
fin cos —— + p sin ——
99. u { x , t ) = - S , ,------
I n= 1 P(P + 2 ) + ^
with
i
i» = J /(*)(,fin cos —----- 1- p Sin - y - ^dz;
[Ai, //2, ^ 3, . . . are the positive roots of the equation

u p ., h ,
2 ctg fi = ---------, with p = — I.
p fi k
H int: The boundary conditions have the form
dw dw
-------H u \x=o = 0, — + Hu\x=i = 0.
3a: 3a:
100. u(r, t) = — S ■ ^ + e-(âHIS*) sin ^ x
X Jp/(p) sin— -ip ,
where ^ 2, . . . are the positive roots of
tg A* = --£ -* ^ = M -1 > -1 .
P
Hint: The second boundary condition in problem 97 must be
replaced by the following condition

dv
~dr
oo sin ftnR — finR cos finR sin fxnr ^ aH

101. u(x, t) = 4«o E C 9
n—1 f*n{4finR — sin 4pnR)
with
2finR
tg 2finR =
1 - 2 hR'
Hint: The problem can be reduced to solving the equation
d 2u 2 / d 2u 2 du \
~ w = a v"P “ + v I* )
where the following conditions must be satisfied:
du
u ( 0, t) is b o u n d e d ,------1- h u \r=2R = 0;
J «o for 0 < r < R,

u{r, 0) =
{ 0 for R < r < 2R.
102. u(x, t) = «0 + 2 «»e a2A”2<cos

71=0
with
t
(2n + 1)nx
an = — | cos------ —------- 0# -
= T I ^ + 1)
(2w + 1)tt
Xn —
21
H int: One can reduce the problem to the integration of the equation
du d 2u
----
dt
— a2 — ;r
dx2

du{0, t)
u ( l , t) = Uq, u (x , 0) = <p(x).
dx
The solution is found by means of the assumption

u(x, t) = u0 + v(x, t),
where v(x, t) is to be found.
2l*A °° e ~ (n W a H IP ) tl7l%
+ - v ^ r 2 -------;----- sin-
7i2a2 n=i rfi I
H int: Find a solution in the form of a sum of two terms
u(x, t) = u\(x, t) + t)>
where u\{x, t) is a solution of the equation
dui _ d2ui
----- = a2-----r-
dt dx2
which satisfies the following conditions
*i(0, t) = A t, m { l, t) = 0,
and U2 is a solution of the same equation with the conditions
0, t) = 0, u<z(lf t) = 0, U2 (x, 0) = —u±(x, 0).
104. u(x, t) = A ^ 1 ----—^ sin cot
sin I
2coA
71 n= 1 ^ I e (nnall)*r CQS
Hint: To solve this problem, put
u(x, t) = A ^1 — ^ sin cot + v(x, t),
where v is a solution of the equation

and satisfies the following conditions

v(0, t) = 0, v(l, t) = 0, v(x, 0) = 0.
105. u{x, t) = 4(1 — e~at) ^1 — - +

oo i pz+ „ 12
+ 2A* »=1
S -----
fin -^T
P\PrXTV'Z
+ l ) + —»
/ i » ‘â-S------
— <^2is x
X [e-(a""/i)!( — e“a(],
where /n, /*2, • • • are the positive roots of
tg /i = - - (P = H l> 0).
P
Hint: If /) is the solution, put:
u{x,t) = 4(1 - y ~ - ^ + «.
where co is a solution of the equation

dw n d2w f Hx \
---- = a2 — - - Aae~al 1 -------------
dt dx2 \ 1+ p J
which satisfies the conditions
w(0, t) = 0, —---- \~ Hw\x=i = 0, w\t=o 0.

dx
106. — + -)-> * ] +
2bR3 “ s m p n — p n COS /in e _ (#,.w / I P ) ^ W

+ “ a2r
5— nfi
2 filifin — sin p n cos pn) R
where pi, pz, pz, . . . are the positive roots of the equation
tg p = — P = HR — 1 > 0.
P
dv 2 d2v (v = ru)
— &2 —r (*)
dt dr3

dv ( \\
»(o,o=°. -* + (* -* -)» = RHbt (**)
r=R
v(r, 0) = 0.
By means of the assumption v = v\ + the solution is obtained.
V\ is a solution of the equation (*) and satisfies the conditions
(**); V2 is a solution of the same equation, however with the follow
ing conditions
dl)2
v2(0, t) - 0, + (h - ± ) , 2 = 0.
r=R
1>2(r, 0) = —t>i(r, 0).
a2q ( _ 3 *2
107.
6a2
) -
2qR
S < o1)n. cos— e-<”w '«,)<;
kn2 n=i n* R
where k is the coefficient of heat conduction.
du d2u
= a2
dt dx2
, du , du 8u(0, t)
= °, - k— + q = o. = 0,
x= -R OX x=R dx
u(x, 0) = 0.
b b
«i ©in — x — Mo ©in — {x — I)
108. u{x, t) = --------------- --- 1-
©in — I
a
271 — ( — l ) BMi — Mo „ . nnx
2 n ------~ ------ e~a X*n sin +
12 »=i I
w ith
n2n2 b*_
n 12 + a2 '

u(0, t) = uo, u(l, t) = u\, u(x, 0) = f(x).
Here k, h are the coefficients of heat conduction, resp. heat ex
change; c, p the specific heat resp. linear mass density of the rod;
co, p the cross-section resp. perimeter of the rod.
The solution follows from the asumption u = v + w, where v is a
solution of the equation
o
a2 ——----b2v — 0
ax2
and satisfies the conditions
v(0) = wo, v(l) — ui,

and w is a solution of the equation (*) and satisfies the conditions
w(0, t) = 0, w(l, t) = 0, w(x, 0) = f(x) — v(x).
b ©in — (/ —x) + Ha ©in — (/ — x)

a a
a a
fin is obtained from the equation

Hint: The problem can be reduced to the solution of the equation

du d2u
= a2 b2u (*)
~dt dx2
du
u(0, t) = uo, —---- b Hu = 0, u{x, 0) = 0.
dx x=l
For the solution we put u = v + w, where v is a solution of the

equation
~ d2v
_ b2v = 0
dx2
dv(l)
v(0) = u0) + Hv(l) = 0;
dx
w is a solution of the equation (*) and satisfies the conditions
dw
w(0, t) = 0 , ------ b Hw 0, 0) = —v(x).
v ' 0*
d2u k hp
110. = a2
~aT
Here 6 is the length of arc; k, h are the coefficients of heat conduc
tion resp. exchange; c, p the specific heat capacity resp. linear
mass density; and a, p the cross-section and perimeter of the rod,
uq is the temperature of the surrounding medium.
u(Q, t) = e M[a0 + S ian cos nO + bn sin nO)e n a

n-l
with
71 71
ao = —— I f(d)dd, an = — f f(6) cos nddd,

2jc J n J
—It —71
7t
bn = — f /(0) sin nddd.
n J
111. u(x, t) = ~ 1
U e-([((2»+i)W)/j*]+&v (2n + \)nx

n
, , + „ m + , T ~ +
b bx
u0 ©in — {I — x) + «i ©in —
& CL
+ ----------------7©lit ---
“ ------------------ +
a
+ 2a«* 5 ” - 9 ^ 1
n==i
l
n2n2a2 + &2^2
e- « ^ + w > ^ s in —
/
.
H in t: The problem can be reduced to solving the equation

du d2u
— = a2 — ----b2u -f d (a2 = — , b2 =
dt dx2 V cpco cpco*a
w(0, *) = w0, w(/, *) = wi, u(x, 0) = 0.
Here I is the current intensity, a the electrical conductivity and co
the cross-section of the conductor.
The solution can be obtained if we write w = v + w, where v is a
solution of the equation
d2v
a2 —— — b2v + d = 0
dx2
v(0) = w0, v(l) = wi;
w is a solution of the equation
86 S O L U T I O N S A ND H I N T S

z»(0, t) = 0, w(l, t) = 0, w(x, 0) = —v(x).
Jo
(•£ ') . . .
!R*)t
112. u(r, t) = «0 1 + 2 s — w ~ r e'
n= 1 ^nJoV^nj
where pi, pi, pz, . . . are the positive roots of the following equation
JoGu) = 0.
H int: One can reduce the problem to the integration of the equation
du / d2u 1 du \
~ d t= a + J~r
where the following conditions we have to be satisfied:
u(0, t) is bounded u(R, t) = m0» uir>0) = 0.
113. u(r, t) =
= ^ r 2 X
*2 “ i ^ + m m
Jo I
0
where pi, pz, ps, . . . are the positive roots of the following equation
pj'0(p) + HRJo(p) = 0.
du ( d2u 1 du \
i r =a {~ d*+ T i r )
where the following conditions have to be satisfied:
u(0, t) is bounded
du
— + Hu = 0,
dr r -R
u(r, 0) = f(r).
114.
E k i a i U ° A i (1 _ e sin (o < X < i),
j=i w
u(x, t) = AiaiMo-4< . sin a.\fj,£
E ■' * " * (1 —e w,<) . sjn a2(ij(l—x)
1=i W sin azfi(l—f)
(f < * < /)•
Here the fij are the roots of the equation
0 i&i ctg + azk2 ctg = 0,
and the A j are determined by means of the normalisation
i I
cipif X\jdx + cm /X%dx = 1,
o {
X ij = A j sin aifijX,
X„ = A, S in a w f sin a 2juj(l — #).

sin a2 fJLj(l — f)
The condition for the orthogonality is
i i
c\pif XijXikdx C2 p2 f X 2 jX 2 kdx = 0 (; =£k).
0 6
H int: One can reduce the problem to the integration of the equations
„ du d2u
a \ ---- (0 < x < *),
1 dt dx2
o du d2u
= TT (*<*</),
dt d#2
a ? = C<P< (*'= 1.2)
where the following conditions have to be satisfied:

u(0, t) = m0, m (/, /) = 0,
M(f — 0, <) =■ M(f + 0, *);
, — 0, t) , + 0, t)
K\ --------------- = K2 ~
dx dx
u(x, 0) = 0.
1
2 00 r
115. u = — S ©in
* n= 1 L Z
— y)
J . rar# 7
<Po(X) sin —-— dx -f
nnx
nny f; . x . wrc* , -1 sin —r~
\ I
+ ©tn — <pi(x) sin —— d x ----------------b
I i I I nnm
0 ©in — —
+— i e-«*^/w+w»*a‘s in -^ s in -^ - x
Zm fi,V
u.v= = 11 I m
I m
X J J > - - T i [ e i n « J ^ , sin^ , f +
0 0 0
nnx
sin
i
+ ©in-— - j* 9>i(f) sin ------- - X
I J I J nnm
WJ1
©in
i
. unx . rjry
X sin—— sin-----a*ay.
I m
H int: The solution can be obtained by writing u = v + w, where
w is a solution of Laplace’s equation
d2w d2w
+ = 0
dx2 dy2
w{0, y) = 0, w(l, y) = 0,
w(x, 0) = <po(%)> w{x> m) = 9°iW
v is a solution of the equation
dv ( d2v d2v \
~df = a
w|*-0 = w|*-J = v\y=o = v\y=m = 0,
v(x, y, 0) = f(x, y) — w(x, y).
116. u (r,x ,t)= s A knJo(fj ,k ^ - )

k,n= 1 \K J
^COS— + A si
K I Vn I )
with
I i?
2., 2
x
I R ^ l + HR){j>(p + 2) + ,*]
00
T ( ^ r \ ( v nx > $ • v ”x \ 1 1
x + - S“ —
where \x^y ps, . . . are the positive roots of the equation

a*j ; m + «?joc») = °»
and ri, r 2, ^3, . . . the positive roots of the equation
2 ctg v = —------ —, p = HI > 0.

p v
du 02W
( d2u 1 0W #2« \
----= a21-——
dt \ dr2
dr2 r dr ^ dx 2 /
subject to the following conditions:

du du
-z----- Hu \z=*o = 0, —----- h = 0,
dx dx
du
u ( 0, x y t) is bounded,------\~ H u \ r=R = 0,
dr
u(r, x, 0) = /(r , x).
117. u (x ,z)= S x4n e_|W <pn (x),

n= 1
with
, , (x* 6*5\ /*5 26a:’ 252x9\
9n\[x) = x - A * ^- - — J + K ^ ~ -y p + “ 9 P | +
The Am are the roots of the equation

17
1 — JA + A2 - . . . = 0,
1440
/ ( I — X2)<pn(x)dx
j>______________
An
/ ( l - x*)<pl(x)dx
118. Hint: See the article of N. P. Erugin.1

nnx
„ . S ”A n sin —— e - (aW/z,)<
2a2n n=i*
119. u(x, t) =
I nnx
A q + S A n COS
71=1 y
with
I I
I f 2 f nnx
A 0=J I 6o{x)dx, An = y J 0o(*) COS — — da:.
o o
Hint: 6(x, t) is a solution of the equation of heat conduction
80 „ 8*6
— = a2-----. (i)
8t 8x*
Then
0X
u(x, t) — — 2a2 —— ( 2)
0
is a solution of the equation
du du o d2u
----.+ u -----= a2 — —.
dt dx dx2
It follows from equation (2) that
6(x, t) = C(l)e- ' 1» / “,f’w ,

1 H. II. EpyrHH, 3aMKHyToe pemeirae napadojimiecKOft rpaHinmofi
Heo^Hopo^HOfi aatfara. IIMM, t . X IV , bmii. 2, 1950. (N. P. Erugin; The
closed solution of a non homogeneous parabolic boundary-value problem).
and for t = 0
0(x, 0) = c0e-<1/2a8V ^ 0)dl = 00{x). (3)
By means of the boundary conditions in this problem and from
equation (2) we obtain
ex(0, t ) = ex(l, t) = 0. (4)
In this way we get the solution of equation (1) with the conditions
(3) and (4).
When this problem is solved, the solution of the posed problem is
found by means of formula (2).
oo
120. «(*, t) = — —
T d 's jn t J
fm _ e - t dS.
o
oo
121. u(x, t) = ----— f {/(f) [e-[(x- f),/4aSfl - e-[<"+W^«] _

2a y / n t J (
o
- 2he~hi
0
J eft" J d£.
H int: Integrate the equation

du 0 d2u
— = a2 -----
dt dx2
du
hu\x=Q = 0. u{x, 0) = f{x).
"dx
OO
\
122. u\{x, t) = U°a f e- '1* dfi (x < 0) ( a =
1+ o J \ k\U2 /
-(X/201VO
x /2 a t\/t
u2{x, t) = (X > 0).


du± „ d2u± du2 o
-----= a i------- (x < 0); -- ^9 (* < 0);
8t 1 8x2 $ 2 a*2
ctpt
I (* = 1, 2)
where the conditions

dui(0, t) du2(0, t)
ui(0, t) = u2(0, t), ki k2
8x dx '
u\{x, 0) = 0, u2(x, 0) = uq
have to be satisfied.
Here the c* are the specific heat capacities, ki the coefficients of
heat conduction and pi the linear mass densities of the rods.
b
nny
123. u = y 2^ —— j <po(y) sin dy +
IT
0
nny
sin
. nnx f , v . nny , 1
+ ©tn —— I <pi(y) sin - j - d y +
nna
©in
, 2 ~ V nn(b — y) C . . . nnx
H-----E © tn ----------------- y>o(x)s m ----- dx +
a n=il_ a J a
o
. nnx
* _ sm ----- -
, nny f . . . nnx | a
+ ©tn----- wi(x) s m ----- dx -----------
a J a J nnb
o © tn -------
a
H int: Solve the problem in two steps.
1. Find a harmonic function u\(xt y), which satisfies the follow
ing boundary conditions
*i(o, y) = <po{y)> ui(a>y) = n(y)>
ui(x, 0) = 0, ui(x, b) = 0.
2 . Determine a harmonic function u2(x,y), which satisfes the

following boundary conditions L.
u2{0, y) = 0, u2(a, y) = 0,
u2(x, 0) = y)0{x), u2(x,b) = y>i(*).
Now the function u(x, y) = y) -f u2(x, y) is a solution of the
given Dirichlet problem.
. . _ a
Sin ^ l A
. nx
..
u(x, y ) = B ------------ sin------- \-
nb a
©m —
a
@ in (2 n + l)n (a ~ X) (2n + 1)ny
sin
SAb* b b
—n6
r m^*=0' (2n + 1)3 “ (2n + 1)na
©in
b
oA 00 1 . nnx
124. u{x, y) = ----- 2 — t~ (nn,a)v sin----- .
& n —0 ^ a
8A
125. u(r, 6) = ©in l n y sin 6.
T
H int: Introduce polar-coordinates.
126. u{r, 6) =
*<2) _ „<!) a ^ ln f la - a<2> ln i? i
In r + +
In Rz — In R i In R% — In R i
(«{" R ; n - Ci™R;n)r» - (a ^R - - oc^Ryr-n
+ s COS ltd +
n= 1 R”R i n R i nR^
, (&1)* P &2)* r > “ (/W ~ ^ ) r ~ n
H-------------------------------------‘ T , „ . r , - n ------------------- ™ ------------------------------------- S i n « 0 ,
“I?"
with
71
«?> = —J /i(< W c£>= J ,-i- /i( 0) cos « 0 rf0.

ft}' —— f /i(®) sin nBM-\

7t J
—n
n n
42) = ^ r J —71
/ a ( e ) m ’ a»2)= it J /«(*)cos
—71
n
/?<?> = — f h{6) sin
7t J
—n,
Hint: Introduce polar-coordinates. Then the problem reduces to
the solution of the equation
. d2u\ du Sd2u
r2]---- J 4- r ------ f-p---- = 0
•dr 21 dr • dO
with the conditions
u(r, 0 + 2n) = u(r, 0),
u(Rlf 0)]= /i(0), u (R2, 6) = / 2(0),
where /i( 0) and / 2(0) are given functions, which can be expanded
in a Fourier-series.
For a circle we obtain
R 2 —r2
” <'■*> -
i
J
f
m R t - T R r c o s (< - 8) + r* * '
127. u(r, 8) = ««> + — +
oo ( 4 1>i?2- " + ^ r A:" 14 2V A:+ ( ^ ” 14 2)- ^ 2 4 1V - fc

+ 2 cos kd+
fc=i
” ( W R ^ + k R ^ - 'f f i V *+ ( k R j - 'f f '- R & t f r - *
sin kd,
n=i H R t ' R ^ + R ^ R T ^ 1)
where a ^ , <4 2), <x.£\ a£2), j8£2) have the same values as in
problem 126. (See also the hint for problem 126).
SOLUTIONS AND HINTS 95
128. u(x, y) = A + j i i L — x—
2a
(2ft 1) tzx
©in
4Ab (2ft + 1)ny
cos
n2 o (2ft + l )2 (2ft + 1)na
fe>tn--------------
tiny
sm
2Aa 00
129. S (
u ( p , < p ) = ---------
71 n=1
- 1)
-(*) n
H int: Introduce polar-coordinates
130. u(p, 0) = J (1 — p2) + p2 cos2 0.
Hint: Introduce spherical coordinates. Obviously the solution u
is independent of <p. Therefore Laplace's equation becomes
d ( n du \ l d ( . „du\
----1P2 ---- I H----- :—zr —r I Sin 0 I = 0.
dp X dp J sin 0 dd \ dO )
131. u(xt y) = [<y - b)2 - (* - a)2] + C,

2kab
Hint: The problem is equivalent to Neumann's problem
d2u d2u
+ ^ n r = 0,
dx2 dy2
du = Q_ du du du
dx
= o , -- Q
ka ’ dy
= 0.
i-o
~dx
o
x=a dy y= 0 y= b
I
Here Q is the amount of heat which flows through OA into the

plate and through OB out again: ft is the coefficient of heat con
duction.
132. u(x, y) = x(a — x) —
(2n + 1)ny . (2n + 1)nx
©of--------------- •s m ---------------
8a2
n2 n =o (2n + 1)nb
(2 n + 1)3 ©of
2a
H int: One can look for a solution in the form of a sum u = v + w,

where v is a solution of Poissons's equation which satisfies the
conditions
fl(0, y) = o, v(a, y) = 0
Put v in the form A x 2 + Bx + C ; w is a solution of Laplace's
equation, which has as boundary values
w(0 , y) = 0 , w(a, y) = 0 ,
w -v (x ), -v (x ).
133. u(x, y) = a 2 — (#2 + y2).

134. u(r, 6) = — r3 sin 26 +
R* r . _R2 - r 2
48tt J Sm ^ R2 — 2Rr cos (t — 6) r2
Hint: Look for a solution in the form of a sum u = v + w, where
v(x, y) = — rs%y(.x2 + y2)

is a special solution of Poisson's equation and w(xt y) a solution
of the equation
d2w d2w
--------1------- = 0 ,
dx2 ^ dy2
W \r=R = —v\r=R*
135. u(r, <p) = |^(a4 + b*)r* -

a 464 "1 cos 2w
- (*6 + 266) '2 - (*2 -
136. u(r, z) =
/inz
©in
2 00 R
R2 n^=1 (*nh
©in
R
where p i , p z , p 3, . . . are the positive roots of the equation J o ( p ) = 0.
H int: Integrate the equation
82u 1 du d2u
= 0
77 7 77 + 77
u(0 , 2) is bounded
u{R, z) = 0;
«(r, 0) = 0,
»(>'^) =f(r)-
pnZ
©in Jo (/*» 7? ) r / _\
T
137. «(r, Z
1 ©in
T 0J
where [i\, ^ 2, /J3, .... are the positive roots of the equation
ji(/*) = 0 .
Hint: Replace the second boundary condition of problem 136 by
the following:
M R . z) = 0.
dr
138. u(r, z) =
where p i, p 2 , ps> • • • are the positive roots of

— «RM n) = 0 .
Hint: Replace the second boundary condition of problem 136 by
the following:
du
—----b ecu\r=R = 0.
dr
/ nnir \
2 00 J0V A / f nnx
139. u { r ,z )= — S sin —-------^ ( /(*) sin —— ax.
h n=i h ( nmR \ J n 1
/ \ h
2 - wrcz j 0 l h ) C„ x 7
140. u(r, z) = — cos —-— ax.
* . ? , cos— - T T ^ rx J ^
Jo( — J"
H in t: Integrate the equation
d2u 1 du d2u
------- 1------------ 1------- = 0
dr2 r dr dz2
u(0 , z) is bounded
du(rf 0) du(rf h)
= 0 , u(R, z) = /(*).
dz dz
141. u = 4uoRy 2 j»(^) x

«-x J o W K + i? V )
~ - f*n(H — z) fln(H — z)
(in © of--------------- 1- pR ©tn
R R
X
(in ©of + PR ©in n^
R ,r R
where pi, p 2 , P3 , • • • are the positive roots of the following equation
n JoG») + r RJo{(i) = 0 .
Hint: The problem can be reduced to the integration of Laplace's

equation
1 du
H------------ 1-------- = 0
dr2 r dr dz2
where the following conditions have to be satisfied.
du
u(0 , z) is b o u n d e d ,------ \- yu = 0,
dr r=R
/ v
u{r, 0) = u0, — + Pu = 0,
oz z= H
Here y = , P= h\ and are the coefficients of heat

k k
exchange of the lateral resp. upper and lower sides of the cylinder,
k is the coefficient of heat conduction.
1•3 •5 • • • (2n — l)(4» + 3)
142. u(rf 6) = w 0 S ( - \)n X
n= 1 2-4-6---(2n + 2)
/ r \2 n + l
X P2n+l (cos 0),
W ■
n
The P n{%) are the Legendre polynomials.

Hint: The problem can be reduced to the integration of Laplace's
equation
d2u 2 du 1 d2u ctg 6 du
------- 1------------ ^------------- 1-------------- = 0
dr2 r dr r2dd2 r2 dd
subject to the following conditions:
n
u0 for 0 < 6 < — ,
z
u{R, 6) = f(0\ =
n
0 for 6 = — .
2
143. v(r, 6, <p) = i Y n(6, <p),

n = 0 V n \k R )
100 S O L U T IO N S AND H IN T S
with
y>n(x)
Jn+l(*)
\/ x
Y n(B, <p) = an(iPn (COS 0 ) +
n
+ 2 (anm cos mcp + bnm sin nup)Pn m (cos 6);
m=1
2n + 1 (w — m) ! f f
- ~ 2 ^ r J J ”)P- <cos9) cos
(S)
m
^+^1J Jw r f - <C0!*>81,1
(S )
[<5m = 2 for m = 0 and dm = 1 for m > 0 ; P n>0 (*) = -?»(*)]•

It is presupposed, that k is not an eigenvalue of the following
boundary value problem:
A v + k 2V = 0, v\r= R = 0.
H int: Introduce spherical coordinates r, 0, <p. A solution is obtained
in the form of a product.
v(r, 0, <p) = i?(r) Y(0, ?)•
oo
144. v(r, 6, <p) = elm,p S am,(kr) Pi„m (cos 0) .
i=i •Plj.m (cos «) ’
dmPi(x)
Pl,m{x) — (1 #2)m/2 dx™
The Pj(%) are the Legendre polynomials,

_ Y ll+i{kb)]h+i(kr) - h +i(kb)Ylj+i{kr)
9h{*r) ------------------------- ^ ,
h, h t h t . . . are solutions of the equation

Y l+i(kb)]l+i(ka) - J l+i(kb)Yl+i(ka) = 0, (*)
ff{r)q>l{kr)dr
a1 = — b------------------------------------ •
f<Pl(kr)dr
We have to assume that the equation (*) has for given k solutions
lj such that m(cos a) 4 =0 for all j.
If a solution ljo satisfies
(c o s a ) = 0
then it is necessary and sufficient in order that the problem can be

solved that
b
au = 0 , that is ff(r)<pllt (kr) dr = 0 .
a
If it is possible to satisfy this condition, the solution can be ob
tained in the form of a series in which the term corresponding to
j = j0 is left out. In this case the solution is not unique. Terms of
the form
Ah(Pi,Skr)p i,<
,.'. (c o s 0 )e<m*
can be added. A jo is an arbitrary constant.
Hint: Introduce spherical coordinates r, 0, 9 . and assume
v{r, 0, q>) = P(r)P( 0)^ wv.
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Scientific Publications by
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M. M. Lavrentiev
Some
Improperly Posed
Problems
of
Mathematical Physics
Springer Tracts in Natural Philosophy
Volume 11
Edited by C. Truesdell
Co-Editors: R. Aris • L. Collatz • G. Fichera • P. Germain
J. Keller • M. M. Schiffer • A. Seeger
M. M. Lavrentiev
Some Improperly Posed Problems

of Mathematical Physics
Translation revised by
Robert J. Sacker
Springer-Verlag New York Inc. 1967

Professor Dr. M. M. L avrentiev
Academy of Science, Siberian Department
Novosibirsk - U.d.S.S.R.
Dr. Robert J. Sacker

New York University Courant Institute of
Mathematical Sciences
All rights reserved, especially that of translation into foreign languages. It is also forbidden to reproduce
this book, either whole or in part, by photomechanical means (photostat, microfilm and/or microcard)
or by other procedure without written permission from the Publishers. © by Springer-Verlag Berlin •
Heidelberg 1967. Library of Congress Catalog Card-Number 67-13673 Printed in Germany
Title-No. 6739
Preface
This monograph deals with the problems of mathematical physics which

are improperly posed in the sense of Hadamard.
The first part covers various approaches to the formulation of improperly
posed problems. These approaches are illustrated by the example of the classical
improperly posed Cauchy problem for the Laplace equation.
The second part deals with a number of problems of analytic continuations
of analytic and harmonic functions.
The third part is concerned with the investigation of the so-called inverse
problems for differential equations in which it is required to determine a dif
ferential equation from a certain family of its solutions.
Novosibirsk June, 1967 M. M. L a v r e n t i e v

Table of Contents
Chapter 1 Formulation of some Improperly Posed Problems of Mathematical

Physics
§ 1 Improperly Posed Problems in Metric Spaces........................ 1
§ 2 A Probability Approach to Improperly Posed Problems . . . 8
Chapter II Analytic Continuation
§ 1 Analytic Continuation of a Function of One Complex

Variable from a Part of the Boundary of the Region of
R egularity................................................................................... 13
§ 2 The Cauchy Problem for the Laplace E q u a tio n .................. 18
§ 3 Determination of an Analytic Function from its Values on
a Set Inside the Domain of Regularity...................................... 22
§ 4 Analytic Continuation of a Function of Two Real Variables 32
§ 5 Analytic Continuation of Harmonic Functions from a
Circle............................................................................................ 38
§ 6 Analytic Continuation of Harmonic Function with Cylin
drical S y m m e try ....................................................................... 42
Chapter III Inverse Problems for Differential Equations
§ 1 The Inverse Problem for a Newtonian P o te n tia l.................. 45

§ 2 A Class of Nonlinear Integral E q u a tio n s .............................. 55
§ 3 Inverse Problems for Some Non-Newtonian Potentials . . . 62
§ 4 An Inverse Problem for the WaveEquation............................ 63
§ 5 On a Class of Inverse Problems for Differential Equations . 65
B ibliography...................................................................................................... 70
Chapter 1
Formulation of some Improperly Posed Problems

of Mathematical Physics
§ 1. Improperly Posed Problems in Metric Spaces
The notion of correctness* introduced at the beginning of our century by

the French mathematician H a d a m a r d plays an important role in the investiga
tion of the problems of mathematical physics. One often says that a problem is
solved if its correctness is established.
Various authors present notions of correctness which coincide in their
essence but differ in details. We give one of the possible definitions of correct
ness which is convenient for our aims.
Let 0 , F be some complete metric spaces, and let Aq> be a function with the
domain of definition 0 and the range of values F. Consider the equation
A<p=f (1.1)
Let us point out that most problems of mathematical physics can be reduced
to the investigation of the solution of equation (1.1) with a given function A
and right-hand side /. We say that the problem of solving (1.1) is properly
posed if the following conditions are satisfied:
1) The solution of (1.1) exists for any f e F .
2) The solution of (1.1) is unique in 0.
3) The solution of (1.1) depends continuously on the right-hand side /.
In other words, the problem of solving (1.1) is properly posed if there exists
a function B f defined and continuous over all of F, which is inverse to the
function Acp.
Linear problems are most often considered in mathematical physics. In
this case 0 , F are B a n a c h spaces, and A is a linear operator. The B a n a c h
spaces 0 , F in concrete problems are the known functional spaces C*l, L p, W*,
H q, S p, ... with the carriers in some ^-dimensional space of the independent
variables or on any part of the spaces of independent variables.
* Translator’s note: Hereafter we shall refer to the correctness or incorrectness of

problems which are respectively properly posed or improperly posed.
1 Springer Tracts, Vol. 11, Lavrentiev

2 Formulation of some Improperly Posed Problems of Mathematical Physics
The first requirement of correctness is that the problem should not be

overdetermined, and superfluous conditions should not be imposed.
The second requirement is that the solution be unique.
The third requirement of correctness, continuity of the inverse function B f
arises from the fact that in the real problems of mathematical physics the right-
hand side of equation (1.1) is obtained from measurements made with the aid
of actual instruments and is therefore known only approximately. Therefore,
it has been felt for a long time that if at any point / the function B f is dis
continuous, then the solution cp cannot be uniquely recovered from the right-
hand side /.
H a d a m a r d introduced the notion of correctness by giving an example of
an improperly posed problem which became classical and was included in
most text-books on mathematical physics. The example is the C a u c h y problem
for the L a p l a c e equation. It is well-known that the solution of this linear
problem does not depend continuously on the data obtained from any of the
functional spaces mentioned above. On the basis of this H a d a m a r d concluded
that C a u c h y ’s problem for the L a p l a c e equation and, in general, all problems
exhibiting a similar dependence of the solution on the right-hand side, do not
correspond to any real formulations, i.e., they are not problems of mathematical
physics.
It was discovered later that H a d a m a r d ’s conclusion was erroneous and
many real problems of mathematical physics lead to problems which are
improperly posed in the sense of H a d a m a r d . In particular a number of im
portant problems of geophysics lead to the C a u c h y problem for the L a p l a c e
equation.
There are still further examples of linear as well as nonlinear improperly
posed problems which are important in the applications, namely the solution
of the heat equation for negative time and C a u c h y data on the boundary, the
nonhyperbolic C a u c h y problem for the wave equation, inverse problems of
potential, and a number of inverse problems for differential equations.
At present there exists a number of approaches to the investigation of
improperly posed problems. We will now explain them using the above classical
C a u c h y problem for the L a p l a c e equation as an illustration.
We consider one of the simplest versions of the C a u c h y problem for the
L a p l a c e equation. Let u (x, y) be a twice continuously differentiable function
of the variables x, y in the rectangle
§<x<n, 0< y < H (D)
satisfying the following conditions
Au = 0, (x, y ) e D ( 1. 2)
q
u (x, 0) = u (0, y) = n (n, y) = 0.
§ 1. Improperly Posed Problems in Metric Spaces 3
It is required to determine its values on the segment y — h, 0 < x < Jt by

its values on the segment y = 0, 0 < x < ji .
The problem stated is equivalent to the solution of equation (1.1) where
(p, / stand for the functions of the variable x
(p = u ( x , h )
f = u ( x ,0 ) .
A is a linear integral operator with the kernel
<*} 00
K h(x, £ ) = - Y c o s / f 1 k /is in kx- sin k£,.
71h= 1
The functional spaces 0 , F considered in the given example are the H i l b e r t
functional spaces with the scalar products of the form
00
(Vi,(p2)= Z *k<Pki'<P2 0 are some sequences.
We note that spaces of such form are, in particular, the spaces Wj, with the
norm
dJ
I M U '= Z cj 7V>
j =0 dxJ L2
It may be easily seen that the solution of (1.1) in the case under considera
tion is unique, but for its existence and continuity it is insufficient to let 0 and
F be some W j with finite /.
To make the problem properly posed one can introduce a sufficiently
“ strong” norm in the data space F o r a sufficiently “ weak” one in the space 0.
It is quite evident that the solution of (1.1) is correct in the sense of our defini
tion, if the sequences Xk>/uk in (1.3) satisfy the inequality
V kh< C / t fc (1.4)
The inequalities (1.4), in particular, are satisfied by the following sequences
?.k, pLk corresponding to the above possibilities
1/ —kh , i __i
*k ~ e > Fk ~ 1
(1-5)
A.k —1 , flk 6
However, the above approaches have the following defects. In the first
case the statement does not cover the range of problems in which the errors
in the data may be considered to be small only in the “ ordinary” functional
spaces; in the second case solutions of the problem may be objects which are
not functions in the usual sense and do not correspond to physical reality.
We now formulate some approaches to the question of correctness of
problems of the type under consideration which are free of the above defects
and, in our opinion, quite natural from the standpoint of applications.
The first approach consists of changing the notion of correctness, namely,
to one having requirements different from 1), 2), and 3).
We now state the requirements. In addition to the spaces 0 and F and the
operator A, let there be given some closed set M a <P.
We call the problem for the solution of (1.1) properly posed according to
T y k h o n o v if the following conditions are fulfilled.
1) It is a-priori known that the solution q>exists for some class of data and
belongs to the given set M,cpe M.
2) The solution is unique in a class of functions belonging to M.
3) Arbitrarily small changes of the right-hand side of / which do not carry
ihe solution (p out of M correspond to arbitrarily small changes in the solu
tio n^.
We denote by M A the image of M after the application to the space 0 of the
operator A.
Requirement 3) can be restated in the following manner,
3) The solution of equation (1.1) depends continuously on the right-hand
side / o n the set M A.
If M is a compact set the following statement holds (see [17]).
If equation (1.1) satisfies the requirements 1), 2) of correctness due to
T y k h o n o v , then there exists a function <x (r) such that
a) a ( t ) is a continuous nondecreasing function with <x (0) = 0.
b) for any (pv (p2e M satisfying the inequality
Q(Acp1,A(p2)<e
the following holds
e(0i><P2)^ a O O -
Thus, the requirement of continuous dependence 3) is satisfied if 1) and 2) are
satisfied.
We note that, if a problem is properly posed according to T y c h o n o v and
we replace the metric spaces 0 , F b y their supspaces M, M A then the problem
becomes properly posed in the usual sense.
The necessity of examining spaces <P, F together with M, M A is due to the

fact that in real problems the errors committed in the determination of the
right-hand side / usually lead to / outside of M A. The consideration of the
problem according to T y k h o n o v ’s formulation gives the possibility of construct
ing an approximate solution with a certain guaranteed degree of accuracy in
spite of the fact that an exact solution of (1.1) with approximate data either
does not exist at all or may strongly deviate from the “ true” solution.
In the C a u c h y problem for the L a p l a c e equation we consider as the set M
the sets defined in the following manner: wc denote by A hi an integral operator
with the kernel
2 00
K h (x, £ ) = - V cos IC1 kh.sinkx-sin k£
n o
and let
( p e M (/, /ils C)
if
<P= A h{ip, | M k 2i< C , (/tj = H — h).
We now give evidence that our formulation is natural for the case in which
the C a u c h y problem for the L a p l a c e equation is used for the solution of the
geophysical problem of interpreting the gravitational or magnetic anomalies.
The problem of interpretation of geophysical data is as follows: the characteris
tics of some physical field interacting with the inner layers of the earth are
measured on the earth’s surface. Certain characteristics of the structure of
these layers are required to be determined. In interpreting the constant magnetic
and gravitational fields there often arises the following situation. An upper
layer of the earth’s crust consists of uniform sedimentary rocks. The thickness
of the sedimentary rock layer may be estimated from below by some constant
M. The anomalies observed on the earth surface, i.e., the C a u c h y data for a
harmonic function, are generated by some bodies lying at a depth exceeding H
and the ultimate aim of an observer is to determine these bodies. This problem
is rather complicated; its solution is not unique if one proceeds only from
measurements of a field on the surface. However, by proper evaluation of the
general geological situation and with well chosen supplementary hypotheses,
the observer often succeeds in finding solutions with satisfactory accuracy.
It is important in this problem to make good estimates on the number of
the bodies, their approximate position, and their size. For the case in which
the average depth of embedding of the bodies is substantially less than their
horizontal dimensions and the spacing between them, the distinct extrema of
the anomaly correspond to distinct bodies. However, if the average depth of
imbedding roughly coincides with or exceeds the characteristics horizontal
dimensions, then there is no such correspondence. It is possible for two bodies

to cause one extremum situated in the gap between them. In order to obtain
the case in which the depth of embedding is less than the horizontal dimensions
one uses the solution of C a u c h y ’s problem for the L a p l a c e equation. The
existence of the solution is ensured by the fact that the field to be measured is
generated by real objects and by the fact that in the region of evaluation, the
depth of which does not exceed H, singularities of the field do not occur. The
fact that the solution belongs to the set M is guaranteed by the fact that in the
earth’s crust one does not encounter bodies of excessive density or with magnetic
intensity exceeding some completely determined constants. For example, when
n (x, y) is a gravitational potential the above considerations guarantee that
the solution belongs to a set M ( 2, hx, C), in the case when u is a component
of the gravitational field stress—Af (1, hu C), and in the case when it is a
component of the magnetic field stress—M (0, hx, C).
This approach to the question of the formulation of improperly posed
problems was originally proposed by T y k h o n o v [17]. A systematic investiga
tion of various problems, properly posed in the sense of T y k h o n o v , was carried
out in [28], [31], [50], [56]. A detailed description of the definitions as well as
the investigation of a number of problems which are properly posed in the
sense of T y c h o n o v are contained in the monograph [35],
Another possible approach to the study of improperly posed problems is
to let the notion of correctness remain unchanged, but change the notion of a
“solution” of the problem. Besides the spaces 0 and F a n d the operator A let
there be given, as in the preceding case, some set M. By a quasisolution of
equation (1.1) we mean an element ip defined by the relation
Q ( A i p J ) = m in g ( A ( p , f ) .
<p e M
We note that the problem of finding a quasisolution is one of nonlinear

programming. From the theorems of nonlinear programming one obtains the
corresponding theorems on the correctness of the problem of finding a quasi
solution.
The problems which may be regarded as properly posed according to
T y k h o n o v are those for which the notion of quasisolution may be suitably
introduced. In some cases the quasisolution may be non-unique, but when the
problem is properly posed due to T y k h o n o v , any quasisolution constructed
using an approximate right-hand side will be one of the best versions of an
approximate solution of the problem.
The notion of a quasisolution was introduced in [45], Even though, as
previously mentioned, the range of applicability of this notion coincides with
that of the notion of correctness due to T y k h o n o v , the notion differs by offering
greater clarity and simplicity.
The most general approach to improperly posed problems was given in the
recently published works of Tykhonov. Following [18] we define a regularizor
for Eq. (1.1) to be any one-parameter family of operators Bz having domain of
definition F a n d range of values (P and satisfying the following conditions
1) for any r > 0 the operator B z is defined and continuous over all of F.
2) for any(pe&:
lim BzAcp = <p.
T- 0
We call the problem of solving (1.1) regularizable if there exists a regularizor

for (1.1). It may be easily seen that the regularizor permits us to construct a
solution with a guaranteed degree of accuracy according to the approximate
right-hand side. In fact, let j be the right-hand side of (1.1) with an error e,
i.e.,
£ ( /,/) < £ .
We denote
= (pz= B zA(p
and estimate the quantity o ((p,<pz).
By the triangle inequality
Q((p, <pz) < Q((p, (pz) + Q((pz, (pz) . (1.6)

It is clear that
Q((p,(pz) < OCj (t)

(1.7)
Q((pz, (pz) < oc2 (t, e)
where ocl (r) is a function characterizing the rate of the convergence of B zA(p
to (p, and <x2 ( t , e) is the modulus of continuity of the operator Bz at the point
Aq>. The functionsoq (r) a n d a 2 (T>£) for fixed r are continuous and monotonic,
and a, (0) = a 2 (T5 0) = 0.
Substituting (1.7) into (1.6) and setting r equal to a root of the equation
<*i 00 = a 2(T,£) (1.8)

where (t), is the inverse of (r), we obtain
Q((p,(pz) < 2 a 4(T). (1.9)
It is evident that the root of equation (1.8), and therefore, the right-hand
side in the inequality (1.9) tends to zero as e -> 0.
In contrast to the first two approaches, in the notion of regularizability we
consider no additional sets other than the basic spaces 0 , F. This accounts for
the greater generality of this approach. Apparently, all the problems of mathe-
matical physics connected with real phenomena are regularizable. ( H a d a m a r d

regarded all such problems to be properly posed.) In [22] the regularizability
of a rather wide class of equations (1.1) has been proved.
In conclusion we point out the relation between the notion of a quasisolu
tion and a regularizor. Suppose the solution of (1.1) is unique. Let M t be a
one-parameter family of compact sets (r > 0) satisfying the requirements
Mn c M (2, r L< r 2 u M t = 4>,

T> 0
and let B x be a continuous operator with domain of definition F such that Bxf
is a quasisolution of (1.1) with the set M = M x. It is evident that the operator
Bx is a regularizor for equation (1.1).
Besides the above three approaches to improperly posed problems, an
approach related to the theory of probability has been developed to some
extent. The next section is devoted to this approach.
§ 2. A Probability Approach to Improperly Posed Problems
The theory of probability was first utilized in the investigation of improperly

posed problems in a paper by K halfin and Sudakov [66]. The authors restricted
their investigation to the classical Cauchy problem for the Laplace equation.
The main content of the paper is as follows.
The Cauchy data are assumed to consist of a sum of two items, the “exact
data” and the “error” . The “error” is a realization of a stationary random
process. The question to be investigated is, under what conditions on the
autocorrelation function of the error will this error insignificantly affect (in the
average) the solution of a problem. It turns out to be sufficient that the spectral
function o f the error should be small in the H ilbert space with the exponential
weight.
K halfin and Sudakov’s approach is analogous to a “determinate” approach
in which the class of permissible initial data (see Section 1) is narrowed. We
present here a statistical approach similar to the determinate one in which the
notion of correctness according to TYKHONOVorof quasi-solutions is introduced.
In this case we shall use the notions and definitions o f information theory
presented in the paper by D obrushin [49].
As it was noted in Section 1, most of the problems of mathematical physics
reduce to the examination of equation
A(p=f (1.1)
where (p, /a r e elements of the metric spaces 0 , F and A is a continuous operator.
In practice the right-hand side is, as a rule, a result of observations made with
the aid of real physical instruments and therefore cannot be considered to be
§ 2. A Probability Approach to Improperly Posed Problems 9
given with absolute accuracy. However, in practice it is often the case that a
certain statistical distribution of errors in the definition of the right-hand side
of (1.1), and the statistical distribution of solutions (p are given. Motivated by
this we propose the following approach.
Let 0 , F b e measurable spaces (sec [49]), i.e., in the spaces 0 , Fbesides the
metrics, there are also given some cr-algcbras S S t of subspaces of the spaces
0 , F and the operator A is measurable. In addition let Q be a probability
space, i.e., a measurable space with cr-algcbra S n and with probability measure
P { } given on this oalgebra. The elements (p, f in (1.1) will be considered to
be random variables with their values in the spaces 0 , F. Moreover, we consider
also a random variable j with values in F—the right-hand side of (1.1) with
an error—and the random variable (/, / ) with values in F X F, the product
of F with itself. Let B be an operator with domain of definition in F and the
range of values in 0 , and let ip = B J , where (p, ,q> be sufficiently
small where the notion of smallness should take into account both the metric
of the space 0 and the distribution of random variables (<p, ip).
As an estimate of the deviation of the approximate solution ip from the
exact solu tio n ^ one may take, for instance, the quantity mo((p,ip)* or the
quantity P {<? (q>, ip) > e}. Corresponding to these, we introduce two notions
of optimal solution of equation (1.1).
1. The function ip = B f is called an optimal solution of (1.1) if
mQ(q>, <p) = m in .
B
2. The function ip = B f is called an optimal e solution of (1.1) if
P { q (<P, <p)>e} = m in .
B
If the above estimates of deviation of ip from <p do not exceed the number <5
we call ip a solution of (1.1) with accuracy <3 in the sense 1 or 2, respectively.
This statement is in its content close to the decoding problem of information
theory (sec [49]).
We note that since in our statement the operator A is determined, the
distribution of the random variable (p in 0 uniquely induces the distribution
of the random variable f in F while the joint distribution of f j in F x F
induces the joint distribution of the random variables^, / , in the space 0 X F.
Since / in the statement is considered to be given, we may consider the dis-
* m is the mathematical expectation, the random variable o (<p, ip) is assumed to be

measurable.
tribution in 0 induced by a joint distribution of (p, / at fixed / . If the dis

tribution is to be given, the above formulated problem of constructing optimal
solutions and solutions with prescribed accuracy become classical problems
of the theory of probability. However, the practical construction of the joint
distribution of(p, / may involve considerable difficulties, and so in most cases
it is expedient to choose simpler although less accurate methods.
The determinate approaches in which the notion of correctness according
to T y k h o n o v or of a quasisolution are introduced, may be regarded as parti
cular cases of the proposed approach. In fact, let the set M introduced in the
previous section be measurable, and
P { ( p e M } = 1. (1.10)
Clearly the equality (1.10) may be regarded as a priori information that

the solution q>exists and belongs to the set M.
Proceeding from the above ideas, we now give some results relating to
optimal solutions and to solutions with a prescribed degree of accuracy,
obtained under some additional assumptions.
1. Let F, 0 be H i l b e r t spaces. We denote by xpj a random variable in 0
whose distribution is induced by a joint distribution of (p, J for fixed /. One
can easily see that in this case the optimal solution in the sense of 1 is given
by the formula,
<P= $ V f d w (1.11)
Q
In fact, for any (p
m \ \ ( p - y ) f \ \ 2 = \\(p\\2- 2 ( ( p , ^ p f d(jj) + j\\xpf \\2 d(o
n n
from which follows the validity of our assertion.
2. Let the solution of (1.1) be unique, and let (1.10) hold, where M is some
compact set and M A is the image (in the space F) of the set M. Then, as noted
in the previous section, the operator A~l on a set M A is uniformly continuous.
Its modulus of continuity will be denoted by a (r).
Next let
P{e(fJ)>5} = 0 (1.12)
where <5 is a constant.
It can be easily seen that if e in definition 2 of an optimal solution satisfies
the inequality
£<<x(<5) (1.13)
then the quasisolution of (1.1) defined previously with the set M is an optimal
solution in the sense of 2.
In fact, let q> be a quasisolution of (1.1) with the righthand side / and the
set M.
§ 2. A Probability Approach to Improperly Posed Problems 11
Then, by virtue of (1.10), (1.12), (1.13) and the definitions of quasisolution,

and modulus of continuity a (t), we get
P{e(<P, <p) > £ } <5} = 0

which means that the quasisolution cp is e optimal in the sense of 2.
3. Let Bx be a regularizor of (1.1).
We estimate the accuracy, in the sense of 2, of the solution of (1.1) with the
aid of the regularizor Bx. We assume, in addition, that the operator Bx is uni
formly continuous on F for any I > 0, and denote by tx (e, ?.), ax (r), fi (t) the
functions
<
x ( c,A) = P { q (BxA(p, <p) > s}
ax (x)= max g ( B xu , B xv)

e (u, v) < t
By virtue of the above assumptions and the known properties of the random
variables
p {e ( B J , <p) < «} > max i> \ q ( B j , B , f) < - }; P i q ( B J , <p) < ■ (1.14)

H*
P je ( B j , B J ) < > Pjs ( /./ )e} < m ax (1.16)
We note that the estimate (1.16) makes possible an optimal choice of the
parameter ?. of the regularizor Bx.
4. We now give the estimates of the effectiveness of a particular regularizor
for the C a u c h y problem for the L a p l a c e equation considered in the preceding
section. Let F a n d 0 be the space L2 of functions defined on the segment [0, ti\
and A h be an integral operator
o
with the kernel Kh equal to
00
K h(x, £ )= ~ X c o s h -1 kh ■sin k x •sin .

n o
Next, let the distribution of the random variables (p, f, J be such that
P{\\Ahll (p\\>T} = (p2x2 + l) 1

/3{ l l / - / l l > * } = ( < z V + l ) - 1
As a regularizor Bx we consider an integral operator with the kernel
ry 00
Q x {x , q) = - Y cosh k h (1 + Xekh2y 1 sin kx- sin kc, h 2> h 1

n 0
One can show that the operator Bx satisfies the following relations
(1.18)
|| A,~1<p|| > r hllh>• r2 ( h ,, h 2) ■||(E - B ,A ) <p||
where
r , (h, lt2) = hm ‘ (h, - ft)<b-»W‘*• /,2“ 1

r2 (hI ,li2) = ( h 2 - h I) - (>‘ +‘ '>"a - h r ,',/'a -h2
From (1.17) and (1.18) we get
P{\\B}X j - f ) \ \ > B } s } = {q2X2hlh^ s 2r - 2 + l ) - 1 ,

P {\\BxA—E)(p\\ > e } A~'"/h2 ■r2 - e] = (pzl ~ 2 hl/h2 ■ + 1)~ 1 ,
from which it follows that
P { \ \ B j - 2 E } < m ax [ ( q 2X2hih>-e2r ; 2 + i y 1;( p 2r 2hl,h2-r2

2 + i y 1-].
(1.19)
It is evident that the first expression in the right-hand side of (1.19) mono-
tonically decreases as X increases, while the second one monotonically increases.
This means that in the sense of the estimate (1.19), the value of the parameter
of the regularizor will be optimal when the two expressions coincide. By
equating the expressions in the right-hand side of (1.19) we obtain
\h2l(h + hi)
P . r l r22 \
A0 =
£ /
P {\\BXJ - ( p \ \ > 2 E } < ( p hWl+hl}-q,n,ih+h0’EhiKh+hl)- r 3 + l) - 1 ( 1.20)
From (1.20) it follows that for any d, e > 0 there can be found a sufficiently
large q—the index of the “quality of the measurements” —so that the estimated
probability will be less than 5.
We also note that the regularizor Bx used by us also permits optimality
with respect to the parameter h2, but the analytical determination of the optimal
h2 leads to extremely complex calculations. It seems that the parameter should
be chosen on the interval [H, 2 H].
C hapter II
Analytic Continuation
The problem of analytic continuation is investigated in this chapter. Esti
mates of “ stability*’ for the solution of some problems are given, and concrete
solutions are constructed.
§ 1. Analytic Continuation of a Function of One Complex Variable from

a Part of the Boundary of the Region of Regularity
The problem was first considered by C a r l e m a n in [3]. The results were

obtained in [5].
I. The First Problem.
Let / (z) be an analytic function, regular and bounded in some bounded
domain D so that
|/ ( z ) |< M zeD (2.1)
F is the boundary of D\ F' is a part of F and F " = F — F'. Let the values of
/ (z) on F' be known, and suppose it is required to determine / (z) in some
part of D. We now prove a theorem characterizing the stability of the solution
of the problem.
Theorem 1. Let / (z) on the curve F' satisfy the inequality
|/ ( z ) |< e (z e f) (2.2)
Then the inequality
1 / (z)| < ;M 1 - “ (l)*et0 (z) (2.3)
will also hold where a>(z) is the harmonic measure of the curve F' with respect
to the point z and the domain D.
For the proof we consider the function
<p(z) = l n | / ( z ) | .
It is known that(z) satisfies the inequalities
14 Analytic Continuation
(p(z)< ln e zef'
(2.4)
(p(z)<lnM zef"
q>(z) < (o (z) In e + [1 —to (z)] In M (2.5)
The inequality (2.3) to be proved follows from (2.5).

The problem we are considering can be reduced to an integral equation
of the first kind and can be solved by one of the general methods. In fact, we
denote by D' the part of D in which / (z) is to be determined. We denote by
P, Q the ends of the curve F ’ and consider some points Pj, Qj ( j = 1, 2) lying
on F' sufficiently close to the points P, Q, respectively. We denote by T j the
part of r ' lying between the points Pj, Qj, and let the location of the points
Pp Qj be such that r ^ e (see Figure 1).
We draw a curve r i through Pu Qx which lies inside D so that the domain

D' lies inside the domain D x’ bounded by the curves r u r {; D ' e D\. It is evident
that in order to determine the function / (z) for any z e D' it is sufficient to
determine / (z) on the curve r i in view of the C auchy formula at z e D'
1 /( 0
/(z ) 2 ni f
r iur, (-z
dC
and the / ( z ) values given on r [ .

We denote by / , (z) the limiting values on the curve r ’2 of the CAUCHY-like
integral of the function / (z) on the arc F ’ as z tends to / j from inside of D ;
§ 1. Analytic Continuation of a Function of One Complex Variable 15
and by f x (z) we denote the values on the curve r t o f the CAUCHY-like integral
of the function / (z) on the arc F '
/(Q J _ r /(C)
2 ^ i j-, £ —z t/C,
f 2 (z ) T ^ lim I zeT j.
2.7ZI r' C -z
2 6D
The limiting values of the CAUCHY-like integral are calculated by the familiar
Sokhotsky formulas, so that for an investigation o f this problem we may
suppose that the functions f 2, are given.
We denote by A the operator transforming the arbitrary complex function
<p (z) on .Tj to the function \p (z) given on 7^ by the formula
Ct
2 n ij\ C -z
ze r[.
It can be easily seen that the validity of the equation
A<p(x) = f ( z ) - f 2 (z) z e r 2f
is necessary and sufficient for the value of the function cp (z) to coincide with
the values on of the unknown function / (z). Thus, the problem of deter
mining the function /(z ) on 7^ is equivalent to that of solving the linear
operator equation of the first kind
Then by the Cauchy formula for any : e 7 ,
/00= T
2 nî p;
! C
r ~- z « +/.W
from which it follows that the function / ( z ) on r.y is equal to
f (z) = B W (z) + / i ( z ) ,
where W (z) is a function defined on F ”
II W ( z ) \ \ < M ,
(M is a constant depending on D), and B is the operator transforming the
complex function W(z) given in r " to the function B W (z) given on 7^ by the
formula
BW (z)
J _ rWX0
2izip" C—z
It is clear that B is a linear completely continuous operator and therefore
in the problem of solving the equation
A(p = f ~ f 2
the conditions under which one treats linear operator equations of the first
kind are met.
We now consider another method of concrete solution based on the integral
formulas of Carleman type. We call a Carleman function for the domain D
and the curve T1' any function G (z, £, b) having the following properties
1) G(z,C,5) = ~ + G ( z,C,<5)
where G (z, £, b) is an analytic function of the variable t, regular and bounded

in the domain D.
2) the function G (z, t, b) satisfies the inequality
J |G(z,C,<5)MrfCI<<5.
r"
We will construct the concrete solution for the problem with the aid of a
Carleman function. Let the values of / (z) on the curve T ' be known with
accuracy e, i.e., a function f e (z) is known on the curve 71' such that
| / £( z ) - / ( z ) |< £ , zer.
We denote by the function f s (z)
/j(z )= Z—m rJ>G(z,C,«)/«(0<fC,
and estimate the difference / (z) — f s (z).

According to C auchy’s formula
/(Z ) = Z^m7 pI G ( z , C , 6 ) / ( 0 d ( -
Therefore
/ ( z) - A ( z)= ^Z m
L rJ,>
+ —71 i pJ' G(z,C,^)[/(0-/.(C)]<lC- (2.6)
In virtue of (2.1) and the second property of Carleman functions the first
integral in the right-hand side of (2.6) satisfies the inequality
IJ G/(C)dCI<<5-M. (2.7)
r"
In virtue of (2.2) the second integral in the right-hand side of (2.6) satisfies
the inequality
§ 1. Analytic Continuation of a Function of One Complex Variable 17
IJ G [/(0-/,(C )]rft|S/i(z^)-c-/, (2.8)

r
where y' is the length of the curve T ’,
;t(z, <5) = max | C) .
Substituting (2.7), (2.8) in (2.6) we obtain
I/ 0 0 - f 50)1 [<5M + /i(z, 5) •c ■/ ] . (2.9)
Let the C a r l e m a n function be known. We denote the root of the equation
5 ey'
(2 .10)
/t (z, .5) M
by (5 (z, f), and put
<5= 5 (z, c)
in (2.9). Then the inequality (2.9) becomes
\ f (z ) ~ f s ( z)\ < — M S ( z , c ) (2.11)

71
It is evident that as £ —►0, <5 (z, e) and therefore the right-hand side of (2.11)
tends to zero. Hence, if the C a r l e m a n function G (z, £, (5) is known, the func
tion f dt (z) may be considered to be an approxim ate solution of the problem.
The difference between the “ true” solution / (z) and the approxim ate one
f Se (z) is thus estimated by the above inequality (2.11).
It is evident that the smaller the function /r (z, <5) is, the higher will be the
precision o f the approxim ate solution obtained by the above method. We shall
now display a family of C arlem an functions with minimal /c (z, 5) in the case
where D is a simply connected domain.
Let 0X(z, £) be the function which is harmonic with respect to the variable £,
regular in the domain D and on r takes the boundary values
0 1( z , C ) = l n | z - a Cer.
We denote by 02 (z, £) the harmonic function conjugate with respect to
0j (z, £) and by 0 (z, £) we denote the analytic function
0 (z, 0 = (z, 0 + i02 (z, 0 ~ Qi ( z >z) “ i °2 (z >z) •

Let a) (z) the harm onic function conjugate with respect to the harmonic
measure cu (z), and W (z) the analytic function
W (z) = (o (z) + iw (z) .

We consider now the function
W(Q + 0 ( z , O - q ( z , t 5)
where
It can be easily seen that this function is a Carleman function,
( 2. 12)
The constructed Carleman function is best possible from the standpoint

of estimating the precision of the approximate solution by (2.11). However,
it turns out that for certain domains the construction of the function is some
what cumbersome. Therefore, in order to solve the problem it is preferable,
in most cases, to use another Carleman function, namely ,the one pointed
out by Carleman himself (see. ref. [3], [29]). This function does not give high
accuracy, but its actual construction is rather simple.
§ 2. The Cauchy Problem for the Laplace Equation
The Cauchy problem for the L aplace equation in the plane is similar to
that of analytic continuation considered in § 1. An analytic function is to be
determined from its values on a curve on which Cauchy data are given.
In fact, let the value of the harmonic function u (x, y) and its normal
derivative 0/0n u (x, y) be known on some curve F. We denote by / (z) (z — x
+ iy) the function / (z) = u + iv where v is the function conjugate to w. It is
well known that on the curve r
Z Q
v(z) = f — u ( z ) d s + C
L Qn
where z0 is one of the endpoints of T.
Hence, if u (z), 0/0/t u (z) are known on F, one may consider that the
values of the analytic function f (z) on r are known.
This section deals with the extension of the Carleman function method for
the case of harmonic functions in a thre-dimensional space.
Let D be some domain of three-dimensional space bounded by a sufficiently
smooth and closed surface E. Let E' be a part of E, and
Z " u Z ' = Z.
§ 2. The Cauchy Problem for Ihe Laplace Equation 19
We call a Carleman function for the domain D and the surface 2’ any
function of the three-dimensional vectors x, £ and the scalar parameter i>
satisfying the following conditions
0 G ( . v , { , S ) = - ^ + C 1(.v,{,<5)
where r (x , £) is the length of the vector x — and (7, (x, £, <5) is a harmonic
function of £, regular and bounded together with its gradient in the domain D.
2) The function G (x, (5) satisfies the inequality
1
da4< <5 (2.13)
4 71 i { |G|+
where 3/3/2* is the normal derivative with respect to the surface 2, and da* is
the element of area on 2 with respect to the variable
Let the Carleman function G (x, ij, 6) for the domain D and the surface 2 ”
be known. By making use of the function G (x , 6) we can prove a “ stability”
theorem and carry out the method of concrete solutions of the Cauchy problem
for the Laplace equation in three-dimensional space. We denote by /« (a, (5)
the function
f.i (a-, <5) = max

4eL'
Theorem. Let the harmonic function u (x) be regular inside D and contin
uously differentiable over the closure of D, and let it satisfy the inequalities
l» (*)| + a Z " (x) < a x e I'

(2.14)
IU(.x)| + If (x) < M xeZ"
dnx
Then the inequality
\ u ( x ) \ < 2 M r ( x , s) (2.15)
also holds; where r (a , e) is a root of the equation

/r (x, t) •£ = Mx (2-16)
It is evident that z (x, e) ->■ 0 as e —>0.

It is clear that the value of the harmonic function u (a ) at a point x inside
D is expressible in terms of the //, 0/0/2 u values on the boundary D accor
ding to G reen’s formula
3 3
— U—— G-U da*s
“(x)=4 ^ i 3n 3n
from which, by virtue of (2.13) and (2.14) it follows that
\u(x)\<n(x,5)-s + M - d . (2.17)
Assuming that (5 in (2.17) is equal to a root of equation (2.16) we obtain
inequality (2.15).
The construction of the concrete solution with the aid of the C arleman
function is completely similar to that given in Section 1. Let the C auchy data
for the function vr (x) on the surface X' be known with accuracy e, i.e., the
functions <p£ (x), ipe (x) are known on the surface X' so that
|<pe( x ) - « ( x ) |< £ ,
xeT (2.18)
and let the function u (x) on the surface X " be known to be bounded together
with its normal derivative so that
_ T'//
Iu (x)| + <M , xel . (2.19)
We consider the function
G -vA O -^G -tpA D d(Ts,

'“ W = 4 i r ! L
and estimate the difference u (x) — us (x). Substituting the corresponding

integral expressions for u, u3 and utilizing inequalities (2.13), (2.18), and (2.19),
we have
\ u ( x ) - u s (x)\ =
A !l [ GT nU- £ , G'l'] d,7<
+ ( 2 . 20)
S'
< 2 M 5 + n ( x , 5 ) b --—
471
where S ' is the area of the surface X'.
Let d be a root of equation (2.16). Then inequality (2.20) takes the form
I« (*) - us (x) | < M t ( x , e) \ 2 + ^ j . (2.21)
Hence, if the Carleman function G is known, the function u&(x) will be an

approximate solution with accuracy estimated by the inequality (2.21).
§ 2. The Cauchy Problem for the Laplace Equation 21
We now turn to the problem of constructing the Carleman function. The

existence of the Carleman function for an arbitrary simply connected domain
D and for any part of the boundary £ ' bounded by a smooth curve follows
immediately from results of M ergelyan, [47], In that work it was established
that for any arbitrary pair of continuous functions q>(x ), ip (x) defined on a
smooth piece of the surface £ ' and for any (5 > 0 there exists a harmonic
polynomial H m (x ) of order m satisfying the inequalities
I I < <5
( 2.22)
<5.
In this paper an algorithm is given for the construction of the poly

nomial.
We consider the function [r (.v, f)]-1, and let the point x lie inside the
domain D. We fix 6 and construct a harmonic polynomial P m (x, £) of order in
with respect to the variables £k satisfying the inequalities
\ r - ' ( x , 0 - P m( x , ® \ < 5
£ e l"
0 _1. 0 _ . ...
<<5.
Tnr
We denote by G (x, (5) the function
G (x, Z,$) = r ~ \ x , £ , ) - P m(*, 0 . (2.23)

It is evident that the function G defined by equality (2.23) is the Carleman
function for domain D and surface £'.
The above method for the construction of Carleman functions is distin
guished by its great generality. However, the algorithm for such a construction
is very complicated. We now give a simpler method for the construction of a
Carleman function for certain values of x.
We denote by -Q (x , >;) the sphere with center at the point tj and intersecting
the point x. Let the point x e D satisfy the condition: There exists a point rj
such that the surface £ " lies inside the sphere Q (a:, rj). By expanding the
function r~l (x , I) in Taylor series in the variables — rjk, we obtain
r ~ l { x ^ ) = Y J Pk {x,t],^-r]) (2.24)
o
where P k is a homogeneous harmonic polynomial of order k in the variables
£. — rjj (_/ = 1, 2, 3). We denote by Gn the function
G„ (x, t j , 0 = r ~ 1( x , 0 - ’E P k (x, ih Z - r j ) .
o
Ft may be easily seen that the function G„ satisfies the inequality
|G„| + Igrad Gn\ <■ 2 n ^-> l\n (2.25)

Ix -n rW x -n i-^-n i)2
in fact, on any ray £ — i] = 2 ty where r is a scalar and y is a unit vector, the
sum
Z pk (x, n, Z P k (.x, >1, x, y )

o o
is a partial sum of the T aylor scries in the variable r for the analytic function
1
F ( x t x,ri,y) =
^ \ x - ) ] \ 2 + 2 - c { x - i ] , y ) + T2
The inequality (2.25) then follows from well know estimates for the reminder
term for elementary analytic functions.
From (2.25) it follows that if the number n satisfies the inequality
., , 2 n R" (l" ) 1
<<5 (2.26)
\x->l\n+1 [ \ x - t j \ - R ( n f
where S " is the area of the surface E " and
R ( Z ”) = max 1 ^ 1 , £eZ \ (2.27)

then the function G„ is the Carleman function for the domain D and the
surface E'.
§ 3. Determination of an Analytic Function from its Values on a Set Inside

the Domain of Regularity
Let / (z) be an analytic function, regular in the unit disc D,
|/ ( z ) |< l , zeD (2.28)

and let A be some set inside the disc
| z |< R < l (Dr ).

The problem is to determine / (z) in the entire disc D R from its values on A.
It is evident that for the solution of our problem it is sufficient to determine
/ (z) on the circumference
M=-R ( r R)
since according to the C auchy theorem

§ 3. Determination of an Analytic Function from its Values 23
/W = ^ i f (2.29)
We denote by L the operator which transforms the function given on F R

to the function given on the set A by the formula (2.29), and by Lj the operator
which transforms, by means of the formula
the function given on I \ to the function given on F R. It is evident that L, L,

are linear, completely continuous operators.
Solving this problem is equivalent to solving
Lcp = f (2.30)
where / is the known function defined on A, and <p is the function to be found
on I \ . and
<P= L 1ip (2.31)
where ip is a function defined on satisfying the inequality
M <1. (2.32)
Hence, the solution of the problem is reduced to the solution of an integral
equation of the first kind (2.30), i.e., to the determination of the function^
from the known function /, provided it is known that the function (p satisfies
the conditions (2.31), (2.32).
Now, we prove a theorem which characterizes the stability of the solution
of the problem.
We introduce first some definition sand notation. Let A be a set of points on
some curve. Let us denote by H n (A) a system of n intervals containing the
set A
H n( A ) ^ A
and by / 1 (H „) the linear measure of H„. We call the infimum of fi ( i / n) for all
possible H n containing A the n-measure of the set A and denote the M-measure
of A by
/<„(/4) = in f//(H n(^ ) ).
It should be noted that this n-measure is unusual since, in general, it does

not possess the property of additivity. However, it is evident that n-measure
possesses the following property which replaces in some sense the additivity
/<n, ( A l) + j.i„2{A2 )> !V +n2 Cî + A 2) ■

Now, let A be a set of points of the complex plane lying in the disc DR.
We denote by A r the radial projection of the set A onto the circumference
|z| = r .
Let W (z) be a conformal mapping carrying the unit disc onto itself, and
carrying the set A onto the set A w cz D re where D rq is the annulus
0 < r < [ z |< p < l (Drg)
By (S* (A) we denote the supremum of fj,„(Awr) taken over all possible
mappings W (z)
/C O O = s u p ^ G O .
Theorem. Let A be a set lying inside the disc
\z\< R< 1 (Dr )
and let the analytic function / (z), regular in D, satisfy the inequalities
l / ( z ) |< l (zeD)
|/ ( z ) [ < £ (zeA)
Then the inequality
ln e ( l —|z|)
1/ (z)| < ex p (2.33)
1 In .
is valid, where Cx is some constant dependent of the radii q, r, R and p satisfies
the inequalities
P
'li? (A ) " tf-iG O "
<£< (2.34)
I c 2 J I c 2 j
with C2 also dependent on g ,r ,R .

First we prove two lemmas.
Lemma 1. For any points z, a lying in the annulus D rg the following ine
quality is valid
a —z ar- z r
>
1 —az 1 - arzr
where ar, zr are the radial projections of the points a, z on the circle r r
|z| = r .
Without loss of generality we may consider the number a to be real and positive.
Let first |z| > a. We consider the function
2
a —xz
A W = l —axz
Differentiating the function 7, (r) we obtain
/ 1 ( l ) - 2 ------------------------------- (z = x + iy)
Let
x<a
then
(v24- y 2) (1 + a 2 - ax) — ax > x 2 + y 2 — a 2 > 0 .
Now let
x> a
then
(x2 + y 2) ( l + a 2 —a x ) - a x > ( x —a)(I —a x ) x > 0 .
Hence
7 i(l)> 0
from which it follows that for \z\ > a.
a —zi
> (2.35)
l —az 1 —az |
Now, let
|z| = | n | .
a —z
h (t) = t
1 —t az
Differentiating the function / 2 ( t ) we obtain
/2 ( 1 ) ----------- ( T ^ F y 1 >0
from which it follows that for \z\ = \a\
a —z ar —z r
> (2.36)
l — az l - a rz r
Finally, for |z |< \a\, we consider the function
2
T —Z
/ 3 (t) = 1 —TZ
Differentiating the function / 3 (r) we have
,, 0 [ a 2(x2 + y 2) - 2 a x + l ] ( a - x ) —( x 2 + y 2- 2 a x + a 2) ( a -\ z \z —x)
7-1 —2 rz _
Let
a ( x 2 + y 2) —x < 0
then, clearly
i 'M > o.
Now, let
a ( x 2 + y 2) —x > 0
then
a - x > a ( x 2 + y 2) - x
and, hence
„ , w n l a ( x 2 + y 2) - x ] ( l - a2) [ l - ( x 2 + y 2)]
h ( ‘0 > 2 jj^ p i
from which it follows that for |n| > \z\
a —z
> (2.37)
1 —az
The inequality to be proved follows from inequalities (2.35), (2.36), and

(2.37).
Lemma 2. Let av a2, zu z2 be some complex numbers, and
\ai\ = \a2\ = \zi\ = \z2\ = r < \ .

Then, if the inequality
a, a2
a rg — < a rg — < n
Zi z2
is true, then the inequality
Z1 al <
1 ^ 1^1 1 —a 2 z 2
will also be true. In proving the Lemma, one may suppose that
£7i = a 7 = a
where a is real and positive.
Let
z 1= a e l<fl; z 2 = ae'q>1.
z —a
I(cp) = z = aex0
|1 - « z |4
from which we obtain the inequality to be proved.
We now prove the theorem. Let w = vr (z) be the conformal mapping of D
onto itself for which
< 0 0 = /< „00 t)
Under this mapping, the set A is carried into the set
C Dro-
Let us consider the function
<pO) = l n | / 0 ) |. (2.38)
It is known that<p (z) is a harmonic function, regular at those points of D

where the function / (z) is not zero. We consider some point a belonging to A w.
According to the condition of the theorem
l/(a )|= e „ < e (2.39)

From (2.38), (2.39) and well known properties of harmonic functions it follows
that
1/ 0 ) 1 =ea
on some analytic curve y a intersecting the point a (if / (a) = 0 then the curve
consists of the single point a).
Let the curve y a be an open arc in the annulus
^ - » '< |z |< - y ( l + 2 p) Dze
Then the curve y a either intersect one of the two circles
|z|=y<- O ',)
| 2 | = y ( l + 2e) (f„)
or bounds a domain containing D2jz r-

Suppose y a intersects the circle f r in some point av The distance between
the points a, ax satisfies the inequality
It is not difficult to show that by virtue of (2.4) the harmonic measure of the
curve y a in the domain D with respect to the point z satisfies the inequality
oi{z, ya) >

1271 1 + |z|
r 1 —|z|
(p (z) < -— — In e (2.41)
12 7t 1 + |z|
From (2.41) we obtain
r 1 1z I
|/(z)|< ex p < ln e (2.42)
1271 1 + |z|
In case the curve y a intersects the ring
| z | = - ( i + 2 e)
we similarly obtain the inequality
| / ( Z)|< e x p {,n £i ^ i ^ j } . (2.43)
Finally, if the curve y a bounds a domain containing D2/3r then from the
maximum modulus principle, in the whole domain D2/3t the inequality
|/ ( z ) |< £ zsD ir
is valid, from which the assertion of the theorem immediately follows.

Thus, if just one of the curves y a is not closed in the annulus D rg, the
statement of the theorem follows. Now suppose all the curves y a are closed in
D rg and consider any curve y a. As y a is closed in D, it follows that inside the
domain bounded by the curve y a there is at least one zero of the function / (z).
We denote by y the sum of sets y a, and by y r the projection of y on the circle
In the ring
— r < | z | < — ( 2 + e) D zq
suppose the function / ( z ) h a sp zeros at the point ak (k = 1, ...,/?) (roots are

counted according to their multiplicity), and let
1
We prove now that in D ro there exists a point z* such that
|F ( z * ) |< £ |"----- !----- 1" (2.44)

l c rflrpe(A)]
Let z be some point of D rg, and zr be the radial projection z onto F r.

By virtue of Lemma 1 we have the inequality
r r 1 akz r r ^ °kr~r
11 „Clkr ^ r (2.45)
M ok - z 1
Let us consider now the set y r. Since the function / ( z ) has p zeros in D rg,
it follows that the set y r consists of no more than p intervals. Then by virtue of
yr=> A v r
it follows that the measure of y r satisfies the inequality
Li(yr)> H pO 4).
We denote byy'the part ofyr which belongs to the semi-circle 0 < a rg z < n,
and by y" the difference
y'r= yr - y ' r
It is evident that one of the two inequalities holds
/t(} V )> y /z (y r) ;
/ i ( y ; ) > y / i ( y r) .
For the sake of definiteness assume
P (y'r) > y // (yr) .
By virtue of Lemma 2, in proving (2.44) one may consider y r to consist of

one interval. From Chebysheff’s results on polynomials which deviate least
from zero it follows that on the interval y r’ there is a point z* such that
lW - z,*l [C > & ;) ]'> i c y ? ( A ) Y , (2.46)

1
where Cr is some constant which depends on r. From (2.46) and (2.45) we see
that on the set y we can find a point z* such that
A 1 1
11 * < i C rp pre( A ) i (2.47)
i ak - z
and the inequality to be proved follows from (2.44).
Now we consider the function
u(z) = ln |F (z ) |
The function F(z) has no zeros in the annulus D rQ and therefore the function
v (z) is a regular harmonic function in D rQ. Then by virtue of (2.44) and the
conditions of the theorem
v (z*) < —p In j.ip (A ) + In e
(2.48)
v(z)<0 (z e DrQ)
Wc denote by f r„ the boundary of the annulus D rQ. It follows from (2.48)
that
J v ( z) ds < C'rQ[In e - p In $ (/I)] (2.49)
where Cr'e is a known constant dependent on the radii r, p and it follows from
(2.49) that the function v (z), in the annulus D rQ, satisfies the inequality
v (z) < C'rB[In e - p In $ (^ )] (2.50)

From the inequality (2.50) we obtain
( - |C"re
(2.51)
« C 4 ) ] Pi
It is not difficult to obtain from the inequality (2.51) the following estimate for
the modulus | / (z)| in the whole disc D
\ f ( z ) \ < \ ----- \ (2.52)
Then, since the function / ( z ) has p zeros in the annulus D fQ it follows that
l / 0 0 l < v p, (2.53)
where
_ |z| + p _ ^ 2 + p
v " i + |z |- e ;
It is easy to see that
ln v < C c -(l —|z |) (2.54)
where Cg is a constant dependent on q.
Let p satisfy (2.34). Then by virtue of (2.52), (2.53), and (2.54) the inequality
lne
|/(z)|<exp< —Cj (1 —|z|)
1n t f ( A )
is valid, and this concludes the proof.
We cite some examples of obtaining p re (A) and the corresponding esti
mates.
1. Let the set A wr have positive Jordan measure fi (A wr). Then, it is evident
that
fir„L'{ A ) > p ( A wr):
/ C ( /l) -* p ( A t,r).
n-* 00
If, in particular, A wr consists of m curves, then
Hrna( A ) > p ( A wr) , n<m ,
/ C ( ^ ) = /i(^w r), n>m.
If ni = 1, then the estimate of the theorem, accurate up to the constant Crg.

coincides with the estimates for an analytic function using harmonic measure.
2. Let the set A consist of the points ak (k = 1, ..., tt)
K l= « •
arg ak= kb ,
One may easily see that in this case
VP(A r) = " ( n - P ) d » P ^n>

p p(Ar) = 0 , p>n.
The relations (2.34) in this case are as follows
O - p) 5 ■a y < ec'“ < [(» - p + 1 ) 5 ■a Y ~ 1 (2.55)
It is not difficult to show that the number p satisfying (2.55) satisfies the ine
quality
nb
p>Ca lne'
1+ d 'ln e '
from which we obtain
n<5'lne'
|/(z)|<exp<C, (i-N ) (2.56)
° l + b' lne'
3. Let the set A consist of the points ak (k = 1, oo)
\ak\ = a , arg ak=^~.

2k
One can see in this case that
(2.57)
and the relations (2.34) are as follows
a a \p- 1
k2p) <£ < ^ 2 p-1.

from which
|lne|
and
1/ (z)| < ex p { —Ca 7.1n| e\ •(1 - |z|)} . (2.58)
§ 4. Analytic Continuation of a Function of Two Real Variables
Let / (x, y) be a function of the two real variables, analytic and regular in
the disc
x 2 + y 2< l , (D) (2.59)
and let A be some set inside D. Let the values of the function / (x , y) be known
on the set A and suppose it is required to determine / (x, y) inside D. We
prove a theorem characterizing the stability of the solution for a certain class
of sets A.
First some definitions are introduced. Let us divide the x, y-plane into a
system of parallel strips H k of width hk {k = + 1, ..., + oo). Let T denote this
division while A k denotes the part of the set A that belongs to H k
A k= A n H k
By A k we denote the projection of the set A k onto the center line of the strip
H k. Let t > 0, C j { j = 1, ...) be some constants and let nk be an integer
satisfying the inequalities
nk+l
fLk+1 < x + C2hk < U n M k ) (2.60)
[ Ci . . Ci .
where f i n (A k) is the /z-measure of the set A k.

§ 4. Analytic Continuation of a Function of Two Real Variables 33
We denote by H Xz (A , T) a set of strips H k for which the following inequality

is true
ln (t + C 2h^_> x
(2.61)
c aln M„k (Ak) ‘
and by f i mXz (A, T) the m-measure of the projection of the set H Xz (A, T) onto
some straight line perpendicular to the lines of the division T. We call the supre-
mum of n mXz (A, T), for all possible divisions T, the (///, ?., r)-measure of the
set A and we denote it by
/ W 04) = sup {fimXz( A , T ) } .

r
Theorem. Let A be a set of points of the x, y-plane lying in the disc
x 2 + y 2< R 2< 1 (Dr ) (2.62)

and let / (zj, z2) be an analytic function of two complex variables zu z2 regular
in the hypercylinder
(Re Zi)2 + (Re z 2) 2 < 1 ,
|Im Zj | , |I m z 2 |< x . ^
If the function f (zv z2) satisfies the inequalities
l/(z i> -2 2) | < 1 , ( z u z z) e Q ,

(2.63)
|/(.\',F )I <£, (x,y)eA ,
then the inequality
(2.64)
is valid, where the numbers m, 2 satisfy the relations

m +1
llm+ 1. *04) (A)
<e x< (2.65)
c, C7
and Cj are constants depending on R, x.
We denote by Ta the division of the plane x, y for which
IMmXz (A) - MmXc ( A , T ) \ < cl. (2.66)

One can obviously consider the corresponding strips H k to be parallel to
the .x-axis. Let the center line of the strip H k be the straight line
y=yk
It is not difficult to show that from (2.63) it follows that
Springer Tracts, Vol. 11, Lavrentiev

|g r a d / (x, y ) |< C 3, (x , y ) e D R (2.67)

where C3- depends on R and x. From (2.67) and (2.63) we find that at the points
of the y-plane belonging to the set A k the function / (x, y) satisfies the ine
quality
| / ( x j ) | < £ + y C 3 /lt , (2.68)

<pk (z) = f(z>yk)> (x,y)eH k.
From the condition of the theorem and from (2.68) it follows that the function
cpy (z) is an analytic function, regular in the domain
I R e z I c V l- F i? ;
|l m z \ < x ; ( fc)
and satisfies the inequalities
\(pk ( z ) |< l , z e i 2 k;
(2.69)
\(pk(z )\< e + C3hk, ( R e z , y ^ e A k .
Applying the results of the preceding section to the function^ y (z) we find that
the following inequality is valid
1+ R
|Re z| <
[in (e + C 3 f»t)-C 4
\(pk (z)\< cxp
I ln F„, ( A )
x
llm z| <
where the constants C3 and C4 depend on R, x hence
fin (e + C3hk) • C4)

|/ ( x , y ) |^ e x p ( x , y ) e H k . n DR (2.70)
( ln /'nk (A )
Now we consider the function
From the conditions of the theorem, the definition of the set H Xt (A, T ) and
(2 .68 ) it follows that the function \J/X (z) is analytic, regular in the domain
\R q z \ < ^ 1 - x 2
m
|Im z \ < x
and satisfies the following inequalities

l'/'.x(z)l < 1 , 3 6 £2",
(2.71)
\<Jsx ( y ) \ < e ~ \ ( x , y ) e H ^ ( A , T j n Dk .
Applying, as previously, the results of the preceding section we obtain, by
virtue of (2.71)
(.v, Rc z ) e D K
11ITl 2 1< -~
front whiclt it follows that
AC,
1/ (.v, y)| < ex p {x,y)eD R (2.72)
Passing to the limit at a -> 0 in the inequality (2.72) wc obtain the inequality
(2.64) to be proved.
Now we give two examples of the applicability of the theorem.
1) Let A be a closed set with positive plane measure /« (A). We show that
in this case when
Jlrrrj^C
^ “ lln/i ( / 1)|
the inequality
(2.73)
is valid, and consequently
l/( * ,r tl< e x p j- C ~ - } (2.74)
where C is some constant.

Let N be some number. We perform a division T of the plane into strips
k-l
(Hk)
N
and denote by H kj the square
fc- 1 k
We denote by p k the number of squares H kj of the strip H k containing

points of A, and by p the total number of squares containing points of A
CO
P= Z Pk-
— CO
One can easily see that the inequalities
p> p(A)-N 2
(2.75)
Pk~2m
Pn,(Ak) >
N
are valid. In fact, the first of the inequalities (2.75) follows from the definition
of plane measure of the closed sets. In order to obtain the second of the ine
qualities (2.75) we note that by virtue of the definitions of p k and A k, on the
straight line
/c —0.5
y = y k= ^ T ~
there are p k non-overlapping intervals of length 1/ N containing points of A k.

Thus the sum of the lengths of any intervals covering A k cannot be less than
the number
Pfc~ 2 wi
N
from which the second inequality follows.
Let us consider the strips H k for which the inequality
Pk> - ^ N - p ( A ) (2.76)
is valid.
Let (2.76) hold for
k = kj (j = l,...,q)
It is not difficult to show that the number q satisfies the inequality
q> ^N -p(A ). (2.77)
In fact, assuming the opposite we see that
p < 2 Nq + (2 N - q) ^ N ■p (/I) < N 2 •p (A)
which contradicts (2.75).

We denote by H the set of center lines of the strips H kj ( j — 1,...,<?), and

by H the projection of H into the straight line x = 0.
In analogy with the second of the inequalities (2.75) wc find that for any n,
the n-measure of H satisfies the inequality
q —2 n
/< „(£)> N
from which, by virtue of (2.75) and the definition of / i llXz (A, T), we obtain
T ) > — h (A) (2.78)
, In t - C
A> :
In/i 04)
Passing to the limit as N oo in (2.78) we obtain the inequality (2.64).
2) Let the set A consist of points pij with coordinates
J_
_ :? i = 1,..., oo
2j
1
j = i, i + l , ..., oo
We show that in this case for I < C3 ]/hTr the following inequality is valid
1 1
(2.79)
2m 2 '/l|n Tl
and consequently,
|/ ( x , y)| < ex p { —C [lne|1/4} (2.80)
Let us perform the division T of the plane x, y into the strips H k
k- 1
<y<-
where N is some number.

It is easy to see that for k = 2r (p = 1, ..., N - 1) the n-measure of the
set + k is equal to
A, a . ) - — . (2-81)
Therefore the relation (2.60) in this case are as follows

njc+ 1
Ci C. (2.82)
2 «fc+ p+1
I < ^ 1 < 2 "k+p
where
From (2.82) it follows that for
P ^ V lln tiK A < C 3>/|In T i|

the straight line
k - 0.5
(/c = 2 P)
belongs to the set H )x (/I, T).

By virtue of the above statement, one can show that the measure of
the projection of H)x (A, T) onto the straight line x = 0 satisfies the inequality
2^
from which follows

1
(2.83)
2m 2 '/ |l n t 1|
Passing to the limit as N -* oo in (2.83) we obtain the inequality (2.79).
§ 5. Analytic Continuation of Harmonic Functions from a Circle
Let u (z) be a harmonic function regular and bounded in the disc
|z |< l (D)
and let its value be known on the circle
|z| = r < l ( r r>,

i.e.,
ii(rel(p) = f(cp)
where / (<p) is a known function. It is required to determine the function u (z)

inside the disc |z| < r from the values of the function on F r. Let us prove a
theorem characterizing the stability of the solution.
§ 5. Analytic Continuation of Harmonic Functions from a Circle 39
Theorem 1. Let the considered function u (z) satisfy the inequalities
— J u 2 (re'<p) d ( p < c ,
n _J n
(2.84)
— f iC (e"l>) chp< 1
n
Then the following inequality is valid
In e •In q
— f u2 ( o e ' ^ d c p ^ e x p (2.85)
7t In r
It is well known that
00
u( g e 'v) = Z Qk ( a k cos 1<(P + °’ k sin kcp ) +—.

i 2
Let us write
V 5 f+ b ? = c t . N/ y = c „ .
From (2.84) we have
f r 2hC2< e ,
0
00 ( 2 .86)
I Q2 < i -
0
Let us estimate the function
a.((?)= E o2lC l = - J u 1^ ) ^
0 71 -n
using (2 .86 ).
By virtue of (2.86) the sum to be estimated is bounded. Let the sum reach
its conditional maximum over the variables Ck for Ck = Ck {k = 0, ..., co).
It is evident that
Ck = 0, k + p,q,
where p, q, p < q, are some numbers, since otherwise it is quite clear that for
Ck one may choose variations 8k such that
E ( c „ + « y ‘ > E C l a 2t;
0 0
cn oc
E0 (C*+«2< E0 cl,
oo co
Z (Ck + 5k) 2r 2k< Z C2kr2k.
o o
Therefore C„, C„ satisfy one of the three relations
C p2 + C 2 = 1,
‘(I)
C l r 2p+ C 2r 2q = e;
(2.87)
Cp —0; (II)
C= 0. (III)
Let the first of the relations (2.87) hold. Then
P 2_ z - r 2q .
P r2p —r 2^
( 2 . 88)
y2p —e
r 2■
r 2p— r 2q
We note that from (2.88) follows
r 2q < E < r 2p. (2.89)
By virtue of (2.87), (2.88) we obtain
V « 2* Q2p~ Q 2q , r 2pQ2q- r 2qQ2p

L CkQ = e ‘ (2.90)
r 2p- r 2q r 2p- r 2q
It is easy to show that for p < q the functions
0 2p- P 2q.
Flip, q)-
' r 2p- r 2q,
r2pQ2q — r 2qQ2p
F 2 (p , q ) -
r 2p—r 2q
increase with increasing p as well as with decreasing q from which, by virtue
of (2.89) and (2.90), it follows that
IIn e •In q |
Z Q V *< lim {eFl (p,q) + Fz (p,q)} = exp (2.91)
1n e 1 In r
p.
In ~r *
Now let the second of the relations (2.87) hold. Then
I c 2e2k= c 2qQ2q
and by virtue of (2 .86 )
C 2< 1,
C2r2q<e,
§ 5. Analytic Continuation of Harmonic Functions from a Circle 41
from which we obtain

In £-ln q
^ Q V fc< ex p (2.92)
o In r
In case the third of the relations (2.87) holds, inequality (2.92) can be ob
tained in a similar manner.
The statement of the theorem follows from (2.91), (2.92) and from the
definition of the numbers Ck.
With respect to the function u (z) considered in theorem 1, let it be known
that at the boundary of the domain the /i-th derivative is bounded in L2, i.e..
2
1
d(p < M
71
and suppose it is required to determine the function u (z) on the circle n = 1

from the values of the function u (z) on the circle q = r. We shall prove a
theorem characterizing the stability of the solution.
Theorem 2. If the function it (z) satisfies the relation
— f u2 (re,,p) d ( p < £ ;
71
1 "
~ J ;» ( 0 d(p< 1 ; (2.93)
- kL0<P"
j u ( e l<p) dip —0 ,
—n
then the following inequality is valid
(2.94)
where 7. is a root of the equation
2Alnr —2nln2 = lne. (2.95)

We note that for a sufficiently small e the root of equation (2.95) satisfies the
inequality
. 1 In £
—r • (2.96)
4 In
The proof of theorem 2 is similar to that of theorem 1. From (2.93) it follows
that
£ r 2kC2k < e ;
° (2-97)
Z k 2nC 2< l ,
o
where Ck, as in the previous theorem, are expressed by the expansion coeffi
cients of the function u ( n e ^ ) in a Fourier series in the polar angle (p.
In analogy with (2.87) we find that the numbers Ck for which the sum
oo i it
E c i = - j u \j" )d V
0 71-n
attains its conditional maximum, satisfy the relations
Ck = 0 , k ^p ,q ,
while Cp, Cq satisfy one of the three relations
,.2, C2 + ).2IC 2 = £ | C ,= 0 (U)
p u C2p + q u d = l > (I) C, = 0 (III)

from which the theorem follows in an analogous manner.
§ 6. Analytic Continuation of Harmonic Functions with

Cylindrical Symmetry
Let x, y be vectors with components (x1}..., x n), (y l5 ..., and let

u (x, y) be a harmonic function regular and continuous in the domain
|* |< 1 , | y |< l (D) (2.98)

Let also the function u (at, y) as a function y depend on the variable r = |y|
alone. It is required to determine the values of the function u (a*, y ) inside D
from its values on the set P
x,yeP , if y = 0; |x |< {?< 1.
We shall prove a theorem characterizing the stability of the solution.
Theorem. If the function u (a , y) to be considered satisfies the inequalities
|» ( x , y ) |< l , (x,y)eD ;
(2.99)
|« ( a , y)| < c , (x , y ) e P
then the following inequality also holds
§ 6. Analytic Continuation of Harmonic Functions with Cylindrical Symmetry 43
|u(x, y)|<C£v, (x ,y )e D 1;
where Dx is any domain lying strictly inside D and C, y are some constants
dependent on Z)j and q.
By virtue of the conditions of the theorem, the function u (x, y) may be
represented as a function it (x, r) where r = |y|. The function u ( x , r ) will
satisfy equation
d 2u m du
—^ A u=0 . (2 .100)
d r 2 r dr
From the known properties of harmonic functions it follows that tt (x, r)
is analytic with respect to the variables x, r everywhere inside D.
We will estimate the modulus of the function A xpti (x, 0). We consider the
function / (z) where z is a vector with complex components z k = x k + /£*
(A = 1, . . n) analytic with respect to the variables zk and coinciding on a real
hyperplane with the function u (x\ 0 )
f ( x ) = u (x, 0 ) .
It is evident that the function / ( z ) is regular and bounded in the domain R
of the /z-dimensional complex space
zeR, if |R e z |< £ , |I m z |< /i, 0 < g 1< l,
where h is a constant dependent on gj. Define to be the domain
z e /tj if |R e z |< e , |Tmzr|< /ix <

From (2.99) as well as from the results of § 1 it follows that the function
/ (z) in the domain R^ satisfies the inequality
1/ ( z ) |< C 1c71; (2 . 1 0 1 )
where Cu are some constants dependent on q. It, qu /q whereas from (2.101)
and from known properties of analytic functions it follows that
\ f (k)( z ) \ < k \ a keyi (2 . 1 0 2 )
where a is a constant.
From (2.102) we obtain
A xpii (x, 0 )< (2 p) ! ai£Vl (2.103)
We now expand the function a (x, r) in a M aclaurin series in the variable r
CO 1 * 2 p
U( x . - - ) = E ( 5 ^ 0> ,-(x,O ) t " (2.104)
(the coefficients of the odd powers of r are zero by virtue of the symmetry).
Substituting (2.104) in (2.100) we find that the functions d2p/dr2p u (x , 0)

satisfy the following relations
0 2 (p-l)
d 2p 2 P-1
u (x, 0) =
dr2'’ 2 p —l + m A 2 l p - l ) 'U (P = I »—>00)
from which
0 2" (2 p —1)!! (m —1)!!
u (x,0) = ( - l ) p A pu (x ,0 ) (2.105)
dr2p (2 p — 1 + m )!!
The validity of the statement of the theorem for any neighbourhood P

follows from (2.104), (2.105) and (2.103). The validity of the assertion of the
theorem for the arbitrary domain Z>, follows from the validity of this assertion
for the neighbourhood P and from general estimates for analytic continuations.
Chapter III
Inverse Problems for Differential Equations

We consider two types of inverse problems for linear differential equations.
The first kind is the so-called inverse problem of potential theory where the
equation is non-homogeneous, the coefficients of the differential operator are
given and it is required to determine the right-hand side. In this case we shall
restrict our consideration to the L a p l a c e operator, although a number of
results are carried over to more general elliptic equations.
The second kind is that in which the equation is homogeneous and it is
required to determine some of its coefficients. A well-known problem of this
kind is the inverse problem for the S t u r m - L i o u v i l l e equation.
§ 1. The Inverse Problem for a Newtonian Potential

By an inverse problem for a N e w t o n i a n potential we mean the following.
On a part of the surface of the unit sphere D, there is known a harmonic func
tion u (a ) which is an external N e w t o n i a n potential of a body with unit density
which is star-shaped with respect to some point r] and lies inside the sphere
\ x \ < R < l (Dr )
It is required to determine the dimensions and shape of the body from the
function u (x ). This problem has an important application in geophysics and
a number of papers are devoted to its investigation.
The uniqueness of the solution of the problem was proved by N o v ik o v .
The notion of correctness in a compact set was introduced by T y k h o n o v in
an application to a problem. In [16] estimates were obtained which characterize
as properly posed the problem for a class of domains bounded by continuously
differentiable surfaces with bounded derivatives.
Let the polar coordinates of the vector y — rj be denoted by g, (p, 6 and let
the surface of the body inducing the potential u {x) be defined by the equation
Q= f ( ( p , 0).
It is well-known that the function u (x) is equal to
*/2 * f (<?.fl) o 2 sin 0
u(x)= f j J Q J^dgdfpdO (3.1)
o r (x ’ y)
where r (x, y ) is the distance between the points x, y.
46 Inverse Problems for Differential Equations
Equality (3.1) may be regarded as an integral equation for the unknown

function / (q>, 0) which defines the body to be found. If the integral operator
in the right-hand side of (3.1) is denoted by A then (3.1) will take the form
u ( x ) = Af(<p,0). (3.1')
The operator A in the right-hand side of (3.1') clearly transforms a function
of the polar angles cp, 0 to a function defined on some part of the unit sphere.
Thus, the solution of the inverse problem of potential theory is equivalent to
the solution of the nonlinear integral equation (3.1) or (3.10.
Now we proceed to the presentation of a stability theorem for the inverse
problem of potential theory. For simplicity we restrict ourselves to the case in
which the part of the surface D on which the potential u (x) is known, is defined
by the inequalities.
A', > H , \H\ < 1 (S„)
Theorem 1. Let the functions fi((p, 0), fz(cp, 0) satisfy the following con
ditions :
1) The functions fj((p, 0) ( j = 1, 2) are continuously differentiable for all
values of the polar angles (p, 0 and their derivatives satisfy the inequalities
<M; < M (n2 —02). (3.2)

0 a ^ («p.0)
2) The following inequality holds
l“ i 0 0 - w 2 0 ) |< e , x e S j j (3.3)
where
Uj(.x) = Afj(q>, 0).
Then the difference f x (<p, 0) — f 2 (cp, 0) satisfies the inequality
(3.4)
where Ci is a constant depending on M, and n is a number defined by the

relations
V2 II + 3
< C2 lne (3.5)
,» + !>
while Cj are constants depending on R, M.
We first prove a lemma.
Lemma 1. Let co (y) be a summable function which does not exeed one in
modulus and let the function / (cp, 0) satisfy the conditions of the problem as
well as the inequalities (3.2). Then if the function
§ 1. The Inverse Problem for a Newtonian Potential 47
* ' ^ V s i n 0 - c o ( y ) , , in
»0)= J J J ---- — -— -■clQcUpdO
—jt/2 —it 0 r(x,y)
satisfies the inequality
|t/( x ) |< e (.te S „ ) (3.6)
then the following inequality also holds

_
|tt(x)| + ig ra d tt(x )|< C 4 |lne| ( 3 .7 )
where the constant C3- depends on R, M and * is any point lying outside or on
the surface
Q= f(<P,0).
It may be shown from (3.6) that the function n (*) satisfies the inequality
\u (x )\ < e C6 = s l (|*| > 1) (3.8)
where Cq is a constant depending on the radii R and H.

Let the polar coordinates of the vector x —?? be denoted by O', cp', q' and
the distance between the points * and y by
r(Q',(p',0',Q,(p,0) = r ( x , y ) .

, , f ■ f 'V e ’ s m o -m o o
= 1 I
It can be easily seen that a>(z, cp’, O') is an analytic function of z which is
regular in the domain
R ez —C 7 \ l m z \ < f ( ( p ' , 0 ' ) ( Q ^ )
where C7 is a constant depending on the constant M in (3.2), and satisfies the

following inequalities
\co(z,(p',0')\ + \gTad(o(z,<p',0')\<Cs, z e Q ^ >r ; (3.9)
^ grad co (z,cp, O') < C g |ln \ z —f{(p', 0 ') ] l,

(3.10)
Re z > f { ( p r. O'); lmz=0;
\co(z,<p',0')I<£j ,
(3.11)
Rez>l, l m z = 0,
where C3 are constants depending on M.
From the inequalities (3.9), (3.11), some properties of analytic functions

and the results of Chapter II, it follows that the function co (z, cp', O') satisfies
the inequality
IQ) 0 , <p', 0') + |grad co (z, cp', 0')\ < c c,°
1 (3.12)
Rez>l, I m z < — C7 .
By virtue of (3.9), (3.10), and (3.12) the functions co (.z,q>', O’) and grad co
satisfy the conditions of Carleman’s theorem ([3] or [29]) and therefore the
following inequality holds
|cd(z, cp, O')| + 1grad co(z, cp', O')\ < C lt exp {In e \ z - f { < p ' . O')| Cl2} . (3.13)
Using inequalities (3.10) and (3.13) we obtain
|u (x)| + Igrad it (x)| = |co( q', cp', O')\ +

+ |grad co (<?', cp'yO')\ < C xt exp {In e [g - / (cp', 0 ')]Cl2} + (3-14)
+ c 6l e - f o ')] •{l + |in l e - f W , 0')]l};

f {(p\0')<Q' < Q < \ + W •
Setting
Q—f Up\ 0') —\\m\~TcTz

and using the obvious inequality
|ln [_Q~f((p\ 0')]l < C 13 \_Q-f((p', O')]4

we get the inequality (3.7).
Lemma 2. Let co (x) be a harmonic function regular inside the surface
| x - n\ = f{cp',0') + h, h> 0 (Zh)

where / (cp, 6) satisfies the conditions (3.2) and does not exceed one in modulus
in this domain. Then on the surface
\x-n\ (£o)
the inequality
d zco 0CO
+ 1 < Ci (3.15)
j.k dx.dxf dx:
holds, where the constant Cx depends on M.

It is evident that by virtue of (3.2) for any point x0 e there exists a sphere
of radius C2h with center at the point x 0 lying completely inside the surface Z b
(C2 depends on M). By the maximum principle the values of to (x) at the
boundary of this sphere do not exceed one in modulus. The assertion of the
Lemma follows from the above and from known estimates for derivatives of
harmonic functions at the center of a sphere of given radius in terms of its
values at the boundary of the sphere.
L e m m a 3 . Let oj (x) be a harmonic function regular inside the surface S h

of Lemma 2, satisfying the following conditions.
1) For some vector x 0 e Z h and for an arbitrary point x lying on the surface
Z h and inside the sphere
| x - x 0| <A,
the function co (x) is
(O(x ) = 1 .
2) For an arbitrary x e Hh
| c o ( x ) | <l .
Then the following inequality holds
l - a ( x 0h ) ^ C i ( ^ Y j (3-16)
where Cj are some constants depending on the constant M \ x oh — rj is the

vector with the polar coordinates
Q o - h , ( p 0, d 0
where o0, </>0, 0Oare the polar coordinates of the vector x0.
From the conditions imposed on the function /(<p, 0) and also from the
maximum principle it follows that the assertion of the Lemma is equivalent to
the following assertion.
Let W' (x ) be a harmonic function regular in the sphere with a cut-out cone
Q<t, — ~0>a,
(Q,(p, d are polar coordinates of x — rj and a is a constant depending on M).

Suppose W' (x) takes on the following boundary values
flT0c)=-l
on the surface of the sphere q = A;
W'(x) = l
on the surface of the cone n/2 - 0 = oc. Then at the point x h, where the polar
coordinates of the vector x h — rj are equal to4

Qh = h, q>h = 0, 9h= -y ,
the function W' (a-) satisfies the inequality
l - ^ ' ( x t) < c Y - 0 \
where Cj are constants depending on a.

The latter assertion follows from known estimates for harmonic functions.
L e m m a 4 . Let a> ( t ) be a nonincreasing function of the parameter t on the

interval [0, C]
(o (0) = 1, <o(C)=0. (3.17)
Then for an arbitrary f , 0 < r < l , « > l there exists a number k , \ <, k < n
such that
c o ( t k + 1) - Q } ( t k)< -jp (3.18)

We consider the sum
"E [o> (<l * ') - <0(I*)] = <B0") - <B(0 .

1
From the conditions of the lemma all the terms of the sum are non-negative
and the whole sum does not exceed unity, from which it follows that some
member of the sum does not exceed l/n, i.e., for some k (3.18) holds.
We now turn to the proof of the theorem. We introduce the following
notations.
Let
f l(<p,6)= max [ f j ( ( p , d )] ,
j= 1,2
f i ( (p , 0 ) = min [fj(q>,6y].
j = 1,2
We denote by Ul the surface defined by the equation
Q = f\ < P ,0 )
and by the surface defined by the equation
Q = f i ( f 2(<P,0);
and by Z ^ we denote the part of Z 1 whose points satisfy
f i ( ( p , 0 ) < f 2 ((p,0).
The corresponding parts of the surfaces Z l, Z l will be denoted by
i ‘+, i 1-, z i+, r'-.

We denote by Z[,*> x the part of whose distance from Z[h) is not less than /.
r (x ’ £(h)) ^ ^ x e Z’m a •
We denote by Z{h) A the part of Z{^ which belongs neither to Z ^1 A, nor to

Z ^ A, and finally, by Z ^ Ai Aj we denote the part of Z ^ which does not belong
to the surfaces
£ ( h ) X2> h) A2> ^(/|) Ai (^2 > ^ l ) •
The parts of Z l, Z l to which correspond rays from the point r] intersecting

the indicated surfaces, will be denoted by
r l+ y i- yi yi
"A > Â > "A* "A, a2
W+ r l- ri rl
^X > Â > Â> ÂiA2
respectively.
We denote by Q the domain enclosed between the surfaces Z l, Z'1 while
by Qx , we denote the parts of Q enclosed respectively between the surfaces
Z'x*, Z xl + and Z'x , Z[~, and the radial straight lines bounding them.
Finally we denote by / 1 (Q) the volume of the domain £2, by a (Z) the area
of the surface Z, by <x (x) the function defined by the relations
a(x) = l xeQo ;
a (x) = —1 xeQq ;
a(x) = 0 outside £2;
and by u (x) we denote the difference
u(x) = u1( x ) - u 2 (x ).
Clearly
u(x)= j
« (Q d t .
r(x, 0
Let v (x) be a harmonic function regular inside the surface Z l and contin
uously differentiable on Z l. Then from potential theory
4a Springer Tracts, Vol. II, Lavrentiev

JaW- »( *) r f x=— (3. 19)
where d/dtt is the derivative along the normal to Z l.

We set
v (x) = d iv [ W (x) (x —t])]
where W (x) is a harmonic function regular inside Z 1^ and assuming on Z 1.^
the following boundary values
w (x)=i xez{+
h )*;
W(x) = - 1 xez'w *;
^ (* )= 0 x e Z [ h)*
We estimate first the right-hand side of (3.19). By virtue of Lemma 1 and
the conditions of the theorem, the following inequality holds on the surface Z l
_i_
|n (x )| + |gra d w (x )|< e 1 = C 1 |lne| c2, (3.20)
and by virtue of Lemma 2
|u(x)| + |g r a d u ( x ) |< ^ |. (3.21)

From (3.20), (3.21) and (3.2) we obtain
fr—0 U-V— — V U
0 i Ida, c3 c4
- a ( Z ^)<T^ - e 1 (3.22)
[_0n dn J \ h2 1 K J h2
where C4 is a constant dependent on M.
We transform the left-hand side of (3.19) as follows
J a ( x ) v ( x ) d x = J a (x )d iv [ IF (x ) (x —t/)]dx
n si
= J * ml W - ( x - t i y ] nd o - J a -[ W -( x- ti )~ \nda
+ J a [ W - ( x - t i ) ] nd a - J a - { W ■{ x - i ] ) \ nda
f t *x
+ J a-[W -(x-tiy]„dc- J a - \ W - ( x - i i ) \ ndo
X ^hX
+ J cc-[W-(x-riy]nd o - J a * [!F -(x —?/)]ndc7. (3.23)
where [IF . (x — rj)]n is the component of the vector IF ( x ) . (x — y) normal

to Z and 2 > 4 ft.
Let us divide the terms of the right-hand side of (3.23) into three groups
and estimate each group separately.
Let us consider the first group. By virtue of Lemma 3 the function W (x)
on the surface Z l+, E l- differs from + 1 , - 1 respectively, by no more than
where Cj are constants dependent on M. Therefore
J a - [ W ’( x - n y ] nd a - J a - [ W ■ (x-t])\ndo + J a • [ W •(x —tff]nd<r

4: r;
- J a - [ W - ( x - t j y ] nda
r A~
+ (3.24)
It follows from (3.2) and the definition of Z hl X that if the straight line
defined by the angles (p, 0 intersects Z hl x then the following inequality holds
\ f i ( < P , e ) - f 2 (<p,d)\<C6- l . (3.25)
It clearly follows from (3.25) that
» < C 9 -X (3.26)
where C9 depends on M. Substituting (3.26) in (3.24) we obtain
J a -[fF -(x -?7 )]nJ ( r - J cr\_W-(x —r]y]nd(T
+ J c r \ W - ( x - r i ) \ nd o - J < v [ W ■(x - t])]nda

4f
> / i ( I 2 ) - C 9A - C 7^ 6. (3.27)
We consider the second group. Clearly
J a- \_ W -( x -t ] )] nd G - J c r [ W - { x - t i ) ] nd<j < 0 { I hl x) + G{Vhl).

4 ;. 4 .
(3.28
/1N o ( i l) + < j { r ) - o ( i \ ) - G ( r x)
(DlA) = -----------------------------; :-•
The function oi (A) satisfies the conditions of Lemma 4, and thus for any
/ < 1 and n there will be a number k such that
a>(f*+I) - w ( r fe) ^ ~ , k<n. (3.29)

We set
h = tk + l
(< * !) <3-30)
X = tk
Substituting (3.30) and (3.29) in (3.28) we obtain
J a [W-{x-rj)]nd G - J a -\_W■(x-tj)'] do < C 1 0 - . (3.31)

Eh X E ‘h ;
Finally we consider the third group. It follows from Lemma 3 that the
function W (x ) on the surface Zj, Z hl satisfies the inequality
|H 'W |< C l l ( L J ,’ = C 11tc‘>, (3.32)

J c r [ W - ( x - t ) ) ' ] nd(T- J a • [ I L - ( x - t/ ) ] nJ<T<C13tr ‘2. (3.33)

E[ El
Substituting (3.27), (3.31), (3.32) in (3.23) and substituting (3.22) and (3.23)
in (3.19) we obtain
, i ( Q ) < C 7tc*+ C9tk+ ^ + C 13tc‘2+ - % ^ . (3.34)

71 jtKT-
In (3.34) we set
(3.35)
71
where n satisfies the relation
i 2n—1
(3.36)
kn / \ n — l.
Substituting (3.35) and (3.36) in (3.34) we obtain
/.( Q ) £ -
from which, by virtue of (3.2), the inequality (3.3) follows.

§ 2. A Class of Nonlinear Integral Equations 55
§ 2. A Class of Nonlinear Integral Equations
Let us consider the equation

A<p = f (3.37)
where <p, / are continuous functions of x on the interval [0, 1] and the operator
A can be represented in the form
i v(i)
A(P= f J P(x,Z,il)dtidZ (3.38)
o o
with P (x , i, if) continuous and non-negative. The operator (3.38) is a special
case of the U rysohn operator
A<p=)K(x,Z,<p(®)dt
o
when the kernel K (x, £, rf) is a continuously differentiable function, satisfying
the condition
K (x ,£ , 0 )= 0
Let us formulate a uniqueness theorem for equation (3.37) for a class of
operators A having the representation (3.38).
Theorem. Let the operator A satisfy the following conditions.

1. For any (Pi,(P2>(P2 (x ) ^ <P\ (*) satisfying a Lipschitz condition with
some constant C, the operator A~* A q>i exists where A v is the F rechet deri
vative of the operator A at the point (p. Moreover, for any if/ satisfying a Lip
schitz condition with the constant C, the function A~* Aîf/ satisfies a Lip
schitz condition with the constant Cj depending on C.
2. If (p2 (x) > <p, (x) the operator A~l A (pi can be represented as
A~21A Vl\ff= J Q<P2[x,£,(p2( 0 - 0.
3. The integral
J $ Q<p(x,Z,il)dZdri
o o
is convergent for any (p and x.
4. There exists a continuous function of two variables to (t, h) dependent
only on the constant C and satisfying the conditions,
a) a>(t, h) 0, h ->■ 0, t 4= 0;
b) for any (p satisfying a L ipschitz condition with the constant C the ine
quality
hQ9 (x,$,fi)
<a>(x — %, h)
holds where
h x +h
% ( x , h ) = J J Q<p{x ,^, h ) d ^ d t] .
0 x -h
Then the solution of equation (3.37) is unique within the class of functions
satisfying a Lipschitz condition.
It should be noted that this type of conditions is satisfied by the integral
operators arising in the inverse problems of potential theory.
The classical example of an inverse problem is the one arising in the theory
of N ewtonian potential formulated by N ovikov. Solving the planar inverse
problem of N ovikov is equivalent to solving equation (3.37) with
P (x, h) = In [ r 2 + h2 —2 rrj cos 2 %(x — <!;) •17], 0 < (p < r .
If (pl (x), <p2 (x), and (x ) are continuous functions, cp2 (x ) > (x ), then
in this case the function A~* is a density of a single layer potential with
weight (p2 (x) distributed on the curve defined by the polar equation
g=(p2(x) (r 2)
(2 7ix is the polar angle) and satisfying the following condition, the logarithmic
potential of a single layer with density (p1 (x) ij/ (x) on the curve
e = <Pi(x) (^ 1)
coincides with the single layer potential with density A~l A outside the
domain bounded by F2.
It is easy to show that in this case the operator A~\ A (pi satisfies the condi
tions 2, 3, 4 of the theorem.
Let us introduce some notation. Let cpj be continuous functions and let
u(x ,(p 1,q>2) = max (pj (x),
7 = 1,2
v(x,(p1,(p2) = min (pj(x),
W(x,q>l ,(p2,(p3) = min u(x,(pi,<pJ) =max v(x,(pi t (pj).
1. 7 = 1. 2 , 3 j =1, 2, 3
Let oij ( j = 1, ...) be sets of points of the interval [0, 1]. We denote by q (au <%2)
the distance between the sets a,, «2.
We denote by a (q>u (p2) the set of values of x for which
(pi_(x)><P2 (x)
and by a ((Pt,(p2) the set of values of x for which
<Pi(x) = <p2(x).
Let Xj (J = 1, . . . ) be some real numbers. We denote by « (<Pi,<p2> the set

defined by the relations
xect(<pu (p2,X)
if
xecc(<pl ,<p2), t?[>,«((?!, <p2)]>;.
and by a ((Pi,cp2, 2) the set
a((p1,(p2,X) = a((p1,(p2)®d((pl ,(p2)Q<x((pl ,(p2,X)
while by a(<p,,<p2, Xx, X2) the set
a (<Pi ><Pi, 2 i , ^ 2) = a {<p! ,<p2,X i) 0 ia (cp!, <p2,2 2) .

The proof of the theorem is based on the following lemma.
Lemma. Let A be an operator satisfying the conditions of the theorem and

lct<p, and<p2 be functions satisfying a Lipschitz condition with the constant C,
and such that the sets « ((px,<p2) are not empty. Then for any sufficiently small
positive X and h there exist functions cpx, <p2, i]/ possessing the following prop
erties,
1. u ( x ,( p 1,(p2) > ( p j ( x ) > v ( x , ( p l ,(p2), 7 = 1,2;
2. A(p2- A ( p l =A(p2- A ( p l + A i}\l/, u = u ( x , cpx, <p2);
3. iA (x)>0, xea(< p2, (px)\
<A(x)<0, x e a ( ( p 1,(p2);
4. q [ x (<Pi ,<P2), a(^2,î)]>A ;
5. max|<p2 (x) —(pl (x)\ = h;
X
6. the functions \J/,<pj(j= 1,2) satisfy a Lipschitz condition with the

constant Cx depending on C.
We prove the above lemma. Let <pu (p2 be functions satisfying a Lipschitz
condition with the constant C, let
A(px - A ( p 2 = f
and let X, h be some sufficiently small constants.
We denote by y m2 the function defined by the relations
a) ym;. = — x e a ( ( p 2,(pi,X);
m
b) ymx~ — ((Pi ~<P2)> xea(<pl ,<p2AY,

m
ymA= 0, x e a ( ( p x, (p2,2X)®a(<p2,(pl ,2X);
c) y m2 is a continuous function on the interval [0, 1] and it changes linearly

on the set a ((pu (p2, 2 ?.).
We consider the sequences of a function miu, <p2mJU, Xniu = 1» ---ly
jm o X ty j
0 = 1, 2)
V jm k + 1A jm kX "I- ^ jm kX
$moX *Am, fc+l,A *AmfcA4" XifcA ,

where
a) ^linkX~V(ymX>(P2nikX~(Plmkx)> X 6 a 0^2» ‘Pi) ,
^ 2 mAA— a (7mA» <PlmfcA— (P2 mkx)> XEa((p j , (p2),
b) S imk x = W [ A ; ^ A VrnJ mk2; 0; (p2mkX-<Pimkxl x e a 0 > i,< ? 2),
$ 2 m k X = W [ _ A u J k z A V rnk;id m k x ; 0; ( p \ tukX * P 2 m kx \’ X e a 0^2» <Pl) ’
UmkX (X) ^ (X>( P lm kX ’ t y 2 m k x ) >

(*) = » ( X tylmkX’ <P2mkx) ,
&mkX O ) = <PlmkX(X), xecc ((p2,(Pi),
^m kX (X) = & 2m kX (X), x e a ((pi,(p2);
c) <5j m k X = 0, x e a (q)i,<p2y.
d) & m kX A UmkJA Vmk;lS ~&1 mkX> x e a ( ^ , ? 2),
^m kX A UmkÂDmk^Smka —<52mA:A, x ea(k),
^m kX A UmkJ_AVmhJ<Pmk), xe z (< pu (p2).
One can easily see that
M<P2m*A- Aq>lmkX + A UmkJ / mU- / | < — n (3.39)
where Ct is a constant depending on C and fx (t) is the modulus of continuity

of the function P (x, £, rj).
Indeed by virtue of the definition of the F rechet derivative
\\A(Pjmk+ix~A(Pjmkx — A VJmkX5jmkx|| = 0 (Hamuli) • (3-40)
From the representation (3.38) of the operator A it follows that the right-
hand side of (3.40) satisfies the inequality
The inequality (3.39) now follows by virtue of the definitions of the functions
{P j m k X > ^jm kX > *Am k X '
Next, from the conditions imposed on the operator A~l2AV2 it follows that
for k < m the functions (pjmkX, mkx satisfy a L ipschitz condition with a
constant C3 dependent only on C and that for k > m
*P j m , k + I , X Vjm kX (pjmX>
(3.41)
k + 1, X $mkX mX •
The functions (pjmX in (3.41) evidently satisfy the conditions
Q\a-{(plmX,V2mx\
(3.42)
v ( 2 /j . (3.43)
We consider now the sequences of functions <pimX,(f>2 mXi V mx (m = 1» •••)•

By virtue of the fact that all the elements of sequences are bounded and satisfy
a L ipschitz condition with the constant Cx independent of m, one may choose
from the sequences uniformly convergent subsequences
(P2mqX (9 !>•••)•
By virtue of (3.42) and (3.43) the functions
(pj= lim q>jmvX, (j = l,2)

q-*oo
4f = lim 4>mqX
q - * co
satisfy the following relations
e[a(<pi,<p2)> a((p2,(piy ] > X ,

Aipl - A (p 2 + AJ> = f ,
v ( 
(3.44)
max|<p2—q>x\ > h
X
and a L ipschitz condition with constant C4.

We denote by y m the function defined by the relations
xea(<p2, <Pi).
xe<x{q>u cp2)
7m= ° x e a ( c p u (p2)
and consider the sequence of functions(p\mh’(P2 mk->'ftmkik = !>■••)
*Pjmo = (Pj O'

•Pjm, k + 1 *Pjmk ^ jmk ’
'Amo=«A>
•Am, k + 1= •Am*+ ^mk ’
where dJmk, 5 mk are functions defined by relations similar to relations a), b), c)
defining the functions 8jmkX, S mkx.
In complete analogy with (3.39) we obtain
C k (1
\A(p2mk-Aq>lmk + A UmJ f mk- f \ < — (3.45)
max\(p2mp- ( p lmp\ > h ,

(3.46)
m a x | <p2 m p + 1 - < P i m p + i \ < h .
By virtue of the definition of the sequences (Pjmk we can obviously find a

number p , 0 < p < m, satisfying (3.46).
We denote by (pjm, \pm the functions (pjm = (pjmp, ij/m = $ mp and consider
the sequences
<Pjm,'}'*, (m = 1, ...) .
In analogy with the sequences (pjmX, ij/mX (m = 1, ...) we may select uni
formly
__ _
convergent sub-sequences (5imJ ,lq
,ij/m
,lq
{q = 1, ...) from the sequences
(pjm, y m. By virtue of the above, the functions
<Pj= lim <Pjmq 0 = 1 ,2 ) ,

q-> oo
I*™ iAm,
oo
satisfy the relations 1)—6) and the lemma is proved.

We now prove the theorem. We suppose the solution of (3.37) to be non
unique within the class of Lipschitz continuous functions, i.e., there exist
distinct functions (plt(p2 satisfying a Lipschitz condition with the constant C
and
A<p1-Aq>2 = 0 . (3.47)
It follows from the Lemma that for any sufficiently small h and X there exist
functions (pu (p2, \J/ satisfying the conditions 1)—6) of the Lemma and there
fore, according to (3.47),
A(px- A ( p 2 + A uiJ/ = 0.
Applying the operator A~A to (3.48) and making use of the conditions 2)
and 3) of the theorem, we obtain
1 S(s*)-u(S)
J J Q u l x , L r } ] d r i - s i g n [ ! (x)| = max | tp2 ( x ) - ( p l (,v)|.

X
Because of the properties of (f)j
\<Pi ( x ) ~ V i ( x ) \ = h. (3.50)
Let, for the sake of definiteness,
9 l 0 0 > 9 l (x).
i.e..
<P2 (x)-q>l (kx) = h. (3.51)
We put x = x in (3.49) and divide the integral in the left-hand side of (3.49)
into three parts
.x+A, u(S)-!)($)
J J Q sC v,C ,t/)t/'rsign[© 2( 0 - ^ i ( 0 ] f / c
-x —li i 0
x - h t it (s)-u (£)
+ I J Q u ( .x ,£ ,h ) d ty s i g n [ v 2- V i ] d Z (3.52)
0 0
i a ({)-!>(«)
+ j J Qri( x ,^ h ) d r i - s i g n [ ( p 2- ( p 1']dZ + $ ( x ) = 0,
x +hi 0
where
h
Ih =
4 C1
We denote the integrals on the left side of (3.52) by I x, I2 and /3 respectively
and estimate them separately. Let us consider the first integral. From (3.51) and
condition 6) of the lemma it follows that
l920 0 - 9 i 0 0 l ^ y |* - . x |> ^ r - , (3.53)

from which
h > W a( x , h ) ,
where Wa (x, h) is the function defined in condition 4) of the theorem.
We consider now the second and third integrals. From condition 4) of the
lemma we have,
/ 2> J J ,
2 7 sign [> 2 - ^ i ] ^ , (3.54)
0 0
1 u^-uCS)
/ 3> J J 6fl(*.&»/)d e s ig n [92
x+A 0
Springer Tracts, Vol. II, Lavrentiev

while from (3.54), condition 4) of the theorem and condition 5) of the lemma
we obtain
I2 + h ^ -co(A,h)- Ws (x,h). (3.55)
From condition 3) of the lemma and from (3.51) it follows that the last term
in the left-hand side of (3.52) is non-negative, i.e.,
•A(x) > 0 .
From (3.54), (3.55) and (3.56) it follows that for sufficiently small h there holds
the inequality
112~\~ 1 (x) > 0
contradicting the equality (3.52). Thus the theorem is proved.
§ 3. Inverse Problems for Some Non-Newtonian Potentials
Inverse problems for N ewtonian potentials have unique solutions only

under very essential restrictions on the nature of the density distribution. An
example constructed by P. S. N ovikov indicates that the solution of the inverse
problem of N ewtonian potential may be non-unique even in the class of
densities which are piecewise constant with a given constant and are contained
in simply connected domains. An analogous situation seems to take place
also for potentials corresponding to the fundamental solutions of other elliptic
equations.
As will be shown in this section, for inverse problems with some Non-NEW-
tonian potentials not connected with differential equations, uniqueness holds
for much milder restrictions on the nature of the density; its continuity and
finiteness will be quite sufficient.
Let x, £ be w-dimensional vectors with components ( x j,..., x„), (£u
let D, D1 be non-intersecting simply connected bounded domains of n-dimen-
sional space and let
«(*) = / . / (3-56)
o r p(x,£)
where
r ( x , 0 = \x-Z\.
Given the function u (x) in D t, it is required to reconstruct the potential
density q in D.
Theorem. For p > n + 2 the solution of the problem is unique in the class
of continuous q (x), i.e., the continuous function q (x) is uniquely determined
by the values of the function u (x) in the domain D l.
§ 4. An Inverse Problem for the Wave Equation 63
For our proof we shall examine the function
o(x) = j (3.57)
» R p( x , y , 0
where
R (x, y , 0 = V»-2(x,<S) + |j;|2
and y is a vector with components O v • ••» y m = / ; - / » - 3.
The function v (x, y) will clearly be a harmonic function of the variables
x, y with cylindrical symmetry. From the results of § 6, Chapter II it follows
that the function v (x, y) is uniquely determined on a set Q of x, y space:
x , y e Q , if x e D or y * 0 ;
by its values on the set
x e D t, y = 0.
The function v(x, y) is a N ewtonian potential of a simple layer with
density q (x) distributed on the n-dimensional manifold x e D, y = 0 in the
(// + m + l)-dimensional x, y space. It is clear that q (x) is uniquely deter
mined from v (x, y). Hence the theorem is proved.
We note that the method used for the proof of the uniqueness theorem
permits one to obtain estimates characterizing the stability of the solution.
§ 4. An Inverse Problem for the Wave Equation
In this section we shall prove a theorem giving the uniqueness for the
solution of an inverse problem for the wave equation.
We consider the equation
(3.58)
where u is a function of the three variables x, y, t and it is a function of the

variables x, y.
We consider the following problem: the domain D0 is given in the x, y
plane. The function n (x, y) > 0 is continuous and identically equal to one
outside of D0. Moreover, in some domain Z>, with D v n D0 empty, there is
given a family G of solutions of (3.58) for all t > 0. It is required to determine
the function n (x, y ) inside D0.
We note that a similar problem in the case of one variable was considered
in the paper [59]; quite close to the problem being considered there, is the well-
known Sturm-L iouville inverse problem.
We formulate a uniqueness theorem for the above problem for a certain
family G.
Theorem. Let D0 and Dx be bounded and simply connected domains, and

D2 a bounded, simply connected domain, which does not intersect with D0 or
Dv Let G be a set of solutions of (3.58) satisfying the following initial condi
tions
u (x, y, 0) = 0;
— u ( x , y , 0 ) = S ( x - x 0, y - y 0) (3.59)
where Q (x,„ y0) is any point of D2.

Then the solution of the inverse problem is unique, i.e., the function
n (x, y ) is uniquely determined within D0.
We give a brief sketch of the proof. We denote the solution of the Cauchy
problem (3.59) for equation (3.58) by u (x, y, x0, yQ, i) and consider the function
CO
v(x, y, x0, y 0 -X) = J 11(x>y> ôJo. 0 cos k t d t .
o
One can easily see that
Av = —<5(x —x 0, y —y 0) —Xzn 2v. (3.60)
The function v is the fundamental solution of the H e l m h o l t z equation
A v = —X2n 2v
with the singularity at the point Q (x0, jg). It is well-known that a fundamental
solution for an elliptic equation with analytic coefficients is an analytic function
of both the independent variables x and y and the coordinates of the singularity
x0, y0 everywhere away from the singularity.
According to the conditions of the theorem the function v is given in the
domain Dl2 of the 4-dimensional space R (x, y, x0, y0), the direct product of
the domains Du D2 of the spaces P (x, y) and Q (x0, j 0). The function n (x, y)
is identically equal to one outside of D0. Hence, by virtue of the uniqueness of
the analytical continuation, the function v may be considered to be given
everywhere outside of the domain D00 = D0 x D0.
Let D3 be a bounded domain containing the domains D0, D1 and D2 and let
J’2= (X - o 2+ (y-- 1/)2, r l = (x0 - O 2+ (To —n f ■

From (3.60) it follows that for P e D3
v (x, y, x 0, y 0. A) = In [(x - x 0) 2 + (y - y 0) 2]
Z TZ
~ T Z * n2(x >y) I v (£ ,r i,x 0, y 0 -X)lnrdZdri

Z7r D0
+ v ( x , y , x 0, y 0, 0 ; (3.61)
§ 5. On a Class of Inverse Problems for Differential Equations 65
ds.
*=^ ( U^
dn lnr“ £
dn lQr
where -T^ is the boundary of D3.
We denote by i>, (x, y, x0, y0) the function
d2v(x, y, x0, j ’0, 0) 02u ( x ,y ,x o,>’o,O)

Vl 0/1 0.v3.xo 0 y •0>’o
It can be easily shown that the function vY, for R e D33 = D3 x D3, equals
■>, - J n «■ ■)) — ~ (/ ~ n) (y° d( ■d,, + v, (3. 62)

Do r ‘r O
where
d 2v dzv
l'l (■V,J',.v0,J ,o)= ?T
02 |_0x •0.xo + dy ■0>’o
By virtue of (3.62) the functions u„ for R e D3a and R e D00 are analytic
functions of the variables x, y, x0, y0.
By setting
* = *o> >' = Jo i P (x,y)eD 1
in (3.62) we obtain
v2 = («i ( x , y , x , y ) - ffi (x, y, x, y) = J n ( ^ , t i ) - \ d ^ d i ] . (3.63)

Do r
The assertion of the theorem follows immediately from the results of § 3
and (3.63).
We note that the theorem generalizes to the case of the wave equation in a
space of an arbitrary number of dimensions as well as to the heat equation and
some equations of hyperbolic and elliptic type of higher orders.
§ 5. On a Class of Inverse Problems for Differential Equations
In this section a statement more general than that of the previous section
is considered. A class of inverse problems is reduced to linear integral equations
of the first kind which are then investigated by methods differing from those
of the previous section.
We consider the equation
p‘ 4 ( ) “(x>y ) = p 3 (4 ) ( 4 )"(x>y)• (3'64)

where x, y are vectors with components (x^ ...,x „ ), (yv ...,y„) and Pj are
polynomials with coefficients continuously depending on x.
In regard to Pj, wc assume that the equation
'’■ ( 4 ) ot'c)=0
has a fundamental solution G (x, x°) defined in the entire x, x 0 space*.
We pose the inverse problem for equation (3.64) which will be considered
in this section.
Let D0, Dt be some bounded domains of * space, where the intersection
Z)j n D0 is empty. The coefficients of the polynomials Pu P2 are given for the
entire x space and the coefficients of the polynomial P3 are given everywhere
outside of D0. In addition, let a family of solutions u (at, y, £) of (3.64) depending
on the parameter £ (£l5 ..., £p), be given in the domain Dv
The functions u (x, y, £) satisfy the conditions
— J L — U(X,0
a>^' ...o j'l"
9ri«(.x,0 , 0 ar2G ( x , x ° )
lim J dax = 0. (3.65)
Q-*00 I q.Xq Qx'/ ... dx'„n 0 x j1... d x snn
dru (x , y, Q
< ^ + 1 ^
V i 1- d y t
where the indices k u rnn over the values which are less than the maxi
mum values of the corresponding indices in the polynomial
and + j t, ..., /„ + j n run over a similar set with respect to the polynomial
S QXo is a sphere of radius o with the center at the point a'0, / (v, £) are given
finite functions, and Cu C2 are some constants.
It is required to determine the coefficients of the polynomial Pz in the
domain D0.
In the case when n = m = 1 the above inverse problem is equivalent to
the known Sturm -Liouville inverse problem for ordinary differential equa
tions.
* The existence of a fundamental solution has been proved, say, for elliptic equations
of the second order and also for ordinary regular equations with constant co
efficients.
We denote by v (x , A, S) the function
v (x, A, £) = J “ (x, y , £ ) e x p { - (A, y)} dy

o
(A is a vector with components Al5 . . Am).
By virtue of (3.64) and (3.65) the function v (x, A, £) satisfies the following
differential equation
(3.66)
where
is a function which appears as a result of integrating by parts the expression

for
and Q is a polynomial.
We multiply both sides of (3.66) by the function G (x, x°) and integrate
over the whole x space. From inequalities (3.65) and (3.66) it follows that
the integrals will converge, and by integrating the corresponding expressions
by parts, the boundary terms at infinity will be equal to zero.
Thus, we find that the function v (x°. A, f) satisfies the integral relation
v (x°, A, c) = j G (x, x°) P 3 (Aj) P 2 J vdx + J G (x, x°) i}/dx. (3.67)
From (3.67) it follows that the function v (x, A, £) is an analytic function

of A in some neighborhood of the origin. We consider
Sr
v(x,0,Z),
(x, o, o ,
Pk i ••• k„ p 3( o).
8A"/ ... 9Afcm"
By virtue of (3.67) the functions vki ... *m, ij/kt ••• P kx••• fcm satisfy the
following system of relations
Vki ••• km(x°,<D = J C (x ,x °)|_ Pjt ...jmP2( j ^ x o l l . . . {J x , o } d x
+ J G (x, x°) iAjc, ••• (x, 0 d x , (3.68)
u0 ... o(x°, 0 = J G (x, x°) t/'o ••• o (Xj 0 d x .

Relations (3.68) may be regarded as a recursive system of linear integral

equations of the first kind in D0 for the coefficients Pjt of the polynomial
P3. In fact it follows from (3.68) that the function v0 ... 0 (x°, £) m aybe re
garded as given in the whole space.
We consider now the function
vo ... t ... o (x >0 = I G ( x , x )Po ... i ... oP 2 v° ••• 0 dx

q D° q J
+ I G (x, x°) / y _i ... 0 P 2 Q ^ ) Vo ... 0 (*> 0 dx

Do q J
+ J G (x, x°) iô_^ ... o (x, <0 d x . (3.69)

9
If x° e D 1 then in the equality (3.69) all the terms may be regarded as given
with the exception of the first one in the right-hand side, and therefore (3.69)
may be regarded as a linear integral equation of the first kind for the function
P o ••• l o (x)> x e D0
9
with the kernel
K ( x , x ° , O = G ( x , x ° ) P 2 ( — ^ v0 ...0 ( x , O , x°sD l .
If the above equation has a unique solution for any q then the equations
defining the function
Po — 1 o —1 ••• o (x)
9 91
is found in a similar way, and so on.
We will now carry out a detailed consideration of the system (3.68) in the
case in which the original differential equation is of the form
Aaxu(x, y ) = Y J aj { x ) ^ - u ( x,y) (3.70)

i oyJ
(y is a scalar, a, /3 are integers.)
The system (3.68) in the case under consideration will take the form
h (*° , 0 = J G (x, x°) v0 (x, 0 ak (x) d x ,

Do
v0 (x ° , i ) = J G(x,x°)ij/0 ( x , O d x ,
k- 1
vk (x ° > 0 = - £ j G ( x , x ° ) v k. j ( x , O a j ( x ) d x + vk(x0,^)
i
- J" G (x, x°) ak(x) v0 (x, £) dx — J G (x, x°) •ij/k (x, E) d x ,
Do
y j . x - x 0| 2‘ - " l n | x - x 0|, for n even, 2 a —j j >0;

G(x,.\-°) =
tU * - * 0!2*-'' in the remaining case.
From (3.71) it follows that for uniqueness of the solution of the inverse
problem under consideration it is sufficient that there be a unique solution of
the integral equation of the first kind with respect to the function a (x)
J G (at, x ° ) •vQ(x , 0 a (x) tlx = v (x°, £) . (3.72)
Do
We multiply both sides of (3.72) by an arbitrary function q (x°) and integrate

over the domain Dv
j u(x 0 ,c)f? (x°) dx° = J W (x) v 0 (x, f) a (x) d x ,
Di Do
w (x) = J G (x, x°) q (x°) dx° . (3 -73)

D 1
The function W (x) in (3.73) is a potential with density q (x0) distributed

in the domain Dl whereas the function v0 (x, £) is a potential with the density
i/'o (x, £) distributed in the domain D2. Hence, for uniqueness of a solution
of (3.72) it is sufficient that the linear hull of products of these potentials should
be dense in the set of functions defined in D0.
Let, for the moment, the set of functions \j/0 (x, f) be such that the set of
potentials v0 (x, £) is dense in the set of all harmonic functions regular in some
extension of the domain D0 — D0n *.
From potential theory it is known that the potentials W (x) lie densely in
the set of all harmonic functions regular in D0n. It can be easily seen that in
this case the linear hull of defined products of potentials is dense in the set of
continuous functions defined in D0. In fact, we consider the harmonic poly
nomials of order v which are normalized and homogeneous with respect to
the coordinates of the points x — x 1 where x 1 is an arbitrary point of D0.
It is well-known that the sum of squares of all these polynomials is equal
to |x — x 1!2 whereas the function {1 — \x — x ^ / i i 2}^ approximates <5(x — x 1)
in the sphere |x — x 1! < R. Thus, we have proved the following uniqueness
theorem for the inverse problem for equation (3.70).
Theorem. If a family of solutions u (x, y, £) of (3.70) is such that the set
of potentials vQ(x, £) is dense in the set of all harmonic functions regular in
the domain D0n (some extension of the domain D0), then the solution of the
inverse problem for (3.70) is unique in the class of continuous functions ak (x)
{ k = 1, ...,£ ).
* This condition is fulfilled if, for instance
<Po(x, I) = u (x, 0, f) = <5(x — f)
where the parameter f runs over the domain D2.
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Gesamthcrstcilung: R.OIdenbourg, Miinchen 8
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МІНІСТЕРСТВО ОСВІТИ І НАУКИ УКРАЇНИ
Одеський національний університет ім. І. І. Мечникова
В. М. АДАМЯН М. Я. СУШКО
ВСТУП ДО МАТЕМАТИЧНОЇ
ФІЗИКИ
________
______________
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INTRODUCTION TO MATHEMATICAL
PHYSICS
Рекомендовано Міністерством освіти і науки України

як навчальний посібник для студентів фізико-математичних
та інженерно-фізичних спеціальностей університетів
(Лист 14/18.2-2032 від 04.11.2002)
Одеса
“Астропринт”
2003
УДК 22.311я73
А283
ББК 53.02:51(075.8)
Посібник створено на базі першої частини лекційного курсу, що

неодноразово читався студентам фізичного факультету Одеського
національного університету. Він містить виклад основних ідей і методів
математичної фізики на прикладі її традиційних задач для необмеженого
тривимірного простору. Наводяться контрольні запитання та завдання
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Український текст супроводжується авторським перекладом
(американською) англійською мовою.
Посібник розраховано на студентів та аспірантів фізико-
математичних та інженерно-фізичних спеціальностей університетів.
Р е це н зе н т и :
М. Л. Горбачук, чл.-кор. НАН України, д-р фіз.-мат. наук, зав. відділу
Інституту математики НАН України;
С. В. Козицький, д-р фіз.-мат. наук, професор, зав. кафедри теоретич-
ної механіки Одеської державної морської академії;
В. В. Новіков, д-р фіз.-мат. наук, професор, зав. кафедри вищої ма-
тематики Одеського національного політехнічного
університету;
О. П. Ножніна, канд. філол. наук, доцент, координатор співпраці з
викладачами англійської мови Британської Ради в
Одесі.
Друкується за рішенням Вченої ради Одеського національного

університету ім. І. І. Мечникова
Протокол №9 від 28 травня 2002 р.
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ISBN 966-549-940-8 © В. М. Адамян, М. Я. Сушко, 2003

Дивовижна придатність мови математики
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що його сила не вичерпається в майбутніх
дослідженнях і що, попри все, вона пошириться –
радуючи, хоч, можливо, також і спантеличуючи
нас – на широкі галузі знання.
Юджин Вігнер
The miracle of the appropriateness of the language

of mathematics for the formulation of the laws of
physics is a wonderful gift which we neither
understand nor deserve. We should be grateful for it
and hope that it will remain valid in future research
and that it will extend, for better or for worse, to our
pleasure, even though perhaps also to our bafflement,
to wide branches of learning.
Eugene Wigner
Preface
Despite their apparent variety, most of the problems in modern

natural science are still possible to attack with the use of several
universal mathematical models, which were initiated in investigating
such processes as heat conduction and diffusion, propagation of
acoustic and electromagnetic waves, and motion of subatomic particles.
The study of these models, represented as problems for certain second-
order partial differential equations, constitutes the subject of
mathematical physics in the classical sense.
This book covers an introductory minimum of tools and
techniques of mathematical physics. The emphasis is on two major
concepts: the linear Cauchy problem for partial differential equations
on an unbounded space, and the Green’s function, by means of which
solving the Cauchy problem reduces to integrating. The relevant
elements of the theory of generalized functions and that of Fourier
integral transformations are also given.
We have restricted our consideration to problems for the
unbounded three-dimensional space. As compared to boundary-value
problems, they are more transparent and easier to grasp – there is no
need to satisfy boundary conditions, which usually break the
symmetries intrinsic to problems for an unbounded space. Boundary-
value problems, extremely important for description of a wide range of
electromagnetic and hydrodynamic phenomena, can be avoided when
the fundamentals of theoretical physics are first introduced. We
therefore decided to reserve their consideration for the next manual,
which we hope to complete in the near future.
The book is oriented to Physics majors and is based on the first
part of the lecture course in mathematical physics that is usually offered
by the Department of Physics at Odessa National University to the
sophomore students. This has predetermined some of its features.
In particular, the material is represented in a more narrative style
than that usually accepted in texts in pure mathematics. We tried – as
far as possible – not to overindulge in a great deal of abstract
constructions, but to give more attention to the meaning of general
statements and the details of their application. Since our potential
reader has already taken the three-semester calculus sequence within
the limits of the standard university curricula for physicists and
A4
engineers, we also took the liberty of not reminding some definitions
and concepts of calculus, or even not accentuating which version of
these concepts (for instance, the Riemann or the Lebesgue integral) is
meant. Contributing to the completeness of some statements and
constructions, such notes would not have added much to working out
the problems being dealt with in the book.
To avoid going deep into pure analysis, we have omitted some of
the proofs. Despite some uncertainties in the text, we tried to be precise
in all the formulations and proofs. Therefore it seems to us that the
book may also be useful for students studying pure or applied
mathematics.
Almost every section incorporates problems. Some of those are
given just to teach the reader to use the concepts introduced, whereas
others are integral parts of the main text.
The Ukrainian text is accompanied with its (American) English
version*). We hope that such a bilingual book will benefit the
Ukrainian undergraduate and graduates students in physics and
mathematics in working with their professional English-written texts.
On the other hand, the English version makes the book more accessible
to a large audience of international students, including those enrolled in
the Ukrainian universities.
Vadym Adamyan
Myroslav Sushko
*)
In this electronic edition of the book, only its English-written part is represented.
Also, the detected inaccuracies and misprints have been corrected.
A5
1. HEAT CONDUCTION IN SYSTEMS
WITH DISTRIBUTED PARAMETERS
1.1. The Heat (Conduction) Equation
The temperature of different parts of a nonuniformly heated

object may change by virtue of three fundamental processes:
conduction, convection, and radiation. Conduction is defined as the
process of energy transfer within an object caused by atomic and
molecular interactions and by free electron motions, no bulk
motion of the object’s material or macroscopic work being
involved.
The main features of heat conduction remain the same for various
systems, be it a metal rod, a block of wood, or a fluid confined to a vessel.
The heat (energy) transfer occurs only between regions that are at
different temperatures, and the corresponding heat flows always point
from regions of higher temperature to those of lower temperature.
Suppose (1) the time intervals between feasible observations of an
object are much longer than the mean free time of its molecules and (2)
the absolute error in measuring distances between the object’s spatial
points considerably exceeds the average intermolecular distance. Then
the heat conduction can be described in terms of a single scalar function
T (r, t ) whose values represent the object’s temperature at points with
coordinates r = ( x, y, z ) at time t . Apart from some special cases (the
localization of heat sources within small neighborhoods of the object’s
separate points, lines, or surfaces; the presence of temperature jumps
across the object’s inner interfaces, etc.), the function T (r, t ) varies
relatively slowly in space and time. Unless specified otherwise, we shall
take it to be continuous throughout its domain, along with at least its first
partial derivatives.
The differential equation describing the evolution of the
temperature distribution T (r, t ) within a nonuniformly heated object
due to conduction is called the heat equation.
A6
The heat equation can be derived by considering the heat balance
for an arbitrary region V within the object.
Let V be bounded by a surface S . The heat change Q in the
region V over a brief time interval (t , t + dt ) amounts to the heat Q1
passing through the surface S and the heat Q2 liberated (absorbed) by
the heat sources (sinks) present inside V :
Q = Q1 + Q2 (1.1)
To express Q in terms of T (r, t ) , partition V into elementary
regions with position vectors r and volumes (measure) dV (r ) . We
assume that each elementary region contains a sufficiently large number
of points to be treated as macroscopic; at the same time, it has a rather
small typical size (the diameter) so that variations in T (r, t ) and those in
the object’s specific heat capacity c(r, T ) and density ρ (r, T ) over it
are negligible. Then the heat amount required to change its temperature
by T (r, t + dt ) − T (r, t ) is
∂T (r, t )
dQ(r, t ) = cρ [T (r, t + dt ) − T (r, t )]dV (r ) = cρ dV (r )dt
∂t
The heat Q is equal to the sum of quantities dQ over all the
elementary regions:
 ∂T 
∫
Q =  cρ

V
∂t
dV  dt


To compute Q1 , partition S into small sections and consider one
that contains a point r , has an area dA(r ) , and whose orientation is
given by the unit normal vector n . The heat amount passing through this
elementary section over the time interval (t , t + dt ) is expressed in terms
of the normal component j n (r, t ) = ( j(r, t ) ⋅ n ) of the heat current
density j(r, t ) , a vector, by
dQ1 (r, t ) = − j n (r, t )dA(r )dt
A7
The negative sign here suggests that dQ1 is positive when heat is
coming into V ( j points inward V ), and negative when V loses heat ( j
points outward).
The heat Q1 is equal to the sum of quantities dQ1 over all the
elementary sections:
 
Q1 =  −


∫
S
j n dA  dt


Provided the components of the vector field j are continuously
differentiable, the Divergence Theorem yields:
 
 V
∫
Q1 =  − div j dV  dt
 

Denote by F (r, t ) the power density of heat sources (sinks)
functioning within V . The heat amount being released (absorbed) by
those in an elementary region of volume dV (r ) over the time interval
(t , t + dt ) equals dQ2 (r, t ) = F (r, t )dV (r )dt . The heat Q2 is found
by adding up heats dQ2 generated in all the elementary regions over this
time interval:
 
V
∫
Q2 =  F (r, t ) dV  dt
 

The heat balance equation (1.1) is now written as
   
 cρ ∂T dV dt =  {− div j + F (r, t )}dV dt

V
∫ ∂t 


V
∫ 

This equality holds true for an arbitrary region in the object, which
is possible only if the integrands on both sides are equal to each other. As
a result, the equation of heat balance in the differential form is obtained:
∂T
cρ = − div j + F (r, t ) (1.2)
∂t
A8
Now, take advantage of Fourier’s law, which relates the heat
density current j(r, t ) to the temperature distribution T (r, t ) by
j(r, t ) = − k grad T (r, t ) (1.3)
where k (r, T ) is the thermal conductivity of the substance. Substituting
(1.3) into (1.2), we arrive at the desired heat equation:
∂T
cρ = div(k grad T ) + F (r, t ) (1.4)
∂t
Notes:
1. Time-dependence of the coefficients c , ρ , and k occurs only
under very specific circumstances which are beyond the scope of this
book. In what follows, it is disregarded.
2. The power density F (r, t ) may depend upon the temperature,
for heat inside an object can be generated (or absorbed) as a result of
chemical reactions within it, by an electric current, etc.
3. Far away from the phase-transition lines of a system and on
condition that fairly narrow temperature ranges are considered, the
coefficients c , ρ , and k can be regarded as temperature-independent.
If, besides, the power density F is either linearly dependent of the
temperature or independent of it at all, Equation (1.4) becomes linear in
T.
4. For a uniform system, with the same properties throughout, the
coefficients c , k , and ρ are coordinate-independent; that is, they are
constants. The heat equation reduces in this case to a second-order
partial differential equation with constant coefficients:
∂T (r, t )
= a 2 ∆T (r, t ) + f (r, t ) (1.5)
∂t
∂2 ∂2 ∂2
where ∆ ≡ 2 + 2 + 2 is the Laplace operator, the quantity
∂x ∂y ∂z
a 2 ≡ k / cρ is called the coefficient of heat conduction, and
f (r, t ) = F (r, t ) cρ .
A9
5. In the absence of heat sources or sinks ( F (r, t ) = 0 ), Equation
(1.4) becomes homogeneous. If, in addition, the coefficients of a system
are constant, the corresponding homogeneous heat equation takes the
form
∂T (r, t )
= a 2 ∆T (r, t ) (1.6)
∂t
Problem 1.1.1. Make sure that the form of Equation (1.4) is

independent of a choice of the zero temperature reference point on a
temperature scale.
Problem 1.1.2. Let functions T1 (r, t ) and T2 (r, t ) satisfy the
linear heat equation (1.4). Show that their difference T1 (r, t ) − T2 (r, t )
satisfies the homogeneous linear equation (1.4).
Problem 1.1.3. Let T1 (r, t ) be an arbitrary function satisfying
the linear equation (1.4). Show that all functions satisfying (1.4) can be
represented in the form T0 (r, t ) + T1 (r, t ) where T0 (r, t ) runs over the
set of all functions satisfying the homogeneous linear equation (1.4).
Problem 1.1.4. Write the heat equation for the cases when it
follows from the problem situation that the sought-for temperature is
independent of one or two spatial coordinates. In other words, write the
two-dimensional and the one-dimensional heat equations,
respectively.
Review Questions to Section 1.1
1. What is the difference between heat conduction and heat transfer

by convection?
2. Under what conditions does the description of the heat conduction
reduce to the study of a single scalar function (scalar field)
T (r, t ) ?
3. As functions of coordinates, can the quantities c , k , ρ , and F in the
heat equation (1.4) have discontinuities on some sets of the object’s
points? Justify your answer.
A10
4. Under what conditions is the Divergence Theorem valid? The
theorem was referred to in deriving Equation (1.2).
5. To what fundamental principle is the appearance of the minus sign on
the right of Formula (1.3) attributed?
6. Under what conditions can one consider Equation (1.4) linear?
1.2. The Cauchy Problem for the Heat Equation in an

Infinite Space. The Uniqueness of the Solution
The initial distribution of temperature, specified for a certain

time t 0 , physical conditions on the boundaries, and functioning of heat
sources are three major factors which determine the course of the heat
conduction within a system. Following t 0 , all subsequent changes in
its temperature are governed by the heat equation (with coefficients
expressed in terms of the system’s specific parameters and
inhomogeneous term describing the effect of the sources) and by the
boundary conditions.
The general problem for finding a function, of a given class,
satisfying both the equation of the process under study and the
boundary conditions when t > t 0 and taking on given initial values
when t = t 0 is called the Cauchy problem.
We shall study Cauchy problems only for linear systems whose
equations and all additional physical conditions are of the form of linear
constraints imposed on values of the desired function and those of its
derivatives. Unless stated otherwise, we shall also assume that t 0 = 0 .
The uniqueness of the solution to the Cauchy problem for the
linear heat equation can be proven on the basis of the physically-clear
maximum (minimum) value principle, as well as with the aid of
mathematically-formal methods.
According to the maximum (minimum) value principle, on any
closed bounded region Ω with no heat sources or sinks inside, the
temperature changes in such a manner on the time interval t ∈ [0, τ ] ,
0 < τ < ∞ , that only at the instant t = 0 may its values
A11
Tmin = min T (r, t ) and Tmax = max T (r, t ) occur at an interior point
r∈Ω r∈Ω
0 ≤t ≤τ 0 ≤t ≤τ
of Ω .
The physical meaning of this statement stems from the basic laws
of thermodynamics. If, for example, the maximum value of the
temperature is Tmax and occurs on the boundary of Ω at some instant,
and Ω is void of any heat sources, then there is no factor that would
cause the temperature to become later greater than Tmax at one, at least,
of Ω ’s inner or boundary points.
Suppose now that T1 and T2 represent two continuous solutions
to the Cauchy problem for the linear heat equation in some region.
Then everywhere in the region their difference T1 − T2 satisfies the
homogeneous linear heat equation and is zero at the initial time. By
consecutive application of the maximum and the minimum value
principles, we see that the difference T1 − T2 equals zero identically at
any other time as well; that is, the functions T1 and T2 are equal.
Let us change now to formal proving the uniqueness of the
solution to the Cauchy problem for the linear heat equation in an
infinite space. For this purpose some concepts and results of analysis
need recalling.
A function f (r ) defined in the entire three-dimensional space
E3 is called integrable over E3 if
∞ ∞ ∞
∫ f (r) dr = ∫ ∫ ∫ f ( x, y, z) dxdydz < ∞

E3 −∞ −∞ −∞
*)
We shall customarily use the symbol L1 to denote the set of all

such complex-valued functions.
*)
Further, dr always stands for the volume (measure) of an infinitesimal
neighborhood of point r .
A12
Problem 1.2.1. Let f (r ) and g (r ) be functions of L1 . Prove
that ( f ± g ) ∈ L1 .
Hint. For any complex numbers u and v , there holds the
inequality
u±v ≤ u + v
Problem 1.2.2. Let f (r ) ∈ L1 , and let g (r ) be a continuous

and bounded function; that is, there is a nonnegative number C < ∞
such that sup g (r ) ≤ C . Prove that the product g ⋅ f ∈ L1 and that
∫ g (r) ⋅ f (r) dr ≤ C ∫ f (r) dr

E3 E3
(1.7)
It should be noted that a function of L1 may in general have

discontinuities on a dense set of points in E 3 . Indeed, consider the
nonnegative function
e −r
g (r ) = g (r ) =
4πr
where r = r = x 2 + y 2 + x 2 . The integral
J ( R) =
∫ g ( r ) dr
r <R
is readily evaluated in spherical coordinates

x = r sin θ cos ϕ , y = r sin θ sin ϕ , z = r cosθ
0 ≤θ ≤π , 0 ≤ ϕ < 2π , 0≤ r <∞, dr = r 2 sin θ dθ dϕ
We have:
R
∫
J ( R) = e − r rdr = 1 − (1 + R )e − R → 1
0
R →∞
So, g (r ) ∈ L1 and
A13
∫ g (r) dr = 1
E3
For any point a = (a x , a y , a z ) ∈ E3 and any number λ > 0 , the

change of variables
x′ = λ ( x − ax ) , y′ = λ ( y − a y ) , z′ = λ ( z − a z )
yields:
∫ g (λ r − a )dr = λ ∫ g (r′)dr′ =λ
−3 −3
(1.8)
E3 E3
Consider now the function q (r ) formally defined as the sum

∞
q(r ) = ∑ g (n r − a
n =1
n )
(
of a series of nonnegative functions g n r − a n ∈ L1 , with {a n } being )
an arbitrary sequence of points in E 3 . It is known that the series
∞
∑ h (r)
n =1
n of nonnegative functions hn (r ) ∈ L1 converges almost
everywhere in E3 to a function of L1 if and only if

∞
∑ ∫ h (r) dr < ∞ . Since, by (1.8),

n =1 E
n
∞ ∞
∑∫ ∑n
1
g (n r − a n ) dr = 3
<∞
n =1 E n =1
3
q(r ) is a function of L1 , with infinite discontinuities at least at the

points of the sequence {a n } . But {a n } may be chosen to be dense in
E3 .
A14
Problem 1.2.3. Find the values of the exponents α and β for
which the functions
e −r 1
g (r ) = C and h(r ) = C β
rα r α r − r0
belong to L1 .
We shall call a function defined in E 3 infinitely smooth if

everywhere in E 3 , it is continuous and has continuous partial
derivatives of any order; compactly supported if it assumes nonzero
values only inside some sphere of finite radius; and we shall denote by
K the set of all infinitely smooth, compactly supported functions.
Evidently, K ⊂ L1 .
Despite the fact that a function of L1 may have singularities, for
any f (r ) ∈ L1 there is a sequence { f n (r )} of functions of K which
tend to f (r ) at almost every point in E 3 , and for which
lim
n→∞ ∫ f (r) − f (r) dr = 0
E3
n
Denote by W ( 2 ) the set of all twice-differentiable complex-

valued functions f (r ) of L1 which satisfy the condition: for any
f (r ) , there is a sequence { f n (r )},
of functions of K uniformly
bounded together with their first derivatives, which has the following
properties:
(1) on every bounded region in E 3 , it converges uniformly to
f (r ) as n → ∞ , and so do the first-derivative sequences
 ∂f n (r )   ∂f n (r )   ∂f n (r ) 
 ,  ,  
 ∂x   ∂y   ∂z 
but to the corresponding first derivatives of f (r ) ;
A15
(2) lim
n→∞ ∫ f (r) − f (r) dr = 0
E3
n (1.9)
∂f (r ) ∂f n (r )
(3) lim
n→∞ ∫
E3
∂x
−
∂x
dr = 0 (1.10)
∂ 2 f (r ) ∂ 2 f n (r )
lim
n →∞ ∫
E3
∂x 2
−
∂x 2
dr = 0 (1.11)
and the same holds true for the first and second partial derivatives with
respect to y and z .
Note that any f (r ) ∈ W ( 2 ) is continuous, for it is the limit of a
sequence of continuous functions that uniformly converges on every
bounded region in E 3 ; and bounded, because by definition of W ( 2 ) for
every such a sequence { f n (r )} there is a positive constant C < ∞ such
that max f n (r ) < C for all n , which means that the modulus of the
limit of { f n (r )} can exceed C nowhere. Similar reasoning is valid for
the first derivatives of f (r ) .
Lemma 1.2.1. Let f (r ) ∈ W ( 2 ) and let g (r ) be a bounded

continuous function with bounded continuous first derivatives. Then
∫ div(g (r) ⋅ grad f (r))dr = 0

E3
(1.12a)
If, in addition, g (r ) has bounded continuous second derivatives,

then
∫ div( f (r) ⋅ grad g (r))dr = 0

E3
(1.12b)
Proof. The equality (1.12a) holds for any f (r ) ∈ K and any

g (r ) satisfying the conditions of the lemma. Indeed, the integral
(1.12a) is actually taken then over some ball r < R < ∞ , on whose
A16
surface both f (r ) and its derivatives equal zero identically. Applying
the Divergence Theorem, we get:
∫ div(g (r) ⋅ grad f (r))dr = ∫ div(g (r) ⋅ grad f (r))dr =

E3 r<R
∂f (r )
=
∫
r=R
g (r )(n ⋅ grad f (r ) ) dA(r ) =
∫
r=R
g (r ) ⋅
∂r
dA(r ) =0
where dA(r ) stands for the surface element of the sphere r = R .

Now, let f (r ) be an arbitrary function of W ( 2 ) and { f n (r )} be
the sequence of functions of K converging to f (r ) in accordance
with the definition of W ( 2 ) . Denoting the variables x , y and z as
x1 , x2 and x3 , respectively, and using the above result, for any term of
the sequence we can write:
∫ div(g (r) grad f (r))dr = ∫ div[g (r) grad( f (r) − f (r)) ]dr ≤
E3 E3
n
3
∂ 2
( f (r ) − f n (r ) )
≤
∫ g (r) ∑
E3 i =1 ∂xi
2
dr +
(1.13)
∂ g (r ) ∂ ( f (r ) − f n (r ) )
3
+
∫∑
E3 i =1
∂xi ∂xi
dr ≤
∂ 2 ( f (r ) − f n (r ) ) ∂ ( f (r ) − f n (r ) )
3 3
≤ C1 ∑∫i =1 E ∂xi
2
dr + C 2 ∑∫
i =1 E
∂xi
dr
3 3
where C1 and C2 are the upper bounds of g and ∂g ∂xi ,

respectively. By (1.10) and (1.11), the right side of (1.13) tends to zero
as n → ∞ , whereas the left one is independent of n and, therefore, is
zero.
The equality (1.12b) is proved similarly.
A17
Problem 1.2.4. Find the values of the exponents α and β for
which the relation (1.13) holds for the functions
A Br
f (r ) = and g (r ) = .
rα 1 + Cr β
We are now in a position to prove the uniqueness of the solution

to the Cauchy problem for the linear heat equation in an infinite space.
We shall require that for every t > 0 , the sought-for temperature
T (r, t ) be a function of W ( 2 ) smooth in t at any point r ∈ E3 fixed
and satisfying the condition
t1
∂T (r, t )
∫ dt ∫ dr
0 E3
∂t
<∞ (1.14)
for any t1 > 0 . We shall also require that for every t > 0 , the power
density F (r, t ) in the heat equation (1.4) be a function of L1 .
Physically, the condition (1.14) implies the finiteness of the total
variation in heat energy in all elementary volumes over the time t1 ,
which amounts to
t1
∂T (r, t )
∫ ∫
0
dt dr c(r ) ρ (r )
E3
∂t
and that on F (r, t ) does the finiteness of the total power of all heat
sources.
Let us denote by Q the class of functions, of variables r and t ,
that satisfy the above conditions on T (r, t ) . Then the Cauchy problem
for the linear heat equation is stated as follows: from among functions
T (r, t ) of Q , find one satisfying the linear equation (1.4) and the
condition
T (r,0) = T0 (r ) (1.15)
T0 (r ) being an arbitrary integrable function.
A18
Theorem 1.2.2. Let the coefficients c(r ) , ρ (r ) , and k (r ) in
the linear heat equation (1.4) be strictly positive, bounded, and continuous
functions, k (r ) have in addition bounded continuous first derivatives,
and the power density F (r, t ) belong to L1 . Then the Cauchy problem
(1.4), (1.15) has at most one solution belonging to Q .
Proof. Suppose that T1 (r, t ) and T2 (r, t ) are two solutions to
the inhomogeneous linear heat equation (1.4) that satisfy identical
initial conditions and belong to Q . Then the function
T (r, t ) = T1 (r, t ) − T2 (r, t ) satisfies the homogeneous linear equation
∂T (r, t )
c(r ) ρ (r ) = div(k (r ) ⋅ grad T (r, t ) ) (1.16)
∂t
and zero initial condition
T (r,0) = 0 (1.17)
Since both Equation (1.16) and the condition (1.17) are
homogeneous, we can assume, without loss of generality, that T (r, t )
is a real-valued function of Q . It follows from the condition (1.14) and
the requirements imposed on the functions T (r, t ) , c(r ) , and ρ (r ) ,
and also from Fubini’s Theorem (see Section 4.5) that the function
∂T (r, t ) ∂ 1 
c(r ) ρ (r ) T (r, t ) =  c(r ) ρ (r )T 2 (r, t ) 
∂t ∂t  2 
is integrable with respect to r over E3 and with respect to t from 0 to
t1 > 0 , and that the equality
t1
 ∂T (r, t ) 
0 E
∫ ∫
J (t1 ) ≡ dt dr c(r ) ρ (r )

3
∂t
T (r, t )  =

t1
 ∂T (r, t ) 
=
∫ ∫
E3
dr dt  c(r ) ρ (r )
0
 ∂t
T (r, t ) 

holds.
A19
Integrating with respect to t in the latter double integral, and
taking into account the condition (1.17), we get:
1
J (t1 ) =
2 ∫
dr c(r ) ρ (r )T 2 (r, t1 )
E3
(1.18)
On the other hand, integrating with respect to the spatial

variables in the former double integral and using Equation (1.16), we
have:
t1
∫ ∫
J (t1 ) = dt dr T (r, t ) div(k (r ) grad T (r, t ) ) =
0 E3
t1
∫ ∫
= dt dr div(k (r ) T (r, t ) grad T (r, t ) ) −
0 E3
(1.19)
t1
 ∂T (r, t )  2  ∂T (r, t )  2  ∂T (r, t )  2 
∫ ∫
− dt dr k (r ) 
0 E3

 
 +
∂x   ∂y   ∂z  
 +  

Putting f (r ) = T (r, t ) and g (r ) = k (r )T (r, t ) for each fixed t ,
we see that the first integral on the right of (1.19) equals zero,
according to Lemma 1.2.1. The second one is nonnegative, which
results in the inequality J (t1 ) ≤ 0 . At the same time, it follows from
(1.18) that J (t1 ) ≥ 0 . Therefore, J (t1 ) = 0 , and, in view of the
continuity of T (r, t ) , we infer from (1.18) that T (r, t1 ) ≡ 0 for
arbitrary t1 > 0 .
Thus, T1 (r, t ) ≡ T2 (r, t ) for all t > 0 .
1. What is the Cauchy problem for the linear heat equation?

2. From what principles does the uniqueness of its solution follow?
3. Let a function f (r ) ∈ L1 . Does it follow from this that it vanishes
at infinity? That its points of discontinuity cannot accumulate at
A20
infinity? Justify your answer.
4. Let a function T (r, t ) of Q satisfy the homogeneous linear heat
equation. At what time does the maximum of the function formally
given by the integral J (t ) =
∫ ρ (r)c(r)T
2
(r, t )dr occur?
E3
5. What is the physical meaning of the condition T0 (r ) ∈ L1 on the

initial temperature distribution T (r,0) = T0 (r ) ?
1.3. The Linear Heat Equation with Constant

Coefficients in E3 . The Solution to the Cauchy
Problem
This section is concerned with finding a function u (r, t ) that

satisfies the equation
∂u
= a 2 ∆ u + f (r , t ) (1.20)
∂t
the initial condition
u (r,0) = T0 (r ) (1.21)
and that belongs to a particular class of differentiable functions.
We start by drawing attention to one symmetry that is intrinsic to
the homogeneous equation
∂u
= a 2 ∆u (1.22)
∂t
There exists a rather rich class of transformations of coordinates
and time
x ′ = ξ ( x, y, z , t ), y ′ = η ( x, y, z , t ), z ′ = ζ ( x, y, z , t )
(1.23)
t ′ = τ ( x, y , z , t )
that are generated by twice continuously differentiable functions ξ , η ,
ζ , and τ , and that determine a one-to-one mapping of E3 and the time
A21
half-line (t 0 , ∞) onto E 3 and the time half-line (t 0′ , ∞) , yet leaving
Equation (1.22) invariant. The last means that the form of (1.22) in the
variables x ′ , y' , z' , and t' and that in x , y , z , and t are the same.
Problem 1.3.1. Using the Chain Rule for functions of many

variables, find the conditions which ξ , η , ζ , and τ must satisfy so
that the form of Equation (1.22) remains intact under Transformations
(1.23).
Hint. For the function u = u ( x' , y' , z' , t' ) we have:
∂u ∂u ∂x' ∂u ∂y' ∂u ∂z' ∂u ∂t'
= + + +
∂t ∂x' ∂t ∂y' ∂t ∂z' ∂t ∂t' ∂t
2 2 2 2
∂ 2 u ∂ 2 u  ∂x'  ∂ 2 u  ∂y'  ∂ 2u  ∂z'  ∂ 2 u  ∂t' 
=   +   +   + 2  +
∂x 2 ∂x' 2  ∂x  ∂y' 2  ∂x  ∂z' 2  ∂x  ∂t'  ∂x 
∂u ∂ 2 x' ∂u ∂ 2 y' ∂u ∂ 2 z' ∂u ∂ 2 t'
+ + + + +
∂x' ∂x 2 ∂y' ∂x 2 ∂z' ∂x 2 ∂t' ∂x 2
∂ 2 u ∂x' ∂y' ∂ 2 u ∂x' ∂z' ∂ 2 u ∂x' ∂t'
+2 +2 +2 +
∂x'∂y' ∂x ∂x ∂x'∂z' ∂x ∂x ∂x'∂t' ∂x ∂x
∂ 2 u ∂y' ∂z' ∂ 2 u ∂y' ∂t' ∂ 2 u ∂z' ∂t'
+2 +2 +2
∂y'∂z' ∂x ∂x ∂y'∂t' ∂x ∂x ∂z'∂t' ∂x ∂x
∂ 2 u ∂y 2 and ∂ 2 u ∂z 2 are found similarly. Substituting all
these derivatives into Equation (1.22), we then require that each
‘primed’ derivative of u in the new equation and its ‘unprimed’
counterpart in Equation (1.22) have equal coefficients. This yields:
the equation
∂τ
= a 2 ∆ τ + ϕ (r , t )
∂t
where ϕ (r , t ) > 0 is an arbitrary function;
the six conditions of the form
A22
∂A
= a 2 ∆A
∂t
2 2 2
 ∂A   ∂A   ∂A 
  +   +   = ϕ (r, t )
 ∂x   ∂y   ∂z 
where A is any of the functions ξ , η , or ζ ;
and the six conditions
 ∂B  ∂C   ∂B  ∂C   ∂B  ∂C 
   +    +   =0
 ∂x  ∂x   ∂y  ∂y   ∂z  ∂z 
where both B and C are any of the functions ξ , η , ζ , or τ ; but
B ≠C.
Problem 1.3.2. Using the conditions which Transformations

(1.23) must meet (see Problem 1.3.1), make sure that Equation (1.22) is
invariant under:
(a) translations of the origin and the zero time reference point
x' = x − x0 , y' = y − y 0 , z' = z − z 0 , t' = t − t 0 ;
(b) rotations about the coordinate axes through arbitrary angles;
those are exemplified by the transformation
x' = x cos α − y sin α , y' = x sin α + y cos α , z' = z , t' = t ;
(c) scaling transformations
x' = λx, y' = λy, z' = λz , t' = λ2t , λ > 0 .
It follows from the invariance of Equation (1.22) under some of

Transformations (1.23) that if a function u ( x, y, z , t ) satisfies Equation
(1.22), then so does the composite function
u~ ( x, y, z , t ) = u (ξ ( x, y, z , t ),η ( x, y, z , t ), ζ ( x, y, z , t ),τ ( x, y, z , t ) )
(1.24)
In general, u ( x, y, z , t ) and u~ ( x, y, z; t ) are different. Those
partial solutions of Equation (1.22) which remain unchanged under both
scaling transformations and rotations about the coordinate axes through
arbitrary angles are called similarity solutions.
A23
Problem 1.3.3. Find the similarity solutions to Equation (1.22),
and also those to its two- and one-dimensional versions.
Hint. A similarity solution u~ depends upon the coordinates and
the time only through their combination
r
τ= , r = x2 + y2 + z2
a t
that is,
u~ ( x, y, z , t ) = u~ (τ ) (1.25)
Substitute (1.25) into (1.22) to find the ordinary differential
equation for u~ (τ ) and then its general solution.
Problem 1.3.4. Consider that similarity solution of Equation

(1.22) which vanishes at infinity. Make sure that it describes the
temperature distribution around a point source whose heat starts being
released at t = 0 and increases as t 3 / 2 as time passes.
In solving the Cauchy problem (1.20), (1.21), another special

solution of Equation (1.22) is of great significance. It is of the form
r2
1 −
G (r, t ) = e 4 a 2t
, t>0 (1.26)
(4πa t )
2 3/ 2
where r = x 2 + y 2 + z 2 , as before. Note that G (r, t ) > 0 .
Problem 1.3.5. Verify that for t > 0 , G (r, t ) satisfies the

homogeneous equation (1.22).
Problem 1.3.6. Verify that for t > 0 ,
∫ G(r, t ) dr = 1
E3
(1.27)
Solution. The triple integral (1.27) can be evaluated as an iterated

integral; that is,
A24
∞ ∞ ∞ x2 + y2 + z2
1
∫ ∫ ∫ ∫
−
J = G (r, t ) dr = dx dy dz e 4 a 2t
E3
(4πa t ) 2 3/ 2
−∞ −∞ −∞
In accordance with the Laws of Exponents, the relation

e a +b = e a e b
holds for any real or complex numbers a and b . Using it, we find:
3
 1
∞
 x2
∫
−
J = dx e 4 a t 
2
(1.28)
(
 4πa 2 t )1/ 2
−∞

The well-known formula
∞
∫
2
dx ′ e − x' = π (1.29)
−∞
then yields ( x′ = x 2
4a t ):
∞ x2 ∞
1 1
∫ ∫
− 2
dx e 4 a 2t
= dx ′ e − x ′ = 1 (1.30)
(4πa t )
2 1/ 2
−∞
π −∞
Formula (1.29) can be proved as follows. Obviously,
∞
∫
2
J0 = dx e − x > 0
−∞
2
since the integrand takes on only positive values. Write J 0 as
∞ ∞ ∞ ∞
∫ ∫ ∫∫
2 − x2 − y2 2
+ y2 )
J0 = dx e dy e = dxdy e −( x
−∞ −∞ −∞ −∞
and make the change of variables
x = R cosθ , y = R sin θ , 0 ≤ R < ∞, 0 ≤ θ < 2π
in the latter integral, to obtain:
A25
∞ 2π ∞
∫ ∫ ∫
−R2 2
RdR dθ e = π d (R 2 ) e −R = π
2
J0 =
0 0 0
Note that not only G (r, t ) , but also the function

2
r −r0
−
1 2
4 a ( t −t0 )
G (r, r0 ; t , t 0 ) = G ( r − r0 , t − t 0 ) = e
(4πa 2
(t − t 0 ) ) 3/ 2
satisfies Equation (1.22), due to the invariance of (1.22) under

translations of the origin and the zero time reference point. Here
r − r0 = ( x − x0 ) 2 + ( y − y 0 ) 2 + ( z − z 0 ) 2 and t > t 0 , r0 and t 0
being arbitrary.
G (r, r0 ; t , t 0 ) also satisfies the equations
∂G ∂G
= a 2∆ 0 G , = −a 2 ∆ 0 G
∂t ∂t 0
∂2 ∂2 ∂2
where ∆ 0 ≡ 2
+ 2
+ 2
.
∂x0 ∂y 0 ∂z 0
The function G (r, r0 ; t , t 0 ) is called the fundamental solution,
or the Green’s function, of Equation (1.22).
Lemma 1.3.1. Let an arbitrary integrable function g (r ) be

continuous at a point r0 . Then
t ↓t 0 ∫
lim G (r' , r0 ; t , t 0 ) g (r' ) dr' = g (r0 )
E3
(1.31)
Proof. Since g (r ) is continuous at r0 , for any number ε > 0

there is a number δ > 0 such that
g(r ) − g(r0 ) < ε (1.32)
for every r in the ball r − r0 < δ .
Let t > t 0 . Split the integral in (1.31), J (t ) , into two parts:
A26
J (t ) = J 1 (t ) + J 2 (t )
where
J 1 (t ) =
∫ G(r' , r ; t, t ) g (r' ) dr'
r' − r0 >δ
0 0
J 2 (t ) =
∫ G(r' , r ; t, t ) g (r' ) dr'
r' − r0 <δ
0 0
Taking into account the explicit expression for G (r' , r0 ; t , t 0 ) , we

see that for r' − r0 > δ ,
δ2
−
1 2
4 a ( t −t 0 )
G (r' , r0 ; t , t 0 ) ≤ e
(4πa 2
(t − t 0 ) ) 3/ 2
and J1 (t ) can be estimated as follows:
J 1 (t ) ≤
∫ G(r' , r ; t, t ) g (r' ) dr' ≤
r' −r0 >δ
0 0
δ2
−
1
∫ g (r' ) dr'
2
4 a ( t −t0 )
≤ e
(4πa 2
(t − t 0 ) )
3/ 2
E3
Since
δ2
−
1 2
4 a ( t −t 0 )
lim e =0
t ↓t 0
(4πa 2
(t − t 0 ) ) 3/ 2
we obtain:
lim J 1 (t ) = 0
t ↓t 0
Rewrite J 2 (t ) as
J 2 (t ) = J 21 (t ) + J 22 (t )
where
J 21 (t ) = g (r0 )
∫ G(r' , r ; t, t ) dr'
r' −r0 <δ
0 0
A27
J 22 (t ) =
∫ G(r' , r ; t, t )(g (r' ) − g (r ))dr'
r' −r0 <δ
0 0 0
Changing to the new variable of integration

1 1
r= (r' − r0 ) , dr = dr'
2a t − t 0 (4a 2
(t − t 0 ) )3/ 2
we see that
1 1
∫ ∫ ∫
2 2
lim G (r' , r0 ; t , t 0 ) dr' = lim e − r dr = e − r dr = 1
t ↓t 0 t ↓t 0 π 3/ 2 δ
π 3/ 2
r' −r0 <δ E3
r<
2 a t −t 0
and so
lim J 21 (t ) = g (r0 )
t ↓t 0
As t ↓ t 0 , the remainder J 22 (t ) remains less than any

infinitesimal ε . Indeed, in view of (1.26) and (1.32), we have:
J 22 (t ) ≤
∫ G(r' , r ; t, t ) g (r' ) − g (r ) dr' ≤
r' −r0 <δ
0 0 0
∫
≤ ε G (r' , r0 ; t , t 0 ) dr' = ε
E3
Note 1.3.2. In fact, the integrability of g (r ) is not a necessary

requirement. It was used only to prove the fact that the integral J 1 (t )
tends to zero as t → 0 . In the case of nonintegrable functions, this
integral may tend to zero as t → 0 , too.
Problem 1.3.7. Prove that the relation (1.31) still holds if g (r )
is required to be uniformly bounded in the entire E 3 , rather than
integrable.
We are now in a position to find the solution to the Cauchy
problem (1.20), (1.21).
Let a twice differentiable function T (r, t ) , which is also
A28
integrable along with its first and second derivatives, satisfy Equation
(1.20) and the initial condition (1.21). Then for t > t' , the following
relation holds for T (r, t ) and G (r, r' ; t , t' ) :
∫ [T (r′, t ′)∆'G(r, r′; t, t ′) − G(r, r′; t, t ′)∆'T (r′, t ′)]dr' =0 (1.33)

E3
∂2 ∂2 ∂2
where ∆ ′ ≡ + + .
∂x ′ 2 ∂y ′ 2 ∂z ′ 2
Indeed, taking into consideration Lemma 1.2.1 and the fact that
for fixed values of r and t > t ′ the function G and its derivatives in
r ′ belong to W ( 2 ) , we have:
∫ [T (r′, t ′)∆'G(r, r′; t, t ′) − G(r, r′; t, t ′)∆'T (r′, t ′)]dr' =

E3
=
∫ div′[T (r′, t ′)grad'G(r, r′; t, t ′) − G(r, r′; t, t ′)grad'T (r′, t ′)]dr' =0
E3
Next, using the relation (1.33) and the equations for T (r, t ) and
G (r, r' ; t , t' ) , we can write:
t
  ∂G (r, r ′; t , t ′) 
0
∫ ∫
0 = dt ′ T (r ′, t ′) 
E3
  ∂t ′
+ a 2 ∆' G (r, r ′; t , t ′) −

 ∂T (r ′, t ′) 
− G (r, r ′; t , t ′) − + a 2 ∆' T (r ′, t ′) + f (r ′, t ′) dr ′ =
 ∂t ′ 
t t
∂
∫
= dt ′
0
∂t ′ ∫
E3
∫ ∫
G (r, r ′; t , t ′)T (r ′, t ′) dr ′ − dt ′ G (r, r ′; t , t ′) f (r ′, t ′) dr ′ =
0 E3
t ′↑ t ∫
E3
t ′↓ 0 ∫
= lim G (r, r ′; t , t ′)T (r ′, t ′) dr ′ − lim G (r, r ′; t , t ′)T (r ′, t ′) dr ′ −
E3
t
∫ ∫
− dt ′ G (r, r ′; t , t ′) f (r ′, t ′) dr ′
0 E3
A29
We shall assume that the solution T (r, t ) approaches the initial
value T0 (r ) as t ↓ 0 , that is,
lim T (r, t ) − T0 (r ) = 0
t ↓0
Then, in view of the continuity and boundedness of G (r, r' ; t , t' )
for t > t' , we see that
lim G (r, r' ; t , t' )T (r' , t' ) dr' = G ( r - r' ; t )T0 (r' ) dr'
t' ↓ 0 ∫
E3
∫
E3
On the other hand, in view of Lemma 1.3.1 and the uniform

continuity of T (r, t ) within every region of finite volume, we have:
t' ↑t ∫
lim G (r, r' ; t , t' )T (r' , t' ) dr ' = T (r, t )
E3
So, the final result is:

t
T (r, t ) = G ( r − r' ; t )T0 (r' ) dr' +

∫
E3
∫ dt' ∫ G( r − r' ; t − t' ) f (r' , t' ) dr'
0 E3
(1.34)
1. Under what transformations of coordinates and time is the heat

equation (1.22) invariant?
2. What solutions of Equation (1.22) are called similarity solutions?
3. Suppose that the temperature in an infinite object changes with
time in the same way as does the similarity solution of Equation
(1.22). Is the heat content in the object conserved?
4. What are the properties of the Green’s function for Equation
(1.22)?
A30
1.4. The Meaning of the Green’s Function
Suppose that the temperature distribution within an infinite

medium at the initial time t = t 0 is given by an integrable or bounded
function T0 (r ) . If the medium is uniform and contains no heat sources
(or sinks), then its temperature T (r, t ) at an arbitrary point r at times
t > t 0 is related to T0 (r ) by (see Formula (1.34))
∫
T (r, t ) = G (r, r' ; t − t 0 ) T0 (r' ) dr'
E3
(1.35)
where G (r, r' ; t ) is the Green’s function for the linear heat equation
with constant coefficients. A similar relation holds for the linear heat
equations with variable coefficients, describing the heat conduction in
nonuniform media, and also for those defined for bounded spatial
regions.
Consider the case of nonuniform media in more detail. Let
t 0 = 0 . Under some, rather general, conditions, there is a continuous
function G (r, r' ; t ) , t > 0 , that is defined in E 3 and has the following
properties:
(1) in its spatial variables r and r' , it is twice-differentiable and
also integrable (along with all its first and second partial derivatives)
over E 3 ;
(2) it is symmetric in r and r' :
G (r, r' ; t ) = G (r' , r; t ) (1.36)
(3) for fixed values of r' , it satisfies the homogeneous equation
∂G
c(r ) ρ (r ) = div(k (r ) grad G ) (1.37)
∂t
(4) the relation
t ↓t 0 ∫
lim G (r0 , r' ; t ) g (r' )c(r' ) ρ (r' ) dr' = g (r0 )
E3
(1.38)
holds for any function g (r ) that is bounded or even rather slowly

increasing at infinity, r0 being its point of continuity.
A31
Should the conditions ensuring the above properties of
G (r, r' ; t ) be met, the general solution of the Cauchy problem for the
heat equation (1.4) with variable coefficients, T0 (r ) and F (r, t ) being
integrable or bounded, is given by
∫
T (r, t ) = G (r, r' ; t )c(r' ) ρ (r' )T0 (r' ) dr' +
E3
t (1.39)
∫ ∫
+ dt' G (r, r' ; t − t' ) F (r' , t' ) dr'
0 E3
Recall that T0 (r ) and F (r, t ) represent the initial temperature

within a medium and the power density of heat sources, respectively.
In the absence of heat sources, the solution of the Cauchy problem for
the corresponding homogeneous equation reduces to
∫
T (r, t ) = G (r, r' ; t )c(r' ) ρ (r' )T0 (r' ) dr'
E3
(1.40)
The product c(r' ) ρ (r' )T0 (r' ) under the integral sign (1.40)
represents the initial density of heat energy at point r' , that is, the
medium’s heat content per unit volume in a small neighborhood of r'
at t = 0 .
Assume now that at t = 0 , the initial temperature in a medium is
nonzero only within a small neighborhood Ω of a point r' = r0 , and
that the medium is void of heat sources. The integral (1.40) is then
taken over Ω only. In view of the continuity of the Green’s function,
we can write
∫
T (r, t ) ≈ G (r, r0 ; t ) c(r' ) ρ (r' )T0 (r' ) dr' = G (r, r0 ; t )Q0
E3
where Q0 is the heat amount that was either stored within Ω at the
initial time t = 0 or somehow injected into there at that instant.
A32
So, the Green’s function G (r, r0 ; t − t 0 ) is equal to the
temperature that a medium has at point r at time t > t 0 due to a unit
amount of heat instantly injected into it at point r0 at moment t 0 ,
provided the medium’s temperature before t 0 is zero throughout and
other heat sources are absent.
Functions with similar meaning arise in various problems of
mechanics and physics. There they are also called Green’s functions,
as well as propagators, functions of influence, or response functions.
Note. The Green’s function for the heat equation (1.22) with
constant coefficients differs from the above one by the factor of cρ ,
which is for a uniform medium its heat capacity per unit volume. If a
unit amount of heat is instantly injected into a uniform medium at the
point r0 = 0 at the moment t = 0 , and if the medium’s temperature
before is zero everywhere, then in the absence of other heat sources,
the Green’s function (fundamental solution) (1.26) is equal to the heat
energy density of the medium at point r at time t > 0 .
Problem 1.4.1. A uniform medium has zero temperature. At the

time t 0 = 0 , a heat amount of Q0 cal is instantly injected into an
infinitesimal neighborhood of a point r0 . Analyze subsequent
temperature changes occurring at an arbitrary point r ≠ 0 in the
medium with time. Find the maximum temperature that can be
registered at a distance r > 0 from the origin, and the instant when it is
attained.
Problem 1.4.2. Find the solution to the Cauchy problem for the
homogeneous heat equation in an infinite uniform medium whose
initial temperature is
2
−α r −r0
T0 (r ) = T0 e , α >0
A33
Problem 1.4.3. Verify that the following identity is valid for the
Green’s function for the linear heat equation with constant coefficients:
∫
G (r, r0 ; t1 + t 2 ) = G (r, r' ; t 2 ) G (r' , r0 ; t1 ) dr' , t1 , t 2 > 0 (1.41)
E3
Hint. Take advantage of the result of the previous problem.
1.5. The Stationary Temperature. Newton’s Heat

Potential
If the initial temperature T0 (r ) is an integrable function, then its

contribution to the overall value of the temperature T (r, t ) becomes
negligible at any point r as time passes. Indeed, the following uniform
estimate is valid for an infinite uniform medium:
2 2
r −r' r −r'
1 1
(4πa t ) ∫ (4πa t ) ∫
− −
T0 (r' ) dr' ≤ T0 (r' ) dr' ≤
2 2
e
3/ 2
4a t
e
3/ 2
4a t
2 2
E3 E3
1
≤
(4πa t ) 2 3/ 2 ∫ T (r' ) dr' → 0
E3
0
t →∞
Consequently, only heat sources can cause the temperature

within such a medium to change as t → ∞ . Its limiting value is
t
 1 
dt' G ( r − r' , t − t' ) f (r' , t' ) dr' + O 3 / 2  (1.42)
T (r, t ) ≅
t →∞
0
∫ ∫
E 3
t 
where f (r, t ) = F (r, t ) cρ , and F (r, t ) is the power density of heat
sources.
If, in addition, the power density of the heat sources is an
integrable and time-independent function, F (r ) , then the temperature
eventually reaches a constant value at each point r in the medium.
This value equals ( τ = 1 4a 2 (t − t ′) ):
A34
t
1
T (r ) = lim T (r, t ) = lim
t →∞ t → ∞ cρ ∫ dt' ∫ G( r − r' , t − t' )F (r' ) dr' =
0 E3
1 ∞

 F (r' ) dr' = 1 F (r' )
=
2a cρπ 3 / 2
2 ∫∫  dτ e − r −r' 2 τ 2

E3  0


4πk ∫ r − r' dr'
E3
(1.43)
Problem 1.5.1. Suppose that in (1.42),

q , 0 < r < R
f (r, t ) =  0
0, r>R
Find the temperature distribution that forms within an infinite uniform
medium as t → ∞ .
The expression on the right of (1.43) determines the limiting

stationary ( ∂T ∂t = 0 ) solution to the inhomogeneous heat equation.
It is called Newton’s (heat) potential.
If F (r ) is a continuously differentiable function decreasing at
infinity at least as
 1 
F (r ) = O 2+ε , ε >0 (1.44)
r →∞
r 
then Newton’s potential is that twice-differentiable solution to
Poisson’s differential equation
k ∆T (r ) = − F (r ) (1.45)
that vanishes at infinity and whose continuous first derivatives can be
obtained by differentiating (1.43) under the integral sign.
Poisson’s equation (1.45) can have only one vanishing-at-infinity
solution in E 3 , and that solution is the one to which, for any integrable
initial temperature T0 (r ) and any power density F (r ) satisfying the
above conditions, the temperature distribution within an infinite
uniform medium converges as time passes.
These statements are proved in the next section.
A35
It should be emphasized that Poisson’s equation (1.45) represents
the heat equation for the special case of stationary temperature
distributions generated by heat sources and sinks of constant power.
Up to factors, electric and gravitational potentials are determined by
Formula (1.43) and Equation (1.45) as well.
Problem 1.5.2. Prove that if

 1 
F (r ) = O 3+ε , ε >0
r →∞
r 
1
then Newton’s potential (1.43) vanishes at infinity as , at least.
r
Problem 1.5.3. Let F (r ) be zero outside some bounded region.
For r → ∞ , find the explicit expression for Newton’s potential correct
1
to the term ~ .
r3
Note. The requirement (1.44) is not necessary that for any
integrable initial temperature T0 (r ) and for t → ∞ , the temperature
distribution within a uniform medium converge to that unique solution
of the stationary heat equation (Poisson’s equation (1.45)) which
vanishes at infinity. But it insures the representation of that solution in
Newton’s potential’s form.
Problem 1.5.4. Let

sin kr
F (r ) = q
r
represent the power density of heat sources in an infinite uniform
medium, and let the initial temperature in the medium be zero. Solve
the corresponding inhomogeneous heat equation (1.5) to verify that for
t → ∞ , the solution yields the stationary temperature distribution in
the medium which satisfies Equation (1.45) and vanishes as r → ∞ .
A36
1.6. Decreasing Solutions of Poisson’s Equation
That the vanishing-at-infinity solution of Poisson’s equation in

E3 is unique follows from several simple but fundamental statements.
Lemma 1.6.1. Let a function u (r ) satisfy Poisson’s equation

∆u (r ) = − f (r )
in some region. If the function f (r ) is negative (positive) at a point
r0 inside the region, then having a maximum (minimum) at r0 is
impossible for u (r ) .
Problem 1.6.1. Recall the conditions which the second

derivatives ∂ 2 u ∂x 2 , ∂ 2 u ∂y 2 , and ∂ 2 u ∂z 2 satisfy at the points of
local maxima (minima) of a function u , to prove Lemma 1.6.1.
Any function u is called harmonic in some region if in there, it

is twice differentiable and satisfies Laplace’s equation
∆u (r ) = 0 (1.46)
Theorem 1.6.2. Let a function u (r ) be harmonic in a bounded

region Ω and continuous on the closure of Ω , S being the boundary.
Then nowhere within Ω can it achieve values that are either greater
than its maximum value on S or less than its minimum value on S .
Proof. Suppose that at some interior point r0 of Ω ,
u (r0 ) > u S + ε , ε >0
where u S is the maximum value of u (r ) on S . Due to the
boundedness of Ω , there is a number η > 0 such that
2 ε
max η r − r0 <
r∈S 2
A37
For the function
2
v(r ) = u (r ) + η r − r0
we, therefore, have:
ε
v S = max v(r ) ≤ u S +
r∈S 2
whence
ε
v(r0 ) = u (r0 ) > u S + ε ≥ v S +
2
So, the maximum value of v(r ) is achieved somewhere within
Ω . At the same time,
∆v = −(−6η ) > 0 ,
a contradiction to Lemma 1.6.1.
In much the same manner we prove that the values assumed by
u (r ) inside Ω are not less than the minimum value of u (r ) on S .
Corollary 1.6.3. If a function is harmonic everywhere in E 3

and vanishes at infinity, then it is identically zero.
Problem 1.6.2. Prove Corollary 1.6.3 and, based on it, the

uniqueness of the solution to Poisson’s equation in E 3 on the class of
functions vanishing at infinity.
Problem 1.6.3. Prove Earnshaw’s theorem: stable equilibrium

of a charged object under the action of electrostatic forces alone is
impossible.
Hint. The equilibrium configuration of a system of particles is
one for which the potential energy of the system has a minimum. (A
necessary condition for stable equilibrium of a system of particles).
1
Problem 1.6.4. Verify that for any value r' fixed, is a
r − r'
function of r harmonic everywhere in E 3 , except for the point r = r ′ .
A38
We shall prove now that for a continuously differentiable
function F satisfying the condition (1.44), the vanishing-at-infinity
solution of Poisson’s equation (1.45) is given by Newton’s potential.
To begin with, we shall make sure that the Newton’s potential for F is
twice differentiable.
1
Since the function 2
is integrable over any bounded
r − r'
region, it is not difficult to verify that the first derivatives of Newton’s
potential (1.43) can be found by differentiating under the integral sign.
As an example, consider the derivative
∂T (r ) 1 x' − x
∂x
=
4πk ∫ r' − r
E3
3
F (r' ) dr' (1.47)
We have:
∂T (r ) 1 x' − x 1 1
∂x
≤
4πk ∫ r' − r
E3
3
F (r' ) dr' ≤
4πk ∫ r' − r
E3
2
F (r' ) dr' < ∞
Let us show now that the differentiability of F results in that of

the derivative (1.47).
In the particular case where F is not only differentiable, but also
compactly supported, that is, identically equal to zero outside a sphere
of finite radius, we can use the change of variable r'' = r' − r to
rewrite (1.47) as
∂T (r ) 1 x''
∂x
=
4πk ∫ r''
E3
3
F (r + r'' ) dr'' (1.48)
One can now differentiate the expression (1.48) under the

integral sign.
Changing to the general case, split F into the sum F1 + F2 of
two differentiable addends, one being zero outside a sphere of finite
radius R and the other inside a sphere of radius R1 < R . Such a
decomposition can be carried out, for instance, with the aid of the
infinitely differentiable functions
A39
 − 2R 2
2
 0, r ≤ R1
 R −r ,
ϕ 1 (r ) =  e r < R and ϕ 2 (r ) =  − R12 (1.49)
2 2
 0, r≥R  e r − R1 , r > R1
by letting
ϕ 1 (r ) F (r ) ϕ 2 (r ) F (r )
F1 (r ) = and F2 (r ) =
ϕ 1 (r ) + ϕ 2 (r ) ϕ 1 (r ) + ϕ 2 (r )
Then, obviously, the contribution
1 x' − x
4πk ∫ r' − r
E3
3
F2 (r' ) dr'
to ∂T ∂x from F2 can be differentiated under the integral sign if

r < R1 , whereas that from F1 reduces to an integral of the form (1.48),
which, too, can be differentiated under the integral sign.
It remains now to prove that under the mentioned conditions,
Newton’s potential (1.43) satisfies Poisson’s equation (1.45).
Note first that any twice continuously differentiable, compactly
supported function ψ (r ) can be represented in the form
1 1
ψ (r ) = −
4π ∫
E3
r − r′
∆ ′ψ (r ′) dr ′ (1.50)
Indeed, let S ε denote the surface of a sphere with radius ε > 0

and center at an arbitrary point r0 , and let Ω ε denote the exterior of
the sphere. It follows from the convergence of the integral (1.50) that
1 1 1 1
−
4π ∫r
E3
0 − r'
∆'ψ (r' ) dr' = − lim
ε ↓0 4π ∫ r − r' ∆'ψ (r' ) dr' (1.51)
Ωε
0
−1
Since in Ω ε the expression r0 − r' is a harmonic function of
r' , the integrand on the right of (1.51) can be transformed as follows:
A40
1 1 1
∆'ψ (r ' ) = ∆'ψ (r' ) − ψ (r' )∆' =
r0 − r' r0 − r' r0 − r'
 1 1 
= div '  ∇'ψ (r' ) − ψ (r' )∇' 

 r0 − r' r0 − r' 
Further, using the Divergence Theorem and the fact that ψ is
compactly supported, we can write:
1 1
−
4π ∫ r − r' ∆'ψ (r' ) dr' =
E3
0
(1.52)
1  1 ∂ψ (r' ) ∂ 1 
= − lim
ε ↓ 0 4π ∫ 
 r − r' ∂n' − ψ (r' ) ∂n' r − r'
Sε 
0 0
 dS'


where the integrals on the right of (1.52) are taken over S ε , and the
∂ ∂n' stands for the gradient component in the direction of the inward
normal to S ε .
If ψ is a twice continuously differentiable, compactly supported
function, then there is a positive constant M < ∞ such that
∇ψ (r ) < M everywhere. So,
1 1 ∂ψ (r' ) 1 1 ∂ψ (r' )
4π ∫
Sε
r0 − r' ∂n'
dS' ≤
4π ∫
Sε
r0 − r' ∂n'
dS' ≤
1 M
≤ ⋅ ⋅ 4πε 2 = Mε
4π ε
Whence
1 1 ∂ψ (r' )
lim
ε ↓0 4π ∫r
Sε
0 − r' ∂n'
dS' = 0
Introducing the new variables r ′′ = r' − r0 , and taking into

account that on S ε
1 1 1 ∂ 1 ∂ 1 1
= = , =− = 2
r' − r0 r ′′ ε ∂n' r' − r0 ∂r ′′ r ′′ ε
A41
for the remaining integral on the right of (1.52) we obtain:
1 ∂ 1 1
4π ∫
ψ (r' )
Sε
∂n' r0 − r'
dS' =
4πε 2 0 ∫
ψ (r0 + r ′′) dS ′′ (1.53)
Sε
where the latter integral is taken over the surface S ε0 of a sphere with
radius ε and center at the point r ′′ = 0 . It follows from the continuity
of ψ that the average value of ψ (r0 + r ′′) over S ε0 in (1.53)
approaches ψ (r0 ) as ε → 0 . Therefore, the equality (1.50) holds for
ψ at any point r0 .
Now, consider an arbitrary twice continuously differentiable,
compactly supported function ψ . Multiplying both sides of (1.50) by
the power density F (r ) , and integrating the so-obtained equality over
the entire E 3 , we have:
 
1
 1 
∫E3
ψ (r ) F (r ) dr = −
∫∫
 r − r'
4π
E3  E3
∆'ψ (r' ) d r'  F (r ) dr =

 
 1 
=− 
∫∫  4πk r' − r
E3  E3

 E3
∫
F (r ) dr k∆'ψ (r' ) dr' = − T (r' )k∆'ψ (r' ) dr'
where T (r ) is the Newton’s potential for F (r ) . Since both T (r ) and

ψ (r ) are twice continuously differentiable, and, in addition, ψ (r ) is
compactly supported, the last integral can be rewritten as
∫ T (r' )k∆'ψ (r' ) dr' = − ∫ψ (r)k∆T (r) dr

E3 E3
We see now that
∫ψ (r)[k∆T (r) + F (r)]dr = 0

E3
Finally, in view of the arbitrariness of ψ , we obtain:

k∆T (r ) + F (r ) = 0
– Equation (1.45).
A42
1.7. Forced Heat Oscillations. The Helmholtz Equation
If the power density of heat sources changes with time according

to the harmonic law
F (r, t ) = F0 (r ) cos(ωt − ϕ (r ) ) (1.54)
then, gradually, the temperature throughout the medium begins to
change harmonically, too, with the same frequency ω .
Indeed, let the power density of heat sources be given by (1.54),
with F0 (r ) being an integrable or, at least, bounded function. To find
the limiting value of the temperature T (r, t ) for t → ∞ , we rewrite
(1.54) as
~ ~
F (r, t ) = Re F0 (r )e − iωt , F0 (r ) = F0 (r )e iϕ ( r )
and substitute the complex-valued function
~ ~ ~ 1 ~
f (r, t ) = f 0 (r )e − iωt ,
f 0 (r ) = F0 (r )
cρ
into Formula (1.34) in place of f (r, t ) to evaluate the complex-valued
function ( τ = t − t' )
t
~ ~
∫ ∫
T (r, t ) = dt' G (r − r' , t − t' ) f (r' , t' ) dr' =
0 E3
t
~
∫ ∫
= dτ G (r − r' ,τ ) f (r' , t − τ ) dr'
0 E3
~
Next, we pass to the limit of T (r ,t ) for large values of t and use the
formula
Re e iα = cos α ( Imα = 0 )
to take the real part of that limit. This will give the answer.
Interchanging the order of integration with respect to r' and τ
~
in the expression for T (r , t ) , we obtain:
A43
2
t r −r'
~ 1 ~
∫ ∫ (4πa τ )
−
T (r, t ) ≅ dr' dτ e −iω ( t −τ ) f 0 (r' ) =
2
3/ 2
e 4a t
t →∞ 2
E3 0
(1.55)
∫ dr'G ( r − r' )F (r' )

−iωt ~
=e ω 0
E3
where
2
∞ r −r'
1 dτ
Gω ( r − r' ) =
cρ (4πa ) ∫ τ
−
e 4 a 2τ
e iωτ (1.56)
2 3/ 2 3/ 2
0
To find an elementary expression for the integral (1.56), consider
a family of integrals of the form
∞ α
dτ
∫τ
− + izτ
Φα ( z ) = 3/ 2
e τ
(1.57)
0
which for the parameter α > 0 fixed is a function, of the parameter z ,
defined in the upper complex half-plane and on the real axis. Note that
the integrand of the integral (1.57) is a function of z that is one-valued,
bounded, and analytic in the closed upper half-plane and has an
integrable majorant independent of z :
α α
α − − Im zτ −
τ τ
1 − + izτ e e
e τ
≤ ≤
τ 3/ 2
τ 3/ 2
τ 3/ 2
It follows from this that Φ α ( z ) is one-valued and analytic in the
upper half-plane and has continuous limiting values on the real axis. If,
in addition, Φ α ( z ) is an elementary analytic function, then, according
to the uniqueness theorem for analytic functions, it can be found by
evaluating the integral (1.57) for z = iβ , β > 0 , and then by
continuing the so-obtained expression analytically to the entire upper
half-plane – to put it simply, by substituting − iz for β everywhere in
that expression.
So, let us evaluate Φ α (iβ ) , β > 0 . We start with the change of
A44
variable τ = u 2 α β , yielding:
∞  1 
β du − αβ  +u 2 
Φ α (iβ ) = 2
α
4
∫ 0
u2
e  u2 
(1.58)
Split now the integral (1.58) into the sum of two integrals, one
being taken from 0 to 1 and the other from 1 to ∞ , and follow this up
with the substitution u' = u −1 in the former integral, converting that by
doing so into an integral from 1 to ∞ , too. We obtain:
∞  1 
β  1  − αβ  +u 2 
Φ α (iβ ) = 2 4
α
1
∫
du  2 + 1e
u 
 u2 
=
∞ 1 
2
β  1  − αβ  −u 
∫
αβ
= 2 4 e −2 du  2 + 1e u 
α u 
1
1
One more substitution, w = u − , in the last integral finally
u
gives:
∞
β π −2
∫
αβ αβ w 2 αβ
Φ α (iβ ) = 2 4 e − 2 dwe − = e
α α
0
Correspondingly,
π −2 −iαz
Φα ( z ) = e (1.59)
α
where that branch of the root in the exponent of the exponential
function (1.59) is to be taken which is positive on the imaginary axis in
the upper half-plane.
Returning to the integral (1.56) and taking into account (1.59),
we obtain:
ω
− r −r' ω
2a2
1 e i r −r'
Gω (r, r' ) = e 2a2
(1.60)
4πk r − r'
A45
~
So, as t → ∞ , the complex-valued function T (r , t ) changes by
the harmonic law
~ ~
T (r, t ) = A(r )e −iωt (1.61)
with frequency ω and complex amplitude
~
dr' Gω ( r − r' )F0 (r' )
~
A(r ) =
∫
E3
(1.62)
It follows that as t → ∞ , the temperature distribution within the

medium changes according to
~ ~
T (r, t ) = A(r ) cos(ωt − ψ (r ) ), ψ (r ) = arg A(r ) (1.63)
The function describing the steady-state temperature distribution
in a system under the regime of forced harmonic oscillations must, of
course, satisfy the heat equation. Substituting the expression (1.61) into
the equation
~
∂T ~ ~
= a 2 ∆T + f 0 e −iωt
∂t
we obtain the equation for the complex amplitude of forced harmonic
oscillations of temperature:
~ iω ~ 1 ~
− ∆A(r ) − 2 A(r ) = F (r ) (1.64)
a k
In general, a differential equation of the form
− ∆u (r ) − zu (r ) = f (r ) (1.65)
with z being a real or complex parameter, is referred to as the
(inhomogeneous) Helmholtz equation. It can be regarded as a natural
generalization of Poisson’s equation. With the aid of methods similar
to those used for the analysis of Newton’s potentials, it can be proved
that for complex or negative values of z and for a continuously
differentiable f (r ) satisfying, in the infinite E 3 , the conditions
f (r ) = O(r n ) , ∇f (r ) = O(r m ) , − ∞ < n, m < ∞ (1.66)

r →∞ r →∞
the formula
∫
u (r ) = G z (r, r' ) f (r' ) dr'
E3
(1.67)
A46
with
i z r −r ′
1 e
G z (r, r ′) = , Im z ≥ 0 (1.68)
4π r − r ′
gives a unique solution to the Helmholtz equation on the class of twice
continuously differentiable functions the moduli of which and the
moduli of the first and second derivatives of which can increase, as
r → ∞ , under the power law, at most. Furthermore, the first
derivatives of u (r ) can be obtained by differentiating (1.67) under the
integral sign.
The function G z (r, r' ) = G z (r − r' ) , given by (1.68), is called
the Green’s function of the Helmholtz equation.
Problem 1.7.1. Verify that for values of r' fixed, the Green’s
function (1.68) satisfies the homogeneous Helmholtz equation
− ∆u (r ) − zu (r ) = 0 (1.69)
everywhere in E 3 , except for the point r = r' .
Note 1.7.1. The continuous differentiability of f (r ) is not a

necessary condition for a solution of Equation (1.65) to be
representable in the form (1.67). In particular, for any complex or
negative z , the substitution of any square-integrable function f (r )
into Formula (1.67) yields a continuous, square-integrable function
u (r ) which is a unique generalized solution (see Section 4.2) of
Equation (1.65) on the class of square-integrable functions with
square-integrable generalized second derivatives. It follows that if
Im z ≠ 0 or z < 0 , for the functions u (r ) (including twice
continuously differentiable ones) of this class there holds the identity
i z r −r ′
1 e
u (r ) =
4π ∫
E3
r − r′
[− ∆u (r ′) − zu (r ′)]dr ′ , Im z > 0 (1.70)
Note 1.7.2. The uniqueness and integral representations for

some solutions to the Helmholtz equation with positive z ’s need
A47
individual consideration. It is the cases where z > 0 that are of utmost
importance for the study of a number of physical phenomena, such as
propagation of electromagnetic and sound waves, scattering of atoms
and atomic particles, etc. Pertinent problems are considered later.
Note 1.7.3. According to Formula (1.70), the integral

transformation (1.67) with the kernel (1.68) can be regarded, under
some restrictions, as the operator inverse to the differential operator
[−∆ − z ] ; that is, as the operation restoring a function of a certain class
after the function has been acted upon by [−∆ − z ] . Then it follows
from the formal relation
[− ∆ − z1 ]−1 − [− ∆ − z 2 ]−1 = (z1 − z 2 )[− ∆ − z1 ]−1 [− ∆ − z 2 ]−1
that for Im z1 > 0 and Im z 2 > 0 , the Hilbert identity is valid:
1
z1 − z 2
[ ] ∫
G z1 (r, r' ) − G z2 (r, r' ) = G z1 (r, r'' )G z2 (r'' , r' )dr'' (1.71)
E3
In particular,
i
∫
i z r −r'
G z (r, r'' )G z (r'' , r' )dr'' = e (1.72)
E3
8π z
Problem 1.7.2. Prove Formula (1.71) with the method used to

derive Formula (1.50), or by evaluating the integral on the right of
(1.71) directly. Then prove Formula (1.72).
It follows from the above reasoning that for ω > 0 , the

amplitudes (1.62) of the steady-state temperature oscillations caused by
~
harmonic heat sources, with amplitude F0 of their power density being
continuously differentiable and satisfying the conditions (1.66), are
indeed the unique solutions to the Helmholtz equation (1.64) on the
class of functions whose moduli can increase at infinity under the
power law, at most.
A48
At the end of this section, let us clear up the physical meaning of
the Green’s function (1.60).
Suppose that a heat source of total power q is within an
infinitesimal neighborhood of a point r0 , releasing and absorbing heat
by the harmonic law with frequency ω . Without loss of generality, we
may take its phase ϕ = 0 . Then it follows from the above formulas
that
ω
− r −r0 ω
2a2
~ q e i r −r0
A(r ) = e 2a2
(1.73)
4πk r − r0
and that the steady-state temperature is
ω
− r − r0
q e 2a2  ω 
T (r, t ) = cos ωt − r − r0 
 (1.74)
4πk r − r0  2a 2 
The expression (1.74) is called a spherical heat wave. By
comparing Formulas (1.60) and (1.73), we see that, up to a factor of q ,
Gω (r, r0 ) determines the complex amplitude of the steady-state forced
heat oscillations being generated in a medium by a harmonic point
source of heat of frequency ω .
Problem 1.7.3. Find the amplitude of the steady-state forced

oscillations of temperature in the case where the power density (1.54)
has these parameters:
π q , 0 < r < R
ϕ (r ) = , F0 (r ) =  0
2 0, r>R
Problem 1.7.4. Find the amplitude of the steady-state forced

oscillations of temperature in the case when identical harmonic heat
sources are uniformly distributed within a thin layer x < d , d → 0 .
A49
2. THE DIFFUSION EQUATION
2.1. An Elementary Derivation of the Diffusion

Equation
The distribution of impurity particles within a medium at any

instant is given by their concentration
∆N (r, t )
n(r, t ) = lim (2.1)
∆V →0 ∆V
where ∆N (r, t ) is the number of impurity particles within a small
neighborhood of point r at time t , and ∆V is the volume of the
neighborhood.
Diffusion is defined as the process of equalization of the
concentration of impurity microparticles in a medium (gas, liquid,
or solid) due to their collisions with molecules, atoms, ions, or
nuclei of the medium.
Local changes in the concentration of impurity particles are
characterized by their current density j(r, t ) . It is defined as a vector
pointing in the direction of the motion of impurity particles at a small
neighborhood of point r at time t , and having magnitude equal to the
number of impurity particles passing through perpendicular unit area
per unit time. Therefore, the number ∆N of impurity particle passing
through a plane of area ∆S over a time interval (t , t + ∆t ) is given by
j(r, t ) ∆S∆t , provided the plane is perpendicular to j(r, t ) and
contains the point r .
In general, j(r, t ) is a sum of two vectors, j D (r, t ) and j d (r, t ) .
The vector j d (r, t ) comes into play when the diffusion occurs within a
moving medium. It describes the combined transfer of the impurity
particles and the medium. Accordingly,
j d (r, t ) = v (r, t ) n(r, t ) (2.2)
where v (r, t ) is the velocity of the medium at point r at time t with
respect to the stationary observer.
A50
The vector j D (r, t ) describes the transfer of impurity particles
due to interparticle collisions themselves. It is called the diffusion
current density of impurity particles. In accordance with Nernst’s
law,
j D (r, t ) = − D(r ) grad n(r, t ) (2.3)
where the positive scalar coefficient D is referred to as the diffusion
coefficient. In the case of a nonuniform medium it can depend on
coordinates.
Impurity particles may also be generated or annihilated within a
medium owing to chemical or nuclear reactions. Such processes’
contribution to the concentration of impurity particles is described in
terms of the function of sources f (n(r, t ), r, t ) having the following
meaning: the number of impurity particles being generated or
annihilated within a small neighborhood, of volume ∆V , of point r
over a time interval (t , t + ∆t ) equals f (n(r, t ), r, t )∆V∆t .
In particular, for first-order reactions
f (n(r, t ), r, t ) = χ (r )n(r, t ) (2.4)
where χ (r ) is the coefficient of reaction. For external sources or
absorbers, f (r, t ) may be independent of n(r, t ) .
Problem 2.1.1. Use the law of conservation of number of

impurity particles and the analogy between the diffusion and the heat
conduction, to deduce the generalized diffusion equation allowing for
both motion of the medium and potential generation or annihilation of
impurity particles due to some reactions within it.
Answer:
∂n(r, t )
= − div[v(r, t ) n(r, t )] + div[D(r ) grad n(r, t )] + χ (r ) n(r, t )
∂t
(2.5)
A51
Problem 2.1.2. Write Equation (2.5) for the case when the
diffusion of impurity particles occurs in a uniform stream of liquid
flowing along the x -axis with a speed V0 .
Problem 2.1.3. Formulate the Cauchy problem for the

equalization of the concentration of impurity particles within an infinite
medium, assuming that the process is described by Equation (2.5) and
that the concentration is a function of K . Then prove the uniqueness
of the solution.
Hint. Reduce the Cauchy problem to a corresponding problem
for the heat equation.
Problem 2.1.4. Refer to the Cauchy problem formulated in

Problem 2.1.3. Construct the solution for the case where the
parameters D , v , and k in Equation (2.5) are constant.
Hint. Assuming the x -axis of the coordinate system to be
directed along the vector v , and using the substitution
n(r, t ) = eαx + βt w(r, t )
reduce Equation (2.5) to one of heat conduction’s kind with constant
coefficients.
Review Question to Section 2.1
1. Into what components can the current density of impurity particles

be resolved? How are these related to the concentration of
impurity particles?
2. Upon what physics laws is the elementary derivation of the
diffusion equation based?
3. How is the Cauchy problem for the linear diffusion equation
formulated?
4. What is the expression for the Green’s function for the equation
describing the diffusion within a stationary uniform medium in
which neither chemical nor nuclear reactions occur?
A52
2.2. Probabilistic Description of the Motion of Impurity
Particles. The Chapman-Kolmogorov Equation
Let us observe an individual migration of an impurity particle

within some medium. If the time interval between two consecutive
records of its location in space is much longer than the average time
interval between its successive collisions with the medium’s particles,
the motion will seem to be a random process. Revealing no smooth
trajectory, such a process is described in terms of probabilities of
finding the particle within certain spatial regions at certain times.
Consider a small neighborhood Ω of a point r with volume
∆V . Any act of finding an impurity particle within Ω at a time t will
be regarded as a favorable event. Suppose now that N absolutely
identical impurity particles are simultaneously under observation, the
particles influencing one another in no way, and that experiment reveals
that there are N ′ particles, out of N , within Ω at the moment t .
Then the probability ∆w(r, t ) of finding an impurity particle within Ω
N′
at the time t is defined as the limit of the quotient as N → ∞ .
N
We shall also assume that there exists the limit
∆w(r, t )
lim = p(r, t ) (2.6)
∆V →0 ∆V
as Ω shrinks to the point r .
The function p (r, t ) defined in the above fashion for any point
in E 3 and any time is called the probability density of finding an
impurity particle within a neighborhood of point r at time t ; or just the
probability density. It follows from the existence of the particle
somewhere in E3 that for any t , the probability density must be a
nonnegative integrable function satisfying the condition
∫ p(r, t ) dr = 1 (2.7)
E3
A53
If there are, in total, N impurity particles within the medium,
then the probability density p (r, t ) and the concentration n(r, t ) of
impurity particles are related by the obvious formula
n(r, t ) = Np (r, t ) (2.8)
If the particle being observed is registered at a point r at a time
t , then the conditional probability density p(r ′, r; t ′, t ) of finding it
within a neighborhood of another point r ′ at a further time t ′ depends,
in general, upon the coordinates of the points r and r ′ , as well as upon
the times t and t ′ . The function p (r ′, r; t ′, t ) is also referred to as the
probability density of transition of an impurity particle from point r
where it was at time t into a neighborhood of point r ′ over the time
interval t ′ − t . Evidently, p (r ′, r; t ′, t ) is an integrable function
satisfying the condition
∫ p(r′, r; t ′, t ) dr′ = 1
E3
(2.9)
The condition (2.9) states that the particle does exist somewhere
in E 3 at the time t .
If the probability density of transition is independent of the
history of the particle’s random walking before the time t , but only of
the difference t ′ − t , that is, p (r ′, r; t ′, t ) = p (r ′, r; t ′ − t ) , then the
process is called Markovian. We shall assume the random walk of an
impurity particle within a medium due to its numerous collisions with
the medium’s particles to be Markovian.
Under a Markovian process, the particle’s presence within a
small neighborhood Ω , of volume ∆V , of a point r at a time t and
its subsequent transition from Ω into a small neighborhood Ω′ , of
volume ∆V ′ , of a point r ′ over a time interval t ′ − t are independent
events. The probabilities of these events equal ∆w(r, t ) = p (r, t )∆V
and ∆w(r ′, r; t ′ − t ) = p (r ′, r; t ′ − t )∆V ′ , respectively. Therefore, the
probability of finding an impurity particle within Ω′ at t ′ after it
visited Ω at t must be equal to ∆w(r ′, r; t ′ − t )∆w(r, t ) , the product
of the probabilities of these consecutive independent events.
A54
Partition the entire E 3 (or the region occupied by the medium)
into a collection of nonoverlapping infinitesimal regions with
coordinates r1 , …, r j , … and volumes ∆V1 , …, ∆V j , …,
respectively, and consider the sum
∑ ∆w(r′, r ; t ′ − t )∆w(r , t ) =
j
j j
(2.10)
 
=


∑j
p (r ′, r j ; t ′ − t ) p(r j , t )∆V j  ∆V ′


Since the particle is registered within a neighborhood of r ′ at t ′
after it definitely was within one of the above regions at t , the sum on
the left of (2.10) must be equal to the probability p (r ′, t ′)∆V ′ . On the
other hand, if the functions p (r, t ) and p (r ′, r; t ′ − t ) meet some
conditions, then the sum on the right of (2.10) tends to the integral
∫ p(r′, r; t ′ − t ) p(r, t ) dr
E3
as the diameter of each of the regions tends to zero.

Therefore, for t ′ > t this equality holds:
p(r ′, t ′) =
∫ p(r′, r; t ′ − t ) p(r, t ) dr
E3
(2.11)
Formula (2.11), which relates the probability density of finding a

particle within a neighborhood of some point to the conditional
probability density of transition of the particle into that neighborhood
from the other points over some time interval, is called the Chapman-
Kolmogorov equation.
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2.3. The Einstein-Smoluchowski Equation
In actual experiment on the study of molecular motion,

registering apparatus are incapable, as a rule, of determining locations
of studied particles directly, giving for the most part only the average
values of some functions of their coordinates. If the coordinates r of
an impurity particle within a medium are random quantities, then, in
general, so are the values of any function ϕ (r ) of those.
We shall assume that ϕ (r ) is an arbitrary smooth function equal
to zero outside a sphere of rather large radius. As before, the functions
with this property will be called compactly supported. Suppose now
that measurements are carried out on many identical systems that are
under identical external conditions at time t . If the probability density
p (r, t ) of finding an impurity particle within a neighborhood of any
point in space at any time is known, then the average value ϕ t of the
random quantity ϕ (r ) , that is, the mathematical expectation ϕ t of
ϕ (r ) , is given by
∫
ϕ t = ϕ (r ) p (r, t ) dr
E3
(2.12)
Of course, ϕ t may change with time because of time-

dependence of the probability density p (r, t ) . A corresponding
increment of ϕ t can be found by giving a small increment ∆t to the
time variable t . By the Chapman-Kolmogorov equation (2.11), we can
write then:
∫
ϕ t + ∆t = ϕ (r ′) p(r ′, t + ∆t ) dr ′ =
E3
(2.13)
∫ ∫
= ϕ (r ′) dr ′ p(r ′, r; t + ∆t , t ) p(r; t ) dr
E3 E3
where p (r ′, r; t + ∆t , t ) ≡ p (r ′, r; ∆t ) is the probability density of

transition of an impurity particle from point r where it was at the time
t to point r ′ over the time interval ∆t . Since p(r ′, r; ∆t ) and
A56
p (r, t ) are nonnegative, and ϕ (r ′) is smooth and compactly
supported, the order of integration can be interchanged in the last of the
integrals (2.13). We obtain:
E3
∫
ϕ t + ∆t = Φ(r,∆t ) p(r, t ) dr (2.14)
where
Φ(r, ∆t ) =
∫ p(r′, r; ∆t )ϕ (r' ) dr′
E3
(2.15)
As experiment reveals, the trajectory of an impurity particle in

random motion is a continuous curve, even though not necessarily
smooth. Consequently, the probability of a noticeable displacement of
the particle from its position at the time t over the brief time interval
∆t is rather small. The shorter ∆t , the greater the rate at which
p(r ′, r; ∆t ) tends to zero as the distance r ′ − r increases. The result
is that, as ∆t → 0 , the main contribution to the integral (2.13) is made
by an infinitesimal neighborhood of the point r . We shall evaluate this
contribution with the aid of Taylor’s Formula for a function of three
variables x1 , x 2 , and x3 (temporarily denoting the variables x , y ,
and z ) and under the assumptions that the process goes on so that for
the quantities
∆xi =
∫ ( x′ − x ) p(r′, r; ∆t )dr′,
E3
i i i = 1, 2, 3
∆xi ∆x j =
∫ ( x′ − x )( x′ − x ) p(r′, r; ∆t )dr′,
E3
i i j j i, j = 1, 2, 3
there exist the limits

∆xi
lim = Vi (r ) (2.16)
∆t →0 ∆t
∆xi ∆x j
lim = 2 Dij (r ) (2.17)
∆t →0 ∆t
both finite, and, secondly,
A57
1
∫ r′ − r
3
lim p (r ′, r; ∆t ) dr ′ = 0 (2.18)
∆t → 0 ∆t
E3
Should the conditions (2.16)–(2.18) be met, the random motion

of an impurity particle is called the Brownian motion, and the particle
is called Brownian.
Following Taylor’s Formula, write the function ϕ (r ) in the
vicinity of the point r as
3
∂ϕ (r )
ϕ (r ′) = ϕ (r ) + ∑ i =1
∂xi
( xi′ − xi ) +
3
(2.19)
∂ ϕ (r )
∑
2
1
+ ( xi′ − xi )( x ′j − x j ) + R(r ′, r )
2 i , j =1 ∂xi ∂x j
with the remainder term R (r ′, r ) of the form
3
∂ 3ϕ (r + θ (r ′ − r ))
∑
1
R (r ′, r ) = ( xi′ − xi )( x ′j − x j )( xl′ − xl )
3! i , j ,l =1 ∂xi ∂x j ∂xl
(2.20)
where the factor θ takes on values in between 0 and 1, being, in
general, dependent of r ′ .
Now, substitute (2.19) into the integral (2.15), and put all r -
only-dependent quantities in front of the integral sign. In view of (2.9),
we obtain:
3 3
∂ϕ (r ) ∂ 2ϕ (r )
∑ ∑
1
Φ(r, ∆t ) = ϕ (r ) + ∆xi + ∆xi ∆x j + R(r ′, r )
i =1
∂xi 2 i , j =1 ∂xi ∂x j
(2.21)
where
R(r ′, r ) =
∫ R(r′, r) p(r′, r; ∆t ) dr′
E3
Taking into account the relationship (2.16) and also the fact that
both ϕ (r ) and its derivatives are bounded, that is, there is a positive
constant C < ∞ such that
A58
∂ 3ϕ (r )
max <C, i, j , l = 1, 2, 3
r ∂xi ∂x j ∂xl
we see that
R(r ′, r ) ≤
∫ R(r′, r) p(r′, r; ∆t ) dr′ ≤
E3
3
∑∫
1
≤ C ∆xi ∆x j ∆xl p(r ′, r; ∆t ) dr ′ ≤
3! i , j ,l =1
E3
3
∑∫
2C
r ′-r p (r ′, r; ∆t ) dr ′ = o(∆t )
3
≤
9 i , j ,l =1
E3
Further, in view of (2.16) and (2.17), we can write:

∆xi = Vi (r )∆t + o(∆t )
∆xi ∆x j = 2 Dij (r )∆t + o(∆t )
So, we find:
 3
∂ϕ (r )
3
∂ 2ϕ (r ) 
Φ(r, ∆t ) = ϕ (r ) + 

∑ i =1
Vi (r )
∂xi
+ ∑
i , j =1
Dij (r )
∂xi ∂x j 
 ∆t + o(∆t )

Thus,
1 1
∆t
[ϕ t + ∆t − ϕ t ] = ∫ drϕ (r) ∆t [ p(r, t + ∆t ) − p(r, t )] =
E3
(2.22)
 3
∂ϕ (r )
3
∂ 2ϕ (r ) 
E3
∫ ∑
= dr 
 i =1
Vi (r )
∂x i
+
i , j =1
∑
Dij (r )
∂ x i ∂x j
 p (r, t ) + o(1)

Suppose further that the probability density p (r, t ) and all the
coefficients Vi (r ) and Dij (r ) are continuous functions having
continuous first partial derivatives with respect to all of their variables;
and that both p (r, t ) and all Dij (r ) also have continuous second
derives with respect to the spatial variables.
A59
Passing to the limit of (2.22) as ∆t → 0 , we obtain:
∂p(r, t )
∫
E3
drϕ (r )
∂t
=
(2.23)
 3
∂ϕ (r )
3
∂ 2ϕ (r ) 
E3
∫ ∑
= dr 
 i =1
Vi (r )
∂xi
+
i , j =1
∑
Dij (r )
∂xi ∂x j 
 p (r, t )

Since, by assumption, ϕ (r ) is smooth and compactly supported,
the integrals in (2.23) are taken over a bounded region. The region of
integration on the right of (2.23) may be taken to be a cube centered at
the origin and completely enclosing the sphere within which ϕ (r ) is
different from zero. Considering the integral on the right of (2.23) over
the above cube as an iterated integral, after integration by parts and
taking into account that both ϕ (r ) and its derivatives are zero on the
surface of the cube, we can rewrite (2.23) as
 ∂p(r, t ) 3
∂
∫
E3
dr 

 ∂t
+ ∑ ∂x (V (r) p(r, t )) −
i =1 i
i
(2.24)
3
∂ 
∑
2
− (Dij (r) p(r, t ))ϕ (r) = 0
i , j =1
∂xi ∂x j 
It should be emphasized that (2.24) holds for any smooth,
compactly supported ϕ (r ) . It follows from this that the probability
density p (r, t ) satisfies the equation
3
∂p(r, t ) ∂2
∂t
= − div(V (r ) p(r, t ) ) +
i , j =1
∂∑
x i ∂x j
(Dij (r) p(r, t )) (2.25)
where V (r ) is the vector function with the components V1 (r ) , V2 (r ) ,
and V3 (r ) .
Equation (2.25) is called the Einstein-Smoluchowski equation.
Since the concentration n(r, t ) of impurity particles is proportional to
the probability density p (r, t ) , we see that n(r, t ) satisfies Equation
(2.25) as well.
A60
The equation for n(r, t ) can be rewritten as
∂n(r, t ) ~ ∂
3
 
 Dij (r ) ∂n(r, t )  (2.26)
∂t 

= − div V (r )n(r, t )  +
 i , j =1 ∂xi ∑ 
 ∂x j 
~
where V (r ) is the vector with the components
3
∂Dij (r )
∑
~
Vi (r ) = Vi (r ) − , i = 1, 2, 3 .
j =1
∂x j
Equation (2.26) is identical to the diffusion equation describing
the motion of impurity particles within a moving non-uniform medium,
which was obtained earlier. If the motion of impurity particles occurs
within a uniform medium, the transition probability density
p(r ′, r; ∆t ) can depend only on the difference r ′ − r of the
coordinates r ′ and r . For a stationary isotropic medium with no
preferential direction, p (r ′, r; ∆t ) can depend only on the absolute
value r ′ − r of this difference.
Problem 2.3.1. Prove that for a uniform medium, the vector

V (r ) and the matrix Dij (r ) are independent of the spatial coordinates.
Problem 2.3.2. Prove that for an isotropic uniform medium,

Dij (r ) = Dδ ij where δ ij is the Kronecker delta
1, i= j
δ ij = 
0, i≠ j
Problem 2.3.3. Verify that for a non-isotropic medium, the

matrix of diffusion coefficients is positive definite; that is, for any real
numbers k1 , k 2 , and k 3 such that k1 + k 2 + k 3 > 0 , values of the
3
quadratic form ∑D k k
i , j =1
ij i j are positive.
A61
2.4. The Meaning of the Green’s Function for
the Diffusion Equation
The concentration n(r, t ) of diffusing impurity particles and the

probability density p (r, t ) of finding a marked one within a
neighborhood of a given point in space are related by Formula (2.8).
As a result, the equation for p (r, t ) and the diffusion equation for
n(r, t ) are of the same form. The comparison of those reveals that the
coefficient D (r ) (or the coefficient matrix Dij (r ) ), inevitably arising
in deriving the equation for p (r, t ) , must be equal to the diffusion
coefficient (or the matrix of diffusion coefficients).
Problem 2.4.1. Let n(r, t ) be the concentration of impurity

particles within an isotropic medium, and let
j(r, t ) = ( j1 (r, t ), j 2 (r, t ), j3 (r, t ) ) be their diffusion current density.
Without referring to Nernst’s law , find the relationship between j and
n(r, t ) .
For the sake of simplicity, consider the diffusion occurring

within an infinite, isotropic, uniform medium. In this case, the equation
for p (r, t ) takes the form
∂p(r, t )
= D ∆p(r, t ) (2.27)
∂t
The Cauchy problem for finding p (r, t ) consists in determining
the function satisfying both Equation (2.27) and the initial condition
p(r,0) = p 0 (r ) .
Suppose that at the initial time t = 0 , all the diffusing particles
are localized within a small neighborhood Ω of a point r0 . This
means that the initial probability density p 0 (r ) is different from zero
only within Ω . If the size of Ω is much less than the diffusion length
A62
Dt , then, in view of the relationship between p (r, t ) and n(r, t ) ,
and that between p 0 (r ) and n(r,0) = n0 (r ) , we can write
1 1
N ∫
p (r, t ) = n(r, t ) = G (r, r ′; t ) n0 (r ′) dr ′ ≈
Ω
N
(2.28)
∫
≈ G (r, r0 ; t ) p 0 (r ′) dr ′ = G (r, r0 ; t )
Ω
where G (r, r0 ; t ) is the Green’s function for Equation (2.27):

2
r −r
1 −
0
G (r, r0 ; t ) = e 4 Dt
, t>0 (2.29)
(4πDt ) 3 / 2
The smaller the size of Ω , the better the approximation (2.28).
With Ω shrinking to a point, Formula (2.28) becomes an exact one.
Thus, the Green’s function G (r, r0 ; t ) for the diffusion equation
is equal to the probability density of transition, p (r, r0 ; t ) , of a
Brownian particle from point r0 into a neighborhood of point r over
the time interval t .
This statement remains true for the case of Brownian motion and
diffusion within a non-uniform medium.
Review Questions to Sections 2.2–2.4
1. What is the definition of the probability density of finding a

Brownian particle within a neighborhood of a given point in space?
What properties does this function have?
2. What is the definition of the probability density of an impurity
particle’s transition from one point in space to others over a
specified time interval? What properties – general and
characteristic of Markovian processes – does this function have?
3. Initially, an impurity particle is at a point r0 . Should its random
walking be Markovian, what is the combined probability of its
subsequent transitions to a small neighborhood of a point r1 with
A63
volume ∆V1 over a time interval ∆t1 , and then to a small
neighborhood of a point r2 with volume ∆V2 over another time
interval ∆t 2 ?
4. Consider the probability density of the coordinates of a Brownian
particle. What is the relationship between its values at successive
times?
5. Given the probability density of some random variables, how does
one determine the mathematical expectation of a continuous
function of those?
6. What is the increment of the mathematical expectation of a smooth,
compactly supported function of the coordinates of a Brownian
particle over a time ∆t ?
7. Under what conditions is the Einstein-Smoluchowski equation
valid?
8. What is the form of the Einstein-Smoluchowski equation for a
Brownian particle moving within a stationary, isotropic, uniform
medium?
9. Suppose that the motion of an impurity particle occurs within an
isotropic, uniform liquid. What is the relationship between the
components of the liquid’s velocity field and the mathematical
expectations of the increments of the particle’s coordinates?
Between the liquid’s diffusion coefficient and the mathematical
expectations of the squares of the increments of the particle’s
coordinates?
10. What is the meaning of the Green’s function for the diffusion
equation?
A64
3. THE WAVE EQUATION*)
3.1. The Equation for Small-Amplitude Oscillations

in a Fluid
In contrast to irreversible processes, such as heat conduction or

diffusion, the propagation of waves in a medium is a purely dynamic
process governed by the basic equations of mechanics or field theory.
The study of most linear wave processes is carried out in terms of the
wave equation, which we derive further by considering the small-
amplitude oscillations in a fluid.
Within a fluid, consider a portion of it, having а volume V and
bounded by a smooth surface S . The forces exerted on the portion by
the rest of the fluid are of short range and therefore reduce to surface
forces alone. Let us also assume that the fluid is ideal. This means that
the forces acting on any small element of S are perpendicular to the
element, point in the direction opposite to its outward normal n
(inward the portion), and have magnitude proportional to its area dS .
In other words, they reduce to just the normal pressure p (r, t ) on the
element – unlike solids, shear stresses do not come into existence.
Moreover, the magnitude of p (r, t ) is independent of the orientation of
the element.
Partitioning the portion into infinitesimal parts with volumes
dV , we can write the equation of motion for it as
dv (r, t )
∫ ρ (r, t ) dV
V
dt
=F (3.1)
where ρ (r, t ) is the density of the fluid, v (r, t ) is a vector function

whose value at each point is equal to the instantaneous velocity of fluid
flow at that point, and F is the resultant force exerted on the portion.
*)
In this chapter, concepts and results of the theory of Fourier integral transform and
that of generalized functions are used significantly. Both theories are among the crucial
mathematical techniques of theoretical physics. To avoid disrupting the logic pattern of
the book, their consideration to the extent sufficient to physics and engineering
applications is given in the last chapter.
A65
Equation (3.1) means that the vector sum of all forces acting on the
substance confined to V , including the inertia forces arising when the
parts of the portion are moving with acceleration, is equal to zero.
Suppose that, besides surface forces, there are also bulk forces,
such as the gravity force. Then
∫
S
∫
F = − p(r, t )n dS + ρ (r, t )f (r, t ) dV
V
(3.2)
where f (r, t ) is the bulk force acting on a unit mass positioned at a

point r .
Note that for any smooth function p (r, t ) and for any finite
volume V bounded by a piecewise-smooth surface S ,
∫ p(r, t ) n dS = ∫ (∇p(r, t ))dV

S V
(3.3)
Using Formulas (3.2) and (3.3), rewrite the equation of motion

(3.1) as
 dv 
∫  ρ dt − ρf + ∇p  dV = 0
V
Since this equality is valid for any volume V , it follows that
dv
ρ = ρf − ∇p (3.4)
dt
Equation (3.4) results from Newton’s second law, or
d’Alembert’s principle. The derivative dv dt is characteristic of the
motion of the small parts of the fluid that comprise V . In order to
rewrite Equation (3.4) for the velocity field, notice that an increment
∆v of the velocity of a small fluid portion is a sum of two
contributions: one caused by a change in the fluid flow velocity at a
fixed location in space and one caused by a transfer of this portion by
the fluid flow from one location to another. For the increment of the
x − component of the velocity of such a fluid portion over an
infinitesimal time interval ∆t , we have:
A66
∆v x = v x ( x + v x ∆t , y + v y ∆t , z + v z ∆t ; t + ∆t ) − v x ( x, y, z; t ) =
∂v x  ∂v ∂v ∂v 
= ∆t +  v x x + v y x + v z x ∆t + o(∆t ).
∂t  ∂x ∂y ∂z 
Thus,
d ∂v
v x = x + (v∇ )v x (3.5)
dt ∂t
where the symbol (v∇ ) designates the scalar differential operator
∂ ∂ ∂
vx + vy + vz
∂x ∂y ∂z
Expressions similar to (3.5) are also valid for the ‘material’
derivatives of the components v y and v z . With their use, rewrite
Equation (3.4) in the form
∂v
ρ + ρ (v∇ )v = −∇p + ρf (3.6)
∂t
The three-equation system (3.6) contains, in general, five
unknown functions – v x , v y , v z , ρ , and p . Two of them, ρ and
p , are related by a functional relationship
p = p( ρ ) (3.7)
whose explicit form is determined by the equation of state for the
medium’s substance. So, one more law of physics is needed, and the
law of conservation of mass is the one.
When a fluid flows into or out of V , the change per unit time in
its mass contained within V is given by
∂
∂t ∫ ρ (r, t ) dV = −∫ ρ (r, t )(v(r, t ) ⋅ n)dS
V S
Whence, by the Divergence Theorem
∫ ρ (r, t )(v(r, t ) ⋅ n)dS = ∫ div(ρv) dV

S V
and in view of the arbitrariness of V , we obtain the continuity

equation:
A67
∂ρ
= − div( ρv)
∂t
So, we have the following system of equations:
∂v
ρ + ρ (v∇ )v = −∇p + ρf
∂t
∂ρ
+ div( ρv ) = 0 (3.8)
∂t
p = p( ρ )
Since the system (3.8) is nonlinear, general techniques for
solving it are still beyond the power of modern science. However,
there are its stationary (time-independent) solutions known that
describe the fluid’s stable equilibrium or stable steady motion. The
stability of a solution of the system (3.8) means that after being
perturbed slightly at t = t 0 , the values of the functions representing the
solution remain within a definite range as t > t 0 .
Let v 0 ( x, y, z ) , ρ 0 ( x, y, z ) , p 0 ( x, y, z ) be a stable stationary
solution of the system (3.8) in the presence of a stationary external
force f 0 . We shall consider only those solutions which differ little
from v 0 , ρ 0 , p 0 as t ≥ t 0 . Set
v (r, t ) = v 0 (r ) + v 1 (r, t )
ρ (r, t ) = ρ 0 (r ) + ρ1 (r, t ) (3.9)
p(r, t ) = p 0 (r ) + p1 (r, t )
and substitute these expressions into the system (3.8). Ignoring the
terms of the second order in the small quantities v 1 (r, t ) , ρ 1 (r, t ) , and
p1 (r, t ) , we obtain the following approximate system of linear
equations for these quantities:
∂v 1 ρ  dp 
ρ0 + ρ 0 (v 0 ∇ )v 1 + ρ 0 (v 1∇ )v 0 = 1 ∇p 0 − ∇ 0 ρ1 
∂t ρ0  dρ 0 
∂ρ1
+ div( ρ1 v 0 ) + div( ρ 0 v 1 ) = 0 (3.10)
∂t
A68
Problem 3.1.1. Starting from the system (3.8), perform all the
above-mentioned manipulations to obtain the system of linear equations
(3.10).
Equations (3.10) describe small-amplitude oscillations in a fluid

against the background of a stable steady flow. It should be stressed
that these equations are linear. They are called the linearized equations
of hydrodynamics, whereas the above procedure for obtaining them is
called the linearization. If the external bulk force itself is given a
perturbation, f1 (r, t ) , such that its magnitude and those of the desired
functions v 1 (r, t ) , ρ1 (r, t ) , and p1 (r, t ) are of the same order, then
the additional term ρ 0 f1 (r, t ) appears on the right of the first equation
in (3.10).
Consider the simplest case where small departures from the
equilibrium state of a uniform fluid are studied. Then
v 0 (r ) = 0 , ρ 0 (r ) = const , p 0 (r ) = const
and if the external force f (r ) is rather small, the system (3.10) takes
the form
∂v 1
ρ0 = − a 2 ∇ρ 1 + ρ 0 f
∂t
(3.11)
∂ρ1
+ ρ 0 div v 1 = 0
∂t
where a 2 ≡ dp 0 dρ 0 .
Note that for thermodynamically stable systems, the derivative
dp 0 dρ 0 is a positive quantity, with the dimensions of speed squared.
Sound and ultrasonic oscillations in a fluid are relatively fast processes
in which convective heat transfer plays no significant role. For this
reason, the equation relating p and ρ must comply with the condition
that the process is adiabatic.
We shall assume that either the bulk force f in (3.11) is absent
or, if not, there is a function W such shat
− ∇W = f (3.12)
In other words, there exists the potential W for f .
A69
Let us also assume that at the initial time t = t 0 , the velocity
field is potential:
curl v1 = 0 (3.13)
Then there is a velocity potential ψ 0 (r ) such that
v 1 (r, t 0 ) = −∇ψ 0 (r ) (3.14)

From the first equation in (3.11) and under the condition (3.12),
we get:
t   
 a2
v1 (r, t ) = v1 (r, t 0 ) − ∇ 
∫
 t0


W (r , t ′) + ρ
ρ0 1
(r , t ′)  dt ′
 
or, in view of (3.14),
 t
  
 a2
v1 (r, t ) = −∇ ψ 0 (r ) +
 t0
∫ 

W (r , t ′) +
ρ 0
ρ 1 (r , t ′)  dt ′
 
The latter equality means that if the conditions (3.12) and (3.14)
are satisfied, the fluid flow remains potential at any time, and there
exists a velocity potential ψ (r, t ) such that
v 1 (r, t ) = −∇ψ (r, t ) (3.15)
From the first equation in (3.11), we find then:
1  ∂ψ 
ρ0  − W  − ρ1 = χ (t ) (3.16)
 ∂t
2
a 
where χ (t ) is some function dependent of the time alone. Since the
velocity potential is defined with an accuracy to a similar function,
χ (t ) can always be taken so that the equality
1  ∂ψ 
ρ1 (r, t ) = ρ0  −W  (3.17)
 ∂t
2
a 
holds instead of (3.16).
Substituting (3.17) into the second equation in (3.11), we see that
A70
∂ 2ψ ∂W ∂W
= + a 2 div(gradψ ) = + a 2 ∆ψ (3.18)
∂t 2
∂t ∂t
∂W
Whenever = 0 , the velocity potential obeys the equation
∂t
∂ 2ψ
= a 2 ∆ψ (3.19)
∂t 2
This is called the wave equation.
Problem 3.1.2. In terms of the velocity potential ψ (r, t ) , find

the pressure variations p1 (r, t ) occurring during the small-amplitude
oscillations in a fluid in the presence of the earth’s gravity field.
Problem 3.1.3. Reduce the system of equations (3.11) to the

wave equation for the mass density variations ρ1 (r, t ) .
1. Consider all forces that any interior portion of an ideal liquid is

acted upon by the surroundings. To what force do they reduce?
2. What equation of state must be used for describing the propagation
of acoustic oscillations in fluids?
3. Which terms in the system (3.8) of equations of ideal liquid
hydrodynamics cause its nonlinearity?
4. With the aid of the velocity potential, how can one determine the
variations in velocity, mass density, and pressure that occur during
the small-amplitude oscillations in a fluid?
A71
3.2. The Cauchy Problem for the Wave Equation.
The Uniqueness of the Solution
According to Formulas (3.15) and (3.17), the variations in

velocity and mass density, occurring in the process of small-amplitude
oscillations in a fluid, are completely determined through the velocity
potential ψ . Should the value of ψ and that of its time derivative be
known for a time t0 , the potential ψ itself can be recovered for any
time t > t 0 .
So, the study of small-amplitude oscillations in a fluid reduces
naturally to a problem called the Cauchy problem for the wave
equation: in E3 and for t > t 0 , find a function ψ (r, t ) that satisfies
Equation (3.19) and the initial conditions
∂ψ (r, t 0 )
ψ (r, t 0 ) = u (r ) , = v(r ) (3.20)
∂t
Prior to constructing the solution ψ (r, t ) , we shall verify its
uniqueness and outline the class of functions to which it belongs.
Theorem 3.2.1. Suppose that a twice continuously differentiable

function Ψ (r, t ) satisfies the wave equation (3.19) as t > t 0 and also
the conditions
∂Ψ (r, t0 )
Ψ (r, t0 ) = 0 , =0 (3.21)
∂t
Then
Ψ (r, t ) ≡ 0 , t > t0
Proof. Since Equation (3.19) is invariant under shifts of the zero
time reference point and under the reversal of time flow t → −t , we
can assume, without loss of generality, that t 0 = 0 . Moreover, it
follows from the linearity and homogeneity of Equation (3.19) and
Conditions (3.21) that both the real and the imaginary parts of Ψ (r, t )
satisfy them. For this reason, we can consider Ψ (r, t ) to be a real
function.
A72
Denoting the coordinates (at , x, y, z ) temporarily as
(x0 , x1 , x 2 , x3 ) , rewrite this obvious identity
2 ∂Ψ  ∂ 2Ψ ∂ 2Ψ ∂ 2Ψ ∂ 2Ψ 
0≡  2 2 − 2 − 2 − 2  =
a ∂t  a ∂t ∂x ∂y ∂z 
1 ∂ 1   ∂Ψ  
2 2 2 2
 ∂Ψ   ∂Ψ   ∂Ψ
=    +  +   +   −
a ∂t  a 2  ∂t   ∂x   ∂y   ∂z  

∂  ∂Ψ ∂Ψ  ∂  ∂Ψ ∂Ψ  ∂  ∂Ψ ∂Ψ 
−2   − 2   − 2  
∂x  a∂t ∂x  ∂y  a∂t ∂y  ∂z  a∂t ∂z 
as
∂A0 ∂A1 ∂A2 ∂A3
div A ≡ + + + =0 (3.22)
∂x0 ∂x1 ∂x 2 ∂x3
where A = ( A0 , A1 , A2 , A3 ) is a four-dimensional vector with
components
2 2 2 2
 ∂Ψ   ∂Ψ   ∂Ψ   ∂Ψ 
A0 =   +   +   +  
 ∂x0   ∂x1   ∂x 2   ∂x3  (3.23)
∂Ψ ∂Ψ
A j = −2 , j = 1, 2, 3
∂x0 ∂x j
In four-dimensional space, consider now the frustum D , of a
‘light’ cone*), defined as the locus of points whose coordinates satisfy
the relation
( x1 − a1 ) 2 + ( x2 − a2 ) 2 + ( x3 − a3 ) 2 ≤ ( x0 − a0 ) 2 , 0 ≤ x0 ≤ a 0′ < a 0
where (a0 , a1 , a2 , a3 ) – the vertex of the cone – is an arbitrary point in
the four-dimensional half-space x0 > 0 .
Let σ 0 and σ 1 denote the lower and the upper bases
2
( x1 − a1 ) 2 + ( x 2 − a 2 ) 2 + ( x3 − a3 ) 2 = a 0
*)
The modifier ‘light’ stems from problems of relativistic physics, where in the relevant
wave equations a is the speed of light in vacuum.
A73
( x1 − a1 ) 2 + ( x 2 − a 2 ) 2 + ( x3 − a3 ) 2 = (a 0′ − a 0 ) 2
of the frustum D respectively, and let Γ denote its lateral surface
( x0 − a0 ) 2 − ( x1 − a1 ) 2 − ( x2 − a2 ) 2 − ( x3 − a3 ) 2 = 0
0 ≤ x0 ≤ a0′ < a0
The integration of both sides of (3.22) over the region occupied
by D and the application of the four-dimensional version of the
Divergence Theorem yield:
∫ div A dx dx dx dx = ∫ (A ⋅ n)dS + ∫ (A ⋅ n)dS + ∫ (A ⋅ n)dS

D
0 1 2 3
Γ σ0 σ1
(3.24)
where n = (n0 , n1 , n 2 , n3 ) is the unit outward normal to an appropriate
element of the surface of D , and (A ⋅ n ) ≡ A0 n0 + A1n1 + A2 n2 + A3n3 .
Making use of the explicit expressions for the components of A ,
rewrite the integrand in the integral over Γ in (3.24) in the form
 ∂Ψ  2  ∂Ψ  2  ∂Ψ  2  ∂Ψ  2 
(A ⋅ n ) = n0   +   +   +   
 ∂x 0   ∂x1   ∂x 2   ∂x 3  
3
∂Ψ ∂Ψ
− ∑ 2n
j =1
j
∂x 0 ∂x j
= (3.25)
2 2
2 2
n − n1 − n 2 − n3
2
 ∂Ψ 
2 3
 ∂Ψ ∂Ψ 
∑
1 n j 
= 0   + − n0
 
n0  ∂x 0  n 0 j =1  ∂x 0 ∂x j 
On the surface Γ , which is the locus of the equation
F ( x0 , x1 , x2 , x3 ) = x0 + ( x1 − a1 ) 2 + ( x2 − a2 ) 2 + ( x3 − a3 ) 2 − a0 = 0
0 ≤ x0 ≤ a0′ < a0
by the general definition of the normal vector to a smooth surface we
have:
A74
1
−
 ∂F   ∂F 
2 2 2 2 2
  ∂F   ∂F   ∂F  1
n0 =     +   +   +    =
 ∂x0   ∂x0   ∂x1   ∂x 2   ∂x3   2
1
−
  ∂F 
2 2 2 2
 ∂F   ∂F   ∂F   ∂F  2
nj =     +   +   +    =
 ∂x   ∂x
 j   0   ∂x1   ∂x 2   ∂x3  
1 xj − aj
= , j = 1, 2, 3
2
( x1 − a1 ) 2 + ( x 2 − a 2 ) 2 + ( x3 − a3 ) 2
So, on Γ ,
n02 − n12 − n22 − n32 = 0
and, in view of (3.25), (A ⋅ n ) ≥ 0 . Accordingly,
∫ (A ⋅ n)dS ≥ 0
Γ
(3.26)
On the lower base σ 0 , due to the initial conditions (3.21), we

have A = 0 and therefore
∫ (A ⋅ n)dS = 0
σ0
(3.27)
On the upper base σ 1 , which is a part of the plane x0 = a0′ , we

have n = (1,0,0,0) . Then, according to Formulas (3.23),
∫ (A ⋅ n)dS = ∫ A dS =
σ1 σ1
0
(3.28)
 ∂Ψ 2
  ∂Ψ
2
  ∂Ψ
2
  ∂Ψ 
2

= 
∫
 ∂x 0
σ 1 
 + 
  ∂x1
 + 
  ∂x 2
 + 
  ∂x3


 dS ≥ 0

Because of (3.24), (3.26), and (3.27), the inequality sign in
Formula (3.28) must be omitted. This means that on σ 1 ,
∂Ψ ∂Ψ ∂Ψ ∂Ψ
= = = =0 (3.29)
∂x0 ∂x1 ∂x2 ∂x3
A75
Since a0′ can assume any values from the interval (0, a0 ) , the
equalities (3.29) are valid for all points in D . Letting a0′ tend to a0
and taking into account that, by assumption, Ψ is a continuously
differentiable function, we come to the conclusion that the equalities
(3.29) are also valid for the vertex of the cone, which may be at any
point in the half-space x0 > 0 . Therefore, Ψ ≡ const for any point r
in E3 and for any time t > 0 (or t > t0 ). Moreover, in view of
Conditions (3.21), we have: Ψ ≡ 0 .
Corollary 3.2.2. In the class of twice continuously differentiable

functions, the Cauchy problem for the wave equation in an infinite
space has a unique solution.
Indeed, assuming the existence of two solutions to the problem,

we conclude immediately that their difference is zero; that is, they are
equal.
1. Is the flow of a fluid in the absence of external forces always

potential?
2. Consider the points on the lateral surface of the upper and lower
nappes of a four-dimensional ‘light’ cone with vertex at the point
(a0 ,0,0,0) . What equation do their coordinates satisfy?
3. If the surface of an object is the locus of the equation
F ( x0 , x1 , x2 , x3 ) = 0 , F being a smooth function, how can one
find the components of its unit normal?
4. What is the potential ψ (r, t ) for the velocity field for t > t 0 if
external forces are absent and
∂ψ (r, t 0 )
ψ (r, t 0 ) = u 0 (r ) , =0
∂t
where u 0 (r ) is a harmonic function?
A76
3.3. The Solution to the Cauchy Problem for the Wave
Equation in E3 . Poisson’s Relation
Let us proceed now to finding the solution to the Cauchy

problem (3.19), (3.20). To begin with, assume that the initial functions
u (r ) and v(r ) are infinitely differentiable, and that for any integers
s1 , s 2 , s3 ≥ 0 and n > 1 they satisfy the conditions
∂ s1 + s2 + s3 u (r )
∂x ∂y ∂z
s1 s2 s3
( )
−n
=o r ,
∂ s1 + s2 + s3 v(r )
∂x ∂y ∂z
s1 s2 s3
=o r ( )
−n
(3.30)
Under these, the unique twice continuously differentiable

solution ψ (r, t ) to the problem is a function that is infinitely
differentiable with respect to all its variables and also integrable, along
with all its partial derivatives. Indeed, assuming the existence of
ψ (r, t ) , consider the Fourier transform of this function with respect to
the spatial variables:
∧ 1
ψ (k , t ) =
∫e ψ (r, t ) dr
− ikr
(3.31)
(2π ) 3 / 2
E3
Starting from Equation (3.19) and the initial conditions (3.20),

with the use of the relations
∧
∂ 2ψ ∂2 ∧ ∧ ∧
(k , t ) = ψ (k , t ) , ∆ψ (k , t ) = −k 2 ψ (k , t )
∂t 2 ∂t 2
∧
we find that ψ (k , t ) is the solution to this elementary problem:
∂2 ∧ ∧
ψ (k , t ) = − a 2 2
k ψ (k , t )
∂t 2
∧
∧ ∧ ∂ψ (k ,0) ∧
ψ (k ,0) = u (k ) , = v(k )
∂t
∧ ∧
where u (k ) and v(k ) are the Fourier transforms of u (r ) and v(r ) .
We find from this that
A77
∧ ∧ ∧ sin akt
ψ (k , t ) = u (k ) cos akt + v(k ) (3.32)
ak
Making use of the properties of Fourier transforms and taking
into account the properties of u (r ) and v(r ) , and also the conditions
∧ ∧
(3.20), we see that u (k ) and v(k ) are infinitely differentiable with
respect to the variables k x , k y , k z , and that for any integers
s1 , s 2 , s3 ≥ 0 and n > 1 ,
∧ ∧
∂ s1 + s2 + s3 u (k )
∂k x ∂k y ∂k z
s1 s2 s3
( )
−n
=o k ,
∂ s1 + s2 + s3 v(k )
∂k x ∂k y ∂k z
s1 s2 s3
( ) (3.33)
=o k
−n
The functions cos akt and sin akt ak in Formula (3.32) are
infinitely differentiable with respect to k x , k y , and k z , and also
bounded, as well as their derivatives, for real values of these. As a
∧
result, the function ψ (k , t ) , too, is infinitely differentiable with respect
to k x , k y , and k z , and satisfies the conditions (3.33) for any integers
s1 , s 2 , s3 ≥ 0 and n > 1 . It follows, again in view of the properties of
Fourier transforms, that the function
1 ∧
ψ (r, t ) =
(2π ) 3 / 2 ∫
E3
e ikr u (k ) cos akt dk +
(3.34)
1 ∧ sin akt
∫e
ikr
+ v(k ) dk
(2π ) 3 / 2 ak
E3
satisfies both Equation (3.19) and the conditions (3.20), being infinitely
differentiable with respect to all its variables and vanishing, along with
its partial derivatives, at a rate greater than that of any power of k as
k → ∞.
Let us now express this solution in terms of u (r ) and v(r ) .
Consider first the case where u (r ) ≡ 0 , v(r ) ≠ 0 , carry out all the
calculations for the function
A78
2
r −r ′
1
∫e
−
vτ (r ) = 4τ
v(r ′) dr ′ (3.35)
(4πτ ) 3 / 2
E3
instead of v(r ) , and then, taking into account that vτ (r ) → v(r ) , let
τ →0
τ tend to 0.
Since vτ (r ) is a convolution of two integrable functions, its
Fourier transform is
∧ 2 ∧
vτ (k ) = e −τk v(k )
∧ ∧
whence it follows that vτ (k ) → v(k ) . Formula (3.34) takes the form
τ →0
1 sin akt −τk 2 ∧
ψ τ (r, t ) =
(2π ) 3 / 2 ∫
E3
dk
ak
e v(k )e ikr (3.36)
∧
Substituting the expression for v(k ) ,
∧ 1
∫ dr′e
−ikr ′
v(k ) = v(r ′)
(2π ) 3 / 2
E3
into Formula (3.36), and interchanging the order of integration with

respect to k and r ′ , we arrive at the integral representation
∫
ψ τ (r, t ) = dr ′Gτ (r − r ′; t )v(r ′)
E3
(3.37)
where
1 sin akt
∫
2
Gτ (r, t ) = dk e ikr e −τk =
(2π ) 3
ak
E3
∞ 2π π
1 sin akt −τk 2
∫ ∫ dϕ ∫ dθ sin θ e
ikr cos θ
= dkk 2
e =
(2π ) 3
ak
0 0 0
∞
1
∫
2
= dk sin akt sin kre −τk
2π 2 ar
0
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The application of the formula
1
sin akt sin kr = [cos k (r − at ) − cos k (r + at )]
2
yields:
∞
1
∫ dk [cos k (r − at ) − cos k (r + at )]e −τk
2
Gτ (r, t ) =
4π ar
2
0
Next, taking into account that
∞ ∞ ( r ± at ) 2
1 1 π −
∫ dk cos k (r ± at )e ∫
−τk 2 2
= dk eik ( r ± at )e −τk = e 4τ
2 2 τ
0 −∞
we obtain:
 − ( r − at ) 
2 2
( r + at )
1 −
Gτ (r, t ) = e 4τ − e 4τ 
4πar 4πτ  
Recall now that
( r ± at ) 2
1 −
lim = e = δ (r ± at ) 4τ
4πτ
τ ↓0
Since r > 0 , a > 0 , and t > 0 , then δ (r + at ) = 0 . So,

considering the limit of the sequence of the functions Gτ (r, t ) to be a
generalized function of the spatial coordinates, we have:
δ (r − at )
lim Gτ (r, t ) = , t>0 (3.38)
τ ↓0 4πar
The desired solution is of the form
δ ( r − r ′ − at )
ψ (r, t ) = limψ τ (r, t ) = dr ′
τ ↓0 ∫
E3
4πa r − r ′
v(r ′) (3.39)
In Formula (3.39), now set r ′ = r + ρ , dr ′ = dρ , and change to

a spherical coordinate system to obtain:
∞
δ ( ρ − at )
∫
ψ (r, t ) = dρρ 2
0
4πaρ ∫ v(r + ρn) dn
n =1
A80
the integral over n being taken over a sphere of unit radius. According
to the properties of the δ function, the integral over ρ is equal to the
value of the integrand at the point ρ = at . Therefore,
t
ψ (r, t ) =
4π ∫ v(r + atn) dn
n =1
(3.40)
For an arbitrary continuous function w(r, t ) , let us designate

1
M [ w](r, t ) ≡
4π ∫ w(r + atn) dn
n =1
(3.41)
Then the formula

ψ (r, t ) = tM [v](r, t ) (3.42)
represents the solution to the Cauchy problem (3.19), (3.20) in the case
where u (r ) = 0 , v(r ) ≠ 0 . To obtain the one for the case where
u (r ) ≠ 0 , observe that the first integral on the right of Formula (3.34)
can be written as
 
∂ 1 ∧ sin akt 
∫e
ikr
u (k ) dk 
∂t  (2π ) 3 / 2 ak 
 E3 
Repeating for this integral the manipulations identical to those
having resulted in the relation (3.40), we conclude that the initial
function u (r ) contributes
∂
tM [u ](r, t )
∂t
Thus, the solution to the Cauchy problem (3.19), (3.20), with
initial functions u (r ) ≠ 0 , v(r ) ≠ 0 , is directly expressed in terms of
these by
∂
ψ (r, t ) = tM [u ](r, t ) + tM [v](r, t ) (3.43)
∂t
Formula (3.43) is called Poisson’s relation. We have derived it
by assuming that u (r ) and v(r ) are infinitely differentiable and that
for r → ∞ , they and all their derivatives are of higher order than that
A81
−1
of any power of r . Under these conditions, the solution (3.43) is
itself a function infinitely differentiable with respect to all its variables,
including t , and vanishing, along with all its derivatives, as r → ∞ .
Note, however, that the integral in the transformation (3.41) is
taken over a compact set only. In accordance with the properties of
integrals dependent of parameters, for t > 0 the transformation (3.41)
carries every continuous function with continuous partial derivatives up
to the n th order inclusive into a function n -fold continuously
differentiable with respect to all its variables, including t . Now, taking
into account that, when applied to infinitely differentiable functions
vanishing along with their derivatives rather rapidly at infinity, the
transformation (3.42) results in functions satisfying the wave equation
(3.19), and that by these infinitely differentiable functions and their
corresponding derivatives, any twice continuously differentiable
function and its derivatives can be approximated with any accuracy in
every bounded region, we come to the conclusion that the
transformation (3.42) carries any twice continuously differentiable
functions into those satisfying the wave equation (3.19).
Problem 3.3.1. Verify by direct calculations that for any twice

continuously differentiable v(r ) , Formula (3.42) gives a function
satisfying both Equation (3.19) and the initial conditions
ψ (r,0) = 0 , ψ t (r,0) = v(r ) .
Hint. Reduce the integral
at 1
∫ (n ⋅ grad v(r + atn)) dn = ∫ (n ⋅ grad v(r + atn))a t dn
2 2
4π 4πat
n =1 n =1
which appears in the expression for ψ t (r, t ) , to one of the normal

component of grad v(r ) over the surface of the sphere with radius at
and center at the point r , and then use the Divergence Theorem to
evaluate it.
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In view of the fact that if some thrice differentiable functions
satisfy the wave equation (3.19), then so do their first derivatives, not
much remains to be added to draw this conclusion:
For any thrice continuously differentiable u (r ) and any twice
continuously differentiable v(r ) , Formula (3.43) represents the unique
twice continuously differentiable solution to the three-dimensional
Cauchy problem (3.19), (3.20) for the wave equation.
Now suppose that at t = 0 , the initial disturbance within a
medium is nonzero only within some region Ω about the origin.
According to Formula (3.43), the value of the wave field ψ (r, t ) at a
point r at a time t > 0 is given by the integrals taken over the surface,
S , of the sphere with radius at and center at r . Since these depend
on the values of the initial functions u (r ) and v(r ) on S only,
ψ (r, t ) differs from zero only if S intersects Ω ; that is, on the time
interval
d D
<t <
a a
where d and D stand for the shortest and the longest distance from r
to Ω , respectively.
This is testimony to the fact that the wave equation describes the
propagation of disturbances with a constant speed of a . At r , the
initial disturbance in Ω does not affect the medium until the time d a
elapses. It is exactly the time it takes for the waves originating in Ω to
arrive at this point. After the instant D a , the effect of the initial
disturbance ceases to exist at r .
In the limiting case where Ω shrinks to a point (the origin), only
at the instant t = r a does the initial disturbance have an effect on the
medium at r . This fact is known as Huygens’ principle for the wave
equation: if the initial disturbance is localized in space, then later it
manifests itself at every point as a phenomenon localized in time.
A83
1. If a function ψ (r, t ) satisfies the wave equation (3.19) and is both

differentiable and integrable, along with all its derivatives of up to
the second order inclusive, what equation does the Fourier
∧
transform ψ (k , t ) satisfy?
2. If the functions u (r ) and v(r ) in the initial conditions (3.20) are
differentiable and integrable, and so are their first and second
derivatives, what are their contributions to the Fourier transform of
the solution to the Cauchy problem for Equation (3.19)?
3. The contribution from the initial function v(r ) to the solution of
the Cauchy problem (3.19), (3.20) for t > 0 can be represented as
the integral transformation
∫ dr′G(r, r′; t )v(r′) .
E3
What is the
kernel G (r, r ′; t ) of this transformation?

4. At the time t = 0 , the pressure in a liquid differs from its
equilibrium value only within a sphere with radius R and center at
some point. What is the shortest time it takes for the liquid to come
to equilibrium at the sphere’s center? On the sphere’s surface?
5. What is Huygens’ principle about?
3.4. The Solution of the Cauchy Problem for the Wave

Equation in Two- and One-dimensional Spaces
The two-dimensional Cauchy problem for the wave equation

arises whenever due to given physical conditions, the wave field and
other sought-for functions remain unchanged under displacements in a
particular direction. Assuming, without loss of generality, that
direction to be parallel to the z -axis, we can write it as
∂ 2ψ 2 ∂ ψ
2
∂ 2ψ 
= a  2 +  (3.44)
∂t 2  ∂x ∂y 2 
ψ t =0
= u 0 ( x, y ), ∂ψ ∂t t = 0 = v 0 ( x, y ) (3.45)
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In order to find the solution to the problem (3.44), (3.45) in the
class of twice continuously differentiable functions, consider the
solution ψ = ψ ( x, y, z , t ) of the three-dimensional wave equation
(3.19) subject to the initial conditions (3.45), with z -independent
functions u 0 ( x, y ) and v0 ( x, y ) being assumed trice and twice
continuously differentiable, respectively. Since Equation (3.19)
involves only derivatives of ψ , the function ψ~ = ψ ( x, y, z + h, t ) ,
with h an arbitrary real number, satisfies it as well. In addition, ψ~
satisfies the initial conditions (3.45), which follows from the z -
independence of those. In other words, both ψ ( x, y, z , t ) and
ψ~ ( x, y, z , t ) are solutions to the three-dimensional Cauchy problem
(3.19), (3.45). Because of the uniqueness of the solution, they must be
equal: ψ ( x, y, z , t ) = ψ ( x, y, z + h, t ) . This implies the z -
independence of ψ : ψ = ψ ( x, y, t ) .
Thus we have proved that the twice differentiable solution to a
three-dimensional Cauchy problem for the homogeneous wave equation
is independent of a particular variable if the initial functions are
independent of that variable. Poisson’s relation for the associated
three-dimensional problem (3.19), (3.45) can be used to solve the two-
dimensional problem (3.44), (3.45).
At first, let u 0 ( x, y ) = 0 , v0 ( x, y ) ≠ 0 . Then, by Formula
(3.40),
t
ψ ( x, y , t ) =
4π ∫ v ( x + atn , y + atn ) dn
n =1
0 x y (3.46)
The integration in (3.46) is carried out over the surface of a

three-dimensional unit sphere, which is not typical of two-dimensional
problems. To get rid of this, transform the integral (3.46) into one
taken over the disk representing the projection of the sphere onto the
xy -plane. Considering that in Formula (3.46)
n x = sin θ cos ϕ , n y = sin θ sin ϕ , n z = cosθ
0 ≤ θ ≤ π , 0 ≤ ϕ < 2π
and that the elementary surface area for the unit sphere is
A85
dn = sin θ dθdϕ
let us change to the new variables
ξ = sin θ cos ϕ , η = sin θ sin ϕ , ζ = cosθ ; ξ 2 + η 2 + ζ 2 = 1
The inverse transformation formulas for the points on the upper
hemisphere are
η π
ϕ = tan −1 , θ = sin −1 η 2 + ξ 2 , 0 ≤ θ ≤ (3.47)
ξ 2
Since the integrand in (3.46) is independent of z , the integrals
over the upper and the lower hemispheres are equal. In the new
coordinates, the elementary area dn is
dn = sin θ Jdξdη (3.48)
where sin θ = ξ 2 + η 2 and J is the Jacobian of the transformation
(3.47):
∂θ ∂θ
∂ξ ∂η 1 1
J= = (3.49)
∂ϕ ∂ϕ ξ 2 +η2 1− ξ 2 −η 2
∂ξ ∂η
The integral (3.46) (the doubled integral over the upper
hemisphere) takes the form
2t v 0 ( x + aξ t ; y + aη t )
ψ ( x, y , t ) =
4π ∫∫
ξ 2 +η 2 ≤1
1− ξ 2 −η 2
dξ dη (3.50)
One more change of variables

x′ − x
x + aξt = x ′, ξ=
at
(3.51)
y′ − y
y + aηt = y ′, η=
at
finally yields:
1 v0 ( x ′, y ′)
ψ ( x, y , t ) =
2πa ∫∫
r' − r ≤ at
a t − ( x ′ − x) 2 − ( y ′ − y ) 2
2 2
dx ′dy ′ (3.52)
A86
Let us denote
~ 1 w( x ′, y ′)
M [ w]( x, y, t ) ≡
2πa ∫∫
r' − r ≤ at
a t − ( x ′ − x) 2 − ( y ′ − y ) 2
2 2
dx ′dy ′
(3.53)
Based on Formulas (3.41), (3.43), (3.52), and (3.53), we
conclude that the twice continuously differentiable solution to the two-
dimensional Cauchy problem (3.44), (3.45), with u 0 ( x, y ) thrice and
v0 ( x, y ) twice continuously differentiable, is given by
~ ∂ ~
ψ ( x, y, t ) = M [v0 ]( x, y, t ) + M [u 0 ]( x, y, t ) (3.54)
∂t
Assuming the process of wave propagation in some medium to
be describable in terms of the two-dimensional Cauchy problem,
consider some of its features by using formulas (3.53) and (3.54).
Let the initial disturbance of a two-dimensional wave field be
localized within a small region Ω in the xy -plane, and let P be a
point in this plane at a distance of d from Ω . While t < d a , the
medium remains undisturbed at P , for the integrals in (3.54) are taken
over disks with radii at < d centered at P , on which the initial
functions are zero. When, however, t > d a , it does become being
disturbed there – the integrals are now taken over disks that first
intersect and then, from some instant t1 on, completely cover the
initially disturbed region Ω . In fact, it is Ω alone that contributes to
the integrals. These are generally nonzero for t > t1 , which means that
in the two-dimensional case, a wave produced by a spatially localized
disturbance has no rear edge, although it has a distinct leading edge;
that is, Huygens’ principle is violated.
The physical cause behind becomes clear if we take notice of the
following fact. The above two-dimensional problem, with initial
functions nonzero within a bounded plane region Ω , results from those
problems for the three-dimensional wave equation in which the initial
functions are nonzero within an infinite cylinder perpendicular to the
xy -plane and have equal values on all its cross-sections parallel to this
plane. Outside the cylinder, the medium remains undisturbed at P
A87
until the sphere with radius at and center at P intersects the cylinder
(see Formula (3.43)). At that instant, a wave arrives at P from the
closest point in the cylindrical region. The wave has a trailing edge, but
will have no rear one: from that instant on, disturbances from other
points in the cylindrical region, more and more distant (a sphere of
sufficiently large radius and an infinite cylinder have a nonempty
intersection), will keep arriving at P .
Problem 3.4.1. Let u 0 ( x, y ) be zero, and let v0 ( x, y ) be

nonnegative and vanishing outside a disk of radius R < ∞ . For an
arbitrary point in space, find the leading term of the asymptotic
expansion for the solution to the Cauchy problem (3.44), (3.45) as
t →∞.
Finally, consider the Cauchy problem for the wave equation in

one-dimensional space:
∂ 2ψ 2 ∂ ψ
2
= a (3.55)
∂t 2 ∂x 2
∂ψ
ψ = u 0 ( x), = v0 ( x) (3.56)
t =0
∂t t =0
As in the case of the two-dimensional problem, the solution can
be found by applying Formulas (3.43), (3.46) to the initial functions
that depend upon the variable x alone. If u 0 ( x) = 0 and v0 ( x) ≠ 0 ,
this gives:
x + at
1
ψ ( x, t ) =
2a ∫ v ( x′) dx′
x − at
0 (3.57)
A88
In general, the twice differentiable solution to the problem (3.55),
(3.56), with initial functions u 0 ( x) and v0 ( x) respectively twice
differentiable and differentiable, is given by
x + at
u ( x + at ) + u 0 ( x − at ) 1
ψ ( x, t ) = 0
2
+
2a ∫ v ( x′) dx′
x − at
0 (3.58)
This expression is known as d’Alembert’s formula.
Problem 3.4.2. Starting with Formulas (3.53) and (3.54), deduce

d’Alembert’s formula.
It follows from Formula (3.58) that for the one-dimensional wave

equation, Huygens’ principle is violated even if the initial functions
differ from zero only on a finite interval. One can verify this by
substituting into (3.57) any nonnegative function in place of v0 ( x) .
Let v0 ( x) = aw′( x) , where w( x) is a twice differentiable
function. Having set
u 0 ( x) ± w( x)
f1, 2 ( x) =
2
we can represent the solution (3.58) as
ψ ( x, t ) = f 1 ( x + at ) + f 2 ( x − at ) (3.59)
On the other hand, in view of the fact that for any twice
differentiable function f ( x) , the functions f ( x ± at ) satisfy the one-
dimensional wave equation (3.55), we can state that Formula (3.59),
with f1, 2 ( x) being any twice differentiable functions, gives the general
solution of (3.55).
It follows from Formula (3.59) that if the initial functions in the
Cauchy problem (3.55), (3.56) are zero outside some interval, then the
solution is a sum, that is, superposition of two waves, one ( f1 )
travelling to the left and the other ( f 2 ) to the right, both at a constant
speed of a .
A89
Problem 3.4.3. Deduce the general solution (3.59) of the one-
dimensional wave equation and d’Alembert’s formula without referring
to the three- and two-dimensional Cauchy problems.
Hint. Take advantage of the fact that the change of variables
ξ = x + at , η = x − at
transforms the one-dimensional wave equation into
∂ 2ψ
=0
∂ξ∂η
1. How can one use Poisson’s relation to find the solution to the
Cauchy problem for the wave equation in an infinite two-
dimensional space?
2. In two-dimensional space, why do the waves caused by a spatially
localized disturbance have no rear edge?
3. Is Huygens’ principle valid for the wave equation in one-
dimensional space?
4. What dependence of coordinate and time is characteristic of the
functions satisfying the one-dimensional wave equation?
5. Under what conditions on the initial functions does the solution to
the Cauchy problem (3.55), (3.56) represent a wave travelling with
an unchanging profile to the right at a constant speed?
3.5. The Inhomogeneous Wave Equation
Now, consider the waves generated in an infinite uniform

medium by sources of power density f (r, t ) . We shall assume
f (r, t ) to be a continuous function of all its variables.
In the presence of sources, the Cauchy problem for the wave
equation takes the form
A90
∂ 2ψ
= a 2 ∆ψ + f (r, t ), t > 0 (3.60)
∂t 2
∂ψ (r,0)
ψ (r,0) = u 0 (r ), = v 0 (r ) (3.61)
∂t
The solution can be represented as the sum
ψ (r, t ) = ψ 1 (r, t ) + ψ 2 (r, t ) (3.62)
where ψ 1 (r, t ) is the solution of the homogeneous wave equation
subject to the given initial conditions (3.61), and ψ 2 (r, t ) is a function
obeying the inhomogeneous wave equation (3.60) and chosen so as to
satisfy zero initial conditions
∂ψ 2 (r,0)
ψ 2 (r,0) = 0 , =0 (3.63)
∂t
Physically, ψ 1 (r, t ) describes the waves caused by the initial
disturbance, whereas ψ 2 (r, t ) does the waves brought about by the
sources.
The solution ψ 1 (r, t ) is expressed in terms of the initial
functions u 0 (r ) and v0 (r ) by Poisson’s relation (3.43). Whenever
those are compactly supported, their impact on the medium lasts at any
point for a limited time only, according to Huygens’ principle.
Afterwards, the oscillation process at that point is governed exclusively
by the sources and is therefore described by ψ 2 (r, t ) .
In order to find an explicit expression for ψ 2 (r, t ) in terms of
f (r, t ) , let us first consider somewhat formal a case when
f (r, t ) = f τ (r )δ (t − τ ) , τ >0
where f τ (r ) is a twice differentiable function, and δ (t − τ ) is the
Dirac delta function. If we assume that in this case, too, Equation (3.60)
has a unique continuous solution ψ 2 (r, t ;τ ) satisfying the conditions
(3.63), then, based on the uniqueness of the solution to the Cauchy
problem for the wave equation, we can state that ψ 2 (r, t ;τ ) = 0 until
the time t = τ , when the sources “go on”. It follows from the
continuity of the solution that ψ 2 (r, τ ;τ ) = 0 as well.
A91
Taking into account these properties of ψ 2 (r, t ;τ ) , integrate
both sides of the equation
∂ 2ψ 2
= a 2 ∆ψ 2 + f τ (r )δ (t − τ )
∂t 2
with respect to t from τ − ε to τ + ε , ε > 0 , and then let ε tend to

0, to obtain:
 ∂ψ (r,τ + ε ;τ ) ∂ψ 2 (r, τ − ε ;τ )  ∂ψ (r,τ + 0;τ )
lim  2 − = = f τ (r )
ε ↓0
 ∂t ∂t  ∂t
(3.64)
So, the function ψ 2 (r, t ;τ ) satisfies the homogeneous wave
equation
∂ 2ψ 2
= a 2 ∆ψ 2 (3.65)
∂t 2
as t > τ and the conditions
∂ψ 2 (r,τ + 0;τ )
ψ 2 (r,τ + 0;τ ) = 0 , = f τ (r ) (3.66)
∂t
in the limiting case t → τ .
In other words, within the interval (τ , ∞) , ψ 2 (r, t ;τ ) is equal to
the solution of the homogeneous wave equation (3.65) subject to the
initial conditions (3.66). Taking into consideration Formula (3.42), we
get:
 0, t <τ
ψ 2 (r, t ;τ ) =  (3.67)
(t − τ ) M [ f τ ](r, t − τ ), t > τ
Now, take advantage of the fact that the power density f (r, t )
can always be written as
∞
∫
f (r, t ) = δ (t − τ ) f (r, τ )dτ
0
Since Equation (3.60) is linear, it suffices to integrate Formula
(3.67), with f τ (r ) being replaced with f (r, τ ) , with respect to the
parameter τ from 0 to ∞ , to obtain ψ 2 (r, t ) . For t > 0 , this integral
A92
is taken only from 0 to t , due to (3.67). Therefore,
t
∫
ψ 2 (r, t ) = (t − τ ) M [ f (r,τ )](r, t − τ )dτ
0
(3.68)
Problem 3.5.1. Make use of the fact that for twice continuously
differentiable functions u (r ) , the transformation M [u ](r, t ) , t > 0 ,
gives twice continuously differentiable functions satisfying the
homogeneous wave equation and the condition M [u ](r,0) = 0 , to
verify that for any twice continuously differentiable f (r, t ) , the
function (3.68) is a unique twice continuously differentiable solution of
the inhomogeneous equation (3.60) subject to the condition (3.63).
Introducing the new variable of integration ρ = a (t − τ ) in

(3.68), and using the explicit expression for the transformation M , we
obtain:

at 
1 1  ρ  2
ψ 2 (r, t ) =
4πa 2
0
∫ ∫
ρ 
 n =1
f 

r + ρn , t −  d
a  
n

ρ dρ (3.69)
Next, setting ρ = ρn , we see that

1 1  ρ
ψ 2 (r, t ) =
4πa 2 ∫
ρ < at
f  r + ρ, t − dρ
ρ  a
In the variables r ′ = r + ρ , this expression takes the form
1 1  r − r′ 
ψ 2 (r, t ) =
4πa 2 ∫
r −r ′ < at
f  r ′, t −
r − r′  a 
 dr ′ (3.70)
This is called the retarded potential, by analogy with Newton’s

potential. It is seen from (3.70) that in a uniform medium, the speed of
travel of signals or disturbances generated by any source is independent
of the direction of travel, being a finite constant a > 0 .
A93
Problem 3.5.2. Find the velocity potential for the forced
acoustic oscillations generated in a uniform medium by sources
localized within an infinitesimal neighborhood of the origin.
Consider now the important case where the power density

f (r, t ) changes with time according to the harmonic law, with
amplitude p (r ) and frequency ω :
f (r, t ) = p(r ) sin ωt (3.71)
Since the wave equation is linear in the desired function, and
f (r, t ) is real, the further analysis simplifies a great deal if we
represent f (r, t ) in the complex form
f (r, t ) = p(r )e − iωt (3.72)
~
evaluate the corresponding complex potential ψ (r, t ) , and then take the
imaginary part of ψ~ (r, t ) .
Suppose that p (r ) is zero outside some sphere of rather large
radius R . Substituting (3.72) into Formula (3.70), we see that in this
case, every point of the medium is set into harmonic oscillations of the
same frequency ω as time passes. The velocity potential for those is
ψ~ (r, t ) = A+ (r )e − iωt , at > R + r (3.73)
with complex amplitude
ik r −r ′
1 e ω
A+ (r ) =
4πa 2 ∫
E3
r − r′
p(r ′) dr ′ , k=
a
(3.74)
In particular, a point source with p (r ) = d 0δ (r ) , located at the

origin, causes with time the harmonic oscillations in the form of a
diverging spherical wave
d 0 e i ( kr −ωt )
ψ~ (r, t ) = (at > r ) (3.75)
4πa 2 r
If p (r ) is not compactly supported, but vanishes at infinity at
least as
A94
 1 
p (r ) = O 3+ε  (3.76)
r →∞
r 
then
 1 
ψ~ (r, t ) = A+ (r )e −iωt + O 1+ε 
(3.77)
t →∞
t 
Indeed, for f (r, t ) in the form (3.72), with the use of Formulas
(3.70) and (3.74), we can write
ψ~ (r, t ) = A+ (r )e −iωt + R(r, t )
t →∞
where
ik r − r ′
e − iωt e
R (r, t ) = −
4πa 2 ∫
r −r ′ > at
r − r′
p (r ′) dr ′
According to Formula (3.76), there is a positive number C < ∞

such that
C
p (r ) ≤
r 3+ ε
Then for at > 2r , in view of the relations
{r ′ : r − r ′ > at} ⊂ {r ′ : r ′ > at − r}
π
sin θ dθ 2
∫
0
r + r ′ − 2rr ′ cosθ
2 2
=
r′
, r′ > r
we obtain:
1 1
R(r, t ) ≤
4πa 2 ∫
r −r ′ > at
r − r′
p(r ′) dr ′ ≤
1 1 C 1
≤
4πa 2 ∫
r ′ > at − r
r − r′
p(r ′) dr ′ ≤
4πa 2 ∫
r ′> at − r
r − r ′ r ′ ( 3+ε )
dr ′ =
∞
C dr ′ C  1 
=
a2 ∫ r′
at − r
( 2 +ε )
=
a (1 + ε )(at − r )
2
= O
1+ε t →∞  1+ε 
t 
Moreover, the condition (3.76) assures that
A95
d 0 (n) e ikr 1 r
A+ (r ) = + o , n=
r → ∞ 4πa 2
r r r
(3.78)
d 0 (n) =
∫
E3
e −ik ( n⋅r′) p (r ′) dr ′, (n ⋅ r ′) = n x x ′ + n y y ′ + n z z ′
To prove this, consider some positive number r0 << r and write

the integral in Formula (3.74) as a sum of two integrals: J 1 over the
ball of radius r0 r and J 2 over the rest of the space E3 . In its turn,
J 2 = J 21 + J 22 , where the integral J 21 is taken over the spherical
layer r0 r < r ′ < r , and the integral J 22 is taken over the region
r ′ > r . For J 21 , we have:
1 1
J 21 ≤
∫ r − r′
r0 r < r ′< r
p(r ′) dr ′ ≤ C
∫
r0 r < r ′< r
r − r ′ r ′ ( 3+ε )
dr ′ =
r  
4πC dr ′ 4πC  1 1  1 
=
r ∫
r0 r
r′ (1+ε )
= 
rε  (r0 r ) ε /2
− ε  = O ε
r  r →∞  1+ 2
r


Similarly,
1  1 
J 22 ≤
∫ r − r′
r ′> r
p (r ′) dr ′ = O 1+ε 
r →∞
r 
So,
1
J 2 = o  (3.79)
r →∞
r
Next, for r >> r ′ we have:
 r′ 
r − r ′ = r 2 + r ′ 2 − 2(r ⋅ r ′) = r − (n ⋅ r ′) + O 
r
ik r −r ′
e e ikr −ik ( n⋅r′)   r′ 
= e 1 + O   (3.80)
r − r′ r   r 
The substitution of the estimate (3.80) into J 1 yields:
A96
  r0  
e ikr 
∫ p (r )dr + o 
−ik ( n⋅r ′ )
J1 = e ′ ′
r →∞ r   r  
 r ′< r r  
 0
Taking into account that
4πC
∫ e −ik ( n⋅r′) p (r ′)dr ′ ≤
r ′ > r0 r
∫ p (r ′) dr ′ ≤
r ′ > r0 r
ε (r0 r ) ε / 2
we can write
e ikr
J1 =
r →∞ r
(d 0 (n) + o(1) )
Together with (3.79), this gives (3.78).
Thus, the steady-state oscillations of the medium’s points caused
by a harmonic source whose power density is given by (3.72), with
amplitude p (r ) satisfying the condition (3.76), take, at large distances
from the origin, the form of the diverging spherical wave due to a
harmonic point source with amplitude d 0 (n)δ (r ) .
Problem 3.5.3. Prove that a harmonic source with spherically

symmetric amplitude p (r ) = p (r ) satisfying the condition (3.76) gives
rise to a diverging spherical wave at large distances from the origin.
Let us return to Formulas (3.73) and (3.74) ((3.77)).
Problem 3.5.4. Assuming p (r ) to be continuously

differentiable and integrable, and using the properties of Newton’s
potential, show that the complex amplitude (3.74) satisfies the
Helmholtz equation
1
− ∆u (r ) − k 2 u (r ) = p(r ) (3.81)
a2
The velocity potential (3.73) for the steady-state oscillations in a

medium might also have been found by considering a so-called
problem without initial conditions, involving the inhomogeneous wave
A97
equation (3.60) with power density of sources in the form (3.72). With
substitution of (3.73) into that equation, we would have gotten Equation
(3.81) for A+ (r ) .
It should be noted that if k 2 > 0 and p (r ) is continuous and
compactly supported, or continuous and satisfying the condition (3.76),
then there is an infinite number of functions that satisfy Equation (3.81)
and the condition
lim u (r ) = 0 (3.82)
r →∞
It is readily to verify that besides A+ (r ) given by Formula

(3.74), Equation (3.81) and the condition (3.82) are satisfied by the
function
− ik r −r ′
1 e
A− (r ) =
4πa 2 ∫
E3
r − r′
p(r ′) dr ′
and also by any convex combination

αA+ (r ) + (1 − α ) A− (r ) , 0 <α <1
In particular, in the liming case of an isotropic point source not
only the diverging spherical wave, but also the converging spherical
wave
d 0 e − i ( kr +ωt )
ψ~ (r, t ) =
4πa 2 r
and also any convex combination of these are solutions to the wave
equation (3.60) subject to the condition (3.82).
But if the source started operating at some instant in the past,
then there is a unique solution to the Helmholtz equation (3.81)
satisfying the condition (3.82), and the function A+ (r ) is the one.
From among the functions satisfying Equation (3.81) and the
condition (3.82), this unique solution can be singled out by means of
the following boundary condition at infinity:
 ∂u (r ) 
lim r  − iku (r )  = 0 (3.83)
r →∞
 ∂r 
This is called the radiation condition.
A98
1. Into what independent parts can the Cauchy problem for the
inhomogeneous wave equation be broken up?
2. Given the power density of sources, how can one determine the
velocity potential for the forced acoustic oscillations caused by
those in a fluid?
3. What sources generate diverging spherical waves?
4. If some sources change in time according to the harmonic law,
what requirements must their density power and also the initial
conditions meet so that the solution of the Cauchy problem for the
inhomogeneous wave equation would asymptotically transform into
a diverging spherical wave as t → ∞ and r → ∞ ?
5. What equation does the amplitude of the velocity potential for some
steady-state oscillations in a fluid satisfy if those are caused by a
harmonic source?
6. From among the functions satisfying the Helmholtz equation with
parameter k 2 > 0 , what condition at infinity makes it possible to
single out that unique one which describes the acoustic waves from
a harmonic source turned on at some instant in the past?
A99
4. SUPPLEMENTARY FACTS FROM THE THEORY
OF FUNCTIONS
4.1. Generalized Functions. The Dirac Delta Function
If within a system there is only one impurity particle executing

the Brownian motion, then it is the probability density p (r, t ) that
plays the role of the concentration n(r, t ) . However, the question
arises how to determine the initial probability density if it is given that
at t = 0 , the particle was at a point r0 .
In dealing with physics problems, the necessity of extending the
concept of density to the case where the distribution of a physical
quantity is generated by point objects arises quite often. Let us try, for
instance, to define the density ρ (r ) caused at an arbitrary point r by a
unit point mass m = 1 situated at a point r0 . For this purpose, consider
a sequence of regions Ω j , with volumes ∆V j , that are inserted into
one another and that gradually shrink to the point r . Let ∆M j be the
total mass confined to Ω j . Then, in our case,
0 if r0 ∉ Ω j
∆M j = 
1 if r0 ∈ Ω j
According to the definition of density, we have:
∆M j
ρ (r ) = lim
∆V j →0 ∆V j
If r ≠ r0 , then, obviously, there is a number j 0 such that all
regions from Ω j0 onward do not include the point r0 ; thus ∆M j = 0
whenever j ≥ j 0 . Accordingly,
ρ (r ≠ r0 ) = 0
If, however, r = r0 , then ∆M j = 1 for every j . Therefore,
A100
∆M j 1
ρ (r = r0 ) = lim = lim = +∞
∆V j →0 ∆V j ∆V j →0 ∆V
j
At the same time, Newton’s potential ϕ due to the above point
mass ‘distribution’ remains bounded at any point r ≠ r0 . Indeed,
partitioning the entire E 3 into small regions around points r j , r0
among those, with volumes ∆V j , we have:
∑ r −r
1 1
ϕ (r ) = −γ
∫ r − r' ρ (r' )dr' = −γ
E3
lim
∆V j → 0
j j
ρ (r j )∆V j =
γ
∑ r −r
1
= −γ lim ∆M j = −
∆V j → 0
j j
r − r0
where γ is the universal gravitational constant.
So, the density ρ (r ) , which is formally associated with a unit
point mass positioned at a point r0 , is zero everywhere except for the
point r0 itself where it is + ∞ . Yet the integral of ρ (r ) taken over
any region containing r0 is equal to 1.
These properties of ρ (r ) are incompatible with the classical
definitions of function and integral. In solving particular physics
problems, however, such quantities as densities associated with point
masses or charges are usually encountered at intermediate stages. The
final result contains either none of those or products of those with some
‘well-behaved’ functions, the products being under the integral sign.
So, there is no urgent need for answering the question what such a
singular function means. It suffices just to specify the meaning of the
integral of the product of a singular function and a ‘well-behaved’ one.
Let us clear up first what is meant by ‘well-behaved’ functions –
these are further referred to as test-functions. Note that the choice of a
particular class of test-functions is determined by the purposes of a
specific problem. Unless stated otherwise, by test-functions we shall
understand compactly supported functions having continuous
derivatives of all orders. Test-functions can be added to one another
and also multiplied by both real and complex numbers, so-generated
A101
functions remaining test-functions. In other words, test-functions
constitute a linear set, or linear space.
Definition 4.1.1. A set L of objects – elements – of any nature

(let the letters f , g , h denote any of those, and the letters λ , µ any
numbers) is called a linear space if these operations are defined on it:
A. Addition of elements which assigns to each pair f , g a
unique element, denoted by f + g , in L , and which satisfies the
axioms 1 – 4:
1. f + g = g + f (commutative law of addition).
2. ( f + g ) + h = f + ( g + h) (associative law of addition).
3. There is a unique zero element, θ , such that f + θ = f .
4. For every element f , there is a unique inverse element, − f ,
such that f + (− f ) = (− f ) + f = θ .
B. Multiplication of elements by numbers which assigns to each
element f and each number λ a unique element, denoted by λf , in
L , and which satisfies the axioms 5 – 8:
5. 0 f = θ .
6. 1 f = f .
7. λ ( µf ) = (λµ ) f (associative law of multiplication).
8. λ ( f + g ) = λf + λg (distributive law of multiplication).
Note that when it comes to a linear space whose elements are

numerical functions, the above operations can be understood as the
usual arithmetic operations for numerical functions.
In what follows, the letter K stands for a linear space the
elements of which are infinitely differentiable, compactly supported
functions.
A102
Definition 4.1.2. A test-function sequence ϕ 1 , ..., ϕ n ,... is said
to tend to 0 in K if all these functions are zero outside some sphere of
rather large radius, whereas inside the sphere they and all their
derivatives tend to 0 uniformly (in the usual sense) as n → ∞ .
Definition 4.1.3. A functional, F , is said to be defined on a set

of functions if a rule is given whereby to each element of the set a
certain number is assigned.
So, F is a function whose domain is itself a set of functions, not

that of numbers.
Definition 4.1.4. Let a functional F be defined on K , that is, a

rule be given whereby to each test-function ϕ ∈ K a certain number
F (ϕ ) is assigned. The functional F is called linear and continuous
if the following conditions are satisfied:
(a) for any test-functions ϕ ,ψ ∈ K and any numbers λ , µ ,
F (λϕ + µψ ) = λF (ϕ ) + µF (ψ ) (linearity of F )
(b) if a sequence of test-functions ϕ 1 , ..., ϕ n ,... ∈ K tends to 0
in K , then
lim F (ϕ n ) = 0 (continuity of F )
n→∞
Let, for instance, a function f (r ) be integrable over any

bounded region in E 3 (such functions are called locally integrable).
Using f , one can assign to any test-function ϕ (r ) a number
F (ϕ ) =
∫ f (r)ϕ (r) dr
E3
(4.1)
A103
The integration in (4.1) is actually carried out over a bounded
region, for ϕ is compactly supported. Functionals like this, with f
locally integrable, are called regular.
There exist functionals of another kind, too. As an example,
consider a functional that assigns to any test-function ϕ (r ) its value at
a fixed point r0 ; that is, Fr0 (ϕ ) = ϕ (r0 ) . It is linear and continuous,
but it cannot be represented in the form (4.1), with f integrable.
Indeed, suppose that there is a locally integrable function f 0 (r ) such
that for any test-function,
ϕ (r0 ) =
∫ f (r)ϕ (r) dr
E3
0 (4.2)
In particular, for the test-function

 − 2 ε 2
2
 ε − r −r0 , r − r0 < ε
ϕ ε (r ) = e
0, r − r0 ≥ ε

we have, in accordance with (4.2):
ε2
−
∫ ∫
2
ε 2 − r −r0
ϕ ε (r0 ) = e −1 = f 0 (r )ϕ ε (r ) dr = e f 0 (r ) dr (4.3)
E3 r −r0 <ε
Equal to e , the left-hand side of (4.3) is independent of ε . In

−1
contrast, in view of the integrability of f 0 , the integral on the right

vanishes as ε decreases, for
ε2
−
∫ ∫ f (r) dr
2
ε 2 − r −r0
e f 0 (r ) dr ≤ 0
r − r0 <ε r − r0 <ε
A104
Definition 4.1.5. A functional that assigns to any test-function
ϕ (r ) its value at a point r0 is symbolically written as
∫
ϕ (r0 ) = δ (r - r0 )ϕ (r ) dr
E3
(4.4)
where the symbol δ (r − r0 ) is called the Dirac δ function, or just the

delta function.
In general, any continuous linear functional defined on K is
formally written in the form (4.1), the symbol f being called a
generalized function, or distribution.
The functionals defined on K can sometimes be extended to

broader classes of functions.
Consider, for instance, the space, C , of functions continuous on
any closed region Ω in E 3 . Obviously, C is linear. If the
convergence of a sequence of continuous functions ψ 1 (r ),...,ψ n (r ),... ,
r ∈ Ω , to 0 in C is defined as the condition
lim max ψ n (r ) = 0
n → ∞ r∈Ω
being satisfied, then the functional assigning to each continuous
function ψ (r ) ∈ C its value ψ (r0 ) at a point r0 ∈ Ω (and associated
with the generalized function δ (r − r0 ) ) is linear and continuous on
C.
In defining generalized functions, rather frequently exploited
instead of K is the space S , which also comprises infinitely
differentiable functions, with that difference, however, that they need
not be compactly supported, but only tend to 0, as r → ∞ , at the rate
2
greater than that of any power of 1 r . The function e −γr , γ > 0 , is
an example.
A105
By definition, a sequence of functions χ 1 (r ),..., χ n (r ),... of S
tends to 0 if for any nonnegative numbers l1 , l 2 , l3 , and p ,
p ∂ l1 +l2 +l3 χ n (r )
lim max r =0
n → ∞ r∈E3 ∂x l1 ∂y l2 ∂z l3
The linearity of S is obvious. As in the case of K , generalized
functions are associated with any functionals that are linear and
continuous on S . It is clear that every function of K belongs to S as
well.
Note that the extension of a class of test-functions to a wider one
results in narrowing the class of linear functionals defined and
remaining continuous on the wider class of continuous functions.
Definition 4.1.6. A sequence of continuous linear functionals

Fn (ϕ ) =
∫ f (r)ϕ (r) dr ,
E3
n which are associated with true or
generalized functions f n (r ) , is said to tend to a functional F (ϕ ) if for

any test-function ϕ (r ) , the limit
F (ϕ ) = lim
n→∞ ∫ f (r)ϕ (r) dr
E3
n (4.5)
exists.
The expression (4.5) is a linear functional defined on a set of

test-functions. It is possible to prove that it is continuous. Writing it in
the form
F (ϕ ) =
∫ f (r)ϕ (r) dr
E3
we take the generalized function f (r ) to be the limit of the sequence of

the functions f n (r ) as n → ∞ .
A106
Theorem 4.1.1. Any singular functional defined on a set of test-
functions, that is, one that is impossible to represent in the form
F (ϕ ) =
∫ f (r)ϕ (r) dr
E3
with f (r ) locally integrable, is the limit of a sequence of regular

functionals Fn (ϕ ) associated with locally integrable functions.
Problem 4.1.1. Prove that δ (r − r0 ) is the limit of these

integrable functions:
 3n 3 a
 , r − r0 ≤
f n (r − r0 ) =  4πa
3
n
0, a
r − r0 >
 n
Problem 4.1.2. Prove that
n3/ 2 2
− r − r0 n
δ (r − r0 ) = lim e
n →∞ π 3/ 2
Problem 4.1.3. For the case of functions of a single variable,

prove that
sin 2 n( x − x0 )
δ ( x − x0 ) = lim
n → ∞ πn( x − x ) 2
0
To some extent, the sequence of integrable true functions that

tends to the delta function is characterized by
Theorem 4.1.2. Let { f n (r )} be a sequence of integrable

functions that satisfies the following conditions:
(a) f n (r ) ≥ 0 ;
(b) for any number ∆ > 0 ,
A107
lim
n→∞ ∫ f (r) dr = 1 ,
r −r0 ≤ ∆
n lim
n→∞ ∫ f (r) dr = 0
r −r0 > ∆
n
Then
lim f n (r ) = δ (r − r0 )
n→∞
Proof. To prove that
lim Fn (ϕ ) = lim
n→∞ n→∞ ∫ f (r)ϕ (r) dr = ϕ (r )
E3
n 0
for any test-function ϕ (r ) , represent Fn (ϕ ) as
Fn (ϕ ) = ϕ (r0 )
∫ f (r) dr + ∫ [ϕ (r) − ϕ (r )] f (r) dr +
r −r0 ≤ ∆
n
r −r0 ≤ ∆
0 n
(4.6)
+
∫ f (r)ϕ (r) dr
n
r −r0 > ∆
By the condition (b), the first addend on the right of (4.6) tends
to ϕ (r0 ) as n → ∞ .
Since every test-function is bounded, we have
max ϕ (r ) < C < ∞ , and for the third addend, the conditions (a) and
r
(b) now yield:
∫ f (r)ϕ (r) dr ≤ C ∫ f (r) dr → 0

r − r0 > ∆
n
r −r0 > ∆
n
n →∞
Finally, due to the continuity of ϕ (r ) , the second addend in (4.6)

becomes as close as we like to 0 as n → ∞ . This follows from the
estimate
∫ [ϕ (r) − ϕ (r )] f (r) dr ≤ ∫ ϕ (r) − ϕ (r ) f (r) dr ≤

r − r0 ≤ ∆
0 n
r −r0 ≤ ∆
0 n
(4.7)
≤ max ϕ (r ) − ϕ (r0 )
r −r0 ≤ ∆ ∫ f (r) dr
r −r0 ≤ ∆
n
A108
where the multiplier max ϕ (r ) − ϕ (r0 ) is arbitrarily close to 0 and
r −r0 ≤ ∆
the integral
∫ f (r) dr arbitrarily close to 1 for ∆ sufficiently small
r −r0 ≤ ∆
n
and n sufficiently large, respectively.
Note that the conditions of the above theorem are not necessary
for a sequence of functions f n (r ) to tend to δ (r − r0 ) as n → ∞ .
For example, it will be shown later that the sequence
1 sin nx
f n ( x) = of functions of a single variable tends to δ (x) as
π x
well.
We complete our discussion of properties of the delta function by
considering the generalized functions corresponding to the composite
function δ (h( x) ) . This theorem is valid:
Theorem 4.1.3. Let a function h(x) be continuously

differentiable on the entire axis and meet the following conditions:
(a) if the set {x1 , x 2 ,..., x n ,...} of all roots of the equation
h( x) = 0 is infinite, then there is a number δ > 0 such that for any
two roots xi and x j , the inequality xi − x j > δ holds true;
(b) h' ( x j ) ≠ 0 at every point x j .
Then
δ (x − x j )
δ (h( x) ) = ∑
j
h' ( x j )
(4.8)
Proof. Observing that the sequence of the functions

n 2
f n ( x) = e − nx tends to δ (x) as n → ∞ , consider the sequence of
π
the functionals
A109
∞
n
∫
2
Fn (ϕ ) = e − nh ( x)
ϕ ( x) dx (4.9)
π
−∞
Suppose first that the equation h( x) = 0 has a single root x0 .
Since the function h(x) has a continuous derivative and h' ( x0 ) ≠ 0 ,
there is a number ∆ > 0 such that h' ( x) ≠ 0 on the closed interval
[x0 − ∆, x0 + ∆] , either. Split the integral (4.9) into three ones over the
intervals (− ∞, x0 − ∆ ) , [x0 − ∆, x 0 + ∆ ] , and (x 0 + ∆,+∞ ) . Since the
function ϕ (x) is compactly supported, all the integrals exist.
Moreover, there exists a number ε > 0 such that h( x ) > ε
everywhere in (− ∞, x0 − ∆ ) and (x 0 + ∆,+∞ ) where ϕ ( x) ≠ 0 , for
otherwise h(x) would be equal to 0 not only at x0 , but also
somewhere else in (− ∞, x0 − ∆ ) , or in (x0 + ∆,+∞ ) , or in both,
contrary to our assumption. Therefore,
x0 − ∆ x0 − ∆ ∞
n
∫ f ( x)ϕ ( x) dx ≤ ∫ f ( x) ϕ ( x) dx ≤ ∫ ϕ ( x) dx → 0
− nε 2
e
π
n n
n →∞
−∞ −∞ −∞
Similarly, we make sure that

∞
lim
n →∞ ∫ f ( x)ϕ ( x) dx = 0
x0 + ∆
n
In the integral over [x0 − ∆, x 0 + ∆ ] , make a change of variable

by letting s = h(x) . Since ds = h' ( x)dx , this integral is rewritten as
x0 + ∆ h ( x0 + ∆)
n ds
∫ f ( x)ϕ ( x) dx = ∫ e − ns ϕ ( x( s ) )
2
(4.10)
π h' ( x( s ) )
n
x0 − ∆ h ( x0 − ∆)
where x = x(s ) is the inverse function of s = h(x) . Note that

x(0) = x 0 .
A110
If h' ( x0 ) > 0 , then, taking into account that h( x0 ) = 0 , we
have: h( x0 + ∆ ) ≡ b > 0 , h( x0 − ∆) ≡ a < 0 . Making the change of
variable w = n s in the integral (4.10), we obtain:
x0 + ∆ b n
∫ e ϕ (x(w / n ) h' (x(w / n ))

1 dw
∫ f ( x)ϕ ( x) dx =
− w2
n
x0 − ∆
π a n
From this, in view of the continuity of ϕ and h' , we have:

x0 + ∆ b n
lim
n→∞ ∫ f n ( x)ϕ ( x) dx = lim
n →∞
1
π ∫
2
(
e − w ϕ x( w / n ) h' (x(wdw/ n )) =
x0 − ∆ a n
b n
ϕ ( x0 ) 1 ϕ ( x0 )
∫
2
= lim e − w dw = ( 4.11)
h' ( x 0 ) n →∞
π a n
h' ( x0 )
If, however, h' ( x0 ) < 0 , then h( x 0 + ∆ ) ≡ b < 0 ,
h( x0 − ∆ ) ≡ a > 0 , and the last integral in Formula (4.11) tends to the
−∞
1
∫
2
integral e − w dw = −1 . In this case,
π ∞
ϕ ( x0 )
lim Fn (ϕ ) = −
n→∞ h' ( x0 )
Both cases are united by a single formula:
ϕ ( x0 )
lim Fn (ϕ ) = (4.12)
n→∞ h' ( x 0 )
Suppose now that there are several roots x j of h(x) in the
interval over which the integral (4.9) is actually taken. Then the
contribution made by a small neighborhood of each x j to the limiting
value lim Fn (ϕ ) is ϕ ( x j ) h' ( x j ) , whereas those by the other
n →∞
intervals are 0.
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Thus, in general,
ϕ (x j )
lim Fn (ϕ ) =
n→∞ ∑ h' ( x )
j j
that is,
δ (x − x j )
δ (h( x) ) = ∑
j
h' ( x j )
Problem 4.1.4. Show that

1
(a) δ (ax) = δ ( x) ;
a
( )
(b) δ x 2 − a 2 =
1
2a
1
δ ( x − a) + δ ( x + a) ,
2a
a > 0;
∞
πn
∑ k δ  x − k  .
1
(c) δ (sin kx ) =
n = −∞
The expressions for the composite functions δ (h(r ) ) of many

variables will be derived as the need arises.
Problem 4.1.5. Show that the Green’s functions G (r, r0 ; t ) ,

t > 0 , are the solutions to the Cauchy problems for the homogeneous
heat and diffusion equations in the cases where the initial distributions
of temperature and concentrations are equal to δ (r − r0 ) .
A112
4.2. Differentiation of Generalized Functions.
Generalized Solutions of Linear
Differential Equations
It is known that true functions are not always possible to

differentiate: there exist continuous functions that have no derivative at
every point in their domains. One example is functions describing the
coordinates of a Brownian particle. In contrast, generalized functions
have derivatives of all orders, which, in turn, are generalized functions,
too.
If a continuous function f (r ) is locally integrable and has
continuous locally integrable first derivatives, then it is possible, for
instance, to construct the continuous functional
∂f (r )
∫
E3
∂x
ϕ (r ) dr ≡ Fx (ϕ )
Considering this integral as an iterated one and evaluating it by

parts, we obtain:
∂ϕ (r )  ∂ϕ 
∫
Fx (ϕ ) = − f (r )
E3
∂x
dr = F  − 
 ∂x 
This expression can be used as the basis for the definition of the
derivative of a generalized function. Namely, if a generalized function
f (r ) is associated with a functional F (ϕ ) , then the x -partial
derivative of f (r ) is defined as the generalized function associated
with the functional F (− ∂ϕ ∂x ) . The symbol ∂f (r ) ∂x is retained to
denote this derivative. In particular, the derivative ∂δ (r − r0 ) ∂x is
the generalized function associated with the functional assigning to
each test-function ϕ (r ) the number (− ∂ϕ ∂x )(r0 ) .
The partial derivatives ∂f (r ) ∂y and ∂f (r ) ∂z are defined in
an analogous way.
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Problem 4.2.1. Prove this: let generalized functions f n (r ) be
continuous and have continuous, locally integrable first partial
derivatives. If the sequence { f n (r )} converges to a generalized
function f (r ) , then each of the sequences of the first derivatives of
f n (r ) converges to the corresponding partial derivative of f (r ) .
It follows from the previous that the result of differentiation of a

generalized function f is, once again, a generalized function. By
keeping differentiating f further, it is possible to define other partial
derivatives: ∂ 2 f ∂x 2 , ∂ 2 f ∂x∂y , …, ∂ 3 f ∂x 3 , ∂ 3 f ∂x 2 ∂y , … .
For instance, the derivative ∂ 2 f ∂x∂y is defined as the generalized
function associated with the functional
∂ 2ϕ (r )  ∂ 2ϕ 
Fxy (ϕ ) =
∫
E3
f (r )
∂x∂y
dr = F  
 ∂x∂y 
So, in some sense all generalized functions are infinitely
differentiable.
Mixed derivatives of generalized functions retain the property of
being independent of order of integration, characteristic of continuously
differentiable true functions. In particular,
∂ 2 f (r ) ∂ 2ϕ (r )
Fxy (ϕ ) =
∫
E3
∂x∂y
ϕ (r ) dr =
∫
E3
f (r )
∂x∂y
dr =
∂ 2ϕ (r )  ∂ 2ϕ 
=
∫
E3
f (r )
∂y∂x
dr =F   = Fyx (ϕ )
 ∂y∂x 
Consider a few examples, starting with functions of a single

variable.
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Problem 4.2.2. The Heaviside function is defined by
0 if x < 0
θ ( x) = 
1 if x > 0
Considering it as a generalized function of a single variable,
make sure that
θ' ( x) = δ ( x)
Problem 4.2.3. Find the generalized first derivative of the

signum function
− 1 if x < 0
sgn( x) = 
+ 1 if x > 0
Answer:
sgn' ( x) = 2δ ( x)
According to Formula (1.50), any test-function ϕ (r ) can be

represented at an arbitrary point r0 as
1 1
ϕ (r0 ) = −
4π ∫
E3
r − r0
∆ϕ (r ) dr (4.13)
It follows from Formula (4.13) and the definition of generalized

partial derivatives that the generalized second partial derivatives of the
function
1 1
G0 (r, r0 ) =
4π r − r0
are related by
− ∆G0 (r, r0 ) = δ (r − r0 ) (4.14)
Consider the following linear differential equation, with constant
or infinitely differentiable coefficients aijk , of order n in a function u :
∂ i + j + k u (r )
∑
0≤i + j + k ≤ n
aijk (r )
∂x i ∂y j ∂z k
= f (r ) (4.15)
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where f (r ) is a generalized function. With the use of the differential
operator
 ∂ ∂ ∂ ∂ i+ j +k
L r; , ,  ≡ ∑
 ∂x ∂y ∂z  0≤i + j + k ≤ n
aijk (r ) i j k
∂x ∂y ∂z
we rewrite it in the form
 ∂ ∂ ∂
L r; , , u (r ) = f (r )
 ∂x ∂y ∂z 
It is not difficult to verify by integration that for test-functions
ϕ (r ) and ψ (r ) , there holds the equality
*
 ∂ ∂ ∂  ∂ ∂ ∂
∫
E3
 ∂x ∂y ∂z  E3
∫
ψ (r )L r; , , ϕ (r )dr = ϕ (r )L r; , ,  ψ (r )dr
 ∂x ∂y ∂z 
where, by definition,
*
 ∂ ∂ ∂ ∂ i+ j+k
L r; , ,  ≡
 ∂x ∂y ∂z 
∑
0≤i + j + k ≤ n
(−1) i+ j+k
∂x i ∂y j ∂z k
aijk (r )
is the adjoint operator.

A generalized solution of Equation (4.15) with generalized right
member f (r ) is defined as any generalized function u (r ) satisfying
this equation in the generalized sense; that is, a generalized function
u (r ) such that for any test-function ϕ (r ) , there holds the equality
*
 ∂ ∂ ∂
∫
E3
u (r )L r; , ,  ϕ (r )dr = f (r )ϕ (r )dr
 ∂x ∂y ∂z  E3
∫ (4.16)
It follows from this definition, and also from Formulas (4.13),

(4.14) that the function G0 (r, r0 ) is a generalized solution to Poisson’s
equation (4.14). Similarly, the Green’s function for the Helmholtz
equation,
i z r −r
1 e 0
G z (r, r0 ) = (4.17)
4π r − r0
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is a generalized solution to the inhomogeneous equation*)
− ∆u (r ) − zu (r ) = δ (r − r0 ) (4.18)
Problem 4.2.4. For z different from a nonnegative number,

find a generalized solution to the equation
− u'' ( x) − zu ( x) = δ ( x − x0 ) (4.19)
on the class of functions integrable on the entire real axis.
Hint. Verify that the above conditions are satisfied by the
function
∞ ∞
i
∫ ∫
i z x − x0
g z ( x, x 0 ) = dy dz G z (r, r0 ) = e (4.20)
−∞ −∞
2 z
The concept of a generalized solution of a linear differential

equation makes it possible to generalize the formulation of typical
problems of mathematical physics. For instance, the following problem
is called the generalized Cauchy problem for the homogeneous heat
equation: find a generalized function u (r, t ) that is zero for t < 0 and
that is a generalized solution of the equation
∂u (r, t )
− a 2 ∆u (r, t ) = δ (t )u 0 (r ) (4.21)
∂t
where u 0 (r ) is a generalized function; that is, a function u (r, t ) such
that for any test-function ϕ (r, t ) of the variables r and t , there holds
the equality
∞
 ∂ϕ (r, t ) 
∫ ∫
0
dt dr 
E
 ∂t
3
 E
∫
+ a 2 ∆ϕ (r, t )u (r, t ) = − drϕ (r,0)u 0 (r ) (4.22)
3
It can be proved that on the class of functions bounded within

every layer 0 ≤ t ≤ T < ∞ , a unique solution to the generalized Cauchy
problem (4.21) exists if u 0 (r ) is bounded. It is clear that whenever a
bounded solution of the problem (4.21) proves to be a function twice
continuously differentiable with respect to the spatial coordinates and
*)
See also Problem 1.7.1.
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continuously differentiable with respect to the time variable, it satisfies
the homogenous heat equation in the usual sense.
The fundamental solution of the heat equation is defined as the
solution G (r, t ) of the generalized Cauchy problem (4.21) for the case
where u 0 (r ) is equal to δ (r ) . Note that with this right side, Equation
(4.21) retains its form upon any change of the directions of the x -, y -,
and z -axes of the coordinate system. This implies that G (r, t )
depends on the absolute value of r only. Moreover, in view of (4.16)
and the formula
1
δ (λx) = δ ( x) , λ >0
λ
(see Problem 4.1.4), it follows from Equation (4.21) in this case that
under the scaling transformation
r' = λr, t' = λ2 t
this equality holds:
G (λr, λ2 t ) = λ−3G (r, t )
For this reason, it makes sense to seek the fundamental solution
for t > 0 in the form
1 r
G (r, t ) = 3/ 2
g (ξ ) , ξ = , r= x 2 + y 2 + z 2 (4.23)
t a t
Further, assuming the function g (ξ ) to be twice differentiable
on the interval 0 < ξ < ∞ , we find from Equation (4.21) that for t > 0
it obeys the ordinary differential equation
1 d 3 d 2 dg (ξ )
− ξ g (ξ ) = ξ (4.24)
2 dξ dξ dξ
Problem 4.2.5. Derive Equation (4.24) and show that its general
solution is of the form
ξ2  1 1 −ξ 2 ξ s 2 
∫
−
g (ξ ) = C1e 4
+ C 0  − e 4 e 4 ds  (4.25)
ξ 2 
 0 
where C 0 and C1 are arbitrary constants.
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Problem 4.2.6. Make sure that the function g (r ) is integrable
in E 3 only if C 0 = 0 .
Solution. Since the first addend on the right of Formula (4.25) is
an integrable function, it is enough to show that the function
r2 r s2
1 1 −
g (r ) = − + e 4
r 2 ∫e
0
4
ds
is nonintegrable. Using the equality

r s2 r s2 r2
1
2 ∫
e 4 ds = de 4 = e 4 − 1
0
∫
0
rewrite g (r ) as
r2 r s2 r2
1 −  s 1 −
g (r ) = e 4
2 ∫ 0
e 1 − ds − e 4
4
 r r
Next, make use of the inequality
0 ≤ x(1 + x) ≤ 2 , 0 ≤ x ≤ 1
according to which
 s  1 s  s  s  1  s  s  
3
1 −  ≥ 1 + 1 −  =  −   
 r  2 r  r  r  2  r  r  
r2 r
 s  s 3 
s2 2
r
1 − 1 −4
g (r ) ≥ e 4
4 ∫
0
e  −    ds − e =
4
 r  r   r
 1 −r 
2 2 2
r r
2 2 −4 3 −4 2
= 3− 3e − e = + O e 4 
r r 2r r →∞ r 3 r 
 
Since for r > R ,
1
r3
dr = +∞
∫
r>R
g (r ) is nonintegrable indeed.
A119
So, the fundamental solution of the heat equation is of the form
 r

r2
C1 − 4 a 2t 
C a t 1 4 a 2t
r 2 a t s2

∫
−
G (r, t ) = e + 3 /02  − e e 4 ds  (4.26)
t 3/ 2 t  r 2 
0
 
It only remains for us to determine the values of C 0 and C1 .
For the fundamental solution G (r, t ) , Equality (4.22) takes the
form
∞
 ∂ϕ (r, t ) 
∫ ∫
0
dt dr 
E 3
 ∂t
+ a 2 ∆ϕ (r, t )G (r, t ) = −ϕ (0,0)

(4.27)
To make this equality valid for any test-function ϕ (r, t ) of the

variables r and t , the function G (r, t ) has to be at least integrable
within every layer 0 ≤ t ≤ T < ∞ . In view of the result of Problem
4.2.6, this implies C 0 = 0 . If we require now that G (r, t ) satisfy the
condition (1.27), we find that
1
C1 =
(4πa 2 ) 3 / 2
and the equality (4.27) does hold then, in accordance with Lemma
1.3.1.
Thus
r2
1 − 2
G (r, t ) = e 4a t
(4πa t )
2 3/ 2
Review Question to Sections 4.1 and 4.2
1. Let the operation of addition of elements and the operation of

multiplication of elements by complex numbers be defined on a set.
What axioms must these operations satisfy so that the set could be
considered a linear space?
A120
2. Do test-functions constitute a linear space?
3. What is the definition of continuos linear functionals defined on a
set of test-functions?
4. If continuous linear functionals are defined on a set of test-
functions, do they make up a linear space?
5. What is the difference between regular and singular functionals?
6. If a functional assigns to each test-function that function’s value at
some point, is it continuos and regular?
7. Can an arbitrary generalized function be approximated by locally
integrable true functions? What is meant when a sequence of
regular functionals is said to converge to a singular functional?
8. How are the delta functions of two and three variables formally
expressed in terms of the delta function of a single variable?
9. How, under certain conditions, can one evaluate a functional
associated with a composite generalized function, with the delta
function as the external function?
10. How are the partial derivatives of a generalized function defined?
11. What are the generalized derivative of the delta function of a single
variable and that of the Heaviside function?
12. For linear differential operators, how are the adjoint operators
defined?
13. What is defined to be a generalized solution of a linear differential
equation? In particular, what are the generalized solutions of
Poisson’s and the Helmholtz equations?
14. What is defined to be a solution of the generalized Cauchy problem
for the heat equation?
A121
4.3. The Fourier Method
The Fourier method, or the method of separation of variables,

is one of the most universal techniques for studying and solving linear
equations of mathematical physics. By using it, problems involving
partial differential equations can be reduced to ordinary differential
equations.
According to the Fourier method, the solution is looked for in the
form of a product of two functions, one of which depends upon the time
variable and the other does upon the spatial coordinates. In the case of
the heat equation, such functions represent those regimes of heating or
cooling under which the ratio of the temperature values at two
arbitrarily chosen points in the medium remains constant. In the case of
the diffusion equation, they represent those changes in the
concentration of impurity particles under which independent of time is
the ratio of the concentration values, also taken at any two points in the
medium.
So, for the homogeneous heat (or diffusion) equation
∂u
= a 2 ∆u (4.28)
∂t
the appropriate class of functions comprises bounded or integrable
functions that satisfy Equation (4.28) and are of the form
u (r, t ) = S (t )Φ(r ) (4.29)
Substituting (4.29) into Equation (4.28) and dividing both sides
of the so-obtained equality by (4.29), we obtain:
 dS (t ) 
  2
 dt  = a ∆Φ(r ) (4.30)
S (t ) Φ(r )
The left side of (4.30), which is dependent of the time variable t ,
and the right one, dependent of the spatial coordinates r , are equal to
each other for arbitrary values of t and r only if they are both equal to
the same constant. If we denote that by − λ , then Equation (4.30)
reduces to the two equations
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S' (t ) = −λS (t ) (4.31)
a 2 ∆Φ(r ) + λΦ(r ) = 0 (4.32)
The general solution of (4.31) is
S (t ) = Ce −λt (4.33)
which yields
u (r, t ) = e −λt Φ(r ) (4.34)
where the function Φ(r ) obeys Equation (4.32).
Functions of the form (4.34) are real and uniformly bounded in t
and, therefore, physically meaningful only if λ > 0 .
Denoting k 2 ≡ λ a 2 , rewrite Equation (4.32) as
∆Φ(r ) + k 2 Φ(r ) = 0 (4.35)
2
Equation (4.35), with positive parameter k , is the most
commonly encountered version of the Helmholtz equation.
Consider the set of functions that depend upon the variables x ,
y , and z only via the combination n x x + n y y + n z z , where
n x2 + n y2 + n z2 = 1 . They are of the form
Φ ( x, y , z ) = ϕ ( n x x + n y y + n z z )
Each function of this type assumes the same value at all points in
an arbitrary plane whose normal is parallel to the vector
n = (n x , n y , n z ) .
Problem 4.3.1. Make sure that among the functions Φ( x, y, z ) ,

only those satisfy the Helmholtz equation (4.35) which are of the form
Φ( x, y, z ) = A sin k (nr ) + B cos k (nr ) , (nr ) = n x x + n y y + n z z
or, equivalently, of the form
Φ( x, y, z ) = C + e i ( kr ) + C − e − i (kr )
where k = (kn x , kn y , kn z ) .
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The parentheses (...) denoting the dot product of two vectors are
further omitted.
Partial solutions to the Helmholtz equation that are of the form
± ikr
e , kk = k 2 , are called plane waves. Formally, solutions to
Equation (4.35) in the form of plane waves exist even when the
parameter k 2 is negative or even complex. In these cases, however,
the components of the vector k = (k x , k y , k z ) in the exponents of the
exponential function are either imaginary or complex quantities; as a
result, the functions e ± ikr become unbounded in the entire E 3 .
Problem 4.3.2. Make sure that the functions e ± iknr , where n is

a unit vector and k is a complex number, are bounded in the entire E 3
only if k 2 ≥ 0 .
Problem 4.3.3. Find the general solution to the Helmholtz

equation on the class of twice differentiable, spherically symmetric
functions.
Solution. The desired general solution is of the form
sin kr
Φ( r ) = A (4.36)
r
To obtain it, change to spherical coordinates and take into
account that for spherically symmetric functions,
2
∆Φ(r ) = Φ'' (r ) + Φ' (r )
r
Then Equation (4.35) takes the form
2
Φ'' (r ) + Φ' (r ) + k 2 Φ(r ) = 0 (4.37)
r
By making the substitution
χ (r )
Φ( r ) = (4.38)
r
we obtain, for the function χ (r ) , the equation
χ'' (r ) + k 2 χ (r ) = 0
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whose general solution is
χ (r ) = A sin kr + B cos kr(4.39)
In order for Φ(r ) to be differentiable at the point r = 0 , it is
necessary that B = 0 .
Note 4.3.1. If a bounded, twice differentiable function Φ(r )

satisfies the Helmholtz equation (4.35), then the solution of Equation
(4.28) subject to the initial condition u (r,0) = Φ(r ) has the form
2 2
u (r, t ) = e − a k t Φ(r ) . This statement follows immediately from the
uniqueness of the solution to the Cauchy problem for Equation (4.28).
Problem 4.3.4. Show that the solution of Equation (4.28)

subject to the initial condition
N
u (r,0) = ∑a el =1
l
ik l r
(4.40)
where k 1 ,..., k N are any vectors with real components, and a1 ,..., a N
arbitrary numbers, is of the form
N
∑ 2
2 2
a l e ik l r − a k l t ,
2
u (r, t ) = kl = k l k l = k l (4.41)
l =1
Hint. Use the superposition principle: any linear combination
N
u (r, t ) = ∑ a u (r, t )
l =1
l l of partial solutions of a homogeneous linear
equation that satisfy conditions u l (r,0) = u l0 (r ) , with u l0 (r ) standing

for given functions of an appropriate class, is the solution of that
equation subject to the initial condition
N
u (r,0) = ∑ a u (r)
l =1
l
0
l (4.42)
The further use of the superposition principle leads to the

following generalization of the result of Problem 4.3.4:
A125
Theorem 4.3.2. Suppose a function u 0 (r ) can be represented as
the integral
∧
u 0 (r ) =
∫
E3
e ikr u 0 (k ) dk (4.43)
∧
where u 0 (k ) is an integrable function. Then for t > 0 , the solution of
the Cauchy problem for Equation (4.28) subject to the initial condition
u (r,0) = u 0 (r ) is
∧
∫
2 2
u (r, t ) = e ikr − a k t u 0 (k ) dk (4.44)
E3
The proof of this theorem is given in Section 4.7.

A question arises how wide is the class of functions that allow
for the representation (4.43). We start looking into this matter with the
case of functions of a single variable.
Review Question to Section 4.3
15. Partial solutions of what form are used when the method of
separation of variables is applied?
16. What is the physical meaning of the partial solutions to the heat
equation in the form of a product of two functions, one dependent
of the time variable alone and the other only of the coordinates?
What is the form of the function describing the time dependence?
What equation does the coordinate-dependent factor obey?
17. What partial solutions of the Helmholtz equation are called plane
waves? Why?
18. What is the solution to the Cauchy problem for the heat equation if
the initial temperature is a superposition of plane waves?
A126
4.4. The Fourier Integral Transform
By definition, the Fourier transform of an arbitrary integrable

∧
function f (x) , − ∞ < x < +∞ , is the function f (k ) defined on the
entire axis − ∞ < k < +∞ and given by the integral
∞
∧ 1
2π ∫
−ikx
f (k ) = e f ( x) dx (4.45)
−∞
It follows from this definition that the Fourier transform of any
integrable function is a function uniformly bounded on the entire axis.
Indeed, for k ∈ (−∞, ∞) , the following estimate is valid:
∞ ∞
∧ 1 1 1
∫e 2π ∫
−ikx
f (k ) = f ( x) dx ≤ f ( x) dx = f
2π −∞ −∞
2π 1
(4.46)
where the symbol f 1
stands for the functional
∞
f 1
=
∫ f ( x) dx
−∞
(4.47)
Furthermore, the Fourier transform of any integrable function is a

function continuous on the entire axis. To prove this, take an arbitrary
number k 0 , − ∞ < k 0 < ∞ , give it a small increment k' , and consider
the difference f (k 0 + k' ) − f (k 0 ) . We have:
∞
∫ (e )
∧ ∧ 1
f (k 0 + k' ) − f (k 0 ) = − ik'x
− 1 e −ik0 x f ( x) dx ≤
2π −∞
(4.48)
∞ ∞
1 2 k'x
2π ∫ 2π ∫
− ik'x
≤ e − 1 f ( x) dx = sin f ( x) dx
2
−∞ −∞
For every value of x , we have:
A127
k'x k'x
sin ≤ 1, lim sin =0
2 k' →0 2
Then, in order to prove that
lim f (k 0 + k' ) − f (k 0 ) = 0 (4.49)
k' →0
it suffices to recall this well-known fact from the theory of integration:
Lebesgue’s Theorem. Suppose that for a sequence of integrable

functions g n (x) , there is an integrable function g 0 ( x) ≥ 0 such that
for every n , the inequality
g n ( x) ≤ g 0 ( x)
holds true (almost) everywhere on the x -axis. Also, let, for (almost)
every x ,
lim g n ( x) = 0
n→∞
Then
∞
lim
n→∞ ∫ g ( x) dx = 0
−∞
n
The operation that assigns to each integrable function its Fourier

transform is linear: if f1 ( x) and f 2 ( x) are arbitrary integrable
functions, whereas α and β are arbitrary real or complex numbers,
then the Fourier transform of the linear combination
g ( x) = αf1 ( x) + βf 2 ( x) is given by
∧ ∧ ∧
g (k ) = α f1 (k ) + β f 2 (k ) (4.50)
The relation (4.50) follows immediately from the definition of
the Fourier transform and the properties of definite integral.
The characteristic function of an interval ( a, b) ,
− ∞ < a, b < ∞ , is defined by
1, a < x b

A128
The step function is defined as a linear combination of a finite
number of the characteristic functions of finite intervals; it can be
represented as a finite sum of the form
N
∑c χs =1
s ( a s , bs ) ( x)
where min a s > −∞ , max bs < +∞ , and c s are arbitrary real or

s s
complex numbers.
Problem 4.4.1. Find the Fourier transform of χ ( a , b ) ( x) .

Answer:
∧ 1 e − ika − e − ikb
χ ( a ,b ) ( k ) = (4.51)
2π ik
Problem 4.4.2. Prove that the Fourier transform of any step

function ϕ (x) possesses this property:
∧
lim ϕ (k ) = 0 (4.52)
k → ±∞
Since for any integrable f (x) , there exists a sequence of step

functions ϕ n (x) such that
 ∞ 
n→∞
 −∞


∫
lim f − ϕ n 1  = f − ϕ n dx  = 0

the result of Problem 4.4.2 leads to
The Riemann-Lebesgue theorem. For any integrable f (x) ,

∧
lim f (k ) = 0
k → ±∞
According to the Riemann-Lebesgue theorem, the Fourier

transform of any summable function f (x) vanishes as the parameter
k tends to ± ∞ . But there exist no universal estimates regarding the
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rate of decrease of the Fourier transform of an integrable function. If,
however, f (x) satisfies some additional conditions, such estimates can
be given.
Suppose that f (x) can be written as
x
∫
f ( x) = f (0) + h( s ) ds
0
(4.53)
where h(x) is a function integrable over any finite interval. A function

f (x) that admits of this representation is called absolutely
continuous.
An absolutely continuous function is continuous in the usual
sense. Moreover, it is differentiable at almost every point of the real
axis; and almost everywhere, as it follows from the representation
(4.53), f' ( x) = h( x) . We can say that that and only that function is
absolutely continuous which has a locally integrable first derivative
almost everywhere, and which can be recovered (up to a constant
addend) by its derivative.
Theorem 4.4.1. Let an integrable function f (x) be absolutely

continuous and have the first derivative f' (x) that is integrable over
∧
the entire axis. Then the Fourier transform f ′(k ) of f' (x) and the
∧
Fourier transform f (k ) of f (x) are related by
∧ ∞
df 1 ∧
dx
(k ) =
2π ∫
−∞
e −ikx f' ( x) dx = ik f (k ) (4.54)
Proof. The function f (x) can be represented at each point x of

the real axis as
x
f ( x ) = f ( 0) +
∫ f' (s) ds
0
Since the derivative f ′(x) is an integrable function, there are

the finite limits
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+∞
lim f ( x) = f (0) +
x → +∞ ∫ f ′(s)ds ≡ α
0
(4.55)
0
lim f ( x) = f (0) −
x → −∞ ∫ f ′(s)ds ≡ β
−∞
Of (4.55), the former formula means that for any small number
δ > 0 , there exists a corresponding finite number x0 such that the
inequality f (x) − α < δ holds for all x > x0 . The meaning of the
latter is analogous.
Let us show now that both limits (4.55) are zero. Indeed, the
integrability of f (x) means that
+∞
∫ f ( x) dx < ∞
−∞
whence it follows that
+∞ x0 N
∫ f ( x) dx = ∫ f ( x) dx + lim ∫ f ( x) dx < ∞
0 0
N →∞
x0
N
lim
N →∞ ∫ f ( x) dx < ∞
x0
Taking δ < α 2 , for the proper x0 we have:

α
f ( x) = α + ( f ( x) − α ) ≥ α − f ( x) − α ≥
2
So, as N → ∞ and for the above x0 , we obtain:
N
α
∫
x0
f ( x) dx ≥
2
(N − x )
0
Due to the integrability of f (x) , this integral remains bounded above

as N → ∞ , which is possible only if α = 0 . Similarly, β = 0 .
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Taking this into account and integrating by parts, we obtain:
∞ +∞
1 1
∫e
− ikx −ikx
f' ( x) dx = e f ( x) +
2π −∞
2π −∞
∞
ik ∧
+
2π ∫
−∞
e −ikx f ( x) dx = ik f (k )
Corollary 4.4.2. If a function f (x) is integrable and absolutely

continuous, and has an integrable first derivative f' (x) , then
∧ 1
f (k ) = o  (4.56)
k
k → ±∞
∧ ∧
Indeed, we see from Formula (4.54) that f (k ) = f ′(k ) ik .
Applying the Riemann-Lebesgue theorem to the Fourier transform of
f' (x) , we arrive at the estimate (4.56).
Theorem 4.4.1 and Corollary 4.4.2 can be generalized as follows:
Theorem 4.4.3. If an integrable function f (x) is absolutely

continuous, has absolutely continuous and integrable first ( n − 1 )
derivatives, and has an integrable n th derivative, then the Fourier
∧
(n)
transform f (k ) of the n th derivative f ( n ) ( x) and the Fourier
∧
transform f (k ) of f (x) are related by
∧ ∧
f ( n ) (k ) = (ik ) n f (k ) (4.57)
Corollary 4.4.4. If a function f (x) satisfies the conditions of

Theorem 4.4.3, then
∧  1 
f ( k ) = o n  (4.58)
k → ±∞  
k 
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Problem 4.4.3. Prove Theorem 4.4.3 and Corollary 4.4.4.
Hint. Take advantage of the method of mathematical induction.
Problem 4.4.4. Prove this statement: let a function f (x) and

the function x n f (x) , n ≥ 1 , be both integrable. Then the Fourier
∧
transform f (k ) has n continuous derivatives and
∞
dn ∧ 1
2π ∫
−ikx
f (k ) = e (−ix) n f ( x) dx (4.59)
dk n
−∞
In other words, the Fourier transform of x n f (x) is equal to

(n)
∧ 
i n  f (k )  .
 
It follows from Corollary 4.4.4 that the greater the number of
integrable derivatives that f (x) has, the greater the rate at which its
Fourier transform decreases in modulus as k → ±∞ . On the other
hand, it is seen from the result of Problem 4.4.4 that the greater the rate
at which f (x) decreases, the smoother its Fourier transform is.
Of fundamental importance is the fact that under the Fourier
transformation, the operation of differentiation of a function reduces to
the operation of multiplication of the function’s Fourier transform by
ik , in accordance with Theorems 4.4.1 and 4.4.3. In particular, linear
differential equations with constant coefficients transform (in the case
of scalar functions) into linear algebraic equations.
Consider, for instance, the equation
a 0 y ( n ) ( x) + a1 y ( n −1) ( x) + ⋅ ⋅ ⋅ + a n −1 y' ( x) + a n y ( x) = g ( x) (4.60)
where g (x) is an integrable function and a 0 ,..., a n are constants.
If y (x) is sought for in the class of functions that are continuous
and continuously differentiable along with their first (n − 1)
derivatives, have absolutely continuous first (n − 1) derivatives, and
are integrable along with their first n derivatives, then the Fourier
transform of y (x) satisfies (see Theorems 4.4.1 and 4.4.3) the equation
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∧ ∧
L(ik ) y (k ) = g (k )
where
L( z ) = a 0 z n + a1 z n −1 + ⋅ ⋅ ⋅ + a n −1 z + a n
Hence
∧
∧ g (k )
y (k ) = (4.61)
L(ik )
If the polynomial L(z ) has zeroes on the imaginary axis, then
∧
the solution with the above properties can exist only if g (k ) equals
zero at all those k ’s which correspond to the zeroes of L(ik ) . Indeed,
∧
as the Fourier transform of an integrable function, y (k ) is a continuous
function for all k . But the right side of (4.61) is continuous only if
L(ik ) has no zeroes on the real axis, or if the zeroes of the
denominator in Formula (4.61) are cancelled by those of the numerator.
If these conditions are met, we can expect the right side of (4.61) to be
indeed the Fourier transform of an integrable function, the function
having n integrable derivatives.
In order to recover this function and show its uniqueness, we
need to make sure that any integrable function is uniquely determined
by its Fourier transform, and also find the inversion formula.
∧
Theorem 4.4.7. If f (k ) is the Fourier transform of an
integrable function f (x) , then for every continuity point x of f (x) ,
there holds the relation
∞
1 ∧
∫
2
f ( x) = lim e ikx e −τk f (k ) dk (4.62)
τ ↓0 2π −∞
∧
Moreover, if f (k ) is an integrable function, then f (x) is
continuous, and for every x ,
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∞
1 ∧
f ( x) =
2π ∫
−∞
e ikx f (k ) dk (4.63)
Formula (4.63) and its more precise version (4.62) are the desired
inversion formulas.
Proof. We start proving Formula (4.62), and thus (4.63), with
the already-found relation
∞ ( x − x' ) 2
1
∫e
−
f ( x) = lim 4τ
f ( x' ) dx' (4.64)
τ ↓0 4πτ −∞
valid for every point of continuity of an integrable function f (x) .
Then we prove that
x2 ∞
1 1
∫
− 2
e 4τ
= e ikx e −τk dk (4.65)
4πτ 2π
−∞
For this purpose, set y = τ k , p = x τ , and rewrite the right side

of (4.65) as
1  x 
I  
4πτ  τ 
where
∞
1
∫
2
I ( p) = e ipy e − y dy (4.66)
π −∞
− y2
Taking into account that e is an even function, using Euler’s
ipy
formula for e , and integrating by parts, we obtain:
∞
2 2 ∞
∫
2 2
I ( p) = cos py e − y dy = y cos py e − y −
π 0
π 0
∞ ∞
−
2
π ∫
( y cos py e − y2
) dy =
′ 4
2π ∫ y 2 cos py e − y dy +
2
0 0
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∞
2p
∫
2
+ y sin py e − y dy = −2 I'' ( p ) − pI' ( p )
2π 0
whence
2 I'' ( p) + pI' ( p) + I ( p) = 0
(4.67)
Considering (4.67) as a differential equation in I ( p ) , we see
that
2 I' ( p ) + pI ( p ) = const (4.68)
According to Formula (4.66), I ( p ) is the Fourier transform of
2
the integrable function e − y , the latter having the integrable derivative
2
− 2 ye − y . In view of Corollary 4.4.4 and the result of Problem 4.4.4,
we have:
lim pI ( p ) = 0 , lim I' ( p ) = 0
p → ±∞ p → ±∞
that is, the constant on the right of Equation (4.68) is zero. Therefore,
2 I' ( p ) + pI ( p) = 0
p2
−
I ( p) = C0 e 4
Since
∞
2
∫
2
C 0 = I (0) = e − y dy = 1
π 0
we obtain:
∞ p2
2
∫ cos py e
−
− y2
I ( p) = dy = e 4
(4.69)
π 0
So,
∞ x2
1 1  x  1
∫e
−
−τk 2
ikx
e dk = I   = e 4τ
2π 4πτ  τ  4πτ
−∞
indeed.
A136
Rewriting the integrand in (4.64) with the help of Formula (4.65)
and interchanging the order of integration∗), for the continuity points of
f (x) we have:
 1
∞ ∞

∫ ∫
2
f ( x) = lim  e ik ( x − x' ) e −τk dk  f ( x' ) dx' =
τ ↓0 2π
−∞ 
−∞ 
∞
 ∞

1 −τk 2 ikx  1
= lim
τ ↓0 2π −∞ ∫
e e 
 2π −∞ ∫
e −ikx' f ( x' ) dx'  dk =

∞
1 ∧
∫
2
= lim e −τk e ikx f (k ) dk
τ ↓0 2π −∞

sin nx
lim = δ ( x)
n → ∞ πx
where δ (x) is the Dirac delta function.

Solution. In accordance with the inversion formula (4.63), for an
arbitrary test-function ϕ (x) we have:
∞ n
1 ∧ 1 ∧
ϕ ( 0) =
2π ∫
−∞
ϕ (k ) dk = lim
n →∞
2π ∫
−n
ϕ (k ) dk =
1  1 n ∞

= lim
n →∞

2π − n  2π ∫ ∫
−∞
e −ikxϕ ( x) dx  dk =

∞
 1 n
 ∞
sin nx
∫
= lim ϕ ( x)
∫e ∫ ϕ ( x)dx
−ikx
dk dx = lim
n→∞
−∞  2π −n  n →∞
−∞
πx
∗)
The interchange is possible on the grounds of Fubini’s theorem, which is considered
in the next section.
A137
Problem 4.4.6. Find the Fourier transform of the function
 x
1 − , x < 2T , T > 0
f ( x) =  2T
 0, x > 2T
and verify that
2T
1 sin 2 Tx 1  k  ikx
π Tx 2
=
2π ∫ 1 −
− 2T 

 2T e dk

(4.70)
Problem 4.4.7. Find the Fourier transform of the function

e −αx , x > 0,
f ( x) =  α >0
0, x < 0,
∧
Taking the real and imaginary parts of f (k ) , make sure that
∞
α
∫
0
e −αx cos kx dx =
α + k2
2
(4.71)
∞
k
∫
0
e −αx sin kx dx =
α + k2
2
(4.72)

∞
sin px π
∫
0
x
dx = sgn p
2
Hint. Integrate the equality (4.71) with respect to k from 0 to
p , and then let α tend to 0.
Problem 4.4.9. Prove that for k > 0 ,

∞
1 sin kx ipx 0, p > k
π
−∞
∫ x
e dx = 
1, p < k
(Dirichlet’s discontinuous factor.)
A138
4.5. The Convolution of Integrable Functions.
Parseval’s Equality
Let f (x) and g (x) be arbitrary integrable functions. Then for

almost all x , there exists the integral
∞
∫ f ( x − t ) g (t )dt ,
−∞
−∞ < x < ∞ (4.73)
The function whose values are given by Formula (4.73) is called

the convolution of f (x) and g (x) . The convolution is denoted by
the symbol ( f ∗ g )(x) .
As before, we use the symbol f 1
to denote the integral
∞
f 1
=
∫ f ( x) dx
−∞
where f (x) is an arbitrary integrable function.
Theorem 4.5.1. The convolution of any integrable functions

f (x) and g (x) is an integrable function. Moreover, there holds the
inequality
f ∗g 1 ≤ f 1
g 1
(4.74)
Proof. It follows from the definition of the convolution that
∞ ∞ ∞ ∞
f ∗g 1 =
∫ dx ∫ f ( x − t ) g (t ) dt ≤ ∫ dx ∫ f ( x − t ) g (t ) dt
−∞ −∞ −∞ −∞
(4.75)
Next, let us recall that if a function ϕ ( x, t ) of two variables is

nonintegrable, then the situation may occur that one of the integrals
∞ ∞ ∞ ∞
∫ dx ∫ ϕ ( x, t ) dt , ∫ dt ∫ ϕ ( x, t ) dx
−∞ −∞ −∞ −∞
exists, whereas the other does not; or both exist and have finite values,
but those values are different.
A139
Problem 4.5.1. Verify that
1 1 1 1
x2 − t 2 π x2 − t 2 π
∫ ∫ (x
0
dx dt
0
2
+t )
2 2
=
4
,
∫ ∫ (x
0
dt dx
0
2
+t )
2 2
=−
4
.
In the theory of integration, however, this fundamental theorem

is proved:
Fubini’s theorem. If for a function ϕ ( x, t ) , or for any function

ψ ( x, t ) ≥ ϕ ( x, t ) , one of the integrals
∞ ∞ ∞ ∞
∫∫ ϕ ( x, t ) dxdt , ∫ dx ∫ ϕ ( x, t ) dt , ∫ dt ∫ ϕ ( x, t ) dx (4.76)
E2 −∞ −∞ −∞ −∞
has a finite value, then so have all the integrals (4.76), and their values
are equal. Under the above condition,
∞ ∞ ∞ ∞
∫∫ϕ ( x, t ) dxdt = ∫ dx ∫ ϕ ( x, t ) dt = ∫ dt ∫ ϕ ( x, t ) dx
E2 −∞ −∞ −∞ −∞
(4.77)
Interchanging the order of integration on the right of Formula

(4.75), we see that the function
∞
∫ f ( x − t ) g (t ) dt
−∞
(which is a majorant for ( f ∗ g )(x) ) is integrable and that the

inequality (4.74) holds true:
∞ ∞
 ∞ ∞

∫ dx ∫
−∞ −∞ −∞ −∞∫ ∫
f ( x − t ) g (t ) dt = g (t )  f ( x − t ) dx dt =

(4.78)
∞ ∞
= ( x' = x − t ) =
∫ g (t ) dt ∫ f ( x' ) dx' =
−∞ −∞
f 1
g 1 <∞
A140
This implies the integrability of the convolution ( f ∗ g )(x) ,
according to Fubini’s theorem.
If each of f (x) and g (x) is real and nonnegative (or
nonpositive), the inequality sign in (4.74) can be omitted.
Problem 4.5.2. Let f (x) and g (x) be integrable functions.

Use Fubini’s theorem to verify that for almost all x ,
( f ∗ g )( x) = (g ∗ f )( x) (4.79)
Now, let us find the Fourier transform of the convolution of

integrable functions. It follows from the definition of the Fourier
transform and Fubini’s theorem that
∞ ∞
∧ 1
( f ∗ g )(k ) = ∫ dxe ∫ f ( x − t ) g (t )dt =
−ikx
2π −∞ −∞
∞ ∞
1
2π ∫ ∫ dxe
= dtg (t )e −ikt −ik ( x − t )
f ( x − t ) =( x ′ = x − t ) =
−∞ −∞ (4.80)
 1 ∞
 1 ∞

= 2π 
∫ ∫ dx ′ e −ikx′ f ( x ′) =
−ikt
dt e g (t )
 2π −∞  2π −∞ 
∧ ∧
= 2π f (k ) g (k ).
So, up to a factor of 2π , the Fourier transform of the
convolution of two integrable functions is equal to the product of their
Fourier transforms.
Suppose that f (x) and g (x) are not only integrable, but also
square integrable; that is,
∞ ∞
∫ f ( x) ∫ g ( x)
2 2
dx < ∞ , dx < ∞
−∞ −∞
It can be shown that under this additional condition, the
convolution of f (x) and g (x) is a continuous function. Then, by the
inversion formula for the Fourier transform, the equality
A141
∞ ∞
1 ∧
∫ ∫ ( f ∗ g )(k ) dk =
2
f ( x − t ) g (t ) dt = lim e ikx e −τk
−∞
τ ↓0 2π −∞
∞
∧ ∧
∫
2
= lim e ikx e −τk f (k ) g (k ) dk
τ ↓0
−∞
holds at every point on the real axis.
In particular, for x = 0 we have:
∞ ∞
∧ ∧
∫ ∫
2
f (−t ) g (t ) dt = lim e −τk f (k ) g (k ) dk (4.81)
τ ↓0
−∞ −∞
In Formula (4.81), replace f (x) with the Hermitian conjugate
function f * ( x) = f (− x) . Since
∞
∧ 1 ∧
f * (k ) =
2π ∫
−∞
e −ikx f (− x) dx = ( x' = − x ) = f (k ) (4.82)
we get:
∞ ∞ ∞
∧ ∧
∫ ∫ ∫
2
f * (−t ) g (t ) dt = f (t )g (t ) dt = lim e −τk f (k ) g (k ) dk (4.83)
τ ↓0
−∞ −∞ −∞
In particular, if g ( x) = f ( x) , then
∞ ∞ 2
∧
∫ ∫
2 2
f (t ) dt = lim e −τk f (k ) dk (4.84)
τ ↓0
−∞ −∞
The integrand on the right of Formula (4.84) is monotone
increasing as the parameter τ tends to 0. It is therefore possible to
pass to the limit under the integral sign to obtain:
∞ ∞ 2
∧
∫ f (t ) ∫ f (k ) dk
2
dt = (4.85)
−∞ −∞
This is called Parseval’s equality.
It follows from the equality (4.85) that the Fourier transform of
an integrable and square integrable function is a square integrable
A142
function. Consequently, for two such functions f (x) and g (x) , the
∧ ∧
product f (k ) g (k ) of their Fourier transforms proves to be an
integrable function, as the Cauchy-Schwarz inequality reveals:
∞ ∞
∧ ∧ ∧ ∧
∫
−∞
f (k ) g (k ) dk ≤
∫
−∞
f (k ) g (k ) dk ≤
1 1 (4.86)
 ∧ ∞
  ∧ 2 
2 ∞ 2 2
−∞ ∫
≤  f (k ) dk   g (k ) dk 
 −∞  ∫
Passing to the limit in Formula (4.83), we arrive at the following
generalization of Parseval’s equality:
∞ ∞
∧ ∧
∫
−∞
f (t )g (t ) dt =
∫
−∞
f (k ) g (k ) dk (4.87)
Among other things, the equalities (4.85) and (4.87) play an

important role in elucidating the fundamentals of quantum theory and
in studying its simplest problems.
When proving the equalities (4.85) and (4.87), we assumed both
functions f (x) and g (x) to be integrable and square integrable. The
integrability of the functions was necessary for the existence of their
Fourier transforms. It is possible to prove in general that even if f (x)
and g (x) are only square integrable, their Fourier transforms exist, in a
certain sense, for almost all values of k , and that those transforms are
square integrable functions. Moreover, the equalities (4.85) and (4.87)
still hold.

∞
sin 2 ax
∫
−∞
x2
dx = π a
Hint. Show that the function sin a x x is the Fourier transform

of the function
A143
 π
 , t < a
f (t ) =  2
0, t > a

and then use Parseval’s equality (4.85).
Problem 4.5.4. Write Parseval’s equality (4.85) for the function

 x
1 − , x <2
f ( x) =  2
0, x >2

and its Fourier transform, to show that
∞
sin 4 ξ 2π
∫
−∞
ξ 4
dξ =
3
Problem 4.5.5. Evaluate the integrals

∞
sin ka dk π
I 1 ( a , b) =
∫k 2
+b k
2
= 2 1 − e − ab
b
( )
−∞
∞
cos ka π
I 2 ( a, b) =
∫
−∞
k +b
2 2
dk = e − ab
b
where a and b are positive numbers.
∂I 1 (a, b)
Hint. It suffices to evaluate I 1 (a, b) , for I 2 (a, b) = .
∂a
To evaluate I 1 (a, b) , find the Fourier transform of the characteristic
function χ [ − a ,a ] ( x) of the closed interval [− a, a ] and that of the
−b x
function e , and then make use of Parseval’s equality (4.87).
Problem 4.5.6. Find the solution to the equation

d2y −b x
− 2
+ γ 2 y = Ce , γ ,b > 0
dx
A144
in the class of twice continuously differentiable functions that vanish as
x → ±∞ .
Hint. Take the Fourier transforms of both sides of the equation
to reduce it to an algebraic equation in the Fourier transform of the
desired function, find that Fourier transform, and then make use of the
inversion formula.
Problem 4.5.7. Assuming the right side of the equation
d2y
− + γ 2 y = f ( x) (4.88)
dx 2
to be an arbitrary integrable function, find the solution in the class of
continuous functions that possess absolutely continuous first derivatives
and vanish as x → ±∞ . Represent the solution as the convolution of
f (x) and some function G−γ 2 ( x) , that is, in terms of the Green’s
function for Equation (4.88).
4.6. The Fourier Transform of Generalized Functions
Based on Formula (4.87), it is possible to define the Fourier

transform of generalized functions.
We shall assume that generalized functions are associated with
continuous linear functionals defined on the set of infinitely smooth
functions that vanish along with their derivatives at the rate greater than
that of any power of 1 x as x → ±∞ . We are aware now that the
Fourier transforms of such test-functions are functions of the same
class. Indeed, if a test function ϕ (x) and its derivatives vanish at high
∧
rates, then the Fourier transform ϕ (k ) proves to be infinitely smooth;
∧
and if ϕ (x) and its derivatives are infinitely smooth, then ϕ (k )
vanishes at a high rate.
Let us write the above linear functionals in the form
∞
F (ϕ ) =
∫ f ( x)ϕ ( x) dx
−∞
(4.89)
A145
If a generalized function f (x) , which is associated with the
functional F , is a square integrable true function, then, according to
the equality (4.87), this functional can also be represented as
∞
∧ ∧
F (ϕ ) =
∫
−∞
f (k ) ϕ (k ) dk (4.90)
∧
On the other hand, a square integrable function f (k ) is
∧
associated with the linear functional F whose value for any test-
function ϕ (x) is determined by the integral
∞
∧ ∧
F (ϕ ) =
∫ f ( x)ϕ ( x) dx
−∞
(4.91)
∧ ∧
Due to the equality (4.87), the functionals F (ϕ ) and F (ϕ ) are
related by
∧ ∧
F (ϕ ) = F (ϕ ) (4.92)
∧
that is, the value of F for the Fourier transform of an arbitrary test-
function and that of F for the function itself are equal.
Formula (4.92) can be taken to be the definition of the Fourier
transform for generalized functions.
Let a generalized function f (x) be associated with a continuous

linear functional F defined on a set of test-functions. The Fourier
∧
transform of f (x) is then defined as the generalized function f (k )
∧
that is associated with the continuous linear functional F defined on
the same set of test-functions and such that for any test-function ϕ (x)
the equality (4.92) holds.
A146
Being a limit of a sequence of continuous true functions, every
generalized function is uniquely determined by its Fourier transform.
At first glance, the above definition does not seem clear and
constructive. Yet the following examples do convince us that the
Fourier transforms of generalized functions are not so difficult to
calculate.
Consider, for instance, the delta function δ (x) . It is associated
with the functional Fδ given by
∞
Fδ (ϕ ) = ϕ (0) =
∫ δ ( x)ϕ ( x) dx
−∞
(4.93)
where ϕ (x) is an arbitrary test-function. Using the inversion formula

for the Fourier integral, we can write:
∞
1 ∧ ∧ ∧
ϕ ( 0) =
∫
−∞
2π
ϕ (k ) dk = Fδ (ϕ ) (4.94)
The functionals (4.93) and (4.94) are related by Formula (4.92).

Therefore, by definition, the Fourier transform of δ (x) is a true
function, equal to a constant:
∧ 1
δ (k ) = (4.95)
2π
Similarly, the functional Fδ' , which is determined by the
derivative δ ′(x) of the delta function, can be written as
∞
Fδ' (ϕ ) =
∫ δ ′( x)ϕ ( x) dx = − ϕ' (0) =
−∞
∞ ∞
1 ∧  ik  ∧
=−
2π ∫
−∞
ik ϕ (k ) dk =
∫
−∞



 2π  ϕ (k ) dk

whence
∧
ik
δ ′(k ) = (4.96)
2π
A147
Thus, the Fourier transforms of generalized functions
associated with singular functionals may be true functions, with
that troublesome property only that they may increase at infinity.
Problem 4.6.1. Find the Fourier transforms of the functions

δ ( x − x0 ) and δ ′( x − x0 ) .
4.7. The Fourier Transform of Functions of Many Variables
We start with the case of functions of two variables. Let

f ( x, y ) be an arbitrary smooth function that vanishes rather rapidly as
r = x 2 + y 2 → +∞ . Consider the Fourier transform of it with
respect to the variable x , the value of the other variable y being fixed.
We have:
∞
∧ 1
2π ∫
−ik x x
f (k x , y ) = dxe f ( x, y ) (4.97)
−∞
the inversion formula taking the form
∞
1 ∧
f ( x, y ) =
2π ∫
−∞
dk x e ik x x f (k x , y ) (4.98)
Treating k x as a parameter, let us now write the Fourier

∧
transform of the function f (k x , y ) with respect to y . Taking into
account Formula (4.97), we obtain:
∧ ∞
∧ 1 ∧
∫
−ik y y
f (k x , k y ) = dye f (k x , y ) =
2π −∞
(4.99)
∞ ∞
1
∫ ∫
−i ( k x x + k y y )
= dy dxe f ( x, y )
2π
−∞ −∞
A148
The substitution of the inversion formula
∞ ∧
∧ 1 ∧
∫ dk e
ik y y
f (k x , y ) = y f (k x , k y ) (4.100)
2π −∞
into Formula (4.98) yields:
∞ ∞ ∧
1 ∧
∫ dk e ∫ dk e
ik y y
f ( x, y ) = ik x x
f (k x , k y ) (4.101)
2π
x y
−∞ −∞
If f ( x, y ) is rather smooth and decreases rapidly at infinity,
then the values of the iterated integrals (4.99) and (4.101) are
independent of the order of integration. Accordingly, the Fourier
transform of a function of two variables is given by
∧ 1
∫e
− i ( kr )
f (k ) = f (r ) dr (4.102)
2π
E2
where k = (k x , k y ) , (kr) = k x x + k y y , and dr = dxdy ; and the

inversion formula is (under some restrictions) of the form
1 ∧
f (r ) =
2π ∫
E2
e i ( kr ) f (k ) dk (4.103)
Similarly, the Fourier transform of an integrable function f (r ) ,

r = ( x1 ,..., x n ) , of n variables is defined by
∧ 1
f (k ) =
(2π ) n/2 ∫
e −i ( kr ) f (r ) dr
En
(4.104)
where k = (k1 ,..., k n ) , (kr) = k1 x1 + k 2 x 2 + ⋅ ⋅ ⋅ + k n x n , and

dr = dx1 ...dx n ; and the inversion formula takes (under some
restrictions) the form
1 ∧
f (r ) =
(2π ) n / 2 ∫
En
e i ( kr ) f (k ) dk (4.105)
The results and relationships obtained for the Fourier transforms

of functions of a single variable are accordingly extended to the case of
the Fourier transforms of functions of n variables. For example, the
A149
∧
Fourier transform f (k ) of an arbitrary integrable function of n
variables is a bounded continuous function satisfying the condition
∧
lim f (k ) = 0 (4.106)
k →∞
The relationship (4.106) represents a multi-dimensional version

of the Riemann-Lebesgue theorem.
Considering the integral (4.104) as an iterated one, for smooth
functions with integrable partial derivatives we can obtain the formulas
∧ ∧
∂f ∧ ∂f ∧
(k ) = ik1 f (k ) , … , (k ) = ik n f (k ) (4.107)
∂x1 ∂x n
Moreover,
∧
∂ s1 + s2 +⋅⋅⋅+ sn f s1 + s 2 +⋅⋅⋅+ s n s1 s 2
∧
(k ) = i k 1 k 2 ⋅ ⋅ ⋅ k sn
n f (k ) ,
∂x1s1 ∂x 2s2 ...∂x nsn
0 ≤ s1 , s 2 ,..., s n < ∞ (4.108)
∧
In particular, for the Fourier transform ∆f (k ) of the
n − dimensional Laplacian
(∆f )(r ) = ∂ ∂2 f ∂2 f
2
f
+ + ⋅ ⋅ ⋅ + (4.109)
∂x12 ∂x 22 ∂x n2
of a function f (r ) , this formula holds:
∧ ∧
(∆f )(k ) = −k 2 f (k ) , k 2 = k12 + k 22 + ⋅ ⋅ ⋅ + k n2
(4.110)
Also, there hold the multi-dimensional analogue of the formula
for the Fourier transform of the convolution
( f ∗ g )(r ) = ∫ f (r − r' ) g (r' ) dr' = ( 4.111)
En
∞ ∞
=
∫ ... ∫ dx '...dx 'f ( x − x ' , x
−∞ −∞
1 n 1 1 2 − x 2' ,..., x n − x n' ) g ( x1' , x 2' ,..., x n' )
of two functions f (r ) and g (r ) , namely,
A150
∧ ∧ ∧
( f ∗ g )(k ) = (2π ) n / 2 f (k ) g (k ) (4.112)
and the multi-dimensional version of Parseval’s equality:
∧ ∧
∫
En
f (r )g (r ) dr =
∫
En
f (k ) g (k ) dk (4.113)
Formulas (4.106) – (4.113) reflect major properties of the Fourier

transforms of functions of many variables. With their use, the problems
for linear differential equations with constant coefficients in an
unbounded multi-dimensional space can be reduced to either linear
algebraic equations or linear ordinary differential equations.
Let us return, once more, to the Cauchy problem for the heat
(diffusion) equation in E 3 :
∂u
= a 2 ∆u
∂t (4.114)
u (r,0) = u 0 (r )
Assuming the function u 0 (r ) to be integrable, we shall seek the
solution to the problem (4.114) for t > 0 on the class of twice
differentiable functions that are integrable along with their first and
second derivatives with respect to the spatial coordinates and their first
derivatives with respect to the time. Changing from the desired
∧
function u (r, t ) to its Fourier transform u (k , t ) with respect to the
spatial variables, instead of Equation (4.114) we obtain:
∧
∂ u (k , t ) ∧
= − a 2 k 2 u (k , t )
∂t
whence
∧ 2 2
u (k , t ) = C (k )e − a k t (4.115)
The constant of integration C (k ) is found by using the initial
∧
condition and is equal to the Fourier transform u 0 (k ) of the initial
function u 0 (r ) . So,
A151
∧ ∧ 2 2
u (k , t ) = u 0 (k )e − a k t
(4.116)
and therefore
1 ∧
∫
2 2
u (r, t ) = dk e ikr e − a k t u 0 (k )
(2π ) 3 / 2
E3
(4.117)
∧ 1
∫ dr e
− ikr
u 0 (k ) = u 0 (r )
(2π ) 3 / 2
E3
It is possible now to directly verify that u (r, t ) given by (4.117)

has partial derivatives of all orders for t > 0 , satisfies Equation
(4.114), and converges uniformly to u 0 (r ) as t → 0 .
The integrability of partial derivatives of u (r, t ) for t > 0 can
be verified by rewriting the first integral in Formula (4.117) as the
convolution of u 0 (r ) and the function
r2
1 1
∫ dk e
− 2
− a 2 k 2t
G (r, t ) = ikr
e = e 4a t
(4.118)
(2π ) 3 (4πa 2 t ) 3 / 2
E3
Problem 4.7.1. Show that in E 3 , the Fourier transform of an

integrable, spherically symmetric function f (r ) = f (r ) depends only
upon the absolute value k of the vector k and is equal to
∞
∧ ∧ 2 sin kr
π∫
f (k ) = f (k ) = dr rf (r ) (4.119)
k
0
Hint. When evaluating the Fourier integral with respect to the
variable r , change to spherical coordinates with the polar axis directed
along the vector k .
Problem 4.7.2. Find the Fourier transforms of these functions:

e −γr V0 , 0≤r ≤ R
a) f (r ) = A ; b) f (r ) = 
r 0, r>R
A152
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4. Гончаренко В. М. Основы теории уравнений с частными
производными. – К.: Вища школа, 1985. – 312 с.
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710 с.
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Гостехиздат, 1951. – Т. 1, 476 с; Т. 2, 544 с.
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830 с.
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Высшая школа, 1977. – 432 с.
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– К.: Либідь, 2001. – 336 с.
10. Петровский И. Г. Лекции об уравнениях с частными производными.
– М.: Физматгиз, 1961. – 300 с.
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школа, 1964. – 560 с.
12. Смирнов В. И. Курс высшей математики. В 4 т. – М.: Наука, 1981. –
Т. 1. 656 с.; Т. 4, 550 с.
13. Смирнов М. М. Дифференциальные уравнения в частных
производных второго порядка. – Минск: Изд-во БГУ, 1974. – 232 с.
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15. Тихонов А. Н., Самарский А. А. Уравнения математической физики. –
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Наука, 1968. – Т. 2, 404 с.
17. Шварц Л. Математические методы для физических наук. – М.: Мир,
1965. – 412 с.
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М.: Наука, 1965. – 327 с.
A153
INDEX.
UKRAINIAN EQUIVALENTS OF THE TERMS
Analytic continuation, A44 Аналітичне продовження

Axioms: Аксіоми
of addition of elements of a linear space, – додавання елементів лінійного простору
A102
of multiplication of elements of a linear – множення елементів лінійного простору
space by numbers, A102 на числа
Brownian particle, A58 Частинка броунівська

trajectory of, A57 – –, траєкторія
Cauchy problem, A11 Задача Коші

for diffusion equation, A52 – – для рівняння дифузії
generalized, for heat equation, A117 – – – – теплопровідності узагальнена
for heat equation, A18 – – – – теплопровідності
for probability density of finding an – – – густини ймовірності знайти
impurity particle, A62 домішкову частинку
for wave equation, A72 – – – хвильового рівняння
for wave equation, one-dimensional, A88 – – – – –, одновимірна
for wave equation, two-dimensional, A84 – – – – –, двовимірна
Cauchy-Schwarz inequality, A143 Нерівність Коші-Буняковського
Chapman-Kolmogorov equation, A55 Рівняння Чепмена-Колмогорова
Class Q , A18 Клас Q
Coefficient: Коефіцієнт
diffusion, A51 – дифузії
heat conduction, A9 – температуропровідності
reaction, A51 – реакції
specific heat capacity, A7 – питомої теплоємності
Complex amplitude: Амплітуда комплексна
forced oscillations in a medium, A94 – –, вимушені коливання середовища
forced oscillations of temperature, A46 – –, вимушені коливання температури
Concentration of impurity particles, A50 Концентрація домішкових частинок
Condition: Умова
boundary, A11 – крайова
initial, A11 – початкова
radiation, A98 – випромінювання Зоммерфельда
for stable equilibrium of a system of – стійкої рівноваги системи частинок
particles, A38
Continuity equation, A67 Рівняння неперервності
Convection, A6 Конвекція
Convergence of a sequence of test-functions: Збіжність послідовності основних функцій
see Sequence of test-functions див. Послідовність основних функцій
Convolution of integrable functions, A139 Згортка інтегровних функцій
A154
D’Alembert’s Formula, A89 Формула Д’Аламбера
Density, A7 Густина
of a point mass, A100 – точкової маси
Derivative: Похідна
generalized, A113 – узагальнена
material, A67 – матеріальна
Diffusion, A50 Дифузія
within a moving medium, A50 – в рухомому середовищі
in the presence of chemical or nuclear – при наявності хімічних або ядерних
reactions, A51 реакцій
in a uniform stream of liquid, A52 – в однорідному потоці рідини
Diffusion current density, A51 Вектор густини дифузійного потоку
Diffusion equation, A51 Рівняння дифузії
elementary derivation of, A51 – –, елементарний вивід
Dirichlet’s discontinuous factor, A138 Множник розривний Діріхле
Distribution, A105 Розподіл
Divergence theorem, A8, A17, A67, A74 Теорема Остроградського-Гаусса
Earnshaw’s theorem, A38 Теорема Ірншоу

Einstein-Smoluchowski equation, A60 Рівняння Ейнштейна-Смолуховського
derivation of, A56 – –, вивід
Element: Елемент
inverse, A102 – обернений
of a set, A102 – множини
zero, A102 – нульовий
Equation: Рівняння
of heat balance, A7, A8 – теплового балансу
of heat balance in the differential form, A8 – – – в диференціальній формі
of motion for ideal fluid, A65, A66 – руху ідеальної рідини
for small-amplitude oscillations in a fluid, – малих коливань рідини (газу)
A65
of state, A67 –стану
Equation for the complex amplitude: Рівняння для комплексної амплітуди
forced oscillations in a medium, A97 – – – –, вимушені коливання середовища
forced oscillations of temperature, A46 – – – –, – – температури
Equations of ideal liquid hydrodynamics, A68 Рівняння гідродинаміки ідеальної рідини
linearized, A69 – – – – лінеаризовані
First-order reactions, A51 Реакції першого порядку

Forced acoustic oscillations, A94 Коливання акустичні вимушені
steady-state, A94, A97 – – – усталені
Fourier method, A122 Метод Фур’є
Fourier transform: Фур’є-образ
of convolution, A141 – згортки
of convolution of functions of many – – функцій багатьох змінних
variables, A150
of derivative of Dirac delta function, A147 – похідної дельта-функції Дірака
of derivative of a function, A130 – – функції
of Dirac delta function, A147 – дельта-функції Дірака
A155
Fourier transform (Continued): Фур’є-образ (Продовження)
of higher derivatives of a function, A132 – вищих похідних функції
of an integrable function, A127 – інтегровної функції
of an integrable and square-integrable – – та інтегровної з квадратом функції
function, A142
of Laplacian, A150 – лапласіана
of partial derivatives of a function, A150 – частинних похідних функції
of a spherically symmetric function, A152 – сферично симетричної функції
Fourier (integral) transform: Перетворення Фур’є (інтегральне)
of a function of many variables, A149 – – функції багатьох змінних
of a function of two variables, A149 – – – двох змінних
of a generalized function, A146 – – узагальненої функції
of an integrable function, A127 – – інтегровної функції
inverse, A134 – – обернене
inverse, of a function of many variables, – – – функції багатьох змінних
A149
inverse, of a function of two variables, A149 – – – – двох змінних
of a linear differential equation, A133 – – лінійного диференціального рівняння
Fourier’s law, A9 Закон Фур’є
Frustum of a light cone, A73 Конус світловий зрізаний
Fubini’s theorem, A140 Теорема Фубіні
Function: Функція
absolutely continuous, A130 – абсолютно неперервна
bounded, A13 – обмежена
characteristic, A128 – характеристична
compactly supported, A15 – фінітна
composite, of Dirac delta, A109 – дельта Дірака складена
Dirac delta, A105 – дельта Дірака
generalized, A105 – узагальнена
harmonic, A37 – гармонічна
Heaviside, A115 – східчаста Хевісайда
Hermitian conjugate, A142 – ермітово-спряжена
infinitely smooth, A15 – нескінченно гладка
of influence, A33 – впливу
integrable, A12 – інтегровна
locally integrable, A103 – локально інтегровна
response, A33 – відгуку
scalar (of temperature), A6 – скалярна (температури)
signum, A115 – знакова
of a source of impurity particles, A51 – джерела домішкових частинок
square-integrable, A47, A141 – інтегровна з квадратом
step, A129 – скінченнозначна або східчаста
test-, A101 (also see Sequence of… ) – основна (також див. Послідовність…)
true, A106 – звичайна
Functional, A103 Функціонал
continuous, A103 – неперервний
linear, A103 – лінійний
regular, A104 – регулярний
singular, A107 – сингулярний
A156
Generalized solution of a differential equation, Розв’язок узагальнений диференціального
A116 рівняння
Green’s function: Функція Гріна
of diffusion equation, A63, A112 – – рівняння дифузії
of heat equation, A26, A31, A32, A112 – – – теплопровідності
of Helmholtz equation, A47, A116 – – – Гельмгольца
meaning of, see Meaning of… – –, зміст див. Зміст…
Harmonic point source: Джерело гармонічне точкове

of heat, A49 – тепла
of waves, A94 – хвиль
Heat conduction, A6 Теплопровідність
Heat current density, A7 Вектор густини теплового потоку
Heat (conduction) equation, A6, A9 Рівняння теплопровідності
with constant coefficients, A9, A21 – – зі сталими коефіцієнтами
derivation of, A7 – –, вивід
fundamental solution of, A26, A118, A120 – –, фундаментальний розв’язок
homogeneous, A10 – – однорідне
inhomogeneous, stationary solution of, A35 – – неоднорідне, стаціонарний розв’язок
linear, A9 – – лінійне
one-dimensional, A10 – – одновимірне
similarity solution of, A23 – –, автомодельний розв’язок
two-dimensional, A10 – – двовимірне
Helmholtz equation, A43, A97, A123 Рівняння Гельмгольца
homogeneous, A47 – – однорідне
homogeneous, solution of, A123 – – –, розв’язок
homogeneous, spherically-symmetric – – –, сферично симетричний розв’язок
solution of, A124
inhomogeneous, A46 – – неоднорідне
inhomogeneous, generalized solution of, – – –, узагальнений розв’язок
A47
inhomogeneous, solution of, A47 – – –, розв’язок
Hilbert identity, A48 Тотожність Гільберта
Huygens’ principle: Принцип Гюйгенса
one-dimensional case, A89 – –, одновимірний випадок
three-dimensional case, A83 – –, тривимірний випадок
two-dimensional case, A87 – –, двовимірний випадок
Ideal fluid (or liquid), A65 Рідина ідеальна

Independent events, A54 Події незалежні
Invariance of the heat equation: Інваріантність рівняння теплопровідності
under rotations, A23 – – – відносно поворотів
under scaling transformations, A23 – – – – масштабних перетворень
under transformations of coordinates and – – – – перетворень координат і часу
time, A22
under translations, A23 – – – – зсувів
A157
Inversion formula for the Fourier transform, Формула обернення перетворення Фур’є
A135
of a function of many variables, A149 – – – – функції багатьох змінних
of a function of two variables, A149 – – – – функції двох змінних
Kronecker delta, A61 Символ Кронекера
Laplace operator, A9 Оператор Лапласа

Laplace’s equation, A37 Рівняння Лапласа
Law of addition, associative, A102 Закон додавання сполучний
commutative, A102 – – переставний
Law of conservation of mass, A67 – збереження маси
Law of multiplication, associative, A102 – множення сполучний
distributive, A102 – – розподільний
Lebesgue’s theorem, A128 Теорема Лебега
Linearization, A69 Лінеаризація
Mathematical expectation of a random Сподівання математичне випадкової

quantity, A56 величини
Matrix of diffusion coefficients, A57, A62 Матриця коефіцієнтів дифузії
Maximum (minimum) value principle, A11 Принцип максимального (мінімального)
значення
Meaning of the Green’s function: Зміст функції Гріна
for diffusion equation, A63 – – – рівняння дифузії
for heat equation A33 – – – – теплопровідності
for Helmholtz equation, A49 – – – – Гельмгольца
Method of separation of variables, A122 Метод відокремлення змінних
Motion: Рух
Brownian, A58 – броунівський
random, A57 – випадковий
(of a fluid) steady, A68 – (рідини) стаціонарний
Nernst’s law, A51 Закон Фіка
Operator: Оператор
adjoint, A116 – спряжений
inverse, A48 – обернений
Parseval’s equality, A142 Рівність Парсеваля(-Планшереля)

generalized, A143 – – узагальнена
multi-dimensional analogue of, A151 – –, багатовимірний аналог
Poisson’s equation, A35 Рівняння Пуассона
generalized solution of, A116 – –, узагальнений розв’язок
vanishing-at-infinity solution of, A35, A37 – –, спадний на нескінченності розв’язок
Poisson’s relation, A81 Формула Пуассона
Potential: Потенціал
complex, for forced oscillations, A94 – комплексний для вимушених коливань
electrostatic, A36 – електростатичний
A158
Potential (Continued): Потенціал (Продовження)
for an external bulk force, A69 – для зовнішньої об’ємної сили
Newton’s gravitational, A36, A101 – ньютонівський гравітаційний
Newton’s heat, A35 – – тепловий
retarded, A93 – загаювальний
velocity, A70, A94 – швидкості
Potential flow, A70 Течія потенціальна
Potential velocity field, A70 Поле швидкості потенціальне
Power density: Густина потужності
of a harmonic heat source, A43 – – гармонічного джерела тепла
of a harmonic source of waves, A94 – – – – хвиль
of a heat source (sink), A8 – – джерела (стоку) тепла
of a source of waves, A90 – – – хвиль
Probability density: Густина ймовірності
conditional, of finding an impurity particle, – – умовна знайти домішкову частинку
A54
of finding an impurity particle, A53 – – знайти домішкову частинку
of transition of an impurity particle, A54 – – переходу домішкової частинки
Problem without initial conditions, A97 Задача без початкових умов
Process: Процес
adiabatic, A69 – адіабатний
Markovian, A54 – марковський
Propagator, A33 Функція розповсюдження
Quadratic form, positive definite, A61 Форма квадратична позитивно визначена
Radiation, A6 Випромінювання
Riemann-Lebesgue theorem, A129 Теорема Рімана-Лебега
multi-dimensional version of, A150 – –, багатовимірний варіант
Sequence of test-functions: Послідовність основних функцій

convergence to zero in space C , A105 – – –, збіжність до нуля в просторі C
convergence to zero in space K , A103 – – –, – – – в просторі K
convergence to zero in space S , A106 – – –, – – – в просторі S
tending to Dirac delta function, A107 – – –, що прямує до дельта-функції Дірака
tending to a generalized function, A106 – – –, – – до узагальненої функції
Set: Множина
K (of infinitely smooth, compactly – K (нескінченно гладких фінітних
supported functions), A15, A102 функцій)
linear, A102 – лінійна
L1 (of integrable complex-valued – L1 (інтегровних комплексно-значних
functions), A12 функцій)
( 2) ( 2)
W , A15 –W
Small-amplitude oscillations in a fluid, A65 Коливання малі рідини (газу)
density variations, A70 – – –, коливання густини
pressure variations, A71 – – –, коливання тиску
A159
Solution to the Cauchy problem: Розв’язок задачі Коші для
for heat equation, A21, A30 – – – – рівняння теплопровідності
for homogeneous heat equation, A151 – – – – однорідного рівняння теплопровідності
for homogeneous wave equation, A81, A83 – – – – однорідного хвильового рівняння
for homogeneous wave equation in 1-space, – – – – – – – в одновимірному просторі
A89
for homogeneous wave equation in 2-space, – – – – – – – в двовимірному просторі
A87
for inhomogeneous wave equation, A91, – – – – неоднорідного хвильового рівняння
A93
Space (also see Set): Простір (також див. Множина)
C (of functions continuous on any closed – C (функцій, неперервних у будь-якій
region in E 3 ), A105 замкненій області простору E 3 )
E 3 (infinite three-dimensional), A12 – E 3 (необмежений тривимірний)
K , A102 – K
S , A105 – S
Stable solution of a system of equations, A68 Розв’язок стійкий системи рівнянь
Steady-state oscillations of temperature, A46 Коливання усталені температури
Superposition principle, A125 Принцип суперпозиції
Taylor’s Formula, A57 Формула Тейлора

Temperature: Температура
scalar function of, A6 –, скалярна функція
stationary, A34 – стаціонарна
steady-state, A46 – усталена
Uniqueness of solution to the Cauchy Єдиність розв’язку задачі Коші для

problem, for heat equation, A19 рівняння теплопровідності
for wave equation, A76 – – – – – хвильового рівняння
Uniqueness theorem for analytic functions, Теорема єдиності для аналітичних функцій
A44
Wave: Хвиля
converging spherical, A98 – сферична збіжна
diverging spherical, A94 – сферична розбіжна
plane, A124 – плоска
spherical heat, A49 – сферична теплова
Wave equation, A71 Рівняння хвильове
one-dimensional, A88 – – одновимірне
one-dimensional, general solution of, A89 – – –, загальний розв’язок
two-dimensional, A84 – – двовимірне
A160
CONTENTS
Preface…………………………………………………………………………… A4
1. HEAT CONDUCTION IN SYSTEMS WITH DISTRIBUTED
PARAMETERS
1.1. The Heat (Conduction) Equation…………………………………..… A6
1.2. The Cauchy Problem for the Heat Equation in an Infinite Space.
The Uniqueness of the Solution……………………………………….. A11
1.3. The Linear Heat Equation with Constant Coefficients in E 3 .
The Solution to the Cauchy Problem………………………………… A21
1.4. The Meaning of the Green’s Function……………………………….. A31
1.5. The Stationary Temperature. Newton’s Heat Potential……………... A34
1.6. Decreasing Solutions of Poisson’s Equation………………………… A37
1.7. Forced Heat Oscillations. The Helmholtz Equation………………… A43
2. THE DIFFUSION EQUATION
2.1. An Elementary Derivation of the Diffusion Equation………………. A50
2.2. Probabilistic Description of the Motion of Impurity Particles.
The Chapman-Kolmogorov Equation……………………………….. A53
2.3. The Einstein-Smoluchowski Equation……………………………… A56
2.4. The Meaning of the Green’s Function for the Diffusion Equation…. A62
3. THE WAVE EQUATION
3.1. The Equation for Small-Amplitude Oscillations in a Fluid…………. A65
3.2. The Cauchy Problem for the Wave Equation. The Uniqueness of
the Solution….………………………………………………………. A72
3.3. The Solution to the Cauchy Problem for the Wave Equation in E 3 .
Poisson’s Relation………………………………………………..…. A77
3.4. The Solution of the Cauchy Problem for the Wave Equation in
Two- and One-dimensional Spaces………………………………….. A84
3.5. The Inhomogeneous Wave Equation………………………………… A90
4. SUPPLEMENTARY FACTS FROM THE THEORY OF FUNCTIONS
4.1. Generalized Functions. The Dirac Delta Function…………………. A100
4.2. Differentiation of Generalized Functions. Generalized Solutions of
Linear Differential Equations……………………..…………………. A113
4.3. The Fourier Method…………………………………………………. A122
4.4. The Fourier Integral Transform……………………………………… A127
4.5. The Convolution of Integrable Functions. Parseval’s Equality…….. A139
4.6. The Fourier Transform of Generalized Functions…………………... A145
4.7. The Fourier Transform of Functions of Many Variables……………. A148
BIBLIOGRAPHY…………………………………………………………….. A153
INDEX. UKRAINIAN EQUIVALENTS OF THE TERMS………………… A154
A161
Адамян В. М., Сушко М. Я.
А283 Вступ до математичної фізики: Навчальний посібник. –
Одеса: Астропринт, 2003. – 320 с.
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ISBN 966-549-940-8
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Maths for Physics

©University of Birmingham, 2015

1 Functions and Geometry 10

©University of Birmingham, 2015

©University of Birmingham, 2015

7 Partial Differentiation and Multivariable Differential

©University of Birmingham, 2015

9 Multiple Integration 170

10 Differential Equations 190

©University of Birmingham, 2015

©University of Birmingham, 2015

Michael Grove & Joe Kyle

©University of Birmingham, 2015

©University of Birmingham, 2015

0.1 About the Authors

0.2 How to use this Booklet

Example: What is the sum 1 + 1?

Physics Example: A particle travels 30 metres in 3 seconds. What is the velocity of

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 Integer numbers: Z ={0, ±1, ±2, ±3,...}.

 Real numbers: R. Real numbers may be rational or irrational.

 Complex numbers: C = {a + bi : a, b ∈ R}.

©University of Birmingham, 2015

Note: The image is a subset of the codomain.

©University of Birmingham, 2015

Odd and Even Functions

 A function f : X → Y is said to be odd if f (−x) = −f (x) for all x in R.

 A function f : X → Y is said to be even if f (−x) = f (x) for all x in R.

You may find this easier to understand graphically.

It is also useful to note that:

 The product of two even functions is also an even functions

 The product of an odd function and an even function is an odd function.

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Example: Determine whether the following functions are odd or even.

Increasing and Decreasing Functions

Example: Find the restrictions of the domain, X = R, for the function

which make f (x)

Click here for a video example

Solution: See the video example above.

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©University of Birmingham, 2015

−2π −3π/2 −π −π/2 0 π/2 π 3π/2 2π

The Modulus Function

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If x < −1 this means x + 1 < 0 thus |x + 1| = −(x + 1).

(b) Case 2: x ≥ −1.

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3. Singularities: Find the values of x for which f (x) = ±∞.

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©University of Birmingham, 2015

The graph of y = sin(θ) is shown below:

The domain of sin(θ) is the set of real numbers (R)

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The graph of y = cos(θ) is shown below:

The domain of cos(θ) is the set of real numbers (R)

 cos θ is an even function, i.e. cos(−θ) = cos(θ).

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Angle (θ) sin(θ) cos(θ) tan(θ)

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Trigonometric Formulae and Identities

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Using cos2 (θ) + sin2 (θ) = 1 we can further show that:

Integer numbers: Z ={0, ±1, ±2, ±3,...}.

Real numbers: R. Real numbers may be rational or irrational.

Complex numbers: C = {a + bi : a, b ∈ R}.

A function f : X → Y is said to be odd if f (−x) = −f (x) for all x in R.

A function f : X → Y is said to be even if f (−x) = f (x) for all x in R.

The product of two even functions is also an even functions

The product of an odd function and an even function is an odd function.

cos θ is an even function, i.e. cos(−θ) = cos(θ).

Dividing through by sin2 (θ) gives

cosh(x) (pronounced ‘cosh’), which can also be written as

tanh(x) (pronounced ‘tanch’ or ‘than’), which can also be written as

cosh(x) is an even function

tanh(x) is an odd function

tanh(x) has asymptotes at y = ±1

a is the real part of z we denote this Re(z) = a.

Modulus-Argument (or Polar) form: z = r(cos(φ) + i sin(φ))

Exponential form: z = reiφ