Solving Linear Integral Equations in Maple

Honglin Ye and Robert M. Corless

Department of Applied Mathematics
The University of Western Ontario
London, Ontario, Canada N6A 5B7
rcorless@uwovax. UWO. ca

May 9, 1992

ABSTRACT .~a~ers
. on the numerical solution of integral
equations (e.g. see [Atki76], [Bake71], - or
This article describes a Maple proce- [Linz91]). However, a numerical method can-
dure for solving linear integral equa- not furnish a general solution but leads to a
tions, implementing the Neumann se- particular solution. This is not satisfactory in
ries method, the Laplace transform many cases. On the other hand, analytic meth-
method, the differentiation method, ods, which employ series, transforms and the
and the separating kernel method for like, usually involve tedious and complex sym-
Fredholm and Volterra equations of bolic manipulations that obstruct many exten-
the first, second, and third kinds. sive theoretical investigations of the integral
Strategies for classification of the equation problem. With the development of
equations and the choice of the solu- computer science, more and more advantage
tion method are built-in. The proce- can be taken of computer algebra in dealing
dure is designed to be automatic and with those mechanisms of symbolic computa-
general-purpose. The procedure is ef- tions which make it possible to extract analytic
ficient and reliable. solutions of many difficult problems through
computers. It is also desirable to compile the
basic knowledge of the methods of solving prob-
1 Introduction
lems into a package such that whence called, it
performs certain operations and yields the re-
The theory concerning integral equations is gen-
sult without forcing the user to care unnecessar-
erally well developed and classical, and is de-
ily about the tedious details of those methods.
scribed in detail in, for example, [Cham76],
[Tric57], or [Wint90]. In practice there are two The objective of this paper is to build up
approaches for solving integral equation prob- such a general purpose linear integral equation
lems, namely, analytic methods and numerical solver. The essential parts of such a pack-
methods. Numerical methods for solving inte- age will include the following functions: (1)
gral equations have received a considerable por- To transform the input equation into standard
tion of the research work and there are many form; (2) To classify the equation and check
the consistency condition (existence criteria);
Permission to copy without fee all or part of this material is
granted provided that the copies are not made or distributed for (3) To analyze the structure of the equation
direct commercial edventege, the ACM copyright notice and the and decide on possible (or simple) methods for
title of the publication and ite date appear, and notice ia given
that copying ia by permission of the Association for Computing solving the equation; (4) To solve the equation
Machinary. To copy otherwiee, or to republish, requires a fee either by a default method or by a user speci-
and/or epecific permiaaion.
fied method; (5) To provide information on the
ISSAC ‘92-71921CA, USA
@ 1992 ACM 0.8979 J.490.2192/0007 /009~,., +J .50 progress of execution which may be helpful to

95
the lser; (6) To output the result (if any). where K is an operator defined by

2 Classification of Linear Inte-

K := f(z) ---+ /b K(z, y) f(y)dy (lo)
a

gral Equations
These representations make the analogy be-
tween the theory of Fredholm equations and the
The principal types of linear integral equations
theory of matrix algebra become obvious.
are:
1) The Volterra equation of the first kind

3 Methods of Solution
~~~(~,y)~(y)dv=g(~), a<~<~ (1)
a
(1) Neumann series method:
2) The Volterra equation of the second kind
For a Fredholm equation of the second kind,
if K(z, y) is continuous on the rectangle R =
~(z) + ~ K(z, Y).f(Y)dY = g($), a S ~ < b [a, b; a, b] and I K(z, y) 1< & then it is suf-
(2) ficient that equation (5) has a unique continu-
3) The Volterra equation of the third kind ous solution for any continuous g(x). This solu-
tion can be obtained in a way that is analogous
$(z) +)’ K(z, y) f(y)dy = 0, a S z S b (3) to the iterative solution of matrix equation (8).
a
With ~O(x) = g(z), put
which is also termed the homogeneous Volterra
equation of the second kind,
f.(z) = g(~) -/’ K(X, !/) fn-l(Y)~Y (11)
4) The Fredholm equation of the first kind a

.
– g(z) – ~/’ I{n(z, y)g(y)dy. (12)
/b~f(~>Y)f(Y)~Y=9(~)) as~~b (4) T=l a
a

5) The Fredholm equation of the second kind The series in (12) is termed a Neumann se-
ries, and

f(z) + /b K(%, y)f(y)~y = g(~), a<x<b

Ja
(5)
Kn(z, y) = /’ K(Z>
a
2’)Kn_~(z, y)dz (13)

6) The Fredholm equation of the third kind

is called the resolvent kernel where K1 (z, y) =

a~z~b(6) K(x,y).
f(z) +/’ K($> y)j(y)dy = 0,
a As an example, we input the equation p(x) –

which is also called the homogeneous Fredholm 1/2.# ZYP(Y) dy = 5/6z to the procedure Int-
equation of the second kind. Solve (see appendix for the syntax). The equa-

In the above, g(x) is a known function called tion is transformed to a standard form, and the

the influence function, the kernel K(z, y) is a Neumann series of order 4 (the default) is pro-
given complex-valued function, and ~(z) is the duced. In this case, the series has a simple sum,

function to be found. collapsing down to the single term 7775/7776x.

It will be helpful to bear in mind that Fred- Asking for the Neumann series of order 8 pro-
holm equations can be represented in opera- duces instead 10077695/10077696 z.
tional forms. corresponding to (4), (5) and (6), For a Volterra equation of the second kind,
one has there exists a unique solution for any continu-

I{f = g, (7) ous g(x), and the Neumann series is uniformly

convergent, and the limit function of the Neu-
f+l{f=g, (8)
mann series is the unique solution. Thus, the
f+l<f=o. (9) Neumann series solution for a Volterra equation

96
can be obtained using the same method for a and the solution follows immediately.
Fredholm equation of the second kind. The Laplace transform can be used to find
(2) Laplace transform method the solution for a Volterra equation of the third
If a Volterra equation possesses a convolu- kind with singular kernel. If the kernel has the
tion type kernel, i.e., K(z, y) = K(x – y), form K(z, y) = -, then the Laplace trans-
then, the Laplace transform method may be form of the equation (3), or
the easiest way to obtain the solution. Take
$ II(Z — y)
the
example.
Volterra
If the
equation
Laplace
of the
transform
second kind,
of a func-
for
J o x
f(Y)~Y = f(~) (19)

tion R(z) with respect to x, by parameter S, is leads to a differential equation of the form
denoted by L[.R(z), s], i.e.,
dL[f(x), s]
— = –L[H(z), s] L[f(x), s]. (20)
L[R(z), s] = Jw e-s’l?(z)dz, (14) ds

Solving this equation for L[f(r), s] and then

then a Volterra equation of the second kind with
taking the inverse Laplace transform yields the
lower integral limit a = O can be transformed
solution. This method is particularly powerful
to
in Maple, with its good quadrature.
L[f(z), s] + L[k(z), s] L[j(z), s] = J5[g(z), s] (3) Differentiation method
(15) Many Volterra equations have equivalent dif-
since ferential equations. This suggests finding the
solution of the integral equation by solving its
L[f K(Z> y) f(y)dy, s] = L[K(Z), S]qf(z), s]. equivalent differential equation. In transform-
ing an integral equation to its equivalent differ-
From (15), L[~(z), s] can be explicitly found,, ential equation, one must liberate the unknown
and the solution can be obtained by taking the function from under the integral. Since
inverse Laplace transform of L[~(z), s] with re-
spect to s,which yields

1
L[g(x), s]
f(x) = L-’ (16) differentiating a Volterra equation of the sec-
[ 1 +’L[K(z), s] “
ond kind produces a series of integro-differential
As an example, we input equations (or integral equations) that possess
kernels of the form
/“sin(a(~-Y))f(Y)~Y ‘~
dli’(x, y) dn~f(~> Y) , etc
~~($>Y), dz ,.. . . (22)
(which is Oalready in standard form). The dxn

Laplace transform method yields the result If % . 0 or - = ~~=ot~=

~(z) = az+ ~ti(x), where 6(x) is the Dirac delta
with tm being functions of x only, then the nth
function. The Laplace transform method is the
order integro-differential equation reduces to a
only one implemented that can deal with solu-
pure differential equation. In other words, each
tions involving the Dirac delta function or the
differentiation generates one more equation and
Heaviside step function.
simultaneously generates one more unknown of
Similarly, the equation of the form
the form

f(z) +/m K(y - Z) f(y)dy = g(z) (17) . (jnI<($, dj(y)dy.

is transformed
x
to
Ja dxn
(23)

If this unknown can be eliminated, the nth or-

L[~(z), s] + L[k(z), –s]L[j(z), S] = L[g(~), s], der equation reduces to a differential equation.
(18) By evaluating all integro-differential equations

97
of the order lower than n at z = a, one ob- The computer procedure is: (i) to determine gi
tains n – 1 initial conditions. Thus the integral using (25), (ii) to calculate Dij using (28), (iii)
equation problem changes to an initial- value or to solve the matrix equation (27) for fi, and (iv)
Cauchy problem. to form the solution using (26).
As an example we input We can re-solve the first example using this
method. When we issue the command “lnt-
f(z) = ~ + 1 + J“(I + 2(Z - !J))f(Y) ~Y Solve(eqn,p(x) ,eigenfunc);”, we get the exact
solution p(x) = z output.
which IntSolve transforms to the standard form
A Fredholm equation of the third kind is ba-
f($) + J;(–1 – 2X + Zy)f(y)dy = ~ + 1. sically an eigenfunction problem. Since the so-
The built-in “expert” decides that the Laplace
lution for a degenerate kernel problem can only
method is suitable, but this is overridden by a
be of the form
specific request for the differentiation method.
IntSolve then produces the initial-value prob-
(29)
lem ~(0) = 1, D(~)(0) = 1 + ~(o), ~2(~)(~) – i=l
D(j)(x) –2~(z) = O and recommends the use of
substitution of (29) and (24) into (6) yields a
‘{dsolve”. Use of dsolve, with the second initial
system of algebraic equations
condition standardized to D(~)(0) = 2, gives
~(z) = exp(22).
(4) Separable Kernel Method ~Kijfj = f;, ~ = 1,2...~ (30)
j=l
The theory of Fredholm equations for gen-
eral kernels is very difficult. However, many where I{ij are calculated by
equations that arise in practice have separable
kernels, or degenerate kernels, i.e.,
~ft, =/b~J~)%(~)~~- ~>~ = l>zn (31)
a

1<($, y) = f Cad;. (24) The computer procedure is similar to the one

i=l
for Fredholm equations of the first kind.
This sort of equation can be solved by trans- Degenerate Fredholm equations of the sec-
forming the integral equation into a linear sys- ond kind can be easily transformed to degener-
tem of algebraic equations. ate Fredholm equations of the third kind, by a
A Fredholm equation of the first kind with “translation” of the unknown f(z) to a new un-
degenerate kernel (24) has a solution if and only known ~(z), where f(z) = ~(x) + g(z), where
if the influence function has the form g(z) is the non-zero influence function of the
problem.
g(x) = ~gici(z), (25)
Thus we see that there are two possibili-
‘kl
ties for the solution of Fredholm equations of
and then the solution can be represented by the second kind. (i) The solution exists and
is unique for any continuous influence function
(26) g(z), if and only if the associated homogeneous
i=l
equation has only the zero solution. (ii) If, how-
where f; and g; are constants that satisfy the ever, the associated homogeneous equation has
linear system of equations a non zero solution, then the equation may or
may not have a solution depending upon g(z).
sDijfj = g,, i = 1,2...n (27) The system of the algebraic equations for the
j=l
Fredholm equation of the second kind is gener-
with Dij defined as ated as the following.

Dij = /b4(z)cj(z)dz, z,j = 1,2...n (28) gi=/bd(~)g(z)dx i= 1,2...n (32)

a a

98
 More details of the syntax can be found in
Kij=/bci@)dj(+ix i,j= 1,2...n (33)
a the Int Solve help file. Some examples are given
in the appendix.
and
The implementation relies strongly on the
existing Maple library. In particular, heavy
i = I,z...n (34)
fi = ~ Kijfj + gi,
use is made of the linear system solving rou-
j=l
tines (for the degenerate kernel cases), and
If the above linear system of equations has a “linalg[det]” is used to identify eigenvalues for
solution, the solution for the Fredholm equation eigenvalue problems. A better implementa-
is tion would use the Row Echelon Decomposi-
n
tion [Cor192] and return a guaranteed indicator
f(z) = 9($) – Efi%(r), (35)
of when the returned result was valid (this is
i= 1
sometimes called the “last proviso” approach).
and otherwise the equation has no solution. The pattern-matching facility is used to check if
the influence function is of allowable type for a
Fredholm equation of the first kind. The built-
4 A Maple procedure for solving in Laplace transform routine is heavily used in
linear integral equations the Laplace transform method approach (in fact
in many cases the built-in Laplace transform
A Maple procedure IntSolve using the above de- package can be used directly on the input in-
scribed methods for solving linear integral equa- tegral equation — this routine only provides a
tions has been written and tested. The essential uniform interface), as are the algebraic and dif-
functions assigned in the introduction of this ferential equation solvers “solve” and “dsolve”.
paper are achieved. The classification of the
equation and the consistency condition check
are automatically performed. The procedure is 5 Concuding Remarks
able to find closed-form solutions for many irl-
In this paper we have outlined several exist-
tegral equations.
ing methods for solving linear integral equations
The methods of solving equations are
that have been implemented in a Maple proce-
grouped to two levels, default methods and su-
dure, IntSolve. The procedure was tested with
pervised methods. Default methods for various
more than 50 examples (not shown). IntSolve
equations are the following:
is intended to be made available in the Maple
Neumann series (default order 4) — equations
Share Library.
of the second kind
Extending this procedure to include methods
Laplace transform — singular Volterra equation
for some special type of kernel or singular inte-
of the third kind
gral is possible. A complementary procedure
Degenerate kernel — Fredholm equation of the
for approximating the solution using a mixture
first and the third kind
of symbolic computation and numerical evalu-
Differentiating — Volterra equation of the first
ation would be of great interest.
kind. Default methods are used either when
the user does not specify which method to use
or the user specified method does not exist. Acknowledgements
The supervised methods are used only when
requested by the user and are considered to Honglin Ye thanks his supervisor, Professor
be suitable by the built in “expert”. IntSolve Paul J. Sullivan, for support during this project.
can also provide various levels of information Robert Corless was supported by grants from
on classification, method choice etc. during the the Natural Science and Engineering Research
progress of execution. Council of Canada and the Information Tech-

99
nology Research Council of Ontario. Both au-
thors thank Professor David Jeffrey for help-
ful comments. Thanks also to Maria Lavdas,
Director of SCiTeX, for last-minute emergency
help with L$TEX.

References

[Atki76] K. E. Atkinson, A Survey of Nu-

merical Methods for the Solution of Fredholm
Integral Equations of the Second Kind, SIAM,
Philadelphia, 1976.
[Bake71] C. T. H. Baker, The Numerical
Treatment of Integral Equations, Clarendon
Press, Oxford, 1971.
[Cham76] L1. G, Chambers, Integral Equa-
tions: A short course, International Textbook
Company, London, 1976.
[Cor192] Robert M. Corless, David J. Jeffrey,
and M. A. H. Nerenberg, “The Row Echelon
Decomposition of a Matrix”, submitted.
[Linz91] Peter Lirrz, Bounds and Estimates
for Condition Numbers of Integral Equations,
SIAM J. Numer. Anal., Vol 28. No. 1. pp
227-235, February 1991.
[Tric57] F. G. Tricomi, Integral Equations,
Wiley-Interscience, New York, 1957.
[Wint90] Donald F. Winter, Integral Equa-
tions, in: Handbook of Applied Mathematics,
2nd cd., ed. Carl E. Pearson, Van Nostrand
Rheinhold, New York 1990.

100
> infolevel(IntSolve] :+:
> eq2:=f(x)=x+l+int( (l+2*(x-y) )*f(y),y=O. .x):
>IntSolve(eq2, f(x),differentiate) ;

IntSolve: functionname=
f

IntSolve: indepedentvar=
x
IntSolve: intgralvar=
Y

IntSolve: lowerlimit=
o
IntSolve: upperlimit=
x

IntSolve: The equation to be solved is a

Volterra

integral equation of the

second

kind, The standard form is:

x
I
I
f(x) + I (- 1 2x+2y)f(y)dy=x+l
I
I
o
IntSolve: The equation has convolution type kernel, it
can be solved using Laplace transform method,
IntSolve: The equation is being solved using differentiating
method as you requested,
IntSolve: The integral equation has been transformed
into the following differential equation. It may be solved using
the Maple differential equation solver named dsolve.
f(o) -l=o

D(f)(0) - f(0) - 1 :: 0

(2)
D (f)(x) - D(f)(x) -2 f(x) ❑ O

> infolevel [IntSolve] :=3:

> eql := p(x) -1/2’int(x*y*p(y),y=O,,,,l) = 5/6*x:
>IntSolve(eql,p(x) );
IntSolve: The equation to be solved is a
Fredholm

integral equation of the

second

kind, The standard form is:

101
 p(x) + I - 1/2 Xy p(y) dy = 5/6 X
I
I
o
1775
---- x
7776

> eq3 := int(sin(a* (x-y) )* f(y), y= O., .X) = x:

>IntSolve(eq3 ,f(x), laplace) ;
x
/
I
I sin(a (x- y)) f(y) dy=x
I
I
o
L
Dirac(x) + a x
-r-------------
a

> eq4:=f(x)+b*int ((x*y+xA2*yA2 )’f(y),y=-l. .l)=d(x):

>IntSolve(eq4, f(x),eigenfunc);
1
I
I
f(x)+ I bxy(l+x y) f(y) dy= d(x)
I
/
-1

1 1

1’ 1’ 2 2
I -byd(y)dyx I -by d(y)dyx

/’ I
-1 -1
d(x) + ------------------- + ---------------------
1+ 2/3 b 1 + 2/5 b

#
# Note that the eigenvalues of this integral equation are
# available on request, though in this case they are visible
# from the solution.
#

102