Chapter 1 Introduction In this chapter, we describe the aims of perturbation theory in general terms, and give some simple illustrative examples of perturbation problems. Some texts and references on perturbation theory are [6], [7], and [10]. 1.1 Perturbation theory Consider a problem P ε (x) = 0 (1.1) depending on a small, real-valued parameter ε that simplifies in some way when ε = 0 (for example, it is linear or exactly solvable). The aim of perturbation theory is to determine the behavior of the solution x = xε of (1.1) as ε → 0. The use of a small parameter here is simply for definiteness; for example, a problem depending on a large parameter ω can be rewritten as one depending on a small parameter ε = 1/ω. The focus of these notes is on perturbation problems involving differential equations, but perturbation theory and asymptotic analysis apply to a broad class of problems. In some cases, we may have an explicit expression for xε , such as an integral representation, and want to obtain its behavior in the limit ε → 0. 1.1.1 Asymptotic solutions The first goal of perturbation theory is to construct a formal asymptotic solution of (1.1) that satisfies the equation up to a small error. For example, for each N ∈ N, we may be able to find an asymptotic solution xεN such that P ε (xεN ) = O(εN +1 ), where O(εn ) denotes a term of the the order εn . This notation will be made precise in Chapter 2. 1 2 Introduction Once we have constructed such an asymptotic solution, we would like to know that there is an exact solution x = xε of (1.1) that is close to the asymptotic solution when ε is small; for example, a solution such that xε = xεN + O(εN +1 ). This is the case if a small error in the equation leads to a small error in the solution. For example, we can establish such a result if we have a stability estimate of the form |x − y| ≤ C |P ε (x) − P ε (y)| where C is a constant independent of ε, and |·| denotes appropriate norms. Such an estimate depends on the properties of P ε and may be difficult to obtain, especially for nonlinear problems. In these notes we will focus on methods for the construction of asymptotic solutions, and we will not discuss in detail the existence of solutions close to the asymptotic solution. 1.1.2 Regular and singular perturbation problems It is useful to make an imprecise distinction between regular perturbation problems and singular perturbation problems. A regular perturbation problem is one for which the perturbed problem for small, nonzero values of ε is qualitatively the same as the unperturbed problem for ε = 0. One typically obtains a convergent expansion of the solution with respect to ε, consisting of the unperturbed solution and higherorder corrections. A singular perturbation problem is one for which the perturbed problem is qualitatively different from the unperturbed problem. One typically obtains an asymptotic, but possibly divergent, expansion of the solution, which depends singularly on the parameter ε. Although singular perturbation problems may appear atypical, they are the most interesting problems to study because they allow one to understand qualitatively new phenomena. The solutions of singular perturbation problems involving differential equations often depend on several widely different length or time scales. Such problems can be divided into two broad classes: layer problems, treated using the method of matched asymptotic expansions (MMAE); and multiple-scale problems, treated by the method of multiple scales (MMS). Prandtl’s boundary layer theory for the highReynolds flow of a viscous fluid over a solid body is an example of a boundary layer problem, and the semi-classical limit of quantum mechanics is an example of a multiple-scale problem. We will begin by illustrating some basic issues in perturbation theory with simple algebraic equations. Algebraic equations 1.2 3 Algebraic equations The first two examples illustrate the distinction between regular and singular perturbation problems. Example 1.1 Consider the cubic equation x3 − x + ε = 0. (1.2) We look for a solution of the form x = x0 + εx1 + ε2 x2 + O(ε3 ). (1.3) Using this expansion in the equation, expanding, and equating coefficients of εn to zero, we get x30 − x0 = 0, 3x20 x1 − x1 + 1 = 0, 3x0 x2 − x2 + 3x0 x21 = 0. Note that we obtain a nonlinear equation for the leading order solution x0 , and nonhomogeneous linearized equations for the higher order corrections x1 , x2 ,. . . . This structure is typical of many perturbation problems. Solving the leading-order perturbation equation, we obtain the three roots x0 = 0, ±1. Solving the first-order perturbation equation, we find that x1 = 1 . 1 − 3x20 The corresponding solutions are x = ε + O(ε2 ), 1 x = ±1 − ε + O(ε2 ). 2 Continuing in this way, we can obtain a convergent power series expansion about ε = 0 for each of the three distinct roots of (1.2). This result is typical of regular perturbation problems. An alternative — but equivalent — method to obtain the perturbation series is to use the Taylor expansion x(ε) = x(0) + ẋ(0)ε + 1 ẍ(0)ε2 + . . . , 2! where the dot denotes a derivative with respect to ε. To compute the coefficients, we repeatedly differentiate the equation with respect to ε and set ε = 0 in the result. 4 Introduction For example, setting ε = 0 in (1.2), and solving the resulting equation for x(0), we get x(0) = 0, ±1. Differentiating (1.2) with respect to ε, we get 3x2 ẋ − ẋ + 1 = 0. Setting ε = 0 and solving for ẋ(0), we get the same answer as before. Example 1.2 Consider the cubic equation εx3 − x + 1 = 0. (1.4) Using (1.3) in (1.4), expanding, and equating coefficents of εn to zero, we get −x0 + 1 = 0, −x1 + x30 = 0, −x2 + 3x20 x1 = 0. Solving these equations, we find that x0 = 1, x1 = 1, . . . , and hence x(ε) = 1 + ε + O(ε2 ). (1.5) We only obtain one solution because the cubic equation (1.4) degenerates to a linear equation at ε = 0. We missed the other two solutions because they approach infinity as ε → 0. A change in the qualitative nature of the problem at the unperturbed value ε = 0 is typical of singular perturbation problems. To find the other solutions, we introduce a rescaled variable y, where x(ε) = 1 y(ε), δ(ε) and y = O(1) as ε → 0. The scaling factor δ is to be determined. Using this equation in (1.4), we find that ε 3 1 y − y + 1 = 0. δ3 δ (1.6) In order to obtain a nontrivial solution, we require that at least two leading-order terms in this equation have the same order of magnitude. This is called the principle of dominant balance. Balancing the first two terms, we find that∗ ε 1 = , δ3 δ which implies that δ = ε1/2 . The first two terms in (1.4) are then O(ε−1/2 ), and the third term is O(1), which is smaller. With this choice of δ, equation (1.6) becomes y 3 − y + ε1/2 = 0. ∗ Nonzero constant factors can be absorbed into y. Algebraic equations 5 Solving this equation in the same way as (1.2), we get the nonzero solutions 1 y = ±1 − ε1/2 + O(ε). 2 The corresponding solutions for x are 1 1 x = ± 1/2 − + O ε1/2 . 2 ε The dominant balance argument illustrated here is useful in many perturbation problems. The corresponding limit, ε → 0 with x(ε) = O(ε−1/2 ), is called a distinguished limit. There are two other two-term balances in (1.6). Balancing the second and third terms, we find that 1 =1 δ or δ = 1. The first term is then O(ε), so it is smaller than the other two terms. This dominant balance gives the solution in (1.5). Balancing the first and third terms, we find that ε = 1, δ3 or δ = ε1/3 . In this case, the first and third terms are O(1), but the second term is O(ε−1/3 ). Thus, it is larger than the terms that balance, so we do not obtain a dominant balance or any new solutions. In this example, no three-term dominant balance is possible as ε → 0, but this can occur in other problems. Example 1.3 A famous example of the effect of a perturbation on the solutions of a polynomial is Wilkinson’s polynomial (1964), (x − 1)(x − 2) . . . (x − 20) = εx19 . The perturbation has a large effect on the roots even for small values of ε. The next two examples illustrate some other features of perturbation theory. Example 1.4 Consider the quadratic equation (1 − ε)x2 − 2x + 1 = 0. Suppose we look for a straightforward power series expansion of the form x = x0 + εx1 + O(ε2 ). We find that x20 − 2x0 + 1 = 0, 2(x0 − 1)x1 = x20 . 6 Introduction Solving the first equation, we get x0 = 1. The second equation then becomes 0 = 1. It follows that there is no solution of the assumed form. This difficulty arises because x = 1 is a repeated root of the unperturbed problem. As a result, the solution x= 1 ± ε1/2 1−ε does not have a power series expansion in ε, but depends on ε1/2 . An expansion x = x0 + ε1/2 x1 + εx2 + O(ε3/2 ) leads to the equations x0 = 1, x21 = 1, or x = 1 ± ε1/2 + O(ε) in agreement with the exact solution. Example 1.5 Consider the transcendental equation xe−x = ε. (1.7) As ε → 0+ , there are two possibilities: (a) x → 0, which implies that x = ε + ε2 + O(ε2 ); (b) e−x → 0, when x → ∞. In the second case, x must be close to log 1/ε. To obtain an asymptotic expansion for the solution, we solve the equation iteratively using the idea that e−x varies much more rapidly than x as x → 0. Rewriting (1.7) as e−x = ε/x and taking logarithms, we get the equivalent equation 1 x = log x + log . ε Thus solutions are fixed points of the function 1 f (x) = log x + log . ε We then define iterates xn , n ∈ N, by 1 xn+1 = log xn + log , ε 1 x1 = log . ε Defining 1 L1 = log , ε 1 L2 = log log ε , Eigenvalue problems 7 we find that x2 = L1 + L2 , x3 = L1 + log(L1 + L2 ) L2 +O = L1 + L2 + L1 L2 L1 2 ! . At higher orders, terms involving 1 L3 = log log log ε , and so on, appear. The form of this expansion would be difficult to guess without using an iterative method. Note, however, that the successive terms in this asymptotic expansion converge very slowly as ε → 0. For example, although L2 /L1 → 0 as ε → 0, when ε = 0.1, L1 ≈ 36, L2 ≈ 12; and when ε = 10−5 , L1 ≈ 19, L2 ≈ 1. 1.3 Eigenvalue problems Spectral perturbation theory studies how the spectrum of an operator is perturbed when the operator is perturbed. In general, this question is a difficult one, and subtle phenomena may occur, especially in connection with the behavior of the continuous spectrum of the operators. Here, we consider the simplest case of the perturbation in an eigenvalue. Let H be a Hilbert space with inner product h·, ·i, and Aε : D(Aε ) ⊂ H → H a linear operator in H, with domain D(Aε ), depending smoothly on a real parameter ε. We assume that: (a) Aε is self-adjoint, so that hx, Aε yi = hAε x, yi for all x, y ∈ D(Aε ); (b) Aε has a smooth branch of simple eigenvalues λε ∈ R with eigenvectors xε ∈ H, meaning that Aε xε = λε xε . (1.8) We will compute the perturbation in the eigenvalue from its value at ε = 0 when ε is small but nonzero. A concrete example is the perturbation in the eigenvalues of a symmetric matrix. In that case, we have H = Rn with the Euclidean inner product hx, yi = xT y, 8 Introduction and Aε : Rn → Rn is a linear transformation with an n × n symmetric matrix (aεij ). The perturbation in the eigenvalues of a Hermitian matrix corresponds to H = Cn with inner product hx, yi = xT y. As we illustrate below with the Schrödinger equation of quantum mechanics, spectral problems for differential equations can be formulated in terms of unbounded operators acting in infinite-dimensional Hilbert spaces. We use the expansions Aε = A0 + εA1 + . . . + εn An + . . . , xε = x0 + εx1 + . . . + εn xn + . . . , λε = λ0 + ελ1 + . . . + εn λn + . . . in the eigenvalue problem (1.8), equate coefficients of εn , and rearrange the result. We find that (A0 − λ0 I) x0 = 0, (A0 − λ0 I) x1 = −A1 x0 + λ1 x0 , n X {−Ai xn−i + λi xn−i } . (A0 − λ0 I) xn = (1.9) (1.10) (1.11) i=1 Assuming that x0 6= 0, equation (1.9) implies that λ0 is an eigenvalue of A0 and x0 is an eigenvector. Equation (1.10) is then a singular equation for x1 . The following proposition gives a simple, but fundamental, solvability condition for this equation. Proposition 1.6 Suppose that A is a self-adjoint operator acting in a Hilbert space H and λ ∈ R. If z ∈ H, a necessary condition for the existence of a solution y ∈ H of the equation (A − λI) y = z (1.12) is that hx, zi = 0, for every eigenvector x of A with eigenvalue λ. Proof. Suppose z ∈ H and y is a solution of (1.12). If x is an eigenvector of A, then using (1.12) and the self-adjointness of A − λI, we find that hx, zi = hx, (A − λI) yi = h(A − λI) x, yi = 0. Eigenvalue problems 9 In many cases, the necesary solvability condition in this proposition is also sufficient, and then we say that A − λI satisfies the Fredholm alternative; for example, this is true in the finite-dimensional case, or when A is an elliptic partial differential operator. Since A0 is self-adjoint and λ0 is a simple eigenvalue with eigenvector x0 , equation (1.12) it is solvable for x1 only if the right hand side is orthogonal to x0 , which implies that λ1 = hx0 , A1 x0 i . hx0 , x0 i This equation gives the leading order perturbation in the eigenvalue, and is the most important result of the expansion. Assuming that the necessary solvability condition in the proposition is sufficient, we can then solve (1.10) for x1 . A solution for x1 is not unique, since we can add to it an arbitrary scalar multiple of x0 . This nonuniqueness is a consequence of the fact that if xε is an eigenvector of Aε , then cε xε is also a solution for any scalar cε . If cε = 1 + εc1 + O(ε2 ) then cε xε = x0 + ε (x1 + c1 x0 ) + O(ε2 ). Thus, the addition of c1 x0 to x1 corresponds to a rescaling of the eigenvector by a factor that is close to one. This expansion can be continued to any order. The solvability condition for (1.11) determines λn , and the equation may then be solved for xn , up to an arbitrary vector cn x0 . The appearance of singular problems, and the need to impose solvabilty conditions at each order which determine parameters in the expansion and allow for the solution of higher order corrections, is a typical structure of many pertubation problems. 1.3.1 Quantum mechanics One application of this expansion is in quantum mechanics, where it can be used to compute the change in the energy levels of a system caused by a perturbation in its Hamiltonian. The Schrödinger equation of quantum mechanics is i~ψt = Hψ. Here t denotes time and ~ is Planck’s constant. The wavefunction ψ(t) takes values in a Hilbert space H, and H is a self-adjoint linear operator acting in H with the dimensions of energy, called the Hamiltonian. 10 Introduction Energy eigenstates are wavefunctions of the form ψ(t) = e−iEt/~ ϕ, where ϕ ∈ H and E ∈ R. It follows from the Schrödinger equation that Hϕ = Eϕ. Hence E is an eigenvalue of H and ϕ is an eigenvector. One of Schrödinger’s motivations for introducing his equation was that eigenvalue problems led to the experimentally observed discrete energy levels of atoms. Now suppose that the Hamiltonian H ε = H0 + εH1 + O(ε2 ) depends smoothly on a parameter ε. Then, rewriting the previous result, we find that the corresponding simple energy eigenvalues (assuming they exist) have the expansion E ε = E0 + ε hϕ0 , H1 ϕ0 i + O(ε2 ) hϕ0 , ϕ0 i where ϕ0 is an eigenvector of H0 . For example, the Schrödinger equation that describes a particle of mass m moving in Rd under the influence of a conservative force field with potential V : Rd → R is i~ψt = − ~2 ∆ψ + V ψ. 2m Here, the wavefunction ψ(x, t) is a function of a space variable x ∈ Rd and time t ∈ R. At fixed time t, we have ψ(·, t) ∈ L2 (Rd ), where R L2 (Rd ) = u : Rd → C | u is measurable and Rd |u|2 dx < ∞ is the Hilbert space of square-integrable functions with inner-product Z u(x)v(x) dx. hu, vi = Rd The Hamiltonian operator H : D(H) ⊂ H → H, with domain D(H), is given by H=− ~2 ∆ + V. 2m If u, v are smooth functions that decay sufficiently rapidly at infinity, then Green’s theorem implies that Z ~2 hu, Hvi = u − ∆v + V v dx 2m Rd Z ~2 ~2 ∇ · (v∇u − u∇v) − (∆u)v + V uv dx = 2m 2m Rd Eigenvalue problems 11 ~2 − ∆u + V u v dx = 2m Rd = hHu, vi. Z Thus, this operator is formally self-adjoint. Under suitable conditions on the potential V , the operator can be shown to be self-adjoint with respect to an appropriately chosen domain. Now suppose that the potential V ε depends on a parameter ε, and has the expansion V ε (x) = V0 (x) + εV1 (x) + O(ε2 ). The perturbation in a simple energy eigenvalue E ε = E0 + εE1 + O(ε2 ), assuming one exists, is given by R E1 = V (x)|ϕ0 (x)|2 dx RdR 1 , |ϕ0 (x)|2 dx Rd where ϕ0 ∈ L2 (Rd ) is an unperturbed energy eigenfunction that satisfies − ~2 ∆ϕ0 + V0 ϕ0 = E0 ϕ0 . 2m Example 1.7 The one-dimensional simple harmonic oscillator has potential V0 (x) = 1 2 kx . 2 The eigenvalue problem ~2 00 1 2 ϕ + kx ϕ = Eϕ, ϕ ∈ L2 (R) 2m 2 is exactly solvable. The energy eigenvalues are 1 En = ~ω n + n = 0, 1, 2, . . . , 2 − where r ω= k m is the frequency of the corresponding classical oscillator. The eigenfunctions are 2 ϕn (x) = Hn (αx)e−α x2 /2 , where Hn is the nth Hermite polynomial, Hn (ξ) = (−1)n eξ 2 dn −ξ2 e , dξ n 12 Introduction and the constant α, with dimensions of 1/length, is given by √ mk 2 α = . ~ The energy levels Enε of a slightly anharmonic oscillator with potential V ε (x) = 1 2 k kx + ε 2 W (αx) + O(ε2 ) 2 α where ε > 0 have the asymptotic behavior 1 Enε = ~ω n + + ε∆n + O(ε2 ) 2 as ε → 0+ as ε → 0+ , where R ∆n = 2 W (ξ)Hn2 (ξ)e−ξ dξ R . Hn2 (ξ)e−ξ2 dξ For an extensive and rigorous discussion of spectral perturbation theory for linear operators, see [9]. 1.4 Nondimensionalization The numerical value of any quantity in a mathematical model is measured with respect to a system of units (for example, meters in a mechanical model, or dollars in a financial model). The units used to measure a quantity are arbitrary, and a change in the system of units (for example, to feet or yen, at a fixed exchange rate) cannot change the predictions of the model. A change in units leads to a rescaling of the quantities. Thus, the independence of the model from the system of units corresponds to a scaling invariance of the model. In cases when the zero point of a unit is arbitrary, we also obtain a translational invariance, but we will not consider translational invariances here. Suppose that a model involves quantities (a1 , a2 , . . . , an ), which may include dependent and independent variables as well as parameters. We denote the dimension of a quantity a by [a]. A fundamental system of units is a minimal set of independent units, which we denote symbolically by (d1 , d2 , . . . , dr ). Different fundamental system of units can be used, but given a fundamental system of units any other derived unit may be constructed uniquely as a product of powers of the fundamental units, so that αr 1 α2 [a] = dα 1 d2 . . . d r (1.13) for suitable exponents (α1 , α2 , . . . , αr ). Example 1.8 In mechanical problems, a fundamental set of units is d1 = mass, d2 = length, d3 = time, or d1 = M , d2 = L, d3 = T , for short. Then velocity Nondimensionalization 13 V = L/T and momentum P = M L/T are derived units. We could use instead momentum P , velocity V , and time T as a fundamental system of units, when mass M = P/V and length L = V T are derived units. In problems involving heat flow, we may introduce temperature (measured, for example, in degrees Kelvin) as another fundamental unit, and in problems involving electromagnetism, we may introduce current (measured, for example, in Ampères) as another fundamental unit. The invariance of a model under the change in units dj 7→ λj dj implies that it is invariant under the scaling transformation α α r,i ai → λ1 1,i λ2 2,i . . . λα ai r i = 1, . . . , n for any λ1 , . . . λr > 0, where α α r,i [ai ] = d1 1,i d2 2,i . . . dα . r (1.14) Thus, if a = f (a1 , . . . , an ) is any relation between quantities in the model with the dimensions in (1.13) and (1.14), then f has the scaling property that α α α1,1 α2,1 αr 1 α2 r,n r,1 an . a1 , . . . , λ1 1,n λ2 2,n . . . λα λ2 . . . λ α λα r r 1 λ2 . . . λr f (a1 , . . . , an ) = f λ1 A particular consequence of the invariance of a model under a change of units is that any two quantities which are equal must have the same dimensions. This fact is often useful in finding the dimension of some quantity. Example 1.9 According to Newton’s second law, force = rate of change of momentum with respect to time. Thus, if F denotes the dimension of force and P the dimension of momentum, then F = P/T . Since P = M V = M L/T , we conclude that F = M L/T 2 (or mass × acceleration). Example 1.10 In fluid mechanics, the shear viscosity µ of a Newtonian fluid is the constant of proportionality that relates the viscous stress tensor T to the velocity gradient ∇u: T = 1 µ ∇u + ∇uT . 2 Stress has dimensions of force/area, so [T ] = ML 1 M = . T 2 L2 LT 2 14 Introduction The velocity gradient ∇u has dimensions of velocity/length, so [∇u] = L1 1 = . TL T Equating dimensions, we find that [µ] = M . LT We can also write [µ] = (M/L3 )(L2 /T ). It follows that if ρ0 is the density of the fluid, and µ = ρ0 ν, then [ν] = L2 . T Thus ν, which is called the kinematical viscosity, has the dimensions of diffusivity. Physically it is the diffusivity of momentum. For example, in time T√ , viscous effects lead to the diffusion of momentum over a length scale of the order νT . Scaling invariance implies that we can reduce the number of quantities appearing in the problem by the introduction of dimensionless variables. Suppose that (a1 , . . . , ar ) are a set of (nonzero) quantities whose dimensions form a fundamental system of units. We denote the remaining quantities in the model by (b1 , . . . , bm ), where r + m = n. Then for suitable exponents (β1,i , . . . , βr,i ), the quantity Πi = bi β a1 1,i β . . . ar r,i is dimensionless, meaning that it is invariant under the scaling transformations induced by changes in units. Such dimensionless quantities can often be interpreted as the ratio of two quantities of the same dimension appearing in the problem (such as a ratio of lengths, times, diffusivities, and so on). Perturbation methods are typically applicable when one or more of these dimensionless quantities is small or large. Any relationship of the form b = f (a1 , . . . , ar , b1 , . . . , bm ) is equivalent to a relation Π = f (1, . . . , 1, Π1 , . . . , Πm ). Thus, the introduction of dimensionless quantities reduces the number of variables in the problem by the number of fundamental units involved in the problem. In many cases, nondimensionalization leads to a reduction in the number of parameters in the problem to a minimal number of dimensionless parameters. In some cases, one may be able to use dimensional arguments to obtain the form of self-similar solutions. Nondimensionalization 15 Example 1.11 Consider the following IVP for the Green’s function of the heat equation in Rd : ut = ν∆u, u(x, 0) = Eδ(x). Here δ is the delta-function. The dimensioned parameters in this problem are the diffusivity ν and the energy E of the point source. The only length and times scales are those that come from the independent variables (x, t), so the solution is self-similar. We have [u] = θ, where θ denotes temperature, and, since Z u(x, 0) dx = E, Rd we have [E] = θLd . Dimensional analysis and the rotational invariance of the Laplacian ∆ imply that E |x| . u(x, t) = f √ (νt)d/2 νt Using this expression for u(x, t) in the PDE, we get an ODE for f (ξ), ξ d−1 d 00 f + + f 0 + f = 0. 2 ξ 2 We can rewrite this equation as a first-order ODE for f 0 + 2ξ f , 0 d−1 ξ ξ 0 0 f + f = 0. f + f + 2 ξ 2 Solving this equation, we get ξ b f 0 + f = d−1 , 2 ξ where b is a constant of integration. Solving for f , we get Z −ξ2 2 2 e f (ξ) = ae−ξ /4 + be−ξ /4 dξ, ξ d−1 where a s another constant of integration. In order for f to be integrable, we must set b = 0. Then aE |x|2 u(x, t) = exp − . 4νt (νt)d/2 Imposing the requirement that Z u(x, t) dx = E, Rd 16 Introduction and using the standard integral Z |x|2 d/2 dx = (2πc) , exp − 2c Rd we find that a = (4π)−d/2 , and u(x, t) = E |x|2 exp − . 4νt (4πνt)d/2 Example 1.12 Consider a sphere of radius L moving through a fluid with constant speed U . A primary quantity of interest is the total drag force D exerted by the fluid on the sphere. We assume that the fluid is incompressible, which is a good approximation if the flow speed U is much less than the speed of sound in the fluid. The fluid properties are then determined by the density ρ0 and the kinematic viscosity ν. Hence, D = f (U, L, ρ0 , ν). Since the drag D has the dimensions of force (M L/T 2 ), dimensional analysis implies that UL 2 2 . D = ρ0 U L F ν Thus, the dimensionless drag D = F (Re) ρ0 U 2 L2 is a function of the Reynold’s number Re = UL . ν The function F has a complicated dependence on Re that is difficult to compute explicitly. For example, F changes rapidly near Reynolds numbers for which the flow past the sphere becomes turbulent. Nevertheless, experimental measurements agree very well with the result of this dimensionless analysis (see Figure 1.9 in [1], for example). Dimensional analysis leads to continuous scaling symmetries. These scaling symmetries are not the only continuous symmetries possessed by differential equations. The theory of Lie groups and Lie algebras provides a systematic method for computing all continuous symmetries of a given differential equation [13]. Lie originally introduced the notions of Lie groups and Lie algebras precisely for this purpose. Example 1.13 The full group of symmetries of the one-dimensional heat equation ut = uxx Nondimensionalization 17 is generated by the following transformations [13]: u(x, t) 7→ u(x − α, t), u(x, t) 7→ u(x, t − β), u(x, t) 7→ γu(x, t), u(x, t) 7→ u(δx, δ 2 t), 2 u(x, t) 7→ e−εx+ε t u(x − 2εt, t), x t −ηx2 1 u , , exp u(x, t) 7→ √ 1 + 4ηt 1 + 4ηt 1 + 4ηt 1 + 4ηt u(x, t) 7→ u(x, t) + v(x, t), where (α, . . . , η) are constants, and v(x, t) is an arbitrary solution of the heat equation. The scaling symmetries involving γ and δ can be deduced by dimensional arguments, but the symmetries involving ε and η cannot. For further discussion of dimensional analysis and self-similar solutions, see [1]. 18 Chapter 2 Asymptotic Expansions In this chapter, we define the order notation and asymptotic expansions. For additional discussion, see [3], and [12]. 2.1 Order notation The O and o order notation provides a precise mathematical formulation of ideas that correspond — roughly — to the ‘same order of magnitude’ and ‘smaller order of magnitude.’ We state the definitions for the asymptotic behavior of a real-valued function f (x) as x → 0, where x is a real parameter. With obvious modifications, similar definitions apply to asymptotic behavior in the limits x → 0+ , x → x0 , x → ∞, to complex or integer parameters, and other cases. Also, by replacing | · | with a norm, we can define similiar concepts for functions taking values in a normed linear space. Definition 2.1 Let f, g : R \ 0 → R be real functions. We say f = O(g) as x → 0 if there are constants C and r > 0 such that |f (x)| ≤ C|g(x)| whenever 0 < |x| < r. We say f = o(g) as x → 0 if for every δ > 0 there is an r > 0 such that |f (x)| ≤ δ|g(x)| whenever 0 < |x| < r. If g 6= 0, then f = O(g) as x → 0 if and only if f /g is bounded in a (punctured) neighborhood of 0, and f = o(g) if and only if f /g → 0 as x → 0. We also write f g, or f is ‘much less than’ g, if f = o(g), and f ∼ g, or f is asymptotic to g, if f /g → 1. Example 2.2 A few simple examples are: (a) sin 1/x = O(1) as x → 0 19 20 Asymptotic Expansions (b) it is not true that 1 = O(sin 1/x) as x → 0, because sin 1/x vanishes is every neighborhood of x = 0; (c) x3 = o(x2 ) as x → 0, and x2 = o(x3 ) as x → ∞; (d) x = o(log x) as x → 0+ , and log x = o(x) as x → ∞; (e) sin x ∼ x as x → 0; (f) e−1/x = o(xn ) as x → 0+ for any n ∈ N. The o and O notations are not quantitative without estimates for the constants C, δ, and r appearing in the definitions. 2.2 Asymptotic expansions An asymptotic expansion describes the asymptotic behavior of a function in terms of a sequence of gauge functions. The definition was introduced by Poincaré (1886), and it provides a solid mathematical foundation for the use of many divergent series. Definition 2.3 A sequence of functions ϕn : R \ 0 → R, where n = 0, 1, 2, . . ., is an asymptotic sequence as x → 0 if for each n = 0, 1, 2, . . . we have ϕn+1 = o (ϕn ) as x → 0. We call ϕn a gauge function. If {ϕn } is an asymptotic sequence and f : R \ 0 → R is a function, we write f (x) ∼ ∞ X an ϕn (x) as x → 0 (2.1) n=0 if for each N = 0, 1, 2, . . . we have f (x) − N X an ϕn (x) = o(ϕN ) as x → 0. n=0 We call (2.1) the asymptotic expansion of f with respect to {ϕn } as x → 0. Example 2.4 The functions ϕn (x) = xn form an asymptotic sequence as x → 0+ . Asymptotic expansions with respect to this sequence are called asymptotic power series, and they are discussed further below. The functions ϕn (x) = x−n form an asymptotic sequence as x → ∞. Example 2.5 The function log sin x has an asymptotic expansion as x → 0+ with respect to the asymptotic sequence {log x, x2 , x4 , . . .}: 1 log sin x ∼ log x + x2 + . . . 6 as x → 0+ . Asymptotic expansions 21 If, as is usually the case, the gauge functions ϕn do not vanish in a punctured neighborhood of 0, then it follows from Definition 2.1 that PN f (x) − n=0 an ϕn (x) aN +1 = lim . x→0 ϕN +1 Thus, if a function has an expansion with respect to a given sequence of gauge functions, the expansion is unique. Different functions may have the same asymptotic expansion. Example 2.6 For any constant c ∈ R, we have 1 + ce−1/x ∼ 1 + x + x2 + . . . + xn + . . . 1−x as x → 0+ , since e−1/x = o(xn ) as x → 0+ for every n ∈ N. Asymptotic expansions can be added, and — under natural conditions on the gauge functions — multiplied. The term-by-term integration of asymptotic expansions is valid, but differentiation may not be, because small, highly-oscillatory terms can become large when they are differentiated. Example 2.7 Let f (x) = 1 + e−1/x sin e1/x . 1−x Then f (x) ∼ 1 + x + x2 + x3 + . . . as x → 0+ , but f 0 (x) ∼ − cos e1/x + 1 + 2x + 3x2 + . . . x2 as x → 0+ . Term-by-term differentiation is valid under suitable assumptions that rule out the presence of small, highly oscillatory terms. For example, a convergent power series expansion of an analytic function can be differentiated term-by-term 2.2.1 Asymptotic power series Asymptotic power series, f (x) ∼ ∞ X an xn as x → 0, n=0 are among the most common and useful asymptotic expansions. 22 Asymptotic Expansions If f is a smooth (C ∞ ) function in a neighborhood of the origin, then Taylor’s theorem implies that N X f (n) (0) n when |x| ≤ r, x ≤ CN +1 xN +1 f (x) − n! n=0 where CN +1 = sup |x|≤r (N +1) f (x) (N + 1)! . It follows that f has the asymptotic power series expansion f (x) ∼ ∞ X f (n) (0) n x n! n=0 as x → 0. (2.2) The asymptotic power series in (2.2) converges to f in a neighborhood of the origin if and only if f is analytic at x = 0. If f is C ∞ but not analytic, the series may converge to a function different from f (see Example 2.6 with c 6= 0) or it may diverge (see (2.4) or (3.3) below). The Taylor series of f (x) at x = x0 , ∞ X f (n) (x0 ) (x − x0 )n , n! n=0 does not provide an asymptotic expansion of f (x) as x → x1 when x1 6= x0 even if it converges. The partial sums therefore do not generally provide a good approximation of f (x) as x → x1 . (See Example 2.9, where a partial sum of the Taylor series of the error function at x = 0 provides a poor approximation of the function when x is large.) The following (rather surprising) theorem shows that there are no restrictions on the growth rate of the coefficients in an asymptotic power series, unlike the case of convergent power series. Theorem 2.8 (Borel-Ritt) Given any sequence {an } of real (or complex) coefficients, there exists a C ∞ -function f : R → R (or f : R → C) such that X f (x) ∼ an xn as x → 0. Proof. Let η : R → R be a C ∞ -function such that 1 if |x| ≤ 1, η(x) = 0 if |x| ≥ 2. We choose a sequence of positive numbers {δn } such that δn → 0 as n → ∞ and n x ≤ 1, (2.3) |an | x η δn C n 2n Asymptotic expansions 23 where kf kC n = sup x∈R n X (k) f (x) k=0 n denotes the C -norm. We define f (x) = ∞ X an xn η n=0 x δn . This series converges pointwise, since when x = 0 it is equal to a0 , and when x 6= 0 it consists of only finitely many terms. The condition in (2.3) implies that the sequence converges in C n for every n ∈ N. Hence, the function f has continuous derivatives of all orders. 2.2.2 Asymptotic versus convergent series We have already observed that an asymptotic series need not be convergent, and a convergent series need not be asymptotic. To explain the difference in more detail, we consider a formal series ∞ X an ϕn (x), n=0 where {an } is a sequence of coefficients and {ϕn (x)} is an asymptotic sequence as x → 0. We denote the partial sums by SN (x) = N X an ϕn (x). n=0 Then convergence is concerned with the behavior of SN (x) as N → ∞ with x fixed, whereas asymptoticity (at x = 0) is concerned with the behavior of SN (x) as x → 0 with N fixed. A convergent series define a unique limiting sum, but convergence does not give any indication of how rapidly the series it converges, nor of how well the sum of a fixed number of terms approximates the limit. An asymptotic series does not define a unique sum, nor does it provide an arbitrarily accurate approximation of the value of a function it represents at any x 6= 0, but its partial sums provide good approximations of these functions that when x is sufficiently small. The following example illustrates the contrast between convergent and asymptotic series. We will examine another example of a divergent asymptotic series in Section 3.1. Example 2.9 The error function erf : R → R is defined by Z x 2 2 e−t dt. erf x = √ π 0 24 Asymptotic Expansions 2 Integrating the power series expansion of e−t term by term, we obtain the power series expansion of erf x, 2 (−1)n 1 3 2n+1 erf x = √ x + ... , x − x + ... + 3 (2n + 1)n! π which is convergent for every x ∈ R. For large values of x, however, the convergence is very slow. the Taylor series of the error function at x = 0. Instead, we can use the following divergent asymptotic expansion, proved below, to obtain accurate approximations of erf x for large x: 2 ∞ e−x X (2n − 1)!! 1 erf x ∼ 1 − √ (−1)n+1 2n xn+1 π n=0 as x → ∞, (2.4) where (2n − 1)!! = 1 · 3 · . . . · (2n − 1). For example, when x = 3, we need 31 terms in the Taylor series at x = 0 to approximate erf 3 to an accuracy of 10−5 , whereas we only need 2 terms in the asymptotic expansion. Proposition 2.10 The expansion (2.4) is an asymptotic expansion of erf x. Proof. We write 2 erf x = 1 − √ π Z ∞ 2 e−t dt, x 2 and make the change of variables s = t , 1 erf x = 1 − √ π Z ∞ s−1/2 e−s ds. x2 For n = 0, 1, 2, . . ., we define Z ∞ Fn (x) = s−n−1/2 e−s ds. x2 Then an integration by parts implies that 2 e−x 1 Fn (x) = 2n+1 − n + Fn+1 (x). x 2 By repeated use of this recursion relation, we find that 1 1 − √ F0 (x) π " # 2 1 e−x 1 = 1− √ − F1 (x) x 2 π 1 1 1 1·3 −x2 − = 1− √ e + 2 F2 (x) x 2x3 2 π erf x = Asymptotic expansions = 25 2 1 · 3 · . . . · (2N − 1) 1 1 1 1 − √ e−x − 3 + . . . (−1)N x 2x 2N x2N +1 π 1 · 3 · . . . · (2N + 1) + (−1)N +1 F (x) . N +1 2N +1 It follows that 2 N e−x X 1 · 3 · . . . · (2n − 1) erf x = 1 − √ (−1)n + RN +1 (x) 2n x2n+1 π n=0 where 1 1 · 3 · . . . · (2N + 1) RN +1 (x) = (−1)N +1 √ FN +1 (x). 2N +1 π Since ≤ ∞ s−n−1/2 e−s ds x2 Z ∞ 1 e−s ds x2n+1 x2 Z |Fn (x)| = 2 ≤ e−x , x2n+1 we have 2 |RN +1 (x)| ≤ CN +1 e−x , x2N +3 where CN = 1 · 3 · . . . · (2N + 1) √ . 2N +1 π This proves the result. 2.2.3 Generalized asymptotic expansions Sometimes it is useful to consider more general asymptotic expansions with respect to a sequence of gauge functions {ϕn } of the form f (x) ∼ ∞ X fn (x), n=0 where for each N = 0, 1, 2, . . . f (x) − N X n=0 fn (x) = o(ϕN +1 ). 26 Asymptotic Expansions For example, an expansion of the form f (x) ∼ ∞ X an (x)ϕn (x) n=0 in which the coefficients an are bounded functions of x is a generalized asymptotic expansion. Such expansions provide additional flexibility, but they are not unique and have to be used with care in many cases. Example 2.11 We have ∞ X 1 ∼ xn 1 − x n=0 as x → 0+ . We also have ∞ X 1 ∼ (1 + x)x2n 1 − x n=0 as x → 0+ . This is a generalized asymptotic expansion with respect to {xn | n = 0, 1, 2, . . .} that differs from the first one. Example 2.12 According to [12], the following generalized asymptotic expansion with respect to the asymptotic sequence {(log x)−n } ∞ sin x X n!e−(n+1)x/(2n) ∼ x (log x)n n=1 as x → ∞ is an example showing that “the definition admits expansions that have no conceivable value.” Example 2.13 A physical example of a generalized asymptotic expansion arises in the derivation of the Navier-Stokes equations of fluid mechanics from the Boltzmann equations of kinetic theory by means of the Chapman-Enskog expansion. If λ is the mean free path of the fluid molecules and L is a macroscopic length-scale of the fluid flow, then the relevant small parameter is ε= λ 1. L The leading-order term in the Chapman-Enskog expansion satisfies the NavierStokes equations in which the fluid viscosity is of the order ε when nondimensionalized by the length and time scales characteristic of the fluid flow. Thus the leading order solution depends on the perturbation parameter ε, and this expansion is a generalized asymptotic expansion. Stokes phenomenon 2.2.4 27 Nonuniform asymptotic expansions In many problems, we seek an asymptotic expansion as ε → 0 of a function u(x, ε), where x is an independent variable.∗ The asymptotic behavior of the function with respect to ε may depend upon x, in which case we say that the expansion is nonuniform. Example 2.14 Consider the function u : [0, ∞) × (0, ∞) → R defined by u(x, ε) = 1 . x+ε If x > 0, then ε ε2 1 1 − + 2 + ... u(x, ε) ∼ x x x as ε → 0+ . On the other hand, if x = 0, then u(0, ε) ∼ 1 ε as ε → 0+ . The transition between these two different expansions occurs when x = O(ε). In the limit ε → 0+ with y = x/ε fixed, we have 1 1 u(εy, ε) ∼ as ε → 0+ . ε y+1 This expansion matches with the other two expansions in the limits y → ∞ and y → 0+ . Nonuniform asymptotic expansions are not a mathematical pathology, and they are often the crucial feature of singular perturbation problems. We will encounter many such problems below; for example, in boundary layer problems the solution has different asymptotic expansions inside and outside the boundary layer, and in various problems involving oscillators nonuniformities aries for long times. 2.3 Stokes phenomenon An asymptotic expansion as z → ∞ of a complex function f : C → C with an essential singularity at z = ∞ is typically valid only in a wedge-shaped region α < arg z < β, and the function has different asymptotic expansions in different wedges.† The change in the form of the asymptotic expansion across the boundaries of the wedges is called the Stokes phenomenon. ∗ We † We consider asymptotic expansions with respect to ε, not x. consider a function with an essential singularity at z = ∞ for definiteness; the same phenomenon occurs for functions with an essential singularity at any z0 ∈ C. 28 Asymptotic Expansions Example 2.15 Consider the function f : C → C defined by 2 f (z) = sinh z 2 = 2 ez − e−z . 2 Let |z| → ∞ with arg z fixed, and define Ω1 = {z ∈ C | −π/4 < arg z < π/4} , Ω2 = {z ∈ C | π/4 < arg z < 3π/4 or −3π/4 < arg z < −π/4} . 2 2 If z ∈ Ω1 , then Re z 2 > 0 and ez e−z , whereas if z ∈ Ω2 , then Re z 2 < 0 and 2 2 ez e−z . Hence ( 1 z2 e as |z| → ∞ in Ω1 , f (z) ∼ 21 −z2 e as |z| → ∞ in Ω2 . 2 The lines arg z = ±π/4, ±3π/4 where the asymptotic expansion changes form are 2 2 called anti-Stokes lines. The terms ez and e−z switch from being dominant to subdominant as z crosses an anti-Stokes lines. The lines arg z = 0, π, ±π/2 where the subdominant term is as small as possible relative to the dominant term are called Stokes lines. This example concerns a simple explicit function, but a similar behavior occurs for solutions of ODEs with essential singularities in the complex plane, such as error functions, Airy functions, and Bessel functions. Example 2.16 The error function can be extended to an entire function erf : C → C with an essential singularity at z = ∞. It has the following asymptotic expansions in different wedges: √ π) as z → ∞ with z ∈ Ω1 , 1 − exp(−z 2 )/(z √ erf z ∼ −1 − exp(−z 2 )/(z π) as z → ∞ with z ∈ Ω2 , √ as z → ∞ with z ∈ Ω3 . − exp(−z 2 )/(z π) where Ω1 = {z ∈ C | −π/4 < arg z < π/4} , Ω2 = {z ∈ C | 3π/4 < arg z < 5π/4} , Ω3 = {z ∈ C | π/4 < arg z < 3π/4 or 5π/4 < arg z < 7π/4} . Often one wants to determine the asymptotic behavior of such a function in one wedge given its behavior in another wedge. This is called a connection problem (see Section 3.5.1 for the case of the Airy function). 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A typical example is the modulation of an oscillatory solution over time-scales that are much greater than the period of the oscillations. We will begin by describing the Poincaré-Lindstedt method, which uses a ‘strained’ time coordinate to construct periodic solutions. We then describe the method of multiple scales. 5.1 Periodic solutions and the Poincaré-Lindstedt expansion We begin by constructing asymptotic expansions of periodic solutions of ODEs. The first example, Duffing’s equation, is a Hamiltonian system with a family of periodic solutions. The second example, van der Pol’s equation, has an isolated limit cycle. 5.1.1 Duffing’s equation Consider an undamped nonlinear oscillator described by Duffing’s equation y 00 + y + εy 3 = 0, where the prime denotes a derivative with respect to time t. We look for solutions y(t, ε) that satisfy the initial conditions y 0 (0, ε) = 0. y(0, ε) = 1, We look for straightforward expansion of an asymptotic solution as ε → 0, y(t, ε) = y0 (t) + εy1 (t) + O(ε2 ). The leading-order perturbation equations are y000 + y0 = 0, y0 (0) = 1, 73 y00 (0) = 0, 74 Method of Multiple Scales: ODEs with the solution y0 (t) = cos t. The next-order perturbation equations are y100 + y1 + y03 = 0, y1 (0) = 0, y10 (0) = 0, with the solution y1 (t) = 3 1 [cos 3t − cos t] − t sin t. 32 8 This solution contains a secular term that grows linearly in t. As a result, the expansion is not uniformly valid in t, and breaks down when t = O(ε) and εy1 is no longer a small correction to y0 . The solution is, in fact, a periodic function of t. The straightforward expansion breaks down because it does not account for the dependence of the period of the solution on ε. The following example illustrates the difficulty. Example 5.1 We have the following Taylor expansion as ε → 0: cos [(1 + ε)t] = cos t − εt sin t + O(ε2 ). This asymptotic expansion is valid only when t ¿ 1/ε. To construct a uniformly valid solution, we introduced a stretched time variable τ = ω(ε)t, and write y = y(τ, ε). We require that y is a 2π-periodic function of τ . The choice of 2π here is for convenience; any other constant period — for example 1 — would lead to the same asymptotic solution. The crucial point is that the period of y in τ is independent of ε (unlike the period of y in t). Since d/dt = ωd/dτ , the function y(τ, ε) satisfies ω 2 y 00 + y + εy 3 = 0, y(0, ε) = 1, y 0 (0, ε) = 0, y(τ + 2π, ε) = y(τ, ε), where the prime denotes a derivative with respect to τ . We look for an asymptotic expansion of the form y(τ, ε) = y0 (τ ) + εy1 (τ ) + O(ε2 ), ω(ε) = ω0 + εω1 + O(ε2 ). Periodic solutions and the Poincaré-Lindstedt expansion 75 Using this expansion in the equation and equating coefficients of ε0 , we find that ω02 y000 + y0 = 0, y00 (0) = 0, y0 (0) = 1, y0 (τ + 2π) = y0 (τ ). The solution is y0 (τ ) = cos τ, ω0 = 1. After setting ω0 = 1, we find that the next order perturbation equations are y100 + y1 + 2ω1 y000 + y03 = 0, y1 (0) = 0, y10 (0) = 0, y1 (τ + 2π) = y1 (τ ). Using the solution for y0 in the ODE for y1 , we get y100 + y1 = 2ω1 cos τ − cos3 τ µ ¶ 3 1 = 2ω1 − cos τ − cos 3τ. 4 4 We only have a periodic solution if ω1 = 3 , 8 and then y1 (t) = 1 [cos 3τ − cos τ ] . 32 It follows that y = cos ωt + 1 ε [cos 3ωt − cos ωt] + O(ε2 ), 32 3 ω = 1 + ε + O(ε2 ). 8 This expansion can be continued to arbitrary orders in ε. The appearance of secular terms in the expansion is a consequence of the nonsolvability of the perturbation equations for periodic solutions. Proposition 5.2 Suppose that f : T → R is a smooth 2π-periodic function, where T is the circle of length 2π. The ODE y 00 + y = f 76 Method of Multiple Scales: ODEs has a 2π-periodic solution if and only if Z f (t) cos t dt = 0, Z f (t) sin t dt = 0. T T Proof. Let L2 (T) be the Hilbert space of 2π-periodic, real-valued functions with inner product Z hy, zi = y(t)z(t) dt. T We write the ODE as Ay = f, where A= Two integration by parts imply that d2 + 1. dt2 Z y (z 00 + z) dt hy, Azi = ZT (y 00 + y) z dt = T = hAy, zi, meaning that operator A is formally self-adjoint in L2 (T). Hence, it follows that if Ay = f and Az = 0, then hf, zi = hAy, zi = hy, Azi = 0. The null-space of A is spanned by cos t and sin t. Thus, the stated condition is necessary for the existence of a solution. When these solvability conditions hold, the method of variation of parameters can be used to construct a periodic solution y(t) = Thus, the conditions are also sufficient. In the equation for y1 , after replacing τ by t, we had f (t) = 2ω1 cos t − cos 3t. This function is orthogonal to sin t, and o n hf, cos ti = 2π 2ω1 cos2 t − cos4 t , ¤ Periodic solutions and the Poincaré-Lindstedt expansion 77 where the overline denotes the average value, Z 1 f= f (t) dt. 2π T Since cos2 t = 1 , 2 cos4 t = 3 , 8 the solvability condition implies that ω1 = 3/8. 5.1.2 Van der Pol oscillator We will compute the amplitude of the limit cycle of the van der Pol equation with small damping, ¡ ¢ y 00 + ε y 2 − 1 y 0 + y = 0. This ODE describes a self-excited oscillator, whose energy increases when |y| < 1 and decreases when |y| > 1. It was proposed by van der Pol as a simple model of a beating heart. The ODE has a single stable periodic orbit, or limit cycle. We have to determine both the period T (ε) and the amplitude a(ε) of the limit cycle. Since the ODE is autonomous, we can make a time-shift so that y 0 (0) = 0. Thus, we want to solve the ODE subject to the conditions that y(t + T, ε) = y(t, ε), y(0, ε) = a(ε), y 0 (0, ε) = 0. Using the Poincaré-Lindstedt method, we introduce a strained variable τ = ωt, and look for a 2π-periodic solution y(τ, ε), where ω = 2π/T . Since d/dt = ωd/dτ , we have ¡ ¢ ω 2 y 00 + εω y 2 − 1 y 0 + y = 0, y(τ + 2π, ε) = y(τ, ε), y(0, ε) = a, y 0 (0, ε) = 0, where the prime denotes a derivative with respect to τ We look for asymptotic expansions, y(τ, ε) = y0 (τ ) + εy1 (τ ) + O(ε2 ), ω(ε) = ω0 + εω1 + O(ε2 ), a(ε) = a0 + εa1 + O(ε2 ). 78 Method of Multiple Scales: ODEs Using these expansions in the equation and equating coefficients of ε0 , we find that ω02 y000 + y0 = 0, y0 (τ + 2π) = y0 (τ ), y0 (0) = a0 , y00 (0) = 0. The solution is y0 (τ ) = a0 cos τ, ω0 = 1. The next order perturbation equations are ¡ ¢ y100 + y1 + 2ω1 y000 + y02 − 1 y00 = 0, y1 (τ + 2π) = y1 (τ ), y1 (0) = a1 , y10 (0) = 0. Using the solution for y0 in the ODE for y1 , we find that ¢ ¡ y100 + y1 = 2ω1 cos τ + a0 a20 cos2 τ − 1 sin τ. The solvability conditions, that the right and side is orthogonal to sin τ and cos τ imply that 1 3 1 a − a0 = 0, 8 0 2 ω1 = 0. We take a0 = 2; the solution a0 = −2 corresponds to a phase shift in the limit cycle by π, and a0 = 0 corresponds to the unstable steady solution y = 0. Then 1 3 y1 (τ ) = − sin 3τ + sin τ + α1 cos τ. 4 4 At the next order, in the equation for y2 , there are two free parameters, (a1 , ω2 ), which can be chosen to satisfy the two solvability conditions. The expansion can be continued in the same way to all orders in ε. 5.2 The method of multiple scales The Poincaré-Linstedt method provides a way to construct asymptotic approximations of periodic solutions, but it cannot be used to obtain solutions that evolve aperiodically on a slow time-scale. The method of multiple scales (MMS) is a more general approach in which we introduce one or more new ‘slow’ time variables for each time scale of interest in the problem. It does not require that the solution depends periodically on the ‘slow’ time variables. The method of multiple scales 79 We will illustrate the method by applying it to Mathieu’s equation for y(t, ε), y 00 + (1 + δ + ε cos kt) y = 0, where (δ, ε, k) are constant parameters, and the prime denotes a derivative with respect to t. This equation describes a parametrically forced linear oscillator whose frequency is changed sinusoidally in time (e.g. small amplitude oscillations of a swing). The equilibrium y = 0 is unstable when the √ frequency k of the parametric forcing is sufficiently close to the resonant frequency 1 + δ of the unforced (ε = 0) oscillator. We suppose that ε ¿ 1 and δ = εδ1 , where δ1 = O(1) as ε → 0. We will consider the case k = 2, which corresponds to the strongest instability, when y(t, ε) satisfies y 00 + (1 + εδ1 + ε cos 2t) y = 0. The idea of the MMS is to describe the evolution of the solution over long timescales of the order ε−1 by the introduction of an additional ‘slow’ time variable τ = εt. We then look for a solution of the form y(t, ε) = ỹ(t, εt, ε), where ỹ(t, τ, ε) is a function of two time variables (t, τ ) that gives y when τ is evaluated at εt. Applying the chain rule, we find that y 0 = ỹt + εỹτ , y 00 = ỹtt + 2εỹtτ + ε2 ỹτ τ , where the subscripts denote partial derivatives. Using this result in the original equation, and denoting partial derivatives by subscripts, we find that ỹ(t, τ, ε) satisfies ỹtt + 2εỹtτ + ε2 ỹτ τ + (1 + εδ1 + ε cos 2t) ỹ = 0. In fact, ỹ(t, τ, ε) only has to satisfy this equation when τ = εt, but we will require that it satisfies it for all (t, τ ). This requirement implies that y satisfies the original ODE. We have therefore replaced an ODE for y by a PDE for ỹ. At first sight, this may not appear to be an improvement, but as we shall see we can use the extra flexibility provided by the dependence of ỹ on two variables to obtain an asymptotic solution for y that is valid for long times of the order ε−1 . Specifically, 80 Method of Multiple Scales: ODEs we will require that y(t, τ, ε) is a periodic function of the ‘fast’ variable t. Moreover, we only need to solve ODEs in t to construct this asymptotic solution. We expand ỹ(t, τ, ε) = y0 (t, τ ) + εy1 (t, τ ) + O(ε2 ). We use this expansion in the equation for ỹ, and equate coefficients of ε0 and ε to zero. We find that y0tt + y0 = 0, y1tt + y1 + 2y0tτ + (δ1 + cos 2t) y0 = 0. The solution of the first equation is y0 (t, τ ) = A(τ )eit + c.c. Here, it is convenient to use complex notation. The amplitude A(τ ) is an arbitrary complex valued function of the ‘slow’ time, and c.c. denotes the complex conjugate of the preceding terms. Using this solution in the second equation, and writing the cosine in terms of exponentials, we find that y1 satisfies y1tt + y1 = −2iAτ eit − A (δ1 + cos 2t) eit + c.c. µ ¶ 1 1 = − Ae3it − 2iAτ + δ1 A + A∗ eit + c.c. 2 2 Here, the star denotes a complex conjugate. The solution for y1 is periodic in t, and does not contain secular terms in t, if and only if the coefficient of the resonant term eit is zero, which implies that A(τ ) satisfies the ODE 1 2iAτ + δ1 A + A∗ = 0. 2 Writing A = u + iv in terms of its real and imaginary parts, we find that µ ¶ µ ¶µ ¶ u 0 δ1 /2 − 1/4 u = v τ −δ1 /2 − 1/4 0 v The solutions of this equation are proportional to e±λτ where r 1 1 − δ12 . λ= 2 4 Thus, in the limit ε → 0, the equilibrium y = 0 is unstable when |δ1 | < 1/2, or |δ| < 1 |ε|. 2 The method of averaging 5.3 81 The method of averaging Consider a system of ODEs for x(t) ∈ Rn which can be written in the following standard form x0 = εf (x, t, ε). (5.1) Here, f : Rn × R × R → Rn is a smooth function that is periodic in t. We assume the period is 2π for definiteness, so that f (x, t + 2π, ε) = f (x, t, ε). Many problems can be reduced to this standard form by an appropriate change of variables. Example 5.3 Consider a perturbed simple harmonic oscillator y 00 + y = εh(y, y 0 , ε). We rewrite this equation as a first-order system and remove the unperturbed dynamics by introducing new dependent variables x = (x1 , x2 ) defined by µ ¶ µ ¶µ ¶ y cos t sin t x1 = . y0 − sin t cos t x2 We find, after some calculations, that (x1 , x2 ) satisfy the system x01 = −εh (x1 cos t + x2 sin t, −x1 sin t + x2 cos t, ε) sin t, x02 = εh (x1 cos t + x2 sin t, −x1 sin t + x2 cos t, ε) cos t, which is in standard periodic form. Using the method of multiple scales, we seek an asymptotic solution of (5.1) depending on a ‘fast’ time variable t and a ‘slow’ time variable τ = εt: x = x(t, εt, ε). We require that x(t, τ, ε) is a 2π-periodic function of t: x(t + 2π, τ, ε) = x(t, τ, ε). Then x(t, τ, ε) satisfies the PDE xt + εxτ = f (x, t, ε). We expand x(t, τ, ε) = x0 (t, τ ) + εx1 (t, τ ) + O(ε2 ). At leading order, we find that x0t = 0. 82 Method of Multiple Scales: ODEs It follows that x0 = x0 (τ ) is independent of t, which is trivially a 2π-periodic function of t. At the next order, we find that x1 satisfies x1t + x0τ = f (x0 , t, 0) , (5.2) x1 (t + 2π, τ ) = x1 (t, τ ). The following solvability condition is immediate. Proposition 5.4 Suppose f : R → Rn is a smooth, 2π-periodic function. Then the n × n system of ODEs for x(t) ∈ Rn , x0 = f (t), has a 2π-periodc solution if and only if Z 2π 1 f (t) dt = 0. 2π 0 Proof. The solution is Z t x(t) = x(0) + f (s) ds. 0 We have Z t+2π x(t + 2π) − x(t) = f (s) ds, t which is zero if and only if f has zero mean over a period. ¤ If this condition does not hold, then the solution of the ODE grows linearly in time at a rate equal to the mean on f over a period. An application of this proposition to (5.2) shows that we have a periodic solution for x1 if and only if x0 satisfies the averaged ODEs x0τ = f (x0 ) , where f (x) = 1 2π Z 2π f (x, t, 0) dt. 0 First we state the basic existence theorem for ODEs, which implies that the solution of (5.1) exists on a time imterval ofthe order ε−1 . Theorem 5.5 Consider the IVP x0 = εf (x, t), x(0) = x0 , The method of averaging 83 where f : Rn ×T → Rn is a Lipschitz continuous function of x ∈ Rn and a continuous function of t ∈ T. For R > 0, let BR (x0 ) = {x ∈ Rn | |x − x0 | < R} , where | · | denotes the Euclidean norm, |x| = n X 2 |xi | . i=1 Let M= sup |f (x, t)|. x∈BR (x0 ),t∈T Then there is a unique solution of the IVP, x : (−T /ε, T /ε) → BR (x0 ) ⊂ Rn that exists for the time interval |t| < T /ε, where T = R . M Theorem 5.6 (Krylov-Bogoliubov-Mitropolski) With the same notation as the previous theorem, there exists a unique solution x : (−T /ε, T /ε) → BR (x0 ) ⊂ Rn of the averaged equation x0 = εf (x), x(0) = x0 , where f (x) = 1 2π Z f (x, t) dt. T e < R, and Assume that f : Rn × T → Rn is continuously differentiable. Let 0 < R define e R Te = , f M f= M sup |f (x, t)|. x∈BR e (x0 ),t∈T Then there exist constants ε0 > 0 and C > 0 such that for all 0 ≤ ε ≤ ε0 |x(t) − x(t)| ≤ Cε for |t| ≤ Te/ε. 84 Method of Multiple Scales: ODEs A more geometrical way to view these results is in terms of Poincaré return maps. We define the Poincaré map P ε (t0 ) : Rn → Rn for (5.1) as the 2π-solution map. That is, if x(t) is the solution of (5.1) with the initial condition x(t0 ) = x0 , then P ε (t0 )x0 = x(t0 + 2π). The choice of t0 is not essential here, since different choices of t0 lead to equivalent Poincaré maps when f is a 2π-periodic function of t. Orbits of the Poincaré map consist of closely spaced points when ε is small, and they are approximated by the trajectories of the averaged equations for times t = O(1/ε). 5.4 The WKB method for ODEs Suppose that the frequency of a simple harmonic oscillator is changing slowly compared with a typical period of the oscillation. For example, consider small-amplitude oscillations of a pendulum with a slowly varying length. How does the amplitude of the oscillations change? The ODE describing the oscillator is y 00 + ω 2 (εt)y = 0, where y(t, ε) is the amplitude of the oscillator, and ω(εt) > 0 is the slowly varying frequency. Following the method of multiple scales, we might try to introduce a slow time variable τ = εt, and seek an asymptotic solutions y = y0 (t, τ ) + εy1 (t, τ ) + O(ε2 ). Then we find that y0tt + ω 2 (τ )y0 = 0, y0 (0) = a, y00 (0) = 0, with solution y0 (t, τ ) = a cos [ω(τ )t] . At next order, we find that y1tt + ω 2 y1 + 2y0tτ = 0, or y1tt + ω 2 y1 = 2aωωτ t cos ωt. The WKB method for ODEs 85 We cannot avoid secular terms that invalidate the expansion when t = O(1/ε). The defect of this solution is that its period as a function of the ‘fast’ variable t depends on the ‘slow’ variable τ . Instead, we look for a solution of the form y = y(θ, τ, ε), 1 θ = ϕ(εt), ε τ = εt, where we require y to be 2π-periodic function of the ‘fast’ variable θ, y(θ + 2π, τ, ε) = y(θ, τ, ε). The choice of 2π for the period is not essential; the important requirement is that the period is a constant that does not depend upon τ . By the chain rule, we have d = ϕτ ∂θ + ε∂τ , dt and 2 y 00 = (ϕτ ) yθθ + ε {2ϕτ yθτ + ϕτ τ yθ } + ε2 yτ τ . It follows that y satisfies the PDE 2 (ϕτ ) yθθ + ω 2 y + ε {2ϕτ yθτ + ϕτ τ yθ } + ε2 yτ τ = 0. We seek an expansion y(θ, τ, ε) = y0 (θ, τ ) + εy1 (θ, τ ) + O(ε2 ). Then 2 (ϕτ ) y0θθ + ω 2 y0 = 0. Imposing the requirement that y0 is a 2π-periodic function of θ, we find that 2 (ϕτ ) = ω 2 , which is satisfied if Z ϕ(τ ) = τ ω(σ) dσ. 0 The solution for y0 is then y0 (θ, τ ) = A(τ )eiθ + c.c., where it is convenient to use complex exponentials, A(τ ) is an arbitrary complexvalued scalar, and c.c. denotes the complex conjugate of the preceding term. 86 Method of Multiple Scales: ODEs At the next order, we find that ω 2 (y1θθ + y1 ) + 2ωy0θτ + ωτ y0θ = 0. Using the solution for y0 is this equation, we find that ω 2 (y1θθ + y1 ) + i (2ωAτ + ωτ A) eiθ + c.c. = 0. The solution for y1 is periodic in θ if and only if A satisfies 2ωAτ + ωτ A = 0. It follows that ¡ ¢ ω|A|2 τ = 0, so that ω|A|2 = constant. Thus, the amplitude of the oscillator is proportional to ω −1/2 as its frequency changes. The energy E ofthe oscillator is given by E = = 1 0 2 1 (y ) + 2 y 2 2 ω 1 2 2 ω |A| . 2 Thus, E/ω is constant. The quantity E/ω is called the action. It is an example of an adiabatic invariant. The WKB method can also be used to obtain asymptotic approximations as ε → 0 of ODEs of the form ε2 y 00 + V (x)y = 0. This form corresponds to a change of variables t 7→ x/ε in the previous equations. The corresponding WKB expansion is is y(x, ε) = A(x, ε)eiS(x)/ε , A(x, ε) = A0 (x) + εA1 (x) + . . . . This expansion breaks down at turning points where V (x) = 0, and then one must use Airy functions (or other functions at degenerate turning points) to describe the asymptotic behavior of the solution. Perturbations of completely integrable Hamiltonian systems 5.5 87 Perturbations of completely integrable Hamiltonian systems Consider a Hamiltonian system whose configuration is described by n angles x ∈ Tn , where Tn is the n-dimensional torus, with corresponding momenta p ∈ Rn . The Hamiltonian H : Tn × Rn → R gives the energy of the system. The motion is described by Hamilton’s equations dx ∂H = , dt ∂p dp ∂H =− . dt ∂x This is a 2n × 2n system of ODEs for x(t), p(t). Example 5.7 The simple pendulum has Hamiltonian H(x, p) = 1 2 p + 1 − cos x. 2 A change of coordinates (x, p) 7→ (x̃, p̃) that preserves the form of Hamilton’s equations (for any Hamiltonian function) is called a canonical change of coordinates. A Hamiltonian system is completely integrable if there exists a canonical change of coordinates (x, p) 7→ (ϕ, I) such that H = H(I) is independent of the angles ϕ ∈ Tn . In these action-angle coordinates, Hamilton’s equations become dϕ ∂H = , dt ∂I Hence, the solutions are I = constant and dI = 0. dt ϕ(t) = ω(I)t + ϕ0 , where ω(I) = ∂H . ∂I If H ε (ϕ, I) = H0 (I) + εH1 (ϕ, I) is a perturbation of a completely integrable Hamiltonian, then Hamilton’s equations have the form dϕ = ω0 (I) + εf (ϕ, I), dt dI = εg(ϕ, I), dt where ∂H1 ∂H1 ∂H0 , f= , g=− . ω0 = ∂I ∂I ∂ϕ The study of these problems using multi-phase averaging methods is very subtle (e.g. KAM theory).