The Calculation of Eigenvalves Sturm-Liouville: Systems

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THE CALCULATION OF EIGENVALVES FOR STURM-LIOUVILLE TYPE SYSTEMS
1. INTRODUCTION
In the previous chapters we have developed the method of invariant imbedding with emphasis on its application to problems that arise from the consideration of various physical processes. Despite the fact that very considerable impetus for this development has been provided by numerical considerations, we have tended to deemphasize that aspect of the technique. It is appropriate at this point to include more on some calculational matters than was done in earlier chapters. In this chapter, then, we quite frankly and unhesitatingly turn to numerical considerations. Our purpose here is to show how the imbedding method can be applied in a direct and simple fashion to the calculation of eigenvalues (and eigenlengths) for equations of Sturm-Liouville type. As a matter of fact, the method is so easy that it is surprising that it has not been used before in its present form. As we shall point out, ideas quite similar have been employed previously, but in most cases they turn out to be less efficient and less accurate. Our presentation follows quite closely the work of [l].
133
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134
THE CALCULATION OF EIGENVALUES
2. EIGENLENGTHS FOR TRANSPORT-LIKE EQUATIONS IN ONE DIMENSION We return to a familiar system
du =a(z)u(z)+b(z)v(z),
dz
(8.1a) (8.1b)
dv
=c(z)u(z)+d(z)v(z).
If this is a model for an actual transport problem, and if the medium is multiplyingthat is, if on the average more than one particle emerges from a collisionthen we expect that the system can go critical. From one physical viewpoint this means that if the system extends from zero to ;,, the critical length, and if any particles are injected into the system, then no solution (u, v) exists. From another viewpointagain physicala system of exactly this size will support a particle population (u,v) without any outside sources. The shape of this population is determined by the parameters involved; the size of the population cannot be predetermined because (8.1) is linear and we are now actually considering boundary conditions u(0)=O,
(xc = 0.
,)
(8. l c) (8.1d)
In more mathematical terms we are really discussing a very special case of the Fredholm alternative. (See [2], also Problem 1). Provided the coefficients a(z), b(z), c(z), and d(z) are at all reasonably behaved, the same phenomenon will quite likely occur for other x values. That is, the system (8.1) will have a nontrivial solution for xe, = x 1 <x 2 < x 3 . The physical meaning is lost for these larger eigenlengths, but the mathematical phenomenon persists. We have actually encountered this situation in earlier work (see Chapter 1, Section 3). We shall now make good use of this observation. 3. THE CALCULATION OF EIGENLENGTHS Having motivated our goals via a transport-like problem, let us introduce a suitable reflection function. Following the lead of Chapter 3 we set
u(z) = r(z)v(z).
(8.2)
Henceforth let us suppose that the coefficients a(z), b(z), c(z), and d(z) are such that the usual existence and uniqueness theorems hold for initial
THE CALCULATION OF EIGENLENGTHS
135
value problems associated with (8. la, b) on the interval 0< z < .. We shall
be interested only in nontrivial solutions. It is at once clear that if (8.1 c) is to hold then v(0)z0, for otherwise u(z)= v(z)=0 for all z, 0< z < z. It follows from well-known theory that there is some interval to the right of zero on which v(z)'0. We seek x cr =x 1 , the first zero of v. Now if we substitute (8.2) into (8.la,b) and do a bit of manipulating we obtain [see Problem 2 and Eq. (3.25)].
r'(z) = b (z) + (a(z) + d(z))r(z) + c ( z ) r 2 ( z ).
(
8.3)
In order for (8.1c) to be valid we must require

r(0)=0.
(8.3a)
Obviously, (8.3) is the equation for the reflection function for the problem, a fact that should by now not be the least bit surprising. Moreover, the function r(z) is defined by Eq. (8.3) just so long as v(z)0. If, however, v(z) has a zero then r cannot be defined at that point, for if it were, then by Eq. (8.2) u would have a zero at the same point and uniqueness again rules this out. Hence, the solution of (8.3) fails to exist at such a pointwhich is, of course, just x cr = x 1 Thus far, we have accomplished little that is new except that we have put some of the matters with which we have so often dealt in this book on a somewhat more rigorous basis. However, we must now inquire into a method of finding x 2 , assuming such a point exists. And, as has been pointed out, physical intuition now breaks down. To accomplish our task we introduce a function s(z) by formally writing
.
s(z)= r
8.4)
so that
v(z)=s(z)u(z).
(8.5)
Now, clearly s(z) is not well defined at z = 0. Indeed, we make no effort to define s (z) there. Rather, we choose a point z, 0< z , <x 1 at which the r function is well behaved and nonzero. Substituting (8.5) into (8.l a, b) yields
s'(z) = c(z) + [ a(z) + d(z)]s(z) + b(z)s 2 (z),
(8.6)
and this may be integrated starting forward at z = z, subject to the condition s(z,)= r( i .
;)
( 8.6a)
136
We knew in advance that s(z) would also satisfy an equation of Riccati type. An analysis of the derivation of equation (8.6) reveals that this Riccati equation is valid provided u(z)0. It will do no harm to suppose that no zero of u exists between z and x,. (If one did, then we could simply make another choice of z.) Uniqueness assures us that u(x,) 0. Thus Eq. (8.6) may be integrated to the right of x 1 . We note in particular that s(x,)=0. As the integration approaches the next zero of u, call it x J , the function s(z) will grow in absolute value, for it cannot exist at .x^, again by the uniqueness argument. To avoid this difficulty, we choose a point z', x, <z' < z ^, and return to the function r(z) defined by (8.2). It stil! obeys Eq. (8.3) but now satisfies the initial condition
r(z,) s( 1 . (8.7)
The Riccati equation for r may now be integrated forward to "blow-up," and this will be precisely the point x 2 . Of course, it is more reasonable in practice to switch over again to the s function before x 2 is reached. Since the s equation (8.6) is well behaved at x 2 (indeed s(x 2) = 0), the integration may be carried beyond that point with no difficulty. The scheme is now clear. One starts with the r function, integrates until it begins to become large (in absolute value), switches to the s function
until it begins to misbehave, returns to the r function, and so on. The zeros of the s function are precisely the points x 1 , x 2 , x 3 ,..., that we were seeking the eigenlengths of the problem defined by the entire system [Eqs.
(8.1 a, b, c, d)]. Figure 8.1 indicates how the various x and z points that enter into the calculation are arranged.
a^ a^
2Z
zZ
a3
x1
x2
.2
x3
Figure 8.1.
The astute reader will have noticed that as a by-product we have also solved the problem defined by Eqs. (8.1 a, b, c) and the condition
u(zj) = 0,
j=1,2,....
(8.1d')
SOME GENERALIZATIONS
4. SOME GENERALIZATIONS
137
We have noted at the end of the previous section that, incidental to the solution of the problem under consideration, we have solved another problemnamely, one in which the value of u is assigned as zero at both endpoints. This suggests at once that still more complicated boundary conditions may be investigated by the method we have devised. Consider the set (8.1a,b) with side conditions a, u (0) + a 2 v (0) = 0, b 1 u(x) + b 2 V (x) =0, (8.8a)
(8.8b)
where a 1 , a2 , b 1 , b 2 are more or less arbitrary constants (see Problem 4). We seek those values of x, x 1 < x 2 < x 3 < ... , such that (8.1 a, b) and (8.8) are satisfied. The substitution (8.2) then yields
r(0)= ^ 2 ,
i
(8.9a)
and b
_
r(x)
b2 ,
(8.9b)
while the s substitution gives

a
a2
(8.1Oa)
s(x)=
b ' .
z
(8.10b)
One may now use exactly the scheme outlined in the previous section, simply replacing the earlier conditions that r and s be zero by the conditions given by (8.9) or (8.10). In the event that one of the expressions on the right-hand side of those equations involves a formal division by
zero, say (8.9a), then the corresponding onein this case (8.10a)may be used to start the integration. Again, it should be noted that any nonsingular transformation, of the type
u (z) = a 11 u(z)+ a 12 v(z),
(8.11)
v (z)= a21u(z)+
a22v(z).
138
converts the equations (8.la,b) into a system of the same kind, and the same remark may be made concerning the side conditions (8.8). In fact, the transformation (8.11) with a 11 = a 1 , a 12 = a 2 , a21 = b 1 , and a 22 = b 2 is a particularly obvious and appealing one (see Problem 4). In any event, substitutions of the form (8.11) may be obtainable to simplify the entire problem, and such substitutions should be considered before numerical integration is begun. Finally, it should be noted that any two-point boundary value problem, of the type
y+a(z)y' +b(z)y =0, a3 Y (0) + a4 y'(0) = 0, b 3 y(x)+b4 y'(x)=0,
(8.12a) (8.12b) (8.12c)
can be put in the form of the systems we have been investigating by means of the transformation
u(z)=y(z), u'(z)=v(z).
(8.13a) (8.13b)
This observation leads us naturally to the eigenvalue problem for SturmLiouville systems. 5. RESULTS FOR STURMLIOUVILLE SYSTEMS We now examine the SturmLiouville system
{k(z,X)L i +g(z,X)u(z)=0, dz a l (X)u(0)+b l (X)u'(0)=0, c,(A)u(x)+d l (X)u'(x)=0.
(8.14a)
(8.14b)
We consider x fixed and A, a parameter. It is well known [3] that for suitable functions k and g, and appropriate a,(Jt), b,(t), and so on, there is a discrete set of eigenvalues A for the system (8.14). One of the conditions that we particularly need is that k(z, X) 0 on 0< z < x. Then the substitution du = 1 dz k(z,X)v(z), (8.15a)
RESULTS FOR STURM-LIOUVILLE SYSTEMS
139
is meaningful and leads to
v =g(z,X)u(z).
(8.15b)
We now have a special case of Eqs. (8.1a,b) subject to conditions like (8.8). Clearly, a particular value of X is an eigenvalue if x is an eigenlength in the sense of Section 3. The corresponding r and s functions are solutions of dz and dz
k( 1 s 2 (z).
k(z,X) +
g(z,X)r2 (z),
(8.16a)
(8.16b)
The boundary conditions take the form b 1 (X) r(0) k(O,X)al(X) (8.17a)
dl(A) r(x) k(x,X)ci(X)
(8.17b)
Of course, Eqs. (8.17) are replaced by their equivalents involving the s function in case either of these last expressions is formally infinite. The numerical scheme for computing eigenvalues is as follows. Guess a value for X. Now use the method outlined in the previous sections to find the corresponding eigenlengths. If one of these eigenlengths is precisely the x occurring in (8.14b) then the guess is indeed a correct eigenvalue. If not, then repeat the process with another X, and so on. In practice, one actually computer curves of X versus eigenlength, and then picks off the correct eigenvalues by selecting the desired value of x. This will become clearer in the section in which specific examples are studied. (See especially Figure 8.2.) At the moment the method may appear to be quite time-consuming and inaccurate; actually, the opposite is truc in the many cases studied. One of the reasons for the relative accuracy as compared to some other popular methods is indicated in the next section. A theoretical advantage to our method may allo be seen by examining
140
Eqs. (8.18)
u(z)
u(z)
,
r(z)= v(z) = k(z,A)u (z) , s(z)=
(8.18a)
k(z,X)u'(z)
u(z)
(8.18b)
When only the eigenvalue of the problem is of interest the specific values of u(z) and u'(z) are of no particular importance; the above equations indicate that only their ratios play a genuine role in our algorithm. The step size used in a numerical calculation can be adjusted according to this ratio. A more direct approach, based on straightforward integration of the original system (8.14), would be sensitive to the behavior of u(z) and u'(z) individually and the integration step size would be dictated by the poorer of these. 6. CONNECTION WITH THE PRFER TRANSFORMATION Recently the classical Prfer transformation has been used by several authors to analyze the kind of problem we have been discussing (see, e.g., [4]). Since the method is quite closely related to ours, some comparison is called for. Define the functions p(z) and 0(z) by the relations (8.19a)
(8.19b)
u(z) = p(z)sin0(z),
k(z,X)u'(z)=p(z)cos0(z).
Substitution in (8.14a) leads readily to the equation

0'(z)= k( i^^ ) cos 2 0(z) + g(z,X)sin 2 0(z).
(8.20)
Since
tan0(z)=
u(z)
k(z,A)u'(z)
(8.21)
the boundary conditions (8.14b) can be expressed in the form 9(0)= W I ,

9(x)=w 2 +nor,
(8.21a)
n=0,1,2,..., (8.21b)
CONNECTION WITH THE PRFER TRANSFORMATION
141
where tanw, _ bl(X) (8.22a) k(0,X)a,(A) d (A) (8.22b) k(x,A)c,(X)

'
tan w 2 = Also, from (8.18) we find
r(z) = tan0(z),
(8.23a) (8.23b)
s(z)=cot0(z).
Finally, we observe that the r equation (8.16a) can be obtained from (8.20) by division by cos 2 0(z); the s equation (8.16b) can be similarly obtained by division by sin 2 0(z). The relationship between the two approaches is quite evident. However, the imbedding scheme seems to have two distint advantages, at least. First, as we have seen in earlier chapters, the invariant imbedding method readily generalizes to handle systems of equationsor, equivalently, equations of high order. A corresponding generalization of the Prfer transformation is by no means clear, although matrix analogs exist. The second advantage is more striking, and has to do basically with the numerics involved. The integration of the r and s equations is easier than is that of Eq. (8.20) simply because there are far fewer function evaluations involved. It is true, of course, that the imbedding formulation requires the switching back and forth between the equation for r and the equation for s but that is a minor programming problem. Moreover, both methods depend on finding where a particular function assumes a specified value. Now, from (8.23) we easily compute r'(z) = [sec 2 0(z)]9'(z), so that at the end point z = x we have 1r'(x)I > 10'(x)1. (8.25) (8.24)
Thus the slope of the r curve is always at least as great (in absolute value) as that of the 0 curve. Obviously, the same statement may be made about the function s. It is geometrically clear that the larger the slope of r or s at x, the greater is the accuracy of the calculation. (Indeed, examination of some of the work of [4] shows that the function 0 often has a tendency to
142
be quite flat, making the determination of the eigenlengths especially difficult using the Prfer method.) 7. SOME NUMERICAL EXAMPLES It is evident from our discussion that the method outlined can be used either for the calculation of eigenvalues or eigenlengths. In transport problems, for instance, the eigenlength is of ten the quantity of greatest interest. We shall present here three examples, the first having to do with eigenlengths, the others with eigenvalues. They originally appeared in [1]. Example 1 We consider the case of transport in a uniform rod geometry. Each end of the rod adjoints a reflecting material which sends some of the particles which emerge from the rod back into the system. Assuming binary fission (f= b = 1), the corresponding equations for this model may be written (8.26a) (8.26b) (8.26c)
1
y"(z)+a 2y(z)=0,
0
y'(x) -
y'(0) - ay (0) = 0,
o/3 2 y ( x) = 0.
Here, $ and 02 are the so-called albedo numbers for the reflecting materials, and a is the usual macroscopic cross section. Hence, x is the critical length of the rod when (8.26) has a nonnegative solution. (See Problem 6 for more physical details.) This model has the distinct advantage of having an analytic solution so that a check on the numerics is possible. In this, as well as in all other problems to be discussed in this section, calculations were done using a fourth-order Runge-Kutta scheme on a CDC 3600 computer. For the present case we chose Q = 0.2, $2 = 0.2, and a = 10.0. We computed the eigenlength (physically, the critical size) using our method and an integration step of 10 -2 . Relative error in the critical length, as compared with the analytic result, was about 6.7 x 10 -4 . Reducing the step site to 5 x 10 -3 improved this to 2.3 x 10 -4 . These results are compatible with the accuracy of the integration routines used. Example 2 As another example let us consider the nonlinear eigenvalue problem
y"(z) + (A + X 2z 2 )y (z) = 0,
(8.27a)
SOME NUMERICAL EXAMPLES
143
y(-1)=y(1)=0.
(8.27b)
This may be considered as a perturbation of the much more standard harmonic oscillator problem in which the term X 2z 2 does not occur and whose solution is completely trivial. Actually, (8.27) has been studied by Collatz in [5], where he obtained bounds on X,. We obtained (see also Figure (8.2)) X1=1.9517, X2 =4.2861, X 3 = 7.5459. The value for A 1 falls well within the bounds 1.811 <X 1 < 1.965 provided by Collatz.
10 9 8 7 e6 w
4
X y(-1)
3
\\\\\\\\\d y X + X _ + (
2
2 z2)y
0
-
= 0 =
x=1
y(X)
Xz
3 2 1 0
-1 Figaro 8.2. 0
2
x
144
Example 3 Our final example, strictly speaking, does not fit our theory, since the coefficient k in the differential operator has a zero. There seems to be considerable numerical evidence, and some strong theoretical indication, that our method is more widely applicable than the conditions we have placed upon the functions would have us believe. The equation
{ (1z')
z +az^Y(z)=0, (8.28a)
y(0)=0, y(1) finite, (8.28b) originally arose in some physical studies by Latzko [6]. It has since been investigated by a large number of researchers. (See the bibliography of [1] for a fairly extensive list.) It is clear that to apply our method further information is needed concerning the behavior of the function y(z) at z = 1. A series expansion about the point z =1 shows that an appropriate boundary condition is
y'(1) =0. (8.28c)
Using our method on the resulting problem we obtained the following values:
a 1 = 8.728, X 2 =152.45, a3 = 435.2.
These are approximately as good as the best values found to date by other workers, many of whom used rather complicated methods devised especially for this problem. Several other examples will be found by the interested reader in [11. (See also [8].) Special attention is called to the third example of [1] and its possible relationship to the kinds of problems to be discussed in the next chapter. 8. SUMMARY In this chapter we have turned to applications of invariant imbedding to eigenvalue problems. One might argue that the use of the term "invariant imbedding" is inappropriate here and that really all we have done is to make a rather obvious use of the very classical Riccati transformation. But
PROBLEMS
145
it must also be noted that this particular employment of the Riccati substitution is apparently quite new, and would perhaps not have been thought of had the imbedding method not have been under intensive investigation. All this is even the more remarkable, since the Prfer transformation device has been used for some time, and it is actually more complicated and, at least in many cases, less efficient than the algorithm we have developed. Attention should also be called to the method referred to in the Russian literature as the "sweep" method or the "chasing" method [7]. It has many points of contact with our algorithm, but for some reason its application has largely been confined to the study of inhomogeneous second-order boundary value problems. It has not been used in the study of eigenvalue problems to the best of the authors' knowledge. It should be remarked that the research necessary to extend the method we have been discussing to higher-order equations has not as yet been carried out in detail. As noted in Section 5 we do know how to apply invariant imbedding to higher-order equations, but various facets of its use in studying eigenvalue problems for such equations are not completely understood. Although the device presented in [8] seems eminently successful, there are quite a few nonpathological cases where it fails completely. The problem remains an open one.
PROBLEMS
1. Discuss the Fredholm alternative both from the viewpoint of differential equations and from the viewpoint of other operator equations. Attempt to understand the connection of the alternative to the concept of criticality in both one- and many-state systems. 2. Obtain derivations of the equation for r and the equation for s [Eqs. (8.3) and (8.6)]. 3. Discuss in detail the fact that incidental to our analysis of the problem of Section 3 of this chapter we have also obtained an algorithm for solving the problem in which u is assigned to be zero at z = 0 and z = zj [see Eq. (8.ld')]. Observe that in Problems 12 and 13 of Chapter 3 it was noted that the method of invariant imbedding can be used even when the value of u is assigned at both ends of the interval under discussion. Relate these ideas. Does this suggest still other methods of computing eigenlengths and eigenvalues? 4. To what extent may the constants ai, a2 , b 1 and b 2 in Eq. (8.8) not be arbitrary? Consider the problem defined by (8.8) and the transformation (8.11). Work out in detail the transformed problem and try to determine "good" choices of the aij Carry through this type of analysis for (8.12) and suggest substitutions other than (8.13) that might be useful. 5. Try to develop the general ideas of this chapter for systems of linear equations. What aspects of our analysis carry over directly and what aspccts secm
, .
146
less obvious? Give an example of total failure of the straightforward generalization. 6. Consider the transport Eqs. (1.8) and (1.9). Suppose the "rod" at z = 0 adj oins a material which has the effect of reflecting back into the rod an expected total of Q particles for each particle emergent from the rod at z = 0. The number /3 is called the albedo at z = 0. Show that this yields the condition u(0) = /3v(0). Place a reflecting material at z = x and obtain a similar condition. Derive Eqs. (8.26) for the model under consideration in Example 1. Generalize the albedo-type boundary conditions to the many state case. (See also Problem 14, Chapter 3.) 7. Physically one would expect that the "better" the reflectors on each end of the rod in the previous problem the shorter should be the critical length. Do some computations on Example 1 with various values of $ i and /62 to confirm this conjecture. Can you give an analytical proof in this case? Also study more general cases (f different from b; f and b nonconstant; the many-state case). 8. Example 3 has been stated in the way given because that is the manner in which the question arises physically. Confirm that the condition y(1) finite does indeed lead to y'(1) = 0.
REFERENCES
1. M. R. Scott, L. F. Shampine, and G. M. Wing, "Invariant Imbedding and the Calculation of Eigenvalues for Sturm-Liouville Systems," Computing 4, 1969, 10-23. 2. F. Riesz and B. Sz: Nagy, Functional Analysis, Frederick Ungar, New York, 1955. 3. E. L. Ince, Ordinary Differential Equations, Dover, New York, 1944. 4. P. B. Bailey, "Sturm-Liouville Eigenvalues via a Phase Function," SIAM J. Appl. Math.
14, 1966, 242-249.
5. L. Collatz, "Monotonicity and Related Methods in Non-Linear Differential Equations," in Numerical Solution of Nonlinear Differential Equations (D. Greenspan, Ed.), Wiley, New York, 1966. 6. H. Latzko, "Wirmenbergang an Einem Turbulenten Flssigkeitsoder Gasstrom," Z. Angew. Math. Mech. 1, 1921, 268-290. 7. S. K. Gudonov and V. S. Ryabenki, Theory of Differential Schemes, Wiley, New York, 1964. 8. M. R. Scott, Invariant Imbedding and its Applications to Ordinary Differential Equations, Addison-Wesley, Reading, Mass., 1973.

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THE CALCULATION OF EIGENVALUES

2. EIGENLENGTHS FOR TRANSPORT-LIKE EQUATIONS IN ONE DIMENSION We return to a familiar system

THE CALCULATION OF EIGENLENGTHS

In order for (8.1c) to be valid we must require

THE CALCULATION OF EIGENVALUES

while the s substitution gives

THE CALCULATION OF EIGENVALUES

y+a(z)y' +b(z)y =0, a3 Y (0) + a4 y'(0) = 0, b 3 y(x)+b4 y'(x)=0,

(8.12a) (8.12b) (8.12c)

{k(z,X)L i +g(z,X)u(z)=0, dz a l (X)u(0)+b l (X)u'(0)=0, c,(A)u(x)+d l (X)u'(x)=0.

RESULTS FOR STURM-LIOUVILLE SYSTEMS

is meaningful and leads to

dl(A) r(x) k(x,X)ci(X)

THE CALCULATION OF EIGENVALUES

r(z)= v(z) = k(z,A)u (z) , s(z)=

Substitution in (8.14a) leads readily to the equation

the boundary conditions (8.14b) can be expressed in the form 9(0)= W I ,

CONNECTION WITH THE PRFER TRANSFORMATION

where tanw, _ bl(X) (8.22a) k(0,X)a,(A) d (A) (8.22b) k(x,A)c,(X)

tan w 2 = Also, from (8.18) we find

THE CALCULATION OF EIGENVALUES

SOME NUMERICAL EXAMPLES

THE CALCULATION OF EIGENVALUES

THE CALCULATION OF EIGENVALUES

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