Mathematical Methods in the Engineering Sciences

Elena Beretta
Dipartimento di Matematica
Politecnico di Milano (ITALY)
elena.beretta@polimi.it

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Main goals of the course

Many constitutive laws of physics are governed by partial differential
equations
w

The qualitative study of solutions to these equations from a
mathematical viewpoint give an insight of the physical processes or
systems. In general additional information is necessary to select or
predict a unique solution. This information is often supplied in the form
of initial and/or boundary data
w

We will analyze the following fundamental equations: Laplace
equation,Poisson equation, Heat equation, Schroedinger equation
analyzing some boundary value problems and Cauchy problems. In
particular we will investigate well-posedness (existence, uniqueness,
stability) of such problems using several tools of functional analysis.
Finally we will study two mathematical models, one arising in medical
imaging (Optical Tomography) and the second in quantum mechanics
(Equilibrium of atoms)
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Part I
Prerequisits

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Banach Spaces
X vector space on R
A norm on X is a function k k : X [0, +) s.t.
kxk 0 and kxk = 0 if and only if x = 0 (positivity)
kxk = ||kxk, x X , R (homogeneity)
kx + y k kxk + ky k, x, y X (triangular inequality)

(X , k k) is a normed space
(X , k k) is a metric space (X , d) w.r.t. d induced by
d(x, y ) = kx y k, x, y X
xn x in X if kxn x k 0 as n +
(strong convergence)
A Banach space is a complete normed space
(any Cauchy sequence is convergent in X )
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Examples

(Rn , k q
kn ) and (Cn , k kn ) are Banach spaces with respect to
Pn
2
kxk =
i=1 xi where x = (x1 , . . . , xn ).
C 0 (K ) = {u : Rn R continuous on K }, K is compact
kukC 0 () = kuk = sup |u(x)|,
x

(C 0 (K ), k k ) is a Banach space

1/p
R
Lp () = {u : |u(x)|p dx
< +},


R
1/p
kukp = |u(x)|p dx

1 p < +

(Lp (), k kp ) is a Banach space

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Examples

{xk } = (x1 , x2 , . . . ),
1 p < +,
(
p

` =

x = {xk } :

xk R
)
p

|xk | < +

k =1

P
p 1/p
(`p , k k) is a Banach space with kxkp = ( +
k =1 |xk | )

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Hilbert Spaces

X vector space on R
An inner product on X is a function (, ) : X X R s.t.
(x, x) 0, x X , (x, x) = 0 iff x = 0 (positivity)
(y , x) = (x, y ), x, y X (symmetry)
(x + y , z) = (x, z) + (y , z), x, y , z X , , R (bilinearity)

(X , (, )) is an inner product space

If H is a vector space on C then symmetry is substituted by
(x, y ) = (y , x)

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Hilbert Spaces

(X , (, )) is a normed space (X , k k) w.r.t. k k induced by

kxk = (x, x)1/2 , x X
|(x, y )| kxkky k, x, y X

Cauchy-Schwarz inequality

kx + y k2 + kx y k2 = 2kxk2 + 2ky k2 Parallelogram law

A Hilbert space is a complete inner product space

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Examples of Hilbert Spaces

Rn (x, y ) =
Cn

(x, y ) =

Pn

Pi=1
n

xi yi ,

i=1 xi y i

L2 () is Ra Hilbert space
R
(u, v ) = u(x)v (x)dx, (u, v ) = u(x)v (x)dx
`2 is a Hilbert space

X
X
(x, y) =
xk yk
xk y k
k =1

k =1

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Orthogonal projections

V H is closed in H if it contains all limit points of sequences in

V.
V = {u H : (u, v ) = 0, v V }
orthogonal complement of V H, H Hilbert space
(Projection Theorem) (with proof) If V is a closed subspace of H
then ! decomposition
x = u + v , u V , v V , x H
PV x = u orthogonal projection of x onto V
QV x = v orthogonal projection of x onto V
kxk2 = kPV xk2 + kx PV xk2 ,

kPV xk kxk

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Hilbert Spaces: separability

H Hilbert space, Y H is dense if x H {yn } Y :

yn x
A Hilbert space is separable if there exists a countable and dense
Y X.
Examples of separable Hilbert spaces:
(Rn , k kn ) and (Cn , k kn )
(L2 (), k k2 )
(`2 , k k2 )

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Bases in Hilbert Spaces

{ej } : (ei , ej ) = ij orthonormal (countable) set in H
{ej }, orthonormal set, is a (countable) basis for H if
x=

X
(x, ej )ej , x H
j=1

Generalized Fourier Series

cj = (x, ej )
Fourier coefficients
kxk2 =

cj2

j=1

(follows from Pythagoras Theorem)

H is separable iff H has a countable basis
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Examples of orthonormal bases

Rn , Cn
e1 = (1, 0, . . . , 0), . . . , e2 = (0, 1, 0 . . . , 0) . . .
L2 (0, 2)
e0 = 1 , e1 =
2

`2
e1 = (1, 0, . . . ),

cos x, e2 =

sin x, e3 =

cos 2x . . .

e2 = (0, 1, . . . ) . . .

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Linear operators on Hilbert spaces

L : (H1 , k kH1 ) (H2 , k kH2 )
L is linear if L(x + z) = Lx + Lz,

x, z H1

Kernel of L (N (L))
N (L) = {x H1 : Lx = 0}
Range of L (R(L))
R(L) = {y H2 : x H1 : Lx = y }
L is bounded if M > 0 : kLxkY MkxkH1 , x H1
L is continuous if xn x in H1 Lxn Lx in H2

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Linear operators on Hilbert spaces

L(H1 , H2 ) set of all bounded linear operator from X to Y

L(H1 , H2 ) vector space
kLkL(H1 ,H2 ) = sup
x6=0

kLxkH2
= sup kLxkH2
kxkH1
kxkH =1
1

kLxkH2 kLkL(H1 ,H2 ) kxkH1 , x H1

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Examples of linear bounded operators

L : Rn Rm
Lx = Ax
where A is an m n real valued matrix.
V H, closed subset of a Hilbert space H.
L1 : H H with L1 x = PV x and L2 : H H with L1 x = QV x

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Results on linear operators

Theorem
L(H1 , H2 ) is a Banach space

Theorem
L : (H1 , k kH1 ) (H2 , k kH2 ), L linear.
L is continuous L is bounded.
(with proof)

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Linear functionals and dual spaces

L : (H, k kH ) R bounded and linear: functional on H

L(H, R) is the dual space of H: H or H 0
H = L(H, R),

kLkH = kf kL(H,R) = sup

x6=0

(H , k

kH ) is a Banach space

H h, iH
H hLxiH

: H H R

|Lx|
kxkH

(R is a Banach space)

H hL, xiH

= Lx is a bilinear form

or hL, xi (duality)

|hL, xi| kLkH kxkH

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Example of linear, bounded functionals on Hilbert

spaces
H = Rn , L : Rn R, let a Rn ,
Lx = (a, x)
H = L2 (), Rn , L : L2 () R, fix g L2 ()
Z
Lf =
fg dx

Fix y H and let L : H R

Lx = (x, y )

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Dual spaces of Hilbert spaces

Theorem
Riesz representation Theorem
Let H be a real Hilbert space. Then, L H ! yL H :
Lx = (x, yL ), x H and kLkH = kyL kH
with proof

Remark
Riesz Theorem we identify H and H endowing H with the
inner product (L1 , L2 ) = (yL1 , yL2 ).
Exercise: Prove that the kernel of a linear bounded operator is a
closed vector space.
Exercise: Show that the Representation Theorem holds also in
complex Hilbert spaces.
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Bilinear Forms

Definition
Let V be a real vector space. a : V V R is a bilinear form on V if
y V the function x a(x, y ) is linear
x V the function y a(x, y ) is linear

Example
The inner product on a real vector space is a bilinear form
In complex inner product spaces we define sesquilinear forms
substituting the linearity with respect to the second component with
antilinearity

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Lax-Milgram Theorem

Problem (P):
Let F H . Find u H such that
a(u, v ) = hF , v i, v H

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Theorem
Lax-Milgram Theorem Let H be a real Hilbert space, a be a bilinear
form such that
a is continuous i.e. M > 0:
|a(u, v )| Mkukkv k,

u, v H

a is coercive i.e. > 0:

a(v , v ) kv k2 ,

v H.

Then, there exists a unique solution u to P and

kuk

1
kF k

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Remark
If M > 0:
|a(u, v )| Mkukkv k,

u, v H

then a(u, v ) is continuous in H H

Remark
Lax-Milgram Theorem still holds in complex Hilbert spaces for
sequilinear forms which are continuous and coercive.
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Minimization Problem

If the bilinear form a is symmetric then Problem (P) is equivalent to

min E(v ) =
v H

1
a(v , v ) hF , v i
2

If the bilinear form a is symmetric ( antisymmetric in the complex

case)
(u, v )H = a(u, v )
is an inner product and Lax Milgram Theorem derives from Riesz
Theorem.
Exercise: check that this is true.

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Galerkin Approximation Method

H Hilbert space, H = Vk , Vk finite dimensional space for all k .
Key ideas:
Project Problem (P)
a(u, v ) = hF , v i,

v H

on Vk i.e. find solution uk of Problem (Pk )

a(uk , v ) = hF , v i,

v Vk

Show
kuk ukH 0
as k +.

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Galerkin Approximation Method

Proposition
Assume the assumptions of the Lax-Milgram Theorem are satisfied
and let u be the unique solution to Problem (P). If uk is the unique
solution of Problem (Pk ) then
ku uk k

M
inf ku v k
v Vk

Theorem
uk u in V as k +
with proof

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Weak and strong convergence

Definition
H Hilbert space, a sequence {xn } of elements in H converges strongly
to an element x H
xn x
if
kxn xkH 0
as n +

Definition
Let H be a Hilbert space, xn , x H.
xn * x (weak convergence) if (xn , y ) (x, y ) for any y H.

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Strong and weak convergence

Theorem
H Hilbert space, xn , x H.
xn x (strong convergence) xn * x (weak convergence)

Proof.
If xn x strongly then
|(xn , y )(x, y )| = |(xn x, y )| kxn xkky k 0, y H

Exercise: Prove that if H finite dimensional Hilbert space,

xn x xn * x

xn * x

xn , x H.

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Counterexample

Example
H = `2

y `2
2

y`

yk2 < +

yk 0

k =1

ek orthonormal basis
(ek , y) = yk 0, y `2

ek 9 0 strongly in `2
(ek is not a Cauchy sequence:

ek * 0
kek ej k`2 =

2,

k 6= j )

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Uniqueness of weak limit

Theorem
H Hilbert space, xn H.
If xn * x H then x is unique

Proof.
Assume xn * x. Then
(x x, y ) = (x xn , y ) (x xn , y ) 0, y H
Hence
(x x, y ) = 0, y H
which implies
x = x.

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Boundedness of weak convergent sequences

Theorem
H Hilbert space, xn H.
If xn * x H then xn is bounded

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An estimate of the norm of the weak limit

Theorem
H Hilbert space, xn H.
If xn * x H then kxk lim infn kxn k

Proof.
xn * x

kxk2 = (x, x) = limn (xn , x) = lim infn (xn , x)

lim infn kxn kkxk = kxklim infn kxn k

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Compactness

E X is compact if every open cover of E contains a finite subcover

E X is compact if and only if every bounded sequence in E contains
a convergent subsequence in E (sequentially compact ).

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Weak convergence and compactness Theorems

Theorem
A sequentially compact subset E of a normed space is closed and
bounded.
Exercise: Prove the theorem.

Remark
If E is a subset of a finite dimensional normed space (Rn ) then
E sequentially compact Eclosed and bounded
In particular
B1 = {x Rn : kxk 1}
is compact.

Theorem
A normed space is finite dimensional B1 is compact.
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Weak convergence and compactness Theorems

Example
H infinite dimensional separable Hilbert space. and {ej }
1 an
othonormal basis. Then
kej kH = 1 j
so that {ej } B1 but
ken em kH =

2 n, m, n 6= m

so {ej }
1 is not a Cauchy sequence.

Theorem
Any bounded sequence in a Hilbert space H has a weak convergent
subsequence in H.

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Distributions

Definition
Given a continuous function : Rn R the support of is the set
supp = {x : (x) 6= 0}

Definition
We indicate by C0 () the set of functions in C () compactly
supported in

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Distributions
We now endow C0 () with a suitable notion of convergence (not
inducing any metric)

Definition

{k }
k =1 C0 () , C0 ().

k in C0 () as k
if
D k D ,

uniformly in

and there exists a compact set K which contains the support of all
the k s.

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Distributions

Example
Let {ak } R, ak 0 as k , let C0 (). Then
k = ak 0, k
in the above sense.

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Distributions

C0 () endowed with this convergence will be denoted as D().

Definition
A distribution f is a linear continuous functional on D() (f D0 ())
i.e. such that
< f , 1 + 2 >= < f , 1 > + < f , 2 >, 1 , 2
D(), , R
< f , k >< f , > as k in D() as k +.

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Distributions
Examples
f C 0 () defines a distribution
Z
< f , >=

since

Z
|

f | kf kK sup ||

f L2 () defines a distribution
Z
< f , >=

since

Z
|

f | kf kL2 () kkL2 ()
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Distributions
Examples
f = 0 is a distribution
< f , >= (0)
since
|(0)| sup ||

f L1loc () is a distribution
Z
< f , >=

since

Z
|

f | kf kL1 (K ) sup ||

Exercise: Verify that for p < n the function f (x) =

1
|x|p

D0 (Rn )
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Distributions

Theorem
The map I : L2 () D0 () where
Z
< I(f ), >=

f dx

is injective
with proof

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Distributional derivatives
Let f C 1 (R) with and D(R). Then
Z
Z
Z
+
0
0
f dx = f |
f dx = f 0 dx
R

Hence
< f 0 , >= < f , 0 >

Definition
Let f D0 () where Rn . The derivative xi f is the distribution
defined by
< xi f , >= < f , xi >
Every distribution possesses (distributional) derivatives of any order
< D f , >= (1)|| < f , D >
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Examples of distributional derivatives

Examples
f = 0
< xi 0 , >= xi (0)
f = H (Heaviside function)
Z
< H, >= < H, >=
R

H 0 dx =

0 dx = (0)

Hence
< H0 , >= (0) =< , >
Exercise: Compute the derivative of f (x) = |x| D(R)

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Some important Sobolev spaces: H 1 ()

Definition
We denote by H 1 ()
H 1 () = {v L2 () : v L2 ()}
i.e.

Z
< xi v , >=

v xi dx, D0 ()

Theorem
H 1 () is a Hilbert space with inner product
Z
Z
(u, v )1 =
uv dx +
u v dx

and

sZ
kuk1 =

|v |2 dx

Z
+

|v |2 dx
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Some important Sobolev spaces: H01 ()

Definition
We denote by H01 () the closure of D() in H 1 ().
H01 () H 1 () and elements of H01 () have zero trace on

Theorem
Poincar inequality. Let Rn . There exists a positive constant CP
such that
kuk0 CP kuk0
We can choose
(u, v )1 = (u, v )0
as inner product

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Some important Sobolev spaces: H 1 ()

Definition
We denote by H 1 () the dual of H01 () with
kF k1 = sup{|Fv | : v H01 (), kv k1 1}

Theorem
H 1 () is the set of distributions of the form
F = f0 + div f
where f0 L2 () and f L2 ()

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Part II
Elliptic and parabolic PDEs

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Elliptic equations

Laplace equation
u = 0
Stationary diffusion equation, conductivity equation, equilibrium of an
elastic membrane
Poisson equation
u = f
f external force or source e.g. density of electric charges, load

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Harmonic functions

Definition
A solution of
u = 0
is called harmonic.
Examples
z = ei , <z m and =z m , m N are harmonic functions
x, y , xy , x 2 y 2 , x 3 3xy 2 , . . . are harmonic functions
u (x) = ex , Cn : = 0, x Rn

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Mean Value Theorem

Theorem
If u is harmonic in Rn , n 2. Then, for any ball BR (x)
Z
1
u(x) =
u(y )dy
|BR (x)| BR (x)
1
u(x) =
|BR (x)|

Z
u(y )dy
BR (x)

Theorem
If u C 0 () has the mean value property then u is C () and is
harmonic in .

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Maximum principle

Theorem
If u C 0 () has the mean value property then, if u attains a maximum
or a minimum at x0 then u is constant. In particular if is
bounded, u C 0 () and u is not constant then, x
min u < u(x) < max u

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Application of maximum principle

Uniqueness and continuous dependence of boundary value problems

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Boundary value problems

Dirichlet Problem


u = f in Rn , n 2
u = g on .
Neumann Problem

u = f in Rn , n 2
u
n = h on .
Robin Problem


u

u = f in Rn , n 2
+ u = h on .

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Well-posedness

Definition
A problem is well posed if
there exists a solution (existence)
the solution is unique (uniqueness)
the solution depends continuously upon the data (stability)

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Uniqueness

Theorem
Rn bounded and smooth. There exists a unique solution
u C 2 () C 1 () of the Dirichlet and of the Robin problem. In the
case of the Neumann problem the solution is unique up to an additive
constant.
with proof

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Existence

Existence is much more complicated to prove. For particular

geometries of the domain existence can be proved via method of
separation of variables

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Existence via method of separation of variables: an

example
Let = BR (P) ball centered at P of radius R. Then

Theorem
Poisson formula The unique solution to the Dirichlet problem

u = 0 in BR (P) R2
u = g on BR (P).
is given by
R 2 |x P|2
u(x) =
2R

Z
BR (P)

g(y )
dy
|x y |2

with proof
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Existence via singular solutions

u harmonic function. Then, for fixed y Rn

v (x) = u(x y )
is harmonic (translation invariance of )
v (x) = u(Mx)
for M orthogonal (M T = M 1 ) is harmonic (rotation invariance of ).

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The fundamental solution

Radially symmetric harmonic solutions: u = u(r ), r = |x|.
n=2
2 u 1 u
+
=0
r u
r 2
Then
u(r ) = C1 ln r + C2
n=3

2 u 2 u
=0
+
r u
r 2

Then
u(r ) = C1

1
+ C2
r

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The fundamental solution

The fundamental solution for the Laplacian

(
1
2 ln |x|, n = 2
(x) =
1
4|x|
, n=3
is solution to
= 0

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The representation formula

Theorem
Representation Formula
Rn smooth and bounded, u C 2 (). Then, x
Z
Z
Z
u
(x y )
u(x) =
(x y )u dy
(x y )
dy +
u
dy

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The Greens function

Definition
Fix y


G(, y ) = y in
G(, y ) = 0 on .

ANSATZ:
G(x, y ) = (x y ) (x, y )
where

(, y ) = 0 in
(, y ) = (x y ) on .

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Properties of Greens function

G < 0 (negativity)
G(x, y ) = G(y , x) (symmetry)
|G(x, y )| + as x y (singularity)
For particular geometries of the Greens function can be computed
explicitly.

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Representation formula

Theorem
Consider

u = f in
u = g on .

Then,
Z
u(x) =

Z
G(x, y )f (y ) dy +

If u is harmonic

Z
u(x) =

G(x, y )
dy

G(x, y )
dy

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Representation formula

Theorem
Consider

Then,

u = f in
u
= h on .

Z
N(x, y )f (y ) dy

u(x) =

hN(x, y ) dy

where N(x, y ) is the Neumann function solution to

(
N(, y ) = y in
N(,y )
1
= ||
on .

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More general equations

Electrical Impedence Tomography

div(u) = f in R3
u = g on ,
conductivity, u electrostatic potential, g boundary potential, f external
source.
Optical Tomography

div(k ) + = f in R3

n + = h on ,
k diffusion coefficient, absorption coefficient, optical density, h
illumination function.

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More general elliptic equations

Definition
Consider Rn , A(x) = (aij (x))ni,j=1 , c(x) = (ci (x))ni=1 , a0 (x) and f (x)
scalar functions. An equation of the form
div (Au) + c u + a0 u = f

in

is elliptic in if
A(x) > 0, x , Rn , 6= 0

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Variational formulation: Dirichlet Problem

Consider the Dirichlet problem


div(au) + a0 u = f in
u = 0 on .
Suppose a, a0 and f smooth and u C 2 () C 0 () is a solution. Let
v C01 (), multiplying the equation by v and integrating by parts we
have
Z
Z
au v + a0 uv =
fv

Viceversa, integrating back last equation implies that u is solution of

the Dirichlet problem.

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Variational formulation
Problem (DP)
Find u H01 () such that
Z
Z
au v + a0 uv =
fv , v H01 ()

Let

Z
au v + a0 uv

B(u, v ) :=

and the linear functional

Z
hF , v i =

fv

Problem (DP) is equivalent to the abstract variational problem

B(u, v ) = hF , v i, v H01 ()
well-posedness follows from Lax-Milgram Theorem if
a , and a0 0
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Well-posedness

Theorem
Let f L2 () and 1
0 a 0 , 0 a0 (x) 0 in . Then, Problem
(DP) has a unique solution u H01 (). Moreover
kuk0 Ckf k0

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Remarks

Problem (DP) is equivalent to the minimization in H01 () of the

functional (total energy)
Z
Z
Z
2
2
E(u) =
a|u| dx +
a0 u dx
fu dx

In the case of non homogeneous boundary conditions if

g H 1 () and u g H01 () then we reduce to the previous
case considering w = u g.

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Variational formulation: Neumann Problem

Consider the Neumann problem


div(au) + a0 u = f in
a u
= g on .
Suppose a0 and f smooth and u C 2 () C 0 () is a solution. Let
v C 1 (), multiplying the equation by v and integrating by parts we
have

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Variational formulation: Neumann Problem

Z

Z
au v + a0 uv =

Z
fv +

gv , v C 1 ()

Assume last relation holds and integrate by parts we get

Z
Z
Z
u
(div(au) + a0 u f )v +
a v=
gv , v C 1 ()

Choose v C01 () and we get

div(au) + a0 u f = 0
and we have

u
a v=

gv v C 1 ()

which gives
a

u
=g

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Variational formulation: Neumann Problem

Problem (NP)
Find u H01 () such that
Z
Z
Z
au v + a0 uv =
fv +

Let

gv , v H 1 ()

Z
au v + a0 uv

B(u, v ) :=

and the linear functional

Z
hF , v i =

Z
fv +

gv

Problem (DP) is equivalent to the abstract variational problem

B(u, v ) = hF , v i, v H 1 ()
well-posedness follows from Lax-Milgram Theorem if
1
a 1
0 > 0, a0 0 > 0
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Well-posedness

Theorem
Let f L2 (), g L2 (), 0 < 1
0 a(x) 0 and
0 < 01 a0 (x) 0 in . Then, Problem (NP) has a unique solution
u H01 (). Moreover
kuk1

1
1
min{1
0 , 0 }

(kf k0 + CkgkL2 () )

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Well-posedness

Remark
The condition a0 01 > 0 is necessary for existence and
uniqueness!
If a0 = 0 then uniqueness fails and a normalization condition is needed
to restore uniqueness.
Existence of solutions requires that the compatibility condition
Z
Z
f+
g=0

is satisfied.

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Eigenvalues
Definition
Let Rn bounded. A nontrivial weak solution u H01 () to the
problem

u = u in
u = 0 on .
is called Dirichlet eigenfunction and the corresponding
Dirichlet eigenvalue

Theorem
There exists in L2 () an orthonormal basis {uk } consisting of Dirichlet
eigenfunctions. The corresponding eigenvalues are an increasing
sequence
0 < 1 < 2 k . . .
with k +. The sequence {uk /k } is an orthonormal basis in
H01 ().
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Eigenvalues

Remark
If u L2 () then u =

ck uk and kuk2 =

ck2 . So

kuk k2 = (uk , uk )0 = k (uk , uk )0 = k

Thus, u H01 () iff
kuk20 =

ck2 k <

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Eigenvalues
By
kuk20 =

ck2 k <

and monotonicity of eigenvalues we get

kuk20 1 kuk20
and we derive the following variational problem
)
(R
2
1
R |u|
: u H0 (), u 6= 0
1 = min
2
u
or equivalently
Z

|u| : u

1 = min

H01 (), kuk0


=1

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Eigenvalues

Let F (u) =

2
|u|

and G(u) =

Theorem
Let u H01 () be a local extremum of the functional F subject to the
condition G(u) = 0, then u is an eigenfunction and = F (u) is the
corresponding eigenvalue.
Proof. Follows by using Lagrange multiplier Theorem

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Eigenvalues

Theorem
There exists a global minimum u H01 () of the functional F subject to
the condition G(u) = 0.
Main steps of the proof.

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