THE NUMERICAL SOLUTION OF

INTEGRAL EQUATIONS1OF THE

SECOND KIND
Kendall E. Atkinson
Department of Mathematics
University of Iowa
Iowa City, Iowa 52242
USA
July 5, 1996

1 c 1993-1996 by Kendall E. Atkinson

 Contents
PREFACE 7
1 A BRIEF DISCUSSION OF INTEGRAL EQUATIONS 11
1.1 TYPES OF INTEGRAL EQUATIONS . . . . . . . . . . . . . . 11
1.2 COMPACT INTEGRAL OPERATORS . . . . . . . . . . . . . 15
1.2.1 Compact integral operators on C (D) . . . . . . . . . . . 16
1.2.2 Properties of compact operators . . . . . . . . . . . . . . 17
1.2.3 Integral operators on L2 (a; b) . . . . . . . . . . . . . . . 20
1.3 THE FREDHOLM ALTERNATIVE
THEOREM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
1.4 ADDITIONAL RESULTS ON FREDHOLM
INTEGRAL EQUATIONS . . . . . . . . . . . . . . . . . . . . 25
1.5 NON-COMPACT INTEGRAL
OPERATORS . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
1.5.1 An Abel integral equation . . . . . . . . . . . . . . . . . 28
1.5.2 Cauchy singular integral operators . . . . . . . . . . . . 28
1.5.3 Wiener-Hopf integral operators . . . . . . . . . . . . . . 29
DISCUSSION OF LITERATURE . . . . . . . . . . . . . . . . . . . . 29
2 DEGENERATE KERNEL METHODS 31
2.1 GENERAL THEORY . . . . . . . . . . . . . . . . . . . . . . . 31
2.1.1 Solution of degenerate kernel integral equation . . . . . . 33
2.2 TAYLOR SERIES APPROXIMATIONS . . . . . . . . . . . . . 36
2.2.1 Conditioning of the linear system . . . . . . . . . . . . . 40
2.3 INTERPOLATORY DEGENERATE
KERNEL APPROXIMATIONS . . . . . . . . . . . . . . . . . 43
2.3.1 Interpolation with respect to the variable t . . . . . . . . 44
2.3.2 Interpolation with respect to the variable s . . . . . . . . 44
2.3.3 Piecewise linear interpolation . . . . . . . . . . . . . . . 45
2.3.4 Approximate calculation of the linear system . . . . . . . 48
2.4 ORTHONORMAL EXPANSIONS . . . . . . . . . . . . . . . . . 51
DISCUSSION OF LITERATURE . . . . . . . . . . . . . . . . . . . . 53
CONTENTS 1
 3 PROJECTION METHODS 55
3.1 GENERAL THEORY . . . . . . . . . . . . . . . . . . . . . . . 55
3.1.1 Collocation methods . . . . . . . . . . . . . . . . . . . . 56
3.1.2 Galerkin's method . . . . . . . . . . . . . . . . . . . . . 57
3.1.3 The general framework . . . . . . . . . . . . . . . . . . . 59
3.2 EXAMPLES OF THE COLLOCATION METHOD . . . . . . . 63
3.2.1 Piecewise linear interpolation . . . . . . . . . . . . . . . 63
3.2.2 Collocation with trigonometric polynomials . . . . . . . 66
3.3 EXAMPLES OF GALERKIN'S METHOD . . . . . . . . . . . . 69
3.3.1 Piecewise linear approximations . . . . . . . . . . . . . 69
3.3.2 Galerkin's method with trigonometric polynomials . . . 71
3.4 ITERATED PROJECTION METHODS . . . . . . . . . . . . . 74
3.4.1 The iterated Galerkin solution . . . . . . . . . . . . . . 76
3.4.2 Uniform convergence of iterated Galerkin approximations
78
3.4.3 The iterated collocation solution . . . . . . . . . . . . . 80
3.4.4 Piecewise polynomial collocation at Gauss-Legendre nodes
83
3.4.5 The linear system for the iterated collocation solution . 87
3.5 REGULARIZATION OF THE SOLUTION . . . . . . . . . . . 87
3.6 CONDITION NUMBERS . . . . . . . . . . . . . . . . . . . . . 89
3.6.1 Condition numbers for the collocation method. . . . . . 91
3.6.2 Condition numbers based on the iterated collocation so-
lution . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94
3.6.3 Condition numbers for the Galerkin method . . . . . . . 95
DISCUSSION OF LITERATURE . . . . . . . . . . . . . . . . . . . . 99
4 THE NYSTRO M METHOD 101
4.1 THE NYSTROM  METHOD FOR CONTINUOUS
KERNEL FUNCTIONS . . . . . . . . . . . . . . . . . . . . . . 101
4.1.1 Properties and error analysis of the Nystrom method . . 104
An asymptotic error estimate . . . . . . . . . . . . . . . 111
Conditioning of the linear system . . . . . . . . . . . . . 112
4.1.2 Collectively compact operator approximations . . . . . . 113
4.2 PRODUCT INTEGRATION METHODS . . . . . . . . . . . . . 115
4.2.1 Computation of the quadrature weights . . . . . . . . . . 117
4.2.2 Error Analysis . . . . . . . . . . . . . . . . . . . . . . . . 118
4.2.3 Generalizations to other kernel functions . . . . . . . . . 121
4.2.4 Improved error results for special kernels . . . . . . . . . 122
4.2.5 Product integration with graded meshes . . . . . . . . . 123
Application to integral equations . . . . . . . . . . . . . 129
The relationship of product integration and collocation
methods . . . . . . . . . . . . . . . . . . . . . . 131
4.3 DISCRETE COLLOCATION METHODS . . . . . . . . . . . . 132
4.3.1 Convergence analysis for f g 6 ft g . . . . . . . . . . .
k i 135
2 CONTENTS
 4.4 DISCRETE GALERKIN METHODS . . . . . . . . . . . . . . . 138
4.4.1 The discrete orthogonal projection operator . . . . . . . 140
4.4.2 An abstract formulation . . . . . . . . . . . . . . . . . . 143
DISCUSSION OF LITERATURE . . . . . . . . . . . . . . . . . . . . 148
5 SOLVING MULTIVARIABLE INTEGRAL EQUATIONS 151
5.1 MULTIVARIABLE INTERPOLATION
AND NUMERICAL INTEGRATION . . . . . . . . . . . . . . . 151
5.1.1 Interpolation over triangles . . . . . . . . . . . . . . . . 153
Piecewise polynomial interpolation . . . . . . . . . . . . 156
Interpolation error formulas over triangles . . . . . . . . 158
5.1.2 Numerical integration over triangles . . . . . . . . . . . 160
Some quadrature formulas based on interpolation . . . . 162
Other quadrature formulas . . . . . . . . . . . . . . . . . 163
Error formulas for composite numerical integration for-
mulas . . . . . . . . . . . . . . . . . . . . . . . 163
5.2 SOLVING INTEGRAL EQUATIONS
ON POLYGONAL REGIONS . . . . . . . . . . . . . . . . . . 167
5.2.1 Collocation methods . . . . . . . . . . . . . . . . . . . . 168
The iterated collocation method and superconvergence . 170
5.2.2 Galerkin methods . . . . . . . . . . . . . . . . . . . . . 172
Uniform convergence . . . . . . . . . . . . . . . . . . . . 174
5.2.3 The Nystrom method . . . . . . . . . . . . . . . . . . . 175
Discrete Galerkin methods . . . . . . . . . . . . . . . . . 177
5.3 INTERPOLATION AND NUMERICAL
INTEGRATION ON SURFACES . . . . . . . . . . . . . . . . . 178
5.3.1 Interpolation over a surface . . . . . . . . . . . . . . . . 179
5.3.2 Numerical integration over a surface . . . . . . . . . . . 181
5.3.3 Approximating the surface . . . . . . . . . . . . . . . . . 182
5.3.4 Nonconforming triangulations . . . . . . . . . . . . . . . 192
5.4 BOUNDARY ELEMENT METHODS FOR
SOLVING INTEGRAL EQUATIONS . . . . . . . . . . . . . . 193
5.4.1 The Nystrom method . . . . . . . . . . . . . . . . . . . 194
Using the approximate surface . . . . . . . . . . . . . . . 195
5.4.2 Collocation methods . . . . . . . . . . . . . . . . . . . . 200
Using the approximate surface . . . . . . . . . . . . . . . 202
Discrete collocation methods . . . . . . . . . . . . . . . . 204
5.4.3 Galerkin methods . . . . . . . . . . . . . . . . . . . . . 204
Discrete Galerkin methods . . . . . . . . . . . . . . . . . 207
5.5 GLOBAL APPROXIMATION METHODS
ON SMOOTH SURFACES . . . . . . . . . . . . . . . . . . . . 208
5.5.1 Spherical polynomials and spherical harmonics . . . . . 210
Best approximations . . . . . . . . . . . . . . . . . . . . 213
5.5.2 Numerical integration on the sphere . . . . . . . . . . . 214
A discrete orthogonal projection operator . . . . . . . . . 216
CONTENTS 3
 5.5.3 Solution of integral equations on the unit sphere . . . . 219
A Galerkin method . . . . . . . . . . . . . . . . .. . . . 220
A discrete Galerkin method . . . . . . . . . . . .. . . . 221
DISCUSSION OF LITERATURE . . . . . . . . . . . . . . . .. . . . 223
6 ITERATION METHODS 225
6.1 SOLVING DEGENERATE KERNEL
INTEGRAL EQUATIONS BY ITERATION . . . . . . . . . . 225
6.1.1 Implementation . . . . . . . . . . . . . . . . . . . . . . 228
6.2 TWO-GRID ITERATION
FOR THE NYSTROM  METHOD . . . . . . . . . . . . . . . . 231
6.2.1 Iteration method #1 for Nystrom's method . . . . . . . 232
Implementation for solving the linear system . . . . . . . 236
Operations count . . . . . . . . . . . . . . . . . . . . . . 239
6.2.2 Iteration method #2 for Nystrom's method . . . . . . . 240
Implementation for solving the linear system . . . . . . . 243
Operations count . . . . . . . . . . . . . . . . . . . . . . 246
An algorithm with automatic error control . . . . . . . . 248
6.3 TWO-GRID ITERATION
FOR COLLOCATION METHODS . . . . . . . . . . . . . . . . 248
6.3.1 Prolongation and restriction operators . . . . . . . . . . 251
6.3.2 The two-grid iteration method . . . . . . . . . . . . . . 253
An alternative formulation . . . . . . . . . . . . . . . . . 260
Operations count . . . . . . . . . . . . . . . . . . . . . . 260
6.4 MULTIGRID ITERATION FOR
COLLOCATION METHODS . . . . . . . . . . . . . . . . . . . 261
6.4.1 Operations count . . . . . . . . . . . . . . . . . . . . . . 267
6.5 THE CONJUGATE GRADIENT METHOD . . . . . . . . . . 270
6.5.1 The conjugate gradient method for the undiscretized in-
tegral equation . . . . . . . . . . . . . . . . . . . . . . . 270
Bounds on ck . . . . . . . . . . . . . . . . . . . . . . . . 275
6.5.2 The conjugate gradient iteration for Nystrom's method . 276
The conjugate gradient method and its convergence . . . 277
6.5.3 Nonsymmetric integral equations . . . . . . . . . . . . . 279
DISCUSSION OF LITERATURE . . . . . . . . . . . . . . . . . . . . 281
7 BOUNDARY INTEGRAL EQUATIONS ON A SMOOTH PLANAR
BOUNDARY 283
7.1 BOUNDARY INTEGRAL EQUATIONS . . . . . . . . . . . . 284
7.1.1 Green's identities and representation formula . . . . . . 285
7.1.2 The Kelvin transformation and exterior problems . . . . 287
7.1.3 Boundary integral equations of direct type . . . . . . . . 290
The interior Dirichlet problem (7.1.2) . . . . . . . . . . . 290
The interior Neumann problem (7.1.3) . . . . . . . . . . 291
The exterior Neumann problem (7.1.18) . . . . . . . . . 291
4 CONTENTS
 The exterior Dirichlet problem (7.1.14) . . . . . . . . . . 293
7.1.4 Boundary integral equations of indirect type . . . . . . . 293
Double layer potentials . . . . . . . . . . . . . . . . . . . 294
Single layer potentials . . . . . . . . . . . . . . . . . . . 295
7.2 BOUNDARY INTEGRAL EQUATIONS
OF THE SECOND KIND . . . . . . . . . . . . . . . . . . . . . 296
7.2.1 Evaluation of the double layer potential . . . . . . . . . 299
7.2.2 The exterior Neumann problem . . . . . . . . . . . . . . 302
7.2.3 Other boundary value problems . . . . . . . . . . . . . . 308
7.3 BOUNDARY INTEGRAL EQUATIONS
OF THE FIRST KIND . . . . . . . . . . . . . . . . . . . . . . 312
7.3.1 Sobolev spaces . . . . . . . . . . . . . . . . . . . . . . . 313
The trapezoidal rule and trigonometric interpolation . . 315
7.3.2 Some pseudodierential equations . . . . . . . . . . . . 316
The Cauchy singular integral operator . . . . . . . . . . 318
A hypersingular integral operator . . . . . . . . . . . . . 320
Pseudodierential operators . . . . . . . . . . . . . . . . 322
7.3.3 Two numerical methods . . . . . . . . . . . . . . . . . . 322
A discrete Galerkin method . . . . . . . . . . . . . . . . 324
7.4 FINITE ELEMENT METHODS . . . . . . . . . . . . . . . . . 332
7.4.1 Sobolev spaces - A further discussion . . . . . . . . . . . 332
Extensions of boundary integral operators . . . . . . . . 335
7.4.2 An abstract framework . . . . . . . . . . . . . . . . . . 336
A general existence theorem . . . . . . . . . . . . . . . . 339
An abstract nite element theory . . . . . . . . . . . . . 344
The nite element solution as a projection . . . . . . . . 346
7.4.3 Boundary element methods for boundary integral equa-
tions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 346
Additional remarks . . . . . . . . . . . . . . . . . . . . . 350
DISCUSSION OF LITERATURE . . . . . . . . . . . . . . . . . . . . 351
8 BOUNDARY INTEGRAL EQUATIONS ON A PIECEWISE
SMOOTH PLANAR BOUNDARY 355
8.1 THEORETICAL BEHAVIOUR . . . . . . . . . . . . . . . . . 355
8.1.1 Boundary integral equations for the interior Dirichlet
problem. . . . . . . . . . . . . . . . . . . . . . . . . . . 358
8.1.2 An indirect method for the Dirichlet problem . . . . . . 360
8.1.3 A BIE on an open wedge . . . . . . . . . . . . . . . . . . 361
8.1.4 A decomposition of the boundary integral equation . . . 364
8.2 THE GALERKIN METHOD . . . . . . . . . . . . . . . . . . . 368
8.2.1 Superconvergence results . . . . . . . . . . . . . . . . . 373
8.3 THE COLLOCATION METHOD . . . . . . . . . . . . . . . . . 374
8.3.1 Preliminary denitions and assumptions . . . . . . . . . 376
Graded meshes . . . . . . . . . . . . . . . . . . . . . . . 377
8.3.2 The collocation method . . . . . . . . . . . . . . . . . . 379
CONTENTS 5
 A modied collocation method . . . . . . . . . . . . . . 381
8.4 THE NYSTROM  METHOD . . . . . . . . . . . . . . . . . . . . 386
8.4.1 Error analysis . . . . . . . . . . . . . . . . . . . . . . . . 388
DISCUSSION OF LITERATURE . . . . . . . . . . . . . . . . . . . . 392
9 BOUNDARY INTEGRAL EQUATIONS IN THREE DIMENSIONS395
9.1 BOUNDARY INTEGRAL REPRESENTATIONS . . . . . . . 396
9.1.1 Green's representation formula . . . . . . . . . . . . . . 397
The existence of the single and double layer potentials . 399
Exterior problems and the Kelvin transform . . . . . . . 400
Green's representation formula for exterior regions . . . . 402
9.1.2 Direct boundary integral equations . . . . . . . . . . . . 403
9.1.3 Indirect boundary integral equations . . . . . . . . . . . 404
9.1.4 Properties of the integral operators . . . . . . . . . . . . 406
9.1.5 Properties of K and S when S is only piecewise smooth 409
9.2 BOUNDARY ELEMENT COLLOCATION METHODS ON SMOOTH
SURFACES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 413
9.2.1 The linear system . . . . . . . . . . . . . . . . . . . . . 421
Numerical integration of singular integrals . . . . . . . . 422
Numerical integration of nonsingular integrals . . . . . . 425
9.2.2 Solving the linear system . . . . . . . . . . . . . . . . . 427
9.2.3 Experiments for a rst kind equation . . . . . . . . . . . 431
9.3 BOUNDARY ELEMENT COLLOCATION METHODS ON PIECE-
WISE SMOOTH SURFACES . . . . . . . . . . . . . . . . . . . 434
9.3.1 The collocation method . . . . . . . . . . . . . . . . . . 436
Applications to various interpolatory projections . . . . . 438
Numerical integration and surface approximation . . . . 438
9.3.2 Iterative solution of the linear system . . . . . . . . . . 443
9.3.3 Collocation methods for polyhedral regions . . . . . . . 449
9.4 BOUNDARY ELEMENT GALERKIN METHODS . . . . . . . 451
9.4.1 A nite element method for an equation of the rst kind 455
Generalizations to other boundary integral equations . . 458
9.5 NUMERICAL METHODS USING SPHERICAL
POLYNOMIAL APPROXIMATIONS  . . . . . . . . . . . . . . 458
9.5.1 The linear system for 2 + PnK bn = Pn fb . . . . . . . 463
b
9.5.2 Solution of an integral equation of the rst kind . . . . . 466
Implementation of the Galerkin method . . . . . . . . . 470
Other boundary integral equations and general comments 472
DISCUSSION OF THE LITERATURE . . . . . . . . . . . . . . . . . 472
APPENDIX: RESULTS FROM FUNCTIONAL ANALYSIS 476
BIBLIOGRAPHY 479
INDEX 521

6 CONTENTS
 PREFACE
In this book, numerical methods are presented and analyzed for the solution
of integral equations of the second kind, especially Fredholm integral equations.
Major additions have been made to this subject in the 20 years since the
publication of my survey [39], and I present here an up-to-date account of the
subject. In addition, I am interested in methods which are suitable for the
solution of boundary integral equation reformulations of Laplace's equation,
and three chapters are devoted to the numerical solution of such boundary
integral equations. Boundary integral equations of the rst kind which have a
numerical theory closely related to that for boundary integral equations of the
second kind are also discussed.
This book is directed towards several audiences. It is rst directed to
numerical analysts working on the numerical solution of integral equations.
Second, it is directed towards applied mathematicians, including both those
interested directly in integral equations and those interested in solving elliptic
boundary value problems by use of boundary integral equation reformulations.
Finally, it is directed towards that very large group of engineers needing to
solve problems involving integral equations. In all of these cases, I hope the
book is also readable and useful to well-prepared graduate students, as I had
them in mind when writing the book.
During the period of 1960-1990, there has been much work on developing
and analyzing numerical methods for solving linear Fredholm integral equations
of the second kind, with the integral operator being compact on a suitable space
of functions. I believe this work is nearing a stage in which there will be few
major additions to the theory, especially as regards equations for functions of
a single variable. In Chapters 2 through 6, the main aspects of the theory of
numerical methods for such integral equations is presented, including recent
work on solving integral equations on surfaces in R3: Chapters 7 through 9
contain a presentation of numerical methods for solving some boundary integral
equation reformulations of Laplace's equation, for problems in both two and
three dimensions. By restricting the presentation to Laplace's equation, a
simpler development can be given than is needed when dealing with the large
variety of boundary integral equations which have been studied during the past
twenty years. For a more complete development of the numerical solution of
all forms of boundary integral equations for planar problems, see Prodorf and
Silbermann [438].
In Chapter 1, a brief introduction/review is given of the classical theory
of Fredholm integral equations of the second kind in which the integral oper-
ator is compact. In presenting the theory of this and the following chapters,a
functional analysis framework is used, which it is generally set in the space of
continuous functions C (D) or the space of square integrable functions L2 (D).
Much recent work has been in the framework of Sobolev spaces H r (D), which
is used in portions of Chapter 7; but I believe the simpler framework given
here is accessible to a wider audience in the applications community. There-
CONTENTS 7
 fore I have chosen this simpler framework in preference to regarding boundary
integral equations as pseudodierential operator equations on Sobolev spaces.
The reader still will need to have some knowledge of functional analysis, al-
though it is not a great deal; and a summary of some of the needed results
from functional analysis is presented in the appendix.
I would like to thank Mihai Anitescu, Paul Martin, and Matthew Schuette,
who found many typographical and other errors in the book. It is much ap-
preciated. I also thank my wife Alice, who as always has been very supportive
of me during the writing of this book.

8 CONTENTS