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M252

Lectures on Integration of Several Variables.

Second Semester 1995-6 Dr. Michael D. Alder Department of Mathematics The University of Western Australia Nedlands W.A. 6009, AUSTRALIA

Contents
1 Introduction 7
1.1 What The Course is About : : : : : : : : : : : : : : : : 7 1.2 Ideas versus Techniques : : : : : : : : : : : : : : : : : : 9 1.3 Reminder : : : : : : : : : : : : : : : : : : : : : : : : : : 10 1.4 Summary : : : : : : : : : : : : : : : : : : : : : : : : : : 14

2 Integrating Functions

17

2.1 Integration Over Rectangles : : : : : : : : : : : : : : : : 17 2.2 Integration Over (bits of) disks : : : : : : : : : : : : : : 24 2.3 Over wilder regions, but not too wild : : : : : : : : : : : 27 2.3.1 General Ideas and Examples : : : : : : : : : : : : 27 2.3.2 Algorithm : : : : : : : : : : : : : : : : : : : : : 31 2.3.3 Exercises : : : : : : : : : : : : : : : : : : : : : : : 32 2.3.4 Applications and Subversive Thoughts : : : : : : 34 1

CONTENTS
2.4 Change of Variables : : : : : : : : : : : : : : : : : : : : : 37 2.5 Three Variables : : : : : : : : : : : : : : : : : : : : : : : 46 2.5.1 Swindle : : : : : : : : : : : : : : : : : : : : : : : 51 2.5.2 More Exercises : : : : : : : : : : : : : : : : : : : 52 2.6 Higher Things : : : : : : : : : : : : : : : : : : : : : : : : 54 2.6.1 Embeddings : : : : : : : : : : : : : : : : : : : : : 54 2.6.2 Parametrisation : : : : : : : : : : : : : : : : : : : 63 2.7 Integration over Curves and Surfaces : : : : : : : : : : : 65 2.7.1 Exercises : : : : : : : : : : : : : : : : : : : : : : : 72 2.7.2 Doing it Piecewise : : : : : : : : : : : : : : : : : 74

3 1-Forms and 2-forms on R 2

75

3.1 Introduction: A New Idea : : : : : : : : : : : : : : : : : 75 3.1.1 Advice: Learning This Stu : : : : : : : : : : : : 81 3.2 Notation : : : : : : : : : : : : : : : : : : : : : : : : : : : 82 3.2.1 Exercises : : : : : : : : : : : : : : : : : : : : : : : 84 3.3 Surprises: Closed and Exact Forms : : : : : : : : : : : : 85 3.4 2-forms : : : : : : : : : : : : : : : : : : : : : : : : : : : : 89 3.5 Holes : : : : : : : : : : : : : : : : : : : : : : : : : : : : : 97 3.6 Connections : : : : : : : : : : : : : : : : : : : : : : : : : 98 3.7 The exterior derivative and k-forms : : : : : : : : : : : : 99

CONTENTS

3.8 Change of Variables : : : : : : : : : : : : : : : : : : : : 101 3.8.1 1-forms : : : : : : : : : : : : : : : : : : : : : : : 102 3.8.2 2-forms : : : : : : : : : : : : : : : : : : : : : : : 106 3.8.3 Some simple rules : : : : : : : : : : : : : : : : : : 107 3.8.4 What is a di erential form? : : : : : : : : : : : : 108

4 Forms on R 3

115

4.1 Some examples of Exterior Derivatives : : : : : : : : : : 115 4.2 Closed and Exact k-forms : : : : : : : : : : : : : : : : : 118 4.3 Stokes' Theorem : : : : : : : : : : : : : : : : : : : : : : 119 4.3.1 History : : : : : : : : : : : : : : : : : : : : : : : : 119 4.3.2 Integrating 1-forms and 2-forms in R 3 : : : : : : : 119 4.3.3 Stokes' Theorem: Modern Dress : : : : : : : : : : 126 4.3.4 Stoke's Theorem: Classical Dress : : : : : : : : : 131 4.3.5 Gauss : : : : : : : : : : : : : : : : : : : : : : : : 134 4.3.6 Tying Up Stokes : : : : : : : : : : : : : : : : : : 146 4.4 Integration of forms over manifolds : : : : : : : : : : : : 148 4.4.1 A Summary : : : : : : : : : : : : : : : : : : : : : 148 4.4.2 A note on i, j, k : : : : : : : : : : : : : : : : : : 149

5 Partial Di erential Equations

153

CONTENTS
5.1 Introduction : : : : : : : : : : : : : : : : : : : : : : : : : 153 5.2 The Di usion Equation : : : : : : : : : : : : : : : : : : : 159 5.2.1 Intuitive : : : : : : : : : : : : : : : : : : : : : : : 159 5.2.2 Saying it in Algebra : : : : : : : : : : : : : : : : 163 5.3 Laplace's Equation : : : : : : : : : : : : : : : : : : : : : 166 5.4 The Dirichlet Problem for Laplaces Equation : : : : : : : 171 5.5 Laplace on Disks : : : : : : : : : : : : : : : : : : : : : : 179 5.6 Solving the Heat Equation : : : : : : : : : : : : : : : : : 184 5.7 And in Conclusion.. : : : : : : : : : : : : : : : : : : : : : 191

CONTENTS

Preface
These notes, whether you get them on paper or o the Web, are for the M252 course in Mathematics at the University of Western Australia. They are intended for second year students of Mechanical, Civil and Environmental Engineering. They are not intended for Pure Mathematicians, Physicists, or Electrical Engineering students who do a di erent unit. Anybody can read them of course, but if you nd mistakes do not be too surprised. They were given in second semester in 1995 and 1996. I was guided by Grant Keady who pointed out at least one awful error and numerous minor ones in the rst version. I am also grateful to Malcolm Hood and Nev Fowkes for useful perspectives. None of the above, however, should be blamed for the nal form. The approach was required to be intuitive and geometric rather than formal or precise, and is. Do not, therefore, be surprised or shocked at the sloppiness or scru ness of the exposition. It is supposed to be that way. On the other hand, if you have trouble seeing why Stoke's Theorem or PDEs are worth studying, I would like to think that this text will give you some grounds for thinking they might be. I have never been able to nd Engineering text books interesting, nor have I the slightest taste for ritual, so bashing through the standard texts was, for me, only something I did after I had found out (usually from reading something quite di erent or talking to a colleague) that the subject was fascinating and a triumphant demonstration of the power of the human mind. I think this is terrible. To take something quite amazing and wonderful, and then turn it into boring drudgery ought to be a hanging crime. Yet the e ort involved in following the technicalities is considerable. If you see the material in terms of passing examinations, then it is, let us face it, just one shitload of integrals. Why anybody should want to pass exams that much is a mystery to me, there being so many much more enjoyable ways to pass the time, but many do, or think they do at the beginning of the year. I don't know if this helps you, but it helped me a lot to feel, as I was sweating through the material, that I was treading again a path blazed by some of the cleverest men the world has seen, and that the horrible complexity of it

CONTENTS

is there because the world is a di cult and complicated place. Beating even a small part of it into submission, understanding clearly how it works so that you can make bits of it do what you want, is horribly di cult. Being muddled and confused is the natural state of man (and woman). Getting slightly less muddled and confused by exploring the world by pen and paper and doing ghastly sums is not easy, but at the end you can be awestruck by the things that the human mind can gure out. It is this pleasure in making sense of the world that drove the men who invented this stu to do the work they did (usually after a hard day at their proper job). To learn the skills in order to pass an examination and to miss the point of having them is to concentrate on the nger and to ignore what it is pointing at. Heinlein remarked that to be ignorant of mathematics was to be less than fully human, such a person is just a house-trained monkey. To confuse mathematics with knowing how to do scads of integrals is to be less than human too. I guess there are a lot of part-human beings around.

Chapter 1 Introduction
1.1 What The Course is About
In rst year mathematics, you learnt about Calculus and Linear Algebra. The Calculus was about di erentiating and integrating functions f : R ;! R , such as f (x) = x2. The linear algebra dealt with linear maps f : R n ;! R m represented by matrices. On the other hand, linear maps are very special, and you didn't do much calculus with them. In Second year, you get to do more Linear Algebra, and also more Calculus. In this course we do di erential and integral calculus for functions f : R n ;! R m . Mainly Integral Calculus. If you think about the sort of things done in mathematics, you can divide it into two types: you could call them geometry and algebra, or pictures and symbol strings, or ideas and techniques. For instance, in doing integration of a function such as f (x) = x2, you have the symbols: Z1 x2dx
0

and the picture of gure 1.1. 7

CHAPTER 1. INTRODUCTION

Figure 1.1: y = x2 The Rpicture gives you an idea of what the symbols mean: the integral 01 x2dx is the shaded area under the curve. The de nition of the integral tells you that you have to draw little rectangles and add up the area of the rectangles in order to get an approximate idea, then you go back and do it with smaller, narrower rectangles to get a better idea, and in the limit as you calculate the area of thinner and thinner rectangles, you get the actual area and the value of the integral. The picture is useful, it tells you what integration is about from the conceptual point of view, but it doesn't give you much of an idea of how to actually calculate the integral in a reasonable time. Fortunately, there is a very useful theorem which tells us how to do the job: we rst nd an antiderivative of f (x) = x2, which is easy, x3=3 will do nicely, then evaluate this at each end of the interval and take the di erence. So we get 1 as the answer with very little e ort. The less e ort we 3 have to go to, the better, so the theorem is very handy. Combined with other theorems telling us how to di erentiate polynomials and other functions, we get a lot of hard sums done very easily, which is a Good Thing. So Good Theorems save us a lot of Work. The main theorem we use to do the sums here is the Fundamental Theorem of Calculus which tells us that Di erentiation and Integration

1.2. IDEAS VERSUS TECHNIQUES

are inverse operations, and that to evaluate the integral of a function f over an interval, we look at another function, F , the antiderivative of f , over the boundary of the interval. This generalises in very useful ways to higher dimensions, and is called Stokes' Theorem. We shall not try to prove this theorem, but we shall be trying to understand it and use it. There are some specialised version of Stokes' Theorem called Green's Theorem and Gauss' Divergence Theorem which we shall also do. This is the main point of the course. The only other thing we do is rather tacked on the end, it generalises the Ordinary Di erential Equations you did in First Year. We generalise to what are called Partial Di erential Equations. This is a huge subject and I am going to spend a few lectures on it at the end of the course. The good news is that you will learn how to solve quite hard problems about heat ow and di usion, again at fairly small cost in terms of the amount of su ering you have to do.

1.2 Ideas versus Techniques


It is traditional in teaching Engineers to train them to do the sums by showing them the techniques, and to hope that they will take it for granted that the sums are worth doing. Also to take it for granted that they have terri c memories. Most of the books that cover Engineering Mathematics are based on this assumption, and it makes them rather less fun to read than, say, the Sermons of the Bishop of Bath and Wells. I shall spend rather more time than is conventional drawing pictures and explaining the ideas in geometric terms. Someone had to invent the techniques, and it is easier to remember them if you can see how the inventor thought about them. So there will be a lot of pictures in this course. It is most important that you have some mental image or model or interpretation of the strings of symbols. There may be more than one. It is worth pointing out that there

10

CHAPTER 1. INTRODUCTION

are often several di erent models or ways of thinking about a piece of mathematics. For example, R01 x2dx can be thought of as the area above the x-axis and under the graph of f (x) = x2 between 0 and 1, or it can be thought of as the average value of y over the range of possible x values, multiplied by the length of the interval. Both are useful ways to think about integrals. Don't go looking for the one right way of thinking about something, there may be lots. At the same time, the bottom line in Mathematics is being able to do the sums, and the best way to do this (and guarantee that you will pass the exam) is to practise doing a lot of examples until the details burn themselves into your brain. I will give a lot of examples. In the end however, it is you who have to do the skull-sweat which gets you feeling con dent about how to tackle the problems that can come up. Everything in the course is useful. There isn't anything which is put in just to make Engineers su er. Cling to that assurance, because there is going to be a lot of su ering. It is good for you it will make you more spiritual and noble, more thoughtful and intelligent. Just like your lecturers.

1.3 Reminder
When you have a function of one variable, f : R ;! R , you are used to drawing the graph of the function and thinking of the function as just its graph. This can be carried a little way forward: if you have a function f : R 2 ;! R then it is still possible to think of the graph. In the one dimensional case, the input to the function is a single number and the output is a single number, so you can imagine that you walk along to the input number along the real line, then you do some quick sums on your calculator to work out the value of f (x), then you lift a pole up to that height and make a mark on the sky. Then go to another point on the line and lift up your pole again. Keep doing this for all possible real numbers than can be input, and the track of the top of the pole for each output is the graph.

1.3. REMINDER

11

Figure 1.2: f (x y) = x2 + y2 Now if you have a function f : R 2 ;! R , it is exactly the same except that now you have two numbers, say x and y as input, which we can think of as a point in the plane. So you go to some point in the plane, (x y), and then you calculate f (x y) and lift your pole up that high (because the output is a single number). As you go all over the plane, the top of the pole forms a surface over the plane (or under it if the value of f (x y) is negative). As an example, f : R 2 ;! R given by f (x y) = x2 + y2 has graph a parabolic bowl, like a radio telescope pointing straight up, as in gure 1.2 If you have a function of three variables, f : R 3 ;! R , then you wander about a huge room, in three dimensions, and you get a single number as output. It is not possible to visualise the graph of this, because it is sitting in four dimensions. You can imagine that each point is assigned a colour, yellow for positive, red for high positive, green for zero or small negative and blue for very negative. This would be a useful way to think of the function, but it isn't exactly a graph. If you have a function f : R ;! R 2 then it is possible, though a little strange, to think of its graph. You have to imagine that you wander along a line and at each point on the line, t say, you calculate f (t), which is a pair of numbers or a point in the plane. So you will get some

12

CHAPTER 1. INTRODUCTION

7 8 6 5 4 9 3 11 2 10 12

Figure 1.3: (x y) = f (t) sort of a curve in three dimensions. It is probably easier to think of a map f : R ;! R 2 as being a bug wandering about the plane in time. The input, t is the time, and the value of f (t) is where the bug is at that time. You can draw the trajectory of the bug on some graph paper, and put tick marks on to label the times. I have sketched this in gure 1.3. It would be a big mistake to think that this is the only way to think of a function f : R ;! R 2, but it is useful. It is looking at a parametrised image of the function, NOT the graph of the function. There are other ways of looking at functions besides graphs. If you are muddled about this distinction, stop and think about it now by making up some examples. Otherwise you will stay muddled, which is (a) uncomfortable and (b) makes doing the sums much harder. When you are muddled you can write down some really daft things without knowing they are daft. For maps f : R ;! R 3, it is easy to generalise and imagine a bug ying about in three dimensions. Replace the bug by a spaceship and you have a typical problem in dynamics. Suppose we have some water owing through a rectangular region. At

1.3. REMINDER

13

each point inside the rectangle, the water is owing in some direction at some speed. We can imagine putting a little arrow at each point of the rectangle, pointing along the direction of the ow, the length proportional to the speed. This is almost possible: the air- ow in wind-tunnels is sometimes indicated by putting threads into the tunnel. Tracer dyes can be released into water and a video of the shape of the dye drops can show how the stu is stretched. Certainly, a good computer simulation can draw lots of little arrows, if not all of them. Since a little arrow is also a vector in the same space, we can use functions f : R 2 ;! R 2 and f : R 3 ;! R 3 to represent vector elds in R 2 and R 3 respectively. The input to the function is where you are, and the output of the function is where the head of the little arrow is at that point, relative to the tail, which is on the point. Such an assignment of little arrows, one to each point of the space, is called a vector eld on that space, and we show a bit of it in gure 1.4. Conversely, one way of thinking of a map f : R 2 ;! R 2 is as a vector eld on R 2. Again, there are other ways, and the more ways of visualising what you are doing the better, and we shall come across some of them in the course. One way of thinking about functions from R 2 to R 2 is to imagine them picking up a piece of graph paper and stretching and distorting it and then hammering it at into another piece of graph paper. Similarly, a function from R 2 to R 3 can be used to describe taking a piece of graph paper and bending it and putting it in a three dimensional room. There are lots of visualisation methods. You will by now have had some experience of using Symbolic Mathematics packages to assist in this. We shall not have much use in this course for maps f : R n ;! R m except in these cases, i.e. when n m are 1, 2 or 3, although you would be mistaken if you thought that these are the only `real' cases. Speech Recognition by computer, for example, is a hard problem, and a man saying `hippopotamus' into a microphone is producing a trajectory in a space of lterbanks of dimension 12 or 16. Recognising the word amounts to matching it with other such trajectories. And there are a zillion other cases where high dimensional spaces and maps between them are important. But we have to leave something for third year.

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CHAPTER 1. INTRODUCTION

Figure 1.4: f (x y) = (u v)

1.4 Summary
This course is about integration and di erentiation applied to multidimensional things such as vector elds and functions f : R n ;! R m, mainly in the case where n m = 1 2 3. The central result is Stokes' Theorem, which generalises the Fundamental Theorem of Calculus and will tell us how to do some thoroughly nasty sums with the minimum of stress and pain. As a free extra, we shall apply the Fourier theory of rst semester to the di usion equation, allowing us to solve some simple PDEs (Partial Di erential Equations) governing the ow of heat and the di usion of substances. No theorems will be proved, but the ideas will be emphasised so that you can hope to gure out how to solve new problems. This is old fashioned eighteenth and nineteenth century mathematics, and I shall present it in an old fashioned eighteenth and nineteenth century manner, with levels of rigour so low as to shock a Pure Mathematician of this century. I shall do this because while rigour has an important place, it doesn't have much meaning for mechanical and civil engineers in general. If you feel uneasy about the ideas because they seem to you unclear and confusing, you may have mathematical in-

1.4. SUMMARY

15

stincts and are probably in the wrong course. Please speak up if you feel a need for more precision and want to know what functions and vector elds really are. If you don't, I shall assume my sloppiness meets with your approval. When my conscience gets the better of me and I wince at something particularly outrageous I have just written, I shall put in a footnote1 to try to justify myself. There is one important di erence of style between rst year Mathematics (at least as you probably got away with doing it) and this course: In rst year Mathematics the key thing is to identify the problem type, pull out an algebraic manipulation for solving it, and hit the problem until you kill it. The lecturer probably went on about ideas, but you got away without knowing what he was talking about. In this course, you will need to link up the geometry with the algebra. Instead of giving you closed problems where you only have to do some pattern recognition, I shall give you open problems with lots of possible solutions. In particular, you will be given curves and surfaces and required to express them in terms of functions. For example, if I tell you that the unit sphere in R 2 is the set of points 80 1 9 > x <B C 3 2 2 2 > = @ y A 2 R : x + y + z = 1> > z : I shall ask you to express this parametrically, that is, as the image of a square. This is geometrically like taking a square of plasticene and wrapping it so that it covers the surface of a beach-ball. If I had asked you to do a similar thing for the unit circle in R 2, namely to express it parametrically as the image of a line segment, the answer

x = cos(t) y = sin(t) t 2 0 2 ) would have been acceptable.


I shall do this with lots of di erent surfaces and curves. I shall give lots of examples, but you will need to practise drawing graphs of surfaces in order to get a feel for it. This sort of thing is important for engineers
1

like this.

16

CHAPTER 1. INTRODUCTION

who deal with shapes of objects which may be complicated, and may need to be able to express these shapes algebraically. This course is oriented to standard problems and methods for solving them, it slithers around many of the subtleties needed for proper generalisation to higher dimensions. Altogether it is pretty disgusting, but engineers seem to like being disgusting, and I aim to please the customers. If the customers want to pass the examination, all they have to do is take the assignments seriously and give them their best shots.

Chapter 2 Integrating Functions


2.1 Integration Over Rectangles
Given a function of two variables, f : R 2 ;! R , we visualise a surface sitting over the plane, the graph of the function, as a simple generalisation of functions of a single variable. If I take a rectangle in the plane and call it U ,

) (" # x 2R2:0 x 1 0 y 2 U= y
and if I look at the region over the rectangle and under the graph, then it is a three dimensional chunk of space and can reasonably be assumed to have a volume. If f (x y) 0 for all points inside U , then it is a reasonable generalisation of the one dimensional case to say that the volume is given by Z f (x y) dA where dA is some little bit of area, just as dx is a little bit of x. 1
1

In the crude, barbarous days of old, people used to use x to denote `a little

17

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CHAPTER 2. INTEGRATING FUNCTIONS

Figure 2.1:

R f (x y) U

The de nition of the one dimensional integral is in terms of limits of sums of areas of little rectangles, the dx telling us something about the limit of little line segments as the bases for the rectangles. For the two dimensional case, we can chop up the rectangle in gure 2.1 into little squares, erect a box on each square reaching up to the surface of the graph, add up the volume of the boxes, and then do it again with smaller squares. In the limit, the integral would give us the volume, if life has any meaning. 2
bit of x', and dx was used to mean an in nitesimal bit of x, where an in nitesimal was a number so small that it was impossible to tell it from zero, but it wasn't zero. Isaac Newton who invented the things wasn't very happy about them, and Bishop Berkeley had a dig at them, calling them `the ghosts of departed quantities'. He was narked because Robert Hooke, a friend of Newton (insofar as Newton had friends) and a declared atheist (a burning-at-the-stake crime in those days) had sneered at the doctrines of the church, particularly the idea of a three-in-one god, which he thought daft. It took over two centuries for mathematicians to work out what the dx really means. Mind you, most of them were having too much fun doing maths the scru y way to care. We shall do mathematics in the old fashioned piratical way, with a rude gesture and a hey-nonny-nuts to all those serious people who insist on knowing what they are talking about. A vague impression is good enough for scru y buggers like us, provided we get the right answers to the sums, and most of you who do this course will never nd out what dx or dA reallyP means. R 2 Recall that the expression b f (x) dx is code for lim f (xi ) x, where x!0 a the xi are taken one in each interval of length x partitioning the interval a b].

2.1. INTEGRATION OVER RECTANGLES

19

Figure 2.2:

R (x2 + y2) U

So at the level of ideas, it is easy to understand that it is possible to integrate functions of two variables over rectangles in the plane. Just to get things nailed down, it would be nice to have a rough idea of the value of the integral of gure 2.2. This we could write as Z x2 + y2 dA
U

where U is the rectangle with vertices (0 0) (1 0) (0 2) (1 2). You could build the shape shown with plasticene. The lowest corner has height zero and the highest has height (12 + 22) = 5. The volume therefore must be between 0 and 10. To get a better estimate, although
The extension to integrals of functions of two variables, f (x y) is obvious. We chop up the base rectangle U into little squares of some small area A with no overlap and every point of U in one of the little squares, then we take an (x y)i in each little square, and multiply each of the f (x y)i by A, and add them all up: P f (x y) A. Now take the limit as A ! 0. This is the de nition of the integral i for the case where f is a reasonable, well-behaved, law-abiding, decent function that does not do drugs. It is a little trickier to x up the de nition for sleazy functions where you cannot immediately tell if they do drugs or not. Of course, the bit here that throws doubt into the staunchest heart is the bit about taking limits. It sounds OK if you say it fast, but taking a limit is sometimes easier to talk about than do. Like taking a mistress. I daresay that's easier for some than others.

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CHAPTER 2. INTEGRATING FUNCTIONS

not a very good one, the line in U along y = 1 has a minimum height of 1 and a maximum height of 2. The volume of the bit over the square 0 x 1 0 y 1 is not bigger than 2, and the volume over the square 0 x 1 1 y 2 is at least 1 and less than 5. So the volume lies between 1 and 7. You might think this is a pretty rough estimate, but to be able to say Z 1 x2 + y2 dA 7
U

is at least a start. Crude estimates such as this are quite useful things to be able to do quickly in your head to stop you writing something really daft. If you use smarter methods and come out with 147:349 or ;3:14159, you know you blundered. It also beats into your skull what the things mean, which makes it all a bit more interesting. All the same, the work involved in getting the answer to four places of decimals by this method would seem to be excessive. There has to be a better way, and there is. To see a smart way to do this, look at the area of the slice along the x-axis, where y = 0. We already know that this is just the one dimensional integral Z1 x2 dx = 1 3
0

Similarly the slice at y = 1 is just the one dimensional integral Z1 1 x2 + 1 dx = 1 3 0 and the slice at y = 2 has area given by the one dimensional integral Z1 x2 + 4 dx = 4 1 3 0 Indeed, at each value of y, the area of the slice is given by Z1 x2 + y2 dx = y2 + 1 3 0

2.1. INTEGRATION OVER RECTANGLES

21

Now if we think of each little slice having thickness dy, we get that the volume given by Z (x2 + y2) dA U is just Z2 1 (y2 + 3 ) dy = 10 3 0 which looks a reasonable number. Now this idea is not very di cult. We have in fact a nice useful theorem, a particular instance of a more general theorem, due to Fubini, which I shall state here in a special case:

Theorem 2.1.1 (Fubini) If U is a rectangle in the plane given by n o U = (x y) 2 R 2 : a x b c y d


then

Z
U

f (x y) dA =
c

Z y=d Z x=b
y=c x=a

! f (x y) dx dy

usually written

Z dZ b
a

f (x y) dx dy

providing both of the integrals on the right hand side of the equation exist.

In other words, we can reduce integrals of functions of two variables into a sequence of two integrations in each variable separately. This certainly works when the functions are nice and can be integrated, and when we have to integrate only over rectangles. As we shall see later, it works for integrals over nastier regions of the domain space also. You may not feel it is easy to love a nice friendly theorem, but if you had to evaluate many volumes from rst principles, you'd feel very well disposed to Fubini's Theorem. You get the idea that every new theorem means extra work, so you usually hate them, but you try solving the

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CHAPTER 2. INTEGRATING FUNCTIONS

problems without them, and you'd really appreciate what cuddly things theorems are. The enquiring mind will notice that we could just as well have done the integral by reversing the order, doing the y integral rst, so that we integrate along slices at di erent values of x, and we had better get the same answer. There are cases when integrating in one way is very hard, while integrating the other way is easy. So if the integration looks particularly foul, try reversing the order and see if it looks any better. At this point, you need to get stuck into some practice sums. I shall do the rst one for you as a worked example.
speci ed, obtain a crude estimate of the integral of the function over the rectangle by sketching the graph and using some common sense. Then compute the integral using Fubini's Theorem. 1. 2. 3. 4. 5.

Exercise 2.1.0.1 For each of the functions below, for the rectangle
R (x + y)2 dA U = f(x y) : 0 x 1 0 y 1g U R xy dA U = f(x y) : 0 x 1 0 y 1g U R sin(xy) dA U = f(x y) : 0 x =2 0 y =2g U R (x+y) dA U = f(x y) : 0 x 1 0 y 1g Ue R y U (x+y)2 dA U = f(x y ) : 1 x < 1 0 y 1g

the area of the square is 1, the integral also lies between 0 and 4. Since the graph of (x + y )2 lies below the graph of 2(x + y) which cuts the cuboid on the unit square of height 4 into two equal halves, the integral must be less than 2. Since the graph of (x + y )2 lies above the graph of (x + y) on the half of the square having (x + y) 1, the value of the 1 integral is greater than 1=2. That is, 2 I 2, where I is the value of the integral. That gives some bounds on the integral. To do it by Fubini's Theorem:

Example 2.1.0.1 0 (x + y)2 4 on the square 0 1] 0 1]. Since

2.1. INTEGRATION OVER RECTANGLES

23

Figure 2.3:

0 1] 0 1](x + y )

dA

Z
= = = = = = =

(x + y)2 dA U = f(x y) : 0 x 1 0 y 1g Z y=1 ( (x + y)2 dy) dx x=0 y=0 Z x=1 " (x + y)3 #y=1 3 y=0 dx x=0 Z x=1 (x + 1)3 x3 ; 3 dx =0 Zxx=1 3 1 (x2 + x + 3 ) dx "x=0 2 #x=1 x3 + x + x 3 2 3 x=0 1+1+1 3 2 3 7 6

ZUx=1

24

CHAPTER 2. INTEGRATING FUNCTIONS

Figure 2.4:

R (x2 + y2) U

2.2 Integration Over (bits of) disks


The next step is to ask if the domain of integration U has to be a rectangle, and the answer is obviously not: if U were a disk, for instance, we could still chop it up into little squares, although some of them might not be wholly inside the disk. Still, the contribution to the volume of the bits outside the disk would get smaller as the squares got smaller and smaller. So it seems reasonable that it would work for domains of integration that are more complicated than rectangles, or for that matter, disks. There is an obvious way of trying to do integration over disks, and that is to change to polar coordinates. Let's go back to the mickey-mouse level example Z (x2 + y2) dA U

where now

n o U = (x y) 2 R 2 : x2 + y2 1 This is shown in gure 2.4.

( It is good practice to study simple examples to death, until you un-

2.2. INTEGRATION OVER (BITS OF) DISKS

25

derstand exactly what you are doing. Generalising to harder cases is then much less e ort. Mathematicians are very good at saving themselves e ort. A mathematician is someone who when confronted with a problem that would take him an hour, will cheerfully spend a week looking for the quick way. 3) The height is 1 on the bounding circle, and zero in the middle. If we take any angle and draw a radius along that that angle, the function is just the function f (r) = r2 along that line. If we wanted a rough answer, we could take the perimeter of the disk over which we are integrating, which has length 2 , and multiply it by the area of the section, which is 1 , to get 2 . This is obviously an over estimate, because it is the average 3 3 area multiplied by the greatest length of the arc, and if we wanted a better estimate, we would have to divide the disk into concentric rings, and multiply the area by the perimeter for each ring. This is posible, and you should try to get an estimate of the required integral this way. The alternative, which involves a bit of thought but much less computing, is to have a polar version of Fubini's Theorem. In the case of the cartesian coordinate system, the dA turned into dx dy. The question arises, what ought dA to become when we work in polars, and the answer, obtained from contemplating gure 2.5 is r dr d . The blob is at polar coordinates (r ), and the little shaded region is approximately of size r r . Taking limits, the product r r becomes r dr d . We therefore obtain: Z n o (x2 + y2) dA : U = (x y) 2 R 2 : x2 + y2 1 ZU =2 Z r=1 = ( r2 r dr) d =0 " r=0 Z =2 r4 #1 = 4 0) d =0
This is often cost e ective. If he can nd a method which will reduce it so it only takes ten minutes, and then he tells a thousand other people, that is one week down but one thousand times fty minutes saved. I am not sure how long this is, I am still looking for a quick way of guring it out.
3

26

CHAPTER 2. INTEGRATING FUNCTIONS

r r

Figure 2.5: A = r r =

=2 =0

1 Z =2 d = 4 =0 1 ]2 = 4 0 = 2

1 (4) d

of disk speci ed, obtain a crude estimate of the integral of the function over the region by sketching the graph and using some common sense. Then compute the integral using the polar coordinate version of Fubini's Theorem. 1.

Exercise 2.2.0.2 For each of the functions below, for the disk or part

R (x + y)2 dA U = f(x y) : (x2 + y2) 1 x 0g U R 2. U xy dA U = f(x y) : (x2 + y 2) 2g R 3. U x2 + y2 dA U = f(x y) : (x ; 1)2 + (y ; 2)2 3g R (x2 +y2) 4. e; 2 dA U = R 2
U

2.3. OVER WILDER REGIONS, BUT NOT TOO WILD


Z

27

5. By considering 2the2 last exercise, the symmetry of the function and the fact that ex +y = ex2 ey2 , evaluate the integral

where 2 is any strictly positive number. Explain in a short sentence why anybody should care about this integral.

e; 2 2 dx R

x2

2.3 Over wilder regions, but not too wild


2.3.1 General Ideas and Examples
It is reasonably good news that we can integrate functions of two variables over rectangles and disks. Before we go out and celebrate however, it is worth pointing out that there are other shapes. The de nition of the integral for functions f : R 2 ;! R makes sense for more than just rectangles and disks. Take, for example, the triangle formed by the x-axis, the y-axis and the line (x + y) = 1, as shown in gure 2.6. If the function f (x y) = x2 + y2 were to be integrated over this region, and call it U again, it is easy to make crude estimates: it is clearly less than =8 for instance4. Equally clearly,5 the value of the integral is more than =32. Chopping the base triangle, U into little triangles instead of squares would seem to be a reasonable thing to do, and that's extremely easy. So there really is an integral, and there has to be a smarter way to evaluate it than taking zillions of little squares. If we divide the triangle U into thin strips parallel to the x-axis, of width y, and if we integrate f over a line segment at position y between 0 R and 1, f (x y) dx, we note that what has changed is that the limits of the integral depend on where you are for your y value, whereas this
The word `clearly' is intended to make you feel stupid until you have gured out why this claim is true. 5 Ha!
4

28

CHAPTER 2. INTEGRATING FUNCTIONS


Y

Figure 2.6: Integrating over a triangular region didn't change in the case of rectangles. Or to write it out more cleanly: Z (x2 + y2) dA U = f(x y) : x 0 y 0 x + y 1g U Z y=1 Z x=1;y = (x2 + y2) dx dy y=0 x=0 #x=1;y Z 1 " x3 2x = +y dy 0 3 x=0 Z 1 (1 ; y)3 + y2(1 ; y) dy = 3 0 1 Z 1 1 ; 3y + 6y2 ; 4y3 dy = 3 0 1 y ; 3 y 2 + 2y 3 ; y 4 1 = 3 2 0 1 1; 3 +2;1 = 3 2 1 = 6 This example sets the general principle although a certain amount of common sense is required to actually evaluate some integrals over nasty shapes. If necessary, we can chop the nasty shaped regions in R 2 into a

2.3. OVER WILDER REGIONS, BUT NOT TOO WILD


Y

29

Figure 2.7: Integrating over a slightly wilder region set of smaller regions, each of which is relatively nice, and simply add up the answers. It is obvious from the de nition of the integral that this will give the right answer.

Example 2.3.1.1 Problem De ne U to be the region between x = 1 x = 3, the x-axis

and the graph of y = x2. First shade the area so we can get an idea of what it looks like. Now integrate the function f (x y) = x2 + y 2 over the region U .

Solution The region is shown shaded in gure 2.7, and you have to
The area of the region is 26 . The integral 3

imagine a parabolic bowl coming out of the page at you. The smallest value of x2 + y2 on the region is 1 at (1 0), and the largest is 90 at (3 9).

I=
clearly satis es

x2 + y2 dA U
800

2 I

30

CHAPTER 2. INTEGRATING FUNCTIONS


50 I 200

and a thoughtful guess and some arithmetic suggests we can say

Now doing it properly, we have to work out the right limits so we start o by supposing we will be taking the area of horizontal slices at xed y by integrating x rst. If y 1, then the left hand side of such a slice will be 1, and the right hand side will be 3. If yp 1, the right hand side will still be 3 but the left hand side will be y . We must divide this into two bits, to get:

I =
= = = = = =

n o x2 + y2 dA U = (x y) : 1 x 3 0 y x2 ! ZUy=1 Z x=3 Z Z x=3 2 + y 2 ) dx dy + y=9 2 + y 2) dx dy (x (x y=0 x=1 y=1 x=py #x=3 #x=3 Z 1 " x3 Z 9 " x3 2x 2x dy +y dy + 1 3 + y 0 3 x=1 x=py # Z1 Z " 3=2 2 ) ; ( 1 + y 2) dy + 9 (9 + 3y 2 ) ; ( y + y 5=2) dy (9 + 3y 3 3 0 1 " 3 #1 " 5=2 2y 7=2 #9 26y + 2y + 9y + y3 ; ( 2y + 3 3 0 15 7 )1 28 + (81 + 729 ; 2 (243) ; 2 (2187)) ; (9 + 1 ; 2 ; 2 ) 3 15 7 15 7 16012 105 152

Just to do the thing to death, I shall also do it by reversing the order of integration. This gives us:

I =
=

Z x=3 Z y=x2

x=1 y=0 " Z3 3 #y=x2 2y + y x 3 y=0 1

(x2 + y2)

dy dx

dx

2.3. OVER WILDER REGIONS, BUT NOT TOO WILD Z3 6 = (x4 + x ) dx 3 "1 5 7 #3 = x +x
5 21 1 1 = ( 243 + 729 ) ; ( 1 + 21 ) 5 7 5 16012 = 105

31

This shows you a more or less typical case, the others are all the same with a few changes to the limits and the functions. Practice with the exercises below. Notice that this integral was slightly easier the second way than the rst. If you get lots of practice at doing these, you can choose the easier way by instinct in a lot of cases. To give a nice, easy rule for doing all cases is a bit complicated, but approach it as follows:

2.3.2 Algorithm
R To evaluate U f (x y) dA for a region U bounded by curves given as graphs of functions,
1. Take out any symmetries of U and f , that is, if the function you have to integrate is symmetric and so is U , you only need to integrate over part of U . 2. Write down the integral as Z y= Z x=
y= x=

f (x y) dx dy

3. Draw the region U in the plane and draw a horizontal line at some constant value of y which goes from left to right across U .

32

CHAPTER 2. INTEGRATING FUNCTIONS


4. The leftmost value of x at that value of y is given by some function of y: replace by the appropriate function of y so as to get the correct left hand end of the line segment cutting across U . 5. Similarly, the rightmost end of the line segment cuts U in some value of x which depends on the height y: write down the general expression for where the right hand end of the line segment across U meets the rightmost boundary of U as a function of y and put equal to this function of y. 6. This works provided the horizontal line at height y cuts the boundary of U in two places only if this isn't true, either interchange x and y and try again, or chop up U into two bits by a suitably chosen vertical line and try the above for each bit separately. 7. Now put equal to the lowest possible value which y has anywhere in U , and equal to the highest value, and you are ready to integrate. have to be numbers since the answer to the whole thing is a number. 8. It may well be that the functions are de ned piecewise in this case, split up the integral into the di erent pieces. 9. Try writing out the integral with x y reversed to see if it looks any easier.

10. Try a polar coordinate form if it still looks bad. 11. If all else fails, chop up U into little bits each of which looks easy, and do them separately.

2.3.3 Exercises
in R 2, sketch the region, then write down a double integral which would give the area of the region if evaluated. Reverse the order of integration

Exercise 2.3.3.1 For each of the following descriptions of a region U

2.3. OVER WILDER REGIONS, BUT NOT TOO WILD

33

Figure 2.8: Problem Solution


and do it again. Finally, select the easier looking of the integrals and evaluate it to obtain the area of U . 1. 2. 3. 4. 5. 6.

U = f(x U = f(x U = f(x U = f(x U = f(x U = f(x

y) 2 R 2 : ;1 x 1 x2 ; 1 y 1 ; x2g y) 2 R 2 : x4 ; 1 y x2g y) 2 R 2 : ;1 x 1 x3 ; x y x3 ; x + 1g y) 2 R 2 : x2 y cos(x)g y) 2 R 2 : jxj 2 jyj 2 x2 + y2 1g y) 2 R 2 : jxj 2 jyj 2 x2y2 1g

To give you a start, I do the rst one for you.

Example 2.3.3.1 U = f(x y) 2 R 2 : ;1 x 1 x2 ; 1 y 1 ; x2g


The sketch of the region U is given in gure 2.8.

Area =

Z y= Z x=
y= x=

1 dx dy

34
Then

CHAPTER 2. INTEGRATING FUNCTIONS


= ;1 = 1 q = ; 1+y q = ; 1;y 1 dx dy +

for ; 1 y 0 for 0 y 1 Area =

q =+ 1+y q =+ 1;y
1 dx dy

Z 0 Z +p1+y
;1 ;p1+y

Z 1 Z +p1;y
0

;p1;y

This does it the rst way. To do it with x and y reversed, we do vertical sections:

Area = =

Z +1 Z 1;x2

= 2 x; 3 ;1 8 = 3 This does it the second way and gives the answer, which we could have done with our eyes closed trying to get to sleep o' nights.

2 Z;11 x ;1 (1 ; x2) ; (x2 ; 1) ;1 " # x3 1

1 dy dx

dx

2.3.4 Applications and Subversive Thoughts


The above material has supposed that you want, for some mysterious reason, to integrate some function de ned on a region in R 2. You now have a very fair idea of how to do it for nice easy functions and for reasonably nice, easy regions. Most of the functions and regions you may have to deal with in adult life are less nice, less easy, and not

2.3. OVER WILDER REGIONS, BUT NOT TOO WILD

35

particularly reasonable, but you can usually approximate them with the functions and regions you know about. The question arises, who cares? If you are a good little student of the civil sort, you just do it in order to conform with the expectations of properly constituted authority, to pass your examinations and to collect the maximum number of brownie points. This is good preparation for adult life in Australia. Or maybe you do it because you are young enough to want to test out your brain against every problem that comes along, to develop intellectual skills. This is somewhat uncommon. The most reasonable assumption is that you only want to do it so as to be sure of passing the examination, after which you will forget it. It would, however, be nice to believe that problems do arise in the real world which require us to be able to use these hard won skills. Even if there aren't, we can make up some which possibly might arise in some people's lives.6 So as to prepare you for a cheap simulation of real life, here are a few exercises where the problem is to turn the string of words into proper mathematics, then solve the mathematical problem. Amuse yourselves by pretending that you care about the matters raised in the next set of exercises:

Exercise 2.3.4.1
1. A bath has a horizontal section consisting of a rectangle with semicircular ends, as in gure 2.9. The radius of the semicircles is 1 unit, and the length of the bath altogether is 4 units. The bath has vertical sides. Water is poured into the bath, and then treacle is added and stirred into the water. The density of the treacle is given by the formula = 4e;h , where h is the height measured from the bottom of the bath. The mixture has depth of 1 unit. How much treacle is in the bath?
We can only hope that your lives will be more interesting than most of those which give rise to the examples.
6

36

CHAPTER 2. INTEGRATING FUNCTIONS

2 units 4 units

Figure 2.9: A bath.


2. The same experiment as above is conducted with yet more treacle, and with a bath having the same base as the other one, but with sides that slope up so that at a height of h units, the linear dimensions have been multiplied by h + 1. The second bath is lled to a depth of 2 units with the same treacle-water solution. How much treacle is in the new bath? 3. To hell with treacle. The atmosphere on the planet Earth 2, has density at sea level of exactly 10;3 gms/ml. It falls o exponentially with altitude so that at a height of ten kilometres above sea level, the density has halved. A sleeping grendler in a raft at sea is approximately elliptical in shape with a major axis of 2 metres, and a minor axis of 1 metre. What is the weight of the air pressing down on the grendler? 4. A mass of some unlikely substance in R 2 has density given by xy and is in the shape of a triangle with vertices at (1 1) (3 4) and (7 2). Find the centre of gravity of the object. 5. Darth Vader and Luke Skywalker are ghting with laser sabres. Each sabre emits a laser beam of circular section having radius one unit, length proportional to the wielders virility and frequency proportional to the user's moral stature. The beams momentarily

2.4. CHANGE OF VARIABLES

37

b a

Figure 2.10: An Ellipse.


intersect along the long axes when these axes are at right angles. What is the volume of the region inside both light sabre beams? 6. Obtain a formula, preferably the right one, for the volume of a right circular cone of base radius r and height h.

2.4 Change of Variables


2 2 The ellipse in gure 2.10 has equation x2 + y2 = 1. The lengths of a b the semi-axes are easily seen to be a and b respectively. I claim that the region inside the ellipse has area ab. This is very easy to see as follows:

1. The unit circle encloses area , (well known fact, try proving it.) 2. If you stretch R 2 by the linear map g : R 2 ;! R 2 which takes (x,y) to (ax, by), then it takes the unit square to the rectangle with vertices (0 0) (a 0) (0 b) (a b) with area ab. It also takes the unit circle to the ellipse and the origin to the origin.

38

CHAPTER 2. INTEGRATING FUNCTIONS


3. Note that the matrix for the map g is just " # a 0 0 b 4. The area stretching factor of this map for any square is ab, the determinant of the above matrix, i.e. if you take a square of side u v, it gets taken to a rectangle of side au bv which is ab times the area of the original square. 5. If you cover the unit disk with little squares, each of area A, the sum of the areas of the squares gets closer to as the squares get smaller. 6. The stretched squares have areas ab A, and the sum of those approximates the area enclosed by the ellipse, equalling it in the limit. 7. My Case Rests.

The same argument obviously applies to any shaped region U in the plane if g : R 2 ;! R 2 is any linear map, then we need to calculate the absolute value of the determinant of the linear map, and this is the `area stretching factor' of g. This is the whole point of the determinant of a square matrix, it tells you the area, volume, whatever of the image of the unit square, cube, or n-dimensional thingy, multiplied by ;1 if there has been a re ection done by the map. Since all little squares get stretched by the same amount, jdet(g)j, any region U with an area (U ) will have the region turned into a new region, g(U ), with area (g(U )) = jdet(g)j (U ). I suppose this ought to be called a theorem, but it's too late, the argument I gave you is the proof. The n-dimensional generalisation works the way you would expect it to.

Exercise 2.4.0.2
Write down a 2 2 matrix, calculate the image of the vertices of the unit square ((0 0) (1 0) (0 1) (1 1)). Draw the result on a sheet of

2.4. CHANGE OF VARIABLES

39

graph paper, and by counting little squares, estimate the area of the parallelogram. Now work out the orientation of the map by looking to see if the direction of the smallest angle from the image of (1 0) to the image of (0 1) is clockwise or anti-clockwise. If clockwise, multiply the area by ;1. Now calculate the determinant of the matrix. Is this a miracle or what?

The same thing works if g is an a ne function, that is to say if it is linear with a shift of the origin. We can forget about the shift, which has no e ect on the area, and still just take the determinant of the linear part of the function. We can push this even further suppose the function g : R 2 ;! R 2 is not a ne but is di erentiable at every point, and is one-one. I shall write this as the function or map 2 g 2 R " : R # ;! " # x 7;! g1(x y) y g2(x y) Now at the point (x y) in R 2, the derivative is given by the matrix: " @g1 @g1 #
@x @g2 @x @y @g2 @y

This matrix of partial derivatives is the standard representation of the derivative, and at each point (x y), it is a de nite linear map. In fact you should think of the matrix as a variable linear map which depends on where you are. Just as the derivative for functions f : R ;! R gives you a linear map (with a straight line as graph, the tangent to the graph of f ), so the matrix above tells you which linear map ts f best near a point (x y) of the domain of f .7
Strictly speaking, I ought to talk about the linear part of the best tting a ne function because the tangent map should go through the point where it is a best t, and we ignore this, moving the point of contact back to the origin. We can always work out where to put it separately, and so we only bother about the linear part.
7

40

CHAPTER 2. INTEGRATING FUNCTIONS

This matrix then, with numbers obtained from putting in values for x and y, is precisely the linear part of the a ne map best approximating g in the vicinity of (x y). Consequently, although the amount of area stretch is no longer constant but varies from place to place in U , at each point we can say how much area stretch is being applied by g it is the absolute value of the determinant of the matrix of partial derivatives of g. This determinant is otherwise known as the Jacobian of the map. If we integrate the mount of area stretch over the domain, we get the area of the image, as for the linear case. It is worth stating this as a theorem:

Theorem 2.4.1 If g : R 2 ;! R 2 is a di erentiable function which is

one-one on a region U , and if we use J (g )(x y ) to denote the jacobian of g at the point (x y) 2 U , and if (X ) is the area of a subset X R 2 , then Z (g(U )) = jJ (g(x y))j dA
U

I said we wouldn't be proving any theorems, but the argument I have just given you essentially is the proof. I hope you have followed all this carefully, because it is kinda cool when it falls into place. If not, read it again, very, very slowly until you get an orgasm. Better yet, do the next exercise:

Exercise 2.4.0.3
We explore the map f : R 2 ;! R 2 given by f (x y) = (x2 y2), in the neighbourhood of the point (1,1). Take two sheets of graph paper. Call the rst sheet `domain' and the second `range'. Draw the axes and the point (1,1) on both sheets, since f takes (1 1) to (1 1). Now draw a baby square with its bottom left-hand corner at (1 1), of side say 1 , as in the diagram gure 2.11, on the domain sheet. Shade 4 in the square and label it `baby'. We want to rst work out the image of baby.

2.4. CHANGE OF VARIABLES


f(baby) baby

41

Domain

Range

Figure 2.11: Some square stretching.


Do this by looking to see what happens to the components when we restrict x to be 1 and 1 y 5 , and likewise for the other four sides of 4 the square. It is easy to see that we get a square back, label it f (baby). Count the number of little squares of the graph paper inside f (baby). Now divide by the number of little squares inside baby. This is our estimate for the amount of area stretch which f does at (1 1). If you want a better estimate, do it with a smaller baby. Now compute the derivative matrix of f at the point (1 1). Now write down its determinant. You get a number which is not too far di erent from the estimate obtained from baby. You should be able to convince yourself that repeating with smaller and smaller babies will get you closer and closer to the value you got from taking the determinant of the derivative.

We can use this idea to calculate areas of nasty shapes, if we can work out the area of a nice shape and nd a di erentiable function which takes the nice shape to the nasty one.
the unit circle into the ellipse, we have g1(x y ) = ax, g2 (x y ) = by , so

Example 2.4.0.1 In the case of g being the linear map which stretches

42

CHAPTER 2. INTEGRATING FUNCTIONS

Figure 2.12: A deformed square.


the derivative has matrix

"

@g1 @x @g2 @x

@g1 @y @g2 @y

# " # a 0 = 0 b

and its determinant is ab, and a > 0 b > 0, so (g (U )) = area of ellipse R R = U ab dA = ab U dA = ab (U ) = ab, as advertised.

Example 2.4.0.2 De ne g : R 2 ;! R 2 by

# " # " # "x x = u = 2 (1 + y2) g y y 2 v 2 (1 + x )


x
1 ;1

This takes the square f(x y ) : ;1 region shown in gure 2.12

1g into the

There are two ways to compute the area enclosed by the deformed square, the simplest is to work out the size of the bites taken out. The more exotic one is to integrate the jacobian of g over the original region of size 4 units. As is evident to the meanest intellect8 , the matrix
8

= clearly.

2.4. CHANGE OF VARIABLES


representing the derivative is:

43

"

@u @x @v @x

@u @y @v @y

# # " 1+y2 xy2 = 2 1+x xy 2

1 The determinant of this is 4 ((1 + x2)(1 + y2 ) ; 4x2y 2) and integrating this over the interior of the square we started from, we obtain: 1 Z 1 Z 1 (1 + x2 + y2 ; 3x2y2) dx dy 4 ;1 ";1 # 1 Z 1 x + x3 + y2x ; x3y2 x=1 dy = 4 3 ;1 x=;1 Z1 1 1 + y2 ; y2) ; (;1 ; 1 ; y2 + y2) dy = 4 (1 + 3 3 ;1 1 Z 1 8 dy = 4 3 ;1 2 = 3 y]1 1 ; = 4 3

It is easy to see that the size of the bite taken out of each face of the 2 square is 3 , there are four bites, and the square had area 4 before it was mangled, or bitten, whichever way you want to see it. So both methods give the same result.

Example 2.4.0.3 Take the map P : R 2 ;! R 2 given by


" # " # " # r = x = r cos( ) P y r sin( )
The reason for calling it P is obvious: P for Polar Coordinate transform. Now look at what it does to the rectangle 0 < 2 0 r 1. The picture for this map is gure 2.13.

44

CHAPTER 2. INTEGRATING FUNCTIONS

Figure 2.13: A deformed rectangle.


The problem is to compute the area of the unit disk. The derivative is given by: " @x @x # " # cos( ) ;r sin( ) @r @ @y @y = sin( ) r cos( )
@r @

and the determinant of this is r, from which we deduce that the area enclosed by the transformed rectangle is given by

Z 2 Z r=1
0
r=0

r dr d

which works out as , which is what we claimed earlier to be the area of the unit disk.

Note that the `stretching factor' by which a little region r gets stretched is just r. This was illustrated by gure 2.5. The geometric picture in this case agrees with the algebra nicely. 9 This is good clean fun, keeps us o the streets, and enables us to calculate areas of some bizarre regions of R 2 with little fuss, which we can take to be a Good Thing. Now the calculation of an area of a region can
9

It had damn well better.

2.4. CHANGE OF VARIABLES

45

be thought of as calculating the integral of the characteristic function or indicator function of the region, the function which takes the value 1 for points inside the region and zero for those outside. Seen from this point of view, it is not too surprising that we can carry the above process for calculating areas of regions to a process for calculating integrals over regions. If we want to evaluate Z x2 + y2 dA
U

where U is the unit disk, we take the map P of the last example, and follow it by f (x y) = (x2 + y2) to get the function f P (r ) = r2 which we integrate over the rectangle 0 < 2 0 r 1. We must not however neglect the area stretch, which was r dr d . So we get Z Z 2 Z r=1 x2 + y2 dA = r2 r dr d
U

r=0

which we already knew. The general rule can be remembered from this particular example:

an integrable function de ned over g (U ), then

Theorem 2.4.2 (Change of Variable) If g : R 2 ;! R 2 is a di erentiable, one-one function on a region U R 2, and if f : R 2 ;! R is


Z
f= g(U )

f g jJ (g)j

I have left out some dAs in the above statement you can put them back in if it makes you feel better, but in this form I can change the 2 in R 2 to any positive integer n and it stays true.10 Some books do the general theorem rst and then do the polar transform as an example I felt it would be useful for you to have some hands on experience rst and then you could see the point of the theorem.
And in any case, we are extremely hazy about what the dA means anyway, right?
10

46

CHAPTER 2. INTEGRATING FUNCTIONS

Some exercises will develop your mental muscles and burn the application of the theorem and hence what it means into your brains.

Exercise 2.4.0.4
1. The region V = f(x y) 2 R 2 : ; x sin(x) ; 1 y sin(x) + 1g Find the area of V by the usual means. Now nd a function g : R 2 ;! R 2 sending (u v) to (x y ) so that g takes the region U = f(u v) 2 R 2 : ; u ;1 v 1g to the region V , i.e. V = g(U ). Recalculate the area using the last theorem. Which method is easier? 2. The region V R 2 is bounded by the curves x = t cos(t) y = t sin(t) for 0 t 2 , x = 2t cos(t) y = 2t sin(t), and the part of the x-axis between 2 and 4 . Sketch the region and, by choosing a suitable map g : U ;! V , where U is the rectangle 0 s 1 0 t 2 , nd its area. 3. Let U = ;1 1] ;1 1] and g (u v) = (u2 v2). The image g (U ) is just the region 0 1] 0 1]. Integrating jJ (g (u v))j = 4juvj from u = ;1 to u = +1 and likewise for v gives an answer di erent from the area of the unit square. What went wrong? 4. Take U to be the region enclosed by the unit square, 0 1] 0 1], and invent a map g : R 2 ;! R 2 which takes U to some interesting shape. Find the area of the shape. Integrate the function f (x y) = x2 + y2 over the shape. Check your answer by estimating the volume over the shape and under the surface by chopping the shape up into rectangles.

2.5 Three Variables


What we have done so far is all about integrals over regions in R 2. It is not hard to extend the ideas to R 3. The idea of an integral over a region

2.5. THREE VARIABLES

47

in R3 should not cause us much concern. Suppose I take a plastic bag, blow into it and close the end so as to de ne a three dimensional region of the room you are sitting in. If I then ask you to integrate a function of the three coordinates of the room over the inside of the bag, it is easy to see that the idea of chopping the interior of the bag up into little boxes, nding the value of the function at some point in each box, multiplying the value of the function by the volume of the little box, and then adding up all the numbers, is conceptually straightforward enough, although possibly time consuming. So the idea of the integral makes sense, at least over sensible regions such as might live inside plastic bags, and for reasonable well-behaved functions, which are the only sort you know about. The warm, comforting glow that you get from re ecting that if all else fails you can go back to little boxes may not survive doing many sums, but given that it could be done with litle boxes, doing it more intelligently by a three dimensional version of Fubini's Theorem is the next step, and a pretty obvious one to take. Likewise, taking weird regions in R 3 and nding ways of mapping nice simple regions of R 3 to them by di erentiable maps, then calculating integrals over the weird regions by the change of variables theorem can be done in three dimensions as easily as in two. Actually, they can also be done in twenty seven dimensions, although you will be pleased to hear that that isn't examinable. Rather than bore you with more explanation, I shall give you some examples so you can get the hang of the applications, then you can bash out the following exercises so as to burn the principles into your brains. The examples introduce you to two kinds of polar coordinate system, cylindrical and spherical, both having their uses in R 3.

Example 2.5.0.4 Problem


Compute the volume enclosed by the unit sphere in R 3. Hence compute the volume of a ball of radius R.

Solution 1

48

CHAPTER 2. INTEGRATING FUNCTIONS


Z

r Y X

Figure 2.14: Spherical Polars


The area of a horizontal section of height z is (1 ; z 2), so the volume of the ball is Z z=1 2 (1 ; z2) dz = 4 3 z=0 If the unit ball is mapped to the ball of radius R by the linear map with matrix RI, where I is the three by three identity matrix, then the Jacobian is R3 and so the volume enclosed by the sphere of radius R is 4 R3. 3

Solution 2
The diagram gure 2.14 shows the transformation (map) from R + 0 2 ) ; 2 2 ], where R + denotes the non-negative real numbers, to R 3 , which takes the cuboid to the unit ball. We have, as the diagram clearly shows:

SP : R +

02 )

; 2 2 ] ;!
2 6 4
r

3 2 3 x = r cos cos 7 7;! 6 y = r cos sin 7 5 4 5 z = r sin

R3

2.5. THREE VARIABLES


The Jacobian of this, often written @ (x y z ) @ (r ) is easily veri ed to be cos cos ;r cos sin ;r sin cos cos sin r cos cos ;r sin sin sin 0 r cos which after evaluating the determinant comes to just

49

r2 cos
Thus the volume enclosed by the unit sphere in R 3 is:

= =2

=2

Z r=1
r=0

cos d d = 3 ; =2 0 1 Z =2 2 cos d = 3 ; =2 = 4 3
The same argument as last time gives the general formula 4 R3 for the 3 volume enclosed by a sphere of radius R.

= Z ; ==22 Z 2=0 1

r2 cos dr d d

Solution 3
The Cylindrical Polar coordinate system is indicated in gure 2.15 and is speci ed by the map from R + 0 2 ) R given by

CP : R +

0 2 2 R ;! R 3 ) 3 2 3 r x = r cos 6 7 7;! 6 y = r sin 7 4 5 4 5 z z=z

50

CHAPTER 2. INTEGRATING FUNCTIONS

r z Y X

Figure 2.15: Cylindrical Polars


The Jacobian of this, written

is easily veri ed to be r. The volume enclosed by the sphere is easily seen to be:

@ (x y z) @ (r z )

Z z=1 Z

=2

Z r=p1;z2

= 2 ;1 0 Z1 = 1 ; z2 dz ;1 = 4 3

z=;1 =0 1Z 1 Z 2

r=0 1 ; z2 d

r dr d dz

dz

Three out of three sounds convincing.

Check these out to see if you can follow the argument and that you nd it plausible. Note that the number of basic ideas here is fairly small. Burn them into your brain by doing lots of exercises.

2.5. THREE VARIABLES

51

2.5.1 Swindle
You may or may not have noticed that I have been getting away with a small swindle. It is to do with the boundaries of the regions in R 2 and R 3 which have been used for various transforms, particularly the polar maps. When I write 0 1] 0 2 ), you note that the left hand end of the interval of points between 0 and 2 is in the set, but the right hand end is not. This interval is going to get wrapped around the unit circle, and I keep explaining that maps have to be one-one. Which it won't be if 0 and 2 get sent to the same point. But if you look at the polar map, you see that when r = 0 we have that (0 x) is sent to the same point for any x, which appears to screw things up somewhat. If the map is not one-one, then the theorem on change of variables seems to go bung. Yet I have cheerfully used it several times in the last example, shouldn't I feel bad about this? The answer is yes, I do feel bad, but only a little bit. I can almost x things up by removing the 0 end of the interval, to get 0 1] (0 2 ) except that this now leaves the point at the origin in (0 2 ) f(0 0)g, that does it, R 2 uncovered. If I write the set 0 1] although now I have to specify the maps a little more carefully. All this is fairly fussy, because the area of lines is zero anyway, except in some pathological cases where it is almost impossible to write down the functions. Similarly the volume of a surface such as a sphere is zero. Note that I must be careful to distinguish between the volume of a sphere and the volume enclosed by a sphere in R 3. This is being rather fussy, it is normal to talk about the area of a parallelogram, so the parallelogram must be the set of points inside the parallel lines. If I talk about the area of a square, it is slightly more of a problem to say whether when I say `square' I mean the region inside or the bounding

52

CHAPTER 2. INTEGRATING FUNCTIONS

lines. When I say circle, again, I might mean either. English language is scru y here, because it seldom matters much which I mean, and when it does, I can usually guess from context whether you mean the circle or the disk bounded by the circle. In order to make our lives less troubled, I de ne the unit ball in R n to be the set fx 2 R n : kxk 1g, and write B n for it. The boundary is the set fx 2 R n : kxk = 1g and is called the unit sphere in R n , written S n;1. In the case where the dimension n is two, I shall use the term `disk' instead of `ball', and the 1-sphere, S 1 is usually called a circle. Then the volume of the unit sphere in R 3 is zero, but the volume of the unit ball is 4 . So when I say `circle' I 3 mean S 1 or something which is S 1 scaled and shifted. And it has area 0. This sounds a bit silly, but saves you from saying what you don't really mean. Later, it will be important to be able to have a name for the boundary of a set in R n such as a ball. I shall use @U to refer to the boundary of the set U . In this notation, @B n = S n;1. From now on, I shall slither over di culties caused by sets of measure zero such as curves in R 2 or curves and surfaces in R 3. `Measure' is the generic word used to mean length for one dimensional sets, area for two dimensional sets, volume for three dimensional sets, and we just ran out of names. Intuitively this is reasonable, and it won't get you into trouble so long as you stick to low dimensions and safe, well-behaved, respectable functions and sets.11

2.5.2 More Exercises


Exercise 2.5.2.1
1. Compute the Jacobians for the spherical and cylindrical transforMy mathematical conscience gives me severe twinges about this disrespect for formal analysis, and the fact that this course doesn't actually contain much in the way of de nitions or theorems gives me a real pain in cold weather. Still, eighteenth century it was gonna be, and eighteenth (and early nineteenth) it will be.
11

2.5. THREE VARIABLES


mations.

53

2. The mass of a line segment a b], where the density along the segR ment is given by a function (x), is de ned to be M = ab (x) dx. The centroid or centre of mass or centre of gravity x of a line segment a b], where the density along theR segment is given by b ( the same function (x), is de ned to be a x Mx) dx . The centroid for a two or three dimensional object U with mass density (x y), (x2y z3 respectively is a two or three dimensional vec)

" # x 1 R tor x , 6 y 7 respectively, where y = M U y (x y) dA, or 4 5 y z 1 R y (x y z ) dV , or z = 1 R z (x y z ) dV respectively, y=M U R M U where M = U in every case.
Find the centroid of the mass enclosed by a right regular cone with height h and base radius r on the assumption of uniform density. Find the centroid of the conical surface bounding this solid.

3. The moment of inertia of a solid object U about an axis L, when the solid R (mass) density given by (x y z), is de ned to be the has value of (pL (x y z))2 (x y z ) dV , where pL (x y z) is the perpendicular distance of (x y z ) from the axis L. Obvious variants exist for one and two dimensional objects. Calculate moments of inertia of (a) a uniform density bar along the X axis of length 1 unit and negligible thickness, about the Z axis. (b) a bar of the same size but where the density at (x 0 0) is given by x2. Where is the centroid of the bar? (c) The solid cone of the last question about an axis through the vertex and orthogonal to the axis of the cone. (d) a solid ball of radius 1 and centre (1 0 0) having uniform density, about the Z axis. (e) A solid disk of uniform density and radius r about an axis through its centre and orthogonal to its plane.

54

CHAPTER 2. INTEGRATING FUNCTIONS

Figure 2.16: A Torus


(f) a circle of radius r of uniform density about an axis through its centre and orthogonal to the plane of the circle. (g) A `Wedding ring' or solid torus, of uniform density and major radius R, minor radius r, as in 2.16, about the axis through the centre of the major circle and orthogonal to its plane. 4. Make up a shape of your own in R 3 and assign it some density function, then calculate its centroid and moments of inertia about some choice of axes.

2.6 Higher Things


2.6.1 Embeddings
Casting your mind back to the various transformations which stretched area and volume, recall that I told you, among other things, how to calculate areas of weird shapes you toook a non-weird shape such as a rectangle, you deformed it until it tted on top of the weird shape

2.6. HIGHER THINGS

55

exactly, and then you integrated the `amount of stretch' that the deformation transformation did over the rectangle or whatever. Of course, the weird and non-weird shapes were all sitting in R 2. There is a three dimensional version, but there the nice shapes and the weird shapes were all sitting in R 3. In all cases, the nice shapes and the weird, stretched shapes, were all sitting in the same space. But they don't have to be. You can see that taking a rectangle, deforming it and putting the result in R 3, providing you don't have the shape intersecting itself, will not be too di erent. If we take the cylinder in R 3 consisting of the set f(x y z) 2 R 3 : x2 + y2 = 1 0 z 1g, then we could take the rectangle f(u v) 2 R 2 : 0 u < 2 0 v 1g and map it by g to the cylinder by sending (u v) to x = cos(u) y = sin(u) z = v in a nice one-one and di erentiable manner. Now we ought to be able to calculate the area of the cylinder by the above method: calculate the amount of `area-stretch' that g does at (u v) and integrate over the rectangle. This must involve looking at the matrix of partial derivatives of g, and looking to see how much area-stretch is accomplished by this linear map. If g : R 2 ;! R 3 is a linear map, it has a matrix representation, relative to the standard basis, which looks like 2 3 a d 6b e7 4 5 c f " # for some numbers a f . The map g takes the basis vector 1 to 0 " # the rst column, and the basis vector 0 to the second column of the 1 matrix. The unit square gets taken to the parallelogram with vertices: 2 3 2 3 2 3 2 3 0 7 6 a 7 6 d 7 6 a+d 7 6 0 5 4 b 5 4 e 5 4 b+e 5 4 0 c f c+f and the area stretch of this linear map is the area of the parallelogram.

56

CHAPTER 2. INTEGRATING FUNCTIONS


(d,e,f)

(a,b,c)

Figure 2.17: A stretched (and twisted) square in R 3 There is no problem about the parallelogram having an area, the fact that it is in R 3 doesn't make a di erence. See gure 2.17. The area of a parallelogram is given by the length of one side multiplied by the length of the other side multiplied by the absolute value of the sine of the angle between them. This makes perfect sense, incidentally, if we take a parallelogram in R n for any n 2. The angle between them can be worked out using the dot product, at least up to sign, which in any case we don't care about. In R 3, if we take the cross product of the two column vectors, we get a third vector, the length of which is precisely the required area. So in the case of the above map g, the area stretch is simply

2 3 2 3 6a7 6d7 4b5 4e5 c f


If g is not linear but is di erentiable, then we get the area stretch of g

2.6. HIGHER THINGS


at the point (u v) 2 R 2 by taking the value of 2 @g1 3 2 @g1 3 @u @v 6 @g2 7 6 @g2 7 4 @u 5 4 @v 5
@g3 @u @g3 @v

57

Then this function of u and v, can be integrated over the domain U of g to give the area of the surface g(U ).
and let g(u v) be given by gi(u v) = cos(u) g2(u v) = sin(u) g3(u v ) = v. Then g(U ) is the cylinder of radius 1 and height 1. It's area is 2 3 2 3 2 3 2 3 Z 6 @g1 7 6 @g1 7 Z v=1 Z u=2 6 ; sin(u) 7 6 0 7 @u @v 4 @g2 5 4 @g2 5 dA = v=0 u=0 4 cos(u) 5 4 0 5 du dv @u @v U @g3 @g3 0 1 @u @v This is

Example 2.6.1.1 Let U be the rectangle 0 2 ] 0 1] in R 2, as above,

2 3 Z v=1 Z u=2 6 cos(u) 7 Z v=1 Z u=2 4 sin(u) 5 du dv = v=0 u=0 1 du dv = 2 v=0 u=0 0
The area stretch is just 1, which feels right to anyone who has bent a sheet of wrapping paper around a bottle.

The next exercise is for those of you feeeling particularly hairy chested:

Exercise 2.6.1.1
De ne V
R4

82 x 3 9 > > >6 y 7 > <6 7 4 2 2 = V = >6 z 7 2 R : x + y = 1 z2 + w2 = 1> >4 5 > : w

by:

58

CHAPTER 2. INTEGRATING FUNCTIONS

Write V as the image by a one-one di erentiable map g : R 2 ;! R 4 of the square 0 2 ) 0 2 ). Verify that the map is one-one and onto. Hence compute the area of V . Can you decribe the object V , which consists of a two dimensional surface sitting in four dimensions?

When we take some curve, surface or more general set U , and map it continuously by a one-one map into R n, we say that we are embedding the object by the map. Usually the map will be di erentiable as well. We also need the inverse map from the image back to U to be continuous. (This means that the map of the last exercise is not an embedding, the inverse map would rip the object apart at the points which are images of the boundary points of the square. Everywhere else the map is an embedding.) It is worth pointing out that the linear map putting the unit square into R 3 has image a parallelogram (except when the matrix de ning the map is degenerate, when it collapses to a line segment or a point), and that there is a normal vector in R 3 which is orthogonal to the plane of the parallelogram. The normal vector is not entirely unique, since its negative is also a normal vector pointing in the opposite direction. When the embedding of the unit square into R 3 is di erentiable and not just linear, the unit normal will point in di erent directions depending on where you stand on the embedded surface. It is intuitively clear that if you were to walk over the surface, at each point there would be an `up' normal to the surface at that point, and a `down' normal opposite to the `up' normal. If g(s t) is the point at which you stand, g being the embedding, imagine keeping the t constant and running through nearby values of s- you would get a curve through the point at which you stand. If you take the partial derivative with respect to s, you would get, at the point (s t), a vector tangent to the curve, and hence tangent to the surface. We often write this as @g , and it is short @s for the tangent vector 2 @g1 3 @s 6 @g2 7 4 @s 5
@g3 @s

2.6. HIGHER THINGS

59

Similarly, if we kept s constant and changed t in the neighbourhood of (s t), you get another curve, also passing through (s t) and hence lying in the surface, with a tangent vector @g , which is also tangent to @t the surface. Provided the two vectors are linearly independent, i.e. the rank of the derivative is two, then we have two independent vectors in @g @g R 3 tangent to the surface at the point (s t). The cross product, @s @t is normal to the surface at that point. And we have already seen that the area stretch of the map is the norm of this vector.

Exercise 2.6.1.2
By choosing a simple parametrisation of at least part of the unit sphere, calculate the normal vector at the north pole of the unit sphere in R 3 . Do you get the answer you expect?

Example 2.6.1.2 Problem


Compute the area of the unit sphere S 2.

Solution 1
Let D2 be the unit disk. We shall lift up the disk at each point until it becomes the northern hemisphere of S 2. If we call a point of the disk p (r ) then it has to be lifted up to a height of 1 ; r2 in order to be on the sphere. We therefore get the map from the rectangle

0 1] 0 2 ] into R 3 which rst goes into polars and then xes up the height: 0 x = r cos 1 r g(r ) = B y =p sin C A @ z = 1 ; r2 To get the area of the northern hemisphere, we need only to integrate the ` area stretching factor' over the rectangle 0 1] 0 2 ].

60

CHAPTER 2. INTEGRATING FUNCTIONS


@g @r @g @

The `area stretching factor' is the norm of the vector

which is:

that is:

0 cos 1 0 ;r sin 1 B sin C B r cos C A @ ;r A @ p 2 0 1;r 0 ;r2 cos 1 p B ;r1;r2 C B p2 sin2 C @ 1;r A r

which after a small amount of algebra becomes

pr 2 1;r

This, it is worth noting di ers from the simple r stretching factor when we go to a at disk. The area of the northern hemisphere of S 2 is therefore

=2 =0

Z r=1
r=0

p r 2 drd 1;r

This is just

Z1
0

p r 2 dr 1;r

The integral for r is easily solved by the substitution r = sin dr = cos d to give

Z1
0

Z = =2 sin p r 2 dr = 2 =0 cos cos d 1;r

2.6. HIGHER THINGS

61

Figure 2.18: Another way of wrapping a rectangle onto a hemisphere =2


It follows that the area of the unit sphere is 4 .

Solution 2
The particular way of plastering a rectangle onto the sphere, or at least half of it, is not the only possibility. Another way of doing it is to take a rectangle of height 1 and length 2 and make a cylinder of it which ts around the equator of the northern hemisphere, as in gure 2.18. Then we need to take each parallel of latitude on the cylinder and shrink it in towards the sphere until it has been squashed onto the hemisphere. It is easy to visulaise the map g : 0 1] 0 2 ] ;! R 3 which does this, and not much harder to write it down algebraically:

0 1 x = cos v g1(u v) = B y = sin v C @ A z=u

takes the cylinder into the position shown in the gure. We have to multiply the x y component by a factor which depends on z = u to

62

CHAPTER 2. INTEGRATING FUNCTIONS

bring it onto the surface of the sphere:

p 0 1 x = p1 ; u2 cos v C g(u v) = B y = 1 ; u2 sin v A @ z=u ;1 1] 0 2 ]

has the required image in R 3. By taking the rectangle we could cover the whole sphere in one go. We now have a second map which takes a nice, easy rectangle in R 2 and plasters it over the sphere, or a half of it, whichever. In order to compute the area of the sphere, all we have to do is to integrate the `area stretching factor' over the rectangle. As before, this is the norm of the vector

@g @g @u @v

which is:

0 B B @

p ;u 2 cos v 1;u p ;u 2 sin v 1;u a

1 0 p ; 1 ; u2 sin v 1 C B p C @ 1 ; u2 cos v C A A 0

0 p ;p1 ; u2 cos v 1 = B ; 1 ; u2 sin v C @ A ;u


Which is just 1. This is a bit surprising at rst glance, it means that the squashing of the cylinder by the horizontal shrinking of circles of latitude around the cylinder into circles of latitude on the sphere does not change the area. It also tells us immediately that the area of the sphere is 4 , the result we got doing it the other way.

2.6. HIGHER THINGS

63

2.6.2 Parametrisation
The job of expressing a surface V as the image of some rectangle by a di erentiable map is called a parametrisation of V . This is the posh way of saying that we take a rectangle and use a map to plaster it over the surface: the last example gave two di erent parametrisations of the 2-sphere. It is a two dimensional version of parametrising a curve by writing it out as the image of a smooth function from some interval of R . For example,

g : 0 2 ) ;! " 2 R # cos( ) 7;! sin( )


parametrises the unit circle. It is all about wrapping string around curves, just as parametrising surfaces is all about putting wrapping paper over them. The string is made of chewing gum, because it has to be stretched in general, likewise the wrapping paper.12 All this stu about stretching surfaces by maps should not really come as a surprise to you, because you have been doing the corresponding thing for one dimension for yonks without knowing what you were doing. In the last example, the rst solution required you to integrate Z1 r p dr 0 1 ; r2 and I used the substitution r = sin to do it. The dr then turned into cos d , which is exactly the stretching factor, only now it is the length stretching factor, because we are one dimension down. So you have been doing all the stu about taking nice shapes to nasty shapes before- but last time you did it so as to make the integrals easier. And you did it in only one dimension 13.
12 13

Yeuk! The question: `Is it better to have a geometric idea of what you are doing or

64

CHAPTER 2. INTEGRATING FUNCTIONS


1. Sketch the spiral ramp described by the map g : 0 1] 0 2 ] ;! 23 R 3 s cos(t) 7 s t 7;! 6 s sin(t) 5 4 Show that the map is a di erentiable embedding and deduce the area of the ramp. 2. Drop down a dimension to do the next problem: nd the length of the curve of the parabola y = x2 between (0,0) and (1,1). 3. Show that the map g : U ;! 23 R 3

Exercise 2.6.2.1

x 6 7 y 6 7 6 7 6q 7 4 5 1 ; (x2 + y2) with domain the interior of the unit circle (x2 + y2 < 1) in R 2, is

" # x 7;! y

di erentiable, one-one and onto the northern hemisphere of the unit sphere in R 3 . Deduce the area of a sphere of radius R.

just to learn the recipes?' deserves a bit of thought. If there are not too many recipes, and if you are only going to use these recipes day after day, there isn't a lot of point in seeing more deeply into why they work. You are just a handle turning robot, and the hell with all the geometry. If you have a terri c memory and no visual imagination, then again, it is easier to forget about the underlying geometry. On the other hand, it is horribly dull to just know that this is the right way but not have any good idea as to why, and anybody with a bit of imagination nds that sort of thing intolerable. And if you are going to be given a humungous great list of recipes, all derived from the same basic idea, then you can cut down on the amount you have to memorise by a tremendous amount. Mathematicians are people with bad memories but good imaginations, They do not make good robots or good slaves for doing lots of handle-turning. They like to know why the machinery works, not to treat it like a black box that does miracles for incomprehensible reasons. They do not go in for mindless ritual much. Di erent people get bored by di erent things. Suit yourselves, of course.

2.7. INTEGRATION OVER CURVES AND SURFACES

65

4. A car drives at uniform speed around the square, starting at (0,0) and going to (1,0), then to (1,1) then to (0,1) and nally back to (0,0). The temperature at the point (x y) is x2 + y 2. Estimate the average temperature on the journey by taking a nite sample of points. Get bounds for your estimate. Find the average temperature on the journey by calculus. 5. Let

f 3 2 : R 3 ;! R 6 x 7 7;! x2 + y2 + z2 4y5 z
give the temperature at each point of R 3. Let V R 3 be the cubical box with vertices (a1 a2 a3), where each ai is either 0 or 1. What is the average temperature on the surface of the box? 6. Using the same temperature function as in the last exercise, calculate the mean temperature on the spiral ramp of the rst exercise.

Observe that if I give you a curve in R 2 by describing it as the graph of a function g : a b] ;! R , then there is a particularly obvious parametrisation: write : a b] ;! R 2 and de ne (t) = (t g(t)). Note that if the function g has y = g(x) this gives the right answer, and if x = g(y) we can just take (t) = (g(t) t). This is rather too obvious to spend time on, so I won't.

2.7 Integration over Curves and Surfaces


Take a friendly little function of two variables, f , think of its graph as the surface of a rather badly cooked cake, and slice the cake along the X axis with a sharp knife, as in gure 2.19. I have taken out some of the cake in the positive quadrant to show the section.

66

CHAPTER 2. INTEGRATING FUNCTIONS

Figure 2.19: Section over the X axis of f(x,y) The result is a real valued function of one variable only, y being set to zero. It is quite clear that this function can be integrated in the usual way, and if we think of the part of the X axis over which we cut the cake as being a particular curve, call it , We could refer to this as Z f (x y) ds where ds measures the distance along the curve and is, in this particular case, the same as dx. Now suppose you cut the cake along the line y = x, holding your knife vertical so that the tip travels from (0 0) to (1 1). Again, if the function f is polite, law-abiding, kind to animals and various other somewhat vague terms connoting approval, we could expect the integral to exist. Chopping things up into little rectangles and adding up areas is still an intelligible thing to do. Limits of the process ought, in a properly constructed universe, to exist. Whether God, or whoever is responsible for the Universe, is as nice a guy as Riemann was is open to doubt14, but remember, this only has to work for nice easy functions we can write down without using too much ink or paper.
Riemann would never, never have invented the Ichneumon Wasp. Even I, who am a right bastard, wouldn't have thought of anything as nasty as that. What that makes God isn't clear. Ine able, I guess.
14

2.7. INTEGRATION OVER CURVES AND SURFACES

67

Figure 2.20: Section over the unit circle of f(x,y) Now suppose I cut the cake by going around the unit circle as in gure 2.20. All the outside bit of cake is thrown away or mailed to Bangladesh. It is still easy to believe that the integral of the function around the curve still makes sense at the conceptual level. The side of the cake has an area, if the Universe is only half way sensible. And going laboriously around the circle in little steps, chopping the cake over the step, taking the height of f (x y) for some point (x y) in the step, multiplying by the step size, adding up the numbers, then doing it all over again with smaller steps, and again, and again... and then taking the limit of this process. Yes, you wouldn't want to do it this way, but you could if you had lots of paper, a stack of pens and nothing much on television.

Exercise 2.7.0.2R If f (x y) = x2 + y2 and is the unit circle, what


would you expect

f ds to be?

Example 2.7.0.1 Problem


If f (x y ) = x4 + y 4 and is the unit circle,

68

CHAPTER 2. INTEGRATING FUNCTIONS

Figure 2.21: Graph over the unit circle of x4 + y4


1. Get a crude estimate of bounds for

R f ds in this case.

2. Parametrise the unit circle and hence obtain a value for the integral. 3. Sketch the graph of f over the unit circle.

Solution
At (x=1,y=1) the function f takes the value 1 likewise at the points 1 1 (;1 0) (0 1) (0 ;1). At ( p2 p2 ) it takes the value 1 . Likewise at the 2 other three midway points. It is clear that when x2 + y 2 = 1, we have 1 x4 + y4 = 1 ; 2x2y2 and hence (since 0 x2y2 4 for points on the 1 x4 + y 4 1 on the unit circle. Hence we have circle) we have 2

x4 + y4 2

If we write x = cos y = sin then f (x y) becomes

( ) = sin4 + cos4

2.7. INTEGRATION OVER CURVES AND SURFACES

69

where : 0 2 ) ;! R 2 is the obvious parametrisation of the unit circle. It is easy to see that this can be simpli ed to

2 ( ) = 1 ; sin 2(2 )

and the desired answer is then

Z2
0

sin2(2 ) d 1; 2
2

which is easily seen to be

3 . 2

The graph can be drawn by taking the graph of 1 ; sin 2(2 ) between 0 and 2 and wrapping it around the cylinder with base the unit circle. A rather clumsily drawn version is shown in gure 2.21. Don't shoot the artist, he's doing his best.

It is worth going over the above example to see the idea used to solve the problem. Basically, we took a line and wrapped it around the circle, looked at what was over the circle, then unwrapped it to get an ordinary integral of one variable. You can imagine doing this with a real cake and a bit of wrapping paper: Wrap a paper cylinder around the cake that remains when we have thrown out every bit of cake outside the unit circle. Make sure that is higher than the cake at every point to start o with, then trim it down until it exactly ts the side of the cake. Now unwrap the paper and measure its area in the usual way. This idea will clearly work for other curves, apart from circles, with only minor modi cation. One thought that crosses the re ective mind is, how far does this depend on the function that traces the curve, in this case a circle? Suppose, for instance, instead of taking the map
R : 0 2 ) ;! " 2 # x = cos 7;! y = sin

70

CHAPTER 2. INTEGRATING FUNCTIONS

which undoubtedly covers the curve, we had taken the map : 0 1) ;! R 2 " # x = cos 2 7;! y = sin 2 We see that this takes a shorter line segment and stretches it as it wraps it around the circle. It winds up going once around the circle as before, but we must take account of the length stretching factor. What is the length stretching factor for the maps and ? We have already looked at this in the two dimensional case of area stretching for a surface in R 3, and now we are doing it for length in R 2, and the idea is similar. We look at the derivative of the map at each point, which gives a linear problem, and then we look at linear maps from R into R 2 . Well, the derivative of a vector valued function is just the vector of derivatives. "And if g : R ;! R 2 is a linear map, it is represented # a for some values of the real numbers a and b. This by the matrix b is the image of the standard basis vector in R , which is the number 1. " # The amount of stretch this does is just the length of the vector a , b " # or alternatively the distance of the point a from the origin, written b " # a , which is simply pa2 + b2. b The length stretching factor for non-linear or non-a ne maps will not generally be constant but will change according to the value of . It will however be de ned so long as the map has a derivative, and is just the norm of the derivative. In old fashioned language, if x(t) y(t) is q the parametrised curve, the function ( dx )2 + ( dy )2) is the multiplicadt dt tive term which needs to go into the formula to describe the length stretching factor of the map.

Exercise 2.7.0.3

2.7. INTEGRATION OVER CURVES AND SURFACES


1. Calculate the length stretching factors for the maps ned above.

71
and de-

2. Usually the stretching factor isn't constant. What is the length " # stretching factor of the map ( ) = 2 for 0 1? Sketch the curve. 3. A curve in R 2 is given as the graph of a function y (x),

(" # ) x : y = y(x) c= y

0 Find an expression for the length of the curve between y (0) " # 1 and y (1)

"

If you think of this as just another change of variables problem, then you can see that we need only have the parametrisation one-one and onto. The only other problem is the direction of the curve, since if we go in the other direction we get a negative answer. So part of specifying the curve is to say which way around you go along it. Under these conditions: If : a b] ;! R n is a smoothly parametrised curve in R n and if R f : R n ;! R is a well behaved integrable function, then we de ne f by:

f=

Zb
a

( )k _ ( )k d

The result will not change if we change the parametrisation to another, as long as both are one-one and onto the same underlying set, and also in the same direction. This is because the answer has to depend on the curve regarded as a set of points and a direction, and not on the rate at

72

CHAPTER 2. INTEGRATING FUNCTIONS

which a little bug traces out the curve, which is what parametrisation amounts to. Reversing the direction will change the sign of the result, exactly as it does for ordinary one dimensional integrals. Integrating functions around closed curves, where the end of the curve and the beginning of the curve are the same point, happens a lot. In this case, there is a special integral sign which is used in old fashioned books. It is I fd c and it means nothing very special, just a reminder that when you go around the curve you are supposed to get back to your starting place. It is probably done to throw terror 15 into the hearts of the uninformed. In order to convince you that this is all easy and geometric and to get you to remember it all, do the following exercises and make sure you can read and understand the text book section on this subject and do the problems.

2.7.1 Exercises
Exercise 2.7.1.1
1. The curve cosh(x) = ex +2e;x may be parametrised in the obvious way by sending x to (x cosh(x)). Find the length of the curve between x = 0 and x = 2. 2. Integrate the function f : R 2 ;! R given by f (x y) = y sinh(x) along the curve of the last exercise. 3. Find the length of the curve given by the polar equation r = sin for 0 . Do this by rst sketching the curve and obtaining bounds for the length, next by writing the composite map which
Mediaeval wizards wore black robes with stars all over them for much the same reason, as is well known to anybody who is up to date on the Wizard of Id. There is a lot of this sort of thing in Mathematics.
15

2.7. INTEGRATION OVER CURVES AND SURFACES

73

takes the interval 0 ] into the rspace, then follows it by the polar map P . Compute the net length stretching factor by using the chain rule, and integrate this over the interval 0 ]. 4. An asteroid travels in an elliptical orbit described by the formula x2 + y2 = 1, where a = 4 b = 1 measured in Astronomical a2 b2 Units ( A.U.). The temperature (in degrees absolute) is given approximately by 300 , where d is the distance from the sun, which d2 is at (;3 0). What is the average temperature along the orbit? Why might an inhabitant of the asteroid feel that you were overestimating the average? 5. All the asteroids and planets are collected and hammered into a Dyson Sphere, a humungous sphere centred on the sun, and one A.U. in radius. Using the same assumptions as for the last question, it is obvious that the temperature on the sphere is a pleasant 300o K , and the human beings, together with what few other terrestrial species haven't been eaten or turned into handbags, live on the inside of the sphere. Unfortunately a Dyson Sphere isn't stable. As a result of putting the school entrance age up to 15 and consequently forgetting how to do integrals, the society responsible for setting up the Sphere loses the technological ability to keep the sphere centred on the sun. After a while, the sun is actually half way to the edge of the sphere. What is the average temperature on the sphere? Make a crude estimate rst, then try to do it by integration. Does this incline you to want to be able to do integrals16 ? 6. Make up an example of an integral over a curve in R 3 and evaluate it. 7. Make up an integral over a surface in R 3 and evaluate it.
It should, at the very least, make you wonder what will happen if our society loses the skills for running a moderately complicated technological industry, and maybe make you wonder if we aren't half way there. At least somebody ought to know how to do integrals. Which is why you are doing this course, right?
16

74

CHAPTER 2. INTEGRATING FUNCTIONS

2.7.2 Doing it Piecewise


Suppose that instead of asking you to study integrals along nice smooth curves, I had asteroids travelling around in square orbits. This may be unrealistic, but there are serious problems where the path is not smooth. This is no big deal you can probably see that we can simply split the path into bits, do each bit separately, and then add the answers together. After all, the whole idea of integration consists of doing exactly that in the limit, so it can't do any harm to do some nonsmooth curves piecewise.

Exercise 2.7.2.1
A surface is made up of a hemispherical bowl centred on (0 0 1) and having radius 1, so that it touches the origin. Another hemispherical bowl of radius 1 has the same centre but is the other way up, so that it 2 touches (0 0 1:5). The region between the boundaries is the third part of the surface and consists of the set (x y z) 2 R 3 : 1 x2 + y2 1 z = 1 2 Sketch the surface. If the temperature at the point (x y z) is given by x2 + y2 + z2, nd the average temperature over the surface.

Chapter 3 1-Forms and 2-forms on


3.1 Introduction: A New Idea
We have been integrating real valued functions of several variables so far, and the big di erence between the one variable case and the two or more variable case is that you integrate one variable over an interval, and intervals have end-points at their boundary, whereas in higher dimensions, the boundary can be some fairly complicated thing. You might notice that the boundary of a one dimensional interval or curve (if it has one) is a zero-dimensional thing, a nite set of points. The boundary of a surface without holes (if it has one) is a one dimensional curve, and nally, the boundary of a region in R 3 is a surface. We have got pretty crash hot at integrating functions of several variables over curves, surfaces, and three dimensional regions, and the next stage is to integrate more complicated things than real valued functions. The things we integrate over have a generic name, they are called smooth manifolds or smooth manifolds with boundary. This includes lines, line segments, circles, intervals, curves, spheres, balls, disks, tori, and almost all the things you have ever integrated a function over. These manifolds have been embedded in R n for n = 1 2 3. We also 75
R

76

CHAPTER 3. 1-FORMS AND 2-FORMS ON R 2

have objects which are piecewise smoothly embedded manifolds, since doing things piecewise is natural for integration, which is all about chopping things up into bits anyway. Thus squares and polygons and polyhedra are piecewise smoothly embedded smooth manifolds. The functions integrated have been de ned on the space the embedded manifolds were sitting in. This jargon is going to be useful or I wouldn't trouble you with it. Note that the boundary of a manifold M n of dimension n, @M , is either empty or is a manifold of dimension n ; 1. The things we are going to integrate next, more complicated than functions, are called forms, and they are very useful in describing more complicated objects than we have considered so far. Actually, real valued functions are 0-forms, and the next step is to look at 1-forms, which are (so far as you are concerned) the same things as vector elds. Then we move on to 2-forms, 3-forms, and there we pretty much stop. It is possible to go further, but we shan't. I shall start o with some explanation of why we care about the simplest case, 1-forms. Suppose you are driving due North in a car and the wind is blowing from the East. Then apart from the possible di culty of staying on the road, the wind will not actually slow you down. If the wind blows from the South, it will assist you, and if it blows from the North it will slow you down. How much depends on the air resistance of your car, a large truck will have more wind force to resist than a small car, but the large truck will probably have a more powerful engine to overcome the wind force. If the wind is blowing from the South-East, we can split the force into two components, one from the East which has no e ect, and one from the South which assists us. Suppose, more generally, that there is a windforce vector eld all over the plane, where the direction and amount of oomph of the wind on your car is given by the map F : R 2 ;! R 2 which takes (x y), a possible location of the car, to (P Q) the windforce vector at that point, and has P = (x + y)2 Q = (x ; y)2.

3.1. INTRODUCTION: A NEW IDEA

77

Exercise 3.1.0.2 Sketch the vector eld described above.


Now suppose I know that for every one unit of windforce against me, I spend an extra 1 cent in petrol for every kilometre travelled under that windforce. And if the wind assists me, I pay a cent less. How much money would I save due to the wind if I travel due north from the origin to the point (0 5), ve kilometres North? Well, at the point (0 y) the P component is irrelevant because this is transverse to my path, and the Q component is just y2. This being positive, I draw the arrow of the windforce pointing due North, the way I am going, so the force is with me. Eat your heart out, Luke Skywalker. As a result, I am saving money at the rate of y2 cents per kilometre travelled. At the start this is zero, at the end it is 25, and at 1 kilometre it is 1, two kilometres it is 4, three 9 and four 16. I want the average of all the numbers (not just the integer points) multiplied R by the distance travelled. Alternatively, I want 05 y2 dy = 125 . This 3 is over forty cents, and worth knowing about: I can blow it on riotous living when I get there1. That was easy. Now let's make it a bit harder. Suppose I travel along the straight line from (0 0) to (5 5) with the same windforce vector eld. What is my saving this time? Well, the P component is due East and has value (x + y)2, but I am travelling at forty- ve degrees, so the projection in my direction is 1 this number multiplied by cos(45o ) which is p2 . Similarly, there is p a contribution from the Northerly or Q component of (x ; y)2= 2. Now I have x = y consistently, so this last component doesn't make a R di erence, and the calculation reduces to p12 05(2x)2 dx, or a savings of around $1.18. Before we work out wild things to spend it on, remember that we are going to need it in order to return the way we came, where the force of
1

This enthusiasm may tell you something about academic salaries.

78

CHAPTER 3. 1-FORMS AND 2-FORMS ON R 2

wind will be against us. Now let us suppose that I have a constant force eld (due to wind or " # anything else) which is to say that whichever point x I am at, the y # " force vector at that point is the vector F(x y) = u = u1 where u1 u2 and u2 are just"numbers. And suppose I am driving in a straight line in # v1 where again v and v are just numbers. In fact, direction v = v 1 2 2 assume I go from the origin to the point v. The assist I get for the journey from the force eld is going to be the component of the force in the direction v times the length of v. This is the length of the vector u, times the cosine of the angle between the two vectors, times the length of v. But this is just u v, where is the dot or inner product of the two vectors. Now for the killer. Suppose I actually travel in a smooth curve. To be explicit, let x : a b] ;! R 2 be a di erentiable map from the interval a b] into the plane. How much are my savings after I've gone around the bend described by x? I still assume some, constant in time, vector eld F, which is now not necessarily constant in space. I also assume that the drag or assist does not depend on how fast I am travelling, which looks a little unlikely, but what the hell. If I travel along the smooth curve x( ), then at time time units I am " # x1( ) , where x x are di erentiable functions of at location x( ) = x ( ) 1 2 2 time . At this time t, I am instantaneously#travelling in the direction " dx1 d _ given by the derivative of this, x( ) = dx2 , and if I travel for a brief d _ time , I am pretty much going in a straight line vector x( ) which is " dx1 # over that time. And the value of the force eld is pretty much constant and is F(x( )). That is, x( ) is where I am at time t and F(x( )) is
d dx2 d

3.1. INTRODUCTION: A NEW IDEA

79

the force eld at that point. For a short period , I am in the same situation described by the constant force eld straight line drive case just discussed, so the amount of oomph of the windforce vector over that short time is _ (F x)( ) x( ) The total gain is found by summing this and then taking limits, that is, by integrating over the whole time I travel along the curve. In other words, the integral of a vector eld F on x : a b] ;! R 2, is given by
R2

along a curve

Zb
a

_ F(x( )) x( )d

By the same argument as I used for integrating functions over curves, the result does not depend on the parametrisation as long as it is oneone and travels in the same direction along the curve. Instead of invoking the time and a car travelling, I could have just set up little line segments along the path, looked at the projection of the force eld along each of the line segments and added them all up. Repeating with smaller line segments and taking limits makes it clear that the curve does not need a parametrisation for the idea of integrating a vector eld over a path to make sense. On the other hand, parametrising it makes it very easy to compute, as the next example shows:

Exercise 3.1.0.3
Let the curve be the circle of radius 5 units, and let the vector eld " # (x ; y)2 . I travel around the circle in the be given by F(x y ) = (x + y )2 positive, counter-clockwise direction, starting and nishing at the point (1 0). What is the integral of the vector eld over the curve?

80

CHAPTER 3. 1-FORMS AND 2-FORMS ON R 2

Solution I shall parametrise the circle in the usual way by de ning " # 5 cos( ) x( ) = 5 sin( )
Then the required integral is

Z 2 " (5 cos( ) ; 5 sin( ))2 # " (;5 sin( )) # d (5 cos( ) + 5 sin( ))2 5 cos( ) 0
Working out the dot product we get

125

Z2
0

(c2 ; 2cs + s2)(;s) + (c2 + 2cs + s2)(c) d

where c is short for cos( ), s for sin( ). Simplifying using (c2 + s2 ) = 1, we get ;125 R02 sin( ) d + 125RR02 cos( ) d + R2 2 2 cos2( ) sin( ) d 250 0 sin ( ) cos( ) dt + 250 0 which turns out to be zero. This is of course a great pity. If you made a few cents pro t in driving around a circle, you could drive around lots of times and get to be rich. And if you lost a few cents, you simply go in the other direction to get rich2 .

Your text book uses r for x, and so do some other old fashioned books. To my mind this vaguely suggests polar coordinates, so I avoid it. Your textbook also uses i, j, k to denote the standard basis vectors in R 3. As a way of telling us what the components of a vector are, this has a little to recommend it, but not much.

De nition If F is actually a force eld on R n , and is a path through the eld parametrised by x : a b] ;! R n, the above path integral, Zb _ F(x( )) x( )d a
2

This may go some way to explaining why academic salaries are so low.

3.1. INTRODUCTION: A NEW IDEA

81

is de ned to be the Work Done by the eld over the path. This makes sense for any positive integer n. As with integrals of functions, if a path is a closed loop so the end point and the starting point coincide, we may write I _ F(x( )) x( )d
c

just to terrorise you.

3.1.1 Advice: Learning This Stu


There are two ways you can go from this point: the rst is to look at the equation Zb _ F(x( )) x( )d a

and try to memorise it while having only a tenuous notion of what the F and x mean, which is the worst way of proceeding. Try this and fail miserably. The next best thing is to go and do a lot of examples. I shall give you some, and there are others in the text book. This burns the thing into your memory, so that you both know the jargon and how to do the sums. If you do this, I guarantee that you will pass the exam. The very best thing is to go through the argument about cars and wind that gives rise to the formula, see why it has to be that way, then do a few really nasty examples which you make up yourself. It is up to you to decide which is the minimal e ort way to pass the exam. The second way is for thickos. The third way is less time consuming but requires that you think about what is going on. If thinking is something you have trouble with, if it gives you a headache and you just get lost and muddled, bash away at the sums by the second method.

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CHAPTER 3. 1-FORMS AND 2-FORMS ON R 2

A variant of the rst way is to scribble down lecture notes, copy somebody else's assignment and start trying to memorise the formulae a few days before the exam. This pretty much guarantees that you will fail. If this is your preferred method, pull out now, and avoid the rush. I tell you these things in a kindly way because, contrary to popular belief, I am a nice guy. Also, I hate waste and would like you all to pass.

3.2 Notation
Instead of writing the vector eld as F : R 2 ;! R 2 and putting F(x y) = (F1 F2), it is conventional to write F1 = P (x y) and F2 = Q(x y), and instead of writing x for the parametrisation of the curve, _ we write (x( ) y( )) whereupon we write the derivative, x, in the form ( dx dy ). d d Then the formula for the integral Zb _ F(x( )) x( )d can be written in an older notation as: # Z b" dx + Q(x y) dy d P (x y ) d d a This is mildly confusing, since (x y) may be a point in R 2, or a function from R taking values in R 2, and there are going to be points of R 2 which are not on the curve. So it is a bit muddled. But that was the eighteenth and (early) nineteenth century for you. Actually, we are still muddled, but some of us are more muddled than others. I propose to keep enough muddle so you can make a reasonable guess at what the old fashioned books are on about. It seems a pity to have to master the dot-product notation only to throw it away at this stage, but this is what is done. Don't blame me.
a

3.2. NOTATION

83

Now the fact is that the result of integrating the vector eld over the curve depends on the direction we go along the curve but does not depend on the parametrisation of the curve. We could, as I suggested, take sequence of points on the curve, approximate the curve with lots of line segments joining the points, work out the vector eld at the midpoint of each of these line segments, take the dot product of the eld at the midpoint with the vector de ned by the line segment, add them all up, do it again for more points and shorter line segments, keep on going until the electricity fails, and in the limit we get the right answer, if the world makes any kind of sense. No parametrisation in sight. This leads us to want to write the formula in a way that makes no mention of any parametrisation. We do this by writing:

Z
or, slightly shorter:

P (x y) dx + Q(x y) dy

(P dx + Q dy)

but the answer to the sum is the same. If you want to know how I specify the curve , then I shall evade the issue. It doesn't matter. In principle I could give you a humungous list of all the points on it or I could give you a graph, or a sequence of graphs. If I give it to you parametrically, the obvious way, then that rather suggests that there isn't much point in the latter notation. Because it suggests that if you do it with di erent parametrisations that are in the same direction, and because the suggestion is true, and also because everyone else uses it, we shall use the notation of the last formula for the integral of a vector eld over a curve. Such integrals are known in the literature as Line Integrals, if you want to look up what you have been doing in other books. 3
This could be a terrible mistake. Most of the old fashioned books are pretty muddled about the kind of thing they are doing when they use the classical notation. Eighteenth and early nineteenth century Mathematicians were pretty hazy about
3

84

CHAPTER 3. 1-FORMS AND 2-FORMS ON R 2

3.2.1 Exercises
Time for some exercises to build your mental muscles and make all this more de nite.

Exercise 3.2.1.1
In the problems below, sketch the vector eld and make a crude estimate of the answer before doing the calculation. Some upper and lower bounds on the value would be very professional. It could save a lot of work, too. 1. Let a force eld on R 2 be given by saying that the force is always towards the origin, and of magnitude proportional to 1 , where r r is the distance from the origin. At the origin, the force has magnitude zero. The path consists of the unit circle, traversed in the positive (anticlockwise) direction. Using a bit of gumption, write down the work done over the path. 2. The force eld is as above, but the path is along the square with vertices at (1 1) (;1 1)(;1 ;1) (1 ;1) in the positive direction. Again, a bit of gumption will help. 3. With the same vector eld, along the straight line path from (1 1) to (1 ;1). 4. With the paths of the last three cases, but with the magnitude of the force replaced by r12 . 5. With the last vector eld and the path from (1 0) to (;3 0) that goes around the circle of radius 2, and goes in the top half of the plane.
lots of the ne details, they just latched onto a couple of clear examples, and this is what you should do, too. Twentieth century Mathematicians tend to be very clear about what kind of thing they are doing, not nearly as good at actually doing it, and totally in the dark about whether it's worth doing in the rst place.

3.3. SURPRISES: CLOSED AND EXACT FORMS

85

6. With the last vector eld and a di erent path with the same end points. 7. With the vector eld given by P (x y) = ;y Q(x y) = x, and path the unit circle in the positive direction. 8. With the same vector eld and path the circle centred on the origin and of radius R. 9. With the vector eld of the last question, going around the square described earlier. 10. With the vector eld given by P(x,y) = x2, Q(x,y) = y2 and path the straight line between the points (1 ;1) and (1 1). 11. With the last vector eld and path any curve whatever going from (1 ;1) to (1 1). 12. As above, di erent path, same end-points. 13. Same vector eld, three di erent paths from (1 0) to (2 2). 14. Same vector eld, three di erent paths from (1 0) to (1 0).

3.3 Surprises: Closed and Exact Forms


If you didn't do all of the last section exercises, go back and bloody well do them. You will have noticed, if you got them right, that for some of the vector elds, the integral between two points p and q seems to depend on p and q but not on the path, whereas for other vector elds the path makes a di erence. This is right, there are indeed two di erent sorts of vector elds, and it would be very nice to be able to tell which is which. Obviously, if I give you some ghastly path from p to q and ask you to integrate some vector eld or, more accurately, 1-form, over the path, and if you spot that the 1-form is one of the goodies, then you can choose a more convenient path and use that. Instead of referring to the goodies and baddies among 1-forms, let us call a 1-form

86

CHAPTER 3. 1-FORMS AND 2-FORMS ON R 2

closed if whenever you integrate around a closed curve, a loop, you get the result zero. Now it follows immediately that the integral along a path from p to q, for any points p q does not depend on the path, for if it did we could go along one path, back along a di erent path which gave a di erent answer, and have gone around a loop to emerge with a non-zero sum. So we can test a 1-form to see if it is closed, and closed 1-forms are Good Things, at least from some points of view. Certainly, they are simpler to integrate over paths.

Now given a closed 1-form P dx + Q dy on R 2, take any point you fancy and call it p. Now for any other point q, calculate the integral of the 1-form over any path from p to q. This gives a number which depends only on q. In other words, it de nes a function fp P Q : R 2 ;! R . And if I do it for a di erent choice of starting point p, then your function and mine will di er only by a constant, which can be found by a method which is evident to the meanest 4intellect. So closed 1-forms over R 2 give rise to so called potential functions f . And conversely, all di erentiable functions over R 2 give rise to vector elds, for if you give me such a function f , I can di erentiate it and get a row matrix of partial derivatives, which is a 1-form, or alternatively, I can take the gradient of it, which is a vector eld. It is plain that there is not a great deal of di erence in which way I look at this, and if I want to be fussy (useful in understanding more clearly what is happening here), I can write ! @f dx + @f dy @x @y for the 1-form or

5f =

"

for the vector eld. There is a di erence between column matrices and row matrices, but not one which it is pro table to get one's knickers in a knot about for this course.
4

@f @x @f @y

Are you awake?

3.3. SURPRISES: CLOSED AND EXACT FORMS

87

1-forms which are obtained by the above process of di erentiating functions or 0-forms are called exact 1-forms. So we can go up from 1-forms to 0-forms by integrating, at least when the 1-forms are closed, and we can go down from 0-forms to 1-forms, giving rise to a particularly nice kind of 1-form, the exact ones. I am assuming that all functions are smooth, which means that we can di erentiate them as often as we feel the urge. It would be nice if all the closed forms on R 2 were exact and if the process of integration to get fp P Q from the form P dx + Q dy when followed by the process of di erentiating to get the gradient eld, got us back to where we started. After all, the fundamental theorem of calculus does precisely this in the rather special case where the function is over R instead of R 2. Well, a little experimentation is called for. Let's take f (x y) = x2 + y2. Then this gives rise to the 1-form df = (2x dx + 2y dy). If we integrate the 1-form from (0 0) to (1 R by the obvious parametrisation, 0) x(t) = t y(t) = 0 t 2 0 1], we get 01 2x = 1. This is indeed f (1 0). Similarly, if we take the straight line path from (0 0) to (a b) by the parametrisation : 0 1] ;! R 2 de ned by ( ) = (a b ), we get x( ) = a y( ) = b, and the integral becomes: _ _ Z1 2a a + 2 b b d which is just a2 + b2, which is f (a b). So on the basis of a particular case, it certainly looks as if it is working the way we might hope.
0

Exercise 3.3.0.2
1. Choose a slightly more complicated function f (x y). Derive the 1-form by putting P (x y ) = @f Q(x y) = @f . Choose any point @x @y as your base point p (if I were you, I'd pick somewhere easy like the origin) and then take some choices of q . By choosing paths from p to q and integrating along those paths, con rm that the result does not depend on the path but is always f (q) ; f (p).

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CHAPTER 3. 1-FORMS AND 2-FORMS ON R 2


2. Do it again for a di erent choice of function f .

You may now be prepared to believe:

Theorem 3.3.1 Every @f form on R 2 is closed, and if f is a 0-form, exact @f

the form df = @x dx + @y dy when integrated over any path from p to q has the value f (q) ; f (p).

The exact form df is called the exterior derivative of f . And I remind you that it is just the gradient of f if we disregard the di erence between rows and columns, and think of 1-forms as vector elds. There is an obvious picture of the e ect of integrating an exact 1-form over a path. I used to run 5kilometres every morning early, while it was still dark, so nobody would see me. I ran up Broadway, then up Princess Rd,, the up Dalkeith Rd, then another one and another until I came past the police station and back up Broadway. Uphill, every inch of the way. When I tried going the other way, it was still uphill every inch of the way. So I gave up running in the mornings. Suppose that I am back in my car intending to head North for ve miles. There is no wind, all is quiet and peaceful. But there is a vector eld, it is obtained from noting that the journey is downhill in some parts and uphill in other parts. I get a boost from the terrain (and the force of gravity) when I travel downhill, and this saves me some number of cents on petrol per kilometre travelled, as before. Now to work out how much I save, all I have to do is to work out the total di erence in altitude between my nishing point and my starting point. (There is a negative sign which goes in, because the gradient is uphill, when the force is against me. Turn the terrain upside down in order to get the sign right.) It is immediately obvious that if the form is exact it is closed, that is, if I go in a closed loop in a vector eld which derives from a potential,

3.4. 2-FORMS

89

I must get back to the same height I started from. So exact forms, or alternatively vector elds which are gradient elds, do not allow us to get any net work out of a system by going around a closed cycle. In Physics, we say the vector eld is conservative. So to use a di erent jargon, all gradient vector elds are conservative5. This is merely saying that all exact forms are closed. You mights ask if all closed forms are exact? On R 2 this is true. Some more opportunity for a little thought:

Exercise 3.3.0.3
1. Consider the 1-form (2xy + y 2) dx + (x2 + 2xy + ey ) dy. Is it exact? (Try integrating) 2. I claim that the 1-form P dx + Q dy is exact provided @P = @Q . @y @x Explain why this test for exactness must be passed by any exact form.

3.4 2-forms
It is essential that you do the following exercises so as to get a feel for what we are about to do. Without the exercises, you will stay vague and muddled with them, it will be fairly simple.
It is easy to get impatient with a proliferation of jargon. The reason for the jargon about 1-forms and 2-forms (which come next) is that if you ever need to go to higher dimensions or work on spaces other than R n , you nd the baggage of the old notations gets in the way of understanding what is going on. The di erence between vector elds and 1-forms starts mattering in this case, and pretending they are the same gets you into more trouble than its worth. So just in case you need to extend your education one day, you get to learn two lots of jargon rather than one. If you think Mathematicians, Physicists and Engineers should get their act together, I agree. But the others insist on me changing to their systems, which is obviously stupid.
5

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CHAPTER 3. 1-FORMS AND 2-FORMS ON R 2

Exercise 3.4.0.4
1. Take the 1-form df = x dx + y dy , and integrate it over the unit circle in the positive direction. What do you expect to get? What happens when you actually do it? What 0-form (function) has this as its derivative? 2. With the same 1-form, take the circle of radius r and centre ((1 ; r) 0) which also passes through (1 0). Integrate the form around this loop, in the positive direction (i.e. anticlockwise), and show that the result does not depend on r 3. With the similar looking 1-form ;y dx + x dy , integrate around the paths of the last problem. Is this 1-form exact? 4. With the same 1-form as the last problem, draw a square in the plane, and integrate around the square in the positive sense. What result do you get if you divide the result by the area of the square? 5. Repeat with a di erent square. 6. Repeat with some closed loop built up out of line segments that is not square. Explain what is going on here!

The last exercises, not particularly di cult to do, will have left you puzzled. For some mysterious reason, the integral around a closed curve in the positive direction for the particular form seems to work out as always twice the area of the loop you go around. It doesn't seem to matter what shape the loop is. Suppose the 1-form has the property that integrating around the unit square in the positive direction always gives the answer 2, and that the result does not depend on where the square actually is. Then it is easy to see that the result of integrating the 1-form around the square with vertices (1 1) (;1 1) (;1 ;1) (1 ;1), in that order, must be 8. The diagram of gure 3.1 makes it clear why: We can decompose the large square into four smaller squares, and since the internal lines are

3.4. 2-FORMS

91

Figure 3.1: Integrating ;y dx + x dy around a big square. in matching pairs in opposite directions, the contributions must cancel out to give the integral along the outside (big) square, telling us that the integral around the big square is the sum of the integrals around the small squares- which is always 2. If the integral around any square does not depend upon where it is, then we can run the argument backwards, and chop up the unit square into smaller squares, and so on. So the integral around the square with vertices (0 0) (0:1 0) (0:1 0:1) (0 0:1) must be 0:02. And for any square with area A, the integral around the boundary is 2 A. And if now I take any region bounded by a closed loop @ with an area ( ), then I can cover it with little squares and have the same argument to compute the integral around @ to be 2 ( ). In algebra: I Z = 2dA = 2 ( )
@

The picture in gure 3.2 illustrates a stage in the approximation of this. The above leads the more imaginative thinker to imagine some amount of circulation in in nitely tiny cells, which for this particular 1-form is constant, and always twice the area of the cell, and that we are integrating this constant circulation around little squares (or for that matter litle circles).

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CHAPTER 3. 1-FORMS AND 2-FORMS ON R 2

Figure 3.2: Integrating ;y dx + x dy around a loop Let's investigate this particular 1-form more closely. Since it doesn't matter where you are, let's stand at the origin. Now the vector attached to the origin is the zero vector. If we move a distance due East (right), we are at the point ( 0) and the vector here is (0 ), which is a positive little arrow pointing straight up. If we had gone to the West (left), the little arrow would have been pointing down. There is therefore a tendency to turn any little paddle at the origin in a clockwise sense, arising from the Q component of the eld, and its torque is 2. We must not forget the contribution for changes in y. If we move North a distance from the origin, the eld at (0 ) is (; 0), and at (0 ; ) is ( 0). So the P component of the eld will also tend to turn the little paddle at the origin in the same direction, the positive sense, with torque the same value, 2. If we add these values and consider the `amount of twist per unit area', we get the number 2. What we have done here is to obtain a new geometric thing, the amount of circulation of the form about a point. For the 1-form we were looking at, this is constant i.e. does not depend on the point. In general we would not be surprised if it varied from point to point.

3.4. 2-FORMS

93

If F is the 1-form, what we have done is to produce something called a 2-form, dF. I use the same d symbol as I used to get from 0-forms to 1-forms, although the operations are on quite di erent things. Looking at what we have done in the particular case, we write:
and if P and Q are di erentiable functions of both variables (so they have continuous partial derivatives) then the derived 2-form is called dF and is de ned to be

De nition 3.4.1 If F = P (x y) dx + Q(x y) dy is a 1-form on R 2,


! @Q ; @P dx ^ dy dF = @x @y

The ^ sign is usually read as `wedge' or `veck'.

If you take the 1-form where we did our experimenting, ;y dx + x dy we have Q = x P = ;y and the result of applying the exterior derivative is to get the magic number 2. Well, actually, we get 2 dx ^ dy. The dx dy you might gure is reasonable, since to use this, you will integrate over the inside of the region covered by a loop so as to get the integral of the original 1-form around the boundary of the region, the loop itself. You want to know what the ^ sign is doing in there. Well, it is to tell you two things, one is that this is a 2-form, not just any old function, since the next thing we are going to do is probably to integrate it over a (2-dimensional) surface. And the second thing is to tell you which way round we are going, because dx ^ dy = ;dy ^ dx, as we really need to worry about orientations and directions in this game. If you turn the surface upside down or, equivalently, go around the loop in the opposite direction, you get a sign change. We didn't have to worry about that with the old double integrals. Since that is all that the ^ means, provided you bear it in mind, you can go ahead and integrate as if it wasn't there. There is an implied orientation sense which is positive. If G(x y) dx ^ dy is a 2-form we de ne for any two-dimensional region of R 2 Z Z Z G dx ^ dy = U G dA = U G dx dy U

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CHAPTER 3. 1-FORMS AND 2-FORMS ON R 2

the last part by Fubini's Theorem. We can now state an important and useful result:

Theorem 3.4.1 Green's Theorem If F is a di erentiable 1-form on R 2 of the form F = P dx + Q dy


and if the derived 2-form is

! @Q ; @P dx ^ dy dF = @x @y Z
dF =

Then for any region U bounded by a simple closed curve @U , we have

where the orientation of @U is taken in the positive sense.

@U

It is easy to see that what we are doing here is very similar to the change of variable process: we take a local approximation to something which is pretty much constant in a su ciently small region, a sort of derivative in both cases, and we integrate this all over a region to get something instantly comprehensible in the simple case where the thing is globally constant.

Exercise 3.4.0.5
1. Use Green's theorem to directly con rm that the integral of the form F = ;y dx + x dy around any closed loop is twice the area enclosed by the loop. 2. Use Green's Theorem to show that any exact di erentiable 1-form on R 2 is closed.

3.4. 2-FORMS

95

3. Let U be the unit square, with vertices at (0 0) (1 0) (1 1) and (0 1). F = x2y dx + x3y3 dy is a di erentiable 1-form on U , conrm that Green's Theorem holds by integrating the form around the boundary in the positive sense, then by taking the exterior derivative 2-form and integrating that over U , and showing that these are the same number. 4. Make up a U of your own and a non-exact 1-form over U and verify Green's Theorem in this case.

In order to show you how much work there is in these, (not much) I'll do the last but one problem as an example:

Example 3.4.0.1 U = I 2 is the unit square. The 1-form to be integrated is Integrating F over @I 2 is most easily done in four steps: base: x(t) = t y(t) = 0 : t 2 0 1]. Then x(t) = 1 y(t) = 0 and the _ _ contribution to the whole integral is:

F = P dx + Q dy = x2y dx + x3y3 dy

Z1
0

(t2)(0)1 + (t3)(03)(0)dt = 0

right: x(t) = 1 y (t) = t : t 2 0 1] x(t) = 0 y(t) = 1 and we get _ _

Z1
0

1 (12t)(0) + (13t3)(1) dt = 4

top: x(t) = ;t y (t) = 1 : t 2 0 1] x(t) = ;1 y(t) = 0 and the _ _ contribution is: Z1 (t2)(;1) + (;t)3(13)(0) dt = ; 1 3 0

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CHAPTER 3. 1-FORMS AND 2-FORMS ON R 2


Z Z1
0

left: x(t) = 0 y(t) = ;t : t 2 0 1] x(t) = 0 y(t) = ;1 and the _ _ contribution is

P x + Qy dt = _ _

0 + 0 dt = 0

1 Total: ; 12 .

Now we take the derivative of F to get the 2-form:

F = P dx + Q dy P = x2y Q = x3y3
Then So

@Q = 3x2y3 @P = x2 @x @y

dF = (3x2y3 ; x2) dx ^ dy Integrating this over I 2 we get: Z 1Z 1 3x2y3 ; x2 dx dy 0 0


=

Z 1h i1 x3y3 ; x3=3 0 dy 0 Z1 = y3 ; 1=3 dy 0 " 4 #1 = y4 ; y 3 0


1 = ; 12

as required.

3.5. HOLES

97

Figure 3.3: Integrating a 1-form around two loops

3.5 Holes
The cases I have described above had regions that were simply connected, which is posh for saying that they didn't have holes in them. The boundary was just a deformed circle, a simple closed curve. If we were to take a region consisting of a disk with a hole in the middle, for example fx 2 R 2 : 1 kxk 2g, then we need to know if Green's Theorem will still hold. The answer is yes, but there is a small problem. If we chop up the region into little squares as in gure 3.2, we need to go around the inside boundary as well as the outside, as in gure 3.3 The point to note is that the boundary, @U , consists of two circles, and the orientation of the outside one is opposite to the orientation of the inside one. The whole business of de ning the orientation of the boundary in general is fairly complicated, and I shall leave you to work it out by commonsense rather than trying to give you complete rules for it. It does mean that we have a stronger version of Green's Theorem:

Theorem 3.5.1 Green's Theorem


If U is any subset of R 2 having a boundary which is a union of a nite number of disjoint sets, each an image by a one-one piecewise di eren-

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CHAPTER 3. 1-FORMS AND 2-FORMS ON R 2


Z
df =

tiable map of S 1 , then for any smooth 1-form f de ned on U ,

@U

provided the orientation of the boundary loops is positive for external bounding loops, negative for internal bounding loops.

If you feel particularly courageous or drunk with power, try taking a really bizarre region U with holes in it and several bits, some inside the holes and some having holes inside holes. Then try to work out what the right de nition of `external' and `internal' is for the above theorem to be true. If you do not feel that brave, just check it out for some moderately complicated region U .

3.6 Connections
For a path, the boundary is the two end points, and the one at the start is reckoned negative and the one you arrive at is reckoned as positive. To integrate a function over two points, you add up the values, taking account of sign. Now if the function f is a 0-form on R , it is an ordinary df function. It has the exterior derivative df which is just the function dx followed by a dx. Integrating this function over an interval a b] is the one dimensional analogue of integrating a 1-form on R 2 over a two dimensional region U . Green's Theorem in this case is just:

Z
U

df =

Z
@U

again, and this tell us that the integral of the derivative of f over the interval is the integral over the end points of the function f . This is just the sum of the values, taking account of the orientation of the end points, i.e. f (b) ; f (a). Thus the good old Fundamental Theorem of Calculus, which we have been using more or less non-stop so far, is

3.7. THE EXTERIOR DERIVATIVE AND K-FORMS

99

just Green's Theorem in one dimension. Green's Theorem is Green's Theorem in two dimensions. This leads to speculation about what Green's Theorem is called in Three Dimensions. We will consider this vital matter shortly.

3.7 The exterior derivative and k-forms


The process of taking the exterior derivative of a 0-form to get a 1form, does not on the face of things look much like taking the exterior derivative of a 1-form to get a 2-form. This is a mistake. The process is really the same, if looked at from the right perspective. When I have f : R 2 ;! R and take the exterior derivative, all I do is di erentiate partially with respect to x and then stick a dx after it, do the same with respect to y and stick a dy after it, and then add them up. When I have P dx + Q dy and I take the exterior derivative, I rst partially di erentiate the P partially with respect to x and stick a dx after it. There is another dx already there, so I put a ^ in between them to get

@P dx ^ dx @x Then I do the same again with respect to y and add them up: @P dx ^ dx + @P dy ^ dx @x @y
Now I have to do the same for the Q: again I add everything up to get:

@P dx ^ dx + @P dy ^ dx + @Q dx ^ dy + @P dy ^ dy @x @y @x @y

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CHAPTER 3. 1-FORMS AND 2-FORMS ON R 2

This is the answer. If it doesn't look like it, it is because we need to do a little cleaning up. Since dx ^ dy = ; dy ^ dx, it follows that dx ^ dx = 0, and likewise dy ^ dy = 0. Now putting everything in a nice tidy, fashion, with the dx dys in alphabetical order, we get the correct expression for the derived two form. A little thought suggests that we could keep on taking exterior derivatives until the cows come home, getting higher and higher k-forms, and this is true. However on R 2, the only possible three-form will have dx ^ dx ^ dy with two dxs, or another version with two dys, or three of one or the other. And these can only give zero. So there is only one three form on R 2, and it is zero everywhere, which makes for no fun at all. The situation on R 3 is, however, more interesting.

Exercise 3.7.0.6
Write down a 0-form on R 3 . Now take the exterior derivative to get a 1-form on R 3, which will look like P dx + Q dy + R dz . Now calculate the derived 2-form. Not very exciting? Write down a 1-form on R 3 which is not exact, and take the exterior derivative to get a 2-form. Just do it as for R 2 , taking partial derivatives with respect to variable thingy and inserting dthingy ^ in front of all the other dwotsits, and adding up the result and simplifying. You will wind up with A dx ^ dy + B dx ^ dz + C dy ^ dz for some functions A B C which depend, naturally enough, on P Q R. Now take the exterior derivative again by the same procedure to get W dx ^ dy ^ dz, for some function W . Not a very stimulating W ? Try taking a di erent 2-form and taking its exterior derivative.
R3

OK, now you have discovered a few important things about forms on . Do you recognise any of those operations you have just been doing? Seen them before? The business of getting from a 0-form to a 1-form

3.8. CHANGE OF VARIABLES

101

y t g

Figure 3.4: Change of Variables for forms


is just the gradient vector eld of a scalar eld, in Physics jargon. How about the other two cases?

3.8 Change of Variables


It is going to be necessary to do for 1-forms and 2-forms what we did earlier for functions (0-forms), namely to work out how they behave when we do transformations and stretchings and such things to the manifold we integrate over. This is actually easier than for functions, because the orientation business makes it simpler. First, suppose we have a curve in R 2, say c : a b] ;! R 2 and that the interior of the curve is called D. I shall call this the X-Y space. Now suppose that D is actually the image of the unit disk B 2 in R 2 by a map g : R 2 ;! R 2 which is smooth and one-one. The general situation is shown in gure 3.4. I shall call the domain of g the S-T space.

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CHAPTER 3. 1-FORMS AND 2-FORMS ON R 2

3.8.1 1-forms
Given a 1-form F on the X-Y space and a desire to make our life simpler, instead of integrating F around the perimeter of D, we could try to integrate the composite form F g around the unit circle in the S-T space. This is, after all, a neat way of nding areas and suchlike, so we ought to be able to make it work for forms. Suppose the 1-form is given by

F = P (x y) dx + Q(x y) dy
and the map g is given by

g(s t) = (x(s t) y(s t))


Then it is easy to change to get

P (x(s t) y(s t)) dx + Q(x(s t) y(s t)) dy


and the question is, what do we do about turning the dx and the dy into suitable functions of ds and dt? We study what is going on here by the usual method which mathematicians use to gure out what is going on in complicated cases, namely, forget about the hard problems, and study a really easy one6. We examine the simplest case I can think of that isn't too trivial, and that is when g(s t) = (as bt) for some positive numbers a b. This map, as we well know, merely stretches the X-axis by a factor of a and the Y-axis by a factor of b, turning the circle into an ellipse. Then it is easy to see that the dx ought to be a ds and the dy ought to go over to b dt, because that is the amount of alteration we do to the length of little ss and ts, and so we ought to have that, for say
Having solved the easy problem, they are then expected to go back and use the approach developed with the easy case to solve the hard case. Sometimes they forget.
6

3.8. CHANGE OF VARIABLES

103

the 1-form F = (x22 ; y2o dx + (x2 + y2) dy and E being the ellipse ) n 2 : x2 + y2 = 1 , the integral of this form over E ought, if (x y) 2 R a2 b there is any justice in life, to be Z ((as)2 ; (bt)2) a ds + ((as)2 + (bt)2) b dt 1
S

Well, there isn't much justice in life, but if you put s = cos t = sin and integrate Z2 ((a2 cos2 ; b2 sin2 )a(; sin ) + (a2 cos2 ; b2 sin2 )b cos ) d then you are doing the integral in the domain space, Alternatively, you can parametrise the ellipse in the X-Y space by putting x = a cos y = b sin , and dx = ;a sin d dy = b cos d and you come out with d d exactly the same integral. So there is some justice in life7. In our endless quest for clarity and understanding, we now take the next and last but one step. We try it for a linear map g given by " # " #" # x = a u s g(s t) = y b v t and look to see what it does to our 1-form Pdx + Qdy. Thinking about the idea of little xs and ys and what the map will do to them, we come out with the rule: " # " #" # dx = a u ds dy b v dt So we deduce that given the above map g, and given c a curve in the S-T space, and any 1-form P (x y) dx + Q(x y) dy, we have Z P (x y) dx + Q(x y) dy = g(c) Z P ((as + ut) (bs + vt))(a ds + u dt)+ Q((as + ut) (bs + vt))(b ds + v dt)
c
7

So you'd better be careful.

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CHAPTER 3. 1-FORMS AND 2-FORMS ON R 2

In particular, if u = b = 0 this agrees with our last result, and if we interchanged the S and T axes, we also get the right result.

Exercise 3.8.1.1 Check That last claim carefully!


Finally, suppose g is just some smooth map which deforms the S-T space in some more interesting manner. What should we do? Well the P and Q behave just as you'd expect, they just get composed with g. The ds and dt get treated in precisely the above manner, they get multiplied by a matrix which depends on where you are in the ST space, the matrix being, you guessed it, the derivative of g. This important result is not surprising if you think it through carefully, and it merely generalises simple rules you have known for a while now. It is worth stating carefully however:

Theorem 3.8.1 1-Forms and Maps


If c is a curve in the S-T space and g : R 2 ;! R 2 is a smooth one-one map of the S-T space into the X-Y space, written g(s t) = (x(s t) y(s t)) and if P (x y) dx + Q(x y) dy is a 1-form on the X-Y space, then

P (g(s t))( @x ds + @x dt) + Q(g(s t))( @y ds + @y dt) @s @t # " @s @t c # Z" @x + Q(g(s t)) @y ds+ P (g(s t)) @x + Q(g(s t)) @y dt = c P (g(s t)) @s @s @t @t

g(c)

P dx + Q dy =

# " # ) Z (" @x + Q(g(s t)) @y ds + P (g(s t)) @x + Q(g(s t)) @y dt d = P (g(s t)) @s @s d @t @t d c

3.8. CHANGE OF VARIABLES

105

The important thing to note is that the ds and dt transform quite simply and in an obvious way according to the derivative of g, when the functions P and Q are transformed according to g. If you'd had to guess, this is probably what you'd have guessed anyway. Certainly, the more you think about it, the more reasonable it seems.

Example 3.8.1.1 Problem


Let c( ) = (s( ) t( )) = (cos sin ) for 0 =2 be a curve in the S-T space and let g(s t) = (x(s t) y (s t)) be de ned by

! ! s 7;! s3 t t3

Let F = (x2 ; y2)dx + (x2 + y 2)dy be a 1-form on the X-Y space. Integrate this form over g(c)

Solution
The problem is to integrate the form (x2 ; y2) dx + (x2 + y2) dy over the path ( ) = (x( ) y ( )) = (cos3 sin3 ). We can either use the given parametrisation or we can think of it as: #" # " # " # " # " ds x(s t) = s3 ) dx = 3s2 0 2 3 0 3t dt y(s t) t dy In this case we write the solution as

=2

which is the same thing.

((cos6 ; sin6 )3(cos2 ) ; (cos6 + sin6 )3(sin2 )) d

Big Deal.

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CHAPTER 3. 1-FORMS AND 2-FORMS ON R 2

Exercise 3.8.1.2 Repeat the above argument for the case where g(s t) = (x(s t) y(s t)) = ((s3 ; t3) (s3 + t3))

3.8.2 2-forms
There is no extra brain-strain in handling 2-forms. We jsut use the derivative to x up dx and dy and use the fact that

dx ^ dy = ;(dy ^ dx) and we are done. This obviously ought to be right from our intuitive notions of what the two form is, an in nitesimal amount of twist associated with a point, frequently although not necessarily obtained by integrating around a little loop in a vector eld and dividing by the area of the loop. There is a little tidying up to be done using the properties of ^ . The following theorem is, however, easy to believe:

Theorem 3.8.2 2-forms and maps


If U is a region in the S-T space and g : R 2 ;! R 2 is a smooth one-one map of the S-T space into the X-Yspace, written

g(s t) = x(s t) y(s t))


and if is a 2-form on the X-Y space, then

P (x y) dx ^ dy
g(U )

P dx ^ dy =

P (x(s t) y(s t))( @xds + @x dt) ^ ( @y ds + @y dt) @s @t @s # @t U " Z = P (x(s t) y(s t)) ( @x @y ) ; ( @x @y ) ds ^ dt @s @t @t @s
U

3.8. CHANGE OF VARIABLES

107

This gives the result of multiplying by the determinant of the matrix when g is a linear transformation. Note that we do not take the absolute value, since if the map reverses the orientation, we want to know about it! It would mean we are going in the opposite direction. Note that it has, in general, the Jacobian occurring as a multiplying factor, just as for the integration of functions or 0-forms, but without the absolute value operation- again, to preserve information about the orientation.

3.8.3 Some simple rules


The above sums were not particularly hard, and we used only a few simple principles in doing them. It is worth making a list of what we assumed here. 1.

dx ^ dy = ;dy ^ dx
2. It follows that 3. for any numbers a,b.

dx ^ dx = 0 a dx ^ b dy = ab dx ^ dy

4.

df = @f dx + @f dy @x @y

5.

! @P dx + @P dy ^ dz d(P dz) = @x @y
for any z.

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The associativity, distributivity and linearity of the various operations are also generally taken for granted too: things like d(f + g) = df + dg are probably worth your while extracting carefully from the text book or these notes.

3.8.4 What a di erential form?


is

Students are sometimes puzzled to know exactly what a di erential form is. There are a number of di erent answers to this question. The question is a good one and demonstrates some maturity of thought. One answer is:

De nition 3.8.1 A di erential form on a di erential manifold is a


smooth section of the alternating tensor bundle of the manifold.

This is true but not very helpful. It raises more questions than it answers. It suggests that if you de ne `di erential manifold' and `alternating tensor bundle' (which could involve more terms you have never heard of) you will eventually nail the idea down. On the other hand, this could take quite a while. Another answer is: what do you care what a thing is? With mathematics, what you do is learn how to recognise certain kinds of thing and you learn what you can do to them. Do you know what a number is? If you were to ask for a de nition of a number, I could give you one which would be about as helpful as the de nition of a di erential form:

De nition 3.8.2 A (real) number is an equivalence class of cauchy


sequences of rational numbers.

Now you have been using real, that is decimal, numbers for yonks, and at no time did you need to know what one was you needed to be able

3.8. CHANGE OF VARIABLES

109

to recognise them, and to know what you can do to them, and how to do it. What you can do is to add them, subtract them, multiply them, and divide any one by another as long as the other isn't zero you can also tell when one is positive or negative. And this is all you need to be able to do. It is all it is possible to do with real numbers know this and you know, in a certain sense, all there is to know about them. It has certainly been enough to keep you busy and usefully employed over the years. Pure Mathematicians are people who want to know what things really are, Applied Mathematicians only want to know how to use them. So we are taking an Applied point of view here. To recognise a di erential form you look to see if it has dx or dy or dx ^ dy or similar sorts of things at the right hand edge of it. And what you do is to integrate them over manifolds or calculate the exterior derivative of them. Each form is a k-form for some k, and you can work out what the degree of the form is. k-forms get integrated over k dimensional manifolds. This isn't very precise, but it is good enough for engineers and applied mathematicians. It was good enough for the guys who invented the things the Pure Mathematicians came along and tidied up a long time afterwards. We are all quite grateful to them, because they showed us how to make it easy to learn the stu , but (and this is typical) Pure Mathematicians only swept the streets after someone else had built them. They are useful people to have around, they are good at clear thinking. But the things they think about are not exciting to most people. There are therefore two ways of understanding di erential forms, the abstract or Pure Mathematical one, and the Instrumentalist or Applied Mathematical one. But there is a second question which you ought to ask about di erential forms, which is: Why does anyone care about di erential forms? learning how to recognise them, integrate them over manifolds and compute the exterior derivative is a fair amount of work. Why bother? The answer to this can be worked out by thinking about the same

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CHAPTER 3. 1-FORMS AND 2-FORMS ON R 2

question for numbers, or any other mathematical object. They are useful for handling reality. If they weren't, nobody would bother with them. Pure Mathematics is a fun game, but nobody would pay Pure Mathematicians, even the small sums they do get, if the stu wasn't useful. A deeper understanding of di erential forms comes from using them to describe physical systems. This is what numbers are for too you understand real numbers a lot better if you measure lengths and areas than if you just learn to do arithmetic. 1-forms you already know about they are just vector elds in all the cases you are going to meet. How about 2-forms? How can you use a 2-form for describing a physical system? Well, probably the easiest case to think about is the pressure in a liquid. There are many other cases, but this is a practical consideration in many areas, so let's look at it. It requires that we work in R 3, or a bit of it, but this will not alarm you if you are smart enough to be worried about these matters. If you go down under the ocean in a bathysphere, the water is pressing down on the outside of the bathysphere, and the amount of press, the pressure, increases as you go deeper. Let's simplify by assuming that the water is at rest, which is not quite true, but it will make thinking about the issues easier. Now what exactly do we mean by the `pressure'? How would we measure it? As you know, we measure it in pounds per square inch if we are American, or HectoPascals if we are European or Australian. So what do you do? Well you take a square inch of bathysphere and look at the force on it. In pounds weight, say. If it seems that the pressure is changing across the square inch, we take a tenth of a square inch, measure the force in pounds, and multiply by ten to get the pressure. If you want to do it in kilograms per square centimetre, go ahead. If you do this under water in your bathysphere, you might ask if it matters where you put your square inch. A square inch, ought to be

3.8. CHANGE OF VARIABLES

111

a little thing about as big as a postage stamp, and the centre of it is the place where the pressure is being measured, but what about the question of what direction the postage stamp is in? The postage stamp has, let's suppose, a sticky side and a printed side. Let's imagine a needle sticking out of the printed side. The direction in which the needle points gives us information about the orientation of the square inch. Does pressure vary depending on what the orientation is? Well actually, it doesn't, but there are other things besides pressure, which very well might. Let's call such a thing a Meta-Pressure. The fact that pressure is a particular sort of Meta-Pressure where the orientation is irrelevant, is a fact about water that is at rest. It doesn't have to hold for all things that we might want to measure by sticking a little square inch into the world and looking at the force on it. For some of those things, the orientation could make all the di erence. It certainly would if the water were moving, for instance. In a sense, the pressure acts on the square inch and is always normal to it, so the numerical value we get out doesn't depend on the orientation. Even this is not quite true. If the square inch is under water on the wall of our bathysphere, if it is horizontal, the pressure is not changing over the square inch. Chop the square inch up into hundredths, measure the pressure on each hundredth of a square inch, and it will be the same. If the square inch is vertical, this won't be true the pressure on the top of it will be lesss than the pressure on the bottom. Not much in water, but a bit. So the total pressure on our square inch will be an average over smaller bits of it, and so on. We clearly need the idea of the pressure at a point, but at the same time, pressure has something to do with area, and Meta-Pressure has everything to do with orientation of the area. Well, if we take a teeny-weeny, itsy-bitsy, in nitesimal postage stamp, with sides ds and dt, and if the system is the usual right hand frame we can write this as ds ^ dt, and if we have for each point x,y,z in R 3 a number associated with a particular orientation of the in nitesimal postage stamp, we can specify the orientation by having some amount of dx ^dy, some amount of dx ^ dz, and some amount of dy ^ dz. Then sticking the ds ^ dt stamp in is given by the parametrisation of

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CHAPTER 3. 1-FORMS AND 2-FORMS ON R 2

a surface in general, say the bathysphere. And the 2-form P (x y z)dx ^ dy + Q(x y z)dx ^ dz + R(x y z)dy ^ dz is exactly what we need to talk about the Meta-Pressure. It is dimensionally right, because it has the little area built into it, so it is a measurable force which is associated with an in nitesimal area the total force on a surface will be obtained by integrating the Meta-Pressure 2-form over the surface. So if you think of a 1-form as being pretty much a vector eld, a 2-form is rather like a generalised pressure. This is not too di erent from a vector eld, of course, but it is nice to have the in nitesimal area in there telling us that it acts over areas, whereas our vector elds just act at points and have nothing to do with areas, but lots to do with directions. This is why we integrate 1-forms along curves, but 2-forms over surfaces. They are easily muddled in R 3, because each surface has a unique normal direction at each point, but they correspond to physically di erent kinds of things, and the physical di erence is brought out quite nicely by the notation. Good notations do this they make it harder for you to stu up. Also, if you start looking at these things in R 4, the 1-forms are speci ed by four functions giving projections on the axes, while 2-forms need six functions because they are associated with pairs of axes. I shall come back to water and pressure later it should be noted that because the pressure is always normal to the surface, we can consider it to be a simple scalar eld, or 0-form, on the region occupied by the water. This requires us to distinguish between the pressure as a 0-form and the pressure thrust as a 2-form. If you want to know about 3-forms, you now know the right kind of question to ask: it is not `What is a 3-form?' The right question is: `What is an example of a physical system where it would be natural and useful to use a 3-form to describe it precisely?'. I leave you to nd one. It must be something associated with in nitesimal volumes. Please note that it is very easy to ask the wrong questions. A huge

3.8. CHANGE OF VARIABLES

113

amount of thought goes into asking the right ones. Usually one asks the wrong ones and keeps stu ng up until one nds a better question. To ask `What is a di erential form?' is a good question, but to ask `What does one use di erential forms for?' is a better one. Most philosophical sounding questions are the wrong ones. most engineers have good instincts which tell them these are not the right questions you can't make a buck out of the answers. But only the best engineers can ask the right questions, and asking the wrong ones rst is a necessary step. That's enough Philosophy for the rest of the course.

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CHAPTER 3. 1-FORMS AND 2-FORMS ON R 2

Chapter 4 Forms on
R

4.1 Some examples of Exterior Derivatives


Just to drive some points home which are at the heart of the course, (we are now entering the lower ventricle, kindly ensure your seat belts are fastened), some examples:

Example 4.1.0.1
1. Let f : R 3 ;! R be de ned by f (x y z) = x2y + y 2z + z 2 x. What is df ?

Solution

2 2 2 2 2 2 y2 y2 y2 df = @ (x y + @xz + z x) dx+ @ (x y + @yz + z x) dy+ @ (x y + @zz + z x) dz

= (2xy + z2) dx + (x2 + 2yz) dy + (y2 + 2zx) dz


2. For the same f , what is d2 f ?

Solution

115

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CHAPTER 4. FORMS ON R 3
ddf = d2f @ (2xy + z2) dx ^ dx + @ (2xy + z2) dy ^ dx + @ (2xy + z2) dz ^ dx @x @y @z 2 + 2yz ) 2 + 2yz ) 2 + 2yz ) @ (x dx ^ dy + @ (x @y dy ^ dy + @ (x @z dz ^ dy @x 2 + 2zx) 2+ 2+ @ (y dx ^ dz + @ (y @y2zx) dy ^ dz + @ (y @z 2zx) dz ^ dz @x 0 + (;2x)dx ^ dy + (;2z)dx ^ dz (2x)dx ^ dy + 0 + (;2y)dy ^ dz (2z)dx ^ dz + (2y)dy ^ dz + 0 0

= + + = + + =

The change of sign as we swap dz ^ dy with dy ^ dz and so on, and the writing out of the dx ^ dx terms despite their being zero is ridiculously ine cient and the thing can be speeded up considerably with a bit of practice. I'll leave out the intervening steps next time: 3. The 1-form F on R 3 is de ned by:

F = (3x2yz) dx + (xy2 + z2) dy + (x2yz2) dz What is dF? Solution


dF = + + = + +

;(3x2z) dx ^ dy + ;(3x2y) dx ^ dz (y2) dx ^ dy + ;(2z) dy ^ dz (2xyz2) dx ^ dz + (x2z2) dy ^ dz (y2 ; 3x2z) dx ^ dy (2xyz2 ; 3x2y) dx ^ dz (x2z2 ; 2z) dy ^ dz

4.1. SOME EXAMPLES OF EXTERIOR DERIVATIVES

117

4. The 2-form F on R 3 is de ned by: F = (3x2yz) dx ^ dy + (xy2 + z2) dx ^ dz + (x2yz2) dy ^ dz

Solution dF = (3x2y) dz ^ dx ^ dy+(2xy) dy ^ dx ^ dz+(2xyz2) dx ^ dy ^ dz = (3x2y ; 2xy + 2xyz2) dx ^ dy ^ dz 5. The 2-form G on R 3 is de ned by: G = (y2;3x2z) dx ^ dy+(2xyz2;3x2y) dx ^ dz+(x2z2;2z) dy ^ dz What is dG? Solution
dG = ;3x2 dx ^ dy ^ dz ; (2xz2 ; 3x2) dx ^ dy ^ dz + 2xz2 dx ^ dy ^ dz = 0
The above examples should be thoroughly understood by the traditional method of imitating them on k-forms of your own choosing, for various k, on R n for various n. The following things should emerge:

What is dF?

d2f = 0, for any k-form f . The number of functions needed on R 2 to describe a 0-form is 1, to describe a 1-form is 2, and to describe a 2-form is 1 again. The number of functions needed on R 3 to describe a 0-form is 1, to describe a 1-form is three, to describe a 2-form is three, and to describe a 3-form is 1 again. You may notice something about these numbers.

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CHAPTER 4. FORMS ON R 3
An implication of the above is that 2-forms on R 2 are pretty much the same as ordinary functions or 0-forms likewise 3-forms on R 3 are pretty much just functions. 1-forms and 2-forms on R 3 are pretty much both the same thing as vector elds. Just what `pretty much' means is open to some debate however.

If they do not emerge, it is because you have been doing something WRONG and should reform immediately.

4.2 Closed and Exact k-forms


You can probably see how to write down a general k-form on R n for huge k n and also how to take exterior derivatives. This is a harmless exercise, if a little pointless as far as you are concerned. It should be obvious that we can de ne what we mean by exact forms for any k: a k-form G is exact i there is a (k ; 1)-form F such that G = dF. We can also de ne closed k-forms: A k-form G is closed i dG = 0. This means that the derived form is actually the zero form. Last time we de ned a closed 1-form on R 2 as one which had integral around any loop equal to zero. Well, if F is closed in the new sense, it has a derived 2-form which integrates over any area to give zero which is the same as the integral around the loop bounding the area. Conversely, if the integral of the derived form is zero no matter what region we integrate it over, then it must be the zero 2-form, if life is to play fair with us. So the two de nitions of `closed' are the same in the case of 1-forms. The discovery that d2 = 0, taking d(df ) and nding out that it is always zero, tells us that every exact form is closed. The question as to whether every closed form is exact is open to your informed speculation.

4.3. STOKES' THEOREM

119

4.3 Stokes' Theorem


4.3.1 History
This theorem appears to have been rst noted by William Thompson, otherwise Lord Kelvin in 1850. Proving it was set as a question on the Smiths Prize Examination paper for 1854, at Cambridge, an examination taken by the best mathematicians of the day. Stokes set the exam. It has become known as Stokes' Theorem just as Alzheimer's disease is called Alzheimer's disease, not because Alzheimer was the rst person to get it, but because he was the rst person to publish it. Stokes didn't even publish a proof, although Kelvin did and so did Maxwell. My information here is taken from Michael Spivak's book Calculus on Manifolds, Spivak being a contemporary Mathematician of some stature. Stokes' Theorem is just what Green's Theorem is called in dimension three. Green's Theorem, you will recall, is about going around the boundary of a disk embedded in R 2 and integrating a 1-form over the boundary. This, says Green, is the same as what you get if you integrate the derived 2-form over the disk itself. A sexier version let you have lots of disks, possibly with holes in them, but the extension is not too hard. We shall get there shortly.

4.3.2 Integrating 1-forms and 2-forms in R 3


It is not hard to visualise a curve in R 3, and integrating a 1-form on R 3 over the curve should not be essentially di erent from doing it for a 1-form over a curve in R 2. You can take a disk or a rectangular region and embed it in R 3, as when you drop a piece of kleenex on your head. This also embeds the boundary of the disk or rectangular region, a circle or rectangle, in R 3.

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CHAPTER 4. FORMS ON R 3

You will have noted that 1-forms get integrated over 1-dimensional things, namely curves, 2-forms get integrated over 2-dimensional things such as surfaces, and we can reasonably guess that 3-forms will get integrated over volumes. This is true, and easy to remember. We know how to integrate 2-forms over regions like disks and squares in R 2, it's just good old double integration. Kid's Play. You may also throw your mind back to integrating ordinary functions de ned on R 3 over surfaces. Recall nding the average temperature of a ramp in R 3:1 Recall that we had a quite successful strategy in doing such integrals of ordinary functions. It goes like this: To integrate a function over some curved and curly surface M in R 3, First express your surface as the image by a smooth embedding of a nice, easy surface, preferably a square or a disk i.e. a subset of R 2 , embedded in R 3. In other words, parametrise the surface. You may have to do it with several disks having overlap of measure zero, but that's OK. Suppose M = g(D) and g is the embedding. Pull back your function f on the surface M to a function f g on D there is a stretching factor involved here which must be considered. We already know how to integrate functions on bits of R 2. Do it! This gives the integral of the function in R 3 over M . The question now is, can we do the same for 2-forms as for 0-forms on surfaces in R 3? The answer is yes, but there are di erences, because 2-forms aren't functions, and we have to worry about more than just
If you skipped that one as too hard for your poor little brain, you made a big mistake. Go back to square one do not pass GO, stick your nose in the electricity socket and switch your brain to the ON position.
1

4.3. STOKES' THEOREM

121

the area stretch, we also have to worry about the orientation. This makes things easier rather than harder, and you will be pleased to hear that we have done almost all the work in the last chapter. Let's look at the case of a two form in R 3 and let's think about integrating it over the unit square, I 2, embedded in R 3 at height zero, i.e. over the surface f(x y z) 2 R 3 : 0 x 1 0 y 1 z = 0g. For de niteness, let's try out the 2-form F = (y2 ; 3x2z) dx ^ dy +(2xyz2 ; 3x2y) dx ^ dz +(x2z2 ; 2z) dy ^ dz and try to integrate it over I 2. I shall write P = (y2 ; 3x2z), Q = (2xyz2 ; 3x2y) and R = (x2z2 ; 2z) for purposes of referring to the di erent parts of the 2-form. Now it is pretty clear that the last two components, Q R, are not going to have any e ect on the integral, and we need worry only about the rst2 part, P . In fact the answer ought, on any reasonable basis, to be Z (y 2 ) since z = 0. This is just
D

Z y=1 Z x=1
y=0 x=0

y2 dx dy

Which is just 1=3. The answer to integrating a k form over a kdimensional manifold jolly well ought to be a number, and it is. Moreover, it's a reasonable number, because for x y in the unit interval and z = 0, the amount of twist over the unit square should be between 0 and 1 from a glance at the function P . Now we are ready to consider what happens if we stick the unit square into R 3 at an angle. Obviously there will now be a contribution from the Q and R components of the 2-form in general. First we stick it into
If you doubt this, and why not?, just think of drawing little squares, integrating the function over the squares, and adding up the values. When the square is in the dx dy plane, We integrate the P (x y z )dx ^ dy part of it and ignore the other components. And similarly for the other bits.
2

122

CHAPTER 4. FORMS ON R 3

the space by a linear map. Using s t for the parameters, suppose we send it to R 3 by the matrix 2 3 a u 6b v7 4 5 c w Now there is a stretching to be considered and also the projection of each component of the twist on the embedded parallelogram. Both will involve a dot product. We can take care of everything in one go by writing out the following equations: x = as + ut dx = a ds + u dt y = bs + vt dy = b ds + v dt z = cs + wt dy = c ds + w dt Now we work out the form F = (y2 ; 3x2z) dx ^ dy +(2xyz2 ; 3x2y) dx ^ dz +(x2z2 ; 2z) dy ^ dz composed with the embedding given by the matrix by putting dx ^ dy = (a ds + u dt) ^ (b ds + v dt) = ab ds ^ ds + av ds ^ dt + ub dt ^ ds + uv dt ^ dt = (av ; ub) ds ^ dt We also need to do this with the terms dx ^ dz and dy ^ dz since they will not be othogonal to the parallelogram now. And we add everything up to get the right answer. This leads to : dx ^ dz = (a ds + u dt) ^ (c ds + w dt) = (aw ; uc) ds ^ dt dy ^ dz = (bds + vdt) ^ (c ds + w dt) = (bw ; vc) ds ^ dt Now we can pull back the form via the linear map speci ed by the matrix to get the right 2-form over R 2. This gives us Z P (L(s t))(av ; ub) + Q(L(s t))(aw ; uc) + R(L(s t))(bw ; vc)] ds^dt I2

4.3. STOKES' THEOREM

123

where L is the map speci ed by the matrix. This works out to: Z ((bs + vt)2 ; 3(as + ut)2(cs + wt))(av ; ub) I2 + ((2(as + ut)(bs + vt)(cs + wt)2 ; 3(as + ut)2(bs + vt))(aw ; uc) + ((as + ut)2(cs + wt)2 ; 2(cs + wt))(bw ; vc) ds ^ dt This is a polynomial in two variables, s and t, which is now directly integrable as a straight function of two variables.

Exercise 4.3.2.1 Do it!


Notice that the rst case we investigated had a = 1 v = 1 and all the other numbers zero, which just gives Z t2 ds dt = 1=3 I2 which is correct. The second case had a and v positive numbers, all the rest zero, which gives Z (vt)2(av) ds dt 2 which is also correct.
I

Note also that this is just a minor extension of the change of variables formula in the last chapter. We are doing exactly the same but we have a slightly higher dimensional space we are going to. The only step remaining is to deal with the case where the embedding is not linear but is smooth and is locally replaceable by the derivative of the map which embeds the disk or square to get the surface. We need only replace the numbers (a b c u v w) by the corresponding partial derivatives. This leads to the formula:

124
embeds D in R 3 , and if

CHAPTER 4. FORMS ON R 3

Theorem 4.3.1 If D is a disk or rectangle in R 2 and g : R 2 ;! R 3


P dx ^ dy + Q dx ^ dz + R dy ^ dz P dx ^ dy + Q dx ^ dz + R dy ^ dz
is a 2-form on R 3 , then

g(D)

is:

P (g(s t)) ( @x ds + @x dt) ^ ( @y ds + @y dt) @s @t @s @t D @x ds + @x dt) ^ ( @z ds + @z dt) +Q(g(s t)) ( @s @t @s @t @y ds + @y dt) ^ ( @z ds + @z dt) +R(g(s t)) ( @s @t @s @t

The last expression can be obtained by saying that what we do is to calculate the di erential terms from: 2 3 2 @x @x 3 " # @s @t 6 dx 7 = 6 @y @y 7 ds 4 dy 5 4 @s @t 5 dt @z @z dz And then using the properties of the ^ operation, it is straightforward to reduce the expression to a straight oriented double integral with a function followed by ds ^ dt.
set to the northern hemisphere of the unit sphere in R 3 by the map g : B 2 ;! R 3 q (s t) 7;! (x = s y = t z = 1 ; (s2 + t2))
@s @t

Example 4.3.2.1 Let the unit disk in R 2, B 2 = fx 2 R 2 : kxk 1g be

This can also be thought of as the graph of the function z = 1 ; (x2 + y 2) if you nd that simpler.

4.3. STOKES' THEOREM

125

Let the 2-form F be de ned on R 3 by: F = (y2 ; 3x2z) dx ^ dy +(2xyz2 ; 3x2y) dx ^ dz +(x2z2 ; 2z) dy ^ dz Integrate F over the image of g, i.e. over the northern hemisphere of the unit sphere in R 3 .

Solution We rst work out the terms one at a time:

2 3 2 3 s 6 7 t 7 6x7 = 6 6 7 4y5 6q 7 4 5 z 1 ; (s2 + t2) 2 1 0 2 3 2 @x @x 3 " # 6 dx @s @t 0 1 6 dy 7 = 6 @y @y 7 ds = 6 6 4 5 4 @s @t 5 dt 6 4 p ;s @z @z dz p1;;st2+t2 ) @s @t 1;(s2 +t2 ) (

3 7 " ds # 7 7 7 dt 5

F = (y2 ; 3x2z) dx ^ dy + (2xyz2 ; 3x2y) dx ^ dz + (x2z2 ; 2z) dy ^ dz = P dx ^ q + Q dx ^ dz + R dy ^ dz dy P 7;! (t2 ; 3s2 1 ; (s2 + t2)) Q 7;! (2st(1 ; (s2 + t2)) ; 3s2t) q R 7;! (s2(1 ; (s2 + t2)) ; 2 1 ; (s2 + t2)) dx ^ dy 7;! ( @x ds + @x dt) ^ ( @y ds + @y dt) @s @t @s @t = ds ^ dt dx ^ dz 7;! ( @x ds + @x dt) ^ ( @z ds + @z dt) @s @t @s @t t ds ^ dt = ;q 1 ; (s2 + t2) dy ^ dz 7;! ( @y ds + @y dt) ^ ( @z ds + @z dt) @s @t @s @t s = q ds ^ dt 1 ; (s2 + t2)

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CHAPTER 4. FORMS ON R 3

Figure 4.1: Stoke's Theorem, Don't Shoot the Artist...


So the whole integral becomes:

B2

q + (2st(1 ; (s2 + t2)) ; 3s2t)(;t= 1 ; (s2 + t2)) q q + (s2(1 ; (s2 + t2)) ; 2 1 ; (s2 + t2))(s= 1 ; (s2 + t2)) ds ^ dt

q (t2 ; 3s2 1 ; (s2 + t2))

Exercise 4.3.2.2 By using the Polar map P from an r ; space to the

S-T space above, convert the above integral into polar form. Con rm that ds ^ dt = r dr ^ d

4.3.3 Stokes' Theorem: Modern Dress


Stoke's Theorem in R 3 is exactly the same as Green's Theorem in R 2 and the proof is exactly the same too after all, the de nition of a 2-form is arranged to make it come true- the idea of in nitesimal squares or circles and taking the ratio of the integral around the perimeter divided by the area as being the amount of twist at a point still makes sense for

4.3. STOKES' THEOREM

127

a surface in R 3. Now if you add up the contribution from lots of squares side by side, as in gure 4.1, where the artist had enough trouble with only two squares and they are not exactly in nitesimal, you can see that the argument that says that the amount of circulation integrated over the area ought to equal the line integral of the vector eld of which the 2-form is the circulation around the boundary. Or:

Theorem 4.3.2 Stokes' Theorem, Version 1


If U is the image of a disk embedded in R 3 by a piecewise smooth map, and if f is a smooth 1-form on R 3, then

df =

@U

Exercise 4.3.3.1
1. Let f = ;y dx + x dy + 0dz be the smooth 1-form on R 3 which it is, and let U be the northern hemisphere of the unit sphere in R 3. Integrate f around the unit circle. Integrate df over the hemisphere U . Hence con rm that Stoke's Theorem works in this rather easy case. 2. If f = ;y dx + (x ; z) dy + (x + y ) dz , verify Stoke's theorem on the same manifold U . 3. Make up an embedding of the unit square in R 2 into R 3 which is (a) smooth and (b) not altogether trivial. Make up a 1-form on R 3 which is also not too simple. Verify Stoke's Theorem for your choice of form and manifold.

Example 4.3.3.1 I shall do the rst one of the above exercises as


an example, the trick is in the lay-out and after that, they are all the same until it comes to doing the integrals. First we integrate the 1-form over the boundary. The boundary is just S 1 the unit circle.

128
I choose the unadventurous

CHAPTER 4. FORMS ON R 3

STEP ONE: Choose a parametrisation of the boundary:

x = cos

y = sin z = 0 : 0

STEP TWO : Work out dx and dy and dz :

dx = ; sin d

dy = cos d

dz = 0

STEP THREE: Substitute for x y z and dx dy dz in the expression for f , and integrate over the range of the parameter:

Z2
0

(; sin )(; sin ) d + (cos )(cos ) d

Simplify:

Z2
0

1d

STEP FOUR: Evaluate the integral to get a number:

2
Next we nd the 2-form df by using the rules for the exterior derivative:

f = ;y dx + x dy + 0 dz
STEP ZERO: apply exterior derivative:

df = 1 dx ^ dy + 1 dx ^ dy + 0 dx ^ dz + 0 dy ^ dz
Simplify:

2 dx ^ dy + 0 dx ^ dz + 0 dy ^ dz

4.3. STOKES' THEOREM


STEP ONE: Choose a parametrisation of U : I choose the unadventurous application of the graph:

129

q x = s y = t z = 1 ; (s2 + t2) : s2 + t2 1
STEP TWO: Work out dx and dy and dz :

dx = ds dy = dt dz = q ;s 2 ds + q ;t2 2 dt 1 ; (s2 + t ) 1 ; (s + t )
STEP TWO-A: Work out dx ^ dy, dx ^ dz and dy ^ dz . (If you have to deal with 3-forms, you have to work out more of these things, likewise for higher order forms, should that be necessary one day!)

dx ^ dy = ds ^ dt dx ^ dz = q ;t2 2 ds ^ dt 1 ; (s + t ) dy ^ dz = q s 2 2 ds ^ dt 1 ; (s + t )
In this case there wasn't much point in working out the last two terms, because they get multiplied by zero anyway, but I am being mindlessly mechanical at the moment. STEP THREE: Substitute for x y z and for dx ^ dy dx ^ dz and dy ^ dz in the expression for the 2-form df , and integrate over the range of the parameters:

Z t=1 Z s=p1;t2

2ds p t=;1 s=; 1;t2

dt

130

CHAPTER 4. FORMS ON R 3

STEP FOUR: Evaluate the Integral to get a number :

2
The observation that the two numbers are the same nishes the veri cation that Stoke's Theorem works in this particular case.

Reducing everything to mindless computation of partial di erentiations and iterated integrals manages to conceal the ideas very e ectively. There are people who think this is a good idea, it evens things up a bit if you are thick. Notice that the computational process I have given would just as easily allow you to take f a 5-form on R 37, integrate it over the boundary of a six-dimensional ball, then calculate the exterior derivative, df , and integrate it over the whole six dimensional ball, then check to see if the two numbers were equal. It would probably take a bit longer, but it still comes down to partial di erentiation and iterated integrals, with rather a lot of both of them. You will not be asked to do this in an examination, if only because the exams are not allowed to take longer than the degree. If this doesn't make you appreciate computer algebra packages nothing will. The question rather springs to mind, is it true in dimension thirty seven for 5-forms and six-dimensional manifolds? The answer is yes.

Theorem 4.3.3 Stoke's Theorem: Version 2


If U is a smooth manifold of dimension k embedded in R n by a piecewise smooth embedding, and if f is a (k ; 1)-form on R n , then

df =

@U

Stoke's Theorem in this form was never known to poor old Stokes and really ought to be named after Cartan or deRham or one of the guys who sorted this out in the twenties.

4.3. STOKES' THEOREM

131

ematics and nd out who did rst sort out Stoke's Theorem in the above form.

Exercise 4.3.3.2 Go and nd the Dieudonne History of Modern Math-

4.3.4 Stoke's Theorem: Classical Dress


The version of Stoke's theorem I have given, and the setting out of the calculations, make it fairly straightforward to both do the sums and to see why it is going to work, at least in the three dimensional case for 1-forms and surfaces. In this particular case, the classical forms were worked out by appeal to paticular physical interpretations. This is often how theorems in Mathematics get started, before the stark simplicities are arrived at, a physicist or engineer devises a hack that works. The job of the mathematician is to throw away the irrelevancies and confusion and make it simpler. For this subsection, we work in R 3 and I put the irrelevancies back in. You can decide which you like better. The rst observation is that it takes three functions to specify a 1-form, usually thought of as a vector eld, on R 3. It also takes three functions to specify a 2-form on R 3. This suggests that 2-forms could also be thought of as vector elds, and there is an obvious way of doing this. I look at the expression dx ^ dy and I remember the standard orientation of the axes in R 3 so I identify dx ^ dy with the dz component of a new vector eld. Similarly, I identify dx ^ dz with ;dy and dy ^ dz with dx. If we do this, we can represent the exterior derivative rather ingeniously:

2 3 6P 7 F = Pdx + Qdy + Rdz 7;! 4 Q 5 R 2 @ 3 @x 5 7;! 6 @y 7 4 @ 5


@ @z

132

CHAPTER 4. FORMS ON R 3
dF 7;! 5 F 2 3 2 @ 3 P 6 @x 7 6 Q 7 @ 5 4 = 4 @y 5 @ R @z

If you nd this easier to remember than the rules I have given you, then this will allow you to do the calculation of 2-forms from 1-forms fairly rapidly. You note that it gives the right answer. You can easily see that if g : D2 7;! R 3 is a parametrisation of the surface in R 3, then at a point (s t) in the disk, the vectors 2 @x 3 2 @x 3 @s @t 6 @y 7 and 6 @y 7 4 @s 5 4 @t 5
@z @s @z @t

are tangent to the surface in two independent directions. We can de ne an outward normal to the surface to be the vector 2 @x 3 2 @x 3 @s @t v = 6 @y 7 6 @y 7 4 @s 5 4 @t 5
@z @s @z @t

and then we de ne the unit outward normal to be:

v n = kvk

When we calculate the 2-form transformed to the parameters, (s t), it is an easy calculation to see that this comes out as (5 F) v and that the integral of the 2-form over g(D2) is: Z (5 F) vds dt 2
D

Since the area stretch of the map g at the point g(s t) is precisely kvk, we can take an area measure on the image of g, g(D2) and call it

4.3. STOKES' THEOREM

133

dA. (I just de ne dA at the point g(s t) to be the factor kvk, where v = @g @g , a common shorthand for the above de nition of the normal @s @t vector v.) 2 3 2 3 2 3 P x dx If F is a vector eld, F = 6 Q 7, and if x = 6 y 7 and dx = 6 dy 7 4 5 4 5 4 5 R z dz then we can write the 1-form corresponding to F as F dx.
I can now write out Stoke's Theorem in dimension three as:

manifold with boundary) embedded in R 3 , then

Theorem 4.3.4 Stoke's Theorem, Version Three If F is a vector eld on R 3 and if U is a surface (two dimensional
Z
@U

(F dx) = (5 F) n dA
U

This does not change in any essential way how you actually calculate the integrals of 1-forms or 2-forms, but you might try both ways and see which is quicker.

Exercise 4.3.4.1
1. Suppose a surface in R 3 is given as the graph of a function f : R 2 ;! R over some region in the plane. This gives an obvious parametrisation from that region. Calculate the area stretching factor in terms of f , i.e. calculate dA in terms of ds dt and f . 2. Con rm that if g(s t) = (x(s t) y (s t) z (s y )) is a map embedding a disk U in R 3 and if F is a vector eld on R 3 , then the integral of the 2-form corresponding to d(F dx) over the image g(U ) can be written

((5 F g) ( @g @s U

@g ) ds dt @t

134

CHAPTER 4. FORMS ON R 3

Figure 4.2: Some water, lurking

4.3.5 Gauss
If you have been keeping a close watch on what is going on in the course, you will have noticed that we went from 0-forms to 1-forms and got a Stoke's Theorem out which was rather a minor variation on the fundamental theorem of calculus, whether done in R 3 or R 2. We went from 1-forms to 2-forms on R 2 and R 3, and again had a Stoke's Thorem, which was about twist and curl. Well, there isn't anywhere much to go after that in R 2, since we run out of dimensions. But in R 3 we ought to be able to go from 2-forms over surfaces bounding solid objects to integrating 3-forms through the volume. And indeed we can, and Gauss got there rst. To grasp the idea, a little excursion. First, suppose you take a large plastic bag and put it in a swimming pool. Close the bag after it has lled with water, and leave it at the bottom of the pool, lurking. Now take away the plastic bag but shade the water that used to be inside it. See gure 4.2 for a picture. Now suppose the pool is stagnant, no water ow, and no sh swim. The water just sits there. Now there is a net force of gravity on the

4.3. STOKES' THEOREM

135

water, tending to pull it down and atten it out at the bottom of the pool. There is also a pressure of the surrounding water on the surface between the shaded water and the rest, orthogonal to the surface. This is caused by the force of gravity on the rest of the water, trying to pull that down to the bottom and squash it at. These two forces balance out so that the shaded water doesn't actually go anywhere. The rst force is gravity acting on all the water inside the bag (or inside where it was), and you would have to integrate over all the water in the bag to decide how much that amounted to. The other force acts over the surface of the bag (or where the bag was) and is just the pressure of the water, as would be exerted on you if you were the same shape as the bag of water and in the same location. Now this is either one of the incredible mysteries of life that these two forces should exactly cancel out, or it's dead obvious that they have to, depending on your point of view. Anyway, this is Gauss' Theorem. It says something about integrating one thing over a volume and nding it equal to another thing integrated over the boundary of the volume. The relationship between the 2-form over the surface, and the 3-form throughout the volume, is xed up to make it all come true.

Example 4.3.5.1 Problem


Suppose the volume is the cylinder with at ends standing vertically centred on the Z axis in R 3. The radius and height of the cylinder are both one unit, and the bottom of the cylinder is at z = 0. The pressure thrust on the surface is normal to the surface and of magnitude (1 ; z ). The diagram of gure 4.3 shows the tank made of water. Calculate the total upthrust on the cylinder, and show that this is equal to the weight of a cylinder full of water of the same size.

Solution
The downthrust on the top is the area of a circle of radius 1 times the

136

CHAPTER 4. FORMS ON R 3

Figure 4.3: Some water, in a tank


pressure which is zero. The upthrust on the circular base is the area times the pressure which is 1 = . The upthrust on the cylindrical part is normal to the surface and obviously cancels out in the X and Y directions by symmetry, and the thrust is directed vertically anyway. So the total upthrust is just . The volume of water is the height times the area of the base, which is also .

Example 4.3.5.2 Problem


The tank is now placed on its side, its axis of symmetry along the X axis, and its base in the x = 0 plane. See gure 4.4. Compute the upthrust due to the pressure on the tank and show it is equal to the weight in this con guration. Show that the same results hold.

solution 1 (Bare Hands)


The volume hasn't changed and is still units. We have to integrate

4.3. STOKES' THEOREM

137

Figure 4.4: Fallen tank


the pressure over the curved portion, and show we still get the answer . Since the axis of the cylinder is the X axis, we only need to worry about the circular part, where the situation is as shown in gure 4.5. The lengths of the vectors have been scaled down to make it easier to see the idea. If we split up the circular region into little bits of arc-length and place a vector at location , we see that the length of the vector is ` = (1 ; z) where z = sin( ), and its projection in the upward vertical direction is ;` sin theta, so the amount of upthrust due to the segment of length is sin2 ; sin . We also have to turn this into an area by multiplying by a little bit of x, x. Taking sums and then limits of sums, we integrate

Z x=1 Z
x=0

=2 =0

(sin2 ; sin ) d dx

to get the total upthrust. This is

Z x=1 Z
x=0

=2 =0

1 ( 2 ; cos(2 ) ; sin )d dx 2

which comes to again.

138

CHAPTER 4. FORMS ON R 3

Figure 4.5: section of vector eld

Solution 2 (Higher Powered) We observe now that the upthrust of


the water on the cylinder is the resultant of the pressure thrust over the whole surface. We represent this pressure thrust by a 2-form. We rst parametrise the curved part of the cylinder by:

g : 0 1]

0 2 ) ;! R 3 (s t) 7;! (x = s y = cos(t) z = sin(t))

We compute the normal vector with:

2 3 2 3 0 @g = 6 1 7 @g = 6 ; sin(t) 7 @s 4 0 5 @t 4 cos(t) 5 1 2 3 0 @g @g = 6 ; cos(t) 7 @s @t 4 ; sin(t) 5

to get

We notice that this has the right sign for an inward pointing normal. Next we write our 2-form giving the pressure as if it were a vector eld,

4.3. STOKES' THEOREM


also in terms of the parameters (s t) to get: 2 3 0 (1 ; sin(t)) 6 ; cos(t) 7 4 5 ; sin(t)

139

And nally we integrate the dot product with the vertical to get the upthrust summed over the surface: 2 3 2 3 0 0 Z 1Z 2 6 ; cos(t) 7 6 0 7 dt ds (1 ; sin(t)) 4 5 4 5 0 0 ; sin(t) 1 The at ends contribute nothing to the upthrust since the normal to the surfaces are orthogonal to the vertical. Alternatively, the pressure thrust one one face is equal and opposite to the pressure thrust on the opposite face, so the sum of the contribution from the at faces is zero.

It should be fairly clear how to compute the upthrust on a more general shape now. The last approach was fairly general, but it did still project in the vertical direction at the last stage to get the upthrust. This neglects the (remote) possibility that the horizontal components don't sum to zero, so we nish up with the complete solution according to Stokes:

Solution 3: Last Version Example 4.3.5.3


We parametrise the curved surface rst with

g1 : 0 1]

0 2 ) ;! R 3 0 1 x=s (s t) 7;! B y = sin t C @ A z = cos t

140

CHAPTER 4. FORMS ON R 3

The acute reader will have noticed that this is slightly di erent from last time, because last time we wanted an inward normal, and now we are going to directly verify the Gauss Theorem, so we want the correct orientation of the boundary of a solid object, which is, by convention, outward. The next problem is to get the general 2-form for the pressure thrust of water. I have pointed out that the pressure is the scalar eld which at location (x y z) in the water has value c ; z , where c is the height of the surface with respect to the origin. In this case c = 1. Now the pressure thrust is orthogonal to any surface placed in the uid. If the in nitesimal postage stamp were placed at (x y z) and were horizontal, the direction would be given by ;dx ^ dy. The negative sign because the natural orientation of such a little element is vertically up, and the force is in the opposite direction if this is the outside of some object. If the in nitesimal object were pointing in the positive y direction, the direction of the opposing thrust would be dx ^ dz , and if it were in the positive x direction it would be ;dy ^ dz . In general, all we have to do is to add these components up. So the unit normal thrust pointing inwards over any surface can be written as: ;dx ^ dy + dx ^ dz ; dy ^ dz It follows that the 2-form describing the pressure thrust in stationary water is given by: (c ; z)(;dx ^ dy + dx ^ dz ; dy ^ dz)

(z ; c)(dx ^ dy ; dx ^ dz + dy ^ dz) where c is the height of the surface of the water. Naturally, this only makes sense under the water. Over the water, the form is zero, unless you want to count atmospheric pressure, where the rules are slightly more complicated. In our case, c = 1.
The rst job then is to integrate the form given over the curved surface this is going to require us to get expressions for dx dy dz and then to calculate the wedges of them. Rolling up our sleeves, we begin:

or

4.3. STOKES' THEOREM


x=s dx = ds y = sin t dy = cos t dt z = cos t dz = ; sin t dt dx ^ dy = cos t ds ^ dt dx ^ dz = ; sin t ds ^ dt dy ^ dz = 0 F = (z ; 1)(dx ^ dy ; dx ^ dz + dy ^ dz) = (cos t ; 1)(cos t + sin t) ds ^ dt
The integral over the surface is then given by:

141

Z t=2 Z s=1 Zt=0 2

dt Z02 1 + cos 2t sin 2t = 0 2 + 2 ; cos t ; sin t dt 1Z2 = 2 0 dt =


=
To do the rest, we need to parametrise the end disks:

s=0 cos2 t + cos t sin t ; cos t ; sin t

cos2 t + cos t sin t ; cos t ; sin t ds dt

g2 : D2 ;! 03 R 1 x=1 C (s t) 7;! B y = s A @ z=t


does the one side, and

142

CHAPTER 4. FORMS ON R 3
g3 : D2 ;! R 3 0 1 x=0 (s t) 7;! B y = ;s C @ A z=t

does the other side. To verify that we have the right orientation,

@g3 @s

0 1 0 @g3 = B ;1 C @ A @s 0 0 1 @g3 = B 0 C @0A @t 1 0 1 @g3 = B ;1 C @ 0 A @t 0

which is indeed pointing out from the cylinder. Check the other side yourself. We can do exactly the same thing with each of the at surfaces as we did with the curved surface. It would show that you are a bit thick to actually do this however, because if you do them both at once you will rapidly discover what is obvious to the thoughtful student, which is that the integrals are of opposite sign and equal absolute value so must sum to zero. Working out each of them separately takes a fair amount of time, and then adding a number to its negative gets a rather simple result. It is better to notice they are going to cancel out before wasting your valuable time doing a nasty integral. This is only one example of the general principle that a little thought can save an awful lot of time and energy. This gives the answer for the total integral. This is, of course, a number, not a vector. By Gauss' Theorem, it is equal to the exterior derivative of the form giving the pressure thrust. Let's verify that:

4.3. STOKES' THEOREM

143

F = (z ; 1)(dx ^ dy ; dx ^ dz + dy ^ dz) dF = 1 dz ^ dx ^ dy = 1 dx ^ dy ^ dz
And integrating this over the volume of the cylinder gives its volume. Which is and hence we have the right answer.

Exercise 4.3.5.1
1. Do the above calculations for a hemisphere with a at base immersed in water with the at base horizontal and at height zero, and with the same assumptions about the pressure. Show again that the upthrust is equal to the weight of the water displaced on such a sphere. 2. Take the same hemisphere but turn it sideways so that the former base is now in the Y-Z plane. Show again that the upthrust is equal to the weight of the water displaced. 3. Using the above result, show it also holds for a sphere.

Returning to the general issue of Stoke's Theorem, Suppose F = P dx ^ dy + Q dx ^ dz + R dy ^ dz is a 2-form on R 3. We take the exterior derivative of F: dF = @P dz ^ dx ^ dy + @Q dy ^ dx ^ dz + @R dx ^ dy ^ dz @z @y @z which after a bit of swapping and sign changing gives:

dF = ( @P ; @Q + @R ) dx ^ dy ^ dz @z @y @z
Stoke's Theorem in this case tells us as usual that:

144

CHAPTER 4. FORMS ON R 3

Theorem 4.3.5 The Gauss Divergence Theorem


If U is a region in R 3 which is a smooth embedding of a 3-ball, B 3, and if F is a 2-form on R 3 , then

@U

F = U dF

If we do the same translation procedure as for Stoke's theorem 3 1for 2 R forms, we get that the 2-form F comes out as a vector: 6 ;Q 7 and 4 5 P then dF = 5 F, or: 2 @ 3 2 3 @x 7 6 R 7 dF = 6 @y 5 4 ;Q 5 4 @ @ P @z When we integrate a 2-form over a surface we have to put the unit normal vector n into the expression when we translate, so this gives the classical form of the Gauss Theorem:

Theorem 4.3.6 The Gauss Divergence Theorem: Classical Dress


If U is a region in R 3 which is a smooth embedding of a 3-ball, B 3, and if F is a vector eld on R 3, then

F n dA = U 5 F dV @U

If F is a vector eld on R 3, 2 3 2 x F1(x y z) 3 F 6 y 7 = 6 F2(x y z) 7 4 5 4 5 z F3(x y z) We de ne div(F), the divergence of F, to be the function f : R 3 ;! R given by: F F F f (x y z) = @@x1 + @@y2 + @@z3

4.3. STOKES' THEOREM


and write it as 5 F. If we write the Upthrust vector as 2 3 2 x F1(x y z) 3 2 0 3 F 6 y 7 = 6 F 2 (x y z ) 7 = 6 0 7 4 5 4 5 4 5 z F3(x y z) 1;z in the above examples, equivalent to the 2-form (1 ; z) dx ^ dy + 0 dx ^ dz + 0 dy ^ dz we have that the upthrust or integral over the surface is Z (1 ; z) dx ^ dy + 0 dx ^ dz + 0 dy ^ dz
@U

145

which with the obvious s,t parametrisation used in the example becomes

x = s dx = ds y = cos(t) dy = sin(t) dt z = sin(t) dy = cos(t) dt


We therefore get the integral of the 2-form over the surface as:

Z 1Z 2
0 0

(1 ; sin(t)) (ds ^ (; sin(t) dt)

Since @P = ;1, integrating the derived 3-form is rather easy: @z Z ;1 dx ^ dx ^ dz


U

which is just the volume of the region U multiplied by ;1. And these are equal according to Stoke's Theorem, which must be true after all this trouble.

146

CHAPTER 4. FORMS ON R 3

Where did that bloody minus sign come from? Well, when I wrote down the 2-form, I was trying to model the pressure of the outside on the inside, which is the opposite way round to the obvious orientation of the boundary of a region in R 3. The pressure of the inside on the outside is directed towards the interior of the region, whereas the natural orientation of a surface bounding a region is towards the outside from the inside. So if I want to model the thing sensibly, I need to put in a minus sign when I describe the pressure eld. If you were awake, you'd have caught it, because I did it right when I dealt with the cylinder under water.

Exercise 4.3.5.2 Do the last exercise about hemispheres using the


general rule about 2-forms instead of messing about with vector elds.

4.3.6 Tying Up Stokes


There are often, in Mathematics, many ways to think about something. In this case there are a lot of ways of looking at divergence. If you imagine that the vector eld corresponding to the 2-form F is some uid owing through space, with the components 2 3 2 3 6 x 7 = 6 F1 7 F 4 y 5 4 F2 5 z F3 2 3 x 6 y 7, then integrating and if you draw a little box around the point 4 5 z the eld over the surface of the box tells you how much uid, net, is emerging from the box. Dividing by the volume of the box tells you something about the rate of production of uid inside the box. Make the box smaller and smaller,2and3we are talking about the amount of 6 x 7. If there are no souces or sinks for uid generated at the point 4 y 5 z the uid, then this will be zero.

4.3. STOKES' THEOREM

147

We often think of electric charge as concentrated on a point, and if we investigate the eld between some collection of charges, we have a vector eld telling us the strength and direction of the force on a unit charge at each point of the space. So long as we integrate over a surface without boundary which does not contain a charge inside it, we ought to get the result zero, since the divergence inside the region bounded by the surface will be zero. So Physicists and Engineers dealing with electricity use this sort of idea a lot. There is a lot more than that to the applications of these ideas to electricity, including electromagnetic theory, but I shall stop because you are mechanical and civil engineers. An important family of cases of applications of the Gauss Divergence Theorem comes up when the vector eld which gets integrated over the boundary is actually a gradient eld. Recalling the Gauss Theorem: Z Z F n dA = 5 F dV suppose we have that F = 5f . Writing the theorem out again rather clumsily by expanding the notation we get: 0 @f 1 0 @ 1 0 @f 1 Z B @x C Z B @x C B @x C @ @ @f A n dA = @ @y A @ @f A dV @y @y @U
@f @z U @ @z @f @z @U U

Evaluating the dot product on the right hand side, we get 2 2 2 5 5f = @ f2 + @ f2 + @ f @x @y @z2 This is usually written:

52f = @ f2 + @ f2 + @ f @x @y @z2
2 2 2

by Physicists and Engineers who, we are all agreed, are a scru y lot who make the language up as they go along. Since lots of vector elds that we meet in real life are gradient lds, it is not surprising that

148

CHAPTER 4. FORMS ON R 3

the expression 52 keeps cropping up. There has been a move among Physicists to write it as 4, but you don't need to know that except to avoid panic if someone springs such a notation on you one day. There are also many applications of the various forms of Stoke's Theorem all you need to do is to nd the right forms, and parametrise the right regions. The theorem works for regions which are more complicated than just disks or balls of various dimensions doing the parametrisations can be messy but the principles are obvious, or should be.

4.4 Integration of forms over manifolds


4.4.1 A Summary
Given a manifold M and a k-form F, we need the manifold to have dimension k in order to integrate F over M . M can then be parametrised by expressing it as the image of a one-one map from a ball or cube in R k . We have been doing this for k = 1 2 for some time now. If it is a really evil shape, we may have to break the manifold up into bits and parametrise each bit separately. An example is the cylindrical tank of the last section. To integrate the form is really very simple and involves reducing the integral, via the parametrising map, g say, to an integral over the kball, U . We simply compose the form F with g to get the function part of it. Now we have to replace the dxs and dys with dss and dts in the expression for the integral. The rst thing to do is to get each of the dxs and dys (and possibly dzs) separately these di erentials are transformed

4.4. INTEGRATION OF FORMS OVER MANIFOLDS


by the derivative of g in the same way as F is transformed by g: 2 3 2 @x @x 3 " # @s @t 6 dx 7 = 6 @x @x 7 ds 4 dy 5 4 @s @t 5 dt @x @x dz
@s @t

149

It would be quicker and neater to write

x = g(s) dx = D(g)ds
These deal with the case of a surface, i.e a 2-manifold. Other dimensions are done in the same way. Having obtained expressions for the dxs and dys, we substitute for these in the expression for the form. We may very well then have to simplify, using the properties of the ^ relation. This turns the original into an integration of a transformed k-form over a ball or cube in R k . I integrate this by simply forgetting about all the little ^ signs. All the various forms of Stoke's Theorem work this way, and I personally nd this a lot easier than the way this is explained in your text-book, but whatever turns you on, as they used to say in the sixties.

4.4.2 A note on i, j, k
It is often a good idea to write vectors as columns if nothing else it allows you to be ready to act on them2by matrices. This used to cause 3 x acute pain for typesetters. Putting 6 y 7 smack in the middle of a 4 5 z line caused the poor devils no end of trouble, so they refused to do it. There are three ways around this, one way is to write your vectors

150

CHAPTER 4. FORMS ON R 3

horizontally as rows. The fact that it should be a column is indicated by putting a little `T' (for `Transpose') at the end, as in 2 3 x T =6 y 7 (x y z ) 4 5 z This gets you o the hook but is a bit ugly. Still, it kept the typesetters happy. Another approach works so long as you stick to R 2 and R 3 and is hence even more useless, but was very popular about half a century ago. What you do is to declare once and for all that, in R 3, the standard basis vectors have special names: 2 3 2 3 2 3 1 0 0 6 0 7=i 6 1 7=j 6 0 7=k 4 5 4 5 4 5 0 0 1 And in R 2 we use i and j for the obvious two basis vectors. 3 has 2 This 6 x 7. the advantage that we can write xi + yj + zk instead of 4 y 5 z There are a few other minor advantages of this notation, but they are mostly obsolete. So I haven't used it. The third and by far the best way is to get rid of the typesetters, and A this is what has been done. TEXand LTEX do it far better than human beings and their complaints can be dealt with much more cheaply. One of the problems of teaching Mathematics to Engineering students is that they are also taught by engineers who got their own education from mathematicians about thirty years before. And those mathematicians got their education about thirty years before that. The use of the Exterior Calculus as I have described it was invented by mathematicians in the twenties and thirties, made it to the Physics textbooks (Gravitation, by Misner, Wheeler and Thorne does a reasonable compromise) in the sixties and seventies, and should get to be standard

4.4. INTEGRATION OF FORMS OVER MANIFOLDS

151

in Engineering courses around the rst or second decade of the next millennium. And you will probably have to explain what you are doing to your lecturer in Engineering, so you had better understand it! Making mysterious things simple is quite hard, but you don't usually get much credit for it. It is, on the whole better to go the other way as the mathematician Piet Hein explained: To make a name for learning When other roads are barred, Take something very easy And make it very hard.

152

CHAPTER 4. FORMS ON R 3

Chapter 5 Partial Di erential Equations


5.1 Introduction
A Vector Field on R is a way of assigning to each point of the space R , a little arrow telling you how fast you are travelling along a curve at each point. If I express this as a function, I can write

dx = v(x) dt where v(x) tells you the size of the arrow at the point x, and x(t) is the curve along which you are travelling so as to be travelling at speed v(x) when you are at x. This does the usual muddle of not being clear about whether x is a point on the line or a function telling you how you move along the line. Ah well, you get used to it. Anyway, we get such expressions as dy = 2y dx or x = sin(x) _ out of this by changing some variable names.
153

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We may also want to deal with the case where the vector eld changes in time, dx = v(x t) dt which gives expressions such as dy = 2xy dx or x = 3x + t _ with a few changes of names to confuse you. These are Ordinary Di erential Equations, and you meet them in all sorts of places. ODEs don't have to be on the real line, they generally are not, and what are sometimes called Systems of ODEs are just vector elds on R n for various n. They are extremely important things to understand. The reason is that we often know something about what the amount of shove is at every point in the space the rules telling you how the state of a system is changing or trying to change in time can be expressed as a vector eld. And we may know where we are starting from. Now it is very reasonable indeed to want to know what is going to happen in the future. We can hope to nd out what the time development of the system is going to be by solving the ODE. ODEs are Science's answer to the Crystal Ball or the Tarot pack, or Tea Leaves, or consulting wise men or economists, or any of the many and varied and usually dotty ways people have of foretelling the future. Since Engineers send space craft to Saturn using these methods and we get some nice pictures back to prove it, whereas most fortune tellers are scru y twits operating out of caravans, we may safely conclude that ODEs have something going for them which Tea Leaves and Crystal Balls can't match1. The solution to an ODE is a one-dimensional curve in a space of states of some system. The space gets decomposed into a whole lot of possible
And just take a look at the economy if you believe in economists, or the e ciency of business if you believe in management consultants.
1

5.1. INTRODUCTION

155

curves, each of them the future time development of some system with a particular starting point. (I am simplifying a bit here so as to deal only with initial value problems, as they are called. There are other applications of ODEs which I am skipping over.) There is an obvious generalisation of ODEs to the situation where instead of something varying in just one dimension, time in our present discussion, it can vary in two (or more) dimensions. A solution to such a problem would be some surface (or higher dimensional manifold) sitting in a space. You will be glad to hear that although the higher dimensional cases are of more practical importance, in this course we stick to lower dimensional cases where it is easier to get a feel for what is happening.

Example 5.1.0.1
I take a loop of wire and twist it about a bit. Then I dip it in soap solution and get a nice soap lm in the wire. If I hold the wire up in R 3 , there is a function de ned over the `shadow' of the loop and the lm, which tells us the height of the soap lm everywhere. More generally, I have a function from S 1 into R 3 which embeds the circle in three-space, and this extends to a function from the unit disk, D2 into R 3. The illustration of gure 5.1 shows you the possibilities. The soap lm extension is only one among an in nite number of possible extensions (blow on the lm to distort it to get some others), the question is, what made the lm choose the particular shape it did? The answer is that surface tension was busy trying to minimise the area, given the boundary. Now this is a purely local thing, like a vector eld, while the surface that you actually get is a global solution. So there ought to be a way of setting up something a bit like an ODE and nding a way to solve it which would give a solution to the soap lm problem.

There is indeed a whole body of Mathematics dedicated to precisely this sort of problem and its higher dimensional analogues, and it is called

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Figure 5.1: Blowing Bubbles the study of Partial Di erential Equations. Just as ordinary di erential equations do di erentiation of the time or some other single variable because the solution is a curve, so the PDEs have partial derivatives occurring in them because the solution will be a surface or some higher dimensional manifold. It is more complicated than ODE theory for several reasons, one of them being that the boundary of a curve is just a pair of points (unless the curve is closed, when it doesn't have a boundary), whereas the boundary of a two dimensional thing like a disk is a circle, which is a lot more complicated than a couple of points. Actually, most PDEs are so hard we don't have the foggiest ideas about how to solve them2, we can only do a few easy ones. But those we can solve are very, very, useful.
erything is at room temperature. Now I heat up the table just under the ball by applying a blow-torch, the temperature of which is rather a lot
2

Example 5.1.0.2 I take a solid ball of iron and sit it on a table. EvWell, closed form or analytic solutions in terms of standard functions are very rare, and even solutions in terms of explicit in nite series are often impracticable. But numerical methods can give us a solution to high accuracy in many cases. Determining whether the numerical solution is a stable, safe one is still under investigation.

5.1. INTRODUCTION

157

higher than room temperature, say 10000 . How does the temperature of the interior point (x y z ) of the solid ball change in time? It obviously starts o at room temperature at time zero, and then goes up fairly fast, and the closer (x y z ) is to the blow torch, the faster it goes up. It would be nice to have some details.

If I have a function f : R 2 ;! R , and if I di erentiate it, I get a (row) matrix of partial derivatives, " # @f @f @x @y It makes sense therefore to guess that if there is a (Partial) di erential equation the solution to which is a disk or ball mapped into R n , the the equation itself will have partial derivatives in it. Hence the name.

Example 5.1.0.3 It can be shown that if f : D2

;! R is a function which describes the height of a soap lm above the z = 0 plane, then provided there are no other forces but surface tension operating, and providing the function f on the boundary is not too di erent from a constant function, then f approximately satis es the condition
R2

or

@ 2 f + @ 2f = 0 @x2 @y2 fxx + fyy = 0

if this notation is more to your taste.

If2 you are told that f : S 1 ;! R is a particular function, and that @f @2f @x2 + @y2 = 0, then the instruction `solve for f ' means to nd the unique (you hope) function f : D2 ;! R which has this property and is as speci ed on S 1 = @D2.

PDE problems where we know relationships such as this locally, and we are given all values of a function on a boundary and want to nd

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the function on the interior, are called Dirichlet Problems after the man who made a speciality of tackling them in the nineteenth century. This, incidentally, was the rst bloke to work out what a function is. The ghastly function which is 1 on the irrationals and 0 on the rationals was his idea. He was German, not French as the name suggests. He was born in 1805, so this is all recent stu , only a century or so old3. Another kind of problem, not a Dirichlet problem but related is:
the other half at 0o while doing so (pity about the midway point) and then take away the freezer and the ame, the function of length giving the temperature will start o as a step function and gradually even out until the bar is a nice 50o everywhere, assuming no heat is lost to the outside world. Given information about how heat is conducted through the material, we ought to be able to compute the function at any time after t0. We think of time as the positive reals, so we know the value of the function (x t) completely at t = 0, the step function, where is the temperature, and it is known that the Heat Equation must be satis ed:

Example 5.1.0.4 If I heat up one half of a copper rod to 200o and keep

@ = c2 @ 2 @t @x2
So again we have a partial di erential equation.

Partial Di erential Equations then occur quite naturally as ways of describing Physical systems. We have two jobs to do: From a physical situation, set up the equation which describes the system
You may reasonably suspect that this is a joke. On the other hand, most of what you did in rst year was known to Newton in 1695 when he had more or less given up on Science and Mathematics as less important than Theology. The rst arti cial satellite had been invented by Newton many years before. It took the Engineers about three hundred years to catch up. Seen from that point of view, you are doing quite well.
3

5.2. THE DIFFUSION EQUATION


Solve the equation

159

We next consider some simple cases of the rst part, setting up the equation.

5.2 The Di usion Equation


5.2.1 Intuitive
In this subsection I am going to give you a loose, intuitive, sloppy approach, as done by all the best engineers and mathematicians. In the next subsection I shall do it in a more respectable algebraic manner, so as to guarantee intellectual respectability. Some people worry about thses things. Imagine, then, a long tube closed at both ends and containing a large number of bees which were put in at one end before it was closed. If x is used to measure the distance down the tube, t is the time, let f (x t) measure the density of the bees at location x and time t. To get the density of the bees at a point, we take a little bit of tube of length x centred on x, count the number of bees, and divide by x. Then we take the limit as x gets closer to zero. Anyone who objects to anything as silly as this on the grounds that the answer will almost always be zero, and that bees take up some space and aren't points, is simply refusing to enter into the spirit of things and will lose out on some innocent fun. If we put the origin, 0, at the left hand end of the tube, let N (x t) be the number of bees between location 0 and location x at time t. Then we have that : (x f (x t) = @N@x t) Now look at the bees in some such small slab, as shown in gure 5.2.

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CHAPTER 5. PARTIAL DIFFERENTIAL EQUATIONS

x x + x Escaped Bee

x + 2 x

Figure 5.2: Dynamics of a swarm of bees We suppose that the bees move about at random, quite independently except that possibly they may bounce o each other if they collide. They are just as likely to be going one way as another at any time, and they buzz around in the way that bees, atoms and small children at parties are prone to do. It is fairly plausible that the number of bees going from the slab between x and x + x into the slab to the right of it, from x + x to x + 2 x, over any time interval from t to t + t, is proportional to the di erence between the number of bees in the two slabs. The actual number of bees will depend on such things as the mean bee velocity, but if half the bees are going one way and half the bees are going another, then there will be approximately x f (x)=2 bees going right across the barrier and x f (x + x)=2 going to the left from the second slab, if the bees are going fast enough. The rate of ow of bees then past a point x will be simply proportional to the rate of change of density at x, @f . If the density is increasing, @x the bees will tend to go backwards, so N will tend to increase and we can write:

@N = c2 @f @t @x

5.2. THE DIFFUSION EQUATION

161

where N is the number of bees between 0 and x, and c2 is a positive constant telling us something about the mobility of the bees. Now we have that N is of course related to f , in fact f is the space derivative of N , f = @N . We therefore try to use these facts to say @x something about the change of density in time. Di erentiating the last equation partially with respect to x, we get: @ @N = c2 @ 2f @x @t @x2 and reversing the order of partial di erentiation, which is OK if the function f is continuously di erentiable, we get @ @N = c2 @ 2f @t @x @x2 and given that we recognise the de nition of f lurking in the equation we can nish up with: @f = c2 @ 2f @t @x2 This equation is known as the Di usion Equation in one dimension. We can con rm the reasonableness of it as a description of heat, atoms and even, to a crude approximation, bees, by experiment and argument. Experiment is more convincing to everybody except theologians and philosophers, and gives the expected answers. If you are a whiz programmer, you can set up a program where there are a number of slabs next to each other, say A B C and there are some number of bees at time zero in each slab, say NA NB NC . The rules are that that there is a jump to time 1 during which each bee makes a random choice between moving into the preceding slab (or vanishing if there isn't a preceding slab), moving into the following slab (or vanishing if there isn't one), or simply staying where it is. The probabilities of going left or right are equal. Now iterate the process for some initial distribution of the bees in the slabs and watch what happens. Eventually all the bees leave. If you want you can make it circular so there is a conservation of bees, or you can treat the end points di erently.

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You are doing a discrete simulation of the di usion equation, which is pretty reasonable for bees. Note that the continuous approximation for bees is fundamentally daft but still works, and it works even better for atoms. The chain of reasoning I have given is pretty much what the eighteenth century mathematicians did to justify the di usion of heat along a rod, the main di erence being they said it in French and left out the bees 4. Bees are reasonably well described by the Di usion Equation, but so are a lot of other things, including heat conduction (which is largely a matter of vibrating atoms), and hence the di usion equation is also known as the Heat Equation. The di usion of gases through pipes and atoms of one substance in another, from dyes in water to doping agents in silicon, are also described by the same equation. Bees are easier to visualise, but perhaps not so important in the grand scheme of things as heat conduction or atoms. Much depends on your point of view. The next stage of development of the argument is to consider a thin planar slab of bees, which can now move in two dimensions instead of being compelled to go either backwards or forwards. And the nal stage for most books is to go to the full three dimensional case, where the bees can oat free. In order to treat the two and three dimensional cases it is necessary to consider the space, R 2 or R 3, to be decomposed into little squares or boxes in a manner which is by this time rather familiar to you.
It is remarkable that the French did such a lot of the mathematics of this subject, but you don't know the half of it. Most of them weren't mathematicians, they were lawyers, medics, engineers and blokes who generally speaking did it for fun in the evenings after a hard days work. (Gauss, who was not French, was a privy councillor. If you know what a privy is, you are doubtless wondering how you counsel them, but this is your problem.) You have to have a fairly high IQ to think that this sort of thing is entertaining, but it was thought to be the sort of activity which re ective gentlemen should do. In England there weren't any re ective gentlemen, the gentlemen were horsing around killing foxes, dressing up in silly clothes and fancy hair-dos, and gambling. Much like modern Australia, except that Australians chase balls instead of foxes and aren't gentlemen. Of course, they didn't have television in those days.
4

5.2. THE DIFFUSION EQUATION

163

5.2.2 Saying it in Algebra


Watch me like a hawk here. This is tricky but cool. Suppose we have a three dimensional space and that there are bees ying around in it. Let T (x t) denote the density of the bees at location x at time t. Let U denote a region of the space (think of a solid ball shaped region if you want to visualise this), then by de nition the number of bees inside the region u at time t is just: Z T (x t) dV
U

The ow of bees ying into the region U at time t is, by de nition, @ Z T (x t) dV @t U Each bee has to y through the boundary of U to get into U . The gradient eld of T gives us the direction in which the density of bees is increasing, bees will y down the gradient just as in the one dimensional case. So the rate of ow of bees into U is just Z c25T n dA for some positive constant can be written as:
@U c2. By the

Z c2 U 52T dV

Gauss Divergence Theorem, this

Equating the two expressions for the ow of bees into U we get: @ Z T (x t) dV = c2 Z 52T dV @t U U and interchanging the partial derivative orders again: Z @T ; c252T dV = 0 U @t

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CHAPTER 5. PARTIAL DIFFERENTIAL EQUATIONS

If the integral of a continuous function f over every region U is zero, then f must be zero. Suppose it weren't zero at some point x. Then it must be non-zero in some little region around x, and if fR(x) > 0, take U to be the region around x where f is positive. Then U f > 0, contradiction. Likewise if f (x) < 0. It follows therefore that @T = c252T @t which is the di usion equation in three dimensions. Note that the argument actually works for any dimension. Now we do it for heat. Let T (x t) denote the temperature of a point x at time t in some region of R 3. This is a function T : R 3 R ;! R . It gives rise to a gradient vector eld on R n which will change in time. We write this as 5T . It matters, because heat rolls down the temperature hill. If we x, again, some de nite region U , the amount of heat in the region U in R n is given by a simple rule: the speci c heat of a solid is the amount of heat it takes to raise a unit mass of the solid by a temperature of 1o, so in a region U if we assume the speci c heat and the density are constants, and , we conclude that the heat in the region U at time t is given by Z HU = T (x t) dx and we can regard the heat ow into U as dHU = Z @T (x t) dx dt @t U
U

HU is, for a given box U , just a function of time 5.


Heat ows into the box U down the temperature gradient at a rate proportional to the conductivity of the material, K say, and the gradient
It might be a good idea to think of the amount of heat as the number of bees and the temperature as the bee density, with some constants thrown in.
5

5.2. THE DIFFUSION EQUATION

165

of the temperature, 5T , at some point x, is in the opposite direction to the heat ow. If we want to get the vector telling us the rate of ow of heat at the point x at time t, we can call it v and write

v = ;K 5T
Now the rate of ow of heat out of the box U is going to be Z
@U

v n

where n is the outward normal, which is equal, by the Divergence theorem to Z Z div(v) = ;K 5 5(T )
U U

This succession of 5s is written, with a rather shaky excuse, as 52, as before. It is clear2 that 52f is shorthand for, in the case of two variables x and y, @2f2 + @ f . @x @y2 We may therefore equate the heat ow into the box, perature T in two di erent ways:
dHU dt

to the tem-

dHU = K Z 52T = Z dt U U
Or to put it another way, Z "
U

@T @t

K 52T

# @T = 0 ; @t

Since this holds for all U , the function inside the brackets must be the zero function, and so we get the general heat equation: K 52T = @T @t

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where is the speci c heat, is the density of the material and K is the conductivity of the material. This is just the di usion equation, but you have some information about the (positive) constants and the properties of materials. Whether you prefer to think of temperature or bee density is entirely optional.

5.3 Laplace's Equation


In the case where there is no heat supplied to or leaving the object, and the system is in a steady state, we get the famous equation of Laplace: 52T = 0 which for a general function f : R 3 ;! R can be written at greater length as 2 2 2 2f = @ f + @ f + @ f = 0 5 @x2 @y2 @z2 This equation also applies to a large number of other situations: in two dimensions it applies, to a good approximation, for nearly at surfaces, to soap lms, it also applies to the electric eld produced by a set of point charges except at the charged points themselves, to gravitational elds similarly, and hence has importance in dynamics. Wherever there is some sort of minimum energy con guration there is often a function satisfying Laplace's Equation, or some equation approximated by Laplace's Equation, describing the state.

Example 5.3.0.1
The function f : R 2 ;! R given by f (x y) = x2 ; y 2 satis es Laplace's Equation everywhere. The function with f (x y) = x2+y2 does not. Any constant function does, and if g : R 2 ;! R 2 is linear and invertible, and f satis es Laplace's Equation, so does f g.

Exercise 5.3.0.1

5.3. LAPLACE'S EQUATION

167

1. Show that f (x y ) = x=(x2 + y2) satis es Laplace's Equation where it is de ned. Sketch a portion of the graph. 2. Show that f (x y ) = sin(x) cosh(y ) satis es Laplace's Equation. Sketch a portion of the graph. 3. Find two more functions which satisfy Laplace's Equation on some region in R 2 and two which do not.

It is useful to think of 52 as an operator which takes a function f : 2 R n ;! R to a new function, 5 f : R n ;! R . Then we want to know, what functions get killed by the Laplacian Operator 52? That is, which functions f get sent to the zero function by 52? Functions which satisfy Laplace's Equation are known as Harmonic Functions and the study of Harmonic Functions is called Potential Theory. Many mathematicians have spent the best years of their lives nding out things about harmonic functions, mostly just from curiosity, but the results are often very handy to engineers, so I shall mention a few of them here. First, we can see immediately that Z Z 5 5(f ) = @U 5(f ) n U

and that 5(f ) n is just the derivative of f in the direction n. So for @f a harmonic function, these are always zero. We use the notation @n for 5(f ) n If you think about what this means in dimension 2, you can see that if you draw any simple closed curve in the plane, and integrate the slope of any harmonic function f along the outward normal around the curve, you have to get zero. It follows immediately that a function such as x2 + y2 is not harmonic, since the unit circle centred at the origin @f has got @n a positive constant. It suggests that you might be luckier with something like xy or x2 ; y2 which at least has the right sort of behaviour at the origin. We can get a little more mileage out of this

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CHAPTER 5. PARTIAL DIFFERENTIAL EQUATIONS

by making it a little more complicated: if we look at two functions, f g : R n ;! R we can de ne F = f 5g. This multiplies the vector eld 5g by the value of the function f at each point. Now by straightforward manipulations:

div(F) = 5 (f 5g) = f 52g + 5f 5g


and for any vector n. If we take some region U and apply the divergence theorem to F, we get: Z Z @g 2 g + 5f 5g ) = (f 5 f U @U @ n for n the normal to the boundary, which equation is called Green's First Identity. Repeating this with the functions in the reverse order, to the vector eld g5f we get Z Z @f 2 f + 5f 5g ) = (g5 g @n
U @U

@g F n = n (f 5g) = f @ n

Subtracting this from Green's First Identity we get Z Z @g @f 2 g ; g 52 f ) = (f 5 (f ; g @ n ) U @U @ n This is called Green's Second Identity. These are useful in Fluid Mechanics for those with good memories. Now putting f = g, a harmonic function, in the rst identity we get Z Z (5f )2 = f @f U @U @ n Now suppose f is zero on @U . Then the right hand side is zero, and so the left hand side is zero too. Hence 5f = 0 and so f is constant. Since it is zero on the boundary, f = 0.

5.3. LAPLACE'S EQUATION

169

This tells us that if f is harmonic and is zero on the boundary of a region, it is zero throughout the region. If f g are two harmonic functions on U which agree on @U , then their di erence is zero on the boundary, so their di erence is zero everywhere, so the functions are equal. In other words:

Theorem 5.3.1
The solution to a Dirichlet problem for Laplace's Equation is unique if it exists.

A third nice fact about Harmonic functions is that if you take a point x and look at the value at f (x) and then take a sphere centred on x and integrate the value of f over the sphere, then the result is always equal to the value of f (x) multiplied by the area of the sphere. In two dimensions, it is a circle instead of a sphere, and the perimeter of the circle is what we must multiply by. A simpler way to put this is that the average value on the boundary of a ball is the same as the value at the centre of the ball. This result follows from integrating the directional derivative normal to the sphere around the sphere to get zero for an in nite set of spheres, and integrating. This result gives a nice parallel algorithm for nding a solution to the Dirichlet Problem for Laplace's Equation in the plane: Take a circle and suppose f is known on the circle and we want to extend it to the disk. Make a grid of processing elements, each joined to its nearest neighbours as in g. 5.3. The elements which intersect the circle are shaded: put in each element a number giving the value of the function f (x y) at that point. Put random numbers in the processing elements inside the circle, and ignore any elements outside the circle. An iteration of the system takes any element in the interior of the disk and replaces the value inside it by the average of the values of its four neighbours. Elements on the circle itself have the numbers left unchanged. We simply iterate this process. Eventually the numbers on the inside stop changing, and when they do the grid gives a discrete

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CHAPTER 5. PARTIAL DIFFERENTIAL EQUATIONS

Figure 5.3: Numerical Computation of Laplace's Equation on a Systolic Array approximation to a solution to Laplace's Equation. Anyone who likes programming can fake the parallel processing on a PC. If you don't like the precision, do it with more processing elements. If you want to generalise to something more complicated than a circle, the general principle is clear, and if you want to increase the dimension, it is easy to see how to modify the algorithm. Real hardware parallel machines (`Systolic Arrays') have been built at Stanford and Carnegie-Mellon Universities. Students of Robotics at this University have used the method in software for nding trajectories which avoid obstacles. You can try this for the problems in the next section to get out numerical solutions. They are not as neat as analytic solutions (in terms of functions) of course.

Exercise 5.3.0.2
Show that the only harmonic functions on the line are a ne (linear plus a shift) and con rm the third nice fact for this case. Con rm the third nice fact by integrating around the circle of radius r centred on (a,b), for the function f (x y) = xy .

5.4. THE DIRICHLET PROBLEM FOR LAPLACES EQUATION171

Figure 5.4: Soap Film on a rectangular wire

5.4 The Dirichlet Problem for Laplaces Equation


We cannot hope to solve the general Dirichlet Problem for Laplace's Equation, but we shall treat a few simple cases. Suppose we take a rectangle in the plane, and lift up one of the sides of the rectangle by a function. See gure 5.4. It will be useful to think of it as a wire frame. We are going to nd the equation of the soap lm which will be formed when the whole thing is dipped in soap6 . Formally, we have 0 x a 0 y b as the region U , We have that there is some unique function f : U ;! R which is unknown, but that we have:
I am simplifying here: the Partial Di erential Equation for Soap lms or area minimisation is non-linear the general problem for solving it for given boundary conditions is known as Plateau's Problem. The PDE is approximated well by Laplace's Equation provided the non-linear e ects are small, which will happen if the function f is not too di erent from an a ne function, and solving Laplace's Equation for a given boundary condition is often a good start on the Plateau Problem. From now on, I shall cheerfully talk of soap lms as if they were exactly solved by Laplace's Equation
6

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CHAPTER 5. PARTIAL DIFFERENTIAL EQUATIONS

1. f (x 0) = 0 8x 2 0 a] 2. f (0 y) = 0 8y 2 0 b] 3. f (x b) = 0 8x 2 0 a] 4. f (a y) = h(y) 8y 2 0 b] 5.
@2f @x2

+ @2f = 0 @y2

for some given function h. I have illustrated h in gure 5.4 with a nice parabolic function, but let us keep h general at the moment. The problem is to nd f , the soap lm function. I remind you that this is not being done because we care about soap, but because very much more signi cant problems can be done using the same methods, and it is useful to have clear pictures of a simple sort in your mind. The rst thing we do is make an assumption which is not immediately justi able or even reasonable, but which actually works.

Separation of Variables Suppose that the function f (x y) can be written as a product of functions of x and y separately.
Write

f (x y) = p(x)q(y) @f = q(y) dp @ 2f = q d2p @x dx @x2 dx2

Then di erentiating partially with respect to x gives

and similarly

@f = p(x) dq @ 2f = p d2 q @y dy @y2 dy2

5.4. THE DIRICHLET PROBLEM FOR LAPLACES EQUATION173


Now Laplace's Equation gives us q p + pq = 0 Or for some constant c. Thus we have reduced the partial di erential equation to two simultaneous Ordinary Di erential Equations, p = c p and q = ;c q, which we know how to solve7. The boundary conditions for these can be worked out from the boundary values for the original PDE: we have that f (0 y) = p(0)q(y) = 0, for all the y 2 0 b], and since q = 0 will not be a solution at x = a, we must have p(0) = 0. Similarly q(0) = 0 q(b) = 0. We also deduce that p(a)q(y) = h(y). You may be coming to feel that what is going to happen is that we are going to have that nice parabola at f (a y) simply scaled down progressively to zero as we reduce x to zero. This seems physically reasonable. First we solve

p = ;q = c p q

q = ;c q a familiar old face. We recall that the general solution is p p q(y) = A sin( cy) + B cos( cy) if we suppose c is positive, and we just swap p q otherwise.
Now
7

I have used the notation p and q rather casually we are di erentiating with _ respect to di erent variables here. I interpret the dot as `Di erentiate with respect to the (single) variable'. Other, sterner, folk insist that we use Newton's dot notation only when the variable is time. I have tried it in other notations, and it is longer and harder to read.

q(0) = 0 ) B = 0 and q(b) = 0 ) c = ( nb )2 n = 1 2

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CHAPTER 5. PARTIAL DIFFERENTIAL EQUATIONS


q(y) = An sin( n b y )

So we get solutions for q of the form

Going back to the equation for p, we have that

p(x) = C sinh( cx) + D cosh( cx)


is the general solution and we know that p(0) = 0 and hence that D = 0. But we now know something about c, from the boundary conditions on q, so we can conclude that for every positive integer n, there is a solution in waiting, fn(x y) = cn sinh( n b x ) sin( n b y ) These `solutions in waiting' as I have called them, exist for all positive integers n, and for all constants cn, and the sum of any set of them is also a solution-in-waiting. In order to be a real solution, we have to nd a sum of them which also satisfy the nal remaining boundary condition, they have to agree with the function h, the parabola in the gure. We cannot reasonably expect the sum of a nite collection of sine functions to be a parabola, but we can get closer and closer- we are just doing Fourier Theory. This means that

f (a y) =

1 X
n=1

cn sinh( n b x ) sin( nb y ) = h(y)

Each Fourier coe cient is cn sinh( n b x ), given by n a ) = 2 Z b h(y) sin( n y ) dy cn sinh( b b 0 b

5.4. THE DIRICHLET PROBLEM FOR LAPLACES EQUATION175

Figure 5.5: Function on the boundary If we can do the integrals, we can calculate the coe cients as far as we like, and in some happy cases we can get explicit solutions. We can get a reasonable agreement with gure 5.4 if we put b = and h(y) = sin(y). We therefore work through the following example:

Example 5.4.0.2 Problem


Let the harmonic function f : 0 1] 0 ] satisfy the following boundary conditions: 1. 2. 3. 4.

f (x 0) = 0 8x 2 0 1] f (0 y) = 0 8y 2 0 ] f (1 y) = 0 8y 2 0 ] f (1 y) = sin(y) 8y 2 0 ]

Sketch the graph of f on the boundary of the rectangle, and calculate the function f on the interior.

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CHAPTER 5. PARTIAL DIFFERENTIAL EQUATIONS

Solution The graph is illustrated in g 5.5.


We suppose that the solution is separable, f (x y ) = p(x)q(y ). This tells us that

investigate the boundary conditions, since we could always interchange x and y in the problem. Since we know that at x = 1 we have that f (1 y ) = sin(y ), we have p(1)q(y) = sin(y), which tells us that p(1) = 1 and q(y) = sin(y) is a possibility, with c = 1. In which case, and we have

p = ;q = c p q and we have no way of knowing whether c is positive or negative until we

p =1 p

is a solution in waiting. It, or some (possibly in nite) sum of such solutions, must satisfy the boundary conditions not so far used. These are straightforward: we must have p(0) = 0 p(1) = 1 and this immediately tells us that 1 A = 0 B = sinh(1) is a solution. So the nal solution is f (x y) = sinh(x) sin(y) sinh(1) It is straightforward to verify (1) that the boundary conditions are all satis ed and (2) that the function is harmonic (everywhere). Since we have a uniqueness theorem, we have produced the only possible solution.

p(x) = A cosh(x) + B sinh(x)

5.4. THE DIRICHLET PROBLEM FOR LAPLACES EQUATION177

Exercise 5.4.0.3
Verify that the given solution satis es Laplace's Equation.

If you have any soul in you at all, you will now stand up and clap for half an hour at something so wonderful.

Example 5.4.0.3 Problem


Let a square of side units be made of metal, and let three of the four sides be kept at a temperature of 0o. Let the last side have temperature sin(x) at distance x along from one end. Find the temperature at the centre of the plate when the system is in equilibrium.

Solution
e =2 ; e; =2 e ; e;

This is essentially the same as the last worked example of course. Only the names have been changed to protect the guilty8. There is a scaled version of the last solution because the plate is bigger. I have expanded the sinh function out for those of you who like to see everything in terms of exponentials.

Go on, check it out, then clap! It isn't quite as wonderful as Euler's Formula, ei = ;1, but it is pretty damned smart and can be veri ed by experiment, which is more than can be said for the Euler Formula9.
The innocent are not in need of protection, their strength is as the strength of ten, because their hearts are pure. 9 What is marvellous isn't the answer, it is that somebody of the same species as you was smart enough to gure it out, and you are smart enough to follow the argument. If this doesn't strike you as astonishingly wonderful, you are probably dead but haven't noticed yet.
8

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CHAPTER 5. PARTIAL DIFFERENTIAL EQUATIONS


Z

Figure 5.6: Function on the boundary

Exercise 5.4.0.4
1. Suppose the function f of the preceding worked examples had been modi ed so that it is de ned on the interval

; =2 =2] ; =2 =2]
and is zero along two opposite sides and is a cosine function along the other two opposite sides, as in g 5.6. Find an explicit form for the harmonic function from rst principles. 2. You have calculated the Fourier Series for a certain number of functions by now: choose some function where you have the Fourier Series already worked out and use it as an alternative to my function h(y) = sin(y ) to obtain a Fourier Series solution to your very own soap lm problem. 3. The constraints on the boundary look rather strong, and you might wonder what you could do with a case where one edge was xed to have height h1(y ) and the opposite edge was xed to have height h2(y). Deal with the case where one end of a square of side is made to have height sin(y ), the opposite is made to have height ; sin(y) and the other two are kept at height zero. Do this by

5.5. LAPLACE ON DISKS

179

nding solutions to (a) the case where three sides are zero and one side is at height sin(y ), which has been done, (b) the case where the opposite side is kept at height ; sin(y) and all other sides kept at zero and then (c) adding up the answers. After all, if two functions satisfy Laplace's Equation, so does their sum.(!) Of course, if the two functions h1 h2 are the same, there might be a quicker method, as an earlier h1 h2 are the same, there might be a smarter method, as in our earlier worked example.

5.5 Laplace on Disks


Take the map P : R 2 ;! R 2 which takes (r ) to (x = r cos y = r sin ), otherwise the polar coordinates transformation. Suppose we restrict the map to R + 0 2 ) as usual so as to make it one-one onto the plane R 2 except for a small problem at the origin. If a function f : R 2 ;! R satisi es Laplace's Equation, what equation does f P satisfy? The answer is Laplace's Equation in Polar coordinates, and it is worth knowing, because it gives us a chance to do for disks and sectors what we have just done for rectangles. The map P has derivative: " We can write: cos sin

;r sin
r cos

# #

! !" @f @f = @f @f cos @r @ @x @y sin

;r sin
r cos

Now inverting the matrix (by appealing to the Inverse Function Theorem) we get: ! !" # @f @f = @f @f cos sin ;1=r sin 1=r cos @x @y @r @

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CHAPTER 5. PARTIAL DIFFERENTIAL EQUATIONS


@ = cos @x @ = sin @y @ ; 1 sin @r r @ + 1 cos @r r @ @ @ @

Or more fully:

In particular

@f = cos @f ; 1 sin @f @x @r r @ @ 2f = cos @ (cos @f ; 1 sin @f ) @x2 @r @r r @ sin @ ((cos @f ; 1 sin @f ) ; r @ @r r @ @ 2f = sin @ (sin @f + cos @f ) @y2 @r @r r @ @ + cos @ (sin @f + cos @f ) r @r r @
When these are evaluated and added many terms cancel out and we get: @ 2f + @ 2f = @ 2f + 1 @f + 1 @ 2f @x2 @y2 @r2 r @r r2 @ 2 Now if the left hand side is zero we get the Polar Form of Laplace's Equation: @ 2f + 1 @f + 1 @ 2f = 0 @r2 r @r r2 @ 2 Which you should memorise.

Exercise 5.5.0.5
Complete the above calculation to derive for yourself the Polar form of Laplace's Equation.

5.5. LAPLACE ON DISKS

181

Figure 5.7: Soap Film on a circular wire Now suppose we have a piece of circular wire bent so that its projcction is a circle, as in gure 5.7. The shape indicated can be represented as the graph of a function h : S 1 ;! R . We assume again that a function f : D2 ;! R exists with the following properties:
1 1. frr + r fr + r12 f = 0

2. f (1 ) = h( ) 3. f (r ) = p(r)q( ) The rst is just the Polar form of Laplace's Equation, the second says that we know the value of a function satisfying the equation on the boundary of the disk, and the last says that the variables are separable. (This has the status of pious hope at this stage.) I have used the shorthand notation for the partial derivatives partly because I am crapped o with the TEX expressions for the other form, and partly because it will be good for you to have to practise with it. Putting the rst and the last together, we get

r2qp + rqp + pq = 0 _

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CHAPTER 5. PARTIAL DIFFERENTIAL EQUATIONS

) r2qp + rqp_ = ;pq ) r2 p + r p_ = k p p


q and ; q = k
For some constant k. We therefore have again reduced the original PDE down to two ODEs,

r2p + rp ; kp = 0 q + kq = 0 _
both of which look fairly straightforward. We consider the possibilities for k it can be negative, positive or zero. If it is zero, we rapidly deduce that q( ) = m + c and this can only mean that q is constant, otherwise the function could not be continuous on the boundary. (It has to have q(0) = q(2 )) But if q does not depend on , the height function around the circle would also have to be constant. If the constant were zero, there is a unique solution, the zero function, similarly, if the function is constant on the boundary it has to have the same constant value throughout the interior. This is possible but not exciting enough to contemplate further. If the constant k is negative, we get q = exponential solution
2q

, for positive , with

q( ) = c1e + c2e;
which is impossible to have continuous on the boundary for positive except in the thoroughly uninteresting case when c1 = c2 = 0. Thus we may conclude that k > 0. This forces solutions to the equation in q to be periodic: so k must be a positive integer n.

q( ) = c1 sin( k ) + c2 cos( k )

5.5. LAPLACE ON DISKS


Going now to the equation for p,

183

r2p + rp_ ; 2p = 0
This is easily seen to have solutions of the form

p(r) = Ar + Br;
The r; terms go o to in nity as r ! 0, so we are left with terms which have to be of the form rn for positive integers n. Thus we conclude that any solution must be a sum of such solutions, so we get: 1 X f (r ) = A0 + rn(An sin(n ) + Bn cos(n ))
n=1

And in order to get the given function h on the boundary, we have

f (1 ) = h( ) = A0 +

1 X
n=1

(An sin(n ) + Bn cos(n ))

Which means that we have its ordinary Fourier Series, hence 1 Z 2 h( ) sin(n ) d n = 1 2 A =
n

and

Bn = 1

Z2
0

h( ) cos(n ) d n = 0 1 2

The problem is solved, you may now cheer wildly and scream yourselves hoarse in support of something pretty smart.

Exercise 5.5.0.6

184

CHAPTER 5. PARTIAL DIFFERENTIAL EQUATIONS

1. Suppose the function de ned on S 1 in gure 5.7 is smoother than it looks and is actually just sin 2 . Find the unique extension to the disk which satis es Laplace's Equation. 2. Suppose we are given a semicircle, r = 1 0 = 0 ;1 r 1. Suppose the temperature is maintained at zero on the diameter, and is given by h( ) on the arc. Show how to solve Laplace's Equation for this case. 3. If in the above problem, h( ) = sin(4 ), sketch the solution and calculate it exactly. 4. We are given a unit disk made out of metal. Suppose that the top half of the unit circle on the disk is kept at a temperature of 100o and the bottom half at 0o . Find the steady state temperature in the inside of the disk. Be suitably u y about what happens at the points where the two temperatures are adjacent.

5.6 Solving the Heat Equation


The heat equation is more general than Laplace's Equation, so a little more complication is to be expected. Recall that we had: c252f = ft In the case of a one dimensional bar, this comes to c2fxx = ft and we investigate this case rst. Let us suppose that we take a bar of metal of length 1, and heat it up in some way so that the temperature at location x is h(x) for 0 x 1. Let us suppose that the ends are kept at zero temperature from the starting time to the end of time. If you have a bar of some di erent length, just change your units. If you want to know what temperature units I am using, it doesn't much matter, although perhaps it would be

5.6. SOLVING THE HEAT EQUATION

185

a good idea to avoid the Kelvin scale since negative temperatures might be convenient and we would prefer some realism. I shall also assume, again in a spirit of optimism, that the function f can have its variables separated, i.e is a product of two functions, one of space and the other of time. Then we have the boundary value problem of a function f satisfying the following conditions: 1. 2. 3. 4. 5.

c2fxx = ft f (0 t) = 0 f (1 t) = 0 f (x 0) = h(x) f (x t) = p(x)q(t)

It is useful to draw the diagram of gure 5.8 in order to see the two dimensions of the problem. Then we have:

f (x t) = p(x)q(t) ) fxx = qp and ft = pq_


This gives So for some constant k.

c2qp = pq_ p q c2 p = q_ = k

This gives us two ODEs, just as for the case of Laplace's Equation,

c2p ; kp = 0
and

q_ ; kq = 0

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CHAPTER 5. PARTIAL DIFFERENTIAL EQUATIONS

Time

Space

Figure 5.8: The Heat Equation for a rod The second has solution q(t) = Aekt, which tells us that k 0, since a runaway temperature, for example, is hard to credit. If we put k = ; 2, the rst equation is p = ;( c )2p which has solution

p(x) = A cos( c x) + B sin( c x)


It is time now to apply the boundary conditions so as to get some information about . Since f (0 t) = 0 for all t, we get p(0) = 0 and hence A = 0. Since f (1 t) = 0, we get

c =n n=1 2 This gives a family of solutions to the Heat Equation: fn (x t) = cn e;n2 2 c2 t sin(n x) The general solution is some in nite sum of these for a choice of cn which makes the initial state at t = 0 equal to the given function h(x). So we choose to expand the given h(x) on the interval 0 1] in

5.6. SOLVING THE HEAT EQUATION

187

terms of sin functions, which gives us the required cn , and we are done. This will require some rescaling, since mostly you will have done your Fourier Theory on the interval ; ] rather than on 0 1], but this is not particularly di cult.

Example 5.6.0.4 Suppose the initial value at time t = 0 is h(x) =


sin( x). Then c1 = 1, and otherwise cn = 0. So the complete solution in this case is f (x t) = e; 2 c2 t sin( x) So at time t = 1 the temperature at the middle of the bar is e; 2 c2 I hope you agree that this is pretty clever stu . Instead of keeping the ends at any temperature, we can insulate them so that no heat leaves the bar. We can express this in terms of conditions that the derivative of the function p(x) must be zero at the ends of the bar. This leads to a similar equation but with cosine terms instead of sine terms as the solution. We give an easy example of this kind of problem, worked through from rst principles:

Example 5.6.0.5 Problem


Suppose an insulated rod of length 2 units is heated to a temperature of ; jxj for a distance x along the rod from the centre. We do not keep both ends of the rod to be at zero for all time, but instead ensure that no heat leaves the bar anywhere, but we remove the heater at time zero. Given that the density, speci c heat and conductivity of the bar are K respectively, calculate from rst principles the temperature of the point one quarter of the way along the bar after 3 time units have elapsed. What happens to the temperature at the ends of the bar?

Solution

188

CHAPTER 5. PARTIAL DIFFERENTIAL EQUATIONS

Note that I have changed the length of the rod and measured from its centre to make the sums easier.
2 K@ T = @x2

@T @t

is the heat equation in one dimension, where x is the distance along the bar, t is the time, and T (x t) is the temperature at the point x at time t. Writing T (x t) = p(x)q (t) on the assumption of separability of variables, This becomes: Kqp = pq_ After rearranging we obtain:

p = q_ = k p Kq
for some constant k. The second equation we may solve immediately to give: Kk q(t) = e( )t and since K are positive, k must be negative for a physically intelligible solution. Putting k = ; 2, the rst equation then has solutions of the form p (x) = A cos x + B sin x and any sum of such solutions for any number of di erent will also be a solution. We wish next to use the boundary conditions to work out what restrictions are implied on the possible and the constants. We have from the fact that the function T (x 0) = p(x)q (0) is symmetric, that p is symmetric, and hence that B = 0, for any value of . We also have the condition p(; ) = p( ) = 0, since no heat leaves the _ _ rod at the ends. This requires that

A sin

=0

5.6. SOLVING THE HEAT EQUATION

189

which requires that be an integer, which may be zero. There is no particular reason to have negative integers, so we shan't. We seek next a Fourier expansion of the function ;jxj on the interval ; ]. This is because we want to know what sum of functions

A0 +

1 X
i=1

Ai cos ix

can be the function p(x) which is T (x 0) = ; jxj. Thus the general solution so far is a sum:

X
i=0 1

Ai cos(ix)e;

Ki2

To nd the right sequence of coe cients to satisfy the initial condition for the temperature distribution, that is, to calculate the Fourier Series for p, we need to calulate

cos nx( ; jxj) dx

which is most easily accomplished by observing that the function is symmetric about the origin and so is simply

2 =2
which for n > 0 is

cos nx( ; x) dx

Z
0

cos nx dx ; 2

Z
0

x cos nx dx

;2

Z
0

x cos nx dx

and integrating by parts we get

x 1 ;2 n sin nx + n2 cos nx 0

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CHAPTER 5. PARTIAL DIFFERENTIAL EQUATIONS

2 = n2 1 ; cos n ] which is zero when n is even and 4=n2 when n is odd. When n = 0 we have simply the area under the graph of ; jxj between ; and which is 2. We therefore have that the Fourier Series for ; jxj on ; ] is given by: 4 ; jxj 2 + 4 cos x + 94 cos x + 25 cos x + or if you prefer it more formally: 1 X 1 p 2 + 4 (2n + 1)2 cos(2n + 1)x n=0
Thus we conclude (almost) by writing down the solution to the heat equation as

T (x t)

+4 2

1 cos(2n + 1)xe; K(2n+1)2 t 2 n=0 (2n + 1)

1 X

It is easier to verify that the space function p and the time function q both satisfy, termwise, the required ODEs than it is to produce them. If you believe that I got the Fourier expansion of ; jxj right, then it follows that 1 4X 1 = 2 2 n=0 (2n + 1) by evaluating at x = 0. Alternatively, the sum of the reciprocals of the squares of the odd numbers is 2=8. This doesn't look very likely o hand, and you can check it out by adding up a few thousand terms to see if it is probably right. The original problem (which you have probably now forgotten, it was so far back in space and time) was to say what the temperature is at a point quarter of the way along the rod at time t = 3. This means that x = =2 is the point we care about, and we notice that cos(2n +

5.7. AND IN CONCLUSION..

191

1) =2 = 0 This tells us that the temperature at this point does not actually change in time, and that it started at =2 and will remain so inde nitely. This is reasonable, since what one would expect to happen is that, with no heat leaving or entering the system, the temperature will tend to uniformity. (Imagine all those trapped bees!). And the average temperature is =2 to start out with, so the proposition that the bar will wind up at that temperature everywhere is believable, as is the proposition that the point of average temperature will stay that way. This works because my original function p is linear over each half of the bar and symmetrical. To have noticed this at the beginning and simply written down the answer would have shown some genuine talent. If you noticed this, congratulations, you are either very practised or very smart.
The temperature at the end points is
1 X 1 K (2n+1)2 t T ( t) = T (; t) = 2 ; 4 (2n + 1)2 e; n=0

which tends to =2 from 0 as time goes by. Note that if K were 0 and no heat owed, nothing would happen. If it is small, whatever happens, happens slowly. This seems reasonable.

5.7 And in Conclusion..


I have just got you to stick your toes in the water as far as PDEs are concerned. There are people who make a lifetime's work of solving Laplace's Equation for progressively more complicated boundary conditions, and they feel their time is well spent. There are applications of PDEs in mining, working out from gravity surveys where the body (the ore body) is buried, in Electromagnetism, in Quantum Physics, in studying waves in every medium you can imagine and a good few you can't, in the twisting and bending of solids, and the list goes on. All I have had time to do is to lead you into the shallow water so you

192

CHAPTER 5. PARTIAL DIFFERENTIAL EQUATIONS

can have a paddle with the kiddies. All the same, you have seen some pretty amazing things if you stop to think about it. I hope you enjoyed the ride, even if it was a bit hectic in places!