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Linear Algebra
and Analysis
This book is intended for an introductory course in Linear Algebra and Analysis, being organized
as follows.
The first chapter studies Tensor Algebra and Analysis, insisting on tensor fields, index calculus,
covariant derivative, Riemannian metrics, orthogonal coordiantes and differential operators. It
is written for students who have prior knowledge of linear algebra.
The second chapter sets out to familiarize the students with the fundamental ideas of Field
Lines, Field Hypersurfaces, Integral Manifolds, and their descriptions as solutions of differential
equations, partial differential equations of first order and Pfaff equations. It requires basic
knowledge of differential calculus.
The third chapter is intended as an introduction to Fourier Series. The topics (Hilbert spaces,
orthonormal basis, Fourier series, etc) are developed gently, with preference of clarity of ex-
position over elegance in stating and proving results. However, the students must have some
knowledge of linear algebra and integral calculus.
The fourth chapter is an introduction to Numerical Methods in Linear Algebra, focusing on
algorithms regarding triangularization of matrices, approximate solutions of linear systems, nu-
merical computation of eigenvalues and eigenvectors, etc.
This book is designed for a course in the second semester, at Department of Engineering, Uni-
versity Politehnica of Bucharest. It enhances the students’ knowledge of linear algebra and
differential-integral calculus, and develops basic ideas for advanced mathematics, theoretical
physics and applied sciences. That is why, as a rule, each paragraph contains definitions, theo-
rems, remarks, examples and exercises-problems.
The volume involves the didactic experience of the authors as members of the Department
of Mathematics at University Politehnica of Bucharest, enhanced further by the lecturing in
English since 1990, at Department of Engineering. The goals of the text are:
- to spread mathematical knowledge and to cover the basic requirements in major areas of
modelling,
- to acquaint the students with the fundamental concepts of the presented topics.
We owe a considerable debt to former leading textbook authors quoted in References, and to
colleagues and students who have influenced our didactic work.
Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 154
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157
3
Chapter 1
X = AX 0 .
0
If we introduce the matrix A−1 = (Aii ) i,i0 =1,n , defined by the relations
½ ( 0
AA−1 = In Aii0 Aij = δji , i, j = 1, n
⇔ 0 0 (3)
A−1 A = In Aii0 Aji = δij0 , i0 , j 0 = 1, n,
5
6 CHAPTER 1. TENSOR ALGEBRA AND ANALYSIS
0
where δji and δji 0 are the Kronecker symbols, we infer
0 0 0 0 0 0
Aji v i = Aji Aii0 v i = δij0 v i = v j ,
or in condensed form,
X 0 = A−1 X.
ω = ωi ei , ωi ∈ R , i = 1, n.
1.1.3. Exercises
Consequently
· ¸ · ¸ µ ¶
f1 e1 1 −1
= A−1 = A−1 I2 = A−1 = ,
f2 e2 0 1
and hence ( (
[f 1 ] = (1, −1) f 1 = e1 − e2
⇒
[f 2 ] = (0, 1) f 2 = e2 .
and hence
f 1 = e1 − e2 , f 2 = e2 − e3 , f 3 = e3 .
Compute the components of X and ω w.r.t. the new bases of V and V ∗ , respectively.
8 CHAPTER 1. TENSOR ALGEBRA AND ANALYSIS
0 0
Solution. The contravariant components v i of v (v = v i ei0 ) obey the rule
0 0
v i = Aii v i , i0 = 1, 3. (5)
−2 1 1
0
We obtain A−1 = (Aii )i,i0 =1,3 = 1 0 0 and using (5), it follows
1 0 −1
0 0 0
X 0 = t (v 1 , v 2 , v 3 ) = t (−3, 1, 2),
and hence the expressions of v with respect to the two bases are
3. Compute the components of the following vectors with respect to the new
basis B 0 = {f1 , f2 } ⊂ R 2 = V, where f1 = t (1, 0), f2 = t (1, 1), or to its dual.
a) v = 3e1 + 2e2 ;
b) η = e1 − e2 .
Solution. a) The old components are {v i } = {v 1 = 3, v 2 = 2} and form the
matrix [v]B = t (3, 2). They are related to the new components via the relations
0 0
v i = Aii v i , i0 = 1, 2. The change of coordinates in V is given by X = AX 0 , i.e., in
0
our notations, v i = Aii0 v i , i = 1, 2, where
µ ¶ µ ¶
i 1 1 i0 −1 1 −1
A = [f1 , f2 ] = (Aj 0 ) = ⇒ (Aj ) = A = .
0 1 0 1
2 Homework.
1.2. TENSORS 9
1.2 Tensors
We shall generalize the notions of contravariant vector, covariant vector (1-form),
and bilinear forms. Let V be an n-dimensional R - vector space, and V∗ its dual.
We shall denote hereafter the vectors in V by u, v, w, . . . and the covectors in V∗ by
ω, η, θ, . . ., etc.
Let us denote in the following
V∗p = V∗ × . . . × V∗ , and Vq = V × . . . × V.
| {z } | {z }
p times q times
The previously introduced notions of vectors and covectors can be generalized in the
following manner.
1.2.1 Definition. A function T : V∗p × Vq → R which is linear in each argument
(i.e., multilinear) is called a tensor of type (p, q) on V.
The numbers p and q are called orders of contravariance, and covariance, respec-
tively. The number p + q is called order of the tensor.
Let Tqp (V) be the set of all tensors of type (p, q) on V. This can be organized
canonically as a real vector space of dimension np+q . Remark that the definition
imposes the following identifications
given by
B ∗ = {ei |i = 1, n} ⊂ V∗
10 CHAPTER 1. TENSOR ALGEBRA AND ANALYSIS
V∗ ⊗ V ≡ V∗ ⊗ V∗∗ ≡ (V ⊗ V∗ )∗ = L(V × V∗ , R ),
we have
(tij11 ei1 ⊗ ej1 )(ek1 , en1 ) = 0, for all ek1 ∈ V∗ , en1 ∈ V.
Therefore, using (4) for p = q = 1, and the multilinearity of ⊗, we infer
So that tkn11 = 0, for all k1 , n1 = 1, n, and thus the set B11 is linearly independent.
It can be also proved that the set B11 provides a system of generators of T11 (V),
and hence it is a basis of T11 (V). 2
Any tensor T ∈ Tqp (V) can be decomposed with respect to Bqp (8) like
i ...i j ...j
T = Tj11...jqp Ei11...ipq , (9)
2o . Let Bqp be the basis (8) of Tqp (V) induced by the given basis B = {ei | i = 1, n}
of V, and let B 0pq be the basis induced similarly by another basis B 0 = {ei0 | i0 = 1, n}
of V , which is connected to B via (1). The basis Bqp is changed into the basis B 0pq by
the formulas
j 0 ...j 0 j0 j0 i j ...j
Ei01...i0q = Aj11 . . . Ajqq · Aii10 . . . Aip0p · Ei11...ipq ,
1 p 1
where
j 0 ...j 0 0 0
Ei01...i0q = ei01 ⊗ . . . ⊗ ei0p ⊗ ej1 ⊗ . . . ⊗ ejq .
1 p
Let T ∈ Tqp (V) be decomposed like (9) with respect to Bqp , and also like
i0 ...i0 j 0 ...j 0
T = Tj 01...j 0p · Ei01...i0q ,
1 q 1 p
with respect to B 0pq . Then the relation between the two sets of components of T is
given by
i0 ...i i0 i0 j i ...i
Tj 01...j p0 = Ai11 . . . Aipp · Ajj110 . . . Ajqq0 · Tj11...jqp ,
0
1 q
0
with Aii0 , Aii given by (1) and (3).
1.2.6 Definition. We call transvection of tensors on the indices of positions (r, s),
p−1
the mapping trsr : Tqp (V) → Tq−1 (V) given by
n
X
i ...i i ...i i ...i ki ...ip
[(trsr ) (T )]j11 ...jr−1 r+1 p
s−1 js+1 ...jq
= Tj11...js−1
r−1 r+1
kjs+1 ...jq , for all T ∈ Tqp (V).
k=1
Remark. Using a vector v ∈ T01 (V) = V, one can define the transvection with
v of each tensor T ∈ Tqp (V), q ≥ 1. Say, for v = v i ei and T = Tjk ej ⊗ ek ∈ T20 (V),
the transvected tensor trv (T ) = (tr11 )(v ⊗ T ) ∈ T10 (V) has the components given by
[trv (T )]i = v s Tsi .
1.2.7. Exercises
1. Compute the components of the following tensors with respect to the corre-
sponding tensorial basis associated to the new basis B 0 = {f1 , f2 } ⊂ R 2 = V, where
f1 = t (1, 0), f2 = t (1, 1).
a) A = e1 ⊗ e2 − 3e2 ⊗ e2 ∈ T11 ( R 2 );
b) Q = e1 ⊗ e2 − e2 ⊗ e1 ∈ T20 ( R 2 );
c) T = e1 ⊗ e2 ⊗ e1 − 2e2 ⊗ e1 ⊗ e2 ∈ T21 ( R 2 ).
Solution. a) The formulas of change of components are
0 0
Aij 0 = Cii Cjj0 Aij , i0 , j 0 = 1, 2 ⇔ [A]B 0 = C −1 [A]B C,
12 CHAPTER 1. TENSOR ALGEBRA AND ANALYSIS
µ ¶
0 1
where [A]B = (Aij )i,j=1,n = , and the matrices C and C −1 are computed
0 −3
above. Hw. Check that
0 0 0 0 0
A120 = Ci1 C2j0 Aij = 4, A110 = A210 = 0, A220 = −3.
Then we have
µ ¶
0 0 0 4
A = 4e2 ⊗ e10 − 3e2 ⊗ e20 , [A]B 0 = ,
0 −3
2. Let be given the following tensors, expressed in the appropriate basis, associ-
ated to the natural basis B = {e1 , . . . , en } of V = R n , where n = 2 for a), b), c), and
n = 3 for d) and e).
a) a = 5;
b) A = 2e1 ⊗ e2 + 3e2 ⊗ e2 ;
c) η = 3e2 − e1 ;
d) Q = e2 ⊗ e3 − e1 ⊗ e2 + 5e2 ⊗ e2 ;
e) v = 3e1 + 4e2 − e3 .
1o . Determine the type of these tensors and the vector space to which they belong.
2o . Indicate the general form of a basis and the dimension d for each space.
3o . Determine the tensor components in the appropriate basis.
Solution. We display in the following the space of tensors, the types, the basis,
the dimension of the corresponding module of the given tensors:
c) The tensor η ∈ V∗ defines a linear form η̃ of matrix [η] = (−1, 3), given by
µ 1 ¶ µ 1 ¶
x x
1 2
η̃ : V → R , η̃(x , x ) = (−1, 3) 1 2
= −x + 3x , for all ∈ R 2.
x2 x2
given by
v1
B̃ : V×V → R , B̃(u, v) = (u1 , u2 , u3 )[B] v 2 = bij ui v j = −u1 v 2 +5u2 v 2 +u2 v 3 ,
v3
for all u = ui ei , v = v j ej ∈ V.
e) The tensor v = v i ei ∈ V is a vector, of associated matrix (column-vector)
Solution.
a) a ∈ T00 (V ) = R ⇒ â : R → R , â(k) = ak ∈ R , ∀k ∈ R .
b) A ∈ T11 (V ) ⇒ Â : V∗ × V → R , Â(η, v) = Aij ηi v j ∈ R ,
∀η ∈ V∗ , v ∈ V.
c) η ∈ T10 (V ) = V∗ ⇒ η̂ : V → R , η̂(v) = ηi v i ∈ R , ∀v ∈ V.
d) B ∈ T20 (V )=V ⊗V∗ ∗
⇒ B̂ : V ⊗ V → R , B̂(v, w) = Bij v i wj ∈ R ,
∀v, w ∈ V,
e) v ∈ T01 (V ) = V ⇒ v̂ : V → R , v̂(η) = v ηi ∈ R , ∀η ∈ V∗ .
∗ i
Q = e2 ⊗ e1 ⊗ e2 − 5e1 ⊗ e3 ⊗ e2 , (n = 3);
Q12 22 12
13 = 5, Q23 = −4, Q23 = −1
R32 = Q21 22
13 + Q23 = −4.
1.3. RAISING AND LOWERING OF THE INDICES OF A TENSOR 15
Hw. Compute the other components of R, and show that tr12 (Q) 6= tr11 (Q), though
the two tensors are of the same type. Hence we remark that the positions of the
transvection indices are essential.
d) A ∈ T11 (V) ⇒ tr11 (A) ∈ R , k = A11 + A22 = 5 − 1 = 4 ∈ R ;
Hw. Check that k = T r[A].
e) We obtain
so that a = tr11 tr22 (R) = 1. Hw. Check that a = t [u][B][v] = B̃(u, v), and that
tr22 tr11 (R) = tr11 tr22 (R).
hu, · i ∈ L(V, R ) = V∗ ,
16 CHAPTER 1. TENSOR ALGEBRA AND ANALYSIS
Using G and G−1 one can lower, respectively raise the indices of a given tensor.
i ...i
1.3.1 Definition. Let T = {Tj11...jqp } ∈ Tqp (V ) and s ∈ 1, p and t ∈ 1, q. The
function defined by
i ...i i ...i i ...i i i ...i
(Gs,t T )j11 ...js−1 s+1 p
t−1 jt jt+1 ...jq+1
= gjt is Tj11...jt−1
s−1 s s+1 p
jt+1 ...jq+1
is called lowering of the indices. Analogously, using G−1 , we define the raising of
the indices. The lowering and raising produce new tensors, since they are in fact the
tensor products g ⊗ T , g −1 ⊗ T followed by suitable transvections.
The real vector spaces of tensors of order p + q are isomorphic via raising and
lowering of indices. For instance one can lower the index of a vector v = v i ei ∈ V, by
vk = gks v s , obtaining the covector ω = vk ek ∈ V∗ , or raise the index of a covector
ω = ωk ek ∈ V∗ , by v k = g ks ωs , obtaining the vector v = v k ek ∈ V.
Remark. The scalar product gij on V induces the scalar product g kl on V ∗ , and
the scalar product on Tqp (V ) given by the mapping
k l ...k l
Gi11j11...ipqjpq = gi1 j1 . . . gip jp · g k1 l1 . . . g kq lq .
1.3.2. Exercises
defines a scalar product on R 2 . Find its components relative to the canonic basis.
Solution. The bilinearity implies b = 0, the symmetry implies a = 1 and the
positive definiteness implies c > 4. Hence h · , · i defines a scalar product iff a =
1, b = 0, c > 4. In this case we have
µ ¶
1 −2
and its components are (gij )i,j=1,2 = .
−2 c
2. Lower the index of the vector u = 3e1 + 2e2 − e3 ∈ V = R 3 ; raise the index
of the covector ω = 2e1 − 3e3 ∈ V ∗ , using the metric
and consequently η = 3e1 + 4e2 − 3e3 . Also, for v = G−1 (ω), we obtain
1
v = g 1j ωj = g 11 ω1 = 1 · 2 = 2
v 2 = g 2j ωj = g 22 ω2 = 12 · 0 = 0
3
v = g 3j ωj = g 33 ω3 = 13 · (−3) = −1,
3. Lower the third index on first position and raise the second index on position
three, for a tensor S ∈ T33 (V ), where V is endowed with the metric gij . Raise the
second index of the metric g on the first position.
Solution. We have
We shall consider the more general case, the space R n , and the point x = (x1 , . . . , xn ) ∈
D ⊂ R n , where D is an open subset of R n . Also, to avoid repetitions, we assume
the differentiability of class C ∞ in definitions.
1.4.1 Definition. A differentiable function f : D → R is called a scalar field.
We denote by F(D) the set of all scalar fields on D.
18 CHAPTER 1. TENSOR ALGEBRA AND ANALYSIS
which is associative, distributive with respect to the addition of vectors, and associative with respect
to multiplication with scalars.
1.4. VECTOR FIELDS AND COVECTOR FIELDS 19
The operations
They determine a natural field of frames for X (D), and are called fundamental vector
fields.
1.4.5 Theorem. Let X ∈ X (D). There exist the real functions
X i ∈ F (D), i = 1, n,
∂
such that X = X i ∂x i.
The differentiable functions X i are called the components of the vector field X
with respect to the natural frame field.
∂
Proof. For x ∈ D, X(x) = X i (x) ∂x i
i |x , X (x) ∈ R , i = 1, n. Thus
X i : x ∈ D → X i (x) ∈ R , i = 1, n
Example. X = x ∂
x2 +y 2 ∂x
∂
+ exy ∂y ∈ X (D), where D = R 2 \{(0, 0)} ⊂ R 2 , is a
vector field on D.
1.4.6 Definition. Let X, Y ∈ X (D) be two vector fields (having their components
X i , Y j of class C ∞ ). We call the Lie bracket of X and Y , the field [X, Y ] ∈ X (D)
given by:
[X, Y ](f ) = X(Y (f )) − Y (X(f )), for all f ∈ F (D) (13)
∂f
where we denoted X(f ) = X i ∂x i , for all f ∈ F (D).
second external - multiplication with scalars from R), which obey the same properties as the ones of
a vector space, with the essential difference that R is not a field, but a ring.
1.4. VECTOR FIELDS AND COVECTOR FIELDS 21
The real vector space X (D) together with the product given by the bracket
{dxi |x0 , i = 1, n}
ωx0 (Xx0 ) = ωi (x0 )dxi |x0 (Xx0 ) = (ωi (x0 )dxi |x0 )(Xx0 ), for all Xx0 ∈ Tx0 D.
Thus, the covector decomposes ωx0 = ωi (x0 )dxi |x0 , and hence is generated by the
set {dxi |x0 , i = 1, n}. 2
called differential 1-form (or covariant vector field, covector field on D). The set of
differential 1-forms on D will be denoted by X ∗ (D).
The addition of forms and their multiplication with real scalar functions endows
X ∗ (D) with a structure of a real vector space. The set of 1-forms
[
dxi : D → Tx∗ D, dxi (x) = dxi |x , for all x ∈ D, i = 1, n (14)
x∈D
and 0 0
B ∗ = {dxi , i = 1, n}, B ∗ = {dxi , i = 1, n}.
They are related by
0
∂ ∂xi j ∂ ∂xi j 0 i0
= (x ) i0 ; dxi = 0 (x )dx . (17)
∂xi ∂xi ∂x ∂x i
0
∂ ∂
Let X ∈ X (D), X = X i ∂x i = X
i
∂xi0
be a vector field, and let
0
ω ∈ X ∗ (D), ω = ωi dxi = ωi0 dxi
be an 1-form on D.
Then their old/new components of X and ω are respectively related by
0
0 ∂xi ∂xi
Xi = X i, ωi0 = ωi .
∂xi ∂xi0
∂ ∂
X=f +g ∈ X (D), f, g ∈ F(D).
∂x ∂y
We may identify { ∂x ∂ ∂
, ∂y } ≡ {~i, ~j}, since the vectors ∂x
∂ ∂
|P and ∂x |Q are equipolent
~ ∂
for all P, Q ∈ D; i is exactly the class of equipolence ∂x ; the similar happens to ∂y ∂
.
~
Therefore we can write X = f i + g j. ~
When the metric on D ⊂ R 2 is the canonic metric, gij = δij , i, j = 1, 2, we might
also identify {dx, dy} ≡ {~i, ~j}, respectively.
24 CHAPTER 1. TENSOR ALGEBRA AND ANALYSIS
∂ ∂ρ ∂ ∂θ ∂ ∂ ∂ρ ∂ ∂θ ∂
= + , = + .
∂x ∂x ∂ρ ∂x ∂θ ∂y ∂y ∂ρ ∂y ∂θ
0
and the change of dual bases B ∗ → B ∗ is performed according to the rules
∂x ∂x ∂y ∂y
dx = dρ + dθ, dy = dρ + dθ.
∂ρ ∂θ ∂ρ ∂θ
1.4.8. Exercises
1. Let be the vector field
∂ ∂ ∂
X=x +y +z ∈ X (D), D ⊂ R 3 .
∂x ∂y ∂z
Find the components of X in cylindrical and spherical coordinates.
Solution. Let be the change from Cartesian to cylindrical coordinates
0 0 0
(x1 , x2 , x3 ) ≡ (x, y, z) → (x1 , x2 , x3 ) = (ρ, θ, z),
given by the formulas
1 0 0 p
x = ρ cos θ x = x1 cos x2 ρ = x2 + y 2
0 0
y = ρ sin θ ⇔ x2 = x1 sin x2 ⇒ θ = arctan xy (18)
3 0
z=z x = x3 z = z.
Since the vector field rewrites
∂ ∂ ∂
X = x1 1
+ x2 2 + x3 3 ,
∂x ∂x ∂x
we get the components X 1 = x1 , X 2 = x2 , X 3 = x3 . We have to determine the
0 0 0 0
new components X 1 , X 2 , X 3 , which satisfy X = X i ∂x∂i0 , by means of the relations
which link the two sets of components of X:
0
∂xi i0 0 ∂xi i
Xi = X , Xi = X , i, i0 = 1, 3. (19)
∂xi0 ∂xi
1.4. VECTOR FIELDS AND COVECTOR FIELDS 25
Also, using (22), we have the function X(f ) computed in new coordinates straight-
forward
∂ ∂ 2
X(f ) = x (x2 − y) − (x − y) = −x − 2x = −3x =
∂y ∂x
0 0
= −3(x0 + y 0 )/2 = −3(x1 + x2 )/2.
Regrading the differential form df = 2xdx − dy, one can use two methods.
i 0
∂x
Method 1. The rules of change dxi = ∂x i0 dx
i
which are produced via differen-
tiating the relations (22), we get
( 0 0
dx1 = dx = (dx0 + dy 0 )/2 = (dx1 + dx2 )/2
0 0
dx2 = dy = (dx0 − dy 0 )/2 = (dx1 − dx2 )/2,
which together with (22) provides by direct replacement in df
0 0 0 0 0 0
df = (x1 + x2 ) · 12 (dx1 + dx2 ) − 12 (dx1 − dx2 ) =
0 0 0 0
x1 + x2 − 1 0 x1 + x2 + 1 0
= · dx1 + · dx2 .
2 2
0
Method 2. The differential of f writes df = ωi dxi = ωi0 dxi and its old/new
∂xi
components are related by ωi0 = ∂x i0 ωi , whence, replacing the entries of the matrix
³ i´
∂x
C = ∂xi0
0
from (21) and the old components ω1 = 2x1 , ω2 = −1 of df , we
i,i =1,2
obtain
ω10 = ∂x1 ∂x2
∂x10
ω1 + ∂x10
ω2 = 12 (ω1 + ω2 )
ω0= ∂x1
ω1 + ∂x2
ω2 = 12 (ω1 − ω2 ).
2 ∂x20 ∂x20
1.4. VECTOR FIELDS AND COVECTOR FIELDS 27
Hence we find
0 0
df = ω10 dx1 + ω20 dx2 =
0 0 0 0
x1 + x2 − 1 0 x1 + x2 + 1 0
= · dx1 + · dx2 .
2 2
and finally, the new components of X and ω can be computed considering their
relations with the old ones.
∂ ∂ ∂
and replace (24) and (25) in X = X 1 ∂x + X 2 ∂y + X 3 ∂z .
As for ω, use the straightforward differentiation compound rule,
∂x ∂x ∂x
dx = dρ + dθ + dz = cos θdρ − ρ sin θdθ
∂ρ ∂θ ∂z
∂y ∂y ∂y
dy = dρ + dθ + dz = sin θdρ + ρ cos θdθ
∂ρ ∂θ ∂z
dz = dz,
Remark that for finding the new components of X, method 1 works faster, while for
ω, method 2 is straightforward.
b) The change between Cartesian to spherical coordinates
0 0 0
(x, y, z) = (x1 , x2 , x3 ) → (r, ϕ, θ) = (x1 , x2 , x3 )
is given by
x = r sin ϕ cos θ
y = r sin ϕ sin θ (26)
z = r cos ϕ.
Hw. Find the new (spherical) components for X and ω.
j ...j ∂ ∂
Bqp = {Ei11...ipq ≡ i
⊗ . . . ⊗ ip ⊗ dxj1 ⊗ . . . ⊗ dxjq , i1 , . . . , ip , j1 , . . . , jq = 1, n, }
∂x 1 ∂x
of type (p, q), represents a basis in the F(D)−module Tqp (D). This basis contains
np+q elements, and hence dim Tqp (D) = np+q .
30 CHAPTER 1. TENSOR ALGEBRA AND ANALYSIS
i ...i
and the differentiable functions Tj11...jqp ∈ F(D), are called the components of the
tensor field T with respect to the natural basis Bqp .
∂ ∂
Examples. T ∈ T02 (D), T = T ij ∂x i ⊗ ∂xj .
0 i j
g ∈ T2 (D), g = gij dx ⊗ dx .
ω ∈ T10 (D) ≡ X ∗ (D), ω = ωi dxi .
∂
X ∈ T01 (D) ≡ X (D), X = X i ∂x i.
∂
U ∈ T11 (D), U = Uji ∂x j
i ⊗ dx .
g = xdx ⊗ dx + (sin y)dx ⊗ dy ≡ x1 dx1 ⊗ dx1 + (sin x2 )dx1 ⊗ dx2 ∈ T20 (D), D ⊂ R 2 ,
If a change of cordinates (15) occurs then, considering the change of bases (17) in
X (D) and X ∗ (D), we remark that the basis Bqp ,
½ ¾
j ...j ∂ ∂
Ei11...ipq = ⊗ ... ⊗ · dxj1 ⊗ . . . ⊗ dxjq , i1 , . . . , ip , j1 , . . . , jq = 1, n
∂xi1 ∂xip
1.5.2. Exercises
1. In D = R 2 \{(0, 0)}, compute the components of the tensor field
p
T = x2 + y 2 dx ⊗ dx + xy dy ⊗ dy ∈ T20 (D),
in polar coordinates.
Solution. Denoting (x, y) = (x1 , x2 ), T ∈ T20 (D) decomposes as
T = Tij dxi ⊗ dxj , (29)
whence its components are
p
T11 = x2 + y 2 , T22 = xy, T12 = T21 = 0. (30)
The change from Cartesian to polar coordinates
0 0
(x, y) = (x1 , x2 ) → (ρ, θ) = (x1 , x2 )
is described by (28). We look for the components Ti0 j 0 of T in its decomposition
0 0
T = Ti0 j 0 dxi ⊗ dxj .
∂ ∂
∇ = Γhij h , Γhij ∈ F(D), i, j, h = 1, n.
∂
∂xj ∂xi ∂x
The n3 functions {Γhij } i,j,h=1,n of this decomposition are called the components of
the linear connection ∇.
∂ j ∂
For two arbitrary given vector fields X = X i ∂x i, Y = Y ∂xj ∈ X (D), we obtain
¡ j ∂ ¢ ¡ ∂
¢
∇X Y = ∇X i ∂ i Y ∂xj = X i ∇ ∂ i Y j ∂x j =
∂x ∂x
i j ∂ i j ∂
= X (∇ ∂ Y ) ∂x j +X Y ∇ ∂
∂xj =
∂xi ∂xi
∂ s ∂ i j s ∂
= X i ∂x i (Y ) ∂xs + X Y Γij ∂xs =
¡ s ¢ ∂ not i s ∂
= X i ∂Y j s
∂xi + Y Γij ∂xs = X Y,i ∂xs ,
1.6. LINEAR CONNECTIONS 33
∂Y s
where the functions Y,is = + Y j Γsij are called the components of the covariant
∂xi
derivative of the field Y . Note that these are basically defined by the relation
∂
∇ ∂ Y = Y,ik .
∂xi ∂xk
2. The curvature tensor field of ∇ is a tensor field R ∈ T31 (D), given by the
F(M )−linear mapping R : X (D)3 → X (D),
0 0 0 0
0 ∂xj ∂xk ∂xi ∂ 2 xi
Γij 0 k0 j k
= Γhjk h − , i0 , j, k = 1, n.
∂x ∂x ∂x ∂xj ∂xk
defines an R -linear endomorphism of the real vector space X (D). We can extend it
to Tqp (D), p, q ∈ N, by postulating the following conditions for this extended map:
a) ∇X f = X(f ), for all f ∈ F (D),
b) ∇X Y, for all Y ∈ X (D) as defined in (34),
c) ∇X ω ∈ X ∗ (D), for all ω ∈ X ∗ (D), is defined by
∂ ∂Y s
∇ ∂ Y = Y,ks , with Y s
,k = + Γski Y i .
∂xk ∂xs ∂xk
2. For ω = ωi dxi ∈ X ∗ (D) = T10 (D), we have
∂ωs
∇ ∂ ω = ωs,k dxs , with ωs,k = − Γiks ωi .
∂x k ∂xk
∂
3. For T = Tji ∂x j 1
i ⊗ dx ∈ T1 (D), we have
i ∂
∇ ∂ T = Tj,k ⊗ dxj ,
∂xk ∂xi
with
i
∂Tji
Tj,k = + Γikh Tjh − Γhkj Thi .
∂xk
1.6.4. Exercises
and all the other components of ∇ in the local basis of the F( R 2 )-module X ( R 2 ) are
null.
∂ ∂
a) We have V = f X +gY = (xy+y 2 ) ∂x +x2 y ∂y , whence V 1 = (xy+y 2 ), V 2 = x2 y,
and Y 1 = 0, Y 2 = x, Z 1 = x, Z 2 = y 2 . Then, using the relation
whence the stated equality. Hw. Solve the items b) and c).
36 CHAPTER 1. TENSOR ALGEBRA AND ANALYSIS
2. Let ∇ ≡ {Γkij }i,j,k=1,n be a linear connection in R 2 , where Γ112 = xy, and the
other components are zero. Let also f ∈ F ( R 2 ) and X, Y ∈ X ( R 2 ), ω ∈ X ∗ ( R 2 )
and g ∈ T20 ( R 2 ) be respectively given by f (x, y) = x + y, X = y ∂x
∂ ∂
, Y = x ∂y ,ω =
1
xdx + xydy, y2 dx ⊗ dx + dy ⊗ dy. Compute:
a) ∇X f = X(f );
b) ∇X Y ;
c) ∇X ω;
d) ∇X g.
Solution. a) Using the definition, we find X(f ) ∈ F( R 2 ),
∂f ∂f
X(f ) = X i i
=y = y.
∂x ∂x
b) We notice that
µ ¶
∂ ∂ ∂Y 2 ∂
∇X Y = X k Y;ki i
= yY;12 =y + Γ21j Y j ,
∂x ∂y ∂x1 ∂y
∂
and hence ∇X Y = y ∂x ∂
(x) ∂y ∂
= y ∂y ∈ X ( R 2 ).
c) We have
∂ ∂ωj
(∇X ω)j = (∇X ω)( ) = X i ωj;i , with ωj;i = − Γsij ωs .
∂xj ∂xi
Hw. Compute ωj;i for i, j = 1, 2 and then determine ∇X ω.
d) We have
(∇X g) = X k gij;k dxi ⊗ dxj = X k (∂k gij − gsj Γski − gsi Γskj )dxi ⊗ dxj .
3. Compute the torsion components and the curvature components (33) produced
by the connection from the previous exercise. Is ∇ a symmetrical connection ?
4. Compute the following tensor fields
a) ∇X (Y ⊗ g);
b) ∇X [tr21 (Y ⊗ g)] ≡ θ;
c) Check that tr21 (∇X (Y ⊗ g)) = θ.
1.6. LINEAR CONNECTIONS 37
Hint. a) The tensor field U = Y ⊗ g ∈ T21 (M ) has the covariantly derived com-
ponents
i i s i i
Ujk;l = ∂l Ujk + Ujk Γls − Usk Γslj − Ujs
i s
Γlk .
Solution. a) We apply
µ ¶
∂ 1 ∂ 2 ∂
∇X Y = X i Y,ij = X i
Y ,i + Y ,i
∂xj ∂x ∂y
Since Y 1 = 0, Y 2 = x2 , we find
½
∂Y 1 1 · x2 , for i = 1
Y,i1 = ∂xi + Γ1is Y s =
0, for i = 2
½
∂Y 2 2x, for i = 1
Y,i2 = ∂xi + Γ2is Y s =
0, for i = 2,
so the only nonzero components are Y,11 = x2 , Y,12 = 2x. Then we have
∂ ∂ ∂ ∂
∇X Y = −y · x2 + (−y) · 2x = −x2 y − 2xy .
∂x ∂y ∂x ∂y
and
j ∂Tkj
Tk,i = + Γjis Tks − Γtik Ttj .
∂xi
Hw. Compute ∇x ω and ∇X (Y ⊗ ω) effectively.
38 CHAPTER 1. TENSOR ALGEBRA AND ANALYSIS
The tensor G = δij dxi ⊗ dxj ∈ T20 ( R n ), which provides the scalar product at each
point of D = R n , will be called Riemannian metric on R n .
More general, for a real Euclidean space Vn , the scalar product provides a tensor
of type (0, 2) which is symmetrical and positive definite, called Riemannian metric
on Vn .
Let now D be an open subset of R n .
1.7.1 Definition. A tensor field g ∈ T20 (D) such that for all x ∈ D, g(x) is a
Riemannian metric on Tx D, is called Riemannian metric on the set D and the pair
(D, g) is called Riemannian manifold.
Examples. 1. On D = R n , the tensor field
∂xi ∂xj
gi0 j 0 = gij , i0 , j 0 = 1, n. (35)
∂xi0 ∂xj 0
Using the Riemannian metric g ∈ T20 (D), we compute the following geometric objects
a) the scalar product of X, Y ∈ X (D), given by hX, Y i = g(X, Y );
p
b) the norm of a vector field X ∈ X (D), given by ||X|| = g(X, X);
c) the angle θ ∈ F(D) between two vector fields X, Y ∈ X (D), given by the
relation
g(X, Y )
cos θ = , θ ∈ [0, π];
||X|| · ||Y ||
the two vector fields are called orthogonal, and we write X ⊥g Y iff g(X, Y ) = 0;
d) the length of a curve γ : I = [a, b] → D, given by
Z p
l(γ) = g(γ 0 (t), γ 0 (t))dt.
I
1.7. RIEMANNIAN METRICS AND ORTHOGONAL COORDINATES 39
For a metric g = gij (x)dxi ⊗ dxj , we can associate the matrix [g] = (gij )i,j=1,n .
The entries of the inverse matrix [g]−1 = (g ij )i,j=1,n define the reciprocal tensor field
∂ ∂
g −1 = g ij i
⊗ ∈ T02 (D)
∂x ∂xj
of the metric g. Then, denoting [g −1 ] = (g ij ) i,j=1,n = [g]−1 , we have the obvious
relations
[g] · [g −1 ] = In ⇔ gij g jk = δik , i, k = 1, n.
∂ j ∂
Remarks. 1o . For X = X i ∂x i,Y = Y
i j
∂xj ∈ X (D), we have g(X, Y ) = gij X Y .
2o . The Riemannian metric g and its reciprocal tensor field g −1 are used for
”raising” and ”lowering” the indices of a tensor field, like shown below:
a) The correspondence
X ∈ T01 (D) → ω ∈ T10 (D)
is produced by ωi = X s gsi ;
b) The correspondence
ω ∈ T10 (D) → X ∈ T01 (D)
is produced by X i = ωs g is ;
c) The tensor field S ∈ T11 (D) produces the tensor field
(∇X g)(Y, Z) ≡ ∇X (g(Y, Z)) − g(∇X Y, Z) − g(Y, ∇X Z), for all X, Y, Z ∈ X (D).
∂gij
0 = gij;k ≡ − Γhki gjh − Γhkj gih (36)
∂xk
where the sign ”(!)” indicates no summation (i.e., exception from the Einstein rule)
in indices i0 . Then we have
i X n
0 ∂ i0 ∂x ∂ i0 0
X = Xi i0 = X i 0 i
≡ X t i0 = (Hi0 X i )ei0 .
∂x ∂x ∂x 0 i =1
1.7.3 Definition. The components of the vector field X ∈ X (D) introduced above
have the following names
0
Xi = contravariant components
Xj 0 = covariant components
0
Hi0 X i (!) = physical components.
0
Generally, the contravariant components of a covariant field ω = ωi0 dxi ∈ X ∗ (D) are
0 0 0 0 ∂
ω i = g i s ωs0 , and ω i ∈ X (D).
∂xi0
Consequently,
ωi0 = covariant components
i0 i0 i0 1
ω = g ωi0 = 2 ωi0 no summation = contravariant components
Hi0
0
Hi0 ω i = H1 0 ωi0 no summation = physical components.
i
1.7.3. Exercises
1. Compute the components of the metric, the Lamé coefficients and the Christof-
fel symbols in spherical and cylindrical coordinates, in M = R 3 \Oz.
Solution. We change the Cartesian coordinates to the cylindrical ones,
0 0 0
(x1 , x2 , x3 ) = (x, y, z) → (x1 , x2 , x3 ) = (ρ, θ, z),
and the new components are related to the old ones via the formulas
X ∂xi ∂xi 3
∂xi ∂xj ∂xi ∂xj
gi0 j 0 = gij · 0 0 = δ ij · 0 0 = i0 ∂xj 0
, i0 , j 0 = 1, 3. (39)
∂xi ∂xj ∂xi ∂xj i=1
∂x
42 CHAPTER 1. TENSOR ALGEBRA AND ANALYSIS
We remark that the right term is the scalar product between the column-vectors i0
and j 0 of the Jacobian matrix
µ i¶ cos θ −ρ sin θ 0
∂x
= sin θ ρ cos θ 0 .
∂xi0 i,i0 =1,3
0 0 1
Replacing the corresponding entries in (39), one gets the matrix of the new compo-
nents
1 0 0
(gi0 j 0 )i0 ,j 0 ∈1,3 = 0 ρ2 0 ,
0 0 1
and g decomposes in cylindrical coordinates as
g = 1dρ ⊗ dρ + ρ2 dθ ⊗ dθ + 1dz ⊗ dz.
Variant. One can compute the square of the arc element ds2 = dx2 + dy 2 + dz 2 , i.e.,
g = dx ⊗ dx + dy ⊗ dy + dz ⊗ dz
by direct replacement of the differentials
dx = cos θ dρ − ρ sin θ dθ
dy = sin θ dρ + ρ cos θ dθ
dz = dz,
and infer the same result. The components of g provide the Lamé coefficients for
cylindrical coordinates √
Hρ = g10 10 = 1
√
Hθ = g20 20 = ρ
√
Hz = g30 30 = 1.
Using non-primed indices now in cylindrical coordinates, the coefficients of the Levi-
Civita connection are given by the formulas
1 is
Γijk = g (∂j gsk + ∂k gsj − ∂s gjk ), i, j, k = 1, 3,
2
where we denoted ∂i = ∂/∂xi , i = 1, 3. For computing them one determines first the
matrix of the reciprocal tensor field g −1 of g,
1 0 0
(g ij )i,j=1,3 = 0 1/ρ2 0 .
0 0 1
Then one obtains, e.g., from the total amount of 33 = 27 components,
1 1s
Γ111 = 2 g (∂1 gs1 + ∂1 gs1 − ∂s g11 ) = 0
1 1s
Γ112 = Γ121 = 2 g (∂2 gs1 + ∂1 gs2 − ∂s g12 ) = 0.
1.8. DIFFERENTIAL OPERATORS 43
In the following, we generalize these operators for the case when the coordinates
on D ⊂ R n are arbitrary, and consequently D is endowed with a Riemannian metric
g ∈ T20 (D), having the covariant components gij and the contravariant ones g ij ,
related by (38). The Riemannian metric g induces the Riemannian connection ∇.
1.8.2 The gradient, grad : f ∈ F(D) → grad f ∈ X (D) is defined by the
relation
g(X, grad f ) = df (X) ≡ X(f ), for all X ∈ X (D). (40)
∂f
Since df = ωi dxi ∈ X ∗ (D) has the components ωi = ∂xi , i = 1, n, we easily obtain
the (contravariant !) components of grad f , namely
∂f ∂
X i = g ij ≡ g ij ωj , grad f = X i ∈ X (D),
∂xj ∂xi
44 CHAPTER 1. TENSOR ALGEBRA AND ANALYSIS
so that µ ¶
∂f ∂
grad f = g ij j ∈ X (D).
∂x ∂xi
This operator has the following properties
∂f
= 0, i ∈ 1, n,
∂xi
give the critical points of f ∈ F(D). The system can be briefly rewritten in the form
grad f = 0.
α : I ⊂ R → Σ ⊂ R n,
we infer that
∂f dxi
=0 ⇔ g( grad f, α0 ) = 0.
∂xi dt
1.8. DIFFERENTIAL OPERATORS 45
Indeed
µ ¶ s s
0 ri ∂f dx i ∂f dx ∂f dxi
g( grad f, α ) = grs g = δ s = = 0,
∂xi dt ∂xi dt ∂xi dt
In coordinates,
Hess f = ( Hess f )jk dxj ⊗ dxk (42)
with the components
∂2f ∂f
( Hess f )jk = j k
− Γhjk h , j, k = 1, n, (43)
∂x ∂x ∂x
where Γijk are the Christoffel symbols of g. The tensor field Hess f is called the
Hessian of f . The operator Hess is intensively used in the theory of extrema.
1.8.4 The divergence is the operator div : X (D) → F(D), given by
∂X i ∂
div X = X,ii = + Γiik X k , for all X = X i i ∈ X (D). (44)
∂xi ∂x
i
We remind that X,ji = ∂X i k
∂xj + Γjk X , and that the sum about i above means the
∂
transvection tr1 of the (1, 1)-type field T = X,ji ∂x
1 j 1
i ⊗ dx ∈ T1 (D).
1.8.7 Let us change the Cartesian coordinates (x, y, z) to the orthogonal coor-
dinates (u, v, w), via the formulas
x = x(u, v, w)
y = y(u, v, w)
z = z(u, v, w).
Consider the three coordinate lines and the three coordinate surfaces through this
point; for example, the (u)-line is given parametrically by
x = x(u, v0 , w0 )
y = y(u, v0 , w0 )
z = z(u, v0 , w0 )
We suppose that the new system is orthogonal (i.e., the tangents to the coordinate
lines are mutually orthogonal).
Let ~r = x(u, v, w)~i + y(u, v, w)~j + z(u, v, w)~k be the position vector and the partial
derivatives
∂~r ∂~r ∂~r
~ru = , ~rv = , ~rw = .
∂u ∂v ∂w
These vectors are mutually orthogonal, and the Lamé coefficients of the new coordi-
nate system are the norms
and one can normalize the family of these vectors, obtaining the orthonormal basis
{~eu , ~ev , ~ew } ⊂ X ( R 3 ) given by
1 1 1
~eu = ~ru , ~ev = ~rv , ~ew = ~rw .
Hu Hv Hw
The area element in the plane x = x0 , expressed in Cartesian coordinates is
not
dσ = dy ∧ dz = dy dz,
48 CHAPTER 1. TENSOR ALGEBRA AND ANALYSIS
where the coefficients of the linear combination above are the physical components of
grad f .
Also, in physical components, we have
~ = Vu~eu + Vv ~ev + Vw ~ew ∈ X (D), D ⊂ R 3 ;
V
~ rewrite
the rotor and the divergence of the vector field V
¯ ¯
¯ Hu~eu Hv ~ev Hw ~ew ¯
¯ ¯
1 ¯ ∂ ¯
~ =
curl V ¯ ∂ ∂ ¯
Hu Hv Hw ¯¯ ∂u ∂v ∂w ¯
¯
¯ Hu V u Hv V v Hw V w ¯
· ¸ (48)
~ 1 ∂ ∂ ∂
div V = (Vu Hv Hw ) + (Vv Hw Hu ) + (Vw Hu Hv ) =
Hu Hv Hw ∂u ∂v ∂w
1 ∂
= S (Vu Hv Hw ),
H uvw ∂u
where H = Hu Hv Hw . Moreover, since ∆f = div ( grad f ), for all f ∈ F(D), replac-
~ with grad f , we obtain the expression of the Laplacian of f ,
ing V
· µ ¶ µ ¶ µ ¶¸
1 ∂ ∂f Hv Hw ∂ ∂f Hw Hu ∂ ∂f Hu Hv
∆f = + + =
Hu Hv Hw ∂u ∂u Hu ∂v ∂v Hv ∂w ∂w Hw
µ ¶
1 ∂ ∂f Hv Hw
= S .
H uvw ∂u ∂u Hu
(49)
1.8. DIFFERENTIAL OPERATORS 49
~ (f ) = g(V
Since V ~ , grad f ), we find also
1.8.9. Exercises
1. Find the Lamé coefficients for cylindrical coordinates.
Solution. Considering the change from Cartesian coordinates to cylindrical coor-
dinates 0 0 0
(x1 , x2 , x3 ) = (x, y, z) → (x1 , x2 , x3 ) = (ρ, θ, z),
we obtain the vector field ~r = ρ cos θ~i + ρ sin θ~j + z~k, and the partial derivatives
~ru = ~rρ = cos θ~i + sin θ~j
~r = ~rθ = −ρ sin θ~i + ρ cos θ~j
v
~rw = ~rz = ~k.
The Lamé coefficients are
Hu = ||~ru || = 1
Hv = ||~rv || = ρ
Hw = ||~rw || = 1,
and the orthonormal basis is
~eu = cos θ~i + sin θ~j
~ev = − sin θ~i + cos θ~j
~ew = ~k.
Since in the new orthogonal coordinates (u, v, w), the natural metric
g = δij dxi dxj = dx2 + dy 2 + dz 2
of R 3 rewrites
g = Hu2 du2 + Hv2 dv 2 + Hw2 dw2 ,
we obtain in cylindrical coordinates
g = ds2 = dρ2 + ρ2 dθ2 + dz 2 .
Hw. Show that for spherical coordinates (r, ϕ, θ) provided by the relations between
the Cartesian/spherical coordinates (26), we obtain the Lamé coefficients
Hr = 1, Hϕ = r, Hθ = r sin ϕ.
2. In the Poincaré plane H = {(x, y) ∈ R 2 | y > 0}, with the metric g ∈ T20 (H)
of components
1
g11 = g22 = 2 , g12 = g21 = 0,
y
compute
dY ) between the vector fields X, Y , where
a) the angle θ = (X,
∂ ∂ ∂
X = xy + , Y =y ∈ X (H);
∂x ∂y ∂y
1
£ ¤
whence θ = acos √ ∈ 0, π2 .
1+x2 y 2
√ 2 2
1+x y
b) We obtain ||X|| = y .
c) The velocity of the parametrized curve and its speed are respectively
3. Compute the Christoffel symbols for the metric from the previous exercise.
Solution. The reciprocal tensor field of g has the matrix
µ 2 ¶
ij y 0
(g ) = .
0 y2
1.8. DIFFERENTIAL OPERATORS 51
5. Let D = R 3 \Oz be endowed with the metric g = δij dxi ⊗ dxj ∈ T20 (D).
Determine the components of the metric g in cylindrical and spherical coordinates,
and the Christoffel symbols.
Hint. The cylindrical coordinates were described in (18); the relation between the
0 0 0
Cartesian coordinates (x, y, z) = (x1 , x2 , x3 ) and the spherical coordinates (x1 , x2 , x3 ) =
(r, ϕ, θ) is described by
x = r sin ϕ cos θ
y = r sin ϕ sin θ , r ∈ (0, ∞), ϕ ∈ [0, π], θ ∈ [0, 2π). (50)
z = r cos ϕ
52 CHAPTER 1. TENSOR ALGEBRA AND ANALYSIS
0 0
Method 1. Since g = δij dxi ⊗ dxj = gi0 j 0 dxi ⊗ dxj and the relation between
the new/old components is
∂xi ∂xj
gi0 j 0 = gij , (51)
∂xi0 ∂xj 0
³ i´
∂x
using (50), one determines the matrix C = ∂x i0
0
and replaces in (51).
i,i =1,3
dx = d(r sin ϕ cos θ) = sin ϕ cos θ dr + r cos ϕ cos θ dϕ − r sin ϕ sin θ dθ,
6. Write the formulas (47), (48), (49) for grad f, div X, ∆f, curl X in cylin-
drical and spherical coordinates, on D ⊂ R 3 \Oz.
∂
8. Let be the vector field X = yx ∂y ∂
− y 2 ∂x ∂
+ z ∂z ∈ X ( R 3 ). Compute
a) div X ∈ F ( R 3 );
b) curl X ∈ X ( R 3 ).
3
X ∂X i
Solution. a) The divergence of X is div X = = x + 1.
i=1
∂xi
b) The curl of X is
¯ ¯ ¯ ¯
¯ ~i ~j ~k ¯ ¯ ~i ~j ~k ¯
¯ ∂ ¯ ¯ ∂ ¯
curl X = ¯¯ ∂x ∂
∂y
∂ ¯
∂z ¯
= ¯¯ ∂x ∂
∂y
∂ ¯
∂z ¯
= 0~i + 0~j + (y + 2y)~k = 3y~k.
¯ X1 X 2
X 3 ¯ ¯ −y 2 xy z ¯
1.8. DIFFERENTIAL OPERATORS 53
∂ ∂
9. Let be given X = xy ∂x , f (x, y) = x − y 2 , Y = xy ∂y . Check the following
relations:
a) div (f X) = X(f ) + f div X;
b) div (aX + bY ) = a div X + b div Y , (for a = 5 and b = −1).
µ ¶
2 1 + x2 0
10. Let D = R endowed with the metric g of matrix [g] = .
0 1
a) Compute the gradient (40) of the function f (x, y) = xy 2 , f ∈ F( R 2 ).
b) For a = 5, b = 7 and g(x, y) = x − y, check that
grad (af
µ + ¶ bg) = a grad f + b grad g
f 1
grad = (g grad f − f grad g).
g g2
y2 ∂ ∂
Hence applying the formula (40), we get grad f = 1+x2 ∂x + 2xy ∂y .
Hw. Solve b). For c), we remark that
2x ∂ ∂
grad f = 0 ⇔ + 2y = 0 ⇒ (x, y) = (0, 0) ∈
/ Dom f,
1 + x2 ∂x ∂y
whence
√
0 2 c cos t √ √ √
g(γ , ∇f ) = (− c sin t)(1 + c2 cos2 t) + 2 c sin t · c cos t = 0,
1 + c cos2 t
for all t ∈ I, so grad f ⊥ Γ.
54 CHAPTER 1. TENSOR ALGEBRA AND ANALYSIS
The variation
√ Du (f ) of f in the direction provided by a versor u = (a, b) (hence
satisfying a2 + b2 = 1) is given by Du (f ) = hu, grad f i. Its absolute value is subject
to the Cauchy-Schwarz inequality
sµ ¶2
y2
|hu, grad f i| ≤ ||u|| · || grad f || = || grad f || = + (2xy)2
1 + x2
and is maximized only when the relation above becomes equality, which takes place
iff u is collinear to grad f , i.e., when the variation is considered in the direction of
grad f . Hence grad f shows the direction of the steepest increase of f at any point
of R 2 .
∂ ∂
X = xy −z ∈ X ( R 3 ),
∂y ∂x
Hint. The only nonzero components of the Levi-Civita connection on the Poincaré
plane are
1 1
Γ112 = Γ121 = Γ222 = − , Γ211 = .
y y
1 1
Also, since g11 = g22 = 2
, g12 = g21 = 0, we have G = det (gij )i,j=1,2 = 4 .
y y
1.8. DIFFERENTIAL OPERATORS 55
∂
13. Compute the curl (rotor) of the vector field X = x ∂y ∂
− z ∂z ∈ X ( R 3 ).
Hint. Use the formula
· ¸
∂ h ∂ h
ω = curl X = (g hj X ) − (ghi X ) dxi ⊗ dxj .
∂xi ∂xj
14. Let D ⊂ R 3 be endowed with the metric gij = δij . Consider the function
∂
f (x, y, z) = x2 z, f ∈ F(D), and the vector field X = xz ∂y , X ∈ X (D). Compute
grad f, Hess f, ∆f, curl X and div X in cylindrical and in spherical coordinates.
∂f ∂
grad f = g ij ∂x i ∂xj
³ 2 ´
∂ f ∂f
Hess f = ∂xj ∂xk − Γijk ∂x i dxj ⊗ dxk
³√ ´
∂f
∆f = div ( grad f ) = √1G ∂x ∂
s G g rs ∂x r (52)
· ¸
1 ∂ ∂ ∂
curl X =√ S j
(gks X s
) − k
(gjs X s
)
G ijk ∂x ∂x ∂xi
√
div X = √1G ∂x ∂
i( GX i ),
where by S we denoted the cyclic sum over the indices {1, 2, 3} = {i, j, k}. In our
ijk
case, we have
gij = δij ; g ij = δ ij ; G = det (gij )i,j=1,3 = 1,
³ ´
∂g ∂gjk
and Γijk = 12 g is ∂xjsk + ∂g
∂x
ks
j − ∂x s ≡ 0, whence the formulas become
∂f ∂ ∂f ∂ ∂f ∂
grad f = ∂x ∂x + ∂y ∂y + ∂z ∂z
∂2f
Hess f = ∂xj ∂xk
dxj ⊗ dxk
X3
∂2f
∆f =
i=1
∂xi2
³ k ´
∂X j
curl X = S ∂X
∂xj − ∂xk
∂
∂xi , where {i, j, k} = {1, 2, 3}
ijk
X3
∂X i
div X = .
i=1
∂xi
56 CHAPTER 1. TENSOR ALGEBRA AND ANALYSIS
and
∂X 2 ∂ ∂X 2 ∂
curl X = − + 2,
∂x3 ∂x1 ∂x1 ∂x3
∂ ∂
whence curl X = −x ∂x +z ∂z . Then, after changing the coordinates, one can compute
the new components of the tensor fields
with the corresponding formulas of change of components, and express these tensor
0 0 0
fields with respect to the new coordinates (x1 , x2 , x3 ) ≡ (ρ, θ, z) or, respectively
(r, ϕ, θ) for spherical coordinates.
Method 2.
0 0 0
• Determine the new components (X 1 , X 2 , X 3 ) of X and rewrite f in new co-
ordinates.
0 0
• We have G = δij dxi ⊗ dxj = gi0 j 0 dxi ⊗ dxj . For computing the components
∂xi ∂xj
gi0 j 0 , we either use the new/old components relations gi0 j 0 = ∂x i0 ∂xj 0 gij , or
∂xi 0
compute directly dxi = ∂xi0
dxi and replace in g. As consequence, one gets for
cylindrical coordinates
g = dρ ⊗ dρ + ρ2 dθ ⊗ dθ + dz ⊗ dz,
and
g = dr ⊗ dr + r2 dϕ ⊗ dϕ + r2 sin2 ϕ dθ ⊗ dθ,
in spherical coordinates.
• Apply the general formulas (35) and (18), whence
for cylindrical coordinates, and respectively (35) and (50) for spherical coordin-
ates, obtaining
√ √ √
• Hu = g10 10 , Hv = g20 20 , Hw = g30 30 , or
• Hu = ||~ru ||, Hv = ||~rv ||, Hw = ||~rw ||, i.e., the lengths of the partial derivatives
of the position vector
Hu = 1, Hv = ρ, Hw = 1,
and consider the attached orthonormal basis {~eu , ~ev , ~ew } of the F(D)-module X (D)
given by the relations
1 ∂ 1 ∂ 1 ∂
~eu = , ~ev = , ~ew = .
Hu ∂u Hv ∂v Hw ∂w
Then we have
0 ∂ 0 ∂ 0 ∂
V =V1 +V2 +V3 = Vu~eu + Vv ~ev + Vw ~ew ,
∂u ∂v ∂w
whence we infer the physical components of V
0
V u = Hu X 1
Vu = sin v · Hu = sin v
0
V v = Hv X 2 ⇒ Vv = (−w) · Hv = −wu
0
V w = Hw X 3 Vw = 0.
div V = 1
S ∂
H uvw ∂u (Vu Hv Hw ) ,
17. Consider the Poincaré 2-plane H = {(x, y) ∈ R 2 | y > 0}, endowed with the
metric
1
gij (x, y) = 2 δij , i, j = 1, 2.
y
p
Let be given the function f (x, y) = x2 + y 2 and the vector field
∂ ∂
X=y + x2 y ∈ X (M ).
∂x ∂y
Determine grad f, Hess f, div X, ∆f and curl X.
Hint. We use the formulas (52).
1o . The metric g and its reciprocal tensor g −1 have respectively the components
µ 1 ¶ µ 2 ¶
y2 0 ij y 0
(gij )i,j=1,2 = , (g )i,j=1,2 = .
0 y12 0 y2
1 1
Γ112 = Γ121 = Γ222 = − , Γ211 = ,
y y
and all the other components are null.
3o . The determinant of [g] is G = y14 , so √1G = y 2 , and applying the formula, we
find ³ ³ ´ ³ ´´
∂( 12 X i )
∂ 1 ∂ 1
div X = y 2 · y∂xi = y 2 ∂x y2 · y + ∂y y 2 · x 2
y =
−1
= y 2 · x2 · y2 = −x2 .
4o . Hw. Compute ∆f .
5o . Lowering the indices of X and denoting ωk = gsk X s we rewrite
µ ¶
∂ωj ∂ωi
curl X = − dxi ⊗ dxj .
∂xi ∂xj
By direct computation, we find
1 1
ω1 = g11 X 1 = y2 ·y = y
ω2 = g22 X 2 = 1
· x2 y = x2
y2 y .
1.9 q−forms
Let V be an n-dimensional real vector space.
1.9.1 Definition. A q-form (or a form of order q) over the space V is a tensor
ω ∈ Tq0 (V ) which is antisymmetric.
Let ω ∈ Tq0 (V ) be a q-form. The antisymmetry of ω can be expressed by the
relation
ω(vσ(1) , . . . , vσ(q) ) = ( sign σ ) ω(v1 , . . . , vq ),
for all the permutations σ of {1, . . . , q} and for all v1 , . . . , vq ∈ V .
Denote by Fq (V ) the set of all q-forms on V . This has a natural structure of real
vector space. Its dimension is
(
Cnq , for q ∈ {0, 1, 2, . . . , n}
dim Fq (V ) =
0, for q > n.
60 CHAPTER 1. TENSOR ALGEBRA AND ANALYSIS
∧ : (ω 1 , ω 2 ) ∈ Fp (V ) × Fq (V ) → ω 1 ∧ ω 2 ∈ Fp+q (V )
given by
1 X
(ω 1 ∧ ω 2 )(v1 , . . . vp , vp+1 , . . . , vp+q ) = ( sign σ ) ω 1 (vσ(1) , . . . , vσ(p) )·
(p + q)!
·ω 2 (vσ(p+1) , . . . , vσ(p+q) ),
The numbers ωi1 ...iq ∈ R are called the components of the q−form.
1.9.4. Exercises
{ω, e1 ∧ e3 ∧ e4 , e2 ∧ e3 ∧ e4 , e1 ∧ e2 ∧ e4 }.
where ωi1 ,...,iq ∈ F(D) are called the components of the differential q−form.
given by
(X ω)(X1 , . . . , Xq−1 ) = ω(X, X1 , . . . , Xq−1 ),
for all Xi ∈ X (D), i = 1, q − 1. Then the differential (p − 1)−form X ω ∈ Fq−1 (D)
is called also the interior product between X and ω.
The components of X ω are given by
1.10.2.2 Definition. The function d : Fq (D) → Fq+1 (D), for all q ≥ 0, which
satisfies
a) d2 = 0;
b) d(ω 1 ∧ ω 2 ) = dω 1 ∧ ω 2 + (−1)pq ω 1 ∧ dω 2 , for all ω 1 ∈ Fp (D), ω 2 ∈ Fq (D);
c) X(dω) = d(X(ω)), where
In particular:
1.10. DIFFERENTIAL Q−FORMS 63
1.10.2.4 Remarks. For D ⊂ R 3 endowed with the metric g = δij dxi ⊗ dxj , the
1-forms and the 2-forms can be converted into vector fields using the rules
3
X
i ∂
ω = ωi dx ∈ F1 (D) ↔ ωi ∈ X (D)
(1)
i=1
∂xi
∂
ω = ωi dxi ↔X = X i ∈ X (D), ω ∈ F1 (D)
(1) ∂xi
by means of the relations
ωi = δis X s ; X i = δ is ωs . (53)
Particularly, we have the correspondence
1.10.3. Exercises
∂
1. Let X = x ∂z ∈ X (D), D ⊂ R 3 and
∂
a) X ω, where X = x , ω = xz dx ∧ dy − y dy ∧ dz;
∂z
b) dω, where ω = xz dx ∧ dy − y dy ∧ dz;
c) ω ∧ η, η ∧ ω, where η = xdx + 2ydz;
d) df, d2 f , where f (x, y, z) = x + 2yz.
Consider as well the case ω = xdy + ydz.
∂
Solution. a) If X = X i ∂x i and ω = ωi1 ...ip dx
i1
∧ . . . ∧ dxip , then
∂
ω = ωij dxi ∧ dxj , X = X i ,
∂xi
we obtain the components
0 xz 0
ω12 = xz = −ω21 , ω23 = −y = −ω32 , ω31 = ω13 = 0 ⇒ [ω] = −xz 0 −y
0 y 0
∂ ∂
For ω = xdy+ydz = ωi dxi ∈ F1 (D), and X = x ∂z ≡ X i ∂x i ∈ X (D), the components
θ = X k ωk = X 1 ω1 + X 2 ω2 + X 3 ω3 ⇒ ω X = xy.
we infer
ω ∧ ω, η ∧ η, ω ∧ ω ∧ η.
d2 f = d(df ) = 0 ∈ F2 (D).
provided by
αi dxi ↔
(1) ∂
αi ∂x i
(2)
aij dxi ∧ dxj ↔ ak ∂x∂ k , with ak = aij , for {i, j, k} = {1, 2, 3},
66 CHAPTER 1. TENSOR ALGEBRA AND ANALYSIS
3. Check that in D ⊂ R 3 endowed with the metric gij = δij , the following
relations hold true (i.e., the 1-forms and 2-forms can be converted to vector fields)
(1)
df ↔ grad f
(2) (1)
dω ↔ curl X, in case that ω ↔ X
(2)
dη = (div Y ) dx1 ∧ dx2 ∧ dx3 , in case that η ↔ Y.
Apply these correspondences for the fields f (x, y, z) = xy, f ∈ F0 (D) = F(D), for
ω = xydz ∈ F1 (D) and for η = xzdy ∧ dz ∈ F2 (D).
∂(1)
• The relation ω = xydz ↔ X = xy ∂z implies X 1 = X 2 = 0, X 3 = xy. Then
one gets
dω = −ydz ∧ dx + xdy ∧ dz
and, based on the formula
µ ¶
∂X j ∂X i (2) ∂
curl X = Σ − dxi ∧ dxj ↔ Z k k , {i, j, k} = {1, 2, 3},
i<j ∂xi ∂xj ∂x
we compute
∂X 3 ∂X 2 ∂ ∂
Z1 = − = x, Z 2 = −y, Z 3 = 0 ⇒ Z = x −y ,
∂x2 ∂x3 ∂x ∂y
(2)
which shows that dω ↔ curl X.
1.10. DIFFERENTIAL Q−FORMS 67
(2) ∂ ∂(xz)
• The relation η ↔ Y provides Y = xz ∂x , whence div Y = ∂x = z. On the
other hand,
dη = zdx ∧ dy ∧ dz,
whence the equality
dη = (div Y )dx1 ∧ dx2 ∧ dx3
holds true.
This is a 4-form. Taking into account (54) we have that all the 4-forms in R 3 are
null, hence we have ω ∧ θ = 0.
Hw. Check this by direct computation, applying (54).
∂ωi1 ...ir
dω = dωi1,...,ir ∧ dxi1 ∧ . . . ∧ dxir = dxi ∧ dxi1 ∧ . . . ∧ dxir ,
∂xi
for all ω ∈ Fr (D), we find
a) dω = 0;
b) dω = xexy dy ∧ dx ∧ dz = −xexy dx ∧ dy ∧ dz;
−1
c) dω = (dx ∧ dy + dx ∧ dz + dy ∧ dx + dy ∧ dz + dz ∧ dx + dz ∧ dy) = 0.
(x + y + z)2
In the last case, we remark that ω is an exact form,
ω = d(ln |x + y + z|),
Fig. 1
69
70 CHAPTER 2. FIELD LINES AND HYPERSURFACES
the vector differential equation (55) is written under the form of an autonomous
differential system
dx1 = X1 (x1 , . . . , xn )
dt
... (56)
dx
n
= Xn (x1 , . . . , xn ).
dt
The existence and uniqueness theorem for a Cauchy problem associated to this
system can be reformulated as
2.1.2 Theorem. If X is a vector field of class C 1 , then for any x0 ∈ D, t0 ∈ R ,
there exists an open interval I and a field line α : I → D with the properties:
a) α(t0 ) = x0 ;
b) if β : J → D is any other field line of X such that β(t1 ) = x0 , then J ⊆ I and
The curve α is called the maximal field line of X which passes through x0 .
X(x1 , x2 ) = (−x2 , x1 ).
dxi
= Xi (x)
dt
is equivalent to
X n µ ¶
dyj ∂yj
= Xi (ϕ−1 (y)), j = 1, n,
dt i=1
∂xi
or, equivalently,
dyj
= (DX yj )(ϕ−1 (y)).
dt
½
0, for j = 1, n − 1
The following theorem gives conditions under which DX yj =
1, for j = n.
2.1.3 Theorem (Rectification Theorem). If X = (X1 , . . . , Xn ) is a vector
field of class C 1 on D and x0 satisfies X(x0 ) 6= 0, then there exists a neighborhood U
of x0 and a diffeomorphism ϕ : U → V ⊂ R n , y = ϕ(x) of class C 1 , such that the
dxi
system = Xi (x) on Ux0 is reduced to
dt
dy1 dyn−1 dyn
= 0, . . . , = 0, =1
dt dt dt
on the domain V = ϕ(U ).
Definition. A function f : D → R is called first integral for the differential
system (56) iff DX f = 0.
This definition is equivalent to any of the two following assertions:
a) f is constant along any field line of X;
b) any orbit of X is contained in one single set of constant level of f .
Hw. Check that the Hamiltonian function H : R 2n → R is a (global) first
integral of the Hamiltonian system
dxi ∂H dyi ∂H
=− ; = ,
dt ∂yi dt ∂xi
i.e., it satisfies DX H = 0, where X is the associated Hamiltonian field
∂H ∂H
X = (X1 , . . . , Xn , Xn+1 , . . . , X2n ), Xi = − , Xn+i = , i = 1, n.
∂yi ∂xi
72 CHAPTER 2. FIELD LINES AND HYPERSURFACES
dx1 dxn
dt = = ... = ,
X1 (x1 , . . . , xn ) Xn (x1 , . . . , xn )
which is called the symmetric differential system associated to the vector field X. Then
the first integrals of X can be determined from (58) using the method of integrable
combinations: if there exist the functions λj : D → R , j ∈ 1, n and f : D → R such
that
X n
λj (x)dxj
dx1 dxn j=1 df
= ... = = n = , (59)
X1 Xn X 0
λj Xj
j=1
Example. The following symmetric differential system admits the integrable com-
binations and the outgoing first integrals pointed out below:
• express, e.g., x1 , . . . , xn−2 from the equations f1 (x) = C1 , . . . , fn−2 (x) = Cn−2
in terms of C1 , . . . , Cn−2 ;
• replace them into the system (58); the original symmetric differential system
reduces to a differential equation in xn−1 and xn ;
We should note that the procedure applies for any subset of n − 2 variables expressed
and substituted in the original symmetric differential system.
Example. The symmetric differential system
dx dy dz
= = 2
x2 xy y
We obtain the second first integral by using the first one: we use the relation
f1 (x, y, z) = C1 ⇔ y/x = C1 ⇒ y = C1 x,
74 CHAPTER 2. FIELD LINES AND HYPERSURFACES
and replacing y in the symmetric system, we obtain from the equality of the extreme
ratios
dx dz dx dz 1
2
= 2 ⇔ 2
= 2 2 ⇒ dx = 2 dz,
x y x C1 x C1
whence, by integration one gets x = Cz2 + C2 ; then, substituting C1 = y/x, we infer
1
the second first integral of the symmetric differential system,
z x(y 2 − zx)
f2 (x, y, z) = x − = .
(y/x)2 y2
Hw. Find the first integrals for the following vector fields:
~ = xz~i + z(2x − y)~j − x2~k;
a) V
~ = x2 (y + z)~i − y 2 (z + x)~j + z 2 (y − x)~k;
b) V
~ = y 2 z 2~i + xyz 2~j + xy 2~k.
c) V
Let X be a C ∞ vector field on R n . It defines the corresponding differential equa-
tion
dα
= X(α(t)),
dt
with an arbitrary initial condition α(0) = x. The solution αx (t), t ∈ I = (−ε, ε)
(x ∈ U ⊂ R n ), generates a local diffeomorphism T t : U → R n , T t (x) = αx (t), t ∈ I,
solution of the operator differential equation
dT t
= X ◦ T t , T 0 = id,
dt
which we call local flow on R n generated by X (local group with one parameter of
diffeomorphisms). The approximation y = x + tX(x) of T t (x) is called infinitesimal
transformation generated by X.
If the solution αx (t) exists for arbitrary x ∈ R n , t ∈ R , the field X is called
complete, and the flow T t (x) = αx (t) is called global.
2.1.5 For determining numerically some points of a field line of a given vector
field X and which passes through the initial point x0 at the moment t = 0, one can
apply, e.g.,
The Runge-Kutta method. Let X be a vector field of class C 2 on D ⊂ R n and
the Cauchy problem
dx
= X(x), x(t0 ) = x0 .
dt
The iterative method of Runge-Kutta for determining the approximate solution of the
Cauchy problem is based on formulas
1
x∗k+1 = x∗k + [k1 + 2(k2 + k3 ) + k4 ], k = 0, 1, . . . , n,
6
2.1. FIELD LINES AND FIRST INTEGRALS 75
where
µ ¶ µ ¶
k1 k2
k1 = hX(x∗k ), k2 = hX x∗k + ∗
, k3 = hX xk + , k4 = hX(x∗k + k3 )
2 2
2.1.6. Exercises
X = (x − y + z, 2y − z, z), X ∈ X ( R 3 ),
dx dy dz
= = ,
x−y+z 2y − z z
76 CHAPTER 2. FIELD LINES AND HYPERSURFACES
dy 2
which provides the linear equation = y −1 with the general solution y = c2 z 2 +z.
dz z
d(x + y) dz
Then = has the general solution x + y = c1 z.
x+y z
Note. Since divX = 4 > 0, the global flow T t : R 3 → R 3 ,
Note. Consider the vector field (X1 , . . . , Xn ) and the diffeomorphism xi0 = xi0 (xi ),
i0 = 1, n. The new components of the vector field are (X10 , . . . , Xn0 ), where
n
X ∂xi0
Xi0 = Xi .
i=1
∂xi
assigned to the non-homogeneous equation, shows that x10 , . . . , x(n−1)0 are the first
integrals that determine the field lines, and xn0 is determined from
dxn
x10 (x1 , . . . , xn ) = c1 , . . . , x(n−1)0 (x1 , . . . , xn ) = cn−1 , dxn0 = .
Xn (x1 , . . . , xn )
3. For each of the following vector fields, determine the field lines by the method
of the integrable combinations and fix a local rectifying diffeomorphism.
~ = xz~i + z(2x − y)~j − x2~k;
a) V
~ = x2 (y + z)~i − y 2 (z + x)~j + z 2 (y − x)~k;
b) V
~ = y 2 z 2~i + xyz 2~j + xy 2 z~k;
c) V
~ = xz~i + yz~j − (x2 + y 2 )~k;
d) V
~ = (y − z)~i + (z − x)~j + (x − y)~k;
e) V
~ = x(y − z)~i + y(z − x)~j + z(x − y)~k.
f) V
Solution. a) The symmetric differential system that determines the field lines is
dx dy dz
= = .
xz z(2x − y) −x2
x2 + z 2 = c1 , x(x − y) = c2 ,
and specify that the Jacobi matrix assigned to the first integrals x2 + z 2 and x2 − xy
is à !
2x 0 2z
.
2x − y −x 0
78 CHAPTER 2. FIELD LINES AND HYPERSURFACES
where we neglect the constant of integration that yields just a translation !).
Note. Since div V~ = 0 (i.e., V~ is a solenoidal field), the associated flow of V
~
perserves the volume.
b) The symmetric differential system
dx dy dz
= = 2
x2 (y + z) −y 2 (z + x) z (y − x)
x−1 dx y −1 dy z −1 dz x−1 dx + y −1 dy + z −1 dz
= = = ,
x(y + z) −y(z + x) z(y − x) 0
x−2 dx y −2 dy −z −2 dz x−2 dx + y −2 dy − z −2 dz
= = = .
y+z −z − x −y + x 0
To these, we add the equilibrium points which are generated by the solutions of the
algebraic system
x2 (y + z) = 0, y 2 (z + x) = 0, z 2 (y − x) = 0.
We notice that
sµ ¶2
p 1 c21 c1
v3 = z (y − x) = z (x + y)2 − 4xy = z 2
2 2
c2 + −4 .
z z2 z
2.1. FIELD LINES AND FIRST INTEGRALS 79
dx dy dz
= y2 z2 , = xyz 2 , = xy 2 z,
dt dt dt
we obtain
dy dz d
y −z = 0 ⇒ (y 2 − z 2 ) = 0 ⇒ y 2 − z 2 = c1 ,
dt dt dt
(a family of hyperbolic cylinders with the generatrices parallel to Ox). Moreover, we
find
dx dy d
x −y = 0 ⇒ (x2 − y 2 ) = 0 ⇒ x2 − y 2 = c2 ,
dt dt dt
(a family of hyperbolic cylinders with the generatrices parallel to Oz).
It follows that the family of orbits is given by
( 2
y − z 2 = c1
x2 − y 2 = c2 .
We can write p
v3 = xy 2 z = c1 + c2 + z 2 (c1 + z 2 )z,
function that determines the rectifying diffeomorphism
µZ ¶¯
dz ¯
0 2 2 0 2
x =y −z , y =x −y , z = 2 0
√ ¯ .
c1 + c2 + z 2 (c1 + z 2 )z ¯ c1 =y22 −z22
c2 =x −y
dx dy dz
= xz, = yz, = −x2 − y 2 .
dt dt dt
80 CHAPTER 2. FIELD LINES AND HYPERSURFACES
d d
ln |x| = ln |y|, x 6= 0, y 6= 0
dt dt
implies x = c1 y, x 6= 0, y 6= 0 (family of parts of planes). By analogy,
dx dy dz
x +y +z =0
dt dt dt
gives
d 2
(x + y 2 + z 2 ) = 0 or x2 + y 2 + z 2 = c2 ,
dt
a family of spheres of centre at the origin. All in all, the orbits are arcs of circles
(which may degenerate in particular to points).
From
x = c1 y, x2 + y 2 + z 2 = c2 , v3 = −x2 − y 2 ,
we find v3 = z 2 − c2 . Thus,
x
x0 = , y 0 = x2 + y 2 + z 2 ,
y
Z ¯ ¯ ¯
dz ¯¯ 1 ¯ z − √c2 ¯
z0 = = √ ln ¯ ¯ √ ¯ =
z 2 − c2 ¯c2 =x2 +y2 +z2 2 c2 z + c2 ¯c2 =x2 +y2 +z2
¯ ¯
1 ¯ z − px2 + y 2 + z 2 ¯
¯ ¯
= p ln ¯ p ¯,
2
2 x +y +z 2 2 ¯ z+ x +y +z ¯
2 2 2
dx dy dz
= y − z, = z − x, =x−y
dt dt dt
admits a straight line of equilibrium points of equations x = y = z. We also infer
dx dy dz
+ + =0 ⇒ x + y + z = c1
dt dt dt
dx dy dz
x +y +z =0 ⇒ x2 + y 2 + z 2 = c2 ,
dt dt dt
which represent respectively a family of planes and a family of spheres.
Hence the orbits are circles laying in planes which are perpendicular to the straight
line x = y = z. f) Hw.
2.1. FIELD LINES AND FIRST INTEGRALS 81
4. For each of the following vector fields, determine the field lines and fix a local
rectifying diffeomorphism:
~ = (x2 − y 2 − z 2 )~i + 2xy~j + 2xz~k;
a) V
p
~ = x~i + y~j + (z + x2 + y 2 + z 2 )~k;
b) V
~ = (x − y)~i + (x + y)~j + z~k;
c) V
~ = (x + y)~i − x(x + y)~j + (x − y)(2x + 2y + z)~k;
d) V
~ = x~i + y~j + (z − x2 − y 2 )~k;
e) V
√
~ = y~i + x~j + 2xy a2 − z 2~k;
f) V
~ = (x2 − yz)~i + (y 2 − zx)~j + (z 2 − xy)~k;
g) V
~ = (xy − 2z 2 )~i + (4xz − y 2 )~j + (yz − 2x2 )~k.
h) V
In each case, find the field line that passes through the point (1,1,1).
Hint. The field lines are: a) y = c1 z, x2 + y 2 + z 2 = 2c2 z,
p
b) y = c1 x, z = c2 + x2 + y 2 + z 2 ;
dz 1 d(x2 + y 2 ) d(x−1 y)
c) = 2 2
= ;
z 2 x +y 1 + (x−1 y)2
d) x2 + y 2 = c1 , (x + y)(x + y + z) = c2 ;
e) y = c1 x, z + x2 + y 2 = c2 x;
z
f) x2 − y 2 = c1 , x2 + y 2 = 2 arcsin+ c2 ;
a
g) x − y = c1 (y − z), xy + yz + zx = c2 ;
h) z 2 + xy = c1 , x2 + yz = c2 .
In each of the following cases determine the flow generated by the Hamiltonian vector
field associated to H and specify if it is a global flow.
a) V (x) = x21 − x22 + x3 ,
b) V (x) = x21 + x2 + x3 ,
Solution. a) We obtain
√ √ √ √ √
x1 = a1 cos 2t + b1 sin 2t y1 = 2a1 sin 2t − 2b1 cos 2t
√ √ √ √ √
x2 = a2 e 2t + b2 e− 2t ; y2 = − 2a2 e 2t + 2b2 e− 2t
1 2
x3 = − t + a3 t + b3 y3 = t − a3 ,
2
t ∈ R (global flow).
M : f (x1 , . . . , xn ) = C
grad f |M 6= 0.
2.2. FIELD HYPERSURFACES AND LINEAR PDES 83
Fig. 2
If the vector field X is tangent to M (see the figure), then one has
∂f ∂f
X1 (x) + . . . + Xn (x) = 0, (61)
∂x1 ∂xn
with the unknown function f . To this we attach the symmetric differential system
dx1 dxn
= ... = , (62)
X1 (x) Xn (x)
that determines the field lines, often called the characteristic differential system of
the equation (61).
A field hypersurface of X is generated by the field lines produced by the symmetric
differential system (62). Also, paraphrasing the definition of first integrals, we note
that any first integral of (62) is a solution of (61). Moreover, for any n − 1 first
integrals f1 , . . . , fn of (62), which are functionally independent in a neighborhood of
a point x0 ∈ D at which X(x0 ) 6= 0, a function f is a solution of the PDE (61) iff it
is a functional combination of f1 , . . . , fn , i.e., there exists a mapping Φ : R n → R of
class C 1 such that
f (x) = Φ(f1 (x), . . . , fn (x)). (63)
Then, the general solution of the symmetric system (62), given by the field lines
∂f ∂f ∂f
(x − a) + (y − b) + (z − c) = 0.
∂x ∂y ∂z
dx dy dz
= =
x−a y−b z−c
admits the first integrals (obtained from the ODE provided by both the equalities)
x−a y−b
f1 (x, y, z) = , f2 (x, y, z) = .
y−b z−c
Hence the field lines of the field X(x, y, z) = (x − a, y − b, z − c) are given by the
two-parameter family of curves
½ x−a ½
= C1
f1 = C1 y−b x − a − C1 (y − b) = 0
⇔ y−b ⇔
f2 = C2
y − b − C2 (z − c) = 0,
= C2
z−c
i.e., a family of straight lines in R 3 . Moreover, the first integrals f1 and f2 provide
the general solution f of the form
µ ¶
x−a y−b
f (x, y, z) = Φ , ,
y−b z−c
2.2.3 Let f = (f1 , . . . , fn−1 ) be the general solution of the system (62), and
the associated family of field hypersurfaces. For determining a unique solution of (61),
(i.e., a determined hypersurface M0 : Φ(f1 (x), . . . , fn−1 (x)) = 0 attached to X) one
needs to impose certain restrictive conditions besides (61). This leads to
The Cauchy problem for the linear homogeneous PDE. Find ½ the field
g(x) = 0
hypersurface which contains the submanifold with n − 2 dimensions Γ :
h(x) = 0
(see the figure).
2.2. FIELD HYPERSURFACES AND LINEAR PDES 85
Fig. 3
Φ(C1 , . . . , Cn−1 ) = 0.
Then, under the hypothesis that the field lines are not included in Γ, the desired
geometric locus is
M : Φ(f1 (x), . . . , fn−1 (x)) = 0.
From the geometric point of view, find the field surface M : f (x, y, z) = 0 of the
field
X(x, y, z) = (x2 + y 2 , 2xy, xz),
containing the circle Γ located in the plane z = 1, which has radius 1 and the center
at C(0, 0, 1).
2.2.4. Exercises
3. For each of the following vector fields, determine the family of their field
surfaces.
~ = x(x + z)~i + y(y + z)~j + (z 2 − xy)~k,
a) V
~ = (xy 3 − 2x4 )~i + (2y 4 − x3 y)~j + 9z(x3 − y 3 )~k,
b) V
~ = (x2 + y 2 )~i + 2xy~j + xz~k.
c) V
Solution. a) To the equation
∂f ∂f ∂f
x(x + z) + y(y + z) + (z 2 − xy) = 0,
∂x ∂y ∂z
2.2. FIELD HYPERSURFACES AND LINEAR PDES 87
dx dy dz
= = 2 .
x(x + z) y(y + z) z − xy
∂f ∂f ∂f
(xy 3 − 2x4 ) + (2y 4 − x3 y) + 9z(x3 − y 3 ) =0
∂x ∂y ∂z
dx dy dz
= 4 = .
xy 3 − 2x4 3
2y − x y 9z(x − y 3 )
3
x3 y 3 z = c1 , xy −2 + x−2 y = c2 , x 6= 0, y 6= 0
Φ(x3 y 3 z, xy −2 + x−2 y) = c, x 6= 0, y 6= 0,
x = 0, y 9 z 2 = c3 .
½
xy = 1
Determine the field surface that passes through the curve of equations
x + y = 1.
Solution. We notice that
dx dy dz
= = 2 =
x2 (z + y) −y 2 (z + x) z (y − x)
x−1 dx + y −1 dy + z −1 dz x−2 dx + y −2 dy − z −2 dz
= = .
0 0
~ is
Then the family of orbits of V
xyz = c1
1 1 1 (64)
+ − = c2 , x 6= 0, y 6= 0, z 6= 0.
x y z
The condition of compatibility of the system
xyz = c1 , xy = 1, y + x = 1,
1 1 1
+ − = c2 , x 6= 0, y 6= 0, z 6= 0,
x y z
selects the orbits which lean upon the given curve. We find 1 − c−1 1 = c2 . We
reconsider the desired surface as being the locus of the orbits (64) which satisfy the
condition 1 − c−1
1 = c2 . Eliminating the parameters c1 , c2 , we obtain the surface
1 1 1 1
1− = + − , x 6= 0, y 6= 0, z 6= 0.
xyz x y z
~ = 0, and hence V
Note. div V ~ is a solenoidal field.
2.3.3. Exercises
y(x + c1 ) y(x + z)
whence = c2 and after plugging in c1 = z, we find = c2 .
y + c1 y+z
y(x + z)
The general solution of the equation with partial derivatives is = ϕ(z),
y+z √
where ϕ is an arbitrary function of class C 1 . Putting the condition z(1, y) = y, it
√
y(1 + y) √ u2 (1 + u)
follows √ = ϕ( y) or, otherwise, ϕ(u) = = u. Coming back to
y+ y u2 + u
y(x + z) √
the general solution, we find = z or z = xy.
y+z
2.3. NONHOMOGENEOUS LINEAR PDES 91
x2 = c1 x1 , x3 = c2 x1 , . . . , xn = cn−1 x1 , f = cn xp1 .
X = (y, −x, 0), Y = (x, y, −z), Z = (x2 , yx, xz), U = (xy, y 2 , yz), V = (xz, yz, z 2 ).
Note. f is a first integral that is common to all the systems that determine the field
lines of X, Y, U, Z and respectively V .
∂f ∂f ∂f
+ − =0
∂x ∂y ∂z
has the characteristic system
dx dy dz
= = ,
1 1 −1
with the general solution y − x = c1 , z + x = c2 . Among these straight lines, we select
those which lean upon the circle C, that is, we find the condition of compatibility of
the system
y − x = c1 , z + x = c2 , x2 + y 2 = 1, z = 1.
We reconsider the desired surface as being the locus of the straight lines y − x = c1 ,
z + x = c2 which satisfy
(z + x − 1)2 + (z + y − 1)2 = 1.
5. Determine the implicit Cartesian equation of the cone that has the vertex at
the origin of the axes and the director curve C : x2 + y 2 = x, z = 1.
Solution. The concurrent vector field determined by O(0, 0, 0) and M (x, y, z) is
X = (x, y, z). By this notice, we get a Cauchy problem: determine the field surface
of X that leans upon the circle C. The field surfaces of X are the sets of constant
level assigned to the solutions of the PDE
∂f ∂f ∂f
x +y +z = 0.
∂x ∂y ∂z
To this, it corresponds the characteristic system
dx dy dz
= =
x y z
with the general solution y = c1 x, z = c2 x.
The condition of compatibility of the algebraic system
y = c1 x, z = c2 x, x2 + y 2 = x, z = 1
2.3. NONHOMOGENEOUS LINEAR PDES 93
9. For each of the following vector fields, determine the family of the field surfaces.
12. Show that the harmonic polynomials of two variables are homogeneous
polynomials.
Hint. (x + iy)n = Pn (x, y) + iQn (x, y) implies
∂Pn ∂Pn ∂Qn ∂Qn
= nPn−1 , = −nQn−1 , = nQn−1 , = nPn−1 ,
∂x ∂y ∂x ∂y
Pn+1 = xPn − yQn , Qn+1 = yPn + xQn ,
and hence
∂Pn ∂Pn ∂Qn ∂Qn
x +y = nPn , x +y = nQn .
∂x ∂y ∂x ∂y
14. Let there be given the vector fields (1, 0, y), (x, 0, z), (x2 , xy − z, xz), (0, 1, x),
(0, y, z), (xy − z, y 2 , yz). Show that the hyperbolic paraboloid z = xy is invariant
with respect to the flow generated by each of the given vector fields.
15. The same problem for the vector fields (1, x), (x, 2y), (x2 − y, xy) and the
parabola x2 − 2y = 0.
Fig. 4
2.4.2 The integral curves of the Pfaff equation are characterized by the differential
equation
dx1 dxn
X1 (α(t)) + . . . + Xn (α(t)) = 0.
dt dt
are orthogonal to the field X, and hence the integral hypersurfaces of the Pfaff equation
(65).
b) If D is a convex set, then the level hypersurfaces of
Z 1
f (x) = hX(x0 +t(x−x0 )) , x − x0 idt
0
∂f
(x) = Xi (x), i = 1, n,
∂xi
or, equivalently,
n
X
df (x) = Xi (x)dxi .
i=1
If the Pfaff equation (65) is not exact, sometimes there exists a non-constant
function µ : D → R \ {0} of class C 1 such that
is an exact equation; in this case the function µ is called an integrant factor and it
satisfies the system with partial derivatives
∂(µXi ) ∂(µXj )
(x) = (x), i, j = 1, n; i 6= j.
∂xj ∂xi
The existence of an integrant factor implies the existence of a function λ such that
X = λ grad f .
The locally exact Pfaff equations and those Pfaff equations which admit a local
integrant factor are called completely integrable equations. The Pfaff equation (65) is
completely integrable if and only if through each point x0 ∈ D, it passes an integral
hypersurface of the equation.
The set of all the integral hypersurfaces of a completely integrable Pfaff equation
is called the general solution of the equation.
2.4.4 For n = 2, the Pfaff equation (65) is completely integrable. For n ≥ 3, the
Pfaff equation (65) is completely integrable if and only if
µ ¶ µ ¶ µ ¶
∂Xk ∂Xj ∂Xi ∂Xk ∂Xj ∂Xi
Xi − + Xj − + Xk − = 0, i, j, k = 1, n.
∂xj ∂xk ∂xk ∂xi ∂xi ∂xj
Fig. 5
hX, curl Xi = 0.
2.4.6 If the Pfaff equation (65) is not completely integrable (and hence n ≥
3), then the set of all integral manifolds of this equation is called a non-holonomic
hypersurface defined by the set D and by the vector field X on D.
The previous theory is also extended for the case when X has isolated zeros on
D. In this case, the zeros of X on D are called singular points of the non-holonomic
hypersurface.
Example. The Pfaff equation
zdx − ydy = 0
2.4.7. Exercises
Therefore, the Pfaff equation is completely integrable. By checking, we get the in-
1
tegrant factor µ(x, y, z) = 2 . Multiplying by this, we find the locally exact Pfaff
z
equation
µ ¶
2x 2y y2 x2
dx + dy + 1 − 2 − 2 dz = 0 or d[(x2 + y 2 + z 2 )z −1 ] = 0.
z z z z
It follows the family of the integral surfaces
x2 + y 2 + z 2 = c1 z
~ are circles orthogonal to these spheres.
(family of spheres). The field lines of X
Thus, the Pfaff equation defines a non-holonomic surface that contains the plane
xOy : z = 0.
From x = y, we obtain dx = dy and hence 2xzdx − x2 dz = 0. The solutions are
x = 0, y = 0 (a point) and x2 z = c1 , x = y (a family of curves).
100 CHAPTER 2. FIELD LINES AND HYPERSURFACES
b) We denote
x3 + y 2 + z 3 − 3xyz = c1 , z = xy.
3. Show that
~ = z(1 − ey )~i + xzey~j + x(1 − ey )~k
X
is a locally biscalar vector field on R 3 and determine the scalar fields λ and f for
which X ~ = λ grad f .
Solution. We obtain curl X ~ = −2xey~i + 2zey~k and hX,
~ curl Xi
~ = 0. Therefore
X~ is a locally biscalar vector field.
We determine the field lines (orbits) of the curl (rotor), that is the solutions of
the system
dx dy dz
= = .
−x 0 z
~ = αgrad y + βgrad xz, we obtain
We get the family of conics y = c1 , xz = c2 ; from X
α = xzey , β = 1 − ey and the completely integrable Pfaff equation
ey − 1
becomes xzey dy + (1 − ey )d(xz) = 0. We find = c (the domain of definition of
xz
the function defined by the expression of the left side is not connected).
From the identity X~ = λ grad ey −1 it follows λ = x2 z 2 . Obviously, λ and f are
xz
functionally independent.
is locally biscalar.
Solution. Since
µ ¶ µ ¶
∂ϕ ∂ϕ
curl V = z ~
+x i− z − y ~j − 2z~k,
∂y ∂x
2.4. PFAFF EQUATIONS AND INTEGRAL SUBMANIFOLDS 101
the problem reduces to finding the general solution of the equation with partial deriva-
~ , curl V
tives hV ~ i = 0 or y ∂ϕ + x ∂ϕ − 2ϕ = 0. The symmetric differential system
∂y ∂y µ ¶
dx dy dϕ x ϕ x
= = yields = c1 , 2 = c2 . Hence ϕ(x, y) = y 2 ψ , where ψ is an
x y 2ϕ y y y
arbitrary function of class C 1 .
µ ¶
2 ~ 2 x
Note. In the particular case ϕ(x, y) = y , we find V = y z grad +z .
y
~ , curl V
and hV ~ i = 2xz(3x − y). Therefore, the Pfaff equation
hence, the intersection consists of the axis Oy, the axis Oz and the straight lines
x = 0, y = c1 .
b) We find
~ = (y 2 + z 2 )~i + (z 2 + x2 )~j − (x2 + y 2 )~k
curl V
and
~ , curl V
hV ~ i = x2 y 3 + x2 z 3 + x3 z 2 − x3 y 2 − y 2 z 3 − z 2 y 3 6= 0.
The Pfaff equation
x2 (y + z) = 0, y 2 (z + x) = 0, z 2 (y − x) = 0.
7. Determine the integrant factor that is necessary for the Pfaff equation below
to become locally exact and determine its general solution
n
X
[2xi + (x21 + . . . + x2n )x1 . . . xi−1 xi+1 . . . xn ] dxi = 0.
i=1
Solution. Denoting
we find
∂Xi
= 2δij + 2xj x1 . . . xi−1 xi+1 . . . xn +
∂xj
+ (x21 + . . . x2n )x1 . . . xi−1 xi+1 . . . xj−1 xj+1 . . . xn .
Xn µ ¶
∂Xi ∂Xj ∂Xk ∂Xj
Obviously 6= , i 6= j, but Xi − = 0, that is the Pfaff
∂xj ∂xi i=1
∂xj ∂xk
equation is completely integrable.
We look for a function µ : R n → R such that
∂(µXi ) ∂(µXj )
= , i 6= j.
∂xj ∂xi
This system admits the particular solution µ(x) = exp (x1 . . . xn ). Therefore, the
equation
n
X
ex1 ...xn [2xi + (x21 + . . . + x2n )x1 . . . xi−1 xi+1 . . . xn ]dxi = 0
i=1
8. We consider the Pfaff equation xdy − zdz = 0 which is not completely inte-
grable. Determine the integral curves passing through the point (1,1,1).
Solution. Let α : (x, y, z) : I → R 3 , x = x(t), y = y(t), z = z(t) be an arbitrary
curve of class C 1 . This satisfies the Pfaff equation if and only if
From here, we notice that it is sufficient to consider y(t) and z(t) as given functions
z(t)z 0 (t)
with y 0 (t) 6= 0 and x(t) = . Thus,
y 0 (t)
z(t)z 0 (t)
x= , y = y(t), z = z(t), t ∈ I
y 0 (t)
depicts the family of the integral curves of the Pfaff equation. Through the point
(1,1,1) are passing only the curves for which y(t0 ) = 1, z(t0 ) = 1, y 0 (t0 ) = z 0 (t0 ).
Alternative. Let the implicit Cartesian equations
f (x, y, z) = 0, g(x, y, z) = 0
depict an arbitrary curve of class C 1 . This satisfies the Pfaff equation if and only if
the homogeneous algebraic system
xdy − zdz = 0
∂f ∂f ∂f
dx + dy + dz = 0
∂x ∂y ∂z
∂g ∂g ∂g
dz + dy + dz = 0
∂x ∂y ∂z
in the unknowns (dx, dy, dz) has nonzero solutions, that is,
¯ ¯
¯ 0 x −z ¯
¯ ¯
¯ ¯
¯ ∂f ∂f ∂f ¯
¯ ¯
¯ ∂x ∂y ∂z ¯ = 0.
¯ ¯
¯ ∂g ∂g ∂g ¯
¯ ¯
¯ ¯
∂x ∂y ∂z
From this, we notice (for example) that f may be arbitrarily given, while g is deter-
mined as a solution of some homogeneous linear equation with partial derivatives of
the first order.
Hint. x1 x2 = c(x3 + a), family of hyperbolic paraboloids; for the second Pfaff
equation, we find x(x + 2y + 2z) = c.
(
(x − y)dx + (x + y)dy + zdz = 0
b)
z = x2 + y 2 .
15. Study if the following Pfaff equations admit or not integrant factors:
x1 x2 xn−1 xn
a) dx1 + dx2 + . . . + dxn−1 + dxn = 0;
x2 x3 xn x1
b) x1 sin xn dx1 + x2 sin xn−1 dx2 + . . . + xn sin x1 dxn = 0.
Chapter 3
Hilbert Spaces
107
108 CHAPTER 3. HILBERT SPACES
Examples. 1. Let V3 be the real vector space of free vectors in E3 . The function
(
||x|| ||y|| cos θ, for x 6= 0 and y 6= 0
hx, yi =
0, for x = 0 or y = 0,
where θ = (d x, y), is a scalar product on V3 . Of course, V3 is a Hilbert space.
2. Let R n be the real vector space of n−uples and x = (x1 , . . . , xn ), y =
(y1 , . . . , yn ) be two elements of R n . The function
n
X
hx, yi = xi yi
i=1
Of course, x ⊥ M is equivalent to x ∈ M ⊥ .
3.1.3 Theorem. Let V be a Euclidean vector space and M be a proper subset of
V. Then M ⊥ is a closed vector subspace of V.
Proof. Obviously M ⊥ is a vector subspace. Assume xn ∈ M ⊥ with xn → x0 . Let
us show that x0 ∈ M ⊥ . Since the scalar product is a continuous function, we have
hx0 , yi = lim hxn , yi = 0, for all y ∈ M. 2
n→∞
3.1.6. Exercises
1. Show that hā, b̄i = ||ā|| ||b̄|| cos θ, where θ is the measure of the angle between
ā and b̄, defines a scalar product on the real vector space of the free vectors. Hw.
110 CHAPTER 3. HILBERT SPACES
is a scalar product on Cn .
Solution. We verify the axioms of the scalar product
n
X n
X n
X
hx, yi = xi ȳi = x̄i yi = yi x̄i = hy, xi,
i=1 i=1 i=1
Xn n
X n
X
hx + y, zi = (xi + yi )z̄i = xi z̄i + yi z̄i = hx, zi + hy, zi,
i=1 i=1 i=1
Xn n
X
αhx, yi = α xi ȳi = (αxi )ȳi = hαx, yi,
i=1 i=1
n
X n
X
hx, xi = xi x̄i = |xi |2 ≥ 0, and the equality holds
i=1 i=1
Solution. The problem requires to show that hf, gi is a scalar product. The
continuity ensures the existence of the integral, and if f, g, h are continuous functions
with real values and r is a real number, then we have
Z b Z b
hf, gi = f (t)g(t)dt = g(t)f (t)dt = hg, f i,
a a
Z b Z b Z b
hf, g + hi = f (t)(g(t) + h(t))dt = f (t)g(t)dt + f (t)h(t)dt =
a a a
For a continuous function f 6= 0, there exists t0 ∈ (a, b) such that f (t0 ) 6= 0, i.e.,
f (t0 ) > 0 or f (t0 ) < 0. By continuity, there exists an open interval I such that t0 ∈
I ⊂ [a, b] and f 2 (t) > 0, for any t ∈ I. Let [c, d] ⊂ I, c < d and m = min f 2 (t) > 0.
t∈[c,d]
Then the positivity axiom follows
Z d Z b
0 < m(d − c) ≤ f 2 (t)dt = f 2 (t)dt = hf, f i.
c a
6. Let V be the real vector space of the real sequences {xn } for which the series
∞
X
x2n is convergent. Let x = {xn }, y = {yn } be two elements of V .
n=0
∞
X
a) Show that the series xn yn is absolutely convergent.
n=0
∞
X
b) Verify that the function defined by hx, yi = xn yn is a scalar product on V .
n=0
c) Show that the sequence with the general term xn = e−n belongs to the exterior
3
of the sphere of centre the origin, of radius √ and to the open ball of centre the
2 2
2
origin and radius √ .
3
½ ¾
1
d) Write the ball of centre x0 = , radius 1 and give examples of elements
n+1
of V contained in this ball.
e) Calculate hx, yi for
2n − 1 1
xn = , yn = n/2 , n ≥ 1.
2n/2 2
f) Let xn = 21−n , yn = 31−n , n ≥ 1. Determine the ”angle” between x and y.
Solution. a) Taking into account that for any real numbers a and b we have
2|ab| ≤ a2 + b2 , it follows
∞
X ∞
X ∞
X
2 |xi yi | ≤ x2i + yi2 .
i=0 i=0 i=0
112 CHAPTER 3. HILBERT SPACES
∞
X
Using the comparison criterion from the positive terms series, the series |xi yi | is
i=0
∞
X
convergent, and then the series xi yi absolutely converges.
i=0
b) We have to verify only the positive definiteness of the associate quadratic form.
∞
X
Since hx, xi = x2n ≥ 0, for any x ∈ V , it is sufficient to show that hx, xi = 0 ⇒
i=0
x = 0. Indeed, the relations
∞
X
0 ≤ x20 ≤ x20 + x21 ≤ . . . ≤ x20 + x21 + . . . x2n ≤ . . . ≤ x2n = 0
n=0
9 4
whence < ||e−n ||2 < .
8 3
d) Hw. e) We have subsequently
X∞
1 2n − 1
1 + 2x + . . . + nxn−1 + . . . = 2
, |x| < 1 ⇒ hx, yi = = 3.
(1 − x) n=1
2n
√
2 6
f) The angle is θ = acos .
5
7. On the real vector space
8. Specify the reasons for which the following functions are not scalar products:
Xn
a) ϕ : Cn × Cn → C, ϕ(x, y) = xi yi ;
i=1
Xn
b) ϕ : R n × R n → R , ϕ(x, y) = |xi yi |;
i=1
c) ϕ : C 0 [0, 1] × C 0 [0, 1] → R , ϕ(f, g) = f (0)g(0). Hw.
9. In the canonical Euclidean space R 3 , consider the vector v = (2, 1, −1) and
the vector subspace P : x − y + 2z = 0. Find the orthogonal projection w of v on P
and the vector w⊥ . Hw.
10. Let Pn = {p ∈ R [X] | deg p ≤ n} and the mapping
Z 1
ϕ : Pn → Pn , p → ϕ(p) = X n
ϕ
tp(t)dt.
0
It will appear type of bases which involve topological as well as algebraic structure.
3.2.1 Definition. Let V be a Euclidean space.
1) The set {xi } ⊂ V is called orthogonal if xi ⊥ xj , whenever i 6= j.
2) The set {xi } ⊂ V is called orthonormal if
½
1, i = j
hxi , xj i = δ ij =
0, i 6= j,
3.2.4 Theorem. Let {xi } be an orthonormal set. Then there is a maximal or-
thonormal set B which contains {xi }.
The proof of this theorem is a straightforward application of Zorn lemma.
We claim that
Φn (t) = e2πint , n = 0, ±1, ±2, . . .
is an orthonormal set, i.e.,
f ⊥ Φn ⇒ f = 0.
dn n −t
Ln (t) = et (t e ).
dtn
form an orthonormal set for L2 [−1, 1], where Pn (t) are the Legendre polynomials
1 dn 2
Pn (t) = (t − 1)n .
2n n! dtn
116 CHAPTER 3. HILBERT SPACES
Note. Given any linearly independent sequence {xn }n∈ N in a Euclidean space, it
is always possible to construct an orthonormal set from it. The construction is known
as the Gram-Schmidt orthogonalization process.
3.2.6. Exercises
hp1 , q0 i
q1 (x) = p1 (x) − q0 (x) = p1 (x) = x.
hq0 , q0 i
3.2. ORTHONORMAL BASIS FOR A HILBERT SPACE 117
imply
hp2 , q0 i hp2 , q1 i 1
q2 (x) = p2 (x) − q0 (x) − q1 (x) = x2 − .
hq0 , q0 i hq1 , q1 i 3
Similarly we find
3 6 3 10 3 5
q3 (x) = x3 − x, q4 (x) = x4 − x2 + , q5 (x) = x5 − x + x.
5 7 35 9 21
By induction, it may be proved that the required polynomials qn can be computed
by the formula
n! dn 2
qn (x) = (x − 1)n , n ∈ N.
(2n)! dxn
These polynomials are called the Legendre polynomials.
2. Show that equality holds in the Cauchy-Schwarz inequality |hx, yi| ≤ ||x|| ||y||
iff the set {x, y} is linearly dependent.
3. Let V = L2 [0, T ] be endowed with the scalar product
Z T
hx, yi = x(t)y(t)dt, for all x, y ∈ V
0
Show that x = y.
7. Let {x, y} be a linearly independent set in a complex Euclidean vector space
V . Define f : C → R ,
f (α) = ||x − αy||, ∀α ∈ C.
Where does f take on its minimum value ?
8. Let y be a fixed vector in a Hilbert space H. Describe the operator
9. Let V denote the vector subspace of L2 [0, 2π] made up of all trigonometric
polynomials of the form
Xn
x(t) = ak eikt .
k=−n
Solution. 1) y = lim xn ∈ M .
n→∞
2) Suppose, y = α1 x1 + α2 x2 + . . .. Then
X∞ µµ ¶ µ ¶ ¶
1 1
y= αn cos y + sin zn ,
n=1
n n
The following questions arise: a) is the series convergent ? b) is the sum of the
series equal to x ?
∞
X ∞
X
x= αn xn = βn xn ,
n=1 n=1
∞
X
then αn = βn and ||x||2 = |αn |2 .
n=1
∞
X ∞
X
Proof. 1) Suppose αn xn is convergent and x = αn xn , i.e.,
n=1 n=1
N
X
lim ||x − αn xn ||2 = 0.
N →∞
n=1
122 CHAPTER 3. HILBERT SPACES
∞
X
and so |αn |2 is convergent.
n=1
∞
X n
X
Next assume that |αn |2 is convergent, and denote sn = αi xi (partial
n=1 i=1
sums). It follows
n
X
||sn − sm ||2 = |αi |2 ,
m+1
∞
X ∞
X
Now suppose x = αn xn = βn xn . This implies
n=1 n=1
à N N
! N
X X X
0 = lim αn xn − βn xn = lim (αn − βn )xn .
N →∞ N →∞
n=1 n=1 n=1
Consequently
3.3. FOURIER SERIES 123
∞
X ∞
X
0= (αn − βn )xn ⇒ 02 = |αn − βn |2 ⇒ αn = βn . 2
n=1 n=1
Consequently P is a projection.
Obviously Im P ⊂ M . Conversely, for any x ∈ M we can write
x = α1 x1 + . . . + αn xn .
Consequently Px = x and so Im P = M .
Now we show that P is orthogonal. Let y ∈ KerP, x ∈ Im P, i.e.,
Py = 0, Px = x.
124 CHAPTER 3. HILBERT SPACES
We find
n
X n
X
hy, xi = hy, Pxi = hy, hx, xi ixi i = hy, xi ihx, xi i =
i=1 i=1
n
X Xn
= hy, xi ihxi , xi = h hy, xi ixi , xi = hPy, xi = h0, xi = 0.
i=1 i=1
n
X
Hint. Px = hx, xi ixi is the projection of x onto the subspace generated by S.
i=1
and moreover
∞
X
Px = hx, xn ixn
n=1
defines the orthogonal projection of H onto M .
K
X
Proof. Let yN be a finite linear combination of vectors in B, i.e., yN = αn xn ,
n=1
where both αn and K depend on N . Suppose K ≥ N . It follows
K
X K
X
||x − hx, xn ixn || ≤ ||x − αn xn || = ||x − yN ||.
n=1 n=1
∞
X
If we accept x = lim yN , then lim ||x − yN || → 0. This implies x = hx, xn ixn .
N →∞ N →∞
n=1
Then, via the Bessel inequality, we infer
∞
X ∞
X
||Px||2 = || hx, xn ixn ||2 = |hx, xn i|2 ≤ ||x||2 .
n=1 n=1
3.4. CONTINUOUS LINEAR FUNCTIONALS 125
∞
X ∞
X ∞
X
hx, yi = h hx, xn ixn , hy, xm ixm i = hx, xn ihy, xn i.
n=1 n=1 n=1
3) ⇒ 4). Obvious.
4) ⇒ 1). If {xn } n∈ N ∗ is not maximal, then there exists a versor x0 such that
{xn } n∈ N ∗ ∪ {x0 } is an orthonormal set. But this yields the contradiction
X
1 = ||x0 ||2 = |hx0 , xn i|2 = 0.
Consequently
||l|| = sup |l(x)| ≤ ||y||.
||x||=1
But |l(y)| = ||y|| ||y||, so ||l|| ≥ ||y||. Finally ||l|| = ||y||. Since l is bounded,
automatically it is continuous.
126 CHAPTER 3. HILBERT SPACES
H = M + M ⊥ , x = m + m⊥ .
The vector y is unique with the property (66). Indeed, if y 0 ∈ H satisfies (66) too,
then
hx, yi = hx, y 0 i, for all x ∈ H,
whence hx, y − y 0 i = 0, for all x ∈ H. For x = y − y 0 we infer 0 = hy − y 0 , y − y 0 i =
||y − y 0 ||2 . It follows y = y 0 . 2
3.4.2. Exercise
On R n we consider the scalar product
n
X
hx, yi = aij xi yj .
i,j=1
1) l(x) = x1 ;
2) l(x) = x1 + x2 ;
Xn
3) l(x) = bi xi .
i=1
3.5.1 We consider I = [−π, π], and the real space H = L2 (I) with the scalar product
Z π
hf, gi = f (t)g(t)dt.
−π
The set
½ ¾[½ ¯ ¾[½ ¯ ¾
1 1 ¯ 1 ¯
√ √ cos kt ¯¯ k ∈ N ∗ √ sin kt ¯¯ k ∈ N ∗
2π π π
where Z π
1
a0 = f (t) dt
π −π
Z π
1
ak = f (t) cos kt dt, k ∈ N ∗ (67)
π −π
Z π
1
bk = f (t) sin kt dt, k ∈ N ∗ .
π −π
Then we have the equality f (t) = S(t), for all t ∈ (−π, π).
The trigonometric Fourier series are used in the study of periodical phenomena,
where appears the problem of representing a function as the sum of this kind of series.
In this sense, we have two problems:
- if f is the sum of a trigonometric Fourier series, find the coefficients a0 , ak , bk ;
- the finding of conditions under which a function can be expanded in a trigono-
metric Fourier series.
Some answers to these questions are given in §3.
3.5.2. Exercises
and the coefficients are provided by (67). In our case, as f is an odd function on the
symmetric interval (−π, π) as well as is sin nx, it follows that a0 and ak are expected
to be zero. Indeed, by computation, we find
Zπ ¯π
1 1 t2 ¯¯ 1
a0 = tdt = · ¯ = (π 2 − π 2 ) = 0
π π 2 −π π
−π
Hence
∞ µ
X ¶ X∞
2 (−1)n+1 sin nx
S(x) = 0 + 0 + (−1)k+1 sin kx = 2 .
k n=1
n
k=1
and à !
1
R0 Rπ
ak = π c1 cos ktdt + c2 cos ktdt =
−π 0
à ¯0 ¯π !
¯ ¯
= 1
c1 sinkkt ¯ + c2 sin kt ¯ = 1
π ¯ k ¯ π (0 + 0) = 0;
−π 0
and hence
0, for k = 2p
bk =
− 2 (c1 − c2 ), for k = 2p + 1.
kπ
Then the Fourier series of the function f is
X µ ¶
c1 + c2 2
S(x) = + − (c1 − c2 ) sin kx =
2 kπ
k≥1; k=odd
∞ µ ¶
c1 + c2 X 2
= + − (c1 − c2 ) sin(2p + 1)x =
2 (2p + 1)π
p≥0
∞
c1 + c2 2(c1 − c2 ) X sin(2k + 1)x
= − .
2 π 2k + 1
k=0
8 X n(−1)n
Answer. a) S(x) = sin nx;
π 4n2 − 9
n≥0
π 4 X cos(2n − 1)x
b) S(x) = − ;
2 π (2n − 1)2
n≥1
π 2X (−1)n
c) S(x) = +4 cos(nx);
3 n2
n≥1
2 1 X (−1)n
d) S(x) = sh aπ + (a cos nx − n sin nx) ;
π 2a 2
a +n 2
n≥1
π 4 X cos(2k − 1)x
e) S(x) = + .
2 π (2k − 1)2
k≥1
Chapter 4
Remark that, for p = 2, we have hx, yi = t xy, and the Cauchy-Schwarz inequality
holds true
|hx, yi| ≤ ||x|| · ||y||, for all x, y ∈ R n .
131
132 CHAPTER 4. NUMERICAL METHODS IN LINEAR ALGEBRA
4.1.2 Theorem. Let || · ||♦ , || · ||♣ be two norms on R n . Then there exist a, b > 0
such that
a|| · ||♦ ≤ || · ||♣ ≤ b|| · ||♦ .
Practically, the theorem states that any two norms on R n are equivalent.
Remark. The theorem is no longer valid for infinite dimensional vector spaces.
Let A = (aij )i=1,m,j=1,n ∈ Mm×n ( R ). The matrix A defines uniquely a linear
operator
Let R n and R m be endowed with the norms || · ||♦ and || · ||♣ , respectively.
4.1.3 Theorem. The real function || · || : Mm×n ( R ) → R + given by
2o . For || · ||1 and || · ||2 , we can consider any of the norms described in 1.1. In the
case presented above, if || · ||1 = || · ||2 = || · ||• , then we denote the norm of the matrix
A simply by ||A||• .
4.1.4 Theorem. If R m and R n are endowed with Lp - norms, p ∈ {1, 2, ∞},
then the following equalities hold true
def P
m
||A||1 = sup ||Ax||1 = max |aij |
||x||1 =1 j=1,n i=1
def P
n
||A||∞ = sup ||Ax||∞ = max |aij |
||x||∞ =1 i=1,m j=1
def
p
||A||2 = sup ||Ax||2 = max{ |λ| | λ ∈ σ(t AA) }.
||x||2 =1
4.1. THE NORM OF A MATRIX 133
P
m
Proof. Denote ||A||♦ = max |aij |. Rewriting in coordinates the equality y =
j=1,n i=1
P
n
Ax, for all x = t (x1 , . . . , xn ) ∈ R n we have yi = aij xj , i = 1, m. Then
j=1
¯ ¯
P
m m ¯P
P ¯
¯ n ¯
||Ax||1 = ||y||1 = |yi | = ¯ aij xj ¯ ≤
i=1 ¯
i=1 j=1 ¯
µ n ¶
Pm P n P
n P
≤ |aij ||xj | = |xj | |aij | ≤
i=1 j=1 j=1 i=1
µ ¶
P
n P
n P
n
≤ |xj | max |aij | = |xj |||A||♦ = ||A||♦ ||x||1 .
j=1 j=1,n i=1 j=1
Then
µ ¶
1
||Ax||1 ≤ ||A||♦ ||x||1 ⇒ ||A x ||1 ≤ ||A||♦ ⇒ sup ||Av||1 ≤ ||A||♦ , (69)
||x|| ||v||1 =1
m
X
||Aek ||1 = |aik |, k = 1, n.
i=1
P
m
Hence, if max |aij | is attended on index j = k then, using the relation above, we
j=1,n i=1
find
m
X
||A||♦ = max |aij | = ||Aek ||1 ,
j=1,n
i=1
From (69), (70), the two norms coincide, i.e., ||A||1 ≡ ||A||♦ .
For ||A||∞ the proof is similar. For ||A||2 , remark that
√ √
||Ax||2 = t x t AAx = t xBx,
Then we obtain
|t xBx|
|λ1 | ≤ ≤ |λn |, for all x ∈ R n .
||x||22
1
Denoting v = ||x||2 x, and hence ||v||2 = 1, we find
r hp i
||Ax||2 t xBx p
||Av||2 = = t xx
∈ |λ1 |, |λn | ,
||x||2
so that
p
||A||2 = sup ||Av||2 ≤ |λn | ⇒ ||A||2 ≤ max{|λ| | λ ∈ σ (t AA)}.
||v||=1
is called the conditioning number of the matrix A relative to the particular norm used
in the definition.
Remark. Consider the norm || · ||2 on
Since
1 = ||I||2 = ||AA−1 ||2 ≤ ||A||2 · ||A−1 ||2 = k(A),
we get
k(A) ≥ 1, for all A ∈ GLn ( R ).
4.1.6. Exercises
2. a) Check
µ that ¶the spectral radius ρ(A) = max {|λ| | λ ∈ σ(A) ⊂ C} of the
1 0
matrix A = is less or equal than any of the norms of A of the previous
−1 2
problem.
b) Find the conditioning number of A with respect to the three considered norms.
µ ¶
1 1
c) Compute ρ(B) and ||B||2 , for B = .
1 2
Solution. a) In this case σ(A) = {1, 2}, whence
4.2.1 Definition. The real positive number ρ(A) = max |λi | is called the
i=1,n
spectral radius of the matrix A.
If u ∈ R n \{0} is an eigenvector associated to λ ∈ σ(A), then, considering the
1
associated versor v = ||u|| u, (||v|| = 1), we find
||Au||
Au = λu ⇒ ||Au|| = |λ| · ||u|| ⇒ = |λ| ⇒ |λ| = ||Av||.
||u||
Then |λ| ≤ sup ||Aw|| = ||A||. So that for all λ ∈ σ(A), we have |λ| ≤ ||A||, whence
||w||=1
max | λi |≤ ||A||, and thus
λi ∈σ(A)
Thus we have lim ||Ak || 6= 0, so lim Ak 6= 0n×n , which contradicts the initial asser-
k→∞ k→∞
tion.
The converse implication. If ρ(A) < 1, according to a) there exists a norm || · ||♦ ,
such that ||A||♦ < 1. Then
det (I − B) = λ1 . . . λn 6= 0,
B m B n = B n B m = B m+n ,
we find
(I − B)(I + B + . . . + B k−1 ) = I − B k ,
whence for k → ∞ we obtain the result,
k−1
X
(I − B) lim B i = I − lim B k .
k→∞ k→∞
i=0
Proof. The invertibility follows from ρ(B) ≤ ||B|| < 1 and from the theorem
above. Also, using the relation
we obtain
∞
X ∞
X 1
||(I − B)−1 || ≤ ||B i || ≤ ||B||i = . 2
i=1 i=1
1 − ||B||
138 CHAPTER 4. NUMERICAL METHODS IN LINEAR ALGEBRA
(A + ε)x = b; (73)
||x̄ − x||
e= ,
||x||
where x is the solution of the initial equation, is called the relative error.
Remark. Denote u = x − x (and hence x̄ = x + u), and assume that ||u|| < ||x||.
Then the attached system (73) becomes: (A + ε)(x + u) = b. Using the relation
Ax = b fulfilled by x, the approximation εu ' 0 which holds for ε, u small, and the
fact that A is invertible, we obtain
Au + εx = 0 ⇒ u = −A−1 εx,
and hence ||u|| ≤ ||A−1 || · ||ε|| · ||x||. The relative error becomes
The quantity
k(A) = ||A|| · ||A−1 ||
was called conditioning number of the matrix A, with respect to the norm || · ||.
For k(A) having large values, the relative error increases and the computational
methods give inaccurate results.
Example. Compute the exact solution, the approximate solution and the condi-
tioning number of the following linear system, for the rounding error ε
½ µ ¶
2a + 1b = 3 0.5 0
, ε= .
−2a + 3b = 1 0 0.1
and has the exact solution x = t (a, b) = t (1, 1). The altered system
½
2.5a + 1b = 3
(A + ε)x̄ = b ⇔
−2a + 3.1b = 1
µ ¶
166 34
has the solution x̄ = , . Then x̄ is close to x iff the number k(A) is sufficiently
195 39
small.
Hw. Compute k(A) = ||A|| · ||A−1 || for || · ||2 .
Mk−1 Mk−2 . . . M1 A
Mk x = (In − mk t ek )x = x − mk ξk
of components
(Mk (x))i = ζi − µik ζk = ζi , i = 1, n.
Imposing that µik = 0 for i = 1, k, we get that the last n − k components of the
product Mk x vanish iff
µik = ζi /ζk , i = k + 1, n.
Therefore
ζk+1 ζn
Mk = In − t (0, . . . , 0, , . . . , ) (0, . . . , 1, . . . 0).
ζk ζk 1×n
n×1
| {z }
n × n matrix
Remark that based on the properties above, the multiplication of Mk with the matrix
Mk−1 . . . M1 A provides a new matrix which has zeros below diagonal in its first k
columns.
This is why denoting M = Mn−1 Mn−2 . . . M1 , the matrix U = M A is upper-
triangular, and both M and L = M −1 are lower-triangular. Hence A = LU is the
required decomposition. 2
1 −1 2
Example. Let A = 2 1 1 . Find the LU decomposition of A. Find
1 2 −3
the lower-triangular matrix M , such that M A is a upper-triangular matrix.
Solution. Consider first the pivot µ11 = ζ1 = 1 in A, and
ζ2 2
µ21 = − ζ = − 1 = −2
1
ζ 1
µ31 = − 3 = − = −1,
ζ1 1
1 0 0
whence the first lower-triangular multiplying matrix is M1 = −2 1 0 . Then
−1 0 1
1 −1 2
M1 · A = 0 3 −3 .
0 3 −5
4.3. TRIANGULARIZATION OF A MATRIX 141
Also, the next pivot, taken from M1 A, is ζ2 = 3, whence the only nontrivial coefficient
of the next multiplying matrix M2 is
−ζ3 3
µ32 = = − = −1,
ζ2 3
1 0 0
and the second lower-triangular multiplying matrix is M2 = 0 1 0 . Then
0 −1 1
1 −1 2
M2 M1 A = 0 3 −3 = U.
0 0 −2
Hence the overall lower-triangular multiplying matrix and its inverse are respectively
1 0 0 1 0 0
M = M2 M1 = −2 1 0 and L = M −1 = 2 1 0 .
1 −1 1 1 1 1
We have the relation M A = U , with U upper triangular matrix, and A obeys the
LU −decomposition A = LU .
The triangularization algorithm. Using the Gauss elimination, we can de-
scribe the following algorithm of triangularization:
a) A1 = A;
b) Let
(k)
Ak = Mk−1 Mk−2 . . . M1 A = (aij ) i,j=1,n , k ≥ 2
be upper triangular with respect to the first k − 1 columns. Assume that at each step
(k)
we have an nonvanishing pivot element, akk 6= 0. Then one determines Mk as above,
using the condition of cancelling the elements below the diagonal on the k-th column.
Then Ak+1 = Mk Ak becomes upper triangular with respect to the columns 1, k.
c) Repeat step b), for k = 1, n − 1.
d) Denoting M = Mn−1 · . . . · M1 , we have that U = An = M A is an upper
triangular matrix, and for L = M −1 , we have the LU decomposition A = LU .
The algorithm proves to be extremely useful in solving linear systems of the form
Ax = b.
Namely, after performing the algorithm which provides M and U such that M A = U ,
and denoting c = M b, this system becomes
M Ax = M b ⇔ U x = c.
142 CHAPTER 4. NUMERICAL METHODS IN LINEAR ALGEBRA
If U = (rij )i,j=1,n has the elements rii 6= 0, for all i = 1, n, then the equivalent
system rewrites explicitely
r11 x1 + r12 x2 + r13 x3 + . . . + r1n xn = c1
r22 x2 + r23 x3 + . . . + r2n xn = c2
r33 x3 + . . . + r3n xn = c3
...
rnn xn = cn .
This can be solved easily by regression
cn
xn = → xn−1 → . . . → x1 ,
rnn
by means of the relations
n
X
ck − rki xi
i=k+1
xk = , k ∈ {n − 1, n − 2, . . . , 2, 1},
rii
where we denoted c = M b = t (c1 , . . . , cn ).
4.3.2. Exercises
1. Given the matrices
1 2 1 1
A= 0 −1 5 and b = 0 ,
2 1 −3 2
triangularize the matrix A and solve the system Ax = b.
Solution. The first pivot is a11 = 1 and
1 0 0 1 2 1
M1 = 0 1 0 ⇒ M1 A = 0 -1 5 .
−2 0 1 0 −3 −5
The next pivot is −1 and
1 0 0 1 2 1
M2 = 0 1 0 ⇒ U = M2 M1 A = 0 −1 5 ,
0 −3 1 0 0 −20
and the multiplying lower-triangular matrix is
1 0 0 1 0 0 1 0 0
M = M2 M1 = 0 1 0 · 0 1 0 = 0 1 0 .
0 −3 1 −2 0 1 −2 −3 1
4.4. ITERATIVE METHODS FOR SOLVING LINEAR SYSTEMS 143
Then
1 0 0 1 1
Mb = 0 1 0 0 = 0 ,
−2 −3 1 2 0
and the system Ax = b rewrites
1 2 1 x1 1
M Ax = M b ⇔ 0 −1 5 x2 = 0 ,
0 0 20 x3 0
Ax = b. (74)
Note that the classical method of solving this system based on computing first the in-
verse A−1 , and afterwards the solution x = A−1 b is inefficient because of cummulated
errors and the large number of operations.
On the other hand, the iterative methods give, under certain defined conditions,
more precise and less time-consuming results. We shall describe in the following a
procedure of this type.
Let A be decomposed as A = N − P with N invertible (usually diagonal, Jordan
or triangular). Then the system rewrites N x = P x + b, and one can build a sequence
of vectors of given initial seed x(0) ∈ R n , defined by
x(k+1) = Gx(k) + c, k ≥ 0.
We determine some cases in which x(k) converges to the exact solution x∗ = A−1 b
of the system (74).
4.4.1 Theorem. Given the sequence (76), we have lim x(k) = x∗ iff ρ(G) < 1.
k→∞
(k) (k)
Proof. Let ε = x−x be the error at step k, k ≥ 0. We check that lim ε(k) = 0
k→∞
Indeed, since x(k) = x − ε(k) , by replacing in (75) and using that Ax∗ = b (i.e.,
equivalently, N x∗ = P x∗ + b), we have
Then we can use one of the following two methods of solving iteratively the linear
system Ax = b.
N = D, P = N − A = −(L + R).
Provided that the condition in the theorem is fulfilled, the sequence of iterations
(k)
x(k) = (xi )i=1,n which converge to the solution x∗ , is given by
n
X
(k+1) (k)
xi = bi − aij xj /aii , i = 1, n, k ∈ N.
j=1, j6=i
N = L + D, P = N − A = −R,
4.4.2. Exercises
µ ¶µ ¶ µ ¶ µ ¶
2 −1 x 1 (0) 0
1. Solve the system = , x = , using:
−1 2 y 1 0
a) the Jacobi method;
b) the Gauss-Seidel method.
Solution. a) The Jacobi method. We have
µ ¶ µ ¶ µ ¶
2 0 0 1 1/2 0
N =D= , P = N −A = −L−R = , N −1 = ,
0 2 1 0 0 1/2
and µ ¶ µ ¶ µ ¶
−1 1/2 0 0 1 0 1/2
N P = · = ,
0 1/2 1 0 1/2 0
whence ½ ¾
−1 1 1 1
σ(N P) = − , ⇒ ρ(N −1 P ) = < 1;
2 2 2
consequently, the sequence converges to the solution of the system. The sequence is
given by
X n
(k+1) (k) 1
xi = bi − aij xj , i = 1, n, k ∈ N.
aii
j=1,j6=i
These relations rewrite N x(k+1) = P x(k) + b and the next term of the sequence is
provided by a system of the form
µ ¶µ 0 ¶ µ ¶µ ¶ µ ¶
2 0 x 0 1 x 1
= +
0 2 y0 1 0 y 1
and rewrites
½ ( 0 ( (n+1)
2x0 = y + 1 x = (y + 1)/2 x = (y (n) + 1)/2
⇔ ⇒
2y 0 = x + 1 y 0 = (x + 1)/2 y (n+1) = (x(n) + 1)/2.
Then the required iterations are
146 CHAPTER 4. NUMERICAL METHODS IN LINEAR ALGEBRA
and µ ¶ µ ¶ µ ¶
−1 1/2 0 0 1 0 1/2
N P = · = .
1/4 1/2 0 0 0 1/4
We obtain σ(N −1 P ) = {0, 14 } and ρ(N −1 P ) = 1/4 < 1 whence the sequence converges
to the solution of the system. The sequence is given by
i−1
X Xn
(k+1) (k+1) (k) 1
xi = bi − aij xj + aij xj , i = 1, n, k ∈ N.
j=1 j=i+1
aii
These relations rewrite N x(k+1) = P x(k) + b and the next term of the sequence is
provided by a system of the form
µ ¶µ 0 ¶ µ ¶µ ¶ µ ¶
2 0 x 0 1 x 1
= +
−1 2 y0 0 0 y 1
and rewrites
½ ½ 0 ½ (n+1)
2x0 = y + 1 x = (y + 1)/2 x = (y (n) + 1)/2
⇔ ⇒
−x0 + 2y 0 = 1 y 0 = (y + 3)/4 y (n+1)
= (y (n) + 3)/4.
Ax = b, (77)
4.5. SOLVING LINEAR SYSTEMS IN THE SENSE OF LEAST SQUARES 147
with the unknown x ∈ Mn×1 ( R ) ≡ R n . The compatibility of the system holds iff,
e.g., rank A = rank (A|b) (the Kronecker-Capelli theorem).
To find a pseudo-solution for (77) by using the method of least squares, means to
find x∗ ∈ R n , which obeys the condition
x∗ = Ãb,
Im A = {y | ∃x ∈ R n , y = Ax} ⊂ R m .
Therefore
Hence
0 = t Ar∗ = t Ab − t AAx∗ ⇒ (t AA)x∗ = t Ab. (78)
We note that the matrix t A A is quadratic (see the remark), symmetrical and positive
definite. Indeed
t t
( AA) = t At (t A) = t AA,
and
t t
x AAx = t (Ax)(Ax) = hAx, Axi R m = ||Ax||2R m ≥ 0,
and the equality holds true only when x = 0. Also, t AA is invertible (since rank A =
n). Hence from (78) we infer x∗ = (t AA)−1t Ab. 2
Remarks. 1o . Emerging from the system Ax = b we obtain the normal associated
system
t
AAx∗ = t Ab, (79)
which has the solution x∗ . Then
The system (79) can be solved using numerical analysis and computer techniques.
Unfortunately, B = t AA is affected by rounding errors. For example, for
1 1+ε
A= 1 1
1 1
and ε > εm , where εm is the computer precision error, we obtain
µ ¶
3 3+ε
B = t AA = ,
3 + ε 3 + ε + ε2
and if ε2 < εm though rank A = 2, we can have t AA singular matrix (!) hence
without inverse, and x∗ cannot be determined.
2o The normal system (79) can still be solved by special numerical methods (avoid-
ing the laborious calculations required for computing (t AA)−1 , for n >> 0).
4.5.2. Exercises
1. Find the pseudo-solution for the linear system
1 2 µ ¶ 1
x
Ax = B ⇔ 0 1 = 0 .
y
2 −1 2
Solution. We have
µ ¶ 1 2 µ ¶ µ 1
¶
t 1 0 2 0 5 0 −1 0
à = AA = 1 = , à = 5
1
2 1 −1 0 6 0
2 −1 6
Solution. The system is obviously compatible for all ε ∈ R ∗ , and its exact solu-
tion is x = t (1, 2, 3, 4). Still, in certain cases the pseudosolution of the system cannot
be determined, as shown below.
We attach the normal associated system t AAx∗ = t Ab. We remark that though
rank (A) = 4, and t AA ∈ M4 ( R ), we have
That is why, for ε ¿ 1, the matrix t AA is practically singular, and in our case,
the matrix t AA is non-invertible; the pseudo-solution x∗ can be determined only by
special techniques.
3. Find the real numbers {xk }1,n ⊂ R which are the closest to the corresponding
numbers {ak }1,n respectively, and are closest each to the other.
Solution. We consider the quadratic form
n
X n
X
Q(x) = ck (xk − xk−1 )2 + dk (xk − ak )2 ,
k=1 k=1
Ax = λx ⇔ (A − λI)x = 0.
150 CHAPTER 4. NUMERICAL METHODS IN LINEAR ALGEBRA
O(n) ≡ {A|A ∈ Mn ( R ) | t A A = I}
be the set of orthogonal matrices of order n. Then there exists an orthogonal matrix
Q, such that the matrix S = t Q AQ to be upper almost triangular matrix.
In this case S is called the canonical Schur form of A, and its columns are called
Schur columns.
Proof. Let λ ∈ σ(A) and x ∈ R n \{0} an eigenvector associated to λ, i.e., Ax =
λx. We can assume ||x|| = 1 (without loss of generality). Let Q = [x, Y ] be an
orthogonal matrix, Y ∈ Mn×(n−1) ( R ) such that hx, yi = 0, for all y ∈ Im Ỹ , where
the matrix Y defines a linear transformation Ỹ ∈ L ( R n−1 , R n ), such that [Ỹ ] = t Y .
Hence we have t Y x = 0. Then
But since
AQ = IAQ = (Q t Q)AQ = Q(t QAQ), (81)
denoting A0 = t QAQ, we obtain
µ t from
0
¶ (80) and (81) that [λx, AY ] = QA , whence,
x
multiplying by Q−1 = t Q = t , we infer
Y
µ ¶
0 t λ t xAY
A = QAQ = ,
0 B
4.6. NUMERICAL COMPUTATION OF EIGENVECTORS AND EIGENVALUES 151
n
X n
X
Then Ay = βi Axi = βi λi xi , whence
i=1 i=1
n
X
Ak y = βi λki xi . (83)
i=1
we infer
Xn µ ¶k
1 k λi 1 k
A y = β1 x1 + βi xi ⇒ lim A y = β1 x1 . (84)
λk1 i=2
λ1 k→∞ λk1
152 CHAPTER 4. NUMERICAL METHODS IN LINEAR ALGEBRA
hx, Axi
The relation Ax = λx, x 6= 0 infers λ = . Hence, using (84) we have
hx, xi
t (k)
y Ay (k) hy (k) , Ay (k) i hαx1 , A(αx1 )i hx1 , Ax1 i
lim t y (k) y (k)
= lim = = = λ1 ,
k→∞ k→∞ hy (k) , y (k) i hαx1 , αx1 i hx1 , x1 i
4.6.3. Exercises
4 1 0
1. Let A = 1 2 1 . Find four iterations in determining the eigenvalue of
0 1 1
maximal absolute value λ ∈ σ(A) (i.e., such that |λ| ≥ |µ|, for all µ ∈ σ(A)), and
find the corresponding four estimates of the eigenvector x associated to λ. The seed
vector of the iterations is y (0) = t (1, 1, 1) ∈ R 3 .
Solution. The approximative values of the eigenvalues of A are
σ(A) = {λ1 ∼
= 4.4605, λ2 ∼
= 2.23912, λ3 ∼
= .300372}.
The sequence of vectors y (k) = Ak y (0) , k ∈ N, which converges in direction to the
eigenvector x1 is
Component\vector y (0) y (1) y (2) y (3) y (4) ···
1 1 5 24 111 504 ···
2 1 4 15 60 252 ···
3 1 2 6 21 81 ···
t
vk Avk
Denoting vk = y (k) = Ak y (0) = Ay (k−1) , the sequence ηk = tv v
which con-
k k
verges to λ1 has the first five iterations given by
11 64 410
η0 = ≈ 3.6666, η1 = ≈ 4.26666, η2 = ≈ 4.40860,
3 15 93
4.6. NUMERICAL COMPUTATION OF EIGENVECTORS AND EIGENVALUES 153
2695 17833
η3 = ≈ 4.444719, η4 = ≈ 4.45713.
606 4001
Also, one can use the obtained limit value λ1 , and remark that the normalized sequence
of vectors
vk
z (k) = k , k ∈ N
λ1
converges also in direction to x1 , and the first four iterations of this sequence are
µ ¶
1 −1
2. Let A = . Find λ ∈ σ(A), such that |λ| = max |γ|. Find its
0 2 γ∈σ(A)
eigenvectors.
Solution. The first seven iterations for the sequence y (k) = Ay (k) = Ak y (0) , k ≥ 1
are
Component\vector y (0) y (1) y (2) y (3) y (4) y (5) y (6) y (7) ...
1 1 0 -2 -6 -14 -30 -62 -126 ...
2 1 2 4 8 16 32 64 128 ...
This converges to vmax . Also, if λmax is known, then the sequence z (k) below has
the same property:
µ ¶
(0) 1 1
z = , z (k) = k Ak y (0) → vmax .
1 λ
The eigenvalue λmax is also provided by the sequence
t (k)
y Ay (k)
ηk = t y (k) y (k)
→ λmax ,
η0 = 1, η1 = 2,
11 53
η2 = 5 = 2.2, η3 = 25 = 2.12,
233 977
η4 = 113 ≈ 2.06194, η5 = 481 ≈ 2.03118,
4001 16193
η6 = 1985 ≈ 2.01561, η7 = 8065 ≈ 2.00781.
We note that σ(A) = {1, 2}, and the largest in absolute value eigenvalue of A
is λ = 2. Then it can be easily seen that the sequence ηk approaches at limit this
eigenvalue.
Index
154
INDEX 155
scalar, 13
scalar field, 17
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