2 DifferenceEqtn

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015
Discrete Dynamical System
MATH2408/3408
Computational Methods and Differential
Equations with Applications
20142015
Linear Difference Equations

Solutions of Homogeneous Equations
Stability
Iterations and Equilibria
Difference Equations
Equilibria
Stability
Dr. WONG Chi Wing

Department of Mathematics, HKU
Order of Convergence
Solving Equations and Newtons Method
Bisection Method
A dynamical system is a system that changes over time. If the

time is measured in discrete units (e.g. days), the system is
called a discrete dynamical system.
Example 1 (Discrete Exponential Growth)

Bacteria reproduce through binary fission. Suppose that
bacteria divide every 15 minutes.
If Nk is the number of bacteria presented after 15k minutes,
then
Nk +1 = 2Nk , k = 0, 1, 2, 3, . . .
Thus, a discrete dynamical system is essentially a sequence of

numbers
{a1 , a2 , a3 , . . .} or in short {an }.
A dynamical system can be defined explicitly
where N0 is the initial population of bacteria.

It follows that
e.g. an = (1 + r ) a0 ;
n
or recursively
N1 = 2N0 , N2 = 2N1 = 22 N0 , . . . , Nk = 2k N0 , . . .
e.g. an+1 = (1 + r )an .

1 / 37
2 / 37
A dynamical system is density dependent if the ratio net

reproduction rate depends on Nt :
A linear fitness function may take the form
Nt+1
= f (Nt )
Nt
and hence
f (N) = R
R1
N
K
where R > 1
R1
Nk Nk .
K
This model is coined the discrete logistic model and was
proposed by a Belgian mathematician PierreFranois Verhulst
(1836). He didnt explain his choice of the word logistique but
this word was referred to the art of calculation in the 19th
century France.
where f is called the fitness function.
We may make further assumptions on fitness functions.

1. When N is small, f is essentially a constant R > 1.
2. f (N) decreases as N increases.
3. There is a threshold population size K , named carrying

capacity, so that f (K ) = 1.
Nk +1 = R
3 / 37
If we set
4 / 37
A nonlinear fitness function is f (N) =
, then the
1 + R1
K N
discrete dynamical system is given recursively by
R1
Nk ,
RK
then we obtain the dimensionless discrete logistic model
xk =
xk +1 = Rxk (1 xk ).
Nk +1 =
(1)
RKNk
.
K + (R 1)Nk
(2)
Though the relation looks complicated, one can indeed define

the system explicitly
In spite of its simplicity, no explicit form of (1) is known except

for R = 2 and R = 4.
1
1
1
1
1
= k
+ .
Nk R N0 K
K
5 / 37
6 / 37
We define the (left) shift operatior on V by
Let V be the set of all infinite sequences of scalars. It is an

infinite dimensional vector space under the usual operations:
E({x1 , x2 , . . .}) = {x2 , x3 , . . .}.
{a1 , a2 , . . .} + {b1 , b2 , . . .} = {a1 + b1 , a2 + b2 , . . .},
In other words, if x = {x1 , x2 , . . .}, then
{a1 , a2 , . . .} = {a1 , a2 , . . .}.
(Ex)k = xk +1
We shall frequently encountered the following geometric

sequence: for any scalar , we define
and so u( )k =
u( ) = ,
,...,
for all k .
Its easy to see that E is a linear mapping.In addition, if we

denote the composition E E = E 2 and E i+1 = E E i , then
, . . .
E i xk = xi+k .
7 / 37
8 / 37
For any polynomial p(z) = ni=0 ci z i , we define the linear

operator
By a linear difference operator L, we mean a linear combination

of powers of E over the scalar field:
p(E) = ci E i .
L = ci E i
i=0
Conversely, every linear difference operator is indeed of this

form.
i=0
where E 0 is the identity mapping.
In addition, the equation
Example 2
p(E)x = 0
If L = E 2 3E 1 + 2E 0 , then for any x = {x1 , x2 , . . .} V , then
is called a homogeneous difference equation and the

polynomial p(z) is called the characteristic equation of the
difference equation.
(Lx)k = xk +2 3xk +1 + 2xk .
9 / 37
10 / 37
Recall that L = p(E) is a linear mapping. Thus, the set of

solutions of the difference equation is simply the kernel of L and
hence is a vector subspace of V . As a result,
Lets continue with the difference equation

xk +2 3xk +1 + 2xk = 0
{u(1) + u(2) ,
whose characteristic equation is p(z) = z 2 3z + 2.

Lets try a solution of the form u(r ):
The question is of course whether the equality holds.
(p(E)(u(r )))k = r k +2 3r k +1 + 2r k = 0 for all k
Theorem 3
r r 3r + 2 = r (r 1)(r 2) = 0.
k
F} ker L.
If is a zero of p(z), then u( ) is a solution of the

homogeneous difference equation Lx = p(E)x = 0. In addition,
if p has only nonzero simple roots { 1 , . . . , n }, then every
solution is a linear combination of u( 1 ), . . . , u( n ).
It follows that r = 0, r = 1 or r = 2: and thus u(0), u(1) and u(2)

are solutions of the difference equation.
11 / 37
12 / 37
Example 4
For any sequence of functions in
Solve the linear difference equation
s( ) = {s1 ( ), s2 ( ), . . .} ,
xn+3 2xn+2 5xn+1 + 6xn = 0.
we define its derivative to be the sequence of the derivative of

the terms:
d
s( ) = s(1) ( ) = s1 ( ), s2 ( ), . . . .
d
We can define higher derivative as in the ordinary calculus:

s(l+1) ( ) =
13 / 37
d l+1
d (l)
s( ) =
s ( ).
l+1
d
d
14 / 37
For example, take s( ) = u( ), then

u (0) ( ) = ,
u
(1)
( ) = 1, 2 , 3
,...,
2
, . . .
,...,k
k 1
Theorem 5
, . . .
u (2) ( ) = 0, 2, 6 , . . . , k (k 1)
In addition, observe that

E
d
u( ) = E , (
d
= (
) ,(
and hence for any k , l N0 ,
) ,(
E k u (l) ( ) =
) . . .
3
) ,(
k 2
Let p(z) be a polynomial with nonzero constant term. If is a

zero of p(z) with multiplicity , then u( ), u (1) ( ), . . . , u (1) ( )
are linearly independent solutions of the difference equation
p(E)x = 0.
If we set U to be the span of these sequences and if
1 , . . . , m are the distinct zeros of p, then
, . . . .
) , . . . =
ker p(E) = U
d
[Eu( )] ;
d
dl
E k u( ).
d l
++U
Note that dim U j is the algebraic multiplicity of
j.
15 / 37
16 / 37
Theorem 7
Suppose that xn+1 = axn + b for some constants a 1 and b.

Then
b
b
xn = x0
an +
.
(3)
1a
1a
Example 6
Consider the difference equation
4xk +3 + 7xk +2 + 2xk +1 xk = 0
Example 8
whose characteristic polynomial is
Take the reciprocal of the BevertonHolt equation (2) to get
p(z) = 4z 3 + 7z 2 + 2z 1 = (z + 1)2 (4z 1).
1
K + (R 1)Nk 1
1
R1
=
=
+
.
Nk +1
RKNk
R Nk
RK
It follows that the general solutions are
x = c1 u(1) + c2 u (1) + c3 u(14).
If we set xk = 1Nk , a = 1R and b = (R 1)(RK ), then

1
Nk
17 / 37
1
1 1
1
k + .
N0 K R
K
18 / 37
Stability
Stability
Definition 9
Theorem 13
A sequence is said to be bounded if there is M > 0 such that

xn M for all n.
Let p(z) be a polynomial with nonzero constant term. The

following are equivalent.
Example 10
(i) The difference equation p(E)x = 0 is stable.
The sequence u( ) is bounded if and only if 1.
(ii) Every zero of p satisfies 1, and satisfies the strict

inequality whenever is a multiple root.
Definition 11
Example 14
We say that a linear difference equation is stable if all of its

solutions are bounded.
The difference equation in Example 6 unstable although all the

zeros of the characteristic equation lie in the unit disk. However,
1 is a multiple root.
Example 12
The difference equation in Example 4 is unstable as u(2) is an
unbounded solution.
19 / 37
20 / 37
Equilibria
Equilibria
We shall study a first order difference equation
Definition 15
xn+1 = F (xn )
A point x is said to be an equilibrium of a function F if
where F is a continuous function. An effective way to trace the long term

behavior of {xn } is the Cobweb Diagram.
x = F (x ).
Graphically, its simply the intersection of y = F (x) and y = x.
Procedure
Example 16
1. Plot the curve y = F (x) and y = x.
Consider the dimensionless logistic model

with R = 2.
2. Plot (x0 , 0), move vertically until

hitting y = F (x) at (x0 , F (x0 )); and
then move horizontally until hitting
y = x at (F (x0 ), F (x0 )).
3. Move vertically until hitting y = F (x)

at (F (x0 ), F 2 (x0 )); and then move
horizontally until hitting y = x at
(F 2 (x0 ), F 2 (x0 )).
(4)
x = 2x (1 x )
x (1 2x ) = 0.
There are two equilibria x1 = 0 and

x2 = 12.
21 / 37
If x0 = x is an equilibrium of F , then the dynamical system defined by

xk +1 = F (xk ) is x0 = x1 = x2 = = x .
22 / 37
Equilibria
Equilibria
Optional
Theorem 17 (Existence and Uniqueness of Equilibrium I)
Definition 19 (Contraction)
Let F [a, b] [a, b] be continuous. Then F has a equilibrium.

Further, this equilibrium is unique if
Let S R. A function F S S is a contraction if there is

(0, 1) such that
F (x1 ) F (x2 ) < x1 x2 for all distinct x1 , x2 [a, b],
F (x1 ) F (x2 ) x1 x2 for all x1 , x2 C.
Corollary 18
Theorem 20 (Existence and Uniqueness of Equilibrium II)
Let F [a, b] [a, b] be continuous. If F differentiable and

F (x) < 1 on (a, b), then F has a unique equilibrium.
23 / 37
Let C R be closed. If F C C be a contraction, then F has

a unique equilibrium.
Indeed, the equilibrium is the limit of the sequence generated
by iteration, xn+1 = f (xn ).
24 / 37
Stability
Stability
Definition 21
Let x be an equilibrium of the function F , and xn+1 = F (xn ).

We say that
1. it is stable if for any " > 0, there is
x0 x <
Definition 22
Let F be a differentiable function and x be its equilibrium. We

say that x is a hyperbolic if F (x ) 1.
> 0 such that
sup xn x < ";

n
Theorem 23 (Stability of Hyperbolic Equilibrium)
Let x be a hyperbolic equilibrium of a differentiable function F .

Suppose that F is continuous at x . Then
2. it is unstable if it is NOT stable, i.e., there is "0 > 0 such that

for any > 0, xn x "0 for some x0 (x , x + ) and
n N;
3. it is asymptotically stable if it is stable and there is
such that
x0 x <
lim xn = x .
1. x is asymptotically stable if F (x ) < 1;

2. x is unstable if F (x ) > 1.
>0
25 / 37
26 / 37
Stability
Example 24
In this subsection, we shall study how fast a sequence
generated by iteration (i.e. xn+1 = F (xn )) converges to an
asymptotically stable equilibrium x provided that x0 is close to
x .
Consider the dimensionless discrete logistic equation (1)

xk +1 = F (xn ) where F (x) = Rx(1 x), x [0, 1] and 1 < R 4.
Solving F (x) = x, there are two equilibria x1 = 0 and x2 = (R 1)R.

Note that F (x) = R(1 2x). Hence
Definition 25
Let the error in the nth iteration be en = xn x . If there is

p 1 such that
en+1
lim
= C > 0,
n en p
F (0) = R > 1 and F ((R 1)R) = 2 R.
In view of Theorem 23,
x1 is always unstable;
is asymptotically stable if 1 < R < 3 and is unstable if

3 < R 4.
then we say the iteration method is of order p at x .
x
2
27 / 37
28 / 37
To have an idea on the meaning of the order of convergence of

an iteration, lets assume C 1 for simplicity. Then for large n,
If en = 110, then
Newtons Algorithm (solving f (x) = 0)
en+1 en p .
input x0 , N, , ;
fx f (x0 )
if fx < " then stop
for i = 1 to N do
x1 x0 fxf (x0 ); fx f (x1 );
if x1 x0 < or fx < " then stop
x0 x1
end do
output i, x1 , fx
p = 1 or linear convergence: en+1 110;

p = 2 or quadratic convergence: en+1 1100;
p = 3 or cubic convergence: en+1 11000.
Theorem 26
Let F be a sufficiently smooth function and be an equilibrium.

Then the order of convergence of the scheme xi+1 = F (xi ) (to
) is p N if (and only if)
dF
d 2F
d p1 F
() =
()
=
=
() = 0 and
dx
dx 2
dx p1
d pF
() 0.
dx p
29 / 37
30 / 37
The Newtons method is an example of onepoint iteration

xi+1 = F (xi ) where F (x) = x
Note that if f () 0, then
F () =
In addition,
F () =
Example 27
f (x)
.
f (x)
1
Use the Newtons method to find the a zero of f (x) = x 2 x 1 x+1
in (1, 2) with x0 = 1 within 100 steps. Continue the procedure until
either f (x) or absolute difference between two successive
approximations is less than 0.001.
f () = 0.
Solution.
Note that f (x) = 2x 1 + 1(x + 1)2 .
f ()f ()
= 0.
f ()2
n
0
1
2
3
4
It follows that is an asymptotically stable equilibrium and the order

of convergence is at least two.
Indeed it is exactly two when f is thrice differentiable and f () 0 as

F () =
f ()
0.
f ()
xn
1.0000
2.2000
1.8205
1.7702
1.7693
f (xn )
-1.5000
1.3275
0.1391
0.0024
f (xn )
1.2500
3.4977
2.7666
2.6707
xn+1 xn
N/A
1.2
0.3795
0.0503
0.0009
Solution is 1.7693.
31 / 37
32 / 37
An obvious disadvantage of Newtons method is its local

convergence.
The situation is even worse if the zero of f is not an asymptotically

stable equilibrium of F .
Example 28
To solve f (x) = cos x in (0, 4), the Newton iteration function is
Example 29
Obviously, x = 2 is the solution/equilibrium and
which obviously has a zero at x = 0.

Note that
1
f (x) =
2 x
Consider
cos x
F (x) = x
= x + cot x.
sin x
F (x ) = cot2 x = 0 x is stable.
However, if we choose x0 = 3, which is close to x , the

Newtons method yields
4.01525, 4.85266, 4.71146, 4.71239, 4.71239 32!
f (x) =
if 0 x 1,
if 1 x < 0
if x 0
f (x)
= x.
f (x)
As long as x0 0, xn = (1)n x0 and {xn } is never convergent to x .
and hence the Newton iteration function is F (x) = x
33 / 37
34 / 37
Bisection Method
Bisection Method
Theorem 30 (Existence of Zero)

Let f be continuous on [a, b]. If f (a)f (b) < 0, then f (c) = 0 for
some c (a, b).
Example 31
Lets find the zero of f (x) = cos x in (0, 4) by the bisection method (cf
Example 28). We shall be content if either f (c) or bn an is less than
0.0001.
Bisection Algorithm (solving f (x) = 0)

input a, b, f , N, , ;
fa f (a); fb f (b); e b a;
if fa fb 0 then stop
for i = 1 to N do
e e2; c a + e; fc f (c)
if e < or fc < " then stop
if fa fc < 0 then
b c; fb fc
else a c; fa fc
end if
end do
output i, c, fc, e
n
0
1
2
11
12

Bisection Method
While the bisection method always yields a solution (as long as

one can locate the initial interval), it converges very slowly.
Theorem 32 (Convergence of Bisection Method)

Let f be continuous and
[a0 , b0 ] [a1 , b1 ] [a2 , b2 ]
be the nested sequence of intervals generated by the bisection

method. Then
1. both {an } and {bn } are convergent;
2. for any n, bn an (b0 a0 )2n ;
3. limn an = limn bn = r ;
5. if cn = (an + bn )2, then r cn bn an 2.
cn
2
1
1.5
bn
4
2
2
f (an )
+
+
+
f (cn )
+
+
f (bn )
+
-
bn an
2
1
.5
f (cn )
.41615
.54030
.07074
1.57031
1.57031
1.57129
1.57080
1.57227
1.57129
+
+
.00098
.00049
.00049
.00000
So the zero is 1.57080.
35 / 37
4. f (r ) = 0.
an
0
0
1
37 / 37
36 / 37

2 DifferenceEqtn

Caricato da

Informazioni sul documento

Copyright

Formati disponibili

Condividi questo documento

Condividi o incorpora il documento

Opzioni di condivisione

Hai trovato utile questo documento?

Questo contenuto è inappropriato?

Copyright:

Formati disponibili

2 DifferenceEqtn

Caricato da

Copyright:

Formati disponibili

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Discrete Dynamical System

Linear Difference Equations

Dr. WONG Chi Wing

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Discrete Dynamical System

Discrete Dynamical System

A dynamical system is a system that changes over time. If the

Example 1 (Discrete Exponential Growth)

Thus, a discrete dynamical system is essentially a sequence of

where N0 is the initial population of bacteria.

e.g. an+1 = (1 + r )an .

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Discrete Dynamical System

Discrete Dynamical System

A dynamical system is density dependent if the ratio net

A linear fitness function may take the form

where f is called the fitness function.

We may make further assumptions on fitness functions.

3. There is a threshold population size K , named carrying

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Discrete Dynamical System

Discrete Dynamical System

A nonlinear fitness function is f (N) =

Though the relation looks complicated, one can indeed define

In spite of its simplicity, no explicit form of (1) is known except

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Linear Difference Equations

Linear Difference Equations

We define the (left) shift operatior on V by

Let V be the set of all infinite sequences of scalars. It is an

E({x1 , x2 , . . .}) = {x2 , x3 , . . .}.

{a1 , a2 , . . .} + {b1 , b2 , . . .} = {a1 + b1 , a2 + b2 , . . .},

In other words, if x = {x1 , x2 , . . .}, then

{a1 , a2 , . . .} = {a1 , a2 , . . .}.

We shall frequently encountered the following geometric

Its easy to see that E is a linear mapping.In addition, if we

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Linear Difference Equations

Linear Difference Equations

For any polynomial p(z) = ni=0 ci z i , we define the linear

By a linear difference operator L, we mean a linear combination

Conversely, every linear difference operator is indeed of this

where E 0 is the identity mapping.

In addition, the equation

If L = E 2 3E 1 + 2E 0 , then for any x = {x1 , x2 , . . .} V , then

is called a homogeneous difference equation and the

(Lx)k = xk +2 3xk +1 + 2xk .

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Linear Difference Equations

Linear Difference Equations

Solutions of Homogeneous Equations

Solutions of Homogeneous Equations

Recall that L = p(E) is a linear mapping. Thus, the set of

Lets continue with the difference equation

whose characteristic equation is p(z) = z 2 3z + 2.

The question is of course whether the equality holds.