SYSTEMS ANNID Merron RIZATION Krzysztof Kowalski iment physics institute emistry ‘oland Depaxtmen i of ple d Mat Studies th Africa pwers ss Scientific. don ¢ Hong Kong NONLINEAR DYNAMICALPublished by World Scientific Publishing Co. Pte. Lid. PO Box 128, Farrer Road, Singapore 9128 USA office: 687 Hanwell Street, Teaneck, NJ 07666 UK office: 73 Lynton Mead, Totteridge, London N20 8DH <4490 ios spb floo8* NONLINEAR DYNAMICAL SYSTEMS AND CARLEMAN LINEARIZATION Copyright © 1991 by World Scientific Publishing Co. Pte. Lid. All rights reserved. This book, or parts thereof, may not be reproduced in any form or byany means, electronic or mechanical, including photocopying, recording orany information storage and retrieval system now known or to be invented, without written permission from the Publisher. ’ ISBN 981-02-0587-2 Printed in Singapore by JBW Printers and Binders Pte. Ltd,Preface This book is the first monograph on a new, powerful method for the study of nonlinear dynamical systems called the Carleman linearization (or Carleman embedding technique) and its generalizations and applications. We have also included a survey of alternative techniques of linearization of nonlinear differential equations. Among the generalizations of the Carleman linearization we concentrate on the Hilbert space description of non- linear dynamical systems. Applications of the Carleman embedding technique and its generalization covered in this book include integration of ordinary and partial differential equations, as well as difference equations, perturbation theory, bifurcation theory, chaos and the calculation of Ljapunov exponents, Furthermore, the determinations of symme- tries and first integrals for nonlinear dynamical systems are investigated in detail. Both ordinary and partial differential equations are considered. We have tried to make the book reasonably self-contained. In chapter 2 we have sum- marized the mathematical tools necessary to understand the Carleman linearization and its generalizations. All sections are supplemented by numerous examples illustrating the mathematical tools. The intended audience includes both mathematicians and physicists as well as advanced graduate students in these subjects. Ends of examples are indicated by the symbol O. Ends of proofs are indicated by the symbol @.Contents 1 Introduction 2 Mathematical Preliminaries Kronecker Product of Matrices... 6-6 0 ee ee ee Lie Algebras and Lie Series. . . . Banach Spaces and Hilbert Spaces Quantum Mechanics ...... - Bose Operators and Coherent States Bose Field Operators and Functional Coherent States Gateaux Derivative and Variational Equations . Functional Derivative... . 6.6. ee ee eee Lie Algebras of Vector Fields and Bose Operators . 3 Carleman Embedding Technique 3.1 3.2 3.3 34 3.5 4 Linearization in a Hilbert space 4.1 4.2 Introduction... 2.2... eee Ordinary Differential Equations . . 3.2.1 Introductory Examples . . . 3.2.2 General Theory... ....- Difference Equations Algebraic Equations Partial Differential Equations Ordinary Differential Equations Partial Differential Equations5 Applications 5.1 Secular Terms 5.2 Bifurcation Theory and Carleman Linearization 5.3 Symmetries and First Integrals 5.3.1 Ordinary Differential Equations 5.3.2 Partial Differential Equations 5.4 Chaos and Ljapunov Exponents . 6 Other Linearization Techniques 6.1 Lie-Koopman Linearization 6.2 Invertible Point Transformation . 6.3 Painlevé Test and Linearization . 6.4 The Method of Turning Variables References Index 113 113 119 126 126 137 148 153 153 157 161 171 175 182Symbol Index the set of integers the set of nonnegative integers the set of positive integers: natural numbers the set of real numbers nonnegative real numbers the set of complex numbers k-fold Cartesian product of 24 the k-dimensional real linear space the k-dimensional complex linear space column vectors in C# unit column vector, e; = (0,-.-,0,1:,0,--- inner product in C* complex conjugation of z € C vector in C* such that (z*); = 27, i= Kronecker product or tensor product direct sum norm on a Banach space inner product (scalar product) on a Hilbert space Hilbert space trace determinant complex Hilbert space of square integrable functions real Hilbert space of square integrable functions bra vector in Dirac notation ket vector in Dirac notation coherent state basis vector of the occupation number representation, n € Z* diadic product on a Hilbert space projector on the state |¢) hermitian conjugation of the linear operator (matrix) L transpose of the linear operator (matrix) L unit matrix (identity matrix), identity operator commutator anti-commutator Kronecker delta Dirac delta functionBose annihilation and creation operators, i, j = Bose field annihilation and creation operators, i, number operator nabla operator generalized derivative D* = d/dx%* ...dx% vector in C* such that (D%u); = D®u;, i= Gateaux derivative functional derivative Hamilton operatorChapter 1 Introduction In 1987 we celebrated the 300th anniversary of the epoch-making work of Newton- “Philosophiae naturalis principia mathematica”, where he used for the first time the differential calculus, called by Newton the method of fluxious, in the description of a physical reality. Subsequently, the theory of differential equations become a fundamental tool in physics, engineering and other mathematically based sciences. In particular, an amazingly large number of natural laws and models of natural phenomena are described by nonlinear autonomous systems of differential equations du a(n), Examples range from simple coupled oscillators to biological problems on different levels of life. Famous examples are the Lorenz model and Lotka-Volterra models. ‘There exist numerous examples where the appropriate linear structures play an important role in the study of nonlinear dynamics. Let us only recall the applications of Lie alge- bras in the theory of Lie groups. Therefore, the question naturally arises as to whether the dynamical systems du/dt = V(u) having a great diversity of nonlinearity admit any linear description. In 1932 Carleman (1932), following an idea of Poincaré, showed that a finite dimensional system of nonlinear differential equations du/dt = V(u), where V; are polynomials in u, can be embedded into an infinite system of linear differential equations. ‘The approach is known nowadays as Carleman linearization (or Carleman embedding). The entire subject lay dormant for thirty years until Bellman and Richardson (1963) discussed the Carleman linearization in connection with approximate solutions of non- linear differential equations. In his book Bellman (1970) briefly mentioned the Carleman embedding technique in an exercise. Montroll and Helleman (1976) and Montroll (1978) studied the Carleman linearization and its connections with small denominators and sec- ular terms. Steeb and Wilhelm (1980) discussed approximate solutions to Lotka-Volterra models using Carleman embedding. Kerner (1981) studied a method for embedding nonlinear systems into polynomial ones and he rediscovered the Carleman linearization.8 CHAPTER 1. INTRODUCTION Andrade and Rauh (1981) discussed the Lorenz model by means of the Carleman em- bedding technique. Brenig and Fairén (1981) investigated the power series expansions for nonlinear systems with the help of the Carleman linearization. Steeb (1981) gen- eralized the Carleman embedding to the case of nonlinear difference equations. Wong (1982) showed that one can associate to each analytic vector field a linear operator on a Banach space, known as the Carleman linearization or transformation of the vector field. The Carleman transformation is an Ovsyannikov-'Treves operator. Andrade (1982) used the Carleman embedding to calculate Lyapunov exponents. Applying the Car- leman technique, Kus (1983) found a class of explicitly time-dependent first integrals for the Lorenz model. Steeb (1983) demonstrated that the embedding matrix can be written in terms of Bose operators. Ermakov et al (1984) used the scheme of the Carle- man linearization for constructing approximate Monte-Carlo-like solutions to nonlinear integral equations. Nevertheless, the Carleman technique was not referenced therein. Esperidiao and Andrade (1986) discussed the occurence of secular terms in the Carleman embedding. Inspired by observations of Steeb (1983), Kowalski (1987) showed that finite dimensional nonlinear systems with analytic nonlinearities can be described by a Hilbert space, Schrédinger-like equation with a nonhermitian Hamiltonian expressed in terms of Bose creation and annihilation operators. The Carleman linearization in this “quantum- mechanical” formalism corresponds to the particular occupation number representation. Steady state bifurcations and exact multiplicity conditions via Carleman embedding were investigated by Tsiligiannis and Lyberatos (1987). Kowalski (1988) generalized the ap- proach presented in his paper of 1987 to the case of nonlinear partial differential equations with analytic nonlinearities. The particular coordinate representation in the presented Hilbert space formalism can be viewed as a generalization of the Carleman linearization to the case of the field theory. The correspondence between solutions of the infinite linear system resulting from the Carleman embedding and solutions of the associated nonlinear finite system was discussed by Steeb (1989) who showed that it is one-one only for the analytic solutions, Using the Carleman embedding method Cairé et al (1989) found first integrals for models of interacting populations. The reader will note that in the light of the above historical development of the subject, the Carleman linearization has become a new effective tool in the study of nonlinear dynamical systems. Nevertheless, there is the general lack of familarity with the Carleman embedding technique among researchers working in the field of nonlinear models. Let us only recall the above mentioned rediscovery of the Carleman embedding in 1981. The aim of this book is a systematic presentation of the Carleman linearization, its generalizations and applications. We also decided to present in this book a review of existing alternative methods for linearization of nonlinear dynamical systems. As a matter of fact, there exist today many expositions of modern methods of nonlinear sciences. However, insofar as we are aware, there are no books covering such a wide spectrum of linearization algorithms.9 We now outline the organization of this book. Chapter 2 is devoted to mathematical preliminaries. It provides the basic notions and notations used in the book. Since we have not attempted to present any systematic lecture notes on the required mathematical theories, many constructions and definitions are rather formal. In Chapter 3 we intro- duce the Carleman embedding technique and its generalizations to the case of nonlinear difference equations and nonlinear partial differential equations. Chapter 4 deals with the Hilbert space description of nonlinear dynamical systems which is a far-reaching gen- eralization of the Carleman linearization. In our opinion it is a very promising formalism. Chapter 5 is devoted to applications of the Carleman linearization. The final chapter is devoted to a survey of the existing methods for linearization of nonlinear dynamical systems. It includes the Lie Koopman linearization, the invertible point transformation, the Painlevé test and the method of turning variables. We did not include the memory function approach (Nishigori 1982) and the Padé algo- rithm (Minelli et al 1980). Furthermore, the method of inverse scattering (Ablowitz and Segur 1981, Newell 1985) has been omitted from this review.Chapter 2 Mathematical Preliminaries 2.1 Kronecker Product of Matrices Let _v(u) a) be an autonomous system of first order ordinary differential equations, where w= (uy, U2, Ue)” (2) and 7 denotes transpose. We assume that the functions V; : R* — R are polynomials. Let k > 2. Within the Carleman embedding of such system the Kronecker product plays the central role. In this section we summarize the properties of the Kronecker product of matrices. The Kronecker product is sometimes also called tensor product or direct product. A comprehensive introduction to the Kronecker product and its application is given by Steeb (1991). First we introduce the definition of the Kronecker product. Definition: Let A be an m x n matrix and let B be a p x q matrix. The Kronecker product of A and B is defined as anBo apB ... ainB Bo amB ... amB A@Bi= | ORE oe Om (3) OmiB am2B ... OmnB Thus A@ B is an mp x ng matrix.12 CHAPTER 2. MATHEMATICAL PRELIMINARIES Example: Let and Then we find and ur) Uv? upd) Ugv2 u@vi= ove (sm te) Uyv2 Ugv2 where u? = (u;,u2). O Some important properties of the Kronecker product are A®B®C=(A®@B)@C =A®B(BOC). (4) If the matrix products AB and CD are defined, then (AB) @ (CD) = (A@C)(B® D). (5) If A+ B and C + D are defined, then (A+B) @(C + D) =(A@C)+ (ABD) +(BQC)+(B@D). (6) If A is partitioned as A1, Az, ..., Ax each with m rows then A@B=(A;@B,A,®B,..., A, @ B). (7) Ifr(A) is the rank of A and r(B) is the rank of B, then r(A® B) =r(A)r(B). (8) Next we summarize the theorems we need in the following. Theorem: Let A be an n x n matrix and B be an m x m matrix. I, is the n x n unit matrix and Ip, the m x m unit matrix. Then2.1. KRONECKER PRODUCT OF MATRICES 13 [A® In; In @ B] =0 (9) where [, ] denotes the commutator. Proof: Straightforward calculation yields [A@ Ins In ®@ B] = (A@In)Un @ B) — (In @ BY A® In) A@B-A®B = 0. Consequently, the matrices A@ Im and J, @ B commute. @ Theorem: Let A, B,C, D be n x n matrices. Assume that [A,B]=0, [C,D] =0. Then [A@C,B@D)=0. Proof: We find [A@C,B@D] = (A®C)(B@D)-(B@D\ABC) (AB) ® (CD) — (BA) ® (DC) (AB) @ (CD) — (AB) @ (CD) =0.@ I Theorem: Let A be an m x m matrix with eigenvalues Yay day eos Aon and the corresponding eigenvectors Uy, Us, -4y Une Let B be an n xn matrix with eigenvalues Hay ay ey Hn and the corresponding eigenvectors Vis Vay 05 Vane Then the matrix A @ B has the eigenvalues \;, with the corresponding eigenvectors U; @ Vi, where 1 Hija Since trA = as a and trB = 0b, a we find the identity. @ Next we introduce the Kronecker powers of a matrix A. Definition: The Kronecker powers of an m x n matrix A are defined by All:=A@A (11) and, in general Al = Ag All (12) where ie NV. We find the following property Altil = Allg Al, Now we discuss the role of the Kronecker product and Kronecker powers in the Carleman embedding. We restrict ourselves to the case where k = 2. The extension to higher dimensions is straightforward. Consider the nonlinear autonomous system of differential equations2.1. KRONECKER PRODUCT OF MATRICES 17 du 2 Fe = emits + DS bijrajen (13) jal i=1 where aij, bij € R and i € {1,2}. In matrix form the system may be written as Vibra du —=Au+] J uv de |S bast seu i T where A = (ai3) and u = (w1,u2). Here 7 means transpose. ‘The initial values are u(t =0 = Uo Defining the quantity uy = UU; (15) as a new variable we obtain the equation of motion d d du; du; qi = qua) = ae + ape Therefore d 2 2 Gita = LK lajreta + airtty;) + SO (bjtmttittrttms + Biten ttt y)- (16) rat tmz At this stage we take into account both uj; and u;i, although uj; = uj; because usu; = ujuz. Consider now the nonlinear system of differential equations described by (13). Using the quantity uj; which is defined by (15), we can cast the system (13) into the form 0 dfu \_(A B wu \y 0 d\ul}~\o0 A@bh+h@a)\ uA LD dam ttl + DO bum ttm te LD baimttatyttm +L baimttitm U2 (17) where ull =u @ u = (ui, ti2, Ua, uz)” (18) and _ (bm be bin bin a=(jm bare Ban bam) (19)18 CHAPTER 2. MATHEMATICAL PRELIMINARIES The 0 inside the matrix on the right-hand side of (17) is the 4 x 2 null matrix, and Jp the 2 x 2 identity matrix, Besides the initial conditions u(t = 0) = uio we additionally have ujj(t = 0) = u(t = O)u,(t = 0) = ujorsjo- The characteristic roots of the matrix on the right-hand side of (17) are given [det(A — Ah)][det((A@ be + ® A) — Mly)] = 0. (20) Therefore the characteristic roots of the matrix can be given at once. Defining the quantity fatale (21) we can follow the same steps as above and obtain the system (only the linear part is written down) a{% ABO u 7 u@l |=] 0 A, B ull (22) it \ ll 00 As) ua where A7 = A@In+h@® A and Ay = A® [y+ 2 @ Ax. The matrix By is given by B,=B@h+h@B (23) and ul = u@u@u= (un, unz,-.-,t222)". (24) Note that we use the lexicographical order. Moreover we obtain an additive vector on the right-hand side of (22) where the non-zero elements are of the form cjjimtitjurtm (cijim € R). The characteristic roots of the matrix on the right-hand side of (22) are given by [det(A — Ah)][det As — Z4)][det(Ay — AFs)] = 0. (25) Continuing the procedure, i.e. we put tjjtm {UjUjUm and so on, we obtain an infinite linear system of differential equations. We are able to determine the characteristic roots of the associated matrix. We have the condition [det(A — Af) ][det(Az — AL4)] ..- [det(Ay — Aan)] ++» = 0 (26) where An =A® Inn + 1p ® Ana (27)2.2. LIE ALGEBRAS AND LIE SERIES 19 2.2 Lie Algebras and Lie Series Let # vu) Q) be an autonomous system of first order ordinary differential equations, where u = (uy, Up)... , Ug)? where 7 denotes the transpose. We assume that the functions V; are holomorphic in the neighbourhood of one and the same point in C*. In most applications we assume that the functions V; are holomorphic in C*. By V we denote a linear differential operator a V:=V(u)s— deg Hwa + Valu) @) We also call V a vector field. Let = Wu) be an autonomous system of first order ordinary differential equations, where w= (uy, ta, 54)” We assume that the holomorphic functions W; are holomorphic in the same neighbour- hood as the functions V;. Let W be the corresponding vector field a a W= Wiu)5- + W2(u)— 1 a LO We define the commutator (also called Lie bracket) of V and W as follows ym a ov; a uj Ou; ou, Ou; VW] = Ey (vy jalisl (3) Let U be a vector field defined on the same domain as V and W. Then we find from this definition that [cV, W] = [V,eW] = lV, W] where c € C and20 (VW) VjU+W] (V+U,W] q " CHAPTER 2. MATHEMATICAL PRELIMINARIES -[W,V] (V,0] + [V, W] [V,W] +[0,W] 0. (VW, WI + WIV, UI) + 0,1, VI) The last equation is called the Jacobi identity. Definition: Let L be a vector space over the field C with an operation L x L > L denoted by (z,y) ++ [e,y] and called the commutator (or bracket) of z and y. L is called a Lie algebra over C if the following axioms are satisfied. (L1) The bracket operation is bilinear. (L2) [e,2]=0 forall ee L. (13) [z, [9,2] + .2]+ [9] =9 (2,4,2€L) Axiom (L3) is called the Jacobi identity. Notice that (L1) and (L2) applied to [7 +y,2+y] imply anticommutativity, i.e. [z,y] = -[y,2]- We find that the holomorphic vector fields defined on the same domain form an infinite dimensional Lie algebra. Some subsets form a finite dimensional Lie algebra. Example: Let k = 1 and Then we have aE ee qa "dul ~ da d 4d d a" 4] ee aa. d 4d ad — w—!} = ZW. Oo [eae z de2.2. LIE ALGEBRAS AND LIE SERIES 21 Definition: We say that two Lie algebras L, L' over C are isomorphic if there exists a vector space isomorphism ¢ : L — L’ satisfying 9([2,4]) = [4(2), d(y)]- Definition: We say that two Lie algebras L, L' over C are anti-isomorphic if there exists a vector space isomorphism ¢ : L > L’ satisfying ([z,¥}) = [4(y), 4(2)]- Now we study Lie series. In our presentation we follow Grébner and Knapp (1967). If f(u) is any function which is holomorphic in the neighbourhood of the same point as Vj, we can apply the operator V to a a. a. Vf= vu Sh Evy oh jet “+Vi(u)a f (4) Since the derivatives of a Eomdecte function are eal we obtain a function which is holomorphic at the same point. This holds also further for all iterated operations, which means, that all functions VFEVVI, vo VE SVVD), are holomorphic at the point under investigation and can be expanded in regular conver- gent power series. Definition: A series of the form oo. fi 2 Lu qv F@) = fa) + VS (a) + GV? F(a) +. (5) ai y is called a Lie series, where we define V°f := f and t € C. We write e¥ flu) = x “vig(u). 3 i! This series is formally explained. Each term is composed of a factor #" , n! and a holomorphic function V"f(u) of the complex variables u1,...,u,. We consider t to be a new complex variable, which is independent of the variables 1,...,uz. The Lie series converges as a power series in t, and is therefore a holomorphic function of the k +1 complex variables u,...,us,t. The convergence of the Lie series is proved by the method of Cauchy's majorants (see Grobner and Knapp 1967). Theorem 1: The Lie series converges absolutely at every point of the u-space, in which the differential operator V, ie. all functions V;(u) as well as the function f(u) are22 CHAPTER 2. MATHEMATICAL PRELIMINARIES holomorphic. In every such point in the u-space a positve number T can be given such that the Lie series converges absolutely at least for |t| < T. Theorem 2: If P{u,...,u} is a point of the common holomorphic domain of the functions V;(u) and f(u), and if the following regular expansions in power series apply to these functions fe) = YS aiua(m— a8 V;(u) = x alu — ul) (up —uP)#, Fd. then the Lie series converges absolutely at the point P at least for pe 2 lWR qa) such that (i) [lel] > 0 and |[z|]|=0 ifand only if z=0 (#) |lz+yll < [lzll+llyll for zyeB (iii) el] = [Alllel] for AEF, cEB. Definition: A sequence {z,}2, of elements of a metric space M with metric d is a Cauchy sequence if for every positive € there exists N(e) such that n,m > N(e) implies d(tn,2m) <€. The metric space in which every Cauchy sequence is convergent to an element of this space is complete. Definition: We say that a subset S of a metric space M is dense in M-if every element of M is the limit of a sequence of elements of S. Definition: A Banach space is a pair (B, || - ||) where B is a vector space over F and ||- ll is a norm on B such that B is complete under the metric d defined by d(z,y) = lle — yll- (2) Let us now give some examples of Banach spaces. Example 1: Let / be a complex vector space of infinite sequences z= {tn} (3) where 2, €C. Then loo} a EL: ||z[loo = sup |tq| < co} (4) nen is a Banach space. O Example 2: Let ! be a complex vector space of infinite sequences. Then a 1p {eel: |lell,:= (= les) < 00, where p € N} (5) nad L30 CHAPTER 2. MATHEMATICAL PRELIMINARIES is a Banach space. © We now recall the basic notions concerning a Hilbert space. Let 1 be a vector space over F. An inner product (scalar product) on 1 is a mapping (bh): Hx F satisfying (i) (dl) > 0 and (¢|¢)=0 ifand only if d= (%) (didi + Yo) (gle) + (ble) for 9,12 €H (ai) (d|Ad) Mlb) for AEF, oWEH, (iv) (dl¥) = ((old))* for dp eH. Definition: A Hilbert space is a pair (H, (-|:)) where 1 is a vector space over F and (|) is an inner product on 1 such that # is complete under the norm llell = (9la))"”?. (6) It should be noted that the inner product is antilinear in the first argument, that is (gle) = A"(61d) where 1 €C. Example: Let x € R? and let d*z be a Lebesgue measure on R*. The space L?(R*, d°z) of complex valued measurable functions on R* such that J dclo(z)P < 00 (7) Fs is the Hilbert space with the inner product (ole) = [ a'eg"(x\4(x) ® z The real Hilbert space of square integrable functions is denoted by L3(R*,d°z). Definition: The vectors ¢, p are called orthogonal if (glb) = 0. (9) A vector ¢ is normalized if ||¢|| = 1. Let us now consider linear operators in a Hilbert space.2.3. BANACH SPACES AND HILBERT SPACES 31 Definition: Let L be a linear operator on the Hilbert space (H, (.|.)) and D(L) be the domain of L. The operator L is bounded if there exists a nonnegative constant y such that Z9l| F (26) such that. ($1 © $2)(r, 42) = (Hilda )aes (Pald2)rv0- (27) ‘The complement 1 @ 74 of the linear space of bilinear forms (27) with the inner product given by (6.0 d]n @ w) = (Bln) r (Ye) (28) is called the tensor product of 1; and 72. Let {4} and {1,} be an orthonormal basis of #1; and Hz, respectively. It can be demon- strated that {¢; ® ¥j} is an orthonormal basis of Hy @ Ho. Example: Let 1. be a complex Hilbert space and let HY =@QU. We put 1° =¢ and FU) =@H. (29) % The Hilbert space F(1) is called the Fock space over 1. For example if H = L?(R*,d'x) then an element ¢ € F(H) is the infinite sequence of functions = (40, ¢1(21), $2(71,22),---) (30) such that34 CHAPTER 2. MATHEMATICAL PRELIMINARIES Mtnldn(t1,..-5n)/? < 00. (31) Pay @ry.. ldo + 2 fans Suppose now we are given a linear operator U(o) : H" — 1H" defined on the basis elements of H” as U(a)(b1 ® -. @ bn) = Fairy ® --- B Goin) (32) where o is a permutation of the set {1,2,...,n}. We define the linear operator S, on HH" such that 1 S=5 > U(o). (33) ‘The space S,,H" is called the n-fold symmetric tensor product of 1. In the case with H = 17(R’,d'x), the space S,H" consists of functions which are invariant with respect to arbitrary permutations of their arguments. The space FM) = O80 (34) is the boson Fock space over H. 0 Consider now the linear operator on 1" of the form Dioena (0) (35) where sgno equals 1 (-1) for ¢ an even permutation (odd permutation). The space AnH" is called the n-fold antisymmetric tensor product of H. If H = P?(R*,d*x) then A,” consists of functions which change sign under permutation of two arbitrary arguments. The space FAH) = @ AH (36) n=0 is called the Fermion Fock space over H. We now summarize the basic facts about the Dirac notation (Dirac 1958) which will be used in what follows. Let 1 be a Hilbert space and H, be the dual space endowed with the multiplication law of the form (4,9) a6 (37) where \ € F, ¢ € . The inner product can be viewed as a bilinear form (duality) Ch): Hex oF (38) such that the linear maps2.3. BANACH SPACES AND HILBERT SPACES 35 (dl: > (4), (He! (39a) WW) :d> (4), Ls HOH (395) where the prime denotes the space of linear continuous functionals on the corresponding spaces, are monomorphisms. The vectors (¢| and fy}) are called bra and ket vectors, respectively. The ket vector |¢) is uniquely determined by a vector ¢ € H, therefore we write |4) € H. Example: Consider the Hilbert space J, with the inner product (old) = Lo didi. (40) ai The bra vector (| can be identified with the infinite column-vector (61 = (41,425)! (41) and the ket vector |) with the infinite row-vector 1d) = (dry day) (42) where the dagger designates the hermitian conjugation of a matrix. 0 A hermitian conjugate Lt of a linear operator L satisfies in the Dirac notation the fol- lowing equation (d1Lt 1b) = (ILIA). (43) It should be noted that formally L$) = |p) if and only if (| = (¢|Lt. (44) For a unitary operator U we write (dlU'U|p) = (dd). (45) The tensor product of the vectors ¢ and q in the Dirac notation is written as 1 @ 4) = |2)I¥). (46) A diadic product of a bra vector (¢2| and ket vector |¢1) is a linear operator defined as (|x) (dal) Ib) = (42l¥)|¢4)- (47)36 CHAPTER 2. MATHEMATICAL PRELIMINARIES One finds easily that |4)(¢|, where ||¢|| = 1 is a projection on the vector |¢). Therefore, a resolution of the identity in the Dirac notation can be written in the following form DL laal=7 (48) where the vectors |a) are normalized. Let us now consider an abstract evolution equation in a Hilbert space £1441) = 16,2) (49) ater ee 19,0) = |do). Projecting this equation on elements |a) of a coraplete set {|a)}aea and using the reso- lution of the identity we obtain its realization in the |a)-representation as S(aldt) = TalLia)(516,4) (50) BEA {ald,0) = (aldo). The abstract vectors |¢) are represented by the functions a (ald) (51) of an argument a (discrete or continuous).2.4. QUANTUM MECHANICS 37 2.4 Quantum Mechanics We now present some notions of quantum mechanics (Steeb 1991). It is postulated that states of a physical system are elements of a complex separable Hilbert space. The measured physical quantities are represented by hermitian operators (observables) such that the results of any physical measurement are eigenvalues of these operators. Af- ter a measurement the state of a system is one of the eigenvectors of an observable. ‘The eigenvectors of any observable form a complete set. A heuristic procedure for the construction of observables corresponding to classical quantities is called quantization. Quantum mechanics is restricted to the study of systems with a finite number of degrees of freedom. The theory of systems with infinite number of degrees of freedom based on the same set of axioms as quantum mechanics is called quantum field theory. We now outline the probability aspects of quantum mechanics. Suppose that the system is in the state |), then the probability that the system is in the state |¢) is |(4|¥)|?. Let A be a continuous eigenvalue for the observable L and |A) its eigenvector corresponding to the eigenvalue 2. If the system is in the state |x), then the probability that the measurement of the observable L gives the result from the interval (A, \ + dd) is given by |(A|W)|?dX. Example: Consider the boson Fock space FH) = QD San". =o If |di) ...[¢n) € H”, where |¢;) are the unit vectors then (Sula) ---[bn)II)*Snldr) «+ Ibn) (1) represents the system of n identical bosons from which the i-th one is in the state |4i), i= 1,...,n. The space 5,1” is called n-particle subspace of F,(H). The boson Fock space F,(H) represents the systems of identical bosons whose total number is not known. Such a situation is quite common in quantum field theory because interactions can appear in which particles are created or annihilated so that their total number can change. An observable representing the total number of bosons is the linear hermitian operator on F,() with the domain DN) = (8) = Fo 4) € FH) = na)? < oo} ») such that Nlés) = ld), Ida) 70. a The operator N is called the particle number operator. Suppose that we are given a vector |4) € F,() such that le) = 3° Ion) @) n=038 CHAPTER 2. MATHEMATICAL PRELIMINARIES where |,) € Sy 2" and D Ill¢n)II? < 00. =o If |d) given above is the unit vector, then ||I¢,)||? is the probability that there are n bosons in the state |g). The vector |0) given by |o) = 1 and |¢,) = 0, n > 0 in the expansion (4) is called the vacuum vector and it represents the state in which there are no bosons. © The dynamics of the states is given by the Schrédinger equation if )6,1) = H()61) () dt - with 19,0) = Ido) where the hermitian operator H(t), called the Hamilton operator, is the observable corresponding to the energy of a system. We set h = 1. The formal solution to (5) is given by do; t) = U(t)|¢o) (6) where the unitary evolution operator U satisfies the equation itu = nu) (7) dt with U(0) =I. The formal solution of (7) can be written as U(t) = expli®(@)] (8a) where the phase operator 4(2) is given by (Bialynicki-Birula et al 1969) ‘ cho a(t) == fdri(r) +5 fdr f dnete— nH (r), Hen) +. (88) oO = oO where ¢(7) is the sign function, ive -1 for r<0 ae 1 for r>0 Let us assume now that the Hamilton operator is independent of time. It follows that the phase operator then reduces to2.4. QUANTUM MECHANICS 39 O(t) =—-tH and the evolution operator takes the form: U(t) = exp(—itH). (9) Suppose we are given a complete set {|n) : n € Z,} where Z, designates the set of nonnegative integers. Consider the realization of the abstract Schrédinger equation in the |n) representation iF knld,t) = (nl (elm) mld). (20) meds ‘The quantum mechanics restricted to the realization (10) is called the matrix quantum mechanics (states and observables are represented by infinite dimensional matrices). The matrix mechanics discovered by Heisenberg in 1925 was the first formulation of quantum mechanics. Now let L be an observable. The expectation value Ly of L in the normalized state |¢) is defined as Lg := (GILI¢). (11) By virtue of the Ehrenfest theorem the mean values satisfy the classical i.e. non- quantized equations. A variance of L in the state |4) is defined by Vargl := (L = L4)} = (L)g — (Le). (12) ‘The standard deviation of L is given by AgL := [Varg(L)]/? (13) gives a measure of the dispersion of L around its expectation value. For any observable A, B we have AsAA.B > HAT Iyl 4) This inequality is called the Heisenberg uncertainty principle (or Heisenberg un- certainty relation). Example: Consider the operators q, p satisfying the following algebra (4-5 ps] = iba (15a)40 CHAPTER 2. MATHEMATICAL PRELIMINARIES r8=1,2,...,k. (158) (ars 45) = [prs Ps] In the case of k = 3 these operators are observables corresponding to the coordinates q and momentum p of a particle. It follows that the Heisenberg uncertainty relations take the form AsgiAerj 20, #5, ij sok (16a) and 1 Asaidgpi 2 9 (165) For k = 3 these relations mean that the coordinate and momentum of a quantum particle cannot be measured simultaneously with an arbitrary accuracy. O We now return to the Schrédinger equation (5). If we assume that states change according to the Schrédinger equation and observables do not depend on time then we say that we act in Schrédinger picture. On the contrary, in the Heisenberg picture states are independent of time and observables satisfy the Heisenberg equations of motion i409 =U, HO) an) L(0)=L where HOu = U)H HUE) (as) is the Hamilton operator in the Heisenberg picture and we assume that at t = 0 both pictures coincide. The Hamilton operator in the Heisenberg picture and the Schrédinger picture coincide in the case where the Hamilton operator is independent of time. The formal solution of the Heisenberg equation of motion is of the form L(t) = Ut) *LU(t). (19) Using (8) and the operator identity -A_ Si Ape BY Ue lA Bt (20) ae we can write (19) in the form 1) = £4 M01, 10,4 (21) In the case that the Hamilton operator is indepedent of time we obtain the power series expansion of L(t) as2.4. QUANTUM MECHANICS 41 Wo) = b+ Fe, 0) (22) Suppose that the Hamilton operator teat be split into two parts H = Hot Hilt). (23) Defining the vector 16,4) = V()"14, €) (24) where V(t) = exp(—itHo), we obtain from (5) the equation satisfied by states in the interaction picture FIR) = HOI (25) 13,0) = Io) where AQ) = VO) HLOVEO 8) is the Hamilton operator in the interaction picture. One finds easily that expectation values of observables do not depend on the particular choice of a picture and in this sense the presented pictures are equivalent. Let us now describe that such an expansion leads in general to secular terms (Kummer 1971). Let 1 be a Hilbert space, £ the set of linear operators over H, L, the subset of Hermitian operators, and Ho, V € Ly. We want to find an approximate solution of the equation (we put Planck’s constant equal to one) Z0@9 = (Ho + eth )U(t, 6). (27) The substitution O(t, 6) = exp[-iHot|U(t, 6) (28) transforms (27) into the form Zu, 6) = lh (t)U(t,€) (29) where A, (t) = exp[it Ho] Fh exp[—it Ho]. (30) Equation (29) together with the initial condition U0.) =1 (31)42 CHAPTER 2. MATHEMATICAL PRELIMINARIES is equivalent to the integral equation ‘ (te) =1- ic [ dsth(s)0(s,6) (32) 3 A formal solution of (32) is dt, A (t,) ... Ho(te). (33) T(te= Li0t Jas J te 7 In particular, the first approximation is ' OM(t,e) =1- ief dsit,(s). (34) However, as is well known, this kind of pertubation expansion leads in general to secular terms, ie. terms of the kind (et)? (p € Z+). These terms obviously do not correspond to the general periodic behaviour of the exact solution. Example: Consider the weakly perturbed harmonic oscillator. Let 1 Ho(p,9) = 5(p° + w*4") Pa) = = where [, ] stands for the commutator. The transformation _ b+ Lf, at iVa0-8) with the inverse b= Veotige =F ene a+ iFesP =y5"-‘jgoP leads to [oo] =1 and 1 Ho =(N + 5)w Hy (b,') = 1 tye Feet oY.2.4. QUANTUM MECHANICS 43 Therefore 1 hb) = [3(1 + 2N + 2N?) 4 2(3 + 2N)b? + bt°2(3 + 2N) + b+ OY] where N= bb It follows from (30) that A(t) [3( + 2N + 2N?) + 2(3 + 2N)B exp(—2iwt) ~ T6w0? +b" exp(2iwt)2(3 + 2N) + bf exp(—diwt) + b! exp(diwt)]. Inserting this expression into (34) one obtains the secular term Be(I+2N+2N%)t. 0 Such secular terms may be voided by using the so-called averaging method. This method can be described as follows. Let Fa {rir 1M $0 € th (35) n=0 be the set of formal power series with coefficients f™ in £. Clearly U(t,e) € F. We represent U(t,€) as a product U(t,e) = Y(t, a(t, e) (36) where Y(t,¢), a(t, e) € F and where a(t, ¢) obeys an autonomous differential equation Paled = W(6)a(t,e) (37) and Y(t,e) and W(c) are members of F, i.e. Y¥itg=LCYMe" We =Lwme. (38) no a0 Thus Y and W are not given in advance but have to be constructed step by step. This is done as follows. Insert the right side of (36) into (29). We find ify +YW=chY (39) or iy pew =x (40) at i where44 CHAPTER 2. MATHEMATICAL PRELIMINARIES X:=hY-(Y-Dw. (41) Let YOoT, YO, ¥e, WO... wir?) (42) be known. Then X~) is known and we define we-) = X21) (43) it YO) =F [(XON(r) — KOM) ar (44) i a where * stands for averaging over the time: = jim tow (di (45) = The above recursive procedure shows the existence of Y, W € F. In particular we find it YO == f dsliti(s) fh(s)]. Notice that the functions Y“), Y@),... in each step are only determined up to a constant, which makes the procedure nonunique. Applied to our example the averaging method yields 3 1 (0) — °_ ( ny? ba we = 3 (N +N 451). Another method using Lie algebras has been described by Kummer (1971).2.5. BOSE OPERATORS AND COHERENT STATES 45 2.5 Bose Operators and Coherent States We begin with the case of the finite number of degrees of freedom. The Bose creation (bt) and annihilation (b) operators, where bt = (ot... bf) (la) b = (b1,..-,0k) (18) obey the Heisenberg algebra [b:, bt] = 6:51 (2a) (bis bi] = (61, 8)] (25) where J is the identity operator. We should mention that Fermi creation and annihilation operators for the case of finite number of degrees of freedom satisfy the commutation relations lene}, = 81 lene = [ele =0 i7= where [, ]} denotes the anticommutator. Let f,g : R* + R* be analytic functions. We introduce the operator functions f(b), g(bt). Then the commutation relations (2) yield f(b), 84] a 30,4) (3a) baab\= abt), i= (3b) ab These formulae are special case of the general relation tre. = (IL) apn BOO age saAH) if neZf\qoy 1 where F' and G are analytic functions of their arguments. Suppose now that there exists in the Hilbert space 1 of states, where the Bose operators act, a unique normalized vector |0) (vacuum vector) satisfying blo) =0 (5a)46 CHAPTER 2. MATHEMATICAL PRELIMINARIES with (00) =1. (58) We have used the shorthand notation |0) := |0,0,...,0). We also assume that there is no nontrivial closed subspace of #1 which is invariant under the action of operators b, bt. The state vectors with n € Zi are defined as follows Ir, m25--+5 me) (6) O) (8) where i=1,...,k, ie. Nin) = nln). (9) These vectors form an orthonormal and complete set, i.e. the following relations hold i (aln') = TT bn (10) ¥ |n)(n| = 7. (1) neat The vectors |n) span the occupation number representation. The action of the Bose operators on the vectors |n) has the following form 6;|n) = Vnj|n — e;) (12a) btn) = Vn; + 1|n + e,) (126) where i = ,k and where e;, i = 1,...,k, are the unit vectors, e; = (0,...,0,1;,0,...,0). (13) The state vectors (7) can be interpreted as eigenvectors of the Hamilton operator for & uncoupled harmonic oscillators. On the other hand these vectors can be treated as states for the system of noninteracting phonons (Feynman 1972). If the system is in the2.5. BOSE OPERATORS AND COHERENT STATES AT state |n1,...n4) then we say that in this state we have n; phonons of the kind ¢ with i=l, We now summarize the basic facts about coherent states. Definition: The coherent states |z), where z € C* are defined as the eigenvectors of the annihilation operators b, i. e. blz) (14) Theorem: The normalized coherent states are given by [2) = e~bePe#P* 0) (15) where ‘ z-bt:= So zbf and k la? = Sola. isl Proof: We expand the coherent state |z) with respect to the basis of the occupation number representation = ¥ aln) (16) nezk Inserting (16) into (14) yields vit lenge, = Zien, 1 = 1... she The solution of this recursion relation such that the coherent state is normalized can be written as en = exp (—Hel) TT It follows that (17) i=1 ln =emo(—") © (I ‘The formula (15) follows directly from (17) and (7). @48 CHAPTER 2. MATHEMATICAL PRELIMINARIES Corollary: The normalized coherent states are given by lz) = D(z)lo) where the unitary boson operator D(z) = exp(z- bt — 2" -b) (18) is called the displacement operator. Proof: The formula (18) follows directly from (15), (5a) and the Baker Hausdorff identity eAtB — eHAB AB where [A,[A, B]] = [B,[A, B]] =0. The denomination coherent states comes from quantum optics (Klauder and Sudarshan 1968) where they are used for the description of coherence properties of the electromag- netic radiation fields ( |z) are the quantum states of such fields generated by a given current). On the other hand, the coherent states were introduced by Schrédinger in 1926 as the closest states to classical ones. Indeed, let us consider the coordinate and momentum operators a= Fb +bt) (19a) p= se" - (198) By straighforward calculation we obtain for the variance of g; and p; in the normalized coherent state |z) a 1 Varea(q:) = (a )z — (Giz)? = 3 (20a) HES Varz(pi) = ~ (Bix)” = 5- (206) Therefore the Heisenberg uncertainty relations take the form And:Asp: = > §=1,2,..5k (21) We have thus shown that coherent states minimalize the Heisenberg uncertaintly rela- tions. In this sense they are closest to the classical states. Coherent states are applied in a wide variety of physical problems (see Klauder and Skagerstam 1985). Here we apply the coherent states in the theory of classical dynamical systems (see chapter 4 and section 5.3). Note that the coherent states |z) are marked with points of the manifold C* or R*. A generalization of the concept of coherent states to an arbitrary Lie group manifold was2.5. BOSE OPERATORS AND COHERENT STATES 49 introduced by Perelomov (1986). An alternative approach for a generalization of the coherent states is based on the linear transformation of Bose creation and annihilation operators so that the resulting algebra is also a Heisenberg algebra. The generalized coherent states obtained in this way are marked with the parameters of such a transfor- mation. The squeezed states are an example. The coherent states are not orthogonal, we have 1 (2lw) = expl—5(l2)? + lwl? — 22" - w)] (22a) K(zlw)? = exp(—|z — wi). (226) The resolution of the identity for these vectors can be written as f dete) a) (el = 1 (23) Rak where k 1 du(z) = T] d(Rz)d(8%). Fi Here Rz; denotes the real part of 2; and $2; denotes the imaginary part of z. Owing to these equations the coherent states form a complete set, but they are not independent since we can expand an arbitrary coherent state |w) by Iw) =f du(z)(2lw)l2) (24) Re with (zlw) given by (22a). We say that the system of coherent states is overcomplete (there are “too many” coherent states). The following theorem (Gordov and Tvorogov 1978) describes the uniqueness of the system of coherent states. Theorem: The system of coherent states {|z)}, where z € C, forms the only linear combination Sev n=0 (25) with orthonormal |n) which is an entire function of z and is complete with respect to this parameter. For the proof we refer to Gordov and Tvorogov (1978). The passage from the occupation number representation to the coherent states represen- tation is given by tnt) = (E[ FE) ew(—fle 8)50 CHAPTER 2. MATHEMATICAL PRELIMINARIES In particular the projection of the vacuum vector onto a normalized coherent state is (012) = exp (51a) 7) Taking into account (26) we find (28) Thus the probability of finding the system in the state |n) when the system is in the coherent state |z) has a Poisson distribution. Here the random variables ¢; is the number nj of particular particles of the type i. The mean value of é; is |zi|?. Such random variables are independent. Having in mind the interpretation of vectors |n) described above, we see that such independence is implied by the fact that we deal with noninteracting phonons. Now let |d) be an arbitrary state. It follows directly from (11) and (26) that the function 9(2") = (2/4) has the following form (29) where 4(z*) is an analytic function (entire function). Using (14), (27) and (29) we find that (29) can be written in the abstract basis independent from 16) = d(b4)]0). (30) We have thus shown that the vector |) can be represented by an analytic function of a complex variable (z*). Such the representation is called the Bargmann representa- tion (Lousille 1980). Taking into account (23) and (29) we find that the inner product in this representation is given by (#18) = f du(a)exp(—l2l*)6"(2"W(a"). (31) oe The Bose operators b, bt act in the Bargmann representation as follows baler) = 2800") (32a) and btg(2*) = 2*6(z*). (326) The formula (31) is not the most effective way of finding the inner product. Instead it is much more simple to apply2.5. BOSE OPERATORS AND COHERENT STATES 51 (33) wi) = D (] nezt The relation (33) follows directly from (4) and (30). Using (22a), (23) and (29) we find that the counterpart of the Dirac delta function in the Bargmann representation is the reproducing kernel K(w*,z) defined by aw") = f (2) exp(—l2|*)K(w", 2) 4(2") (34) oe where K(w*,z) = exp(w* +2). The coherent states are a useful tool in the study of operators. Let L be an operator. The expectation value of L in a coherent state i.e. the function of the form L(z",z) = (2|L|z) (35) is called the covariant symbol of the operator L (Berezin 1972). It can be demonstrated that the operator L is completely determined by its symbol. For example we have th = J du(z)L(2",2). (36) an We have seen that the coherent states have many interesting properties. One may ask about the eigenvectors of the Bose creation operators bt. Theorem: The eigenvalue equation bt/A) = A/A) (37) implies [A) = 0, i. e. the point spectrum is empty. Proof: Projecting both sides of the eigenvalue equation onto a coherent state |z) yields (2* — A)by(z") = 0 (38) with $y (2") = (2A). (39) Taking into account that ¢(z*) is an entire function of 2* we find that $(2*) =052 CHAPTER 2. MATHEMATICAL PRELIMINARIES ie PA) =0. @ A squeezed state is the eigenvector |v) of the operator B:=pb+vbt (40) ie. (1+ vbl)|pvB) = (uB + vB*)|nvB) (41) where luP —|yP=1 (42) so that the commutation relation [B, BY] =1 (43) is satisfied. An ideal squeezed state is obtained from the vacuum state |0) by operation with the squeezing operator = exp (era? — Leo 5(¢) = exp (5078? - 306") (44) followed by operation with the displacement operator D(8) |v) = D(8)S(6)0) (45) where C = rel@ Ul) = cosh? fr] jo? = sinh? Ir]. A squeezed state satisfies the following relations (0) = (u"B— vB!) = B = (by) + i(ba) (016) = [BP + |el = (bi)? + (60)? + fw? (ait) = fem (av) = ie These equations show that a squeezed state satisfies the minimum uncertainty product, and has different amounts of noise in the two quadrature components. Here the complex2.5. BOSE OPERATORS AND COHERENT STATES 53 amplitude axis (41, 82) is rotated by 0/2 so that a and a represent the minor and major axes of the error ellipse. Furthermore the equations indicate that part of the mode energy |v|? is consumed to reduce one of the quadrature noises. Example: We show how the nonlinear differential equation # Saute? (46) can be expressed with the help of Bose operators after the Carleman embedding. We put uaisu" _ n=1,2,... (47) and calculate the time evolution of u,. Consequently, we obtain the infinite linear system 7 Eats (48) Let (49) Inserting (49) into the infinite system (48) we find that v, obeys the differential equation — = —nry, +nVnt longs (50) We add the quantity v» with the property dup/dt = 0 to the above equation. This leads to the system v9 00 0 0 v% a|" 0-1 v2 0 - uM a|@yj=}oo 2 v3: v2 (51) v3 00 0 -3. 05 Now the matrix representation of the Bose operators is given by 00 0 0- 10 0 0- 0 v20 0 it B ; a) (52) and54 CHAPTER 2. MATHEMATICAL PRELIMINARIES the matrix on the right-hand side of (50) can be written as dy Fp = (Heb Bow (54) where v = (vp, 01, 02,--.)” (7 means tanspose). With the help of the number operator b'b = diag(0,1,2,...) (55) we can write (54) as 7 =N(b- Dw where J is the infinite dimensional unit matrix. 02.6. BOSE FIELD OPERATORS AND FUNCTIONAL COHERENT STATES — 55 2.6 Bose Field Operators and Functional Coherent States We now dicuss the case of the field theory. A useful introduction to the theory of second quantization is provided by Schweber’s book (1961). Rigorous treatments are given by Fock (1932), Cook (1953) and Berezin (1966). The Bose field operators z e (Bi(w), B22), d(x) b(x) = (b1(x),bo(x),..., be(x)) where ¢ € R® obey the canonical commutation relations [b:(2), b4(a)] = 6:;6(a — a" )T (1a) [bi(z), bj(2')] = [BF(@), Bf(e")] = 0 (1b) where 2,2’ € RF and i,j =1,...,h. We actually do not deal with operators but operator valued distributions. In order to give the formal relations (1) a precise mathematical meaning, we need to “smear out” the field b(x) by integrating it against suitable test-functions and define the resultant smeared field b= [tb @re) as an operator in a Hilbert space. Thus we define both the Fock-Hilbert space Hp and the operator 6;(f) in Hp by the following standard specifications: (1) For each square-integrable function f, there is an operator 6;(f) in Hz such that [bi(f),8(9)] 85 [ af" (e)9(2) H(AA(@)] = B.A] =o These relations may be formally derived from (1) by putting (A) = f d'ab,(2)f"(2). (2) There is a vector |0) in Hy such that56 CHAPTER 2. MATHEMATICAL PRELIMINARIES 8;(f)|0) = for all the square-integrable functions f, where j = 1,2,...,k, and we have introduced the shorthand notation |0) = [0,0,...,0). (3) The vectors obtained by application to |0) of all polynomials in the 6!’s form a dense subset of Hp, i.e. this space is generated by applying these polynomials to |0). Thus, in a standard terminology, |0) is a vacuum vector, b!(f) and 6j(g) are creation and annihilation operators, respectively, and the various many particle states are obtained by applying combinations of creation operators to the vacuum. Suppose we are given analytic operator functions f(b(z)) = f(b(z), D*b(z)) g(b(z)) = g(b(2), D®b(2)) il with Db = (D™by,..., Db). Using the commutation relations (1) we find yy = SAAD) 5 Afi(b(2')) pa, [B((=)) B02) = “Sica 8-2) +X apeabey PA — 2) a) and ; yy — O9i(b"(2! sce Ba,(bi(a" )) pa , [b:(2), 93(b"(2"))] = anke) 214% apna apm) apetlen Doe =2') (28) where i,j =1,...,k, and D%, D® act on the x and 2’ variable in 6(x — 2’), respectively. Following the constructions presented in the case of the finite number of degrees of freedom and discussed above we assume that there exists in a Hilbert space of states the unique normalized vacuum vector |0) satisfying the condition b(z)|0) =0, —forevery ze R*. (3) We also assume that there is no nontrivial closed subspace of H which is invariant under the action of operators bt(), b(z). The state vectors (vector valued distributions) defined by2.6. BOSE FIELD OPERATORS AND FUNCTIONAL COHERENT STATES 57 TRE eH heehee (ti Hes) io) ) i21j21 satisfy the following orthogonality relation = (Is) EM ates — sty) ©) Oye FN j=1 where g; are the permutations of the set {1,...,n;}, and the completeness relation > (0 nezt kom {IL Te arsleisy 6.5 21ms ++ +5 tes +++) Peng) ra1je1 (6) (any ee y Pings eee Betsy Ting The vectors leat .++)Pamnye ees Pky e ++ hme) span the coordinate representation. The action of the Bose operators on the basis of the coordinate representation has the following form s@imyyeeey Thay +++ Thing) =D 6(B— Tig) |b +5 Trey +++» Bijy eee y Thay +++ Tkng) ja (7a) 6(x)\ru,. O(z)len,. inca By +00) Thay +++ y Thy) (7) where the hat over 2;; denotes that this variable should be omitted from the set 2i1,..., inj. 2 @amyyee es Tey ey Thm) = Many +9 Caniy-- +s Pans We now give the basic properties of the functional coherent states. Analogously as in the case of the finite number of degrees of freedom we define the functional coherent states |u), where k ue DLR’, d'z) as the eigenvectors of the Bose annihilation operators b(z)|u) = u(z)|u). (8) Then normalized functional coherent states are given by58 CHAPTER 2. MATHEMATICAL PRELIMINARIES 1 =exp{-5 [ d'clul*}exr{ f d'eu(2)- b'(2)}I0)- (9) These states are not orthogonal. We find 1 Is. 2 (uly) = exp [5 f a*e(uP + The coherent states form the complete set. The formal resolution of the identity can be written as =2u*-v)]. (10) | D*ulu) (ul = 1 (11) ae where @ is the real space D’(R*) of Schwartz distributions or the real space S’(R*) of the tempered distributions, and Diu= [1D D2) a The symbol (Glimm and Jaffe 1972) (0|v)?Du = exp(— J @#av)Dv where v € L3,(R*,d'z) denotes the Gaussian measure du(v) on 2. The passage from the coordinate representation to the functional coherent states repre- sentation is given by (Bry +++ Banaye ++» Bey «tin lt) = (a Il eu) exp (-}fasur). (2) i jat Suppose now that we are given an arbitrary state |4). It follows immediately from (6) and (12) that the functional glu") = (uld) is of the following form tee LT os lu] = dlujexp (-5 f a’zlul?) (13) where the functional ¢[u‘] is analytic. Proceeding analogously as in the case with a finite number of degrees of freedom we find that (13) can be written in abstract basis independent form 14) = élbt]}o). (14) Equations (11) and (13) taken together yield2.6. BOSE FIELD OPERATORS AND FUNCTIONAL COHERENT STATES 59 (o}0) = f Deucxp (- f aclu?) Stw'}ite'). (as) This representation is the functional Bargmann representation (Bargmann 1967). The Bose operators act in this representation as follows beaydlu') = grate (160) bia} dlur] = u"(a\Gla4) (168) where 6/5u* denotes the functional derivative (see section 2.8). We now introduce the general Bose operators acting in an abstract Fock space. We consider the boson Fock space F,(H). Let Do be the subspace of F,(H) of the form Do = {lb) = Do ln) € F.(H) : |bn) = 0 with the exception of finite number of n}. Fond (17) For |4) € 1 we define the following linear operator on Do OS) Idi, ---5 bn) = Lda, Via Pints--ytn) nel (18a) 4(4)|0) =0 (186) and BNP) Ia <5 n) = 1b Pay Ba) (19a) 5(9)l0) = 14) (198) where |th1,..-,n) € SnH", |0) is the vacuum vector and the action of the operators (4), 6t(4) is extended on the whole Dp by linearity. It follows immediately from (18) and (19) that (9) : SpH" > Span? and O14): SpH" Sat for arbitrary |¢) € H. We interprete b(¢), (6t(¢)) as the operators annihilating (creating) a particle in the state |) and call 6(¢) and its hermitian conjugation bt(¢) the annihilation and creation operators, respectively. The Bose annihilation and creation operators (4), Bt(:}) satisfy the following commutation relations60 CHAPTER 2, MATHEMATICAL PRELIMINARIES (0(4), 5()] = (dl) (20a) (6(4), B(—p)] = [6"(¢), 64(#)] = 0 (208) for arbitrary |¢),|b) € 1. We now return to the Bose field operators satisfying (1a) and (1b). The Bose field operators 6;(2), 6!(2"), i,j =1,...,k, 2,2/ € R® correspond to the operators defined above creating or annihilating a particle in the state |i, z) = |i) |x) where « € R° and |i), i = 1,...,4, is an orthonormal basis of R*. It should be noted that in the particular case with s = 3 the state |i,x) can be interpreted as a localized state for a particle of the kind i at the point r € R*. The states (4) can be identified with the symmetrization of vectors [L,arnn) ++ [Ly aans) «=| (21) where 2; € R’. Suppose now we are given an arbitrary state |). Using (18), (19) and (7a), (7b) we find that : =D [ &293(2)bi(2) (222) A BO =YL | eadi(ayol(e). (228) Here di(z) = (i219) is a square integrable function. The inner product from the right-hand side of (20a) takes the form p (ld) =D [ e2di(e hilo). (23) The Bose operators 6(4), b(4) given by (18) and (19) are usually called the smooth Bose operators. Using these operators one can avoid the necessity of extending the Hilbert space to the space of distributions arising when the field operators are applied. On the other hand, the advantage of the Bose field operators is the simplicity of the commutation relations (1a) and (1b). Finally, we should mention that the field creation and annihila- tion operators as well as the operators of the form (18), (19) can be introduced also in the case with the Fermion Fock space. Such operators satisfy the algebra (1a), (1b) and (20a), (20b), respectively with the commutators replaced by the anticommutators.2.7. GATEAUX DERIVATIVE AND VARIATIONAL EQUATIONS 61 2.7 Gateaux Derivative and Variational Equations In this section we introduce the Gateaux derivative and variational equations. Further- more we give some applications. Let W, W, be some topological vector spaces and f is a (nonlinear) mapping f:Wonm,. Let L(W,W,) be the linear continuous mappings of W into W;. We call f Gateaux differentiable in u € W if there exists a mapping 0 € L(W,W;) such that for all v ¢ W tim >(/(u + @) ~ fw) - ov) =0 a in the topology of W;. The linear mapping 8 € L(W,W,) is called Gateaux derivative of f in u and is written as 0 = f"(u). If f is Gateaux differentiable in all points u € W, we can consider the Gateaux derivative as a (in general nonlinear) mapping ff: W = L(W,W). The equation ov =0 (2) is called the variational equation (or linearized equation). Example 1: Let d Ge = a(t - 1) =0 du Gp t tata — rar + ue =0 du a uw tbus = 0 where o, b and r are positive constants. The left hand side defines a map f. This dynamical system is called the Lorenz model (Lorenz 1963). Now we calculate the Gateaux derivative of the mapping f and the variational equation of the Lorenz model. Since f(ut ev) — flu) = edv,/dt + euyv3 + eugy, + ev, v3 — erv; + Evy edv3/dt — euyv2 — euv, — vv, + bug edv, /dt — co(v2 — v1)62 CHAPTER 2. MATHEMATICAL PRELIMINARIES we obtain dv, /dt — o(v, — v1) Gv = | dvp/dt + uv + ugv, — rv, +0 | « dvg/dt — uyvz — uv, + bus Then the variational equation 6v = 0 takes the form d a = o(v,—%) dvy FT Tus uss trey — v2 d = = wy + uv — bv. Remark: To solve this system of equations we have first to solve the Lorenz model. Example 2: Consider the mapping du ou Fu S(u) = 3 - 8ug - a5 Remark: The nonlinear partial differential equation f(u) = 0, i.e. du du Pu at busy tan (3) is called the Korteweg de Vries equation. We now calculate the Gateaux derivative of f and the variational equation of the Kortweg de Vries equation. We obtain _ Ou, dv, du Ou ov 2 Ov Pu Fv f(utev)= at t ep, — bug” — bev” — Seuge — be 55 7 Ba8 Bas" Therefore _ ov du ov vv J(u ev) ~ flu) = eG — bev” — beu” — bev” — 5. It follows that dv Pv Ou - 6a? bus — ays CCE a lim =(f(u+ ev) — fw) = 5 Therefore — py Ov du av av bv = fuly = 5; — 65-0 — bua” — a5. From this equation we find the variational equation 6 = 0 as2.7. GATEAUX DERIVATIVE AND VARIATIONAL EQUATIONS 63 av _ du @®v = 8g e2 + Su ue 4 Oe a Example 3: The difference equation tuys = du(1 = uw) (4) is called the logistic equation, where ¢ = 0,1,2,.... and uo € (0, 1]. It can be shown that u, € [0,1] for all t € NV. Consider the mapping f : [0,1] — [0,1] f(u) = 4u(1— u). Ve calculate the Gateaux derivative of the map f and therefore find the variational equation of the logistic equation. Since f(u+ ev) = flu) 4(u + ev)(1 — u— ev) — 4u(1 —u) = 4ev —8euv —4e7v? we find that the Gateaux derivative of the logistic mapping is given by 6v = 4v — Suv = 4(1 — 2Qu)v. The variational equation of the nonlinear difference equation is then veg = 40, — Suge = 4(1— Qu). 8 Next we introduce the commutators of two mappings with the help of the Gateaux derivative. Let f,g : W —+ W be two maps, where W is a topological vector space (u € W). Assume that the Gateaux derivative of f and g exists, ie. Pu)fo| = Fete) ate] = 20) 7 The Lie bracket (or commutator) of f and g is defined by (hal = f'(u)lal — 9 (WLS (5) The Lie bracket defined by (5) satisfies [fF fl=064 CHAPTER 2. MATHEMATICAL PRELIMINARIES (fit far9] = [fig] + [for] [f.91 + 92] = [fn] + [f,92] (Lf,9]5 A] + (lA, f],9] + (lg, A], f] = 0. Example: Let du du Pu I) = "90 B58 and du Ou 9(4) = 5p — aga Now we calculate [f, 9]. Applying the definition of the commutator we find and os) = LO) _ Ff) Hence (f9] = fl] - 9A] _ 9 Ou Ag(u) AP g(u) , df (u) = Filolu) — Flu) — gfe) ge — w BY - SEY 4 Inserting f and g given above we find Ou Pu U9] =-250 5a2.8. FUNCTIONAL DERIVATIVE 65, 2.8 Functional Derivative In this section we introduce the basic properties of functional derivatives. Let I:WoR bea functional, where W is a space of vector-valued functions on R? vanishing sufficiently fast at the infinity (for example the space of functions with compact support). ‘The functional derivative (gradient) 51/5u of I with respect to u € W is defined by ay ft () where J'[v] designates the Gateaux derivative of J at the point u in the direction v. Example: Suppose we are given the functional The Gateaux derivative of J is Alu + ev] I'v) We le=0 = (gfe [-3t« + ou fev) t(ut «*)) face (Sa +00 ). Using (1) we find that the functional derivative of J is given by e=0 or Pu ju ~~ ae * +3u, O With the use of the traditional abbreviations of the variational calculus (the functional derivative is also called the variational derivative) the formula (1) is written as OL a= f dos bu. (3) The finite-dimensional counterpart of (3) is df= 3 Say66 CHAPTER 2. MATHEMATICAL PRELIMINARIES ‘Therefore the functional derivative can be treated as a generalization of the partial deriva- tive to the case of the functional spaces. The functional derivatives preserve the funda- mental properties of usual derivatives. We have él, OI; Aw that 6 él gal) = Sy and 6 _ th bh jy hhe) = iat + ly ive, the functional derivative satisfy the Leibnitz’s rule. Another example is the functional derivative of a composite function f(I{u]) bf _ af or bu OT du In particular, Kel tu) = Lexo(ztup. For pratical applications in the theory of nonlinear partial differential equations the following definition of the functional derivative seems to be the most convenient one. Given a functional Tfu] = J d'zJ(u) (4) where J(u) = J(u, Du) and u = u(s,t) is the function that depends on a parameter ¢ as well as the variable x € R*. The functional derivative is defined by 2, 5E 7 Stu) = = fees aa. (5) We note that (4) and (5) imply 61 ou. lal na (_OT jan Ba tL 1)elD' (5): (6)2.8. FUNCTIONAL DERIVATIVE 67 Example: Consider the functional (2) Tu] = fe(-} 5 ot “) where u = u(z,t). We have Therefore It should be mentioned that the functional derivative can be in general a distribution (generalized function). Let us consider the following functional Ifa] = few ou. Obviously, I oa In particular, for the functional of the form Tu) = u(to) = f d26(2 - xo)u(z) we obtain ilu) _ Fu(ay = O07 ~ 70) In the example given above we have calculated a functional derivative of the function u(z). In general case of the analytic vector field f(u) = f(u, D*u) on the space of vector-valued functions on R* vanishing rapidly as |||] > 00, 2 € R* the functional derivative can be defined as faetue)) 5 aye) )= te] (7) where f’[g] depends on the « variable. Using (7) and the following identity which can be easily derived from the definition of the Gateaux derivative68 CHAPTER 2. MATHEMATICAL PRELIMINARIES ; a eg) 2 Mgl=e- p+ DW's) get @) we obtain B02) _ gp gr PHC) , sr syertpes (gre _ 4n Dale) Fey THe 2) pa +E IMDY (se 2) ZED where i,j =1,...,k, and D% acts on the a’ variable. We finally introduce a formula relating the functional derivative with boson calculus. Suppose we are given an operator functional J[b] such that T[b] = / dxJ(b) where J(b) = J(b, D%b) is analytic in b, Db. Taking into account (6) and (2.6.2a) we obtain _ 61[b] ~ Bb(z)" U[b], b*(2)] (10)2.9. LIE ALGEBRAS OF VECTOR FIELDS AND BOSE OPERATORS 69 2.9 Lie Algebras of Vector Fields and Bose Opera- tors In this section we discuss the boson Hilbert space representations of Lie algebras of vector fields (Kowalski and Steeb 1991). ‘The observations presented herein are applied in the study of symmetries within the Hilbert space description of classical dynamical systems introduced in Chapter 4 (see Section 5.3). We begin with discussion of the case with infinite number of degrees of freedom. Consider the analytic vector fields fig: REoR*. We define the Lie bracket of f and g by a a =g-Sf-f-¢. ff, s)=8- 5. ox (1) Let us now introduce the mapping f + Lp = bt - f(b). (2) Taking into account (1) and the properties of the Bose operators bt, b (see formula (2.5.3a)) we find that (2) establishes isomorphism between Lie algebra of analytic vector fields with the bracket (1) and Lie algebra of boson operators linear in creation operators ie, we have [Le, Lg] = Le, a (3) Note that in the particular case of linear vector fields (2) reduces to A-+L4=bt- Ab (4) where A: RE RE is a linear operator. i.e. a k x k matrix. The map (4) is called the Jordan map (Biedenharn and Louck 1981). For the Jordan map, (3) takes the form [La, La) = Lya,a) where [A, B] = AB- BA is the usual commutator of the linear operators (k x & matrices) A and B. Consider now the first order differential operators70 CHAPTER 2. MATHEMATICAL PRELIMINARIES where f,g are analytic in x (they are also called analytic vector fields). We have a a a (Xt, Xe] = (« Bye B Bs) * ©) It should be noted that the mapping f Xp defines the anti-isomorphism of the Lie algebra of vector field with the bracket (2) and Lie algebra of vector fields with the bracket (5). Indeed, using (2) and (5) we get [Xt, Xg] = Xign- (6) Let us now introduce the following mapping X¢ > Lh = f(b!) -b. (7) Taking into account (2.5.3b) we find that under the map (7) the commutator (5) trans- forms as (Xe, Xp] > (Lf, 2]. (8) We have thus established the isomorphism of the Lie algebra of first order differential op- erators with analytic coefficients (analytic vector field) and Lie algebra of boson operators linear in annihilation operators. Example: Let k = 1. Consider the vector fields a jf ad dz’ dz’ dx” Then the corresponding operators are 6, oto, oot. We now discuss the case with the infinite number of degrees of freedom. Let f, g be analytic vector fields on the space of vector-valued functions on R* vanishing sufficiently fast as ||z|| + 00, where ¢ € R*. We introduce the Lie bracket (see section 2.8) such that {f,8] =f's) — eff. (9)2.9. LIE ALGEBRAS OF VECTOR FIELDS AND BOSE OPERATORS 7 Consider now the following mapping f Le [exbt2) -£(b(2)) (10) where we have used the shorthand notation f(b(z)) = f(b(z), D*b(z)). A straightforward calculation based on (2.6.2a) and (2.8.8) shows that (10) defines the isomorphism of the Lie algebra of vector fields with the bracket (9) and Lie algebra of boson field operators linear in creation operators, that is (Le, Lg] = Le, 2) (11) Let us now introduce the operators Xf of the form Xeg = a'(f). (12) By virtue of (2.8.7) the operator X¢ can be written as Xp= J d'cf(u) + - (13) Note that the operators Xz are the natural counterparts of the vector fields given by first order differential operators corresponding to the case of the finite number of degrees of freedom. Using (2.8.8), (2.8.9) and the Leibnitz’s rule satisfied by the functional derivatives we find that operators Xf obey the following commutations relations [Xe, Xg] = Xeun-eig) (14) It follows immediately from (8) and (13) that the map f+ Xp establishes anti-isomorphism of the Lie algebra of analytic vector fields with the bracket (9) and the Lie algebra of the vector fields of the form (12) with the bracket (14) ie. we have (15)72 CHAPTER 2. MATHEMATICAL PRELIMINARIES Consider now the following mapping XpoLt= [a@2f(b'(2)) -b(2). (16) An easy calculation based on (2.6.2b), (2.8.8) and (13) shows that (16) is an isomorphism of the Lie algebra of operators (12) with Lie bracket (14) and Lie algebra of boson field operators linear in annihilation operators, that is [Xe,Xg] > (2p, Lf] (a7) under the map (16).Chapter 3 Carleman Embedding Technique 3.1 Introduction The aim of this chapter is to carry out the detailed analysis of the Carleman embedding technique and to introduce its generalization to the case of difference equations and partial differential equations. We also discuss the case with algebraic equations. Before describing the organization of the chapter we first recall the general scheme of Carleman linearization. Consider the system with analytic nonlinearities du = = V(u,t) (1) where ViRxXRoR and V is analytic in u. Such systems shall be called almost holomorphic systems - AHS for abbreviation, throughout this work. We should mention that the original Carleman approach dealt with autonomous polynomial systems (1). Following Carleman (1932) we define the function k un(t) = T](wilé))™ () it where u(t) satisfies (1) and n € Zt. The system (1) implies then the following linear differential - difference equation dun = MO nwt @) text nlezt 7374 CHAPTER 3. CARLEMAN EMBEDDING TECHNIQUE Note that the differential-difference equation (3) is of the finite order only in the case of V polynomial in u. It should also be noted that in the case of autonomous system (1) the coefficient matrix Mun is constant. In view of the fact that the set Z* is countable, one finds easily that (3) is equivalent to an infinite dimensional system of linear differential equations. Obviously, the solution of the system (1) is linked to the solution of (3) by Us te, T= 1,...,k, i.e. the finite dimensional nonlinear system (1) is embedded into infinite dimensional linear system (3). Such embedding is called the Carleman embedding. Finally, we should point out that the ansatz (2) is inot the only one for linearization of AHS (1). ‘This fact was recognized by Carleman (1932) who demonstrated that nonlinear systems (1) can be linearized by means of Hermite polynomials in many variables. Moreover, it can be checked easily that one-dimensional equation with polynomial nonlinearity can be linearized with the help of the transformation Un = Pn(t) where p,(u) is an arbitrary classical orthogonal polynomial. Certainly, the same holds true for systems of nonlinear equations when one uses the appropriate multidimensional generalization of a classical orthogonal polynomial. In any case, the advantage of the ansatz (2) is that is the simplest polynomial one. This chapter is organized as follows. Section 3.2 on ordinary differential equations is devided into Section 3.2.1 where it is shown how the Carleman embedding works with the help of two simple examples and Section 3.2.2 devoted to the detailed discussion of the relationship between solutions of the original finite nonlinear system and corresponding infinite linear system. The generalization of the Carleman linearization to the case of difference equations is presented in Section 3.3. The theory is illustrated on the example of the logistic equation. In Section 3.4 we demonstrate that the Carleman embedding is ubiquitous enough to involve nonlinear algebraic equations. Section 3.5 provides a generalization of the Carleman linearization to the case of partial differential equations.3.2. ORDINARY DIFFERENTIAL EQUATIONS 75 3.2 Ordinary Differential Equations 3.2.1 Introductory Examples In this section we show how the Carleman embedding works with the help of two exam- ples. Our first example is the rate equation (Montroll 1978) du qa (1) with u(t = 0) = u(0). By separation of variables and direct integration we find that the solution of the initial value problem (1) is given by u(0) u(0) + [1 — u(0)] exp(t)’ Now we apply the Carleman embedding technique. Equation (1) can be solved in terms of an infinite set of linear equations as follows. Following the scheme proposed by Carleman we set u(t) = (2) (3) It follows that dyn _ du" gy du aa ee “ so that from (3) n(0)=u(0)=C, — yn(0) = 0" and dyn = =—nyn tryna, n=l, (5) To solve this linear infinite-dimensional equation we apply the method of Laplace trans- forms. Let Ya(A) = f eM ya(t)at. (6) a be the Laplace transform of yq(t). Then, since Px nm / eM Bedt = —C” + A¥4(A) (7) 3 (5) becomes76 CHAPTER 3. CARLEMAN EMBEDDING TECHNIQUE (A+n)¥q— Yai = 0”. (8) In matrix form this equation can be written as AY =C (9) ive. Q4l) -1 0 oo. Y% c 0 (A+2) -2 0 0. Yo o 0 0 (A+3) -3 0. ¥, |=] C8 |. (10) 0 0 0 Q+4) = Since the infinite dimensional matrix is triangular we find that the infinite dimensional inverse matrix A~} is given by rae 1 24 324 I DOR) MNO) TANOR)OROH i 2 22 42 (Q+2)043) (Q42)043)044) At= 0 xs amo (11) 0 0 0 ca : so that a a 2108 40) = Gpayt eens tGeneryasyl = SPerasne ~ £4 Tnti41) = YCB(n,r41) (12) = where I’ denotes the gamma function and B(m, \+1) is the beta function which is defined by = fata — ater = PenE lm) B(n,m) ag (= 2)""de = Ton) (13) Hence ¥4() =/¢ 1-Cx)"*(1 — 2)*dr. (14) 3 Now let (1 — 2) = exp(—t). Then3.2. ORDINARY DIFFERENTIAL EQUATIONS 7 e F Ce™dt ¥4() = te™dt = | ———_—__ 15 10) = [nloe"it= foo (15) so that Cc 1) =() = 16 ul) =n) = oq oe (16) which is equivalent to (2). Remark: Instead of the ansatz y, = u" we can also start from Up , where n = 0,1,2,..., u#0 and v = 1. Then we obtain du, Oe = vy — Np. dt a Since we are only interested in v, the differential equation reduce to dv, Mya a" with the solution u(t) = Ket +1 where K is the constant of integration. The matrix A of equation (9) and (10) is an infinite dimensional triangular matrix with no elements below the diagonal. If the differential equation is given by dey agu? tet agu” (17) dt where a2,...,dn € R the matrix A is still triangular, but with n —1 filled diagonal lines above the main diagonal. Since the expression for the elements of the inverse of a triangular matrix has a simple determinental form, an explicit series expansion can be constructed for the solution of this equation. Bellman and Richardson (1963) used (5) to investigate the errors resulting from truncat- ing the infinite set by making it finite. The construction of the inverse of a triangular matrix is the essential step in the finding of solutions. Montroll (1978) discussed in detail this construction (see also Steeb and Wilhelm 1980). Let A be a matrix with elements aj;. The i and j running through indices 1,2,3,... with 1 corresponding to 10, 2 to 01, 3 to 20, 4 to 11, 5 to O2etc.. If we use the notation a= (9) Si and78 CHAPTER 3. CARLEMAN EMBEDDING TECHNIQUE ij: RE = (ij)(Ke) = aiyaze the inverse of the triangular matrix (11) (12) (13) (14) 0 (22) (23) (24) ... A=| 0 0 (33) (34) ... 0 0 0 (44)... is 42 devas __ det 1234 Tag times ~iiaEsead 0 2.28 deta m ~ma | mse At=] 0 0 $ -34 0 0 0 0 where we define det 1 =1, det 12 =12 _|12 13 iaim-|22 3 | 12 13 14 det 1234=| 22 23 24 0 33 34 12 13 14 15 22 23 24 25 det 12345 =|") 33 by 5 0 0 44 45 Then, if C of (9) has components (C1, C2, Cs, Cay 28 bo od. & (c1y €25€45 e163, C1, Chea, C104, 63 we find ee. (-1)#1G; det(12: K= Fy 11:22:38: Y= DING; det(23...3) 2 288i _ (EHC; det(34 %= 2 33:44:. jx3.2. ORDINARY DIFFERENTIAL EQUATIONS 79 etc.. The Laplace inverse of these expressions can then be found yielding the required solution of (17). These ideas can be generalized for application to the solution of coupled rate equations. The direct Laplace transform approach for coupled nonlinear rate equations may lead to secular terms (see section 5.1) and may not be appropriate for some problems, it does indicate the type of matrix inversion required for the solution of coupled equations generally. As second example (Montroll 1978) we consider two coupled nonlinear rate equations with quadratic nonlinearities di = = alu, + atu, + bu? + bP uyuy + bP u2 (18a) duz 1 2. 11,2 4 pl2, 22,2 = Gate + ee + Baha + byes + 0uZ. (180) We assume that there is a linear transformation ua Ly which diagonalizes the linear part of these equations. They then have the form dy Gp = Teatn b an yt + oP aye + ous (194) dyn 112 4 12 22,2 ae = Haya tea yt + va yay + PPD. (196) The infinite set of linear equations from which the solution of (18) can be constructed is obtained by defining Unm(t) = yiYE's — Unm(0) == ep ez" (20) with 9;(0 It follows that bam gat m Aa ny m=1 42 Sy Tee ae + matys ae and Mbnm 1 a2 2 GE (Ha + Mla am + (vp + V9?) thn gt + YE Un —tmt2 +(ny]? + v7?) Unmasr + MY} Ung 2m—1 + (21) ‘The Laplace transform of these equations are, with80 CHAPTER 3. CARLEMAN EMBEDDING TECHNIQUE Unm(A) = Lttnm(t) =f e™ (tat 7 (at myn rp nm (nyt + mvy? )Upgin—2VP Un -imga—(nv}?-+m3" Unmer ~My" Ungam—t = chee (22) We write this set of equations in the matrix form AU =C (23) so that U=AC. (24) Using an appropriate order of the matrix elements Montroll (1978) showed that the matrix-valued matrix is again triangular. He then calculated the inverse matrix. Here we must emphasize again that the approach can lead to secular terms. The inverse of a triangular matrix A, whose elements are also matrices can be guessed by direct calculation. Let An Ap Ais At An Ars Aza 0 A=) 9 0 Ass Ase (25) 0 0 0 Ay By direct multiplication it can be verified that Att By Bis Bi oe Ag By Bu i 0 0 0 Ad Bas 0 0 0 Ag where By = —AyApAy Bis = Aqi(AnAg Az — Ais)A53 By = —AytCunAg Bos = —Aj} Ans AR By = Agq(ArgAz3 Ans — Ans) By = —Ax AuAgt and3.2. ORDINARY DIFFERENTIAL EQUATIONS 81 Crass = Ar2Agy ArsAgy Aas — ArrAzy Ana — ArgAgy Aus + Au. A special case has been studied by Steeb and Wilhelm (1980). They studied the Lotka Volterra model di a = ty — ust (27a) du: Gz t ae. (276) The matrix related to the linear part of system (27) is given by a-(1 7): The eigenvalues of A are +i with the normalized eigenvectors ol?) »=sa(7) From the normalized eigenvectors we obtain the matrix 1 fi -i Pai 7) with det D = i. We choose a new coordinate system according to m) palm U2 uw)” Consequently, the matrix D-!AD is diagonal, namely D7 AD = diag(i, -i). The equations of motion are now given by dv; 1 Gziut aya} + Me = 2) (28a) dv, , 1 E a =-in+ Fall +i)(v? — 03). (286) To this autonomous system we apply the Carleman linearization. The linearized system truncated at n = 2 is given by82 CHAPTER 3. CARLEMAN EMBEDDING TECHNIQUE on i a 00 -a »% a 0 +1 600 -6){ » d}on]|_{o 0 2% 00 0 |] on d| um |-]0 0 000 0 on (29) va 00000 0 || m vn 00 000 -%) \ um where oie eas ~ ae ~ 22" Then by straightforward calculation we obtain the approximative solution u(t, Ui0, U20) = Ur0 cost — Ugo sin t 1 +4 fo — Udo + 2uott)(— cost + e082) + 7(Ufo ~ U3o + 2urot20)(— sin t + cos 2t) 1 7 7 1 air} ud, + u3y — 2urota0)(sin t + sin 2t) + qa (to — up + 2urott20)(cos t + cos 2t) ua(t, Uy0, U20) = Ugo Cost + uo sint 1 1 +7(—uo + Ujo + 2urou20)(— cos t + cos 2d) + qluto — uj + 2tt0t20)(— sin t + cos 2t) 1 1 +75 (-Hfo + Ugg — 2ur0t29)(— cos ¢ + cos 2t) + 7p (to — Ujy + 2ur0t20)(— sin t — cos 24) where uy(t = 0, t410,%20) = to a(t = 0, 2110, 420) = U20- Note that the phase space solution of (27) can be given by solving the subsidiary equation dy du SU, — Ut, ty + uta! ‘We find that uy — In(uy + 1) + up — In(uz +1) = (30) In the neighbourhood of the critical point (fixed point) (0,0) the solution given above is a good approximation of the exact solution given by (30).3.2. ORDINARY DIFFERENTIAL EQUATIONS 83 3.2.2 General Theory In this section we discuss the following questions: 1. What can be said about the solutions of the associated infinite linear system? 2. What is the relation of the solutions of the finite system and those of the infinite one? We first describe the linearization procedure in a form which is appropriate for the further considerations. Let the function u: I+ R#, u € C(I) bea solution of the first order system of ordinary differential equation ® _ Ag) + Aut a +A, (iu. qa) The following notations are used: I C R is an open interval, i-times where ® denotes the Kronecker product and the Aj, j € {0,. functions defined on I such that yn} are matrix valued i Aj(t) :@R' oR jH=l,....n is linear for all ¢ € J. It is assumed that Aj € C(I). Note that an arbitrary polynomial nonautonomous system du dt where V; are polynomials of n-th order in u can be written in the form (1). = V(u,t) From (1) we find that fori € NV dal 2 Sp -¥ (xe oS antte--on] (2) = j=0 holds, where ye Apull j=0 stands at the v-th place. It follows that j=084 CHAPTER 3. CARLEMAN EMBEDDING TECHNIQUE where Vi(le---@1@A;@T@--@1) (3) = where A; appears at the v-th site in the é-fold Kronecker product and I is the k x k identity matrix. Taking into account (3) we find that Bi satisfy the following relation B= Bel 3+1@ BF. Definition: The system of equations dys _ Spi i Hee LBiitin ieN (4) i for an infinite sequence of functions y = (y1,¥2)--.) with ys € CJ), iM, and with J an open interval, is called the associated infinite linear system to the finite nonlinear system (1). The setting up of the associated infinite linear system to a given (1) is called the Carleman linearization procedure (Carleman embedding). Note that y is an element of the Fock space DOr. = Nevertheless, in contrast to the method described in section 4.1 we do not deal herein with any canonical Hilbert space formalism. ‘The infinite linear matrix differential equation resulting from (4) can be written as dy” _ yr a MY where the matrix M has the block structure Bi BL BL... Bhooo 0 re 0 B? B?... BB, B20 M=! 0 0 BB... BB, BS, B ‘The foregoing considerations lead immediately to the following Proposition 1: Each solution u of (1) gives a solution Y= (Yrr¥ar---) of (4) by defining3.2. ORDINARY DIFFERENTIAL EQUATIONS 85 Conversely each solution y of (4) with y; = y!!, ¢ € {2,...,n}, gives a solution u of (1) by setting u=n. In the latter case there is also a solution y’ of (4) which satisfies the conditions vevieul ten, Next we study (4) without regard to (1). The simple, but basic idea is to solve (4) for Ynti-1. This can be done using the following Lemma 1: Let V,V’ be vector spaces and let B : V — V! bea linear surjective mapping. Then there exists a linear mapping Z : V’ + V sucht that ¢ € V can be written in the form o=ZBb+y where # € N(B). N(B) denotes the nullspace of B. This is equivalent to the equation BZ =idy, where idy: denotes the identity in the vector space V’. Remark: The lemma can be expressed in other terms as follows. Each surjective mapping B has a right inverse Z. If B is linear, Z can be chosen linear. Each ¢ € D(B) can be written in the form ¢ = ZB¢ + with # € N(B), where D(B) denotes the domain of B. The proof can easily be achieved by combining results from linear algebra. Remark: The mapping Z is not uniquely determined. It can be constructed most easily in matrix form if V and V’ are finite dimensional. Since B : V — V' is surjective it follows that dimV > dimV’. Hence choosing an appropriate basis and denoting the matrix of B by B we have B=(I,0) where I is the unit matrix of degree dimV’, and 0 is a matrix with dimV — dimV’ columns of zeros. Then the matrix Z of Z is given by (5) with an arbitrary matrix D.86 CHAPTER 3. CARLEMAN EMBEDDING TECHNIQUE Let us now apply Lemma 1 to the matrices Bi(t). Let R(Bi(t)) be the range of Bi. It follows that there are mappings nist Z(t) : RIB) > @ RY, ted and i € N such that the following results hold 1. Let y = (y1,42,-..) be a solution of (4) in the interval J. Then there are tensors nsin(t) €N(Bi)) ten such that every component yn4i41 Satisfies the recursion formula i [due pi Ynsia = Z| ae — Le Biyisina| + Onin: (5) = 2. If the functions (yi—1,...,Yi+n—2,Ungi-1) are given such that Unti-s(t) € N(B,(t)) and such that the square bracket in (5) is in R(Bi(t)) then the sequence (Vira Yngina) with ynyi-1 defined by (5), satisfies the i-th equation of the system (4). By iteration of (5) it follows that the component yn4i-1 of any solution y of (4) is completely determined by functions v; with values u/() in the nullspace of B!(t) and by (y1s-**;Yn-1)- This iteration scheme will now be worked out in more detail. We start with the following Definition: Let us consider functions i uy: Ja@R and mappings Qi, !€ A’. The linear mappings are recursively defined as follows 1 =0E@R, le {l,....n-1} Qi(viy +s V1 and Qi(vry+ ++, 41-1) d a Zn Gp l@ienta (Mayes Men) + Yiengt) — Po BEM Qjgten(Wry+ +s Bj4tenaa) + jen) jo (6)3.2. ORDINARY DIFFERENTIAL EQUATIONS 87 for all (v1,...,v1-1) € D(Qi) for which the recursion makes sense and |—n € Z,. Here D(Q1) denotes the domain of Qi. The sets D(Q;) are determined both by algebraic and analytic conditions. An algebraic condition is that the square bracket in (6) is in R(BI-"(t)) for each t € J. An analytic condition is that Qing (Dry ++ +4 Vien) + Ung is differentiable. Hence it is easily seen that the domains D(Q,) are defined in a rather complicated way. This becomes simpler if the hypotheses of the following propostion hold. Proposition 2: Let the mappings Bi(t) be surjective for t € J andi € N. We have A; € C™(J) for j € {0,1,...n}. Then (v1,...,v-1) € D(Qi) if % € C%(J), i€ {1,...,1-1} forleN. Proof: With (Ao,-.-,An) all the matrices Bj, ieNn, j=0,1,...,2 and the matrices Zi, i € N are in C® because they are represented by C-matrices. Hence the differentiation in (6) can be carried through. Since D(Zq(t)) = @R* by supposition no algebraic conditions enter the recursive definition of @}. Therefore the proposition holds. @ Sufficient conditions are given (sce proposition 3) which ensure that the mappings defined by (3) are surjective. Now we are able to formulate a representation theorem for the solutions y of (4). Theorem 1: Let y = (yi,y2,-..) be solution of (4) in an open interval J. Then there are functions » = (v1, 02,...) defined on J with v=, FE Cen} and v,(t) € N(Br(t)), r—-n€Zy, ted such that N=Q(1,.,4a)ty, LEN. (7)88 CHAPTER 3. CARLEMAN EMBEDDING TECHNIQUE Proof: The theorem holds for 1 € {1,...,n — 1}. By induction using (5) and (6) the theorem also holds forlEN. The converse of Theorem 1 is also true. Theorem 2: Let v = (v1,02,...) be a sequence of tensor valued functions defined on an open interval J such that (v1,-+-,4-1) € D(Qi), = LEN and v(t) N(BYY)), r-n€Z,, ted Then y = (31,¥2,---) with the components y= Qi(v1,---, V1) + (8) is a solution of (4) in J. Proof: We first note that yy =v, 1 € {1,...,n — 1}. Now using (6) for 1 =i+n—1, i € N, (8) can be written in the form (5), Hence by applying Bi, to yitn—1 one finds that (4) holds. @ Remark 1: From the existence theorem for ordinary differential equations one knows that there is an interval J such that a solution u: J — R of equation (1) exists. Hence in the same interval J a solution of equation (4) exists. From this fact we conclude that for an appropriately chosen interval I the domains D(Q,), |! € N are not empty. Remark 2: The recursive solution scheme is not restricted to associate infinite system, i.e. to equations of type (4). It follows from the foregoing considerations that it can be applied to systems where the mappings Bi are not defined by (3). Moreover infinite linear systems of other types can be treated similarly. Remark 3: By the equations Yi = Qiv1y ++ Vin) + 0; for (v1,-..,;-1) € D(Q,) and i € {1,...,0} a function = (Vis) (Ys--- 5) is defined. Likewise for i € NV a function br ony is given. Obviously & and € are bijective.3.2. ORDINARY DIFFERENTIAL EQUATIONS 89 Let us now discuss the relation between the finite dimensional nonlinear system and the associated infinite dimensional linear system. Throughout we assume that the matrices Aj, j € {0,...,n} do not depend on t. Our objective is to find an answer to the second question. More precisely, we are looking for conditions which ensure that a solution y of (4) gives rise to a solution u of (1) setting u = y:. For this purpose we need only take into account those solutions y for which holds for all i € Nv (Proposition 1). On the basis of the latter remark one might be tempted to look for a uniqueness theorem which says that u = y; is a solution of (1) if a solution y of (4) satisfies the initial condition vilto) = wf"(to) for all i € W and a certain ty € R. From the existence theorem for (1) one knows that a solution u of (1) exists such that the y; = ul satisfy (4) and the initial conditions yi(to) = yfl(to). It will be shown that such a uniqueness theorem does not hold. Rather we have the following theorem. Theorem 3: Let y = (y1,y2,...) be a solution of (4) in the interval I and assume its components to satisfy the conditions wEC*(1) forieN and y(t) for i€N andone to€/. vito) Then w=, ter and i € N, u = y; satisfies (1). For the proof of Theorem 3 we need a lemma and some notations. Let us consider a finite sequence of number (its day-+ +5 dp) with ja € {0,1,...,n} and a = {1,...,n}. Then @(j1,.--5p) is the set of all pairs of sequences (hyeeesby)s (Pty eeest ea) where (l,...,,) is a combination of class 4,0 < \ < p, of the elements (j;,...,J,) with the same order as (j1,...,j) and where (r1,...,7y-,) is the complement of (,.-. 1s) again with the same order as (j1,...,j,). Using these notations the lemma reads Lemma 2: The matrices Bi satisfy the relation90 CHAPTER 3. CARLEMAN EMBEDDING TECHNIQUE f pitiincl — pitirtetie antl BB Bs os y (Biot Bie? Bithtothr) @ (BBY... BB He nacet) (9) bGtip) where the brackets are defined by *;) I and by J if their respective index combinations are empty. Proof: From the definition of the matrices Bi one concludes that the lemma holds for p= 1. The proof is then completed by induction. @ The proof of the theorem 3 is now as follows Proof: Let tp € I. By hypothesis each y; can be expanded in a neighbourhood Uj, of to in a power series with the coefficients 1a paptlt)- It is convenient to introduce the following abbreviation v Zip = Gepuilto) In the next steps of the proof we show that Pp ip (fan @zrp-r (10) holds. Assuming (10) to be valid we find the multiplication theorem for infinite series that x(t) =) holds for t € Ust. This implies Ui = Uri. In a second step of the proof the zi, are expressed by powers of z1o. For this purpose we apply dy _ Sy ae Ge = Bi gpatie- (11) g Iterating (11) for t = to we finally arrive at pod pltinbetieameth ap = SBE Bi BS a tig oo (12) insole where we have to set B? = 0 for s < 0. Moreover we have zo=2l ieN. (13)3.2. ORDINARY DIFFERENTIAL EQUATIONS 91 [itit-te#l and sum over j1,-.-;jp- Since the indices rp-a) with As a third step we multiply (9) by zio (j1-+)dp) ate summation indices all pairs of combinations (fh,...,[,) (ray. ++ the same A give the same terms. Thus each term occurs (\) times. Using (12) for 1 = i, (13), and (9) we arrive at oe Bi, pitta) pletiittia Aaa) EWE fae aga tetip Pt At2) aga tetip ett] olla in Bip 40 : (14) Again using (12) for 1 — i —1 and I = 1 together with (13) one finds (10) to hold. This shows that the theorem holds in the neighbourhood Uy,,. Since by assumption yi € C*(1), i € N, the theorem follows by analytic continuation. @ From the existence theorem for analytic differential equations one concludes that the converse of Theorem 3 holds in the following form. Corollary 1: Let u: J > R* be a solution of (1). Then u € C%(I) and y; = ull satisfies (4). Thus one can characterize a solution of (1) by the following properties. Corollary 2: Assume Bi, i € N to be surjective. Let u: J + R* be a function with u € C%(I). Moreover, let the functions wT QR, ieN be constructed according to (8) with w=ul, le {1,...,n-1} and arbitrary v; € N(Bi) for i—n € Z, such that ui(to) = ul (to) for ato € I. Then u is a solution of (1). Corollary 8: Let us consider the series expansion of an analytic solution y of (4) at an instant to, i.e.92 CHAPTER 3. CARLEMAN EMBEDDING TECHNIQUE y() = > ae ieN. (15) io Then the coefficients 2, are given by (12). The power series for a solution u of (1) is given by u = y1 with coefficients z1, according to (12) and (13). Corollary 3 gives the solution of (1) in terms of the initial value u(te) = z10 and those of the matrices Aj, j € {0,...,n}- There is no uniqueness theorem for the associate infinite system (4). This will be seen by a counterexample showing for a special associate infinite system that there are nonanalytic solutions satisfying the initial conditions. Example: Let us consider the differential equation du dt =u (16) for a real valued function u. The associate infinite system is given by dy : F Hiya iy 1EN. a7) Applying the recursive solution scheme to (12) we find the following propositions to hold. All yi, # € N’ can be represented in the form ws =H +1) he (18) 1 Conversely if yx € C%(I) for an arbitrary open interval I the yi41, i € Z4 given by (18) are solutions of the associate infinite system (17). Now let yi(t) = exp (-3) 7 tER. (19) Then yg € C%(R) and y;(0) = 0 = yi(0). On the other hand, y{ := 0 satisfies the same initial conditions so that the solutions of (17) are not uniquely determined by the initial conditions. Moreover, y; given by (19) is not a solution of (16). Hence one may not omit condition 1 (y; € C*(I), i€ MV) in Theorem 1. 0 Let us finally discuss the surjectivity of the B}. We describe sufficient conditions on A, such that all Bj are surjective. If such conditions exist we find that the hypotheses of Proposition 1 and of Corollary 2 are not empty.3.2. ORDINARY DIFFERENTIAL EQUATIONS 93 Since n > 2 the matrix A, = B} has the form A, = (C', D') where C! is a k x k-matrix. Then the following proposition holds. Proposition 3: If C' has an upper triangular form with positive diagonal elements all Bi,i EN are of the form By =(C',D') where C’ has the upper triangular form with positive diagonal elements. Hence all Bi, i € N are surjective. Proof: We note that A, has rank k. Hence B} is surjective. Assume the proposition to hold for i < | —1. We can write ta B= Br @1+@Ql@ Bi. The first term reads Bo @1=(C@1,D'@1). The matrix C'! @ I has triangular form with positive diagonal elements. The second term is given by co Do 0 ta o 0c Dp QleB=| - soe which is again of triangular form with nonnegative diagonal elements. Hence B!, has the maximal rank k!. Thus Proposition 3 holds.94 CHAPTER 3. CARLEMAN EMBEDDING TECHNIQUE 3.3 Difference Equations The Carleman linearization can also be applied to nonlinear difference equations. We show with the help of two examples how the Carleman linearization works. Our first example is the logistic equation Uy =au(l—u), t=0,1,2,... q) where 1 1 This is just the density function of an ordinary cosine function of the form eee a= 5 5 oos(ut), The only difference is that 2 in contrast to w in (7) has a cosinoid correlation function and is of deterministic nature. As our second example we consider the nonlinear difference equation Ue = 1 pay (16) where t= 0,1,2,... and 0 < <2. If -1 < uo <1, then —1 C* and V is analytic in u. Let [u) be a normalized coherent state (see section 2.5), where u satisfies (1). We define the vectors |u, t) such that [uyt) = eb (uP -NoF) jy), (2) 103104 CHAPTER 4. LINEARIZATION IN A HILBERT SPACE On differentiating both sides of (2) with respect to time we arrive at the following evo- lution equation in Hilbert space d qt) =M(Olut), — |u,0) = fuo) (3) where the boson “Hamiltonian” is of the form M(t) = bt- V(b, t). Now let |uo,4) designate the solution of (3) and let u(uo, ) be the solution of the system (1). It follows immediately from (2) that the vectors luo, ) are the eigenvectors of the Bose annihilation operators (coherent states) corresponding to the eigenvalues u(uo, t). This means bluo, t) = u(uo,t)|uo, z). (4) Thus, it turns out that the integration of the nonlinear finite dimensional system (1) is equivalent to the solution of the linear, abstract Schrédinger-like equation (3). Note that the eigenvalue equation (4) suggests the “quantization” scheme of the form ub where u satisfies (1). We now demonstrate that the introduced Hilbert space approach includes the Carleman embedding technique as a special case. Consider the evolution equation (3). Writing this equation in the occupation number representation (see section 2.5) we obtain the differential-difference equation (5a) (5b) where and Man’(t) = (n|M(t)|n‘). Equations (2) and (2.5.26) taken together yield k uun(t) = (ny) = (i * 7) ex (=Flvor) (6) i=14.1. ORDINARY DIFFERENTIAL EQUATIONS 105 ‘The Carleman’s linearization ansatz in the form suggested by Steeb (1983) coincides up to the multiplicative constant with (6). It thus appears that the Carleman embed- ding technique corresponds to the particular occupation number representation in the presented canonical (i.e. basis independent) Hilbert space formalism. Note that the Carleman linearization within the introduced “quantum mechanical” approach plays the same role as the Heisenberg matrix mechanics in quantum mechanics. In particular, it is interesting to find out that both the Carleman embedding and matrix mechanics were the earliest versions of the corresponding theories. It should also be noted that the canonical formalism presented herein enables us to write the explicit form of the Carleman em- bedding matrix for arbitrary nonlinear dynamical systems. The fact that the Carleman embedding matrix can be written with the help of the Bose operators has been recog- nized for the first time by Steeb (1983). The introduced method for “bosonisation” is not restricted to the Carleman embedding. For example, Kowalski (1985) showed that linear differential-difference Kolmogorov equations which are fundamental in the theory of birth and death processes admit an analogous abstract boson Hilbert space description. Example: Consider the following nonlinear analytic system BL (v(e)-uyu, —0(0) = wo. ( The corresponding evolution equation can be written in the form S hust) = M(Dlust), — [4s0) = leo) 8) where the “Hamiltonian” is M(t) = Nv(t)-b where N=bt-b is the total number operator. Taking into account the relation (M(t), M(@)]=0, 4.UER we find that the solution of (8) can be written as luo, t) = exp (/acrwe) |uo) = Iwo) +304 (iw +0) (/er-s) |uo)- (9) 0 is" \jzo a It follows immediately from (9) and (6) that the solution of the system (7) is given by valu t) = (ilo, exp (Slt?) = uso ( fro vind] (102)106 CHAPTER 4. LINEARIZATION IN A HILBERT SPACE .,k. The solution (10a) can be analytically continued to Uoi om ig l..e 0 (108) 1 = fug-v(r)dr 3 u;(Uo, t) = Besides the Carleman embedding technique the actual approach generalizes the alter- native methods for linearization of nonlinear dynamical systems in infinite dimensional spaces (these methods are described in section 6.1). Indeed, the Schridinger-like equation (3) is equivalent to the operator evolution equation wv dt where V(t) is the evolution operator satisfying M(Q)V, = -V(0)=T (11) {uo,t) = V(#)|uo). Taking the hermitian conjugation of (11) we obtain the following equation avt a7 vimt(t), — Vio) Hence, putting Vt = U and writing (12) in the Bargmann representation (see section 2.5) we find I. (12) qu Fn Ux, U)=1 (13) where a du" is the vector field corresponding to the system (1) and we assume that V* = V. The operator equations of the form (13) are fundamental for methods mentioned above. We have thus established the fact that these methods correspond to the particular Bargmann representation in the introduced canonical formalism. The advantage of the present approach is that it enables us to translate the methods and the notions of quantum mechanics into the language of the theory of nonlinear dynamical systems. We now illustrate this observation on the example of the “Heisenberg picture” and “interaction picture” within the introduced “quantum mechanical” Hilbert space formalism. Consider the “Heisenberg equations of motion” which obey the time-dependent Bose annihilation operators X=V(u',0)- 2O <0, Mah —b0)=b a) where Ma(t) = V(t)" M(1)V(t)4.1. ORDINARY DIFFERENTIAL EQUATIONS 107 is the “Hamilton operator” in the “Heisenberg picture”; V(t) is the evolution operator given by (11). The formal solution of (14) is b(t) = V(t) V(t). Hence, taking the evolution operator in the form (see formula 2.4.8) V(t) = exp[®(t)] where the “phase operator” ®(t) is given by 1 a(t) = [arM(r) + fats f aren —7)[M(72), M(r1)] +. 2 and making use of (4) we get the formal solution to the system (1) (-1 J (wolf@(t),---s[@(E)sB].- Jue). (15) uo, t) = (Wolb(t)}o) = wo + > ma Note that the first equation of (15) means that the solutions of nonlinear dynamical systems are the covariant symbols of Bose annihilation operators. On the other hand, we find that this equation forms the “Ehrenfest theorem” within the presented “quantum mechanical” formalism. Example: Consider the autonomous AHS (holomorphic system) du T= Vu), u(0) = uo (16) where V is analytic in u. The phase operator reduces then to ©(t) = tM, where M =b'-V(b) and the solution of (16) can be written as the formal power series in t ‘ug|[M,...,[M,b] ...]]uo)- (17) ‘An easy inspection shows that the solution (17) coincides with the formal solution of the holomorphic system (16) given by Lie series. Certainly, the expansion (17) holds true in the case with nonautonomous holomorphic system (1) with V analytic in u and t. In fact, every nonautonomous system (1) can be treated as autonomous on the extended phase space (u,t) (Arnold 1984). 0 It thus appears that the technique of Lie series corresponds to the particular “Heisenberg picture” within the introduced “quantum mechanical” Hilbert space approach. The other method frequently used in quantum mechanics is passing to the interaction picture. Using the presented treatment one finds easily that the counterpart of the interaction picture is the classical method of variation of constants. To see this consider the following example.108 CHAPTER 4. LINEARIZATION IN A HILBERT SPACE Example: Consider the projective Riccati system (Kowalski 1985) =Iut(c(t)-u)u, —u(0) =u» 18) where L : R* + R* is a linear operator. The Schrédinger-like equation corresponding to (18) is of the form lust) = (Mo MiCt)Iust),—fu0) = Jo) where My = bt- Lb M,(t) = Ne(t)-b and N=bt-b is the total number operator. On passing to the interaction picture {ust) = exp(—tMo)|u, 1) (19) we arrive at the following equation Slat) = MOK), (50) = wo) (20) where M(t) = exp(—tMo)Mi(t) exp(¢Mo) = N¥(c(!),t) - b is the “Hamiltonian” in the interaction picture and (uo, t) designates the solution of the linear part of the system (18) with the operator L replaced by its transpose. We have already found the solution of the nonlinear dynamical system corresponding to (20) (see 10b). Hence, taking into account (4) and (19) we find the solution u(up,) of the system (18) u(aqy 4) = ee) ___ 2) 1 = fe(r)-v(uo, r)dr where v(uo,t) is the solution of the linear part of the system (18). It can be checked easily that the above procedure of integration of the system (18) is equivalent to the method of variation of constants. O4.2. PARTIAL DIFFERENTIAL EQUATIONS 109 4.2 Partial Differential Equations Our aim in this section is to generalize the formalism introduced in the previous section to the case of an infinite number of degrees of freedom (Kowalski 1988). We begin by deriving the evolution Schrddinger-like equation which is the Hilbert space counterpart of the following system of nonlinear partial differential equations (complex or real) du FAV (uD uj2,1), —u(v,0) = uo(z) () where u: R! x R + C4, V is analytic in u, Du and k up € PLR’, dz). Suppose the solution u of the system (1) is square integrable at any time (we call such systems the analytic systems with square integrable solutions ASIS for abbreviation — throughout this work). As in the case of finite number of degrees of freedom we now introduce vectors fut) =e {5 (fetstul — f a*ziuol?)} Iu) (2) where u fulfills (1) and |u) is a normalized functional coherent state (see section 2.6). An easy differentiation shows that these vectors satisfy the following evolution equation in Hilbert space d qh) = M(t)lu,t), —— [u,0) = |uo) (3) where the boson “Hamilton” operator M(t) is given by M(t) = [eebt(x) -V(b(z), D*b(2);2,t). On the other hand, an immediate consequence of (2) is the following eigenvalue equation b(z)uo,#) = ufuo|z, ¢}}uo,t) (4) where |uo,t) is the solution of the evolution equation (3) and uluo|z,t] denotes the solution of the system (1). It thus appears that the integration of the nonlinear dynamical system (1) is equivalent to the solution of the linear, Schrédinger-like equation in Hilbert space (3). It should be noted that whereas the Hilbert space description of ordinary differential equations discussed in the previous section has the structure analogous to quantum mechanics, the actual treatment resembles the quantum field theory. Therefore, we still deal with the “quantum” approach to the theory of nonlinear dynamical systems. The formal similarity between the actual formalism and approach developed in the case of finite110 CHAPTER 4. LINEARIZATION IN A HILBERT SPACE number of degrees of freedom makes it possible to apply the constructions described in the previous section to the study of nonlinear partial differential equations. For example the Lie series in the field theory can be written in the form »[M, b(2)] .J]u0) (5) i! uaz, t} = u(x) +55 2" ula. where M is the “Hamiltonian” corresponding to the system (1) with the right-hand side independent of time. Example: Consider the nonlinear equation du(a,t) _ u(z,0) = uo(z) € £3 (R, der). (6) The “Hamiltonian” M corresponding to (6) is given by M= = [ axbt(2)b(2)8 (2) It is easy to verify that = qlee. Using this and (5) we obtain the formal solution (3.5.10) of (6) (1 see blend =D Gye. () At first sight, the restriction to the class of ASIS in the study of nonlinear partial dif- ferential equations seems to be rather serious one. It should be noted, however, that examples of ASIS include such equations of classical and of current interest as Burgers’ equation, Korteweg-de Vries equation, nonlinear Schrédinger equation and Kadomtsev- Petviashvili equation. Moreover, the numerous soliton solutions are supposed to vanish at spatial infinity ie. they satisfy the necessary condition for the square integrability. On the other hand, the restriction to the square integrable initial data does not seem to be the most important one. For instance, the formula (7) obtained by means of the actual formalism holds true regardless of the square integrability of uo. It is worthwhile to recall that the Cauchy-Kowalevski theorem on the existence of solutions to analytic systems requires analyticity of the initial data.4.2. PARTIAL DIFFERENTIAL EQUATIONS 111 Theorem: If all the functions ¢ig(7) are analytic in a certain neighbourhood of the points Zo and all the functions ®(z, ,...,4ja9a1..0n3+++) are analytic in a certain neighbourhood of the point (0; to; ---D*d;a0(t0),-++) then Cauchy’s problem has an analytic solution in a certain neighbourhood of the point (zo, tg) and is, moreover, unique in the class of analytic functions. We now show that the actual treatment includes the generalization of the Carleman embedding introduced in section 3.5 as a special case. Consider the evolution equation (3). This equation written in the coordinate representation (see section 2.6) takes the form of the system of linear hierarchy equations Oun(t11, > (a4) /0 That, M(thum(2hss--sthays-oshases thei) 8) mezt r1je1 kom 1 in(@11y ++ y Lin y+ +9 Pkty ++ 5 Phys O i( ig —35 J deluo!? un(en1) +6521 hts s+ Tinys0) (iis ) exp ( sf luo?) where Un (E115 0 yang yey ky + + 5 Chg t) = (ray = 4 Langs +++ y kay +++y Thay ts t) and M(t) = (erry. Rings eos hay ++ 5 Cheng MCE) |e has +s Phmgs <2 s Chay 5 Bhany)> Owing to (2) and (2.6.12) we arrive at tin 115-25 Panes Betas ing t) = (if «..9) pa (-5,f atsluo?) (9) j=l112 CHAPTER 4. LINEARIZATION IN A HILBERT SPACE where u(z,1) satisfies (1). Comparing (9) with the ansatz (3.5.2) we find that the generalization of the Carleman embedding described in section 3.5 corresponds to the particular coordinate representa tion in the Hilbert space approach taken up here. Finally, we point out the realization of the evolution equation (3) in the Bargmann space of analytic functionals (see section 2.6) when (3) is the linear equation in functional derivatives. As a matter of fact the linear evolution equations in functional deriva tives obtained from nonlinear partial differential equations can be found in physics. An example is the Hopf equation (Monin and Yaglom 1971) resulting from nonlinear Navier- Stokes equations. Nevertheless, analogously as in the case of hierarchy equations, such correspondences are treated as some formal properties of particular nonlinear equations. Applications of the Hilbert space formalism introduced in this chapter can be found in section 5.3.Chapter 5 Applications 5.1 Secular Terms In this chapter we study secular terms. Secular terms appear very often in connection with perturbative expansions of the solution of a system of nonlinear differential equa- tions. We have already discussed secular terms in connection with perturbation theory in quantum mechanics in the interaction picture. These terms should be avoided when we look for approximate solutions over several revolutions of the system. Otherwise they will cause steadily growing amplitudes with time, in disagreement with the observed motion in the majority of cases. The anharmonic oscillator is a simple system where secular terms do appear if conventional straightforward perturbation expansion is performed. The concept of Carleman embedding and secular terms have investigated by Montroll and Helleman (1976) and Montroll (1978). They studied in detail the anharmonic oscillator 1),1 1 (p,q) = 5p? + swoa" — at. In our presentation we follow Esper Heiles model. and Andrade (1986). They studied the Hénon Let us consider a k-dimensional system described by the vector u(t), whose equations of motion are given by da Gia Au + Bull (1) where A and B are constant matrices of order k x k and k x k?, respectively. Moreover, A is supposed to be diagonal, and ul :=u@u 113114 CHAPTER 5. APPLICATIONS is a k-dimensional vector. The Carleman embedding of system (1) leads to ABO 0 0 ull 0 AP BPO 0 ull d} ull aaann ull Sl. |=] ® ® > 0 : (2) ul ete BN | \ um 0 0 .. 2. 0 AN where we have truncated the infinite system at finite level. We used the following notation w= ul¥e@u, ullsu AN = ATQINT4TPQANT, AL=A BY = B@IN1+P QBN", B=B (3) where I indicates the kN x kN identity matrix. In shorthand notation we write system (2) as du _ dt We can write the solution of this equation as Mu. u(t) = exp(Mt)u(0) = T exp(Mt)T~1u(0) (4) where T’ is the matrix which transforms M into its diagonal form M, ice. M=T" MT. Since the matrix M has a block structure it is obvious that the invertible matrix T’ also has a block structure. We write T’ in terms of its block components denoted by capital indices T;,x. The dimension of such a block Ty, is kY x k*, Owing to the structure of M and that the matrix A! (and therefore all A¥) are diagonal matrices we have Te=0, L>K Tk,x = 1%. (5) The blocks of the inverse matrix T-! = U will be denoted by Uz,x. They are of order ke x kK, We obtain Un = (-1)4* Det (Tx. (6) where (7")x,z is the matrix obtained from T by elimination of the K-th block line and the L-th block column. Now Det (I’)x,z denotes a matrix of dimension k” x kX which is obtained by performing matrix multiplications and sums among the blocks of (T") x,t in the same way we calculate the determinant of a matrix. In the evaluation of (6) we must pay attention that the order of the factors T;,x in each term must be such that5.1. SECULAR TERMS 115 the several matrix multiplications are possible, but the product of an identity block by another identity block (or by a nonsquare block) does not afford them to be compatible in the sense of usual matrix multiplication. For example, we have Une =T, Una = -Troa1 (7a) Up nr = Tho Trat+2 — Thr+2- (7) From this we find the simpler form LtK-1 Urark =— DY) UnaT unex: (8) MEL The blocks Tr,x and Uz,x are to be determined from the condition Mf = UMT. Since Mx = A¥61,x we find K Kat A’éi a = YD Un AM Tak + 0 Una BMTugax- (9) M=L M=L For L = K, (9) becomes an identity. When L # K, it gives the relations which determine the Tr,x. Making use of (8) we can reduce (9) to a LtK-1 : Mix = > Una{AM Ta, — Tu, AX + BMTui,x} = 0. (10) et Since (10) must be valid for any K, the matrices Tyy,x will have to satisfy AM Ty — Tu, AX = —BM Typ: (11) We introduce the new notation for the blocks of T and U TK = Threw, UK = Un nak- (12) With this notation it is obvious that (11) gives a solution for the blocks of the K-th diagonal in terms of those of the (K —1)-th diagonal. The components of this block are expressed as Bb pitk- 1, ee Trin = x Aa a (23) It follows that K-1 he M K i Te= DX I aE a (14) 4 lx-1 M=¢ ‘0 Aix The matrix UM is given by K-1 (BE+M Une lg Vite = UD apatites 5) Lived M=O Ma116 CHAPTER 5. APPLICATIONS Now we are able to write down the evolution matrix exp(Mt). Since we are only interested in the evolution of the first block components wou of u, we only consider the evolution of the block components (e™*).i¢ , K (Ma = Tae Ua. (16) rd If we define (MME = (eM) ca and make use of the notation introduced in (12) we arrive at => DTM (A UMM (17) M=0 5 Now we insert expressions (14) and (15) into (17) to obtain the explicit form of the (eM iste: We find x K fon 1- bum Oe = STL aR, CeO Hae 08) Honea N= M=0 N=0 “*y LN where we consider that (19) Next we discuss the secular terms. If we consider (18) we see that it is much like the ex- pansion coming from perturbation theory for the eigenvalues of a perturbed Hamiltonian H = Ho +H; in terms of the eigenvalues of Ho. It is well known that this expansion breaks down whenever degenerated states appear. A similar fact happens in (18) when we have Alt = ANH, (20) In such a case the denominator in (18) goes to zero. Owing to the presence of the sum in M, we have two (or more) terms in (18) with the same denominator which will cancel each other, leading to an indetermination of the type 0/0 which is responsible for the secular terms. In order to see when (20) may occur, we have to consider that the eigenvalues ‘A™ of AM may be expressed in terms of the eigenvalues A! of A! as k k =Ladt, 0 gE Z 22 Ag hd (22) for at least one pair of eigenvalues of the matrix A’. Esperidido and Andrade (1986) gave a detailed analysis of (18) for the occurence of the secular terms. Example: As an example Esperidio and Andrade (1986) studied the Hénon-Heiles model (Hénon and Heiles 1964) 1 a H (41, 42,P1P2) = s(Pi t+ Pa + H+ @) + In — Z- (23) 3 3 This model is nonintegrable and the trajectories in the phase space are qualitatively different, depending upon the energy E. In what follows we restrict the discussion to the case where E < }. For energies far lower than }, the trajectories are confined to tori in the phase space. Increasing the energy until E = } makes the trajectories leave the invariant tori and wander chaotically in the space among those most stable tori, which do exist until E = }. Despite the difference in the character of the trajectories for different values of E, all of them remain bounded in this range of energy. ‘The equations of motion are given by om = 2% o = a-4a- From the equations of motion we find that the matrix A, which gives the linear part of the system is not diagonal. We change then to a new coordinate basis in order that the matrix A! becomes a diagonal matrix. In this new coordinate basis we have Qs = 2°"? (a; — ips) (24a) Pi = 217(q; + ip;). (248) The eigenvalues of the 4x4 matrix A? are +i, each one double degenerate. This indicates that the eigenvalues of A@ will be of the form