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Differential Equations
1. Introduction
s(x)={~ x~O
x>O
1 x =0
t(x)= { 0 x;r!:O
structure theorems and to define the derivative. Then we prove the theorems
needed to solve differential equations.
used to classical analysis, but it will be motivated here: Let us consider the
question of derivations of functions at continuous but classical, not differen-
tiable points (called corners). These function as formal objects, and as such
provide a definition of the function at this point. Making them extensional
would cause a loss of information.
x>o
Ix/1:={X
-x
x~o
x <0 IxI2:= {
X x> 0
-x x:::;o Ixla:= {~ x=o
-x x<O
The graphs of these three formally defined functions are the same but their
definitions (and normal forms) are different. (We will come back to this
example in Section 3 on derivatives and will show these functions in PPDR.)
for every element of PPDR, where p(x) and the ai are expressions of the
language of differential fields without s or t in x, and bi , Ci, and di are real
algebmic numbers.
The rule system (The algorithms referred to below are implemented in
Maple and the rule system)
s(p(x» --+ E:=o ±s(±x=f bi) by algorithms
t(p(x» --+ E:=o t(x - di ) by algorithms
s(f(x) + g(x) * s(±x =f a» --+ s(f(x» * (1 - s(±x =f a»
+s(f(x) + g(x» * s(±x =f a)
s(f(x) + g(x) * t(x - a» --+ s(f(x» * (1 - t(x - a»
IV. Solving Discontinuous Ordinary Differential Equations 101
Remark
• f(x),g(x) denote arbitrary function-expressions in PPDR (perhaps con-
taining x)
• The last rule represents the situation if x = 0 then f(x) else g(x).
Since f is only evaluated at the point x = 0 the expression reduces to:
if x = 0 then f(O) else g(x).
The chain rule, as it does not belong to the axioms of a differential ring,
needs closer examination. We will see this in the next part of this section.
The following definition provides the link to the classical theory of dif-
ferential rings and fields [Ri69] , [Liou33], [Sing90].
The function 1- s(x) - s( -x) is not admissible. Also, the sum of two admis-
sible functions is obviously not always admissible. We only need admissible
functions to represent the usual three types of discontinuities.
Let us consider the function abs (absolute value function). There exist
three different possibilities to express this function in PPDR. The corre-
sponding functions are extensionally the same but their formal derivatives
IV. Solving Discontinuous Ordinary Differential Equations 103
are different.
s(x)*x-s(-x)*x open corner
(1- s(-x» *x - s(-x) *x right closed corner
s(x) *x - (1 - s(x» * x left closed corner
The corresponding derivatives are 0, 1, and -1.
Theorem 6 For admissible functions in PPDR
¢ ~ constant -+ ¢' = 0
•
Extensions of PPDR and the Chain rule
For the symbolic solutions of differential equations and integrals, as well for
the solutions of algebraic equations, the notation of extensions is essential.
This is necessary since most differential equations are not solvable over the
ground ring, which is usually a rational function ring.
The problem of deciding if a given elementary extension is algebraic or
transcendent is solved by the Risch structure theorem [Ri69j, [Bro90j. These
theorems are valid in PPDR since PPDR has the structure of a differential
ring.
The next question is: If PPDR is extended with eX what is eS(x)*X? Is
this a new transcendent extension? The answer is no if we use the following
structure theorem:
Theorem 7 (Structure Theorem for the transcendental case)
Let B be an extension of PPDR. Using the following rules
-t(x - a) * O(g(a»
the extensions of this type of PPDR are simply extensions in the classical
sense (no discontinuities in the extensions).
> simpex(exp(s(x)*x+s(x-2)*x»;
x+l
s(x) * e + 1 - s(x)
>simpex(exp(s(x)*(x+l»;
2
- s(x - 2) exp(x) + 1 - s(x) + s(x) exp(x) + s(x - 2) exp(x)
IV. Solving Discontinuous Ordinary Differential Equations 105
In physics and topics of engineering analysis, people often have to deal with
discontinuities in their differential equations. Hence, solving ordinary differ-
ential equations with discontinuities - especially linear differential equations
with discontinuous perturbation-function and Risch differential equations -
is of interest. In this section we develop theories and methods to solve such
equations. We distinguish the questions: solvability in general and solvability
in terms of computer algebra.
(1) The classical solution is y = a * sin(x) + b HOS(X) and this is the only
physical solution of the equation in PPDR (will be proven).
(3) For the third case we have for example y = s(x) *Cos(x) , y' = -s(x) *
sin(x) + t(x), and y" = -s(x) * cos(x). This is a formal solution, but
it is discontinuous.
Definition 10 The sets of points in R.n where the s(.) and t(.) of a function
do not switch value are called cells of this function. A one-dimensional cell
is called a tunnel (following the pattern of the phenomenon of tunneling in
physics).
For example f(x, y) = s(x 2 + y2 -1) has two cells: the disk around zero and
the rest of the plane. f(x) = 2 * s( -y) + s(y) has two cells and a tunnel
throught the x-axis. There are two possibilities of constructing a tunnel: one
with a t(a - x), the other with something like: s(x - a) + 2 * s( -x + a).
The switching-line of y' = s(y) is the x-axis, that of y' = s(x) the y-axis,
and that of y' = s(x * x + y * y - 1) the circle around zero. The boundaries
can, but need not, belong to the cell.
The following lemmas and theorems give the connection between PPDR
and the classical theory for solving ode's.
Lemma 13 The only continuous solution ofy' = 0 in PPDR is y =constant.
Proof Since the ode has a continuous solution it is not possible to construct
a PPDR solution with s's:
Let f) be the classical solution and y the PPDR solution. y contains a
subterm of the form s(x - a) * Y2 + (1- s(x - a)) * Yl (the proof is the same
for the other two kinds of gluing), then y(i) contains a subterm of the form
s(x - a) * y~i) + (1- s(x - a)) * yii) +t(x - a) * y~i-l)(a) - t(x - a) * yii-l) (a).
These derivatives all have to be continuous since the solution is en, hence
y~i) (a) = yii) (a) for i = 0, ... , n. Hence since Yl and Y2 have the same
derivatives in the point a, it follows that Yl = Y2. Hence there is no subterm
containing an s, thus the solution is only the classical one. This holds for
all points a, thus fi = y. Hence, PPDR gives no more solutions, because this
solution would be a classical one. •
Proof We will prove this lemma for all kinds of ode's in PPDR in the
sections where they are discussed. The formal method will be shown in the
next section. •
Proof We look at the ode's of first order with s depending only on x. The
normal form of such differential equations is:
n
y' = eq(x, y) = go + L gi(X, y) * s(±x =t= ai).
i=l
We have n + 1 cells. All cells are represented by disjoint intervals. We see
whether each cell is closed [ai, ai + 1], open jai, ai + 1[, left open jai, ai + Ij,
or right open [ai, ai + 1[, and so we can determine the characteristic function
Xi of the cell i.
The leftmost and the rightmost interval are infinite. Since the switching-
lines are normal to the x-axis, there is no problem crossing them.
To find the solution we first solve all n + 1 differential equations in
the cells. ¢i is the solution 'Pi in the cell i multiplied with the characteristic
function Xi of this cell plus the t(x - ai) *'Pi minus t(x -ai+d *'Pi. These t(.)
describe the value of the solution at the boundaries of the cells. The solution
will be continuous since 'Pi(ai) = 'Pi+l(ai), then the t(.)'s will cancel each
other out in the formal solution.
The term -t(X-ai)*'Pi(ai)+t(x-ai+l)*'Pi(ai+d is abridged by Ri('Pi).
Now we can write down the formal solution f
n
f := LXi * 'Pi(X) + Ri('Pi) = ¢o + ¢1 + ... + ¢n
i=O
Proof We start with the cell in which the initial value belongs. Using the
existence and uniqueness theorems of classical analysis we have only one
solution in this cell. Therefore the intersection point with the switching-line
of the next cell is known. Now we have the initial value for the next cell.
This process goes through all cells, and with the previous theorem, we have
the continuous solution. •
Example We solve the ode y" + s(x) * Y = 0 with y(O) = 0, y'(O) = 1. The
cells are]- 00, 0] and ]0,00[. The ode's are: y" = 0 solution Yl(X) = a*x +b
and y" + y = 0 solution Y2(X) = c * sin(x) + d * cos(x). The ansatz for
the solution is: y = (1 - s(x» * (a * x + b) + s(x) * (*sin(x) * d * cos(x»
with the conditions: Yl(O) = Y2(0) and yi(O) = y~(O) and y(O)=O. So Y =
(1 - s(x» * x + s(x) * sin(x) is the continuous solution. This can be verified
by substituting Y for f in the differential equation.
> dsolve(diff(y(x).x)-s(x).y(x)=o.y(x»;
y(x) = exp(s(x) x) _C1
This is clear from the mechanical point of view in physics [Br78]. We have to
distinguish between two kinds of perturbation functions: those with or those
without impulse t. Solutions of ode's containing t(x - a) are not unique at
the point a.
Theorem 18 Every linear ode in PPDR with an order greater than one,
no singularities and piecewise continuous perturbation-function has a con-
tinuous solution. The solution is unique if the perturbation function is not
an impulse-function. If no t(x - a) appears in the perturbation function the
theorem holds even for ode's of order 1.
If a t(x - a) appears in the perturbation function the solution is not unique.
Also these solutions are extensional equal except at the point a. This happens
because the equation y' = t(x - a) has two solutions, left-continuous and
right-continuous. We need the restriction to differential equations with no
singularity since for example sex) * y" + x * y' + y = 0 has for x S; 0 the
solution y = ~, which does not belong to PPDR.
In the proof of this theorem we strongly profit from the (flat) linear
normal form of the perturbation function. So
m n
j=l i=O
Proof Owing to linearity and the normal form of f(x) we only have to solve
the ode:
Ly = sex - ai) * Ji(x) or Ly = t(x - ai) * Ci
for every summand sex - ai) * fi(x) and t(x - ai) * Ci in f(x). The solution
of Ly = f(x) is the sum of all solutions of the reduced ode containing only
Ji(x).
Let \]i be the solution of Ly = 0 and <I> be the solution of Ly = fi(x),
Ly = Ci' To find these solutions we use the known theory for solving linear
ode's. We can now construct the particular solution of Ly = sex - a) * fi(x),
ypart = sex - a) * <I> + (1 - sex - a) * \]i.
The parameters of \]i and <I> are chosen such that ypart and n - 1 derivations
are continuous. This means solving a system of n equations. This can be
done using a computer algebra package, such as Maple. •
>dsolve(diff(y(x),x$2)+y(x)=x*x*s(x),y(x»;
2
y(x) =x sex) - 2 sex) + 2 sex) cos (x) + _Cl sin (x) + _C2 cos (x)
(2) y" - Y = t(x) has the particular solution y = -!s(x) * (eX - e- X).
and if so how shall we compute it? Here we can use the known theories. We
will show that these theories hold even if f and 9 are discontinuous functions,
i.e. f, 9 in PPDR.
Theorem 21 The algorithm for solving the first order linear differential
equation can be extended to the case where f and 9 are in PPDR.
Proof Since the ode is a linear ode we solve the ode for every summand in
the normal form of f(x) and g(x) and then add the solutions,
solve the equations with the same ansatz but using a different initial value:
wi(b) = g(b). So the derivative contains a t(x - b) * g(b). •
4. An Implementation of PPDR
>normal(s(x*x-2»;
1/2 1/2
s(- x - 2 ) + sex - 2 )
>normal(s(x+s(x»);
(1 - sex»~ sex) + sex) sex + 1)
sex)
>normal(x*t(x»
o
Differentiation, Integration
We can compute the derivative of a function expression in PPDR and its
anti-derivative. We saw that the integral of an expression containing t is not
unique. Integrating such an expression, we have to decide whether we prefer
left- or right continuity. This can be chosen by the global Boolean parameter
right conti: =true. We show the integral of s(x - 2) * x * sin(x) and then
compute the derivative:
114 Martin von Mohrenschildt
>int(s(x-2)*x*sin(x) ,x);
sex - 2) (sin(x)- x cos(x»- s(x- 2) (sin(2)- 2 cos(2»
> red(");
sex - 2) x sin (x)
y" + y = s(x)
computed and verified with Maple.
> red(");
sin (x) sex) + _Cl cos (x) - _C2 sin (x)
> red(");
sex) cos (x) - _Cl sin(x) - _C2 cos (x)
IV. Solving Discontinuous Ordinary Differential Equations 115
> "+f;
sex)
2 2
y(x) = sex) exp(- x (s(x) - 1» - exp(- sex) x) sex) +
2
exp(- sex) x) sex) x - exp(- sex) x) sex) x
5. Application
References
[Abe91] Aberer, K., Combinatory Differential Fields and Constructive Anal-
ysis, ETH-Thesis, 9357, ETH Zurich, (1991).
[An56] Andre, J., Uber stuckweise lineare Differentialgleichungen, die bei
Reglungsproblemen auftreten, Arch. Math. 7 (1956), pp.148-156.
116 Martin von Mohrenschildt