Boundary Value Problem and Solvability Analysis

Mohan C Joshi
IIT Gandhinagar
mcj@math.iitb.ac.in, mcj@iitgn.ac.in
October 27, 2017

1 Boundary value Problem - Preliminaries

We shall work on the space L2 [a, b], the space of all square integrable (real valued) functions on
[a,b]:
Z b
L2 [a, b] = {f : [a, b] R, f 2 (x)dx < }
a
This space is an inner product space with inner product hf, gi defined as
Z b
hf, gi = f (x)g(x)dx, f, g L2 [a, b]
a

The norm in L2 [a, b] as follows

Z b
kf k2 = f 2 (x)dx
a

d2
Definition 1.1. Let L : L2 [a, b] L2 [a, b] be the second order differential operator
dx2
with two sets of boundary conditions :

B1 (u) = 0 = B2 (u)

B1 (u) and B2 (u) involve a linear combination of function value of the function u and its derivative
u0 at a and b respectively.
We are interested in the solvability of the boundary value problem of the form

Lu = f ; B1 (u) = 0 = B2 (u) (1.1)

We now define the domain D(L) of L as below.

Definition 1.2.

u L2 [a, b] : u0 , u00 L2 [a, b]; B1 (u) = 0 = B2 (u)


D (L) = (1.2)

The dual L of L is defined as follows.

hLu, vi = hu, L vi u D(L) and v D(L ) (1.3)

where D(L ) is to be defined later.
We have Z b
hLu, vi = [u00 (x)v(x)]dx
a

1
Integration, by parts , gives
Z b Z b Z a
u00 (x)v(x)dx = u0 v|ba + u0 (x)v 0 (x)dx = u0 v|ba + uv 0 |ba u(x)v 00 (x)dx
a a b

Define

L v = v 00 and J(u, v)|ba = [u0 v + uv 0 ]ba

This gives

[hLu, vi hu, L vi] = J(u, v)|ba

where

J(u, v)|ba = [u0 v + uv 0 ]ba (1.4)

We now define the domain D(L ) of L as below.

Definition 1.3.

D (L? ) v L2 [a, b] : v 0 , v 00 L2 [a, b] with J (u, v) |ba = 0 f or all u D (L)


= (1.5)

d2 u d2 u
Definition 1.4. Let Lu = 2
, then its dual is defined as L = 2 with the domain D(L )
dx dx
given by (1.5).

Definition 1.5. The boundary value problem (1.1) is said to be self-adjoint if L = L and D (L)
= D (L? )

Example 1.1. Let

d2
D (L) = u L2 [0, 1], u0 , u00 L2 [0, 1] : u (0) = 0 = u (1)

L=
dx2
d2
We have L? = and
dx2
J(u, v)|10 = [u0 (1)v(1) + u(1)v 0 (1)] [u0 (0)v(0) + u(0)v 0 (0)]

= [u0 (1)v(1) + u0 (0)v(0)] as (u(1) = 0 = u(0))

J(u, v)|10 = 0 for all u D(L) implies that

u0 (1)v(1) + u0 (0)v(0) = 0u D(L) (1.6)

As (1.6) holds for all u D(L), it follows that v(1) = 0 = v(0).

This gives
L = L and D(L) = D(L ) = u L2 [0, 1] : u(0) = u(1) = 0


That is L = L and D(L) = D(L ) and thus L is self-adjoint.

2
 d2
with D(L) = u L2 [0, 1] : u0 (0) = u0 (1) = 0 .

Example 1.2. L = 2
dx
d2
L = = L and J(u, v)|10 = [u0 (1)v(1) + u(1)v 0 (1)] [u0 (0)v(0) + u(0)v 0 (0)]
dx2
u D(L) u0 (0) = u0 (1) = 0 and hence we get

J(u, v)|10 = u(1)v 0 (1) u(0)v 0 (0) u D(L)

J(u, v)|10 = 0 u D(L) v 0 (0) = v 0 (1) = 0 and hence L = L and D(L) = D(L ). So, L is self
adjoint.
d2
Example 1.3. L = with D(L) defined as below.
dx2
D(L) = u L2 [0, 1] : u0 , u00 L2 [0, 1]; u(0) = u0 (1), u(1) = u0 (0)


d2
As before, we have L = .
dx2

J(u, v)|10 = [u0 (1)v(1) + u(1)v 0 (1)] [u0 (0)v(0)] + u(0)v 0 (0)]
= [u(0)v(1) + u0 (0)v 0 (1)] [u0 (0)v(0) + u(0)v 0 (0)]
= u0 (0)[v(0) + v 0 (1)] u(0)[v 0 (0) + v(1)]

J(u, v)|10 = 0 for all u D(L) gives

v(0) = v 0 (1) and v 0 (0) = v(1)

Hence

d2
L = and D(L ) = v L2 [0, 1] : v 0 , v 00 L2 [0, 1]; v(0) = v 0 (1), v 0 (0) = v(1) 6= D(L)

dx 2

So, the above problem is not self adjoint.

2 Eigenfunction Cmputation in L2 [a, b]

Example 2.1. Consider the following eigenvalue problem

Lu = u, u 6= 0; u(0) = 0 = u(1)

That is, we want to compute (, ) such that

d2
L = , 6= 0, where L = , (0) = 0 = (1)
dx2

=0

d2
=0 =0
dx2

3
This gives (x) = ax + b.

(0) = (1) = 0 a = 0, b = 0

Hence (x) = 0. That is = 0 is not an eigenvalue of L.

<0

d2
<0 2
= , and hence D =
dx
This gives (x) = a exp x + b exp x

(0) = 0 a + b = 0, and (1) = 0 a exp + b exp = 0

Thus, we need to solve the following pair of simultaneous equations in a, b :

a + b=0


ae + be
=0

The determinant of this equation is given by

 
 1 1 
 
e e 

As this determinant is 6= 0, we get that a = 0 = b and hence = 0. That is, L has no negative
eigenvalue.
>0

d2
2
= , and hence D = i
dx
(x) = a cos x + b sin x

(0) = 0 a = 0, and (1) = 0 sin = 0

= n and (x) = sin nx

Thus we get the following set of (eigenvalue, eigenfunction) pairs

{(n2 2 , sin nx)}n1

Example 2.2. Consider the following eigenvalue problem

Lu = u, u 6= 0; u(0) = u(1); u0 (0) = u0 (1)

That is, we want to compute (, ) such that

d2
L = = with (0) = (1), 0 (0) = 0 (1)
dx2

=0

4
 d2
= 0 and hence (x) = ax + b, 0 (x) = a
dx2
(0) = (1) b = a + b a = 0 and (x) = b, 0 (x) = 0

Hence (eigenvalue, eigenfunction) pair is given by 0 = 0, 0 = 1.

<0

and (x) = a exp x + b exp x

0 (x) = a exp x b exp x

(0) = (1) (a + b) = a exp x + b exp x

0 (0) = 0 (1) (a b) = a exp x b exp x

This gives a pair of equations

a(1 exp ) + b(1 exp ) = 0

a(1 exp ) b(1 exp ) = 0

The determinant of the above set of equations is not zero and hence the matrix equation given by
has a zero solution. Thus, the above system has no negative eigenvalue.
>0

(x) = a cos x + b sin x,

0 (x) = [a sin x + b cos x]

(0) = (1) a(1 cos ) b sin = 0

0 (0) = 0 (1) a sin + b(cos 1) = 0

Thus we need to solve the system

a(1 cos ) b sin = 0

a sin + (cos 1) = 0

The above system has a non zero solution if

 
(1 cos ) sin
=0


 sin (1 cos )
This gives
cos = 1 and hence = 2n

n = 4n2 2 and n = cos 2nx, sin 2nx

Thus the set of eigenvalue, eigenfunction pairs is given by

(0, 1), {(4n2 2 , cos 2nx)}n1 , {(4n2 2 , sin 2nx)}n1

5
3 Fourier Series - Computation

Definition 3.1. Recall that a collection {un (x)}n=1 L2 [a, b], is said to be orthonormal, if
Z b 
0, n 6= m
hun , um i = un (x)um (x)dx ==
a 1, n = m
 
Example 3.1. 2 sin(x) n=1 , 2 cos(x) n=1 are two sets of orthonormal functions on L2 [0, 1].
This follows by straight forward computations.

Definition 3.2. An orthonormal collection {un (x)}n=1 is said to be a basis in L2 [a, b] if for any
u L2 [a, b], we have the series representation

X
u(x) = an un (x); an = hu, un i (3.1)
n=1

We now consider the self-adjoint boundary value problem

d2 u
= f (x) (3.2)
dx2
B1 (u) =0= B2 (u)

where f L2 [a, b] and B1 (u) and B2 (u) are the boundary conditions.
The associated eigenvalue problem is given by
d2
= (3.3)
dx2
B1 () =0= B2 ()

Let {1 , 2 , , n , } be eigenfunctions of L, corresponding to the eigenvalues

{1 , 2 , , n , }. We get the following theorem, concerning the basis of L2 [a, b], which we state
without proof.
Theorem 3.3. The set {1 , 2 , , n , } of eigenfunctions of the self-adjoint eigenvalue
problem (3.3) form an orthonormal basis for L2 [a, b] and hence u L2 [a, b] has a representation of
the for

X
u(x) = an n (x) (3.4)
i=1
Z b
an = [u(x)n (x)]dx (3.5)
a

Definition 3.4. The series of the form (3.4) is called the Fourier series of u, with Fourier
coefficients an given by (3.5).
Example 3.2. Find the Fourier series of the function f(x) defined as follows on [0,1].

1, 0 x < 1/2
f (x) =
1, 1/2 x 1

with respect to the basis {sin(nx)}n=1 .
We have

X
f (x) = an n (x)
n=1

6
where
hf, n i
Z 1
an = = 2 f (x) sin nxdx
kn k2 0
Z 12 Z 1 Z 1
2
Z 1
=2 f (x) sin nxdx + 2 f (x) sin nx = 2 sin nxdx + 2 sin nxdx
1 1
0 2 0 2

cos nx  12  cos nx 1
 
=2
n 0 n 1
2
 
1 h  n    n i
=2 cos cos 0 cos (n) cos( )
n 2 2
2 h  n 
n
i
= 2 cos 1 (1)
n 2

This gives
2 h   2m+1
i
a2m+1 = 2 cos (2m + 1) 1 (1)
(2m + 1) 2
2
= [0 1 (1)] = 0
(2m + 1)
and
2 h 2m
i
a2m = 2 cos (m) 1 (1)
2m
2 m
= [2 (1) 2]
2m
= 0, m = 2p
2 4
= [2 2] =
2 (2p + 1) (2p + 1)
Thus
a4p = 0, p = 1, 2, ...

a2m+1 = 0, m = 0, 1, 2,
and
4
a2(2p+1) = , p = 0, 1, 2, ...
(2p + 1)

That is
a1 = a3 = a5 = = 0 , a4 = a8 = a12 = = 0
and
4 4 4
a2 = , a6 = , , a2(2p+1) =
5 (2p + 1)
This gives the Fourier series of the function f (x) as

X
f (x) = an sin (nx)
n=1
X
= a2(2p+1) sin ((2p + 1) 2x)
p=0

4 X sin ((2p + 1) 2x)
=
p=0 (2p + 1)

7
Example 3.3. Find the Fourier series expansion of

x, x [1, 0]
f (x) =
x x [0, 1]
n o
on [1, 1] with respect to the basis 1 , sin nx, cos nx in L2 [1, 1].
2 n=1

We have

a0 X
f (x) = + [an cos nx + bn sin nx]
2 n=1
Z 1 Z 1
a0 = f (x)dx = 2 xdx = 1
1 0

Z 1 Z 1
an = f (x) cos nxdx = 2 x cos nxdx
1 0
" 1 Z 1 #
x sin nx 1
=2 sin nxdx
n 0 n 0
Z 1  1
2 2
= sin nxdx = cos nx
n 0 n2 2 0
2 2 n
= 2 2 [cos n cos 0] = 2 2 [(1) 1]
n n
= 0, n = even
4
= 2 2 , n = odd
n
bn = 0

Hence, we get the Fourier series expansion of f(x) as

1 X
f (x) = + [a2n+1 cos ((2n + 1) x)]
2 n=0

1 4 X cos ((2n + 1) x)
= 2 2
2 n=0 (2n + 1)

4 Solvability Analysis
Recall the self-adjoint boundary value problem

d2 u
= f (x) (4.1)
dx2
B1 (u) =0= B2 (u)

where f L2 [a, b] and B1 (u) and B2 (u) are the boundary conditions.
The associated eigenvalue problem is given by

d2
= (4.2)
dx2
B1 () =0= B2 ()

8
Let {1 , 2 , , n , } be eigenfunctions of L, corresponding to the eigenvalues
{1 , 2 , , n , }. They form the orthonormal basis for the space L2 [a, b].
We first note the following facts before we state the main theorem.
Fact 1 Let N (L) represent the null space of L. Then, u is an eigenvalue of L corrersponding to
zero eigenvalue iff N (L) = 0.
Fact 2 f L2 [a, b] has the following Fourier series representation

X
f= [fn n ] fn = hf, n i whereLn = n n 1 n (4.3)
n=1

Theorem 4.1. (i) The boundary value problem (4.1) has a solution iff f is orthogonal to N (L).
(ii) The boundary value problem (4.1) has a unique solution if N (L) = {0} and such a solution is
given by

X fn
u = [[ ][n ] wherefn = hf, n i, n 1 (4.4)
n=1
n

(iii) The boundary value problem (4.1) has infinitely many solutions if N (L) 6= {0} and f N (L)
and such a solution is given by

p
X X fn
u= cn n + [[ ]n ], cn <, 1 n p (4.5)
n=1 n=p+1
n

where L(n) = 0, 1 n p and Ln = n n , n p + 1, n 6= 0

Example 4.1. We now rexamine the solvability of the boundary value problem

d2 u
= f (x), u(0) = 0 = u(1)
dx2
where

1, 0 x < 1/2
f (x) =
1, 1/2 x 1
By Example 3.1, the above problem has n = n2 2 as its eigenvalues with corresponding
eigenfunctions as sin nx, n 1.
By using Theorem 4.1, we deduce that the above problrm has a unique solution as zero is not its
eigenvalue. and unique solution is represented as

X fn
u(x) = [ ] sin nx

n=1 n

where

hf, sin nxi

fn = , n = n2 2
k sin nxk2

This gives the solution u(x)

9

4 X 1
u(x) = sin (2(2n + 1)x)
p=0 2(2n + 1)3
3

Example 4.2. Let us consider the boundary value problem

d2 u
= f (x), u(0) = u(1), u0 (0) = u0 (1)
dx2
where

1, 0 x < 1/2
f (x) =
1, 1/2 x 1
In Example 3.3, we proved that the above boundary value problem has
(0, 1), {(4n2 2 , sin 2nx, cos 2nx)}n1 a set of (eigenvalue, eigenfunction) pairs.
By using the above theorem, we deduce that the above problem has infinitely many solutions as
1
Z 2
Z 1
hf, 0 i = dx + dx = 0
1
0 2

hence the general solution is represented as

X an bn
u(x) = c0 0 + [ [cos2nx] + [sin 2nx]]
n=1
n n

where

hf, cos 2nxi hf, sin 2nxi

an = , bn =
k cos 2nxk2 k sin 2nxk2

This gives

1
Z 1 Z 2
Z 1
an = 2 f (x) cos 2nxdx = 2[ cos 2nxdx + cos 2nxdx]
1
0 0 2

sin 2nx 12 sin 2nx 1

= 2[ |0 + |1 ]
2n 2n 2

2
= [(sin n sin 0) + (sin 2n sin n)]
2n
=0

1
Z 1 Z 2
Z 1
bn = 2 f (x) sin 2nxdx = 2[ sin 2nxdx + sin 2nxdx]
1
0 0 2

cos 2nx 12 cos 2nx 1

= 2[ |0 |1 ]
2n 2n 2

2
= [(cos n 1) (cos 2n cos n)]
2n
1 2
= [((1)n 1) (1 (1)n )] = [(1)n 1]
n n
= 0, n = even
4
= , n = odd
n

10
 4
Thus, an = 0 for all n and bn = 0 for all n even and b2n+1 = , n = 0, 1, 2, Hence, the
(2n + 1)
solution u(x) is given by

4 X 1
u(x) = c0 sin(2(2n + 1)x), c0 <
3 n=0 (2n + 1)3

11