Orthogonality Sturm-Liouville problems Eigenvalues and eigenfunctions

Introduction to Sturm-Liouville Theory

Ryan C. Daileda
Trinity University
Partial Dierential Equations
April 10, 2012
Daileda Sturm-Liouville Theory
Orthogonality Sturm-Liouville problems Eigenvalues and eigenfunctions
Inner products with weight functions
Suppose that w(x) is a nonnegative function on [a, b]. If f (x) and
g(x) are real-valued functions on [a, b] we dene their inner
product on [a, b] with respect to the weight w to be
f , g =
_
b
a
f (x)g(x)w(x) dx.
We say f and g are orthogonal on [a, b] with respect to the
weight w if
f , g = 0.
Remarks:
The inner product and orthogonality depend on the choice of
a, b and w.
When w(x) 1, these denitions reduce to the ordinary
ones.
Daileda Sturm-Liouville Theory
Orthogonality Sturm-Liouville problems Eigenvalues and eigenfunctions
Examples
1
The functions f
n
(x) = sin(nx) (n = 1, 2, . . .) are pairwise
orthogonal on [0, ] relative to the weight function w(x) 1.
2
Let J
m
be the Bessel function of the rst kind of order m, and
let
mn
denote its nth positive zero. Then the functions
f
n
(x) = J
m
(
mn
x/a) are pairwise orthogonal on [0, a] with
respect to the weight function w(x) = x.
3
The functions
f
0
(x) = 1, f
1
(x) = 2x, f
2
(x) = 4x
2
1, f
3
(x) = 8x
3
4x,
f
4
(x) = 16x
4
12x
2
+ 1, f
5
(x) = 32x
5
32x
3
+ 6x
are pairwise orthogonal on [1, 1] relative to the weight
function w(x) =

1 x
2
. They are examples of Chebyshev
polynomials of the second kind.
Daileda Sturm-Liouville Theory
Orthogonality Sturm-Liouville problems Eigenvalues and eigenfunctions
Series expansions
We have frequently seen the need to express a given function as a
linear combination of an orthogonal set of functions. Our
fundamental result generalizes to weighted inner products.
Theorem
Suppose that {f
1
, f
2
, f
3
, . . .} is an orthogonal set of functions on
[a, b] with respect to the weight function w. If f is a function on
[a, b] and
f (x) =

n=1
a
n
f
n
(x),
then the coecients a
n
are given by
a
n
=
f , f
n

f
n
, f
n

=
_
b
a
f (x)f
n
(x)w(x) dx
_
b
a
f
2
n
(x)w(x) dx
.
Daileda Sturm-Liouville Theory
Orthogonality Sturm-Liouville problems Eigenvalues and eigenfunctions
Remarks
The series expansion above is called a generalized Fourier
series for f , and a
n
are the generalized Fourier coecients.
It is natural to ask:
Where do orthogonal sets of functions come from?
To what extent is an orthogonal set complete, i.e. which
functions f have generalized Fourier series expansions?
In the context of PDEs, these questions are answered by
Sturm-Liouville Theory.
Daileda Sturm-Liouville Theory
Orthogonality Sturm-Liouville problems Eigenvalues and eigenfunctions
Sturm-Liouville equations
A Sturm-Liouville equation is a second order linear dierential
equation that can be written in the form
(p(x)y

+ (q(x) +r (x))y = 0.
Such an equation is said to be in Sturm-Liouville form.
Here p, q and r are specic functions, and is a parameter.
Because is a parameter, it is frequently replaced by other
variables or expressions.
Many familiar ODEs that occur during separation of
variables can be put in Sturm-Liouville form.
Example
Show that y

+y = 0 is a Sturm-Liouville equation.
We simply take p(x) = r (x) = 1 and q(x) = 0.
Daileda Sturm-Liouville Theory
Orthogonality Sturm-Liouville problems Eigenvalues and eigenfunctions
Example
Put the parametric Bessel equation
x
2
y

+ xy

+ (
2
x
2
m
2
)y = 0
in Sturm-Liouville form.
First we divide by x to get
xy

+ y

. .
(xy

+
_

2
x
m
2
x
_
y = 0.
This is in Sturm-Liouville form with
p(x) = x, q(x) =
m
2
x
, r (x) = x,
provided we write the parameter as
2
.
Daileda Sturm-Liouville Theory
Orthogonality Sturm-Liouville problems Eigenvalues and eigenfunctions
Example
Put Legendres dierential equation
y

2x
1 x
2
y

+

1 x
2
y = 0
in Sturm-Liouville form.
First we multiply by 1 x
2
to get
(1 x
2
)y

2xy

. .
((1x
2
)y

+y = 0.
This is in Sturm-Liouville form with
p(x) = 1 x
2
, q(x) = 0, r (x) = 1,
provided we write the parameter as .
Daileda Sturm-Liouville Theory
Orthogonality Sturm-Liouville problems Eigenvalues and eigenfunctions
Example
Put Chebyshevs dierential equation
(1 x
2
)y

xy

+ n
2
y = 0
in Sturm-Liouville form.
First we divide by

1 x
2
to get
_
1 x
2
y

1 x
2
y

. .
(

1x
2
y

+
n
2

1 x
2
y = 0.
This is in Sturm-Liouville form with
p(x) =
_
1 x
2
, q(x) = 0, r (x) =
1

1 x
2
,
provided we write the parameter as n
2
.
Daileda Sturm-Liouville Theory
Orthogonality Sturm-Liouville problems Eigenvalues and eigenfunctions
Sturm-Liouville problems
A Sturm-Liouville problem consists of
A Sturm-Liouville equation on an interval:
(p(x)y

+ (q(x) +r (x))y = 0, a < x < b, (1)

together with
Boundary conditions, i.e. specied behavior of y at x = a
and x = b.
We will assume that p, p

, q and r are continuous and p > 0 on

(at least) the open interval a < x < b.
According to the general theory of second order linear ODEs, this
guarantees that solutions to (1) exist.
Daileda Sturm-Liouville Theory
Orthogonality Sturm-Liouville problems Eigenvalues and eigenfunctions
Regularity conditions
A regular Sturm-Liouville problem has the form
(p(x)y

+ (q(x) +r (x))y = 0, a < x < b,

c
1
y(a) + c
2
y

(a) = 0, (2)
d
1
y(b) + d
2
y

(b) = 0, (3)
where:
(c
1
, c
2
) = (0, 0) and (d
1
, d
2
) = (0, 0);
p, p

, q and r are continuous on [a, b];

p and r are positive on [a, b].
The boundary conditions (2) and (3) are called separated
boundary conditions.
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Orthogonality Sturm-Liouville problems Eigenvalues and eigenfunctions
Example
The boundary value problem
y

+y = 0, 0 < x < L,
y(0) = y(L) = 0,
is a regular Sturm-Liouville problem (recall that p(x) = r (x) = 1
and q(x) = 0).
Example
The boundary value problem
((x
2
+ 1)y

+ (x +)y = 0, 1 < x < 1,

y(1) = y

(1) = 0,
is a regular Sturm-Liouville problem (here p(x) = x
2
+ 1, q(x) = x
and r (x) = 1).
Daileda Sturm-Liouville Theory
Orthogonality Sturm-Liouville problems Eigenvalues and eigenfunctions
Example
The boundary value problem
x
2
y

+ xy

+ (
2
x
2
m
2
)y = 0, 0 < x < a,
y(a) = 0,
is not a regular Sturm-Liouville problem.
Why not? Recall that when put in Sturm-Liouville form we had
p(x) = r (x) = x and q(x) = m
2
/x. There are several problems:
p and r are not positive when x = 0.
q is not continuous when x = 0.
The boundary condition at x = 0 is missing.
This is an example of a singular Sturm-Liouville problem.
Daileda Sturm-Liouville Theory
Orthogonality Sturm-Liouville problems Eigenvalues and eigenfunctions
Eigenvalues and eigenfunctions
A nonzero function y that solves the Sturm-Liouville problem
(p(x)y

+ (q(x) +r (x))y = 0, a < x < b,

(plus boundary conditions),
is called an eigenfunction, and the corresponding value of is
called its eigenvalue.
The eigenvalues of a Sturm-Liouville problem are the values
of for which nonzero solutions exist.
We can talk about eigenvalues and eigenfunctions for regular
or singular problems.
Daileda Sturm-Liouville Theory
Orthogonality Sturm-Liouville problems Eigenvalues and eigenfunctions
Example
Find the eigenvalues of the regular Sturm-Liouville problem
y

+y = 0, 0 < x < L,
y(0) = y(L) = 0,
This problem rst arose when separated variables in the 1-D wave
equation. We already know that nonzero solutions occur only when
=
n
=
n
2

2
L
2
(eigenvalues)
and
y = y
n
= sin
nx
L
(eigenfunctions)
for n = 1, 2, 3, . . .
Daileda Sturm-Liouville Theory
Orthogonality Sturm-Liouville problems Eigenvalues and eigenfunctions
Example
Find the eigenvalues of the regular Sturm-Liouville problem
y

+y = 0, 0 < x < L,
y(0) = 0, y(L) + y

(L) = 0,
This problem arose when we separated variables in the 1-D heat
equation with Robin conditions. We already know that nonzero
solutions occur only when
=
n
=
2
n
,
where
n
is the nth positive solution to
tanL = ,
and
y = y
n
= sin(
n
x)
for n = 1, 2, 3, . . .
Daileda Sturm-Liouville Theory
Orthogonality Sturm-Liouville problems Eigenvalues and eigenfunctions
Example
If m 0, nd the eigenvalues of the singular Sturm-Liouville
problem
x
2
y

+ xy

+ (
2
x
2
m
2
)y = 0, 0 < x < a,
y(0) is nite, y(a) = 0.
This problem arose when we separated variables in the vibrating
circular membrane problem. We know that nonzero solutions occur
only when
=
n
=

mn
a
,
where
mn
is the nth positive zero of the Bessel function J
m
, and
y = y
n
= J
m
(
n
x)
for n = 1, 2, 3, . . . (technically, the eigenvalues are
2
n
=
2
mn
/a
2
.)
Daileda Sturm-Liouville Theory
Orthogonality Sturm-Liouville problems Eigenvalues and eigenfunctions
The previous examples demonstrate the following general
properties of a regular Sturm-Liouville problem
(p(x)y

+ (q(x) +r (x))y = 0, a < x < b,

c
1
y(a) + c
2
y

(a) = 0, d
1
y(b) + d
2
y

(b) = 0.
Theorem
The eigenvalues form an increasing sequence of real numbers

1
<
2
<
3
<
with
lim
n

n
= .
Moreover, the eigenfunction y
n
corresponding to
n
is unique (up
to a scalar multiple), and has exactly n 1 zeros in the interval
a < x < b.
Daileda Sturm-Liouville Theory
Orthogonality Sturm-Liouville problems Eigenvalues and eigenfunctions
Another general property is the following.
Theorem
Suppose that y
j
and y
k
are eigenfunctions corresponding to
distinct eigenvalues
j
and
k
. Then y
j
and y
k
are orthogonal on
[a, b] with respect to the weight function w(x) = r (x). That is
y
j
, y
k
=
_
b
a
y
j
(x)y
k
(x)r (x) dx = 0.
This theorem actually holds for certain non-regular
Sturm-Liouville problems, such as those involving Bessels
equation.
Applying this result in the examples above we immediately
recover familiar orthogonality statements.
This result explains why orthogonality gures so prominently
in all of our work.
Daileda Sturm-Liouville Theory
Orthogonality Sturm-Liouville problems Eigenvalues and eigenfunctions
Examples
Example
Write down the conclusion of the orthogonality theorem for
y

+y = 0, 0 < x < L,
y(0) = y(L) = 0.
Since the eigenfunctions of this regular Sturm-Liouville problem are
y
n
= sin(nx/L), and since r (x) = 1, we immediately deduce that
_
L
0
sin
_
mx
L
_
sin
_
nx
L
_
dx = 0
for m = n.
Daileda Sturm-Liouville Theory
Orthogonality Sturm-Liouville problems Eigenvalues and eigenfunctions
Example
If m 0, write down the conclusion of the orthogonality theorem
for
x
2
y

+ xy

+ (
2
x
2
m
2
)y = 0, 0 < x < a,
y(0) is nite, y(a) = 0.
Since the eigenfunctions of this regular Sturm-Liouville problem are
y
n
= J
m
(
mn
x/a), and since r (x) = x, we immediately deduce
that
_
a
0
J
m
_

mk
a
x
_
J
m
_

m
a
x
_
x dx = 0
for k = .
Daileda Sturm-Liouville Theory