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LONDON MATHEMATICAL SOCIETY LECTURE NOTE SERIES
Managing Editor: Professor Miles Reid, Mathematics Institute, University of Warwick, UK

All the titles listed below can be obtained from good booksellers or from Cambridge University Press. For a complete series
listing visit www.cambridge.org/mathematics

218 Surveys in combinatorics, 1995, P. ROWLINSON (ed.)

220 Algebraic set theory, A. JOYAL & I. MOERDIJK
221 Harmonic approximation, S. J. GARDINER
222 Advances in linear logic, J.-Y. GIRARD, Y. LAFONT & L. REGNIER (eds)
223 Analytic semigroups and semilinear initial boundary value problems, KAZUAKI TAIRA
224 Computability, enumerability, unsolvability, S. B. COOPER, T. A. SLAMAN & S. S. WAINER (eds)
225 A mathematical introduction to string theory, S. ALBEVERIO et al.
226 Novikov conjectures, index theorems and rigidity I, S. FERRY, A. RANICKI & J. ROSENBERG (eds)
227 Novikov conjectures, index theorems and rigidity II, S. FERRY, A. RANICKI & J. ROSENBERG (eds)
228 Ergodic theory of Z d actions, M. POLLICOTT & K. SCHMIDT (eds)
229 Ergodicity for infinite dimensional systems, G. DA PRATO & J. ZABCZYK
230 Prolegomena to a middlebrow arithmetic of curves of genus 2, J. W. S. CASSELS & E. V. FLYNN
231 Semigroup theory and its applications, K. H. HOFMANN & M. W. MISLOVE (eds)
232 The descriptive set theory of Polish group actions, H. BECKER & A. S. KECHRIS
233 Finite fields and applications, S. COHEN & H. NIEDERREITER (eds)
234 Introduction to subfactors, V. JONES & V. S. SUNDER
235 Number theory 1993–94, S. DAVID (ed.)
236 The James forest, H. FETTER & B. G. DE BUEN
237 Sieve methods, exponential sums, and their applications in number theory, G. R. H. GREAVES et al.
238 Representation theory and algebraic geometry, A. MARTSINKOVSKY & G. TODOROV (eds)
240 Stable groups, F. O. WAGNER
241 Surveys in combinatorics, 1997, R. A. BAILEY (ed.)
242 Geometric Galois actions I, L. SCHNEPS & P. LOCHAK (eds)
243 Geometric Galois actions II, L. SCHNEPS & P. LOCHAK (eds)
244 Model theory of groups and automorphism groups, D. EVANS (ed.)
245 Geometry, combinatorial designs and related structures, J. W. P. HIRSCHFELD et al.
246 p-Automorphisms of finite p-groups, E. I. KHUKHRO
247 Analytic number theory, Y. MOTOHASHI (ed.)
248 Tame topology and o-minimal structures, L. VAN DEN DRIES
249 The atlas of finite groups: ten years on, R. CURTIS & R. WILSON (eds)
250 Characters and blocks of finite groups, G. NAVARRO
251 Gröbner bases and applications, B. BUCHBERGER & F. WINKLER (eds)
252 Geometry and cohomology in group theory, P. KROPHOLLER, G. NIBLO, R. STÖHR (eds)
253 The q-Schur algebra, S. DONKIN
254 Galois representations in arithmetic algebraic geometry, A. J. SCHOLL & R. L. TAYLOR (eds)
255 Symmetries and integrability of difference equations, P. A. CLARKSON & F. W. NIJHOFF (eds)
256 Aspects of Galois theory, H. VÖLKLEIN et al.
257 An introduction to noncommutative differential geometry and its physical applications 2ed, J. MADORE
258 Sets and proofs, S. B. COOPER & J. TRUSS (eds)
259 Models and computability, S. B. COOPER & J. TRUSS (eds)
260 Groups St Andrews 1997 in Bath, I, C. M. CAMPBELL et al.
261 Groups St Andrews 1997 in Bath, II, C. M. CAMPBELL et al.
262 Analysis and logic, C. W. HENSON, J. IOVINO, A. S. KECHRIS & E. ODELL
263 Singularity theory, B. BRUCE & D. MOND (eds)
264 New trends in algebraic geometry, K. HULEK, F. CATANESE, C. PETERS & M. REID (eds)
265 Elliptic curves in cryptography, I. BLAKE, G. SEROUSSI & N. SMART
267 Surveys in combinatorics, 1999, J. D. LAMB & D. A. PREECE (eds)
268 Spectral asymptotics in the semi-classical limit, M. DIMASSI & J. SJÖSTRAND
269 Ergodic theory and topological dynamics, M. B. BEKKA & M. MAYER
270 Analysis on Lie Groups, N. T. VAROPOULOS & S. MUSTAPHA
271 Singular perturbations of differential operators, S. ALBEVERIO & P. KURASOV
272 Character theory for the odd order theorem, T. PETERFALVI
273 Spectral theory and geometry, E. B. DAVIES & Y. SAFAROV (eds)
274 The Mandelbrot set, theme and variations, TAN LEI (ed.)
275 Descriptive set theory and dynamical systems, M. FOREMAN et al.
276 Singularities of plane curves, E. CASAS-ALVERO
277 Computational and geometric aspects of modern algebra, M. D. ATKINSON et al.
278 Global attractors in abstract parabolic problems, J. W. CHOLEWA & T. DLOTKO
279 Topics in symbolic dynamics and applications, F. BLANCHARD, A. MAASS & A. NOGUEIRA (eds)
280 Characters and automorphism groups of compact Riemann surfaces, T. BREUER
281 Explicit birational geometry of 3-folds, A. CORTI & M. REID (eds)
282 Auslander–Buchweitz approximations of equivariant modules, M. HASHIMOTO
283 Nonlinear elasticity, Y. FU & R. OGDEN (eds)
284 Foundations of computational mathematics, R. DEVORE, A. ISERLES & E. SÜLI (eds)
285 Rational points on curves over finite fields, H. NIEDERREITER & C. XING
286 Clifford algebras and spinors 2ed, P. LOUNESTO
287 Topics on Riemann surfaces and Fuchsian groups, E. BUJALANCE et al.
288 Surveys in combinatorics, 2001, J. HIRSCHFELD (ed.)
289 Aspects of Sobolev-type inequalities, L. SALOFF-COSTE
290 Quantum groups and Lie theory, A. PRESSLEY (ed.)
291 Tits buildings and the model theory of groups, K. TENT (ed.)
292 A quantum groups primer, S. MAJID
293 Second order partial differential equations in Hilbert spaces, G. DA PRATO & J. ZABCZYK
294 Introduction to operator space theory, G. PISIER
295 Geometry and integrability, L. MASON & YAVUZ NUTKU (eds)
296 Lectures on invariant theory, I. DOLGACHEV
297 The homotopy category of simply connected 4-manifolds, H.-J. BAUES
298 Higher operands, higher categories, T. LEINSTER
299 Kleinian groups and hyperbolic 3-manifolds, Y. KOMORI, V. MARKOVIC & C. SERIES (eds)
300 Introduction to Möbius differential geometry, U. HERTRICH-JEROMIN
301 Stable modules and the D(2)-problem, F. E. A. JOHNSON
302 Discrete and continuous nonlinear Schrödinger systems, M. J. ABLOWITZ, B. PRINARI & A. D. TRUBATCH
303 Number theory and algebraic geometry, M. REID & A. SKOROBOGATOV (eds)
304 Groups St Andrews 2001 in Oxford Vol. 1, C. M. CAMPBELL, E. F. ROBERTSON & G. C. SMITH (eds)
305 Groups St Andrews 2001 in Oxford Vol. 2, C. M. CAMPBELL, E. F. ROBERTSON & G. C. SMITH (eds)
306 Peyresq lectures on geometric mechanics and symmetry, J. MONTALDI & T. RATIU (eds)
307 Surveys in combinatorics 2003, C. D. WENSLEY (ed.)
308 Topology, geometry and quantum field theory, U. L. TILLMANN (ed.)
309 Corings and comodules, T. BRZEZINSKI & R. WISBAUER
310 Topics in dynamics and ergodic theory, S. BEZUGLYI & S. KOLYADA (eds)
311 Groups: Topological, combinatorial and arithmetic aspects, T. W. MÜLLER (ed.)
312 Foundations of computational mathematics, Minneapolis 2002, FELIPE CUCKER et al. (eds)
313 Transcendantal aspects of algebraic cycles, S. MÜLLER-STACH & C. PETERS (eds)
314 Spectral generalizations of line graphs, D. CVETKOVIĆ, P. ROWLINSON & S. SIMIĆ
315 Structured ring spectra, A. BAKER & B. RICHTER (eds)
316 Linear logic in computer science, T. EHRHARD et al. (eds)
317 Advances in elliptic curve cryptography, I. F. BLAKE, G. SEROUSSI & N. SMART
318 Perturbation of the boundary in boundary-value problems of partial differential equations, DAN HENRY
319 Double affine Hecke algebras, I. CHEREDNIK
320 L-functions and Galois representations, D. BURNS, K. BUZZARD & J. NEKOVÁŘ (eds)
321 Surveys in modern mathematics, V. PRASOLOV & Y. ILYASHENKO (eds)
322 Recent perspectives in random matrix theory and number theory, F. MEZZADRI, N. C. SNAITH (eds)
323 Poisson geometry, deformation quantisation and group representations, S. GUTT et al. (eds)
324 Singularities and computer algebra, C. LOSSEN & G. PFISTER (eds)
325 Lectures on the Ricci flow, P. TOPPING
326 Modular representations of finite groups of Lie type, J. E. HUMPHREYS
328 Fundamentals of hyperbolic manifolds, R. D. CANARY, A. MARDEN & D. B. A. EPSTEIN (eds)
329 Spaces of Kleinian groups, Y. MINSKY, M. SAKUMA & C. SERIES (eds)
330 Noncommutative localization in algebra and topology, A. RANICKI (ed.)
331 Foundations of computational mathematics, Santander 2005, L. PARDO, A. PINKUS, E. SULI & M. TODD (eds)
332 Handbook of tilting theory, L. ANGELERI HÜGEL, D. HAPPEL & H. KRAUSE (eds)
333 Synthetic differential geometry 2ed, A. KOCK
334 The Navier–Stokes equations, P. G. DRAZIN & N. RILEY
335 Lectures on the combinatorics of free probability, A. NICA & R. SPEICHER
336 Integral closure of ideals, rings, and modules, I. SWANSON & C. HUNEKE
337 Methods in Banach space theory, J. M. F. CASTILLO & W. B. JOHNSON (eds)
338 Surveys in geometry and number theory, N. YOUNG (ed.)
339 Groups St Andrews 2005 Vol. 1, C. M. CAMPBELL, M. R. QUICK, E. F. ROBERTSON & G. C. SMITH (eds)
340 Groups St Andrews 2005 Vol. 2, C. M. CAMPBELL, M. R. QUICK, E. F. ROBERTSON & G. C. SMITH (eds)
341 Ranks of elliptic curves and random matrix theory, J. B. CONREY, D. W. FARMER, F. MEZZADRI &
N. C. SNAITH (eds)
342 Elliptic cohomology, H. R. MILLER & D. C. RAVENEL (eds)
343 Algebraic cycles and motives Vol. 1, J. NAGEL & C. PETERS (eds)
344 Algebraic cycles and motives Vol. 2, J. NAGEL & C. PETERS (eds)
345 Algebraic and analytic geometry, A. NEEMAN
346 Surveys in combinatorics, 2007, A. HILTON & J. TALBOT (eds)
347 Surveys in contemporary mathematics, N. YOUNG & Y. CHOI (eds)
348 Transcendental dynamics and complex analysis, P. RIPPON & G. STALLARD (eds)
349 Model theory with applications to algebra and analysis Vol 1, Z. CHATZIDAKIS, D. MACPHERSON,
A. PILLAY & A. WILKIE (eds)
350 Model theory with applications to algebra and analysis Vol 2, Z. CHATZIDAKIS, D. MACPHERSON,
A. PILLAY & A. WILKIE (eds)
351 Finite von Neumann algebras and masas, A. SINCLAIR & R. SMITH
352 Number theory and polynomials, J. MCKEE & C. SMYTH (eds)
353 Trends in stochastic analysis, J. BLATH, P. MÖRTERS & M. SCHEUTZOW (eds)
354 Groups and analysis, K. TENT (ed)
355 Non-equilibrium statistical mechanics and turbulence, J. CARDY, G. FALKOVICH & K. GAWEDZKI,
S. NAZARENKO & O. V. ZABORONSKI (eds)
356 Elliptic curves and big Galois representations, D. DELBOURGO
357 Algebraic theory of differential equations, M. A. H. MACCALLUM & A. V. MIKHAILOV (eds)
359 Moduli spaces and vector bundles, L. BRAMBILA-PAZ, S. B. BRADLOW, O. GARCÍA-PRADA &
S. RAMANAN (eds)
361 Words: Notes on verbal width in groups, D. SEGAL
363 Foundations of computational mathematics, Hong Kong 2008, F. CUCKER, A. PINKUS & M. J. TODD (eds)
 London Mathematical Society Lecture Note Series: 366

Highly Oscillatory Problems

Edited by
BJORN ENGQUIST
University of Texas, Austin

ATHANASIOS FOKAS
University of Cambridge

ERNST HAIRER
Université de Genève

ARIEH ISERLES
University of Cambridge
 cambridge university press
Cambridge, New York, Melbourne, Madrid, Cape Town, Singapore, São Paulo, Delhi
Cambridge University Press
The Edinburgh Building, Cambridge CB2 8RU, UK
Published in the United States of America by Cambridge University Press, New York

www.cambridge.org
Information on this title: www.cambridge.org/9780521134439

C Cambridge University Press 2009

This publication is in copyright. Subject to statutory exception

and to the provisions of relevant collective licensing agreements,
no reproduction of any part may take place without
the written permission of Cambridge University Press.

First published 2009

Printed in the United Kingdom at the University Press, Cambridge

A catalogue record for this publication is available from the British Library

ISBN 978-0-521-13443-9 paperback

Cambridge University Press has no responsibility for the persistence or

accuracy of URLs for external or third-party internet websites referred to
in this publication, and does not guarantee that any content on such
websites is, or will remain, accurate or appropriate.
 Contents

Preface page vii

1 Oscillations over long times in numerical Hamiltonian
systems E. Hairer & C. Lubich 1
1 Introduction 1
2 Backward error analysis 3
3 Modulated Fourier expansion 7
4 Nonlinear wave equation 16
5 Linear multistep methods 19
2 Highly oscillatory quadrature D. Huybrechs & S. Olver 25
1 Introduction 25
2 Asymptotics 28
3 Filon method 33
4 Levin collocation method 39
5 Steepest descent methods 43
6 Other methods 46
3 Rapid function approximation by modified Fourier series
D. Huybrechs & S. Olver 51
1 Introduction 51
2 Univariate approximation 53
3 Polyharmonic approximation 60
4 Multivariate approximation 62
5 Convergence acceleration 66
6 Concluding remarks 69
4 Approximation of high frequency wave propagation
problems M. Motamed & O. Runborg 72
1 Introduction 72
2 Geometrical optics 74

v
vi Contents

3 Geometrical theory of diffraction 82

5 Wavelet-based numerical homogenization B. Engquist
& O. Runborg 98
1 Introduction 98
2 Projection generated homogenization 103
3 Wavelet-based numerical homogenization 105
4 Numerical examples 115
6 Plane wave methods for approximating the time
harmonic wave equation T. Luostari, T. Huttunen
& P. Monk 127
1 Introduction 127
2 Derivation of the UWVF 131
3 Discretization of the UWVF 135
4 Analysis of the UWVF 138
5 Numerical implementation and results for the UWVF 141
6 Conclusion 149
7 Boundary integral methods in high frequency scattering
S.N. Chandler-Wilde & I.G. Graham 154
1 Introduction 154
2 Hybrid approximation spaces 160
3 Stability and conditioning 176
4 Implementation 187
8 Novel analytical and numerical methods for elliptic
boundary value problems A.S. Fokas & E.A. Spence 194
1 Introduction 194
2 The derivations of integral representations 200
3 The elimination of the unknown boundary values
using algebraic manipulations 205
4 Formulation of Riemann–Hilbert problems 223
5 A new numerical method 226
 Preface

High oscillation is everywhere and it is difficult to compute. The con-

junction of these two statements forms the rationale of this volume and
it is therefore appropriate to deliberate further upon them.
Rapidly oscillating phenomena occur in electromagnetics, quantum
theory, fluid dynamics, acoustics, electrodynamics, molecular modelling,
computerised tomography and imaging, plasma transport, celestial me-
chanics – and this is a partial list! The main reason to the ubiquity of
these phenomena is the presence of signals or data at widely different
scales. Typically, the slowest signal is the carrier of important infor-
mation, yet it is overlayed with signals, usually with smaller amplitude
but with considerably smaller wavelength (cf. the top of Fig. 1). This
presence of different frequencies renders both analysis and computation
considerably more challenging. Another example of problems associated
with high oscillation is provided by the wave packet at the bottom of
Fig. 1 and by other phenomena which might appear dormant (or progress
sedately, at measured pace) for a long time, only to demonstrate sud-
denly (and often unexpectedly) much more hectic behaviour.
The difficulty implicit in high oscillation becomes a significant stum-
bling block once we attempt to produce reliable numerical results. In
principle, the problem can be alleviated by increasing the resolution of
the computation (the step size, spatial discretization parameter, number
of modes in an expansion, the bandwidth of a filter), since high oscil-
lation is, after all, an artefact of resolution: zoom in sufficiently and
all signals oscillate slowly. Except that such ‘zooming in’ requires huge
computer resources and the sheer volume of computations, even were it
possible, would have led to an unacceptable increase of error because of
the roundoff error accumulation.
The situation is reminiscent, yet very different, of the phenomenon of
transient behaviour, commonly associated with stiff ordinary differential
equations or with boundary layers for singularly perturbed partial dif-
ferential equations. In those cases a differential system undergoes a brief
but very intensive change over a small domain of the independent vari-
ables. Away from this domain the solution settles down to its asymptotic
behaviour, typically at an exponential rate. In that case it is enough to

vii
viii Preface

0.5

−0.5

−1
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1

0.5

−0.5

−1
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1

Fig. 1 Two highly oscillatory signals.

filter the contribution of transiency (or use a numerical method that

dampens transient components). Not so with high oscillation, because
this is a persistent phenomenon which stretches out over a large part of
the computational domain. We cannot banish it by mesh refinement in
the domain of rapid change and then just apply a stable algorithm. In
a sense, the entire computational domain is in a transient phase.
Numerical analysis of differential equations is, at its very core, based
upon Taylor expansions. Although often disguised by the formalism of
order or of Sobolev-space inequalities, Taylor expansions are the main
organising principle in the design of numerical methods and a criterion
for their efficacy. Thus, typically numerical error scales as a derivative
(or an elementary differential, or a norm of the derivative. . . ). And this
is precisely why standard numerical methods experience severe problems
in the presence of high oscillation.
Our point is illustrated in Fig. 2 by the function

sin 2πx 1
f (x) = + 10 Ai(−100x),
1 + 2x
 Preface ix

0.5
The function

−0.5
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1

20
First derivative

−20
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
4
x 10
2
Second derivative

−2
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1

Fig. 2 A highly oscillatory function and its derivatives.

where Ai( · ) is the Airy function. Note that the function f itself is
basically a gently decaying sinusoid, with small-amplitude, yet increas-
ingly rapid oscillations superimposed. For all intents and purposes, it
is the sinusoid that is likely to describe whatever natural phenomenon
we attempt to model. Yet, once we start differentiating f , the ampli-
tude associated with the highly oscillating Airy function is magnified
rapidly. Suppose that f is a solution of a differential equation which we
attempt to discretize by any classical numerical method: multistep or
Runge–Kutta, say. The error of a pth-order method scales like a (p+1)st
power of the step size times the (p + 1)st derivative (or a linear combi-
nation of elementary differentials including the derivative in question).
This imposes severe restrictions on the step size, which rapidly lead to
unacceptable computational cost.
No wonder, thus, that high oscillation in computation has been at
worst disregarded and eliminated from the mathematical model by fiat,
at best approached by a fairly unstructured bag of tricks and ad hoc
ideas. The motivation for the six-months’ long programme on “Highly
x Preface

oscillatory problems: Computation, theory and applications” at the

Isaac Newton Institute of Mathematical Sciences (January–July 2007)
was to provide an overarching setting for research focusing on high os-
cillation. Thus, rather than dealing with highly oscillatory phenomena
separately in each application, we have attempted to provide a broader,
synergistic approach, with high oscillation – its analysis and computa-
tion – at the centre of attention.
At the outset of the programme we have identified a number of sig-
nificant threads and challenges in high oscillation research to provide a
focus for our deliberations:

Homogenization Many large scale physical problems involve highly

oscillatory solutions that involve many non-separable scales. Examples
include applications from environmental and geosciences, combustion,
fluid dynamics, plasma physics, materials science, and biological appli-
cations. A key mathematical difficulty is that the problem has no scale
separation, so traditional asymptotic methods fail to yield useful mod-
els. New systematic multiscale analysis needs to be developed that can
account for interaction of infinitely many non-separable scales. Such
analysis will shed useful light in designing accurate and reliable multi-
scale models. One approach is to develop a new homogenization theory
that applies to nonlinear dynamic problems without scale separation.
This can be achieved by using the two-scale analysis iteratively in space
and incrementally in time.
Future advances in multiscale modeling and computation require rig-
orous mathematical analysis to quantify modelling error across scales,
approximation error within each scale, uncertainty error, and to ad-
dress the well-posedness of the multiscale model. An important issue is
to derive a rigorous microscopic interface condition that connects large
scales to small scales, or connects continuum model to subgrid micro-
scopic model. It is in general easier to derive a local interface condition
for elliptic or diffusion equations, because there is a strong localization
of small scale interaction for diffusion dominated processes. Deriving
accurate interface condition for convection-dominated transport or hy-
perbolic problems is more difficult due to the nonlocal memory effect:
in this case, small scales are propagated along characteristics. Upscal-
ing the saturation equation for two-phase flow in heterogeneous porous
media is considerably more difficult mathematically than solving the
pressure equation. While various ad hoc upscaling models have been
proposed by engineers, there is still lack of a systematic derivation of
 Preface xi

upscaling models for two-phase flow with rigorous error control. Upscal-
ing the nonlinear convection-dominated transport problem provides an
excellent prototype problem for developing a dynamic multiscale com-
putational method with error control.
Asymptotic theory In recent years substantial progress has been
made in the analysis of Riemann–Hilbert (RH) problems containing
highly oscillatory integrals. Such RH problems arise in a variety of
mathematical formulations including inverse scattering, initial-boundary
value problems for linear and integrable nonlinear partial differential
equations, the isomonodromy method, orthogonal polynomials and ran-
dom matrices. The question of extracting useful asymptotic information
from these formulations, reduces to the question of studying the asymp-
totic behaviour of RH problems involving highly oscillatory integrals.
The latter question can be rigorously investigated using the nonlinear
steepest descent asymptotic technique introduced in the beginning of
the 90’s by P. Deift and X. Zhou.
Another important development in asymptotic theory, which was the
subject of a highly successful INI programme in 1995, is exponential
asymptotics. It leads to considerably tighter and more powerful asymp-
totic estimates and tremendous speedup in the convergence of asymp-
totic series. In the specific context of scientific computation, this creates
the prospect of techniques originating in exponential asymptotics for
better computation of special functions, differential equations and inte-
grals.
Symplectic algorithms The numerical solution of Hamiltonian dif-
ferential equations is one of the central themes in geometric numerical
integration. By interpreting the numerical approximation as the exact
solution of a modified differential equation (backward error analysis),
much insight into the long-time behaviour of symplectic and symmetric
integrators is obtained. Unfortunately, in the presence of highly oscilla-
tory solutions, this theory breaks down and new techniques have to be
found. For some important situations (Fermi–Pasta–Ulam-like models
for molecular dynamics simulations), where the high frequencies stem
from a linear part in the differential equation, it is known that the exact
flow has adiabatic invariants corresponding to actions (oscillatory en-
ergies divided by frequencies). The technique of modulated Fourier ex-
pansions has been developed to study the preservation of such adiabatic
invariants by simulations. Numerical methods that nearly preserve the
total energy and such adiabatic invariants are very important, because
xii Preface

in realistic applications the solution is very sensitive to perturbations

in initial values, so that it is not possible to control the global error
of the approximation. Difficulties arise with resonant frequencies, nu-
merical resonances, high dimensions as obtained with discretizations of
nonlinear wave equations, and one is interested to get more insight in
such situations. Problems where the high oscillations come from a time-
dependent or nonlinear part of the differential equation are still more
difficult to analyse and to treat numerically.
Integral expansion methods Changing locally the variables with
respect to a rapidly-rotating frame of reference results in differential
systems of the form ∂u/∂t = A(t)u + g(u), where the elements of the
matrix A themselves oscillate rapidly, while g is, in some sense, small.
Such systems can be computed very effectively by time-stepping meth-
ods that expand the solution by means of integral series: the main idea is
that, integration being a smoothing operator, integral series converges
significantly faster in the presence of oscillations. Two types of such
methods have been recently the object of much attention. Firstly, Mag-
nus, Cayley and Neumann expansions: the first two have been devel-
oped in the context of Lie-group methods and they possess remarkable
structure-preserving features. The latter, known in physics as the Dyson
expansion, is commonly dismissed as ineffective but it comes into its own
in the presence of oscillations. The second (and related!) type of inte-
gral methods are exponential integrators, which represent the solution
using variation of constants and employ, sometimes in succession, differ-
ent discretization methods on the “linear but large” and “nonlinear but
small” parts. Such methods have proved themselves in practice in the
last few years but much work remains in harnessing them for the highly
oscillatory setting.
Highly oscillatory quadrature Practical computation of integral
expansions and exponential integrators with highly oscillatory kernels
calls for efficient quadrature methods in one or several dimensions. His-
torically, this was considered very difficult and expensive – wrongly.
Using appropriate asymptotic expansions and new numerical methods,
it is possible to compute highly oscillating integrals very inexpensively
indeed: rapid oscillation, almost paradoxically, renders quadrature much
cheaper and more precise! The implications of such methods, which are
presently subject to a very active research effort, are clear in the con-
text of the above integral expansions. Wider implications are a matter
of conjecture, as are the connections of these methods with exponential
 Preface xiii

asymptotics, harmonic analysis and, in a multivariate setting, degree

theory. Insofar as applications are concerned, highly oscillatory quadra-
ture is central to calculations in electrodynamic and acoustic scattering
and with wide range of other applications in fluid dynamics, molecular
modelling and beyond.
The purpose of the INI programme was to bring together specialists
in all these specialities (and beyond), to weave the distinct threads into
a seamless theory of high oscillation. We have never laboured under the
illusion that six months of an intensive exchange of ideas will somehow
produce such a theory: rather more modestly, we have hoped at the
first instance to open channels of communication, establish a dialogue
and lay the foundations for future work. This, we believe, has been
accomplished in a most outstanding manner.
The setting of the Isaac Newton Institute – its location, architecture,
facilities and, perhaps most importantly, its very efficient and helpful
staff – make it an ideal venue for collaborative projects. We have taken
advantage of this to the fullest. For the first time ever high oscillation has
been approached in a concerted manner not as an appendix to another
activity or to an application but as a subject matter of its own. The eight
review papers in this volume revisit in their totality the main themes
of the programme. Carefully reading between the lines, it is possible
to discern the impact of our six-months’-long conversation on different
aspects of high oscillation research. We have every reason to believe
that this impact is bound to progress and grow in leaps and bounds.
The INI programme was a first step in what is a long journey toward
the goal of understanding high oscillation in its analytic, computational
and applied aspects. This volume is a first way-station on this journey.
This is the moment to thank the staff of the Isaac Newton Institute
for their unstinting help and the 120 participants of the programme for
their many contributions to its success.
We hope that this volume acts as a window to the fascinating world of
computational high oscillation, sketching challenges, describing emerg-
ing methodologies and pointing the way to future research.

Björn Engquist
Athanasios Fokas
Ernst Hairer
Arieh Iserles
 1
Oscillations over long times in numerical
Hamiltonian systems
Ernst Hairer
Dept. de Mathématiques, Université de Genève
CH-1211 Genève 4
Switzerland
Email: [email protected]

Christian Lubich
Mathematisches Institut
Universität Tübingen
D-72076 Tübingen
Germany
Email: [email protected]

1 Introduction
The numerical treatment of ordinary differential equations has continued
to be a lively area of numerical analysis for more than a century, with
interesting applications in various fields and rich theory. There are three
main developments in the design of numerical techniques and in the
analysis of the algorithms:

• Non-stiff differential equations. In the 19th century (Adams, Bash-

forth, and later Runge, Heun and Kutta), numerical integrators have
been designed that are efficient (high order) and easy to apply (ex-
plicit) in practical situations.
• Stiff differential equations. In the middle of the 20th century one
became aware that earlier developed methods are impractical for a
certain class of differential equations (stiff problems) due to stability
restrictions. New integrators (typically implicit) were needed as well
as new theories for a better understanding of the algorithms.
• Geometric numerical integration. In long-time simulations of Hamil-
tonian systems (molecular dynamics, astronomy) neither classical ex-
plicit methods nor implicit integrators for stiff problems give satisfac-
tory results. In the last few decades, special numerical methods have
been designed that preserve the geometric structure of the exact flow
and thus have an improved long-time behaviour.

1
2 E. Hairer & C. Lubich

The basic developments (algorithmic and theoretical) of these epochs

are documented in the monographs [HNW93], [HW96], and [HLW06].
Within geometric numerical integration we can also distinguish between
non-stiff and stiff situations. Since here the main emphasis is on con-
servative Hamiltonian systems, the term “stiff” has to be interpreted as
“highly oscillatory”.
The present survey is concerned with geometric numerical integra-
tion with emphasis on theoretical insight for the long-time behaviour of
numerical solutions. There are several degrees of difficulty:

• Non-stiff Hamiltonian systems — backward error analysis. The

main theoretical tool for a better understanding of the long-time be-
haviour of numerical methods for structured problems is backward
error analysis (Sect. 2). Rigorous statements over exponentially long
times have been obtained in [BG94, HL97, Rei99] for symplectic in-
tegrators. Unfortunately, the analysis is restricted to the non-stiff
situation, and does not provide any information for problems with
high oscillations.
• Highly oscillatory problems — modulated Fourier expansion. The
main part of this survey treats Hamiltonian systems of the form

q̈ + Ω2 q = −∇U (q), (1.1)

where Ω is a diagonal matrix with real entries between 0 and a large

ω, and U (q) is a smooth potential function. The additional difficulty
is the presence of two time scales, and the crucial role of harmonic
actions in the long-time analysis. Basic work for the analytic solution
is in [BGG87]. Section 3 presents the technique of modulated Fourier
expansions which permits to prove simultaneously the conservation of
energy and actions for the analytic and the numerical solution (where
the product of the time step size and ω is of size one or larger). This
is developed in [HL01, CHL03] for one high frequency and in [CHL05]
for several high frequencies.
• Non-linear wave equations. An extension to infinite dimension with
arbitrarily large frequencies permits to treat the long-time behaviour
of one-dimensional semi-linear wave equations. Long-time conser-
vation of harmonic actions along the analytic solution is studied in
[Bou96, Bam03]. The technique of modulated Fourier expansion yields
new insight into the long-time behaviour of the analytic solution
[CHL08b], of pseudo-spectral semi-discretizations [HL08], and of full
discretizations [CHL08a]. This is discussed in Sect. 4.
 Oscillations over long times in numerical Hamiltonian systems 3

In Sect. 5, an interesting analogy between highly oscillatory differen-

tial equations and linear multistep methods for non-stiff problems q̈ =
−∇U (q) is established (see [HL04]). The inverse of the step size plays
the role of ω, and the parasitic solutions of the multistep method corre-
spond to high oscillations in the solution of (1.1). The near conservation
of the harmonic actions thus yields the bounded-ness of the parasitic
solutions over long times, and permits to prove that special linear mul-
tistep methods are suitable for the long-time integration of Hamiltonian
systems (like those arising in the computation of planetary motion).

2 Backward error analysis

An important tool for a better understanding of the long-time behaviour
of numerical methods for ordinary differential equations is backward
error analysis. We present the main ideas, some important consequences,
and also its limitations in the case of highly oscillatory problems.

2.1 General idea

The principle applies to general ordinary differential equations ẏ = f (y)
and to general (numerical) one-step methods yn +1 = Φh (yn ), such as
Runge–Kutta, Taylor series, composition and splitting methods. It con-
sists in searching for a modified differential equation
ż = fh (z) = f (z) + hf2 (z) + h2 f3 (z) + · · · , z(0) = y0 , (2.1)
where the vector field is written as a formal series in powers of the step
size h, such that the numerical solution for the original problem is equal
(in the sense of formal power series) to the exact solution of the modified
differential equation (see Fig. 1).

ẏ = f (y) nume
rical
meth z
od y 0 , y1 , y2 , y3 , . . .
=
: z(0), z(h), z(2h), . . .
exact
ż = fh (z) ion
solut

Fig. 1. Idea of backward error analysis

To obtain the coefficient

 functions fj (y), we note that we have the
relation z(t+h) = Φh z(t) for the (formal) solution of (2.1). Expanding
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