Notes PDF

Lecture Notes on
NUMERICAL ANALYSIS
of
OF NONLINEAR EQUATIONS
Eusebius Doedel
1
Persistence of Solutions
We discuss the persistence of solutions to nonlinear equations.
Newtons method for solving a nonlinear equation

G(u) = 0 ,
G() , u Rn ,
may not converge if the initial guess is not close to a solution.
To alleviate this problem one can introduce an artificial homotopy parameter in the equation.
Actually, most equations already have parameters.
We discuss the persistence of solutions to such parameter-dependent equations.

3
The Implicit Function Theorem

Let G : Rn R Rn satisfy
(i)
G(u0 , 0 ) = 0 ,
u0 Rn ,
0 R .
(ii)
Gu (u0 , 0 ) is nonsingular (i.e., u0 is an isolated solution) ,
(iii)
G and Gu are smooth near u0 .
Then there exists a unique, smooth solution family u() such that
G(u(), ) = 0 ,
u(0 ) = u0 .
PROOF :
for all near 0 ,
See a good Analysis book

4
EXAMPLE: (AUTO demo hom.)

Let
g(u, ) = (u2 1) (u2 4) + u2 ecu ,
where c is fixed, e.g., c = 0.1 .

When = 0 the equation
g(u, 0) = 0 ,
has four solutions, namely,

u = 1 ,
We have
gu (u, )
=0
and

d
(u, )
=0
du
u = 2 .
=
4u3 10u .
Since
gu (u, 0) = 4u3 10u ,
we have
gu (1, 0) = 6 ,
gu ( 1, 0) = 6 ,
gu (2, 0) = 12 ,
gu ( 2, 0) = 12 ,
which are all nonzero.

Hence each of the four solutions when = 0 is isolated .
Thus each of these solutions persists as becomes nonzero,

( at least for small values of | | ).
2
0.0
0.2
0.4
0.6
0.8
Four solution families of g(u, ) = 0 . Note the fold.

7
1.0
NOTE:
Each of the four solutions at = 0 is isolated .
Thus each of these solutions persists as becomes nonzero.
Only two of the four homotopies reach = 1 .
The two other homotopies meet at a fold .
IFT condition (ii) is not satisfied at this fold. (Why not?)
Consider the equation

G(u, ) = 0 ,
Let
u , G(, ) Rn ,
R.
x (u , ) .
Then the equation can be written

G(x) = 0 ,
G : Rn+1 Rn .
DEFINITION.
A solution x0 of G(x) = 0 is regular if the matrix
G0x Gx (x0 ) ,
has maximal rank, i.e., if
(with n rows and n + 1 columns)

Rank(G0x ) = n .
In the parameter formulation,

G(u, ) = 0 ,
we have
Rank(G0x ) = Rank(G0u | G0 ) = n
(i) G0u is nonsingular,

or
dim N (G0u ) = 1 ,
(ii) and
G0 6 R(G0u ) .
Above,
N (G0u ) denotes the null space of G0u ,
and
R(G0u ) denotes the range of G0u ,
i.e., the linear space spanned by the n columns of G0u .
10
THEOREM. Let
x0 ( u0 , 0 )
be a regular solution of
G(x) = 0 .
Then, near x0 , there exists a unique one-dimensional solution family

x(s)
with x(0) = x0 .
PROOF. Since
Rank( G0x ) = Rank( G0u | G0 ) = n ,
then either G0u is nonsingular and by the IFT we have
u = u() near x0 ,
or else we can interchange colums in the Jacobian G0x to see that the solution
can locally be parametrized by one of the components of u .
Thus a unique solution family passes through a regular solution.
11
NOTE:
Such a solution family is sometimes also called a solution branch .

Case (ii) above is that of a simple fold , to be discussed later.
Thus even near a simple fold there is a unique solution family.
However, near such a fold, the family can not be parametrized by .
12
EXAMPLE: The A B C reaction.
(AUTO demo abc.)
The equations are

u01
= u1 + D(1 u1 )eu3 ,
u02
= u2 + D(1 u1 )eu3 Du2 eu3 ,
u03
= u3 u3 + DB(1 u1 )eu3 + DBu2 eu3 ,
where
1 u1 is the concentration of A ,
u2 is the concentration of B ,
u3 is the temperature,
= 1 , = 0.04 , B = 8 ,
D is the Damkohler number ,
= 1.21 is the heat transfer coefficient .
We compute stationary solutions for varying D.

13
8
4
7
6
L2 -norm
5
4
3
2
2
1
0
0.110
0.115
0.120
0.125
0.130
0.135
0.140
0.145
0.150
Damkohler number
Stationary solution families of the A B C reaction for = 1.15.

Solid/dashed lines denote stable/unstable solutions.
The red square denotes a Hopf bifurcation.
(AUTO demo abc). Note the two folds .
14
Examples of IFT Application
Here we give examples where the IFT shows that a given solution persists, at
least locally, when a problem parameter is changed. We also identify some cases
where the conditions of the IFT are not satisfied.
15
A Predator-Prey Model
(AUTO demo pp2.)
5u1
u01 =
3u1 (1 u1 ) u1 u2 (1 e
u02 =
u2 + 3u1 u2 .
),
Here u1 may be thought of as fish and u2 as sharks, while the term

(1 e
5u1
),
represents fishing, with fishing-quota .

When = 0 the stationary solutions are
3u1 (1 u1 ) u1 u2
u2 + 3u1 u2
= 0
= 0
1
(u1 , u2 ) = (0, 0) , (1, 0) , ( , 2) .
3
16
The Jacobian matrix is

Gu =
5u1
3 6u1 u2 5e
3u2
Gu (0, 0; 0) =
Gu (1, 0; 0) =
1
Gu ( , 2; 0) =
3
1
6
3
0
0 1
3 1
0
2
13
u1
1 + 3u1
= Gu (u1 , u2 ; ) .
; eigenvalues 3,-1 (unstable) .

!
; eigenvalues -3,2 (unstable) .
; eigenvalues
(1 )() + 2 = 0
2 + + 2 = 0
= 12 7
Re( ) < 0 (stable) .
All three Jacobians at = 0 are nonsingular.

Thus, by the IFT, all three stationary points persist for (small) 6= 0 .
17
In this problem we can explicitly find all solutions (see Figure 1) :

Branch I :
(u1 , u2 ) = (0, 0) .
Branch II :
u2 = 0 ,
(Note that
Branch III :
u1 =
1
,
3
lim
u1
3u1 (1 u1 )
.
1 e5u1
3(1 2u1 )
3
= lim
=
.)
5u
1
u1 0
5e
5
=
2
1
u2 (1 e5/3 ) = 0 u2 = 2 3(1 e5/3 ) .
3
3
These solution families intersect at two branch points, one of which is

(u1 , u2 , ) = (0, 0, 3/5) .
18
0.75
fish0.50
0.25
0.00
1.5
sh
a
1.0
rk
s
0.5
0.0
0.8 0.9
0.6 0.7
0.5
0.4
a
quot
0.2 0.3
0.0 0.1
Figure 1: Stationary solution families of the predator-prey model. Solid/dashed

lines denote stable/unstable solutions. Note the fold , the bifurcations (open
squares), and the Hopf bifurcation (red square).
19
0.8
fish
0.6
0.4
0.2
0.0
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
quota
Figure 2: Stationary solution families of the predator-prey model, showing fish

versus quota. Solid/dashed lines denote stable/unstable solutions.
20
Stability of branch I :
Gu ((0, 0); ) =
3 5
0
0
1
eigenvalues 3 5, 1 .
Hence the trivial solution is :

unstable if < 3/5 ,
and
stable if > 3/5 ,
as indicated in Figure 2.
Stability of branch II :
This family has no stable positive solutions.
21

At
Stability of branch III :

H 0.67 ,
(the red square in Figure 2) the complex eigenvalues cross the imaginary axis.
This crossing is a Hopf bifurcation, a topic to be discussed later.
Beyond H there are periodic solutions whose period T increases as increases. (See Figure 4 for some representative periodic orbits.)
The period becomes infinite at = 0.70 .
This final orbit is called a heteroclinic cycle.
22
0.8
max fish
0.6
0.4
0.2
0.0
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
quota
Figure 3: Stationary (blue) and periodic (red) solution families of the predatorprey model.
23
0.5
sharks
0.4
0.3
0.2
0.1
0.0
0.1
0.2
0.3
0.4
0.5
0.6
fish
Figure 4: Some periodic solutions of the predator-prey model. The largest orbits
are very close to a heteroclinic cycle.
24
From Figure 3 we can deduce the solution behavior for (slowly) increasing :
- Branch III is followed until H 0.67 .
- Periodic solutions of increasing period until = 0.70 .
- Collapse to trivial solution (Branch I).

EXERCISE.
Use AUTO to repeat the numerical calculations (demo pp2) .
Sketch phase plane diagrams for = 0, 0.5, 0.68, 0.70, 0.71 .
25
The Gelfand-Bratu Problem

(AUTO demo exp.)
u00 (x) + eu(x)
0,
u(0) = u(1)
0.
x [0, 1] ,
If = 0 then u(x) 0 is a solution.
Well prove that this solution is isolated, so that there is a continuation

u = u() ,
for || small .
26
Consider
u00 (x) + eu(x)

u(0) = 0 ,
We want to solve
= 0,
u0 (0) = p ,
u = u( x ; p, ) .
u( 1 ; p, ) = 0 ,
|
{z
G( p, )
for || small .
Here
G( 0 , 0 ) = 0 .
27
We must show (IFT) that

Gp ( 0 , 0 ) up ( 1 ; 0 , 0 ) 6= 0 :
up (x) + 0 eu0 (x) up (x) = 0 ,
00
up (0)
up (0) = 0 ,
= 1,
where
u0 (x) 0 .
Now up ( x ; 0 , 0 ) satisfies
Hence
00
up (x) = 0 ,
0
up (0) = 0 ,
up ( x ; 0 , 0 ) = x ,
up (0) = 1 .
up ( 1 ; 0 , 0 ) = 1 6= 0 .
EXERCISE. Compute the solution family of the Gelfand-Bratu problem as

represented in Figures 5 and 6. (AUTO demo exp.)
28
3.5
14
3.0
13
12
2.0
11
1.5
R1
u(x) dx
2.5
10
9
1.0
8
0.5
1
0.0
0.0
2
0.5
3
1.0
4
1.5
2.0
2.5
3.0
3.5
Figure 5: Bifurcation diagram of the Gelfand-Bratu equation.

29
14
u(x)
12
11
13
2
9
7
4
8
10
0
0.0
0.2
0.4
6 3
0.6
0.8
Figure 6: Some solutions to the Gelfand-Bratu equation.

30
1.0
A Nonlinear Eigenvalue Problem

(AUTO demo nev.)
Consider the nonlinear boundary value problem
u00 + (u + u2 ) = 0 ,
u(0) = u(1) = 0 ,
which has u(t) 0 as solution for all .

Equivalently, we want the solution
u = u( t ; p , ) ,
of the initial value problem
that satisfies
u00 + (u + u2 ) = 0 ,
u(0) = 0 ,
u0 (0) = p ,
G( p , ) u( 1 ; p , ) = 0 .
31
Here
with
G : R R R,
G( 0 , ) = 0 ,
Let
up ( t ; p , ) =
for all .
du
(t; p, ),
dp
Gp ( p , ) = up ( 1 ; p , ) .
32
Then up ( = u0p ) satisfies
u00p + (1 + 2u) up = 0 ,
up (0) = 0 ,
u0p (0) = 1 ,
which, about u 0 , gives
u00p + up = 0 ,
up (0) = 0 ,
u0p (0) = 1 .
By the variation of parameters formula
sin t
up (t; p, ) =
,
0 , (independent of p).
sin( )
Gp (0, ) = up (1; p, ) =
= 0 , if = k (k)2 .
Thus the conditions of the IFT fail to be satisfied at k = (k)2 .

(We will see that these solutions are branch points .)
33
10
u at x = 0
0
1
10
(scaled)
Figure 7: Solution families to the nonlinear eigenvalue problem.

34
2.0
1.5
1.0
0.5
5
3
1
0.0
0.5
1.0
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1.0
Figure 8: Some solutions to the nonlinear eigenvalue problem.

35
Numerical Continuation
Here we discuss algorithms for computing families of solutions to nonlinear equations. The IFT is important in the design of such continuation methods.
36
Newtons method for solving a nonlinear equation

G(u) = 0 ,
G() , u Rn ,
may not converge if the initial guess is not close to a solution.
To deal with this one can introduce a homotopy parameter .
Most equations already naturally have parameters.
We now discuss computing such families of solutions.
37
Consider the equation

G(u, ) = 0 ,
Let
u , G(, ) Rn ,
R.
x (u , ) .
Then the equation can be written

G(x) = 0 ,
G : Rn+1 Rn .
DEFINITION.
A solution x0 of G(x) = 0 is regular if the n (rows) by n + 1 (columns)
matrix
G0x Gx (x0 ) ,
has maximal rank, i.e., if
Rank(G0x ) = n .
38
In the parameter formulation,

G(u, ) = 0 ,
we have
Rank(G0x ) = Rank(G0u | G0 ) = n
(i) G0u is nonsingular,

or
dim N (G0u ) = 1 ,
and
(ii)
G0 6 R(G0u ) .
Above,
N (G0u ) denotes the null space of G0u ,
and
R(G0u ) denotes the range of G0u ,
i.e., the linear space spanned by the n columns of G0u .
39
THEOREM. Let
x0 ( u0 , 0 )
be a regular solution of
G(x) = 0 .
Then, near x0 , there exists a unique one-dimensional continuum of solutions

x(s)
with x(0) = x0 .
PROOF. Since
Rank( G0x ) = Rank( G0u | G0 ) = n ,
then either G0u is nonsingular and by the IFT we have
u = u() near x0 ,
or else we can interchange colums in the Jacobian G0x to see that the solution
can locally be parametrized by one of the components of u .
Thus a unique solution family passes through a regular solution.
40
NOTE:
Such a continuum of solutions is called a solution family or a solution branch.
Case (ii) above, namely,

dim N (G0u ) = 1
and
is that of a simple fold , to be discussed later.
41
G0 6 R(G0u ) ,
7
33 34
33
6
32
L2 -norm
31
30
29
29
1
0.140
0.145
0.150
0.155
0.160
0.165
0.170
0.175
Damkohler number
Figure 9: A solution family with four folds. (AUTO demo abc with = 1.25 .)
42
Parameter Continuation
Here the continuation parameter is taken to be .
Suppose we have a solution (u0 , 0 ) of
G(u, ) = 0 ,
as well as the direction vector u 0 .
Here
u
du
.
d
We want to compute the solution u1 at 1 0 + .
43
"u"
01
u01 (=
10
0000
1111
01 (0)
0000
1111
0000 u 1
1111
du
d
at 0 )
00000000000000000
11111111111111111
Figure 10: Graphical interpretation of parameter-continuation.
44
To solve the equation
G(u1 , 1 ) = 0 ,
for u1 (with = 1 fixed) we use Newtons method

()
()
Gu (u1 , 1 ) u1
(+1)
u1
()
()
u1
G(u1 , 1 ) ,
+
()
u1
= 0, 1, 2, .
As initial approximation use

(0)
u1
If
= u0 + u 0 .
Gu (u1 , 1 ) is nonsingular ,
and sufficiently small, then the Newton convergence theory guarantees that
this iteration will converge.
45
After convergence, the new direction vector u 1 can be computed by solving

Gu (u1 , 1 ) u 1 = G (u1 , 1 ) .
This equation follows from differentiating
G(u(), ) = 0 ,
with respect to at = 1 .
NOTE:
u 1 can be computed without another LU -factorization of Gu (u1 , 1 ) .
Thus the extra work to find u 1 is negligible.
46
EXAMPLE: The Gelfand-Bratu problem (AUTO demo exp) :

u00 (x) + eu(x) = 0 for x [0, 1] ,
u(0) = 0 ,
u(1) = 0 .
If = 0 then u(x) 0 is an isolated solution.

Discretize by introducing a mesh ,
0 = x0 < x 1 < < x N = 1 ,
xj xj1 = h ,
(1 j N ) ,
h = 1/N .
The discrete equations are :

uj+1 2uj + uj1
+ euj = 0 ,
h2
with u0 = uN = 0 .
47
j = 1, , N 1 ,
Let
u1
u2
uN 1
Then we can write the above as
G( u , ) = 0 ,
where
G : Rn R Rn ,
48
nN 1 .
Parameter-continuation :
Suppose we have
and u 0 .
0 , u0 ,
Set
1 = 0 + .
Newtons method :
()
()
Gu (u1 , 1 ) u1
(+1)
u1
with
()
= G(u1 , 1 ) ,
()
u1
(0)
u1
()
u1
= 0, 1, 2, ,
= u0 + u 0 .
After convergence find u 1 from

Gu (u1 , 1 ) u 1 = G (u1 , 1 ) .
Repeat the above procedure to find u2 , u3 , .
49
Here
Gu ( u , ) =
h22 + eu1
1
h2
1
h2
h22 + eu2
.
1
h2
.
.
.
.
1
h2
.
h22 + euN 1
Thus we must solve a tridiagonal system for each Newton iteration.
The solution family has a fold where the parameter-continuation method fails.
(AUTO demo exp: See the earlier Figures 5 and 6).
50
Kellers Pseudo-Arclength Continuation

This method allows continuation of a solution family past a fold.
Suppose we have a solution (u0 , 0 ) of
G( u , ) = 0 ,
as well as the direction vector (u 0 , 0 ) of the solution branch.
Pseudo-arclength continuation solves the following equations for (u1 , 1 ) :
G(u1 , 1 ) = 0 ,
(u1 u0 ) u 0 + (1 0 ) 0 s = 0 .
See Figure 11 for a graphical interpretation.
51
"u"
0011u 0
u
01
01
00111100 1010
( u0, 0 )
10
10
0
Figure 11: Graphical interpretation of pseudo-arclength continuation.
52
Solve the equations

G(u1 , 1 ) = 0 ,
(u1 u0 ) u 0 + (1 0 ) 0 s = 0 .
for (u1 , 1 ) by Newtons method:
(G1u )()
(G1 )()
u 0
Next direction vector :
()
u1
()
1
()
G1u
G1
u 0
()
G(u1 , 1 )
(u1 u0 ) u 0 + (1 0 ) 0 s
()
u 1
1
53
()
= .
1
NOTE:
In practice (u 1 , 1 ) can be computed with one extra backsubstitution.
The orientation of the branch is preserved if s is sufficiently small.
The direction vector must be rescaled, so that indeed k u 1 k2 + 21 = 1 .
54
THEOREM.
The Jacobian of the pseudo-arclength system is nonsingular
at a regular solution point.
PROOF. Let
x (u , ) Rn+1 .
Then pseudo-arclength continuation can be written as

G(x1 ) = 0 ,
(x1 x0 ) x 0 s = 0 ,
(See Figure 12 for a graphical interpretation.)
55
(k x 0 k = 1 ) .
"X-space"
x1
01
01
11x 0
00
Figure 12: Parameter-independent pseudo-arclength continuation.

56
The matrix in Newtons method at s = 0 is

G0x
x 0
At a regular solution we have

N (G0x ) = Span{x 0 } .
We must show that

G0x
x 0
is nonsingular at a regular solution.
57
If on the contrary
G0x
x 0
is singular then
G0x z = 0
x 0 z = 0 ,
and
for some vector z 6= 0 .

Thus
z = c x 0 ,
But then
for some constant c .
0 = x 0 z = c x 0 x 0 = c k x 0 k2
so that z = 0 , which is a contradiction.
58
= c,
EXAMPLE:
Use pseudo-arclength continuation for the discretized Gelfand-Bratu problem.
Then the matrix
Gx
x
Gu
u
in Newtons method is a bordered tridiagonal matrix :
59
Following Folds
When a parameter passes a fold, then the behavior of a system can change
drastically. Thus it is useful to determine how the location of a fold changes
when a second parameter changes, i.e., we want the compute a critical stability
curve, or a locus of fold points, in 2-parameter space.
60
Simple Folds
A regular solution x0 (u0 , 0 ) of G(u, ) = 0 , is called a simple fold if
dim N (G0u ) = 1
From differentiating
we have
In particular,
and
G0 6 R(G0u ) .
G(u(s), (s)) = 0 ,
Gu (u(s), (s)) u(s)

+ G (u(s), (s))(s)
= 0.
G0u u 0 = 0 G0 .
At a fold we have G0 6 R(G0u ) . Thus

0 = 0 .
Hence G0u u 0 = 0 . Thus, since dim N (G0u ) = 1 , we have
N (G0u ) = Span{u 0 } .
61
Differentiating again, we have

0 + G0 u 0 u 0 + 2G0 u 0 0 + G0 0 0 = 0 .
0 + G0
G0u u
uu
u
At a simple fold (u0 , 0 ) let

N (G0u ) = Span{} ,
and
( = u 0 ) ,
N ((G0u ) ) = Span{} .
Multiply by and use 0 = 0 and R(G0u ) to find

0 + G0 = 0 .
G0
uu
Here G0 6= 0 , since G0 6 R(G0u ) . Thus
0 =
G0uu
G0
0 6= 0 then (u0 , 0 ) is called a simple quadratic fold.

If the curvature
62
The Extended System

To continue a fold in two parameters we use the extended system
G(u, , ) = 0 ,
Gu (u, , ) = 0 ,
0 1 = 0 .
Here R is a second parameter in the equations.
The vector 0 is from a reference solution (u0 , 0 , 0 , 0 ) .
(In practice this is the latest computed solution point on the branch.)
The above system has the form
F(U, ) = 0 ,
U (u, , ),
F : R2n+1 R R2n+1 ,
or, using the parameter-free formulation,

F(X) = 0 ,
X (U, ) ,
63
F : R2n+2 R2n+1 .
Parameter Continuation
First consider continuing a solution
(u0 , 0 , 0 )
at = 0 ,
in (although, in practice, we use pseudo-arclength continuation).

By the IFT there is a smooth solution family
U() = ( u() , () , () ) ,
if the Jacobian
F0U
G0u
dF
(U0 ) =
G0uu 0
dU
0
is nonsingular.
64
G0
G0u
G0u 0
THEOREM.
A simple quadratic fold with respect to can be continued locally, using the
second parameter as continuation parameter.
PROOF.
Suppose F0U is singular. Then
(i)
G0u x + zG0 = 0 ,
(ii)
G0uu 0 x + G0u y + zG0u 0 = 0 ,
(iii)
0 y = 0 ,
for some
x, y Rn ,
65
zR.
Since G0 6 R(G0u ) we have from (i) that z = 0 , and hence

x = c1 0 ,
for some c1 R .
Multiply (ii) on the left by 0 , to get

c1 0 G0uu 0 0 = 0 .
Thus c1 = 0 , because by assumption 0 G0uu 0 0 6= 0 .
Therefore x = 0 , and from (ii) we now have
G0u y = 0 ,
i .e. ,
y = c2 0 .
But then by (iii) c2 = 0 . Thus

x = y = 0 ,
and hence F0U is nonsingular.
66
z = 0,
NOTE:
The zero eigenvalue of G0u need not be be algebraically simple.
Thus, for example, G0u may have the form

G0u
0 1
0 0
provided the fold is simple and quadratic.
Parameter-continuation fails at folds w.r.t on a solution family to

F(U , ) = 0 .
Such points represent cusps, branch points, or isola formation points.

67
Pseudo-Arclength Continuation of Folds

Treat as one of the unknowns, and compute a solution family
X(s) ( u(s) , (s) , (s) , (s) ) ,
to
F(X)
G(u, , ) = 0 ,
Gu (u, , ) = 0 ,
(1)
0 1 = 0 ,
and the added pseudo-arclength equation

(u u0 ) u 0 + ( 0 ) 0 + ( 0 ) 0 + ( 0 ) 0 s = 0 . (2)
As before,
( u 0 , 0 , 0 , 0 ) ,
is the direction of the branch at the current solution point

( u0 , 0 , 0 , 0 ) .
68
The Jacobian of F with respect to u , , , and , at

X0 = ( u0 , 0 , 0 , 0 ) ,
is now
F0X
G0u
dF
0
(X0 ) Guu 0
dX
0
O
G0u
0
G0
G0u 0
0
G0
G0u 0 .
0
For pseudo-arclength continuation we must check that F0X has full rank.
For a simple quadratic fold with respect to this follows from the Theorem.
Otherwise, if
and
0 G0uu 0 0 6= 0 ,
G0 R(G0u ) ,
G0 6 R(G0u ) ,
i.e., if we have a simple quadratic fold with respect to , then we can apply the
theorem to F0X with the second last column struck out, to see that F0X still
has full rank.
69
(AUTO demo abc.)
The equations are

u01
= u1 + D(1 u1 )eu3 ,
u02
= u2 + D(1 u1 )eu3 Du2 eu3 ,
u03
= u3 u3 + DB(1 u1 )eu3 + DBu2 eu3 ,
where
1 u1 is the concentration of A ,
u2 is the concentration of B ,
u3 is the temperature,
= 1 , = 0.04 , B = 8 ,
D is the Damkohler number ,
is the heat transfer coefficient .
We will compute solutions for varying D and .

70
8
4
7
6
L2 -norm
5
4
3
2
2
1
0
0.110
0.115
0.120
0.125
0.130
0.135
0.140
0.145
0.150
Damkohler number
Figure 13: A stationary solution family of demo abc; = 1.15.

71
5
1.40
1.35
1.30
1.25
2
4
1.20
1.15
0.10
0.12
0.14
0.16
0.18
0.20
Damkohler number
Figure 14: The locus of folds of demo abc.

72
0.22
L2 -norm
0
0.10
0.15
0.20
0.25
0.30
0.35
0.40
Damkohler number
Figure 15: Stationary solution families for = 1.15, 1.17, . . . , 1.39.

73
Numerical Treatment of
Bifurcations
Here we discuss branch switching, and the detection of branch points.
74
Simple Singular Points

Let
A solution
G : Rn+1 Rn .
x0 x(s0 )
of
G(x) = 0 ,
is called a simple singular point if

G0x Gx (x0 )
has rank n 1 .
75
In the parameter formulation, where

G0x = ( G0u | G0 ) ,
we have that
x0 = (u0 , 0 )
is a simple singular point
if and only if
(i)
dim N (G0u ) = 1 ,
G0 R(G0u ) ,
or
(ii)
dim N (G0u ) = 2 ,
76
G0 6 R(G0u ) .
1.00
0.75
0.50
0.25
0.00
0.25
0.50
0.75
1.00
1.00
0.75
0.50
0.25
0.00
0.25
0.50
0.75
1.00
Figure 16: Solution curves of u ( u) = 0 , with simple singular point.

77
An example of case (ii) is

G(u, ) =
Here
u21 u22
u1 u2
G0u
0 0
0 0
at
= 0,
G0
and
u1 = u2 = 0 .

1
0
1.0
0.5
u1
0.0
0.5
1.0
0.5
1.0
0.0
0.2
0.4
0.5
0.6
0.8
1.0
u2
0.0
1.0
Figure 17: Solution curves of G(u, ) = 0 , with simple singular point.

78
Suppose we have a solution family x(s) of

G(x) = 0 ,
where s is some parametrization.
Let
x0 (u0 , 0 ) ,
be a simple singular point.
Thus, by definition of simple singular point,
N (G0x ) = Span{1 , 2 } ,
79
N (G0x ) = Span{} .
We also have
G(x(s)) = 0 ,
G0 = G(x0 ) = 0 ,
Gx (x(s)) x(s)
= 0,
G0x x 0 = 0 ,
(s) = 0 ,
Gxx (x(s)) x(s)
x(s)
+ Gx (x(s)) x
0 = 0 .
G0xx x 0 x 0 + G0x x
Thus x 0 = 1 + 2 , for some , R , and

0 = 0 ,
G0xx ( 1 + 2 ) ( 1 + 2 ) + G0x x
| {z }
=0
( G0xx 1 1 ) 2 + 2 ( G0xx 1 2 ) + ( G0xx 2 2 ) 2 = 0 .

|
{z
c11
{z
c12
This is the Algebraic Bifurcation equation (ABE).
80
{z
c22
We want solution pairs
( , ) ,
of the ABE, with not both and equal to zero.

If the discriminant
c212 c11 c22 ,
satisfies
> 0,
then the ABE has two real, distinct (i.e., linearly independent) solutions,
(1 , 1 )
and
(2 , 2 ) ,
which are unique up to scaling.

In this case we have a bifurcation, (or branch point), i.e., two distinct branches
pass through x0 .
81
Examples of Bifurcations
First we construct the Algebraic Bifurcation Equation (ABE) for our simple
predator-prey model, in order to illustrate the necessary algebraic manipulations.
Thereafter we present a more elaborate application to a nonlinear eigenvalue
problem
82
A Predator-Prey Model
In the 2-species predator-prey model
we have
5u1
u01 =
3u1 (1 u1 ) u1 u2 (1 e
u02 =
u2 + 3u1 u2 .
Gx = (Gu1 |Gu2 |G ) =
),
3 6u1 u2 5e5u1
u1
(1 e5u1 )
3u2
1 + 3u1
and
Gxx =
(6 + 25e5u1 , 1, 5e5u1 ) (1, 0, 0) (5e5u1 , 0, 0)

(0, 3, 0)
(3, 0, 0)
(0, 0, 0)
83
0.75
fish0.50
0.25
0.00
1.5
sh
a
1.0
rk
s
0.5
0.0
0.9
0.7 0.8
0.5 0.6
0.4
0.2 0.3
quota
0.0 0.1
Figure 18: Two branch points (Solutions 2 and 4) in AUTO demo pp2.
84
At Solution 2 in Figure 18 we have u1 = u2 = 0 , = 3/5 , so that

x0 = ( 0 , 0 , 3/5 ) ,
0
0 0
0 1 0
G0x =
N (G0x )
Span
and
G0xx
G0xx
1 =
G0x
0
0
= 0 1 ,
0
0
0
1
0
, 0
1
0
N (G0x )
= Span
(9, 1, 5) (1, 0, 0) (5, 0, 0)

(0, 3, 0)
(3, 0, 0)
(0, 0, 0)
5 0 0
0 0 0
G0xx
85
2 =
1
0
!)
9 1 5
0 3
0
Thus
G0xx
1 1 =
G0xx
1 2 =
G0xx
2 2 =
Therefore the ABE is
5 0 0
0 0 0
5 0 0
0 0 0
1 =
!
2 =
9 1 5
0
3
0
2 =
which has two linearly independent solutions, namely,

1
0
86
9
10
5
0
10 + 9 2 = 0 .
0
0
9
0
0,
= 5 ,
!
= 9.
Thus the (non-normalized) directions of the two bifurcation families at x0 are
x 0 = (1) 1 + (0) 2 =
and
x 0 = (9) 1 + (10) 2 =
0
1
10
0
9
u 1
u 2 ,
u 1
u 2 .
NOTE:
The first direction is that of the zero solution family.
The second direction is that of the bifurcating nonzero solution family.
Since 6= 0 for the second direction, this is a transcritical bifurcation .
(The case where = 0 may correspond to a pitchfork bifurcation .)
87
A Nonlinear Eigenvalue Problem

This example makes extensive use of the method of Variation of Parameters
for solving linear differential equations. We first recall the use of this method.
Variation of Parameters
If
v0 (t) = A(t) v(t) + f (t) ,
then
v(t) = V (t) [v(0) +
Z t
0
V (s)1 f (s) ds] ,
where V (t) is the solution (matrix) of

V 0 (t) = A(t) V (t) ,
V (0) = I .
Here V (t) is called the fundamental solution matrix.
88
EXAMPLE:
Apply Variation of Parameters to the equation
v 00 + v = f ,
rewritten as
or
v10
v20
Then
V (t) =
v10 = v2 ,
v20 = v1 + f ,
0 1
0
cos
t
sin t
89
v1
v2
0
f
!
sin t/
.
cos t
We find that
V
V
v1 (t)
so that
v2 (t)
cos t
(t) =
0
f
(s)
sin t
cos
t
sin t
!
!
sin t/
,
cos t
!
sin s f (s)/
,
cos s f (s)

Z t
sin sf (s)/
ds

sin t/
v1 (0)
cos
v2 (0)
Hence
cos
sf (s)
sin( t)
v1 (t) = cos( t) v1 (0) +

v2 (0)
Z t sin s f (s)
sin t Z t
cos t
ds +
cos s f (s) ds .
0
0
90
For the specific initial value problem
v 00 + v = f ,
v(0) = v 0 (0) = 0 ,
we have
sin t Z t
cos t Z t
v(t) = v1 (t) =
cos s f (s) ds
sin s f (s) ds .
0
0
91
Singular points
Consider the nonlinear boundary value problem
u00 + (u + u2 ) = 0 ,
u(0) = u(1) = 0 ,
which has u(t) 0 as solution for all .

Equivalently, we want the solution
u = u( t ; p , ) ,
of the initial value problem
that satisfies
u00 + (u + u2 ) = 0 ,
u(0) = 0 ,
u0 (0) = p ,
G( p , ) u( 1 ; p , ) = 0 .
92
u00 + (u + u2 ) = 0 ,
u(0) = 0 ,
u0 (0) = p
G( p , ) u( 1 ; p , ) = 0
We have that
G : R R R,
with
G( 0 , ) = 0 ,
Let
up ( t ; p , ) =
for all .
du
(t; p, ),
dp
Gp ( p , ) = up ( 1 ; p , ) ,
93
etc.
u00 + (u + u2 ) = 0
u(0) = 0 ,
u0 (0) = p
Then up ( = u0p ) satisfies
u00p + (1 + 2u) up = 0 ,
up (0) = 0 ,
u0p (0) = 1 ,
u00p + up = 0 ,
up (0) = 0 ,
u0p (0) = 1 .
sin t
,
0 , (independent of p).
up (t; p, ) =
sin( )
Gp (0, ) = up (1; p, ) =
= 0 , if = k (k)2 .
(We will see that the k are branch points.)

94
u00 + (u + u2 ) = 0
u(0) = 0 ,
u0 (0) = p
Next, u satisfies
u00 + u + u2 + (1 + 2u) u = 0 ,
u (0) = 0 ,
u0 (1) = 0 ,
u00 + u = 0 ,
u (0) = 0 ,
u0 (0) = 0 .
from which,
u ( t ; p , ) 0 ,
G (0, ) = u (1; 0, ) = 0 ,
which holds, in particular, at

= k = (k)2 .
95
Thus, so far we know that

G(0, ) = 0 ,
and if
= k (k)2 ,
then, with
we have
for all ,
x (p, ) ,
G0x ( Gp (0, k ) | G (0, k ) ) = (0 | 0) ,
N (G0x )

1
= Span{
0

0
},
1
N (G0x ) = Span{(1)} ,
Thus the solutions
p = 0,
(2D) ,
(1D) .
= k = (k)2 ,
correspond to simple singular points.

96
Construction of the ABE

The ABE is
( G0xx 1 1 ) 2 + 2( G0xx 1 2 ) + ( G0xx 2 2 ) 2 = 0 ,
where
= 1,
G0xx =
(G0pp | G0p ) (G0p |G0 )
with
G0pp = Gpp (0, k ) = upp (1; 0, k ) ,
97
etc.
If the ABE has 2 independent solutions then the bifurcation directions are

and
= 1
= 2

1
0

1
0
Since
+ 1
+ 2

0
1

0
1
p = 0,
is a solution for all , one direction is

98

0
1
1
1
2
2
u00 + (u + u2 ) = 0
Now upp satisfies
u(0) = 0 ,
u00pp + 2 u2p + (1 + 2u) upp = 0 ,

upp (0) = u0pp (0) = 0 ,
which, about
u 0,
gives
u0 (0) = p
sin t
up (t; p, ) =
,
= k ,
u00pp + k upp = 2k u2p = 2 sin2
upp (0) = u0pp (0) = 0 .
that is,
u00pp + (k)2 upp = 2 sin2 (kt) ,

upp (0) = u0pp (0) = 0 .
99
t ,

upp ( t ; p , ) =
sin kt Z t
cos kt Z t
cos ks(2 sin2 ks) ds
sin ks(2 sin2 ks) ds
k
k
0
0
2 sin kt Z t 2
2 cos kt Z t 3
=
sin ks cos ks ds +
sin ks ds ,
k
k
0
0
and hence
2
Gpp (0, k ) = upp (1; 0, k ) =
[1 (1)k ] =
3(k)2
100
0,
4
3(k)2
k even ,
, k odd .
u00 + (u + u2 ) = 0
u(0) = 0 ,
u0 (0) = p
Next, up satisfies
u00p + (1 + 2u) up + 2 up u + (1 + 2u) up = 0 ,

up (0) = u0p (0) = 0 .
which, about
u 0,
gives
k = (k) ,
sin t
up (t; p, ) =
,
u00p + k 2 2 up = up =
up (0) = u0p (0) = 0 .
101
sin kt
k
u = 0 ,
,
Using the variation of parameters formula

up (t; p, ) =
sin kt Z t
sin ks
cos kt Z t
sin ks
cos ks(
) ds
sin ks(
) ds
k
k
k
k
0
0
=
sin kt Z t
cos kt Z t 2
sin
ks
cos
ks
ds
+
sin ks ds ,
(k)2 0
(k)2 0
and hence
2(k)2
1
Gp (0, k ) = up (1; 0, k ) =
(1)k =
2(k)2
102
1
2(k)2
, k even ,
, k odd .
u00 + (u + u2 ) = 0
u(0) = 0 ,
u0 (0) = p
Finally u satisfies
u00 + (1 + 2u) u + (1 + 2u) u + 2 u2 + (1 + 2u) u = 0 ,

u (0) = u0 (0) = 0 ,
which, about
u = 0,
gives
u = 0 ,
so that
= k = k 2 2 ,
u00 + k 2 2 u = 0 ,
u (0) = u0 (0) = 0 ,
u (t; p, ) 0 ,
G (0, k ) = u (1; 0, k ) = 0 .
103
Thus we have found that
G0xx

(G0pp |G0p )(G0p |G0 )

1
1
(0|
)

(
|0)
2
2
2(k)
2(k)
=
, k even,

1
4
1
, k odd.
( 3(k)
2 | 2(k)2 ) ( 2(k)2 |0)
The coefficients of the ABE are
G0xx 1 1
0 , k even,
4
3(k)2
, k odd,
G0xx 2 2
G0xx 1 2
2(k)2
k even,
k odd,
0,
k even,
0,
k odd.
104
1
2(k)2
Thus the ABE is
= 0,
4
3
1
2
k even,
Roots : (, ) = (1, 0) , (0, 1) ,
= 0 , k odd,
Roots : (, ) = (0, 1) , (3, 8) .
The directions of the bifurcating families are:

x =
= 1 + 2 =

1
0

0
1
where

0
1

,
,

1
0

3
8
k even, (pitch-fork bifurcation) ,
k odd,
105
(transcritical bifurcation) .
10
u at x = 0
0
1
10
(scaled)
Figure 19: The bifurcating families of the nonlinear eigenvalue problem.

106
EXERCISE.
Check the above calculations (!).
Use the AUTO demo nev to compute some bifurcating families.
Do the numerical results support the analytical results?
Also carry out the above analysis and AUTO computations for
u00 + (u + u3 ) = 0 ,
u(0) = u(1) = 0 .
107
Branch Switching
Along a solution family we may find branch points .
We give two methods for switching branches .
We also give a method to detect branch points.
108
Computing the bifurcation direction

Let
G : Rn+1 Rn .
Suppose that we have a solution family x(s) of

G(x) = 0 ,
and that
x0 x(s0 ) ,
is a simple singular point , i.e., the n by n + 1 matrix

G0x Gx (x0 ) has rank n 1 ,
with
N (G0x ) = Span{1 , 2 } ,
109
N (G0x ) = Span{} .
NOTATION.
x 0 = 1 1 + 1 2 denotes the direction of the given family.
x00 = 2 1 + 2 2 denotes the direction of the bifurcating family.
The two coefficient vectors

(1 , 2 )
and
(2 , 2 ) ,
correspond to two linearly independent solutions of the ABE

c11 2 + 2 c12 + c22 2 = 0 .
Assume that the discriminant is positive:
c212 c11 c22 > 0 .
110
Since along the given family we have

G0x x 0 = 0 ,
we can take
1 = x 0 ,
Thus
( x 0 = 1 1 + 1 2 ) .
(1 , 1 ) = (1, 0)
is a solution of the ABE

c11 2 + 2 c12 + c22 2 = 0 .
Thus
c11 = 0 ,
and
(since c212 c11 c22 > 0 ) c12 6= 0 .
The second solution then satisfies

2 c12 + c22 = 0 ,
from which,
(2 , 2 ) =
= (c22 , 2c12 ) ,
111
(unique, up to scaling) .
To evaluate c12 and c22 , we need the null vectors 1 and 2 of G0x .
1 : We already have chosen 1 = x 0 .
2 : Choose 2 1 . Then 2 is a null vector of
F0x
G0x
x 0
i .e.,
Fx0
2 =
G0x
2 = 0 .
x 0
Note that F0x is the Jacobian of the pseudo-arclength system at x0 !

The null space of F0x is indeed one-dimensional.
: is the left null vector:
(F0x )
(Check!)
(G0x ) = 0 , so that also

=
((G0x )
| x 0 )
i.e., is also the left null vector of F0x .

112
= 0,
NOTE:
Left and right null vectors of a matrix can be computed at little cost , once
the matrix has been LU decomposed.
After determining the coefficients 2 and 2 , scale the direction vector
x00 2 1 + 2 2 ,
of the bifurcating family so that
k x00 k = 1 .
113
Switching branches
The first solution x1 on the bifurcating family can be computed from :
G(x1 ) = 0 ,
(x1
where
x0 ) x00
s = 0 ,
x00 is the direction of the bifurcating branch.
As initial approximation in Newtons method take

(0)
x1
= x0 + s x00 .
For a graphical interpretation see Figure 20.

NOTE: Computing x00 requires evaluation of G0xx .
114
(3)
01x1
11
00
00x 0
11
01x 0
Figure 20: Switching branches using the correct bifurcation direction.
115
Simplified branch switching

Instead of Eqn. (3) for the first solution on the bifurcating branch, use :
G(x1 ) = 0 ,
(x1 x0 ) 2 s = 0 .
where 2 is the second null vector of G0x , with, as before,
2 1 ,
i.e.,
G0x
x 0
(1 = x 0 ) ,
2 = 0 ,
k 2 k = 1 .
As initial approximation, now use

(0)
x1
= x0 + s 2 .
For a graphical interpretation see Figure 21.

116
0110
x
1
s
01
10x 0
11
00
00x 0 (= 1 )
11
Figure 21: Switching branches using the orthogonal direction.
117
NOTE:
The simplified branch switching method may fail in some situations.
The advantage is that it does not need second derivatives .
The orthogonal direction 2 can be computed at little cost .
In fact, 2 is the null vector of the pseudo-arclength Jacobian

at the branch point.
G0x
x 0
118
Detection of Branch Points

Let
G : Rn+1 Rn .
Recall that a solution
x0 x(s0 )
of
G(x) = 0 ,
is a simple singular point if

G0x Gx (x0 )
has rank n 1 .
Suppose that we have a solution family x(s) of

and that
G(x) = 0 ,
x0 = x(0) ,
is a simple singular point.

Let x 0 be the unit tangent to x(s) at x0 .
Assume that x(s) is parametrized by its projection onto x 0 . (See Figure 22.)
119
x0
x(s)
Figure 22: Parametrization of a solution family near a branch point.

120
Consider the pseudo-arclength system
F( x ; s )
(x x0 ) x 0 s
Then
Fx ( x ; s ) = Fx (x) =
and
F0x
G(x)
Fx (x0 ) =
NOTE: Fx does not explicitly depend on s .
121
Gx (x)
x 0
G0x
x 0
(4)
Take
1 = x 0 ,
as the first null vector of G0x .

Thus
F0x
G0x
1
Choose the second null vector 2 of G0x such that

2 1 = 0 .
Then
F0x 2 =
G0x
1
2 = 0 ,
so that 2 is also a null vector of F0x , while 1 is not.

In fact, F0x has a one-dimensional nullspace .
122
The null vector of

F0
=
x
G0x
1
= ( (G0x ) | 1 ) ,
is given by
where is the null vector of (G0x ) .

NOTE: Since
and
N (G0x ) = Span{1 , 2 }
it follows that
and
G0x has n rows and n + 1 columns ,

is assumed two-dimensional ,
(G0x ) has n + 1 rows and n columns ,

N (G0x ) = Span{}
123
is one-dimensional .
THEOREM.
Let
x0 = x(0) ,
be a simple singular point on a smooth solution family x(s) of

G(x) = 0 .

Let F(x; s) be as above, i.e., F(x; s)
G(x)
(x x0 ) x 0 s
Assume that
the discriminant of the ABE is positive ,
0 is an algebraically simple eigenvalue of

F0x
Then
det Fx (x(s)) = det
changes sign at x0 .
124
G0x
x 0
Gx (x(s))
x 0
PROOF.
Consider the parametrized eigenvalue problem
Fx ( x(s) ) (s) = (s) (s) ,
where (s) and (s) are smooth near s = 0 , with
(0) = 0
i.e., the eigen pair
and
(0) = 2 ,
( (s) , (s) ) ,
is the continuation of (0, 2 ) .

(This can be done because 0 is an algebraically simple eigenvalue.)
125
Differentiating
Fx ( x(s) ) (s) = (s) (s) ,
gives
Fxx (x(s)) x(s)

(s) + Fx (x(s)) (s)
= (s)
(s) + (s) (s).

Evaluating at s = 0 , using
(0) = 0 ,
and
x 0 = 1
and
(0) = 2 ,
gives
= 0 2 .
F0xx 1 2 + F0x (0)
126

= 0 2 .
F0xx 1 2 + F0x (0)
Multiplying this on the left by we find
0 =
F0xx 1 2
2
G0xx
( , 0)
1 2
0
2
The left and right null vectors ( and 2 ) of F0x
G0xx 1 2
.
2
cannot be orthogonal
(because the eigenvalue 0 is assumed to be algebraically simple .

Thus
2 6= 0 .
127
Note that
G0xx 1 2 = c12 ,
is a coefficient of the ABE.
By assumption, the discriminant satisfies
6= 0 .
As before this implies that
c12 6= 0 ,
and hence
0 6= 0
128
NOTE:

Gx (x(s))
The Theorem implies that det
x 0
Note that x 0 is kept fixed.
changes sign .
Gx (x(s))

x(s)
We havent proved that det Fx (x(s)) = det
The latter follows from a similar, but more elaborate argument.
Detection of simple singular points is based upon this fact.
During continuation we monitor the determinant of the matrix Fx .
If a sign change is detected then an iterative method can be used to

accurately locate the singular point.
For large systems a scaled determinant avoids overflow .
129
changes sign.
The following theorem states that there must be a bifurcation at x0 .

(This result can be proven by degree theory .)
THEOREM.
Let x(s) be a smooth solution family of
F( x ; s ) = 0 ,
where
F : Rn+1 R
Rn+1
is
C1 ,
and assume that

det Fx (x(s); s) changes sign at s = 0 .
Then x(0) is a bifurcation point , i.e., every open neigborhood of x0 contains
a solution of F(x; s) = 0 that does not lie on x(s) .
130
Boundary Value Problems
131
Boundary Value Problems.

Consider the first order system of ordinary differential equations
u0 (t) f ( u(t) , , ) = 0 ,
t [0, 1] ,
where
u() , f () Rn ,
R,
Rn ,
subject to boundary conditions

b( u(0) , u(1) , , ) = 0 ,
b() Rnb ,
and integral constraints

Z 1
0
q( u(s) , , ) ds = 0 ,
132
q() Rnq .
This boundary value problem (BVP) is of the form

F( X ) = 0 ,
where
X
(u, , ),
to which we add the pseudo-arclength equation

0 > s = 0 ,
< X X0 , X
where X0 represents the preceding solution on the branch.
In detail, the pseudo-arclength equation is
Z 1
0
(u(t) u0 (t)) u 0 (t) dt + ( 0 ) 0

+ ( 0 ) 0 s = 0 .
133
We want to solve BVP for u() and .
We can think of as the continuation parameter .
(In pseudo-arclength continuation, we dont distinguish and .)
In order for problem to be formally well-posed we must have

n = nb + nq n 0 .
A simple case is
nq = 0 ,
nb = n ,
134
for which n = 0 .
Discretization
Here we discuss the method of orthogonal collocation with piecewise polynomials, for solving boundary value problems. This method is very accurate, and
allows adaptive mesh-selection.
135
Orthogonal Collocation
Introduce a mesh
{ 0 = t0 < t1 < < tN = 1 } ,
where
hj tj tj1 ,
(1 j N ) ,
Define the space of (vector) piecewise polynomials Pm

h as

Pm
{ ph C[0, 1] : ph
h
[tj1 ,tj ]
Pm } ,
where Pm is the space of (vector) polynomials of degree m .
136
The collocation method consists of finding

ph Pm
h ,
Rn ,
such that the following collocation equations are satisfied:

p0h (zj,i ) = f ( ph (zj,i ) , , ) ,
j = 1, , N ,
i = 1, , m ,
and such that ph satisfies the boundary and integral conditions.
The collocation points zj,i in each subinterval

[ tj1 , tj ] ,
are the (scaled) roots of the mth-degree orthogonal polynomial (Gauss points) .
See Figure 23 for a graphical interpretation.
137
1
t
t j-1
01
z j,1
t j-1
01
z j,2
01
z j,3
t j-2/3 t j-1/3
lj,3(t)
tj
tj
lj,1(t)
Figure 23: The mesh {0 = t0 < t1 < < tN = 1} . Collocation points and
extended-mesh points are shown for the case m = 3, in the jth mesh interval.
Also shown are two of the four local Lagrange basis polynomials.
138
Since each local polynomial is determined by

(m + 1) n ,
coefficients, the total number of degrees of freedom (considering as fixed) is
(m + 1) n N + n .
This is matched by the total number of equations :

collocation : m n N ,
continuity :
(N 1) n ,
constraints : nb + nq
139
( = n + n ) .
Assume that the solution u(t) of the BVP is sufficiently smooth.

Then the order of accuracy of the orthogonal collocation method is m , i.e.,
k ph u k = O(hm ) .
At the main meshpoints tj we have superconvergence :

maxj | ph (tj ) u(tj ) | = O(h2m ) .
The scalar variables are also superconvergent.
140
Implementation
For each subinterval [ tj1 , tj ] , introduce the Lagrange basis polynomials
{ `j,i (t) } ,
j = 1, , N ,
defined by
i = 0, 1, , m ,
m
Y
t tj k
k=0,k6=i
tj i tj k
`j,i (t) =
where
tj i tj
m
The local polynomials can then be written

pj (t) =
m
X
i
hj .
m
`j,i (t) uj i .
m
i=0
With the above choice of basis

uj u(tj )
and
uj i u(tj i ) ,
m
where u(t) is the solution of the continuous problem.

141
The collocation equations are

0
pj (zj,i ) = f ( pj (zj,i ) , , ) ,
i = 1, , m,
j = 1, , N .
The discrete boundary conditions are

bi ( u0 , uN , , ) = 0 ,
i = 1, , nb .
The integral constraints can be discretized as

N X
m
X
j=1 i=0
j,i qk ( uj i , , ) = 0 ,
m
k = 1, , nq ,
where the j,i are the Lagrange quadrature weights .
142
The pseudo-arclength equation is

Z 1
0
(u(t) u0 (t)) u 0 (t) dt + ( 0 ) 0 + ( 0 ) 0 s = 0 ,
where
( u0 , 0 , 0 ) ,
is the previous solution on the solution branch, and
( u 0 , 0 , 0 ) ,
is the normalized direction of the branch at the previous solution.
The discretized pseudo-arclength equation is
N X
m
X
j=1 i=0
j,i [ uj i (u0 )j i ] (u 0 )j i
m
+ ( 0 ) 0 + ( 0 ) 0 s = 0 .
143
Numerical Linear Algebra

The complete discretization consists of
m n N + nb + nq + 1 ,
nonlinear equations, in the unknowns
{uj i } RmnN +n ,
m
Rn ,
R.
These equations can be solved by a Newton-Chord iteration .
144
We illustrate the numerical linear algebra for the case

n = 2 ODEs , N = 4 mesh intervals , m = 3 collocation points ,
nb = 2 boundary conditions , nq = 1 integral constraint ,
and the pseudo-arclength equation.
The operations are also done on the right hand side , which is not shown.
Entries marked have been eliminated by Gauss elimination.
Entries marked denote fill-in due to pivoting .
Most of the operations can be done in parallel .
145
u0
u1
3
u2
3

u1
u2
u3
uN
Figure 24: The structure of the Jacobian

146
u0
u1
3
u2
3

u1
u2
u3
uN
Figure 25: The system after condensation of parameters.

147
?
?
?
?
?
?
u0
?
?
?
?
?
?
u1
3
u2
3

u1
?
?
?
?
?
?
u2
?
?
?
?
?
?
?
?
?
?
?
?
u3
?
?
?
?
?
?
uN
?
?
?
?
?
?
?
?
?
?
?
?
?
?
?
?
?
?
?
?
?
?
?
?

? ?
? ?

? ?
? ?

? ?
? ?

? ?
? ?
? ?
? ?
? ?
? ?
Figure 26: The preceding matrix, showing the decoupled ? sub-system.

148
?
?
?
?
?
?
?
?
u0
?
?
u1
3
u2
3

?
?
?
?
?
?
u1
u2
?
?
?
?
?
?
u3
?
?
?
?
?
?
?
?
?
?
?
?
uN
?
?
?
?
?
?
?
?
?
?
?
?
?
?

? ?
? ?

? ?
? ?

? ?
? ?

? ?
? ?
? ?
? ?
? ?
? ?
Figure 27: Stage 1 of the nested dissection to solve the decoupled ? system.
149
?
?
?
?
?
?
?
?
?
?
u0
?
?
u1
3
u2
3

?
?
?
?
?
?
?
?
u1
u2
?
?
u3
?
?
?
?
?
?
uN
?
?
?
?
?
?
?
?
?
?
?
?
?
?

? ?
? ?

? ?
? ?

? ?
? ?

? ?
? ?
? ?
? ?
? ?
? ?
Figure 28: Stage 2 of the nested dissection to solve the decoupled ? system.
150
?
?
?
?
+
+
+
+
+
+
u0
?
?
u1
3
u2
3

?
?
+
+
+
+
+
+
u1
u2
?
?
?
?
u3
?
?
?
?
uN
?
?
+
+
+
+
+
+
+
+
+
+
+
+

? ?
? ?

? ?
? ?

? ?
? ?

+ +
+ +
+ +
+ +
+ +
+ +
Figure 29: The preceding matrix showing the final decoupled + sub-system.
151
?
?
?
?
A
A
+
+
+
+
u0
?
?
u1
3
u2
3

?
?
A
A
+
+
+
+
u1
u2
?
?
?
?
u3
?
?
?
?
uN
?
?
B
B
+
+
+
+
B
B
+
+
+
+

? ?
? ?

? ?
? ?

? ?
? ?

+ +
+ +
+ +
+ +
+ +
+ +
Figure 30: The Floquet Multipliers are the eigenvalues of B 1 A .

152
Accuracy Test
The Table shows the location of the fold in the Gelfand-Bratu problem for
4 Gauss collocation points per mesh interval
N mesh intervals
N
2
4
8
16
32
Fold location
3.5137897550
3.5138308601
3.5138307211
3.5138307191
3.5138307191
153
A Singularly-Perturbed BVP
u00 (x) =
u(x) u0 (x) (u(x)2 1) + u(x) .
with boundary conditions

u(0) =
3
2
u(1) = .
Computational formulation
u01 =
u2 ,
u02 =
( u1 u2 (u21 1) + u1 ) ,

with boundary conditions

u1 (0) = 3/2
When = 0 an exact solution is

3
3
u1(x) =
+ ( ) x
2
2
154
u1 (1) = .
u2 (x) =
3
.
2
COMPUTATIONAL STEPS:
is a homotopy parameter to locate a starting solution.
In the first run varies from 0 to 1 .
In the second run is decreased by continuation.
In the third run = 103 , and the solution is continued in .
This third run takes many continuation steps if is very small.
155
22
21
20
19
norm u
18
17
16
15
14
13
2.0
1.5
1.0
0.5
0.0
0.5
1.0
1.5
Figure 31: Bifurcation diagram of the singularly-perturbed BVP.

156
1.5
1.0
0.5
0.0
0.5
1.0
1.5
2.0
2.5
0.0
0.2
0.4
0.6
0.8
Figure 32: Some solutions along the solution family.

157
1.0
Hopf Bifurcation and Periodic

Solutions
We first introduce the concept of Hopf bifurcation for a linear problem. Then
we state the Hopf Bifurcation Theorem (without proof), and we give examples
of periodic solutions emanating from Hopf bifurcation points.
158
A Linear Example
The linear problem :
which can also be written as

u01
u02
u01 = u1 u2 ,
u02
(5)
= u1 ,
1
1
0
u1
u2
is of the form
u0 (t) = A() u(t) G(u, ) ,
with stationary solutions,
u1 = u2 = 0 ,
159
for all .
The eigenvalues of the Jacobian matrix

1
1
0
Gu (u, ) = A() =
satisfy
= Gu (0, ) ,
det( A() I ) = 2 + 1 = 0 ,
from which
1,2 =
2 4
.
2
Consider the initial value problem

u0 (t) = A() u(t) G(u, ) ,
with
u(0) =
u1 (0)
u2 (0)
160
p1
p2
p.
Then
u(t) = etA() p = V () et() V 1 () p
= V ()
t1 ()
0
et2 ()
(6)
V 1 () p ,
where
A() V () = V () () ,
and
() =
1 ()
0
0
2 ()
A() = V () () V 1 () ,
V () =
161
v11 () v12 ()
v21 () v22 ()
Assume that
2 < < 2 ,
and recall that

u(t) = V ()
et1 ()
0
0
et2 ()
and
1,2 =
V 1 () p ,
2 4
.
2
Thus we see that

u(t) 0
if < 0 ,
u(t)
if > 0 ,
and
i.e., the zero solution is stable if is negative, and unstable if is positive.

162
However, if = 0 , then
0 1
1
0
A0 A(0) =
and
1 = i,
1
=
2
so that
u(t) = V0 e
V01
1
=
2
1
p =
2
2 = i ,
V0 V (0) =
V01
1 i
i 1
1 i
i 1
1 i
i 1
!
eit 0
0 eit
eit + eit
i(eit eit )
i(eit eit ) eit + eit
163
1 i
i 1
p1
p2
p1
p2
Thus, if = 0 , then
u1 (t)
u2 (t)
cos(t) sin(t)
sin(t)
cos(t)
p1
p2
p1 cos(t) p2 sin(t)
p1 sin(t) + p2 cos(t)
and we see that
This solution is periodic, with period 2 , for any p1 , p2 .
u1 (t)2 + u2 (t)2 = p21 + p22 ,
We can fix the phase by setting, for example, p2 = 0 .
(Then u2 (0) = 0 .)
This leaves a one-parameter family of periodic solutions.
(The orbits are circles.) ,
(See Figures 33 and 34.).
For nonlinear problems the family is generally not vertical.

164
EXERCISE. (Demo lhb .)

Use AUTO to compute the zero stationary solution family, a Hopf bifurcation,
and the emanating family of periodic solutions, of the linear Hopf bifurcation
problem, i.e., of
u1 = u1 u2 ,
(7)
0
u2 = u1 .
NOTE:
The family of periodic solutions is vertical, i.e., = 0 along it.
This is not typical (not generic) for Hopf bifurcation.
For the numerically computed family, = 0 up to numerical accuracy.
The period is constant, namely, 2 , along the family.
This is also not generic for periodic solutions from a Hopf bifurcation.
The numerical computation of periodic solutions will be considered later.
165
2.5
2.0
norm
1.5
1.0
0.5
0.0
0.5
1.0
0.5
0.0
0.5
1.0
Figure 33: Bifurcation diagram of the linear Hopf bifurcation problem.

166
u2
3
3
u1
Figure 34: A phase plot of some periodic solutions.

167
The Hopf Bifurcation Theorem

THEOREM. Suppose that along a stationary solution family (u(), ) , of
u0 = f (u, ) ,
a complex conjugate pair of eigenvalues
() i () ,
of fu (u(), ) crosses the imaginary axis transversally, i.e., for some 0 ,
(0 ) = 0 ,
(0 ) 6= 0 ,
and
(
0 ) 6= 0 .
Also assume that there are no other eigenvalues on the imaginary axis.
Then there is a Hopf bifurcation, i.e., a family of periodic solutions bifurcates
from the stationary solution at (u0 , 0 ) .
NOTE: The assumptions also imply that fu0 is nonsingular, so that the stationary solution family can indeed be parametrized locally using .
168
EXERCISE. (AUTO Demo vhb .)

and the emanating family of periodic solutions for the equation
u01 = u1 u2 ,
u02
= u1 (1 u1 ) .
NOTE:
u(t) 0 is a stationary solution for all .
u(t)
is another stationary solution .
169
(8)
NOTE:
The Jacobian along the solution family u(t) 0 is

with eigenvalues
1
1
0
2 4
The eigenvalues are complex for (2, 2) .
The eigenvalues cross the imaginary axis when passes through zero.
Thus there is a Hopf bifurcation along u 0 at = 0 .
A family of periodic solutions bifurcates from u = 0 at = 0 .

170
1.2
1.0
norm
0.8
0.6
0.4
0.2
0.0
0.2
1.0
0.5
0.0
0.5
Figure 35: Bifurcation diagram for Equation (8).

171
1.0
0.6
0.4
u2
0.2
0.0
0.2
0.4
0.6
0.4
0.2
0.0
0.2
u1
0.4
0.6
0.8
1.0
Figure 36: A phase plot of some periodic solutions to Equation (8).

172
1.0
0.8
0.6
u1
0.4
0.2
0.0
0.2
0.4
0.0
0.2
0.4
0.6
0.8
1.0
Scaled Time
Figure 37:
u1 as a function of the scaled time variable t for Equation (8).

173
0.6
0.4
u2
0.2
0.0
0.2
0.4
0.6
0.0
0.2
0.4
0.6
0.8
1.0
Scaled Time
Figure 38:

174
NOTE:
The family of periodic solutions is also vertical (non-generic).
The period changes along this family; in fact, the period tends to infinity.
The terminating infinite period orbit is an example of a homoclinic orbit.
This homoclinic orbit contains the stationary point (u1 , u2 ) = (1, 0) .
In the solution diagrams, showing u1 and u2 versus time t , note how
the peak in the solution remains in the same location.
This is a result of the numerical phase-condition, to be discussed later.
175
EXERCISE. (Demo het .)

and the emanating family of periodic solutions, of the equation
u01 = u1 u2 ,
u02 = u1 (1 u21 ) .
NOTE:
u(t) 0 is a stationary solution for all .
There is a Hopf bifurcation along u 0 at = 0 .
u(t)
are two more stationary solutions .
176
(9)
1.2
1.0
norm
0.8
0.6
0.4
0.2
0.0
0.2
1.0
0.5
0.0
0.5
Figure 39: Bifurcation diagram for Equation (9).

177
1.0
0.6
0.4
u2
0.2
0.0
0.2
0.4
0.6
1.0
0.5
0.0
u1
0.5
1.0
Figure 40: A phase plot of some periodic solutions to Equation (9).

178
1.0
u1
0.5
0.0
0.5
1.0
0.0
0.2
0.4
0.6
0.8
1.0
Scaled Time
Figure 41:

179
0.6
0.4
u2
0.2
0.0
0.2
0.4
0.6
0.0
0.2
0.4
0.6
0.8
1.0
Scaled Time
Figure 42:

180
NOTE:
This family of periodic solutions is also vertical (non-generic).
The period along this family also tends to infinity.
The terminating infinite period orbit is an example of a heteroclinic cycle.
This heteroclinic cycle is made up of two heteroclinic orbits.
The heteroclinic orbits contains the stationary points
(u1 , u2 ) = (1, 0)
and
181
(u1 , u2 ) = (1, 0) .
EXERCISE. (AUTO demo pp3 .)

Compute the families of periodic solutions that bifurcate from the four Hopf
bifurcation points in the following system; taking p4 = 4 .
u01 (t) = u1 (1 u1 ) p4 u1 u2 ,
u02 (t) =
1
4
u2 + p4 u1 u2 3 u2 u3 p1 (1 e5u2 ) ,
u03 (t) =
1
2
u3 + 3 u2 u3 .
This is a simple predator-prey model where, say,

u1 = plankton,
u2 = fish,
u3 = sharks,
p1 = fishing quota.
The factor
(1 e5u2 ) ,
models that the quota cannot be met if the fish population is small.
182
1.2
max plankton
1.0
0.8
0.6
0.4
0.2
0.0
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
quota
Figure 43: A bifurcation diagram for the 3-species model; with p4 = 4 .

183
NOTE:
These periodic solution families are not vertical. (The generic case.)
One family connects the two Hopf points along the stationary family along
which u1 is constant.
The second family connects the two Hopf points along the stationary family
along which u1 is not constant.
These two families of periodic solutions intersect at a branch point of
periodic solutions, at 0.3012 .
At this point there is an interchange of stability between the families.
Stable periodic orbits are denoted by solid circles in the diagram.
Unstable periodic orbits are denoted by open circles in the diagram.
184
0.5
0.4
fish
0.3
0.2
0.1
0.0
0.0
0.1
0.2
0.3
0.4
0.5
0.6
plankton
Figure 44: Part of the planar orbit family for the 3-species model; p4 = 4 .
185
0.5
0.4
fish
0.3
0.2
0.1
0.0
0.0
0.1
0.2
0.3
0.4
0.5
0.6
plankton
Figure 45: The remainder of the planar orbit family; p4 = 4 .

186
0.05
0.00
sharks
0.05
0.10
0.15
0.20
0.25
0.6
pl 0.5
an 0.4
kt
on 0.3
0.2
0.1
0.1
0.2
0.3
0.4
fish
Figure 46: Part of the 3D orbit family for the 3-species model; p4 = 4 .
187
0.100
0.075
sharks
0.050
0.025
0.6
pl 0.5
an
kt 0.4
on
0.3
0.2
0.1
0.2
0.3
0.4
fish
Figure 47: The remainder of the 3D orbit family; p4 = 4 .

188
Computing Periodic Solutions

Periodic solutions can be computed very effectively using a boundary value approach. This method also determines the period very accurately. Moreover,
the technique allows asymptotically unstable periodic orbits to be computed as
easily as asymptotically stable ones.
189
The BVP Approach.

Consider
u0 (t) = f ( u(t) , ) ,
u() , f () Rn ,
R.
Fix the interval of periodicity by the transformation

t
t
.
T
Then the equation becomes

u0 (t) = T f ( u(t) , ) ,
u() , f () Rn ,
and we seek solutions of period 1 , i.e.,

u(0) = u(1) .
Note that the period T is one of the unknowns.
190
T , R.
The above equations do not uniquely specify u and T :

Assume that we have computed
( uk1 () , Tk1 , k1 ) ,
and we want to compute the next solution
( uk () , Tk , k ) .
Specifically, uk (t) can be translated freely in time:
If uk (t) is a periodic solution, then so is
uk (t + ) ,
for any .
Thus, a phase condition is needed.
191
An example is the Poincare orthogonality condition

0
(uk (0) uk1 (0)) uk1 (0) = 0 .

(Below we derive a numerically more suitable phase condition.)
k-1 (0)
u k-1 (0)
01
01
u (0)
k
Figure 48: Graphical interpretation of the Poincare phase condition.

192
Integral Phase Condition

k (t) is a solution then so is
If u
k (t + ) ,
u
for any .
We want the solution that minimizes
D()
The optimal solution
Z 1
0
k (t + ) uk1 (t) k22 dt .

ku
k (t +
u
) ,
must satisfy the necessary condition

D0 (
) = 0 .
193
Differentiation gives the necessary condition

Z 1
0
k (t +
0k (t +
(u
) uk1 (t) ) u
) dt = 0 .
Writing
gives
k (t +
uk (t) u
) ,
Z 1
0
( uk (t) uk1 (t) ) u0k (t) dt = 0 .
Integration by parts, using periodicity, gives

R1
0
uk (t) uk1 (t) dt = 0 .
This is the integral phase condition.
194
Pseudo-Arclength Continuation
We use pseudo-arclength continuation to follow a family of periodic solutions.
This allows calculation past folds along a family of periodic solutions.
It also allows calculation of a vertical family of periodic solutions.
For periodic solutions the pseudo-arclength equation is

Z 1
0
(uk (t) uk1 (t)) u k1 (t) dt + (Tk Tk1 )Tk1 + (k k1 ) k1 = s .
195
In summary, we have the following equations for continuing periodic solutions:

u0k (t) = T f ( uk (t) , k ) ,
uk (0) = uk (1) ,
Z 1
0
uk (t) uk1 (t) dt = 0 ,
with pseudo-arclength continuation equation

Z 1
0
(uk (t) uk1 (t)) u k1 (t) dt + (Tk Tk1 )Tk1 + (k k1 ) k1 = s .
Here
u() , f () Rn ,
196
,T R .
Starting at a Hopf Bifurcation

Let
(u0 , 0 ) ,
be a Hopf bifurcation point, i.e.,

fu ( u0 , 0 ) ,
has a simple conjugate pair of purely imaginary eigenvalues
i 0 ,
0 6= 0 ,
and no other eigenvalues on the imaginary axis.

Also, the pair crosses the imaginary axis transversally with respect to .
By the Hopf Bifurcation Theorem, a family of periodic solutions bifurcates.
197
Asymptotic estimates for periodic solutions near the Hopf bifurcation :

u( t ; ) = u0 + (t) + O(2 ) ,
T ()
= T0 + O(2 ) ,
()
= 0 + O(2 ) .
Here locally parametrizes the family of periodic solutions.

T () denotes the period, and
T0 =
2
.
0
The function (t) is the normalized nonzero periodic solution of the linearized,
constant coefficient problem
0 (t) = fu (u0 , 0 ) (t) .
198
To compute a first periodic solution

( u1 () , T1 , 1 ) ,
near a Hopf bifurcation (u0 , 0 ) , we still have
u01 (t) = T f ( u1 (t) , 1 ) ,
(10)
u1 (0) = u1 (1) .
(11)
Initial estimates for Newtons method are

(0)
u1 (t) = u0 + s (t) ,
(0)
T1
199
= T0 ,
(0)
= 0 .
Above, (t) is a nonzero solution of the time-scaled, linearized equations

0 (t) = T0 fu (u0 , 0 ) (t) ,
(0) = (1) ,
namely,
(t) = sin(2t) ws + cos(2t) wc ,
where
( ws , wc ) ,
is a null vector in

0 I
fu (u0 , 0 )
fu (u0 , 0 )
0 I

ws
wc
0
0
The nullspace is generically two-dimensional since

wc
ws
is also a null vector.

200
0 =
2
.
T0
For the phase equation we align u1 with (t) , i.e.,

R1
0
u1 (t) 0 (t) dt = 0 .
Since
0 = T0 = 0 ,
the pseudo-arclength equation for the first step reduces to
R1
0
( u1 (t) u0 (t) ) (t) dt = s .
201
Accuracy Test
EXERCISE.
A simple accuracy test is to treat the linear equation
u01 (t) = u1 u2 ,
u02 (t) = u1 ,
as a bifurcation problem.
It has a Hopf bifurcation point at = 0 from the zero solution family.
The bifurcating family of periodic solutions is vertical.
Along the family, the period remains constant, namely, T = 2 .

202
For the above problem:
Compute the family of periodic solutions, for different choices of the number
of mesh points and the number of collocation points.
Determine the error in the period for the computed solutions.
Typical results are shown in Table 1.

ntst
4
8
16
32
ncol = 2
ncol = 3
ncol = 4
0.47e-1
(5.5) 0.85e-3
(7.9) 0.85e-5
(8.9)
0.32e-2
(4.0) 0.14e-4
(6.0) 0.35e-7
(8.0)
0.20e-3
(4.0) 0.22e-6
(6.0) 0.14e-9
(8.0)
0.13e-4
0.35e-8
0.54e-11
Table 1: Accuracy of T for the linear problem
203
EXAMPLE: (AUTO demo fhn.)

The FitzHugh-Nagumo model
u31
u2 + I ,
3
u01 = u1
u02 = a( u1 + b cu2 ) .
is a model of spike generation in squid giant axons, where
u1 is the membrane potential ,
u2 is a recovery variable ,
I is the stimulus current .
Take I as bifurcation parameter, and
a = 0.08
b = 0.7 ,
c = 0.8 .
If I = 0 then (u1 , u2 ) = (1.19941 , 0.62426) is a stationary solution.

204
2.0
1.5
1.0
max u1
0.5
0.0
0.5
1.0
1.5
2.0
0.0
0.2
0.4
0.6
0.8
1.0
1.2
1.4
1.6
current
Figure 49: Bifurcation diagram of the Fitzhugh-Nagumo equations.

205
2.0
1.5
1.0
u1
0.5
0.0
0.5
1.0
1.5
2.0
0.0
0.2
0.4
0.6
0.8
scaled time
Figure 50: A stable periodic solutions .

206
1.0
Periodically Forced Systems

Here we illustrate computing periodic solutions to a periodically forced system.
In AUTO this can be done by adding a nonlinear oscillator with the desired
periodic forcing as one of its solution components.
An example of such an oscillator is
x0 =
x + y x (x2 + y 2 ) ,
y 0 = x + y y (x2 + y 2 ) ,
which has the asymptotically stable solution

x = sin(t) ,
y = cos(t) .
207
EXAMPLE.
(AUTO demo ffn.)
Couple the oscillator

x0 = x + y x (x2 + y 2 ) ,
y 0 = x + y y (x2 + y 2 ) ,
to the Fitzhugh-Nagumo equations :
v3
+ w r y) ,
3
= (v a + b w)/c ,
v 0 = c (v
w0
where
b = 0.8 ,
Note that if
c = 3,
a = 0
and
and
= 10 .
r = 0,
then a solution is
x = sin(t) ,
y = cos(t) ,
v(t) 0 ,
Continue this solution from r = 0 to, say, r = 10 .

208
w(t) 0 ,
3.0
4
2.5
3
max v
2.0
1.5
2
1.0
1
0.5
0.0
Forcing amplitude r
10
Figure 51: Continuation from r = 0 to r = 10 . Solution 1 is unstable. Solution

2 corresponds to a torus bifurcation.
209
v(t)
3
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1.0
Scaled time
Figure 52: Some solutions along the path from r = 0 to r = 10 .
210
NOTE:
The starting solution at r = 0, with v = w = 0, is unstable.

The oscillation becomes stable when r passes the value rT 4.52 .
At r = rT there is a torus bifurcation.
211
General Non-Autonomous Systems

If the forcing is not periodic, or difficult to model by an autonomous oscillator,
then the equations can be rewritten in autonomous form as follows:
u0 (t) = f ( t , u(t) ) ,
u() , f () Rn ,
b( u(0) , u(1) ) = 0 ,
b() Rn ,
t [0, 1] ,
can be transformed into

u0 (t) = f ( v(t) , u(t) ) ,
v 0 (t) = 1 ,
v() R ,
b( u(0) , u(1) ) = 0 ,
v(0) = 0 ,
which is autonomous, with n + 1 ODEs and n + 1 boundary conditions.
212
Periodic Solutions of Conservative Systems

EXAMPLE:
u01 = u2 ,
u02 = u1 (1 u1 ) .
PROBLEM:
This equation has a family of periodic solutions, but no parameter !
This system has a constant of motion, namely the Hamiltonian

H(u1 , u2 ) =
1 2
1 2
1 3
u1
u2 +
u .
2
2
3 1
213
REMEDY:
Introduce an unfolding term with unfolding parameter :
u01 = u1 u2 ,
u02 = u1 (1 u1 ) .
Then there is a vertical Hopf bifurcation from the trivial solution at = 0 .
(This is AUTO demo lhb; see Figures 33 and 34.)
214
1.2
1.0
norm
0.8
0.6
0.4
0.2
0.0
0.2
1.0
0.5
0.0
0.5
1.0
Figure 53: Bifurcation diagram of the linear Hopf bifurcation problem.

215
NOTE:
The family of periodic solutions is vertical.
The parameter is solved for in each continuation step.
Upon solving, is found to be zero, up to numerical precision.
One can use standard BVP continuation and bifurcation software.
216
EXAMPLE : The Circular Restricted 3-Body Problem (CR3BP).
x00 = 2y 0 + x
(1 ) (x + )
(x 1 + )
,
3
r1
r23
y 00 = 2x0 + y
z 00 =
where
r1 =
and
(1 ) y
y
3 ,
3
r1
r2
(1 ) z
z
3 ,
3
r1
r2
(x + )2 + y 2 + z 2 ,
r2 =
( x , y , z) ,
denotes the position of the zero-mass body.

For the Earth-Moon system 0.01215 .
217
(x 1 + )2 + y 2 + z 2 .
The CR3BP has one integral of motion, namely, the Jacobi-constant:
J =
x02 + y 02 + z 02
1
U (x, y, z)
,
2
2
where
U =
1 2
1
(x + y 2 ) +
+
,
2
r1
r2
where
r1 =
(x + )2 + y 2 + z 2 ,
r2 =
218
(x 1 + )2 + y 2 + z 2 .
BOUNDARY VALUE FORMULATION:

x0 =
y0 =
z0 =
T vx ,
T vy ,
T vz ,
vx0 =
vy0 =
T [ 2vy + x (1 )(x + )r13 (x 1 + )r23 + vx ] ,

T [ 2vx + y (1 )yr13 yr23 + vy ] ,
vz0 =
T [ (1 )zr13 zr23 + vz ] ,
with periodicity boundary conditions

x(1) = x(0) ,
vx (1) = vx (0) ,
y(1) = y(0) ,
vy (1) = vy (0) ,
z(1) = z(0) ,
vz (1) = vz (0) ,
+ phase constraint + pseudo-arclength equation.

219
NOTE:
One can use standard BVP continuation and bifurcation software.
The unfolding term v regularizes the continuation.
will be zero, once solved for.
Other unfolding terms are possible.
220
Families of Periodic Solutions of the Earth-Moon system.

221
The planar Lyapunov family L1.

222
The Halo family H1.

223
The Halo family H1.

224
The Vertical family V1.

225
The Axial family A1.

226
Following Periodic Orbit Folds

Fold-following algorithms also apply to folds along solution families of boundary
value problems and, in particular, folds along families of periodic solutions.
227
(AUTO demo abc.)
The equations are

u01
= u1 + D(1 u1 )eu3 ,
u02
= u2 + D(1 u1 )eu3 Du2 eu3 ,
u03
= u3 u3 + DB(1 u1 )eu3 + DBu2 eu3 ,
with
=1
= 0.04
We will compute solutions for varying D and .
228
B=8 .
10
9
8
max u3
13
8
9
11
6
5
12
7
10
10
3
2
2
2
1
0.20
0.22
0.24
0.26
0.28
0.30
0.32
0.34
0.36
Damkohler number
Figure 54: Stationary and periodic solutions of demo abc; = 1.55.

229
Recall that periodic orbits families can be computed using the equations
u0 (t) T f ( u(t) , ) = 0 ,
u(0) u(1) = 0 ,
Z 1
0
u(t) u0 (t) dt = 0 ,
where u0 is a reference orbit, typically the latest computed orbit.
The above boundary value problem is of the form

F( X , ) = 0 ,
where
X = (u, T ).
230
At a fold with respect to we have

FX ( X , ) = 0 ,
< , >
where
X = (u, T )
= 1.
= (v, S),
or, written in detail,

v0 (t) T fu ( u(t) , ) v S f ( u(t) , ) = 0 ,
v(0) v(1) = 0 ,
Z 1
0
Z 1
0
v(t) u0 (t) dt = 0 ,
v(t) v(t) dt + S 2 = 1 .
231
The complete extended system to follow a fold is

F( X , , ) = 0 ,
FX ( X , , ) = 0 ,
< , > 1 = 0,
with two free problem parameters and .
To the above we add the pseudo-arclength equation

0 > + < 0 ,
0 > + (0 ) 0 + (0 ) 0 s = 0 .
< XX0 , X
232
In detail:
u0 (t) T f ( u(t) , , ) = 0 ,
u(0) u(1) = 0 ,
Z 1
0
u(t) u0 (t) dt = 0 ,
v0 (t) T fu ( u(t) , , ) v S f ( u(t) , , ) = 0 ,

v(0) v(1) = 0 ,
Z 1
with normalization
Z 1
0
v(t) v(t) dt + S 2 1 = 0 ,
and pseudo-arclength equation

Z 1
0
v(t) u0 (t) dt = 0 ,
(u(t) u0 (t)) u 0 (t) dt +
Z 1
0
(v(t) v0 (t)) v 0 (t) dt +
+ (T0 T )T0 + (S0 S)S 0 + ( 0 ) 0 + ( 0 ) 0 s = 0 .

233
1.62
6
1.61
10
1.60
1.59
1.58
1.57
12
1.56
1.55
0.21
0.22
0.23
0.24
0.25
0.26
0.27
0.28
Damkohler number
Figure 55: The locus of periodic solution folds of demo abc.

234
10
9
8
max u3
13
8
9
11
6
5
12
7
10
10
3
2
2
2
1
0.20
0.22
0.24
0.26
0.28
0.30
0.32
0.34
0.36
Damkohler number

235
10
9
8
13
8
max u3
11
12
10
10
4
3
2
2
2
1
0.20
0.22
0.24
0.26
0.28
0.30
0.32
0.34
0.36
Damkohler number

236
10
9
12
14
max u3
15
11
11
13
13
7
7
4
10
3
4
10
4
3
2
1
0.20
2
2
0.22
0.24
0.26
0.28
0.30
0.32
0.34
0.36
Damkohler number

237
10
9
10
max u3
11
13
12
9
5
8
3
3
3
2
1
0.20
2
2
0.22
0.24
0.26
0.28
0.30
0.32
0.34
0.36
Damkohler number

238
10
9
8
10
13
max u3
11
12
9
5
4
4
8
3
2
3
2
2
1
0.20
0.25
0.30
0.35
0.40
Damkohler number

239
10
9
8
10
max u3
11
9
5
4
7
4
2
3
2
2
1
0.20
0.25
0.30
0.35
0.40
Damkohler number

240
Following Hopf Bifurcations

We consider the persistence of a Hopf bifurcation as a second parameter is varied,
and we give an algorithm for computing a 2-parameter locus of Hopf bifurcation
points.
241
A Hopf bifurcation along a stationary solution family (u(), ) , of

u0 = f (u, ) ,
occurs when a complex conjugate pair of eigenvalues
() i () ,
of fu (u(), ) crosses the imaginary axis transversally , i.e., for some 0 ,
(0 ) = 0 ,
(
0 ) 6= 0 ,
and
0 = (0 ) 6= 0 ,
also assuming there are no other eigenvalues on the imaginary axis.

The assumptions imply that fu0 is nonsingular , so that stationary solution
family can indeed be parametrized locally using .
The right and left complex eigenvectors of fu0 = fu (u(0 ), 0 ) are defined by
fu0 0 = i 0 0
(fu0 ) 0 = i 0 0 .
242
Transversality and Persistence

THEOREM. The eigenvalue crossing in the Hopf Bifurcation Theorem is transversal if
0
0
Re ( 0 [fuu
(fu0 )1 f0 fu
] 0 ) 6= 0 .
PROOF. Since the eigenvalue
i 0 ,
is algebraically simple, there is a smooth solution family (at least locally) to the
parametrized right and left eigenvalue-eigenvector equations :
with
(Above,
(a)
fu (u() , ) () = () () ,
(b)
() fu (u(), ) = () () ,
(c)
() () = 1,
(and also () () = 1) ,
(0 ) = i 0 .
denotes conjugate transpose.)

243
fu (u() , ) () = () () , () fu (u(), ) = () () , () () = 1
Differentiation with respect to gives
Multiply
and
(a)
+ fu + fu =
fuu u
+ ,
(b)
fuu u + fu + fu =
+ ,
(c)
+ = 0 .
(a) on the left by ,

(b) on the right by ,
to get
(a)
fuu u + fu + fu = + ,
(b)
fuu u + fu + fu = + .
244
fuu u + fu + fu = +
fuu u + fu + fu = +
Adding the above, and using
fu + fu
| {z }
|{z}
= ( + ) =
( ) = 0 ,
d | {z }
=1
we find
= [fuu u + fu ] .
245
= [fuu u + fu ]
From differentiating
f (u(), ) = 0 ,
with respect to , we have
u = (fu )1 f ,
so that
= [fuu (fu )1 f + fu ]
Thus the eigenvalue crossing is transversal if

0
0
(0)
= Re( 0 ) = Re( 0 [fuu

(fu0 )1 f0 fu
] 0 ) 6= 0 .
246
NOTE:
The transversality condition of the Theorem, i.e.,
0
0
] 0 ) 6= 0 ,
(fu0 )1 f0 fu
Re ( 0 [fuu
is also needed for persistence of the Hopf bifurcation, as discussed below.
247
The extended system for following Hopf bifurcations is
F(u, , , ; )
where
F
f (u, , ) = 0 ,
fu (u, , ) i = 0 ,
0 1 = 0 ,
Rn Cn R2 R
Rn Cn C ,
and to which we want to compute a solution family

(u, , , , ),
with
u Rn ,
Cn ,
, , R .
Above 0 belongs to a reference solution

( u0 , 0 , 0 , 0 , 0 ) ,
which typically is the latest computed solution point of a family.
248
First consider parametrizing in the second parameter , i.e., we seek a family

( u() , () , () , () ) .
(In practice, pseudo-arclength continuation is used.)
The derivative with respect to
(u, , , ),
at the solution point
is
( u0 , 0 , 0 , 0 , 0 ) ,
fu0
0
fuu 0
O
fu0
i0 I
0
249
f0
i0
0
fu
0
(12)
The Jacobian is of the form
C
0
O
D
0
0
i0
0
c1
c2 ,
0
where
A = fu0
and
with
where
(nonsingular),
0
C = fuu
0 ,
c1 = f0 ,
D = fu0 i 0 I ,
0
0 ,
c2 = fu
N (D) = Span{0 } ,
N (D ) = Span{ 0 } ,
0 0 = 1 ,
0 0 = 1 .
250
THEOREM.
If the eigenvalue crossing is transversal, i.e., if
Re( 0 ) 6= 0 ,
then the Jacobian matrix (12) is nonsingular.
Hence there locally exists a solution family
( u() , () , () , () )
to the extended system
F( u , , , ; ) = 0 ,
i.e., the Hopf bifurcation persists under small perturbations of .
251
PROOF. We prove this by constructing a solution

x Rn ,
to
where
A
C
0
O
D
0
0
i0
0
f Rn ,
From the first equation

we have
y Cn ,
z1 , z2 R ,

x
c1
f
y

c2 = g ,
z1
0
h
z2
g Cn ,
hC.
Ax + z2 c1 = f ,
x = A1 f z2 A1 c1 .
The second equation can then be written

C A1 f z2 C A1 c1 + D y z1 i 0 + z2 c2 = g .
252
C A1 f z2 C A1 c1 + D y z1 i 0 + z2 c2 = g .
Multiply on the left by 0 to get
0 C A1 f z2 0 C A1 c1 z1 i 0 0 + z2 0 c2 = 0 g .
Recall that
Defining
we have
0 0 = 1 .
f C A1 f ,
c1 C A1 c1 .
i z1 + 0 (c1 c2 ) z2 = 0 (f g) .
Computationally f and c1 are obtained from

A f = f
A c1 = c1 ,
f = C f
c1 = C c1 .
253
i z1 + 0 (c1 c2 ) z2 = 0 (f g)
Separate real and imaginary part of this equation, and use the fact that
z1 and z2 are real ,
to get
Re( 0 [c1 c2 ] ) z2 = Re( 0 [f g] ) ,

z1 + Im( 0 [c1 c2 ] ) z2 = Im( 0 [f g] ) ,
from which
z2 =
0 [f
0 [c1
Re(
Re(
g] )
c2 ] )
z1 = z2 Im( 0 [c1 c2 ] ) + Im( 0 [f g] ) .
254
Now solve for x in

A x = f z2 c1 ,
and compute a particular solution yp to
D y = g C x + i z1 0 z2 c2 .
Then
y = yp + 0 ,
C.
The third equation is

0 y = 0 yp + 0 0 = h ,
from which, using 0 0 = 1 ,
= h 0 yp .
255
The above construction can be carried out if

Re( 0 [c1 c2 ] ) 6= 0 .
However, using the definition of c1 and c2 , we have

Re( 0 [c1 c2 ] )
= Re( 0 [C A1 c1 c2 ] )
0
0
= Re( 0 [fuu
0 (fu0 )1 f0 fu
0 ] )
0
0
(fu0 )1 f0 fu
] 0 )
= Re( 0 [fuu
= Re( 0 ) 6= 0 .
256
Practical Continuation of Hopf Bifurcations

Recall that the extended system for following Hopf bifurcations is
F(u, , , ; )
where
F
f (u, , ) = 0 ,
fu (u, , ) i = 0 ,
0 1 = 0 ,
Rn Cn R2 R
Rn Cn C ,
and to which we want to compute a solution family

(u, , , , ),
with u Rn ,
Cn ,
, , R .
In practice, we treat as an unknown, and add the continuation equation

(u u0 ) u 0 + ( 0 ) 0 + ( 0 ) 0 + ( 0 ) 0 + ( 0 ) 0 s = 0 .
257
EXERCISE.
Investigate the Hopf bifurcations in the system
u01 (t) = u1 (1 u1 ) p4 u1 u2 ,
u02 (t) =
1
4
u2 + p4 u1 u2 3 u2 u3 p1 (1 e5u2 ) ,
u03 (t) =
1
2
u3 + 3 u2 u3 .
This is the predator-prey model where,

u1 plankton,
u2 fish,
u3 sharks,
(See also Figure 43.)
258
p1 fishing quota.
1.4
1.2
max plankton
1.0
0.8
0.6
0.4
0.2
0.0
0.0
0.1
0.2
0.3
0.4
0.5
quota

259
4.00
3.75
p4
3.50
3.25
3.00
2.75
0.10
0.15
0.20
0.25
0.30
0.35
0.40
0.45
0.50
0.55
quota
Figure 63: Loci of Hopf bifurcations for the 3-species model.

260
1.2
max plankton
1.0
0.8
0.6
0.4
0.2
0.0
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
quota

261
EXERCISE. (AUTO demo abc-hb .)
Compute loci of Hopf bifurcation points for the A B C reaction

u01
= u1 + D(1 u1 )eu3 ,
u02
= u2 + D(1 u1 )eu3 Du2 eu3 ,
u03
= u3 u3 + DB(1 u1 )eu3 + DBu2 eu3 ,
with
=1
= 0.04
and varying D and .
262
B=8 ,
2.2
2.1
2.0
1.9
1.8
1.7
1.6
1.5
1.4
1.3
1.2
0.1
0.2
0.3
0.4
0.5
0.6
Damkohler number
Figure 65: A locus of Hopf bifurcations.

263
0.7
0.8
L2 -norm
0
0.10
0.15
0.20
0.25
0.30
0.35
0.40
Damkohler number
Figure 66: Diagrams for = 1.2 , 1.3 , 1.4 , 1.5 , 1.6 , 1.7 , 1.8 .
264
Stable and Unstable Manifolds
One can also use continuation to compute solution families of IVP.
In particular, one can compute stable and unstable manifolds .
265
EXAMPLE: The Lorenz Equations.
where
(AUTO demos lor, lrz, man.)
x0
= (y x) ,
y0
= x y xz,
z0
= xy z,
= 10
and
266
= 8/3 .
Figure 67: Bifurcation diagram of the Lorenz equations.

267
NOTE:
The zero solution is unstable for > 1 .
Two nonzero stationary solutions bifurcate at = 1 .
The nonzero stationary solutions become unstable for > H .
At H ( H 24.7 ) there are Hopf bifurcations.
Unstable periodic solutions emanate from each Hopf bifurcation.
These families end in homoclinic orbits (infinite period) at 13.9 .
For > H there is the famous Lorenz attractor.

268
Figure 68: Unstable periodic orbits of the Lorenz equations.

269
The Lorenz Manifold

For > 1 the origin is a saddle point .
The Jacobian has two negative eigenvalues and one positive eigenvalue.
The two negative eigenvalues give rise to a 2D stable manifold .
This manifold is known as as the Lorenz Manifold .
The Lorenz Manifold helps us understand the Lorenz attractor .

270
The Lorenz Equations: rho = 60

175
150
125
100
75
50
25
0
-30
-20
-10
0
X
10
20
30
Figure 69: Three orbits whose initial conditions agree to >11 decimal places !
271
Figure 70: A small portion of a Lorenz Manifold

272
Figure 71: Intersection of a Lorenz Manifold with a sphere ( = 35, R = 100).

273

274

275
How was the Lorenz Manifold computed?

First compute an orbit u0 (t) , for t from 0 to T0 (where T0 < 0) , with
u0 (0) close to the origin 0 ,
and
u0 (0) in the stable eigenspace spanned by v1 and v2 ,

that is,
u0 (0) = 0 +
cos(2)
sin(2)
v1
v2
|1 |
|2 |
for, say, = 0 .
276
Scale time
t
t
,
T0
Then the initial orbit satisfies

u00 (t) = T0 f ( u0 (t) ) ,
and
u0 (0) =
for 0 t 1 ,

v1 .
|1 |
The initial orbit has length

L = T0
Z 1
0
|| f (u0 (s)) || ds .
277
Thus the initial orbit corresponds to a solution X0 of the equation

F(X) = 0 ,
where
F(X)
with
u0 (t) T f (u(t))
u(0)
T
R1
0
cos()
|1 |
v1
sin()
|2 |
v2
|| f (u) || ds L
X = ( u() , , T ) ,
(for given L and ) ,
and
X0 = ( u0 () , 0 , T0 ) .
278
As before, the continuation system is

F(Xk ) = 0 ,
k1 > s = 0 ,
< Xk Xk1 , X
k1 k = 1 ) ,
( kX
and
X = ( u() , , T ) ,
(keeping L and fixed) ,
X = ( u() , , L ) ,
(keeping T and fixed) ,
or
or ( for computing the starting orbit u0 (t) ) ,

X = ( u() , L, T ) ,
(keeping and fixed) .
Other variations are possible .
279
NOTE:
We do not just change the initial point (i.e., ) and integrate !
Every continuation step requires solving a boundary value problem.
The continuation stepsize s controls the change in X .
X cannot suddenly change a lot in any continuation step.
This allows the entire manifold to be computed.
280
NOTE:
Crossings of the Lorenz manifold with the plane z = 1 can be located.
Connections between the origin and the nonzero equilibria can be located.
There are subtle variations on the algorithm !
281
Figure 74: Crossings of the Lorenz Manifold with the plane z = 1

282
Heteroclinic connections
During the computation of the 2D stable manifold of the origin one can
locate heteroclinic orbits between the origin and the nonzero equilibria.
The same heteroclinic orbits can be detected during the computation of

the 2D unstable manifold of the nonzero equilibria.
283
Representation of the orbit family in the stable manifold.

284
A heteroclinic connection in the Lorenz equations.

285
Another heteroclinic connection in the Lorenz equations.

286
and another
287
and another
288
This continuation located 512 connections!

289
NOTE:
The heteroclinic connections have a combinatorial structure.
We can also continue each heteroclinic connection as varies.
They spawns homoclinic orbits, having their own combinatorial structure.
These results shed some light on the Lorenz attractor as changes.
More details:
E. J. Doedel, B. Krauskopf, H. M. Osinga, Global bifurcations of the Lorenz
model, Nonlinearity 19, 2006, 2947-2972.
290
Example:
The Circular Restricted 3-Body Problem
x00 = 2y 0 + x
(1 ) (x + )
(x 1 + )
,
3
r1
r23
y 00 = 2x0 + y
z 00 =
where
y
(1 ) y
3 ,
3
r1
r2
(1 ) z
z
3 ,
3
r1
r2
( x , y , z) ,
is the position of the zero-mass body, and

r1 =
(x + )2 + y 2 + z 2 ,
r2 =
For the Earth-Moon system 0.01215 .

291
(x 1 + )2 + y 2 + z 2 .
The CR3BP has one integral of motion, namely, the Jacobi-constant :
(x0 )2 + (y 0 )2 + (z 0 )2
1
U (x, y, z)
,
2
2
where
U
1 2
1
(x + y 2 ) +
+
,
2
r1
r2
and
r1 =
(x + )2 + y 2 + z 2 ,
r2 =
292
(x 1 + )2 + y 2 + z 2 .
BOUNDARY VALUE FORMULATION:

x0 =
y0 =
z0 =
T vx ,
T vy ,
T vz ,
vx0 =
vy0 =
T [ 2vy + x (1 )(x + )r13 (x 1 + )r23 + vx ] ,

T [ 2vx + y (1 )yr13 yr23 + vy ] ,
vz0 =
T [ (1 )zr13 zr23 + vz ] ,
with periodicity boundary conditions

x(1) = x(0) ,
vx (1) = vx (0) ,
y(1) = y(0) ,
vy (1) = vy (0) ,
z(1) = z(0) ,
vz (1) = vz (0) ,
+ phase constraint + continuation equation.

293
NOTE:
The unfolding term v regularizes the continuation.
will be zero, once solved for.
Other unfolding terms are possible.
The unfolding term allows using BVP continuation.
294
Families of Periodic Solutions of the Earth-Moon system.

295
A family of Halo orbits.

296
NOTE:
Small Halo orbits have one real Floquet multiplier outside the unit circle.
Such Halo orbits are unstable .
They have a 2D unstable manifold .
297
Continuation, keeping the endpoint x(1) fixed.

298
NOTE:
The unstable manifold can be computed by continuation .
First compute a starting orbit in the manifold.
Then continue the orbit keeping, for example, x(1) fixed .
299
NEW1:Continuation, keeping the endpoint x(1) fixed.

300

301

302

303

304

305

306

307

308

309

310

311

312

313

314

315

316

317

318

319

320

321

322

323

324

325

326

327

328

329

330

331

332

333

334

335

336

337

338

339

340

341

342

343

344

345

346

347

348

349
NOTE:
Continuation with x(1) fixed can lead to a Halo-to-torus connection.
This heteroclinic connection can be continued as a solution to

F( Xk ) = 0 ,
k1 > s = 0 .
< Xk Xk1 , X
where
X = ( Halo orbit , Floquet function , connecting orbit) .
350
Traveling Waves
One can also use continuation to compute traveling wave phenomena.
We illustrate this for a particular model from Biology.
351
Wave Phenomena in a Distributed System
We want to find traveling waves in a parabolic PDE.
The PDE has one space dimension.
Traveling waves are periodic solutions of a reduced ODE system.
Solitary waves correspond to homoclinic orbits in the reduced system.
Moving fronts are heteroclinic orbits in the reduced system.
Thus ODE continuation techniques can be used.
352
An Enzyme Model
We consider an enzyme catalyzed reaction involving two substrates.
The reaction takes place inside a single compartment.
A membrane separates the compartment from an outside reservoir.
In the reservoir the substrates are kept at a constant level.
Enzymes are embedded in the membrane.
The enzymes activate the reaction.
353
A simple model of such a reaction is

s0 (t)
(s0 s) R(s, a) ,
a0 ((t)
= (a0 a) R(s, a) .
s and a denote the concentrations of two chemical species.
The reaction takes place inside a compartment .
An excess of concentration of s inhibits the reaction.
a always activates the reaction.
The reaction rate is proportional to

R(s, a) =
a
s
.
1 + a 1 + s + 2 s2
s0 and a0 are the constant concentrations in the outside reservoir .
The reaction is catalyzed by an enzyme.

354
This equation has been used to model a reaction with

and catalyzed by
substrates Oxaloacetate
and NADH ,
Malate Deshydrogenase .
In this case appropriate parameter values are:

1 = 3.4 ,
2 = 0.023 ,
= 0.2 .
Thus there are three parameters left, namely,

s0
First we also fix
a0
= 210 ,
and we use
for each of the values
a0 as bifurcation parameter ,
s0 = 143.0 ,
s0 = 144.5 ,
355
s0 = 145.0 .
200
L2-norm
150
100
50
0
590
600
610
620
630
640
650
660
a0
Bifurcation diagram of the ODE for s0 = 143.0, = 210.
Red: Stationary states ; Blue: Periodic orbits.
The periodic family connects two Hopf bifurcations .
Solid: Stable ;
Dashed: Unstable.
356
670
200
L2-norm
150
100
50
0
590
600
610
620
630
a0
640
650
660

The periodic family ends in a saddle-node homoclinic orbit .
357
670
200
L2-norm
150
100
50
0
590
600
610
620
630
a0
640
650
660

The periodic family ends in a saddle homoclinic orbit .
358
670
140
120
100
80
60
40
20
0
10
15
20
25
30
35
40
The saddle homoclinic orbit that terminates the periodic family.

(s0 = 145.0 ; The two stationary points are also indicated.)
359
45
NOTE:
For s0 = 143 a family of stable periodic orbits connects the Hopf points.
For s0 = 144.5 there is only one Hopf bifurcation.
At the other end the family ends in a saddle node homoclinic orbit .
For s0 = 145 there is also only one Hopf bifurcation.
At the other end the family ends in a saddle homoclinic orbit .
The bifurcation diagrams are shown superimposed in the next Figure.
360
200
L2-norm
150
100
50
0
590
600
610
620
630
a0
640
650
The superimposed bifurcation diagrams.

361
660
670
148
147
s0
Hom
LP
146
HB
LP
145 s0 = 145
s0 = 144.5
144
143 s0 = 143
142
580
600
620
640
a0
660
680
700
Loci of folds, Hopf bifurcations, and homoclinic orbits.

362
720
NOTE:
The preceding 2-parameter diagram shows loci of singular points .
(Loci of folds , Hopf bifurcations , and homoclinic orbits .)
There is a cusp on the locus of folds in the 2-parameter diagram.
The Hopf bifurcation locus terminates on the fold locus near the cusp.
At this end point the Hopf bifurcation has infinite period .
(The steady state Jacobian has a double zero eigenvalue there.)
(The geometric multiplicity of this eigenvalue is 1 .)
This singular point is called a Takens-Bogdanov (TB) bifurcation.

363
NOTE: continued
The locus of homoclinic orbits also emanates from the TB point.
Part of the locus of homoclinic orbits follows the fold locus.
These homoclinic orbits are called saddle-node homoclinic orbits .
The stationary point on these homoclinic orbits is a fold point.
(Thus this stationary point has a zero eigenvalue .)
Compare the 2-parameter diagram to the 1-parameter diagrams !
364
The Enzyme Model with Diffusion

Now consider the s-a system with diffusion , namely, the PDE
st
= sxx [R(s, a) (s0 s)] ,
at = axx [R(s, a) (a0 a)],

with, as before, a0 as a free parameter , and
and
= 210
s0 = 145
1 = 3.4
,
=5
2 = 0.023 ,
,
=3.
Look for traveling waves:

s(x, t) = s(x ct)
a(x, t) = a(x ct) .
This reduces the PDE to two coupled ODEs:

s00
= cs0 + [R(s, a) (s0 s)] ,
a00
= c a0 + [R(s, a) (a0 a)] .

365
Rewrite the reduced system

s00
= cs0 + [R(s, a) (s0 s)] ,
a00
= c a0 + [R(s, a) (a0 a)] ,
as a first order system

s0
= u,
u0
= cu + [R(s, a) (s0 s)] ,
a0
= v,
v0
= c v +
[R(s, a)
(a0 a)] .
The stationary states satisfy

u = v = 0,
R(s, a) (s0 s) = 0 ,
R(s, a) (a0 a) = 0 .
366
NOTE:
The stationary states do not depend on the wave speed c.
The stationary states are those of the system without diffusion .
The Jacobian of the stationary states now depends on c.
Thus the Hopf bifurcations need not be present.
However, for large c there must be a Hopf bifurcation.
The Hopf bifurcation approaches the ODE Hopf as c gets large.
Thus there are PDE wave trains for large c , when s0 = 145. .
The ODE homoclinic orbit implies PDE solitary waves for large c.
367
Wave Trains and Solitary Waves

For the first bifurcation diagram for the reduced system we use c = 100 .
Indeed, we find that
The stationary states are those of the system without diffusion .
There is a Hopf bifurcation near the ODE Hopf bifurcation.
The family of periodic orbits indeed ends in a homoclinic orbit .
368
200
L2-norm
150
100
50
0
590
600
610
620
630
a0
640
650
660
Bifurcation diagram of the reduced system for c = 100.

369
670
From the diagram for c = 100 we can conclude that
The PDE has wave trains of wave speed c = 100 .
The PDE has a solitary wave of wave speed c = 100 .
Note that
Stabilities are different from those for the system without diffusion.
(The diagrams do not show stability now.)
Next:
Are there low speed wave trains and low speed solitary waves ?
To find out we compute the locus of homoclinics of the reduced system .
As free parameters we use a0 and the wave speed c .

370
1.0
Wave Speed
0.8
0.6
Wave speeds
c = 0.747
c = 0.7
c = 0.6
c = 0.5
c = 0.47
0.4
c = 0.4
0.2
0.0
600
610
620
a0
630
640
650
The locus of solitary waves. (Shown for smaller values of the wave speed.)
371
From the preceding diagram we can draw the following conclusions :
For wave speeds between 0.48 and 0.77 there are three solitary waves .
These are at at different a0 -values, but have the same wave speed .
Near a0 = 605 there is a solitary wave of wave speed zero .
(This is a stationary wave .)
The circled special point will be discussed later.
We first show a 1-parameter diagram for c = 0.4 .
372
200
L2-norm
150
100
50
0
590
600
610
620
630
640
650
660
a0
Bifurcation diagram of the reduced system for c = 0.4.
The blue branch represents wave trains.
Its homoclinic end point is a solitary wave.
Stability is not shown in this diagram.
373
670
For the diagram for c = 0.4 we note that
There is a fold on the wave train family.
We can compute the locus of such folds for varying a0 and c .
We can also compute the locus of Hopf points for varying a0 and c .
We add these loci to the diagram with the locus of solitary waves .
We also show 1-parameter diagrams for more values of c .
374
2.0
Wave Speed
1.5
Hom
HB
1.0
Hom
0.5
PLP
0.0
635
636
637
638
639
a0
640
641
642
Homoclinic orbits (solitary waves), Hopf bifurcations, and folds.

375
643
200
L2-norm
150
100
50
0
590
600
610
620
630
a0
640
650
660

376
670
200
L2-norm
150
100
50
0
590
600
610
620
630
a0
640
650
660

377
670
200
L2-norm
150
100
50
0
590
600
610
620
630
a0
640
650
660

378
670
200
L2-norm
150
100
50
0
590
600
610
620
630
a0
640
650
660

379
670
200
3
L2-norm
150
1
100
50
0
590
600
610
620
630
a0
640
650
660

380
670
NOTE:
There is a fold w.r.t. the wave speed c on the solitary wave locus.
(This fold is near c = 0.45 , a0 = 637.2 .)
Two new solitary waves appear at that point.

2.0
Wave Speed
1.5
Hom
HB
1.0
Hom
0.5
PLP
0.0
635
636
637
638
639
a0
381
640
641
642
643
Now consider the circled point near a0 = 638.5 , c = 0.749 :
It then represents a transition from one solitary wave to another.
In the diagram for c = 0.747 note the near-vertical family.
It is a wave-train family connecting the solitary waves 1 and 3 .
At the section through the circled point the family is exactly vertical .
2.0
Wave Speed
1.5
Hom
HB
1.0
Hom
0.5
PLP
0.0
635
636
637
638
639
a0
382
640
641
642
643
160
140
2
120
100
80
60
40
20
0
0.0
0.2
0.4
0.6
0.8
x
Three periodic solutions that represent solitary waves.
The independent variable has been scaled to the interval [0,1].
383
1.0
Traveling Waves on a Ring
We locate traveling wave solutions of given wave length L .
If necessary we put two or more waves in series to get wave length L .
For the choice L = 22 we found five distinct waves this way.
We can continue these for varying a0 and c , with L = 22 fixed .
This corresponds to computing traveling waves on a ring of size L = 22 .
Results are shown projected onto the a0 c-plane in the next diagram.
384
0.8
0.7
Wave Speed
0.6
0.5
0.4
0.3
7
0.2
11
0.1
0.0
600
605
610
615
620
625
630
External Concentration a0
635
Loci of traveling wave solutions on a ring of size L = 22.

385
640
Concentration s
50
40
30
20
10
A traveling wave on the ring. (The solution with label 7.)

386
Stationary Waves on a Ring
There are also families of stationary waves (patterns ) on the ring.
Like traveling waves, these are not unique .
(They can be phase shifted , i.e., rotated around the ring).
Such patterns can be found by time-integrating unstable traveling waves.
For example, traveling wave 11 is unstable .
After time integration it approaches a stationary wave .
This stationary wave is shown in the following diagram.

387
Concentration s
50
45
40
35
30
25
20
15
A stationary wave on the ring, obtained after time integration

of the unstable traveling wave with label 11.
388
NOTE:
Stationary waves can be continued as traveling waves with c = 0 .
A phase condition is necessary in this continuation.
(Because stationary waves can be phase-shifted.)
The next diagram shows a skeleton of the solution structure.
389
0.4
Wave Speed
0.3
0.2
25
50
0.1
75
600
610
125
620
630
640
a0
650
150
MA
X
590
100
175
660
Traveling waves, stationary waves and uniform states

390
NOTE:
The S-shaped curve with c = 0 represents spatially uniform states .
Other curves in the c = 0 plane represent stationary waves .
Curves that rise above the c = 0 plane represent traveling waves .
Time integration of unstable traveling waves gives other solutions .
For example, waves bouncing off each other are found.
Some of these are stable, while others are transient .
391

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Lecture Notes on

Newtons method for solving a nonlinear equation

may not converge if the initial guess is not close to a solution.

Actually, most equations already have parameters.

We discuss the persistence of solutions to such parameter-dependent equations.

The Implicit Function Theorem

Gu (u0 , 0 ) is nonsingular (i.e., u0 is an isolated solution) ,

G and Gu are smooth near u0 .

for all near 0 ,

See a good Analysis book

EXAMPLE: (AUTO demo hom.)

g(u, ) = (u2 1) (u2 4) + u2 ecu ,

where c is fixed, e.g., c = 0.1 .

has four solutions, namely,

gu (u, 0) = 4u3 10u ,

which are all nonzero.

Thus each of these solutions persists as becomes nonzero,

Four solution families of g(u, ) = 0 . Note the fold.

Each of the four solutions at = 0 is isolated .

Thus each of these solutions persists as becomes nonzero.

Only two of the four homotopies reach = 1 .

The two other homotopies meet at a fold .

IFT condition (ii) is not satisfied at this fold. (Why not?)

Consider the equation

Then the equation can be written

(with n rows and n + 1 columns)

In the parameter formulation,

(i) G0u is nonsingular,

Then, near x0 , there exists a unique one-dimensional solution family

Such a solution family is sometimes also called a solution branch .

EXAMPLE: The A B C reaction.

(AUTO demo abc.)

The equations are

= u2 + D(1 u1 )eu3 Du2 eu3 ,

= u3 u3 + DB(1 u1 )eu3 + DBu2 eu3 ,

D is the Damkohler number ,

= 1.21 is the heat transfer coefficient .

We compute stationary solutions for varying D.

Stationary solution families of the A B C reaction for = 1.15.

Examples of IFT Application

Here u1 may be thought of as fish and u2 as sharks, while the term

represents fishing, with fishing-quota .

The Jacobian matrix is

; eigenvalues 3,-1 (unstable) .

; eigenvalues -3,2 (unstable) .

All three Jacobians at = 0 are nonsingular.

In this problem we can explicitly find all solutions (see Figure 1) :

These solution families intersect at two branch points, one of which is

Figure 1: Stationary solution families of the predator-prey model. Solid/dashed

Figure 2: Stationary solution families of the predator-prey model, showing fish

Hence the trivial solution is :

This family has no stable positive solutions.

Stability of branch III :

- Branch III is followed until H 0.67 .

- Periodic solutions of increasing period until = 0.70 .

- Collapse to trivial solution (Branch I).

The Gelfand-Bratu Problem

u00 (x) + eu(x)

If = 0 then u(x) 0 is a solution.

Well prove that this solution is isolated, so that there is a continuation

u00 (x) + eu(x)

We must show (IFT) that

up (x) + 0 eu0 (x) up (x) = 0 ,