A classical paper on path following solution of nonlinear equations

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A classical paper on path following solution of nonlinear equations

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D. W. DECKER

North Carolina State University

AND

H. B. KELLER

California Institute of Technology

70th Birthday, June 14, 1980

1. Introduction

general nonlinear functional equations, say

try to describe such paths in the form

( 14

u = U(X),

parameterized by A, the real scalar occurring in the problem. When smooth arcs

of this form exist there are numerous constructive path following procedures that

can be used to generate them. However, all such procedures either fail or have

difficulties (slow convergence, small steps, etc.) as a singular point on the path

is approached. These are points [u(h),A]= [u,,&,], at which the Frechtt derivative

(1.3)

G,,!= DuG(uo,Ao)

does not have a bounded inverse.

An obvious device that can circumvent some of these difficulties is to use

another parameterization to represent the solution arcs, say

(1.4)

Several ways in which this can be done were introduced in [9] where s is either

arclength or an approximation to it called pseudo-arclength (distance along

This paper was received too late to be included in the special issue Volume 33, #3, 1980, of the

Communications on Pure and Applied Mathematics which was dedicated to Fritz John.

Communications on Pure and Applied Mathematics, Vol. XXXIV, 149-175 (1981)

CCC 0010-3640/81/020149-27602.70

1981 John Wiley & Sons, Inc.

150

adjoining to it a scalar constraint, say

(1-5)

N(u, A, s)

= 0,

( 1-6)

where x(s)

( 1*7)

F ( x ( s ) , s ) = 0,

F, ( x (s), 3) = 0,F( x (s), s),

singular. This occurs in particular at simple limit points and thus various

continuation procedures that do not work for ( I . 1) can be employed to solve

(1.6). These observations have been made in [9] but they will be demonstrated

again here and studied in more detail for the Euler-Newton and Euler-Chord

continuations.

However, at bifurcation points both G, and F, are singular and we devote

much of the current work to this case. In particular, the growth of ~ ~ ~ x - ( x ( s ) , s ) ~ ~

as simple bifurcation points are approached is determined. It depends crucially

on the vanishing of >;(s) = d A ( s ) / h . In any event we find that the growth of

1IG,-(u(s),A(s))(J is worse and thus our inflation procedure has advantages even

when it does not eliminate the singularity.

In Section 2 we recall some basic information about regular points, limit

points and bifurcation points. Then in Section 3 the inflated problem is introduced and we show that regular points and simple limit points go over into

regular points while bifurcation is preserved. Two path continuation methods are

studied in Section 4. The Euler-Newton and Euler-Chord methods are shown to

converge quadratically and linearly, respectively, away from bifurcation points.

In Section 5 the structure of F, is examined in the neighborhood of a simple

bifurcation point. This is used in Section 6 to justify continuation from a

bifurcation point (i.e., shooting). The allowable stepsize is studied and for both

Newton and Chord methods larger steps can be taken if > ; = O on the branch

being determined. Finally in Section 7, we study optimal convergence rates to a

simple bifurcation point. Now the Chord method has advantages over Newtons

method and again >; = 0 at bifurcation improves the situation.

Preliminary versions of the material contained in this paper appear in [4] and

[61*

2. Regular, Simple Bifurcation and Limit Points

The abstract formulation of the problem to be considered is of the form

(2.1)

G ( u, A) = 0,

151

Banach spaces with B, continuously imbedded in EIB,. We assume that G(., .) is

as smooth with respect to both u and A as required. The desire is to find solutions

of (2.1) for some range of the physical parameter A.

First, suppose one knows a solution point (#,,Ao). Then, provided the Frechet

G,(uo,&,), is

derivative of G with respect to u at (uo,A,,), denoted by G-:

nonsingular, the implicit function theorem of [ 1 11 guarantees a locally unique

solution arc (#(A), A). Thus for continuation through such regular points,

parameterization by A appears appropriate. However, in the neighborhood of

singular points of G," it may be unsatisfactory, and in' the next section a proper

choice of parameterization will be seen to be important.

For this reason, consider a smooth solution arc (u(s), A(s)) with the parameter as yet unspecified, and suppose G, is singular at some point (#(so), A(s,)). We

shall assume the singularity of G," to be of the following form:

N(G,") =span{+,},

11+111

1 9

(2.2)

R(G,") isclosed and codimR(G:)

= 1.

That is, G," is a Fredholm operator of index zero and its adjoint operator

G,,"' : EIB; + B: satisfies

(2.3)

N ( G,"*) = span{+:}

multiplicity one), and thus we may take

(2.4)

+?+I

1.

any smooth solution arc through (u(so), A(so)) = (uo,A,,).Differentiating

(2.5)

G(u(s),A(s)) = 0

G:uo

(2.6)

(2.7)

G,"ii,

+ G S 0 = 0,

Here &, --= dA(so)/ds,G,", is the bilinear form that is the second Frechet derivative of G with respect to u evaluated at (#,,A,,), etc.

The existence of a solution uo of (2.6) requires &,G! E R(G,O) or

(2.8)

A0d = 0,

+TGf.

152

or

d-0,

(9

d#O

(ii)

and Ao=O.

We shall call the second case a simple limit point, and it will later be shown that

no bifurcation can occur at such a point. Returning to the first case we consider

the problem for +o:

(2.9)

c+

;,

+ cx= 0, +p+o = 0.

(2.10)

where &, and El are at present arbitrary scalars. Now the existence of a solution

iio satisfying (2.7) requires

(2.1 1)

at:

+ 2bc,&-, + cE,Z = 0.

will correspond to the approximation to arclength of the following section). This

results in the algebraic bifurcation equations (ABE)

(2.13a)

(2.13b)

at:

+ 2b5,Q + CE;

= 0,

2t,2 + s: = 1,

with Jacobian

(2.14)

It can be shown (cf. [4], [5], [8]) that each isolated ( J #O) root

([;,r:)

of

153

(2.13) generates a smooth solution arc (u(s),A(s)), for s near so, of the form

where

$+(s)

(2.16)

= 0,

to( so) =

t:

&(so) = 4:.

This result is well known in other forms (cf. [I], [2], [ 1 11, [ 121).

Equations (2.13) can have at most two isolated roots and hence at most two

non-tangential solution arcs intersecting at (uo,Ao).

The main purpose of this work is to study continuation methods for following

a solution arc up to such a bifurcation point and to determine the subsequent

branching behavior.

We note that in a completely analogous fashion one may derive ABEs and

prove existence results when the eigenspace of G," is of dimension m > 1.

However, in this case multiple limit point bifurcation may also occur (cf. [5]).

Many of the results that follow can be extended to these situations.

We now describe a technique due to Keller [8] in which the parameter is

chosen to be an approximation to arclength along a solution curve. Suppose

(u,,&) is a know solution point of (2.1); we set (u(so),A(so)) = (uo,Xo) and

(zi(so), );(so)) = (zio,A0), where

(3.la)

G$i0

+ G$i0 = 0,

(3.lb)

Then for s near so we require u(s), h(s) to satisfy

(3.2a)

G(u(s),A(s)) = 0,

(3.2b)

Here u*(so) is an element of By, chosen such that llu*(s~)ll= IIWo)l( and

154

a*(so)u(so) = ~ ~ lThe

i(

normalization

~~)~

condition

~ ~N (.u , X , s ) = 0 may be viewed

as a local parameterization that approximates arclength along the solution curve.

Alternately, it may be considered a continuation method, which employs as a

parameter distance along a tangent ray (whose direction is given by (a(so), );(so))

(cf. [lo]). In any case the approach results in the inflated system of equations

(3.3)

)) ; ; : ; (

= F ( x , s ) = 0,

=@,A).

that is,

G,,(s)li(s)

(3.5)

U*(S0)li(S)

+ Gx(s)>;(s) = 0,

+ A(s0)A(s)= 1.

theorem, whose proof we include for completeness (cf. [9]).

THEOREM 3.6. Let (uo,&,) be a regular or simple limit point of G(u,X). Then

there exists a unique solution arc (x(s),s) of (3.3) through (uo,&,) for 1s - sol < 6,

some 6 > 0, and along this arc the Frechet derivative

(3.7)

is nonsingular.

Proof: The result will follow from the assumed smoothness of G ( . , .) and

the implicit function theorem provided

is nonsingular.

First suppose (uo,A,-,) is a regular point, so that G, is nonsingular. Then

# 0; for otherwise, li, = 0 from (3.la) which contradicts (3.lb). However, by

Lemma I (see the appendix), F;(x(so),so) is nonsingular provided S G i0

li,+(so)(G,)-Gf # 0. But in view of (3.1), S = l / i 0 # 0. On the other hand, if

>a

I55

= 0, G: B R(G:), N ( G ; ) = span{ u ( s o ) } ,

N(G;) n N(zi*(s,)) = ( 0 )

and so Fx(x(so),so)is nonsingular by Lemma I.

simple limit points of G = 0 become regular points of F = 0. As a consequence,

no bifurcation may occur in either case.

We now turn to the situation in which (uo,)b)is a simple bifurcation point.

Then one has (u,, &,) = (to+,+ tl+,,5,) as a solution of (2.6) and the ABE (2.13).

With an equivalent choice of norm in B, such that

IIf,1I2

(3.8)

t; + E l 5

equation (3.1) is satisfied and i ( s , ) E (uo,&,), x(so)= (u,, A,) satisfies the inflated

system (3.3)-(3.5) at s = so. This choice of norm also allows one to take

(3.10)

+ t,+;*

i*(s,) =to+:

(3.9)

+:

is chosen to satisfy

+,?$J~=

ail,

i , j = 0,l.

The behavior of the inflated linear operator at this bifurcation point is contained

in:

THEOREM

3.1 1. Let (uo,Ao) be a simple bifurcation point of G(u,A) and (&,,tl)

be a root of the A B E (2.13). Then the Frechet derivative

(3.12)

is a Fredholm operator of index zero with

(3.13)

(3.14)

N(F:)=span{@,},

where @ I

=( t l + O -tI250+1 ),

For 6, # 0 the zero eigenvalue is simple, for to= 0 it is of algebraic multiplicity two.

Proof:

(3.15)

G,". + aG:

(3.16)

= 0,

= 0.

156

with a and /?arbitrary. Then (3.16) forces

2a50 + Pt1= 0 with solution (up to scalar multiple) a = ti, p = -25,. Since

+ I B R(Gu9 it is only possible to solve

Fx(s0)@2

= @I

if &, = 0, and then one may take iP2 = (*I:*), where \k is the unique solution of

@:Fx(so)= 0, where

= (u*,a),

we get

u*Gf

(3.18)

+ ato= 0.

= 0, u* = &a\k* + &:, where \k* is the unique solution of

(G;)*\k*

+ +,!j= 0,

= (+t,O).

If

= 0,

at0(\k* Gf

(3.19)

+ I ) = 0.

a = 0 in (3.19), and hence @: is of the required form. In a similar fashion we find

a solution of

(F,o)*@: = 0,

(F,O)*Of = a?

(3.20)

a;

= (0,l).

= 1 and R(F:) is closed since R(G,O) is closed.

157

simple bifurcation point. The inflated structure when to= 0 will later be seen to

hold a distinct advantage over that of G in regard to the convergence of iterative

schemes.

Any smooth solution arc through xo = (uo,&,) must satisfy (since Fxx= F,

= 0)

(3.21)

F:X

(so) =

- F,O,

F:x(so) = - F ~ x i ( s o ) f ( s o ) .

(3.22)

the right-hand side to be in R ( F 3 . The result is

(3.23a)

(@:,O)F:xi(so)x(so)= u#

+ 2bf$5, + cto = 0.

(3.23b)

Thus the requirements for the existence of branching in F ( x , s ) are identical with

those, (2.13), of G(u,A), and bifurcation occurs simultaneously.

Now suppose x(s) is a smooth solution arc through x(so), a known regular,

simple limit or bifurcation point. Under what conditions can one construct

solutions for s near so? The continuation procedure to be used will be a single

Euler step, coupled with either the Chord or Newton method. That is, from the

known solution point (x(so),so), one constructs an initial guess for the solution at

s = so + As from

(4-1)

(44

Fx(x(so),so)f(so)

xO(s) = x(so)

- Fx(x(so)9so),

+ (s - so)X(s0).

(Chord)

F , ( ~ ~ ( s ) , s ) ( x +~ (x s )( s ) ) = - F ( x ( s ) , s ) ,

= 0, 1,

...,

158

or

(Newton)

v = 0,1,

...,

(4.4)

Now on some punctured interval 0 < 1s - so I S S we define

M ( s ) = ll~;'(x(s),~)ll,

(9

(4.5)(ii)

K(S)

= max

Ili(t)ll,

Sg<l<S

Sufficient conditions for convergence of the Chord method may then be stated as

(cf. [91)

THEOREM

4.6. Assume, for some s with 0 < 1s - sol < S , that

(4.7)

M ( s ) K ( s ) r ( s )< Q)

< 51

and

IIF,- ' (x (s), s)( F, (xO(S)' 3) - F, (x (s), s)) II M(s ) K (s)r( s) < 8 (s),

the Banach lemma insures the invertibility of Fx(xo(s),s)and

I59

= 0), then

From this, one may view equations (4.7)-(4.8) as determining the allowable

first iterate error r(s). Since r ( s ) 5 t ( s - s ~ ) ~ K ( s ) ,convergence is assured provided M ( s ) and K(s) are well-behaved as s + so. Indeed a maximum step-size

may be estimated from

(4.9)

K(S)M(S)K(S)(S

- So)2 < f .

For Newtons method, the well known Kantorovich conditions (cf. [7]) which

may be stated as follows:

5 a,

llF;(x0(s),s)Il

(4.10)

llFx(Y19S)

- Fx(Y2,s)II

CllYl

-Y21L

imply quadratic convergence provided ubc

(4.1 1)

< 4.

i = 1,2,

Mo(s) = l l F V ( X 0 ( ~ ) d ) I l

we have directly

THEOREM

4.12. Assume for some s with 0 < 1s - sol < 6,fhul

(4.13)

M;(s)H(s)qs)r(s)< f

160

(4.15)

for

lly; - xO(s)ll

2Mo(s)qs)r(s),

i = 1,2.

bound for) the maximum allowable r(s). Hence the maximum step-size is

determined from

(4.16)

K(!)H(S)L(S)M&S)(S

1.

Often the bounds (4.7) and (4.13) are not restrictive and since M ( s ) (and hence

Mo(s))is bounded in the neighborhood of regular or simple limit points, solution

arcs composed of such points may be constructively determined.

In this situation, these estimates may be viewed as defining a convergence

tube about the solution arc x ( s ) in the following way. As previously noted, the

normalization (3.2b) is just the condition that (u(s), X(s)) lie in the plane II(s),

whose normal is !he tangent vector (ti(so),i(so)), and at a distance s - so from

the point of tangency. Since the equation (3.2b) is linear and our choice of xo(s)

satisfies this equation, all subsequent iterates (of either Chord or Newton) will do

so as well. Hence from x(so)one moves out on the tangent ray a distance as large

as will still satisfy (4.7) or (4.13) and then the subsequent iterates will lie in the

plane n(s)and converge down to x(s) (see Figure 1).

Difficulties will arise, however, in the neighborhood of simple bifurcation

points where M ( s )400 and hence r ( s )-+ 0. The size of the shrinking convergence tubes will be determined by the rate of growth of M ( s ) which we now

determine.

The linear operator Fx(x(s),s) has two distinct invariant subspaces, depending on whether the zero eigenvalue at s = so is simple or of algebraic multiplicity

two. For the simple case, that is where = to# 0, we have

THEOREM

5.1. Suppose F ( x ,s ) is mice continuously differentiable with respect

to both x and s and Fx(x(s,),so)is a Fredhofm operator of index zero with a simpfe

161

r*(S)

(5.2)

Fx(x(~o),so)@

= ,0,

pair (a(s),@(s)) such that

(5.3a)

(5.3b)

F;(x(so),so)@: = 0.

F,(X(S),S)@(S)

= a(s)@(s),

a(so) = 0,

@(so) = @,.

H ( a,@, s) =

) =o.

F x ( x ( s ) , s ) @- a@

@?@ - 1

This system has a solution at (0, @,,so) and the Frechet derivative there with

respect to ( @ , a )is

I62

D. W. DECKER A N D H. B. KELLER

This linear operator is nonsingular by Lemma I (of the appendix) and so the

result follows from the implicit function theorem.

This result was derived in a somewhat different fashion in [3]. The approach

here using Lemma I can be directly generalized to multiple eigenvalues.

The adjoint operator c ( x ( s ) ,s), in the same manner, has an eigenvalueenginvector

pair ((~(s), @*(s)) with a(s0)= 0, @*(so) = @?. Defining 8, = B, x R,

B, = B, x R and the subspaces

N ( s )= van(@(s)),

R ( s ) = { x E 8,) @*(s)x = O},

(5.4)

X ( s ) = ( x E B, I @*(S)X = O } ,

(5.5)

Now Fx(so)maps X(so) in a one-to-one fashion onto R(so) = R(Fx(so)).For s

near so, F, : X ( s )+ R ( s ) does the same and hence has a bounded inverse as a

mapping between these spaces.

Turning to the nonsimple case we have the following result.

LEMMA

5.6. Suppose F ( x , s ) is twice continuously differentiable with respect to

both x and s and Fx(x(so),so) is a Fredholm operator of index zero with zero as an

eigenvalue of algebraic multiplicity two. Let CP, and CP, satisb

(5.7)

~ x ( x ( s o ) , ~ o=) @

0,,

satisfying

(5.8a)

~ , ( X ( ~ , ) , ~ 0=

) ~@ I2.

I63

Proof: This result also follows from an application of the implicit function

there exist @,: @; satisfying

theorem. In view of the assumptions on Fx(x(so)r~o)r

@':a,=I ,

(5.10)

@;al= 1.

(5.11)

= 0.

(5.12)

lo*

H(@,\k, B , s ) =

(5.13)

0 0

1 0

F,"

- 1

@Y

0 -al

F," 0

0 0

@?

0

@;

a;

0

0

0

-02

0

0

0

0

0

-@,

0

0

0

0

0

-0,

0

0

0

0

from 8, x El x R4 into 8, X 8, X R4. That A is one-to-one may be seen by

164

(5.15a)

(5.15b)

F,". = u + y @ , + SCP,,

(5.15~)

q u = 0, q u = 0,

(5.15d)

q w = 0, q u = 0.

some c,. Then (5.15b) requires

that a S = 0,D = ye2+ c2@,.some c2. But from (5.9)-(5.1 l), equations (5.15~)

-(5.15d) require that a = 6 = c l = c2 = 0. Thus w = 0 and A is one-to-one. That

A is onto is also a straightforward calculation.

subspace spanned by a pair (a:($),(Pz+(s)) so that

(5.16)

Defining the subspaces

N ( s ) = SPan{@l(s),@2(s)},

(5.18)

= I - P(s). Now

for

x(s) E X ( s ) we have

ei+(s)F,(s)x(s)= (q(s)e:(s))x(s)

(5.19)

=(&q(s)

+ b:2@;(s))x(s) = 0,

i = 1,2,

and onto, for s near so, f ' ( s ) : X ( s ) + R ( s ) does the same, and therefore, has a

bounded inverse between these spaces.

165

the neighborhood of a simple bifurcation point.

THEOREM

5.20. Let F ( x , s ) be twice continuousIy differentiable with respect to

x and s. Let x(s) be a twice continuously differentiable solution arc through a simple

bifurcation point, x(so), leading to an isolated root of the ABE (2.13). Then, for

some 6 > 0, and N > 0 and each s in 0 < 1s - sol < s,

0)

lltx-1(x(s)7s)ll

if

A,=50#0,

(5.21)

IIc-I ( x ( 4 1 s)ll 5

(ii)

1s - so11'2

if &=o.

N ( s ) will determine the growth of IIFx-'(x(s),s)ll.For the simple case, differentiating (5.3a), evaluating at s = so, and acting with @; we get

(5.22)

@:F:d',(s,)

Recalling (2.3)-(2.4),

(5.23)

(3.13)-(3.14)

-2Qli(so) = @:F:xx(so)@l.

(3.3), and the ABE (2.13), equation (5.23) yields

(5.24)

&(so) = 5 / 3 0 # 0.

For the nonsimple case, recalling (5.8), F,(x(s),s) has a pair of eigenvalues which

are those of B(s). The magnitudes of these eigenvalues behave like 1s provided d12(s0) # 0. Differentiating

(5.25)

W)@I(S)

= h I ( S ) @ d ~ )+ bl2(S)@2(S),

(5.27)

we have

6;12(s0)@,f@2 = @:F:xx(.so)@l.

166

(5.28)

d,,(sO) =

- J # 0.

Thus, in both cases, for 0 < 1s - so( < 6 , some S > O,F,(s) has a bounded inverse

from N ( s ) into N(s). As noted before, for s near so, F,(s) also has a bounded

inverse as a mapping from X ( s ) onto R(s). Recalling the projections P ( s ) , Q(s),

we have

(5.30)

where a = 1 if

We note that for &, = to= 0 the behavior of the inflated system is, for our

purpose, more satisfactory than that of the original system G(u,X). The eigenvalue of G remains simple for to= 0 and, near s = so, we have

(5.31)

Thus, as before,

and so

(5.33)

= (0,l) we see that Q = 0 and hence

b ( s o ) = 0. Thus P ( s ) vanishes at least as 1s - sol2and hence )IG - ' ( u ( s ) , x ( s ) ) \ ]

must grow at least as fast as 1s - so)-*. Inflation is therefore an aid to convergence in the neighborhood of such bifurcation points.

6. Shooting from a Bifurcation Point

bifurcation point. The question of constructing neighboring solution points on

the arcs through x(so) will be considered. We shall use the estimates of Theorem

I67

5.20 together with the results of Theorems 4.6 and 4.12 to establish convergence

criteria for Euler-Chord and Euler-Newton continuation. In particular we shall

assume:

(HI) F ( x , s ) is twice continuously differentiable with respect to both x and

s,

(H2) x ( s ) is a twice continuously differentiable solution arc through x(so), a

simple bifurcation point,

+ ,So) corresponds to an isolated root

(H3) the tangent i(so) = (to+o

(to,El) of the ABE (2.13).

For the Chord method we then have

Let (Hl)-(H3) hold. For 6 > 0 and all s in 1s - sol < 6, let

be as in (4.5), and let K ( s ) be the Lipschitz constant in

THEOREM

6.1.

K(S)

I I U Y J ) - Ev(~(S)J)Il

(6.2a)

on

K(s)llv - x(s)II,

(6.2b)

Then, for 6 sufficiently small,

(6-3)

>a

where a = 1 for

= to# 0 and a = $ for to= 0. For each s in 0 < 1s - sol < 6 ,

the Chord iterates (4.2)-(4.3) converge geometrically to x ( s ) .

(4.5) is well defined and may be bounded in the form (5.21). With (4.2) and the

assumed smoothness we have

llXo(S)

We note that branches with a vertical tangent at bifurcation (i.e., A,, = 0)

will in general allow a larger step-size for convergence.

For Newtons method, the estimates for Mo(s)= 11 FX-(xo(s),s)llmay be

taken to be of the same form as those for M ( s ) , since only first-order information

was required in their derivation. In the same way we define the subspaces and

projections N ( s ) , X(s), R(s), P(s), Q ( s ) for Fx(xo(s),s)rather than F,(x(s),s). If

we use the estimates of Theorem 5.20 in Theorem 4.12, the requirement (4.13), on

a branch with &, = 0, becomes

(6.4)

- So\

K(S)Z!-.(S)H(X)N~~S

< 1.

168

Convergence can still be assured, but with generally smaller steps than the

Chord method allows. However, turning to a branch with A. # 0, (4.13) would

N ~1, which sufficiently small steps cannot assure.

demand ~ ( s ) t ( s ) H ( s ) <

Hence, although the estimate (4.13) is adequate near regular points of F, it

proves unsatisfactory at bifurcation points of this type. Sharper estimates are

now derived by making use of the ABE. Our attention will focus on a refined

estimate for 11 F; '(x0(s),s)F(xo(s),s)IIwhich we state as follows:

for 0 < (s - sol < 8,

(6.6)

Proof:

IIF~l(x0(s),~)F(xo(s),~)ll

S C ~ (-Ssol2.

Recalling the projections of the previous section, we have

II F; I (xo( s)'

s) II II P

(V(

x '( 3)

3)

xO(s) = x(so)

+ (s - s0)X(so),

F i = F: = 0,

we obtain

@:a,= &

2,

# 0 and

(6.10)

a: F x x (x(so)*sop ($,)a(so)

=0

from the ABE (2.13) and (3.24). Hence for s sufficiently near so there exist C , ,C,

such that

and

169

Since Fx-'(xo(s),s)is bounded from R ( s ) to X(s) for s near so, there exists a C3

such that

(6.13)

Using the estimate (5.21)(i) in the first term of (6.7) results in the bound (6.6).

For the case &, = 0, P(s) projects onto a two-dimensional subspace. However,

given by (3.20) we see that

(6.10) remains valid. With

(6.14)

Hence equation (6.11) as well as (6.12)-(6.13) are unaltered. Using the estimate

(5.21) (ii) in the first term of (6.7) retains the bound (6.6).

Using the estimate of Lemma 6.5 in (4.10) we now get easily:

THEOREM

6.15. Let (Hl)-(H3) hold. For 6

L(s) be the Lipschitz constant in

(6.16a)

on

i = 1,2.

~ ( s ) L ( s ) N C , ls sol4 < 1,

where a = 1 for &, = 0 and a = for &, = 1. For each s in 0 < 1s - sol < 6, the

Newton iterates defined by (4.2) and (4.4) converge quadratically to x ( s ) .

For both the Chord and Newton methods, the calculation of a branch with

) b = O proves easier than when );,#O.

Just the opposite is the case for the

uninflated system, where (Section 5)

(6.17)

with a at least 2 is the behavior to be expected.

We conclude that if x(so) is a known simple bifurcation point, and the

solution of the ABE results in two isolated roots, then nearby points on each

branch may be computed using the Euler-Newton scheme. For this case the

Chord method has no step-size advantage.

170

D. W. DECKER A N D H. B. KELLER

We now consider the more difficult problem of using a continuation method

to approach and locate a simple bifurcation point. The previous estimates will be

seen to limit the possible approach rates of the Euler-Newton (Chord) methods,

and these rates will depend on dX/dr at the bifurcation point.

Since we wish to describe these approach rates in terms of arclength in 8,,

rather than our approximate arclength, we first relate these two parameterizations. (See also the related development in (101.) A solution arc (u(s),h(s))

parameterized by arclength satisfies

(7.la)

(7.1b)

G ( u ( s ) , X ( s ) )= 0,

-.du*

dF

du

ds

(ds)=

(u(u),Mu)), satisfies

(7.2a)

G(u(q,@q)

= 0,

where (uo,)b), and (du,l/ds,dA,,/ds) satisfy (7.1) at s = so. Assuming the required smoothness of (u(s),h(s)),for s near so, there is a smooth functional

dependence of u on s which we now determine. Differentiating (7.2b) with

respect to u we have

(7.3)

Similarly,

(7.4)

Equations (7.4) and (7.lb) allow a determination of the expansion of u in terms

of s. First, u(so) = so; evaluating (7.4) at s = so and noting that

(7.5)

171

then forces

where

(7.7)

Now suppose Euler-Newton or Euler-Chord continuation has been used to

follow a solution arc up to some position (x(so),so). Further suppose this solution

point x(so) is near a simple bifurcation point which exists at the arclength

position s = s*. Then if the solution arc is smooth and

K2(

so)( s*

- so)%< I ,

the previous sections without alteration in form.

The problem we wish to consider is to determine a sequence of allowable

Euler steps (to be followed at each stage by Chord or Newton iteration) in order

to approach and compute the bifurcation point x ( s * ) . Within the context of the

estimates of the previous sections, the largest allowable approach steps will be

determined. The approach rates will be seen to depend on whether Chord or

Newton iteration is employed, as well as whether );(s*) # 0 on the branch being

computed.

First, for the Chord method, provided i(s,) # 0 on the branch being followed, the estimates (4.9) and (5.21) become

(7.9)

( s - so)%

uls* - sI,

where

If we further assume that u is known, we may solve for the maximum step-size

allowing convergence of the Chord iterates. Using this value, x(sI) is

computed with the Chord method and the process repeated. In this way an

s, - so

172

(7.1 1)

(sk

- sk-1)2

bls*-skI*

For sk nears,, (7.1 1) has two roots sk. For our purpose the root to the left of s, is

chosen, thus providing a monotonic approach to s, . Defining

(7.12)

Pk

= s*-

sk

(7.13)

With the present estimates this provides the best or optimal approach rate for

the Euler-Chord method. For a branch on which );(s*) = 0, the estimate (5.20)

provides a convergence requirement of the form

(7.14)

(s

- so)%

u(s*-so)2.

Solving for the largest allowable step-size yields an approach rate satisfying

. ek

1

lim

= -.

e:-I u2

(7.15)

k+m

bifurcation point, it now allows a faster approach to the bifurcation point than a

branch with );(s*) # 0.

Let us turn to Newtons method, first for a branch along which );(s*) # 0.

The estimate (6.7) is still valid and

F,, ( x ( so), so)f (so>x( s ~ ) ( - ~ ) /+

~ O (( s -

(7.16)

F( xo(s), s)

as so+s,.

(7.18)

IIP(s)F(xO(s),s)ll = R ( s ; s o ) ( s- so)2(s*-so)

173

with R ( s ;so) bounded for s, so near s*. This results in the bound

for some C,, S > 0. For this case the convergence requirement abc < 4 becomes

(7.20)

(s

may solve for the maximum step-size sI- so. The use of this procedure to

generate the sequence sI,s2,. . . results in an approach rate satisfying

(7.2 1)

Although super-linear, this approach is slower than the Chord method. This must

be balanced, however, with the linear convergence of the Chord method in the

calculation of x(sk) at each stage.

When following a branch with );(st) = 0, the estimate (7.19) is modified to

(7.22)

resulting in the convergence requirement

(7.23)

( s - s o ) ~ ( s * - s o ) ~2~(s*-s).

(7.24)

Once again this yields a faster approach than on a branch with );(s*) # 0, but not

as fast as the Euler-Chord method. The various approach rates are summarized

by listing the values of a for which

ek = O(eF- I)

174

Newton

3/2

The above results are of limited practical application since it is doubtful that

the position s, of a bifurcation point would be known in advance. However, they

do describe the nature of an optimal approach to the singular point, thereby

limiting the behavior to be expected in numerical computations. Some of the

considerations involved in the design of practical approach algorithms are the

object of present study and will be presented elsewhere.

Appendix

LEMMA

I. Let X and Y be Banach spaces and let the linear operator &?

R' + Y X W' have fheform

=Y X

where

A = X+Y,

C* =Y+R',

B = W+Y,

D = W'+R'.

onh i f

( D - C*A - 'B ) is nonsingular.

(ii)

If A is singular with

d i r n q A ) = c o d i m q A ) = r >= 1,

if

(c,,)

d i m q B ) = r,

(c,)

% ( B ) n G q A ) = 0,

(c2)

dim q C * )= r,

(c3)

q ~n q)c * )= 0.

Proof:

175

EY-76-S-03-707, Project Agreement No. 12 and by the U.S.A.R.O. under Contract DAAG 29-78-C-0011.

Bibliography

Chow, S. N., Hale, J. K., and Mallet-Paret, J., Applications of generic bifurcation, I, Arch.

Rational Mech. Anal., 59, 1975, pp. 159-188.

Crandall, M. G., and Rabinowitz, P. H.. Bifurcation from simple eigenvalues, J. Func. Anal.. 8,

1971, pp. 321-340.

Crandall, M. G.. and Rabinowitz, P. H., Bifurcation, perturbation of simple eigenvalues and

linearized stabiliry, Arch. Rational Mech. Anal., 52, 1973, pp. 161-180.

Decker, D. W.,Topics in Bifurcation Theory, Thesis, California Institute of Technology,

Pasadena, California, 1978.

Decker, D. W.. and Keller, H. B., Multiple limit point bifurcation, J. Math. Anal. Appl., 75,

1980, pp. 417-430.

Decker, D. W., and Keller, H. B., Solution branching - A constructive technique, in New

Approaches to Nonlinear Problems in Dynamics (ed. P. Holmes), SIAM, Phila.. Pa., 1980, pp.

53-69.

Kantorovich, L. V., Functional A ~ l y ~ini sNormal Spaces, Macmillan, New York, 1964.

Keller, H. B., Bifurcation Theory and Nonlinear Eigenvalue Problems, unpublished lecture notes,

California Institute of Technology, Pasadena, California, 1976.

Keller, H. B.. Numerical solution of bifurcation and nonlinear eigenvalue problems. in Applications

of Bifurcation Theory, (ed. P. Rabinowitz), Academic Press, New York, 1977, pp. 359-384.

Keller, H. B., Global Homotopies and Newton Methodr, in Recent Advances in Numerical

Analysis, (ed. C. deBoor and G. H. Golub). Academic Press, New York. 1979, pp. 73-94.

Nirenberg, L., Topics in Nonlinear Funcrional Analysis, Courant Institute Lecture Notes, 1974,

259 p.

Sattinger, D. H.,Group representation theory and branch p i n t s of nonlinear functional equations,

SIAM J. Math. Anal. 8, 1977, pp. 179-201.

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