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Path Following Near Bifurcation*

D. W. DECKER
North Carolina State University
AND

H. B. KELLER
California Institute of Technology

Dedicated to Fritz John on the occasion of his


70th Birthday, June 14, 1980
1. Introduction

We study constructive methods for determinng paths or arcs of solutions of


general nonlinear functional equations, say

where G : B, X R+ B2 for appropriate Banach spaces B, and B,. It is natural to


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

D. W.DECKER AND H. B. KELLER

a local tangent). In the latter procedures the problem (1.1) is inflated by


adjoining to it a scalar constraint, say
(1-5)

N(u, A, s)

= 0,

with appropriate N: B, X R2+R. Now (1.1) and (1.5) can be written as


( 1-6)

where x(s)
( 1*7)

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

= [u(s),A(s)]. The linearization of F about x(s),


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

may be nonsingular at points xo = [uo,Ao] on the solution path where C, is


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,

PATH FOLLOWING NEAR BIFURCATION

151

where G ( . , - ) is a nonlinear mapping from B, X R into E&. Here B, and 4 are


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{+:}

and R ( G,") = { x E E&I+tx = O}.

In addition, we assume the zero eigenvalue of G," to be simple (algebraic


multiplicity one), and thus we may take
(2.4)

+?+I

1.

With these assumptions we proceed to find conditions that must be satisfied by


any smooth solution arc through (u(so), A(so)) = (uo,A,,).Differentiating
(2.5)

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

and evaluating at so we find


G:uo

(2.6)
(2.7)

G,"ii,

+ G S 0 = 0,

+ G,"X, = - ( G,",zi,P, + 2G,"*u& + C i a ' ) .

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

D. W. DECKER AND H. B. KELLER

This presents the two possibilities

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.

This has a unique solution and therefore


(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.

Here we have introduced

We adjoin to (2.11) an equation that uniquely determines the parameter s (which


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

PATH FOLLOWING NEAR BIFURCATION

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.

3. The Inflated System


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,

N(u(s),h(s),s)= zio*(so)(u(s) - u(so)) + i(so)(A(s)- X(s0))- (s - so) = 0.

(3.2b)
Here u*(so) is an element of By, chosen such that llu*(s~)ll= IIWo)l( and

154

D. W. DECKER AND H. B. KELLER

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).

Thus along any smooth solution arc through (uo,ho)we have

that is,
G,,(s)li(s)

(3.5)
U*(S0)li(S)

+ Gx(s)>;(s) = 0,
+ A(s0)A(s)= 1.

The advantage of this arclength formulation is apparent from the following


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

PATH FOLLOWING NEAR BIFURCATION

I55

(uo,)b) is a simple limit point, >;,


= 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.

Hence regular points of G(u,A) = 0 remain regular points of F ( x , s ) = 0 and


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

where #' is as before and

(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 ),

R(F') = ( x E B2 X RB(cPfx= 01, where @: = ( + : , O ) .

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

Proof:

To solve Fx(so)@l= 0, where cPl =

(g), we must have

(3.15)

G,". + aG:

(3.16)

(to+: + tI+:)v + at,

= 0,

= 0.

156

D. W. DECKER AND H. B. KELLER

The solution of (3.15) is u = a+,


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

The process now terminates. To solve


@:Fx(so)= 0, where

= (u*,a),

we get

u*Gf

(3.18)

+ ato= 0.

Provided ti # 0, (3.17) forces a = 0 and hence we may take


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

+ +,!j= 0,

= (+t,O).

If

= 0,

and a and /3 are arbitrary. Then (3.18) requires

at0(\k* Gf

(3.19)

+ I ) = 0.

But \k*( G:G0 Ga = 0 gives \k* Gf = - ((G,,,*\k*)t$o= +O++, = 1. This forces


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?

only when 6, = 0 and then we may take

(3.20)

a;

= (0,l).

Since +I @ R(G,O)*, the process terminates. Hence dim(N(F3) = codim(R(Fx?))


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

157

PATH FOLLOWING NEAR BIFURCATION

If 6, # 0, we see that the inflated system inherits the structure of G(u,A) at a


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)

Since i ( s o ) = (to+,+ E l @ l , Q ) satisfies (3.21), we place this in (3.22) and require


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.

From (3.lb) we recall that


(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.

4. Euler-Newton (Chord) Continuation


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).

Then we define either sequence of iterates:


(Chord)

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

= 0, 1,

...,

D. W. DECKER AND H. B. KELLER

158

or
(Newton)

F,(x"(s),s)(x'+'(s)- x"(s)) = - F(x'(s),s),

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

Then the Chord iterates defined by (4.1)-(4.3) satisfV

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

PATH FOLLOWING NEAR BIFURCATION

Now if Ilx(s) - x(s)ll 5 r ( s ) (true for

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

)IF,- I (xO(s), s)F( xO(s), s)ll 5 b,


(4.10)
llFx(Y19S)

- Fx(Y2,s)II

CllYl

-Y21L

for ( ( y i- xo(s)ll 5 26,


imply quadratic convergence provided ubc
(4.1 1)

< 4.

i = 1,2,

In our case, defining

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

D. W.DECKER AND H. B. KELLER

where H ( s ) and L ( s ) are such that

(4.15)

for

lly; - xO(s)ll

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

i = 1,2.

Then the Newton iterates (4.1), (4.2), (4.4) converge quadratically to x ( s ) .

Once again (4.13)-(4.15) may be viewed as equations determining (a lower


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.

5. Inflated Operator Near a Simple Bifurcation Point


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

PATH FOLLOWING NEAR BIFURCATION

161

r*(S)

zero eigenvalue and


(5.2)

Fx(x(~o),so)@
= ,0,

Then, for 1s - sol < 6, some 6


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

(5.3a)
(5.3b)

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

> 0, there exists a twice continuously differentiable

F,(X(S),S)@(S)
= a(s)@(s),
a(so) = 0,

@(so) = @,.

Proof: We consider the system of equations

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 } ,

we have the decompositions


(5.5)

We define the projection P ( s ) onto N ( s ) parallel to R ( s ) and Q ( s )= I - P ( s ) .


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,,

Then, for 1s - so I < 6, some 6

satisfying

(5.8a)

~ , ( X ( ~ , ) , ~ 0=
) ~@ I2.

> 0,there exist smooth

I63

PATH FOLLOWING NEAR BIFURCATION

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

By appropriate choice of norms of 0 , and 0: we have

@':a,=I ,

(5.10)

@;al= 1.

Adjusting the component of @f in @; we may satisfy the equation


(5.11)

= 0.

From this, we consider the system of six equations

(5.12)

lo*

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

This system has a solution at s = so given by


(5.13)

0 0
1 0

and the Frechet derivative there is


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

The conclusions of the lemma follow, provided A is nonsingular as a mapping


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

164

D. W. DECKER AND H.B. KELLER

assuming w = (u, D, a,B, y ,

for which A w = 0. Then

(5.15a)

F,". = a@, + pa2,

(5.15b)

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

(5.15~)

q u = 0, q u = 0,

(5.15d)

q w = 0, q u = 0.

Equation (5.15a) forces p = 0,u = ae2+


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.

In the same fashion the operator c ( s ) has a two-dimensional invariant


subspace spanned by a pair (a:($),(Pz+(s)) so that
(5.16)
Defining the subspaces
N ( s ) = SPan{@l(s),@2(s)},

we have the decompositions


(5.18)

and corresponding projections P(s) onto N ( s ) and Q ( s )

= 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 hence F,(s) maps X ( s ) into R ( s ) . Since Fx(so):X(s,)+ R(so) is one-to-one


and onto, for s near so, f ' ( s ) : X ( s ) + R ( s ) does the same, and therefore, has a
bounded inverse between these spaces.

PATH FOLLOWING NEAR BIFURCATION

165

These two lemmas allow a determination of the behavior of Fx-'(x(s),s) in


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.

Proof: The behavior of Fx(x(s),s)on the one- or two-dimensional subspace


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)

+ @fF:!x(s,)@, = a(so)@yd'l(so)+ &(so)@:@, .


(3.13)-(3.14)

and (5.3b) we have

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

and in view of the definition of F ( x , s ) in (3.2)Now i(so) = (,$oI+o +


(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),

evaluating at s = so and applying

(5.27)

we have

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

166

D. W. DECKER AND H. B.KELLER

The definition of F ( x , s ) , the ABE (2.13) and (5.10) then yield


(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

Hence, for 0 < 1s - so( < 6, some S sufficiently small,


(5.30)

where a = 1 if

i0= to# 0 and a = f if io= 0.

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)

From the ABE (2.13) with the root (to,(,)


= (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

In this section we assume that x(so) is a known solution at a simple


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

PATH FOLLOWING NEAR BIFURCATION

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 ) .

Proof: (Hl)-(H3) allow the application of Theorem 5.20. Hence M ( s ) in


(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)

- X(S)ll 5 $(S - SO)~K(S).

An application of Theorem 4.6 then provides the desired result.


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

D. W. DECKER AND H. B. KELLER

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:

LEMMA6.5. Let (Hl)-(H3) hold. Then there exist a S


for 0 < (s - sol < 8,
(6.6)
Proof:

> 0, Co > 0 such that,

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)

I I + I I F; I (xo(s)' s) Q (s)F( x O( 31, s) II.

Assuming the required smoothness, expanding F(xo(s),s)about s = so with


xO(s) = x(so)

+ (s - s0)X(so),

F i = F: = 0,
we obtain

For the simple eigenvalue situation, P(so)projects onto a1.However

@: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

PATH FOLLOWING NEAR BIFURCATION

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)

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

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

> 0 and all s in

1s - sol < 6, let

(6.16a)
on
i = 1,2.

Then, for 6 sufficient& small,


~ ( 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

7. Location of a Simple Bifurcation Point


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)=

The same solution arc parameterized by our approximate arclength, denoted by


(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)

PATH FOLLOWING NEAR BIFURCATION

171

then forces

in view of (7.lb). Continuing in this fashion we obtain

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 ,

we may replace approximate arclength u by true arclength s in the estimates of


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

D. W. DECKER AND H. B. KELLER

approach sequence s I , s 2 , . is generated with


(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

and solving (7.11) results in a quadratic approach rate satisfying


(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

Just as a branch with );(s*) = 0 allowed a larger step in shooting from a


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,.

Thus (6.1 1) becomes

(7.18)

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

PATH FOLLOWING NEAR BIFURCATION

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

- so)2(s* -so) < p2(s* - s),.

Here the constant p 2 is difficult to estimate, but if we assume it to be known we


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).

This allows an approach rate satisfying


(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

D. W. DECKER AND H. B. KELLER

in the tabular form:

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

We state here the useful

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'.

(i) If A is nonsingular (i.e., has a bounded inverse),then &? is nonsingular if and


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,

PATH FOLLOWING NEAR BIFURCATION

then &! is nonsingular if and o n h

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.

(iii) If A is singular and dim%(A)


Proof:

175

> r, then @ is singular.

See [ 5 ] , Appendix 11.

Acknowledgment. This work was supported by the D.O.E. under Contract


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

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Received November, 1980.