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MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Discrete Dynamical System

MATH2408/3408
Computational Methods and Differential
Equations with Applications
20142015

Linear Difference Equations


Solutions of Homogeneous Equations
Stability
Iterations and Equilibria

Difference Equations

Equilibria
Stability

Dr. WONG Chi Wing


Department of Mathematics, HKU

Order of Convergence
Solving Equations and Newtons Method
Bisection Method

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Discrete Dynamical System

Discrete Dynamical System

A dynamical system is a system that changes over time. If the


time is measured in discrete units (e.g. days), the system is
called a discrete dynamical system.

Example 1 (Discrete Exponential Growth)


Bacteria reproduce through binary fission. Suppose that
bacteria divide every 15 minutes.
If Nk is the number of bacteria presented after 15k minutes,
then
Nk +1 = 2Nk , k = 0, 1, 2, 3, . . .

Thus, a discrete dynamical system is essentially a sequence of


numbers
{a1 , a2 , a3 , . . .} or in short {an }.
A dynamical system can be defined explicitly

where N0 is the initial population of bacteria.


It follows that

e.g. an = (1 + r ) a0 ;
n

or recursively

N1 = 2N0 , N2 = 2N1 = 22 N0 , . . . , Nk = 2k N0 , . . .

e.g. an+1 = (1 + r )an .


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MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Discrete Dynamical System

Discrete Dynamical System

A dynamical system is density dependent if the ratio net


reproduction rate depends on Nt :

A linear fitness function may take the form

Nt+1
= f (Nt )
Nt

and hence

f (N) = R

R1
N
K

where R > 1

R1
Nk Nk .
K
This model is coined the discrete logistic model and was
proposed by a Belgian mathematician PierreFranois Verhulst
(1836). He didnt explain his choice of the word logistique but
this word was referred to the art of calculation in the 19th
century France.

where f is called the fitness function.

We may make further assumptions on fitness functions.


1. When N is small, f is essentially a constant R > 1.
2. f (N) decreases as N increases.

3. There is a threshold population size K , named carrying


capacity, so that f (K ) = 1.

Nk +1 = R

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MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Discrete Dynamical System

If we set

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Discrete Dynamical System

A nonlinear fitness function is f (N) =

, then the
1 + R1
K N
discrete dynamical system is given recursively by

R1
Nk ,
RK
then we obtain the dimensionless discrete logistic model
xk =

xk +1 = Rxk (1 xk ).

Nk +1 =

(1)

RKNk
.
K + (R 1)Nk

(2)

Though the relation looks complicated, one can indeed define


the system explicitly

In spite of its simplicity, no explicit form of (1) is known except


for R = 2 and R = 4.

1
1
1
1
1
= k
+ .
Nk R N0 K
K

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MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Linear Difference Equations

Linear Difference Equations

We define the (left) shift operatior on V by

Let V be the set of all infinite sequences of scalars. It is an


infinite dimensional vector space under the usual operations:

E({x1 , x2 , . . .}) = {x2 , x3 , . . .}.

{a1 , a2 , . . .} + {b1 , b2 , . . .} = {a1 + b1 , a2 + b2 , . . .},

In other words, if x = {x1 , x2 , . . .}, then

{a1 , a2 , . . .} = {a1 , a2 , . . .}.

(Ex)k = xk +1

We shall frequently encountered the following geometric


sequence: for any scalar , we define

and so u( )k =

u( ) = ,

,...,

for all k .

Its easy to see that E is a linear mapping.In addition, if we


denote the composition E E = E 2 and E i+1 = E E i , then

, . . .

E i xk = xi+k .

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MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

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MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Linear Difference Equations

Linear Difference Equations

For any polynomial p(z) = ni=0 ci z i , we define the linear


operator

By a linear difference operator L, we mean a linear combination


of powers of E over the scalar field:

p(E) = ci E i .

L = ci E i

i=0

Conversely, every linear difference operator is indeed of this


form.

i=0

where E 0 is the identity mapping.

In addition, the equation

Example 2

p(E)x = 0

If L = E 2 3E 1 + 2E 0 , then for any x = {x1 , x2 , . . .} V , then

is called a homogeneous difference equation and the


polynomial p(z) is called the characteristic equation of the
difference equation.

(Lx)k = xk +2 3xk +1 + 2xk .

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MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Linear Difference Equations

Linear Difference Equations

Solutions of Homogeneous Equations

Solutions of Homogeneous Equations

Recall that L = p(E) is a linear mapping. Thus, the set of


solutions of the difference equation is simply the kernel of L and
hence is a vector subspace of V . As a result,

Lets continue with the difference equation


xk +2 3xk +1 + 2xk = 0

{u(1) + u(2) ,

whose characteristic equation is p(z) = z 2 3z + 2.


Lets try a solution of the form u(r ):

The question is of course whether the equality holds.

(p(E)(u(r )))k = r k +2 3r k +1 + 2r k = 0 for all k

Theorem 3

r r 3r + 2 = r (r 1)(r 2) = 0.
k

F} ker L.

If is a zero of p(z), then u( ) is a solution of the


homogeneous difference equation Lx = p(E)x = 0. In addition,
if p has only nonzero simple roots { 1 , . . . , n }, then every
solution is a linear combination of u( 1 ), . . . , u( n ).

It follows that r = 0, r = 1 or r = 2: and thus u(0), u(1) and u(2)


are solutions of the difference equation.
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MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

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MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Linear Difference Equations

Linear Difference Equations

Solutions of Homogeneous Equations

Solutions of Homogeneous Equations

Example 4

For any sequence of functions in

Solve the linear difference equation

s( ) = {s1 ( ), s2 ( ), . . .} ,

xn+3 2xn+2 5xn+1 + 6xn = 0.

we define its derivative to be the sequence of the derivative of


the terms:
d
s( ) = s(1) ( ) = s1 ( ), s2 ( ), . . . .
d

We can define higher derivative as in the ordinary calculus:


s(l+1) ( ) =
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d l+1
d (l)
s( ) =
s ( ).
l+1
d
d
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MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Linear Difference Equations

Linear Difference Equations

Solutions of Homogeneous Equations

Solutions of Homogeneous Equations

For example, take s( ) = u( ), then


u (0) ( ) = ,
u

(1)

( ) = 1, 2 , 3

,...,
2

, . . .

,...,k

k 1

Theorem 5
, . . .

u (2) ( ) = 0, 2, 6 , . . . , k (k 1)

In addition, observe that


E

d
u( ) = E , (
d

= (

) ,(

and hence for any k , l N0 ,

) ,(

E k u (l) ( ) =

) . . .
3

) ,(

k 2

Let p(z) be a polynomial with nonzero constant term. If is a


zero of p(z) with multiplicity , then u( ), u (1) ( ), . . . , u (1) ( )
are linearly independent solutions of the difference equation
p(E)x = 0.
If we set U to be the span of these sequences and if
1 , . . . , m are the distinct zeros of p, then

, . . . .

) , . . . =

ker p(E) = U

d
[Eu( )] ;
d

dl
E k u( ).
d l

++U

Note that dim U j is the algebraic multiplicity of

j.

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MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

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MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Linear Difference Equations

Linear Difference Equations

Solutions of Homogeneous Equations

Solutions of Homogeneous Equations

Theorem 7

Suppose that xn+1 = axn + b for some constants a 1 and b.


Then
b
b
xn = x0
an +
.
(3)
1a
1a

Example 6
Consider the difference equation
4xk +3 + 7xk +2 + 2xk +1 xk = 0

Example 8

whose characteristic polynomial is

Take the reciprocal of the BevertonHolt equation (2) to get

p(z) = 4z 3 + 7z 2 + 2z 1 = (z + 1)2 (4z 1).

1
K + (R 1)Nk 1
1
R1
=
=

+
.
Nk +1
RKNk
R Nk
RK

It follows that the general solutions are

x = c1 u(1) + c2 u (1) + c3 u(14).

If we set xk = 1Nk , a = 1R and b = (R 1)(RK ), then


1
Nk

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1
1 1
1
k + .
N0 K R
K

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MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Linear Difference Equations

Linear Difference Equations

Stability

Stability

Definition 9

Theorem 13

A sequence is said to be bounded if there is M > 0 such that


xn M for all n.

Let p(z) be a polynomial with nonzero constant term. The


following are equivalent.

Example 10

(i) The difference equation p(E)x = 0 is stable.

The sequence u( ) is bounded if and only if 1.

(ii) Every zero of p satisfies 1, and satisfies the strict


inequality whenever is a multiple root.

Definition 11

Example 14

We say that a linear difference equation is stable if all of its


solutions are bounded.

The difference equation in Example 6 unstable although all the


zeros of the characteristic equation lie in the unit disk. However,
1 is a multiple root.

Example 12
The difference equation in Example 4 is unstable as u(2) is an
unbounded solution.
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MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

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MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Iterations and Equilibria

Iterations and Equilibria

Equilibria

Equilibria

We shall study a first order difference equation

Definition 15

xn+1 = F (xn )

A point x is said to be an equilibrium of a function F if

where F is a continuous function. An effective way to trace the long term


behavior of {xn } is the Cobweb Diagram.

x = F (x ).

Graphically, its simply the intersection of y = F (x) and y = x.

Procedure

Example 16

1. Plot the curve y = F (x) and y = x.

Consider the dimensionless logistic model


with R = 2.

2. Plot (x0 , 0), move vertically until


hitting y = F (x) at (x0 , F (x0 )); and
then move horizontally until hitting
y = x at (F (x0 ), F (x0 )).

3. Move vertically until hitting y = F (x)


at (F (x0 ), F 2 (x0 )); and then move
horizontally until hitting y = x at
(F 2 (x0 ), F 2 (x0 )).

(4)

x = 2x (1 x )
x (1 2x ) = 0.

There are two equilibria x1 = 0 and


x2 = 12.

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If x0 = x is an equilibrium of F , then the dynamical system defined by


xk +1 = F (xk ) is x0 = x1 = x2 = = x .

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MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Iterations and Equilibria

Iterations and Equilibria

Equilibria

Equilibria

Optional
Theorem 17 (Existence and Uniqueness of Equilibrium I)

Definition 19 (Contraction)

Let F [a, b] [a, b] be continuous. Then F has a equilibrium.


Further, this equilibrium is unique if

Let S R. A function F S S is a contraction if there is


(0, 1) such that

F (x1 ) F (x2 ) < x1 x2 for all distinct x1 , x2 [a, b],

F (x1 ) F (x2 ) x1 x2 for all x1 , x2 C.

Corollary 18

Theorem 20 (Existence and Uniqueness of Equilibrium II)

Let F [a, b] [a, b] be continuous. If F differentiable and


F (x) < 1 on (a, b), then F has a unique equilibrium.
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MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Let C R be closed. If F C C be a contraction, then F has


a unique equilibrium.
Indeed, the equilibrium is the limit of the sequence generated
by iteration, xn+1 = f (xn ).

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MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Iterations and Equilibria

Iterations and Equilibria

Stability

Stability

Definition 21

Let x be an equilibrium of the function F , and xn+1 = F (xn ).


We say that
1. it is stable if for any " > 0, there is
x0 x <

Definition 22

Let F be a differentiable function and x be its equilibrium. We


say that x is a hyperbolic if F (x ) 1.

> 0 such that

sup xn x < ";


n

Theorem 23 (Stability of Hyperbolic Equilibrium)

Let x be a hyperbolic equilibrium of a differentiable function F .


Suppose that F is continuous at x . Then

2. it is unstable if it is NOT stable, i.e., there is "0 > 0 such that


for any > 0, xn x "0 for some x0 (x , x + ) and
n N;
3. it is asymptotically stable if it is stable and there is
such that
x0 x <

lim xn = x .

1. x is asymptotically stable if F (x ) < 1;


2. x is unstable if F (x ) > 1.

>0

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MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Iterations and Equilibria

Iterations and Equilibria

Stability

Order of Convergence

Example 24
In this subsection, we shall study how fast a sequence
generated by iteration (i.e. xn+1 = F (xn )) converges to an
asymptotically stable equilibrium x provided that x0 is close to
x .

Consider the dimensionless discrete logistic equation (1)


xk +1 = F (xn ) where F (x) = Rx(1 x), x [0, 1] and 1 < R 4.

Solving F (x) = x, there are two equilibria x1 = 0 and x2 = (R 1)R.


Note that F (x) = R(1 2x). Hence

Definition 25

Let the error in the nth iteration be en = xn x . If there is


p 1 such that
en+1
lim
= C > 0,
n en p

F (0) = R > 1 and F ((R 1)R) = 2 R.

In view of Theorem 23,

x1 is always unstable;

is asymptotically stable if 1 < R < 3 and is unstable if


3 < R 4.

then we say the iteration method is of order p at x .

x
2

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MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

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MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Iterations and Equilibria

Solving Equations and Newtons Method

Order of Convergence

To have an idea on the meaning of the order of convergence of


an iteration, lets assume C 1 for simplicity. Then for large n,
If en = 110, then

Newtons Algorithm (solving f (x) = 0)

en+1 en p .

input x0 , N, , ;
fx f (x0 )
if fx < " then stop
for i = 1 to N do
x1 x0 fxf (x0 ); fx f (x1 );
if x1 x0 < or fx < " then stop
x0 x1
end do
output i, x1 , fx

p = 1 or linear convergence: en+1 110;


p = 2 or quadratic convergence: en+1 1100;
p = 3 or cubic convergence: en+1 11000.

Theorem 26

Let F be a sufficiently smooth function and be an equilibrium.


Then the order of convergence of the scheme xi+1 = F (xi ) (to
) is p N if (and only if)
dF
d 2F
d p1 F
() =
()
=

=
() = 0 and
dx
dx 2
dx p1

d pF
() 0.
dx p

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MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Solving Equations and Newtons Method

Solving Equations and Newtons Method

The Newtons method is an example of onepoint iteration


xi+1 = F (xi ) where F (x) = x

Note that if f () 0, then

F () =

In addition,

F () =

Example 27

f (x)
.
f (x)

1
Use the Newtons method to find the a zero of f (x) = x 2 x 1 x+1
in (1, 2) with x0 = 1 within 100 steps. Continue the procedure until
either f (x) or absolute difference between two successive
approximations is less than 0.001.

f () = 0.

Solution.

Note that f (x) = 2x 1 + 1(x + 1)2 .

f ()f ()
= 0.
f ()2

n
0
1
2
3
4

It follows that is an asymptotically stable equilibrium and the order


of convergence is at least two.

Indeed it is exactly two when f is thrice differentiable and f () 0 as


F () =

f ()
0.
f ()

xn
1.0000
2.2000
1.8205
1.7702
1.7693

f (xn )
-1.5000
1.3275
0.1391
0.0024

f (xn )
1.2500
3.4977
2.7666
2.6707

xn+1 xn
N/A
1.2
0.3795
0.0503
0.0009

Solution is 1.7693.
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MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

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MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Solving Equations and Newtons Method

Solving Equations and Newtons Method

An obvious disadvantage of Newtons method is its local


convergence.

The situation is even worse if the zero of f is not an asymptotically


stable equilibrium of F .

Example 28
To solve f (x) = cos x in (0, 4), the Newton iteration function is

Example 29

Obviously, x = 2 is the solution/equilibrium and

which obviously has a zero at x = 0.


Note that
1
f (x) =
2 x

Consider

cos x
F (x) = x
= x + cot x.
sin x

F (x ) = cot2 x = 0 x is stable.

However, if we choose x0 = 3, which is close to x , the


Newtons method yields

4.01525, 4.85266, 4.71146, 4.71239, 4.71239 32!

f (x) =

if 0 x 1,
if 1 x < 0
if x 0

f (x)
= x.
f (x)
As long as x0 0, xn = (1)n x0 and {xn } is never convergent to x .
and hence the Newton iteration function is F (x) = x
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MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

MATH2408/3408 Computational Methods and Differential Equations with Applications20142015

Solving Equations and Newtons Method

Solving Equations and Newtons Method

Bisection Method

Bisection Method

Theorem 30 (Existence of Zero)


Let f be continuous on [a, b]. If f (a)f (b) < 0, then f (c) = 0 for
some c (a, b).

Example 31
Lets find the zero of f (x) = cos x in (0, 4) by the bisection method (cf
Example 28). We shall be content if either f (c) or bn an is less than
0.0001.

Bisection Algorithm (solving f (x) = 0)


input a, b, f , N, , ;
fa f (a); fb f (b); e b a;
if fa fb 0 then stop
for i = 1 to N do
e e2; c a + e; fc f (c)
if e < or fc < " then stop
if fa fc < 0 then
b c; fb fc
else a c; fa fc
end if
end do
output i, c, fc, e

n
0
1
2

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MATH2408/3408 Computational Methods and Differential Equations with Applications20142015


Solving Equations and Newtons Method
Bisection Method

While the bisection method always yields a solution (as long as


one can locate the initial interval), it converges very slowly.

Theorem 32 (Convergence of Bisection Method)


Let f be continuous and
[a0 , b0 ] [a1 , b1 ] [a2 , b2 ]

be the nested sequence of intervals generated by the bisection


method. Then
1. both {an } and {bn } are convergent;
2. for any n, bn an (b0 a0 )2n ;
3. limn an = limn bn = r ;

5. if cn = (an + bn )2, then r cn bn an 2.

cn
2
1
1.5

bn
4
2
2

f (an )
+
+
+

f (cn )
+
+

f (bn )
+
-

bn an
2
1
.5

f (cn )
.41615
.54030
.07074

1.57031
1.57031

1.57129
1.57080

1.57227
1.57129

+
+

.00098
.00049

.00049
.00000

So the zero is 1.57080.

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4. f (r ) = 0.

an
0
0
1

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