Lecture Notes in Differential Equations - Bruce E. Shapiro

Lecture Notes in Differential Equations - Bruce E. Shapiro Lecture Notes in Differential Equations - Bruce E. Shapiro

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94 LESSON 11. PICARD ITERATION in which the Method of Successive Approximations converges to the unique solution of the initial value problem ⎫ dy = f(t, y) ⎬ dt ⎭ y(t 0 ) = y 0 (11.20) The proof of this theorem is quite involved and will be discussed in the sections 12 and 13. The procedure for using the Method of Successive Approximations is summarized in the following box. 1 Procedure for Picard Iteration To solve y ′ = f(t, y) with initial condition y(t 0 ) = y 0 : 1. Construct the first 3 iterations φ 0 , φ 1 , φ 2 , φ 3 . 2. Attempt to identify a pattern; if one is not obvious you may need to calculate more φ n . 3. Write a formula for the general φ n (t) from the pattern. 4. Prove that when you plug φ n (t) into the right hand side of equation (11.15) you get the same formula for φ n+1 with n replaced by n + 1. 5. Prove that φ(t) = lim n→∞ φ n converges. 6. Verify that φ(t) solve the original differential equation and initial condition. 1 The Method of Successive Approximations is usually referred to as Picard iteration for Charles Emile Picard (1856-1941) who popularized it in a series of textbooks on differential equations and mathematical analysis during the 1890’s. These books became standard references for a generation of mathematicians. Picard attributed the method to Hermann Schwartz, who included it in a Festschrift honoring Karl Weierstrass’ 70’th birthday in 1885. Guisseppe Peano (1887) and Ernst Leonard Lindeloff (1890) also published versions of the method. Since Picard was a faculty member at the Sorbonne when Lindeloff, also at the Sorbonne, published his results, Picard was certainly aware of Lindeloff’s work. A few authors, including Boyce and DiPrima, mention a special case published by Joseph Liouville in 1838 but I haven’t been able to track down the source, and since I can’t read French, I probably won’t be able to answer the question of whether this should be called Liouville iteration anytime soon.

95 Example 11.1. Construct the Picard iterates of the initial value problem } y ′ = −2ty (11.21) y(0) = 1 and determine if they converge to the solution. In terms of equations (11.12) through (11.15), equation (11.21) has f(t, y) = −2ty (11.22) t 0 = 0 (11.23) y 0 = 1 (11.24) Hence from (11.12) φ 0 (t) = y 0 = 1 (11.25) f(s, φ 0 (s)) = −2sφ 0 (s) = −2s (11.26) φ 1 (t) = y 0 + = 1 − 2 ∫ t 0 ∫ t 0 f(s, φ 0 (s))ds (11.27) sds (11.28) = 1 − t 2 (11.29) We then use φ 1 to calculate f(s, φ 1 (s)) and then φ 2 : f(s, φ 1 (s)) = −2sφ 1 (s) = −2s(1 − s 2 ) (11.30) φ 2 (t) = y 0 + = 1 − 2 ∫ t 0 ∫ t 0 f(s, φ 1 (s))ds (11.31) s(1 − s 2 )ds (11.32) = 1 − t 2 + 1 2 t4 (11.33) Continuing as before, use φ 2 to calculate f(s, φ 2 (s)) and then φ 3 : f(s, φ 2 (s)) = −2sφ 2 (s) = −2s (1 − s 2 + 1 ) 2 s4 (11.34) φ 3 (s) = y 0 + = 1 − 2 ∫ t 0 ∫ t 0 f(s, φ 2 (s))ds (11.35) s (1 − s 2 + 1 ) 2 s4 ds (11.36) = 1 − t 2 + 1 2 t4 − 1 6 t6 (11.37)

95<br />

Example 11.1. Construct the Picard iterates of the <strong>in</strong>itial value problem<br />

}<br />

y ′ = −2ty<br />

(11.21)<br />

y(0) = 1<br />

and determ<strong>in</strong>e if they converge to the solution.<br />

In terms of equations (11.12) through (11.15), equation (11.21) has<br />

f(t, y) = −2ty (11.22)<br />

t 0 = 0 (11.23)<br />

y 0 = 1 (11.24)<br />

Hence from (11.12)<br />

φ 0 (t) = y 0 = 1 (11.25)<br />

f(s, φ 0 (s)) = −2sφ 0 (s) = −2s (11.26)<br />

φ 1 (t) = y 0 +<br />

= 1 − 2<br />

∫ t<br />

0<br />

∫ t<br />

0<br />

f(s, φ 0 (s))ds (11.27)<br />

sds (11.28)<br />

= 1 − t 2 (11.29)<br />

We then use φ 1 to calculate f(s, φ 1 (s)) and then φ 2 :<br />

f(s, φ 1 (s)) = −2sφ 1 (s) = −2s(1 − s 2 ) (11.30)<br />

φ 2 (t) = y 0 +<br />

= 1 − 2<br />

∫ t<br />

0<br />

∫ t<br />

0<br />

f(s, φ 1 (s))ds (11.31)<br />

s(1 − s 2 )ds (11.32)<br />

= 1 − t 2 + 1 2 t4 (11.33)<br />

Cont<strong>in</strong>u<strong>in</strong>g as before, use φ 2 to calculate f(s, φ 2 (s)) and then φ 3 :<br />

f(s, φ 2 (s)) = −2sφ 2 (s) = −2s<br />

(1 − s 2 + 1 )<br />

2 s4<br />

(11.34)<br />

φ 3 (s) = y 0 +<br />

= 1 − 2<br />

∫ t<br />

0<br />

∫ t<br />

0<br />

f(s, φ 2 (s))ds (11.35)<br />

s<br />

(1 − s 2 + 1 )<br />

2 s4 ds (11.36)<br />

= 1 − t 2 + 1 2 t4 − 1 6 t6 (11.37)

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