Initial-Value Problems for ODEs
Elementary Theory of Initial-Value Problems
Numerical Analysis (9th Edition)
R L Burden & J D Faires
Beamer Presentation Slides
prepared by
John Carroll
Dublin City University
c 2011 Brooks/Cole, Cengage Learning
Lipschitz Condition Unique Solution Well-Posed Problems Example
Outline
1 Lipschitz Condition & Convexity
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 2 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Outline
1 Lipschitz Condition & Convexity
2 The Existence of a Unique Solution
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 2 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Outline
1 Lipschitz Condition & Convexity
2 The Existence of a Unique Solution
3 Well-Posed Problems
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 2 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Outline
1 Lipschitz Condition & Convexity
2 The Existence of a Unique Solution
3 Well-Posed Problems
4 Example of a Well-Posed Problem
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 2 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Outline
1 Lipschitz Condition & Convexity
2 The Existence of a Unique Solution
3 Well-Posed Problems
4 Example of a Well-Posed Problem
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 3 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Lipschitz Condition
We begin by presenting some definitions and results from the theory of
ordinary differential equations before considering methods for
approximating the solutions to initial-value problems.
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 4 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Lipschitz Condition
We begin by presenting some definitions and results from the theory of
ordinary differential equations before considering methods for
approximating the solutions to initial-value problems.
Definition: Lipschitz Condition
A function f (t, y) is said to satisfy a Lipschitz condition in the variable y
on a set D IR2 if a constant L > 0 exists with
|f (t, y1 ) f (t, y2 , )| L |y1 y2 |
whenever (t, y1 ) and (t, y2 ) are in D. The constant L is called a
Lipschitz constant for f .
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 4 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Lipschitz Condition
Example
Show that f (t, y) = t|y| satisfies a Lipschitz condition on the interval
D = { (t, y) | 1 t 2 and 3 y 4 }.
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 5 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Lipschitz Condition
Example
Show that f (t, y) = t|y| satisfies a Lipschitz condition on the interval
D = { (t, y) | 1 t 2 and 3 y 4 }.
Solution
For each pair of points (t, y1 ) and (t, y2 ) in D we have
|f (t, y1 ) f (t, y2 )| = |t|y1 | t|y2 || = |t| ||y1 | |y2 || 2|y1 y2 |
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 5 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Lipschitz Condition
Example
Show that f (t, y) = t|y| satisfies a Lipschitz condition on the interval
D = { (t, y) | 1 t 2 and 3 y 4 }.
Solution
For each pair of points (t, y1 ) and (t, y2 ) in D we have
|f (t, y1 ) f (t, y2 )| = |t|y1 | t|y2 || = |t| ||y1 | |y2 || 2|y1 y2 |
Thus f satisfies a Lipschitz condition on D in the variable y with
Lipschitz constant 2.
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 5 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Lipschitz Condition
Example
Show that f (t, y) = t|y| satisfies a Lipschitz condition on the interval
D = { (t, y) | 1 t 2 and 3 y 4 }.
Solution
For each pair of points (t, y1 ) and (t, y2 ) in D we have
|f (t, y1 ) f (t, y2 )| = |t|y1 | t|y2 || = |t| ||y1 | |y2 || 2|y1 y2 |
Thus f satisfies a Lipschitz condition on D in the variable y with
Lipschitz constant 2. The smallest value possible for the Lipschitz
constant for this problem is L = 2, because, for example,
|f (2, 1) f (2, 0)| = |2 0| = 2|1 0|
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 5 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Convex Set
Definition: Convex Set
A set D IR2 is said to be convex if whenever (t1 , y1 ) and (t2 , y2 )
belong to D, then
((1 )t1 + t2 , (1 )y1 + y2 )
also belongs to D for every in [0, 1].
(t 2, y 2)
(t 2, y 2) (t1, y1)
(t1, y1)
Convex Not convex
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 6 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Convex Set
Comment on the Definition
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 7 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Convex Set
Comment on the Definition
In geometric terms, the definition states that a set is convex
provided that whenever two points belong to the set, the entire
straight-line segment between the points also belongs to the set.
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 7 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Convex Set
Comment on the Definition
In geometric terms, the definition states that a set is convex
provided that whenever two points belong to the set, the entire
straight-line segment between the points also belongs to the set.
The sets we consider in this section are generally of the form
D = { (t, y) | a t b and < y < }
for some constants a and b.
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 7 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Convex Set
Comment on the Definition
In geometric terms, the definition states that a set is convex
provided that whenever two points belong to the set, the entire
straight-line segment between the points also belongs to the set.
The sets we consider in this section are generally of the form
D = { (t, y) | a t b and < y < }
for some constants a and b.
It is easy to verify that these sets are convex.
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 7 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Theory of IVPs: Lipschitz Condition & Convexity
Theorem: Sufficient Conditions
Suppose f (t, y) is defined on a convex set D IR2 . If a constant L > 0
exists with
f
(t, y) L, for all (t, y) D
y
then f satisfies a Lipschitz condition on D in the variable y with
Lipschitz constant L.
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 8 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Theory of IVPs: Lipschitz Condition & Convexity
Theorem: Sufficient Conditions
Suppose f (t, y) is defined on a convex set D IR2 . If a constant L > 0
exists with
f
(t, y) L, for all (t, y) D
y
then f satisfies a Lipschitz condition on D in the variable y with
Lipschitz constant L.
As the next result will show, this theorem is often of significant interest
to determine whether the function involved in an initial-value problem
satisfies a Lipschitz condition in its second variable, and the above
condition is generally easier to apply than the definition.
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 8 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Outline
1 Lipschitz Condition & Convexity
2 The Existence of a Unique Solution
3 Well-Posed Problems
4 Example of a Well-Posed Problem
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 9 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs
Theorem: Existence & Uniqueness
Suppose that D = { (t, y) | a t b and < y < } and that
f (t, y) is continuous on D. If f satisfies a Lipschitz condition on D in the
variable y, then the initial-value problem
y (t) = f (t, y), a t b, y(a) = ,
has a unique solution y(t) for a t b.
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 10 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs
Theorem: Existence & Uniqueness
Suppose that D = { (t, y) | a t b and < y < } and that
f (t, y) is continuous on D. If f satisfies a Lipschitz condition on D in the
variable y, then the initial-value problem
y (t) = f (t, y), a t b, y(a) = ,
has a unique solution y(t) for a t b.
Note: This is a version of the fundamental existence and uniqueness
theorem for first-order ordinary differential equations. The proof of the
theorem, in approximately this form, can be found in Birkhoff, G. and
G. Rota, Ordinary differential equations, (4th edition), John Wiley &
Sons, New York, 1989.
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 10 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs
Example: Applying the Existence & Uniqueness Theorem
Use the Existence & Uniqueness Theorem to show that there is a
unique solution to the initial-value problem
y = 1 + t sin(ty), 0 t 2, y(0) = 0
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 11 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs
Example: Applying the Existence & Uniqueness Theorem
Use the Existence & Uniqueness Theorem to show that there is a
unique solution to the initial-value problem
y = 1 + t sin(ty), 0 t 2, y(0) = 0
Solution (1/2)
Holding t constant and applying the Mean Value Theorem See Theorem
to the function
f (t, y) = 1 + t sin(ty)
we find that when y1 < y2 , a number in (y1 , y2 ) exists with
f (t, y2 ) f (t, y1 )
= f (t, ) = t 2 cos(t)
y2 y1 y
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 11 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs
f (t, y2 ) f (t, y1 )
= f (t, ) = t 2 cos(t)
y2 y1 y
Solution (2/2)
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 12 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs
f (t, y2 ) f (t, y1 )
= f (t, ) = t 2 cos(t)
y2 y1 y
Solution (2/2)
Thus
|f (t, y2 ) f (t, y1 )| = |y2 y1 ||t 2 cos(t)| 4|y2 y1 |
and f satisfies a Lipschitz condition in the variable y with Lipschitz
constant L = 4.
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 12 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs
f (t, y2 ) f (t, y1 )
= f (t, ) = t 2 cos(t)
y2 y1 y
Solution (2/2)
Thus
|f (t, y2 ) f (t, y1 )| = |y2 y1 ||t 2 cos(t)| 4|y2 y1 |
and f satisfies a Lipschitz condition in the variable y with Lipschitz
constant L = 4.
Additionally, f (t, y) is continuous when 0 t 2 and
< y < , so the Existence & Uniqueness Theorem implies
that a unique solution exists to this initial-value problem.
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 12 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Outline
1 Lipschitz Condition & Convexity
2 The Existence of a Unique Solution
3 Well-Posed Problems
4 Example of a Well-Posed Problem
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 13 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Well-Posed problems
Question
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 14 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Well-Posed problems
Question
How do we determine whether a particular problem has the property
that small changes, or perturbations, in the statement of the problem
introduce correspondingly small changes in the solution?
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 14 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Well-Posed problems
Question
How do we determine whether a particular problem has the property
that small changes, or perturbations, in the statement of the problem
introduce correspondingly small changes in the solution?
We first need to give a workable definition to express this concept.
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 14 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Well-Posed Problems
Definition: Well-Posed Problem
The initial-value problem
dy
= f (t, y), a t b, y(a) =
dt
is said to be a well-posed problem if the following 2 conditions are
satisfied:
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 15 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Well-Posed Problems
Definition: Well-Posed Problem (Continued)
A unique solution, y(t), to the problem exists, and
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 16 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Well-Posed Problems
Definition: Well-Posed Problem (Continued)
A unique solution, y(t), to the problem exists, and
There exist constants 0 > 0 and k > 0 such that for any , with
0 > > 0, whenever (t) is continuous with |(t)| < for all t in
[a, b], and when |0 | < , the initial-value problem
dz
= f (t, z) + (t), a t b, z(a) = + 0
dt
has a unique solution z(t) that satisfies
|z(t) y(t)| < k for all t in [a, b].
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 16 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Well-Posed Problems
Definition: Well-Posed Problem (Continued)
A unique solution, y(t), to the problem exists, and
There exist constants 0 > 0 and k > 0 such that for any , with
0 > > 0, whenever (t) is continuous with |(t)| < for all t in
[a, b], and when |0 | < , the initial-value problem
dz
= f (t, z) + (t), a t b, z(a) = + 0
dt
has a unique solution z(t) that satisfies
|z(t) y(t)| < k for all t in [a, b].
Note: The problem in z, as specified above, is called a perturbed
problem associated with the original problem for y.
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 16 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Well-Posed Problems
Conditions to ensure that an initial-value problem is well-posed.
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 17 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Well-Posed Problems
Conditions to ensure that an initial-value problem is well-posed.
Theorem: Well-Posed Problem
Suppose D = { (t, y) | a t b and < y < }. If f is continuous
and satisfies a Lipschitz condition in the variable y on the set D, then
the initial-value problem
dy
= f (t, y), a t b, y(a) =
dt
is well-posed.
The proof of this theorem can be found in Birkhoff, G. and G. Rota,
Ordinary differential equations, (4th edition), John Wiley & Sons, New
York, 1989.
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 17 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Outline
1 Lipschitz Condition & Convexity
2 The Existence of a Unique Solution
3 Well-Posed Problems
4 Example of a Well-Posed Problem
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 18 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Well-Posed Problems
Example: Applying the Theorem on Well-Posed Problems
Show that the initial-value problem
dy
= y t 2 + 1, 0 t 2, y(0) = 0.5
dt
is well posed on D = { (t, y) | 0 t 2 and < y < }.
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 19 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Well-Posed Problems
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 20 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Well-Posed Problems
Solution (1/3)
Because
(y t 2 + 1)
= |1| = 1
y
the Lipschitz Condition theorem implies that f (t, y) = y t 2 + 1
satisfies a Lipschitz condition in y on D with Lipschitz constant 1.
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 20 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Well-Posed Problems
Solution (1/3)
Because
(y t 2 + 1)
= |1| = 1
y
the Lipschitz Condition theorem implies that f (t, y) = y t 2 + 1
satisfies a Lipschitz condition in y on D with Lipschitz constant 1.
Since f is continuous on D, the Theorem on Well-Posed Problems
implies that the problem is well-posed.
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 20 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Well-Posed Problems
Solution (2/3)
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 21 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Well-Posed Problems
Solution (2/3)
As an illustration, consider the solution to the perturbed problem
dz
= z t 2 + 1 + , 0 t 2, z(0) = 0.5 + 0
dt
where and 0 are constants.
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 21 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Well-Posed Problems
Solution (2/3)
As an illustration, consider the solution to the perturbed problem
dz
= z t 2 + 1 + , 0 t 2, z(0) = 0.5 + 0
dt
where and 0 are constants.
The solutions to the original problem and this perturbed problem
are
y(t) = (t + 1)2 0.5et
and z(t) = (t + 1)2 + ( + 0 0.5)et
respectively.
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 21 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Well-Posed Problems
y(t) = (t + 1)2 0.5et
z(t) = (t + 1)2 + ( + 0 0.5)et
Solution (3/3)
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 22 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Well-Posed Problems
y(t) = (t + 1)2 0.5et
z(t) = (t + 1)2 + ( + 0 0.5)et
Solution (3/3)
Suppose that is a positive number. If || < and |0 | < , then
|y(t) z(t)| = |( + 0 )et | | + 0 |e2 + || (2e2 + 1)
for all t.
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 22 / 25
Lipschitz Condition Unique Solution Well-Posed Problems Example
Elementary Theory of IVPs: Well-Posed Problems
y(t) = (t + 1)2 0.5et
z(t) = (t + 1)2 + ( + 0 0.5)et
Solution (3/3)
Suppose that is a positive number. If || < and |0 | < , then
|y(t) z(t)| = |( + 0 )et | | + 0 |e2 + || (2e2 + 1)
for all t.
This implies that the original problem is well-posed with
k() = 2e2 + 1 for all > 0.
Numerical Analysis (Chapter 5) Elementary Theory of Initial-Value Problems R L Burden & J D Faires 22 / 25
Questions?
Reference Material
Mean Value Theorem
If f C[a, b] and f is differentiable on (a, b), then a number c exists
such that
f (b) f (a)
f (c) =
ba
y
Parallel lines
Slope f 9(c)
y 5 f (x)
f (b) 2 f (a)
Slope
b2a
a c b x
Return to Existence & Uniqueness Example
