Factorization of Boundary Value Problems Using the Invariant Embedding Method

Factorization of Boundary Value Problems Using the Invariant Embedding Method

Jacques Henry

Angel M. Ramos

Series Editor

Jacques Blum

Table of Contents

Cover image

Title page

Dedication

Copyright

Preface

1: Presentation of the Formal Computation of Factorization

Abstract

1.1 Definition of the model problem and its functional framework

1.2 Direct invariant embedding

1.3 Backward invariant embedding

1.4 Internal invariant embedding

2: Justification of the Factorization Computation

Abstract

2.1 Functional framework

2.2 Semi-discretization

2.3 Passing to the limit

3: Complements to the Model Problem

Abstract

3.1 An alternative method for obtaining the factorization

3.2 Other boundary conditions

3.3 Explicitly taking into account the boundary conditions and the right-hand side

3.4 Periodic boundary conditions in x

3.5 An alternative but unstable formulation

3.6 Link with the Steklov–Poincaré operator

3.7 Application of the Schwarz kernel theorem: link with Green’s functions and Hadamard’s formula

4: Interpretation of the Factorization through a Control Problem

Abstract

4.1 Formulation of problem (P0) in terms of optimal control

4.2 Summary of results on the decoupling of optimal control problems

4.3 Summary of results of A. Bensoussan on Kalman optimal filtering

4.4 Parabolic regularization for the factorization of elliptic boundary value problems

5: Factorization of the Discretized Problem

Abstract

5.1 Introduction and problem statement

5.2 Application of the factorization method to problem (Ph)

5.3 A second method of discretization

5.4 A third possibility: centered scheme

5.5 Row permutation

5.6 Case of a discretization of the section by finite elements

6: Other Problems

Abstract

6.1 General second-order linear elliptic problems

6.2 Systems of coupled boundary value problems

6.3 Linear elasticity system

6.4 Problems of order higher than 2

6.5 Stokes problems

6.6 Parabolic problems

7: Other Shapes of Domain

Abstract

7.1 Domain generalization: transformation preserving orthogonal coordinates

7.2 Quasi-cylindrical domains with normal velocity fields

7.3 Sweeping the domain by surfaces of arbitrary shape

8: Factorization by the QR Method

Abstract

8.1 Normal equation for problem (P0) in section 1.1

8.2 Factorization of the normal equation by invariant embedding

8.3 The QR method

9: Representation Formulas for Solutions of Riccati Equations

Abstract

9.1 Representation formulas

9.2 Diagonalization of the two-point boundary value problem

9.3 Homographic representation of P(x)

9.4 Factorization of problem (P0) with a Dirichlet condition at x = 0

Appendix: Gaussian LU Factorization as a Method of Invariant Embedding

A.1 Invariant embedding for a linear system

A.2 Block tridiagonal systems

Bibliography

Index

Dedication

In tribute to J.-L. Lions, master and inspirer.

Copyright

First published 2016 in Great Britain and the United States by ISTE Press Ltd and Elsevier Ltd

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ISBN 978-1-78548-143-7

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Preface

Jacques Henry; Angel Manuel Ramos

The invariant embedding method is archetypical of the scientific approach. In a first analytic phase, it consists of studying elementary parts of a given problem. Then, the study of the relations between these parts gives rise to a second synthetic phase that allows us to access the solution of the problem. This method is well known in control theory, where it was first introduced by R. Bellman. In the context of control theory, t denotes the time, u the state of the given system and v the control. The method is performed by embedding an optimal control problem, defined on a temporal horizon [0, T] (where T can be finite or infinite), into a family of similar problems defined on [t, T], 0 ≤ t ≤ T, while additionally choosing an arbitrary initial state ut at time t. Let t denote the present moment and ut the current measured state. Invariant embedding consists of considering two neighboring time points t and t + δt and requiring that the evolution of the state satisfies the state equation between the two time points with the restriction that their paths must be optimal on [t, T] and on [t + δt, T]. We can then write an equation for the optimal value of the criteria as a function of t that will give us not only the optimal control for the simple case of the open loop v*(t), which minimizes the objective functional assuming that the state satisfies the state equation exactly at every moment, but also the optimal control for the closed loop v*(t,ut), which yields the best control to be applied to the system at time t when its current state ut is known, and assuming that it will not be perturbed in the future. Whenever computationally feasible, automation specialists prefer the closed-loop control because it is much more stable. This method was developed by R. Bellman and his students (see, in particular, [BEL 57a]).

In this publication, we will revisit the principle of the invariant embedding method and develop the idea further by applying it spatially to solve elliptic linear boundary value problems: starting from a problem defined on one domain Ω, we will define a family of similar problems on the subdomains Ωs ⊂ Ω indexed by a parameter s with values ranging from 0 to 1, such that Ωs ⊂ Ωs′ for s < s′ and Ω1 = Ω. The set Ω0 has null measure and may or may not be contained in the boundary Γ of Ω. The mobile boundary Γs of Ωs, meaning the part of the boundary of Ωs that does not belong to the boundary of Ω, sweeps the entire domain Ω as s varies from 0 to 1. To ensure that the sub-problems are well defined, we must impose a boundary condition on Γs. The value of this condition is arbitrary as is the case in control theory, where an arbitrary present state is chosen for invariant embedding. In the framework of the optimal control of linear systems with quadratic cost, invariant embedding can be used to define a linear operator connecting the present state to the optimal adjoint state at the same time. This operator satisfies a Riccati equation. In our approach, we introduce a similar operator connecting the boundary condition on the mobile boundary Γs to other, complementary conditions, typically the Dirichlet and Neumann conditions. This operator also satisfies a Riccati equation. For optimal control, the invariant embedding process results in a Riccati equation for the state-adjoint state operator that depends only on the nature of the control problem, and an evolution equation on a residual taking into account the particular features of the problem. The optimal control is then obtained, given the measurement of the present state of the system, by an affine relationship involving this operator and this residual. Likewise, with our invariant embedding approach for elliptic linear boundary value problems we can transform the problem for which the solution at each point of the domain depends on the set of all given data (right-hand side in the entire domain and boundary conditions on the whole boundary) into two decoupled parabolic-type Cauchy problems: one on the residual to be solved in the direction of the embedding and the other to be solved in the backward direction giving the solution to the boundary value problem. These problems are dependent on the given data of the boundary value problem. They use a Dirichlet-to-Neumann-type operator that satisfies a Riccati equation and is independent of the given data, depending only on the operator of the elliptic problem, on the geometry of the problem and on the definition of the invariant embedding. This transformation of the initial boundary value problem into two Cauchy problems that we can then solve successively is referred to as the factorization of the boundary value problem. This is not a factorization of the elliptic operator, but of the boundary value problem itself, because the factorized problem satisfies the boundary conditions.

Our research began with the article [HEN 96], published in collaboration with J.-P. Yvon, in which we studied the control of an elliptic boundary value problem by a boundary condition. This problem inspired us to implement spatial invariant embedding in conjunction with the techniques of invariant embedding introduced in optimal control. The idea of spatial invariant embedding had already been used by R. Bellman and his collaborators for elliptic boundary value problems, mostly in rectangular domains [ANG 71a]. These studies were developed in a series of papers by E. Angel and diverse collaborators. In [ANG 68a], invariant embedding is applied to a boundary value problem for Laplace’s equation in a rectangle and then extended to less regular regions. The problem is discretized by finite difference methods. We will develop this perspective in Chapter 5. In [ANG 69], he gives a method for constructing the solution to a boundary value problem in a composite domain in the case where the solutions are known in the subdomains. The paper [ANG 68b] presents a comparison between invariant embedding applied to a problem that is completely discretized by finite differences and continuous invariant embedding applied to a problem that is discretized only with respect to the transversal variable. In [ANG 70b], together with R. Kalaba, he studies the possibility of a factorization with only one sweep. In [ANG 70a], a link is established between a system of two (discretized) evolution equations, coupled and to be integrated in opposite directions, and a boundary value problem written in the form of a two-point boundary value problem. The paper [COL 71] presents a numerical method called diagonal decomposition, enabling the use of an iterative solution of Riccati equation using matrices of reduced size. The numerical aspects are revisited in [ANG 71b]. The idea of combining the direct numerical method resulting from the invariant embedding with an iterative method has been suggested. A description of a method for solving weakly nonlinear elliptic problems by invariant embedding in arbitrary 2D domains is also given in [ANG 86]. Nonlinearity is handled using the quasi-linearization method. Finally, [ANG 94] displays the use of a factorization method in the framework of parallel computing. Going back to earlier research, we find the study by Hadamard [HAD 10] on the variation of the Green’s function of a boundary problem due to boundary displacement. This study introduces a differential equation with quadratic terms very similar to the Riccati equation in our approach. It does not seem, however, that the method of the spatial invariant embedding has been extensively studied from a theoretical point of view.

In this book, we explore the domain in which this method can be applied. For simplicity of presentation, we propose a particularly simple model problem: a boundary value problem with the Laplace operator and a cylindrical domain. This cylindrical geometry imitates the control situation of an evolution problem (cylinder with respect to time) and allows a simple and natural embedding of the invariant with respect to the axis of the cylinder. Furthermore, in this model problem, we choose boundary conditions that simplify the determination of the initial conditions of the factorized problem. The