Modelling Tonyroberts

Model emergent dynamics in complex systems
A. J. Roberts1
November 26, 2009
Professor of Applied Mathematics, School of Mathematical Sciences,

University of Adelaide, South Australia 5005, Autralia;
http://www.maths.adelaide.edu.au/anthony.roberts . This book was typeset
dynamically upon request from 130.95.55.4 via the web page
http://www.maths.adelaide.edu.au/anthony.roberts/modelling.html . If
printed, print two pages per sheet of paper.
ii
Tony Roberts, November 26, 2009
Contents
Preface
1 Asymptotic methods solve algebraic and differential equations

1
1.1 Perturbed algebraic equations solved iteratively . . . . . . . .
3
1.2 Power series solve ordinary differential equations . . . . . . . 34
1.3 The normal form of oscillations give their amplitude and frequency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68
1.4 Chapter Summary . . . . . . . . . . . . . . . . . . . . . . . . 107
2 Basic fluid dynamics
2.1 Flow description . . . . . . . .
2.2 Conservation of mass . . . . . .
2.3 Conservation of momentum . .
2.4 The state space . . . . . . . . .
2.5 Chapter summary and exercises
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109
. 110
. 113
. 118
. 125
. 128
3 Centre manifolds introduced

131
3.1 Couette flow . . . . . . . . . . . . . . . . . . . . . . . . . . . . 134
3.2 The metastability of quasi-stationary probability distributions 150
3.3 The centre manifold emerges . . . . . . . . . . . . . . . . . . 154
3.4 Construct slow centre manifolds iteratively . . . . . . . . . . 193
3.5 Taylor vortices form in a pitchfork bifurcation . . . . . . . . . 212
3.6 Flexible truncations empower adaptable modelling . . . . . . 239
iii
iv
Contents
3.7
3.8
Irregular centre manifolds encompass novel applications . . . 252

Chapter summary . . . . . . . . . . . . . . . . . . . . . . . . 255
4 High fidelity discrete models use slow manifolds

4.1 Introduction to some numerical methods . . . . . . .
4.2 Introduce holistic discretisation on just two elements
4.3 Holistic discretisation in one space dimension . . . .
4.4 Summary . . . . . . . . . . . . . . . . . . . . . . . .
5 Normal forms usefully illustrate
5.1 Normal form transformations simplify evolution . . .
5.2 Separate the fast and slow dynamics . . . . . . . . .
5.3 Resonance couples slow modes with fast oscillations
5.4 Chapter summary . . . . . . . . . . . . . . . . . . .
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257
. 259
. 284
. 312
. 340
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343
. 344
. 364
. 368
. 370
6 Hopf bifurcation has oscillation within

6.1 Linear stability of double diffusion . .
6.2 Oscillations on the centre manifold . .
6.3 Modulation of oscillations . . . . . . .
6.4 Nonlinear evolution of double diffusion
6.5 Summary and exercises . . . . . . . .
the centre
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manifold371
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. . . . . . 433
7 Large-scale spatial variations

7.1 Poiseuille pipe flow . . . . .
7.2 Dispersion in pipes . . . . .
7.3 Thin fluid films . . . . . . .
7.4 Summary . . . . . . . . . .
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435
437
440
457
479
8 Slow manifolds guide the mean dynamics

481
8.1 Incompressible and other approximations . . . . . . . . . . . 482
8.2 Sub-centre and slow manifolds . . . . . . . . . . . . . . . . . 492
8.3 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 508
9 Patterns form and evolve
509
9.1 One-dimensional introduction . . . . . . . . . . . . . . . . . . 510
9.2 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 519
Preface
Here we explore how to derive relatively simple dynamical equations that
model complex physical interactions. The book arises out of my interests in
both fluid dynamics and modern dynamical systems theory. Thus fluid flows
form many of the applications we investigate. The triple aim of the book is
to explore: algebraic techniques; some applications; and general modelling
principles.
The basis for the methodology is the theory and geometric picture of invariant manifolds in dynamical systems: in particular, we heavily use centre and
slow manifolds. The wonderful aspect of this approach are the geometric
interpretations of the modelling process. Simple geometric pictures inspire
sound methods of analysis and construction. But further, the pictures that
we draw of state space also provide a route for better assessing limitations
and strengths in a model. Geometry and algebra form a powerful partnership.
. . . duality between algebra and geometry was discovered by
Rene Descartes: every geometric object has an algebraic description, every algebraic formula determines a geometric object. Humans tend to use the algebraic version for calculation, and the
geometric one for imagination.
Fearful symmetry, Stewart & Golubitsky.
vi
Preface
Chapter 1
Asymptotic methods solve

algebraic and differential
equations
Contents
1.1
1.2
1.3
Perturbed algebraic equations solved iteratively
1.1.1
Base iteration upon the residual . . . . . . . . . .
1.1.2
Rescale singular perturbations . . . . . . . . . . . 15
1.1.3
Undetermined coefficients are quicker than algebra 22
1.1.4
Introducing reduce computer algebra . . . . . . . 26
Power series solve ordinary differential equations
34
1.2.1
Picard iteration is easy
. . . . . . . . . . . . . . . 35
1.2.2
Iteration is very flexible . . . . . . . . . . . . . . . 42
1.2.3
Divergent series are useful . . . . . . . . . . . . . . 56
1.2.4
Exercises . . . . . . . . . . . . . . . . . . . . . . . 65
The normal form of oscillations give their amplitude and frequency . . . . . . . . . . . . . . . .

1.3.1
68
Simple evolving nonlinear oscillations . . . . . . . 69
Chapter 1. Asymptotic methods solve algebraic and differential equations
1.4
1.3.2
Duffing oscillator has a nonlinear frequency correction . . . . . . . . . . . . . . . . . . . . . . . . . 74
1.3.3
Iteration easily constructs the normal form . . . . 80
1.3.4
Carefully define emergent variables . . . . . . . . . 83
1.3.5
Oscillations have complex modulation . . . . . . . 86
1.3.6
Forcing or variation also modulates oscillations . . 94
Chapter Summary . . . . . . . . . . . . . . . . . .
107
Mathematics is not a careful march down a well-cleared highway,

but a journey into a strange wilderness, where explorers often get
lost. Rigour should be a signal to the historian that the maps
have been made, and the real explorers have gone elsewhere.
W. S. Anglin
This chapter aims to introduce important alebraic techniques for approximating solutions to algebraic and differential equations. These form a basis
for developing techniques for solving the technically challenging partial differential equations typically found in applications.
Our approach is perturbative. When analysing a complex problem of interest, we find a similar, but easier problem, and then seek the solution of
the interesting problem as a perturbation of the easier problem. Such perturbations naturally generate power series solutions. Thus in Section 1.1
we explore some of perhaps the simplest nonlinear problemsthat of perturbed algebraic equations. These illuminate the solution and interpretation
of power series solutions of nonlinear problems.
I recommend an iterative approach driven by the residual of the governing
algebraic equation. We explore how to easily and flexibly implement such
iteration in computer algebra. Iteration is ideal for computer algebra: we
want computers to do the tedious repetitive tasks for usthose that it is
worth investing our time making sure the computer is doing what we want.
Later, computer algebra will handle some of the incredible details in similarly
solving complicated modelling problems of interest.
1.1. Perturbed algebraic equations solved iteratively
Section 1.1.4 gives an elementary introduction to the key features of the

computer algebra package reduce that we use in our analysis. Look to this
section for help getting started with reduce.
Developing power series solutions of differential equations is an ideal application of computer algebra. It leads immediately to techniques to solve
vastly more complicated problems. Our aim in Section 1.2 is to use simple
iteration to develop power series solutions of linear and nonlinear differential
equations. As for algebraic equations, Section 1.1, we make iteration flexible
by basing it upon the residual of the governing equations.
Amazingly, the technique of nonlinear coordinate transforms empower us, in
Section 1.3, to derive astoundingly simple models of nonlinear oscillations;
the model describes just the amplitude and frequency of the oscillations.
Other extant methods, such as that of multiple scales or averaging, may
also model nonlinear oscillations; Takens (1974) recognised that the so-called
normal form transformation is a much sounder basis.
The concept of the normal form transformation extends to modelling the
oscillations with complex exponentials eit . The evolution of their complex
amplitudes also provides a normal form that we readily interpret to discover
overall properties of the oscillations.
1.1
Perturbed algebraic equations solved

iteratively
Warning:
this section is a preliminary draft.
Algebraic equations introduce in a simple setting some of the basic ideas

we will use to solve and analyse complex problems. Here we explore some
simple algebraic equations along the lines of Hinch (1991) [Chapter 1] and
Bender & Orszag (1981) [7.12]. Computer algebra empowers our analysis.
On two occasions I have been asked [by members of Parliament!],
Pray, Mr. Babbage, if you put into the machine wrong figures,
will the right answers come out?
Tony Roberts, 6 Mar 2009

I am not able rightly to apprehend the kind of confusion of ideas
that could provoke such a question.
Charles Babbage
The irony in the above quote is that this is exactly what we do: we supply
the computer with a wrong answer, albeit roughly correct; and then we
iterate to improve the answer until it becomes right!
We adopt iteration throughout this book.
1.1.1
Base iteration upon the residual
Let us start with this simple quadratic equation for variable x:

x2 + 0.1 x 1 = 0 .
(1.1)
Suppose we did not know the famous formula for solving such a nonlinear
equation,
p

x = 21 0.1 0.12 + 4 = 0.95125 , 1.05125 .
Forget that you know how to solve quadratics like this. Instead we could
and do now argue that the quadratic (1.1) is nearly the same as the simpler
quadratic
x2 1 = 0 .
(1.2)
The simpler quadratic (1.2) has easier solution x = 1 which for the purposes of argument we suppose we know. In a manner to become familiar,
we use the simpler problem (1.2), and its solution, to perturbatively solve
the more complicated problem (1.1).
Connect the simpler quadratic (1.2) to the original quadratic (1.1) as instances of the more general quadratic problem
x2 + x 1 = 0 .
(1.3)
We introduce the parameter so that the general quadratic (1.3) encompasses both the simpler quadratic (1.2), the case = 0 , and the original
quadratic (1.1), the case = 0.1 . Now we proceed to expand the solution
in powers of small parameter : this expansion empowers us to use the
simpler quadratic (1.2) as a base to solve the original quadratic (1.1).
Our aim is to use simple iteration to recover the Taylor series
x = 1 12 + 81 2
1 4
128
(1.4)
of the exact positive root of the quadratic (1.3), namely,

q
1
x = 2 + 1 + 14 2 .
May rewrite to iterate
We adopt a straightforward approach here, before redoing the analysis in a
more generally applicable method in the next subsubsection.
In an act of inspiration, rewrite the general quadratic (1.3) in the form
x = 1 x .
(1.5)
Why? Because this form mimics our known solution method for solving the
simple quadratic (1.2). However, an unfortunate property of this straightforward approach is that the argument is not generalisable. We have to
have some inspiration in each new problemand inspiration is often hard
to obtain.
Nonetheless, let us continue and furthermore, let us just concentrate on the
positive solution, the variable x should be near 1. Rewrite the form (1.5) as
the iteration scheme
p
(1.6)
xj+1 = 1 xj ,
where the choice of the plus alternative for the square root leads us to the
positive solution x. Every iteration needs a starting value which will be the
solution of the easy quadratic (1.2), namely x0 = +1 .
The first iteration is
x1 = 1 = 1 21 81 2
1 3
16
where we have expanded the square-root in a binomial series.


Proceed to the second iteration to see
p
1 x1
q
=
1 1
= 1 12 1 18 2 (1 )
x2 =
1 3
16 (1
)3/2 +
= 1 12 + 18 2 + 03 + ,
after invoking the binomial series repeatedly.
And so on to further approximations with higher powers in the parameter .
See the first two iterations give precisely the first terms in the Taylor series (1.4) of the exact solution to the general quadratic (1.3): we use the
base case of = 0 with iteration to obtain solutions for general parameter .
In particular, evaluate this series at = 0.1, namely x = 0.95125 , to obtain
to five digits the positive root of the original quadratic (1.1).
Use the residual to guide improvements

Now redo this quadratic problem in a manner analogous to how we later
straightforwardly solve incredibly difficult problems. We seek power series
solutions to the perturbed quadratic (1.3) using the residual of the quadratic
equation.
Define the residual
Res1.3 (x) = x2 + x 1 .
(1.7)
The residual is a function of variable x (and the parameter ). Our aim is
to find the variable x, as a function of parameter , for which the residual
is zero and hence to have solved the quadratic (1.3).
We start from the simple case of = 0 for which we know the positive
solution x = 1 . Correspondingly, the residual Res1.3 (1) = 12 + 0 1 1 = 0 .
Thus set the initial approximation x0 = 1 .
Now seek an improvement appropriate for non-zero parameter . Seek

x1 = x0 +^
x0 = 1+^
x0 where x
^0 is a small correction to the approximate
initial solution x0 . The smallness of corrections is crucial.
Substitute x = x1 = 1 + x
^0 into the quadratic (1.3):
(1 + x
^0 )2 + (1 + x
^0 ) 1 = 0
2^
x0 + x
^20 + + ^
x0 = 0 .
Recall that both parameter and the correction x
^0 are small: this
means we drop any products of these terms such as x
^20 and ^
x0 above.
The iteration is then to solve the straightforward linear equation
2^
x0 + = 0 .
This gives correction x
^0 = 21 and consequently the next approximation is x1 = 1 12 . Indeed this is the first two terms in the Taylor
series (1.4) of the positive root of the quadratic (1.3).
Now consider the term in the previous linear equation that drives the
correction x
^0 : from (1.7) recognise it is simply the residual Res1.3 (x0 )
of the quadratic (1.3) evaluated at the initial approximation; for brevity
denote this residual by Res0 = Res1.3 (x0 ) which here = .
Second, seek a further improvement. Seek x2 = x1 + x
^1 = 1 12 + x
^1
where x
^1 is a small correction to the approximate solution x1 .
^1 into the quadratic (1.3):
Substitute x = x2 = 1 12 + x
(1 21 + x
^1 )2 + (1 12 + x
^1 ) 1 = 0
14 2 + 2^
x1 + x
^21 = 0 .
Recall that the correction x
^1 is small: this means we drop any product
2
such as x
^1 above. Although parameter is also smallish we actually
want to evaluate solutions at finite ; thus we do not neglect products
involving only the parameter , such as the 2 terms aboveit is retained; we only drop products when also involving corrections, such

as the ^
x0 terms in the previous iteration. The iteration is then to
solve the straightforward linear equation
2^
x1 14 2 = 0 .
This gives correction x
^1 = 18 2 and consequently the next approxima1
tion is x2 = 1 2 + 18 2 . Indeed this is the first three terms in the
Taylor series (1.4) of the positive root of the quadratic (1.3).
Again, look at the 2 term in the linear equation above that drives the
correction: recognise from (1.7) that it is simply the residual Res1.3 (x1 )
of the quadratic (1.3) evaluated at the first nontrivial approximation,
namely Res1 = Res1.3 (x1 ) = 14 2 .
We continue with further iteration in the next subsubsection aided by computer algebra. The key is that the corrections are simply guided by the
residual of the quadratic equation (1.3) which we aim to solve.
Computer algebra makes iteration easy
Reexamine solving the quadratic (1.3) by iteration.
Suppose that at the jth iterate we have an approximation xj , expressed as
a truncated power series in the parameter . Seek a small correction x
^j so
that xj+1 = xj + x
^j is a better approximation. How can it be better? By
reducing the residual (1.7) of the quadratic equation (1.3). So substitute
x = xj + x
^j into the quadratic (1.3) to see
(xj + x
^j )2 + (xj + x
^1 ) 1 = 0
x2j + xj 1 + (2xj + )^
xj + x
^2j = 0 .
That is, we seek to use the equation
Resj +(2xj + )^
xj + x
^2j = 0
(1.8)
to guide our choice of correction x

^j . Note that Resj = Res1.3 (xj ) = x2j +xj 1
is the residual (1.7) of the quadratic (1.3) at the current jth iteration. Invoke
three general principles:
Algorithm 1.1 reduce code to solve the quadratic (1.3) by iteration using
successive corrections (1.9).
x:=1;
% set initial approx to root
let eps^10=>0;
% truncate power series
repeat begin
% repeat iteration
res:=x^2+eps*x-1; % current residual of quadratic
write x:=x-res/2; % correct approx using residual
end until (res=0);
% until residual effectively 0
we cannot expect to solve (1.8) exactly as that would be tantamount
to solving the original quadratic (1.3) exactly;
instead, omit all products of corrections such as x
^2j ; and
approximate all coefficients of linear terms in the correction x
^j by the
unperturbed value, here setting xj 1 and 0 so that (2xj + )^
xj
2^
xj .
Then the equation (1.8) is approximately
Resj +2^
xj = 0
correction x
^j = 12 Resj .
(1.9)
Recognise that this is effectively what we did by hand in the previous subsubsection. Now proceed to iterate with the power and reliability of computer
algebra.
The whole of the developments and operations of analysis are
now capable of being executed by machinery. . . . As soon as
an Analytical Engine exists, it will necessarily guide the future
course of science.
Charles Babbage, 1864
Look at the computer algebra code of Algorithm 1.1. To execute this code,
I recommend you type it into a text file for reduce to execute. That
way you will be able to easily repair errors in typing or conception. Type
Algorithm 1.1 into a text file, say named quad. Then most importantly
surround the code by the two lines
10 Chapter 1. Asymptotic methods solve algebraic and differential equations
Dialogue 1.1 output using Algorithm 1.1.

[aroberts@wilton Asymptotic]$ reduce
Loading image file :/usr/local/reduce/lisp/psl/linux/red/reduce.img
REDUCE 3.7, 15-Apr-1999 ...
1: in quad$
x := 1
1
x := 1 - ---*eps
2
1
1
2
x := 1 - ---*eps + ---*eps
2
8
1
1
2
x := 1 - ---*eps + ---*eps
2
8
1
1
2
x := 1 - ---*eps + ---*eps
2
8
1
8
- -------*eps
32768
1
1
2
x := 1 - ---*eps + ---*eps
2
8
5
8
- -------*eps
32768
1
1
2
x := 1 - ---*eps + ---*eps
2
8
5
8
- -------*eps
32768
2:
1
4
- -----*eps
128
1
4
1
6
- -----*eps + ------*eps
128
1024
1
4
1
6
- -----*eps + ------*eps
128
1024
1
4
1
6
- -----*eps + ------*eps
128
1024
11
on div; off allfac; on revpri;

...
end;
The first line tells reduce to print algebraic expressions formatted
appropriately for perturbations expansionsalways use this first line
for all reduce code in this book.
The three dots denote the reduce code of Algorithm 1.1, and the
reduce code of all other algorithms later explored.
The last of the above lines tells reduce to stop scanning the file for
input.
To get the reduce commands on a file executed, use the in command: here
in quad$, at the prompt 1:, where the termination by the $ means that
the commands are not echo-printed.
The reduce dialogue in unix might then be as in Dialogue 1.1. See the
last printed line is the power series expansion for a solution of the quadratic
equation (1.3). The code of Algorithm 1.1 follows the iteration we have
developed:
make the initial approximation x0 = 1 ;
in reduce we efficiently truncate power series solutions by telling
reduce to discard, by for example with let eps^10=>0;, all terms
in parameter with exponent of 10 or higher;
then the iteration is to compute the residual with the current approximation followed by updating the approximation using this residual;
the iteration continues until the residual is zero, to the order of truncation in powers of parameter specified earlier.
This simple computer algebra gives us the first six non-zero terms in the Taylor series (1.4) in parameter for solutions of the quadratic (1.3). Retaining
higher powers in the iteration will give us correspondingly more terms in
the Taylor series (1.4).

There are many advantages of this iterative approach
It is easy The computer algebra code is simple to write.
It is reliable The iteration is self-checking in that the crucial requirement

for getting the correct power series is that you code the computation of the
residual correctlyas the iteration only terminates when the residual is zero.
All other parts of the coding only affect how long you have to wait for the
answer to emergealthough clearly waiting an infinite time for an infinite
loop to terminate is not much use, you will at least know for sure you need
to improve how the correction is computed from the residual.
You easily generate high orders Computing higher order terms in the
power series is, until you run out of time or memory, simply a matter of
increasing the order of truncation of the power series and rerunning the
code.
The perturbation need not be small In the above example power

series solution of the quadratic equation (1.3), although not immediately
obvious, the power series will converge for || < 2 . Thus the solution to
problems quite a large distance from the base x2 1 = 0 may be found
in this approach; for example, the quadratic x2 + x 1 = 0 has positive
solution given by the = 1 case of our power series in the supposedly small
parameter .
It is flexible Any problem in a wide class may be solved simply by changing the computation of the residual. For example, if you wanted to solve
the cubic x3 + x2 + x 1 = 0 , then just change the computation of the
residual accordingly. Simply changing the computation of the residual will
work provided the initial approximation is unchanged and the rule for using
the residual to give a correction remains unchanged.
13
Exercise 1.1:
Change the computation of the residual in the above computer algebra code to find power series solutions to the following algebraic equations for the root x 1 :
1. x3 + x2 + x 1 = 0 ;
2. (1 )x2 + 2x 1 = 0 ;
3. x3 12 x2 + x
1
2
= 0.
For each of these algebraic equations, estimate the root for = 0.1 ,
1/2 and 1. Discuss how accurate, or even valid, you consider your
estimates.
Answer:
1. 1 + 32 2 33 +
55 4
8
2. 1 12 18 2 +
3. 1 12
1 2
16
1 3
16
1 3
64
175 +
11 4
128
31
4
1024
7
5
256
91
5
4096
Exercise 1.2:
Change the computation of the residual and the rule for
updating corrections in the above computer algebra code to find power
series solutions to the following algebraic equations for the root x 1 :
1. x3 + x2 + x 2 = 0 ;
2. (1 )x2 + (1 + 2)x 2 = 0 ;
3. x4 x2 x 1 = 0 .
Use one of your series to estimate a root of x3 + x2 + x 2 = 0 ; discuss
the accuracy of your estimate. Hint: for each of the above, use a for
loop instead of a repeat loop until you know your code will converge.
Answer:

1. 1 15 +
1
2
125
2. 1 13
1 2
27
7
3
243
3. 1 + 12
1 3
16
1 4
32
8
3
3125
1
4
15625
31
4
2187
1
5
128
154
5
1953125
41
5
19683
5
6
256
598
6
48828125
251
6
59049
Exercise 1.3:
In complicated problems we often
series ex need power
pansions for elementary functions such as 1 + , 1/ 1 + 2 and
1/(1 + )2 . Of course we could explicitly code these elementary functions using the binomial expansion. But it is just as easy to use the
same iteration to create the power series expansions of these functions
simultaneously with the iteration to solve the complicated problem.
To do this, just recast such elementary functions as the solution of an
algebraic equation and apply the techniques we have just explored.
1. For example, define x = 1 + then square this definition to the

algebraic equation x2 = 1 + , and seek x as a function of parameter using iteration guided by the residual of this algebraic
equation.
2. Similarly find the power series of 1/ 1 + 2 .

3. Similarly find the power series of 1/(1 + )2 .
Answer:
1. 1 + 12 18 2 +
1 3
16
2. 1 12 2 + 38 4
5 6
16
5
4
128
7
5
256
21
6
1024
3. 1 2 + 32 43 + 54 65 + 76 +
1.1.2
15
Rescale singular perturbations
Now move on to consider this innocuous looking quadratic

x2 + x 1 = 0 .
(1.10)
As for all quadratics, this has two solutions. But when the parameter = 0 ,
the equation reduces to x1 = 0 and only one solution is apparent. This is an
example of a singular perturbation: the basic case = 0 differs qualitatively
from the cases 6= 0 . Interesting problems are often singular.
Problems which are not singular are termed regular .
Here, resolve the apparent contradiction between = 0 and 6= 0 by finding
the exact roots of the quadratic (1.10) and
exploring their behaviour as
0 . The two roots are, from x = (1 1 + 4)/(2) ,
x(1) =
1 + 22 53 + ,
1
x(2) = 1 + 22 + 53 .

The root x(1) is near 1 and is well behaved. The other root x(2) disappears
out of sight to as 0 ; hence x(2) is not apparent when we simply set
= 0.
Iteration finds the well behaved root
As before, use iteration to find the root x(1) .
Suppose you know an approximation xj to this root, such as the initial
approximation x0 = 1 . Seek a small correction x
^j so that xj+1 = xj + x
^j
better satisfies the singular quadratic (1.10). Substitute x = xj+1 = xj + x
^j
into the quadratic (1.10) to find
(xj + x
^j )2 + (xj + x
^j ) 1 = 0
x2j + 2xj x
^j + ^
x2j + xj + x
^j 1 = 0

Resj +(2xj + 1)^
xj + ^
x2j = 0 ,
(1.11)
where Resj = x2j + xj 1 is the residual of the quadratic (1.10) for the
currently known approximation. As before, neglect products of small corrections such as x
^2j , and replace coefficients of terms linear in x
^j by their
0 limit, here (2xj + 1)^
xj +^
xj . Thus approximate equation (1.11) for
the small corrections by
Resj +^
xj = 0
correction x
^j = Resj .
(1.12)
Use this correction to update the approximation to the root.

For example, here
x0 = 1 Res0 =
x1 = 1 Res1 = 22 + 3
x2 = 1 + 22 3 .
Thus two iterates finds the first few terms in the Taylor series of the well
behaved root of the singular quadratic (1.10); the 3 term in x2 will be
corrected in the next iteration.
Iteration also finds the singular root
Now adapt the iteration to find the singular root x(2) .
Again suppose you know an approximation xj to this root, such as the initial
approximation x0 = 1/ . Seek a small correction x
^j so that xj+1 = xj + x
^j
better satisfies the singular quadratic (1.10). Substitute x = xj+1 = xj + x
^j
into the quadratic (1.10) to find (1.11) as before. Also as before, neglect
products of small corrections such as x
^2j , and replace coefficients of terms
linear in x
^j by their 0 limit. The difference here is that xj 1/
and so (2xj + 1)^
xj ^
xj . Thus approximate equation (1.11) for the small
corrections by
Resj ^
xj = 0
correction x
^j = + Resj .
(1.13)
17
Use this correction to update the approximation to the singular root.

For example, here
1
Res0 = 1

1
x1 = 1 Res1 =

1
x2 = 1 + .

x0 =
Thus two iterations finds the first few terms in the power series of the singular root of the singular quadratic (1.10).
Deduce the initial approximation But how do we know to start with
x0 = 1/ ? This x0 follows because nontrivial solutions must come from a
balance of at least two dominant terms in the governing equation. Consider
the possibilities exhaustively.
Suppose the last two terms of the quadratic (1.10) are the dominant
balance. That is, x 1 = 0 is the approximate equation. Then the
initial approximation would be x 1 . The neglected term x2
is then smaller than the two terms forming the balance, namely the
x and 1, and so the initial approximation is valid. We saw this lead us
to the well behaved root.
Suppose the first two terms of the quadratic (1.10) form the dominant
balance. That is, x2 + x = 0 is the approximate equation. Then the
initial approximation would be solutions of x2 + x = 0 , namely the
equation x(x + 1) = 0 giving solutions x 0 and x 1/ .
The x 0 case is not relevant because then the neglected term 1
is larger than the retained terms in the quadratic (1.10).
However, for the x 1/ case, the neglected term 1 is smaller
than the two terms forming the balance, both of large size 1/,
and so the initial approximation is valid. We saw this case lead
us to find the singular root.

Lastly, suppose the first and the last terms of the quadratic (1.10) are
the dominant balance. That is, x2 1 = 0 is the approximate equa
tion. Then the initial approximation could be either of x 1/ .
The neglected term x 1/ is then larger than both the two

terms forming the balance, and so neither of these initial approximations can be valid. This case cannot lead to a root of the singular
quadratic (1.10).
Hinch (1991) [1.2] and Bender & Orszag (1981) [7.2] explore this sort of
reasoning further.
Exercise 1.4:
Explore all three roots of the singular algebraic equation
x3 + x2 + x 1 = 0 .
Rescale to remove the singularity

Working with quantities that go to infinity is awkward. Often, a better
strategy is to rescale the problem so quantities stay finite.
Consider the singular quadratic (1.10). Scale the variable x = X/ in terms
of a new variable X. Substitute into the singular quadratic (1.10) to find the
corresponding quadratic for the new variable X:

X2 X
+ 1=0
2

X2 + X = 0 .
(1.14)
Now solve this corresponding quadratic (1.14) for roots X using the regular
methods. This works because the rescaling of the singular quadratic (1.10)
produces a regular quadratic (1.14).
For example, use computer algebra. The reduce code in Algorithm 1.2
finds the root
X = 1 + 2 23 + 54 +
which corresponds to the singular root x(2) = X/ . See the output from
the reduce code in Dialogue 1.2.
Remember to surround the code of
Algorithm 1.2 by
19
Algorithm 1.2 reduce code to solve the rescaled quadratic (1.14) by iteration. Here find the root X 1 , that is, x 1/.
x:=-1;
let eps^7=>0;
repeat begin
res:=x^2+x-eps;
write x:=x+res;
end until (res=0);
Dialogue 1.2 output of Algorithm 1.2.

x := -1
x :=
x :=
x :=
x :=
x :=
x :=
x :=
- 1 - eps
2
- 1 - eps + eps
2
- 1 - eps + eps
2
- 1 - eps + eps
2
- 1 - eps + eps
2
- 1 - eps + eps
2
- 1 - eps + eps
3
- 2*eps
3
- 2*eps
3
- 2*eps
3
- 2*eps
3
- 2*eps
4
+ eps
4
+ 5*eps
4
+ 5*eps
4
+ 5*eps
4
+ 5*eps
5
6
- 6*eps + 6*eps
5
6
- 14*eps + 26*eps
5
6
- 14*eps + 42*eps
5
6
- 14*eps + 42*eps

...
end;
in a text file, and then execute the commands in the file using the in textfile$
command.
Example 1.5:
x 1 = 0.
Estimate the large negative root of the quadratic 15 x2 +
Solution: This quadratic is an instance of the singular quadratic (1.10)

with parameter = 51 . Recognise that the finite number 15 perhaps
may be treated as small, and hence analysis based upon small is
valid. Consequently, substitute = 51 into our above series to estimate
X 1 0.2 + 0.04 0.016 + 0.008 0.0045 + 0.0027 = 1.170 ,
to three decimal places. See that each term in the sum is roughly half
that of the preceding, so expect the error in this estimate to be roughly
half the size of the last term and hence no more than three decimal
places are justified. Thus the large negative root of the quadratic
1 2
5 x + x 1 = 0 is
x = 5X 5.849 .
This compares very well with the exact root 5.854 .
Find the other root x(1) 1 using the same program, but start from X0 = 0
(or X0 = ) corresponding to x0 = 1 , and change the update to X from
the correction. See these two changes from Algorithm 1.2 in the reduce
code of Algorithm 1.3. Dialogue 1.3 list the output from the reduce code.
Hence the other root x(1) = X/ = 1 + 22 + as before.
Avoid singular perturbations Later analysis of dynamical systems discusses how some people view the dynamics as a combination of very fast
21
Algorithm 1.3 reduce code to solve the rescaled quadratic (1.14) by iteration. Here find the root X 0 , that is, x 1.
x:=0;
let eps^7=>0;
repeat begin
res:=x^2+x-eps;
write x:=x-res;
end until (res=0);
Dialogue 1.3 output from Algorithm 1.3.

x := 0
x := eps
2
x := eps - eps
2
x := eps - eps
2
x := eps - eps
2
x := eps - eps
2
x := eps - eps
2
x := eps - eps
3
+ 2*eps
3
+ 2*eps
3
+ 2*eps
3
+ 2*eps
3
+ 2*eps
4
- eps
4
- 5*eps
4
- 5*eps
4
- 5*eps
4
- 5*eps
5
6
+ 6*eps - 6*eps
5
6
+ 14*eps - 26*eps
5
6
+ 14*eps - 42*eps
5
6
+ 14*eps - 42*eps

damped modes and much slower modes evolving over times of order 1. Their
analysis is then phrased as a singular perturbation problem. However, in
most instances the singular nature is removed simply by rescaling time.
We always do so.
In general, our approach is one of regular perturbations: singular perturbations are avoided by rescaling time and by the well-posed nature of our
dynamical modelling methodology.
Exercise 1.6:
Rescale x so that the singular cubic equation x3 + x2 +
x1 = 0 becomes regular. Then write, test and run computer algebra
code to generate power series approximations for all three roots of the
cubic. Hence estimate the three roots of 14 x3 + x2 + 41 x 1 = 0 ; discuss
the accuracy of your estimates.
Exercise 1.7:
Rescale x to find approximations, as power series in parameter , to the two real roots of 2 x6 x4 x3 + 8 = 0 . Exhaust
all scaling possibilities.
Answer: One real root comes from assuming x is of size 1, another real
root comes from the scaling x = X/2/3 (Bender & Orszag 1981, 7.2).
1.1.3
Undetermined coefficients are quicker than algebra
How many of the previous computer algebra exercises did you do? If you
did more than a couple, I bet that you ran an infinite loop in at least one
of the exercises.
Why? Because it is non-trivial to deduce the rule, such as (1.9) or (1.12), for
correcting an approximation based upon a residual. The algebra derivation
contains enough detail apparently uninteresting detail that people
make little errors. At least I generally do.
23
Algorithm 1.4 precisely two iterations of this reduce code tells us how to
use the residuals to update the corrections. Simply choose the parameter a
so that the second residual is better than the first.
factor eps;
x:=1;
let eps^10=>0;
for it:=1:2 do begin
write res:=x^2+eps*x-1;
write x:=x+a*res;
end;
We here explore an simpler but reliable alternative: namely a variant of
the method of undetermined coefficients. The method is to recognise that
generally there is a purely linear dependence upon the residual by the desired
correction, so let the coefficient of the linear dependence be some as yet
unknown parameter and then find the unknown parameter via performing
two iterations.
Example 1.8:
Reconsider finding the root x 1 of the quadratic equation (1.3) using computer algebra. Suppose we do not know that the
correction to an approximation xj is x
^j = 12 Resj , (1.9).
However, we do know that generally there is a linear dependence between residual and correction. Thus, propose that the coefficient of
proportionality is some constant, say a, that we need to determine.
Then for this problem, execute precisely two iterations of the proposed
computer algebra code, see Algorithm 1.4. Dialogue 1.4 lists the reduce output.
See that Res1 = and that Res2 = (1 + 2a) + a(1 + a)2 . For
general coefficient a, both the first and second residuals are of size .
However, the second residual Res2 will be smaller, namely of size 2 ,
when we choose the parameter a so that the coefficient of the term
in Res2 becomes zero. That is, choose parameter a = 12 so that
1 + 2a = 0 . Then the rule for correcting an approximation from a
residual is precisely (1.9) that we deduced before with algebra.

x := 1
res := eps
x := 1 + eps*a
2
2
res := eps*(1 + 2*a) + eps *(a + a )
2
2
2
3
x := 1 + eps*(2*a + 2*a ) + eps *(a + a )
The next step would then be to edit the proposed Algorithm 1.4 by
setting the parameter a to its useful value of a = 21 , then performing as many iterates as necessary to obtain the desired power series
approximation, as in Algorithm 1.1.
Recognise the enormously efficient use of your time in this method of parametrising the linear dependence of a correction upon a residual. You write the
computer algebra code you would use anyway if you knew the parameter;
execute precisely two iterations to find the useful value; then quickly edit
the code to set the value of the parameter. The only crucial part of the computer algebra code is the computation of the residual: if that computation
is correctly coded and a suitable initial approximation used, then in using
this approach you will construct a correct perturbation power series.
See this method of undetermined coefficients in action again in a second
straightforward example.
Example 1.9:
Reconsider finding the negative root X 1 of the quadratic
equation (1.14) using computer algebra. Again suppose we do not
know the correction for any given residual.
However, we do know that generally the correction is linearly proportional to the residual. Thus, propose that the coefficient of proportionality is some constant, say a, that we need to determine. Then
for this problem, execute precisely two iterations of the proposed comTony Roberts, 6 Mar 2009
25
Algorithm 1.5 precisely two iterations of this reduce code tells us how
to use the residuals to update the corrections for quadratic (1.14). Simply
choose the parameter a so that the second residual is better than the first.
factor eps;
x:=-1;
let eps^10=>0;
for it:=1:2 do begin
write res:=x^2+x-eps;
write x:=x+a*res;
end;
x := -1
res :=
x :=
- eps
- 1 - eps*a
2 2
res := eps*( - 1 + a) + eps *a
2
2 3
x := - 1 + eps*( - 2*a + a ) + eps *a
puter algebra code, see Algorithm 1.5. Dialogue 1.5 lists the reduce
output.
See that Res1 = and that Res2 = (a 1) + a2 2 . The second
residual Res2 will be smaller than the first, Res1 , only when we choose
the parameter a so that the coefficient of the term in Res2 is set to
zero. That is, choose parameter a = 1 so that a 1 = 0 . Then the
rule for correcting an approximation from a residual becomes precisely
that implemented before in Algorithm 1.2.
This method of undetermined coefficients finds a critical parameter for the

iteration to converge. In more complicated problems where we solve systems
of equations, the linear relation between residuals and corrections is, in general, a finite dimensional linear transformation. Thus in more complicated

problems we will have to determine an unknown matrix of coefficients. But
nonetheless, a couple of iterations of the iteration scheme is usually enough
to determine the coefficients.
Exercise 1.10:
Use this method of undetermined coefficients to find the
linear relation between residual and correction for some of the earlier
exercises. Especially explore any exercises you have not yet done.
1.1.4
Introducing reduce computer algebra
In the previous subsections I assumed you could already use the computer
algebra package reduce. This subsection provides an introduction to reduce for those that need more help getting started.
You might use a free demonstration copy of reduce1 which at the time of
writing are available from:
Codemist http://west.codemist.co.uk/reduce/index.html;
Konrad-Zuse Zentrum Berlin ftp://ftp.zib.de/pub/reduce/demo;
Check that you can start and run reduce, it should open up a window
saying something like2
REDUCE 3.7, 15-Apr-1999 ...
1:
The 1: is a prompt for a command: type quit; followed by the return or
enter key for reduce to finish. If this works, you can run reduce.
1
There is always a limitation in using free, demonstration copies. Here the main restriction on the demonstration version is that garbage collection is disabled in reduce.
What that means in practise is that only small to medium amounts of computer algebra
can be done before having to restart reduce. It is probably best to solve one problem at
a time, restarting reduce in between each problem.
2
We generally use such a coloured, teletype font for computer instructions and dialogue.
27
http://www.zib.de/Symbolik/reduce/Overview/Overview.html is
an on-line overview to the capabilities of reduce.
http://www.uni-koeln.de/cgi-bin/redref/redr_dir.html gives extensive online help to the commands and syntax for reduce.
Explore a little reduce
Start reduce in Unix by typing reduce in a command window. To
exit from reduce type the command quit; followed by the enter
key .
Note: all reduce statements must be terminated with a semi-colon.
Do not forget. They are subsequently executed by typing a enter
key.
reduce uses exact arithmetic by default: for example to find 100! in
full gory detail type factorial(100);enter (I will not mention the
enter key again unless necessary).
Identifiers, usually we use single letters for brevity, denote either variables or expressions: in f:=2*x^2+3*x-5; the identifier x is a variable
whereas f, after the assignment with :=, contains the above expression;
similary after g:=x^2-x-6; then g contains an algebraic expression.
Expressions may be
added with f+g;
subtracted with f-g;
multiplied with f*g;
divided with f/g;
exponentiated with f^3;, etc.
Straightforward equations may be solved (by default equal to zero):
solve(x^2-x-6,x); or through using an expression previously found
such as solve(f,x); .

Systems of equations may be solved by giving a list (enclosed in braces)
of equations and a list of variables to be determined. For example,
solve({x-y=2,a*x+y=0},{x,y}); returns the solution parametrised
by a.
Basic calculus is a snap:
differentiation uses the function df as in df(f,x); to find the first
derivative; or df(g,x,x); for the second; or df(sin(x*y),x,y);
for a mixed derivative.
The product rule for differentiation is verified for the above two
functions by df(f*g,x)-df(f,x)*g-f*df(g,x); reducing to zero.
integration is similar, int(f,x); giving the integral of the polynomial in f, without an integration constant, but perhaps more impressive is the almost instant integration of int(x^5*cos(x^2),x); .
Note that repeated integration must be done by repeated invocations of int, not by further arguments as for df . Instead, for
example, int(f,x,0,2); will give you the definite integral from 0
to 2.
One can substitute an expression for a variable in another expression.
For example the composition f(g(x)) is computed by sub(x=g,f);
reduce allows you to use many lines for the one command: a command is not terminated until the semi-colon is typed. reduce alerts
you to the fact that you are still entering the one command by displaying the prompt again. Thus if you forget the semi-colon, just type
a semi-colon at the new prompt and then the enter key to execute
what you had typed on the previous lines.
reduce is case insensitive: lowercase variables/names and uppercase
variables/names both refer to the same things.
If reduce displays the message Declare xxx operator ?, then you
have probably mistyped something and the best answer is to type N
then enter.
29
Use operators to help pattern matching

A subtle but immensely powerful feature of computer algebra, especially
reduce, is its flexible pattern matching and replacement. This section
introduces how to do useful pattern matching and replacement with the aid
of operators.
An operator for double integration Suppose

RR that in some problem
you need to compute a lot of double integrals, dx dx . Of course you
could use reduces native integrator twice: int(int(...,x),x) . But such
double invocation is inefficient. Instead, define an operator, here called iint,
that does the double integration in one step. Tell reduce it is an operator,
and tell reduce what to do with some powers of x with
operator iint;
let {iint(1)=>x^2/2,
iint(x)=>x^3/6,
iint(x^2)=>x^4/12,
iint(x^3)=>x^5/20};
Try it. It works: wherever you type one of the above patterns such as
iint(x) you get the right-hand side. But . . . try, say, iint(2*x+5*x^2) :
we just get iint(5*x^2 + 2*x) back as the answer. That is no use.
Linear operators distribute We need to tell reduce that the operator iint distributes over addition and multiplication by a constant so
that reduce knows, for example, that iint(2*x+5*x^2) is the same as
2*iint(x)+5*iint(x^2) . The reduce command linear does precisely
that provided we also specify that x is the variable of interest. Replace the
above definitions with
operator iint;
linear iint;
let {iint(1,x)=>x^2/2,
iint(x,x)=>x^3/6,

iint(x^2,x)=>x^4/12,
iint(x^3,x)=>x^5/20};
Now execute
3: iint(2*x+5*x^2,x);
3
x *(5*x + 4)
-------------12
Why do we need the second argument x? So that reduce knows that other
variables are constants as far as iint is concerned. Thus we get the correct
answer from
5: iint(3*(a+x)^3,x);
2
3
2
2
3
3*x *(10*a + 10*a *x + 5*a*x + x )
-------------------------------------20
because reduce knows to factor the constant a outside of iint. But . . .
what if we try iint(c*x^5)? the answer is uselessly just c*iint(x^5,x)
because we have not told reduce what to do with high powers.
Flexible patterns reduce enables us to match and transform general

patterns, not just specific. Here we continue the example by showing how
to transform general powers of x, not
coded above.
RR just the specific 1powersn+2
That is we want iint to know that xn dx dx = (n+1)(n+2)
x
in general.
Do this by introducing a tilde variable on the left-hand side of the let
transformations. Here code
operator iint;
linear iint;
let {iint(1,x)=>x^2/2,
iint(x,x)=>x^3/6,
iint(x^~n,x)=>x^(n+2)/(n+1)/(n+2) };
31
Now see it at work with something more complicated such as

6: iint((a+x)^5,x);
2
5
4
3 2
2 3
4
5
x *(21*a + 35*a *x + 35*a *x + 21*a *x + 7*a*x + x )
---------------------------------------------------------42
It works! Try it for any polynomial in x, with any number of other constants.
It works because iint(x^~n,x) matches any power of x; the ~n tells reduce
that anything can appear as the exponent, and when it does, replace the n
on the right-hand side by whatever is the exponent on the left.
Why do we have to separately code transformations for iint(1,x) and
iint(x,x)? Because these are not in the form of x raised to some power.
We know that mathematically 1 = x0 and x = x1 , but reduce does not
assume that in its pattern matching. reduce knows to replace x^0 by 1
and x^1 by x, but in its pattern matching it will not assume the reverse.
Thus we have to code the transformation of such special powers separately
to the general case.
Build in subsidiary conditions In the above example of double integration we ignored any integration constants. Our code above always provides
an answer for which the value and its derivative at x = 0 are both zero.
That is, our above code implicitly assumed the answer has to be such that
its value and derivative at x = 0 has to be zero. What if instead we wanted
an answer that was zero at x = 0 and zero at x = 1, and there is no constraint on the derivative? We build such subsidiary homogeneous conditions
into the operator iint.
A little algebra gives the general double integral
ZZ
1
xn dx dx =
xn+2 + ax + b .
(n + 1)(n + 2)
Make this zero at x = 0 by choosing b = 0 , as we did implicitly above. Make
1
the answer zero at x = 1 by choosing a = (n+1)(n+2)
. That is, the general

particular double integral we need is
Code this rule instead.
RR
xn dx dx =
1
n+2
(n+1)(n+2) (x
x) .
operator iint;
linear iint;
let {iint(1,x)=>(x^2-x)/2,
iint(x,x)=>(x^3-x)/6,
iint(x^~n,x)=>(x^(n+2)-x)/(n+1)/(n+2) };
Then see it works on some examples such as the following:
6: y:=iint((b*x+x^2)^2,x);
2 3
2
4
5
x*(5*b *x - 5*b + 6*b*x - 6*b + 2*x - 2)
y := ---------------------------------------------60
7: sub(x=1,y);
0
In essence we have constructed the operator iint that solves the second
order differential equation d2 y/dx2 = y 00 = f such that y(0) = y(1) = 0 .
We just type y:=iint(f,x), provided the right-hand side f is a polynomial
in x.
If the right-hand side is non-polynomial, then we either code more suitably
general rules or we resort back to the powerful general reduce integration
operator int. But remember that a specifically coded operator,like our iint,
is very much quicker for reduce to execute.
Exercise 1.11:
Code an operator that constructs particular solutions
of the differential equation x2 y 00 + 2y = f for polynomial right-hand
sides f.
Exercise 1.12:
Code an operator that constructs solutions of the differential equation x2 y 00 + xy 0 4y = f for polynomial right-hand sides f.
The subsidiary conditions are that solutions must be well behaved near
x = 0 , whereas y = 0 at x = 1 . Assume that the polynomial f never
33
has a quadratic, x2 , component.
Summary of some Reduce commands

the different branches of ArithmeticAmbition, Distraction, Uglification and Derision.
the Mock Turtle in Alice in Wonderland by Lewis Carroll
reduce instructions must be terminated and separated by a semicolon or a dollar character.
quit; or bye; terminates reduce execution.
Use on div;, off allfac; and on revpri; to improve the printing
of power series.
:= is the assignment operator.
The normal arithmetic operators are: +, -, *, / and ^ for addition,
subtraction, multiplication, division and exponentiation respectively.
write will display the result of an expression, although reduce automatically displays the results of each command that is not in a loop.
int(y,x) will provide an integral of the expression in y with respect
to the variable x, provided reduce can actually do the integral.
df(y,x) returns the derivative of the expression in y with respect to
the variable x; df(y,x,z) will return the second derivative of y with
respect to x and z.
factorial(n) returns the value of n!.
for n:=2:5 do, for example, will repeat whatever statement follows
for values of the variable used, here n, over the range specified in the
command, here from 2 to 5.

The let statement does pattern matching and replacement; for example let x^15=>0; tells reduce to subsequently discard any term
involving x to the power fifteen or more.
repeat...until... will repeatedly execute a statement until the given
condition is true.
begin...end is used to group statements into one; end; is also used
to terminate reading in a file of reduce commands.
in "..."; tells reduce to execute the commands contained in the
specified file.
operator ... defines the name of an operator that we use to symbolically operate on its argumentsits actions are typically defined by
some let rules.
linear ... declares that the named operator is to expand linearly its
first argument with respect to its second argument.
1.2
Power series solve ordinary differential

equations
Warning:
The techniques introduced in this section are prototypes for all the asymptotic and perturbative analysis of dynamical systems. The techniques build
on from those introduced in Section 1.1 for solving algebraic equations. Discover much more depth in the approximate solution of differential equations
by reading Chapter 3 in the book by Bender & Orszag (1981). Here we
limit attention to introducing those techniques later pertinent in modelling
dynamical systems.
1.2. Power series solve ordinary differential equations
1.2.1
35
Picard iteration is easy
Computers are extremely good are repeating the same thing many times
over. We use this aspect to find power series solutions of some simple differential equations, and then some horrible nonlinear differential equations.
The ideas are developed by example.
Example 1.13:
The solution to y 00 + y = 0, y(0) = 1 and y 0 (0) = 0 is
y = cos x. Find the Taylor series solution by iteration first by hand
and secondly using computer algebra.
00
Solution: Rearrange
RR this ode to y = y and then formally integrate twice to y = y dx dx. These integrals on the right-hand side
are indefinite integrals so implicit constants of integration, say a + bx,
should appear on the right-hand side. But we know that the cosine
solution to y 00 + y = 0 has y(0) = 1 and y 0 (0) = 0 so surely we should
set a = 1 and b = 0 to account for these initial conditions. Thus
ZZ
y = 1 y dx dx
(1.15)
where here the integrals are implicitly the definite integral from 0 to x.
This rearrangement incorporates the information of the ode and its
initial conditions.
In this form we readily find its power series solution by iteration: given
an approximation yn (x) we find a new approximation by evaluating3
ZZ
yn+1 = 1 yn dx dx .
First try by hand starting from y0 = 1:
RR
y1 = 1 1 dx dx = 1 21 x2 ;
RR
y2 = 1 1 21 x2 dx dx = 1 12 x2 +
1 4
24 x .
Interestingly, this is Picard iteration that is also used to prove existence of solutions
to odes.

See these are the first few terms in the Taylor series for cos x. Now try
using reduce to do the algebra:
first type the three commands
on div;, off allfac; and on revpri;
(do not forget the semi-colon to logically terminate each
command and the return or enter key to get reduce to actually
execute the line you have typed)these commands tell reduce
to format its output in a nice way for power series;
set a variable to the first approximation by typing y:=1; which
assigns the value one to the variable y;
type y:=1-int(int(y,x),x); to assign the first approximation,
y1 = 1 x2 /2, to the variable yint(y,x) computes an
integral with respect to x of whatever is in y, fortunately for us,
for polynomial y it computes the integral which is zero at x = 0;
type y:=1-int(int(y,x),x); again to compute y2 , etc;
iterative loops are standard in computer languages and
computer algebra is no exception so type
for n:=3:8 do y:=1-int(int(y,x),x);
to compute further iterations. But nothing was printed so
finally type y; to see the resulting power series for cos x.
The entire reduce dialogue should look like Dialogue 1.6.
Example 1.14:
Find the general Taylor series solution to y 00 + y = 0
using computer algebra (reduce).
Solution: In the previous example we built in the specific initial

conditions appropriate to y = cos x, namely y(0) = 1 and y 0 (0) = 0.
37
Dialogue 1.6 reduce for Example 1.13

1: on div;
2: off allfac;
3: on revpri;
4: y:=1;
y := 1
5: y:=1-int(int(y,x),x);
1
2
y := 1 - ---*x
2
6: y:=1-int(int(y,x),x);
1
2
1
4
y := 1 - ---*x + ----*x
2
24
8: for n:=3:8 do y:=1-int(int(y,x),x);
9: y;
1
2
1
4
1
6
1
8
1
10
1 - ---*x + ----*x - -----*x + -------*x - ---------*x
2
24
720
40320
3628800
1
12
1
14
1
16
+ -----------*x
- -------------*x
+ ----------------*x
479001600
87178291200
20922789888000
Algorithm 1.6 use iteration to find the general solution of the ode in
Example 1.14.
factor a,b;
y:=a+b*x;
for n:=1:4 do write
y:=a+b*x-int(int(y,x),x);

If we make the integration constants arbitrary, by iterating
ZZ
y = a + bx y dx dx ,
then we recover the general solution parametrised by a and b where
y(0) = a and y 0 (0) = b. Lets do it. Type the commands in Algorithm 1.6 into a text file (remember to start with on div; off allfac;
and on revpri;, and to finish with end;):
type factor a,b; to get reduce to group all terms in a and all
terms in b;
set the initial value to something simple satisfying the initial
conditions y:=a+b*x;
iterate four times with
for n:=1:4 do write y:=a+b*x-int(int(y,x),x); using the
write command to print each iterate.
Dialogue 1.7 lists the reduce output. See how easily this generates
the Taylor series for y = a cos x + b sin x.
Now let us try something rather hardin fact almost impossible to quantitatively solve except via power series methods. We now use precisely the
same iteration to solve a nonlinear ode!
Example 1.15:
Find the Taylor series solution to the nonlinear ode
00
2
y = 6y , y(0) = 1 and y 0 (0) = 2.
Before solving this as a power series (by my design its exact solution
just happens to be y = 1/(1 + x)2 ), investigate it qualitatively using
techniques developed in courses on systems of first-order differential
equations. Introduce z(x) = y 0 then the equivalent system is
y0 = z ,
z 0 = 6y2 .
Hence the evolution in the phase plane is dictated by the arrows shown
below with the particular trajectory starting from the initial condition
(1, 2) shown in green:
39
Dialogue 1.7 reduce output of Algorithm 1.6.

1: in textfile$
y := b*x + a
1
3
1
2
y := b*(x - ---*x ) + a*(1 - ---*x )
6
2
1
3
1
5
1
2
1
4
y := b*(x - ---*x + -----*x ) + a*(1 - ---*x + ----*x )
6
120
2
24
1
3
1
5
1
7
y := b*(x - ---*x + -----*x - ------*x )
6
120
5040
1
2
1
4
1
6
+ a*(1 - ---*x + ----*x - -----*x )
2
24
720
1
3
1
5
1
7
1
9
y := b*(x - ---*x + -----*x - ------*x + --------*x )
6
120
5040
362880
1
2
1
4
1
6
1
8
+ a*(1 - ---*x + ----*x - -----*x + -------*x )
2
24
720
40320
0
-0.2
-0.4
z=y'
-0.6
-0.8
-1
-1.2
-1.4
-1.6
-1.8
-2
-0.5
0.5

Solution: Now we find its power series solution! As before, recast
the ode in the following form that also incorporates the initial conditions by formally integrating twice the ode:
ZZ
y = 1 2x + 6 y2 dx dx ,
(1.16)
where again the repeated x integral is assumed done so that each
integral is zero at x = 0. Then iterate, starting from y0 = 1 2x say:
ZZ
y1 = 1 2x + 6 1 4x + 4x2 dx dx
y2
= 1 2x + 3xZZ2 4x3 + 2x4 ;

2

1 2x + 3x2 4x3 + 2x4 dx dx
= 1 2x + 6
ZZ
= 1 2x + 6 1 4x + 10x2 20x3 + 29x4 32x5
+28x6 16x7 + 4x8 dx dx
= 1 2x + 3x2 4x3 + 5x4 6x5
29
32
4
4
+ x6 x7 + 3x8 x9 + x10 .
5
7
3
15
This is quickly becoming horrible. But that is just why computers

are made. Before rushing in to use reduce, observe that here the
quadratic nonlinearity y2 is going to generate very high powers of x,
most of which we do not want. For example, in y2 above the terms
up to x5 are correct, but all the higher powers are as yet wrong.4
Another iteration would generate a 22nd order polynomial for y3 of
which only the first 8 coefficients are correct, the rest are rubbish. In
reduce, discard such high order terms in a power series by using, for
example, the command let x^8=>0; which tells reduce to discard,
set to zero, or otherwise ignore, all terms with a power of x of eight or
more. This is just what we want; thus the first line of Algorithm 1.7
4
The quadratic nonlinearity y2 rapidly generates high powers of x in the expressions.

However, the iteration plods along only getting one or two orders of x more accurate each
iteration.
41
Algorithm 1.7 Use reduce to find the power series solution to the nonlinear odeof Example 1.15 via its integral representation (1.16).
let x^8=>0;
y:=1-2*x;
for n:=1:5 do write
y:=1-2*x+6*int(int(y^2,x),x);

1: in node$
y := 1 - 2*x
2
3
4
y := 1 - 2*x + 3*x - 4*x + 2*x
2
3
4
5
29
6
32
7
y := 1 - 2*x + 3*x - 4*x + 5*x - 6*x + ----*x - ----*x
5
7
2
3
4
5
6
7
y := 1 - 2*x + 3*x - 4*x + 5*x - 6*x + 7*x - 8*x
2
3
4
5
6
7
y := 1 - 2*x + 3*x - 4*x + 5*x - 6*x + 7*x - 8*x

sets the order of truncation of the power series. The second line sets
the initial approximation that y 1 2x . The third and fourth lines
code a loop to iterate (1.16). Put these command in a text file, say
named node, surrounded by the standard two lines
and
end;
Then execute the reduce file using the in command to see the output
in Dialogue 1.8. The iteration settles on the correct power series but
all terms with powers of eight or higher in x are neglected. Thus
triumphantly write the solution of this nonlinear ode as

y = 1 2x + 3x2 4x3 + 5x4 6x5 + 7x6 8x7 + O x8 ,

where O x8 (read order of x8 ) tells us that the error in the power
series, the neglected terms, are x8 or higher powers.
In the above three examples we developed the Taylor series about x = 0 .

To find Taylor series about any point x = c it is simply a matter of changing
the independent variable to, for example, t = x c and then finding the
Taylor series in t. We will continue to find only Taylor series about x = 0
because that is all we need to also find other power series solutions.
1.2.2
Iteration is very flexible
So far we have simply rearranged an ode in order to derive an iteration

that will generate the desired power series solution.5 In this subsection we
5
What we have done is rather remarkable. Recall learning about fixed point iteration
as a method of solving linear and nonlinear equations. We have done precisely fixed point
iteration here. The remarkable difference is that previously you have simply found the
one number that satisfies a given equation; here you have found the function, via its
power series, that satisfies the given differential equationa much more difficult task.
Nonetheless the strategy of appropriately rearranging the equation and iterating works.
43
discuss why this strategy works at all, and what extension we need to solve
a very wide range of differential equations.
The iteration works because integration is basically a smoothing operation.
This smoothing by integration tends to reduce errors in a power series. For
example, suppose an error was O x3 , so that it is roughly about 103
when
x = 0.1 say: then integrating it twice will lead to an error O x5 in the
integral which is much smaller in magnitude, roughly 105 when x = 0.1.
Conversely differentiation
derivatives of an error O x3
magnifies errors: two
1
becomes an error O x which, at roughly 10 when x = 0.1, is much larger.
To make errors smaller, equivalently to push them to higher powers in x, we
generally need to integrate. Thus an integral reformulation of an ode is the
basis for a successful iterative solution.
How do we know how many iterations should be performed? One answer is
simple: keep iterating until there is no more change to the solution. One
consequence of the answer though is that we have to keep track of the change
in the approximations. A good way to find the change in an approximation
is to solve for it explicitly. That is, in analogy with the solution of algebraic
equations in Section 1.1.1, we solve for corrections to each approximation.
But first we have to find an equation for the small corrections to an approximate solution at each iteration. This leads us to a powerful iterative
framework, based upon the residual of the ode, which we develop further
and explore by example.
Example 1.16: Legendre functions.
Use iteration to find the general
Taylor series solutions to Legendres equation, written here as
(1 x2 )y 00 2xy 0 + ky = 0
for k = n(n + 1) ,

to an error O x10 for initial conditions y(0) = 1 and y 0 (0) = 0.
Solution:
Immediately an initial approximation is

y0 = 1 ,

as this satisfies the initial conditions. The iterative challenge is: given
a known approximation yn , find an improved solution
yn+1 (x) = yn (x) + y
^ n (x) ,
where y
^ n is the as yet unknown correction to the approximation that
we have to find. Now substitute this form for yn+1 into the ode and
rearrange to put all the known terms on the right-hand side and all
the unknown on the left:
(1 x2 )^
yn00 + 2x^
yn0 k^
yn = (1 x2 )yn00 2xyn0 + kyn .
This looks like a differential equation for the as yet unknown correction y
^ n forced by the known right-hand side, the residual of Legendres equation evaluated at the current approximation, Resn =
(1 x2 )yn00 2xyn0 + kyn . For example, the first residual from y0 = 1
is Res0 = k. But this ode for the correction is far too complicated
indeed if we could solve it exactly then the problem would be over
immediately. Instead, seek a simplification to make the ode for y
^n
tractable while still useful. The general principles of the simplification
are that in any terms involving y
^n:
near the point of expansion x = 0, x is much smaller than 1 and x2
is even smaller still, thus neglect higher powers of x relative to
lower powersso in this example we replace the (1 x2 ) factor
by 1 because the x2 is negligible in comparison to 1 for the small x
near the point of expansion;
also, though be careful, because differentiation increases errors
as differentiation by x corresponds roughly to lowering the power
of x by 1 (equivalently it roughly corresponds to dividing by x)
neglect low order derivatives of y
^ n (provided they are not also
divided by x)in this example x^
yn0 is roughly of the same size
as y
^ n because the derivative makes it larger but the multiplication
by x cancels this effect, but both of these terms are smaller than
y
^ n00 which is roughly 1/x2 times larger.
45
Algorithm 1.8 reduce code to construct solutions of Legendres equation

in Example 1.16.
factor x;
y:=1;
let x^10=>0;
repeat begin
res:=(1-x^2)*df(y,x,x)-2*x*df(y,x)+k*y;
res:=-int(int(res,x),x);
write y:=y+res;
end until res=0;
After this simplification, the ode for a correction then reduces to
^
yn00 = Resn (x) = (1 x2 )yn00 2xyn0 + kyn .
In the first iteration, as Res0 = k , y
^ 000 = k which upon integrating
twice leads to the requisite correction being y
^ 0 = kx2 /2 .
But what about the constants of integration? In this approach the initial approximation satisfies the initial conditions y(0) = 1 and y 0 (0) =
0 . We ensure these are satisfied by all approximations by ensuring all
the corrections y
^ n satisfy the corresponding homogeneous initial conditions y
^ n (0) = y
^ n0 (0) = 0 . Thus, for example, the change y
^ 0 above is
indeed correct. Hence the next approximation is y1 = 1 kx2 /2 .
We could continue doing this by hand, but the plan is to use computer
algebra to do the tediously repetitious iteration. See in the code of
Algorithm 1.8 the following steps.
Set the initial approximation y := 1 .

Discard any powers generated of O x10 by let x^10=>0;
Iterate until the correction is negligible using the repeat loop,
namely repeat...until res=0;.
Inside the loop:

compute residual,
res:=(1-x^2)*df(y,x,x)-2*x*df(y,x)+k*y;
compute correction by two integrations,
and lastly update the approximation, write y:=y+res;
Group terms in powers of variable x by factor x; at the start
of the code.
The reduce output might be as listed in Dialogue 1.9. This reduce
output gives the desired Taylor series to be

1 2 1
1 3
13 2 1
k 2
4
k k x
k
k + k x6
y = 1 x +
2
24
4
720
360
6

1
17
101
1
+
k4
k3 +
k2 k x8 + O x10 .
40320
10080
3360
8

Example 1.17:
Find the Taylor series solution to errors O x8 to the
nonlinear ode y 00 + (1 + x)y 0 6y2 = 0 such that y(0) = 1 and
y 0 (0) = 1.
Solution: Again immediately write down an initial approximation

consistent with the initial conditions: namely y0 = 1 x. Then, given
a known approximation, say yn (x), seek an improved approximation
yn+1 (x) = yn (x) + y
^ n (x) where y
^ n (x) is some as yet unknown correction. Substitute into the differential equation and rearrange to deduce
the following ode for the correction:
^
yn00 (1 + x)^
yn0 + 6^
y2n + 12yn y
^ n = Resn = yn00 + (1 + x)yn0 6y2n ,
where here, as always, Resn (x) is the known residual evaluated for the
current approximation. Now simplify the left-hand side:
47

1: in leg$
y := 1
1
2
y := 1 - ---*x *k
2
1
2
4
1
1
2
y := 1 - ---*x *k + x *( - ---*k + ----*k )
2
4
24
y :=
1
2
4
1
1
2
6
1
13
2
1
3
1 - ---*x *k + x *( - ---*k + ----*k ) + x *( - ---*k + -----*k - -----*k )
2
4
24
6
360
720
1
2
4
1
1
2
y := 1 - ---*x *k + x *( - ---*k + ----*k )
2
4
24
6
1
13
2
1
3
+ x *( - ---*k + -----*k - -----*k )
6
360
720
8
1
101
2
17
3
1
4
+ x *( - ---*k + ------*k - -------*k + -------*k )
8
3360
10080
40320
1
2
4
1
1
2
y := 1 - ---*x *k + x *( - ---*k + ----*k )
2
4
24
6
1
13
2
1
3
+ x *( - ---*k + -----*k - -----*k )
6
360
720
8
1
101
2
17
3
1
4
+ x *( - ---*k + ------*k - -------*k + -------*k )
8
3360
10080
40320

since x is small (in the power series expansion) 1 + x 1 and
similarly yn 1 from the initial condition y(0) = 1 so the lefthand side first simplifies to
^
yn00 y
^ n0 + 6^
y2n + 12^
yn ;
but also the correction y
^ n must be small (as each y
^ n is to make
2
a small improvement in the solution) and so y
^ n must be much
smaller still and should be neglectedfor example we typically
expect the first correction y
^ 0 to be O x2 whence y
^ 20 = O x4
which is much smaller and negligible in the first iterationhence
the left-hand side simplifies further to
^
yn00 y
^ n0 + 12^
yn ;
lastly, differentiation effectively decreases the order of any term
so that the second derivative term dominates the others above
and so the ode for the change becomes simply
^
yn00 = Resn = yn00 + (1 + x)yn0 6y2n .
For example, begin the first iteration computing the residual
Res0 = 0 + (1 + x)(1) 6(1 x)2 = 7 + 11x 6x2 .
Then changing sign and integrating twice gives the
ZZ
7
11
y
^ 0 = Resn dx dx = x2 x3 +
2
6
first correction
1 4
x ,
2
after recalling that we need to satisfy homogeneous initial conditions

y
^ n0 (0) = y
^ n (0) = 0 for the corrections in order to ensure the solution satisfies the specified initial conditions. Thus the first corrected
approximation is
7
11
1
y1 = 1 x + x2 x3 + x4 .
2
6
2
49
Algorithm 1.9 reduce code to solve the nonlinear ode in Example 1.17.
Note: it is safest to specify the integrals are from 0 so that we know the
corrections satisfy y
^ (0) = y
^ 0 (0) = 0 .
y:=1-x;
let x^8=>0;
repeat begin
res:=df(y,x,x)+(1+x)*df(y,x)-6*y^2;
write y:=y+res;
end until res=0;

2: in nod_r$
y := 1 - x
7
2
y := 1 - x + ---*x
2
7
2
y := 1 - x + ---*x
2
7
2
y := 1 - x + ---*x
2
7
2
y := 1 - x + ---*x
2
7
2
y := 1 - x + ---*x
2
7
2
y := 1 - x + ---*x
2
7
2
y := 1 - x + ---*x
2
11
3
1
4
- ----*x + ---*x
6
2
3
31
4
- 3*x + ----*x 8
3
25
4
- 3*x + ----*x 6
3
25
4
- 3*x + ----*x 6
3
25
4
- 3*x + ----*x 6
3
25
4
- 3*x + ----*x 6
3
25
4
- 3*x + ----*x 6
121
5
-----*x
40
169
5
-----*x
40
257
5
-----*x
60
257
5
-----*x
60
257
5
-----*x
60
257
5
-----*x
60
199
6
83
7
+ -----*x - ----*x
60
42
83
6
8543
7
+ ----*x - ------*x
16
1680
787
6
789
7
+ -----*x - -----*x
144
140
219
6
9551
7
+ -----*x - ------*x
40
1680
219
6
1433
7
+ -----*x - ------*x
40
252
219
6
1433
7
+ -----*x - ------*x
40
252

Now investigate further with the computer algebra code in Algorithm 1.9.
See in the output of Dialogue 1.10 how the nonlinearity generates a
lot of high order rubbish, but the iteration soon corrects it all. Thus
conclude that the Taylor series solution is

7
25
257 5 219 6 1433 7
y = 1 x + x2 3x3 + x4
x +
x
x + O x8 .
2
6
60
40
252
The general principles to note in this iterative approach to finding

power series solutions to linear and nonlinear odes follow.
Make an initial approximation consistent with the initial conditions of
the ode.
Seek as simple an ode for successive corrections by substituting yn+1 =
yn + y
^ n into the differential equation, grouping all the known terms
into the residual Resn , and then neglecting all but the dominant terms
involving the change y
^n:
neglect all nonlinear terms in the small change y
^n;
approximate all coefficient factors by the lowest order term in x;
and, counting each derivative with respect to x as equivalent to
a division by x, keep only those terms of lowest order in x.
This process is close kin to linearisation.
Iteratively make changes as guided by the residuals until the changes
are zero to some order of error in x. This is handily done by computer
algebra.
Warning: when testing computer algebra code, do not use the repeatuntil loop; instead, when testing use a for-do loop to ensure that you
do not get stuck in an infinite loop. Only when you are sure that your
code works do you replace the for-do loop with a repeat-until loop.
51
Applying these principles becomes more involved when we apply them in

developing power series about a singular point of an ode. Lets investigate
a couple of examples.
Example 1.18: Bessel function of order 0.
Find the power series
solution of x2 y 00 + xy 0 + x2 y = 0 that is well-behaved at x = 0 to an error O x10 namely find the low-orders of a power series proportional
to the Bessel function J0 (x).
Solution: First,
find and solve the indicial equation by substituting
y = xr + O xr+1 . Here the ode becomes6

x2 y 00 + xy 0 + x2 y = r(r 1)xr + rxr + xr+2 + O xr+1

= r2 xr + O xr+1 .
The only way this can be zero for all small x is if r2 = 0. This leads,
as discussed by Kreyszig (1999) [4.4] and Bender & Orszag (1981)
[3.23], to the homogeneous solutions of the ode being approximately
y a + b log x. The logarithm is not well-behaved as x 0 ; hence
we set b = 0 and just seek solutions that tend to a constant as x 0.
Without loss of generality, because we can multiply by a constant later,
we choose to find solutions such that y(0) = 1.
Second, make an initial approximation to the solution. After the above
discussion of the indicial equation, choose y0 = 1.
Third, given a known approximation yn (x), seek an improved approximation yn+1 (x) = yn (x) + y
^ n (x) where y
^ n (x) is some small correction.
2
Substitute this into the ode, neglect x y
^ n because it is two orders of x
smaller than either x2 y
^ n00 or x^
yn0 , and deduce that the correction y
^n
should satisfy
yn0 = Resn = x2 yn00 + xyn0 + x2 yn .
x2 y
^ n00 x^
(1.17)
Solving this for the correction y

^ n is no longer simply a matter of
integrating twice.
6
As xr+2 is absorbed into the error term O xr+1 .


However, rearranging the form of the ode (1.17) we again express the
solution in terms of two integrations. Notice that the left-hand side is
identical to x(x^
yn0 ) 0 whence
x(x^
yn0 ) 0 = Resn
Z
Resn
0
x^
yn =
dx
x
Z Z
1 Resn
dx dx .
y
^n =
x
x
Apply this iteration here.
1. In the first iteration y0 = 1 so the residual Res0 = x2 . Thus
Z Z 2
1 x
y
^0 =
dx dx
x x
Z

1 1 2
x
+
b
dx
=
x 2
1
= x2 b log x + a ,
4
for integrations constants a and b.
Note the freedom to include a b log x into y
^ 0 : but we cannot
tolerate any component in log x, as it behaves badly at x = 0, so
b = 0; and a has to be chosen zero in order to ensure yn (0) = 1 .
This argument applies at all iterations. Hence y1 = 1 x2 /4 .
2. In the second iteration compute Res1 = x4 /4 . Thus, setting
the integration constants to zero as before,
Z Z
1 x4 /4
dx dx
y
^1 =
x
x

Z
1
x4
=
dx
x
16
x4
.
=
64
Hence y2 = 1 x2 /4 + x4 /64 .
53
Algorithm 1.10 reduce code to find the well-behaved Bessel function

of order 0. Example 1.18 shows how iteration constructs the Taylor series
solution.
y:=1;
let x^10=>0;
repeat begin
res:=x^2*df(y,x,x)+x*df(y,x)+x^2*y;
res:=-int(int(res/x,x)/x,x);
write y:=y+res;
end until res=0;
2: in besso$
y := 1
1
2
y := 1 - ---*x
4
1
2
y := 1 - ---*x
4
1
2
y := 1 - ---*x
4
1
2
y := 1 - ---*x
4
1
2
y := 1 - ---*x
4
1
4
+ ----*x
64
1
4
1
6
+ ----*x - ------*x
64
2304
1
4
1
6
1
8
+ ----*x - ------*x + --------*x
64
2304
147456
1
4
1
6
1
8
+ ----*x - ------*x + --------*x
64
2304
147456
Continuing the iteration by the computer algebra of Algorithm 1.10,

find the output listed in Dialogue 1.11. Thus the Taylor series of the
Bessel function J0 (x) is

1
1 6
1
1
x +
x8 + O x10 .
y = J0 (x) = 1 x2 + x4
4
64
2304
147456
Example 1.19: Bessel functions of order 0.
Find the power series


Algorithm 1.11 reduce code to find the general series solution of Bessels
ode of order 0. The factor command improves the appearance of the
printed output.
factor a,b,log;
y:=a+b*log(x);
let x^10=>0;
repeat begin
res:=x^2*df(y,x,x)+x*df(y,x)+x^2*y;
res:=-int(int(res/x,x)/x,x);
write y:=y+res;
end until res=0;

expansion about x = 0, to errors O x10 , of the general solution to
Bessels equation with = 0, namely x2 y 00 + xy 0 + x2 y = 0.
Solution: The indicial equation shows that in general the dominant
component in the solution is a + b log x for any a and b. (See that
these were also naturally obtained in the integration constants of the
previous example.) Use this as the first approximation y0 and see
what ensues. The derivation of the equation for the iterative changes,
equation (1.17) remains the same.
Code the iteration as in Algorithm 1.11. Dialogue 1.12 lists the output.
That is, as Kreyszig (1999)[p.213] assures us for double roots, the
general solution is of the form y = ay1 (x) + by2 (x) where here

1
1 6
1
1
x +
x8 + O x10 ,
y1 = 1 x 2 + x 4
4
64
2304
147456

1 2
3 4
11 6
25
y2 = y1 (x) log x + x
x +
x
x8 + O x10 .
4
128
13824
1769472
Using residuals to improve approximate solutions, getting computers to do the tedious algebra, may be adapted to a wide variety of problems.
55

6: in bessg_r$
y := a + log(x)*b
1
2
1
2
1
2
y := ---*b*x + a*(1 - ---*x ) + log(x)*b*(1 - ---*x )
4
4
4
1
2
3
4
1
2
1
4
y := b*(---*x - -----*x ) + a*(1 - ---*x + ----*x )
4
128
4
64
1
2
1
4
+ log(x)*b*(1 - ---*x + ----*x )
4
64
1
2
3
4
11
6
y := b*(---*x - -----*x + -------*x )
4
128
13824
1
2
1
4
1
6
+ a*(1 - ---*x + ----*x - ------*x )
4
64
2304
1
2
1
4
1
6
+ log(x)*b*(1 - ---*x + ----*x - ------*x )
4
64
2304
1
2
3
4
11
6
25
8
y := b*(---*x - -----*x + -------*x - ---------*x )
4
128
13824
1769472
1
2
1
4
1
6
1
8
+ a*(1 - ---*x + ----*x - ------*x + --------*x )
4
64
2304
147456
1
2
1
4
1
6
1
8
+ log(x)*b*(1 - ---*x + ----*x - ------*x + --------*x )
4
64
2304
147456
1
2
3
4
11
6
25
8
y := b*(---*x - -----*x + -------*x - ---------*x )
4
128
13824
1769472
1
2
1
4
1
6
1
8
+ a*(1 - ---*x + ----*x - ------*x + --------*x )
4
64
2304
147456
1
2
1
4
1
6
1
8
+ log(x)*b*(1 - ---*x + ----*x - ------*x + --------*x )
4
64
2304
147456

The iteration will improve an approximation provided corrections deduced
from the residuals are appropriate. The key is to deduce a simple and sensible approximation to the equation for the corrections. But the correctness
of the ultimate result depends only upon being able to evaluate the residuals
correctly. That we drive the residuals to zero to some level of accuracy in
a finite number of iterations ensures the procedure will terminate. But if it
terminates, the zero residual ensures we have constructed a desired solution.
1.2.3
Divergent series are useful
All the series we have generated so far are convergent. However, mostly we
generate divergent series. Somehow we must make sense of such divergent
series. In this subsection we explore the concept of asymptotic series and
how they may form useful approximations.
Lets start the exploration with an innocuous looking example that almost
immediately presents new challenges.
Example 1.20: Stieltjes series Find the Taylor series, about x = 0 , of
the solution to the linear Stieltjes ode
x2 y 00 + (1 + 3x)y 0 + y = 0
such that
y(0) = 1 .
(1.18)
Why is there only one initial condition, y(0) = 1 ? Because this is

a singular problem as the coefficient of the highest derivative vanishes at the point of expansion x = 0 . Unlike the singular algebraic
equations which could be rescaled into regularity, the singular nature
of the ode (1.18) cannot be removed. Indeed the singular nature is
fundamental to the interest of this Stieltjes ode.
Solution: Solve the ode (1.18) by iteration. The initial approximation is y0 = 1 from the given initial condition. As before, suppose
yn (x) is an approximate solution to the ode, seek a correction y
^ n (x)
so that yn+1 = yn (x) + y
^ n (x) is a better approximation. Substitute
yn+1 into the ode (1.18) to deduce
x2 y
^ n00 + (1 + 3x)^
yn0 + y
^ n + Res1.18 = 0 ,
57
Algorithm 1.12 use reduce to find the power series solution to the Stieltjes ode (1.18).
let x^9=>0;
y:=1;
repeat begin
res:=x^2*df(y,x,x)+(1+3*x)*df(y,x)+y;
res:=-int(res,x);
y:=y+res;
end until res=0;
write y;
4: in stieltjes$
y := 1
2
3
4
5
6
7
8
1 - x + 2*x - 6*x + 24*x - 120*x + 720*x - 5040*x + 40320*x
where Res1.18 is the residual of the ode (1.18) at the current approximation. Now approximate the operator acting on the correction y
^n
to give the equation
y
^ n0 = Res1.18 :
3x 1 for x near zero and so is omitted;
x2 y
^ n00 is of size y
^ n , both are smaller than y
^ n0 , and so both are
omitted.
Use Algorithm 1.12 to find the power series solution to the Stieltjes
ode (1.18). Dialogue 1.13 lists the reduce output, now without trace
printing in the loop. See these are the first nine terms in the Stieltjes
series
X
y=
(1)n n!xn .
(1.19)
n=0
Exercise 1.36 asks you to confirm this infinite sum satisfies the Stieltjes
ode (1.18).

We encountered no difficulty constructing the power series (1.19) solution. But look closely. The coefficients in the series grow more and
more rapidly. Consequently, the radius of convergence of this power
series is zero! This power series diverges for all x 6= 0 .
Such divergence corresponds to the irredeemably singular nature of
the Stieltjes ode (1.18) at x = 0 .
Divergent power series are common Later examples of power series

indicate that such divergent series not only occur in the modelling of nonlinear dynamical systems, divergent power series are the norm. Indeed, be
surprised on those occasions when we find apparently convergent power series solutions! Mostly we only find a few terms in a power series solution.
Even though we generally will not generate enough information to indicate
whether the power series converges or diverges, expect the power series to
be divergent.
The outstanding issue for us is to make sense of the use of such divergent
power series.
Example 1.21: Error summing the Stieltjes series
asks you to show that the Stieltjes integral
Z
y(x) =
0
Exercise 1.36
et
dt ,
1 + xt
(1.20)
solves the Stieltjes ode (1.18).

Now, an integration by parts of the Stieltjes integral (1.20) leads to
h
it= Z
(1 + xt)1 (et )
x(1 + xt)2 et dt
t=0
0
Z
= 1x
(1 + xt)2 et dt .
y(x) =
59
This integration by parts gives the first term in the Stieltjes series (1.19).
Further integration by parts gives more terms in the Stieltjes series:
Z
y(x) = 1 x
(1 + xt)2 et dt
0
Z
2
(1 + xt)3 et dt
= 1 x + 2x
0
Z
2
3
= 1 x + 2x 6x
(1 + xt)4 et dt
0
..
.
= 1 x + 2!x2 3!x3 + + (1)N N!xN + N (x) ,
where
N (x) = (1)
N+1
N+1
(N + 1)!x
(1 + xt)N2 et dt .
See the Stieltjes series appear; but importantly, the series appears with
a definite expression for the error N (x) in the Nth partial sum.
The error is bounded as 1 + xt 1 for x, t 0 , consequently (1 +
xt)N2 1 and hence
Z
N+1
|N (x)| (N + 1)!x
et dt = (N + 1)!xN+1 .
0
Although the series is divergent, this bound on the error of some partial
sum may be small enough for practical purposes. For example, the four
term partial sum 1 x + 2x2 6x3 approximates the Stieltjes integral
to two decimal places when 24|x|4 < 0.01 , that is, for |x| < 0.14 .
Observe that the error N (x) in the partial sums of the Stieltjes series is
bounded by the magnitude of the next term in the series. Experience suggests that errors of partial sums are often about the size of the first, lowest
order, neglected term in the series. Occasionally we invoke the following
conjecture.

Conjecture 1.1 As a gross but practical generalisation, the error in an
asymptotic series may be estimated by the first neglected term in the series.
The Stieltjes integral (1.20) illuminates the singularity at x = 0 that
is the root cause of the divergence of any power series solution to the
Stieltjes ode. The Stieltjes integral is clearly an analytic function of x.
But see in the integral (1.20) that there is a pole at t = 1/x . For
negative x this pole lies on the path of integration. To navigate around
this pole, the contour of integration may be moved to one side or the
other in the complex t-plane. The change in the integral, depending upon
the deformation of the integration contour, represents a branch cut in the
analytic depedencea branch cut that exists for all negative x including
those arbitrarily close to x = 0 . Hence x = 0 is a singular point and any
power series representation should diverge.
However, the strength of the branch cut is very small as |x| 0 .
The strength of the branch cut is the jump in the function value which
is just 2i times the strength of the pole at t = 1/x . Rewriting the
integrand as et /[x(t + 1/x)] the strength of the pole at t = 1/x is
thus e1/x /x. Consequently the strength of the branch cut is exponentially
small, 2ie1/x /x, as x 0 . Being exponentially small, the Stieltjes
series in powers of x cannot discern the branch cut other than being
divergent.
Asypmtotic series and their properties

Because divergent series are endemic in our modelling, we henceforth phrase
analysis in terms of asymptotic series rather than Taylor series. The difference in algebraic manipulations is usually negligible. The difference primarily lies in how the series are interpreted. For example, we do not necessarily
expect a partial sum to improve as more terms are taken. Instead, and this
is the core idea of asymptotic series, we just demand that any specific partial
sum improves as the parameter gets smaller.
In this section we formalise the basis and properties of asymptotic series
along the lines of Hinch (1991) [Chapter 2] and Bender & Orszag (1981)
[3.8].
Power series are most common in our analysis. But recall the Bessel funcTony Roberts, 1 Mar 2008
61
tions of Example 1.18; sometimes the logarithm appears in asymptotic series.

Sometimes powers of logarithms appear. Thus we define asymptotic series
more generally than just for powers of a parameter.
Definition 1.2 (Basic notation) The notation (Bender & Orszag 1981,
3.4) for:
f(x) is much smaller than g(x) as x x0 is
f(x) g(x) as x x0 ,
means
lim
f(x)
= 0;
g(x)
lim
f(x)
= 1;
g(x)
xx0
f(x) is asymptotic to g(x) as x x0 is

f(x) g(x) as x x0 ,
means
xx0
f(x) is of the order of g(x) as x x0 is

f(x) = O g(x) as x x0 ,
means
f(x)
is bounded as x x0 .
g(x)
In these limits, the limit point x0 may be 0, or a one sided limit such
as 0+.
Example 1.22: Asymptotic relations:
x log x as x 0 ;
e1/x x2 as x 0+ (but not as x 0);
(log x)3 x1/5 as x + ;
ex ex + x as x + ;
sin x x as x 0 ;

1 cos2 x = O x2 as x 0 .

A critical property of a power series is that it is the sum of smaller and
smaller terms. To generalise such a sum to an asymptotic series we introduce
an infinite sequence of smaller and smaller functions. Let n (x), n =
0, 1, 2, . . . , be an infinite sequence of functions such that each is much smaller
than its predecessor: that is, n (x) n1 (x) as x x0 for n = 1, 2, . . . .
For example,
Taylor series arise from choosing n (x) = (x x0 )n /n! as 1 (x
x0 ) (x x0 )2 /2 as x x0 ;
Laurent series arise from choosing n (x) = 1/xn+1 as x ;
or we could choose the sequence of fractional powers x2/3 x1/6
x1/3 x5/6 x4/3 as x 0+ ;
or perhaps involve the logarithm as in the sequence 1 x log x x
x2 log2 x x2 log x x2 x3 log3 x as x 0 .
P
Definition 1.3 (asymptotic series) The infinite sum
n=0 an n (x) is
said toPbe an asymptotic series to a function f(x) as x x0 , written
f(x)
n=0 an n (x) , when the error in every partial sum is always much
smaller than the size of the last term included:
f(x)
m
X
an n (x) m (x)
as x x0
for all m.
(1.21)
n=0
A partial sum of an asymptotic series is usually called an asymptotic approximation.

Example 1.23: the Stieltjes seris is asymptotic
The Stieltjes sen
ries (1.19) is written in powers of x, n (x) = x , as x 0 . Exercise 1.21 derived that the error in a partial sum of the Stieltjes series
|N (x)| (N + 1)! xN+1 xN
as x 0 .
Hence the Stieltjes series is an asymptotic series.
63
Properties of asymptotic series

Uniqueness If a function possesses an asymptotic series then the series
is unique for that sequence of n (x). In principle, the coefficients of
the asymptotic series are uniquely and recursively determined by the
limits
P
f(x) m1
n=0 an n (x)
am = lim
.
xx0
m (x)
However, the uniqueness is for one given sequence of n (x). For example, see the differing coefficents in the two asymptotic approximations,
as x 0 , of
tan x x + 13 x3 +
sin x +
1
2
2 5
15 x
3
sin x +
3
8
sin5 x + .
Nonuniqueness There are many functions with the same asymptotic series. For example, consider
X
1
xn
1x
as x 0 ,
n=0
but also
X
1
2
+ e1/x
xn
1x
as x 0 .
n=0
Two
with a zero asymptotic series,
P functions that differ by something
1/x2 above, wil have the same
0
(x)
,
such
as
the
function
e
n
n=0
asymptotic series. That is, any given asymptotic series represents a
whole class of functions. However, the difference between members
in the class of functions is much smaller than all elements in the sequence n (x).
Equating coefficients We may occasionally write
X
n=0
an n (x)
bn n (x)
as x x0 ,
n=0

even though the definition only specifies asymptoticity between a function
take this notation to mean that the two series
P
P and a series. We
n=0 bn n (x) are asymptotic to the same class of
n=0 an n (x) and
functions as x x0 . By the uniqueness of asymptotic coefficients, it
follows that then an = bn for all n. That is, we may equate coefficients
of asymptotic series.
Arithmetic operations follow naturally A further consequence of the
uniquess of coefficients is that asymptotic series may be summed, subtracted, multiplied or divided in the usual manner (Bender & Orszag
1981, p.125).
Calculus is trickier An asymptotic series of a function f(x) can be integrated term by term when the function f(x) is integrable near x0 (and
the sequence functions n (x) are all positive).
However, asymptotic series cannot always be differentiated. The problem is that very small terms may nonetheless oscillate wildly. For example consider two functions f(x) and g(x) differing by a negligible
but oscillatory amount:
g(x) = f(x) + e1/x sin(e1/x ) .
As x 0+, f and g have the same power series because e1/x has the
zero power series. Yet their derivatives differ significantly:
g 0 (x) = f 0 (x) + x2 e1/x sin(e1/x ) x2 cos(e1/x ) .
The last term on the right-hand side, which grows like x2 , shows the
enormous difference between the derivatives as x 0+.
In summary, when you know the function and the requisite derivatives all
have an asymptotic series, then the uniqueness of asymptotic series ensures
that formal manipulations of the infinite sums of the series yields correct
answers (Bender & Orszag 1981, p.127).
1.2.4
65
Exercises
Exercise 1.24: Modify the iteration of Example 1.13 to find the Taylor
series solution to the ode y 00 2y =0 such that y(0) = 1 and y 0 (0) = 0
using reduce and to errors O x10 .
Answer: y = 1 + x2 + 61 x4 +
1 6
90 x
1
8
2520 x
+ O x10
Exercise 1.25: Similarly

use reduce to find the Taylor series solution

to errors O x15 to the ode y 00 + xy = 0 such that y(0) = a and
y 0 (0) = b . The Taylor series multiplied by a and b are those of
two linearly independent solutions to Airys equation mentioned by
Kreyszig (1999)[p.198, p.95860].
1 4
1
1
1
Answer: y = b(x 12
x + 504
x7 45360
x10 + 7076160
x13 ) + a(1 16 x3 +

1
6
180 x
1
9
12960 x
1
12
1710720 x )
+ O x15
Exercise 1.26: Use reduce to find the Taylor series

of the solution to
y 0 = cos(x)y such that y(0) = 1 to errors O x10 . Hint: replace cos x
in the code by its Taylor series, you may use that factorial(n) computes n!. Compare your answer to that of the exact analytic solution
obtained by recognising the ode is separable.
1 5
1
1 7
31
1
x 240
x6 + 90
x + 5760
x8 + 5670
x9 +
Answer:
y = 1 + x + 21 x2 81 x4 15
O x10
Exercise 1.27: Modify the analysis of Example 1.15

to use reduce to
find the Taylor series solution to errors O x10 of the nonlinear ode
y 00 = 6y2 such that y(0) = 1 and y 0 (0) = b where b is some arbitrary
constant. Note: because this is a nonlinear ode the solution depends
nonlinearly upon b, in contrast to linear odes which would show a
linear dependence only.
25 9
8
7
Answer: y = 1 + 3x2 + 3x4 + 3x6 + 18
2x3 + 3x5 + 24
7 x + b(x +
7 x + 7 x )+
b2 ( 12 x4 + x6 +
45 8
28 x )
+ b3 ( 17 x7 +
5 9
14 x )
+ O x10

Exercise 1.28: Use reduce to find the Taylor series
solution of the non
linear ode y 00 = (1 + x)y3 to errors O x10 such that y(0) = 2 and
y 0 (0) = 3.
11 4
25 5
211 6
47 7
2081 8
3
Answer: y = 2 3x + 4x2 14
3 x + 2 x 4 x + 30 x 6 x + 240 x
41243 9
4320 x
+ O x10
Exercise 1.29: Modify the reduce computer algebra of Example 1.16 to

find the Taylor series of the general solution
to Legendres equation in
10
the specific case k = 3 to an error O x .
Answer: y = a(1 32 x2 83 x4
27 7
560x
159 9
4480 x )
+O x
17 6
80 x
663 8
4480 x )
+ b(x 16 x3
3 5
40 x

10
Exercise 1.30: Modify the arguments and the reduce computer algebra
of Example 1.16 to find the Taylor series, to an error O x10 , of the
general solution to the following three odes:
1. (x 2)y 0 = xy ;
2. (1 x2 )y 0 = 2xy ;
3. y 00 4xy 0 + (4x2 2)y = 0 .
Exercise 1.31: Modify the computer algebra
code for Example 1.18 to find

the Taylor series, to errors O x10 , of the well-behaved solution of the
nonlinear ode x2 y 00 + x2 y 0 + xy3 = 0 such that y(0) = 2.
Answer: y = 2 4x + 4x2
1199 8
1350 x
4142 9
6561 x
+O x
10
32 3
9 x
26 4
9 x
56 5
25 x
3404 6
2025 x
832 7
675 x
Exercise 1.32: Usereduce to help you find the power series about x = 0,
to errors O x10 , of the well-behaved solutions of the ode x2 y 00 +x3 y 0 +
(x2 2)y = 0. Hint: x2 y 00 2y = (x4 (y/x2 ) 0 ) 0 . Then modify your
reduce code to find the power series of the one parameter family of
well-behaved solutions to the nonlinear ode x2 y 00 + x3 y 0 + (x2 2)y +
y2 = 0.
67
Algorithm 1.13 reduce code for Exercise 1.35.

y:=2*x;
let x^20=>0;
repeat begin
res:=(1-x^3)*df(y,x,x)-(y^2-x^2)*df(y,x);
write y:=y+res;
end until res=0;
Answer: Well behaved
solutions are proportional to y = x2
3 4
10 x
+ O x . The nonlinear solutions parametrised by a, the

3 4
3 6
1
coefficient of the quadratic term, are y = a(x2 10
x + 56
x 144
x8 ) +

1 4
11 6
661
1
11
17
a2 ( 10
x + 280
x 75600
x8 ) + a3 ( 140
x6 3150
x8 ) 37800
a4 x8 + O x10 .
3 6
56 x
1
8
144 x
10
Exercise 1.33: Use

reduce to help find the power series about 00x = 0,0 to
20
errors O x , of the well-behaved solutions of the ode xy + 3y +
3x2 y = 0. Hint: xy 00 + 3y = (x3 y 0 ) 0 /x2 .
1 6
Answer: Well behaved solutions are proportional to y = 1 51 x3 + 80
x
1
9
2640 x
1
12
147840 x
1
15
12566400 x
1
18
1507968000 x
+ O x20

Exercise 1.34: Find the power series expansions about x = 0, to errors O x10 ,
for the two parameter general solution to the linear ode x2 y 00 sin(x)y 0 +
y = 0, with the aid of computer algebra. Hint: expand sin x in a Taylor series and write x2 y 00 xy 0 in the form x2p (xp y 0 ) 0 .
1 3
7
89
6721
Answer: y = (a+b log x)(x 24
x + 3840
x5 1161216
x7 + 2229534720
x9 )+

1
b( 23040
x5 +
11
7
11612160 x
5951
9
44590694400 x )
+ O x10 .
Exercise 1.35: Algorithm 1.13 lists some reduce code to iteratively find
a power series solution to an ode: what is the differential equation it
purports to solve? and its initial conditions? what is the value of y
after the first iteration of the loop? what is the order of error in the
computed power series after the loop terminates?

Answer: (1 x3 )y 00 (y2 x2 )y 0 = 0, such that y(0) = 0 and y 0 (0) = 2 .
y(1) = 2x + 12 x4 . The ultimate error is O x20 .
Exercise 1.36: Use algebra to show that the divergent Stieltjes series (1.19)
formally solves the Stieltjes ode (1.18). Show that the Stieltjes integral (1.20) satisfies the the Stieltjes ode (1.18). Argue that the eight
term partial sum of the Stieltjes series (1.19) approximates the Stieltjes
integral to four decimal places for |x| < 0.08 .
Exercise 1.37: For any specified positive x, estimate the number of terms
in the Stieltjes series that will give the smallest error boundthe
optimal truncation. Hence, and using Stirlings formula for a factoriral, deduce
the Stieltjes series can be summed to an error
p that
e1/x .
|optimal | 2x
Exercise 1.38: Argue that (Bender & Orszag 1981, Ex. 3.64)
Z
X
et
(1)n (2n)! xn x 0 + .
dt
2
1
+
xt
0
n=0
Exercise 1.39: Let the sequence n (x), n = 0, 1, 2, . . . , satisfy n n1

as x x0 , for all n.
P
P
1. Show that if f(x)
(x)
and
g(x)
n
n
n=0
n=0 bn n (x) ,
P
then f + g n=0 (an + bn )n (x) as x x0 .
Rx
2. Let n (x) = x0 n (t) dt and suppose all the functions n (x) are
P
positiveRnear x0 . Deduce
that
f(x)
n=0 an n (x) as x x0
P
x
implies x0 f(t) dt
a
(x)
as
x
x0 .
n
n
n=0
1.3
The normal form of oscillations give their

amplitude and frequency
Warning:
Rapid oscillations are a simple form of dynamics that we understand. Typically we want to know the long term evolution of the oscillations: do they
Tony Roberts, 16 Apr 2009
1.3. The normal form of oscillations give their amplitude and frequency
69
decay in amplitude? do they persist for all time? do they blow-up? does
their frequency evolve over long times? For example, a wave approaching a
beach is recognisably a wave up to the moment it breaks into tumultuous
surf. Yet as waves propagates towards the beach they slow down and simultaneously increase in amplitude (like depth1/4 ) to breaking, yet retain
the same frequency. Normal form transformations help us to uncover such
behaviour.
Classic nonlinear oscillators yield their secrets with our normal form methods. We investigate the frequency shift in the Duffing oscillator (Hinch 1991,
6.2); the subtleties of Morrisons problem; the appearance of a limit cycle
in the van der Pol oscillator (Hinch 1991, 7.1); and the stability of forced
oscillations in the Mathieu equation (Hinch 1991, 7.2). We start with a
relatively simple system.
1.3.1
Simple evolving nonlinear oscillations
Consider the oscillations described by the coupled pair of odes

x = x y (x2 + y2 )(x + y) ,
y = x + y + (x2 + y2 )(x y) ,
(1.22)
(1.23)
where is some small positive parameter. See the plot of an example solution x(t) in Figure 1.1.
First, see the amplitude and frequency may be extracted from the linear
dynamics. Neglect the products and cross-products of x, y and the small
to describe the linear part of the dynamics:
x = y and y = x .
These describe simple harmonic oscillations. The general solution is x =
A cos(t + B) and y = A sin(t + B) for any constants A and B. The key step
is to alternatively describe these oscillations in terms of their amplitude r
and phase as
x = r cos
and y = r sin ,
(1.24)
0.25
0.20
0.15
0.10
0.05
0.00
0.05
0.10
0.15
0.20
0.25
0
10
20
30
40
50
60
70
80
90
100
t
Figure 1.1: solution x(t) of the simple nonlinear oscillator (1.221.23) for
parameter = 0.06 . See the oscillation amplitude grows until it reaches
about 0.25 . This growth matches well with the amplitude r(t) of the oscillations predicted by the model (1.26).
where
r = 0
and = 1 .
71
(1.25)
This is completely equivalent to the general solution as r = A solves r = 0 ,

whereas = t+B solves = 1 . The point of rewriting the dynamics in terms
of amplitude r and phase is that we separate the shape of the oscillations,
that x = r cos and y = r sin , from the evolution of the characteristics of
the oscillations, namely r = 0 and the frequency = 1 . The aim now is to
form this useful view without actually constructing nor necessarily knowing
such solutions.
Second, explore the amplitude and phase of the nonlinear oscillations. Rewrite
the nonlinear odes (1.22) and (1.23) in terms of amplitude r and phase angle variables instead of x and y. The aim is to find the evolution of the
amplitude that we readily see in Figure 1.1 without explicitly constructing
a solution. That is, substitute x = r cos and y = r sin where both amplitude r and phase angle vary with time. Exercise 4.9 asks you to do the
straightforward but slightly messy algebra to discover the odes
r = r r3
and = 1 + r2 .
(1.26)
From the amplitude equation r = r r3 readily see there are two fixed
points, r = 0 and r = . Deduce from the sign of the right-hand side
of r = r r3 that all solutions will evolve to the stable r = see

this evolution in the smooth curve of Figure 1.1. That is, all oscillations
eventually have amplitude . But the frequency = 1 + r2 depends upon

the amplitude. Thus the oscillations change their frequency in time but
eventually settle on the frequency = 1 + when the amplitude r = .

Nonlinear oscillations generally have a frequency correction.
Third, see that we have transformed from the original x and y variables
to new r and variables that empower us to easily interpret the long term
evolution of the oscillations. In this sense, this transformation is to a normal
form (Takens 1974).
The reason we make progress in this straightforward example is that the
shape of the oscillations do not change with amplitude. See in Figure 1.2
that the oscillations are perfectly circular x = r cos and y = r sin , except
for the slow evolution of amplitude r. In general, nonlinear oscillations are
0.3
0.2
0.1
0.0
y 0.1
0.2
0.3
0.3
0.2
0.1
0.0
0.1
0.2
0.3
x
Figure 1.2: a trajectory in the xy-plane of the simple nonlinear oscillator (1.221.23) for parameter = 0.06 . See the oscillation spirals to a
perfect circle.
73
1.0
0.8
0.6
0.4
0.2
0.0
x 0.2
0.4
0.6
0.8
1.0
0
10
t 15
20
25
30
Figure 1.3: three solutions x(t) of the Duffings ode (1.27) for parameter
= 1 . See the perpetual oscillations for each amplitude.
deformed circles. This deformation is a major complication that we explore

and overcome in the next example.
Exercise 1.40:
Consider the oscillator described by the odes (1.22
1.23). Change from Cartesian variables to amplitude r(t) and phase
angle (t) variables,
x = r cos
and y = r sin ,
to discover the odes (1.26) governing the evolution of amplitude and

angle. Hint: differentiate r2 = x2 + y2 to determine r .
1.0
0.5
0.0
y
0.5
1.0
1.00.80.60.40.20.0
x 0.2 0.4 0.6 0.8 1.0
Figure 1.4: three trajectories in the xy-plane of the Duffings ode (1.27).
See in the largest oscillation the non-circular shape that is crucial to the
nonlinear dynamics.
1.3.2
Duffing oscillator has a nonlinear frequency correction
Start by considering the nonlinear oscillations, shown in Figure 1.3, governed

by Duffings equation (Bender & Orszag 1981, 11.12)
+ x x3 = 0 .
x
(1.27)
When the amplitude of the oscillations are small enough, the ode reduces
+ x = 0 . This has general solution x(t) =
to the classic linear oscillator x
A cos(t + B) for arbitrary constants A and B. What happens when we take
into account the effects of the nonlinear terms x3 ?
The answer here is that the frequency of the oscillations changes a little and
the shape of the oscillations change a bit as you see in Figure 1.4. To see
this algebraically we transform the Duffing equation to radius and phase
75
variables. Such transform of the variables is an example of the very general

and powerful normal form transformation.
As a preliminary step, see that the general linear solution x(t) = A cos(t +
B) may be written as x(t) = r(t) cos (t) where r = 0 and = 1 . The
to
relation x = r cos is a coordinate transform from variable x (and x)
amplitude (radius) and phase angle coordinates r and respectively. Under
+ x = 0 becomes the simple
this transformation the linear oscillation ode x
pair of odes r = 0 and = 1 . From these last two odes, read off that the
linear oscillator has constant amplitude r and a fixed frequency = = 1 .
In the amplitude-phase variables it is easy to interpret the solution of the
ode without actually solving the ode; we only transformed the ode.
Now explore the complicated algebra of the similar transform of the nonlinear Duffings ode (1.27). Assume the amplitude r of the oscillations are
small enough so that in this initial analysis we neglect terms quartic in r,
or higher powers.
Transform to amplitude-phase variables The fundamental transformation to amplitude-phase variables seeks solutions of Duffings ode (1.27)
in the form
such that
x = r cos + x 0 (r, )
r = g 0 (r) and = 1 + h 0 (r) ,
(1.28)
(1.29)
where the corrections, denoted by a prime, are smallthey are actually

quadratic in amplitude r relative to the leading terms. This generalises the
transform of the linear oscillator: we allow the
nonlinear terms to change by a little the shape of the oscillations
through x 0 (r, );
amplitude r to evolve slowly in time through g 0 (r); and
phase to evolve at a slightly different rate through h 0 (r), that is, the
frequency may change a little with amplitude r.

Although we only use the dynamic variable x here, recall that there is a companion variable y = x = r sin + to make the conversion to (r, ) variables
a genuine coordinate transform from (x, y) variables. This transformation
insists that the right-hand sides of (1.29) are only a function of the slowly
varying amplitude r. Also the x 0 of (1.28) depends upon phase angle only
through trigonometric (periodic) functions. In this way the dynamics of
Duffings ode (1.27) will be approximated both in a manner that is easy to
interpret, slowly varying, and uniformly valid in time, x 0 is bounded.
Substitute the transformation (1.28) into Duffings ode (1.27) using the
evolution equations (1.29) to replace time derivatives. Since the corrections
we seek are small, omit products of corrections as such products will be very
small. The most complicated parts are the time derivatives:
x = r cos r sin + xr0 r + x0
= g 0 cos r sin r sin h 0 + xr0 g 0 + x0 + x0 h 0
g 0 cos r sin r sin h 0 + x0 ,
upon neglecting the very small products of the small corrections. Differentiate this again to approximate
= gr0 r cos g 0 sin r sin r cos r sin h 0
x
0 r sin h 0 r + x 0 r + x 0
r cos h
r
= gr0 g 0 cos g 0 sin (1 + h 0 ) g 0 sin r cos (1 + h 0 )

0
g 0 sin h 0 r cos (1 + h 0 )h 0 r sin hr0 g 0 + xr
g0
0
+ x
(1 + h 0 )
0
2g 0 sin r cos 2r cos h 0 + x
,
upon neglecting the very small products of corrections. Then Duffings

ode (1.27) becomes approximately
0
2g 0 sin r cos 2r cos h 0 + x
+ r cos + x 0
41 r3 (cos 3 + 3 cos ) = 0 ,
upon also omitting products of small corrections x 0 and the relatively small
amplitue r (as in the omission of the term 3r2 cos2 x 0 ). The r cos terms
77
cancel as these satisfy the linear oscillator part of Duffings ode (1.27):
0
2g 0 sin 2r cos h 0 + x
+ x 0 14 r3 (cos 3 + 3 cos ) = 0 .
(1.30)
This equation governs how to account for the nonlinearity x3 in Duffings

ode (1.27).
Aim for simple evolution Recall that g 0 and h 0 modify the evolution of
the amplitude r and the phase : we aim to keep these as simple as possible
in order to keep the new coarse scale description of the evolution as simple
as possible. Thus we aim to choose the shape correction x 0 to cancel with
as many other terms in equation (1.30) as possible. For example, to cancel
1 3
the term 14 r3 cos 3 we choose 32
r cos 3 to be a component of x 0 . This
choice modifies the shape of the oscillations.
But we cannot choose x 0 to eliminate the term 34 r3 cos in (1.30) because
0 + x 0 3 r3 cos = 0 involves the particular soluany general solution of x
4
tion x 0 = 83 r3 sin . Such a term is not allowed in x 0 because it contains a
bare factor, that is, one not inside a trigonometric function. We cannot
tolerate such a so-called secular term in x 0 because it would make the supposedly small correction x 0 large for large phase angle the term sin
grows without bound. Instead cancel the 43 r3 cos term in (1.30) through
modifying the evolution of the amplitude or phase by choosing g 0 or h 0
appropriately. Note that g 0 and h 0 must not have an phase angle dependence, as otherwise they would evolve quickly making interpretation of the
transformed equations impossible. Thus the component in cos in equation (1.30) can only be cancelled by a component in the correction h 0 to the
phase evolution. Consequently choose corrections h 0 = 38 r2 and g 0 = 0 .
Interpret the amplitude-phase form
form is then
Our nonlinear coordinate trans-
x r cos
such that
r 0
and
1 3
32 r cos 3
1 38 r2 .
(1.31)
(1.32)

The nonlinearity in Duffings ode (1.27): changes the shape of the oscillations through (1.31)see Figure 1.4; the amplitude of the oscillations persist unchanged for all time as r = 0 ; but the frequency is slightly modified
through (1.32)Figure 1.3 shows the noticeable decrease in frequency for
larger amplitude oscillations.
This example introduces how a normal form transformation empowers us to
accurately interpret the long term evolution of nonlinear oscillations.
That the Duffing oscillations have amplitudes that do not evolve in time is
connected to the fact that the Duffing oscillator is conservative. Multiply
Duffings ode (1.27) by x and integrate in time to deduce that solutions
must satisfy
1 2
1 2
1 4
2x + 2x 4x = E ,
where E is an integration constant. Since 12 x 2 looks like a kinetic energy
term, and V(x) = 12 x2 41 x4 could be a potential energy, we identify E as
the conserved total energy. That we can integrate Duffings ode (1.27) in
this way shows that energy is conserved, and hence expect the oscillations
to have constant amplitude.
The following theorem (Takens 1974), based upon the construction we employ for Duffings ode (1.27), assures us that the amplitude and frequency
model for nonlinear oscillators is generally applicable.
Theorem 1.4 Autonomous, second order, nonlinear oscillators satisfying
odes of the form
+ 2 x + f(x, x)
= 0,
x
(1.33)
for smooth, Cp , strictly nonlinear functions f,7 can always be put into the
normal form of amplitude and phase angle variables, r and respectively,
x = r cos + X(r, ) + o(rp ) such that
r = g(r) + o(rp ) and = + h(r) + o(rp1 ) ,
(1.34)
where X, g and h are some strictly nonlinear functions of amplitude r, and

X is 2-periodic in angle .
7
If the nonlinearity f is infinitely differentiable, then the order of error in radius r in

the coordinate transform is not generally zero.
` Instead the
order of error in (1.34) is just
smaller than any power of r; for example, O exp[1/r2 ] .
79
Proof: In outline: with the slight change that the frequency = + ,

the method of construction of the normal form for Duffings ode (1.27)
generalises to any smooth nonlinear function f.
Use induction. Suppose you have a coordinate transform x = r cos +X(r, )
such that r =
g(r) and = + h(r) satisfies the ode (1.33) to a residual
k
Res = O r , k p . Seek a correction to the coordinate transform to
x = r cos + X(r, ) + x 0 (r, ) such that r = g(r) + g 0 (r) and = + h(r) +
h 0 (r) that reduces the residual, that is, increases the order of the residual.
Substitute into the ode (1.33), linearise in the corrections to derive
0
2g 0 sin 2r cos h 0 + 2 (x
+ x 0 ) + Res = 0 .
Since the nonlinear function f is smooth, the residual is smooth,

P at least at
order k in amplitude
r, and so has a Fourier series: Res =

P n an cos(n) +
bn sin(n) . Choose g 0 = b1 /2 , h 0 = a1 /(2r) and x 0 = n6=1 an cos(n) +

bn sin(n) /(n2 1)/2 to ensure the new coordinate transform has residual
Res = o rk . This proceeds as long as the nonlinearity f is smooth, k p,
so by induction the theorem holds.
Exercise 1.41:
Modify the normal form transformation of Duffings
ode (1.27) to interpret the long term evolution of the nonlinear oscillations (Bender & Orszag 1981, pp.5523, e.g.) governed by the
ode
+ x + x 3 = 0 .
x
(1.35)
is
Hint: the algebra of the expansion of the second time derivative x
identical.
Answer: r 38 r3 and 1 : the oscillations decay slowly to zero

amplitude while their frequency remains approximately constant (but see
Exercise 1.42).

Algorithm 1.14 reduce code to deduce the normal form transform of
Duffings ode (1.27) to amplitude-angle variables r and , respectively denoted by r and q.
factor r;
% new amplitude and phase angle variables
depend r,t;
depend q,t;
let { df(r,t)=>g, df(q,t)=>h };
% to solve x_qq+x+res=0
operator linv; linear linv;
let { linv(1,q)=>-1
, linv(cos(~n*q),q)=>cos(n*q)/(n^2-1) };
% initial linear approximation
x:=r*cos(q);
g:=0;
h:=1;
% iterate to make residual zero
let r^8=>0;
repeat begin
res:=trigsimp( df(x,t,t)+x-x^3 ,combine);
g:=g+(gd:=coeffn(res,sin(q),1)/2);
h:=h+(hd:=coeffn(res,cos(q),1)/2/r);
x:=x+linv(res-2*gd*sin(q)-2*hd*r*cos(q),q);
end until res=0;
1.3.3
Iteration easily constructs the normal form
The major workload in the normal form transformation to amplitude-angle

variables is the transformation of the time derivatives. That the time derivatives are the major workload is common to many systematic modelling procedures. Use the power of computer algebra to greatly aid this normal form
transformation of Duffings ode (1.27).
Before proceeding to explain the procedure, look at the computer algebra
results. Algorithm 1.14 determines that the nonlinear term x3 modifies the
81
shape of the oscillations (1.31) by the next order terms to

x = r cos
1 3
32 r cos 3
1 2 5
1024 r (21 cos 3

+ cos 5) + O r7 .
(1.36)
More importantly, from the computer algebra output the normal form for
the dynamics of the amplitude and phase of the oscillations of Duffings
ode (1.27) is

15 4
123 6
r = 0 and = 1 83 r2 256
r 8192
r + O r8 .
(1.37)
That is, the amplitude of the Duffing oscillations is conserved, r = 0 ; the
nonlinear term x3 in Duffings ode (1.27) only modifies the frequency by
an amplitude dependent amount.
You might regard the program of Algorithm 1.14 as rather long for such
a simple problem. However, a wide variety of oscillation equations may be
modelled with this one program simply by modifying the one line computation
of the residual. Is that not marvellous? Try it in the exercises.8
Algorithm 1.14 implements the iterative procedure to the reduce output
in Dialogue 1.14. The main four parts of Algorithm 1.14 are the following.
Define that variable names r and q depend implicitly upon time. Also
use a let statement to tell reduce to replace time derivatives of these
variables by whatever asymptotic approximation we will have found
to date.
See in the discussion after equation (1.30) that we need to solve the
0 +x 0 +Res = 0 for the correction x 0 forced by the current residode x
ual Res. Here the residual will be of the form of a sum of cos n terms.
For each such term in the residual, we introduce into the correction x 0
the component cos n /(n2 1) to satisfy this ode.
The linear operator linv defines this process for us: being linear, the
operator distributes over addition and multiplication by any factor
independent of its second argument q which denotes the phase angle .
8
Furthermore, other algorithms for normal forms, such as that proposed by Rand &
Armbruster (1987) [Chapter 3], are considerably more involved to apply.

1: in duffing$
x := cos(q)*r
g := 0
h := 1
2: x:=x;
1
3
x := r*cos(q) - ----*r *cos(3*q)
32
5
21
1
+ r *( - ------*cos(3*q) + ------*cos(5*q))
1024
1024
7
417
43
1
- r *(-------*cos(3*q) - -------*cos(5*q) + -------*cos(7*q))
32768
32768
32768
3: drdt:=g;
drdt := 0
4: dqdt:=h;
3
2
15
4
123
6
dqdt := 1 - ---*r - -----*r - ------*r
8
256
8192
Then the pattern matching of the let statement will map residuals to
the corresponding corrections.
Set the linear approximation to the oscillations, that x = r cos such
that g = r = 0 and h = = 1 .

Iterate until the computed residual is zero to the specified O r8 error.
Compute the residual of Duffings ode (1.27), ensuring all products of sines and cosines are combined.
Extract any component in the residual in cos and sin , as these
would otherwise generate unallowable secular terms in the correc
tion, and use these components to update the evolution of r and .
Lastly, use the pattern matching of linv to correct the shape of
the oscillations.
The algorithm only terminates when the residual is zero to the specified erTony Roberts, 16 Apr 2009
83
ror. Thus the computation of the residual is the critical part of the algorithm
to ensure a correct normal form transformation.
1.3.4
Carefully define emergent variables
We might want to predict the largest oscillation in the nonlinear Duffings

ode (1.27). We know the largest oscillation is the so-called heteroclinic orbit
connecting equilibria at x = 1 . This heteroclinic orbit has infinite period,
that is, zero frequency. Thus we could predict it by solving = h(r) = 0
from h(r) given by equation (1.37). But after finding such a radius r such
that = 0, what is r? We do not know. We have not defined exactly what
the variable r is to be. We need to do so. The need for a careful definition of
emergent variables is common in asymptotic analysis, but very few people
do so.
One can decide the new variables to suit any of a variety of needs. For
example, here let us say that we want the new variable r to be identical to x
whenever the angle = 0. What do we do? First choose the initial linear
approximation to satisfy the condition, which x = r cos does (fortuitously).
Then ensure that all updates to the coordinate transform x = r cos +X(r, )
satisfy X(r, 0) = 0 so that when = 0 we will have x = r. We can always do
this by adding the appropriate amount of the homogeneous solution, cos .
Similarly, we tighten the meaning of the phase by requiring x = 0 when
= 0 . This requirement is for Duffings ode (1.27) as we simply never
introduce any component of sin into x.
Often, but not always, the easiest way to ensure the new variables have
the correct definition is to automatically build it into the operator linv:
when one generates a component in the coordinate transform of cos n one
also immediately subtracts the corresponding component in cos . That is,
redefine the pattern matching.
let { linv(1,q)=>-1+cos(q)
, linv(cos(~n*q),q)=>(cos(n*q)-cos(q))/(n^2-1) };

Executing the modifed code one finds the frequency

3
21 4
81 6
= h = 1 r2
r
r + O r8
8
256
2048
The difference with (1.37) now being that here we know that x = r when the
phase = 0. That is, when we now find that the above h = 0 for r = 1.2765
we then predict the homoclinic orbit goes through x = 1.2765 . Although
27% in error (due to the finite amplitude effects), at least, by defining the
variable r, now we are empowered to make definite predictions.
Transforming to radius-angle variables leads to models for pattern formation such as the stripes on a tiger or the spots on a leopard. The formation
of such complex patterns in space are described as the evolution in time
of spatial oscillations. The phase (x, y, t) then varies significantly in
space as it evolves slowly in time. The radius variable r measures the
amplitude of the spatial oscillations at any location in (x, y, t) but, as in
the introductory example, we still get an equation roughly of the form
t r = r r3 + so that generically the spatial pattern evolves to be
the same finite amplitude across all space. However, the local phase is
not tied to any particular value and instead drifts around slowly under
the influence of variations in the pattern and the boundary conditions: it
evolves according to a nonlinear diffusion equation, t = 2 + . It is
this phase evolution that we see in the complex evolution of many spatial
patterns. This is a topic for later study.
Exercise 1.42:
Modify the computer algebra of Algorithm 1.14 to interpret the long term evolution of the nonlinear oscillations governed
by (1.35). Hint: include a pattern matching rule for the terms that
arise in the residual involving sin n.
9 4
and 1 + 256
r +
decay slowly to zero amplitude, roughly r t1/2 .
Answer: r 38 r3
351 7
8192 r
1755 8
262144 r
. Oscillations
Exercise 1.43:
Modify the computer algebra of Algorithm 1.14 to find
the frequency change in the nonlinear pendulum governed by the ode
+ sin x = 0 ,
x
(1.38)
85
where x is the angle of the pendulum from the vertical. Hint: when
computing the residual for any given approximation to the pendulums
angle x(r, ), use an appropriate Taylor series of sin x rather than the
sine function explicitly.
+ (g/`) sin x = 0
Extension: recall that the pendulum equation is x
where g is gravity and ` is the length of the pendulum; use your computer algebra to find how one should, in principle, vary the length `
with amplitude r of the oscillation so that the frequency remains precisely 1 (to some order of error in amplitude r).
Further extension: how can you vary the length ` with pendulum
angle x so that the frequency remains precisely 1 (to some order of
error in amplitude r).
Answer: x r
1 2
16 r
1
4
1024 r
. `1
1 3
192 r cos 3 such
3 4
18 r2 + 512
r or
that r = 0 and frequency 1

` 1 16 x2 + 12 0x4 .
Exercise 1.44:
Use a normal form transformation to explore the behaviour of the van der Pol equation (Kreyszig 1999, 3.5, e.g.)
+ x + (x2 1)x = 0 ,
x
(1.39)
for small values of the nonlinearity parameter . Describe the qualitative behaviour of its solutions. Hint: instead of discarding high
powers of amplitude r, discard high powers of parameter .
7 4
r ) . Oscillations
Answer: r ( 12 r 81 r3 ) and 1 + 18 2 (1 + r2 32
tend to a limit cycle of radius 2 with a slightly lower frequency than that of
the linear dynamics.
Exercise 1.45:
Describe the qualitative behaviour of solutions to Morrisons equation
+ x + x 3 32 x = 0 ,
x
(1.40)

using its normal form transformation to amplitude and phase variables.
Why do you need to know at least the terms in 2 ?
Answer: r 38 r3 + 32 2 r and 1 +
9
2 4
256 r
. Solutions tend to a
limit cycle of radius 2 with a very slightly higher frequency than that of the
linear oscillations. The 2 term in r destabilises the origin to form the limit
cycles.
1.3.5
Oscillations have complex modulation
Expressing oscillations and waves in terms of amplitude and phase angle

variables is a powerful aid in interpreting their dynamics. However, when
problems involve time dependent coefficients or forcing, such as the classic
Mathieu equation which we examine shortly (1.3.6) or stochastic oscillations, or problems with inhomogeneous physics that normally invoke the
wkb approximation (1.49), then amplitude and phase variables becomes
difficult. In such cases we appeal to the even more powerful and more
flexible method of expressing oscillations in terms of complex exponentials
exp(it) and exp(it). The complex amplitudes of these complex exponentials contain the amplitude and phase angle information.
Example 1.46:
Consider the pair of odes (1.22)(1.23) introduced in
Section 1.3.1. There we wrote, equation (1.26),
x = r cos
such that
r = r r3
and = 1 + r2 .
Thus, for example, from r = r r3 we readily predict persistent
oscillations of amplitude r = . Now rewrite the above form of

oscillations in terms of complex exponentials exp(it) and exp(it).
First, set the angle = t + (t) where the phase shift evolves
= r2 . Crucially, for small amplitude r the phase shift
according to
= r2 is very small.
evolves slowly as its time derivative
87
Second, expand the cosine in terms of complex exponentials:

x = r cos
= r cos(t + )
i
h
= r 21 ei(t+) + ei(t+)
=
1 i it
1 i it
e
2 re e + 2 re
it
it
e
= ae + a
where the complex amplitude a = 12 rei , and its complex conjugate

= 12 rei . This writes the solution x in terms of the two complex
a
exponential, oscillating solutions eit of the linearised version of the
odes, namely x = y and y = x .
Third, the complex amplitude a evolves in time with r and . From
a = 21 rei deduce
a =
=
=
1 i
+ 12 rei i
2 re
3 i
1
+ 12 rei ir2
2 (r r )e

1 i
+ (1 + i)r2
2 re
2
= a[ + (1 + i)4|a| ] ,
using r2 = 4a
a = 4|a|2 . In summary, we may choose to write the
solution of odes (1.22)(1.23) as
eit
x = aeit + a
such that
a = a[ + (1 + i)4|a|2 ] .
Now interpret this form:

for small complex amplitude a, a a , with solution a et ,
eit grow in time like et ;
so the oscillations aeit + a
the oscillations grow until |a| = 12 when the right-hand side

factor + (1 + i)4|a|2 becomes pure imaginary, namely i, and
thereafter the complex amplitude a just rotates in the complex
plane like eit this is the nonlinear frequency shift.

All features of the nonlinear oscillation of Section 1.3.1, appear here
using complex amplitudes and complex exponentials.
Again, the reason the analysis is straightforward for this Example 1.46 is
that the shape of the oscillations are essentially circularsee the trajectories
in Figure 1.2. The analysis is significantly more complicated for typical
nonlinear oscillations because their shape may be far from circular. Lets
revisit the nonlinear oscillations of equation (1.35) in Example 1.41.
Furthermore, lets immediately turn to the computer to do the tedious algebra involved.
Example 1.47:
We use the residual of the ode (1.35) to drive corrections to the complex amplitude normal form of the ode. Here we
deduce that the nonlinear oscillations take the form

eit + i 18 a3 ei3t + a
3 ei3t
x = aeit + a

3
ei3t + 9a
5 ei5t
+ 64
a5 ei5t + 9a4 a
a4 ei3t a

+ O |a|6
(1.41)
where the complex amplitude evolves according to

9
a = 23 |a|2 a + i 16
|a|4 a + O |a|6 .
(1.42)
Before proceeding to derive this model, see that the real part, 32 |a|2 a,
controls the slow decay of the oscillation to zero amplitude, whereas the
9
|a|4 a governs the nonlinear frequency correction.
imaginary part, i 16
To see these two roles, simply substitute a = 21 r(t) exp i(t) into the
complex amplitude model (1.42) which then becomes

1 i
i = 3 r3 ei + i 9 r5 ei + O r6 .
+ i 12 re
2 re
16
512
Divide by exp i and equate real and imaginary parts to deduce

= 9 r4 + O r5 .
and
r = 38 r3 + O r6
256
89
After division by exp i the real part of the left-hand side is 21 r and
consequently the real
the imaginary part of the left-hand side is 21 r;
and imaginary parts of the right-hand side control the amplitude and
These are the typical roles for
phase evolution respectively (r and ).
the real and imaginary part of a.

Algorithm 1.15 obtains the above normal form for the ode. Lets
explore the code in blocks.
reduce inconveniently knows too much about the exponential
function. Thus we define a function cis, implemented as an
operator, so that cis u = eiu with only the properties which we
need. These properties are defined by the pattern matching of
the first let statement in the algorithm, namely: its derivative,
combine products and squares, and cis 0 = ei0 = 1 .
Define the operator linv to find corrections to the solution x
0 + x 0 + Res = 0 .
for any given residual: the task is to solve xtt
This task is greatly simplified because we recognise that the time
dependence in a correction x 0 is dominated by the oscillations
through cis nt = eint . The reason is that the time dependence
in the evolution of the complex amplitude a is much slower, and
hence their derivatives are negligible when finding an approximate
correction.9 Consequently, a term in the residual of the form eint
is approximately, but effectively, accounted for by a correction to
the solution x of eint /(n2 1) . The pattern matching of linv
implements this.
Express the solution x in terms of the complex amplitude a that
depends upon time t, and its complex conjugate b. Use a separate
independent variable for the complex conjugate as it is easiest
to perform the algebra. Indeed the analysis then holds for fully
9
In principle, we could try to account for the evolution of the complex amplitude a
in seeking a correction for any given residual, but this would be a very complicated task.
Instead, prefer to correct the transformation in many approximate steps, rather than few
accurate steps. This is a little appreciated but important shift in philosophy from that
insisted on by other methods such as multiple scales and averaging.
Algorithm 1.15 reduce code to find the complex modulation of the nonlinear oscillations of the ode (1.35).
factor i,zz;
% complex exponential cis(u)=exp(i*u)
operator cis;
let { df(cis(~v),~u)=>i*cis(v)*df(v,u)
, cis(~u)*cis(~v)=>cis(u+v)
, cis(~u)^2=>cis(2*u)
, cis(0)=>1 };
% to solve x_tt+x+res=0
let { linv(1,cis)=>-1
, linv(cis(~n*t),cis)=>cis(n*t)/(n^2-1) };
% complex amplitude variables
depend a,t;
depend b,t;
let { df(a,t)=>ga, df(b,t)=>gb };
x:=zz*(a*cis(t)+b*cis(-t));
ga:=gb:=0;
% iterate to nonlinear transformation
let zz^6=>0;
repeat begin
res:=df(x,t,t)+x+df(x,t)^3;
ga:=ga+i/2/zz*(ca:=coeffn(res,cis(+t),1));
gb:=gb-i/2/zz*(cb:=coeffn(res,cis(-t),1));
x:=x+linv(res-ca*cis(t)-cb*cis(-t),cis);
end until res=0;
91
complex solutions of the ode; the symmetry that maintains b = a

follows automatically.
We then tell reduce that time derivatives of these two complex
amplitudes are to be found in ga and gb.
The linear approximation is then x aeit + beit where a =
ga 0 and b = gb 0 .
But I introduced a strange variable zz; what is its role? The
variable zz is introduced simply to count the number of complex
amplitudes a and b there are in any given term. As there will
always be a zz carried with each a and b in the computation, the
nonlinearities will multiply the zzs as they do the amplitudes.
We need to count the amplitudes so we can truncate the asymptotic series consistently by, for example, here setting zz^6=>0:
this discards all terms in the residual with six or more amplitude factors. Introducing the dummy counting variable zz is the
simplest way to truncate such multivariate asymptotic series.
Finally, the repeat loop computes the residual and derives corrections to the shape of the oscillations and the evolution of the
complex amplitudes a and b.
To easily determine the coefficients i/2 in the correction of the
amplitudes evolution put some variable name there, iterate the
loop twice only, and see what value of the variable makes progress
in reducing the residual.
The division by the amplitude counting variable zz accounts for
the fact that when a is replaced by ga , there is already a zz factor
and so we always need to carry one less
in the variable a of a,
zz factor in the evolution expressions ga and gb .
Execute this program and see the reduce output in Dialogue 1.15.
Ignore the counting variable zz, although it is useful for organising the
printed output, and see both the shape (1.41) of the oscillations in the
expression for x, and the evolution of the complex amplitude (1.42) in

1: in oscex$
x := zz*(cis(t)*a + cis( - t)*b)
ga := gb := 0
2: x;
5
27
4
zz*(cis(t)*a + cis( - t)*b) + zz *(----*cis(3*t)*a *b
64
3
5
27
4
- ----*cis(5*t)*a + ----*cis( - 3*t)*a*b
64
64
3
5
- ----*cis( - 5*t)*b )
64
3
1
3
1
3
+ i*zz *( - ---*cis(3*t)*a + ---*cis( - 3*t)*b )
8
8
3: ga;
3
2 2
9
4 3 2
- ---*zz *a *b + ----*i*zz *a *b
2
16
4: gb;
3
2
2
9
4 2 3
- ---*zz *a*b - ----*i*zz *a *b
2
16
93
the expression in ga.
Such reduce code needs only minor modifications to generate complex

amplitude normal forms for other oscillatory odessee the next exercise.
These normal forms extract from the form of the equations governing fast
nonlinear oscillations, the slow evolution of their amplitude and phase. In
this normal form we readily interpret the behaviour of the oscillations.
Interpret the complex exponential normal form In essence the complex exponential normal form invokes a time dependent coordinate transform. The new complex amplitude coordinates a and b parametrise location in complex x and x by the time periodic complex exponentials eit .
It is a tragedy of our three dimensional world that we cannot visualise the
full wonder of this four dimensional complex coordinate transform (two real
dimensions for each of the two complex variables x and x).

Perhaps the
easiest way to appreciate the time depedence in the coordinate transform is
. Set
the following argument for real solutions when b = a
eit
x(t) = aeit + a
and y(t) = x = iaeit i

aeit .
Separating real and imaginary parts, rearrange to the vector identity

(x, y) = 2<(a)(cos t, sin t) + 2=(a)( sin t, cos t) .
That is, write locations in the xy-plane (the phase plane) as a linear combination of the two orthogonal vectors (cos t, sin t) and ( sin t, cos t).
(The coefficients of the linear combination are twice the independent real
and imaginary parts of the complex amplitude a.) Just consider these two
vectors as unit basis vectors of a coordinate system. The novel feature is
simply that the unit basis vectors of the coordinate system rotate (clockwise) in time. Such uniform rotation of the basis unit vectors makes the
coordinate system capable of describing oscillations of nearly the same frequency. Thus the complex exponential normal form is so powerful because
the beautiful properties of the exponential function easily allow variations
in amplitude and phase of the complex exponentials to be encompassed by
variations in the complex amplitudes a and b.

Exercise 1.48:
Modify the reduce code of Algorithm 1.15 to both analyse and interpret the nonlinear oscillations of:
1. Duffings ode (1.27);
2. the nonlinear pendulum (1.38);
3. the van der Pol equation (1.39);
4. Morrisons ode (1.40).
Confirm the interpretation of the complex amplitude normal form
agrees with that of the normal form in amplitude-angle variables.
1.3.6
Forcing or variation also modulates oscillations
So far we have discussed how nonlinearities affect the amplitude and frequency of oscillations. Periodic forcing also modifies oscillatory dynamics,
and in the case of the Mathieu equation generates growing instabilities in
certain parameter regions. Similarly, oscillations involving slow variations
in properties, such as slowly changing the length of a pendulum, also modifies the oscillations. The complex amplitude normal form empowers us to
analyse both of these situations.
Similar but generalised analysis applies to travelling waves and other more
complicated oscillatory dynamics. But here we restrict attention to simple
oscillations as an introduction to the methodology.
The Mathieu equation displays resonant instabilities
The linear Mathieu equation
+ (1 + 2 cos t)x = 0 ,
x
(1.43)
is an example of an ode whose coefficients are periodic; here the parameter the size of the periodic variations and is their frequency relative
95
Algorithm 1.16 reduce code fragment to transform Mathieus ode (1.43)

into a normal form of complex amplitudes of complex exponentials. This
code follows the code from Algorithm 1.15 for complex exponentials cis,
the linear operator linv and the complex amplitude variables.
% frequency of variations
w:=2;
coswt:=(cis(w*t)+cis(-w*t))/2;
x:=a*cis(t)+b*cis(-t);
ga:=gb:=0;
% iterate to nonlinear transformation
let eps^3=>0;
repeat begin
res:=df(x,t,t)+(1+2*eps*coswt)*x;
ga:=ga+i/2*(ca:=coeffn(res,cis(+t),1));
gb:=gb-i/2*(cb:=coeffn(res,cis(-t),1));
x:=x+linv(res-ca*cis(t)-cb*cis(-t),cis);
end until res=0;
to the natural frequency of the base oscillator. Although linear, Mathieus
ode (1.43) has complications caused by the varying coefficient cos t : it
has solutions growing exponentially in time for frequencies near resonance.
A normal form transformation to complex amplitude variables shows the
regions of stability and instability.
Lets investigate two cases of different frequencies in the varying coefficient:
= 2 gives the strongest response of the solution to the fluctuations in the
coefficient; and = 1 when the natural frequency is the same as that of the
fluctuations.
Harmonic fluctuations excite instability To discover the behaviour of

the oscillations we transform to complex amplitude variables. The reduce
code to do this transformation is a simple variation of that already discussed
for the nonlinear oscillations of Example 1.47. Simply copy some parts of

Algorithm 1.15 and follow with modified parts to form Algorithm 1.16. The
modifications are:
represent the periodic fluctuations cos t in the coefficient of Mathieus ode (1.43) by coswt which is written in terms of complex exponentials eit for some set frequency ;
change the residual computation to that for Mathieus ode (1.43);
discard the dummy counting variable zz as in this linear problem we
have no need to count the amplitude factors;
instead, truncate the asymptotic series in the size
of the fluctuations,
3
here eps^3=>0 gives expressions to errors O .
Execute Algorithm 1.16 to see the reduce output in Dialogue 1.16. Thus
deduce that the oscillations of Mathieus ode (1.43) with = 2 have shape

i3t
x = aeit + beit +
ae + bei3t
8

2

+
aei5t 9bei3t + 9ei3t + bei5t + O 3 . (1.44)
192
More importantly, the complex amplitude of the oscillations evolve according
to the normal form
a = i 12 b + O 2

and b = i 21 a + O 2 .
(1.45)
Having constant coefficients, this pair of odes for the complex amplitude
are much simpler than Mathieus ode (1.43). To find the instability, seek
solutions to this pair of coupled odes proportional to et and deduce the
characteristic equation 2 14 2 = 0 , and hence the complex amplitudes
are a linear combination of the two components exp( 21 t). Consequently
we will see the instability on a time scale of 1/ from the growing component exp( 12 t).
Synchronous fluctuations also excite instability What happens when
the forcing is cos t rather than cos 2t? Find out simply by setting w:=1 in
97

1: in mathieu$
w := 2
1
1
coswt := ---*cis(2*t) + ---*cis( - 2*t)
2
2
x := cis(t)*a + cis( - t)*b
ga := gb := 0
2: x;
1
1
cis(t)*a + cis( - t)*b + eps*(---*cis(3*t)*a + ---*cis( - 3*t)*b)
8
8
2
3
1
+ eps *( - ----*cis(3*t)*b + -----*cis(5*t)*a
64
192
3
1
- ----*cis( - 3*t)*a + -----*cis( - 5*t)*b)
64
192
3: ga;
1
3
2
---*eps*i*b + ----*eps *i*a
2
16
4: gb;
1
3
2
- ---*eps*i*a - ----*eps *i*b
2
16
Dialogue 1.17 output of Algorithm 1.16 with forcing frequency changed to

= 1.
1: in mathieu$
w := 1
1
1
coswt := ---*cis(t) + ---*cis( - t)
2
2
ga := gb := 0
2: x;
cis(t)*a + cis( - t)*b
1
1
+ eps*( - b - a + ---*cis(2*t)*a + ---*cis( - 2*t)*b)
3
3
2
1
1
+ eps *(----*cis(3*t)*a + ----*cis( - 3*t)*b)
24
24
3: ga;
2
1
1
eps *i*( - ---*b - ---*a)
2
3
4: gb;
2
1
1
eps *i*(---*b + ---*a)
3
2
99
Algorithm 1.16, then execute the reduce code to see the output in Dialogue 1.17. Thus deduce that the oscillations of Mathieus ode (1.43) with
= 1 have shape
h
i
x = aeit + beit + (a + b) + 31 aei2t + 31 bi2t

2 i3t
+
ae + bei3t + O 3 .
(1.46)
24
More importantly, the complex amplitude of the oscillations evolve according
to the normal form

a = i2 ( 31 a + 12 b) + O 3
and b = +i2 ( 21 a + 13 b) + O 3 . (1.47)

2
See that here the coefficients
in the odes are of O , whereas in the
= 2 case they are of O : thus any instability is weaker in this case of
= 1 . To find the instability, seek solutions to this pair of coupled odes
5 4
proportional to et and deduce the characteristic equation 2 36
= 0 , and
hence the complex amplitudes are a linear combination of exp( 52 t/6).
Consequently we will see
instability on a long time scale of 1/2 from
the
2
the growing mode exp( 5 t/6).
Where are the stability boundaries? We have seen that exactly at
these critical frequencies, the response of Mathieus oscillator is that of growing oscillations. But such growth will only occur close enough to the critical
cases. We discover how close by detuning the natural oscillations and seeing
how the growth rate depends upon the detuning parameter.
Consider the = 2 case and modify Mathieus ode (1.43) to
+ (1 + + 2 cos 2t)x = 0 ,
x
for a small detuning parameter . The natural oscillations of the
ode, without any imposed fluctuations = 0 , then have frequency 1 + . This
natural frequency is a little different from the subharmonic of the fluctuations cos 2t: the parameter controls the amount of the difference. Correspondingly modify the reduce code of Algorithm 1.16:

Dialogue 1.18 output of Algorithm 1.16 but with the natural frequency
detuned by a small amount.
1: in mathieu$
w := 2
1
1
coswt := ---*cis(2*t) + ---*cis( - 2*t)
2
2
ga := gb := 0
2: ga;
1
1
---*i*a*delta + ---*eps*i*b
2
2
3: gb;
1
1
- ---*i*b*delta - ---*eps*i*a
2
2
change the residual computation to

res:=df(x,t,t)+(1+delta+2*eps*coswt)*x;
and ensure that parameter is treated as small by truncating the
asymptotic series in it as well as :
let { eps^2=>0, delta^2=>0 };
Then execute the reduce code to find the output of Dialogue 1.18. That
is, the complex amplitude of the oscillations of Mathieus ode (1.43) are
governed by

and b = i 12 a i 12 b + O 2 , 2 . (1.48)
a = i 12 a + i 12 b + O 2 , 2
Again, to find any instability, seek solutions to this pair of coupled odes
proportional to et and deduce the characteristic equation 2 + 14 2 41 2 = 0 .
Hence the growth-rates are = 12 2 2 . Only for || > || will there
be instability. The boundaries of the instability are = .
These boundaries are only approximate. Retaining higher order terms in parameters and gives a characteristic equation that predicts more accurate
stability boundaries.
101
Equation (1.48) is our first example of a multivariable asymptotic expansion. These will occur more often as we consider physical problems
with more competing physical processes that need parameterisation. We
have not established the properties for the manipulation of multivariable
asymptotic series; there are some subtleties which we will blithely ignore
for now.
Exercise 1.49: high order stability boundaries

Determine higher
order approximations, = + , to the stability boundaries for
Mathieus ode (1.43) with frequency = 2 . Hint: iteratively seek
as a power series expansion in in the same iteration as the construction of the complex exponential normal form. Recognise that
the stability boundary corresponds to eigenvalue = 0 , and so the
equation to determine is the algebraic equation that the determinant of (1.48) must be zero. A difficulty is determining the necessary
correction to that drives the determinant to zero.
WKB theory is also a normal form

The periodic fluctuations in Mathieus ode (1.43) are easily catered for because, for small parameter , the coefficient of the x term in the ode was
never far from some fixed constant, namely the constant 1. But when water waves propagate from the deep ocean to the shallow coast, there is an
enornous change in depth causing enormous changes to the waves properties. Similarly, a quantum particle is trapped by a continuously varying potential well that varies through the energy of the particle and hence
changes the quantum probablity wave so much that it is actually reflected.
We proceed to extend the analyses and algebra of the preceding sections to
this situation of widely varying coefficients in an ode that supports oscillatory dynamics. Our analysis parallels and reproduces the results of the well
known wkb theory (Bender & Orszag 1981, 11.1, e.g.).10
10
Hinch (1991) [7.5] identifies twelve people who each played an important part in the
development of wkb theory: Liouville, Green, Horn, Rayleigh, Gans, Jeffrey, Wentzel,
Kramers, Brillouin, Langer, Olver and Meyer.

The cannonical problem with varying coefficients is the linear oscillator with
time varying frequency (t):
+ 2 x = 0 .
x
(1.49)
For example, in the potential well of a quantum particle, with t representing the spatial coordinate, 2 is the difference between the energy of the
particle and the potential energy at any position t. Now, if is roughly
constant near any time, then surely the solution x should locally be a linear
combination of exp(it). Actually this is not quite correct. A better
apR
proximation is that the Rsolution x is a linear combination of exp(i dt) :
the phase angle (t) = dt does indeed change by 2 over a local period
t 2/ , and so exp(i(t)) are global smooth oscillations that locally
have the correct frequency.
Thus we approach wkb solutions to the varying oscillator (1.49) by posing
the solutions are of the form
x = aei + bei
such that
a = ga (, a)
and b = gb (, b) , (1.50)
where the complex amplitudes a and b evolve relatively slowly and similar
to the rate at which the natural frequency varies. For real solutions x, the
complex amplitudes a and b will be complex conjugates; if derived correctly,
the evolution (1.50) will maintain this complex conjugate symmetry.
Computer algebra derives the wkb solution by adapting ideas in Algorithms
1.14 and 1.15. Algorithm 1.17 is the result.
The first innovation is to write the oscillations in terms of the phase
(represented by q in the reduce code) such that d/dt = as implemented by the let rule df(q,t)=>w.
But we need to account for derivatives of the varying frequency . Use
the dummy parameter eps to count the number of time derivatives
in each term. Insert the count by splitting the time derivative of
the frequency w into two via the two commands: depend w,tt; and
depend tt,t;. Then count with the pattern match and replacement
103
Algorithm 1.17 reduce code to construct the wkb approximation to

the slowly varying linear oscillator (1.49). Use definitions of the complex
exponential, and the complex amplitude variables of Algorithm 1.15 followed
by this code.
% phase angle and omega=w has small derivatives
depend q,t;
depend w,tt; depend tt,t;
let { df(q,t)=>w, df(w,t)=>eps*df(w,tt) };
x:=a*cis(q)+b*cis(-q);
ga:=gb:=0;
% iterate to normal form transformation
let eps^3=>0;
repeat begin
res:=df(x,t,t)+w^2*x;
ga:=ga+i/2/w*(ca:=coeffn(res,cis(+q),1));
gb:=gb-i/2/w*(cb:=coeffn(res,cis(-q),1));
showtime;
end until res=0;

1: in "wkb.red"$
x := b*cis( - q) + a*cis(q)
ga := gb := 0
2: ga;
1
-1
2
- ---*a*eps*df(w,tt)*w
+ a*eps *i
2
3
2 -3
1
-2
*(---*df(w,tt) *w
- ---*df(w,tt,2)*w )
8
4
3: gb;
1
-1
2
- ---*b*eps*df(w,tt)*w
+ b*eps *i
2
3
2 -3
1
-2
*( - ---*df(w,tt) *w
+ ---*df(w,tt,2)*w )
8
4
df(w,t)=>eps*df(w,tt).11
To form the asymptotic expansion, assume that the variations of the
frequency are slow enough so that terms with n derivatives of
are asymptotically smaller than those with n 1 derivatives and hence
we may discard terms with more than a set number
of derivatives. As
3
coded in Algorithm 1.17 we work to errors O , that is, we retain
only terms with none, one or two derivatives of frequency . This
limit may of course be increased as you wish.
Finally, in this linear problem there is no need to correct the form of
the oscillations, hence we do not need to change x and neither do we
need the pattern matching of linv.
Execute the above reduce code to get the output of Dialogue 1.19. That
is, the wkb normal form for the linear varying oscillator (1.49) is that x =
11
Those embedded in the methodology of multiple scales will want to call tt = T = t a

slow time. Resist the temptation. In our normal form approach, the dummy parameter
is only there to count the number of derivatives of frequency . The superficial similarity
between T = t and a slow time is because in multiple scales the parameter is in essence
doing the same job of counting derivatives.
aei + bei for phase =
according to
105
dt where the complex amplitudes evolve
2

a+i
a + O 3t ,
(1.51)
3
2
2
8
4
2

b =
bi
b + O 3t ,
(1.52)
3
2
2
8
4

where the error O 3t encompasses all terms with three or more derivatives of the slowly varying frequency .
a =
For example, we use this model to predict the conservation of action. Con
sider the leading order model for the complex amplitude a: a + 2

a = 0.
2
Multiply by 2a and integrate to obtain a = constant, that is, a2 is
conserved. Since the energey of an oscillation is proportional to a2 2 , this
conservation rule is that the action = energy/ = constant as the oscillations natural frequency changes.
Example 1.50: Estimate eigenvalues with the WKB normalRform
ei for phase = dt
Use the wkb normal form that x = aei + a
and the complex amplitudes evolve according to (1.51) to estimate the
eigenvalues E of12
+ E(t + )4 x = 0
x
such that x(0) = x() = 0 .
(1.53)
to ensure real solutions.

From the earlier analysis, here I set b = a
Solution: This ode isof the form of the linear oscillator (1.49) with
varying frequency = E(t + )2 . To be definite, define the phase
Zt
Zt
= () d = E ( + )2 d = 31 E[(t + )3 3 ] .
0
To satisfy the boundary condition that x(0) = 0, since (0) = 0 ,

= 0 , requiring a be pure imaginary. As
ei(0) = 1 , so x(0) = a + a
12
For example, this ode might describe the oscillations of a quantum particle in a
quantum potential well; in which case the eigenvalues E represent the discrete energy
levels of the quantum dynamics.
a first approximation, truncate the normal form to a = a/(2),

then throughout the domain of integration the complex amplitude a
remains pure imaginary. Thus the only way to ensure x() = 0 is to
require () = n for some integral n. This equation estimates the
eigenvalues:
p
9n2
3
1
E
7
.
n
n
3
494
Bender & Orszag (1981) [p.492] show that this approximation for the
eigenvalues is amazingly good. We expect it to be good for large n
as then the variations in natural frequency is relatively small per
oscillation: indeed E10 is accurate to a relative error of 0.13%. But
even the fundamental eigenvalue E1 is estimated by the above formula
to a relative error of no more than 8.1%.
Bender & Orszag (1981) [Chapter 10] discuss many more aspects of the
wkb approximation, including conditions of its validity. Note that the normal form derived above is equivalent to the wkb approximation they discuss.
However, our approach empowers us to analyse much more difficult problems
such as nonlinear oscillators with large variations in coefficients provided the
variations take place slowly. For example, Exercise 1.52 asks you to analyse a nonlinear Duffing oscillator with a varying frequency. The necessary
modifications to the computer algebra are straightforward. This one normal
form approach fantastically allows us to solve easily a wide range of difficult
problems.
Furthermore, our normal form approach also closely parallels aspects of homogenisation methods and theory; for example, Bensoussan et al. (1978) or
Rosencrans (1997) may introduce you to aspects of homogenisation. Many
practical situations involve the dispersion or other macroscopic transport
through a material with complicated microscopic structureground water
flow through soil for example. Homogenisation analyses the microstructure and the transport through the microstructure to derive an equation for
the effective macroscopic transport. Here we similarly analyse the microscopic shape of oscillations to derive equations governing the evolution of
1.4. Chapter Summary
107
the macroscopic amplitude and phase of the oscillations over long macroscopic times. Our analysis is simply based upon a normal form change in
the coordinates. The normal form approach subsumes or illuminates many
other modelling methods.
Exercise 1.51:
Use all the terms found in the normal form (1.51) for
the linear varying oscillator (1.49) to deduce more accurate estimates
for the eigenvalues En of the ode (1.53).
Exercise 1.52:
Construct a wkb model for the slowly varying version
of Duffings oscillator
+ 2 x + x3 = 0 .
x
For simplicity let the parameter measure the magnitude of the slow
variations in time of the frequency and the magnitude of the nonlinearity x3 . Use Algorithm 1.17 as a base, adapt and incorporate
the linv operator of Algorithm 1.15 to update the shape x of the
oscillations. Interpret your results.
1
a3 ei3 +
82
1
3 i3
2
b e
+ O where the complex amplitude a evolves according to
82

2
2
2

i3 2
3 2
1
3 2
3
a = 2 a + 2 a b + 9
a b + i
15
16 a b + 8 a 4 a + O
43
3
Answer: The shape

of the oscillations are x = aei +bei +
and similarly the complex conjugate for b.
1.4
Chapter Summary
Solving algebraic equations in Section 1.1 illustrates some of the key

features seen in solving complicated problems:
solve a difficult problem by writing it as a perturbation of a solvable problem;

use the residual to iteratively construct power series solutions;
computer algebra is a powerful tool.
Rescaling variables so that infinities become finite, see Section 1.1.2,
transforms some apparently singular problems into regular problems.
Easily determine the critical coefficient of proportionality between
residual and correction using two iterations of your proposed computer
algebra code, see Section 1.1.3.
Power series solutions of differential equations empowers us to later
tackle vastly more complicated problems.
Divergent power series are the norm in our applications. Hence we
invoke the methodology of asymptotic series.
Crudely estimate the error of a partial sum of an asymptotic series by
the size of the first neglected term.
Asymptotic series are unique. This uniqueness ensures we can formally
operate on asymptotic series.
For oscillatory dynamics, the change of variables to a normal form in
amplitude-angle variables, introduced in 1.3, provides a powerful and
simple model of the oscillations.
This normal form approach is significantly easier to implement and interpret than other methodologies such as multiple scales or averaging.
Complex exponentials also provide a powerful base for describing and
interpreting nonlinear, forced and/or varying oscillations.
Chapter 2
Basic fluid dynamics

Contents
2.1
2.2
2.3
Flow description . . . . . . . . . . . . . . . . .
Conservation of mass . . . . . . . . . . . . . .
Conservation of momentum . . . . . . . . . .
2.3.1 Stress tensor . . . . . . . . . . . . . . . . . .
2.3.2 Momentum equation . . . . . . . . . . . . . .
2.3.3 The Euler equations for an ideal fluid . . . .
2.3.4 The NavierStokes equations . . . . . . . . .
2.4 The state space . . . . . . . . . . . . . . . . . .
2.5 Chapter summary and exercises . . . . . . .
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110
113
118
. 119
. 121
. 123
. 124
125
128
Here we review how to describe the the flow of a fluid such as water or
air. Physical quantities, such as fluid velocity, are generally unknown in
any application; so we derive differential equations which they must satisfy.
The equations are based on physical principles. In any particular problem
it is these differential equations which are solved to predict a flow pattern.
Lastly, we look at some useful properties deduced directly from the equations
of motion.
Most of the principal concepts of hydrodynamics are more easily understood
in one-dimensional dynamics rather than in the three-dimensional dynamics
109
110
Chapter 2. Basic fluid dynamics
discussed here. For a useful introduction see my book A one-dimensional

introduction to continuum mechanics (Roberts 1994). The review of fluid
mechanics given here follows the treatment of Dean & Dalrymple (1991)
[Chapt. 2].
2.1
Flow description
Sorry:
this section is incomplete as it is slowly written.
We describe fluid flow primarily in terms of the velocity, density and pressure
fields. Of these, the velocity field, the actual motion of the fluid, is the one
of prime importance. Other physical properties arise in certain applications.
We adopt a so-called Eulerian description of field variables. That is, we
describe how physical quantities vary in space and time by considering them
at specific points in space-time.
For example, the pressure p is considered as a function of space and
time, which in Cartesian coordinates is written p(x, y, z, t). You may
see isobars on weather maps; these are contours of the pressure field
on the Earths surface. They show how the pressure field varies on
the surface. Over successive days the isobars move indicating that the
pressure field varies in time. But note that our observations of the
pressure field is largely derived from fixed observation stations, that
is, we record the pressure at a specific point as time variesthis is the
essence of the Eulerian description.
By contrast, a Lagrangian description of the flow describes conditions
experienced by particles of the fluid as they move through space. But
we do not adopt the Lagrangian approach.
Similarly the density is described by its space-time dependence, (x, y, z, t).
The velocity of a fluid flow is a vector field q. This is because at
every point in space the fluid moves with some speed in some direction, and consequently is described as a vector. As above we consider
2.1. Flow description
111
this as a function of position and time: q(x, y, z, t) = u(x, y, z, t)i +

v(x, y, z, t)j + w(x, y, z, t)k in Cartesian coordinates.
Some problems we deal with have circular symmetry and then it is
more useful to use cylindrical coordinates (r, , z) to parameterize spatial positions. Thus we consider (r, , z, t). For vector fields we then
write the field in terms of the unit vectors of the cylindrical coordinate
systems: for example, q = qr er + q e + qz k where the components
are functions of (r, , z, t).
Some simple velocity fields are given. We describe the velocity field because
this is the quantity which most directly reflects the motion of the fluid, and
thus is often the quantity of prime interest.
Uniform flow in the x-direction is described simply by u = Ui. The velocity is the same at every point in the fluid as shown in Figure 2.1(a).
Solid body rotation, as seen on a turntable or a wheel, is u = re =
yi + xj as seen in Figure 2.1(b). Observe in both the formula and
the figure that the speed of the motion increases linearly with distance
from the axis of rotation.
Although more characteristic of the motion of solids rather than fluids,
this flow is precisely that needed in mercury mirrors for astronomic
telescopes. Vibration induced distortions of the flow, and hence of the
mirror surface, from bearings have recently been solved by suspending
the backing of the mirror on an air cushion.
A more interesting flow is that of a vortex as seen in Figure 2.1(c)
and in Plate 101 of the album by Van Dyke Dyke (1982). In this
circularly symmetric flow, the velocity field is given by q = 1r e =
y
x
i + x2 +y
2 j.
x2 +y2
Although sometimes called the bathtub vortex, this flow is more
easily seen in a laundry trough where the plug-hole is more centrally
placed. Put some water in the trough, give it a swirl with your hand,
pull out the plug and watch the flow. Floating plastic building blocks
on the surface will show the particle motion. Observe that by-andTony Roberts, 1 Mar 2008
112
(a) uniform
(b) solid rotation
(c) vortex
(d) corner flow
Figure 2.1: four example flow fields: (a) velocity field of uniform flow in the
x-direction; (b) velocity field of solid body rotation; (c) velocity field of the
bathtub vortex; (d) velocity field of a corner flow.
2.2. Conservation of mass
113
large such a block does not rotate as it revolves around the centre of
the vortex, it typically has the same orientation; this is an example of
an irrotational flowan important class of flows in fluid dynamics. In
contrast, a building block placed on a turntable rotates as it revolves
showing that its motion is rotational.
As a last example the velocity field q = xi + yj may be seen as flow
turns a corner due to some obstruction. A quadrant of the velocity
field shown in Figure 2.1(d) may be seen in a corner of the flow over
a rectangular obstruction shown in Plate 5 of Van Dyke Dyke (1982).
These ideas of velocity and density fields overlook the fact that real fluids
are made of molecules. In principle the physical fields we use are defined
by averages over volumes, each volume centred on some particular point
in space-time. Thus
(x, y, z, t) =
1 X
(mass of particles in V) ,
kVk
where V is centred on (x, y, z, t). For this averaging to be acceptable we

need
the volume V to be small compared with the phenomenon of interest, typically on the scale between say 1mm and the 1000 km of
atmospheric scales, and
large compared with the molecular scale so that the averages over V
are not sensitive to molecules popping in and out of V.
Since there are approximately 1023 molecules in each litre of air, it follows
that the typical separation between air molecules is on the length-scale
of 105 mm. This is very much smaller than the length scales of interest,
so the averaging process is well defined. The concepts and equations of
fluid mechanics are generally accurate.
It is only in quite esoteric situations, such as space vehicle re-entry
into the thin high altitude atmosphere, that we may have to worry about
the molecular nature of the flow.
2.2
Conservation of mass
Warning:
this section is only a first draft.

114
We need to find equations which reflect how the fluid fields such as q and
evolve in time. The evolution come from physical laws of conservation.
First, the material making up the fluid can neither appear or disappear.
This conservation of mass leads to the so-called continuity equation.
An extremely quick and dirty method is to adapt the one-dimensional
continuity equation (Roberts 1994, Eqn (2.1)),
(u)
+
= 0,
t
x
to three-dimensions. Simply we recognise that time derivatives and density remains unchanged, whereas the one-dimensional scalar velocity u
becomes a vector quantity q in three-dimensions, and one-dimensional
spatial gradients /x become one of the vector differential operators
grad, , or div, . Thus the above one-dimensional continuity equation
translates to
+ (q) = 0 .
t
The choice of the divergence is indicated because the time derivative shows
that the equation is a scalar equation, and the div operator is the appropriate way to produce a scalar quantity from the vector flux q.
We now turn to a more acceptable argument for deriving the above continuity equation.1 However, as in one-dimension (Roberts 1994, 2.1), I prefer
an integral argument.
Consider any fixed
R volume V within the fluid. The mass of fluid inside the
volume is m = V dV. Over time this mass varies as fluid is carried into
or out off the volume by the flow of the fluid. The rate of change of mass
is, by definition,
Z
dm
=
dV .
dt
V t
But this must be equal to net rate of fluid entering the volume across the
surface, S, of the volume. Across any small area dS of the surface, fluid
^ is the unit vector normal
mass crosses into V at a rate q (^
n) (where n
to dS but pointing out of V), namely
1
See Dean & Dalrymple (1991)[2.2.1] for a similar development but in differential
terms.
115
proportional to the local density on that surface, and

proportional to the velocity component normal to the surface.
Consequently, integrating over the entire surface, it must also be true that
Z
dm
^ dS
= q n
dt
ZS
= (q)dV by the divergence theorem.
V
Equating these two expressions for dm/dt and combining them into the one
integral leads to the penultimate result that

Z
+ (q) dV = 0 ,
V t
for all volumes V in the fluid.
Now, the only way that the integral of a particular continuous integrand can
be zero for all volumes V is if the integrand is identically zero. Consider, if
the integrand is ever non-zero, then by continuity it must be the same sign in
some small volume V 0 around that point, and so the integral over V 0 would
be non-zero. But this contradicts the fact that the integral is always zero.
Thus the integrand must be zero everywhere. Consequently the previous
result assures us that everywhere in the fluid
+ (q) = 0 .
t
(2.1)
This is the general continuity equation. However, in most familiar circumstances it simplifies somewhat. For example, if the density of the fluid is
everywhere the same for all time, is constant, then all the derivatives of
are zero and the continuity equation reduces to the requirement that the
velocity field must be divergence free:
q = 0.
(2.2)
In fact this equation is much more general than I have suggested so far;
as well as applying to constant density fluids, it also applies to so-called
116
incompressible flows. For example, the water in the ocean is effectively

incompressible and its flow satisfies (2.2), and yet it has significant density variations. Indeed such density variations are vitally important in the
structure of the worlds oceans:
cold Artic and Antartic water is dense and sinks below the warmer
surface layers of mid-latitude oceans to form the cold abyssal ocean
water;
warmish but very saline and consequently dense Mediterranean water
flows out of the Gibralter Straits and so it also sinks below the surface
layers of the Atlantic ocean;
conversely, fresh and thus relatively light water from the Amazon flows
many hundreds of kilometres out from the South American coast as
surface water.
The important characteristic here is that a small volume of water maintains
its identity for very long periods of time. Indeed oceanographers deduce the
source of a sample of the ocean simply by analysing its salinity and trace
elements.
So consider the general continuity equation (2.1) from the point of view of
a fixed parcel of fluid rather than from a fixed point in space. Expanding
the divergence of the product gives
+ q + q = 0 .
t
Now the rate of change of density of the parcel of fluid is, by the chain rule,
d
dt
=
=
=
dx dy dz
+
+
+
t x dt y dt
z dt

+
u+
v+
w
t x
y
z
+ q ,
t
as appears in the first two terms of the expanded continuity equation above.
Thus if each and every parcel of fluid is itself incompressible, its density does
117
not change, d/dt = 0 throughout the fluid, and so the general continuity
equation (2.1) reduces to the simpler (2.2). I emphasize that this occurs
even though the density may vary in space and time, as it does in the ocean,
so long as each parcel of fluid is itself incompressible.
Each of the four example velocity fields given in the previous section are
divergence free. For example, the vortex flow field satisfies

x
y2x
x2y
q=
+
= 2
+ 2
= 0.
2
2
2
2
2
2
x x + y
y x + y
(x + y )
(x + y2 )2
Hence they could each occur in the flow of an incompressible fluid.
Appearing in the above derivation is the very important concept of the
material derivative. Namely the derivative with respect to time of some
quantity as seen a parcel of the material; in the above we discussed the
density as seen by a fluid parcel. Where needed the material derivative of
some quantity, c say, will be denoted by
dc
c
=
+ q c .
dt
t
(2.3)
It has the two components:

c/t from the rate of change of c at a fixed location in space, and
q c from the fact that the fluid parcel is moving through space with
velocity q and so experiences change due to spatial gradients of c.
At first aquaintance the difference between the material derivative and
the derivative at a fixed point often causes confusion. Part of this, I
am sure, arises from deficient mathematical notation. In particular, the
notation for differentiation carries implicit assumptions with it; the problem being that these assumptions change when we change from material
derivative to a derivative at a fixed point. Chemistry has an answer, albeit too long for common use. Chemists routinely denote what variables
are fixed as the differentiation is performed. For example, (/t)xyz
would denote the derivative with respect to time of the density keeping
position, (x, y, z), fixed. Conversely, if particle locations are described by
functions (X(a, t), Y(a, t), Z(a, t)), then (/t)XYZ would denote the
derivative with respect to time of the density keeping the fluid particle
under consideration fixed. This last would be the material derivative.
118
2.3
Conservation of momentum
Sorry:
The second physical principle which leads to a governing differential equation

is that of conservation of momentum. This leads us to either the Navier
Stokes equation or the Euler equation depending upon how important is the
effect of internal friction within the fluid.
An extremely quick and dirty method is to adapt the one-dimensional
momentum equation (Roberts 1994, Eqn (3.2)),

u
u
+u
,
=F+
t
x
x
to three-dimensions. On the left-hand side we observe the material derivative of the velocity. On the right-hand side, F denotes body forces, such as
gravity g, and so becomes a vector, whereas the end forces could remain as the scalar pressure field, p, which exerts a normal forces across
any surface in the fluid. Thus the above one-dimensional momentum
equation translates to

dq
q
=
+ q q = F p .
dt
t
However, this equation is only valid for fluids which are not sticky (not
viscous). In a viscous fluid, the fluid particles exert tangential forces across
surfaces; for example, they experience a tangential drag when slipping
over a solid substrate. For this common case the stress becomes a rank 2
tensor, denoted . Note: a rank n tensor is some physical quantity with n
directional properties; for example, a scalar is a rank 0 tensor, and a vector
is a rank 1 tensor. Then for a viscous fluid the above momentum equation
is generalised to

q
dq
=
+ q q = F + .
dt
t
Interestingly, this momentum equation is directly analogous to Newtons
2nd law which asserts that (mass) (acceleration) = (net force). In the
above:
mass is represented by the density ;
2.3. Conservation of momentum
119
acceleration of the mass by the acceleration of fluid particles which

is given by the material derivative of the velocity, dq/dt; and
net force by the body force F and internal stresses .
We turn to a more conventional derivation of the momentum equation, one

in which we can see more readily the meaning of the new concepts such as
the stress (Batchelor 1979, e.g. 1.3).
2.3.1
Stress tensor
Consider a small tetrahedral parcel of fluid with three faces normal to the
^ . Across each face, the
coordinate axes and the fourth face with normal n
fluid outside the tetrahedron exerts a force, or traction, on the fluid inside;
call the forces Ax T x , Ay T y , Az T z , and An T n respectively where Ai is the
area of the ith face and T i are the stresses.
The stress is linear in the normal. Firstly, if there is any imbalance
in the net force applied by these stresses, then the fluid tetrahedron must
accelerate. Newtons 2nd law then indicates that
dq
V
= Ax T x + Ay T y + Az T z + An T n ,
dt
where V is the volume of the tetrahedron. Hence, crudely, the acceleration
must be proportional to (surface area)/(volume) which becomes infinite for
arbitrarily small volumes. Such infinite acceleration cannot be permitted,
and hence there cannot be any net imbalance of the forces on the tetrahedron. Thus
Ay
Ay
Ax
Tx
Ty
Tz
Tn =
An
An
An
by projection of areas
= (^
n i)T x + (^
n j)T y + (^
n k)T z .
^ is linear
From this we see that the stress across a plane with any normal n
^ : for some stress tensor
in n
^ .
Tn = n
(2.4)
120
Indeed, in a matrix representation T x , T y

stress tensor:
xx xy
= yx yy
zx zy
and T z form the rows of the
xz
yz
zz
where ij is the component of the stress in the jth coordinate direction upon
a plane with normal in the direction of the ith coordinate.
The stress tensor is symmetric. By similar arguments, one can reason

that to keep the angular acceleration of a fluid parcel finite as one considers
smaller and smaller sizes, then the moments of the forces on a fluid particle
must vanish. Consider the moments about the vertical axis passing through
the centroid of the face An of the tetrahedron:
there are no contributions to the moment from the face An or Az ;
the face Ax contributes
x
3 Ax T x
j = Vxy ;
the face Ay contributes
y
3 Ay T y
(i) = Vyx .
The net moment is thus V(xy yx ). However, the moment of inertia is

proportional to V 5/3 , and so to avoid infinite angular accelerations of very
small parcels of fluid we must require that xy = yx . Similarly for other
axes so that in general ij = ji . Hence the stress tensor is symmetric.
The pressure. By convention, the pressure of the fluid is defined such

that the trace of the stress tensor is 3 times the pressure p. That is
1
p = (xx + yy + zz ) .
3
Then the stress tensor may be written
xx xy xz
p + xx
xy
xz
p + yy
yz .
= yx yy yz = yx
zx zy zz
zx
zy
p + zz
121
The deviatoric stress tensor ij measures the departure from isotropy of the
stress tensor. If ij are all zero, then the stress tensor = pI and hence
^ , is = n
^ (pI) = p^
the stress across any surface, normal n
n. That is,
the force across any surface is directly inwards and of magnitude p. This
is precisely the accepted understanding of pressure. If not all ij are zero,
then a local change of coordinates2 will put the stress tensor in diagonal
form (always possible for a symmetric matrix),
0
p + xx
0
0
0
,
0
0
p + yy
0
0
0
p + zz
and so we see that in some directions the stresses will be stronger than in
others, causing a deformation of parcels of fluid.
2.3.2
Momentum equation
Consider any fixed volume V within

the fluid. The net momentum of the
R
fluid inside the volume is p = V q dV. Over time this momentum varies
as it is carried into or out off the volume by the flow of the fluid. The rate
of change of net momentum is, by definition,
Z
dp
=
(q) dV .
dt
t
V
But this must be equal to net rate of momentum
entering the volume across the surface, S, of the volume;
generated internally by external body forces such as gravity; and
induced by stresses imposed on the surface of the volume by the fluid
immediately outside.
Consider each of these in turn. Across any small area dS of the surface, fluid
^ is the unit vector
momentum crosses into V at a rate u(^
n) q (where n
normal to dS but pointing out off V), namely
2
The pressure, being proportional to the trace of the stress tensor, is invariant to such
changes in coordinates.
122

proportional to the local momentum density, p, on that surface, and
proportional to the velocity component normal to the surface.

R
External body forces3 , will generate momentum inside V at a rate V F dV.
Whereas the stresses applied on each small part of the surface, dS, are
^ dS. Consequently, summing all these contributions it must also
T dS = n
be true that
Z
Z
Z
dp
^ dS
= q^
n q dS + F dV + n
dt
S
V
S
(by the divergence theorem)
Z
=
(qq) + F + dV .
V
Equating these two expressions for dp/dt and combining them into the one
integral leads to the penultimate result that

Z
(q) + (qq) F dV = 0 ,
V t
for all volumes V in the fluid. As before, such an integral can only be zero
for all volumes V if the integrand is everywhere zero. Thus we deduce the
basic form of the momentum equation
(q) + (qq) = F + .
(2.5)
t
However, in virtually all cases we only use this equation in conjunction with
the continuity equation (2.1). In which case, after expanding the derivatives
of the products on the left-hand side as
q
(q) + (qq) =
+q
+ q (q) + (q )q ,
t
t
t
recognise that the middle two terms are simply q times the continuity equation and so vanish identically. This gives us the more usual form analogous
to Newtons second law:

dq
q
=
+ (q )q = F + .
(2.6)
dt
t
3
Such as F = gk for gravity.
2.3.3
123
The Euler equations for an ideal fluid
In a frictionless fluid, one of low viscosity or inviscid, parcels of fluid

cannot resist uneven stress distributions: if there is any imbalance of stress,
indicated by a non-isotropic stress tensor, then the fluid rapidly deforms in
response to the uneven forces. Consequently, the only stress supportable by
an inviscid fluid is one of only pressure: = pI. Thus the momentum
equation reduces to
q
1
1
dq
=
+ (q )q = F p .
dt
t
(2.7)
This is called Eulers equation.

For example, in a fluid at rest, q = 0, and acted upon by gravity F = gk,
we deduce the pressure must be hydrostatic: p = p0 gz where p0 is the
pressure at z = 0. Often it is the case that, as for gravity, the body forces
can be apparently removed from Eulers equation by incorporation into the
pressure. Any body force which can be written as the gradient of a scalar
potential, F = ,4 can be absorbed by a psuedo pressure p 0 = p + ,
and Eulers equation then appears apparently without the body force.
All the four example flows given earlier are solutions of Eulers equation for
an inviscid fluid.
An extraordinarily important class of flows5 are obtained by writing q =
for some velocity potential (x, y, z, t). By the continuity equation, the
potential must satisfy Laplaces equation as
2 = q = 0 .
Eulers equation is automatically satisfied for this class of flow; it reduces
to Bernoullis equation for the pressure since Eulers equation becomes:6

1 2
1
1
0 =
+
|q| + + p ,
t
2
F = (gz) for gravity.

Curiously, one can only justify the importance of such inviscid flows by invoking
viscosity.
6
This is a remarkable integration of the nonlinear Euler equation.
5
124

1 2 p
=
+ |q| + +
.
t
2
The only way that the gradient of a quantity is zero in some spatial domain
is if it is constant in space; that is, we obtain Bernoullis equation
p 1 2
+
+ |q| +
= B(t) ,
t
2
(2.8)
for some function B(t). This equation gives the pressure field for any given
flow field of an ideal fluid.
Three of the example flows are potential flows. Consider two.
(a) q = Ui has velocity potential = Ux and the pressure is reduced from
hydrostatic: p = 21 U2 .
(c) The vortex flow q = (yi + xj)/(x2 + y2 ) has velocity potential =
arctan(y/x) = in cylindrical coordinates, and a pressure p =
1
2
2 /r .
This flow is seen in the swirling water of the bathtub vortex, for
example see (Dyke 1982, Plate ??). The funnel shape of the central
core of air is determined once you know that in effect air exerts a
constant pressure, p0 say, everywhere upon the free-surface of the
water. If the body force potential is due to gravity, = gz, and
hence the free-surface of the water must be such that p0 = gz
1
2
2 /r . Rearranging shows that the height of the free-surface in the
funnel must be of the form z = A B/r2 .
2.3.4
The NavierStokes equations
Real fluids, such as treacle, paint or toothpaste, can exhibit an startling

range of interesting behaviour; the relation between the pattern of flow and
the stress tensor can be very complicated. However, the most common
fluids found around us, namely air and water, are relatively simple. To a
good approximation the deviatoric stress tensor is simply a linear function
2.4. The state space
125
of the local velocity gradients:7

ij = Aijk`
qk
.
x`
Now, Aijk` has 34 = 81 elements which potentially could be different and

would need to be determined for each particular fluid by experiments. However, the requirements of isotropy, symmetry, and zero trace of the deviatoric
stress tensor result in great simplification (Batchelor 1979, 3.3):

2
Aijk` = ik j` + i` jk ij k` ,
3
where is a constant characteristic of the fluid and is called the viscosity.
Hence, in terms of the flow field, the stress at any point is

qi qj 2
ij = pij +
+
qij .
(2.9)
xj
xi 3
A fluid obeying this relationship between stress and velocity field is called a
Newtonian fluid.
For an incompressible fluid, a little algebra shows the momentum equation
then reduces to the NavierStokes equation:
dq
q
1
1
=
+ (q )q = F p + 2 q ,
dt
t
(2.10)
where = / is called the kinematic viscosity. For water and air under
common conditions the kinematic viscosity is 0.0114 cm2 / sec and 0.145 cm2 / sec
respectively. Observe that the term due to viscosity, 2 q, describes an essentially Fickian diffusion of momentum. This is reflected in many of the
flow properties that we later explore.
2.4
The state space
Warning:
7
Repeated subscripts indicate summation over that subscript.

126
In this book we investigate fluid dynamics using tools of analysis from the
modern theory of dynamical systems. Consequently we here put the equations of fluid mechanics into the context of a dynamical system.
The key concept, introduced by Poincare, is that of a state space. The
state space of a systems is the set of all possible states of the system. For
example, as explained in 2.1 of Abraham & Shaw (1983), the state of an
ideal pendulum oscillating in two physical dimensions is its position and
velocity. When we measure these by the angle from the vertical and the
angular velocity , then the state space is the 2D set of all possible values
of (, ).
However, if the pendulum, instead of being swung on the end of a thin rod,
is hung by an elastic spring, then two more variables are needed to describe
its state: namely, the extension of the spring, say `, and the rate of change
of the extension, say w. Thus the state space is enlarged to the set of all
possible values of (, , `, w), a 4D space.
Now, at any given instant of time, a dynamical system will be in precisely
one state. In other words, the state of the dynamical system at any time
is represented by one point in state space, call such a state u in general.
Evolution of the system in time, its state changing, is then represented by
movement of a point through state space (Abraham & Shaw 1983, 1.2),
then u = u(t). This is the basis of the abstract view of an evolving system:
no matter how complex the original physics, we represent its evolution by
the movement of a point through the state space.
If the mathematical model of the system is consistent, it can only evolve in
one way from any given state. After all, if the system could evolve in more
than one way, then we could not use the model to make predictions because
any one of the possible futures may occur. Indeed this is a modelling issue
we only address those models which are predictive; that is, only those with
a unique future from any given state.
Consequently, at any time and at any state the dynamical system must be
moving through state space in some definite direction and at some definite
speed. Thus the rate-of-change of state can be described by a vector function
2.4. The state space
127
of position:
du
= f(u) ,
dt
where f is some definite function characteristic of the particular dynamical
system. We will analyse such evolution equations throughout this book.
u =
The equations of incompressible fluid dynamics, the continuity equations

together with either the Euler or the Navier-Stokes equations, are placed in
this framework. Firstly, the state space is the set of all possible fields, both
velocity q(x, y, z) and pressure p(x, y, z). Each configuration of these fields
throughout all space is one state in state space. In other words, each point
in state space represents the entire velocity and pressure fields throughout
all space. This is graphically illustrated in 1.3 of the fourth volume by
Abraham & Shaw (1988) where you see that each configuration of the fluid
flow corresponds in state space to just the position of one point. Then a
fluid flow which is unsteady, namely evolves in time, is represented by the
movement of a point through state space. Such a state space representation of fluid flow is an enormous abstraction; for example, all the complex
interaction and development of a turbulent flow field is represented by the
movement of a point.
Because states of the fluid flow are described in terms of functions of space,
namely q(x, y, z) and p(x, y, z), the dimensionality of the state space is
infinite. Crudely speaking, at each point in space there is the freedom for
the fluid to have any pressure and velocity; but there are an infinite number
of spatial points and hence there are an infinite number of variables needed
to describe the state of the fluid flow.
Secondly, the equations of fluid mechanics govern the evolution through
state space. Although, strictly speaking, the continuity equation and NavierStokes equations are not in the above form, u = f(u), they are effectively
equivalent. You can imagine that rather than letting the state space be
the entire set of all possible q and p, we may let the state space be the
set of all such fields which satisfy the extra proviso that the velocity field
is divergence free. That is, the state space is effectively a subset of the
q(x, y, z), p(x, y, z)-space. Then the Navier-Stokes equation (or Euler equation) effectively describes the vector field, f, in this effective state space;
128
the pressure field may be viewed as being used to keep the velocity field
divergence free.
2.5
Chapter summary and exercises
Generally we will deal with the NavierStokes and continuity equations, together describing the motion of a viscous incompressible fluid.
The primary field of interest is the velocity field q(x, y, z, t), and to
some extent the pressure field p(x, y, z, t). Typically we treat incompressible fluids except in special circumstances.
Another flow property of great interest in fluid dynamics is the vorticity. But for purposes of simplicity I have chosen not to expound on it
and its effects in this introduction.
By placing fluid dynamics within the context of a dynamical system,
albeit in an infinite dimensional state space, we use tools of modern
dynamical systems theory to analyse fluid dynamics. In particular, we
create low dimensional models of the dynamics of fluids.
To follow as needed: boundary conditions, heat and mass transfer,
sample solutions and dynamics.
Exercise 2.1: Lookup and write a one page summary of vorticity, irrotational flow and the Kelvin circulation theorem.
Exercise 2.2: Find out and write down the continuity, Euler and Navier
Stokes equations in component form in both Cartesian and spherical
coordinates.
Exercise 2.3: Do Problems 2.1, 2.3(a), 2.4, 2.5, 2.8 and 2.9 in Dean &
Dalrymple (1991), Water wave mechanics for engineers and scientists.
Exercise 2.4: In a viscous fluid of constant density with no body forces,
consider a swirling flow which in cylindrical coordinates has velocity
components u = w = 0, v = v(r, t), p = p(r, t). What do the Navier
Stokes and continuity equations reduce to? Seeking a solution of the
2.5. Chapter summary and exercises
129

form v(r, t) = A(t) exp r2 /D(t) determine A(t) and D(t). Explain
what this solution may physically describe.
130
Chapter 3
Centre manifolds introduced

Contents
3.1
3.2
3.3
3.4
Couette flow . . . . . . . . . . . . . . . . . . . . .
134
3.1.1
Simple shear flow . . . . . . . . . . . . . . . . . . . 134
3.1.2
Flow between rotating cylinders
3.1.3
Non-dimensional equations . . . . . . . . . . . . . 138
3.1.4
Linear instability . . . . . . . . . . . . . . . . . . . 140
3.1.5
Exercises . . . . . . . . . . . . . . . . . . . . . . . 148
. . . . . . . . . . 136
The metastability of quasi-stationary probability distributions . . . . . . . . . . . . . . . . . . .
150
The centre manifold emerges . . . . . . . . . . .
154
3.3.1
Introduce some simple examples . . . . . . . . . . 154
3.3.2
Eigenvalues imply existence . . . . . . . . . . . . . 160
3.3.3
Centre manifolds emerge . . . . . . . . . . . . . . . 167
3.3.4
Approximately construct a centre manifold . . . . 171
3.3.5
Parameters and bifurcations . . . . . . . . . . . . . 175
3.3.6
Summary and exercises . . . . . . . . . . . . . . . 189
Construct slow centre manifolds iteratively . . .
193
3.4.1
Burgers pitchfork . . . . . . . . . . . . . . . . . . 194
3.4.2
Computer algebra implementation . . . . . . . . . 197
131
132
Chapter 3. Centre manifolds introduced
3.5
3.6
3.7
3.8
3.4.3
The general iteration scheme for slow manifolds . . 201
3.4.4
Summary and exercises . . . . . . . . . . . . . . . 208
Taylor vortices form in a pitchfork bifurcation .
212
3.5.1
Computer algebra easily solves an approximate

problem . . . . . . . . . . . . . . . . . . . . . . . . 214
3.5.2
An explicit, numerically exact model of Taylor

vortices . . . . . . . . . . . . . . . . . . . . . . . . 222
3.5.3
Exercises . . . . . . . . . . . . . . . . . . . . . . . 238
Flexible truncations empower adaptable modelling239

3.6.1
Global models based upon a subspace of equilibria 240
3.6.2
Newton diagrams guide errors . . . . . . . . . . . . 243
3.6.3
Summary . . . . . . . . . . . . . . . . . . . . . . . 251
Irregular centre manifolds encompass novel applications . . . . . . . . . . . . . . . . . . . . . . .
252
3.7.1
Compress time . . . . . . . . . . . . . . . . . . . . 252
3.7.2
Generally transform time . . . . . . . . . . . . . . 253
3.7.3
Not Dmitrys turbulence example . . . . . . . . . . 254
3.7.4
Summary . . . . . . . . . . . . . . . . . . . . . . . 255
Chapter summary . . . . . . . . . . . . . . . . . .
255
This chapter aims to develop the basic concepts of centre manifolds and their
use in modelling dynamical systems. Subsequent chapters explore important
classes of applications as well as further illuminating theory.
The closeness of the agreement between his [Taylors] theoretical
and experimental results was without precedent in the history of
fluid mechanics.
(Drazin & Reid 1981, p105)
Here we look at an important experiment in fluid mechanics, the Taylor
Couette flow, and determine the basic dynamics of the development of a
nontrivial flow. Ideas in dynamical systems theory which are associated
with this flow are those of: bifurcation, symmetry breaking, and pattern
formation.
133
We look at a simple fluid flow between two rotating cylinders, called Couette flow. Then we find that it loses stability, as the speed of rotation of the
inner cylinder is increased, and wonder what happens to the flow dynamics
after that. Pictures of experiments in the various flow regimes are shown
in Plates 1278 of Dyke (1982). Indeed, this was one of the early experiments to confirm chaos in an actual fluid flow (Gleick 1988, pp128131). By
introducing the ideas and tools of centre manifold theory via some simple
examples, we analyse the TaylorCouette dynamics in a little detail.
quasi ??
The flexible power of the centre manifold approach to creating dynamical
models comes from three theorems introduced in Section 3.3. The three
theorems assure us of three key aspects:
a model exists depending upon the linear picture of the dynamics;
the model is relevant because all neighbouring dynamics are attracted
to the model;
we may construct the model to a controlled order of error.
The key is to find a domain where there is a separation of time scales between
long lasting modes of interest, and rapidly decaying modes that provide
relatively uninteresting details. In principle, the models may be refined to
arbitrarily high order of accuracy because we can control the error.
Construct chapter begin??
colan??
Centre manifold theory also underpins global models, Section 3.6.1. Although introduced as being local to an equilibrium, the theory also applies
when there is a parametrised family of equilibria, a subspace of equilibria for
example: the theory then supports a dynamic model that applies uniformly
across the family to generate a model which is local in some variables but
is global in other variables. One application is to chemical reactions. Other
applications include many that others call singularly perturbed systems.
Also the theory applies in a finite domain, and so rigorously supports modTony Roberts, 1 Mar 2008
134
elling for finite sized parameters and variables. Thus to estimate the model
accurately at finite values of parameters and variables, we need to compute
asymptotic approximations to different orders in the parameters and variables. The Newton diagrams introduced in Section 3.6.2 empower us to very
flexibly create and use models.
??irregular
3.1
Couette flow
Warning:
In this section we consider the flow of a viscous fluid between plates or

cylinders travelling or spinning at different rates. The resulting shear flow
is an exact solution of the NavierStokes equation and the continuity equation. However, due to centrifugal forces, the flow between cylinders becomes
unstable.
3.1.1
Simple shear flow
As a precursor to Couette flow we briefly look at the shear flow between two
parallel plates.
Consider two plates, infinite in horizontal extent, separated by a distance h
where the bottom plate is stationary and the top plate is moving with
speed U in the horizontal x-direction. Let the bottom plate be at y = 0
and consequently the top plate is at y = h. The top plate will drag the
fluid with it, whereas the bottom plate will tend to retard the flow. Thus a
shearing flow is established between the plates.
By translational symmetry in the horizontal the flow will be independent
of both horizontal directions. So we assume that q = q(y) and p = p(y)1
only. Also by symmetry, there should be no flow in the z-directionthere
1
Absorb body forces into the pressure.
3.1. Couette flow
135
is no driving force in that direction and so viscosity will typically damp any
such flowhence we take w = 0.
The continuity equation then reduces to
q=
v
= 0,
y
and hence v = const. But no fluid can cross the solid boundaries2 at
y = 0 and y = h, v = 0 there, so that v = 0 everywhere. Hence the
velocity field is just q = u(y)i.
The vertical component of the NavierStokes equation,
v
1 p
+ q v =
+ 2 v ,
t
y
reduces to simply
0=
1 p
,
y
with solution p = const. Without loss of generality we take p = 0

(because it is only gradients of p which affect the dynamics).
The horizontal component of the NavierStokes equation,
u
1 p
+ q u =
+ 2 u ,
t
x
reduces to simply
0=
2 u
,
y2
with general solution u = Ay + B. Up to now we have not needed

to worry much about boundary conditions, but here we must. For a
viscous fluid the boundary condition to be applied on a solid boundary
is that the fluid sticks to the boundary. Here this requires: q = 0 on
the stationary plate y = 0; and q = Ui on the moving plate y = h.
Indeed we used the vertical components of these boundary conditions
2
This is the first mention of the important boundary conditions.

136

in determining that v = 0. Here the bottom plate boundary condition
enforces that the constant B = 0, then the top boundary condition
gives
Uy
u=
.
h
Such a linear variation in velocity across the stream is a uniform shear flow.
The viscous fluid separating the two plates transmits a frictional drag from
one plate to the other. This drag is the yx component of the deviatoric
stress tensor, namely the traction in the x-direction acting across a surface
with normal in the y-direction. From the Newtonian stress/rate-of-strain
relation (2.9)

u v
U
yx =
+
=
.
y x
h
Observe this drag behaves reasonably: it is proportional to the viscosity;
proportional to the velocity difference; and inversely proportional to the
plate separation.
3.1.2
Flow between rotating cylinders
In essence we now turn the previous shear flow on its side and wrap it around
a cylinder to form Couette flow. Consider two co-axial vertical cylinders with
fluid in between:
the inner cylinder of radius R1 and rotating with angular velocity 1 ;
and
the outer cylinder of radius R2 and rotating with angular velocity 2 .
Because of the cylindrical geometry it is convenient to resort to cylindrical
coordinate system (r, , z) where:
r is the radial distance from the vertical axis;
is the angular distance around the cylinder; and
z is the vertical position.
3.1. Couette flow
137
For convenience we again call the velocity components (u, v, w), that is, the
velocity q = uer + ve + wk.
By using symmetry, we again look for a simple solution of the fluid dynamics
equations. Because of the circular symmetry around the cylinder, and the
translational symmetry along the cylinder, we expect to find solutions that
are functions purely of the radial coordinate r. Expect that w = 0 because
there is no mechanism to drive an axial flow.
The continuity equation
1 (ru) 1 v w
+
+
= 0,
r r
r
z
then determines that the radial velocity u = C/r. But, as for the
parallel plate flow, there can be no flow across the cylinder walls at
R1 and R2 , so C = 0, and hence u = 0 throughout.
That is, the flow must be purely around the cylinder, termed azimuthal, but possibly of different speeds at locations ranging from
the inner cylinder to the outer cylinder. In order to turn the fluid
particles to keep them in their circular paths we will need to impose
a radial pressure gradient.
The angular component of the NavierStokes equation, when put in
cylindrical coordinates (Batchelor 1979, Appendix), reduces to

1
0=
r r

v
v
r
2 .
r
r
This is an Euler ODE. Substituting v = rn leads to the indicial equation n2 1 = 0 with solution n = 1. Thus
v = Ar +
B
,
r
for some constants A and B. Interestingly this rotational flow is simply

the sum of a rigid body rotation, Ar, and a vortex flow, B/r.
138

The constants A and B are determined by the boundary conditions of
no-slip on the rotating cylinders. Applying v = Ri i on r = Ri ,

v=
2 R22 1 R21
R22 R21

r+
1 2
1/R21 1/R22
1
.
r
The radial component gives the pressure field; it reduces to
v2
1 p
=
.
r
r
This is simply integrated to give

Z
p(r) =
v2
dr ,
r
which is the pressure field needed to counter the centrifugal force

of the rotational motion; the centripetal acceleration of fluid particles
being simply v2 /r. We do not bother evaluating this pressure field as
there is no need for the detail in the forthcoming analysis.
The above flow field is an exact, steady solution of the NavierStokes and
continuity equations. In the context of a dynamical system, it is a fixed
pointa point of equilibriumin the state space. In order to obtain a
partial picture of the dynamics we linearise the dynamics about this fixed
point. The nonlinear centre manifold theory will subsequently elucidate
more of the dynamics.
3.1.3
Non-dimensional equations
To simplify the analysis, transform the governing equations to a non-dimensional

form. Choose the inner cylinder as the main reference: the radius R1 as the
reference length, 1/1 as the reference time, and as the reference density. Consequently, R1 1 is the reference velocity and 1 is the reference
pressure. Introduce the non-dimensional, starred, variables: r = r/R1 ,
3.1. Couette flow
139
R = R2 /R1 , z = z/R1 , t = t1 , q = q/(1 R1 ), and p = p/(1 ).

The NavierStokes equations and the continuity equations then become

q

Re
+q q
= p + 2 q ,
t
q = 0 ,
where Re = 1 R21 / is a Reynolds number. Reynolds numbers are typically
defined as Re = (velocity)(length)/ which is precisely the same here as
1 R1 is the velocity of the surface of the inner cylinder, and R1 its radius.
Consider the range of Reynolds numbers:3
Re < 100 are typically viscously dominated flows;
Re > 10000 typically are very turbulent flows full of fine structure and
detail;
100 < Re < 10000 is roughly the parameter regime where interesting
transitions take place in the destruction of order in favour of chaos.
As shown in Iooss & Adelmeyer (Iooss & Adelmeyer 1992, p89), many interesting transitions occur from the above Couette flow as the Reynolds
number (Re1 in their figure) is increased.
Henceforth we do two simplifying things. Firstly, we drop the stars from
the non-dimensional quantities. It will be just as if we solve the physical
problem with R1 = 1 = = 1. Secondly, and more fundamentally we make
the outer cylinder stationary (as is usually done in experiments). Thus the
boundary condition on the outer cylinder is simply
q = 0 on r = R.
Whereas that on the inner cylinder is
q = e
on r = 1.
Then in cylindrical coordinates, the non-dimensional NavierStokes and continuity equations become, in component form,

u
u v u
u v2
p
2 v
u
Re
+u
+
+w
+ 2 u 2
,
=
t
r
r
z
r
r
r r2
3
These ranges give the generic correspondance between Re and flow regime.
140

v
v v v
v uv
1 p
2 u
v
Re
+u +
+w +
=
+ 2 v + 2
2,
t
r r
z
r
r
r r

w v w
w
p
w
+u
+
+w
=
+ 2 w ,
Re
t
r
r
z
z
u 1 v w u
+
+
+
= 0,
r
r
z
r
1 2
where 2 = 1r r
r r
+ r2 2 + z
z .
In this non-dimensionalisation and with a fixed outer cylinder, Couette flow
is, see Figure 3.1,4
2

1
R
q = v(r)e = 2
r e .
R 1 r
As the inner cylinder spins faster, increasing Reynolds number Re, the fluid
near the inner cylinder increasingly wants to spin out towards the outer
cylinder. At some rotation rate, this overcomes viscosity and the inner fluid
moves towards the outer cylinder, and the fluid near the outer cylinder must
contrapositively move inwards. These two opposing motions organise into
a pattern of cell-like vortices wrapped around the cylinder. It is this flow
which we examine.
3.1.4
Linear instability
In a dynamical system with a fixed point, Couette flow for example, the
dynamics in the immediate neighbourhood of the fixed point is determined
0
by linearisation.
If u = f(u) is the dynamical system with fixed0 point u0
0
(so that f u = 0), then small time dependent perturbations, u (t), to u
satisfy an equation of the form u 0 = Lu for some linear operator L.
The eigenvalues of L determine the stability of the fixed point. If all the
eigenvalues of L have real part negative, then the fixed point is stable. If
at least one eigenvalue of L has real part positive, then the fixed point is
unstable.
4
See Matlabprogram couett.m.
3.1. Couette flow
141
Figure 3.1: velocity field of Couette flow with fixed outer cylinder and R = 2.
142
In the analysis of Couette flow, we aim directly for the linearised eigenvalue
problem by seeking solutions of the form
q v0 e + q 0 (r, , z)et ,
p p0 + p 0 (r, , z)et ,
where v0 and p0 are the fields determined for Couette flow. Substitute
these into the NavierStokes and continuity equations and neglect nonlinear
terms, products of primed quantities, to obtain

v0 u 0 2v0 0
p 0
2 v 0 u 0
0
Re u +
v
=
+ 2 u 0 2
2,
r
r
r
r
r

0
0
0
0
0
0
v 0 v v
v
1 p
2 u
v0
Re v 0 +
u +
+ u0
=
+ 2 v 0 + 2
2,
r
r
r
r
r
r

0
0
0
v w
p
Re w 0 +
=
+ 2 w 0 ,
r
z
u 0 1 v 0 w 0 u 0
+
+
+
= 0.
r
r
z
r
Note that the only nonlinear terms in the NavierStokes equations are the
advection terms (q q). In the linearisation, the terms retained as important represent the advection of the perturbations by the azimuthal Couette
flow, terms such as (v0 /r)u 0 /, and the movement of the Couette flow by
the perturbations, terms such as u 0 v0 /r.
Now, these equations for the perturbations are constant coefficient with
respect to angle . Moreover, the annular geometry assures us that we are
only interested in solutions 2-periodic in . Thus we may seek solutions
proportional to exp(im) for integral m.
The equations are also constant coefficient with respect to the axial variable z, and so we may seek exponential solutions in z. However, in most
experiments the cylinders are tall (when compared to the thickness of the
fluid or to the radius of the cylinders), see Plate 127 in Dyke (1982) for example. Thus we are not interested in exponentially growing solutions in z,
in either direction; we only want solutions proportional to exp(ikz). In principle k is determined by the length of the cylinder L, perhaps something like
k = n/L for integral n. For long cylinders these wavenumbers are so closely
3.1. Couette flow
143
spaced that we may as well examine the continuum of wavenumbers kas

if the cylinders were infinitely long.
In fact, determining the precise influence of the top and bottom boundaries of the cylinders on the dynamics is a very delicate affair. The above
mentioned discretisation of the axial wavenumbers is just a first approximation, nonetheless one which is borne out reasonably well by experiments. However, sophisticated arguments about boundary conditions can
give systematic derivations of the influence of the boundary conditions
Roberts (1992). I hope to look at this later.
Thus we seek solutions in the form

q 0 = q 00 (r)ei(m+kz) ,
p 0 = p 00 (r)ei(m+kz) ,
where m is the integral azimuthal wavenumber and k is the real axial

wavenumber. However, simplify even further by setting m = 0. That is,
only consider those perturbations from Couette flow which have no dependence around the cylinder. Physically we expect that the first instability
will arise for such a mode; dependence should increase viscous dissipation
and so should be more stable. For counter-rotating cylinders this is not
necessarily correct; however for a fixed outer cylinder we can indeed just
consider m = 0.
The linearised equations then become

2v0 00
dp 00
00
Re u
v
=
+ Du 00 ,
r
dr

dv0 00 v0 00
00
Re v +
u + u
= Dv 00 ,
dr
r
Re w 00 = ikp 00 + Dw 00 +
du 00
u 00
+ ikw 00 +
dr
r
where
1d
D=
r dr
d
r
dr
w 00
,
r2
= 0,

k2
1
,
r2
represents the action of viscous dissipation.

144
Using the continuity equation to eliminate w 00 , and combining k2 times the

radial with ikd/dr of the axial components of the NavierStokes equations
lead to
1 2 00
2v0 00
D u + k2
v = 0,
Re
r
0

1
dv
v0
v 00
Dv 00 +
+
u 00 = 0 .
Re
dr
r
Du 00
0
Recall
0 that
Couette velocity profile is v = Ar + B/r; with this the term
0
v
dv
= 2A a constant. Thus we use the last equation above to elimidr + r
nate u 00 to give just one eigen-problem for the azimuthal velocity perturbation:

2
1
4Av0 00
D Dv 00 k2
v = 0.
Re
r
In general, this eigen-problem has to be solved numerically for the eigenvalues and corresponding eigen-functions v 00 . However, to show the expected
patterns I now make a crude approximation.5 Approximate by:
assuming a thin gap so that 2A 1/b where R = 1 + b;
2
approximate the operator D as Dv = ddr2v k2 v (this is justifiable in a

narrow gap as d/dr 1/b is large whereas r 1);
replacing v0 /r by its average value 1/2;
and ignore some fine detail in the boundary conditions for w 00 .
The net effect of these is to approximate the differential equation by one
which is constant coefficient (if one just assumes a narrow gap, see (Drazin &
Reid 1981, 16), then the analysis involves Airy functions). Thus a trigonometric substitution is useful. For integral n, try
v 00 sin [`(r 1)] ,
5
where ` = n/b.
This approximation is solely to make analytic progress.
3.1. Couette flow

Then
145

2
1 2
k2
2
+
(` + k ) (`2 + k2 ) +
= 0,
Re
b
(3.1)
with solution

1 2
k
` + k2 p
,
2
Re
b(` + k2 )
as shown in Figure 3.2. This expression for the eigenvalues is made of two
parts:
=
the negative (`2 +k2 )/ Re represents the action of viscous dissipation;

p
the k/ b(`2 + k2 ) term represents the energy that can be extracted
(or absorbed) by the shear flow between the cylinders.
As the Reynolds number Re becomes larger (the inner cylinder spins faster)
the possible energy extraction from the shear flow overcomes vicous dissipation and lead to instability.
It is apparent that the eigenvalues are all real, though not always the case,
m 6= 0 for example. Almost all the eigenvalues are large and negative. These
correspond to rapidly decaying modes in the dynamics; here the decay is due
to the viscosity. However, for large enough Reynolds number Re the first
term in the expression for the eigenvalues becomes small enough so that in
combination with the + case, one of the eigenvalues for axial wavenumber
k 3 becomes positive. At such a Reynolds number the dynamical fixed
point of Couette flow becomes unstable. We determine when this occurs.
We seek the Reynolds number Re for which any of the eigenvalues = 0.
Rearranging (3.1) leads to
(`2 + k2 )3
,
k2
as plotted in Figure 3.3. Observe the classic pattern that the mode with
the smallest ` = /b, the n = 1 mode, becomes unstable first. Further, it
becomes unstable at some finite axial wavenumber k. By minimising Re as
a function of k, find that the critical Reynolds number is
3 32
Rec =
, at kc = .
3/2
2b
2b
Re2 = b
146
-1
-2
-3
-4
-5
-6
-7
3
k
Figure 3.2: crude approximation to the eigenvalues of perturbations to Couette flow for R = 2 (b = 1) and a Reynolds number of 35. The eigenvalues
are plotted as a function of axial wavenumber k for various radial wavenumbers ` = n/b. Observe that the top eigenvalue branch has just become
unstable for a band of axial wavenumbers k 3.
3.1. Couette flow
147
450
400
350
Reynolds number
300
250
200
150
100
50
6
k
10
12
Figure 3.3: crude approximation to the Reynolds number, Re, at which a

given mode with axial wavenumber k and radial wavenumber ` = 1, . . . 4
first becomes unstable. The cylinder gap is b = 1.
148

For Reynolds number Re < Rec , all modes decay and the fixed point
of Couette flow is stable.
For Reynolds number Re > Rec , at least one mode grows exponentially, and Couette flow is unstable. The mode that first appears has
axial wavenumber kc , that is, it is periodic in the z direction with period 2/kc . This explains the appearance of Taylor vortices that are
seen in experiments such as that shown in Plate 127 in Dyke (1982).
Each cell
in the vertical is half the period and thus is of length
/kc = 2b which, as is typical, is of the same distance as the thickness of the fluid.
As soon as any one mode in a dynamical system becomes unstable, the linearisation becomes inconsistent. The linear picture of the dynamics, that of
exponential behaviour, would predict an exponential growth in the unstable
mode. So very soon the mode would become large enough to invalidate the
smallness assumptions made in the linearisation. To model the dynamics of
the system for these interesting parameter ranges we must investigate the
action of the nonlinearity in the system. This is centre manifold theory.
3.1.5
Exercises
Exercise 3.1:
Consider the axisymmetric flow between a rotating cone
and a fixed disc where the tip of the cone just touches the plate (at
the origin of the coordinate system).6 Solve the NavierStokes and
continuity equations to determine the flow and the fluid stresses. What
is the torque needed to drive this flow at an angular velocity when
the disk and cone have maximum radius R?
Exercise 3.2:
RayleighBenard convection. Temperature T (x, y, z, t) evolves
according to
t
+ (qT ) = 2 T ,
T
6
This flow is used to measure viscosity.
3.1. Couette flow
149
along with the continuity and NavierStokes equations. Consider

cold, T = T
6
fluid = [1 (T T )]
6
-x
hot, T = T + T
ignore density variations everywhere except where multiplied by
gravity;
suppose only 2D motion in x and y alone (no z dependence and
w = 0);
the top and bottom boundaries are to be stress-free, j = 0.
1. Find the pure conduction state (one of no motion).
2. Non-dimensionalise the equations with respect to reference length
d, reference time d2 /, reference density , and reference temperature T . Write the equations in terms of the Rayleigh number Ra = gTd3 /(), and the Prandtl number Pr = /.
3. Derive and solve the resultant eigen-problem for linearised dynamics near the pure conduction state. (Seek eigen-modes of the
form v sin(ny) cos(kx)et , and similarly for other quantities.)
4. What is the critical Rayleigh number, Rac , such that the conduction state is stable for Ra < Rac , and is unstable for Ra > Rac ?
What is the corresponding horizontal wavenumber k and vertical
mode number n?
150
Figure 3.4: a three-state continuous time Markov chain (the numbers appearing here have been chosen so that the expressions we deal with are very
simple).
3.2
The metastability of quasi-stationary

probability distributions
Sorry:
For a definite introductory example we turn to a simple linear problem which

also has uses in its own right: that of finding a quasi-stationary probability
distribution. Via an involved route we derive a simplified description of the
long-term evolution of the probabilities. Our aim is to show explicitly some
of the key ideas and assumptions in a method which derives such simplified
descriptions in a direct and powerful fashion.
Consider the continuous-time Markov chain with three states, labelled S1 ,
S2 and S3 , which is illustrated in Figure 3.4. The qualitative dynamics are:
S1 is an absorbing state and ultimately the system ends up in S1 ; however,
if parameter is very small then the time to absorption is very long and
the system has time to reach a (near) balance, between S2 and S3 , which is
long lasting and is a significant feature of the long term behaviour; indeed
sometimes it is the only relevant feature.
You should imagine that states S2 and S3 here are representative of a
large number of states, possibly an infinite number, that would actually
occur in a practical problem. The simplification which we are to discuss
will produce a model with two states: here this is a small simplification,
just one simpler than three states; but in a big problem the analysis would
produce a considerable simplification.
Let pi (t) denote the probability that the system is in state Si at time t. The
dynamical evolution of the system is then governed by the following set of
linear ordinary differential equations:
dp1
dt
= 2p2 ,
3.2. The metastability of quasi-stationary probability distributions

dp2
dt
dp3
dt

=

1
=
2
151

1
1
+ p2 + p3 ,
2
2

1
p2 p3 ;
2
or in matrix form
dp
= Qp
dt

p1
where p = p2
p3
0
2
0
and Q = 0 12 12 .
0 12 12
(3.2)
The column sums of the rate matrix Q are zero; this has two related
implications which must always occur in a Markov chain. Firstly, the evolution of the probability vector p is such as to conserve the total probability
p1 + p2 + p3 = 1 . This is clearly desirable. Secondly, there must exist a
zero eigenvalue of Q. This zero eigenvalue must correspond to a stationary
probability distribution which is a fixed point of the evolution; here it is
p = 1 = (1, 0, 0)8 corresponding to being certainly in S1 .
Ultimately the system ends up being absorbed in S1 , that is, p() = 1 .
However, if is very small then the time to absorption is expected to be very
long and the system has time to reach a (near) balance, here the balance
occurs between states S2 and S3 . This balance is then a significant feature of
the long-term behaviour; indeed sometimes it is the only relevant feature
for example, in models of chemical reactions ?. The question we address is:
how can we find such a long-lasting, though transient, quasi-stationary
probability distribution?
Here proceed via the exact solution of the governing equation (3.2). It is a
linear system and the rate matrix Q has three eigenvalues, namely 1 = 0 ,
2 = , and 3 = 1 . Corresponding eigenvectors to these eigenvalues
7
Note that this Q is the transpose of how probabilists define it.

Note that throughout this book we adopt the convention that a vector
written as
1
(1, 2) is a convenience for printing and actually denotes the column vector
, and not
2
the row vector 1 2 .

8
152
are easily found to be

1
e1 = 0 ,
0

1
e2 = 21 ,
1
2
and e3 = 21 .
12 +
Thus we may write the solution as the linear combination

p(t) =
3
X
cn en exp(n t)
n=1
= c1 e1 + c2 e2 exp(t) +
c3 e3 exp(t)
|
{z
}
(3.3)
rapidly decaying transient
where the cn are some constants which depend only upon the initial state
of the system.
The key to rational modelling is to throw away any rapidly decaying transients, leaving just those few modes which contribute significantly to the
picture of the long-term evolution.
Here we consider parameter to be small and so the above term in exp(t)
is a term of importance at large time, along with the constant term. However, the term involving exp(t) decays very rapidly and we view it to be of
little importance, that is, negligible.9 Thus we may assert that, independent
of the initial state, the system evolves so that
p(t) c1 e1 + c2 e2 exp(t)
as
t .
Now write the eigenvector e2 = 1 + 2 where 2 is a probability vector (which can always be done by suitably scaling e2 , as e2 must be orthogonal to the left-eigenvector of the the zero eigenvalue (1, 1, 1)). Here
2 = (0, 21 , 12 ) . Thus, upon rearranging the large-time form of p(t), we find
p(t) [c1 c2 exp(t)] 1 + c2 exp(t) 2
|
{z
}
|
{z
}
=s1 (t)
9
as
t .
=s2 (t)
In larger problems we hope there are a large number of negligible terms.
3.2. The metastability of quasi-stationary probability distributions
153
Figure 3.5: the trajectories of the Markov process (3.2) showing the approach to a state which is a combination of the absorbing state and a quasistationary state.
Figure 3.6: the simple two-state Markov process which models the long-term
behaviour of (3.2).
where s1 and s2 are functions of timebehaving so that ds1 /dt = +c2 exp(t) =
s2 and ds2 /dt = c2 exp(t) = s2 . To summarise, we can say that
the probability vector, p, exponentially quickly approaches a state of quasibalance
p(t) s1 1 + s2 2 as t ,
(3.4)
where s1 and s2 evolve much slower, according to

d s1
s1
0
.
=
s2
0

s
dt 2
(3.5)
Figure 3.5 shows this geometrically: the plotted trajectories of the dynamical system (3.2) demonstrate the exponentially quick approach to a state
of the form (3.4), and then the slow evolution towards the absorbing state
according to (3.5).
The pleasing interpretation of (3.4) is that s1 is the probability of being
in the absorbing state 1 , and s2 is the probability of being in the quasistationary state 2 . Furthermore, the evolution equation (3.5) is appropriate for the simple two-state Markov process illustrated in Figure 3.6, and
describes the slow ultimate absorption.
The import of all this is as follows. Based on the rationale of being able to ignore rapidly decaying transients, we have replaced the full system (3.2), with
3 degrees of freedoms, by the system (3.5), with two degrees of freedoms.
We view (3.5), in conjunction with (3.4), as a simple model or approximation of (3.2) in that we have thrown away a degrees of freedom. In
larger problems we may throw away many degrees of freedoms and derive
a considerably simplified model.
154
Figure 3.7: a schematic diagram of the steps taken to derive the low degrees
of freedom approximation to the Markov chain; also shown across the top is
the short-cut to be developed via centre manifold theory.
The big question is: how can we do this reduction in the number of degrees
of freedoms, this simplification, without all the intermediate steps which
relied heavily upon explicit exact solutions? The answer comes from centre
manifold theory and, for more general situations, invariant manifold theory.
Our aim is to develop a short route to these simplifying approximations as
illustrated in Figure 3.7; furthermore, a route that can be taken for problems
without a known exact solution, nonlinear problems for example.
3.3
Sorry:
The centre manifold emerges

Here we develop a rigorous view to justify low dimensional approximations

to the evolution of dynamical systems. The treatment is based on that
expounded by Carr (1981). However, this and other related literature were
developed to answer questions about stability; we have a different purpose
and so differ in emphasis. We aim to develop low dimensional and accurate
models of dynamics. These models are justified by an exponentially quick
collapse of all trajectories onto a low dimensional set of states; the later,
emergent, long-term evolution therein forming a low dimensional dynamical
system modelling the original.
3.3.1
Introduce some simple examples
Consider the dynamical system

x = ax3
y = y + y2 ,
Tony Roberts, 27 Aug 2009
(3.6)
3.3. The centre manifold emerges
155
0.5
0.4
0.3
0.2
0.1
M
0
-0.1
-0.2
-0.3
-0.4
-0.5
-1
-0.8
-0.6
-0.4
-0.2
0
x
0.2
0.4
0.6
0.8
Figure 3.8: trajectories of the dynamical system(3.6) showing the rapid

approach to M, y = 0 .
where a is some constant and an overdot denotes d/dt. These two equations
are uncoupled and so each may be solved independently of the other by
separation of variables. Given the initial condition that x = x0 and y = y0
at t = 0 , the solution may be written as
x0
x(t) = q
1 2ax20 t
and y(t) =
1+
1
y0

.
1 exp(t)
For the above simple dynamical system observe,10 in both the algebraic
solutions and in the trajectories, that provided y0 < 1 the system tends
exponentially quickly to the line y = 0 , labelled M in Figure 3.8. Ignoring
this rapidly decaying transient behaviour, the behaviour that emerges from
the whole system is that of one degree-of-freedom, evolving according to x =
ax3 and all the while staying on M. This long-term evolution is generally
10
See the Matlab simulation in cmeg.m

156
much slower than exponential,11 namely the algebraic evolution x = (c1

2at)1/2 . This exponential collapse of the dimensionality of the dynamics
from the full 2D state space to the 1D M really does occur very quickly:
within a time t 3 , all initial conditions in the picture have evolved to be
indistinguishable from being on M; whereas in the slow algebraic evolution,
it takes t 10000/a to reach the origin to within x = 0.01 .
Usually we concentrate our interest upon what happens near the origin in
the state space of the dynamical system. Requiring nearness to the origin
implies we will perform what is called a local analysis. However, many
locales are big enough to provide interesting and rich results. Being based
on the origin is no constraint because we move the origin to any reference
fixed point of interest. In the TaylorCouette problem the fixed point of
Couette flow is our reference. In application, we just need some fixed point
on which to anchor the analysis.
Variables are usually coupled
Suppose now that the pair of equations are coupled, viz
x = ax3 + x2 y ,
y = y + y2 + xy x3 ;
(3.7)
we cannot decide so easily what is the long-term behaviour near the origin
of this dynamical system. Linearizing about the origin we find x = 0 and
y = y and so see that approximately y is exponentially decaying, and that
x does not evolve. But this picture is not satisfactory; because, as in the
system (3.6), x is not constant but evolves algebraically.12 The nonlinear
terms in the equations must modify the too simple a picture obtained from
linearisation.
A coordinate transform simplifies By waving a magic wand (to be
explained eslewhere), I introduce a coordinate transform from x and y vari11
12
Near the origin at least.

See the Matlab simulation in cmegn.m
157
0.6
0.6
0.4
0.3
0.2
0.6
0.3
0.0
0.3
0.2
0.6
0.3
0.4
0.6
0.6
0.4
0.2
0.0
0.2
0.4
0.6
x
Figure 3.9: coordinate curves of the new (X, Y)-coordinate system that transforms the dynamical system (3.7) into the decoupled system (3.8). Labels
are corresponding coordinate values of some of the coordinate curves.
158
ables to new X and Y variables, see Figure 3.9, such that

x = X X2 Y +
and y = Y Y 2 X3 + ,
This coordinate transform is especially crafted to transform the dynamical

system (3.7) into
X = aX3 X5 + ,
Y = (1 + X 2X3 + 2X4 + )Y .
(3.8)
These new variables highlight important aspects. First, the new variable Y
must decay exponentially quickly to zero from all initial conditions in some
finite domain around X = 0 as, by continuity, the rate 1+X2X3 +2X4 +
must be negative in some finite domain around X = 0 . Thus Y does not
appear in the long term dynamics, only the dynamics of X emerges in the
long term. Secondly, after Y 0 we see that x = X , so from the X dynamics
the emergent long term dynamics are x ax3 x5 . Lastly, these dynamics
occur for original y X3 x3 which is the curved attractor seen in
numerical simulations.
Problem Such beautiful coordinate transforms are impractical in applications. the reason is that there are usually a large, often infinite, number
of exponentially decaying transients in applications. Correspondingly, there
are usually only relatively few modes that describe the long term dynamics.
It is impractical to transform a large/infinite number of transient modes
which we ultimately just set to zero, when all we want is the relatively
few emergent modes. Centre manifold theory provides an equivalent, but
economical method.
Focus only on the emergent dynamics The centre manifold theory
which we now turn to asserts that (3.7) has an exponentially attractive
curve M on which all the long-term evolution takes place (Y = 0 in Fig
ure 3.9). The curve M may be described by y = h(x), with h(x) = O x2 as
x 0 . In essence, the theory says that the linear picture is largely correct
except that it is bent by nonlinear terms as seen in Figure 3.10.
159
0.5
0.4
0.3
0.2
0.1
0
-0.1
M
-0.2
-0.3
-0.4
-0.5
-1
-0.8
-0.6
-0.4
-0.2
0
x
0.2
0.4
0.6
0.8
Figure 3.10: trajectories of the dynamical system (3.7) showing the rapid
approach to the curved centre manifold M (3.9).
160
Direct calculation shows that here M and the evolution on M are

y = h(x) x3 x4
where
as x 0 ,
x = ax + x h(x) ax x5 .
3
(3.9)
Furthermore, the theory asserts that for all solutions of the full system (3.7),
with initial point (x0 , y0 ) sufficiently near to the origin, there exists a solution, x
^(t) say, of (3.9) such that13

x(t) = x
^(t) + O et

y(t) = h(^
x(t)) + O et
as
t .
That is, equation (3.9) becomes valid exponentially quickly as a long-term,

smaller degrees of freedom description of the full system (3.7). Thus the
ode (3.9) forms a model of the original system; with fewer degrees-offreedom it is a simpler, more tractable system to handle. Further, the
ode (3.9) describes the dynamics that emerge after an initial transient
regime.
3.3.2
Eigenvalues imply existence
Consider the dynamical system in n variables

u = Lu + f(u) ,
(3.10)
where u Rn , L (n n) is a constant matrix or linear operator, and f is

a strictly nonlinear function. However, the linear operator L must have
certain additional properties: 14
no eigenvalues with positive real part;
13
We often say that the system settles onto M exponentially quickly, that is, the centre
manifold M emerges quickly.
14
These ensure that there is a linear coordinate transform, u (x, y) , such that the
linear system, u = Lu , separates into the centre modes x = Ax and the exponentially
decaying (stable) modes y = By .
161
6=()
v
v
<()
v
v
v
Figure 3.11: the spectrum of the linearized version of the dynamical system (3.10).
m eigenvalues with zero real part, 1 , . . . , m , and associated eigenvectors, e1 , . . . , em (eigenvalues repeated in the list according to their
multiplicity, and any generalised eigenvectors included);
the remaining eigenvalues, m+1 , . . . , n , have negative real part that
are bounded away from 0 by .
Thus the spectrum of the linearized problem is as shown in Figure 3.11, We
normally assume that the functions f is at least twice differentiable at the
fi
= 0 at the origin.
origin; whence f is a nonlinear function if fi = u
j
Definition 3.1 A set M Rn is said to be an invariant manifold of
the dynamical system (3.10) if for any u0 M the solution of (3.10) with
u(0) = u0 stays in M for some finite time, that is, u(t) M for 0 t <
T .15
15
Some people require the trajectory to stay in M for all time. But this seems overly
restrictive.
162
Note: in its most abstract, this definition says the invariant manifold M is
just the union of a set of trajectories of the system (3.10). But it is usually
used with some implicit properties such as smoothness, completeness or
analyticity near the origin.
For example, if f = 0 , so that the above dynamical system (3.10) is linear,
then there exists two interesting invariant manifolds:
the centre subspace Ec = span{e1 , . . . , em } (= {x}) , consisting of all
the non-decaying modes; and
the stable subspace Es = span{em+1 , . . . , en } (= {y}) , consisting of all
the exponentially decaying modes.
The centre subspace is interesting because for all solutions to the linear
problem, starting from any initial condition, tend exponentially quickly, at
least as fast as exp(t), to the centre subspace Ec . Once on Ec they
evolve according to some equation x = Gx where G is the restriction of L
to Ec . That is, the behaviour on the low dimensional (m dimensional) centre
subspace determines the long-term dynamics of the original linear system.
This linear picture is qualitatively the same as that discovered for Couette
flow exactly at the critical Reynolds number Re. There, all modes decay
except for one mode (m = 1) of axial wavenumber kc .16
As discussed informally in the previous subsection, analogous results hold
for the fully nonlinear system (3.10).
Theorem 3.2 (existence) There exists a neighbourhood U of the origin
an m dimensional invariant manifold for (3.10), M, with tangent space Ec
at the origin, in the form u = v(s) , that is locations on M are parameterized
by s. The flow on M is governed by the m dimensional dynamical system
s = Gs + g (s) ,
(3.11)
where the nonlinear function g may be determined from v, and G is the

restriction of L to Ec . Because of the nature of the eigenvalues of L this in16
Strictly speaking there are two critical modes. Why?
163
variant manifold is called a centre manifold of the system. All trajectories

which stay in U for all time belong to the centre manifold.
Definition 3.3 (slow manifold) If, as commonly occurs, the m eigenvalues of the centre subspace Ec are precisely zero, not just with zero real part,
then the centre manifold is more informatively called a slow manifold (and
Ec called the slow subspace).
Example 3.3: an exact slow manifold
Consider the dynamical system x = xy and y = y + x2 2y2 . The origin is an equilibrium.
Linearised about the origin the dynamics are x 0 and y y and
hence the linear operator has eigenvalues 0 and 1. By the existence
theorem, the system has a centre (slow) manifold through the origin.
Since the centre (slow) subspace Ec is the x-axis, as x 0, the slow
manifold may be parametrised by x. In this particularly basic example we verify that the slow manifold is y = x2 by showing that this
parabola is invariant under the dynamics. Consider the time deriva
tive d(yx2 )/dt = y2x
x = y+x2 2y2 +2x2 y = (yx2 )(12y).
Thus, somewhat incestuously, this time derivative is zero on yx2 = 0
and so for any initial condition on this parabola, the system stays on
the parabola. The parabola is an invariant manifold. Being in the
direction of the slow subspace at the origin, the parabola must be a
slow manifold.
We aim to model large scale systems with many interacting modes. The
best understood of these are partial differential equations.
Example 3.4: reaction-diffusion
Consider the reaction-diffusion pde
u
2 u
t = x2 + f(u) for some strictly nonlinear reaction f(u), that is,
f(0) = f 0 (0) = 0. Suppose this reaction-diffusion takes place on a finite interval, say [0, ] for definiteness, with insulating boundary conditions; that is, u
x = 0 at x = 0, .
Since f(0) = 0 the origin u = 0 is an equilibrium. Since the reaction is
strictly nonlinear, the pde linearises about the origin to the diffusion
164

2
u
u
pde u
t = x2 with insulating boundary conditions x = 0 at x = 0, .
Standard separation of variables shows that this system has linearly
independent solutions uk = ek t cos kx for integer k = 0, 1, 2, . . . and
eigenvalues k = k2 . Since there is one zero eigenvalue, there exists a
slow manifold tangent to the slow subspace of spatially constant solutions cos 0x. Here the dynamics are sufficiently simple that we can
assert the following: if the nonlinearity f has no explicit x dependence,
then the slow manifold that emerges is u = s(t) (constant in x) such
that s = f(s) where this evolution has just one degree of freedom, s(t),
instead of the infinite number of modes inherent in the original pde.
Example 3.5: parametrised reaction-diffusion What if we relax the

constraint that f 0 (0) = 0? Also change the boundary conditions to
fixed value (temperature/concentration) of u = 0 at x = 0, . There is
still an equilibrium at the origin u = 0. Linearised about the origin the
2 u
0
0
0
dynamics are u
t = x2 + f0 u where f0 = f (0) is some number. Separation of variables gives linearly independent modes uk = ek t sin kx
for integer k = 1, 2, 3, . . . and eigenvalues k = k2 + f00 . Several cases
arise depending upon f00 :
f00 < 1 , then all eigenvalues are negative and there is no centre
manifold;
f00 = 1 , then all eigenvalues are negative (< 3) except for 0 =
and so there is a slow manifold tangent to the slow subspace
sin x ;
f00 > 1 and not a perfect square, then most eigenvalues are negative, a few are positive, and there is no centre manifold;
f00 > 1 and a perfect square, then most eigenvalues are negative,
and one is zero so there is a centre manifold, but the system does
not satisfy our modelling requirements as a few eigenvalues are
positive.
165
2
u
Example 3.6: infinite domain diffusion Consider diffusion u
t = x2
on an infinite domain with boundary conditions that the field u be
bounded. Separation of variables gives a Fourier integral decomposition that independent modes are et+ikx for eigenvalue = k2 for,
now, all real wavenumbers k. Although there is a zero eigenvalue,
with wavenumber k = 0, there is no centre manifold as there are other
modes with eigenvalues, albeit all negative, arbitrarily close to zero.
Thus there is no clear separation of a slow centre manifold away from
the other decaying dynamics in the system.
An amazing transformation by Gene Wayne, transforming

to log-time
and straining space by = log t and = x/ t , actually discretises

the spectrum of this continuum diffusion. Then centre manifold theory applies to nonlinear variations of this basic diffusion to assure us
of the existence and relevance of similarity solutions.
Example 3.7: nonlinear diffusion

As a last example, consider the
u
nonlinear diffusion u
=
(u
)
t
x
x with insulating boundary condiu
tions x = 0 at x = 0, . Here there is a whole subspace of equilibria:
u = U = constant. Consider perturbations u 0 to each equilibria:
0
2 u 0
u(x, t) = U + u 0 (x, t). Then the linearised pde becomes u
t = U x2
0
such that u
x = 0 at x = 0, . Separation of variables gives modes
uk0 = ek t cos kx for wavenumber k = 0, 1, 2, . . . and eigenvalues k =
Uk2 . That is, provided U > 0, there is a centre (slow) manifold
about each an every equilibria. Necessarily, the equilibria with U > 0
forms at least part of the slow manifold.
Example 3.8: toy atmosphere

Lorenz (1986) proposed the following
system of five coupled equations in order to model important characteristics of atmospheric dynamics.
u = vw + bvz ,
v = uw buz ,
= uv ,
w
166

x = z ,
z = x + buv .
Linearising, see that only the x and z equations have any linear part
so there are three zero eigenvalues corresponding to the u, v and w
variables. The x and z dynamics linearise to x = z and z = x which
has eigenvalues = i. That is, all five eigenvalues have zero real
part. The entire state space is the centre manifold.
The interest in this example lies in the 3D slow manifold of u, v
and w dynamics among the relatively rapid oscillations of the x and z
variables. However, our analysis of this slow manifold is a story for
another chapter.
The centre manifold is, in some neighbourhood of the origin, at least as

differentiable as the nonlinear terms f. However, it may not be analytic
even though f is; this will be seen in some of the examples discussed later.
Also, a centre manifold need not be unique but this is of little importance.
The proof of this theorem, and indeed of the next two theorems, involves
the fixed point theorem and may be found in books by Carr (1981), Iooss
& Adelmeyer (1992) or Shilnikov et al. (1998).
All previous statements of these theorems have in essence assumed that
the dynamical system has been transformed by a change of variables to
the form
x = Ax + f1 (x, y) ,
(3.12)
y = By + f2 (x, y) ,
where x contain all the critical centre modes and y contains all the stable modes. Then the parameterization of the centre manifold is always
assumed to be s = x . As long as we are allowed quite general smooth,
albeit nonlinear, changes of coordinates, then the statements of the theorems given here are exactly equivalent to what is normally seen. I state
the theorems differently because then they are closer to what is used in
practice.
A centre manifold need not be unique. This non-uniqueness disturbs some
people (Verhulst 2005, Example 8.7, e.g.). However, upon investigating
167
examples it is readily apparent that the distinction between the various

centre manifolds is of the same order as the difference between trajectories with different initial conditions which are nonetheless approaching
each other exponentially quickly. Thus when we view the centre manifold
as forming a low degrees of freedom model of the full system, the differences between the possible centre manifolds are of the same size as those
differences between the exact solutions which we chose to ignore in the
first place. The non-uniqueness, when it arises, is irrelevant.
A very simple example is
x = x2 ,
y = y .
(3.13)
Here a centre manifold (slow manifold) is just y = 0 . However, solve the

system (3.13) exactly to find that y = C exp(1/x) for x > 0 will do
just as well. The reason is that exp(1/x) is extremely flat at the origin
so it is tangent to the centre subspace. However, its power series is the
trivial exp(1/x) 0 + 0x + 0x2 + so the power series of the centre
manifold is uniquethis is generally true. We generally seek to find the
unique power series of centre manifolds.
3.3.3
Centre manifolds emerge
A theory has only the alternative of being wrong. A model has

a third possibilityit might be right but irrelevant.
Manfred Eigen (1927)
Based on the rationale of neglecting rapidly decaying transients, our aim
is to consider (3.11) as a simple model system for the full dynamical system (3.10); simpler in the sense that it has fewer degrees of freedom, m instead of n. This will be a considerable simplification if n is large compared
with m, as often happens in practice; for example, in Couette flow n =
and m = 2 . However, we must be assured that solutions of the model (3.11)
do indeed correspond accurately to solutions of the full system (3.10).
Example 3.9:
For a terribly simple example, consider

x = xy ,
y = y ,
(3.14)
168

which has slow manifold y = 0 , x = s on which the evolution is just
s = 0 . All solutions of the model are constant s(t) = s0 for some s0 .
Whereas the exact system has solution

x(t) = x0 exp y0 (1 et ) ,
(3.15)
for which x(t) x0 ey0 (a constant) exponentially quickly as t .
As is generally the case, every solution of the full system approaches
a solution of the model, here a constant, exponentially quickly.
To show that this approach to a model solution is not obviously the case,
consider the following example.
Example 3.10:
Modify the previous system to

x = x + xy ,
y = y ,
which again has an exponentially attractive invariant manifold y = 0 ,

x = s .17 On this invariant manifold x = x with solution x = x0 et .
However, the solution of the full system is y = y0 et and thus

x(t) = x0 exp t + y0 1 et (x0 ey0 ) et x0 y0 ey0 as t .
The additional constant term in this long
time asymptote ensures that
there is generally an unavoidable O 1 discrepancy between the full
system and the low dimensional model.
The discrepancy in the evolution in the previous example occurs despite the
exponential attraction to y = 0 . However, the following theorem (Iooss &
Adelmeyer 1992, e.g.) guarantees the emergence and long term accuracy of
models based upon centre manifolds.
Theorem 3.4 (relevance) The neighbourhood U may be chosen so that
all solutions of (3.10) staying in U tend exponentially to some solution
17
y = 0 is called the unstable manifold.
169
of (3.11). That is, for all solutions u(t) U for all t 0 there exists
a solution s(t) of the model (3.11) such that
0
u(t) = v (s(t)) + O e t
as t ,
(3.16)
where 0 may be estimated as , the upper bound on the negative eigenvalues of the linear operator L.
This theorem is crucial; it asserts that for a wide variety of initial conditions
the full system decays exponentially quickly to a solution predicted by the
low degrees of freedom model. That is, the centre manifold emerges.
The trajectories u(t) have to be sufficiently small for this theorem to apply,
but in practice sufficiently small can be quite generous. For example, consider the system (3.6). If a 0 , then the origin is stable and we observe
that all trajectories with initial y(0) < 1 asymptote exponentially quickly
to the slow manifold y = 0 . Thus the entire half-plane y < 1 are initial conditions to which the conclusions of this theorem apply; the conclusions need
not just apply to some small neighbourhood of the origin. Every solution in
some finite domain is exponentially quickly modelled by the model.
In constrast, the theory of singular perturbations provides significantly less
assurance. Let the (small) parameter measure the ratio in timescales of
the decay of the fast variables (y) and the decay of the slow variables (x).
Tikhonovs theorem (Verhulst 2005, p.99, e.g.) asserts that in the limit
as 0 the solution of the full dynamics tends to the solution of the low
dimensional model in a finite time interval. Whereas the centre manifold
Relevance Theorem 3.4 asserts the exponential attractiveness on a specific
timescale, of the low dimensional model for finite (characteristic of the
size of the neighbourhood U), and for all time that the dynamics stays
within U. I contend that centre manifold methods are much more powerful
than singular perturbation methods.
Another restriction on the application of the theorem is that it only applies

to trajectories which stay within the neighbourhood of the origin. This is
nearly the same as saying the origin must be stable. However, it is clear
from the system (3.6) and its solution that even when the origin is unstable,
a > 0 , the centre manifold y = 0 is approached exponentially quickly by
a large variety of trajectories; it is just that the evolution on the centre
170
manifold pushes the solution a long way away in a finite time, here to infinity.
I contend that even if the origin is unstable, in many cases the low degrees
of freedom model is still relevant, albeit perhaps for a limited time and for
limited initial conditions.
I record an older version (Carr 1981, e.g.) of the relevance theorem as two
lemmas.
Lemma 3.5 If the origin of (3.10) is stable, then for all u(0) sufficiently
small there exists a solution s(t) of the model (3.11) such that the exponential
attraction (3.16) holds.
This follows immediately from Theorem 3.4 because if the origin is stable,
then all sufficiently small u(0) lead to trajectories that stay in U, hence
satisfies the requirements of the theorem, and so must exponentially quickly
approach a solution of the model.
Lemma 3.6 The origin of (3.10) is stable if and only if the origin of (3.11)
is stable.
This lemma requires more work to prove.
Some researchers, such as Robinson (1996), use the term asymptotic completeness to address this issue of relevance of a model.
Many want to create and use models of slow dynamics by neglecting fast
oscillations, rather than fast decay. It is straightforward to create such
models using the methods described next. However, there is no emergence
theorem to support the precise relevance of such a slow model.
Example 3.11: ignoring fast oscillations Consider the simple example
x = x3 + xy2 + xz2 , y = z , z = y .
Linearising, x is a slow variable, and y and z undergo fast oscillations.
The slow manifold, because the fast variables are here independent of
the slow x, is simply to set the fast modes to zero, y = z = 0 . Hence
the slow model is x = x3 and predicts algebraic decay to zero.
171
However, such decay is not typical for any nearby solution. Convert
y and z to radius and angle coordinates r(t) and (t) then the system
becomes
x = x3 + xr2 , r = 0 , = 1 .
Observe that solutions in the neighbourhood of the slow manifold
y = z = 0, that is r = 0 , are not quantitatively modelled, nor even
qualitatively modelled, by the slow manifold solutions: instead nearby
solutions are attracted, like ert , to one of the two finite amplitude
equilibria at x = r . The presence of fast oscillations generally causes
full solutions to drift away from predictions of the slow model.
A physical example of the previous observation is that water waves generate

drift macroscale currents that would not exist if the waves were not present.
Such wave associated currents are most noticeable along a shoreline.
The strong support of the Relevance Theorem 3.4 only applies to the emergence of the centre manifold dynamics among decaying, dissipating modes.
3.3.4
Approximately construct a centre manifold
We need to find an equation to solve which gives the centre manifold M.

Recall that the centre manifold, being invariant under the dynamics, is composed of trajectories of the original system of equations. Thus we must solve
some version of the equations.
Example 3.12:
Let us see how an example satisfies the dynamical equations. For the example, recall that for the system (3.7), namely
x = ax3 + x2 y ,
y = y + y2 + xy x3 ,
I claimed that (3.9) forms the slow manifold model, namely

y x3 x4 + (3a 1)x5
such that
x ax3 x5 .
172

To see this is a slow invariant manifold, just substitute into the full
differential equations: the rhs of the original x equation becomes

x = ax3 + x2 [x3 x4 (3a 1)x5 ] = ax3 x5 + O x6

which matches the claimed evolution to error O x6 . Similarly, the
original y equation has both sides the same to the above order of
error:

dy
lhs =
x = (3x2 4x3 )(ax3 x5 ) = 3ax5 + O x6 ,
dx
whereas its
rhs = x3 +x4 (3a1)x5 +(x3 x4 +(3a1)x5 )2 +x(x3 x4 +(3a1)x5 )x3 =

These equations are satisfied to residuals of O x6 or better. Surely
the error in the slow manifold and its evolution should be of a similar
order. In general it is.
We now deduce an equation to be solved for the centre manifold in the

general case. Obtain an equation straightforwardly by substituting the assumed relations, that u(t) = v(s(t)) where s = Gs+g(s) , into the evolution
equation (3.10) to find

v
vi
v
s by the chain rule where
=
u =
s
s
sj
v
[Gs + g (s)] by (3.10)
=
s
and thus v(s) and Gs + g(s) satisfy
Lv(s) + f (v(s)) =
v
[Gs + g (s)] .
s
(3.17)
This is the equation to be solved for the centre manifold M.

A vital extra condition is that the tangent space of M is Ec at the origin,
that is
Ec = T v(0) ,
173
where T v(s) = span{v/sj } is the tangent space of v at the point parameterized by s. More
crudely, this requires that v is quadratically near Ec :

2
v Ec + O |s| as s 0 . This condition ensures that the constructed
manifold truly contains the whole of the centre modes, and nothing but the
centre modes. Without it, the solution of (3.17) could be based on an almost arbitrary mixture of linear modes. Indeed, other invariant manifolds
of note satisfy (3.17) but are tangent to different vector subspaces as s 0 .
For example: the stable manifold has tangent space Es ; the centre-unstable
manifold has tangent space Ec Eu ; and lastly the slow manifold has tangent space E0 = span{e0j | j = 0} , that is, the slow manifold is composed
of all modes corresponding to precisely zero eigenvalues, not the real-part
zero. Most centre manifolds we consider actually will be slow manifolds.
It is typically impossible to find exact solutions to (3.17) as finding exact
solutions is nearly equivalent to solving the original system (3.10). However, in applications we may approximate M to any desired accuracy by
approximately solving (3.17).
The errors in the solution are determined by the residual of the governing
equations. For functions : Rm Rn (imagine that approximates v)
and : Rm Rm (imagine that approximates Gs + g(s)) define the
residual
Res(, ) = L(s) + f ((s))

(s) ,
(3.18)
s
and observe that M satisfies Res(v(s), Gs + g(s)) = 0 .

Theorem 3.7 (approximation) If T (0) = Ec and Res(, ) = O sp
as s 0 for some p > 1 , where
s denotes |s| then v(s) = (s) + O sp

p
and Gs + g(s) = (s) + O s as s 0 .
That is, if we can satisfy (3.17) to some order of accuracy then the centre
manifold is given to the same order of accuracy. Alternatively, the errors in
the centre manifold shape and evolution are of the same order as the residual
of the governing equation (3.17). In other words, the centre manifold and
the evolution thereon are reasonably robust.
In most cases we solve (3.17) simply by iteration.
174
Example 3.13:
Consider (3.7) and seek the slow manifold parametrised
by x, that is, y = h(x) (equivalently, x = s and y = h(s)) where
h is at least quadratic in x so that the constructed centre manifold is
tangent to Ec , the x-axis, at the origin. Then the x equation asserts
the evolution will be x = ax3 + x2 h , whence the y equation becomes
i
h h 3
ax + x2 h = h + h2 + xh x3 .
x
Rearrange so that the dominant linear term on the right-hand side is
by itself on the left-hand side:
h=
i
h h 3
ax + x2 h + h2 + xh x3 .
x
Solving by iteration starting with h(0) = 0 in the right-hand side leads

to
h(1) = x3 ,
h(2) = x3 x4 + 3ax5 + x6 3x7 ,

h(3) = x3 x4 + (3a 1)x5 + O x6 ,
and so on; h(3) was mentioned earlier.
This simple sort of iteration will work for any dynamical system in the
separated form (3.12).
The approximation theorem guarantees us that the order of the difference
between two successive iterates is the order of the error in the first of the
two iterates. For example, here we are assured that h(1) describes
the centre
4
(2)
5
manifold M with errors O x , whereas h has errors O x . Often, by
iterating in this manner we obtain corrections accurate to one higher order
in x each iteration; with symmetry we may obtain two orders of accuracy
each iteration. However, sometimes, particularly associated with generalised
eigenvectors in the centre subspace, we need two or more iterations for each
order improvement in the accuracy.
175
The evolution on the centre manifold is

h

i
x = ax3 + x2 h(1) + O x4 = x3 a x2 + O x6 .
Observe from the last line that, although the slow manifold is attractive, the
origin is unstable for a > 0 and we expect a slow evolution over long-times
to either of two fixed points at approximately s = a . Conversely a 0

solutions slowly decay, like t1/2 , to the stable origin. Such slow evolution
to whichever attractor is the ultimate destination forms the low dimensional
model of (3.7).
But, you may comment, if a > 0 then the origin is unstable and the Relevance Theorem need not applythe neighbourhood U in which we are
guranteed exponential attraction need not be big enough to contain the absorbing fixed points. Strictly this is true, but in real applications we often
have to take these liberties until theory catches up with our demands. However, here we can rescue the theorem by the neat and extremely powerful
trick described in the next section.
3.3.5
Parameters and bifurcations
If it were not for one implicit generalisation, all the above theory would be
extremely academic. After all, how many systems of interest are exactly
at critical? that is, with the specifically required spectrum? The answer is
almost none. For example, in the TaylorCouette problem it is only precisely
at the critical Reynolds number that in the linear dynamics about Couette
flow the spectrum has all eigenvalues negative except one which is zero:
for any smaller Reynolds number all eigenvalues are negative; for any larger
Reynolds number there are positive eigenvalues as well as negative and zero.
At first sight, centre manifold theory cannot be applied usefully. The issue
is one of relevance.
The requirement that the real parts of the eigenvalues be precisely zero in
order for the corresponding mode to be important in the long term evolution
is too restrictive in practice. Instead, surely modes which decay exponentially at a small or very small decay rate will be important over long times.
176
Fortunately, the application of centre manifold theory may be adapted to

cater for this situation. Furthermore, the same adaptation also caters for
exponentially growing modes provided that they grow slowly. The trick is
to treat the eigenvalues as if they really did have zero real part, but were
just perturbed by a small amount. The pitchfork bifurcation is a widespread
realisation of this trick.
A simple bifurcation
Suppose we wanted to analyse the definite system
x = 0.1 x xy
and y = y + x2 .
We recognise the equilibrium at the origin and linearise to x 0.1 x and y

y with eigenvalues 0.1 and 1. As just mentioned, centre manifold theory
does not directly apply as there are no eigenvalues with zero real part. But
simulations nonetheless show18 that there is still strong attraction to a low
dimensional manifold, and then slow evolution; exactly the characteristics
of a slow manifold model. To apply the theory, the trick is to write this
definite system as one in a wider class of systems that does have a slow
manifold.
Generalise the previous system by introducing a parameter a that measures
the small effects. Here, embed the previous system as the a = 0.1 case of
the prototype bifurcation system
x = ax xy
and y = y + x2 ,
(3.19)
where a is a parameter which in application will be some value such as

a = 0.1 .19 The equilibria, or fixed points, of the dynamical system are found
by solving x = ax xy = 0 and y = y + x2 = 0 . This pair of simultaneous
equations has solutions x = 0 and y = 0 , or if a > 0 , x = a and

y = a . These are the static solutions, or fixed points, but what about the
18
19
See Matlab simulation cmpitch.m

In the TaylorCouette problem a = Re Rec .
177
dynamicsstability for instance? Of especial interest is when a crosses 0 as

then the number of equilibria change, that is, a bifurcation occurs.
The linearized version of the equations are x = ax and y = y which has
eigenvalues of a and 1. Since none of the eigenvalues are zero, we still
cannot apply centre manifold theory.
For this prototype system the mathematical trick to rescue the application
of centre manifold theory is the following. Consider the three dimensional
dynamical system
a = 0
x = ax xy
y = y + x2 .
The equation a = 0 implies that a is a fixed constant parameter and so this
system describes exactly the same dynamics as the previous system (3.19).
However, the linearised problem is a = 0 , x = 0 , and y = y ; the ax term in
the original x equation becomes a nonlinear term by this trick! This system
of linear equations has two 0 eigenvalues and one negative eigenvalue of 1;
thus we may and do apply centre manifold theory to find the slow manifold
of the nonlinear system.
A more sophisticated version of this trick was used by Arneodo et al.
(1985b) to prove the existence of chaos in a real fluid system. Knowing
that chaotic dynamics require three dimensional state space, they sought
a physical system with a slow manifold with three dimensions. They thus
imagined a fluid system with three material parameters representing three
competing phsyical instabilities. At a critical value of these three parameters there are three critical modes in the slow manifold (together with
the three dimensions of the parameter space made a six dimensional slow
manifold, but only three were of dynamical modes, the other dimensions
were of the three parameters). Using the three parameters to unfold the
dynamics they were able to show that chaotic dynamics existed arbitrarily close to the critical point. Thus the relevance theorem applied and
guaranteed the existence of chaos.
Let us seek a slow centre manifold of the form (a, x, y) = (a, x, h(a, x)). The
slow manifold is a two dimensional surface in the axy-space, as shown in FigTony Roberts, 27 Aug 2009
178
3
2
1
0
1.0
0.5
0.6
0.0
0.2
x
0.2
0.6
a
1.0
0.5
Figure 3.12: approximate centre manifold of (3.19) in axy-space. Also superimposed is the pitchfork of fixed points.
179
ure 3.12, because there are two zero eigenvalues in the linearized equations.
Substituting this form we deduce that h must satisfy
h = x2
h
x(a h) .
x
Solving this iteratively, for simplicity, leads to approximations

h(0) = 0
h(1) = x2
h(2) = x2 2ax2 + 2x4 .

Now h(2) h(1) = 2ax2 +2x4 = O |(a, x)|3 as (a, s) 0 , andtherefore by
Theorem 3.7, the slow manifold y = h(a, x) = x2 + O |(a, x)|3 . Similarly,

h(3) h(2) = O |(a, x)|4 and so the slow manifold is better described by

y = h(a, x) = (1 2a)x2 + O |(a, x)|4 ,
as shown in Figure 3.12.
Observe that the slow manifold is local to the origin in the ax-plane. In particular, it is only valid for small a, that is, near the bifurcation. Figure 3.14
(left) shows the bifurcation of the equilibria in the ax-plane and a schematic
of the possible domain of validity about the origin.20
This slow manifold emerges exponentially quickly, something like exp(t);
once on the slow manifold the system evolves according to 21
a = 0
x = ax xh ax (1 2a)x3 .
Note that the parameter a remains as a constant. Thus from this Landau
equation for x we readily discern that if a 0 then the origin (x, y) = (0, 0)
is stable and hence is the attractor for large time. Contrariwise, if a > 0 ,
20
The finite neighbourhood U of attraction to the slow manifold extends out into the
y direction, but for simplicity Figure 3.14 does not attempt to plot the y structure.
21
A Landau equation for the amplitude x = s .
180

0.8
0.6
0.4
0.2
0.0
0.2
0.4
0.6
1.0 0.8 0.6 0.4 0.2
0.0
0.2
0.4
0.6
0.8
1.0
x
Figure 3.13: X and Y coordinate curves in the xy-plane that simplify the dynamics of the example system (3.19) for parameter a = 0.1 . The particular
coordinate curves plotted are 0.5 : 0.1 : 0.5 .
then the origin is unstable, and the solutions are attracted to one of the
finite amplitude equilibria located at x = a .

One subtlety is that although the origin in the xy-plane may not be stable,
depending upon the parameter a, the analysis was actually done in the axyspace. Further, the origin in the in the axy-space is stable; a trajectory
started near the origin in the axy-space stays near the origin for all time
if it starts within a distance of the origin it will stay within a distance
of . Thus, despite the possible lack of stability of the origin in the xyplane, Theorem 3.4 (relevance) still applies and our preceding claims that
the slow manifold model emerges exponentially quickly is indeed a rigorous
result. We are assured that the dynamics near the bifurcation are correctly
modelled.
181
A coordinate transform establishes domain of attraction For simple systems like (3.19), normal form coordinate transforms illustrate more
details. By arguments developed elsewhere, consider the system (3.19) in
new variables X and Y where, in an asymptotic expansion,
x = X + XY + 12 XY 2 + 16 XY 3 + 2X3 Y + ,
y = Y + (1 2a + 4a2 )X2 2X2 Y 2 + 2X4 + .
(3.20)
Figure 3.13 plots the coordinate curves of the XY-system. Some tedious algebra developed elsewhere shows that in these new variables the system (3.19)
becomes
X = aX (1 2a + 4a2 )X3 2X5 + ,
Y = (1 + 2X2 + 4X4 + )Y .
(3.21)
See the magical result that the X equation in (3.21) is independent of Y

and so gives the evolution of the slow variable for all time. The Y equation
in (3.21) then predicts the exponentially quick decay to the emergent slow
manifold Y = 0. However, this decay only occurs for slow variable X such
that the rate 1+2X2 +4X4 + is negative. We cannot be definite because
we do not know this asymptotic expansion exactly, but say this rate is
negative for |X| < 1/2 as then at least the known part 1+2X2 +4X4 < 1/4 .
Figure 3.13 plots the coordinate transform (3.20) for |X| < 1/2 so we are
reasonably assured that any initial conditions within the plotted region are
exponentially quickly attracted to the slow manifold.22 The plot is also
limited to |Y| < 1/2 as the asymptotics are local to the origin and the
coordinate transform appears to denegerate for larger Y, as well as larger X.
This special coordinate transform provides good evidence of the finite extent
of the neighbourhood U referred to in the centre manifold theorems.
Alternative methods are equivalent The above local analysis of the
pitchfork bifurcation is the best one can do. However one may twist and
22
Initial conditions a long way outside this region are also attracted to the slow manifold.
However, their transient dynamics are not simple decay, they are complicated. Thus their
attraction to the slow manifold lies outside this theory.
182
turn the mathematics, the predictions and domain are essentially the same
as the following two examples indicate.
Example 3.14: equivalent global manifold As in many other asymptotic methods, one might choose to scale the dependent variables, here
x and y, to obtain a global model. Lets try it, focussing on just
a 0 for simplicity. Here the natural scaling is to change variables to
X(t) and Y(t) where x = aX(t) and y = aY(t). Substitute into (3.19)
and cancel factors of a and a to derive

X = a(X XY)
and Y = Y + X2 .
Now parameter a is small near the bifurcation, so adjoin the trivial

ode a = 0. Then consider this system in the extended (a, X, Y) space
by the recipe of finding the equilibria, linearising, then appealing to
centre manifold theory. There is a set of equilibria: X = s , Y =
s2 and a = 0 , that is, the set (0, s, s2 ).23 Linearise about each of
these equilibria by, for example, substituting (a, X, Y) = (0 + (t), s +
(t), s2 + (t)) and neglecting products of small quantities , and
to find the Jacobian is the linear operator (matrix)
0
0
0
0 .
L = s s3 0
0
2s 1
Being a triangular matrix the eigenvalues are along the diagonal, namely
0 (twice) and 1: that is, at each equilibria there is a slow manifold.
The finite neighbourhoods of validity along the set of equilibria overlap and merge to form a globally valid slow manifold in X; the finite
neighbourhoods in the direction are still just local in a. Being global
in X sounds wonderful, surely we have gained something. But alas no.

The slow manifold will be Y = X2 + O a so that the evolution is

X = a(X X3 ) + O a2 which as before predicts the bifurcation to
There is also the equilibria (a, 0, 0) but these have eigenvalues {0, a, 1} which only
have a nontrivial slow manifold in the case a = 0 that is encompassed by the body of this
example.
23
183
1.5
1.5
1.0
1.0
0.5
0.5
0.0
0.0
0.5
0.5
1.0
1.0
1.5
2.01.51.00.50.0 0.5 1.0 1.5 2.0
1.5
2.01.51.00.50.0
p0.5 1.0 1.5 2.0
X = x/
|a|
Figure 3.14: schematic diagram of the finite domain U of validity of the slow
manifold model of the bifurcation in the system (3.19): left, shows the local
domain of the pitchfork appropriate to straightforward analysis; right, shows
the same global domain of the pitchfork when scaled as in Example 3.14.
finite amplitude equilibria. The domain of validity is global in X,

which nicely encompasses the predicted finite amplitude equilibria, but
typically the width of the domain decreases as X increases, as shown
schematically in the right panel of Figure 3.14. The shaded domain is
local in parameter a and global in X as required. But this domain is
precisely the same domain as the local domain shaded in the left panel
of the straightforward unscaled analysis. The two approaches, scaling
or unscaled, are equivalent.
Example 3.15: singular perturbation In many applications one recognises that some physical processes are much more rapid than others;
for example, some chemical reaction may take place on microseconds
whereas other interesting reactions take place on milliseconds. The
singular perturbation approach is to replace the large rates of the fast
dynamics by a parameter such as 1/. Then one deduces a model in
the limit of small parameter . Lets do the equivalent here.
Here the fast rates are the order 1 rates of the y equation in the
184
1.5
1.0
0.5
0.0
1.50
0.50
0.50
a
1.50
Figure 3.15: schematic diagram of the finite domain U, below the curved
surface, of validity of the singularly perturbed version of the bifurcation
in (3.19). The physically relevant = 1 (shown) results in a finite domain
of physical validity in the ax-plane. For reference, the pitchfork bifurcation
is shown in the ax-plane.
185
system (3.19). So the singular perturbation form of (3.19) is

x = ax xy
and y =
1
(y + x2 ),

to be analysed in the limit of small . The physically relevant value

is = 1 . Here perform an equivalent analysis via regularising the
system by changing time to where t = . Then the above system
becomes
d
= 0,
d
dx
= (ax xy)
d
and
dy
= y + x2 .
d
Analogous to the previous example, this system has a manifold of

equilibria (, x, y) = (0, s, s2 ). Almost as before, about each of these
equilibria the Jacobian is the linear operator (matrix)
0
0
0
0 .
L = as s3 0
0
2s 1
The same conclusions follow: there exists a relevant slow manifold,
approximately y x2 , globally valid in x and local in . A difference
here is that this existence and relevance is true for all parameters a.
Figure 3.15 schematically shows this global domain of validity of this
singular perturbation model. But the physically relevant parameter
is = 1 , shown by the flat plane in Figure 3.15: the intersection of
this physical plane with the global domain of singular perturbations
results in the same finite domain of physical validity in the ax-plane
as determined earlier.
The finite domain of validity of the centre manifold theorems arise from the
intrinsic dynamics of the system. Thus expect that the mystic incantations
of various methodologies are not going magically change the validity of the
modelling when evaluated at corresponding physical parameters.
186
Computer algebra iteration

Computer algebra readily implements iterative algorithms such as the previous. lets develop such an algorithm here for the specific example (3.19).
Algorithm 3.1 outlines the generic iteration for dynamical systems in the
special separated form of (3.19).
Algorithm 3.1 outline of the general iteration to construct a centre manifold model by iteration.
1: preliminaries;
2: initial linear approximation;
3: repeat
4:
compute residual;
5:
correct the centre manifold;
6: until residual is small enough.
I emphasise that the algorithm outlined here only works when the critical
modes and the decaying modes24 have been organised into linearly separate
variables, usually denoted x and y. The following subsection deals with
more usual case where this separation is either inconvenient, awkward or
almost impossible.
Complete details of a reduce program for the particular example (3.23)
follows. As will be seen in much more detail later, the reason for using reduce is that it has excellent pattern matching and replacement capabilities
through its operator and let statements.
1. The preliminaries mainly involve telling reduce that the variable
called x is to depend upon time (t) and that whenever reduce sees
the derivative of x with respect to time (df(x,t)), it is to replace
it with the corresponding right-hand side of the differential equation.
Thus
depend x,t;
let df(x,t)=>a*x-x*y;
24
The master and slaved variables of Hakens synergetics Haken (1983, 1996).
187
2. The usual initial linear approximation to the shape of the slow manifold is simply the tangent approximation at the origin, namely that
y:=0;
3. Now iterate in a loop. Control the truncation of the asymptotic approximation by telling reduce to discard any factor in a2 or higher
and any factor in x4 or higher; thus all expressions are computed to
an error of O a2 , x4 .25
let {a^2=>0, x^4=>0};
repeat begin
. . .
end until res=0;
Within the above loop:
(a) The y equation must be satisfied by driving its residual to zero.
For whatever approximation y contains, since reduce knows how
x depends upon time, the residual is computed as
res:=df(y,t)+y-x^2;
(b) Then, because of the simplicity of this example, the correction to
the shape of the slow manifold is simply
y:=y-res;
Executing this program recomputes the results determined earlier by hand.
Of course with computer algebra one may partake in an orgy of computation
just for the fun of it. Here we compute the asymptotic expressions to excruciatingly high-order by changing the order at which terms are discarded.
For example, using let {a=>0,x^19=>0}; we get the computer to tell us
y = x2 + 2x4 + 12x6 + 112x8 + 1, 360x10 + 19, 872x12 + 335, 104x14

+ 6, 359, 040x16 + 133, 560, 576x18 + O x20 , a .
25
reduce is precisely literal in how it matches its patterns except for this one case of
the pattern of a simple variable raised to some power being replaced by zero. In this case
it also replaces all higher powers by zero.
188
Evidently, this is a divergent power series in x. Such divergence is typical.

Thus we have to be very careful in the use of these low dimensional models.
Typically, the best model is some low order truncation of such asymptotic
series. Although formally not the most accurate, a low order truncation
is generally more widely applicable. Due to the divergence, seeking higher
accuracy often leads to a smaller domain of validity.
Approximation may be more flexible
Parameters are extremely important in application of centre manifold theory.
There exists a useful approximation theorem which is more specialised to
this case. Consider the general dynamical system in ` + n variables:
= 0 and u = Lu + f(, u) ,
(3.22)
where
is a vector of ` parameters;
L is independent of the parameters and u and has the same eigenstructure as before;
the nonlinear terms f are quadratic at the origin of the parametervariable space, (, u).
Clearly, this extended system satisfies the requirements for the existence of
a centre manifold. Seeking the centre manifold in the form
u = v(, s)
where s = G + g(, s) ,
we use the following generalised theorem to test the accuracy of approximations (, s) and (, s), (Li 1999, Chapt. 2).
Theorem 3.8 (approximation) If T (0, 0) = R` Ec and Res(, ) =
O q + sp as (, s) 0 for some p, q > 1 (where Res is as before and
and s denote || and |s| respectively), then
v(, s) = (, s) + O q + sp

and Gs + g(, s) = (, s) + O q + sp as (, s) 0 .

The equivalent statement for errors O q , sp is also true.
189
Note that the order notation has the following meaning.

A term m sn = O p , sq iff either m p or n q . In other words
O p , sq is a shorthand for terms O p + O sq .

A term m sn = O p + sq iff m/p + n/q 1 . This comes from the
definition of O by considering when m sn /(p + sq ) is bounded as
(, s) 0 .
Example 3.16: pitchfork bifurcation continued
residual is h(2) h(1) = 2s2 + 2s4 .
In this example, the
Because the s2 term in the residual is cubic, we earlier concluded

the error in the slow manifold M is O |(, s)|3 .
But wemay also observe that the two terms in the residual are
O , s4 , and hence this
theorem now asserts the error in the slow
4
manifold M is O , s .
Continuing, we may
also observe that the two terms in the residual are O 2 + s4 , and hence this theorem now asserts the error
in the slow manifold M is correspondingly O 2 + s4 . Consequently, for example, there can be no 0 s3 term in Ma stronger
result than claimed earlier.
All of the above are valid error statements. Choose whichever one you
like for your purposes.
As you will see, in using computer algebra we usually find it most convenient
to work to residuals and errors O p , sq .
3.3.6
Summary and exercises
Current centre manifold theorems support the construction of low dimensional models of dynamical systems. The existence of a model is based
upon the structure of the eigenvalues (the spectrum) of an equilibrium. The
190
relevance theorem ensures that the model is valid apart from initial transients. Approximations can be found so straightforwardly that we proceed
to program computers to handle most of the messy details.
One apparent restriction is that the theorems are local to the anchoring fixed
point. However, in applications sufficiently small may be quite generous
in size. Importantly, the theory guarantees the existence and relevance of
the model for all time in a finite sized domain; in contrast, other methodologies only assert properties for a finite time and often only with some
uncontrollable error.
Exercise 3.17: A slow manifold
Consider
x = xy ,
y = 2y + z + x2 ,
z = y z + x2 .
Deduce that there exists a one dimensional slow manifold: y
2x2 and z 3x2 .
What are the next order corrections to the shape of the slow
manifold?
What is the corresponding evolution on the slow manifold? Does
theory absolutely guarantee that this 1D model is valid exponentially quickly?
Exercise 3.18: Uncover the instability Consider the dynamical system

x = xy x3 and y = y + 2x2 .
1. Argue for the existence of a slow manifold tangent to y = 0.
2. Determine the approximate shape of the slow manifold and justify
the accuracy of your approximation.
3. Hence determine a one dimensional model for the dynamics near
the origin. Does theory justify the use of your model?
191
4. To model these dynamics badly, one might argue that simply

substituting y = 0 into the x equation would suffice. If you were
to do this, what qualitatively wrong prediction would you make
about the dynamics near the origin?
Exercise 3.19: explore theory

The purpose of this exercise is to explore how the centre manifold theorems give different support to low
dimensional models depending upon how your establish the linear basis of the modelling. Consider the two equivalent dynamical systems
x = ax3 + x2 y ,
y = y + y2 + xy x3 ,
and
a = 0 ,
x = ax3 + x2 y ,
y = y + y2 + xy x3 .
Write and run a reduce program to construct approximations to the
slow manifolds of these two systems. Compare and contrast the assurances the three centre manifold theorems give to the two slow manifold
models.
Exercise 3.20: Centre manifold theory triumphs

Consider the bifurcation that occurs at the origin as increases through 0 to small
positive values in the following dynamical system:
x = x + x3 xy ,
y = y + x2 + y2 .
Then argue the following.
192

1. Deduce there exists a slow
manifold on which the evolution is
x = x x5 + O 2 + x6 . Hence argue that theory guarantees
the predictions of this model that there exist stable fixed points
at x 1/4 for small enough .
2. Simple projection onto the slow subspace (analogous to crosssectional averaging) fails because substituting y = 0 into the
x equation predicts unbounded explosive growth.
3. The method of multiple scales fails because when you substitute
the appropriately scaled variables, x = X(T ) , y = Y(T ) with

T = t the slow time, and neglect all but the leading order terms
in each equation, then the model dX/dT = X , or x = x , predicts
unbounded exponential growth.26
Exercise 3.21: instability at higher order

Now explore an example
that shows the systematic nature of centre manifold theory is essential.
Consider the three dimensional system
x = y ,
y = xz ,
z = z + x2 + xy .
1. Linearise the system and deduce it has a two dimensional slow
manifold, with z being a quickly decaying variable.
2. The adiabatic approximation is simply to assume one can set
z = 0 and hence deduce z x2 + xy . Always be wary of the
adiabatic approximation.27 Let us see why: define the energy
26
This failure can be avoided, but one has to be a mathematical contortionist in order
to do so.
27
Unfortunately and confusingly, different people adopt different naming conventions.
For example, Verhulst (2005) [8.6] uses the term slow manifold to mean the adiabatic
manifold obtained by simply setting to zero the derivatives of the rapidly variables.
` Consequently, all slow manifold models of Verhulst (2005) have a finite error, O , which
is hard to reduce because of the base adiabatic approximation. Be wary of the possibility
of confusion between slow manifolds and adiabatic manifolds.
3.4. Construct slow centre manifolds iteratively
193
functional E = x4 + 2y2 then its rate of change in time

dE
= 4x3 x + 4yy = 4x3 y 4xyz ;
dt
which under the adiabatic approximation becomes
dE
4x3 y 4xy(x2 + xy) = 4x2 y2 < 0
dt
all the time except for the isolated times when x = 0 or y = 0 .
Hence the adiabatic approximation predicts that the energy E
always decreases and thus the origin must be an attracting stable
equilibrium. But this is not so.
3. Use iteration to find the slow manifold is

z = x2 xy + O x4 + y2 .
Consequently deduce that the energy E actually increases, at least
for small x and y, and so the origin must be unstable.
3.4
Construct slow centre manifolds iteratively
Warning:
In previous examples of the application of centre manifold theory it is

straightforward to organise an iterative procedure to approximate the centre
manifold. In practise, the approximation process is more involved and various researchers have devised a variety of schemes, many based on asymptotic
power series. I recommend an iterative approach based upon reducing the
residuals of the governing differential equations. Importantly, the approach
is coordinate free: in any application the analysis reflects the dynamics, not
any particular basis we may choose to describe those dynamics.
This section develops a flexible iterative algorithm, eminently suitable for
computer algebra and based upon the centre manifold theorems, for deriving
194
low dimensional models of general dynamical systems. First, we investigate

the modelling of a relatively simple dynamical system, a modified Burgers
equation, and introduce the basic concepts of the iteration scheme. A computer algebra implementation follows. Lastly, we explore the algorithm as
applied to dynamical systems of the general form (3.10).
3.4.1
Burgers pitchfork
Consider the following variation of Burgers equation featuring growth, (1 +

)u, nonlinearity, uux , and dissipation, uxx :
u
u
2 u
= u
+ (1 + )u + 2 ,
t
x
x
u(0) = u() = 0 ,
(3.23)
for some field u(x, t). View this as an infinite dimensional dynamical system,
the state space being the set of all functions u(x) on [0, ].
For all values of the parameter there is a fixed point at the origin, that is,
a trivial equilibrium state is u = 0. The linearisation of the equation about
this equilibrium, namely ut = (1 + )u + uxx , has constant coefficients
in x and t. Hence it has the trigonometric modes sin kx with associated
eigenvalues k = 1 k2 + for wavenumbers k = 1, 2, . . .. Thus the origin
u = 0 becomes unstable as crosses zero, because the k = 1 mode, sin x,
begins to grow exponentially, and the system undergoes a bifurcation.
To find the details of this pitchfork bifurcation is a straightforward task for
centre manifold theory. Linearly, exactly at critical, = 0, all modes decay
exponentially quickly except for the critical mode sin x; it has a zero decay
rate and therefore is long lasting; by the Existence Theorem 3.2 we are assured that there exists a slow manifold. Nonlinearly, and for and u(x)
near 0, all modes decay exponentially except for the critical mode which
slowly evolves. Thus, neglecting the exponentially decaying transients, we
accurately model the dynamics solely in terms of the evolution of the amplitude of the sin x mode; define a to be its amplitude. By the Relevance
Theorem 3.4, after appending

= 0,
t
195
expect the evolution of a in time to form an accurate one dimensional model

of the original infinite dimensional dynamical system (3.23).
The first stage is to identify a linear approximation to the slow manifold and
the evolution thereon. This is obtained from the critical eigenvector (mode)
corresponding to the zero eigenvalue. Here this is
u(x, t) a sin x such that a 0 ,
(3.24)
as I just defined a to measure the amplitude of the mode.

The second stage is to seek iterative improvements to the description of the
slow manifold and the low dimensional evolution thereon. Suppose that at
one stage of the iteration we have the approximate model
u v(a, )
(a, ) ;
such that a g
approximate because the residual of the governing differential equation (3.23)

, ) =
Res (v, g
=
u
u
2 u
+u
(1 + )u 2
t
x
x
v 2 v
v
(1 + )v + v
g
.
a
x x2
(3.25)
For example, in the first iteration, starting from the initial approximation (3.24), the Res = a sin xa2 sin x cosx . In any iteration the residual
is of some magnitude, say Res = O p + aq , for some exponents p and q.
The aim of each iteration is to improve the residual (increase p and q) so
that, by the Approximation Theorem, we improve the accuracy of the model.
We seek to find small corrections, indicated by primes, so that
u v(a, ) + v 0 (a, )
(a, ) + g 0 (a, ) ,
such that a g
is a better approximation to the slow manifold and the evolution thereon.

Substituting the above into the governing differential equation (3.23), and
using the chain rule for time derivatives, leads to
v 0 v 0
v 0 0
v
+
+
g
g +
g
g
a
a
a
a
196

= (1 + )v v
v 2 v
v 0
v
v 0 2 v 0
+ 2 + (1 + )v 0 v 0
v
v0
+
,
x x
x
x
x
x2
that is,
, )+
Res (v, g
v 0 0
v
v 0
v 0 2 v 0
v 0 v 0
+
g +
g
g = (1+)v 0 v 0 v
v 0
+
.
a
a
a
x
x
x x2
It is impossible to solve this for the perfect corrections in one step. We seek
an approximate equation for the corrections of O p + aq by the following.
1. Ignore products of corrections (primed quantities) because they will
be much smaller, O 2p + a2q , than the sought corrections. Then,
for example, in the first iteration we would like to solve
Res + sin x g 0 = (1 + )v 0 a cos x v 0 a sin x
v 0 2 v 0
+
.
x
x2
But such an equation is still too difficult for analytic solution in general
as it involves the variables a and in its coefficients of the unknown
corrections v 0 .
2. Instead, also recognise that near the anchoring fixed point at the
origin, both a and are small. Thus terms such as v 0 and a cos x v 0
are small in comparison to v 0 terms and may be neglected to lead to
v0 +
2 v 0
= sin x g 0 + Res .
x2
More generally, wherever tilde quantities multiply a correction factor,

then replace the tilde quantities by their zeroth order approximation,
0 (this introduces errors O p+1 +
v/a
sin x, v 0 and g
q+1
a
).
In a first iteration from the linear approximation (3.24) this is
v0 +
2 v 0
1
= g 0 sin x a sin x + a2 sin 2x .
2
x
2
0 , with boundary
We wish to solve such equations for v 0 . However, v 0 + vxx
conditions v 0 (0) = v 0 () = 0 , is singular as the critical mode, sin x, is
197
always a homogeneous solution. Thus we have to put the right-hand side

into the range of the operator 1 + xx before we can find v 0 . Here this is
easily done by choosing g 0 = a, called the solvability condition. Having
made that choice, then the ode v 0 + v 0 xx = 21 a2 sin 2x has the solution
v 0 = 16 a2 sin 2x obtained by the method of undetermined coefficients (just
trying v 0 = A sin 2x). Thus after the first iteration we deduce u a sin x
1 2
6 a sin 2x, which shows the nonlinear steepening/flattening of negative /
positive slopes, and that the evolution is a a , which exhibits the loss of
stability of the fixed point a = 0 as becomes positive.
Further iterations in the example lead to the slow manifold being given by
u = a sin x

1 3 2
1
a sin 2x + a3 sin 3x + O 2 + a4 ,
6
32
(3.26)
on which the system evolves according to (a Landau equation)

a = a

1 3
a + O 2 + a4 .
12
(3.27)
The Relevance Theorem 3.4 assures us (as = a = 0 is a stable fixed

point) that this one dimensional model of the original infinite dimensional
dynamical system (3.23), is valid exponentially quickly in time. From the
model (3.27), for example, we deduce the quantitative
shape of the pitchfork
bifurcation: there are stable fixed points at a 2 3. Physically, these
fixed points represent a balance between the nonlinear steepening of the
uux term, and the dissipation of uxx .
3.4.2
Computer algebra implementation
A principal reason for adopting this approach is because it is simply and

reliably implemented in computer algebra. Based upon the above derivation,
Algorithm 3.2 gives the general outline of the requisite iteration.
Complete details of a reduce program for the particular example (3.23)
follows.28 Again, the reason for using reduce is that it has excellent pat28
See burger.red
198
Algorithm 3.2 outline of the general iteration to construct a centre manifold model.
1: preliminaries;
2: initial linear approximation;
3: repeat
4:
compute residual;
5:
find solvability condition;
6:
compute correction to the slow manifold;
7:
update approximations;
8: until residual is small enough.
tern matching and replacement capabilities through its operator and let
statements.
1. The preliminaries are the following.
Improve the appearance of the reduce printed output.
on div; off allfac; on revpri; factor a;
Define the operator linv to act as the inverse of L:
let linv(sin(~k*x),x) => sin(k*x)/(1-k^2);
declaring it linear tells reduce to expand sums and products in the first argument and to only leave functions of the
second argument inside the operator, for example, linv(a sin x+
2a2 sin 2x,x) is expanded to
alinv(sin x,x)+2a2 linv(sin 2x,x);
the let statement defines the action of the operator as the
1
0 = sin kx, namely v 0 =
solution to v 0 + vxx
sin kx, the
1k2
tilde before the k on the left-hand side matches any pattern
(no action is defined for the singular case k = 1 because the
pattern sin(~k*x) does not match sin(x)any appearance
of linv(sin(x),x) usefully signals an error).
199
Establish that the parametric variable a is to firstly depend upon

time, as we use a as the time dependent amplitude in the model,
and secondly that time derivatives of a, df(a,t), are to be replaced by the value of g, at the time of replacement, as g is
to store the current approximate model evolution equation such
as (3.27):
depend a,t;
let df(a,t) => g;
2. Assign the linear approximation (3.24) of the slow manifold to be the
initial value of the variables u and g.
u:=a*sin(x); g:=0;
3. Performs the iterations in a loop. Control the truncation of the asymptotic approximation by telling reduce to discard any factor in 2 or
higher and any factor in a4 or
higher; thus all expressions are com2
4
puted to an error of O , a .
let {eps^2=>0, a^4=>0};
repeat begin
. . .
end until res=0;
Within the above loop:
(a) Compute the residual:
res:=df(u,t)-(1+eps)*u+u*df(u,x)-df(u,x,x);
write res:=trigsimp(res,combine);
Observe how it is a very direct translation of the governing equation (3.23) into reduce symbols, a user of this approach only
has to implement the governing equations, all the messy details
of the asymptotic expansions are dealt with by the computer algebra engine. Like most computer algebra engines, the products of
trigonometric terms are not by default linearised, so here explicitly combine products of trigonometric terms using the trigsimp
200

function as shown.
(b) The solvability condition is to eliminate any component in sin x
in the right-hand side by choosing the correction to g (In reduce
the where operator has lower precedence than assignment (:=)
and thus the parentheses are necessary. Until I realised this and
put in the parentheses it caused me much grief because the where
replacements would print as if they were done, but would not
actually affect gd !):
gd:= (-res where {sin(x)=>1, sin(~n*x)=>0});
or alternatively computed as
gd:=-coeffn(res,sin(x),1);
(c) Solves for the correction to u and update the current approximation:
write u:=u+linv(res+sin(x)*gd,x);
write g:=g+gd;
The program could be used to derive high-order effects in a or simply by

increasing the order of amplitude factors which are discarded. Computing
to high-order in , by letting eps^10=>0 for example, indicates that
a = a

a3
+ O a5 .
12(1 + /3)
Completely different dynamical systems with the same linear structure may
be analysed simply by changing the computation of the residual.
By way of comparison, Rand & Armbruster (1987) macsyma code
[pp.2734] for constructing the slow manifold of a finite-dimensional dynamical system, based upon power series manipulation, uses 53 lines of
active code (although some are for input of the dynamical equations)
whereas the above algorithm has only 14 lines of active code.
3.4.3
201
The general iteration scheme for slow manifolds
Now consider a general dynamical systems in the form

u = Lu + f(u, ) ,
(3.28)
where as usual: u(t) is the evolving state vector; L is a linear operator

whose spectrum, as required by centre manifold theory, is discrete and separates into eigenvalues of zero real-part, the critical eigenvalues, and eigenvalues with strictly negative real-part; R` is a vector of ` parameters;
and f is a function which is strictly nonlinear when considered as a function
in u and together. The aim is to find a low dimensional model s = g(s, ),
for the evolution of the m amplitudes s of the critical modes: s can be
any reasonable measure of the amplitude of the critical modes; you choose
the physical meaning of s as best suits the system. These low dimensional
dynamics occur on the exponentially attractive centre manifold described
parametrically as u = v(s, ).
However, in this chapter we do not consider dynamical systems with pure
imaginary eigenvalues, i 6= 0, as the analysis is significantly more complicated. Here we restrict our attention to slow manifolds based on modes with
purely zero eigenvalues.
The first stage is always to identify the m critical modes, that is, those
associated with the zero eigenvalues; these are necessary in order to project
the linear dynamics and nonlinear perturbations onto the slow modes of
interest. They may be found from the nontrivial solutions, ej , of Le = 0; in
general we need the critical slow eigenspace, E0 , and so may need to find all
the generalised eigen-modes. Then, in terms of modal amplitudes sj , a linear
approximation to the slow manifold and the evolution thereon is simply
X
u(t)
ej sj = Es such that s Gs ,
(3.29)
j
where the columns of E = [ej ] span the slow eigenspace E0 , and where G
may be chosen in Jordan form in the case of generalised eigenvectors; G is
zero if there are no generalised eigenvectors. In order to model the nonlinear
202
6Res
``
b
`
a
ba
a
bb
bb
b
b
c
b
c
cb
@bb
pb b
@
p b bL
@
p eb b
p
b
p
e bb b
p
p
e sM bbbbp
p
p
b
e
b
p
b
p
e
b e
p
b @
p
b
p
b@
@ pp
b
c
b
c
c
, g
Figure 3.16: schematic diagram of the iteration to approximate the shape

of a slow manifold, represented by M. The straight line extrapolation represents the linear operator L acting upon the current residuals Res. Each
iteration typically improves the accuracy by a fixed amount, usually an extra
order in a multinomial asymptotic expansion.
203
dynamics this linear approximation needs to be modified by the nonlinear

effects.
Figure 3.16 shows the concept of the iterative scheme.29 Evaluating the
and g
, is from M.
residual characterises how far a given approximation, v
Then solving Lv 0 = Res for a correction v 0 in essence uses the linear dynamics about the fixed point to determine a correction in order to get closer
to M. When the linear dynamics about the fixed point are close enough to
the dynamics about any point on M, then the iteration should converge. In
the schematic Figure 3.16, this is equivalent to requiring that the slope of
= 0.
the residual curve near M is roughly that near v
The second stage is to seek iterative improvements to a given level of description of the slow manifold and the low dimensional evolution thereon.
The aim is to find a low dimensional description which satisfies the nonlinear
dynamical equation (3.28). As in iterative methods for finding the zero of
a function, we use the residual of the governing equations in order to guide
corrections. The iteration scheme is successful as long as it ultimately drives
the residual to zero to the desired order of accuracysee the Approximation
Theorem 3.8. Suppose that at any one stage of the iteration we have the
approximate model
(s, )
uv
(s, ) ;
such that s g
approximate because the residual of the governing differential equation (3.28)

, g
, ) = u Lu f(u, ) =
Res (v
v
Lv
f(v
, ) = O p + sq , (3.30)
g
s
for some order of error, p and q, and where s and denote |s| and || respectively. Seek small corrections, indicated by primes, to the approximation
so that
(s, ) + v 0 (s, )
uv
such that
(s, ) + g 0 (s, ) ,
s g
29
Newtons method may give quicker convergence, but preliminary exploration in a

simple system indicates Newtons method seems too difficult. However, an astute reader
may find a way to make powerful use of Newton iteration for approximating slow manifolds.
204
is a better approximation to the slow manifold and the evolution thereon.

Substituting into the governing differential equation (3.28), and using the
chain rule for time derivatives, leads to

v 0
v
+ g 0 = Lv
+ Lv 0 + f(v
+ v 0 , ) .
+
g
s
s
Given that it is impossible to solve this for the perfect corrections in one
step, seek an approximate equation for the corrections of O p + sq by:
ignoring products of corrections (primed quantities) because they will
be small, O 2p +s2q , compared with the dominant effect of the linear
correction terms to give

0 v 0
v
f 0
v
0
+
= Lv
+ Lv + f(v
, ) +
g +
g
g
v ;
s
s
s
u v
and replacing tilde quantities by their zeroth order approximation, in
s and , wherever they are
multiplied by a correction factor, introducing errors O p+1 + sq+1 .30
Thus we wish to solve
v
v 0
+ Eg 0 +
+ Lv 0 + f(v
, ) .
g
Gs = Lv
s
s
In general, the term v 0 /s Gs must be retained because the operator
/s Gs is of zeroth order in smultiplication by s raises the order by one,
but the gradient /s drops the order by one. Thus, rearranging and
= tv by the chain rule, we solve

recognising that v
sg
Lv 0
v 0
v
, g
, ) =
f(v
, ) ,
Gs Eg 0 = Res (v
Lv
s
t
(3.31)
for the primed correction quantities. The great advantage of this iterative
approach is that the right-hand side, which drives the corrections, is simply
30
The approximation of replacing tilde quantities by their zeroth order slows the iteration convergence to linear. The iteration could converge quadratically if we retained the
tilde quantities. However, I know of no practical problem where this quadratic convergence
can be realised for slow manifolds.
205
the residual of the governing equation (3.28) evaluated at the current approximation. Thus at any iteration we just deal with physically meaningful
expressions; all the detailed algebraic machinations of asymptotic expansions
in other procedures is absent.
It is not obvious, but in the case of the m critical eigenvalues having no
imaginary component, provided it is arranged so that G is in Jordan form,
as is often physically appealing, we may significantly simplify the algorithm
0
by also neglecting the term vs Gs at a cost of increasing the number of
iterations needed by a factor no more than m, the multiplicity of the zero
eigenvalue of L. In the remaining analysis, assume this neglect for simplicity.
The more general case is deferred until Chapter 6 on Hopf bifurcations.
The main detail is then to solve equations of the form
Lv 0 Eg 0 = Res ,
(3.32)
for some given residual Res. Recognise that there are more unknowns than
components in this equation; its solution is not unique. The freedom comes
from the fact that we can parameterize the slow manifold via the amplitudes s in an almost arbitrary manner. The freedom is only resolved by giving a precise meaning to the m amplitudes s. For example, often one does
define s to be precisely the modal amplitudes, that is s = hzj , ui for eigenvectors zj of the adjoint of L; in which case we seek corrections v 0 which are
orthogonal to the eigenvectors zj , that is, 0 = hzj , v 0 i. More general definitions, such as an energy related amplitude, give rise to similar considerations
to those that follow. There are two approaches to solving (3.32).
1. Numerically, it is easiest to adjoin the amplitude condition to the
equation and solve

L E v 0
Res
=
,
ZT 0
g0
0
where Z = [zj ].
2. However, algebraically it is usually more convenient to adopt the following procedure (which may be familiar to you as part of other asymptotic methods). Rewrite (3.32) as Lv 0 = Eg 0 + Res and recognise that
206

L is singular due to the zero eigenvalue of multiplicity m. Then choose
the m components of g 0 to place the right-hand side in the range of L;
this is achieved by taking the inner product of the equation with the
adjoint eigenvalues zj and thus giving the set of m solvability conditions
hZ, Eig 0 = hZ, Resi .
Having put the right-hand side in the range of L we solve Lv 0 =
^ = Eg 0 + Res for v 0 , making the solution unique by accounting for
Res
the definition of the amplitudes s.
The last step of each iteration is to update the approximations for the slow
manifold shape and the evolution thereon.
Example 3.22: quasi-stationary distribution Consider a continuoustime Markov chain with three states, labelled S1 , S2 and S3 . Let pi (t)
denote the probability that the system is in state Si at time t. The
dynamical evolution of the system is then governed by the following
set of linear ordinary differential equations:
p 1 = 2p2 ,

p 2 = 12 + p2 + 21 p3 ,

p 3 = 21 p2 12 p3 .
Adjoin = 0 and write in matrix-vector form:
p = Lp + f
(3.33)
where

p1
p=
p2 ,
p3
0
0
L=
0
0
0 0
0 0
0 21
0 12
0
0
1
2
12
0
2
and f =
1 p2 .
1
The linear operator L has a three dimensional slow eigenspace spanned

by, for example, the three eigenvectors
207
e0 = (1, 0, 0, 0) of the trivial equation = 0 of the parameter;

e1 = (0, 1, 0, 0) of the absorbing state S1 ;
e2 = (0, 0, 12 , 12 ) of the quasi-stationary distribution.
Consequently, we choose to write the slow subspace as the linear combination p = s0 (1, 0, 0, 0) + s1 (0, 1, 0, 0) + s2 (0, 0, 21 , 12 ) . Making this
choice implicitly defines the amplitudes: for refining and interpreting
the model it is better to define the amplitudes explicitly, here s0 = ,
s1 = p1 = he1 , pi and s2 = p2 + p + 3 = 2he2 , pi . The first linear
approximation is then that the slow manifold
p = (, s1 , 12 s2 , 21 s2 ) such that = s 1 = s 2 = 0 .
Second, with this approximation, the residual of equation (3.33) is
Res = p Lp f = (0, 1, 12 , 21 )s2 .
To solve Lp 0 = Res +Eg 0 , choose evolution correction g 0 so the righthand side is in the range of L:
take the inner product of this equation with z1 = e1 to see the
correction g10 = s2 ; and
take the inner product of this equation with z2 = e2 to see the
correction g20 = s2 .
Upon setting g 0 , the right-hand side vanishes so there is no change to
the slow manifold, p 0 = 0 , at least to terms linear in parameter .
Consequently, centre manifold theory assures us that exponentially
quickly the system settles onto a slow manifold

(p1 , p2 , p3 ) = (1, 0, 0)s1 + (0, 12 , 21 )s2 + O 2 ,
where the quasi-probabilities evolve according to
s 1 = s2 + O 2

and s 2 = s2 + O 2 .
208

That is, the system rapidly reaches a quasi-stationary balance between
states S2 and S3 , with probablity then leaking from states S2 and S3
into the absorbing state S1 over long timescales of order 1/.
3.4.4
Approximations can be found so straightforwardly that we can program

computers to handle most of the messy details.
In almost all scientific articles and book chapters, the writers usually start
by asserting that a linear change of basis (coordinate system) is trivial (undergraduate mathematics) and so claim that it is sufficient to study systems
where the slow and fast (critical and decaying) variables are linearly separated (by diagonalisation, or similar, of the linear operator). This is true.
The linear operators of pdes can also be separated into slow and fast modes,
say by diagonalising the linear operator through taking the Fourier transform
(when applicable). But, it is far easier to interpret mathematical formulae
in the original physical variables, rather than in transformed variables. Furthermore, it is far less error prone to code the computation of the residuals
of original physical equations, rather than transforming equations. These
two reasons imply we need the general algorithm of this section because it
works with original variables and original equations.
Exercise 3.23:
Extend the analysis of the simple quasi-stationary
dis
tribution problem, Example 3.22, to achieve errors O 4 .
Exercise 3.24: Elementary slow manifolds

ical systems, where possible:
For the following dynam-
argue for the existence of a slow manifold based upon the linear
dynamics near the origin;
find a linear approximation for the shape of the slow manifold;
209
apply an iteration scheme to derive a low-dimensional model;

identify any bifurcations.
1.
= + v + v2
v = sin
2.
1
x = x y x2 y
2
y = x 2y + y y2
3.
x = x 2y + x
y = 3x y x3
4.
x = 2x + y + 2z + y
y = x + z y3
z = 3x y 3z
Exercise 3.25:
For what values of parameter does the nonlinear advection and diffusion stabilise the nonlinear reaction in
u
u
2 u
+u
= u + u3 + 2 ?
t
x
x
Modify the computer algebra from Section 3.4.2 to answer.
210

Answer: u = a sin x 16 a2 sin 2x +
1
that a = ( 12
+ 34 )a3 + O a4 , 2 .
Exercise 3.26:
1
32 (1

)a3 sin 3x + O a4 , 2 such
The KuramotoSivashinsky equation is

u
u 2 u
4 u
+u
+ 2 + 4 = 0,
t
x
x
x
with, for our purposes, boundary conditions of u(0) = uxx (0) =

u() = uxx () = 0. Use centre manifold theory to elucidate the
dynamics in the bifurcation that occurs as decreases through one.
Specifically, write and run a reduce program (based on our analysis of the modified Burgers equation) to obtain approximations to the
slow manifold and the evolution thereon. Comment on the application
of the theorems.
Optional extension: what is a slow manifold model if the boundary
conditions are changed to ux (0) = uxxx (0) = ux () = uxxx () = 0?
0
0 = R has to cope with R being in
Hint: the solution of uxxxx
+ uxx
the form of a sum of polynomials in x times sine and cosine functions.
This may be done, albeit slowly, using the Greens function
G =
i
1h
1 + cos ( )2 /2 + (2 + 2 cos ( ) sin ) cos x

0,
0<x<
+
,
x sin(x ) , < x <
R
whence the solution is u 0 = 0 G(x, )R() d. If you have done everything else right, the boundary conditions and amplitude conditions
will hold.
3
Answer: u = a sin x+ 13+7
a2 sin 2x+ 139
sin 3x+O a4 , (1)2
144
3608 a
such that a = (1 )a
137 3
288 a
+ O a4 , (1 )2 .

Exercise 3.27:
211
Consider the famous Lorenz equations

x = (x + y) ,
y = x y xz ,
z = z + xy .
For some values of the parameters these equations exhibit chaos. But
before the onset of chaos, the zero solution loses stability as the parameter crosses 1.
1. Argue for the existence of a slow manifold for near 1.
for the shape of the slow
2. Find a linear approximation u = u
manifold given that a parameter of the slow manifold is to be
s = x.
3. Apply the iteration scheme to derive a low dimensional model
for the Lorenz equations for near 1, for the particular values
= = 1, and where a parameter of the description is s = x.
Hence describe qualitatively the structure of the bifurcation that
occurs as crosses one.
Exercise 3.28: A sine-diffusion equation

2
= sin + 2 ,
t
x
Consider the dynamics of
(0) = () = 0 .
Find the critical value of the dissipation for which the spectrum indicates centre manifold theory may be applied. Construct the Landau
equation model that displays the pitchfork bifurcation as the dissipation is varied through the critical value.
Exercise 3.29: SwiftHohenberg bifurcation The SwiftHohenberg

equation,
u
= u (1 + 2x )2 u u3 ,
t
212

is a toy model of RayleighBenard convection in a domain of large
extent in x.
1. Analyse the linear dynamics to determine the critical value of the
parameter at which a nontrivial solution may bifurcate from
u = 0.
2. Use centre manifold theory to establish the basis for finding the
Landau equation modelling the dynamics of the bifurcation.
3. Write, debug and run a reduce program to compute the Landau
equation.
Optional extension: modify your analysis to model the dynamics
the version with a nonlocal nonlinearity:
u
= u (1 + 2x )2 u u G ? u2 ,
t
where G? denotes convolution with the kernal G(x) = exp(|x|):
Z
G?f=
G()f(x ) d .
3.5
Sorry:
Taylor vortices form in a pitchfork

bifurcation
We now turn attention back to TaylorCouette flow, and seek to analyse the
nonlinear dynamics near the onset of instability. We construct a model for
the dynamics of Taylor vortices and show that the amplitude of the vortices
saturates in the manner of a pitchfork bifurcation.
We would like to use computer algebra to do the tedious parts of the analysis.
By assuming a thin gap between the cylinders and by neglecting some lesser
3.5. Taylor vortices form in a pitchfork bifurcation
213
terms in the fluid equations and boundary conditions, this is possible. This
rough model is developed in 3.5.1 and indeed models crudely the dynamics
of Taylor vortices.
However, computer algebra packages are still not sufficiently flexible to meet
all our needs. Thus, as here, to solve precisely the problem required we often need to use more human analysis. In 3.5.2 we explicitly construct the
asymptotic solution and numerically solve the problems for the spatial structure of the physical fields on the slow manifold. Thus we derive a numerically
exact model predicting the pitchfork bifurcation of Taylor vortices.
The form of the fluid equations
Here we compare the fluid equations with the general form assumed by
centre manifold theory. Despite the differences in detail, we may still apply
the techniques with almost no modification.
Consider the non-dimensional fluid equations given in 3.1.3:

q
Re
+ q q = p + 2 q ,
t
q = 0.
To analyse the nonlinear dynamics near the onset of the Taylor vortex flow,
we shift to equations describing the perturbations (primed quantities) to
Couette flow (superscript 0):
2

R
1
0
r e .
q = 2
R 1 r
31
Seeking
q = q0 + q 0 (r, , z, t) ,
p = p0 + p 0 (r, , z, t) ,
rearrange the equations to

0

q
0
0
0
0
0
0
Re
+ q q + q q + q q
= p 0 + 2 q 0 ,
t
31
Make the origin of (q 0 , p 0 ) correspond to the fixed point of Couette flow.

214

q0 = 0 .
We now put these equations into the form (well almost) for the use of centre
manifold theory.
First, recognise that it is only exactly at the critical Reynolds number Rec that the spectrum can fit that required for the theory. Thus
we introduce a parameter = Re Rec measuring the departure from
critical of the actual system. As varies we will discern a pitchfork
bifurcation exactly as in the simple system of the previous section.
Second, rearrange the terms so that we separate the linear and nonlinear parts of the equations, viz
u
z }| {
q 0
Rec
=
t
f(, u)
Lu
z
}|
{
}|
{
z
0
2 0
(Rec +)q 0 q 0
p + q
h 0

q + q0 q 0 + q 0 q0
Rec q0 q 0 + q 0 q0 t
0 =
q0 .
(3.34)
Observe that the equations certainly are not in the precise form,
u = Lu + f(u), for direct application of the theory. However, the
main properties that we want for a slow manifold is that of exponential attraction to the neutral modes, which we ensure by basing the
analysis at the critical Reynolds number, and that the slow manifold
is made up of trajectories of the original system, which we ensure by
solving the fluid dynamical equations to some order in small parameters. Variations on the theme as exhibited here of no real moment,
the centre manifold techniques still apply.
3.5.1
Computer algebra easily solves an approximate

problem
??More to be done throughout this subsection.

215
The basis of the slow manifold model

To construct a slow manifold model we should first analyse the linear problem to find the spectrum and the critical value of parameters such as the
Reynolds number. However, here we have already done so, albeit crudely,
and so we know to seek a slow manifold parameterised by an amplitude a
and the bifurcation parameter . Thus here we set about the slow manifold
analysis immediately. Lets see how it works out.
To start, instead of considering the fluid fields to depend directly upon
space and time, we simply consider them to be a function of space and the
amplitudes, (, a), and then let the amplitude vary in time. That is, we seek
solutions of the fluid equations in the form
q 0 = q 0 (r, z, a, ) ,
p 0 = p 0 (r, z, a, ) ,
a = g(a, ) .
From our earlier crude analysis of the linear problem we seek solutions, the
Taylor vortices, which have no azimuthal variation, no dependence. If the
outer cylinder is counter-rotating this is no longer true; the critical mode
has variations around the cylinder and a more sophisticated analysis is then
needed. Thus seek solutions depending upon only r and z, and upon time
implicitly through the amplitude a.
Recall the linear analysis of the stability of Couette flow from 3.1.4. We
found that at the critical Reynolds number
3 32
3 3
Rec =
3` ,
=
2
2b3/2
all modes of the fluid dynamics decayed except for the mode
v 0 sin[`(r 1)] cos(kz) ,
for the critical axial wavenumber k = kc = / 2b = `/ 2 . In these expressions the critical radial; wavenumber ` = /b in terms of the separation b
between the inner and outer cylinder. Thus we now construct a slow manifold model for the nonlinear evolution of the dynamics of the Taylor vortices
based upon this critical mode.
216
Now, for notational simplicity at the risk of occasional confusion, drop

primes on quantities relative to the equilibrium (fixed point) of Couette
flow.
Substituting the above form for v into the various linear equations ?? we
deduce that the centre subspace Ec is32
u = a sin[`(r 1)] cos(kz) ,
p
v =
3`/a sin[`(r 1)] cos(kz) ,
w = 2a cos[`(r 1)] sin(kz) ,

p = 3`a cos[`(r 1)] cos(kz) .
The variable a, the amplitude of the vortices in the radial velocity u, parameterises location in Ec . We also use it to parameterise location on the
nonlinear slow manifold Mc .
Thus in a reduce program we use the linear solution to be an initial
approximation to the slow manifold:
v:=sqrt(3*el/pi)*a*cos(kz)*sin(lr);
u:=a*cos(kz)*sin(lr);
w:=-sqrt(2)*a*sin(kz)*cos(lr);
p:=-3*el*a*cos(kz)*cos(lr);
For convenience we write the radial and axial dependence in terms of
lr = `(r 1) and kz = kc z and so code
depend lr,r;
let df(lr,r)=>el;
depend kz,z;
let df(kz,z)=>el/sqrt(2);
Note: it is easier to express, as we do here, the radial structure in
terms of the radial wavenumber ` = /b instead of the inter-cylinder
gap b; the outer cylinder then being at radius R = 1 + /`.
Near the critical Reynolds number
32
I lie in the interests of simplicity. What is the lie?
217
rc:=3/2*sqrt(3*pi*el^3);
re:=rc+eps;
the amplitude a evolves slowly and so to a linear approximation
depend a,t;
let df(a,t)=>g;
g:=0;
To my taste we improve the appearance of the printed output by
on div;
on revpri;
off allfac;
on list;
factor a,eps,sin,cos;
Make nonlinear corrections to the model

The challenge is to update the linear approximation repeatedly to converge
to a solution of the fluid equations.
Corrections to the slow manifold description are driven by the residuals
of the governing equations. Here these are coded as the four separate
components written relative to the circular Couette flow:
ueq:=re*( df(u,t)+u*df(u,r)+w*df(u,z)-(2*v0*v+neglect*v^2)*rr
+df(p,r) -(rr*df(rad*df(u,r),r)+df(u,z,z)-neglect*rr^2*u
veq:=re*( df(v,t)+u*(v0r+df(v,r))+w*df(v,z)+neglect*u*(v0+v)*
-(rr*df(rad*df(v,r),r)+df(v,z,z)-neglect*rr^2*v);
weq:=re*( df(w,t)+u*df(w,r)+w*df(w,z) )
+df(p,z) -(rr*df(rad*df(w,r),r)+df(w,z,z));
ceq:= rr*df(rad*u,r) +df(w,z);
In the above equations several terms are neglected as indicated by
multiplication by neglect because I set
neglect:=0$
218

in the preliminaries. Other terms, whose neglect is justifiable in a thin
gap approximation, are omitted by setting in the preliminaries
rad:=1+neglect*lr/el;
rr:=1/rad;
(that is, rad and rr are the constant 1 instead of r and 1/r respectively), and approximating the TaylorCouette flow by
v0:=1/2;
v0r:=-el/pi;
as being approximately the average of v0 and dv0 /dr between the two
rotating cylinders.
In principle we could write a series of operators to give the various
components in the corrections given terms in the various residuals.
However, it is usually easier to eliminate all but one unknown and
just solve for it. The elimination procedure is the same as that for
the linear solution except that here we also have a non-zero righthand side forcing the corrections. A little bit of algebra shows the
following eliminates all unknown fields except the corrections for the
radial velocity u and the correction to the evolution g:
res:=df(weq,z)+df(ceq,r,r)+df(ceq,z,z); % eliminate wd
res:=df(ueq,z,z)-df(res,r); % eliminate pd
res:=df(res,r,r)+df(res,z,z)-rc*df(veq,z,z); % eliminate vd
The resultant equation is, similar to what we found in the early linear
analysis but now forced and with a g 0 term replacing eigenvalue terms,
6 u 0
27`4 2 u 0
9
= res + g 0 Rec `4 sin[`(r 1)] cos(kz) .
2
4 z
2
(3.35)
Now these residuals will have sums of products of trigonometric terms

in them. However, in some ways it is easier to proceed if there are no
products of trigonometric terms. To ensure this we linearise trigonometric products by setting in the preliminaries:33
33
Computer algebra packages always have difficulty deciding what is simple. reduce

let {
,
,
,
,
219
sin(~a)*sin(~b)=>(-cos(a+b)+cos(a-b))/2
cos(~a)*cos(~b)=>( cos(a+b)+cos(a-b))/2
sin(~a)*cos(~b)=>( sin(a+b)+sin(a-b))/2
sin(~a)^2
=>(-cos(2*a)+1)/2
cos(~a)^2
=>( cos(2*a)+1)/2 };
Then, for example, the linear approximation to the radial velocity

becomes
a
u = [sin(lr + kz) + sin(lr kz)] ,
2
which is a little more complicated. Similarly for the other components.
The solvability condition determines the correction to g. In general,
the right-hand side will contain a component in sin[`(r 1)] cos(kz)
which we have to remove by choosing g 0 . This may be done by looking
for the pattern sin(lr+kz), keeping its coefficient, and ignoring other
terms as in34
gd:=-4/(9*rc*el^4)*( res where { sin(lr+kz)=>1
, sin(~a)=>0 when not((df(a,lr)=1)and(df(a,kz)=1)) });
Alternatively we may simply write
gd:=-4/(9*rc*el^4)*coeffn(res,sin(lr+kz),1);
Then g and the right-hand side is updated by
write g:=g+gd;
res:=res+gd*(9*rc*el^4)/2*sin(lr)*cos(kz);
The corrections to the physical fieldsor in abstract terms, determining the shape of the slow manifold in the infinite dimensional state
spaceare found next. We first solve (3.35) for u 0 . As for Burgers equation we use a linear operator solv to do this assuming the
right-hand side is a Fourier sine series in lr and kz. If the right-hand
assumes products of trigonometric functions are best left as generated, but we want them
linearised.
34
Note the use of the when clause to qualify precisely when the particular let rule is to
be applied.
220

side has the component sin(plr + qkz) then the method of undetermined coefficients shows that we need a component in the solution of
sin(pr + qz)/((p2 + q2 ) + 27/4`4 q2 ; provided it fits the boundary
conditions. Thus we code in the preliminaries:
depend r,rz;
depend z,rz;
operator solv;
linear solv;
let solv(sin(~a),rz)=>sin(a)/
((-df(a,r)^2-df(a,z)^2)^3+27/4*el^4*df(a,z)^2);
where p = df(a,r) and q = df(a,z). The introduction of rz is necessary in order that trigonometric terms in lr or kz alone are retained
inside solvwe need any factor dependent upon either r or z to stay
within its argument. Then solv is used to update the radial velocity u
by
ud:=solv(res,rz);
u:=u+ud;
The angular velocity v is updated from the angular component of the
NavierStokes equation after incorporating the u correction. But we
have to solve a Poisson problem 2 v 0 = rhs to find the correction, so
we define another linear operator, namely fish, in the preliminaries:
operator fish;
linear fish;
let fish(sin(~a),rz)=>-sin(a)/(df(a,r)^2+df(a,z)^2);
As ud has just been determined, this is used as
vd:=fish(veq+rc*(sqrt(3*el/pi)*cos(kz)*sin(lr)*gd+v0r*ud),rz)
v:=v+vd;
Also given the correction ud we determine wd from the continuity equation using the inbuilt integrator (though execution is faster if we write
a specific operator):
221
wd:=-int(ceq+df(ud,r),z);
w:=w+wd;
Lastly the pressure correction may be partially determined by either
the radial or the axial components of the NavierStokes equations.
But generally not all of it is determined by either one. This is directly
analogous to the problem of finding a scalar potential, here p, for a
vector field, here the known parts of the equationsnot all the scalar
potential can be determined from any one component because spatial
differentiation in one variable loses information about anything constant with respect to that variable. Thus in general we have to use
both equations to find the p correction as in
pd:=-int(ueq+rc*(gd*cos(kz)*sin(lr)-2*v0*vd)
-(rr*df(rad*df(ud,r),r)+df(ud,z,z)),r);
p:=p+pd-int( weq-rc*sqrt(2)*gd*sin(kz)*cos(lr)+df(pd,z)
-(rr*df(rad*df(wd,r),r)+df(wd,z,z)) ,z);
Observe how the known part of the correction has to be incorporated
in the forcing of the second equation.
To unfold the pitchfork bifurcation we repeat the iterative loop until
the residuals, and hence the errors by the approximation theorem, are
at most O a4 + 2 . In reduce
it is more convenient to iterate to the
slightly smaller error O a4 , 2 and so we wrap the above computation
of corrections with
let { eps^2=>0, a^4=>0 };
repeat begin
. . .
showtime;
end until (ueq=0)and(veq=0)and(weq=0)and(ceq=0);
to iterate until all equations are effectively satisfied.
This completes all the pieces of the reduce computer algebra program35
apart from sundry comments needed to clarify the program.
35
See tcrough.red for the complete program

222
The model
Running the reduce program gives the model

a
2
3 3
=
a
2 2` a3 + O a4 , 2 ,
t
9`
64
where = Re Rec . This is the classic Landau equation for a pitchfork
bifurcation. This model predicts that for Reynolds numbers above critical,
stable Taylor vortices form of amplitude
8 Re Rec
a
.
3(273 `5 )1/4
Should discuss the physical fields and draw some graphs??
Comment on timings and the combinatorial explosion in algebra.??
h
i(iterations)
(work) (deg of nonlin)(no. of params)
until we start discarding terms.
3.5.2
An explicit, numerically exact model of Taylor

vortices
The stages of a slow manifold analysis are to: substitute the ansatz and
group terms of the same order; solve the hierarchy of equations to some
order; assemble the results to give a dynamical model.
The slow manifold model
To construct a slow manifold model we should first analyse the linear problem to find the spectrum and the critical value of parameters such as the
Reynolds number. However, here we have already done so, albeit crudely,
and so we know to seek a slow manifold parameterised by an amplitude a
223
and the bifurcation parameter . Thus here we set about the slow manifold analysis immediately. The first stage then turns out to be precisely the
linear analysis we would normally have done first anyway. Lets see how it
works out.
To start, instead of considering the fluid fields to depend directly upon
space and time, we simply consider them to be a function of space and
the amplitudes, (, a), and then let the amplitude vary in time. That is,
substitute
q 0 = q 0 (r, z, , a) ,
p 0 = p 0 (r, z, , a) ,
a = Ga + g(, a) ,
into the fluid equations. From our earlier crude analysis of the linear problem
we seek solutions, the Taylor vortices, which have no azimuthal variation,
no dependence. If the outer cylinder is counter-rotating this is no longer
truethe critical mode has variations around the cylinderand a more
sophisticated analysis is then needed. Thus seek solutions depending upon
only r and z, and upon time implicitly through the amplitude a.
I have also left Ga in the analysis for a while. This is not necessary as
we expect G = 0 as the earlier linear analysis shows that the critical mode
corresponds to one simple zero eigenvalue. But note that G plays the role
that an eigenvalue in a linear analysis (as a = Ga has solutions a =
exp(Gt)). Thus including G will make the linear problem explicitly appear
in what we do here.
By the theorems on approximation and on smoothness a power series solution in a and is reasonable. Thus we seek approximations explicitly in the
multinomial power series form.
q 0 = q1,0 a + q2,0 a2 + q3,0 a3 + q1,1 a + ,
p 0 = p1,0 a + p2,0 a2 + p3,0 a3 + p1,1 a + ,
a = Ga + g2,0 a2 + g3,0 a3 + g1,1 a + .
where superscripts m, n denotes the coefficient of a term in am n (and
G = g1,0 ), and where qm,n and pm,n depend only upon r and z. As we
expect a pitchfork bifurcation we only include the terms needed to find the
224

O a + a3 structure in the model. Before substituting these expansions,
note that the time derivative becomes
a
a
t
[Ga + g(, a)]
=
a =
0
0
q
q
q 0

=
q1,0 + 2q2,0 a + 3q3,0 a2 + q1,1 +

Ga + g2,0 a2 + g3,0 a3 + g1,1 a +

= q1,0 Ga + 2q2,0 G + q1,0 g2,0 a2 + 3q3,0 G + 2q2,0 g2,0 +

3
1,1
1,0 1,1
1,0 3,0
a + .
a + q G+q g
+q g
Substitute these expansions into the governing dynamical equations (3.34),
and equate terms of the same order together to find the following hierarchy
of equations to be solved.
Order a
i
h
p1,0 + 2 q1,0 = Rec q1,0 G + q0 q1,0 + q1,0 q0 ,
q1,0 = 0 .
Order a2
h
p2,0 + 2 q2,0 = Rec 2q2,0 G + q1,0 g2,0 + q0 q2,0 + q2,0 q0
i
+q1,0 q1,0 ,
q2,0 = 0 .
Order a3
h
p3,0 + 2 q3,0 = Rec 3q3,0 G + q1,0 g3,0 + q0 q3,0 + q3,0 q0
i
+2q2,0 g2,0 + q1,0 q2,0 + q2,0 q1,0 ,
q3,0 = 0 .
225
Order a
i
h
p1,1 + 2 q1,1 = Rec q1,1 G + q1,0 g1,1 + q0 q1,1 + q1,1 q0
h
i
+ q1,0 G + q0 q1,0 + q1,0 q0 ,
q1,1 = 0 .
The linear problem appears
Observe that the leading order equation, that of order a, is precisely the
linear eigenvalue problem that we considered in ?? for the linear stability
of the fixed point of Couette flow. This is always the case in a slow manifold
analysis.
The only difference is that here the eigenvalue is replaced by G. This
is completely natural because G is the restriction of the linear operator to
the centre subspace, and hence must be the eigenvalue corresponding to
that subspace. Here the relevant eigenvalue exactly at the critical Reynolds
number is 0, and hence G = 0. As commented earlier, only in other types of
problems, with eigenvalues of non-zero imaginary part or with degenerate
eigenvalues, does G become non-zero.
To solve this leading order eigen-problem we could persevere with the crude
approximation of ??. However, I feel bound to do a better job. Here we
investigate a numerical solution (via Matlab) which is later generalised to
deal with the higher order equations.
For simplicity assume that there is only one critical mode, so that
00
u (r) cos(kz)
q1,0 = v 00 (r) cos(kz)
w 00 (r) sin(kz)
p1,0 = p 00 (r) cos(kz) ,
(3.36)
where k is the axial wavenumber of the critical mode.

The phase relationships in z shown above, namely that w is a quarter of
a period out of phase to the other fields, may be readily checked to be
226

consistent. In general one may substitute solutions proportional to eikx
and then determine the complex coefficients. You would find that the
argument of the complex coefficients, giving the phases of the various
fields, reduce to the above.
Properly we should have both the actual two critical modes, with v
s1 (t) cos(kz) + s2 (t) sin(kz) for example. By the translational symmetry
along the z-axis of rotation, there is no loss in generality in just keeping
one mode, and there are great gains in simplicity.
The leading order problem then becomes in cylindrical coordinates

2v0 00
dp 00
00
Rec Gu
v
=
+ Du 00 ,
r
dr

dv0 00 v0 00
Rec Gv 00 +
u + u
= Dv 00 ,
dr
r
w 00
Rec Gw 00 = kp 00 + Dw 00 + 2 ,
r
00
du 00
u
0 =
+ kw 00 +
,
dr
r
where as before
1d
D=
r dr
d
r
dr
k2
1
.
r2
This is solved numerically in Matlab program tclam.m, the given program

examines the case of outer cylinder radius R = 2 (and uses a discretisation of
just n = 9 points for speed,36 n may be increased for more accuracy). The
numerically obtained eigenvalue-wavenumber plot for the critical Reynolds
number Rec 70 is displayed in Figure 3.17. Observe the critical wavenumber is kc 3 where the smallest (in magnitude) eigenvalue just becomes
zero. The approximate shape of the critical mode, the Taylor vortex, is
shown in Figure 3.18.
The companion problem of determining the Reynolds number for which a
given mode becomes unstable is solved, in the Matlab program tcre.m,
using the same numerical building blocks. Figure 3.19 reaffirms that the critical Reynolds number is Rec 70 at a wavenumber kc 3. Higher numeri36
n = 8 permits the Student version of Matlab to be used.
227
0.5
-0.5
-1
-1.5
-2
-2.5
Figure 3.17: numerical eigenvalues of the linear modes on Couette flow

plotted against wavenumber k for outer cylinder radius R = 2, Reynolds
number Re = 70. Observe the critical wavenumber is kc 3.
228
-0.6
-0.4
-0.8
-0.2
0.9
0.8
0.7
0.6
0
0.5
0.4
0.3
0.2
0.2
0.8
0.4
0.1
0
0.6
1.1
1.2
1.3
1.4
1.5
r
1.6
1.7
1.8
1.9
Figure 3.18: numerically obtained critical eigenmode on Couette flow for

outer cylinder radius R = 2, Reynolds number Re = 70. Observe the Taylor
vortex structure of the u and w field in the rz-plane, and that the azimuthal
velocity v, shown by the contour plot, is slowed where slow fluid is dragged
in from the outer cylinder and is sped up where faster fluid is dragged out
from the moving inner cylinder.
229
800
700
600
Re
500
400
300
200
100
Figure 3.19: numerically determined Reynolds number for which a given

mode becomes unstable as its eigenvalue passes through 0. Re is plotted
against axial wavenumber k for the various modes.
cal resolution, namely N = 16, gives Rec = 68.85 for a critical wavenumber
kc 3.
The upshot of of these numerics is that we have identified the critical
Reynolds number Rec on which to base slow manifold analysis. Further
we now have numerical approximations to the critical mode, given by (3.36)
with k = kc . The slow manifold we proceed to find is then parameterised
by the amplitude of this critical mode, all other modes being exponentially
decaying, and by , the departure from critical conditions. The leading order term of the evolution on the manifold Ga = 0 as the critical eigenvalue
has no imaginary part.
230
Higher orders: solvability and amplitudes

With this linear solution we now look to solve the higher order equations in
succession.
Order a2 In cylindrical coordinates, with no azimuthal dependence, the

order a2 equations become
p2,0
u2,0
2v0 v2,0
+ 2 u2,0 2 + Rec
r
r
r

1,0
1,0
(v1,0 )2
u
1,0 u
1,0 2,0
1,0
+w
= Rec u g + u
r
z
r

00
1
du
k
= Rec u 00 cos(kz)g2,0 + (1 + cos 2kz) u 00
(1 cos 2kz) w 00 u 00
2
dr
2

00
2
1
(v )
(1 + cos 2kz)
,
2
r

0
v2,0
u2,0 v0
2 2,0
2,0 v
v 2 Rec u
+
r
r
r

1,0
1,0
u1,0 v1,0
1,0 2,0
1,0 v
1,0 v
= Rec v g + u
+w
+
r
z
r

00
1
dv
k
= Rec v 00 cos(kz)g2,0 + (1 + cos 2kz) u 00
(1 sin 2kz) w 00 v 00
2
dr
2

00
00
1
u v
+ (1 + cos 2kz)
,
2
r
p2,0
+ 2 w2,0
z

1,0
1,0
1,0 w
1,0 2,0
1,0 w
+w
= Rec w g + u
r
z

00
k
k
00
2,0
00 dw
00 2
= Rec w sin(kz)g + sin(2kz)u
+ sin(2kz)w
,
2
dr
2
231
u2,0 w2,0 u2,0

+
+
= 0,
r
z
r
2
r r
+ z2 .
where 2 = 1r r
It would appear that we may find a solution in the form (and similarly for
the pressure)
q2,0 = q2,0
+ q2,0 + q2,0
0 2,0 1 22,0
2,0
u0 (r)
u1 (r) cos kz
u2 (r) cos 2kz
2,0
2,0
.
= v2,0
0 (r) + v1 (r) cos kz + v2 (r) cos 2kz
2,0
2,0
2,0
w0 (r)
w1 (r) sin kz
w2 (r) sin 2kz
2,0
Indeed, there is no problem finding the q2,0
0 and v2 components. How2,0
ever, the equation for the q1 component is singular. Fortunately we may
eliminate all of this component in the right-hand side by setting
g2,0 = 0 .
In principle, we now have solutions (albeit numerical) for order 2, 0 quantities. Numerical solution fields for q2,0 are shown in Figure 3.20.37
Order a3 In cylindrical coordinates, with no azimuthal dependence, the
order a3 equations become
37
u3,0
p3,0
2v0 v3,0
+ 2 u3,0 2 + Rec
r "
r
r
1,0
u
u 2,0
u 1,0
u 2,0
= Rec u1,0 g3,0 + u2,0
+ u1,0
+ w2,0
+ w1,0
r
r
z
z

2v2,0 v1,0
r

= Rec u 00 cos(kz)g3,0
See Matlab program tcvort.malbeit needs checking

232
2
1
-2
0.9
0.8
0.7
0
0
0.6
-8
0.5
-6
0.4
0.3
-4
0.2
-2
0.1
0
2
1
1.1
1.2
1.3
1.4
1.5
r
1.6
1.7
1.8
1.9
Figure 3.20: numerically obtained second order correction to the critical

eigenmode on Couette flow for outer cylinder radius R = 2, Reynolds number
Re = 70. Observe that the nonlinear effects cause the jet of faster fluid
leaving the inner cylinder to be narrowed and sped up, whereas the jet of
slow fluid leaving the outer cylinder is widened and slowed. The azimuthal
velocity v, shown by the contour plot, is broadly slowed near the inner
cylinder and sped up, though somewhat less, broadly near the outer cylinder.
233

1 2,0 du 00
1 2,0 du 00
2,0
+ u0 + u2
cos(kz) + u2
cos(3kz)
2
dr
2
dr

1 2,0
1 du2,0
d
2,0
00
00
2
u0 + u2
u cos(kz) +
u cos(3kz)
+
dr
2
2 dr

k 2,0 00
k 2,0 00
+ w2 u cos(kz) + w2 u cos(3kz)
2
2
h
i
00 2,0
+ kw 00 u2,0
cos(kz)
+
kw
u
cos(3kz)
2
2
h

i
00
v
2,0
2,0
2,0
2v0 + v2 cos(kz) + v2 cos(3kz)
,
r

0
v3,0
u3,0 v0
2 3,0
3,0 v
v 2 Rec u
+
r
r
r
"
v 2,0
v 1,0
v 2,0
v 1,0
= Rec v1,0 g3,0 + u2,0
+ u1,0
+ w2,0
+ w1,0
r
r
z
z

1,0
2,0
2,0
1,0
u v
u v
+
+
r
r

= Rec v 00 cos(kz)g3,0

1 2,0 dv 00
1 2,0 dv 00
+ u2,0
u
cos(kz)
+
u
cos(3kz)
+
0
2 2
dr
2 2 dr

d
1 2,0
1 dv2,0
2,0
00
00
2
v0 + v2
u cos(3kz)
+
u cos(kz) +
dr
2
2 dr

k 2,0 00
k 2,0 00
+ w2 v cos(kz) + w2 v cos(3kz)
2
2
h
i
00 2,0
+ kw v2 cos(kz) + kw 00 v2,0
cos(3kz)
2

00
1 2,0
v
1 2,0
2,0
u0 + u2
cos(kz) + u2 cos(3kz)
+
r
2
2

00
u
1 2,0
1 2,0
2,0
+
v0 + v2
cos(kz) + v2 cos(3kz)
,
r
2
2
234
p3,0
+ 2 w3,0
z "
w 2,0
w 1,0
w 2,0
w 1,0
+ u1,0
+ w2,0
+ w1,0
= Rec w1,0 g3,0 + u2,0
r
r
z
z

= Rec w 00 sin(kz)g3,0

1 2,0 dw 00
1 2,0 dw 00
2,0
+ u0 u2
sin(kz) + u2
sin(3kz)
2
dr
2
dr

d
1 2,0
1 dw2,0
2,0
00
00
2
+
w0 + w2
u sin(kz) +
u sin(3kz)
dr
2
2 dr

k
k 2,0 00
00
+ w2,0
w
sin(kz)
w
w
sin(3kz)
2 2
2 2
h
i
00 2,0
+ kw 00 u2,0
sin(kz)
kw
u
sin(3kz)
,
2
2
u3,0 w3,0 u3,0

+
+
= 0.
r
z
r
Because of the terms in the right-hand side of these equations it would appear that we may find a solution in the form (and similarly for the pressure)
q3,0 = q3,0
+ q3,0
1 3,0 3
3,0
u1 (r) cos kz
u3 (r) cos 3kz
3,0
.
= v3,0
1 (r) cos kz + v3 (r) cos 3kz
3,0
3,0
w1 (r) sin kz
w3 (r) sin 3kz
But it is not so straightforward. Again there appears terms in cos kz and sin kz
in the right-hand side, indicating that the singular nature of the linear operator will cause trouble, but now simply setting g3,0 = 038 will not make
them disappear. Instead we must be more careful.
However, in principle we can choose g3,0 so that the right-hand side is in
the range of the singular linear operator L; then there will exist a solution
for q3,0 . Indeed this requirement is called the solvability condition. There
are two ways to choose g3,0 .
38
Indeed, we want g3,0 6= 0 in order to predict a pitchfork bifurcation.
235
One is to premultiply the whole equation by the left-eigenvector,39

z say, then the Lv3,0 terms on the left-hand side disappear just leaving
the terms on the right-hand side to supply a simple equation for g3,0 .
Numerically we find40
g3,0 = 5.3 .
In this way we need not determine q3,0 because the aspect of prime
importance is the dynamic evolution of the model which is now known
to be
a g3,0 a3 + (something)a .
Knowing q3,0 just refines our knowledge of the shape of the slow manifold.
Another approach is to recognise that g3,0 is a genuine unknown and
should be placed on the left-hand side of the equations along with the
other unknowns. In general we then seek to solve something simply of
the form Lq3,0 + q1,0 g3,0 = (known terms). However, there is a problem. There are now more unknowns than equations and any solution
cannot be unique;41 which of the possible solutions do we require?
We need an extra equation from somewhere, but where? We have
involved all the equations of fluid dynamics into the analysis, there is
no extra equation to be found there. Instead the extra equation is to be
found from athe parameter of the slow manifoldso far all we know
about a is that it measures the amplitude of the critical mode. but this
is not a precise description, there are many, many possible measures
of the amplitude of a complicated spatial mode. In order to be precise
about the model, we need to define a precisely. In examples, we have
already implicitly done this. For example, in 3.3.5 when constructing
the slow manifold model of (3.7) we assumed that (x, y) = (s, h(s)),
that is, that s = x precisely. But we could have used anything that
would reasonably measures the amplitude of the critical mode. For
example, we could have defined s = x + y and hence sought M in the
39
More generally one takes the inner product with eigen-vectors of the adjoint operator.
See Matlab program tcvort.m
41
This non-uniqueness was glossed over earlier but now must be addressed.
40
236

form (x, y) = (s h(s), h(s)) for some nonlinear h(s). A common42
definition of s is to make it precisely the component of the critical
mode in the solution, thus s = z u (where the left eigen-vector z has
been suitably normalised).
Tightening the definition of a, for definiteness let a here be the maximum of the azimuthal velocity v, we use these ideas to solve a system
which formally looks like

0
0
zT g3,0
.
=
(known)
q1,0 L q3,0
This second approach is ideal for numerical solutions, the first is generally
better for analytic solutions by hand.
Order a In cylindrical coordinates, with no azimuthal dependence, the
order a equations become
p1,1
u1,1
2v0 v1,1
+ 2 u1,1 2 + Rec
r
r
r
0
2v 1,0
= Rec u1,0 g1,1
v
r
2v0 00
v cos kz ,
= Rec u 00 cos(kz)g1,1
r

0
v1,1
u1,1 v0
2 1,1
1,1 v
v 2 Rec u
+
r
r
r

0
0
v
v
= Rec v1,0 g1,1 +
+
u1,0
r
r
0

v
v0
00
1,1
= Rec v cos(kz)g +
+
u 00 cos(kz) ,
r
r
p1,1
+ 2 w1,1
z
42
In applications a physically convenient choice is useful: e.g. shallow water dynamics

are usually written in terms of depth averaged quantities.
237
= Rec w1,0 g1,1

= Rec w 00 sin(kz)g1,1 ,
u1,1 w1,1 u1,1
+
+
= 0.
r
z
r
Because of the terms in the right-hand side of these equations it would appear that we may find a solution in the form (and similarly for the pressure)
1,1
u1 (r) cos kz
1,1
.
q1,1 = q1,1
1 = v1 (r) cos kz
1,1
w1 (r) sin kz
Exactly the same arguments apply here as for the order a3 terms. Indeed,
exactly the same arguments hold at all orders in the asymptotic analysis,
other than the leading order linear problem.
Observe that the same linear operator, which we called L in general, occurs
on the left-hand side in each equation of the hierarchy of equations (see
their first lines). Furthermore, at order ap q the linear operator acts upon
the unknown q 0 and p 0 of that order; all other factors are of lower order in
and a and appear elsewhere in the equations. All? Not quite.
On the right-hand side of the equations at order ap q there appears an as
yet unknown quantity gp,q (recall that G = 0 so terms involving G vanish).
However, and this is critical, L has a zero eigenvalueL is singularand
so gp,q is used to ensure that the right-hand side of the equations is in the
range of L so that a solution for qp,q may be found. This is generally called
the solvability condition.
Numerically we here find43
g1,1 = 0.0054 .
A straightforward way to satisfy the solvability condition is to find the
left-eigenvectors (adjoint eigenvectors) corresponding to the critical modes.
43
See Matlab program tcvort.m

238
This is of the same level of complexity as finding the critical modes in

the first place. Then taking the inner product of the equation Lqp,q =
q1,0 gp,q + (known) with the left-eigenvector(s) will cause the term involving L to vanish, and hence give sufficient expressions to determine gp,q
uniquely. Now that the right-hand side is known, an appropriate qp,q may
be found.
A very important feature is that qp,q is not unique. One may add any
multiple of the linear solution q1,0 to qp,q because q1,0 is a solution of
the linear homogeneous equation. A precise definition of a, measuring the
amplitude of the critical mode, determines the precise parameterisation of
the slow manifold and provides an extra equation to determine qp,q uniquely.
This is the general pattern in the asymptotic construction of a slow manifold
model.
The model
Finally we deduce that for outer cylinder radius R = 2 near the critical
Reynolds number of Re 70, Taylor vortices on Couette flow exponentially
quickly approach the evolution described by the Landau equation

a = 0.0054 (Re Rec ) a 5.3 a3 + O 2 + a4 .
This one dimensional equation describes the pitchfork bifurcation where the
fixed point of Couette flow loses stability as Re increases
past Rec , and
evolves towards Taylor vortices of amplitude a 0.032 Re Rec recall
that a is the maximum change to the angular velocity as caused by the
Taylor vortices.
3.5.3
Exercises
Exercise 3.30:
RayleighBenard again. Obtain the Landau equation for
the evolution of 2D RayleighBenard convection for Rayleigh numbers
near critical.
3.6. Flexible truncations empower adaptable modelling
3.6
239
Flexible truncations empower adaptable

modelling
Sorry:
Most modelling problems have fixed parameters: the strength of gravity,

the Reynolds number, the coefficients of key interactions, heating rates,
coupling constants, and so on. In specific applications some parameters are
more important than others, and thus we would want to model the effects
of some parameters more accurately than others. Similarly, with dynamical
variables. We will want to model some dynamical variables more accurately
than others, and more accurately than some parameters, and vice versa.
Such modelling requires flexible truncation of the asymptotic approximation
to the centre manifold models. Theorem 3.8 empowers us to model flexibly.
Example 3.31: Introduction
Consider the specific pitchfork bifurcation problem (3.19). The general form of approximations to the shape
of the slow manifold is that of a multinomial series in a and x, namely
y = h(a, x) = (1 2a + 4a2 + )x2
+ (2 16a + 88a2 + )x4
+ (12 192a + 1920a2 + )x6 + .
Graphically, place these coefficients on a grid in the nm-plane as shown
in Figure 3.21, called a Newton diagram by Murdock (2003); with zero
elements in the bottom-left because the slow manifold M is tangent
to y = 0 . Statements about the error in h(1) are then determined
by the two terms that occur in h(2) h(1) = 2ax2 + 2x4 which are
shown circled in Figure 3.22. Theorem 3.8 asserts that any straight
line in the nm-plane which is to the left and below of both of these
two terms is the basis of a valid statement of the error in h(1) . For
example, Figure 3.22 shows:

1. m/2 + n/4 = 1 to show h = h(1) + O a2 + x4 ;

2. m/3 + n/3 = 1 to show h = h(1) + O a3 + x3 ;
240

m
2 60
88
1920
16
192
12
- n
Figure 3.21: lay out the multinomial coefficients of approximations to the

slow manifold M on a grid in the nm-plane.

3. m/5 + 2n/5 = 1 to show h = h(1) + O a5 + x5/2 .
Theorem 3.8 says that one may approximate the centre manifold M, and
the long-term dynamics on M, to an order of accuracy which is different for
the parameters and the dynamical variables of the model. Such flexibility
is useful because although sometimes we are only interested in the leading
order effect of the parameter, occasionally we are interested in high order
expansions in an artificial parameter and low order with respect to other
variables.
3.6.1
Global models based upon a subspace of equilibria
Global models often occur in chemical reactions. There some chemical rate
constants are large corresponding to rapid reactions, and some are small
corresponding to slow reactions. Adopting the timescale of the fast reactions,
write the chemical system as44
x = f(x, y) and y = g(x, y) ,
44
Many call such systems singularly perturbed system and apply simpler methods of
analysis and approximation to obtain leading order approximate models.
241
m
5 6 Ss
4
3
2
1
0
S 3.
s S s
s
s
s
S
s
s
s
Qs 2. Ss
Q
S
Q
PP
s
s
s
s
Qs S
PP Q S
1. PPQPS
QPsf
s
s
s
Q
SPPP
Q
P
S
s SQQs PPP
sf
P
Q
S
s
s
s
s
s
s
- n
Figure 3.22: identifies the non-zero coefficients in h(2) h(1) , circles, which
indicate the error in the approximation h(1) to M; also plotted are three
lines each indicating a different allowable statement of the error in h(1) :
1, m/2 + n/4 = 1 ; 2, m/3 + n/3 = 1 ; and 3, m/5 + 2n/5 = 1 .
242
where is the small ratio of the timescales, and where, for fixed x, the
y equation would have solutions rapidly decaying to some manifold of quasiequilibria. The x equation then governs the long-term evolution along this
manifold.
Carr (1981) describes a realistic chemical example.
Example 3.32:
Consider the toy system

x = (x xy)
and y = y + x2 .
(3.37)
At = 0 there is a whole manifold of equilibria M0 , y = x2 . Centre manifold theory supports the model around each and every point
on M0 , just adjoin = 0 . Approximately, then, the evolution x =
x(1 x2 ) + O 2 . From which a further iteration gives the slow
manifold

y = x2 2x2 (1 x2 ) + O 2 ,
and thus corresponding evolution

x = x(1 x2 )(1 + 2x2 ) + O 3 .

There is no component of O xp in the errors as the model is global
in x: the order of error is uniform in M0 .45

However, see that in the evolution the O 2 error is approximately
22 x3 (1 x2 ) and so the multiplicative constant of the error varies
with x, and in particular, it becomes very large for large x. The
neighbourhood of support of theory will correspondingly vary in size
across M0 , generally being small when the error constant is large.
Example 3.33:
Consider x = xy , y = y xy + , for small parameter . When = 0 the variable y decays exponentially quickly
to y = 0 (provided x > 1); once on y = 0 then the variable x no
45
At least, the error is of uniform order on any compact subset of M0 .
243
longer evolves. Thus y = 0 for every x > 1 is a subspace of attractive equilibria. One may construct the slow manifold based around
the = x = 0 . However, more useful is the global slow manifold
y=

2 x
3
+
O

.
1 + x (1 + x)4
This global slow manifold is based on = 0 for each given finite x.

That is, seek y = h1 (x) + 2 h2 (x) + to find the above global slow
manifold. There is no approximation in x, only in . Thus generally
expect such global models to be more accurate.
Corresponding to the above global slow manifold, the model is the
evolution of variable x on the slow manifold, namely
x =

x
+ O 2 ,
1+x
local in , but global in x as the order of error is uniform in x.

Note that the domain of global validity has to be bounded away from
the singular point x = 1 ; thus the constant multiplying the order
of error 2 varies with x. Hence the neighbourhood of the manifold of
equilibria in which the centre manifold theory supports the model will
vary in extent.
3.6.2
Newton diagrams guide errors
This initial example introduces how to view information flow across a Newton diagram. Such information flow determines valid truncations of the
multivariate asymptotic approximations to complex models.
Example 3.34:
Reconsider Example 3.32. Now make the parameter
vary slowly in time, at rate say, so that the system (3.37) is here
= ,
= 0 ,
x = (x xy)
and y = y + x2 .
(3.38)
244

2
2x2 (1 x2 )
x2
2x2 (1 x2 )
0
1
2x2 (1 x2 )(2 6x2 )

2
Figure 3.23: a type of partial Newton diagram (Murdock 2003) with the arrows denoting how two terms in the multivariate asymptotic approximation
are derived from the earlier term at order 1 0 .
From Example 3.32, an approximation to the slow manifold is
y = h(1) (x, , ) = x2 2x2 (1 x2 ) .
Let us explore the next step in the iterative construction of the slow
manifold. The residual of the y equation is
h
i

Res3.38 = 2x2 (1 x2 ) + 2 (2 6x2 ) + O 3 .
In this problem, simply add this residual to h(1) to improve the approximation of the slow manifold: h(2) = h(1) + Res3.38 . Figure 3.23
graphically shows how the term 2x2 (1 x2 ) in h(1) generates two
new terms in the approximation: the nonlinearity in the equations
generates terms to the right as shown by the right pointing arrow;46
whereas the slowly varying replaces factors with factors and
hence generates terms to the above left as shown by another arrow.
That is, these two arrows outline how information and influences flow
across the Newton diagram.
The arrows of Figure 3.24 determine valid truncations of the multivariate asymptotic expansions.47 A finite truncation of the multivariate
46
`
The nonlinearity also generates terms O 3 which would appear further to the right
on the diagram. However, for our purposes only the leading order effect in the various
directions are significant.
47
At the very least, the arrows determine valid truncations when computing the multivariate expansions.
3
2
1
0
245
..
..
..
..
.
.
.
.

0
1
2
3
Figure 3.24: information flow across the Newton diagram with arrows showing how terms of various multivariate orders depend upon other terms: the
bullets, , denote some algebraic expressions in the global variable x.
asymptotic expansions means we keep a finite number of terms in the

expansion. These finite number of terms correspond to some subset of
the terms represented in a Newton diagram. Thus to compute terms
correctly in the expansion, we must ensure that the arrows of influence only point out of the set of terms retained in the expansion. If
this were not so, that is, if we tried to compute terms which depended
upon other terms we neglect in the computation, then almost surely
we must incur errors. Influence arrows must not point from unknown
terms to supposedly found terms.
Figure 3.25 schematically show some valid and invalid truncations of
a particular multivariate asymptotic expansion. The coloured lines
divide the computed terms, those to the lower-left, and the discarded
terms, those to the upper-right, in the computation of the slow manifold. The invalid truncations have influence arrows entering the computed terms from the region of discarded terms. Thus the computed
terms will have errors from the discards. It is only when the influence
arrows only leave the computed term region that the computed terms
will be correct.
246
(a) three valid truncations

..
..
..
..
.
.
.
.
3
@
@
2

H
H@
H
@ -H
@
@
1 H

H
@HH@
-@ H@
HH
0 @
@
H
@
@
0
1
2
3
(b) two invalid truncations

..
..
..
..
.
.
.
.
AA
A
3 A
AA
2

A
-A 1 AA
AA
0
0
1
2
3
Figure 3.25: valid and invalid truncations of a multivariate asymptotic expansion drawn on the Newton diagram: the green, cyan and red lines give
the boundaries of computed termsterms below and to the left are those
retained. In the valid truncations of (a), the ignored terms to the right
and abovethe green and cyan
lines may be algebraically expressed as errors
O 3 + 3 and O 4 + 2 , respectively.
247
Let us proceed to explore the general dynamical system

u = Lu + f(u) ,
(3.39)
where f is strictly nonlinear so that the origin is an equilibrium. Suppose

the systems centre manifold model is

u = v(s) = Es + O s2
such that s = g(s) = Gs + O s2 .
(3.40)
Although it is not the only aspect we may need to consider, the operator
(matrix) G of the model often determines feasible truncations of the asymptotic approximations.
In this discussion we only consider local amplitudes in s, such as and
in the preceding example; global amplitudes, such as x in the preceding
example, have no error terms associated with them and so do not enter our
discussion of truncations of asymptotic exapnsions.
Nonlinearity places little restriction
The question: if we make modify a term in the asymptotic approximation to
the centre manifold model, what terms will be affected in the residual? Since
the residual drives corrections to the approximation of the centre manifold,
via the homological equation
Lv 0
v 0
Gs Eg 0 = Res ,
s
(3.41)
the answer to this question determines the dependencies in the Newton

diagram.
Now, each term in the asymptotic expansions for the centre manifold model
is a product of powers of m (local) amplitudes in s. Thus each term corresponds to a lattice point in some general m dimensional Newton diagram:
a term in sp1 1 spmm corresponds to the lattice point (p1 , . . . , pm ). Suppose we modify the term in sp1 1 spmm , what terms are affected by such a
modification?
248
s32
s22
s12
s02
..
..
..
..
.
.
.
.
% % % %

% % % %

% % % %

% % % %

s01
s11
s21
s31
Figure 3.26: information flow across the Newton diagram with arrows showing how terms of various multivariate orders influence other terms through
the nonlinearity f(u) in the dynamical system (3.39).
Firstly, through the linear operator L in the dynamical system (3.39), any
change at order sp1 1 spmm has a direct affect at that order. Indeed, this is
how the iterative construction works: when a term of a given order occurs
in the residual, the homological equation (3.41) guides us to choose modifications that cancel out the terms in the residual. The linear operators
L and E on the left-hand side of the homological equation (3.41) reflect this
direct dependence.
Second, the strictly nonlinear function f(u) in the dynamical system (3.39)
influences only higher order terms. Any modification in the approximation
u = v(s) at a term sp1 1 spmm will, because of the necessarily multiplicative
nonlinearities in f, cause the function f to generate terms of higher order
in the residual. Here, higher order means a term sq1 1 sqmm where the
exponents qj pj and at least one of these inequalities is a strict inequality.
Thus on a Newton diagram, two dimensional for simplicity, the nonlinearity
represented by the nonlinear function f only influences upwards and/or to
the rightFigure 3.26 illustrates these typical influences.
Figure 3.26 shows that direct nonlinearity places relatively mild restrictions
on the truncation of the asymptotic approximations: we just need to consisTony Roberts, 16 Apr 2009
249
tently neglect terms that are of higher order in at least one variable of the
centre manifold model.
Third, the time derivative u has subtle effects that deserve the careful consideration and study of the next two sub-subsections.
Linear time dependence dominate possible truncations
The previous sub-subsection considered some of the effects of modifying
some term in the asymptotic approximation to the centre manifold model (3.40).
In particular it explored the dependencies generated through the linear
term Lu and nonlinear terms f(u) in the dynamical system (3.39). Now
we explore the intriguing dependencies generated through the time derivative u in the dynamical system (3.39).
Suppose the residual has such a term: given such a term in the residual
we modify, through choosing v 0 or g 0 , the asymptotic approximation to
the centre manifold in order to cancel the term in the residual: However,
depending upon operator G, time derivatives, represented by the term vs0 Gs
of the homological equation (3.41), does couple modifications.
Consider some low dimensional examples.
The operator G being diagonal is the simplest case. In particular, for
the common case of approximating slow manifolds the operator G = 0
which is even simpler. In this case the influence of any change is always
to strictly higher order terms, up and to the right in a 2D Newton
diagram, and so we may be extremely flexible about truncation.
The operator G is in Jordan form.
Example 3.35:
For example, = 0 , x = xy and y = y + x2 ,
for which, with slow variables s = (, x) ,

0 0
G=
.
1 0
Hence a modification in a term xp q generates, via the time
a term in xp1 q+1 . An influence flows upwardsderivative x,
250

left in a Newton diagram on the pq-plane as for those plotted in
Figures 3.24 and 3.25.
Such a toy example is analogous to crucial parameter dependencies

occurring in the gravitational forcing of thin films, or when there is a
source/sink of contaminant in its dispersion along a channel.
Example 3.36:
Or, similar to Example 3.34, we could have a slowly
varying bifurcation parameter as in the system
= 0 , = , x = x xy , y = y + x2 .
Then, with the slow variable vector
0 0
G = 1 0
0 0
s = (, , x) , the operator
0
0 .
0
Consequently, as in Example 3.34, we can truncate asymptotic

approximations to equal or lower order in than in . But there
is no dependency between slow variables x and (, ) so we are free
to truncate the asymptotic expansion in variables x independently
of how we truncate it in and .
G is block diagonal. Then the variables in each block are fully coupled
together, determined simultaneously, and the error expressed in their
overall evenly weighted amplitude.
?? This version of the theorem overturns much current practise. With
currently extant methods, such as that of multiple scales, people have to try
very hard to get the relative scaling of one variable correct compared to
another. For example, to analyse the pitchfork bifurcation one normally is
forced to say things like x2 at the very start of the analysis. With
centre manifold theory we need assert no such thing, it just turns out to
be a natural consequence of the dynamics in the model. This theorem, in
essence, allows one to scale different effects in a very general way. That is,
the centre manifold model is valid over a wide range of scaling regimes.
251
Beware nonlinearity coupled with time dependence

Example 3.37: A mistake I made this poor application of theory in the
gravitational forcing of a thin fluid layer. Consider the toy problem
= 0 , x = xy and y = y + x2 where the forcing of x is
analogous to gravitational acceleration of the fluid. In an effort to
avoid having the forcing in the linear dynamics, I set = 2 and
adjoined = 0 . Consequently, the linear forcing became nonlinear
0
term in
and could surely be treated differently. Alas no. The vs g
v 0 . But
v 0
2
the equation for corrections then involves x instead of x
we gain nothing as the information flow across the Newton diagram is
still fundamentally the same.
GinzburgLandau scalings: extant heuristic is that you have to scale space,

time and amplitude so terms appear at same order. In shear dispersion
this is impossible. Structural stability?? Propagating waves: shift to group
velocity is impossible with counter propagating waves. ??
3.6.3
Summary
??
Exercise 3.38:
Revisit Example 3.33: x = xy , y = y xy + ,
for small parameter . Construct slow manifolds and models for
small (, x) and also just for small . Compare and contrast the
two different approximations for the dynamics and their theoretical
support.
252
3.7
Sorry:
Irregular centre manifolds encompass novel

applications
Centre manifold theory is even more flexible. Although it is restricted to dynamical systems with a linear part that has a good spectral gap, innovative
transformations of the time variable empower us to apply it to other problems. For example, later ?? we see how transforming to log-time separates
the continuous spectrum of diffusion on an infinite domain into a discrete
spectrum for modelling via centre manifold theory: the algebraic decay of
diffusion in an infinite domain becomes exponential decay in log-time.
For now we restrict attention to two variable dynamical systems. Without
loss of generality, suppose a region of interest surrounds an equilibrium at
the origin. The simple normal form for a slow manifold (Elphick et al.
1987, Cox & Roberts 1995) near the equilibrium, if regular, is
x = g(x)
and y = (x)y ,
(3.42)
where to date g(0) = g 0 (0) = 0 and the decay-rate (0) > 0 . These conditions and the form of (3.42) ensure there exists the slow manifold M : y = 0 .
Further, as the decay-rate (0) > 0 , the slow manifold M is exponentially
quickly attractive to all neighbouring solutions. We begin to investigate
the possibilities when at the equilibrium the decay-rate (0) = 0 or even
(0) = . Theory is useless in a direct application. Nonetheless, the analysis herein suggests that the usefulness of centre manifold theory extends to
at least some irregular situations.
3.7.1
Compress time
As a first example, suppose the dynamics near an equilibrium are of the

form
x = x5 and y = x2 y .
(3.43)
3.7. Irregular centre manifolds encompass novel applications
253
See that as x evolves slowly to zero, the decay-rate to the invariant manifold y = 0 becomes very small. Thus we cannot be sure that solutions
off y = 0 are well modelled by solutions on y = 0 .
However, similar to the work by Wayne (1997) for diffusion problems in
unbounded domains, introduce a compressed (asymptotically slower) time
Z
= x2 dt t1/2 .
(3.44)
I use dashes to denote derivatives in this new time, d/d, so that now
y = y 0 d/dt = x2 y 0 . Similarly, x = x2 x 0 . Hence the ode (3.43) becomes
x 0 = x3
and y 0 = y .
(3.45)
Hence in the compressed time , rigorous centre manifold theory applies to

ensure the existence of the slow manifold y = 0 and the relevance of the
evolution thereon as a model for all the dynamics.
Note that the exponential decay in
onto y = 0 corresponds to a slower
decay in time t, namely like exp( t) , but that this decay is still much
faster than the algebraic evolution of the model parameter, x 1/2 t1/4 .
The original system (3.43) does have a useful slow manifold despite the
irregular nature of its fixed point.
3.7.2
Generally transform time
Now try the same transformation for the more general normal form (3.42).
Introduce the new time
Z
= (x) dt ,
(3.46)
whence y = (x)y 0 and similarly for x so that in the new time the dynamical
system (3.42) is
x 0 = g(x)/(x) and y 0 = y .
(3.47)

Evidently, provided g(x)/(x) is asymptotically small enough, usually O x2 ,
near the equilibrium, then there exists a relevant slow manifold which is exponentially quickly attractive in . This proves that for equations of the
254
normal form (3.42), no matter how slow (or fast if (0) = ) the decayrate near the fixed point, a useful slow manifold exists provided the rate
of evolution of x is significantly slower.
For example, if xp and g xq then y = 0 is a useful slow manifold
provided q > p + 1 . The exponentially quick attraction in of y = 0
corresponds to an attraction in time roughly as
h
i
exp t1p/(q1) .
This is sub-exponential decay, but still faster than algebraic, if p > 0; and
conversely is super-exponential decay in the singular case of p < 0 .
3.7.3
Not Dmitrys turbulence example
Consider the system

x = xy
and y = 2y2 + 21 x2
(3.48)
which is Dmitrys turbulent shear model system without the bouyancy term.
Physically relevant values of variables x and y are positive; we will not
consider negative values. Transform to new variables
x = 2 + and y = + 2 ;
(3.49)
the system becomes
= 2 + 32 2
and = 3
5 2 .
2
(3.50)
See that = 0 is an invariant

manifold; furthermore it isR attractive for
small , namely for || < (3 2/5) . Scale time to = dt then the
system becomes
0 = + 23 2 /
and 0 = 3
5 2 / .
2
(3.51)
Provided 2 / is small, see the system does not have a slow manifold model
as the two linear eigenvalues are 1 and 3. However, the variable does
decay three times faster than the variable, hence the trajectories will curve
noticeably to the invarient manifold = 0 . Consequently, = 0 is not a
slow manifold but might be termed instead a semi-slow manifold.
3.8. Chapter summary
3.7.4
255
Summary
What do we do now? Two possibilities spring to mind but as yet I have

no idea how to proceed: perhaps work on generalising the time transformation to 2D irregular fixed points which are not in normal form; or perhaps
generalise the above normal form analysis to higher dimensions.
3.8
Chapter summary
items:for:the:chapter:summary
quasi??
Current centre manifold theorems support the construction of low dimensional models of dynamical systems.
The existence of a model is based upon the eigenstructure near an
equilibrium or a set of equilibria.
The model is relevant over a finite domain in state space.
Approximations can be found so straightforwardly that we easily program computers to handle most of the messy details.
In applying the techniques to the TaylorCouette problem, one now
appreciates that there are many details to decide. However, the overall
plan is the same no matter what problem is approached. The final
result in this application is a Landau equation for the growth and
saturation of the Taylor vortices. The model describes these onedimensional dynamics for this infinite dimensional fluid dynamical
system.
In a remarkable application of these techniques, Arneodo et al. (1985a)
proved the existence of chaos in fluid dynamics. They examined triple
convection where heat, salt and momentum are advected by and diffuse through the fluid. By varying the parameters of the problem, one
can find a set where the linearised problem has three 0 eigenvalues.
256

By theory there thus exists a 3D slow manifold in this vicinity. On
the slow manifold, the three evolution equations are found to describe
dynamics which is chaotic for some range of parameters close to critical. Hence the chaos also exists in the original infinite dimensional
fluid dynamics.
However, there is one outstanding issue in the application to Taylor
Couette flow (and to convection for that matter). In a truly long
cylinder and for a Reynolds number above critical, there is a band
of marginally unstable modes, not just one as we have assumed previously. Such a band of weakly unstable modes allow for long-term
evolution of the spatial structure of the Taylor vortices, not just their
amplitude. This is the problem of pattern evolution and wavenumber
selection. We return to this issue in ??.
Global models are very powerful in approximating dynamics over a
wide domain.
Newton diagrams help determine reliable truncations of the asymptotic approximations to the centre or slow manifold models.
??irregular
Chapter 4
High fidelity discrete models

use slow manifolds
Contents
4.1
Introduction to some numerical methods . . . .

4.1.1 Classic finite differences interpolate polynomials
4.1.2 Spectral projection is inflexibly accurate . . . . .
4.1.3 Finite elements are very popular . . . . . . . . .
4.2 Introduce holistic discretisation on just two elements . . . . . . . . . . . . . . . . . . . . . . . . . .
4.2.1 Nonlinear diffusion in one element . . . . . . . .
4.2.2 Couple two elements together . . . . . . . . . . .
4.2.3 The two element asymptotic model converges . .
4.2.4 Prefer nonlocal internal boundary conditions . .
4.3 Holistic discretisation in one space dimension .
4.3.1 Model diffusion-like dynamics consistently . . . .
4.3.2 Model advection-diffusion robustly . . . . . . . .
4.3.3 Discretise the nonlinear Burgers equation . . . .
4.3.4 Exercises . . . . . . . . . . . . . . . . . . . . . .
4.4 Summary . . . . . . . . . . . . . . . . . . . . . . .
257
259
. 259
. 259
. 265
284
. 285
. 292
. 298
. 304
312
. 313
. 325
. 333
. 337
340
258
Chapter 4. High fidelity discrete models use slow manifolds
Numerical solutions of partial differential equations (pde) sample the solution field at discrete points or on discrete elements. There are many fewer
modes in such discrete approximations. Thus such numerical approximations deal with low dimensional approximations of high dimensional systems.
Surely we must be able to adapt our slow manifold techniques to construct
and improve numerical discretisations.
For example, consider the diffusion equation for a field u(x, t) on a finite
domain:
u
2 u
=
such that u(0, t) = u(, t) = 0 .
(4.1)
t
x2
Classic separation of variables tells us there are an infinite number of modes
in the general solution of the full diffusion equation (4.1):
u(x, t) =
ck ek t sin kx .
k=1
To form a finite difference discretisation with m intervals define grid points

Xj = jh where the grid size h = /m and define grid values Uj (t) = u(Xj , t) .
Then a simple discrete model for numerical solution is
j = Uj+1 2Uj + Uj1 for j = 1, 2, . . . , m 1 .
U
(4.2)
h2
This discrete model has just m 1 modes, one for each grid value Uj ,
whereas the original continuum diffusion has an infinity of modes. The
numerical discretisation (4.2) is somehow a low dimensional model of the
diffusion dynamics (4.1). We explore how centre manifold theory supports
and improves such discrete modelling.
To provide comparison, Section 4.1 explores some relevant classic methods
for numerically simulating dynamics. We have to integrate dynamical partial
differential equations forward in time. The three main methods we introduce
are:
the method of lines (4.1.1) which discretises pdes in space using finite
differences and integrates forward in continuous time using any classic
integrator for odes such as RungeKutta integration;
4.1. Introduction to some numerical methods
259
spectral approximations, or Galerkin projection, (4.1.2) which approximates solutions of a pde as a sum of a finite number of global
modes in space, and then integrates in time; and
finite element methods (4.1.3), where the discretisation in space uses
interpolation and projection over local modes, and then time integration.
Centre manifold theory provides a marvellous alternative method for deriving accurate discretisations with wonderful support. To introduce the
fundamental ideas, Section 4.2 divides the solution domain into just two
finite elements. The key is to couple the solution fields within each element with a coupling parameter controlling the flow of information between
the two elements. The result is a model expressed in the evolution of two
grid values, one for each element, but which resolves the subgrid scale field
in each element by systematically approximating solutions of the governing
pde. This contrasts with traditional discretisation methods which impose
assumed subgrid fields.
Stuff:for:the:chapter:introduction
4.1
Sorry:
Introduction to some numerical methods

Here:give:the:section:introduction:followed:by:subsections
4.1.1
Classic finite differences interpolate polynomials
Introduce classic differences and notation??
4.1.2
Spectral projection is inflexibly accurate
As named, spectral methods are built from the natural modes of the linear dynamics of a problem. Obtaining the eigenmodes (eigenvectors) of
Tony Roberts, 4 Jun 2009
260
the linear dynamics, one builds approximations that are global in the domain. In spatial problems there are an infinite number of such eigenmodes
so the numerical approximation is to choose a useful finite number of modes.
Another approximation is that often the true eigenmodes are hard to find
so that often one uses approximate eigenmodes to form a pseudo-spectral
approximation.
Example 4.1: toy example Our first example focusses on the first approximation, that of choosing a subset of useful modes. This toy example illustrates some of the issues. Consider the three dimensional
system
x = ax y2 + x z ,
y = y + x2 + xz ,
z = 4z + xy ,
(4.3)
where a is some smallish parameter. The aim of a spectral approximation is to approximate the full three dimensional dynamics by that of
just one or two modes. Here the linearised system is diagonal (x ax ,
y = y and z = 4z) so the modes are represented by the primitive
variables x, y and z.
A first question: how can we measure the quality of an approximation?
One possibility we employ here is to compare the slow manifold of the
approximations with the slow manifold of the original system that
occurs for small parameter a:
y = (1 2a)x2 + ,
3
11
16 a)x +
53
( 34 16
a)x4
z = ( 14
such that
x = ax
(4.4)
Such comparison ignores any differences in the transients, but at least

focusses on the long term emergent behaviour.
A second question: which mode(s) do we choose to retain in the spectral model? The almost universal default is to choose those modes of
slowest dynamics. Here there are two possible spectral models: one
261
where we keep just the x mode; and one where we keep both the
x and y modes.
1. First explore the spectral approximation obtained by just keeping
the x mode only. Then the spectral approximation is to set y =
z = 0 in the x equation of the system (4.3) to construct the
spectral model of simply x = ax.
This spectral model is almost useless. True, it does predict the
fixed point x = 0 and its loss of stability as parameter a crosses
zero. But the model contains no useful finite amplitude dynamics.
2. Second we turn to the spectral approximation of the x and y
modes together. Then the spectral approximation is to set z = 0
in the x and y equations of the system (4.3) to construct the
spectral model
x = ax y2 ,
y = y + x2 .
This spectral model resolves transients et through the y mode,

but neglects transients e4t of the neglected z mode. Its long
term evolution is its slow manifold
y = (1 2a)x2 +
such that x = ax (1 4a)x4 + .
Thus this spectral model correctly

predicts the qualitative nonp
linear stabilisation at x 3 a/(1 4a). But the location of the
finite amplitude
fixed point is quantitatively wrong as it should
q
53
be at 3 a/( 34 16
a). The error is largely due to the ratio between the largest retained eigenvalue, here 1 from the y mode,
and the smallest neglected, here 4 from the z mode. Hence we
see the relative error of about 1/4.
The general principle seen in this example is that the error in a spectral
approximation is roughly the ratio between the rate of evolution in the
spectral model and the smallest of the rates of decay of the neglected modes.
262
Now let us turn to a more typical example of spectral projection. Generally

one uses the method for partial differential equations. We see some generic
aspects of spectral approximation of the dynamics of a modified Burgers
equation.
Example 4.2: modified Burgers equation
Consider the dynamics
of a modified Burgers partial differential equation for an evolving
field u(x, t) on the spatial domain (0, ):
u
2 u
u
=
+ au u
,
2
t
x
x
u(0, t) = u(, t) = 0 .
The parameter a controls stability through the linear growth term +au.
First find a spectral basis for approximations. Here the linear terms in
the right-hand side are uxx +au. Thus solve the eigenvalue/eigenmode
differential equation uxx + au = a with boundary conditions of u = 0
at x = 0, . Being constant coefficient the solutions are trigonometric
and/or exponential functions. A little first year algebra leads one
to discover the eigenmodes are sin kx for integer k corresponding to
eigenvalues k = a k2 . The modes sin kx are the eigenmodes of the
spectral basis.
Second, represent solutions to the partial differential equation in the
form of a truncated sum of time dependent components of these infinite
number of eigenmodes: seek
u(x, t) =
K
X
uk (t) sin kx
k=1
for some functions uk (t) where we keep the first K eigenmodes in the
spectral approximation. Let us just look at the linear dynamics first.
Substitute the spectral sum into the differential equation:
K
X
k=1
u k (t) sin kx =
K
X
(a k2 )uk (t) sin kx .
k=1
263
Equating coefficients of the (linearly independent) trigonometric modes

indicates that linearly the dynamics are encompassed by the model
u k = (a k2 )uk
for k = 1, . . . , K .
Third, we need to include the nonlinear term which here is

! K
!
K
X
X
u
=
um sin mx
nun cos nx
u
x
=
m=1
K
X
m,n=1
K
X
n=1
num un sin mx cos nx

1
2 num un [sin(m
m,n=1
K
X
1
2 sin kx
k=1
k1
X
+ n)x + sin(m n)x]
nun ukn +
n=1
Kk
X
n=1
nun uk+n
K
X
!
nun unk
n=k+1
Here the approximation is to neglect the components in the product

that generate modes for wavenumber k > K as the spectral approximation is that all those high wavenumber components are zero. Adding
this approximation of the nonlinear term to the earlier linear dynamics
we find that the sin kx component then evolves according to
!
k1
Kk
K
X
X
X
nun ukn +
nun uk+n
nun unk
u k = (ak2 )uk 21
n=1
n=1
n=k+1
for k = 1, . . . , K . Choose some truncation K and solve these coupled

ordinary differential equations. The higher the value of K you choose
the more accurate your approximation, but the more work you have
to do to solve the approximate system.
For example, with truncation K = 2 the spectral model is the pair of
coupled ordinary differential equations
u 1 = (a 1)u1 + 21 u1 u2
and u 2 = (a 4)u2 12 u21 .

264

This predicts, among other
dynamics, the existence of finite amplitude
p
equilibria at u 2 (a 1)(a 4) sin x + 2(a 1) sin 2x . Higher
truncations K would be more accurate.
The previous example showed that using basis functions, here sinusoids, that
are linear eigenmodes greatly simplifies the algebraic representation of the
linear dynamics of a system. Moreover, and very importantly, we are also
then empowered to order the basis functions in order of their decay rates.
Consequently, a simple truncation to the first K modes consistently retains
all modes with slowest decay and neglects consistently all quickly decaying
modes. We need to be consistent.
Dealing with nonlinear terms in the equations is then more involved. The
rearrangements seen here for the modified Burgers equation are about as
simple as they get. Generally expect more complicated rearrangements.
Sometimes rearrangement is not possible and one may have to resort to
explicit integration in order to find the component of a particular mode.
The next example is one such case.
Example 4.3: psuedo-spectral approximation
u
2 u
u
=
+ axu u
,
2
t
x
x
u(0, t) = u(, t) = 0 .
A spectral basis is sin kx for integer k, but only basis for linear operator when one ignores the inhomogeneous term axu. Hence, explicitly
project, rather than simply equating coefficients as in the previous
example.
One typically has to explicitly project, via appropriate integrals, for inhomogeneous pdes.
4.1.3
265
Finite elements are very popular
The finite element method is a numerical approach which can be used for the
accurate solution of complex engineering problems. Just some engineering
problems which use the finite element method are listed in Table 4.1. It is
the method of choice for much of the engineering profession.
In the finite element method, the solution region is considered as being built
up of many small, interconnected subregions called finite elements. In
many uses the small elements are triangles or tetrahedra which when pasted
together form the whole of the region under consideration.
Initially, the finite element method was developed to handle problems where
the desired configuration is obtained via minimising the potential energy.
However, it was quickly generalised to other problems where such a minimising principle does not holdthe method then using what is known as
weighted residuals. We shall follow a similar path: first via minimisation
and later developing the methods of weighted residuals.
Specific objectives
To know the six basic steps of the finite element method for both the
potential energy minimisation and weighted residual approach to a
statics problem.
To use the finite element method in one dimension; and solve the
resultant equations by hand or on a computer as appropriate.
To be able to extend the basic linear interpolation of the finite element
method to higher-order interpolations according to the principles of
the method in an application.
One-dimensional introduction: stress analysis of a stepped bar

Introduce the basic concepts of the finite element method by investigating
one dimensional examples. There the physical details are simplest and so
266
Table 4.1: some engineering applications of the finite element method (?,
p78).
Area of study
Civil engineering
structures
Aircraft structures
Geomechanics
Hydraulic and
water resources
engineering;
hydrodynamics.
Equilibrium
problems
Static analysis of
trusses, frames,
folded plates, shell
roofs, shear walls,
bridges and
prestressed
concrete.
Static analysis of
aircraft wings,
fuselages, fins,
rockets, spacecraft
and missile
structures
Eigenvalue
problems
Natural frequencies
and modes of
structures; stability
of structures.
Propagation
problems
Propagation of
stress waves;
response of
structures to
aperiodic loads.
Natural
frequencies, flutter,
and stability of
aircraft, rocket,
spacecraft and
missile structures.
Analysis of
excavations,
retaining walls,
underground
openings, rock
joints and soil
structure
interactions; stress
analysis in soils,
dams, layered piles
and machine
foundations.
Analysis of
potential flows, free
surface flows,
boundary layer
flows, viscous
flows, transonic
aerodynamic
problems.
Natural frequencies
and modes of
dam-reservoir
systems and
soil-structure
interaction
problems.
Response of
aircraft structures
to random loads;
dynamic response
of aircraft and
spacecraft to
aperiodic loads.
Time-dependent
soil-structure
interaction
problems; transient
seepage in soils and
rocks; stress wave
propagation in soils
and rocks
Natural periods
and modes of
shallow basins,
lakes and harbours;
sloshing of liquids
in rigid and flexible
containers.
Analysis of
unsteady fluid flow
and wave
propagation
problems; transient
seepage in aquifers
and porous media;
rarefied gas
dynamics; magnetohydrodynamics.

l1
-
A1 , E1
- u0
267
l2
A2 , E2
- u1
- F2
- u2
Figure 4.1: a stepped bar under axial load F2 applied on the right end, and
fixed at the left end.
detract less from the development of ideas.
We investigate the stresses in the stepped bar shown in Figure 4.1.
The bar is made of two lengths of rod, each having cross-sectional area A1
and A2 , and made of materials which have Youngs modulus E1 and E2
respectively. Unloaded, the two parts of the bar have lengths l1 and l2 .
However, the bar is subject to an extensional load of F2 on the right end
and so stretches. Our aim is to find the deformation of the bar. Wherever
we want to be definite, we use the following data: A1 = 2 cm2 , A2 = 1 cm2 ,
l1 = l2 = 10 cm, E1 = E2 = E = 2 106 N / cm2 , and F2 = 1 N.
1. Discretisation We consider that the bar is made of just two elements
as shown by Figure 4.1. By assuming that the bar is one dimensional,
we only consider the axial displacements along the rod. The discretisation is that we only consider the three displacements, uj , of the ends
of the elements as our unknowns.
2. Interpolation The rod is a continuum, thus we describe the deformation of the entire rod in terms of the three displacements uj . This
is an interpolation task. Here it is appropriate to assume that there is
a linear variation in the axial displacement. Let x measure distances
from the fixed wall when the rod is unloaded, then the displacement
field in each of the two elements is
u = u0 + (u1 u0 )x/l1
and u = u1 + (u2 u1 )(x l1 )/l2 .
3. Potential energy of the elements The potential energy of the

268

bar (T ) under the axial deformation is
T
= (strain energy) (work done by external forces)

= (T1 + T2 ) (u0 F0 + u2 F2 ) ,
where Ti denotes the strain energy of the ith element, and where F0 is
the unknown reaction on the bar of the immovable wall at the left end
of the bar.1 The strain energy in the ith element is
Z
1
Ti =
Ai i ei dx
i 2
Z
1
=
Ai Ei e2 dx
as i = Ei ei
2
i
Z 2
u
1
=
Ai Ei
dx
as ei = u/x
2
x
i
Ai Ei
(ui ui1 )2
=
2li
where the integration is over the entire element. This expression for Ti ,
a function of the unknowns ui1 and ui only, may be written in matrix
form as

ui1 ui
Ai Ei
ui1 ui
Ti =
ui1 + ui
2li

1 T
ui1
u Ki ui
where ui =
=
ui
2 i
and where

Ai Ei 1 1
Ki =
1 1
li
is called the stiffness matrix of the ith element.
4. Assembly of equations If the bar as a whole is in equilibrium, the

principle of minimum potential energy T gives
T
= 0,
ui
1
i = 0, 1, 2 .
There is no work done by the unknown reaction F0 at the fixed left end as the displacement there is u0 = 0.
269
Since T = T1 (u0 , u1 ) + T2 (u1 , u2 ) u0 F0 u2 F2 , in terms of the contributions arising from each element this gives
T
T1
=
F0 =
u0
u0
T1
T2
T
=
+
=
u1
u1 u1
T
T2
=
F2 =
u2
u2
A1 E1
(u0 u1 ) F0 = 0
l1
A1 E1
A2 E2
(u0 + u1 ) +
(u1 u2 ) = 0
l1
l2
A2 E2
(u1 + u2 ) F2 = 0
l2
These are put together to form a set of linear equations which may be
written in matrix form as
A E

Al11E1
0
+ l11 1
F0
u0
A1 E1
A1 E1
A2 E2
A2 E2
+
+
0
u
=
l1
1
l1
l2
l2
A2 E2
A2 E2
F2
u2
0
l2
+ l2
or more concisely2
Ku = F
where the overall stiffness matrix K is formed from the stiffness matrices of the elements by adding appropriately

K1 0
0 0T
K= T
+
;
0 0
0 K2
this is generally the easiest approach. Using the example data gives

2 2 0
F0
5
K = 2 10 2 3 1
and F = 0 .
0 1 1
1
5. Solution The naive approach is then simply to assert that the unknown displacements are u = K1 F. However, the stiffness matrix K
is singular, it does not have an inverse. The error in trying to invert
the matrix K is that we have not explicitly included the boundary
2
Stiffness matrices K should always be symmetric.

270

condition that the left-end of the rod is fixed, u0 = 0. Nor have we
recognised that the reaction at the left-end, F0 , is an unknown. The
procedure3 then is to put the known u0 on the right-hand side of the
equation, as it is zero in this example it does not change anything, and
to put the unknown F0 on the left-hand side of the equation. Thus we
need to solve
1

0
F0
2 105 2 0
2 105
0
3 1 u1 = 0
1
u2
0
1 1
Solving this is straightforward and gives
u1 = 2.5 106 cm
u2 = 7.5 106 cm
F0 = 1 N .
6. Additional computations Once the unknowns have been found,

other supplementary features of the bars deformation may be computed. For example, the strains within the elements may be found
from

u
ui ui1
0.25 106 , i = 1
e=
=
=
0.50 106 , i = 2
x
li
and stresses within the elements are then

0.5 N / cm2 , i = 1
= Ee =
1.0 N / cm2 , i = 2
Exercise 4.4: Find the deformation of a tapered bar when it is under an
axial load of F = 1 N. The bar is 10 cm long and has a linearly tapered
radius ranging from 2 cm at the root to 1 cm at the right tip. Take
Youngs modulus of the bar to be 2 106 N / cm2 .
1. Use two finite elements and find the stress distribution within the
bar.
2. Use ten finite elements and solve the tridiagonal equations on a
computer to determine the movement of the end of the bar.
3
You may have been told other ways to solve this sort of equationchoose a method
that works.
271
Answer: This is an elementary application of the finite element method.

The procedure is the same as in the notes except that here the element
integrals are more involved. Solving the equations on a computer could be
done by one of the multi-grid programs developed earlier.
Exercise 4.5: Use the method of finite elements to find an approximate

solution to the differential equation
(x + 1)
d2 u du
+ u = f(x) ,
dx2
dx
0<x<1
for forcing f(x) = 1, and subject to the boundary conditions u(0) =

u(1) = 0. Proceed via minimising the energy integral
Z1
T=
0
1
(x + 1)
2
u
x
2
1
+ u2 fu dx
2
using two equi-sized elements over the domain. Clearly label the five
main steps of the finite element method in your analysis. To simplify
the analysis, use the boundary conditions as early as possible, for
example, in the interpolation.
Answer: Follow the standard plan laid out in the notes.
Exercise 4.6: For a higher order of accuracy with few elements we use a
higher order of interpolation within each element. However, each element needs enough unknowns associated with it to match the number
of coefficients of the interpolation. Quadratic interpolation in one dimension may be obtained by having three nodes on each element: one
at each end, and one usually at the midpoint. If the ends of an element
are at x1 and x2 , then the natural coordinates (see later for a formal
definition) are L1 (x) = (x2 x)/(x2 x1 ) and L2 (x) = (xx1 )/(x2 x1 ).
Show that L1 (2L1 1), L2 (2L2 1) and 4L1 L2 are all quadratic in x and
are each take the value zero on two nodes and one on the other node.
Hence argue that u(x) = u1 L1 (2L1 1) + u3/2 4L1 L2 + u2 L2 (2L2 1)
is the quadratic interpolation through (x1 , u1 ), ((x1 + x2 )/2, u3/2 )
and (x2 , u2 ).
272

Use these quadratic elements to rework the two element example of
the analysis of a stepped bar. Put in specific numbers wherever these
will simplify the analysis.
Answer: This is an example of higher order interpolation.

1. The functions are quadratic because they are the product of two linear
functions.
2. L1 (2L1 1) is zero at x2 and (x1 + x2 )/2 and one at x1 . Similarly for
the others.
3. A constant linear combination of these natural coordinates is necessarily
quadratic and, by evaluating at the nodes, has the correct values at the
nodes.
In the application to the stepped bar, the element integrals are more involved,
and furthermore they are in terms of the five nodal variables u0 , u1/2 , u1 ,
u3/2 and u2 .
Exercise 4.7: The downwards deformation, w(x), of a thin beam under a

2 2
R
distributed load p(x) minimises the energy T = 12 EI xw
pw dx.
2
Since this involves the second derivative, to use finite elements we need
an interpolation which ensures that the function and its first derivative
are continuous. One way to do this is to have a two-node element, one
node at each end, but with two variables at each node: w and w/x
(denoted by w 0 ). The two nodal variables at each end are shared with
their neighbours. By considering the behaviour of w and w/x near
the ends of an element, argue that the (cubic) interpolation (in terms
of the natural coordinates specified in the preceding problem) w(x) =
w1 L21 (1 + 2L2 ) + w2 L22 (1 + 2L1 ) + (x2 x1 ) w10 L2 L21 w20 L1 L22 and its
first derivative are continuous across the junction from one element to
the next. Use two such elements to find the downwards deformation
of a beam of constant EI under its own weight, p(x) = Ag, when its
left-end is clamped, w = w/x = 0 at x = 0, and its right-end is free,
2 w/x2 = 3 w/x3 = 0 at x = L.
273
Answer: Again an example of higher order interpolation, but forced due

to the higher order derivatives occurring in the element integrals.
1. These functions of L1 and L2 are cubic because they are essentially
products of three Li factors.
2. Observe that L21 (1 + 2L2 ) is one at x1 is zero at x2 and has zero slope
at both x1 and x2 . Similarly for the other functions; for example,
(x2 x1 )L2 L21 is zero at both x1 and x2 and has zero slope at x2 , but
it has slope 1 at x1 .
3. Hence the given linear combination is a cubic interpolation over [x1 , x2 ]
with given value wi and slope wi0 at endpoint xi . Because the function
and its slope takes on the specified values at the endpoints, the function
and its slope must be continuous from one element to the next.
The analysis of the beam then follows a similar outline as before but in the
nodal variables w0 , w00 , w1 , w10 , w2 and w20 . (Of course, w0 = w00 = 0 at
the clamped end.)
General outline of the finite element approach

The previous example illustrates the finite element procedure to be followed.
A description of the steps in general are as follows.
1. Discretisation of the structure The first step is to divide the structure or domain of interest into a finite number of elements. The number, type, size and arrangement of the elements have to be decided,
and is generally a matter of convenience and experience. Sophisticated
algorithms automatically adapt the elements to better fit the appearing solution. Depending upon dimension, the main element shapes are
as follows:
(a) One dimensional. The elements are line segments. The number of
nodes and associated variables assigned to each element depends
upon the type of of the interpolation function and the degree of
continuity required.
(b) Two-dimensional. Triangular elements are usually used as they
are most easily adaptable. Often the nodes are the vertices of
274

the triangle with the unknowns being the value of the solution at
these nodes, but sometimes more nodal variables are assigned to
each triangle. Quadrilateral elements are sometimes used.
(c) Three-dimensions. The four-node tetrahedral element is common; but the right prism and a general hexahedron are sometimes
used.
In axisymmetric problems, curved ring-type elements with axial symmetry are used. Similarly, near curved boundaries, elements with
curved edges may be introduced at the cost of complicating the derivation of the element properties.
2. Select the interpolation Typically the solution is determined in

terms of the unknown at a set of nodes on each element. To determine
the solution field, that is the values of all the physical quantities of
interest, within each element we then need to interpolate from the
nodal values of that element. The number of nodes per element and
the choice of interpolation is dictated by the order of accuracy required
and by the degree of continuity needed for the governing equations. In
the previous example the potential energy to be minimised is written
in terms of the first derivative, u/x; this needs to be bounded and
so the interpolation must be at least continuous, called C0 continuity.
However, in the sideways deflection of a beam the potential energy
involves the second derivative, 2 u/x2 , which needs to be bounded
and hence the interpolation must have a continuous first derivative as
well, called C1 continuity.
3. Derive element properties We need to find the contribution that
each element makes to the governing equations. In the case of minimising the potential energy this just involves finding the potential
energy of each element in terms of its unknown nodal values. In the
case of the weighted residual method it involves determining the contribution of each element to the coefficients of the nodal variables in
the eventual system of equations.
4. Assembly of the system To find the properties of the overall system
275
modelled by the assemblage of elements, we must assemble all the

element properties into one set of equations. These equations need
to be supplemented to account for the boundary conditions of the
problem.
5. Solve the system The assembled matrix gives a set of simultaneous
equations which we can solve for the unknown nodal variables. In a
linear problem these equations will be linear and straightforward to
solve. In a nonlinear problem, some iterative procedure will need to
be applied.
6. Additional computations Once the nodal variables are known, any
supplementary quantities of interest may be computed via the interpolation scheme.
Although this procedure has been discussed in the context of static problems,
it is flexible enough to adapt to analyse time dependent problems. But we
will not do so.
Weighted residual methodGalerkin

The method of weighted residuals is a technique for obtaining approximate
solutions to linear and nonlinear differential equations. It need have nothing to do with the finite element method; however, it allows us to use the
finite element approach to physical problems with no energy integral to
be minimised.
Advection-diffusion in a river Consider the flow of water in a river, pipe

or channel and investigate the dispersion of salt or any other contaminant in
the flow. The equation for the dispersion of the salt, of concentration c(x, t),
along the river, of varying cross-sectional area A(x) and mean velocity U(x),
is

c
c
1
c
+U
+
AD
= q/A
t
x A x
x
276
where D(x, t) is the longitudinal turbulent diffusivity, and q(x, t) is the rate
at which salt seeps into the river at location x. We analyse the steady
seepage of salt, or discharge of contaminant, into the river.
Boundary conditions also need to be specified. Assume that the inflowing
water at the upstream end of the river is free of salt, then the boundary
condition there is that the concentration c = 0. At the downstream end of
the river, although arguable, we use the condition that there is no diffusive
flux upstream, that is c/x = 0 at the exit.
For definiteness, take the reach of the river of interest to be 400 m long and
the seepage to occur into the middle half of the river, 100 m < x < 300 m, at
a constant rate of q = 0.1 m3 / s / m. Say the area is a constant A = 10 m2 ,
the mean advection velocity is U = 1 m / s, and the diffusion is D = 10 m2 / s.
That is, solve
c
2 c
1
+ 10 2 =
H(x)
(4.5)
x
x
100
where H(x) = 1 for 100 < x < 300 and H(x) = 0 otherwise.
1. Discretisation. We divide the river into four elements with end
points x0 = 0, x1 = 100, . . ., x4 = 400. Nodes are placed at these
endpoints and we seek the solution in terms of the concentration at
these nodes, namely c0 , . . . , c4 .
2. Interpolation. We employ a linear interpolation between these nodal
values to estimate the concentration field within any element. Within
the ith element, c = ci1 + (ci ci1 )(x xi1 )/100. For the weighted
residual method it is convenient to use the boundary conditions early
in the analysis.
(a) The upstream condition that c = 0 at x = 0 is easily implemented
by fixing c0 = 0.
(b) The downstream condition that c/x = 0 at x = 4 requires that
the linear interpolant in the last element be constant. This is
ensured by setting c4 = c3 .
Then, in terms of the three unknowns, c1 , c2 and c3 , the solution may
1 6
@
@
@
@
100
@
@
@
277
200
@
@
@
300
-x
400
Figure 4.2: the three basis functions i (x) for the four element analysis of
the dispersion of salt along a reach of river.
be written as
c1 x/100,
c1 + (c2 c1 )(x x1 )/100,

c(x) =
c + (c3 c2 )(x x2 )/100,
2
c3 ,
0 < x < x1
x 1 < x < x2
x 2 < x < x3
x3 < x < x 4
Alternatively, we express this as

c(x) = c1 1 (x) + c2 2 (x) + c3 3 (x) ,
(4.6)
where the continuous and piecewise linear functions i are drawn in

Figure 4.2.
3. Elementary integrals For the concentration field given by (4.6) we
need to attempt to solve the differential equation (4.5). Clearly, this
cannot be done exactly for every x as we only have three unknowns
in the discretisation. The Galerkin method requires that the residual
in the differential equation is orthogonal to the functions i used to
construct the approximation to c(x), that is

Z x4
2 c
1
c
+ 10 2
H(x) dx = 0
i
x
x
100
x0
Since there are three functions i , this will give three equations for the
three unknowns. However, the integrand involves the second derivative
of the approximate c(x) which is infinite at the nodal points due to the
278

slope discontinuities. We circumvent this here and in general through
integration by parts of the troublesome term:
Z x4
x0

Z x4
2 c
c x4
i c
i 2 dx = i
dx .
x
x x0
x0 x x
Since all the i = 0 at x = x0 and since c/x = 0 at x = x4 (as

it is a linear combination of the i which all do), then the boundary
contributions are zero. Thus for each i we aim to solve

Z x4
Z x3
i c
1
dx
dx = 0
i 10
i
x
x
100
x0
x1
Using the finite element approximation 4.2 for the concentration field
this becomes

Z x4
Z x3
1
i
1
2
3
c1
+ c2
+ c3
dx
dx = 0
i 10
i
x
x
x
x
100
x0
x1
which is a set of three linear equations for the cj :

Z x3
3 Z x4
X
i j
1
i 10
dx cj
i
dx = 0
x x
100
x1
x0
j=1
Each of the four elements apparently contribute terms to each of the

three equations. However, a lot of the contributions are zero due to
the fact that the functions j are zero everywhere except the element j
and element j + 1. We examine the four elements in turn keeping in
mind the shape of the functions i as shown in Figure 4.2.
(a) In the first element, only 1 (x) is non-zero and so there is only a
contribution to the first equation (i = 1):
R100
i. 0 [1 1010 ] c1 10 dx = = 52 c1
ii. nothing
iii. nothing
279
(b) In the second element, only 1 (x) and 2 (x) are non-zero. Thus
there are contributions to the first two equations:
R200
R200
1
i. 100 [1 1010 ] [c1 10 + c2 20 ] dx 100 1 100
dx = =
3
1
3
5 c1 + 5 c2 2
R200
R200
1
ii. 100 [2 1020 ] [c1 10 + c2 20 ] dx 100 2 100
dx = =
2
2
1
5 c1 + 5 c2 2
iii. nothing
(c) In the third element, only 2 (x) and 3 (x) are non-zero. Thus
there are contributions to the last two equations:
i. nothing
R300
R300
1
dx = =
ii. 200 [2 1020 ] [c2 20 + c3 30 ] dx 200 2 100
3
3
1
5 c2 + 5 c3 2
R300
R300
1
iii. 200 [3 1030 ] [c2 20 + c3 30 ] dx 200 3 100
dx = =
2
2
1
5 c2 + 5 c3 2
(d) In the fourth element, only 3 (x) is non-zero. Thus there is only
a contribution to the last equation:
i. nothing
ii. nothing
R400
iii. 300 [3 1030 ] c3 30 dx = 0 as 3 is constant there.
4. Assembly of equations Including all the above contributions to the
three equations, that is, adding all terms itemised by i. into one equation, all those itemised by ii. into a second, and so on, we find
2
5 c1
35 c1 + 53 c2
25 c1 + 52 c2
1
2
1
2
53 c2 + 35 c3
25 c2 + 25 c3
1
2
1
2
=0
=0
+0 = 0
which becomes
3
1
c1 + c2
5
5
1
2
280

c
2
1
q

q
0
300
400
q

100
200
-x
Figure 4.3: the approximate concentration field c(x) for a steady discharge
into the region 100 < x < 300.
2
1
c1 c2 +
5
5
2
c2 +
5
3
c3 = 1
5
2
1
c3 =
5
2
5. Solution Solve by your favourite method. Using matlab to check I

find
c1 =
5
0.31 ,
16
c2 =
15
0.94 ,
16
c3 =
35
2.19 .
16
The resultant concentration field is illustrated in Figure 4.3.

This completes the four element solution to the river dispersion. You may
like to note that it is in error by perhaps 10%. This can be seen because
the total influx of salt over the 200 m is 20 m3 / s. However, the total efflux
of salt out of the river at the end x = 400 is somewhat greater, UAc =
21.9 m3 / s. This increase indicates an erroneous lack of conservation of salt
of about 10%.
General formulation In general we may write a differential equation for
the unknown u(x) in the abstract form
Lu = f(x)
in a domain D
281
for some given right-hand side f. First, approximate the solution by a sum
u(x) =
N
X
ui i (x)
i=1
where ui are unknown coefficients and i are so-called basis functions which
each satisfy the boundary conditions of the problem. In a finite element
context ui are typically the nodal values of the unknown field u(x). The
basis function i would then be assembled from the natural coordinates
of those elements sharing the node i. For example, in one dimension with
linear interpolation between end-element nodes:
0
if x < xi1 or x > xi+1
xxi1
if
xi1 < x < xi
i =
xi xi1
xi x
xi xi1 if xi < x < xi+1
as shown by 1 and 2 in Figure 4.2.
For any given approximation, corresponding to a set of values for ui , the
residuals, r(x) = Lu f(x), measures how well the governing differential
equation is satisfied. Since the basis functions i all satisfy the boundary condition, then so will u(x) and we only need address the differential
equation. A good approximate solution will make the residual as small as
possible. Galerkins criterion is to require that the residual is orthogonal to
the basis functions themselves. That is, for each i
Z
i (Lu f) dx = 0 .
D
When L is a linear differential operator, we rewrite this equation as

Z
0 =
i (Lu f) dx
D

Z
N
X
=
i L
uj j f dx
D
j=1
282

Z
=
N
X
i
uj Lj f dx
j=1
Z X
N
uj i Lj fi dx
D j=1
N
X
N
X
i Lj dx
uj
D
j=1
Z
fi dx
D
kij uj Fi
j=1
where the coefficients are

Z
kij =
i Lj dx
D
Z
and
Fi =
fi dx
D
Since the above equation has to be true for all i, these form a set of linear
equations, Ku = F, to be solved for the unknowns u.
Typically, most of the interaction coefficients kij are zero. This is because the
basis functions are non-zero only in the small number of elements adjoining a
given node. For example, in one dimension Ri is identically zero outside the
interval xi1 < x < xi+1 ; hence the integral D i Lj dx = 0 for |i j| > 1
and consequently K is tridiagonal (as before).
Another issue is that in order to compute the interaction coefficients by
the above integral, we need basis functions with a high enough degree of
continuity for Lj to be bounded; however, this is tedious to achieve. To
circumvent this difficulty it is usual to perform integration by parts in order
to reduce the degree of differentiation of j . This is done at the expense
of differentiating i , so that the break even point is when the orders of
differentiation of i and j differ by no more than one. For example, in one
dimension

Z
Z
3 j i 2 j
4 j
2 i 2 j
i 4 dx = i 3
+
dx
2 x2
x
x
x x2
D x
D
283
To see the application of this method to other examples, see for example the
book by ? [4.2].
Exercise 4.8: Modify the analysis of dispersion in a river by formulating
the equations for four elements in the case where there is a point
discharge of contaminant at location x = 150 m of 10 m3 / s. Hint: this
only involves modifying the right-hand sides of the equations.
Answer: The point discharge only influences the first two linear equations
as only 1 and 2 are non-zero at the discharge site. The right-hand side of
the other equation is zero. A point discharge into the river is zero everywhere
except at the discharge site, and so the integrals involving the discharge
reduce to simply a contribution of the integrand at the discharge site x =
150 m.
Exercise 4.9: Find an approximate solution to the differential equation

d2 u
+ u + x = 0,
dx2
0<x<1
subject to the boundary conditions u(0) = u(1) = 0 by the weighted

residual method. Use three equi-sized elements over the domain. As
an extension, find the tridiagonal equations for N equi-sized elements.
Answer: Use the basic weighted residual method as discussed in the text.
Discretise the domain, choose linear interpolation, compute the element integrals remembering to integrate by parts the second derivative term, assemble
the equations, and solve.
Exercise 4.10: Use the weighted residual method to find an approximate

solution to the differential equation
x
d2 u
+ u = x2 ,
dx2
0<x<2
subject to the boundary conditions u = 0 at x = 0 and du/dx = 0 at

x = 2. Use two equi-sized elements over the domain. Clearly label the
five main steps of the weighted residual method in your analysis.
284

Answer: As for the previous exercise.
Exercise 4.11: The deflection of a beam on an elastic foundation is governed by the equation
d4 u
+ u = 1,
dx4
0<x<1
where x and u are dimensionless quantities. The boundary conditions

to be used are those for a simply supported beam at each end, namely
u = d2 u/dx2 = 0. Use the method of weighted residuals with three
equi-sized elements to find the approximate solution to this problem.
Recall that since the governing differential equation is fourth order,
you will need an interpolation scheme which is not only continuous,
but also has a continuous first derivativesee an earlier problem. Hint:
the final solution is eased by using the symmetry about x = 1/2 in the
problem.
Answer: After discretisation, choose the cubic interpolation based on
knowing u and u 0 = du/dx at the endpoints of the elements (as discussed
in an earlier problem). With three intervals the unknowns are then u0 , u00 ,
u1 , u10 , u2 , u20 , u3 and u30 . The boundary condition that u = 0 at each end
shows that u0 = u3 = 0, and the symmetry about the midpoint means that
u2 = u1 , u20 = u10 and u30 = u00 , thus reducing to three unknowns. The
boundary condition that d2 u/dx2 = 0 gives one equation, and the element
integrals another two equations (twice integrate by parts the fourth-order
derivative term). These three linear equations are then solved.
4.2
Introduce holistic discretisation on just two

elements
Warning:
Aim: explore the process of analysing a pde to produce a numerical discretisation. For example, we might want to discretise the nonlinear diffusion
4.2. Introduce holistic discretisation on just two elements
285
equation (on some finite domain)

u
2 u
=u 2
t
x
by
j = Uj Uj1 2Uj + Uj+1 .

U
h2
Discretisation approximates the dynamics of an infinite dimensional system,

u(x) evolving in time, by a finite dimensional system, Uj evolving in time.
Thus discretisation is another example of the process of dimensional reduction of a dynamical system. Centre manifold theory provides a novel and
potentially powerful method supporting numerical discretisations.
The plan:
1. introduce some key concepts in an example with just one numerical
grid point, one finite element, in the domain, see 4.2.1;
2. explore an example of relatively naive coupling between adjacent finite
elements when the domain is split into many, see 4.2.2;
3. introduce a nonlocal inter-element coupling that ensures consistency
as well as rigorous support from centre manifold theory, see 4.2.4.
4.2.1
Nonlinear diffusion in one element
Let us analyse an introductory example to introduce some key concepts. We

aim to model the long term dynamics of the field u(x, t) governed by the
nonlinear diffusion equation
u
2 u
=u 2
t
x
such that
u(1, t) = 0 .
(4.7)
The diffusion on the spatial interval [1, 1] will smooth out any spatial
variations in the field u(x, t): the small scale spatial variations will smooth
the fastest. However, the smoothing is nonlinear: at locations where the
field u is largest the diffusion smooths the quickest.
286
But the field u also decays over long times. For example, the parabolic
initial condition
u(x, 0) = a0 (1 x2 )
u(x, t) =
a0 (1 x2 )
1 + 2a0 t
is the solution for all time. That is, the algebraically decaying parabola is
an exact solution of the nonlinear diffusion equation (4.7). Now rewrite this
algebraically decaying parabola in the equivalent form
u = a(t)(1 x2 )
where
a = 2a2 .
(4.8)
Interpret this form as a low dimensional model of the full system (4.7) as
the model (4.8) replaces the spatio-temporal dynamics of the field u(x, t)
by simply the dynamics of the scalar a(t). The long term evolution of the
field u(x, t) should tend to this parabolic form because any wiggles in the
initial shape of the field u should smooth by diffusion to this parabolic
shape. This subsection construct the model (4.8) as a slow manifold. But
very importantly, centre manifold theory guarantees that starting from a
wide range of initial conditions u(x, 0) the evolution of the field u(x, t) will
be described, exponentially quickly in time, by the model (4.8).
The key to applying centre manifold theory is to identify simple equilibria
at a critical parameter value. Physically, equilibria usually correspond to
some conserved mode such as total amount of material or momentum. Here
for the nonlinear diffusion problem (4.7) there is no exactly conserved mode.
Thus adopt the artifice of inventing one. Such invention is a glorious fudge,
but I aim to convince you it is effective and valuable.
We base the analysis upon a nearby system that does form a tractable basis
for centre manifold theory, and perturb it to obtain the original system (4.7).
Schematically
invented base systems original physical system (4.7)
=0
= 1.
We use the parameter to move from the invented artificial system to the
original physical system: = 0 corresponds to the artificial system; and =
287
1 corresponds to the original. Here create a nearby system with a conserved

mode by inventively modifying the boundary conditions at x = 1 : instead
of u = 0, require the insulating and conserving ux = 0 for which u =
constant becomes an exact solution of the nonlinear diffusion pde in (4.7).
Now connect these different boundary conditions with a parameter by the
almost convex combination
(1 )
u
= 2u
x
on x = 1 .
(4.9)
See that this boundary condition reproduces the physical case u = 0 when
the artificial parameter = 1 , and reduces to a conservative boundary
condition ux = 0 when the artificial parameter = 0 . The choice of signs,
, in the right-hand side is determined by requiring the same physical
meaning of the boundary condition at each end of the domain: at x = +1
the flux of u out of the domain is proportional to ux ; whereas at x = 1
the flux of u out of the domain is proportional to +ux . There is an enormous
scope in inventing other bases for the analysis; we just explore the dynamics
of the pde (4.7) with these boundary conditions (4.9).
Proceed with slow manifold analysis: find equilibria; check for decay in the
linear dynamics; construct the model to some order in the parameters; and
finally interpret the resulting model.
Find equilibria: with = 0 the boundary conditions (4.9) are insulating

and the nonlinear diffusion of the pde (4.7) smooths solutions in the domain
to u = constant. Thus for every constant a, u = a and = 0 is a one
parameter family of equilibria. We base the slow manifold analysis around
these equilibria by notionally adjoining to the pde the trivial = 0 . Upon
perturbing the system to account for effects at non-zero , the variable a
will no longer be constant, but will evolve slowly to parametrise the slow
evolution on the slow manifold. Because is the only small parameter,
although the model will be local in , the model will be global in a which
is a good thing as the model is then justified for all sizes of the field u.
288
Linear decay: seek solutions u = a + u 0 (x)et and = 0 where u 0 and

0 are small. Substitute into the pde (4.7) and boundary conditions (4.9),
neglect products of small quantities to find that the perturbation u 0 (x) must
satisfy
u 0 = a
2 u 0
x2
such that
u 0
= 2 0 a on x = 1 .
x
(4.10)
Non-zero eigenvalues must be

2 n2
a , corresponding to modes
4

u 0 cos n
0 = 0 ,
2 (x + 1) ,
=
Thus the diffusion causes all wiggles in the field u to decay exponentially
quickly. Due to the particular nonlinear diffusion, the decay rate to the equilibria varies, the decay is more rapid for larger amplitudes a, and vanishes
as a 0 . See the interestingly unusual feature that a = 0 is a singular
equilibria in the analysis in that all the decay rates become zero. It is only
for finite a, non-zero u, that the slow manifold picture is valid.
But, the neutral modes corresponding to zero eigenvalue, are not simple.
We must remember to look for generalised eigenmodes. Solving (4.10) with
eigenvalue = 0 we find u 0 is an arbitrary constant only when 0 = 0 ; we
apparently cannot find a two dimensional slow subspace. But we require a
two dimensional slow subspace: one dimension for the freedom to specify
the parameter ; and the other dimension to form the space in which the
amplitude a will slowly evolve. Consequently, the slow subspace must contain generalised eigenmodes. Now (u 0 , 0 ) (1, 0) satisfies (4.10) with zero
eigenvalue. To seek a generalised eigenmode, try to solve (4.10) with u 0 replaced by a constant b corresponding to the constant first component of the
ordinary eigenmode; then find that u 0 = bx2 /(2a) and 0 = b/(2a2 ) . Setting the arbitrary b = 2a2 B, the slow subspace is the linear combination
of the eigenmode and generalised eigenmode
u 0 = A Bax2
and 0 = B .
289
Substitute into the linearised differential equations to deduce that in the

slow subspace the system evolves according to the Jordan form

A
0 2a2 A
.
=
B
0
0
B
This Jordan form identifies in the B term that a small non-zero parameter
causes the field u 0 to leak out of the domain across the boundaries. The
critical aspect is that there is nonetheless a two dimensional slow subspace
parametrised by a overall measure of the field u and by the trivial artificial
parameter . This slow subspace forms the basis of the two dimensional
slow manifold.
Obtain a first approximation

u = a + u 0 (a, x, )
by seeking
such that a = g 0 (a, ) ,
for small corrections u 0 and g 0 . Substitute into the pde (4.7) and the boundary conditions (4.9), and then omit products of primed quantities with themselves or to require the corrections satisfy
g0 = a
2 u 0
x2
and
u 0
= 2a
x
on x = 1 .
Straightforward algebra gives the solution

u 0 = A ax2
and g 0 = 2a2 .
Determine the arbitrary integration constant A by precise definition of amplitude a. To match amplitude a of the earlier quoted exact solution (4.8),
define
a(t) = u(0, t) ,
(4.11)
so u 0 (0, t) = 0 , and thus A = 0 . The first approximate model is consequently
u a ax2 such that a 2a2 .
(4.12)
290
Interpret Evaluate at = 1 to get a model of the original system with the

original boundary conditions. Observe that the slow manifold model (4.12)
then becomes precisely the correct model (4.8). This is wonderful! By
inventing a suitable base for analysis we recover an exact model of the long
term evolution.
Remarkably, centre manifold theory asserts there is a finite neighbourhood
in which all solutions of the nonlinear diffusion pde approach the model;
we trust that the neighbourhood is sufficiently big to include the physically
relevant case of = 1 . Pause to consider the strength of this result: the
theory guarantees that the decaying parabola (4.8) will emerge exponentially
quickly as the long term solution from a wide range of initial conditions. The
theory not only provides a framework for constructing the model, but also
assures us that the model is relevant as it describes the emergent dynamics.
Convinced? This example shows one case where we can manipulate boundary conditions to our advantage by empowering centre manifold theory to
support modelling at some finite boundary condition parameter. If you are
convinced that this sort of manipulation is valid, then skip to Section 4.3
where a similar trick couples finite elements to empower centre manifold theory to support discretisations in space of pdes. If you are not yet convinced
by this boundary condition manipulation, then keep reading this section.
Exercise 4.12:
The magical model (4.12) is no accident: why implement
the factor of two in the right-hand side of the artificial boundary condition (4.9)? Let us see that such invention can range from the wonderful
to the disastrous. Change the artificial boundary condition (4.9) to
(1 )
u
= Eu on x = 1 .
x
(4.13)
Then show that u = a(t)(1 Bx2 ) such that a = 2Ba2 , for some B
depending upon the parameters E and , forms an exact solution of the
nonlinear diffusion pde (4.7) with boundary condition (4.13). Deduce
B as an exact analytic function of E and . Confirm that setting = 1
gives the correct B = 1 independent of the artificial parameter E.
291
But in practise we construct such models as power series in the artificial

parameter , so write out some terms of the expansion of B (perhaps
using Taylor series expansions of B) and observe: firstly, the power
series truncates for the magical E = 2 used above; secondly, the power
series converges at = 1 for 0 < E < 4 and so could be used to
approximate the model to some accuracy; and thirdly, for other values
of the parameter E, the power series diverges at = 1 and so would
be useless.
The previous exercise demonstrates that when we artificially manipulate the

modelling process we need at least a little care to choose a good artifice.
Exercise 4.13:
Show that the Galerkin method with linear interpolation
structure function (x) = 1 |x| generates the quantitatively wrong
model a = 3a2 .
Exercise 4.14:
Create a one variable model for the long term dynamics
of linear diffusion of the field u(x, t) in a small element. Aim to model
u
2 u
= 2
t
x
such that
ux (0, t) = 0
and u(h, t) = 0 ,
for some diffusion coefficient . Verify the exact long-term dynamics

are u = a(t) cos(x/(2h)) such that a = 2 /(4h2 ) a . Create a slow
manifold based model by replacing the right-hand boundary condition
by the artificial
u(h, t) u(0, t) = u(0, t) .
(4.14)
Analyse, solve algebraically for the exact slow manifold and model,
interpret, discuss the dependence upon the artificial parameter .
Answer: The field u = a cos(x/h) such that a = 2 a/h2 where =
cos1 (1 ) .
292
4.2.2
Couple two elements together
The previous Section 4.2.1 introduced modelling the dynamics on a spatial domain by creatively fudging the boundary conditions. But numerical
discretisations of spatio-temporal dynamics divide the spatial domain into
many finite elements or employ a finite sized grid. Thus our next step to
use centre manifold theory to support numerical discretisations is to move
from one element on the domain to two elements on the domain, before we
deal with many elements.
In this subsection, let us explore two elements that are coupled together.
Focus on the coupling by exploring the simple diffusion pde: seek to create
a model for the dynamics of
u
2 u
= 2
t
x
on h < x < h
such that
u
= 0 on x = h .
x
(4.15)
Create two elements by introducing an artificial internal boundary at

the mid-domain point x = 0 :
the left-hand element is then h < x < 0 with midpoint x1 = h/2 ;
and the right-hand element is 0 < x < h with midpoint x2 = +h/2 .
Define Uj to be grid values of the field u: Uj (t) = u(xj , t) . Our aim is
to deduce the evolution of the grid values Uj as a model for the coupled
dynamics on these elements.
The resultant model must be of this form As the diffusion equation

is linear, the model will be linear, and we preview the desired model. Due
to the left-right symmetry the model must be of the form
1 = aU1 + bU2 ,
U
2 = bU1 + aU2 ,
U
(4.16)
for some constants a and b to be determined. Use separation of variables to

deduce more details of the dynamics and hence determine the result of our
293
slow manifold modelling. The exact solution over the whole domain involves
an expansion in orthogonal Fourier modes:
u(x, t) =

Ak cos
k=0

2 k2
k
(x + h) exp
t
,
2h
4h2
for some constants Ak depending upon initial conditions. A long term model
must resolve the slowest dynamics in this solution. The more rapidly decaying modes, k 2 , are the ignored exponential transients in the rapid
evolution to the slow manifold. That is, we want to resolve

h
i
2
u = A0 + A1 cos
(x + h) exp 2 t + ignored transients , (4.17)
2h
4h
and ignore the other rapid transients. Consequently,
since cos((x1 +
h)/(2h)) = 1/ 2 and cos((x2 + h)/(2h)) = 1/ 2 , after the transients

have decayed,

A1
2
U1 (t) = u(x1 , t) = A0 + exp 2 t ,
4h
2

A1
2
U2 (t) = u(x2 , t) = A0 exp 2 t .
4h
2

Observe that U1 U2 = 2A1 exp 2 t/(4h2 ) and so a little algebra
gives the time derivatives
2
1 = (U1 + U2 )
U
2
8h
2
2 = (+U1 U2 ) .
and U
2
8h
(4.18)
This is the exact model we wish to obtain. Centre manifold theory together with innovative use of boundary conditions provides the systematic
methodology to derive this model.
Create an internal boundary Place an internal boundary at x = 0 and
then couple across this internal boundary the field u in the two elements on
either side.
294

First, recover the original fully coupled system by seeking that the
field u and its first derivative ux are continuous across the internal
boundary x = 0 . That is, we request
u = u+
+
and u
x = ux ,
where superscripts denote evaluation at x = 0 (that is, at x = 0

from the respective element).
Second, create an artificial slow manifold base for the model by requiring the two elements are insulated from each other with conservative
boundary conditions:
u
x =0
and u+
x = 0.
Then in each element the solution would exponentially quickly tend to

a constant field, but the constant will in general be different in each
element.
Coupling the elements perturbatively then leads to internal boundary
conditions that imply a model for the long-term evolution. Here interpolate between the above two internal boundary conditions with the
one parameter family4
+
u
x = ux
+
+
and (1 )(u
x + ux ) = 2(u u )/h ,
(4.19)
for some coupling parameter :5

when = 0 the two elements are uncoupled by the effectively
insulating internal boundary condition between them;
when = 1 these conditions request that the field and its first
derivative should be continuous and hence fully couples the two
elements together;
4
Sometimes called a homotopy for reasons I have not discovered.

Why choose 2/h in the rhs of the ibc (4.19)? Divide the ibc by two, then the ibc
compares the mean gradient of the field u at the internal boundary with the gradient estimated from the two surrounding grid values when the solution is approximately constant
in each element.
5
295
and 0 < < 1 interpolates between these extremes.

.
We base a slow manifold model on the equilibria which exist when = 0
the model is expressed as a power series in and then evaluate the
constructed model at = 1 to obtain a model of the original system.
Find equilibria Put = 0 and the internal boundary condition (ibc)
becomes insulating so the diffusion equation (4.15) has the equilibria of the
field u being constant in each element:

U1 , h < x < 0 ,
= 0 and u(x, t) =
(4.20)
U2 ,
0 < x < h,
where U1 and U2 are independent constants. These two constants when
= 0 become the two evolving variables in the model when we couple the
elements together with coupling parameter 6= 0 .
Other equilibria are also 6= 0 and u = constant, but do not use these
equilibria as the modelling base: the reason is that then there is only one
variable associated with the field u and hence we cannot derive a two variable
model.
Exponential decay assures relevance Consider the dynamics when the
coupling parameter = 0 . The identical elements are totally isolated from
each other and have the same diffusion equation within each, thus the linearised dynamics are the same in each element. Consider just the right-hand
element for simplicity; the left-hand element is the same. Separation of variables gives us that the modes in the right-hand element are the decaying
Fourier modes

k
2 k2
u cos
x exp
t ,
h
h2
for integer wavenumbers k = 0, 1, 2, . . . . Thus the eigenvalues of the diffusion
dynamics are = 0 , 2 /h2 , 42 /h2 , and so on. These are all negative
except for the zero eigenvalue of the neutral mode that u = constant in
296
the element. There is also a neutral mode corresponding to the coupling

parameter being constant. Consequently, centre manifold theory assures
us that a model exists for non-zero coupling parameter , and that solutions
of the diffusion equation approach the model on a cross-element diffusion
time of approximately h2 /(2 ). 6
Derive the first model Now seek a first improvement to the boring insulated dynamics of = 0 . In this first step towards the exact model (4.17
4.18) we find terms in 1 to see
1 = (U1 + U2 )
U
h2
2 = (U1 U2 ) .
and U
h2
(4.21)
For = 1 this approximates the exact model (4.18) as the exact crossdiffusion coefficient 2 /8 = 1.2337 1 which is the coefficient appearing in
this first approximation.
Follow the usual routine. Suppose that at some iteration the approximate
= g(U, ) , then
field in the left element is u = u1 (x, U, ) such that U
seek small improvements to u1 and g. Substitute u = u1 + u10 such that
= g + g 0 into the pde (4.15):
U
2
(u1 + u10 )(g1 + g10 ) +
(u1 + u10 )(g2 + g20 ) = 2 (u1 + u10 ) .
U1
U2
x
Drop products of small quantities and rearrange to
u10
2 u 0
u1
u1
2 u1
u1 0 u1 0 u10
g1
g2
g1
g2 + 21 =
g1 +
g2 2 .
U1
U2
U1
U2
x
U1
U2
x
Observe the right-hand side is just the residual of the pde (4.15) evaluated
at the current approximation; in this first iterate Res4.15 = 0 . Simplify this
equation for the small improvements by approximating the coefficients of
6
It may be interesting to consider the slow subspace of each of these equilibria. It
eventuates that we do not need to span the slow subspace, only to be able to parametrise
the slow subspace. A parametrisation of the slow subspace is then improved by iteration
to become a parametrisation of the slow manifold.

improvements by their initial approximation, that is,
gj 0 . Then the pde for the improvements is
g10 +
u1
U1
297
1,
2 u10
= Res4.15 .
x2
u1
U2
0 and
(4.22)
We need boundary conditions for the improvement u10 : the coupling condition (4.19) is nontrivial; similar analysis leads to requiring that at the
internal boundary x = 0
u10
u20
=
x
x
and
u10
u20
= Res4.19 ,
x
x
(4.23)
where in this first iterate Res4.19 = 2(U1 U2 )/h . Consequently the

u 0
nontrivial boundary condition for the field in the left-hand element is x1 =
21 Res4.19 at x = 0 . Invoke the classic solvability condition: integrate (4.22)
over the element to deduce
0 0
Z0
u1
0
hg1 +
=
Res4.15 dx .
x h
h
With the boundary conditions this implies the improvement to the evolution

Z0
1
(4.24)
Res4.15 dx 12 Res4.19 .
g10 =
h
h
In the first iterate, this correction to the evolution gives the first approximation (4.21) to the exact model (4.18) for the left-hand element. Similarly
for the right-hand element.
Now determine the solution field within each element. Integrate (4.22) twice
to determine the improvement to the field: firstly,
Z
u10
1 x
=
Res4.15 +g10 dx
x
h
u 0
ensures that the derivative x1 = 0 on the left-hand extreme of the domain;

then secondly,
Zx
Z
Zx
u10
1 x
0
u1 =
dx =
Res4.15 +g10 dx dx
(4.25)
x
h/2
h/2 h
298
ensures that u10 = 0 at the mid-element grid point x = h/2 so that the
iteration maintains u1 (h/2, t) = U1 (t) . In the first iterate, this formula
updates the left-hand field to
u1 U1 + 18 (1 + 2x/h)(3 + 2x/h)(U2 U1 ) .
Similarly for the field in the right-hand element. Evaluate at = 1 to obtain
the model of the original diffusion pde (4.15).
We can make the first step. Derive more accurate approximations with
further iterations. But such algebra is very tedious and so best assigned to
a computer by the algorithm of the next subsection. We find high order
accurate approximations.
4.2.3
The two element asymptotic model converges
Obtaining the first approximate model was straightforward. However, more

accurate approximations involve much more algebra. Resort to computer
algebra. For example, Algorithm 4.1 derives that
1 = ( + 1 2 +
U
3
1 3
45
13 4
189
5
809
14175 ) h2 (U1

+ U2 ) + O 6 ; (4.26)
which when evaluated at the physically relevant coupling = 1 estimates

the cross-diffusion coefficient correct to two decimal places, namely 1.2297 .
Let us explore how Algorithm 4.1 works.
Iterate to achieve some order of error The core of Algorithm 4.1

is the repeat-until loop in the middle that iterates until the three nontrivial governing equations are satisfied to some order of error. The three
non-trivial equations are the diffusion pde (4.15) in each of the two elements,
and the inter-element coupling condition (4.19). Specify the order of error
by the let gam^6=>0;
statementthat tells the computer algebra to discard

all terms O 6 . Thus the algorithm derives the approximate model to an
error O 6 .
299
Algorithm 4.1 derive the coupled model for diffusion between two finite
elements, the pde (4.15).
factor h,nu,u;
% parametrise the model in evolving u(1) and u(2)
operator u; depend u,t;
let { df(u(1),t)=>g1, df(u(2),t)=>g2 };
% initial solution
u1:=u(1); u2:=u(2);
g1:=g2:=0;
% iterate to this order of error
let gam^6=>0;
repeat begin
% compute residuals
res1:=df(u1,t)-nu*df(u1,x,x);
cc:=sub(x=0,(1-gam)*(df(u2,x)+df(u1,x))-2*gam*(u2-u1)/h);
% update left element from residuals
g1:=g1+(gd:=-int(res1,x,-h,0)/h-nu*cc/2/h);
u1:=u1+int(int(res1+gd,x,-h,x),x,-h/2,x)/nu;
% update right element from residuals
g2:=g2+(gd:=-int(res2,x,0,+h)/h+nu*cc/2/h);
u2:=u2+int(int(res2+gd,x,+h,x),x,+h/2,x)/nu;
end until {res1,res2,cc}={0,0,0};
% check other requirements
ccc:=sub(x=0,df(u1,x)-df(u2,x));
bc1:=sub(x=-h,df(u1,x));
bc2:=sub(x=+h,df(u2,x));
amp1:=sub(x=-h/2,u1)-u(1);
amp2:=sub(x=+h/2,u2)-u(2);
300
Parametrise the model Use the variable u1 to store the field u1 (x, t) of
the left-hand element, and the variable u2 to store the field of the right-hand
element. Then u1 and u2 depend upon position x and upon the evolving grid
values Uj denoted by u(j) for j = 1, 2 . Tell reduce that u(j) evolves in
time with the depend statement. Then use a let statement to tell reduce
to replace time derivatives of Uj by an expression gj (U) stored in g1 and g2.
Initial solution Initialise the fields in each element to be simply a constant in space x, namely the grid value Uj . The initial approximation to the
evolution in time is that there is none; hence gj = 0 .
Compute residuals Inside the iterative loop, the first task is to compute
the residuals of the nontrivial equations. Here there are three nontrivial
equations: the pde (4.15) in the left-hand element; the pde (4.15) in the
right-hand element; and the coupling condition (4.19).
Update left and right elements from the residuals After computing the residuals, improve the current approximation using the formulae
(4.24) and (4.25). See these coded in the reduce of Algorithm 4.1.
Check other requirements The last five lines in Algorithm 4.1 confirm
that the straightforward coupling, boundary and amplitude conditions are
indeed met by the solution derived in the iteration loop.
Outcome: executing the computer algebra Algorithm 4.1 gives not only
the model (4.26), but also the fields internal to each element. These are the
subgrid fields we need as identified in the exact model (4.17) for example.
Figure 4.4 plots these subgrid fields. See how beautifully smoothly the
subgrid fields match in the neighbourhood of the internal boundary at x = 0 .
Despite the crude chopping up of the domain into finite elements, high order
analysis pieces the solution field smoothly back together.
301
1.4
1.2
1
u_j(x)
0.8
0.6
0.4
0.2
0
-0.2
-0.4
-1
-0.5
0
x/h
0.5
Figure 4.4: the left-hand field u1 (x) (solid) and the right-hand field u2 (x)
(dashed) for the physical = 1 when grid values U1 = 0 and U2 = 1 .
See that the extrapolation from the left-hand field does a reasonable job of
extrapolating into the right-hand element, and vice versa.
302
Observe also in Figure 4.4 that the extrapolation of the left-hand field into
the right-hand element very nearly goes through the grid value U2 at x =
h/2 . Similarly, the extrapolation of the right-hand field into the left-hand
element very nearly goes through
the grid value U1 at x = h/2 . Indeed

6
truncating to errors O and evaluating at = 1 and the grid point
x = h/2, the left-hand field at the right-hand grid point u1 (h/2, U) =
0.028 U1 + 0.922 U2 . This is within 8% of the correct grid value. Higher
order analysis gets closer and closer. Perhaps we can use the requirement
that the left-hand field should extrapolate through the right-hand grid value
as an alternative to the coupling conditions (4.19). The next section shows
we can, and subsequent proofs show why it is good to do so.
Exercise 4.15:
Derive some two element models of various accuracy for
the nonlinear Burgers equation
u
u
2 u
+u
=
t
x
x2
such that
u
= 0 on x = h ,
x
(4.27)
on the domain [h, h]. Modify the reduce program of Algorithm 4.1.
The easiest way to control the combinatorial explosion of terms generated by the nonlinearity is to simply multiply the nonlinearity by
some power of the coupling parameter : that is, solve
u
u
2 u
+ p u
=
,
t
x
x2
to some order in the coupling/nonlinearity parameter . Then evaluating at = 1 is not only a fully coupled model, but is also a model for
the original Burgers equation (4.27). Investigate the nonlinear terms
in the model for various orders of truncation.
Answer: For an example, set the exponent p = 1 . Then as well as similar
1 and u1 (x, t), the evolution and the field in the right-hand
expressions for U
element is
2
U
u2 (x, t)
1
1
(U1 U2 ) + 2 U2 (U1 U2 ) + ,
2
h
2h

U2 + (U1 U2 ) 38 ( hx ) + 12 ( hx )2
( + 13 2 )

+ 2 (U1 U2 )
5 x 2
1 x 4
14 ( hx ) 24
( h ) + 13 ( hx )3 12
(h)

2
1
1 x 2
1 x 3
+ hU2 (U1 U2 ) 24 4 ( h ) + 6 ( h ) + .
9
64
303
Exercise 4.16:
Repeat the previous Exercise 4.15 but now control the
nonlinearity independently of the coupling by instead solving
u
u
2 u
+ u
=
.
t
x
x2
Truncate to various powers of and and compare the terms in the
models.
Answer: As well as similar expressions for U 1 and u1 (x, t), the evolution
and the field in the right-hand element is
2
U
u2 (x, t)
1
1
(U1 U2 ) + U2 (U1 U2 ) + ,
2
h
2h

U2 + (U1 U2 ) 38 ( hx ) + 21 ( hx )2
1

14 ( hx )2 + 16 ( hx )3 + .
+ hU2 (U1 U2 ) 24
=
=
Exercise 4.17:
Make other modifications of Algorithm 4.1 to model
the nonlinear diffusion pde (4.7) by the dynamics in two elements
on the domain [1, 1]. Firstly, model the dynamics with insulating
boundary conditions at x = 1 , then secondly make further significant
modifications of the computer algebra to model the dynamics with
the original fixed value boundary conditions of (4.7). Investigate its
predictions.
304
4.2.4
Prefer nonlocal internal boundary conditions
Inspired by Figure 4.4, let us replace the coupling conditions (4.19) between
the two elements with
u1 (h/2, U) u1 (h/2, U) = (U2 U1 )
and
u2 (h/2, U) u2 (h/2, U) = (U1 U2 ) .
(4.28)
Why? First, look at the case = 1 . Then, because from definition the
grid value u1 (h/2, U) = U1 and similarly for U2 , these nonlocal coupling
conditions reduce to
u1 (h/2, U) = U2
and u2 (h/2, U) = U1 .
That is, the left-hand field should extrapolate through the right-hand grid
value, and the right-hand field should extrapolate through the left-hand grid
value. If the two subgrid fields are to merge very smoothly, then surely this
condition is a suitable requirement. Second, look at what happens when
= 0 . Then these nonlocal coupling conditions reduce to
u1 (h/2, U) = U1
and u2 (h/2, U) = U2 .
(4.29)
That is, the extrapolation of the left-hand field is the left-hand grid value,
and vice versa. Thus at = 0 , not only are the two elements decoupled from
each other, as in the previous section, but the piecewise constant equilibrium
solution (4.20) still holds. Thus this family of equilibria still act as the basis
for a slow manifold model of the dynamics.
The outcome: before looking at the theoretical support and the minor
changes to the algorithm, let us see some of the results. Solving the diffusion
pde (4.15) with the nonlocal coupling conditions (4.28) leads to the model

1 = ( + 1 2 + 2 3 + 1 4 + 8 5 ) (U1 + U2 ) + O 6 . (4.30)
U
6
45
70
1575
2
h
This model converges slightly quicker in coupling parameter : summing
these terms at = 1 gives the inter-element interaction constant as 1.2305
which agrees with the exact model (4.18) to an error of 0.003 .
305
1.4
1.2
1
u_j(x)
0.8
0.6
0.4
0.2
0
-0.2
-0.4
-1
-0.5
0
x/h
0.5
Figure 4.5: the left-hand field u1 (x) (solid) and the right-hand field u2 (x)
(dashed) for the physical = 1 and the nonlocal coupling conditions (4.28)
when grid values U1 = 0 and U2 = 1 . See that the extrapolation from the
left-hand field does a reasonable job of extrapolating into the right-hand
element, and vice versa.
306
Algorithm 4.2 derive the coupled model for diffusion between two finite
elements, the pde (4.15), utilising the nonlocal coupling conditions (4.28).
I only present the iterative loop as the only differences to Algorithm 4.1 lie
within the loop.
repeat begin
% compute residuals
cc1:=sub(x=+h/2,u1-u(1)-gam*(u(2)-u(1)));
cc2:=sub(x=-h/2,u2-u(2)-gam*(u(1)-u(2)));
% update left element from residuals
g1:=g1+(gd:=-int(res1,x,-h,0)/h-nu*cc1/h^2);
u1:=u1+int(int(res1+gd,x,-h,x),x,-h/2,x)/nu;
% update right element from residuals
g2:=g2+(gd:=-int(res2,x,0,+h)/h-nu*cc2/h^2);
u2:=u2+int(int(res2+gd,x,+h,x),x,+h/2,x)/nu;
end until {res1,res2,cc1,cc2}={0,0,0,0};
The subgrid scale fields u1 (x, U) and u2 (x, U) are more impressive. Figure 4.5 plots the field of both
the left-hand and the right-hand element for
the model with errors O 6 evaluated at = 1 : see that the extrapolation
of each field agrees with each other much better than that of the previous coupling condition, shown in Figure 4.4. Evidently the nonlocal coupling conditions (4.28) better causes neighbouring subgrid fields to smoothly
merge.
Derive the model with computer algebra Only small changes are
required in the reduce code to use the new coupling conditions (4.28). Algorithm 4.2 lists the iterative loop with the required changes: change the
computation of the coupling condition; modify the update of the correction gj0 ; and only terminate the loop when both residuals of the coupling
condition are zero. Easy!
307
Theory supports the model The dynamics of the linearised problem is

the base of the application of centre manifold theory. Here the nonlinear
terms are those involved in the inter-element coupling. Thus the linear
dynamics are those with coupling parameter = 0 . When = 0 the
two elements are completely decoupled. Hence just investigate the linear
dynamics in the left-hand element. The linear dynamics in the right-hand
element are the same by symmetry.
The linear problem in the left-hand element is
such that
and
u1
2 u1
= 2 ,
t
x
u1
= 0 at x = h ,
x
u1 (h/2, t) = u1 (h/2, t) .
(4.31)
The pde and the first boundary condition require all solutions to be of the
form u1 = exp(t) cos[k(x + h)] for some wavenumbers k and consequent
growth-rate = k2 . The nonlocal condition then implies cos(3kh/2) =
cos(kh/2) . Expanding and rearranging leads to the requirement
2 sin(kh/2) sin(kh) = 0 .
(4.32)
This requirement is satisfied whenever kh = n , hence the family of wavenumbers are k = n/h , with corresponding growth-rates = 2 n2 /h2 , as
in (4.2.2) of the previous coupling condition. As before, for both elements
combined, but uncoupled, the spectrum has two zero eigenvalues, and all
other eigenvalues are negative and < 2 /h2 . Consequently, centre manifold theory assures us that a slow manifold model exists, is relevant and can
be constructed asymptotically.
Exercise 4.18:
Repeat Exercises 4.15 and 4.17 but with the nonlocal
coupling (4.28).
Exercise 4.19: finite advection

Model the linear advection-diffusion
pde
u
2 u
u
u
+2
=
such that
= 0 at x = 1 ,
2
t
x
x
x
308

with two elements on the interval [1, 1]. Use the nonlocal coupling (4.28) to connect the dynamics in each interval. Modify the
computer algebra in Algorithm 4.2 to be able to construct models to
high orders in the coupling parameter . Interpret your model and
the fields in each element.
Answer: This is a straightforward task if you multiply the advection term
by a small parameter and seek an expansion in that small parameter. However, the question does not encourage this easy route. The hard task is to
2
cater for the linear operator xu2 2 u
x without perturbation. The result for
the right-hand element is
2
U
u2 (x, t)

4
(U1 U2 ) + O 2 ,
2 e1 + e3
h
U2 +
(1 e1 2x + e2(x1) )U1
2 e1 + e3
i

(1 2x e1 + e2(x1) )U2 + O 2 .
Exercise 4.20: adjoint

Consider the linear diffusion equations (4.31)
for the field in the left-hand of two coupled elements. Although the
solvability condition encoded in Algorithm 4.2 does work, the iterations do converge slower than necessary. This exercise seeks the seek
the best solvability condition for (4.31).
Recall solvability conditions are that the right-hand side r of a system
of equations Lu = r must be in the range of the operator L. Consequently r must be orthogonal to the null space of the adjoint L of
the operator. We seek a basis for the null space of the adjoint of the
linear diffusion operator in (4.31).
Define the spatial diffusion operator
Lu =
such that
2 u
x2
u
= 0 at x = h
x
and u(h/2, t) = u(h/2, t) .

Using the inner product hu, vi =
L v =
such that
with jumps
Rh/2
h
309
uv dx argue that the adjoint
2 v
x2
v
= 0 at x = h and v(h/2, t) = 0 ,
x

h/2+
v
v
h/2+
=
and [v]h/2 = 0 .

x h/2
x h/2
Hence deduce a basis for the null space of the adjoint L is

1,
x < h/2 ,
v= 1 x
2 h , h/2 < x < h/2 .
Similarly find the adjoint and a basis for the null space of the linear diffusion dynamics in the right-hand of the two elements. Finally,
improve the coding of the solvability condition for g1 and g2 in Algorithm 4.2. Compare the old and the new versions.
Exercise 4.21:
Difficult: ponder the theoretical implications of the double roots at wavenumbers k = 2m/h of the requirement (4.32), and
the adjoints in Exercise 4.20.
Exercise 4.22: Ensure continuity The approach described in this section creates models based upon piecewise constant functions. That is,
in each element, the starting approximation is that the field u is constant. Surely we can create models from a piecewise linear basis.
Let us model the linear diffusion pde, ut = uxx , on the domain [1, 1]
by dividing the domain into two artificial elements and creating a
piecewise linear basis. I set the diffusion coefficient and each element
size to one for simplicity. Let the physical boundary conditions be
that u(1) = 0 .
310

1. Use separation of variables to solve this pde in terms of an infinite
sum of Fourier modes. What is the longest lasting mode and
its dynamics? What is the rate of decay of the next longest
lasting mode? In later parts of the exercise, use this solution as
a background reference.
2. Now divide the domain into two elements by placing artificial internal boundary conditions at the midpoint x = 0 . Ensure continuity between the elements by requiring u(0, t) = u(+0, t) .
Additionally couple the two elements together with the nonlocal
coupling condition
ux (0, t)(1)ux (1, t) = ux (+0, t)(1)ux (+1, t) . (4.33)
Argue briefly that when the coupling parameter = 1 these conditions ensure continuity of u and its derivative. Argue that when
the coupling parameter = 0 the diffusion pde has a neutral
mode that is continuous and piecewise linear across the domain.
3. Find the complete spectrum of the diffusion dynamics on the
domain with the basic coupling, = 0 , and hence deduce that a
slow manifold exists and will be relevant for non-zero coupling.
4. Using U(t) = u(0, t) as the amplitude
parameter, construct the
2
slow manifold model to errors O . Compare with the original
analytic solution obtained by separation of variables.
Solution: The longest lasting mode is cos(x/2) exp(2 t/4); the
next longest lasting mode is sin(x) exp(2 t). The spectrum of the
basically coupled diffusion is k = 2 k2 for integer k with the eigenvalues of even k 2 having multiplicity two. The leading approxima
tion of the slow manifold is u = (1|x|)U+( 23 |x|x2 + 13 |x|3 )U+O 2 ,

= 2U + O 2
on which the evolution is U
Exercise 4.23:
Write, test and execute a computer algebra program to
construct the slow manifold model of Exercise 4.22 to arbitrary order
311
in coupling parameter . Interpret and discuss.

1. Inventively introduce an Euler parameter into the coupling condition (4.33) to improve convergence of the slow manifold model
in . Justify recommending a choice of your Euler parameter.
2. Modify the program to cater for nontrivial physical boundary
conditions of u(1, t) = a and u(+1, t) = b . Note: a and b
do not need to be assumed small. Observe the stable fixed point
predicted by the model of U = (a + b)/2 .
3. Now allow the boundary values a and b to vary slowly in time.
For simplicity, assume that their nth time derivatives scale as n .
Interpret and discuss.
4. Reset a = b = 0 and modify the program to model Burgers
equation ut = ux x uux on this domain. Manage the nonlinearity by treating as an independent small parameter. Argue
that effects of O 2 nonlinearly enhance the decay of solutions
within the element.
Exercise 4.24: discrete lattice dynamics Consider discrete diffusive

du
dynamics on a small chunk of lattice: dtj = uj1 2uj + uj+1 for
j = 1 : 5 and u0 = u1 , u6 = u5 . What are the eigenvalues and
eigenvectors of this five dimensional linear system? Now model this
fine scale system by a two dimensional coarse scale discrete system.
Embed its five dimensional dynamics by dividing the lattice into two
overlapping elements: vj = uj+2 and wj = uj+4 for j = 2 : 2 , but
consider the overlapping variables, v0 and w2 , v1 and w1 , and v2
and w0 , as independent variables. Couple the two elements with v2 =
w0 + (1 )v0 and w2 = v0 + (1 )w0 . Argue that based around
the coupling parameter = 0 there is a two dimensional slow manifold
dv
of the enlarged system (3D if you count ): dtj = vj1 2vj + vj+1
dw
and dtj = wj1 2wj + wj+1 for j = 1 : 1 and v2 = v1 , w2 = w1 .
Construct and interpret the slow manifold model. Relate your results
to the original eigenvalues and eigenvectors.
312

nonlinearity
6

consistency

h
- xphysical problem
BM
B
B
B
Bholistic
B
- grid size h
Bh
0

holistic

= 1 h consistency - x
general linear problem

coupling
Figure 4.6: this conceptual diagram shows traditional finite difference modelling approaches (right arrows) physical problems (discs) via consistency as
the grid size h 0 (left circles); whereas the holistic method approaches
(forward arrows) physical problems via asymptotics in nonlinearity and the
inter-element coupling (from right circle). The holistic approach supports
the model from both directions.
4.3
Sorry:
Holistic discretisation in one space dimension

Section 4.2 shows we can divide a domain into two finite elements, couple
them together again, and rigorously support a model of the dynamics using centre manifold theory. This section divides a spatial domain into any
Tony Roberts, 14 Jul 2009
4.3. Holistic discretisation in one space dimension
313
number of elements and uses special coupling conditions to empower centre manifold theory to support the resulting discretisation of the dynamics.
Interspersed throughout this section we prove that nonlocal coupling conditions inspired by (4.28) ensures the discrete model is also consistent with
the original pde as the element size h 0 . That is, the discretisation and
the pde are the same to some order of error in h, with higher orders in
the coupling parameter resulting in better order of error in h. This dual
support for the discrete models we derive, from both consistency and centre
manifold theory as shown schematically in Figure 4.6, is remarkable.
The approach developed here is based purely upon the local dynamics on
relatively small elements while maintaining fidelity with the solutions of the
original pde. Being local, the approach will flexibly cater for complicated
geometries, varying resolutions, and physical boundaries.
4.3.1
Model diffusion-like dynamics consistently
Let us start by exploring perhaps the simplest pde, the (non-dimensional)

heat equation
u
2 u
=
.
(4.34)
t
x2
We aim to develop classic spatially discrete models for this equation, such
as the simple centred difference approximation to the right-hand side
Uj1 2Uj + Uj+1
Uj
t
h2
where the grid values Uj (t) = u(jh, t). Most importantly, we aim to underpin these models with centre manifold theory in a manner so that the
theory will also support the modelling of complex systems pdes.
Introduce a regular grid As shown in Figure 4.7, place grid points a
distance h apart, Xj = jh for example. Express the field in the jth element
point by u = uj (x, t) so that the fields uj in all elements also satisfy the heat
equation (4.34). We do not restrict the field uj to just the jth element, but
extend it analytically out to the adjacent grid points, as shown in Figure 4.7.
314

!
"
s
Uj+1
Uj1
Xj2
s ` uj (x, t)
Uj a b
cs
Xj1
h
b
Xj
= 21
Xj+1
Xj+2
61
Figure 4.7: schematic picture of the equi-spaced grid, Xj spacing h, the unknowns Uj , the artificial internal boundaries between each element (vertical
lines), and in the neighbourhood of Xj the field uj (x, t) which extends outside the element and, if = 1, is aimed to pass through the neighbouring
grid values Uj1 .
Suppose that we form m elements in the physical domain. For definite
simplicity, assume the field u(x, t) is spatially periodic with period thus
being L = mh .
Use nonlocal coupling conditions Here we explore how an amazingly

good discrete approximation follows from using nonlocal coupling conditions
inspired by (4.28), namely
uj (Xj1 , t) = uj1 (Xj1 , t) + (1 )uj (Xj , t).
(4.35)
That is, the field of the jth element when extrapolated to the surrounding
gridpoints, uj (Xj1 , t), is a weighted combination of two vital extremes:
when = 1, uj (Xj1 , t) is to be the field at those grid points, uj1 (Xj1 , t), to
in effect recover the physical continuity, as shown schematically in Figure 4.7;
but when = 0, the extrapolated value uj (Xj1 , t) is to be just identical to
the mid-element value uj (Xj , t) so that each element becomes isolated from
all neighbours. The parameter controls the weighting and hence controls
the coupling between neighbouring elements.
315
The dynamics collapses onto a slow manifold

Centre manifold theory is based about equilibria. Where are the equilibria in the coupled system of the heat equation (4.34) with coupling condition (4.35)? A useful subspace of equilibria occur when coupling parameter
= 0: then the heat equation (4.34) has equilibria of uj = constant. Further, this constant is different in each element as each element is isolated
from each other. Thus there is an m-dimensional subspace of equilibria, E0 ,
of piecewise constant fields (and coupling parameter = 0).
The spectrum implies the existence of a slow manifold. Each element is
identical, because of the spatial periodicity, and isolated from all other elements, as = 0 . Hence, linearly, the dynamics in each element gives that of
the whole set of elements. In any one element separate variables in the heat
equation (4.34) to find uj = et [A sin(kx/h)+B cos(kx/h)] for eigenvalues
= k2 2 /h2 . Determine the allowed wavenumbers k/h from the isolating condition (4.35) that holds when = 0 , namely uj (Xj1 , t) = uj (Xj , t).
Substitution indicates that when k is even integer A and B can be arbitrary, but when k is odd integer A can be arbitrary and B = 0.7 Thus
the spectrum is {0, 2 /h2 , 42 /h2 , 92 /h2 , . . .}. This spectrum implies
there exists a slow manifold that is exponentially quickly attractivesince
2
2
the linear transients decay like e t/h , the
slow manifold emerges on the
cross-element diffusion time scale of O h2 .
Describe the evolution on the slow manifold by m amplitudes. The previous paragraph outlined why there is one eigenvalue of 0 corresponding
to each element. With m elements the zero eigenvalue has multiplicity m,
one for each element. Thus the slow manifold will be m-dimensional and
the evolution thereon described by m variables (or amplitudes).8 We can
7
Alas, here I commit the sin of omission. I wonder if any reader can spot what I
overlooked for some years. The omission here is for simplicity as the omission does not
affect the argument presented.
8
Actually, the slow manifold is (m + 1)-dimensional as there is also a zero eigenvalue
corresponding to the implicitly adjoined equation = 0 . However, this extra dimension is not that of an truly evolving variable, as the coupling parameter is constant.
For the purposes of discussing dynamical variables we treat the slow manifold as being
parametrised by m dynamical variables and hence being m-dimensional.
316
use a wide variety of variables to parametrise the slow manifold. Make the
convenient choice to use to be the evolving grid values Uj (t) defined by
Uj (t) = uj (Xj , t).
(4.36)
With m elements, this defines m variables with which to parametrise the

m-dimensional slow manifold.
Classic formulae form the slow manifold
Before later discussing the way computer algebra constructs the slow manifold discretisation, let us discuss the slow manifold it constructs. Algorithm 4.3 constructs the slow manifold as a power series in the coupling
parameter :
i
h
i
h

1 2 4
uj = Uj + + 21 2 2 Uj + 2 (2 1) 16 3 + 24
Uj + O 3 ,
(4.37)
where = (x Xj )/h is a convenient subgrid spatial variable to use instead
of x, and where Algorithm 4.4 converts the expressions to the form of the
centred mean operator Uj = 12 (Uj+1/2 + Uj1/2 ) and the centred difference
operator Uj = Uj+1/2 Uj1/2 . The slow manifold (4.37) describes the
field in the jth element as a constant to crude leading order, corrected by
interactions with its nearest neighbours though the terms, and corrected
by interactions with its next to nearest neighbours through the 2 terms,
and so on. When evaluated at full coupling, = 1, these fields reduce to
classic ploynomial interpolation. For example, truncating to errors O 2
and
evaluating at full coupling = 1 predicts the subgrid field uj (x, t) =

1 + + 12 2 2 Uj which is parabolic, as it involves up to 2 (x2 ), and
evaluates correctly to Uj and Uj1 at = 0, 1 (x = Xj , Xj1 ). Such a
close relation with classic polynomial interpolation in such simple problems
is marvellous. In the more difficult class of non-isotropic and/or nonlinear
problems, our slow manifold subgrid fields instead adapt more specifically
to the problem.
The evolution on this slow manifold forms the discrete model. We use the
grid values Uj to parametrise the slow manifold. Thus evolution on the
317
slow manifold corresponds to evolution of the grid values, and hence gives
the discrete model. From the computer algebra construction of the slow
manifold we find the corresponding evolution of the grid values, in terms of
centred differences 2 Uj , 4 Uj and so on, to be
i
h

j = 1 2 1 2 4 + 1 3 6 Uj + O 4 , j = 1, . . . , m .
(4.38)
U
12
90
2
h
When truncated at any order in coupling and then evaluated at full coupling, = 1 , the slow manifold evolution (4.38) forms a classic finite difference approximation to the heat equation (4.34). For two examples:

O 2 ,

O 3 ,
j = 1 2 Uj ;
U
h2
h
j = 1 2 Uj
U
h2
1 4
12 Uj
These right-hand sides are the classic second and fourth order accurate finite difference approximations to the second derivative in the heat equation (4.34). The higher the order in coupling of the truncation, the more
accurate the model.
Also see this increase of accuracy in the equivalent differential equation
for (4.38). Replace differences according to = 2 sinh 12 hx , the discrete
slow manifold model (4.38) transforms into the equivalent differential equation
U
2 U
= 2 +
t
x
4 U
1 2
h
(1
)
12
x4
6 U
4
1
h
(1
)(1
4)
360
x6

+ O h6 , 4 .
(4.39)
For full coupling = 1 this equivalent differential equation reduces to the
heat equation (4.34). Truncating to lower orders in coupling parameter ,
results in an error of lower order in grid spacing h because the (1 )
factors in the equivalent differential equation will not have been fully formed.
Computing to higher orders in coupling parameter results in an error of
higher order in h. This consistency between the slow manifold discrete
model (4.38) and the original differential heat equation (4.34) follows from
the specific form of the coupling conditions (4.35). As Figure 4.6 illustrates,
our modelling has dual support: consistency and centre manifold theory.
318
Operator algebra proves consistency

This subsection proves that high order consistency, as the grid size h
0 , follows from the specific interelement coupling conditions (4.35) when
constructing a slow manifold discrete model of dynamics.
Lemma 4.1 The slow manifold discretisation of the heat equation (4.34)
upon elements with
interelement coupling condition (4.35), when truncated

to errors O p and evaluated
at = 1 , is consistent with the heat equa
2p2
tion (4.34) to O h
as the grid size h 0 .
Proof:
The key to this high order consistency is the coupling condition (4.35). Add the two -versions together and rearrange to have only
terms on the right-hand side:
uj (Xj1 , t) 2uj (Xj , t) + uj (Xj+1 , t) = [Uj1 2Uj + Uj+1 ] ,
where in the right-hand side we use the amplitude definition (4.36). Rewrite
this coupling in terms of centred difference operators:

(4.40)
2x uj x=X = 2 Uj ,
j
where the centred difference x on the left applies to the spatial dependence
in x whereas the on the right applies to the element index j. That is,
the coupling condition (4.35) empowers us to replace differences of the subgrid field by differences of the element amplitudes, albeit moderated by the
coupling parameter .
Now consider the heat equation. A classic operator relationship is that the
spatial derivative x = h2 sinh1 12 x (National Physical Laboratory 1961,
p.65, e.g.). Hence the heat equation (4.34) on the jth element is equivalent
to
2

2
1 1
2
sinh 2 x uj .
t uj = x uj =
h
Inverting the operator function on the right-hand side derives that the heat
equation is equivalent to
h
p i2
2 sinh h2 t uj = 2x uj .
319
Evaluate this relationship at grid point x = Xj : the left-hand side involves

time derivatives which commute with the evaluation at the grid point and
hence reduce to those of the grid value Uj (t); the right-hand side is replaced
by the coupling conditions in the form (4.40). Thus,
h
i2
p
h
2 sinh 2 d/dt Uj = 2 Uj .
Now revert the operator relationship to deduce the slow manifold evolution
of the grid values is

2
dUj
2
1 1
= Uj =
sinh 2 Uj .
dt
h
Evaluating at coupling parameter = 1, this right-hand side is precisely
the correct centred difference operator formula for the heat equation (4.34).
However, generally we truncate at
some power in coupling , as in (4.38):
when truncating to errors O p the right-hand
side contains the correct

2p
terms up to centred differences
of O . Applied to a smooth solution, the

difference 2p = O h2p for grid spacing h. Then noting the division
by h2

2p2
in the above displayed equation, the resulting error is O h
. That is,
the discrete, slow manifold, model is consistent with the heat equation (4.34)
to this order of error.
This is a really neat proof. Its power is that it is not constructive; nowhere
in the proof did we need to construct any of the subgrid fields. Thus we
readily generalise the proof to a more extensive theorem. The following
theorem is independent of whether one is seeking a slow manifold model or
not: it addresses useful general consistency that follows from the specific
coupling conditions (4.35).
P
2k be
Theorem 4.2 (isotropic consistency) Let L = `(2 ) =
k=0 `2k
any linear, constant coefficient, isotropic operator with coefficient `2 6= 0 .
Then the discretisation of ut = Lu upon elements with interelement coupling
condition (4.35), when truncated to errors O p and evaluated at = 1 ,
is consistent with ut = Lu to errors O `2p 2p .

2
For example, Lemma 4.1 is the special case when L = 2x = h2 sinh1 21 .
320
Proof:
Recall that the coupling condition (4.35) empowers us to replace
differences of the subgrid field by differences of the element amplitudes, albeit moderated by the coupling parameter , as in equation (4.40). Consider
the dynamic equation ut = Lu . On the jth element it is equivalent to
t uj = Luj = `0 uj + ` 0 (x )2 uj
where
` 0 (2x ) =
`2k 2k .
k=1
Put `0 uj on the left and invert the operator ` 0 on the right-hand side (the
inverse formally exists as `2 6= 0) to derive that the equation is equivalent to
`0
(t `0 )uj = 2x uj .
Evaluate this relationship at grid point x = Xj : the left-hand side involves

time derivatives which reduce to those of grid value Uj (t); the right-hand
side is replaced via the coupling conditions (4.40). Thus,
`0
(t `0 )Uj = 2 Uj .
Now revert the operator relationship to deduce the evolution of the grid
values is
dUj
j = `0 Uj + ` 0 (2 )Uj = `(2 )Uj .
=U
dt
Evaluating at coupling parameter = 1, this right-hand side is precisely the
correct centred difference operator
formula for the equation ut = Lu . So
p
when truncating to errors O the right-hand
side contains the correct

terms up to centred differences of O `2p 2p . That is, the discrete model is
consistent with the equation ut = Lu to this order of error.
Consequently, when we use these coupling conditions to model dynamics

we obtain dual support: consistency and centre manifold theory as illustrated in Figure 4.6. This next example shows how this theorem reaffirms
the usefulness of the coupling conditions (4.35) in the coarse scale discrete
modelling of fine scale lattice dynamics.
Example 4.25: coarse discrete model of discrete dynamics
Instead of the heat equation (4.34), suppose that the subgrid scale dynamics are themselves on a fine scale grid (a fine lattice):
u i = (ui1 2ui + ui+1 )
(4.41)
321
where, duplicating notation slightly, ui is the value of the field at the

ith fine scale grid point xi . Suppose there are some integer n fine
scale grid points in each coarse scale element; that is, the fine scale
grid spacing xi = h/n . That is, the operator Lu = u|xh/n

2u|x + u|x+h/n . For simplicity choose the coefficient = n2 /h2 so
the fine scale equation (4.41) is approximately the continuum heat
equation (4.34). Thus almost the identical computer algebra to Algorithm 4.3 will generate the coarse grid model for the discrete dynamics
of (4.41), and with similar theoretical support.9
Indeed, in this simple problem the subgrid scale structures, the slow
manifold, remains as the classic interpolation (4.37) through the coarse
scale grid points. However, the coarse scale evolution on the slow
manifold appropriately changes to

1
2
1
2
Uj = 2
1 2 4
h
12
n

3
1
1
+
1 2
4 2 6 Uj + O 4
(4.42)
360
n
n
Evaluate at coupling = 1 to recover the physical model. This example demonstrates novel and powerful support for mapping fine scale
discrete dynamics to coarser scale discrete dynamics. Potentially one
could map to even coarser scale dynamics, and so on, to generate a
hierarchy of models across a wide range of scales!
Note that we should check the spectrum on decoupled elements to
confirm that such a slow manifold model should indeed emerge from
9
To apply Algorithm 4.3 here, imagine the subgrid variable i/n so changing fine
grid index i by one is the same as changing subgrid variable by 1/n. Then just change the
computation of the residual of the governing subgrid scale equation from the continuum
heat equation (4.34) to the fine scale discrete equation (4.41):
nu:=n**2/h**2;
pde:=-df(uj,t)+nu*(sub(xi=xi+1/n,uj)-2*uj+sub(xi=xi-1/n,uj));
The modified algorithm successfully terminates. Because the original updates are not
crafted for this particular subgrid scale operator, the number of iterations is larger. But
because the two subgrid scale operators are approximately the same, the algorithm does
terminate.
322

the dynamics.
Computer algebra constructs the slow manifold discretisation

Algorithm 4.3 constructs the slow manifold discretisation for the heat equation (4.34) on overlapping elements coupled by the conditions (4.35). The
iterative corrections are driven by the residuals of the governing equations.
Upon termination, the output of the algorithm, u andg, gives the slow manifold discretisation (4.37)(4.38).
The first line of Algorithm 4.3 just improves the format of printed
output, and is thus of no importance.
Algorithm 4.3 defines the subgrid scale variable xi = = (x Xj )/h
and its only unique property that d/dx = 1/h .
To find updates to the subgrid field on the slow manifold, Algorithm 4.3
needs to solve d2 uj0 /d2 = rhs for corrections uj0 . This is done by operator solv. It invokes the conditions uj0 (0, t) = 0, from the amplitude
definition, and uj0 at = 1 are equal, to partially account for the
coupling conditions.
To find updates to the evolution on the slow manifold, Algorithm 4.3
invokes the operator mean which computes the mean over the jth element.
The slow manifold is parametrised by grid values uu(j) = Uj (t) and
knows that their time derivative is stored in variable gj: duu(j)/dt =
dUj /dt = gj.
The initial approximation to the subgrid field is that it is piecewise
constant, uj = uj (x, t) = Uj , and there is no evolution, dUj /dt =
gj = 0 .
In the iterative refinement, iterate until the residuals of the heat equation (4.34) and the coupling conditions (4.35) are zero to the specified
323
Algorithm 4.3 construct the slow manifold discretisation of diffusion.

on div; off allfac; on revpri; factor gamma,h;
% function of subgrid variable xi=(x-x_j)/h
depend xi,x; let df(xi,x)=>1/h;
% solves u=RHS such that u(0)=0 and u(+1)=u(-1)
operator solv; linear solv;
let { solv(xi^~p,xi)=>(xi^(p+2)-(1-(-1)^p)*xi/2)/(p+1)/(p+2)
, solv(xi,xi)=>(xi^3-xi)/6
, solv(1,xi)=>(xi^2)/2 };
% compute mean over an element
operator mean; linear mean;
let { mean(xi^~p,xi)=>(1+(-1)^p)/2/(p+1)
, mean(xi,xi)=>0
, mean(1,xi)=>1 };
% parametrise with evolving grid values uu(j)
operator uu; depend uu,t;
let df(uu(~k),t)=>sub(j=k,gj);
% initial approximation in jth element
uj:=uu(j); gj:=0;
% iterative refinement to specified error
let gamma^4=>0;
repeat begin
pde:=-df(uj,t)+df(uj,x,2);
rcc:=-sub(xi=+1,uj)+gamma*sub({xi=0,j=j+1},uj)
+(1-gamma)*sub(xi=0,uj);
lcc:=-sub(xi=-1,uj)+gamma*sub({xi=0,j=j-1},uj)
+(1-gamma)*sub(xi=0,uj);
gj:=gj+(gd:=(rcc+lcc)/h^2-mean(pde,xi));
uj:=uj-h^2*solv(pde-gd,xi)+xi*(rcc-lcc)/2;
showtime;
end until {pde,rcc,lcc}={0,0,0};
amp:=sub(xi=0,uj)-uu(j);
324

order of error, here O 4 .
for the current approximation to the slow manifold uj and the
evolution thereon gj, compute the residuals of the heat equation
and the coupling conditions.
Then update the evolution via a magic recipe involving the heat
equation and coupling residuals.
Update the subgrid field from the residuals.
Lastly, Algorithm 4.3 just confirms the required parametrisation that
uu(j) is indeed the grid values: uu(j) = Uj = uj (Xj , t).
The output of Algorithm 4.3 is not in the form recorded in the slow manifold
model (4.37)(4.38): these equations express results using centred discrete
operators. The post-processing Algorithm 4.4 transforms the output into
the form reported. It replaces all the shift operations by the equivalent
discrete operator form
i|p|
h
Uj ,
Uj+p = 1 + sign(p) + 12 2
and invokes the identity 2 = 1 + 14 2 .
The post-processing Algorithm 4.3 also generates the equivalent differential
equation (4.39), for sufficiently smooth grid value fields, using the Taylors
series
X
n U
1
(ph)n n .
Uj+p = U(Xj + ph, t) =
n!
x
n=0
Exercise 4.26:
Modify Algorithm 4.3 to generate the slow manifold discrete model of the advection-diffusion equation (4.43)
for small ad
vection speeds c: that is, construct to errors O c3 say. Explore the
modelling in view of the results of the next Section 4.3.2.
325
Algorithm 4.4 Convert the slow manifold of linear problems to centred

operator form where is the centred mean operator and is the centred
difference operator. Then also convert the evolution to an equivalent differential equation (also applies to nonlinear evolution).
% convert to central difference operator form
rules:={ mu^2=>1+delta^2/4
, uu(j+~p)=>(1+sign(p)*mu*delta+delta^2/2)^abs(p)
, uu(j)=>1 }$
gop:=(gj where rules);
uop:=(uj where rules);
% convert to equivalent DE using Taylor expansion
depend uu,x;
o:=6; let h^7=>0;
rules:={ uu(j)=>uu ,
uu(j+~p)=>uu+(for n:=1:o sum df(uu,x,n)*(h*p)^n/factorial(n)) }$
gde:=(gj where rules);
4.3.2
Model advection-diffusion robustly
Here we explore perhaps the simplest significant example pde: the linear
advection-diffusion equation
u
u 2 u
= c
+ 2,
t
x
x
(4.43)
where c is the finite advection speed. We discover consistency for small

element size h, and find interesting and stable upwind approximations for
large ch (Roberts 2002, 2). The associated sophisticated dependence upon
advection speed c suggests odd operators act differently to even operators.
For variety, and because low orders are of interest, we do not resort to
computer algebra.
326
Construct the advection-diffusion model

Seek a slow manifold and the evolution thereon in a power series in the
inter-element coupling parameter :
u(x, t) = uj =
k ukj (x, U) ,
such that
j = gj =
U
k=0
k gkj (U) ,
k=1
(4.44)
where the superscripts on uj and gj are an index and do not denote exponentiation. Usually we construct models using iteration in computer algebra.
However, here we resort to explicit hand calculations and so invoke the explicit expansion (4.44) in the coupling parameter .
Now look at each equation. Substitute (4.44) into the advection-diffusion
equation (4.43) and equate like powers of to determine
k
XX
i
l=1
gli
ukl
j
Ui
= c
ukj
x
2 ukj
x2
k = 0, 1, 2, . . . .
(4.45)
Similarly substituting (4.44) into the amplitude condition (4.36) and equating powers of requires
u0j (Xj , U) = Uj ,
and ukj (Xj , U) = 0
for k 1 .
(4.46)
Whereas substituting (4.44) into the coupling conditions (4.35) requires

Uj1/2 , k = 1 ,
k
k
uj (Xj1 , U) uj (Xj , U) =
(4.47)
0,
k 6= 1 ;
recall that the centred difference operates such that Uj = Uj+1/2 Uj1/2 .
We proceed to solve the first two steps in this sequence of equations and
interpret the resultant sequence of finite difference approximations.
First order coupling First explore the holistic finite difference model
with only first order interactions between adjacent elements, that is, errors
are O 2 . To start, the basic k = 0 equations of (4.45)(4.47) are
c
u0j
x
2 u0j
x2
= 0,
327
u0j (Xj , U) = Uj ,
u0j (Xj1 , U) u0j (Xj , U) = 0 .
These have solutions which are piecewise constant: in the jth element
u0j (x, U) = Uj .
(4.48)
As before, these piecewise constant solutions form the base of the subgrid
fields in the slow manifold model.

Move on to find the O corrections by solving the k = 1 version of equations (4.45)(4.47):
c
u1j
2 u1j
= g1j ,
x
x2
u1j (Xj , U) = 0 ,
+
u1j (Xj1 , U) u1j (Xj , U) = Uj1/2 .

For convenience, I write the solution of these equations in terms of a subgrid scale spatial variable = (x Xj )/h which ranges over [1, 1] in the
jth element as shown in Figure 4.7. The solution of these equations of first
order in coupling are then

exp(ch) 1
cosh (ch/2)
1
uj =
2 Uj
4 sinh2 (ch/2) 2 sinh (ch/2)
+ Uj
(4.49)
2
Uj + 1 2 Uj ,
h
h
ch cosh (ch/2)
.
2 sinh (ch/2)
and g1j =
where
1 =
(4.50)
(4.51)
Figure 4.8 plots the coefficient 1 as a function of advection speed ch relative

to grid spacing h. Recall that the centred mean operator appearing above
is defined as Uj = 21 (Uj+1/2 + Uj1/2 ) .
j = g1 to obtain our first finite difference model for
Substitute = 1 in U
j
the linear advection-diffusion pde (4.43):
2
j = c Uj + 1 Uj .
U
h
h2
(4.52)
328
As the grid spacing h 0 this is equivalent to

h2
(c x )2 uxx + O h4 ,
(4.53)
12

and so is indeed consistent to O h2 , independent of c, with the linear
advection-diffusion pde (4.43). This analysis automatically introduces the
novel enhancement of the dissipation term 2 Uj by the factor 1 (ch) which
2
grows from 1 with ch. Alternatively, for small ch from (4.51) 1 1 c12 2 Uj
involves the square of the advection speed; thus one may also view this term
as an upwind correction to the finite difference approximation of the first
derivative:

c
c2 2
c
1 ch
1 ch
1/2
1/2
+ =
E +
+
E
,
h
12
h
2 12
2 12
ut = cux + uxx +
which increases the weight of the upwind grid point (E1/2 is upwind if
c is positive). Either interpretation, as enhanced dissipation or upwind
correction, is well known to be stabilising for finite advection speeds c.
It is interesting to explore the large ch limit when there is strong advection
across each element. From (4.51), 1 ch/2 as ch and is indeed
within a few percent of this value for ch > 4 , see Figure 4.8. Thus for large
advection speed c on a finite width grid, the slow manifold analysis promotes
the model10 (written in terms of the backward difference operator =
1 E1 )
j c Uj = c (Uj Uj1 ) .
U
(4.54)
h
h
This evolution of the grid values is not, and need not be, consistent with
the advection-diffusion pde (4.43) as h 0 because it applies for finite ch.
That the upwind model should be relevant to (4.43) comes from the slow
manifold expansion in the coupling parameter , albeit evaluated at = 1
(via the holistic arrows in Figure 4.6).
10
If the advection velocity is negative c < 0 , then various signs change and the large ch
model remains an upwind model, but is consequently written in terms` offorward differences. This also occurs for the later model (4.59) accurate to errors O 3 .
329
1
62
42
4.5
4
3.5
3
2.5
2
1.5
1
0.5
0
10
Figure 4.8: coefficients of the slow manifold models (4.52) and (4.57) as a
function of advection speed and grid spacing, ch. The dotted lines are the
1
large ch asymptotes: 1 12 ch ; 2 41 ch 12 ; 2 21 ch
.
330
Exact solutions of (4.54) are readily obtained. For example, consider a

point release from j = 0 at t = 0 : Uj (0) = 1 if j = 0 and P
is 0 otherwise.
j
Then see that the moment generating function G(z, t) =
j=0 z Uj (t) is
that for a Poisson probability distribution with parameter ct/h, namely
G(z, t) = exp[(z 1)ct/h] . Hence the mean location and variance of Uj are
j = 2j =
ct
h
x = ct
and 2x = cht .
(4.55)
Thus for ch not small : the extreme upwind model (4.54) has precisely the
correct advection speed c; and although the variance is quantitatively wrong,
cht instead of 2t, at least it is qualitatively correct for finite ch. The slow
manifold model (4.52) is consistent for small h and has the virtue of being
always stable and will always maintain non-negativity of solutions no matter
how large the advection speed c.
Second order coupling Second, explore the holistic finite difference model
with second order
interactions between adjacent elements, that is, the er
rors are O 3 . The details of u2j are of little direct interest here. The finite
difference model depends directly upon

c
1
g2j = + 2 3 Uj + 2 2 1 2 2 4 Uj ,
(4.56)
h
h
ch cosh (ch/2) 1 ch cosh (ch/2)
1
where 2 =
+
,
3
2
4 sinh (ch/2)
2
8 sinh (ch/2)
4 sinh (ch/2)
1
cosh (ch/2)
1
and 2 =
+
.
2
2 2 sinh (ch/2) ch sinh (ch/2)
j = g1 +2 g2 evaluated
Observe the marvellous feature that when we form U
j
j
at = 1 the terms in 1 (ch)2 neatly cancel. The model for the linear
advection-diffusion thus reduces to

j = c 2 3 Uj + 1 2 2 4 Uj .
(4.57)
U
h
h2
As it involves third and fourth differences, this model is a five point wide
discretisation.
331
As the element size h 0 , the hyperdiffusion coefficient 2 1/12 and the

dispersion coefficient 2 1/6 to give the classic second-order in h corrections to the central difference approximations of the first two derivatives.
Furthermore, as h 0 the discretisation (4.57) is equivalent to
ut = cux + uxx +

h4
(c x )3 uxxx + O h6 ,
90
(4.58)

and so is consistent to O h4 , independent of advection speed c, with the
advection-diffusion pde (4.43). With the specific coupling conditions (4.35),
as we compute to higher order in coupling parameter it appears that we
may get higher order consistency with the original pde (4.43).
For large advection speed or grid size, large ch, the discretisation (4.57)
behaves astonishingly well. Using the large ch approximations plotted in
Figure 4.8 for 2 and 2 , the model (4.57) reduces to simply

c
1 2
1
Uj =
+ Uj + 2 2 Uj
h
2
h
c
1
(Uj2 4Uj1 + 3Uj ) + 2 (Uj2 2Uj1 + Uj ) . (4.59)
=
2h
h
This large ch model uses only backward differences to incorporate secondorder upwind estimates of the derivative, hx + 21 2 , and the second
derivative, h2 2x 2 . To show its good properties,11 consider again a
point release
j = 0 at time t = 0 . The moment generating function
Pfrom
j
G(z, t) = j=0 z Uj (t) for the evolution governed by (4.59) is readily shown
to be

t
ct
2
G(z, t) = exp (z 1)(z 3) + 2 (z 1) .
(4.60)
2h
h
Then since

G
ct
=

z z=1
h
and

2
ct
ct 2t
2 G
=
+ 2,

2
z z=1
h
h
h
11
The upwind difference model (4.59) is only stable for ch > 2/3 . However, from
Figure 4.8 the approximation (4.59) is only applicable to (4.57) for ch greater than about 4;
thus its instability for very much smaller ch is irrelevant.
332
we determine the mean position and variance of the spread in Uj to be

j =
ct
2t
and 2j = 2
h
h
x = ct and 2x = 2t .
(4.61)
This predicted mean and variance following a point release are exactly correct for all time for the advection-diffusion pde (4.43). This specific result
applies to all finite advection speeds c and all finite grid spacings h whenever
ch is large enough.
Summary Creating finite differences which, as shown in Figure 4.6, are
both consistent for small element size h and also holistically derived via
centre manifold theory lead to models which are remarkably accurate and
stable over a wide range of parameters.
The interelement coupling models linear dynamics consistently
The slow manifold discretisation of advection-diffusion is apparently consistent with the pde as the grid spacing h 0: equation (4.53) demonstrates empirically that the O 2 model is O h2 consistent;
whereas

equa3
4
tion (4.58) demonstrates empirically that the O model is O h consis
tent; further computation suggests that the O p model is O h2p2 consistent. The following theorem, complementing Theorem 4.2 on isotropic
dynamics, establishes that we expect such consistency for quite general linear microscale dynamics.
Theorem 4.3 (consistency) ??
Proof:
Consider the microscale evolution equation ut = Lu (differential
or fine scale discrete) where the linear operator has formal expansion
0
L = `0 + ` (D) =
`k Dk
for operator Dx = c1 x x + c2 2x .
k=0
Importantly, define the coefficients c1 6= 0 and c2 in operator Dx so that

coefficients in the infinite sum `1 = 1 and `2 = 0 . Note that the specific

coupling conditions (4.35) ensure that

Dx uj x=X = = DUj where
j
333
D = c1 + c2 2 .
That is, the specific coupling conditions (4.35) transform first and second
differences of the field into corresponding differences of the grid values, but
moderated by the coupling parameter .
Then for each subgrid field uj the evolution equation t uj = Luj is equivalent to t uj = `0 uj +` 0 (Dx )uj . Hence, by operator algebra, ` 0 1 (t `0 )uj =
Dx uj -the inverse of operator ` 0 formally exists as `1 6= 0 . Evaluate at
the central grid point of the jth element, x = Xj : the left-hand side only
involves time derivatives and so commutes with the evaluation; the righthand side simplifies by the specific coupling conditions (4.35); the result is
` 0 1 (t `0 )Uj = DUj . Revert the operator algebra to deduce the equation for the grid values t Uj = `0 Uj + ` 0 (D)Uj . Evaluated at full coupling,
= 1 , this is precisely consistent with the original microscale evolution
equation ut = Lu .
However, in practise we approximate
the grid model t Uj = `0 Uj +` 0 (D)Uj

p
by truncating to errors O . Evaluating
such a truncation at full coupling,
these correspond to errors O `p Dp = O `p cp1 p . ??

For advection-diffusion: c1 = c/h, c2 = d/h2 , `3 = 16 h2 /c2 , `4 =

5 2
7 2 2 6
3 4 4
4
2
12 h d/c , `5 = 6 h d /c + 40 h /c , . . . which implies the error is O h .
This argument does not see the increasing order of error in h with order
of . ??
4.3.3
Discretise the nonlinear Burgers equation
Burgers partial differential equation,

u 2 u
u
= u
+ 2,
t
x
x
(4.62)
for a field u(x, t) contains the physically important mechanisms of nonlinear

advection, uux , and diffusive dissipation, uxx . It is thus used to introduce
334
and test many numerical and analytical methods. The nonlinearity parameter controls the importance of the nonlinear advection term (Exercises
4.15 and 4.16 show how this parameter helps control approximations). This
section shows how to derive holistic discretisations of Burgers equation. The
methods are easily adaptable to discretise other reaction-advection-diffusion
pdes in one space dimension.
See also (Roberts 2001).??
Algorithm 4.5 derive the slow manifold holistic discretisation for Burgers
equation (4.62) on finite elements. Simply make the following modifications
to Algorithm 4.3.
Improve printing by also including factor alpha.
Change the order of error to also truncate in small nonlinearity
parameter by, say, let {gamma^3=>0, alpha^3=>0};
Change the computation of the residual to Burgers pde (4.62):
pde:=-df(uj,t)-alpha*uj*df(uj,x)+df(uj,x,2);
Improve the solvability integral

2 uj0
x2
= gj0 + Resj
such that
uj0 (xj1 , t) uj0 (xj , t) = Res .
(4.63)
In terms of the subgrid variable = (x xj )/h for the jth element these
equations are
2 0
1 uj
= gj0 + Resj
h2 2
such that uj0 ( 1, t) uj0 (0, t) = Res . (4.64)
Integrate this pde for uj0 over an extended jth element with weight function
w() = 1 || :
Z1
2 0
1 uj
(1 ||) 2
d =
h 2
1
Z1
1

(1 ||) gj0 + Resj d .
335
Integrate the left-hand side by parts twice, and simplify the right-hand side
slightly, gives
Z1

1
0
1
0
[(1 + )u u]1 + [(1 )u + u]0 = gj +
(1 ||) Resj d .
h2
1
Since u , equivalently hux , must be continuous at the centre of the element
= 0 , the left-hand side of this equation becomes
lhs =
=

1 0
0
0
u
|
2u
|
+
u
|
=1
=0
=+1
j
j
j
h2
1
{Res+ + Res } ,
h2
from the nonlocal coupling conditions. Consequently, rearranging the whole

equation gives
gj0
1
= 2 (Res+ + Res )
h
Z1
(1 ||) Resj d .
(4.65)
This is the correct solvability condition to use to update the evolution of

the jth grid value (via modifying the operator mean). Our earlier crude
formula for updating gj is does work, as we have discovered, but the iterations may converge slower than is necessary because the crude formula only
approximates this correct update.
Interestingly, the weight function w() = 1 || is the same weight function
used for decades to generate finite element models via Galerkin projection,
see Section 4.1.3. Exercise 4.29 asks you to deduce this weight function from
the adjoint of the subgrid problem (4.63).
Theory supports discretising general PDEs

Centre Manifold Theorems 3.2, 3.4 and 3.8 assure the following general corollary for the discretisation of reaction-advection-diffusion pdes. Although we
do actually need the infinite dimensional theorems of ??
336
Corollary 4.4 There exists an exponentially attractive slow manifold discrete model of the pde
u
2 u
=
+ f(u, ux , . . .)
t
x2
(4.66)
with the nonlocal coupling conditions (4.35), for smooth enough f. With
the domain divided into m overlapping elements by (4.35), and periodic
boundary conditions on u, u(x + mh, t) = u(x, t) , the m dimensional, slow
manifold, discrete model may be written as
u = vj (x, U, , )
such that
j = gj (U, , ) ,
U
(4.67)
where Uj measures the amplitude of the field u in the jth element. The
discrete model (4.67) of the pde (4.66) may be constructed as an asymptotic expansion in two small parameters: the coupling parameter , and the
nonlinearity parameter .
Proof:
When parameters = = 0 there exists an m dimensional subspace of equilibria of piecewise constant subgrid fields: uj = constant. Linearised about each of these equilibria, and assuming constant grid spacing h for simplicity, the spectrum of the linear dynamics is that of the diffusion equation, namely, {0, 2 /h2 , 42 /h2 , 92 /h2 , . . .} with the zero
eigenvalue having multiplicity m. Centre manifold theory then assures us
that for smooth enough f: there exists a m dimensional slow manifold,
parametrised by grid values Uj say, that is exponentially attractive, roughly
like exp(2 t/h2 ), and may be constructed globally in grid values Uj but
locally in the small parameters and .
Cater for finite nonlinearity For some problems, such as Burgers equation, the nonlinearity vanishes for the entire subspace of piecewise constant
fields. Then the nonlinearity parameter need not be forced small. As the
nonlinearity vanishes in the m dimensional subspace, then the m eigenvalues of zero remain zero for finite parameter . By continuity, the negative
eigenvalues in the spectrum will remain negative for some finite domain in
parameters. Hence the slow manifold will exist and be attractive globally
337
in this finite domain of nonlinearity parameter . For such problems the

slow manifold need be local only in the coupling parameter . Similarly for
problems with a diffusion coefficient that depends smoothly upon the field u
and its derivative. To date there is very little research on the applications
of such modelling.
4.3.4
Exercises
Exercise 4.27: correct solvability Revise Algorithm 4.5 to implement

the correct solvability condition (4.65). Compare the resultant discrete
models to see they are identical, and compare the number of iterations
each version takes to obtain the discretisations.
Exercise 4.28: Burgers equation Write a page on the theoretical support for discrete models of the fairly general class of nonlinearly modified diffusion dynamics
u
2 u
=
+ f(u, ux )
t
x2
with periodic boundary conditions that u(x, t) = u(x + mh, t) . Break
the domain into m elements of size h with nonlocal coupling conditions
u(xj1 , t) u(xj , t) = (Uj1 Uj ) .
Write computer algebra to construct the consequent discrete models of
Burgers equation obtained when the nonlinear term f = u u
x . Write
to truncate to specified powers in small parameters and . Compare
with the models produced by http://www.maths.adelaide.edu.au/
anthony.roberts/holistic1.html (your models should be the same).
Exercise 4.29: adjoint To holistically discretise advection-reaction-diffusion

equations we often build the discrete model upon diffusive dissipation
in each finite element. That is, in the jth element we analyse the
338

dynamics of pdes in the form
u
2 u
=
+
t
x2
coupled to their neighbours by the nonlocal coupling conditions (4.35)
where the dots denote some specific perturbations of the advection
and reaction processes.
To construct the slow manifold of holistic discretisation we iteratively
solve problems of the form
Luj0 =
2 uj0
x2
= Resj
where
uj0 (xj1 , t) uj0 (xj , t) = Res .
Recalling Exercise 4.20, find the null space of the adjoint of this problem. Hence determine the solvability condition (4.65) on the above
residuals for this problem.
Exercise 4.30: KuramotoSivashinsky equation

Write a page on
the theoretical support for discrete models of the KuramotoSivashinsky
equation

2
u
4 u
u
u
+4 4 +
=0
+u
t
x
x2
x
with periodic boundary conditions that u(x, t) = u(x + mh, t) . Break
the domain into m elements of size h with nonlocal coupling conditions
u(xj1 , t) u(xj , t) = (Uj1 Uj ) and uxx (xj1 , t) uxx (xj , t) =
(2 Uj1 2 Uj ) .
h2
Write computer algebra to construct the consequent discrete models
of this KuramotoSivashinsky equation. I expect the solvability condition for updates to the evolution will be of the form
Z1
gj0
(1 ||)Residual d + .
1
Write to truncate to specified powers in small parameters and .

Compare with the models produced by http://www.maths.adelaide.
339
edu.au/anthony.roberts/holistic1.html (I expect differences because the coupling conditions are different).

With = 0 , that is, the linear decay, I expect you should see that the
leading order (in coupling ) model is correct. However, I expect that
higher order corrections are not consistent. Is my expectation correct?
or not?
Exercise 4.31: higher-order adjoint

To holistically discretise pdes
with fourth order dissipation, such as the nonlinear KuramotoSivashinsky
equation, we build the discrete model upon dissipation in each finite
element. That is, in the jth element we analyse the dynamics of pdes
in the form
u
4 u
=
+
t
x4
coupled to their neighbours by nonlocal coupling conditions. Here take
the coupling conditions to be
u(xj1 , t) u(xj , t) = (Uj1 Uj ) ,
uxx (xj1 , t) uxx (xj , t) = 2 (2 Uj1 2 Uj ) .

h
Thus to construct the slow manifold of holistic discretisation we iteratively solve problems of the form
Luj0
where
4 uj0
= Resj
x4
uj0 (xj1 , t) uj0 (xj , t) = Res
0 ,
=
0
0
ujxx
(xj1 , t) ujxx
(xj , t) = Res
2 .
Recalling Exercise 4.29, use integration by parts to find the adjoint of

this operator L is
4
x4
v = vxx = 0 at x = xj1 ,
L =
with
340

[v] = [vxx ] = 0 at x = xj ,
vx |xj+1 + [vx ]xj vx |xj1 = 0 ,
and
vxxx |xj+1 + [vxxx ]xj vxxx |xj1 = 0 .
Hence determine the null space of the adjoint is spanned by v = h|x

xj | , and thus determine the solvability condition, a variant of (4.65),
on the above residuals for this problem.
Exercise 4.32: another interesting adjoint Repeat Exercise 4.31 but

replace the coupling conditions there with the coupling conditions
u(xj1 , t) u(xj , t) = (Uj1 Uj ) ,
u(xj2 , t) u(xj , t) = (Uj2 Uj ) .
The integration by parts is more horrible, but with = x/h you should
end up with the null space of the adjoint being spanned by the classic
cubic spline kernel

4 62 + 3||3 , 0 1 ,
v=
(2 ||)3 ,
1 || 2 .
4.4
Summary
basicmeth??
Artificially changing boundary conditions empowers us to rigorously
model pdes on finite domains, 4.2.1.
Chopping up a domain into finite elements using coupling conditions
between the elements similarly empowers us to form discrete models
of pdes, 4.2.2. Wonderfully, the governing pde itself determines the
physical field within each finite element. In contrast, traditional finite differences and finite elements impose an assumed shape for the
subgrid scale field.
4.4. Summary
341
The nonlocal coupling conditions introduced in 4.2.4 have marvellous

properties.
items:for:the:chapter:summary
342
Chapter 5
Normal forms usefully

illustrate
Contents
5.1
Normal form transformations simplify evolution 344

5.1.1 Unstable and stable manifolds of saddles . . . . . . 348
5.1.2 Normal forms display the stable and unstable manifolds . . . . . . . . . . . . . . . . . . . . . . . . . . 352
5.1.3 Solve homological equations to find normal forms . 353
5.2 Separate the fast and slow dynamics . . . . . . . 364
5.3 Resonance couples slow modes with fast oscillations . . . . . . . . . . . . . . . . . . . . . . . . . . 368
5.4 Chapter summary . . . . . . . . . . . . . . . . . . 370
The definition of a normal form is subjective. It all depends upon the

purpose we have in mind. Here our aim is to simplify the dynamics in a way
that clearly extracts any low-dimensional centre manifold model.
Section 5.1 begins to explore how to disentangle effects in nonlinear dynamical systems to enable ready qualitative interpretation. We develop the
nonlinear analogue of matrix diagonalisation. The analogue is a nonlinear
transformation of the variables to what is called a normal form. Only an
343
344
Chapter 5. Normal forms usefully illustrate

1.0
0.5
0.0
y
0.5
1.0
1.00.80.60.40.20.0 0.2 0.4 0.6 0.8 1.0
x
Figure 5.1: some trajectories of the pair of coupled odes (5.1) evolve towards
the stable equilibrium at the origin.
introduction is given, but, for example, we see how linearisation is indeed
valid in two dimensional systems.
??separate
?? resonance
5.1
Normal form transformations simplify

evolution
Warning:
Consider the dynamics described by a set of ordinary differential equations

(odes). For example, you might have explored the dynamics of the pair of
5.1. Normal form transformations simplify evolution
345
1.0
0.5
0.0
0.5
1.0
1.00.80.60.40.20.0 0.2 0.4 0.6 0.8 1.0
Figure 5.2: some trajectories of the pair of coupled odes (5.1) in the transformed -plane.
odes
x = 2x ,
and y = y + x2 ;
(5.1)
Figure 5.1 shows some trajectories. Your exploration of the odes may have
followed the following path: the only equilibrium (fixed point) of the dynamical system is x = y = 0 ; the linearisation about this equilibrium is
x 2x and y y ; both of these describe decaying dynamics and so the
equilibrium (x, y) = (0, 0) is a stable node. But how do we really know that
we can neglect the nonlinear term x2 in the y-equation? True, the argument that the term x2 is negligible near (0, 0) is plausible; but is it correct?
Normal form transformations provide a sound route to answer this question.
A transformation to a normal form tries to simplify the description of the
dynamics so that we easily deduce relevant features such as stability or
classification. For the example system (5.1) try changing to new coordinate
346
variables (, ) such that

x = ,
and y = 13 2 .
(5.2)
This coordinate transform slightly relabels the points in the xy-plane: the
origin is still the origin; but for example, the point with xy-label ( 21 , 1) has
-label (1, 1). The coordinate transform is a slight relabelling because
near the equilibrium of interest, the origin, the coordinate transform is a
near identity, x and y . But the nonlinear part of the transform
bends the xy-plane upwards to straighten out the dynamics in the plane as you may see Figure 5.2. Now find the dynamics of (5.1) in the new
coordinates.
First, = x so = x = 2x = 2 . The variable evolves according
to the linearisation derived earlier.
Second, from the equation (5.1) y = y + x2 = + 31 2 + 2 =
+ 43 2 , whereas from the transformation y = 23 =
2
4 2
3 (2) = + 3 . Equating these two expressions for y deduce

that the variable evolves according to simply = . This is also
according to the linearisation derived earlier.
The near identity coordinate transform (5.2) brings out that = 2 and
= . Hence the dynamics (solutions) of the original system (5.1) correspond exactly to the dynamics (solutions) of this simple pair of linear
and uncoupled odes. That is, the nonlinearities in (5.2) simply bend
the dynamics of = 2 and = , the nonlinearities do not affect
its qualitative naturesee the bending by comparing Figures 5.1 and 5.2.
The original linearisation is indeed valid. The important point is: a normal
form transformation seeks new variables in which the dynamical properties
are plain for all to see.
Recall that the diagonalisation of matrices does analogous simplification for
linear problems. In particular you would have implicitly or explicitly used
matrix diagonalisation to analyse linear dynamical systems via their odes.
To use the ideas of normal form transformations we usually, but not always,
start with a system that already has its linear terms diagonalised. Then the
task of the normal form transformation is to simplify the nonlinear terms,
347
eliminating them if possible, in the dynamical system so we see readily the

qualitative nature of the dynamics.
Example 5.1:
How do the nonlinearities in the system

x = y2 ,
and y = y ,
(5.3)
affect the linearisation x 0 and y y ? The answer here is: hardly

at all. However, it is not obvious because, as we see in later chapters,
the slow evolution of x, x 0 , is exquisitely sensitive to nonlinearities.
It just so happens that here the nonlinear term y2 is not significant.
To see this, transform the dynamics to new variables and such
that x = 21 2 and y = . These are nearly the same as x and y
near the equilibrium at the origin, but not quite. Now consider the
dynamics.
First, since y = , = y = y = . The dynamics are
identical to those for y.
Second, x = y2 = 2 and also from the transform x = =
+ 2 . Equating these two expressions for x we deduce that
= 0 . The dynamics are exactly trivial.
The near identity coordinate transform clearly demonstrates that the
dynamics of (5.3) are just a bent version of the dynamics of its
linearisationthe linearisation x 0 and y y is identical to the
transformed system = 0 and = . Figure 5.3 shows trajectories
of the odes (5.3) appear straightened in the -plane. Thus we may
indeed use the linearisation to report qualitative dynamics of (5.3).
These applications are straightforward. In particular I somehow knew the

necessary change of variables. In Section 5.1.1 we explore how to find the
normal form transform for a given dynamical system. We find that in general
the transform as a multivariate power series. In this introduction to the topic
we only explore two-dimensional dynamical systems.
348

1.0
1.0
0.5
0.5
0.0
0.0
0.5
0.5
1.0
1.00.80.60.40.20.0 0.2 0.4 0.6 0.8 1.0
1.0
1.00.80.60.40.20.0 0.2 0.4 0.6 0.8 1.0
Figure 5.3: trajectories of the pair of coupled odes (5.3) approach the line
y = 0 (left), but seen in the transformed -plane (right) they appear to do
so in a straight fashion.
5.1.1
Unstable and stable manifolds of saddles
Example 5.2:
Find a near identity change of variables, near the origin,
to place the system
x = 2x + y2
and y = y ,
(5.4)
into its normal form = 2 and = . That is, find the change of
variable that straightens the dynamics into the classic linear saddle
as shown in Figure 5.4.
Solution: The y equation is already in its normal form, so let us just
try to transform the x variable: pose x = + X(, ) and y = for
some as yet unknown modification to the change of variables X(, ).
Since this change of variables is to be a near identity we want X(, ) to
be small (compared with the dominant linear term x ). Substitute
into the right-hand side of the x equation:
2x + y2 = 2 + 2X + 2 .
349
1.0
1.0
0.5
0.5
0.0
0.0
0.5
0.5
1.0
1.00.80.60.40.20.0 0.2 0.4 0.6 0.8 1.0
1.0
1.00.80.60.40.20.0 0.2 0.4 0.6 0.8 1.0
Figure 5.4: trajectories of the pair of coupled odes (5.4) (left) are a bent
version of the classic saddle shown in the -plane (right) after the coordinate transform (5.5).
But also x = + X(, ) so, using the chain rule, the left-hand side of
the x equation is
X X
X
X
x = +
+
= 2 + 2
Equate these two expressions for x to deduce

2
X
X
2X = 2 .
This is your first example of a homological equation. Such homological equations may be quite tricky to solve. Here use the following
argument:
If the modification X has any dependence, then X
would be
X
non-zero, hence the term on the left 2 would generate some
dependent terms on the left-hand side. But there are no dependent terms on the right-hand side so we discard any thought
of dependence in the modification X.
350

Thus try X = cq for some coefficient c and exponent q, then
the left-hand side becomes (q + 2)cq . This left-hand side must
match the right-hand side of simply 2 and hence the exponent
q = 2 and the coefficient c = 1/4 .
This analysis implies that the near identity change of variables
x = 14 2
and y =
(5.5)
transforms the ode (5.4) into the simple normal form = 2 and
= . Consequently, the dynamics of the ode (5.4) are simply a
curved or bent version of those of the simple linear system = 2
and = .
This linear system is a saddle, since grows exponentially as decays
exponentially, and thus the origin in the ode (5.4) is a similar saddle.
In coupled pairs of nonlinear odes, there are special curves in state space
that guide the shape of the overall evolution. In Example 5.2:
the line y = 0 attracts all solutions of the odes (5.4)we call the line
y = 0 the unstable manifold (of the equilibrium at the origin); whereas
the curve x = y2 /4 separates the solutions that grow x and
those that grow to x we call the curve x = y2 /4 the stable
manifold (of the equilibrium at the origin).
Interestingly, converse statements hold when we run time backwards: the
stable manifold is attractive in reversed time; and the unstable manifold
separates solutions between y in reversed time. Also, the stable and
unstable manifolds of a equilibrium have other roles in other situations: for
example, in chaotic maps, they tangle together in a way that characterises
crucial aspects of the chaos. But their complementary nature always holds
and underlies their definition (Kuznetsov 1995, 2.2).
Definition 5.1 Consider a dynamical system of odes
u = f(u) ,
u Rn ,
(5.6)
351
with an equilibrium at u :
the set of initial conditions whose subsequent evolution approaches the
equilibrium is called the stable manifold,
W s = {u(0) : u(t) u , t +} ;
(5.7)
the set of initial conditions whose backwards evolution approaches the

equilibrium is called the unstable manifold,
W u = {u(0) : u(t) u , t } .
(5.8)
Note: at this stage we have no right to call these sets manifolds because we
do not know that they are smooth nor that they have a definite dimension;
Theorem 5.3 provides the assurance.
Example 5.3: Stable and unstable manifolds
In the system (5.4), the unstable manifold W u of the origin is
the line y = 0 , whereas the stable manifold W s is the curve
x = y2 /4 .
In the system (5.3), there is no non-trivial unstable manifold of
the origin (W u = {0}), whereas the stable manifold W s is the
curve x = y2 /2 .
In the system (5.1), there is again no non-trivial unstable manifold of the origin (W u = {0}), whereas the stable manifold W s is
the entire xy-plane.
Observe in these examples that the stable and unstable manifolds are
indeed smooth curves in the plane and hence can be indeed called
manifolds. Also observe that the non-trivial manifolds are tangent
to the eigenvectors of the linearised evolution near the equilibrium.
These are general properties formalised in the next theorem.
352
Definition 5.2 (hyperbolic equilibrium) An equilibrium of a dynamical

system (5.6) is termed hyperbolic if the linearisation of the dynamics has no
pure imaginary eigenvalues (more generally, if the eigenvalues are bounded
away from the imaginary axis).
For example, any saddle point is a hyperbolic equilibrium: the positive and
negative eigenvalues characteristic of a saddle are bounded away from zero.
Theorem 5.3 (local manifolds) Let u be a hyperbolic equilibrium of a
dynamical system (5.6). Then within some neighbourhood of the equilibrium u the stable and unstable manifolds W s and W u are smooth manifolds.
Moreover, these manifolds are tangent, respectively, to the eigenspaces of the
linearised dynamics corresponding to eigenvalues with negative real part and
positive real part, respectively.
Kuznetsov (1995) [2.2] has more discussion and an outline of a proof.
5.1.2
Normal forms display the stable and unstable

manifolds
Now lets return to coordinate transforms. Reconsider the stable and unstable manifolds of Examples 5.1 and 5.2 but now see them clearly in the
normal form of the dynamics.
The normal form of the system (5.4) is = 2 and = . The general solution of this pair of linear equations is (, ) = (0 e2t , 0 et ).
Thus: the stable manifold of solutions 0 as t + is simply
0 = 0 , namely the -axis; and similarly the unstable manifold of
solutions 0 as t is simply 0 = 0 , namely the -axis.
Then, since we know the coordinate transform (5.5) that x = 14 2
and y = : we know the stable manifold 0 = 0 becomes x0 = 14 y20
as commented upon earlier; similarly, the unstable manifold 0 = 0 is
simply y0 = 0 .
The normal form of the system (5.3) is = 0 and = . The general
solution of this pair of linear equations is (, ) = (0 , 0 et ). Thus:
353
the stable manifold of solutions 0 as t + is simply 0 = 0 ,

namely the -axis; and the unstable manifold of solutions 0 as
t is just the origin 0 = 0 = 0 .
Then, since we know the coordinate transform x = 12 2 and y = :
we know the stable manifold 0 = 0 becomes x0 = 12 y20 as commented
upon earlier.
In the normal form, the unstable and stable manifolds are the corresponding
linear spaces of eigenvalues with positive and negative real parts, respectively.
5.1.3
Solve homological equations to find normal forms
We have explored coupled pairs of odes that are sufficiently simple that
we could straightforwardly construct the normal form transformation. In
general, a normal form is harder to construct. Moreover, in general, a normal form has to be constructed as asymptotic series. Here we explore how
iteration empowers us to asymptotically approximate normal forms.
For simplicity we restrict attention to pairs of odes. Let us start with a
modified version of Example 5.2.
Example 5.4: first approximation
Use iteration to find a near identity change of variables, in a neighbourhood of the origin, to place the
system
x = 2x + y2 and y = y + x3 ,
(5.9)
into its normal form = 2 and = . That is, find the change of
variable that straightens the dynamics into the classic linear saddle
as shown in Figure 5.5. First we appear to succeeed, but second show
we actually fail, and lastly we show how to always succeed.
Solution: Let us do the first step in a systematic construction of

the normal form transformation. Since the change of variables is to
be a near identity we first seek x = + X 0 (, ) and y = + Y 0 (, )
where the corrections X 0 and Y 0 to the linear transformation are small.
354

1.0
1.0
0.5
0.5
0.0
0.0
0.5
0.5
1.0
1.00.80.60.40.20.0 0.2 0.4 0.6 0.8 1.0
1.0
1.00.80.60.40.20.0 0.2 0.4 0.6 0.8 1.0
Figure 5.5: trajectories of the pair of coupled odes (5.9) (left) are a bent
version of the classic saddle shown in the -plane (right) after the coordinate transform (5.10).
Substitute into the x ode of (5.9), using the chain rule for time derivatives:
x = 2x + y2
X 0 X 0
2
+
+
= 2 + 2X 0 + 2 + 2Y 0 + Y 0
X 0
X 0
2
= 2 + 2X 0 + 2 + 2Y 0 + Y 0
2 + 2
X 0
X 0
2
+2
2X 0 = 2 + 2Y 0 + Y 0
X 0
X 0
+2
2X 0 2
upon neglecting the very small Y 0 2 and significantly smaller Y 0 when

compared to the corrections retained on the left-hand side. This is
the same homological equation we solved in Example 5.2. Its solution
here is the same, namely X 0 = 2 /4 .
355
Now do the analogous analysis for the y ode of (5.9). Using the chain
rule for time derivatives deduce
y = y + x3
Y 0 Y 0
2
3
+
+
= Y 0 + 3 + 32 X 0 + 3X 0 + X 0
Y 0
Y 0
3
2
+ 2
= Y 0 + 3 + 32 X 0 + 3X 0 + X 0
Y 0
Y 0
3
2
+2
+ Y 0 = 3 + 32 X 0 + 3X 0 + X 0
Y 0
Y 0
+2
+ Y 0 3
upon neglecting the very small X 0 2 and significantly smaller X 0 when

compared to the corrections retained on the left-hand side. This homological equation has solution Y 0 = 3 /7 .
This analysis implies that the near identity change of variables
x 41 2
and y + 17 3
(5.10)
transforms the ode (5.9) into the simple normal form = 2 and
= . Consequently, the dynamics of the ode (5.9) are simply a
curved or bent version of those of the simple saddle system = 2
and = as shown in the transformation of Figure 5.5.
But the transformation is not quite so simple as seen in this example. See
that at one stage for each ode in the pair (5.9) we neglected small terms
in the corrections. This neglect implies the transformation (5.10) is only
approximate, as indicated. Seek higher order approximations by iteration
with the aid of computer algebra.
Example 5.5: computer algebra iterates effortlessly.
The iteration, whether by computer algebra or not, depends upon solving homological equations of the form
2
X 0
X 0
2X 0 = Res5.9,x
356
Algorithm 5.1 reduce code to find the normal form transformation to

put odes (5.9) into the normal form = 2 and = . Resonance occurs
at O 6 10 + 5 11 .
% known evolution of new variables
depend xi,t; depend eta,t;
let { df(xi,t)=>2*xi, df(eta,t)=>-eta };
% dummy inverse homological operator
% linear approximation, count order with zz
factor zz;
x:=xi*zz; y:=eta*zz;
% iterate to solve
let zz^6=>0;
repeat begin
resx:=df(x,t)-2*x-y^2;
x:=x-(linv(resx,t) where linv(~r,t)=>
r^2/(2*xi*df(r,xi)-eta*df(r,eta)-2*r));
resy:=df(y,t)+y-x^3;
y:=y-(linv(resy,t) where linv(~r,t)=>
r^2/(2*xi*df(r,xi)-eta*df(r,eta)+r));
end until resx=0 and resy=0;

and
357
Y 0
Y 0
+ Y 0 = Res5.9,y .
These appeared in Example 5.4 with the residuals on the right-hand

side of 2 and 3 respectively. At higher orders in the asymptotic
solution the residuals on the right-hand side will involve a sum of
terms in p q .
Consider the x homological equation with p q in the right-hand
side residual. We guess a component in the correction X 0 of cp q
for some constant c to be determined. Substitute into the homological equation to seek to solve (2p q 2)cp q = p q .
Clearly we choose c = 1/(2p q 2) for each component p q
in the residual. For example, in the first iterate, the residual
was 2 (p = 0 and q = 2), so c = 41 , and hence the correction
X 0 = 41 2 .
Similarly consider the y homological equation with p q in the
right-hand side residual. Guess a component in the correction Y 0
of cp q for some constant c to be determined. Substitute into
the homological equation to seek to solve (2p q + 1)cp q =
p q . Clearly we choose c = 1/(2p q + 1) for each component p q in the residual. For example, in the first iterate, the
residual was 3 (p = 3 and q = 0), so c = 71 , and hence the
correction Y 0 = + 17 3 .
Algorithm 5.1 finds the transform from the odes (5.9) to the normal
form = 2 and = is
x = 14 2 +
y = + 71 3
2 3
21
1 2 2
4

+ 12 2 3 + O 6 + 6 ,

3
16
4 + O 6 + 6 .
(5.11)
(5.12)
See that Algorithm 5.1 computes the residual for each equation, then
updates the transformation by:
placing a term p q /(2p q 2) into the x transform for each
term p q in the x residual;
358

placing a term p q /(2p q + 1) into the y transform for each
term p q in the y residual.
See that for each individual term r = xp yq , dividing by the homological operator acting upon r, then divided by r, gives the correct
coefficient. The variable zz counts the number of and factors
in each term; hence we truncate to a consistent order in and by
discrading terms higher than some specified power in the counting
variable zz.
This little program is beautiful. It provides a simple and flexible base for
dealing with almost any pairs of odes. Unfortunately, the program is also
wrong!
Try executing it to construct an asymptotic approximation to sixteenth order
by using let zz^17=>0: fifteenth order is fine, but when you attempt to find
the sixteenth order you encounter a fatal error through an attempt to divide
by zero!
Example 5.6: resonance affects the normal form.
Explore this critical issue of zero division in the normal form of the odeS (5.9). Recall
that the iteration depends upon solving homological equations of the
form
X 0
X 0
2X 0 = Res5.9,x
Y 0
Y 0
2
+ Y 0 = Res5.9,y .
and
The residuals on the right-hand side involve a sum of terms in p q :

in the x homological equation these lead to division by 2p q 2
which is zero for terms, such as 2 2 or 3 4 , for which 2pq2 =
0;
similarly in the y homological equation these lead to division
by 2p q + 1 which is zero for terms, such as 3 or 2 5 , for
which 2p q + 1 = 0 .
359
Such problems zero divisors occur frequently in asymptotic approximation of dynamics. Generically they are called resonances because
historically these zero divisors were first encountered in analysing oscillations and the zero divisors physically signalled a resonant interaction
between component oscillators.
The resolution of the zero divisor problem is that we must leave some
of the terms in the odes for x and y in the odes for the evolution
of the new variables and . That is, we can no longer insist that
the normal form is precisely that of a linear saddle. Instead there are
inescapable nonlinear modifications to the evolution.
Solution:
pose
transform the x and y variables and the and evolution:
such that
x = X(, ) and y = Y(, )

= F(, ) 2 and = G(, )
for some as yet unknown near identity transform X(, ) and Y(, ) ,
and for some minimal set of terms remaining in the evolution =
F and = G . Now adopt the approach of supposing we know an
approximation to the transformation and seeking corrections.
Suppose that at some iteration we have a current approximation to
the transform and also to the normal form odes. Seek corrections
X 0 (, ) and Y 0 (, ) to the transform and corrections F 0 (, ) and G 0 (, )
to the evolution such that after transformation x = X + X 0 and y =
Y +Y 0 the evolution = F+F 0 and = G+G 0 better describes the original dynamics of the odes (5.9). The major complication with substituting the coordinate transformation into (5.9) is the time derivatives:
consider the x derivative

X X 0
X X 0
new =
[x]
+
+

X X 0
X X 0
0
=
+
(F + F ) +
+
(G + G 0 )
360

X
X
X
X 0
X 0 X 0
F+
G + F0 +
F+
G +
G
|
{z
}
=x
X 0
X 0 0
F0 +
G
|
{z
}
negligible
current + F 0 + 2
[x]
X 0
X 0
upon recognising
the time derivative x for the current approximation,
that the product of small corrections are negligible, and
approximating the coefficients of corrections by their first order
X
approximations ( X
1 , F 2 , 0 and G ).
0
X
Note that in the retained terms on the left-hand side, 2 X

2X 0 , are all of size X 0 as the multiplictions by small and are
countered by the divisions by and in the derivatives. The righthand side of the x equation is straightforward:
[2x + y2 ]new = 2X + 2X 0 + Y 2 + 2YY 0 + Y 0
[2x + y2 ]current + 2X 0
upon neglecting products of corrections, and approximating coefficients of corrections by their order 0 approximation (2Y 0). Equate
the two sides and rearrange to
F 0 + 2
X 0
X 0
2X 0 = Res5.9,x
which is exactly as before except we now avoid dividing by zero by

placing any troublesome terms in the evolution via F 0 rather than trying
to absorb them into the coordinate transform via X 0 .
Similarly for the y ode: the complicated y time derivative
new [y]
current + G 0 + 2
[y]
Y 0
Y 0
361
the right-hand side is straighforwardly

[y + x3 ]new [y + x3 ]current Y 0 .
Equate the two sides and rearrange to
G 0 + 2
Y 0
Y 0
+ Y 0 = Res5.9,y
which is exactly as before except we now avoid dividing by zero by placing any troublesome terms in the evolution via G 0 rather than trying
to absorb them into the coordinate transform via Y 0 .
Execute Algorithm 5.2 to find the normal form of the odes (5.9) is

6 10
17
17
= 2 + 235829
677376 + O +

21439 5 11
+ O 17 + 17 .
(5.13)
and
= 112896
Procedures homx and homy compute the homological operators which
are used in several places to flag whether a particular term will give
rise to a zero divisor or not. This algorithm works to arbitrarily high
order; it is limited only by computer memory and speed.
The conclusion is: we cannot smoothly transform the odes (5.9) into
the linear saddle = 2 and = ; terms such as those in (5.13)
may be inescapable.1
However, recall that the terms which cannot be removed from the
evolution are those of the form p q for 2p = q + 2 and since
exponent q 0 thus p 1 . Consequently, = 0 is invariant in
the normal form evolution (5.13) as the variable will always be a
Hence the stable manifold of the normal form is precisely
factor in .
the linear space = 0 . The stable manifoldin the xy-plane then
comes from (5.11),
namely x = 14 y2 + O y6 as (5.12) reduces to

6
y = + O when = 0 .
1
Allowing non-smooth logarithms into the coordinate transform typically enables us
to remove even these terms (just as logarithms enable us to form power series solutions
of odes when the indicial equation has repeated roots). However, we do not pursue this
route here.
362
Algorithm 5.2 correct reduce code to find the normal form transformation to put odes (5.9) into the normal form (5.13). Resonance occurs
at O 6 10 + 5 11 .
% xi & eta are new dynamical variables
depend xi,t; depend eta,t;
let { df(xi,t)=>g, df(eta,t)=>h };
% dummy inverse operator
procedure homx(r); 2*xi*df(r,xi)-eta*df(r,eta)-2*r;
procedure homy(r); 2*xi*df(r,xi)-eta*df(r,eta)+r;
% linear approximation
factor zz;
x:=xi*zz; y:=eta*zz;
g:=2*xi; h:=-eta;
% iterate to solve
let zz^17=>0;
repeat begin
resx:=df(x,t)-2*x-y^2;
g:=g+(gd:=-(linv(resx,t) where {
linv(~r,t)=>r when homx(r)=0,
linv(~r,t)=>0 when homx(r) neq 0 }))/zz;
x:=x-(linv(resx+gd,t) where linv(~r,t)=>r^2/homx(r));
resy:=df(y,t)+y-x^3;
h:=h+(hd:=-(linv(resy,t) where {
linv(~r,t)=>r when homy(r)=0,
linv(~r,t)=>0 when homy(r) neq 0 }))/zz;
y:=y-(linv(resy+hd,t) where linv(~r,t)=>r^2/homy(r));
end until {resx,resy}={0,0};
363
Conversely, recall that the terms which cannot be removed from the
evolution are those of the form p q for q = 2p + 1 and since
exponent p 0 thus q 1 . Consequently, = 0 is invariant in the
normal form evolution (5.13) as the variable will always be a factor
Hence the unstable manifold of the normal form is precisely the
in .
linear space = 0 . The unstable manifold
in the xy-plane then comes

from (5.12), namely y = 17 x2 +O x6 as (5.11) reduces to x = +O 6
when = 0 .
Conclude: although we have not demonstrated it in general, similar characteristics hold for general systems of pairs of coupled nonlinear odes: a
smooth nonlinear coordinate transform can straighten the stable and unstable manifolds.
Exercise 5.7:
of odes
Modify Algorithm 5.2 to find the normal form of the pair

x = 2x + ax x2 + bx xy + cx y2 ,
y = y + ay x2 + by xy + cy y2 ,
for some general coefficients ax through to cy . Find the coefficients in

its normal form
2 + A2 2
and + B3 .
Exercise 5.8:
Modify Algorithm 5.2 to find the normal form transformation of the pair of odes
x = 2x + x2 + y2 ,
y = 3y + x2 y2 .
Hence deduce asymptotic approximations to the shape of its stable
and unstable manifolds.
364
5.2
Separate the fast and slow dynamics
Sorry:
Example 5.9: simple 2D introduction

x = xy ,
Consider the system
y = y + x2 2y2 .
We seek to find a new simpler description of the dynamics = and

= in new variables and . For this simple system relate the
original and the new variables by a near identity transform
x = + X(, )
and y = + Y(, ) ,
where X and Y are nonlinear functions of their arguments. The evolution in these new variables will be of the form
= g()
and = + h(, ) ,
where again g and h are nonlinear functions of their arguments.

Maintain fidelity with the original dynamics by substituting these assumptions into the original dynamical equations and solving to some
order of error. The two dynamical equations are then written
X
Y
h+Y
X
X
h
,
Y
Y
= ( + X)2 2( + Y)2 g
h
.
= ( + X)( + Y) g
To solve these, iterate by subsituting the current approximation in the

right-hand side and finding the appropriate left-hand side.
The initial trivial approximation is that g = h = X = Y = 0 .
Then the above dynamical equations become
g
= ,
5.2. Separate the fast and slow dynamics

h+Y
365
= 2 22 .
Simplify the evolution by putting as much as we can in the coordinate transform X and Y, and as little as possible into the evolution
g and h. See that X = and g = 0 satisfies the first x-equation.
For the second y-equation, the right-hand side is quadratic in
and so let us see what a quadratic in Y can do for us: try
Y = a2 + b + c2 then the equation becomes
h + a2 c2 = 2 22 ,
so we choose a = 1 , c = 2 and the evolution h = 0. The first
approximation is then
x = + ,
y = + 2 + 22 ,
= 0 ,
= .
Then in the next iteration the dynamical equations become

X
Y
h+Y
= 22 3 + h.o.t. ,
= 2 22 22 43 + h.o.t. .
The quadratic terms gave terms as before. Look at the cubic

terms in the x-equation:
first, the 22 term in the right-hand side is matched by
including the term 2 in X;
second, the 3 in the right-hand side cannot be generated
by X
because of the multiplication by ; thus we must
include it in the evolution by setting g = 3 .
Now turn to the cubic terms in the y-equation:
first, the 43 term in the right-hand side is matched by
including the term 23 in Y;
366

second, but the 22 in the right-hand side cannot be generated by Y Y
because terms linear in are homogeneous
solutions of the left-hand side operator; thus we must include
it in the evolution by setting h = 22 .
The second approximation is then
x = ++2 ,
y = +2 +22 +23 ,
= 3 ,
= 22 .
Now explore crucial features of this system and the normal form transformation that relates it to the original.
1. See that = 0 is an invariant manifold: specifically, it is the slow
manifold of the system. Indeed = 0 will always be the slow
manifold as we will only ever put terms in the -equation which
^
are linear in : it has the form = (1 + h())
no matter what
order the truncation. Find the shape of the slow manifold in the
original variables by setting = 0 in the transformation to see
x = and y = 2 to this order of error.
Also set = 0 in the -equation to see the evolution on the slow
manifold is = 3 , noting that x = .
2. The relevance of the model follows because the evolution is identical for all . Thus the evolution of is independent of whether
a state is on or off the slow manifold = 0 . Consequently, all
states starting with the same 0 have exactly the same long term
evolution provided they are indeed attracted to the centre manifold.
In the orginal variables, this says that an initial condition (x0 , y0 )
should be projected along curves of constant to the slow manifold in order for the slow manifold model to make correct long
term predictions.
3. We can obtain indictaions of the likely extent of attraction to the
slow manifold model by looking for where the separation of time
scales and/or the coordinate transform breaks down.
5.2. Separate the fast and slow dynamics
367
separation of time scales: linearise the equation to see that

separations in evolve according to = 32 . Whereas
separations in evolve according to = (1 + 22 ) . For
a clear model we require the latter decay rate 1 + 22 to be
significantly larger than the former decay rate of 32 . Certainly the model has lost clarity by the time they are equal,
that is, when || = 1 . Thus we require || 1 for the model
to be clearly useful.
degenerate coordinate transform: Also the model must break
down for the original variables when the coordinate transform
is degenerate. This certainly occurs when the determinant is
zero for the Jacobian
"
#

X
1 + X
1 + + 22
(1 + 2)
J=
=
.
Y
2
1 + 4 + 63
1 + Y
That is, the coordinate transform indicates degeneracy at

2 =
(1 + + 22 )(1 + 4 + 62 )
.
2(1 + 2)
We are most interested in small as that is near the slow

manifold.
when
The coordinate transform becomes degenerate
|| = 1/ 2 , thus we expect to require || 1/ 2 .

These give appropriate limitations to the size of the domain to
which the model is valid. However, note that higher order corrections may increase or decrease the indicated domain of validity.
Thus these criteria are only indicative.
Summary
this introductory example illustrates how normal forms:
1. capture the slow manifold model;

2. illustrate the relevance theorem and how one can project initial conditions onto a model;
368
3. give indications of how big a neighbourhood the slow manifold model

applies.
Exercise 5.10:
Construct the normal form of the slow-fast system x =
xy and y = y+x2 + for small parameter . Interpret. Discuss the
support the normal form transformation provides to the slow manifold
model of this system.
5.3
Resonance couples slow modes with fast

oscillations
Sorry:
Example 5.11: resonance on the slow manifold

x = x y 2xz ,
y = 2x + y + 2xz ,
Consider
z = y2 .
The matrix of the linear operator is
1 1 0
2
1 0
0
0 0
which has eigenvalues i and 0. Thus there is an oscillating mode and
a slow mode. We seek the normal form of the dynamics that separates
the oscillations from the slow dynamics as far as possible.
Linearly, although the slow mode z is decoupled from the oscillation
variables x and y which simplifies the analysis, the oscillation variables
x and y are not in a cannonical form for oscillations and this complicates aspects of the algebra. In particular the fast oscillations are elliptical in x and y. To see this construct an energy-like invariant of the
oscillations: seek E = ax2 + bxy + cy2 which is constant in time in the
linear dynamics; then E = (2a + 2b)x2 + (2a + 4c)xy + (b + 2c)y2
5.3. Resonance couples slow modes with fast oscillations
369
which is zero when (a, b, c) (2, 2, 1) ; thus linear oscillations take

place on the ellipses of constant energy 2x2 + 2xy + y2 = constant.
Now seek a nonlinear normal form by the near identity transform
x = X(, , ) ,
y = Y(, , ) ,
z = Z(, , )
such that new variables evolve according to

= f(, , ) ,
= g(, , ) ,
= h(, , ) ,
where being near identity transform means that the linear components
in these transforms and evolution are
X ,
Y ,
Z ,
f ,
g 2 + ,
h 0.
Now construct the normal form by iterative improvement forced by the

residuals of the governing odes. Suppose we know some approximation to the transform, seek additive improvements denoted by primes.
Then substitute into the governing system to deduce the corrections
should satisfy
X 0 + Y 0 + ( )X0 + (2 + )X0 + f 0 = Rx 2 ,
2X 0 Y 0 + ( )Y0 + (2 + )Y0 + g 0 = Ry +2 ,
( )Z0 + (2 + )Z0 + h 0 = Rz 2 .
In the above equations R denotes the various residuals of the governing
odes for the current iteration. For example, the residual based upon
the linear approximation is listed to their right. See that the update
for Z 0 is decoupled from that for X 0 and Y 0 which must be computed
together. The coupling occurs through the linear operator of the original differential equations; thus when we choose a basis where the linear
operator is diagonal then the analysis is simplest. However, in most
applications we prefer to manipulate physically meaningful variables
and expressions and so prefer the original physical basis. The cost
is that we have to learn how to handle the coupling in this model
construction.
In the first iteration we find the quadratic terms forced by the residuals
computed above.
370

Seek Z 0 = A2 + B + C2 and find we have to put some oscillation energy into the slow mode. ??
Seek X 0 and Y 0 together. Note that the right-hand side residuals
are in this first iteration linear in . Since appears nowhere
in the left-hand side operator we seek quadratic terms which are
linear in , namely
X 0 = A + B ,
Y 0 = C + D .
Substitute, equate coefficients, try to solve equations, but the

four equations have rank 2 and so some terms must be put into
the evolution f 0 and g 0 . We grudgingly accept such terms linear
in and as they maintain the slow manifold as = = 0 .
Perhaps the simplest solution is
f 0 = ,
X 0 = ,
g0 = Y 0 = 0 .
This seems a cow of a problem??
5.4
Chapter summary
The near identity change of variables explored in Section 5.1 simplifies

the algebraic prescription of nonlinear dynamical systems to a normal
form which empowers us to easily interpret the dynamics.
Normal forms not only show the centre manifold model, they also
show how to treat initial conditions, and can indicate the domain of
relevance of the model.
?? resonance
Chapter 6
Hopf bifurcation has

oscillation within the centre
manifold
Contents
6.1
6.2
6.3
6.4
Linear stability of double diffusion . . . . . . . .
374
Oscillations on the centre manifold . . . . . . . .
384
6.2.1
The basis of the centre manifold . . . . . . . . . . 392
6.2.2
The homological equation . . . . . . . . . . . . . . 393
6.2.3
Further iteration . . . . . . . . . . . . . . . . . . . 397
6.2.4
Synchronisation manifolds may attract oscillators . 401
Modulation of oscillations . . . . . . . . . . . . .
402
6.3.1
The complex amplitude . . . . . . . . . . . . . . . 405
6.3.2
Linear approximation . . . . . . . . . . . . . . . . 408
6.3.3
Iterative refinement . . . . . . . . . . . . . . . . . 408
6.3.4
Outlook and exercises . . . . . . . . . . . . . . . . 414
Nonlinear evolution of double diffusion . . . . .
417
6.4.1
Critical dynamics . . . . . . . . . . . . . . . . . . . 417
6.4.2
The vorticity equation . . . . . . . . . . . . . . . . 418
371
372
Chapter 6. Hopf bifurcation has oscillation within the centre manifold
6.5
6.4.3
Nonlinear analysis . . . . . . . . . . . . . . . . . . 419
6.4.4
The model . . . . . . . . . . . . . . . . . . . . . . 429
Summary and exercises . . . . . . . . . . . . . . .
433
The:aim:of:this:chapter
Besides water, the worlds oceans have two major constituents: heat and
salt. Both these constituents alter the density of the water and so may drive
buoyant flows. In different parts of the oceans water masses have markedly
different combinations of these two characteristics. Such variations may
lead to some surprising dynamics such as that of the salt fountain (briefly
discussed by Turner (1973) [p.252]).
Another interesting effect due to the two constituents is in the melting of
icebergs. It has been proposed to tow icebergs near to the shore of arid
population area such as south Australia. There the iceberg would melt, the
melt water being fresh would float to the top of the sea water and be collected
for drinking or other purposes. However, experiments show that when the
side of an iceberg melts circulation cells of large horizontal extent and fairly
thin in the vertical are formed which carry the fresh water out horizontally
away from the iceberg and then mixed into the sea water (Turner 1973,
Fig 8.10). The presence of two differently diffusing components can have
surprising effects.
Here we instead investigate the oscillatory instability that may occur when
cool fresh water overlies warm salty water. Even when the net density
gradient is stable, with light fluid lying above denser fluid, it may be that
an instability occurs. Consider a small parcel of warm saline water displaced
upwards (Turner 1973, pp.252253). It loses heat much more rapidly than
it does salt and so quickly becomes much denser than its surroundings and
falls. But it is now cooler than its original surroundings, and the subsequent
heat gain when it falls back into the warm saline water, lags behind the
displacement of the fluid parcel. Thus the parcel overshoots, and oscillations
are initiated.
In all the examples of Chapter 3, the dynamics on the centre manifold
have been based on the eigenvalue of precisely zero, not the more general
373
case where just the real part of the eigenvalue is zero but the imaginary
part is non-zero. As we see in 6.2, in this latter case constructing the
centre manifold is more difficult technically. However, because an eigenvalue
with a non-zero imaginary part is always associated with oscillations, such
a case is important in practise as cases arises in the common transition from
steady to oscillatory dynamics. Many of the same issues also arise in wave
propagation.
When the critical eigenvalues are pure imaginary, the basic dynamics on
a centre manifold is that of oscillation. These oscillations are usually relatively fast at some finite frequency determined by the imaginary eigenvalues.
Rather than resolving the details of these oscillations, we are usually much
more interested in the relatively slower evolution of the amplitude of the
oscillations. The same is true for spatially propagating waves. Recall from
Section 1.3 that a coordinate transformation to complex amplitudes puts
oscillations into a readily interpretted normal form. Correspondingly Section 6.3 explores how to construct the centre manifold model directly in
complex amplitude variables. The result is a model that is directly in a
readily interpretted normal form.
Besides water, the worlds oceans have two major constituents: heat and
salt. Both these constituents alter the density of the water and so may drive
buoyant flows. In different parts of the oceans water masses have markedly
different combinations of these two characteristics. Such variations may
lead to some surprising dynamics such as that of the salt fountain (briefly
discussed by Turner (1973) [p.252]).
Another interesting effect due to the two constituents is in the melting of
icebergs. It has been proposed to tow icebergs near to the shore of arid
population area such as south Australia. There the iceberg would melt, the
melt water being fresh would float to the top of the sea water and be collected
for drinking or other purposes. However, experiments show that when the
side of an iceberg melts circulation cells of large horizontal extent and fairly
thin in the vertical are formed which carry the fresh water out horizontally
away from the iceberg and then mixed into the sea water (Turner 1973,
Fig 8.10). The presence of two differently diffusing components can have
374
cool, T0 , and fresh, S0

6
fluid
d
= 0 [1 (T T0 ) + (S S0 )]
z
6
hot, T0 + T , and salty, S0 + S
-x
Figure 6.1: the idealised configuration for double diffusive convection.

surprising effects.
Here we instead investigate the oscillatory instability that may occur when
cool fresh water overlies warm salty water. Even when the net density
gradient is stable, with light fluid lying above denser fluid, it may be that an
instability occurs. Consider a small parcel of warm saline water displaced
upwards (Turner 1973, p252253). It loses heat much more rapidly than
it does salt and so quickly becomes much denser than its surroundings and
falls. But it is now cooler than its original surroundings, and the subsequent
heat gain when it falls back into the warm saline water, lags behind the
displacement of the fluid parcel. Thus the parcel overshoots, and oscillations
are initiated.
6.1
Linear stability of double diffusion
Warning:
We investigate only the simplest of cases: the abstract case of disturbances

of a system between two horizontal, stress-free boundaries held at fixed
temperature and salt concentration as shown in Figure 6.1. Furthermore,
we only address flow in two spatial dimensions, x is horizontal and z is the
vertical.
In terms of the temperature and salt fields, T and S respectively, the density
6.1. Linear stability of double diffusion
375
of the fluid is
= 0 [1 (T T0 ) + (S S0 )] ,
where T0 , S0 and 0 are convenient reference values. and are the coefficients of expansion, generally positive for temperature and salinity changes
at constant pressure:
1
=

,
S,p
1
=+

.
T,p
The equations we wish to solve are the NavierStokes and continuity equations together with equations describing the transport and diffusion of heat
and salt. From conservation principles (in conjunction with the continuity
equation)1
T
+ q T = 2 T ,
t
S
+ q S = S 2 S ,
t
since the flux of salt and thermal energy is qS S S and qT T
respectively. Strictly speaking we are considering the flow of a compressible fluid because variations in heat and salinity cause density variations.
However, in practise the primary influence of such density variations are in
its buoyancy effects through the gravitational field, the compressibility is
otherwise of no dynamical importance.2 Thus we consider the fluid to be
incompressible except where density fluctuations alter gravitational effects.
This is called the Boussinesq approximation.
1.4 103 cm2 / s for heat, S 1.1 105 cm2 / s for common salt NaCl.
Compare this with 1.1 102 cm2 / s for momentum.
2
D. Gough has justified the Boussinesq approximation rigorously as an anelastic approximation based on the separation of time-scales between compressible sound waves
and the dynamics of convection.
376
The dynamics relative to a state of rest

In the state of rest, q = 0, conduction and diffusion from bottom to top
lead to

z
z
T = T0 + T 1
, S = S0 + S 1
,
d
d
and a corresponding hydrostatic pressure. For convenience we write the
equations relative to this fixed point of the dynamics. Introduce the two
fields and such that

z
T = T0 + T 1
+ (x, y, z, t) ,
d

z
+ (x, y, z, t) ,
S = S0 + S 1
d
and duplicitously let p(x, y, z, t) now denote departures from hydrostatic
pressure
h
i
ph = 0 g z T (z z2 /2d) + S(z z2 /2d) .
Then non-dimensionalise the problem with respect to: the length ` = d/,
the time `2 /, the temperature difference T/` over the height `, the corresponding salt concentration difference S/`, and the density 0 . The
dynamical equations then become
1
Pr
q

q
+ q q
t
+ q
t
+ q
t
= 0
= p + (Ra Rs )k + 2 q ,
= w + 2 ,
(6.1)
= w + 2 .
where the following parameters appear.

3
Ra = gTd
is the Rayleigh number measuring the temperature dif4
ference between top and bottom and how much effect it has on the
buoyancy as compared to the dissipative effects of viscosity and diffusion.
377
Rs = gSd
is an equivalent salinity Rayleigh number measuring
4
the salinity difference between top and bottom and its effect on the
buoyancy. Note that for overall convenience it is , the coefficient of
thermal diffusivity, which appears in the denominator and not S , the
coefficient of salt diffusion.
Pr = / is the Prandtl number 3 of the fluid characterising the different rates of diffusion of momentum and of temperature. In water this
is approximately Pr = 10 and we shall use this value later to simplify
the details on the analysis.
= S / is the ratio of the diffusivities of salt and temperature. This
is always less than one, and is generally small. In water 0.01,
salt is much less free to diffuse than heat. We simplify our subsequent
analysis by the approximation that = 0in4 essence the only saline
dynamics is the advection of the background salinity field given above.
The boundary conditions mentioned earlier are also chosen for analytic simplicity. In non-dimensional quantities they are
z
z
w=
=
= = = 0 on z = 0, .
u
v
Use the stream function in two-dimensional flows
For simplicity restrict attention to two-dimensional solutions to the equations (with effectively no salt diffusion, = 0):
x
z
+
= 0
u w

u
u
x
1 u
+u
+w
=
+ 2 u ,
Pr t
x
z
p

1 w
w
w
z
+u
+w
=
+ Ra Rs + 2 w ,
Pr t
x
z
p
3
In air Pr 0.7, whereas in liquid metals and the sun Pr is tiny because electrons and
photons respectively transport heat very quickly.
4
It turns out that the difference between small and = 0 has interesting consequences
later.
378
+u
+w
t
x
z
+u
+w
t
x
z
= w + 2 ,
= w.
Now reduce the set of equations using two tricks which are quite common
in fluid mechanics: we eliminate the continuity equation and eliminate the
pressure by combining the two components of the NavierStokes equation.
In two-dimensional fluid mechanics it is often convenient, as it is here,
to introduce a stream-function (x, z, t) such that
u=
z
,
w=
x
.
(6.2)
Loosely, the existence of such a stream-function is assured by the continuity equation:

x
z
2 z
2 x
+
= 2x +
z = 0,
u w
2
and hence we satisfy the continuity equation using such a streamfunction. In steady flow , /t = 0, the stream-function has a very
important physical meaning: curves = const are fluid particle paths.5
This is seen from the material derivative
d
dt
+ q
t
= 0+u
+w
x
z

=
+
z x
x z
= 0.
=
Having introduced the streem function, consider that the velocity components, wherever written, are determined from the stream function
according to (6.2). This replaces u and v as independent variables
by , and automatically satisfies the continuity equation.
5
This is also true in some sense for exponential or sinusoidal time dependence.
379
It is correspondingly convenient to eliminate the pressure by consid
ering x
(w-eqn) z
(u-eqn) to lead to6

1
+ q
= Ra
Rs
+ 2 ,
Pr t
x
x
+ q =
+ 2 ,
(6.3)
t
x
+ q =
,
t
x
where the vorticity is denoted by = 2 . Corresponding boundary
conditions are that
===
2 z
z = 0,
2
on z = 0, .
The stream function is constant on the top and bottom because w =

x = 0 there, and without loss of generality we may take the constant
to be zero. The stress-free condition that uz = zz = 0 leads zero
second derivative condition.
Linear analysis shows an oscillatory instability
Before undertaking a nonlinear analysis, such as forming a nonlinear low dimensional model with centre manifold theory, we need to understand the
linearised dynamics. In particular, we seek curves in the Ra Rs-plane on
which an eigenvalue crosses zero, or a pair of complex conjugate eigenvalues
have zero real part.
The linearised dynamical equations are simply obtained by neglecting the
advection terms q in equations (6.3).
Now seek eigen-modes which, because of the constant coefficient PDEs, grow
exponentially in time and have a trigonometric dependence in the horizontal x. Because we have cheated by choosing (almost) unrealisable boundary
6
The first equation here says that horizontal gradients of density, x and x , generate
vorticity = 2 .
380
conditions on the top and bottom boundaries, we may also suppose a sinusoidal dependence in the vertical z.7 Thus seek
= Aet sin kx sin nz ,
= Bet cos kx sin nz ,
(6.4)
= Ce cos kx sin nz ,
for some constants A, B and C. The horizontal wavenumber k may vary over
all real values because we have not imposed any boundary in the horizontal.
The vertical wavenumber n must be integral in order for the top and bottom
boundary conditions to be satisfied. Substituting into the previous three
equations leads to the eigen-problem8
a2
A = Ra kB + Rs kC + a4 A ,
Pr
B = kA a2 B ,
(6.5)
C = kA ,
where a2 = k2 + n2 . Nontrivial solutions for these equations only exist when
the corresponding matrix has a zero determinant. The resultant characteristic equation is cubic in ; upon setting Pr = 10 as for water,
h
i
3 + 11a2 2 + 10 a4 (Ra Rs)k2 /a2 + 10 Rs k2 = 0 .
(6.6)
For a given set of values for Ra and Rs, corresponding to any one physical
situation, we may solve this cubic for all values of k and n to determine the
growth-rate (decay-rate if negative) of the corresponding mode.
However, our interest is in the first transition from the quiescent conduction
state to a state of nontrivial motion. Thus we seek the region of stability in
the Ra Rs-plane, and the curves where this stability is lost to some mode.
Note that the bottom-right quadrant of the Ra Rs-plane, as shown in Figure 6.2, is expected to be stable because both components, salt and heat, are
7
As in TaylorCouette flow, there is no qualitative difference between the mathematically idealised case and the physically realisable case.
8
This is a family of eigen-problems, one for each k and n.
salty cool
fresh warm
381
fresh cool
salty warm
Ra
unstable
unstable
Hopf bifurcation
stable
codimension 2 point Ra=27/4
Rs
unstable
stable
neutral bouyancy line

stable
salty warm
fresh cool
fresh warm
salty cool
Figure 6.2: regions of the Ra Rs-plane showing the curves across which the
quiescent solution loses stability. The line Ra = Rs is drawn to separate the
two regions where less dense fluid lies above more dense fluid, and vice-versa.
382
stabilising influences: positive Rs is gives denser more saline water at the

bottom of the layer; and in addition negative Ra gives cooler denser water
at the bottom.
However, as Rs crosses 0 to become negative, the constant term,9
10 Rs k2 , in the characteristic equation (6.6) becomes negative and
hence at least one eigenvalue must become positive. Thus, for
Rs negative we expect a direct instability (such as a pitchfork bifurcation) associated with this transition.
On this transition line there is a special point where the linear term
of the characteristic equation also vanishes. There there will be two
zero eigenvalues and a more complicated model could be made. In this
problem this occurs for Ra = a6 /k2 . A little algebra, mimicing that we
did for Taylor vortices, shows that the point first occurs (smallest Ra)
at Ra = 27/4.
But we are interested in transitions to oscillatory motion. These are
associated with eigenvalues = i for some real . These can only
occur when the characteristic equation (6.6) factors into
(2 + 2 )( + ) = 3 + 2 + 2 + 2 = 0 ,
for some constant . This occurs only if the coefficient is the same
as the ratio of the constant term to the 2 coefficient. That is when
h
i 10 Rs k2
10 a4 (Ra Rs)k2 /a2 =
,
11a2
namely
Ra =
10
a6
Rs + 2 ,
11
k
as shown schematically in Figure 6.2. We concentrate on the oscillatory instability, the so-called Hopf bifurcation, that sets in as Ra increases across such a value for some fixed Rs.
9
If we allow salt to diffuse, 6= 0 then this line moves off Rs = 0 to the left-halve plane.
383
Note that the above line in the Ra Rs-plane is actually a family of lines:
one for each value of the wavenumbers k and n. As Ra increases we are
only interested in the first such line as it indicates the first loss of stability.
Fortunately the family of lines has a very simple form: they all have the same
slope, 10/11, they just have different intercepts. Thus minimising Ra10 for
fixed Rs is the same as minimising the intercept
a6
(k2 + n2 )3
=
.
k2
k2
It is elementary algebra to show that this occurs at n = 1, k = 1/ 2 and

has value 27/4. Thus the minimum Ra for which the real part of a complex
conjugate pair of eigenvalues crosses zero is
Ra =
10
27
Rs + .
11
4
The critical mode

corresponding to this first instability is one with spatial
structure sin(x/ 2) sin z. Each convective cell is about 30% thinner than
its height. The frequency of the critical mode is indeed real (the eigenvalues
are pure imaginary) as11
10 Rs
2 =
,
33
from the coefficient of the linear term of the characteristic equation. For
Ra greater than the critical value, the real part of the eigenvalues will be
positive and the critical mode will grow.
It is interesting to note that the slope of the transition line is 10/11 which
is less than the unit slope of the line Ra = Rs separating cases of lighter
fluid above heavier from cases of heavier fluid above lighter. Thus for
large enough Rs, this oscillatory instability can occur even though a fluid
column is statically stable and the presence of viscosity and diffusion is
generally thought of as dissipative.
10
Observe that the classic RayleighBenard problem is included in this scenario by the
case Rs = 0.
11
Observe that the frequency goes to zero as Rs decreases to zero and approaches the
codimension 2 critical point.
384
As in TaylorCouette flow, as soon as any one mode, here a complex conjugate pair, in a dynamical system becomes unstable, the linearisation becomes inconsistent. The linear picture of the dynamics, here of exponential
growing oscillations, predicts an exponential growth in the unstable modes.
To model the dynamics of the system for these interesting parameter ranges
we must investigate the action of the nonlinearity in the system, and we do
it via centre manifold theory.
6.2
Oscillations on the centre manifold
Sorry:
In all the examples of Chapter 3, the dynamics on the centre manifold have
been based on the eigenvalue of zero, and hence is called a slow manifold.
The more general case is where just the real part of the eigenvalue is zero but
the imaginary part is non-zero. This chapter explores this latter case. When
the critical eigenvalues are non-zero, it is more difficult to construct the
centre manifold. However, because an eigenvalue with a non-zero imaginary
part is always associated with oscillations, such cases are important as they
arise in the common transition from steady to oscillatory dynamics. Many
of the same issues also arise in wave propagation.
Example 6.1:
Before moving on to discuss generic issues, let us construct a centre manifold and the evolution thereon for an example.
We twist this special example to analyse as before. Consider the three
variable system
u = wu v ,
v = +u wv ,
= w + u2 + v2 .
w
(6.7)
Very near the equilibrium at the origin, the w variable decays exponentially quickly to zero. Then the u and v variables would oscillate
according to u = v and v = +u . As shown by the trajectories of
the system in Figure 6.3, we derive the more precise statement that
near the origin, the system is exponentially quickly attracted to the
parabolic-like centre manifold
w u2 + v2 2(u2 + v2 )2 ,
Tony Roberts, 18 Sep 2009
(6.8)
6.2. Oscillations on the centre manifold
385
0.3
0.2
0.1
0.0
0.3
0.3
0.1
0.1
0.1
0.1
u
0.3
0.3
Figure 6.3: Trajectories of the simple oscillatory system (6.7) showing the
quick attraction of the bowl-like centre manifold on which the solutions
undergo long lasting oscillations.
386

on which the long term evolution is
u (u2 + v2 )u v ,
v (u2 + v2 )v + u .
(6.9)
How? Answer: the system (6.7) is very special; transforming to polar

coordinates empowers us to apply previous methods.
To find the centre manifold, convert the uv-plane to polar coordinates:
u = r cos and v = r sin . Differentiating these and setting equal to
the right-hand sides of the system (6.7) leads to
u = r cos r sin = wr cos r sin ,
v = r sin + r cos = wr sin + r cos .
Two polar equations arise. Subtracting sin times the first above
from cos times the second leads to = 1 . That is, the phase angle
increases linearly with timethe oscillations have constant frequency.
The radial equation arises from adding cos times the first above to
sin times the second and leads to r = wr . Put this with the
= w + r2 . Recognise these
w equation from system (6.7), namely, w
two coupled equations have an exponentially attractive slow manifold
in a neighbourhood of the origin. Using earlier
methods, construct the

slow manifold to be w = r2 2r4 +O r6 on which the system evolves
according to r = r3 + 2r5 + O r7 .
Using u = r cos and v = r sin , this converts back to u and v
variables giving the centre manifold (6.8) and the evolution thereon
of (6.9).
The previous example fell to our analysis because its strong angular symmetry transforms it in polar coordinates. Such simplification is not normal.
Generically we must undertake a more complicated analysis as suggested by
the following example.
Example 6.2:
387
0.30
z
0.05
0.20
0.8
0.80
0.4
0.0
y
0.4
x
0.8
0.60
Figure 6.4: Three trajectories of the system (6.10) showing the rapid attraction to a deformed bowl shape centre manifold on which the oscillations
evolve in deformed near-circles.
388

Deduce the centre manifold dynamics of the system
x = y ,
y = x xz ,
z = z + 5x2 .
(6.10)
Trajectories plotted in Figure 6.4 show that the dynamics settle onto
a curved surface. The surface is evidently a deformed bowl. Because
of the lack of angular symmetry, transforming to polar coordinates is
no help here. Instead we analyse directly.
Solution: The origin is an equilibrium. Linearise the dynamics

about the origin to see the eigenvalue 1 associated with z, and the
complex conjugate pair of eigenvalues i associated with variables
x and y. Hence seek a centre manifold
z = h(x, y) ,
such that x = y ,
y = x xh .
(6.11)
Substitute the centre manifold (6.11) into the governing z equation

in (6.10) and rearrange to
h+y
h
h
h
x
= 5x2 + xh
.
x
y
y
(6.12)
Solve this equation iteratively. Approximate the right-hand side with

h = 0 , and seek solutions for h on the left-hand side in the form
h = ax2 + bxy + cy2 to deduce
(a b)x2 + (2a + b 2c)xy + (b + c)y2 = 5x2 .
Equating coefficients gives a = 3 , b = 2 and c = 2 . Hence the
first nontrivial approximation to the shape of the centre manifold is
h (3x2 2xy + 2y2 ) .
(6.13)
The evolution on the centre manifol being then approximately

x = y ,
y = x (3x3 2x2 y + 2xy2 ) .
(6.14)
389
In the second iteration, substitute the above shape h into the righthand side of (6.12) to seek to solve governing z equation in (6.10) and
rearrange to
h+y
h
h
x
= 5x2 + 2 (6x4 + 16x3 y 12x2 y2 + 8xy3 ) . (6.15)
x
y
Solve this homological equation for h. We already know that the

component (6.13) matches the 5x2 term in the right-hand side. Thus
to match the quartic terms on the right-hand side, seek a quartic
h = ax4 +bx3 y+cx2 y2 +dxy3 +ey4 in the left-hand side. Consequently
equate coefficients in
(a b)x4 + (4a + b 2c)x3 y + (3b + c 3d)x2 y2
+ (2c + d 4e)xy3 + (d + e)y4
= 2 (6x4 + 16x3 y 12x2 y2 + 8xy3 ) ,
to find a second approximation to the shape of the centre manifold is
h (3x2 2xy + 2y2 )
+ 2
142 4
85 x
368 3
85 x y
156 2 2
17 x y
3
448
85 xy
448 4
85 y
(6.16)
I do not record the evolution. Algorithm 6.1 shows how to construct,

to some order, the centre manifold of this simple problem.
The technical difficulty Observe that in constructing the centre manifold approximations (6.13) and (6.16) we had to find all the quadratic terms
simultaneously and all the quartic terms simultaneously. This simultaneous
deduction is not hard in such a simple example, but can be confoundingly
difficult in problems of real complexity and interest.
Having to solve all terms of a given order simultaneously arises from the
coupling in the form of the homological operator h + yhx xhy : see that
the terms yhx couples with terms of one order higher in x and one order lower
in y whereas the term xhy couples terms of one order lower in x and one order
390
Algorithm 6.1 iteratively construct the centre manifold of the system (6.10). The method of undetermined coefficients works well in such
simple problems.
factor alf;
depend x,t; depend y,t;
let { df(x,t)=>y, df(y,t)=>-x-x*z };
z:=0;
let alf^3=>0;
n:=2*deg((1+alf)^9,alf); % truncation controls order in (x,y)
operator c;
cs:=for i:=2:n join for j:=0:i collect c(i-j,j)$
h:=for i:=2:n sum for j:=0:i sum c(i-j,j)*x^(i-j)*y^j$
hom:=h+y*df(h,x)-x*df(h,y)$
repeat begin
write res:=-df(z,t)-z+5*alf*x^2;
eqns:=for i:=0:n join coeff(coeffn(hom-res,x,i),y);
z:=z+sub(solve(eqns,cs),h);
showtime;
end until res=0;
391
higher in y. The homological operator always has this coupling for non-zero
eigenvalues in the centre manifold. In simple examples the coupling is plain
to see; in real problems it is usually hidden; but the coupling is always there
causing significant technical difficulties in constructing a centre manifold
model.
In the next Section 6.3, we explore how using complex amplitude variables in
the centre manifold avoids the difficult coupling in the homological equation.
Consequently, most people use complex amplitude variables for modelling
oscillatory dynamics. However, dynamics may be modelled over a wider
range of parameters using the Cartesian parameters such as the x and y
above. We explore this modelling a little further.
Develop a general approach Most physical problems do not have the
oscillating modes linearly decoupled from the other modes as used in Example 6.2. Thus we develop an approach for the general case when the modes
are implicit in the mathematical description, not explicit. Let us develop
the method intertwined with a specific example. As this second example, we
explore the dynamics of the ordinary differential equations (Wiggins 1990,
p.239, Ex. 2.1j)12
1 1 0
u23
1
0 u + u2 u23 ,
u = 2
(6.17)
1
2 1
0
|
{z
}
|
{z
}
L
f(u,)
where is a control parameter. The parameter is analogous to the Rayleigh
numbers in double diffusive convection. Our first task is then to determine
eigenvalues of the coefficient matrix L of the linear terms.13 It is straightforward to discover that it has eigenvalues i and 1 (when = 0, the
critical value). Thus there exists a centre manifold corresponding to the two
eigenvalues i. The mode with eigenvalue 1 is representative of the many
exponentially decaying modes we find in real applications.
12
13
See Matlab program osceg.m for simulations.

q
For 6= 0 the eigenvalues are = 2 i 1
2
4
and = 1.
392
To unfold the dynamics near the critical value of = 0 , formally adjoin the
differential equation = 0 as discussed earlier in unfolding the pitchfork
bifurcations. This allows us to treat as a small factor in the analysis.
In particular we now group any terms into the nonlinear parts of the
dynamics as already shown in (6.17).
6.2.1
The basis of the centre manifold
Next, the eigenvectors corresponding to the critical eigenvalues enables us to

construct the centre eigenspace, Ec , the linear approximation to the centre
manifold. The eigenvectors of = i are the w = (1, 1 i, (3 i)/2)
(and incidentally, that for = 1 is (0, 0, 1)). These two complex conjugate
eigenvectors span a complex valued Ec .14 But we are only interested in real
values. Thus we use15 the real and imaginary parts of these eigenvectors to
span Ec :
1
0
e1 = 1 , e2 = 1 .
3/2
1/2
A linear approximation to the centre manifold is then
Ec = {xe1 + ye2 | for all x, y} .
Check that the linear subspace Ec is correct by applying L to vectors in Ec
and seeing that the results is still in Ec :
L(xe1 + ye2 ) = = xe2 ye1 .
This linear subspace is then invariant to the linear evolution because if
u = xe1 + ye2 , then
1 + ye
2 = u = Lu = xe2 ye1 .
xe
14
15
Later we find it more convenient to actually use this complex valued description.
Actually we use (w+ + w )/2 and i(w+ w )/2.
393
But e1 and e2 are linearly independent vectors and so we justifiably equate

coefficients on the left-hand and right-hand sides to obtain
x = y ,
and y = x .
These two coupled equations describe the dynamics of the classic linear
oscillator with frequency 1. This must be expected because these particular
dynamics corresponds precisley to the two complex conjugate eigenvalues,
= i, of the original system exactly at the critical conditions.
Now we need to seek the nonlinear centre manifold and the long-term evolution thereon. To parameterise the centre manifold Mc we clearly need to
use s = (x, y). But what do x and y mean precisely? One possibility is
to choose, as we do here, that x = u1 /2 and y = (u1 + u2 )/2. This agrees
with what we have used for the linear dynamics. We now insist that this
definition of x and y also hold for the nonlinear analysis. Then the nonlinear
shape of Mc will follow from the third component of u:
3
1
u3 = x + y + h(s, ) ,
2
2
(6.18)
for some as yet unknown nonlinear function h. The nonlinear evolution

on Mc must be a perturbation of the linear dynamics found above and so
will be of the form:

0 1
s =
s +g(s, ) ,
(6.19)
1 0
| {z }
Gs
where we need to find g. These unknown nonlinear functions h and g
will determine our low-dimensional model of the dynamics near the Hopf
bifurcation that occurs as e crosses 0.
6.2.2
The homological equation
The next task is to find the nonlinear corrections to the shape of the centre
manifold and the evolution thereon. This will then form a more useful and
accurate model of the long-term dynamics.
394
Now substitute the assumption (6.18) and (6.19) into the original governing
equations (6.17) to give
0
0
0 2
2 0
2 2 + 0
0 (Gs + g) = 2 2 s +
h
h
3 1
1 3
x
y

0
1
0
2
+ 0 + 1 (3x + y + h) + 1 (x + y) .
(6.20)
h
0
0
When we solve this, albeit just to some order of accuracy, then centre
manifold theory assures us that the long-term evolution will be described
by (6.19).
First, rearrange (6.20) into a form suitable for iteration. Do this by putting
all the dominant terms on the left-hand side:
0
0
0
1
0
1
= 0
0
0 g +
1 g +
h
h
h
h
h y x + x y
3/2 1/2
x
y

1
0
+ 1 (3x + y + h)2 + 1 (x + y) .
(6.21)
0
0
You can recognise which terms in g and h to put on the left-hand side as all
those terms which involve g and h and which are lowest order in s and .
h
This includes anything linear in g and h and anything of the form si s
j
because the derivative lowers the order by one but the multiplication raises
it again. However, other terms in g and h are put on the right-hand side
because they are either quadratic in h or multiplied by an si and so are of
order higher than the lowest.
Second, start the iteration by putting h = h(0) = 0 and g = g(0) = 0 in the
right-hand side of (6.21) to give:
0
1
0
1
0
1 g +
h
h
h y x + x y
3/2 1/2
395

1
0
= 1 (3x + y)2 + 1 (x + y) .
0
0
The first two components of this equation dictate that
(1)
1
=

+ y)2
.
(y x)
4 (3x
The last component leads to a so-called homological equation:16

hy
h
h

27
18
3
+x
= x y + x2 xy + y2 .
x
y
2
2
8
8
8
In general, such equations as these for the shape of a centre manifold are
solved in the space of multinomials in s. This is generic P
because we seek
a function h(s) whose shape is a multinomial in s, here m,n hmn xm yn ,
and so it is the coefficients of this multinomial, hmn , that must be found.
It is only in simple circumstances, such as that of the direct instability of
a pitchfork bifurcation, that we can overlook this feature of the solution
process; here we must be aware of it. Because the right-hand side is a
quadratic in x and y we therefore try a quadratic form for h, namely17
h = Ax + By + Cx2 + Dxy + Ey2 .
The equation then becomes
(A + B)x + (B A)y + (C + D)x2 + (2C + D 2E)xy + (D + E)y2

27
18
3
=
x y + x2 xy + y2 .
2
2
8
8
8
Equating coefficients of each term in the linearly independent xm yn we
16
The homological equation is hyperbolic with characteristic curves being trajectories
of the basic oscillation. This matches with the property that a centre manifold is any
union of suitable trajectories.
17
The functions x, y, x2 , xy and y2 are linearly independent multinomials that we use
as a basis.
396
obtain the set of linear
1
1
0
0
equations
1 0
0
1 0
0
0 1
1
0 2 1
0 0 1
0
A
/2

0
B /2

0
C = 27/8
2 D
18/8
1
E
3/8
with solution A = , B = 0, C = 21/8, D = 6/8 and E = 9/8. Thus an

approximate description of the displacement of the centre manifold from the
centre eigen-space is
h(1) =
21
3
9

x + x2 + xy + y2 .
2
8
4
8
(6.22)
The homological equation is not too complicated. For a pitchfork bifurcation it is diagonal. For a simple Hopf bifurcation it is always effectively
tridiagonal. It is only for higher-order bifurcations that it need become
more complicated.
To conclude this subsection, observe that a first approximation to the nonlinear shape of the centre manifold is
x
.
x + y
u=
3
1

21 2
3
9 2
2 x + 2 y + 2 x + 8 x + 4 xy + 8 y
On this manifold the evolution is approximately described by18
x = y + 14 (3x + y)2 ,
y = x + (y x) .
(6.23)
However, as is generally the case for Hopf bifurcations, this quadratic approximation is almost always unreliable. For positive the origin of the
above model is linearly unstable. But the quadratic nonlinear terms may
or may not stabilise the dynamics. Here the dynamics are stabilised, but
it is just as easy for all model solutions eventually evolve to infinity. The
quadratic model is deficient. I emphasise that this is generally true for
Hopf bifurcations. To obtain a reliable model, you must perform one more
iteration to obtain the correct cubic nonlinear terms in the model.
18
See the Matlab simulation in osceg1.m
6.2.3
397
Further iteration
Computer algebra may routinely perform higher-order computations; we

employ reduce.
It is appealing to recast the iteration scheme. Start with an approximation to
(s) such that s g
(s).
the centre manifold and the evolution thereon: u u
= Es and g
= Gs where the columns of E span the
For example, initially u
centre eigenspace Ec . Then seek a better approximation
(s) + u 0 (s) ,
u=u
(s) + g 0 (s) .
such that s = g
Substituting into the governing differential equation u = Lu + f(u), we

obtain
u 0

u
+ g0 +
+ g 0 = Lu
+ Lu 0 + f u
+ u0 .
g
g
s
s
and u
Ignoring nonlinear terms in dashed quantities, and approximating g

wherever they multiply a dashed quantity by Gs and Es respectively, this
equation becomes
Lu 0 +
u 0
u
+ Lu
+ f(u
) .
Gs + Eg 0 = g
s
s
(6.24)
Appearing in this equation are some old friends.

The right-hand side is precisely the residual of the dynamical system,
u + Lu + f(u), evaluated for the current approximation. It may be
calculated very easily and directly in the computer algebra.
0
On the left-hand side, Lu 0 + us Gs, is the general homological operator . Given that the residual on the right-hand side is usually expressed
as a multi-nomial in s, the homological equation is solved in the space
of such multi-nomials.
However, the homological equation in full is generally singular. Also
appearing on the left-hand side is Eg 0 which enables us to chose g 0 ,
the correction to the evolution on the centre manifold, so that the
homological equation can be solved.
398
In short, the left-hand side is precisely the same operator as appeared before,
in equation (6.21), and the right-hand side is just the governing differential
equation.
In reduce we perform the iteration as follows.19
COMMENT Use iteration to form the centre manifold model of the eleme
Hopf bifurcation problem. The model is u=u(x,y) such that d(x,y)/dt
Tony Roberts, April 1999;
% formating for printed output
% useful matrices
ll:=mat((-1,-1,0),(2,1,0),(1,2,-1));
zt:=mat((1,0,0),(1,1,0));
e1:=mat((1),(0),(0));
e2:=mat((0),(1),(0));
% form of the centre manifold
u:=mat((x),(-x+y),(-3*x/2+y/2+h));
% linear approximation
depend x,t; let df(x,t) => g(1,1);
depend y,t; let df(y,t) => g(2,1);
h:=0;
g:=mat((-y),(x));
% only retain terms up to order o in x and y, and leading order in e

o:=3;
let { x^~m*y^~n => 0 when m+n>o
, x^~m => 0 when m>o
, y^~n => 0 when n>o
, x*y^~n => 0 when 1+n>o
, x^~m*y => 0 when m+1>o
19
See osceg.red which uses reduces somewhat limited matrix facility.
399
, eps^2=>0 };
% look for corrections hd as a multinomial in x and y
operator c;
hd:=for m:=0:o sum for n:=0:o-m sum c(m,n)*x^m*y^n$
clist:=for m:=0:o join for n:=0:o-m collect c(m,n)$
% iteration
repeat begin
dudt:=mat((df(u(1,1),t)),(df(u(2,1),t)),(df(u(3,1),t)));
write res:= -dudt +ll*u +(e1-e2)*u(3,1)^2 +eps*e2*u(2,1) ;
% solve first two components for evolution g
gd:=zt*res;
g:=g+gd;
% form and solve homological equation
heqn:= hd-y*df(hd,x)+x*df(hd,y) -(res(3,1) -(-3*gd(1,1)+gd(2,1))/
elist:=for m:=0:o join for n:=0:o-m collect coeffn(coeffn(heqn,x,
h:=h+sub(solve(elist,clist),hd);
showtime;
end until res=mat((0),(0),(0));
end;
The lines of code perform the following functions.
`?? These lines tell reduce to discard all terms higher than cubic in x and y,
and to only retain linear variations in the bifurcation parameter .
`?? This first tells reduce that x and y depend upon t and their time
derivatives are components of g. Then the linear solution is prescribed.
`?? These lines set up some quantities for solving the homological equation
in the space of multi-nomials in x and y up to the specified order.
`?? Performs the iteration.
Construct the current approximate to u.
400

Compute the residual of the dynamical equations into res.
Solve for the g 0 and update g.
Form the homological equation in terms of the unknown coefficients of h, c(m,n).
Equate all the coefficients, here implicitly to zero, and substitute
the solution into the correction for u.
The output of this program shows the centre manifold has nonlinear shape

21
3
9
3

311x3 + 319x2 y + 217xy2 + 177y3 +O 2 +s4 .
h = x+ x2 + xy+ y2
2
8
2
8
80
The corresponding model on this centre manifold for the evolution is20
x = y + 94 x2 32 xy + 14 y2

18 63x3 3x2 y + 21xy2 9y3 + O 2 + s4 ,

y = x + (y x) + O 2 + s4 .
(6.25)
As is generally the case in Hopf bifurcations, with these cubic nonlinearities

this model is usefully predictive. Numerical simulations show the existence
of a finite amplitude limit cycle for positive , and the birth of the limit
cycle as crosses through zero.
Centre manifold theory assures us that the above model is relevant to the
original system. Why is this cubic truncation relevant and not the quadratic
one discovered earlier? Although I do not prove it, the reason is that this
model is structurally stable; that is, small perturbations only have small effects on the evolution. The quadratic model was not so structurally stable.
For example, the cubic corrections found above may change the evolution
from one of escape to infinity to one of a limit cycle, and vice-versa. Structural stability is important because we only ever obtain low order approximations to the exact (infinite order) centre manifold model.
Given that the cubic model is structurally stable, we deduce from the stability of orbits about the origin in (s, )-space that the origin of the centre
20
See the Matlab simulation in osceg2.m
401
manifold model is stable. Hence, the relevance theorem applies strictly, and
all trajectories close enough to the centre manifold approach a solution of
the centre manifold model.
6.2.4
Synchronisation manifolds may attract oscillators
Networks of near identical oscillators model a wide variety of pattern forming systems, such as neural networks, fluid convection, interacting lasers
and coupled biochemical systems. These networks exhibit rich collective
behaviour, including synchrony, travelling waves, spatiotemporal chaos and
incoherence (Abrams & Strogatz 2006, Moon et al. 2005). In particular,
much interest continues in the synchronisation of nonlinear oscillators (Sun
et al. 2009, e.g.).
Example 6.3: Coupled Van der Pol Oscillators
This example is a
simple case: the system is just a pair of oscillators with one forcing
the other, but not vice versa.
A lone van der Pol oscillator has governing equation
x 1 = y1 ,
y 1 = x1 + (1 x21 )y1 ,
(6.26)
for some nonlinearity parameter . For

q example, for small this
system oscillates with an amplitude of x21 + y21 2 . Now let this
oscillator drive a similar van der Pol oscillator
x 2 = y2 + 2(x1 x2 ) ,
y 2 = x2 + ( + )(1 x22 )y2 ,
(6.27)
where characterises the natural difference between the two oscillators, and the constant 2 parametrises the strength of the influence of
the first oscillator upon the second. In this simple system introduced
by Sun et al. (2009), the second oscillator is not coupled back to the
first.
402

Find the centre subspace The linearised system, upon also neglecting small terms, has eigenvalues i and 1(twice). The centre
space spanned by the eigenvectors of i is the span of (1, 0, 1, 0) and
(0, 1, 0, 1). That is, the centre subspace is one of synchronised in-phase
oscillations of equal amplitude.
The synchronised manifold emerges This centre subspace of linear synchronisation is linearly attractive like exp(t). Consequently,
in the full nonlinear dynamics we expect that nonlinear synchronised
oscillations emerge from among transients with similar such decay.
Construct the synchronised manifold Algorithm 6.2 constructs

the centre manifold of synchronised oscillations. Since there is no
coupling from the second oscillator to the first in this simple example,
the dynamics of the synchronised oscillation is simply that of the first
oscillator (6.26). The computer algebra finds that the synchronised
response of the other oscillator is then

1 3
4
3 2
7 3
x2 = x1 + 21 x1 50
y1 50
x1 y21 + 50
x1 y1 50
x1 + O 2 + 2 ,

3
6 3
2
7 2
y1 + 50
x1 y21 50
x1 y1 17
x
y2 = y1 + 12 y1 + x1 50
50 1

+ O 2 + 2 .
6.3
Sorry:
Modulation of oscillations
However, the low dimensional model (6.25) is in an important sense a failure. True it is low dimensional and of guaranteed accuracy and relevance.
However:
6.3. Modulation of oscillations
403
Algorithm 6.2 Constructs centre manifold of two coupled van der Pol
oscillators as a simple example of a synchronous manifold. Here for small
and .
factor z,eps,mu;
% Use z to control truncation in order (mu,eps).
let z^2=>0;
% Form homological equation to high enough order.
n:=3*deg((1+z)^9,z);
operator c;
cs:=for each k in {x,y} join
for i:=1:n join for j:=0:i collect c(i-j,j,k)$
hx:=for i:=1:n sum for j:=0:i sum c(i-j,j,x)*x1^(i-j)*y1^j$
hy:=for i:=1:n sum for j:=0:i sum c(i-j,j,y)*x1^(i-j)*y1^j$
homx:=-hy +2*hx+y1*df(hx,x1)-x1*df(hx,y1)$
homy:=+hx
+y1*df(hy,x1)-x1*df(hy,y1)$
% dependencies and initial centre subspace
depend x1,t; depend y1,t;
let { df(x1,t)=> y1 , df(y1,t)=> -x1+z*mu*(1-x1^2)*y1 };
x2:=x1; y2:=y1;
% iterate to centre manifold
repeat begin
write resx:=-df(x2,t)+y2+2*(x1-x2);
write resy:=-df(y2,t)-x2+z*(mu+eps)*(1-x2^2)*y2;
eqns:=for i:=0:n join append(
coeff(coeffn(homx-resx,x1,i),y1)
,coeff(coeffn(homy-resy,x1,i),y1));
soln:=solve(eqns,cs);
x2:=x2+sub(soln,hx);
y2:=y2+sub(soln,hy);
showtime;
end until {resx,resy}={0,0};
end;
404

it is very hard to tell any qualitative features of the evolution from the
form of (6.25);
and when performing numerical simulations we must resolve the fast
oscillations on the centre manifold and so must take short time steps,
ones on the scale of the fast oscillation rather than ones on the time
scale of the long term evolution.
Here we show how to derive a model for the modulation of the fast oscillations. The result remedies both the above problems. Further, the process
simplifies the homological equation and its solution process! Start by revisiting Example 6.2.
Example 6.4:
Deduce the centre manifold dynamics of the system (6.10),
but now express the centre manifold model in terms of complex amplitudes of the oscillations on the centre manifold. (Exercise 6.5 correspondingly asks you to find the centre manifold in terms of amplitudeangle variables.)
Solution: The origin is an equilibrium. Linearise the dynamics

about the origin to see the eigenvalue 1 associated with z, and the
complex conjugate pair of eigenvalues i associated with variables
x and y. Hence seek a centre manifold
eit , y iaeit i
x aeit + a
aeit ,
) .
such that a = g(a, a
z 0,
(6.28)
??
Algorithm 6.3 finds

eit + 18 (1 2i)a3 ei3t + (1 + 2i)
x = aeit + a
a3 ei3t + O 2 ,

2
11
it
y = iaeit i
aeit + (1 + 11
a2 eit
2 i)a ae + (1 2 i)a

+ 18 (2 + i)a3 ei3t + (2 i)
a3 ei3t + O 2 ,

z = 10a
a + (1 2i)a2 ei2t + (1 + 2i)
a2 ei2t + O 2 ,
405
such that the complex amplitude evolves according to

2
2
a = (1 + 11
2 i)a a + O .
(6.29)
In this form we readily interpret the evolution on the centre manifold:

the sign of the real part of the coefficient on the right-hand side is the
same as the parameter , hence for < 0 the origin is stable (with
the oscillations decaying algebraically), whereas for > 0 the origin
is unstable.
6.3.1
The complex amplitude
To motivate the subsequent analysis, observe that the basic critical oscillation is sinusoidal. Thus to a leading approximation the solution21
x(t) r(t) cos (t) ,
where r(t) is the slowly varying amplitude of the oscillations, and the frequency = d/dt 1 . Writing (t) = t + (t) we note that d/dt
must be small. Now we can describe the evolution on the centre manifold in
terms of the evolution of r and . Because both dr/dt and d/dt are small,
the homological equation simplifiesit was previously complicated by the
presence of the terms yh/x + xh/y which came from the fact that
dx/dt and dy/dt are not small, being approximately y and x respectively.
In most cases it is more convenient, and very traditional, to model the
evolution in terms of the complex amplitude
1
a(t) = r(t)ei(t) .
2
For example,
x(t) r
ei + ei
2
21
See numerical simulations via osceg2.m for the critical = 0 for a slow algebraic
decay of the fast oscillations.
406
Algorithm 6.3 iteratively construct the centre manifold of the system (6.10) using complex amplitudes. Obtain code fragments from the
normal form Algorithm 1.15.
factor alf;
operator cis;
let { df(cis(~u),t) => i*df(u,t)*cis(u)
, cis(~u)*cis(~v) => cis(u+v)
, cis(~u)^~p => cis(p*u)
, cis(0)=>1 };
depend a,t; depend b,t;
let { df(a,t)=>ga, df(b,t)=>gb };
ga:=gb:=0;
x:=a*cis(t)+b*cis(-t);
y:=df(x,t);
z:=0;
let alf^3=>0;
repeat begin
write resz:=-df(z,t)-z+5*alf*x^2;
z:=z+(linv(resz,cis) where { linv(1,cis)=>1,
linv(cis(~n*t),cis)=>cis(n*t)/(i*n+1) });
write res:=df(y,t)+x+x*z;
ga:=ga+i/2*(ca:=coeffn(res,cis(+t),1));
gb:=gb-i/2*(cb:=coeffn(res,cis(-t),1));
x:=x+(linv(res-ca*cis(t)-cb*cis(-t),cis)
where { linv(1,cis)=>-1,
linv(cis(~n*t),cis)=>cis(n*t)/(n^2-1) });
y:=df(x,t);
showtime;
end until resz=0 and res=0;
407

1 it+i
r e
+ eiti
2
1 i it 1 i it
=
re e + re e
2
2
it
it
e ,
= ae + a
where the overbar denotes complex conjugation.22 Observe that |a| = r/2
just measures the amplitude of the oscillations, whereas arg a = neatly
encapsulates any phase shift or slip of the oscillations. For example, oscillations with a small frequency shift from 1 to 1 + 0 are represented by a
0
complex amplitude a = ei t . In general, the complex amplitude a(t) is
itself slowly-varying in time because both r and are.
For dynamical systems in general,
u = Lu + f(, u) ,
we just substitute the ansatz
u = v(, a, t) ,
such that a = g(, a) ,
for some parameters measuring departure from the critical Hopf bifurcation. The new feature here is the presence of the explicit t dependence
is the shape of the centre manifold, v(, a, t). It is there to resolve the
basic oscillations whose amplitude and frequency shifts we wish to describe.
However, it introduces the extra complication that23
du
v v
=
+
g,
dt
t a
where the partial derivative /t is done keeping a constant, whereas /a is
done keeping t constant. This meaning of the partial derivatives is an important feature in the ensuing analysis. Thus we solve equations of the
form
v v
+
g = Lv + f(, v) ,
(6.30)
t a
.
for the centre manifold shape v(, a) and the slow evolution thereon a = g
22
Similar tricks to this allow one to analyse the evolution of the spatial modulation of
periodic patterns in space as seen in convection and Taylor vortices.
23
This is akin to the material derivative in fluid dynamics.
408
6.3.2
Linear approximation
The first step is to form an approximate solution of (6.30) by solving its

linearisation
v
= Lv ,
t
where the terms involving g and f are dropped in this approximation because
they are both small.
From the above discussion we know that we want the leading approximation
to the description to be of the form of oscillations of some magnitude:
aeit .
v waeit + w
independently gives the
Substituting and equating coefficients of a and a
eigen-problem iw = Lw and its complex conjugate. The solution to this
eigen-problem is that the eigenvector w = w+ , the critical eigenvector,
with the critical frequency of the Hopf bifurcation. All this leading approximation comes directly from the linear analysis of the full problem.
For example, in the specific model problem considered here we would choose
w = (1, 1 i, 3i
2 ), and thus
1
1
eit
v 1 i aeit + 1 + i a
(6.31)
3i
2
3+i
2
together with g 0 as an initial approximation.
6.3.3
Iterative refinement
Now we improve the above linear approximation: first by hand, then via
computer algebra.
Given any approximation to the centre manifold and the evolution thereon:
(a, t) such that a g
(a) . Seek a better approximation
uu
(a, t) + u 0 (a, t) ,
u=u
(a) + g 0 (a) .
such that a = g
409
Substituting into the governing differential equation u = Lu + f(u), ig is small,

noring nonlinear terms in dashed quantities, recognising that g
wherever it multiplies a dashed quantity by the linear
and approximating u
aeit , this equation becomes
waeit + w

u 0
u
u
g 0 eit =
+ f(u
) . (6.32)
+ Lu
Lu 0 +
+ wg 0 eit + w
g
t
t
a
Again the right-hand side is just the residual of the dynamical system, u +
Lu + f(u) , evaluated for the current approximation. In contrast to the
0
previous approach, the left-hand side no longer has the terms us Gs which
complicates the solution of the homological equation; consequently here the
solution process is simpler. However, an increase in complication occurs due
to the presence of the u 0 /t term.
First iteration & principles
We now explore the algebraic techniques needed to perform the iterative
improvement of the centre manifold model.
First, substitute the linear approximation (6.31) into the iterative equation (6.32) to

u 0
g 0 eit
Lu 0 +
+ wg 0 eit + w
t

1
4 3i 2 i2t
4 + 3i 2 i2t
e
1
a e + 5a
a+
a
=
2
2
0

0 h
i
+ 1 (1 i)aeit + (1 + i)
aeit .
(6.33)
0
The right-hand side is of the form of a sum of terms each involving a complex
exponential eint for n = 2, . . . , 2 . For each such component, say reint ,
pose that they give rise to a component in u 0 of the form veint , then we
obtain a linear equation for the vector coefficient v of the form
[L + inI] v = r .
410
This has solution
1 + n2
1 + in
0
1
2(1 + in)
(n i)2
0 r.
v=
(1 + in)(n2 1)
2
(3 + in) (1 + 2in) n 1
Solving for the n = 2 and n = 0 components we deduce that u 0 contains

the terms
(1 43 i)a2 ei2t
( 5 + 5 i)a2 ei2t + 5a
a + c.c. .
3
6
1
2
i2t
a
( 3 + i)a e + 10a
However, the n = 1 components are not so straightforward. This is seen
in the matrix inverse above where a division by n2 1 occurs; for n = 1
this is a division by 0. As is always the case for the construction of a centre
manifold, the operator on the left-hand side, here L + /t , is singular. It
has to be because that is the only way a non-trivial set of eigenvectors can
span a centre eigenspace. Here the centre eigenspace involves oscillations
in eit and hence we have difficulty solving for components with n = 1 .
As is always the case,24 we have to choose terms in the evolution, g 0 , so that
the right-hand side is put in the range of the operator L + /t .
We need to define an appropriate inner product such as
Z
1
T dt ,
h, i =
2
which is the average over one period of the normal vector inner product.
Upon finding the adjoint (left-) eigenvector z corresponding to the critical
oscillation, tz = LT z , computing hz, equationi will give an equation for g 0
as follows:
u 0
g 0 eit i = hz, rhsi
i + hz, wg 0 eit + w
t
z 0
it i
hLT z
, u i + hz, weit ig 0 + hz, we
g 0 = hz, rhsi .
t
hz, Lu 0 +
24
This criterion is called the solvability condition.
411
By choosing a solution of the adjoint eigen-problem, tz = LT z , the term

involving the unknown u 0 disappears. Here we choose
1i
2
z = 2i eit ,
0
. Any linear combination of these would suffice,
and its complex conjugate z
it i = 0 and
but these have the advantage that hz, weit i = 1 and hz, we
25
similarly for the complex conjugate. Thus
g 0 = hz, rhsi .
Apply this solvability condition to (6.33) to find
g0 =
1i
a ,
2
and correspondingly for the complex conjugate.

Thus in this approach the first non-trivial approximation to the nonlinear
evolution is just
1i
a =
a .
2
This has solution
a(t) = a0 e(1i)t/2 = a0 et/2 eit/2 ,
which through et/2 describes exponentially growing or decaying solutions
depending upon whether is positive or negative respectively. The factor eit/2 just shifts the frequency of the basic oscillations. This is to be
contrasted with the equivalent evolution equation (6.23): there it is complicated by the quadratic terms which here we see have no significant effect on
the long-term evolution of the oscillationsthey just affect the shape of the
oscillations which here is accounted for in components of u 0 .
25
The complex conjugate and average in h, i mean that z just extracts the component
in eit in the rhs.
412
Having chosen g 0 , the right-hand side is now in the range of the singular
linear operator L + /t . However, the right-hand side will still contain
components in eit , it is just that a u 0 can be found to suit. However, there
will be two degrees of freedom the solution, a freedom corresponding to an
arbitrary linear combination of the critical eigenvectors. We must pose an
extra condition upon u 0 in order to make the solution unique. For example,
seek solutions (with u10 = 0 in these components) containing the form

0
0
it
u = ve
= c2 eit .
c3
In essence this assumption26 defines the oscillation amplitude a to be the
is the comcomponent of eit in u1 (t) of the original variables. Similarly, a
ponent of eit in u1 (t). Seeking solutions in this form, and ignoring the first
component of the equation which is allowed because we know the right-hand
side is in the range, we find that components in the right-hand side of the
form reit give
0
0
0
1
0 r.
v = 0 1i
1
0 1 1i
Here the components in eit give rise to components in u 0 of
0
0
1+i aeit + 1i
aeit .
2
2
1+i
4
1i
4
Gathering all components together gives that the first nonlinear approximation to the shape of the centre manifold and the rapid oscillations thereon
is approximately described by
1
(1 34 i)
0
aeit + ( 5 + 5 i) a2 ei2t + 5a
a + c.c. .
u 1 i + 1+i
2
3
6
3i
1+i
1
10a
a
( 3 + i)
2 + 4
26
Must always define the amplitudes, whether implicit (as before) or explicitly.
413
Computer algebra iteration

Algorithm 6.4 use iteration to form the centre manifold model of the
elementary Hopf bifurcation problem. Here the description is in terms of
the complex amplitude to describe the modulation of the oscillations.
??
Computer algebra may routinely perform high-order computations. We just
express all the ideas discussed above in the algorithm. Algorithm 6.4 performs the iteration as follows.
`?? As before, these discard unwanted higher-order terms and set up bases
for vectors and matrices. Note that we use b to denote the complex
conjugate of the amplitude a, and treat it as an independent amplitude. It is easier to do so.
`?? Set up cist(n) to denote the complex exponential eint (cis denotes
cos+i sin). It is easier to do this than use the inbuilt exponential.
`?? Defines the action of the linear matrix L as ll. Then defines the operator ldtinv to be the inverse operator of L + /t ; P
it is defined
for the case here where the right-hand side is of the form m cm eimt .
The operator is split into the two cases: |n| 6= 1 and |n| = 1 because
in the latter case the operator L + /t is singular and this has to
be catered for.
`?? These just specify the linear approximation.
`?? This is the iteration cycle. It is composed of the same sort of steps as
before.
Upon executing this program and inspecting the results, we deduce that the
modulation of the oscillations is described by

20
1i
a2 + O 2 + a4 .
a 15 + i a
(6.34)
a =
2
3
This is considerably simpler in structure and in detail than the analogous
evolution equation (6.25). Earlier we saw that linearly in a the origin is
414
exponentially attractive for < 0 and is exponentially unstable for > 0 .

From this version of the evolution we may easily determine the stable limit
cycle which exists for > 0something not discernible previously except via
numerical simulations. Just seek a solution a = rei where r and the phase
are real, slowly-varying functions of time: r measures the amplitude of the
is the frequency shift of the oscillations. Substituting
oscillations; and
into (6.34) and dividing by ei leads to

1i
20
r + ir =
r 15 + i r3 .
2
3
The real part of this equation gives

1
1
r = r 15r3 = r 30r2 ,
2
2
and consequently if < 0 , r evolves to zero which represents
the fixed
p
point at the origin; or if > 0 , r evolves to r = /30 which gives
the amplitude of the stable limit limit cycle. Observe that, similar to
the pitchfork bifurcation, the amplitude of this nonlinear state grows
like near critical.

Upon dividing by r, the imaginary part gives that
= 20 r2 .
2
3
At the origin r = 0 , this frequency shift is /2 as observed before in
the linear analysis. Whereas on the limit cycle, r = r ,
= 20 r2 = 13 .
2
3
18
This frequency shift is different to that for the origin because the
nonlinear limit cycle is distinctly different.
6.3.4
Outlook and exercises
As promised, the modulation model is more straightforward to derive and

has significant advantages over the xy-model derived in 6.2: it is generally
more compact, easier to analyse, and easier to numerically simulate.
415
Because of these advantages, similar analysis is frequently performed in

much more general settings. For example, one may derive evolution equations for the modulation of spatial patterns or for the modulation of waves.
This is generally done using the method of multiple scales, a method which
to my mind is distinctly inferior to the centre manifold approach.
However, the modulation approach has one very interesting limitation: it is
not valid for small frequency (the basic oscillation)there are divisions
by in the model, these compound at high-order and cause the asymptotic
expansion to perform poorly. This is not so for the xy-model of 6.2; there
the description is uniformly valid should conditions include 0 .
There is a curious observation to make. In the theory of water waves,
a nonlinear Schr
odinger equation describes the evolution of deep water
waves via a modulation model akin to the above. However, models of
waves in shallow water are instead based on analysis which is analogous
to that employed in the pitchfork bifurcation. These two models of water
waves are completely dissimilar. What is missing is a model that can
describe both deep water and shallow water dynamics uniformly, in analogy
to the above xy-model of the Hopf bifurcation. There is a so-called mildslope equation, but it only describes static wave configurations, it is not
a dynamical equation. An interesting research project is to find a model
which includes both deep and shallow water wave dynamics in analogy to
the xy-model above.
After studying these two sorts of bifurcations, the pitchfork and the Hopf,
we now have the basic analytical and computer algebra tools to rationally
analyse almost any dynamical system to extract a finite dimensional model.
This is because nomatter how many modes make up the centre manifold,
they all have eigenvalues which are either zero or pair up with a complex
conjugate. These are the two cases we have examined. The general analysis
and construction is then just as we have investigated, there are no new
features, just greater complexity of detail.
However, the case of infinite dimensional centre manifold models is rather
more interesting and is dealt with in the next chapter.
Exercise 6.5:
Deduce the centre manifold dynamics of the system (6.10),
but now express the centre manifold model in terms of the real ampliTony Roberts, 24 Apr 2009
416

tude and phase angle of the oscillations on the centre manifold. Recall
Section 1.3.3.
1
3
32 r (cos 3

+ 2 sin 3) + O 2 , y = r sin +

1
3
sin + 6 cos 3 44 sin 3) + O 2 , z = 12 r2 (5 + cos 2 +
32 r (8 cos 3

2
2 sin 2) + O 2 such that r = 14 r3 73
2 r5 + O 3 and = 1 + 11
80
8 r

2199 2 4
3
.
1280 r + O
Answer: x = r cos +
Exercise 6.6: Almost the Rossler system

The Rossler dynamical
system was invented to exhibit chaos. A modified version of the Rossler
system is
x = y z ,
y = x + ay ,
z = xy/5 5z + xz ,
For parameter a 0.3 this system displays classic chaos, but you
will explore a bifurcation that occurs before chaos is reached. Justify
and construct a two dimensional model for the Hopf bifurcation that
occurs before the onset of chaos as a is increased. What is the approximate size and frequency of the predicted limit cycles as a function of
parameter a?
Exercise 6.7: Hopf bifurcation
Consider
x = x 2y 2z + xy ,
y = x 3y 2z ,
z = x + 3y + 2z .
Explore and report all about the long-term dynamics of solutions to
this dynamical system. Use numerical solutions, centre manifold models, and so on.
6.4. Nonlinear evolution of double diffusion
6.4
Sorry:
417
Nonlinear evolution of double diffusion

Our task now is to return to double diffusive convection and model the fluid
flow that occurs when the static state loses stability via a Hopf bifurcation.
Do the oscillations settle down to a stable limit cycle? or do the nonlinear
interactions enhance the linear instability? Are there any special features of
the nonlinear dynamics?
6.4.1
Critical dynamics
Recall that in 6.1 we showed that the static state loses stability as the
Rayleigh number, a measure of the temperature difference between the
plates, increases past the critical value
Rac =
10
274
Rs +
,
11
4
drawn inpFigure 6.2. The frequency of the oscillations exactly at critical

10 Rs /33. The fluid flow together with the induced heat and
is =
salinity changes, oscillating in t, periodic in x and sinusoidal in z, are to a
linear approximation given by (6.4) with coefficients determined from the
eigen-problem (6.5) which for the critical mode simplify to27
32
iA =
20
10
274
Rs +
11
4
2
3
iB = kA
B,
2
iC = kA ,

kB + Rs kC +
94
A,
4
We use a solution of this eigen-problem in order to describe the dominant

structure of the nonlinear dynamics near onset. Any solution will dothey
all differ by a trivial phase shift in the oscillation. Thus without loss of
27
Recall that we set Pr = 10 for simplicity.

418
generality we may take a fundamental solutionwith B =

k. From which
32
32
the equations force A = 2 + i and C = k 1 i 2 . In effect such a
choice forces the complex amplitude appearing in the model to be in phase
with the temperature fluctuations.
Putting this solution along with its complex conjugate together in the solution fields we deduce that the linear description of the centre manifold and
the oscillations thereon is
2

3
= a
+ i eit sin kx sin nz + c.c. ,
2
= akeit cos kx sin nz + c.c. ,

32
= ak 1 i
eit cos kx sin nz + c.c. ,
2
(6.35)
where a(t) is the complex amplitude of the oscillations. Our aim is to derive
an equation governing its variation, which in turn describes the modulation
and growth or decay of the oscillations.
6.4.2
The vorticity equation
Just as in the linear analysis, it is convenient to simplify the NavierStokes

and continuity equation (6.1) through the introduction of the stream-function (x, z
where the fluid velocities are u = /z and w = /x. The algebra is
straightforward: upon considering x

(w-eqn) z
(u-eqn) we are lead to

1
2
2
+
= Ra
Rs
+ 4 .
Pr
t
z
x
x
x
Introducing the vorticity
= 2 =
w u
,
x
z
this equation becomes simply

1 d
1
=
+ q = Ra
Rs
+ 2 .
Pr dt
Pr t
x
x
(6.36)
(6.37)
419
Now the vorticity is the amount of rotation in the fluid flow at each point.
This last equation just says that such rotation:
is carried by the fluid, d/dt;
is generated by horizontal density gradients through Ra

x Rs x (if
the fluid is denser to one side then that part will tend to fall which
creates a rotational effect);
and is dissipated by a diffusion 2 .

These physically clear properties make the vorticity a very powerful concept
in fluid dynamics.
In this double diffusive convection problem, the vorticity equation is supplemented by equations for heat and salt transport: respectively
+ q = w + 2 ,
t
+ q = w .
t
6.4.3
(6.38)
(6.39)
Nonlinear analysis
We base the construction of a model upon the computer algebra derivation of

the centre manifold and the evolution thereon. The example of the previous
section, 6.3, provides a framework for the following reduce program; the
overall shape of the algorithm is the same, but here there are many more
details.
For example, the linear description may be tested by substituting the solution, given in lines 5264, into the governing differential equations (6.37
6.39), as is done by the expressions at the end of the following code, and
retaining only linear terms in the amplitudes (by setting o:=1).
In a similar manner to the previous example, suppose
x, z, t) ,
= (a,
x, z, t) , = (a,
(a, x, z, t) , s.t. a = g
(a) ,
=
420
is an approximate description of the evolution, and we seek an improved

description
x, z, t) + 0 (a, x, z, t) ,
= (a,
x, z, t) + 0 (a, x, z, t) , = (a,
(a, x, z, t) + 0 (a, x, z, t) , s.t. a = g
(a) + g 0 (a) .
=
Then, in the same manner as in the previous section, equations are derived
for the corrections 0 , 0 , 0 and g 0 :
4 0 Rac
0
0
1 2 0
1 2 a 0
,
+ Rs
+
g =
x
x
Pr
t
Pr
c
0
a 0
0
(6.40)
2 0 +
+
g =
,
x
t
c
a 0
0 0
,
+
+
g =
x
t
c

and ,
are the residuals of the vorticity,
where the right-hand sides, ,
heat and salinity equations respectively.
The following reduce code to find such corrections is rather long. However,
much of it involves getting reduce to compute various inverse operators
rather than calculate them ourselveswith more effort I could have eliminated many steps at the expense of introducing my algebraic errors. After
the listing, I describe the various steps.
% Use iteration to form the centre manifold model of the
% double diffusive Hopf bifurcation problem. Here the
% description is in terms of the complex amplitude to describe
% the modulation of the oscillations.
% a is the complex amplitude and b is its complex conjugate.
% (c) Tony Roberts, October 1995
o:=3;
% only retain terms up to order o in a and b
let { a^~m => 0 when m>o
, b^~n => 0 when n>o
, a^~m*b^~n => 0 when m+n>o
, a*b^~n => 0 when 1+n>o
421
, a^~m*b => 0 when m+1>o

, a*b => 0 when o=1
};
let eps^2=0; % but only interested in leading order in eps
%
% basis vectors for vectors, ee(i), and matrices, ee(i,j).
factor ee;
operator ee;
let { ee(~i)^2 =>1
, ee(~i)*ee(~j) => 0 when i neq j
, ee(~i,~j)*ee(j) => ee(i)
, ee(~i,~j)*ee(~k) => 0 when j neq k
};
infix _; precedence _,^;
let ~u _ ~j => df(u,ee(j));
%
% cist(m) = exp[i*m*t] is complex exponential oscillation
% whereas cosp(n,x)=cos(n*pi*x) and sinp(n,x)=sin(n*pi*x)
operator cist;
depend cist,t;
let { cist(~m)*cist(~n) => cist(m+n)
, cist(~m)^~p => cist(p*m)
, df(cist(~m),~z) => i*m*om*cist(m)*df(t,z)
};
operator cosp; operator sinp;
let { cosp(~a,~x)^2 => (cosp(2*a,x)+cosp(0,x))/2
, sinp(~a,~x)^2 => (cosp(0,x)-cosp(2*a,x))/2
, sinp(~a,~x)*cosp(~b,~x) => (sinp(a+b,x)+sinp(a-b,x))/2
, sinp(~a,~x)*sinp(~b,~x) => (cosp(a-b,x)-cosp(a+b,x))/2
, cosp(~a,~x)*cosp(~b,~x) => (cosp(a-b,x)+cosp(a+b,x))/2
, df(sinp(~m,~x),~z) => pi*m*cosp(m,x)*df(x,z)
, df(cosp(~m,~x),~z) => -pi*m*sinp(m,x)*df(x,z)
, sinp(0,~x) => 0
422
, sinp(-~m,~x) => -sinp(m,x)

, cosp(-~m,~x) => cosp(m,x)
};
procedure mean(blah); df(blah,cist(0),cosp(0,kx),cosp(0,z));
%
% critical modes form linear solution
depend kx,x;
pr:=10;
let { df(kx,x)=>k, k^2=>1/2, om^2=>10*rs/33 };
rac:=10*rs/11+27*pi^4/4;
psic:=(a*(3*pi^2/2+i*om)*cist(1)
+b*(3*pi^2/2-i*om)*cist(-1))*sinp(1,kx)*sinp(1,z)$
thetac:=(a*pi*k*cist(1)
+b*pi*k*cist(-1))*cosp(1,kx)*sinp(1,z)$
sigmac:=pi*k*(a*(1-i*3*pi^2/2/om)*cist(1)
+b*(1+i*3*pi^2/2/om)*cist(-1))*cosp(1,kx)*sinp(1,z)$
vortc:=1/pr*(df(psic,x,x)+df(psic,z,z))$
%
% Form the inverse operators!!!!
% First, substitute generic term into the LHS
psy:=apsi*cist(l)*sinp(m,kx)*sinp(n,z)$
the:=athe*cist(l)*cosp(m,kx)*sinp(n,z)$
sig:=asig*cist(l)*cosp(m,kx)*sinp(n,z)$
vor:=df(psy,x,x)+df(psy,z,z)$ u:=-df(psy,z)$ w:=df(psy,x)$
psiop:=1/pr*df(vor,t)-df(vor,x,x)-df(vor,z,z)
-rac*df(the,x)+rs*df(sig,x)$
theop:=df(the,t)-df(psy,x)-df(the,x,x)-df(the,z,z)$
sigop:=df(sig,t)-df(psy,x)$
% Second, extract the LHS operator and invert it
psiop:=psiop/cist(l)/sinp(m,kx)/sinp(n,z)$
theop:=theop/cist(l)/cosp(m,kx)/sinp(n,z)$
sigop:=sigop/cist(l)/cosp(m,kx)/sinp(n,z)$
lop:=mat((df(psiop,apsi),df(psiop,athe),df(psiop,asig))
,(df(theop,apsi),df(theop,athe),df(theop,asig))
,(df(sigop,apsi),df(sigop,athe),df(sigop,asig))
423
)$
ilop:=1/lop$
% Third, extract columns of inverse for later use
psiop:= ee(1)*ilop(1,1)*cist(l)*sinp(m,kx)*sinp(n,z)
+ee(2)*ilop(2,1)*cist(l)*cosp(m,kx)*sinp(n,z)
+ee(3)*ilop(3,1)*cist(l)*cosp(m,kx)*sinp(n,z)$
theop:= ee(1)*ilop(1,2)*cist(l)*sinp(m,kx)*sinp(n,z)
sigop:= ee(1)*ilop(1,3)*cist(l)*sinp(m,kx)*sinp(n,z)
% Fourth, deal with the special case of l=\pm 1, m=n=1
loq:=sub({l=1,m=1,n=1},lop)$
loq(1,2):=df(vortc ,a)/cist(1)/sinp(1,kx)/sinp(1,z)$
loq(2,2):=df(thetac,a)/cist(1)/cosp(1,kx)/sinp(1,z)$
loq(3,2):=df(sigmac,a)/cist(1)/cosp(1,kx)/sinp(1,z)$
iloq:=sub(om=l*om,1/loq)$
psioq:= ee(1)*iloq(1,1)*cist(l)*sinp(1,kx)*sinp(1,z)
+ee(3)*iloq(3,1)*cist(l)*cosp(1,kx)*sinp(1,z)$
theoq:= ee(1)*iloq(1,2)*cist(l)*sinp(1,kx)*sinp(1,z)
sigoq:= ee(1)*iloq(1,3)*cist(l)*sinp(1,kx)*sinp(1,z)
zpsi:=4*iloq(2,1)*sinp(1,kx)*sinp(1,z)*cist(-l)$
zthe:=4*iloq(2,2)*cosp(1,kx)*sinp(1,z)*cist(-l)$
zsig:=4*iloq(2,3)*cosp(1,kx)*sinp(1,z)*cist(-l)$
% Lastly, define inverse terms from each of the component eqns
operator psiinv; linear psiinv;
operator theinv; linear theinv;
operator siginv; linear siginv;
depend x,xzt; depend z,xzt; depend t,xzt;
let { psiinv(cist(~al)*sinp(~am,kx)*sinp(~an,z),xzt)
=> sub({m=am,n=an},sub(l=al,psiop)) when abs(al*am*an) neq 1
, theinv(cist(~al)*cosp(~am,kx)*sinp(~an,z),xzt)
424

=> sub({m=am,n=an},sub(l=al,theop)) when abs(al*am*an) neq 1
, siginv(cist(~al)*cosp(~am,kx)*sinp(~an,z),xzt)
=> sub({m=am,n=an},sub(l=al,sigop)) when abs(al*am*an) neq 1
, psiinv(cist(~al)*sinp(~am,kx)*sinp(~an,z),xzt)
=> sub({l=al},psioq) when abs(al*am*an) = 1
, theinv(cist(~al)*cosp(~am,kx)*sinp(~an,z),xzt)
=> sub({l=al},theoq) when abs(al*am*an) = 1
, siginv(cist(~al)*cosp(~am,kx)*sinp(~an,z),xzt)
=> sub({l=al},sigoq) when abs(al*am*an) = 1
};
%
% initial approximation
% uncomment the following line for numerical solution
%on rounded;k:=1/sqrt(2);rs:=1;om:=sqrt(10*rs/33);precision 6;
on complex; on list; factor cist,cosp,sinp;
ra:=rac+eps;
psi:=psic;
theta:=thetac;
sigma:=sigmac;
ga:=0;
gb:=0;
showtime;
%
% iteration
for iter:=1:o do begin
u:=-df(psi,z)$ w:=df(psi,x)$ vort:=df(psi,x,x)+df(psi,z,z)$
salteq:=-df(sigma,t)-df(sigma,a)*ga-df(sigma,b)*gb
-u*df(sigma,x)-w*df(sigma,z)+w;
heateq:=-df(theta,t)-df(theta,a)*ga-df(theta,b)*gb
-u*df(theta,x)-w*df(theta,z)+w+df(theta,x,x)
+df(theta,z,z);
vorteq:=(-df(vort,t)-df(vort,a)*ga-df(vort,b)*gb
-u*df(vort,x)-w*df(vort,z))/pr +ra*df(theta,x)
-rs*df(sigma,x)+df(vort,x,x)+df(vort,z,z);
% solve for evolution ga and gb
425
gad:=mean(sub(l=+1,zpsi*vorteq+zthe*heateq+zsig*salteq));
gbd:=mean(sub(l=-1,zpsi*vorteq+zthe*heateq+zsig*salteq));
write ga:=ga+gad;
write gb:=gb+gbd;
% update and solve homological equation
ud:= psiinv(vorteq-sub({a=gad,b=gbd},vortc ),xzt)
+theinv(heateq-sub({a=gad,b=gbd},thetac),xzt)
+siginv((salteq-sub({a=gad,b=gbd},sigmac)
where cist(0)*cosp(0,kx)=>0) ,xzt);
write psi:=psi+ud _1;
write theta:=theta+ud _2;
write sigma:=sigma+ud _3;
showtime;
end;
%
% check equations
u:=-df(psi,z)$ w:=df(psi,x)$ vort:=df(psi,x,x)+df(psi,z,z)$
salteq:=-df(sigma,t)-df(sigma,a)*ga-df(sigma,b)*gb
-u*df(sigma,x)-w*df(sigma,z)+w;
heateq:=-df(theta,t)-df(theta,a)*ga-df(theta,b)*gb
-u*df(theta,x)-w*df(theta,z)+w+df(theta,x,x)
+df(theta,z,z);
vorteq:=(-df(vort,t)-df(vort,a)*ga-df(vort,b)*gb
-u*df(vort,x)-w*df(vort,z))/pr +ra*df(theta,x)
-rs*df(sigma,x)+df(vort,x,x)+df(vort,z,z);
;end;
`738 As in the toy problem of the previous section these: set up the terms
to be dropped in the expressions for the model; some basis vectors for
the three components of the flow field, , and ; and the operator
cist to describe the oscillations.
`3950 However, in this problem we also have spatial structure.28 Because
of the nature of the governing equations and the boundary conditions
28
In essence, cosp and sinp act as basis vectors for the spatial structure in the fields ,
and .
426

on the top and bottom, the spatial dependence may always be described by trigonometric functions. We could use the knowledge of
trigonometry that is built into reduce; however, it comes with a
lot of baggage and I find it easier to define our own. The operators
cosp(m,x) and sinp(m,x) are used to denote cos mx and sin mx respectively. The linearisation, differentiation and symmetry rules coded
in these lines then follow.
`5264 The critical parameters and corresponding linear oscillations, equation (6.35), are encoded in these lines. Note that kx is used to denote kx in the argument of trigonometric functions.
`66128 This big chunk derives the inverse operators needed to later find
the corrections to the evolution and the centre manifold.
1. The solution fields are composed of sums of terms of the form
eilt cos mkx sin nz (except for for which the x dependence
is sin). Hence, we first find the effect of the linear operator on
fields of this form.
2. Then extract the coefficients, form into a matrix and invert. The
ith row of the matrix ilop describes the influence that residuals in the three equations have upon the ith field (, and
respectively).
3. Conversely,29 the jth column of ilop describes the influence that
the residual of the jth equation has upon the three solution fields.
Thus, third, extract these columns for later use and group together with the basis vectors ee.
4. However, as is always the case, the linear operator on the lefthand side of (6.40) is singular. This singularity affects the computation of the inverse only if l = 1 and n = m = 1 corresponding
to the critical mode. For these values of l, m and n we have to
choose g 0 so that the right-hand side is in the range of the operator. This is done by finding g 0 through a solvability condition.
29
The reduce matrix facility is inconvenient for many purposes.
427
One way to find the corresponding critical left-eigen-mode is

as follows.
Recall that we defined the complex amplitude to be such that
it was in phase with the temperature oscillations. Hence, we
want to find so that its component in eit cos kx sin z is
unchanged during the iteration process; that is, 0 should be zero
in this component. Thus for this component only, we replace
the column of the linear operator by the column of coefficients
1
a
of g 0 , namely ( Pr
2
, a , a ). This is stored in matrix loq.
c c c
Then its inverse, iloq, is computed, the first and third rows
determining components in the and fields, and the second row
giving a normalised left-eigen-mode to be used in the solvability
condition.
5. Lastly, define operators psiinv, theinv and siginv to take each
component of the residuals and compute the corresponding contribution to the three solution fields. The linear statements tell
reduce to express, for example,
psiinv
=
!
ilt
clmn e
sin mkx sin nz
l,m,n

clmn psiinv eilt sin mkx sin nz .
l,m,n
The operators thus work on each term in turn, producing a result depending upon the particular value of l, m and n for each
particular term. The variable xzt is used to tell reduce to keep
any factor depending upon x, z and t within the argument of the
operator.
One curiosity is that we have to substitute for the time harmonic,
l, before substituting for the spatial wavenumbers m and n. the
reason is that if this is not done a division by 0 occurs! But how
could this be since we have properly dealt with the singularity
associated with the critical mode? It actually signifies that there
428

is a previously unrecognised mode of eigen-value with zero real
part.
Here the top and bottom plates are stress-freeslipperyand so
we could superimpose a bulk flow moving to the left or right. Indeed, investigation shows that the mode associated with the zero
divisor is l = m = n = 0 to match a bulk flow. Such bulk flows
are observed in experiments, (Cross & Hohenberg 1993, pp966
70) even though in experiments the top and bottom plate are
not stress-free. The bulk flow evolves slowly on large horizontal
scales, so although l and m are not exactly 0, they are small
and to a leading approximation l m 0. In the next chapter
we begin working on techniques based on centre manifold theory
to develop models of dynamics on large horizontal scales. Ultimately such techniques would be applied to form useful models
of the coupled evolution of convection and bulk flow.
For the moment note that although a division by zero occurs, the
numerator is also 0. Thus here we can side-step the problem by
substituting l = 0 before substituting m = n = 0, because then
the numerator evaluates to 0 and so the term disappears before
the denominator is evaluated.
`129139 These just assign the critical linear solution as a first approximation to the centre manifold model.
`141166 The iteration has the same structure as before.
The residuals of each of the governing differential equations are
computed. These should be directly readable.
The solvability condition is applied to determine corrections to
the evolution in the model.
The new terms arising from the solvability are incorporated into
the residuals, then the inverse operators established earlier are
used to compute corrections to the centre manifold description.
429
`168177 Lastly,30 check the governing equations for any errors.
6.4.4
The model
Having established the program it is now just a matter of executing it and

interpreting the results.
It is useful to first look at the low orders. Setting o:=1 in line 7 just indicates
one iteration and the subsequent execution just identifies the leading term
in the evolution equation for the model.31 The output shows that
a
36302 i220
a ,
40 Rs +359374
(6.41)
p
where = 10 Rs /33 and = Ra Rac . This describes the linear dynamics of the pure conduction state:
2
> 0 the conduction

the real part gives the stabilitysince 40 Rs3630
+359374
state is stable/unstable for < 0 and > 0 respectively, as we have
already identified;
the imaginary part describes the frequency shift of oscillations about
the conduction state and is of little interest to the picture of the longterm evolution.
Upon setting o:=3 in line 7 we seek the nonlinear modifications to this
evolution equation. Such nonlinear terms can, for Ra past critical, either
stabilise the motion onto finite size limit cycles, or help drive the instability further, depending upon the sign of the coefficient. Executing the
program in reduce we run into a wall of the combinatorial explosion.
Through the nonlinear products in the governing equations together with
additions of terms with different denominators, terms in the expressions we
deal with become longer extremely rapidly. Quite often the expressions increase in length exponentially quickly, perhaps worse. In this particular case
30
31
Always check computer algebra.

Note that Rs has to be as large as 100,000 in order to significantly affect this equation.
430
the combinatorial explosion is bad enough to saturate a high-performance

workstation for hours at a time.
One way around this problem is to numerically evaluate some expressions
that otherwise would be represented as long algebraic expressions. For example to use the numerical value of we would just turn on rounded, as
in line 131. This helps but results are quickest
if we substitute the critical
value for the horizontal wavenumber k = 1/ 2 = 0.7071, and use specific
values for the saline Rayleigh number Rs,psay Rs = 1 or 10000, and correspondingly for the critical frequency = 10 Rs /33. All of this is done on
line 131. Executing the reduce program we find, for Rs = 1, that

+O 2 +a4 . (6.42)
a = (0.010234i0.00003460)a(154.65+i878.12)a2 a
This is the low-dimensional model of the dynamics of the infinite-dimensional
fluid dynamical system. Using this model we readily predict the existence of limit cycles for Ra just larger than critical. Simply seek solutions
0
a(t) = rei t where r and 0 are constants. Substituting leads to
0
irei t = (0.010234 i0.00003460)rei t (154.65 + i878.12)r3 ei t ,

which upon dividing by rei
0t
leads to
i = (0.010234 i0.00003460) (154.65 + i878.1)r2 .

The real part of this equation rearranges to the amplitude of the limit
cycles in the complex amplitude space to be
r = 0.008135 .
As in general, the amplitude is proportional to . These limit cycles

are stable, though a little more work is needed to show this.
The imaginary part of the equation gives the frequency shift of the
limit cycles:
= 0.00003460 878.12r2 = 0.05814 .
But this is of little interest.
431
Physically these limit cycles are manifested

as fluid flow that sloshes to and
fro within an array of cells of width 2.

Similar results are obtained for a wide range of saline Rayleigh numbers Rs.
For example, with Rs = 10, 000 the basic oscillations are at frequency =
55.04 and the modulation equation is

+ O 2 + a4 . (6.43)
a = (0.009185 i0.003104)a (161.12 i599.2)a2 a
Observe the real parts of the constants have changed remarkably little from
equation (6.43). The imaginary part of the nonlinear terms coefficient has
changed, but this only affects the frequency shift of the oscillations.
However, there is just one little problem to be overcome.32 At the end of the
reduce program the fluid dynamical equations are checked to the desired
order of the expansion. Although these are generally non-zero, most of
them are approximately 1014 clearly zero to numerical accuracy. But one
of the terms in the residual of the salt equation is definitely non-zero, being
approximately 36.56 sin 2z for Rs = 1 and 0.04858 sin 2z for Rs = 10000.
However hard one tries it is impractical to imagine that such coefficients are
numerical approximations to zero! The reason this residual occurs is due to
a quick fix which I have included in the reduce program, so far without
comment. In line 161 I included a where clause which sets to zero any
residual in the salt equation with wavenumbers l = m = 0 but any n. This
therefore removes the sin 2z component in the residual that is ultimately
seen in the error checking.
If this where clause is omitted, then upon execution one quickly discovers
that reduce complains about having to divide by zero. Why? As before
when we commented on the possibility of bulk flow between stress-free plates,
a division by zero flags that the basic linear operator, on the left-hand side
of (6.40), is singular. Such singularity is familiar in a centre manifold analysis
because it corresponds to a critical mode, one with eigenvalue with real
part zero. The division by zero here indicates that there is yet another
critical mode, associated with sin 2z structure in salinity, that we have
previously overlooked. Indeed substitute (, , ) = (0, 0, sin 2z)et into
32
Still more trouble.

432
the fluid equations (6.376.39) and discover that it is indeed a critical mode
with eigenvalue = 0. We could avoid including the bulk flow mode in the
analysis because there the problem was 0/0 and we could arrange to evaluate
the numerator before the denominatorphysically there is no interaction
between the bulk flow and the convection rolls. Here this is not possible
because the numerator is definitely non-zero, here 36.56 for Rs = 1there is
interaction. Thus to do the centre manifold analysis properly we should have
included this mode in the description, say proportional to an amplitude c.
That is we should seek
= (a,
c, x, z, t) ,
c, x, z, t) ,
= (a,
(a, c, x, z, t) ,
=
(a, c) ,
s.t. a = g
c = h(a,
c) ,
and modify the reduce program accordingly. This will fix the problem.
Or will it? Why is = sin 2z a critical mode? Physically it corresponds
a change in the vertical structure of the mean salinity field. Horizontal
variations in salinity cause horizontal density gradients that drive flow, but
vertical variations apparently have no dynamic effect. The physical reason is that we set , the relative diffusivity of salt, to zero because it was
very small, in water 0.01. However, this removes diffusion of salt and
so nonlinear vertical structure of the salt field is consequently long-lived.
It is not just the sin 2z mode which is neutrally stable, all the modes
(, , ) = (0, 0, sin nz) are also critical modes! Really we should include
an infinite number of amplitudes cn for the centre manifold and include
P
n=1 cn sin nz into the linear description of the salinity field. Fortunately,
most of these modes do not interact with low-order approximations to the
flow dynamics on the centre manifold and so may be omitted from a model
of the oscillatory flow.
Another possible way around the problem is to re-introduce salt diffusion
by setting to be non-zero. Then when these vertical structure components
appear in the residual, they induce corresponding finite components into the
6.5. Summary and exercises
433
salt field. For example, here would have an additional term proportional
to a
a sin 2z. This would interact with the fluid flow to induce corrections
; there could not be a
to the modulation equation proportional to a2 a
correction proportional to a
a due to symmetry considerations. Thus taking
into account the finite diffusivity would not alter our earlier conclusions on
the existence of limit cycles.
However, the coefficient of the additional terms are proportional to 1/
and since is genuinely small in many applications we can expect that
the additional terms to be quite large. In the evolution of the complex
terms would become significant quickly due to
amplitude a, the order a2 a
their large coefficient. Physically, these effects are likely to be destabilising
because the advection of the background salinity field is likely to reduce the
stabilising salinity gradient in the bulk of the fluid domain, and hence assist
the development of more vigorous flow.
Either of the above approaches will fix the problem, which is best depends
upon the use to which the model is put.
6.5
dd??
Low-dimensional models of Hopf bifurcations may be constructed using centre manifold theory. A direct application of the theory generates a model in an abstract phase space (the xy model) through a
nontrivial form of the homological equation.
However, a simpler and usually more useful model is developed in
terms of the complex amplitude; it describes the modulation of the
basic oscillations involved in a Hopf bifurcation. From the modulation
equations we easily predict the amplitude and frequency of the stable
limit cycles that may occur for parameters past critical.
In this chapter we have introduced some of the dynamics of the advectiondiffusion of temperature and salinity. In the natural environment, variTony Roberts, 1 Mar 2008
434

ations in these quantities cause density differences that drive many
complex flows. Here we investigated an accessible example involving
vertical gradients. The fluid dynamics cause a Hopf bifurcation. To
simplify the analysis, the stream function and vorticity equation have
been introduced.
When one encounters a problem with zero divisors in the extensive
algebra needed to create centre manifold models of complicated flow
dynamics, then a critical mode has been overlooked in the linear analysis that forms the basis of the centre manifold model.
Chapter 7
Large-scale spatial variations

Contents
7.1
Poiseuille pipe flow . . . . . . . . . . . . . . . . .
437
7.2
Dispersion in pipes . . . . . . . . . . . . . . . . .
440
7.3
7.4
7.2.1
The spectrum . . . . . . . . . . . . . . . . . . . . . 442
7.2.2
Fourier transform justification . . . . . . . . . . . . 444
7.2.3
Direct construction . . . . . . . . . . . . . . . . . . 446
7.2.4
High-order convergence . . . . . . . . . . . . . . . 451
7.2.5
Significance . . . . . . . . . . . . . . . . . . . . . . 453
7.2.6
Theory supports direct physical space modelling . 457
Thin fluid films . . . . . . . . . . . . . . . . . . . .
457
7.3.1
Governing equations . . . . . . . . . . . . . . . . . 458
7.3.2
Linear picture . . . . . . . . . . . . . . . . . . . . . 462
7.3.3
Restricted model . . . . . . . . . . . . . . . . . . . 464
7.3.4
Manifold equilibria: Chemical kinetics . . . . . . . 472
7.3.5
Thin films . . . . . . . . . . . . . . . . . . . . . . . 475
Summary . . . . . . . . . . . . . . . . . . . . . . .
435
479
436
Chapter 7. Large-scale spatial variations
We now turn to the modelling of dynamics on large spatial scales.

Recall the onset of Taylor vortices in Couette flow, and the onset of convection between two plates. In Couette flow between two cylinders the two
cylinders are pictured as being long, and in convection the horizontal extent of the slab of fluid under investigation is pictured to be large. In both
situations the wavenumber k, the axial wavenumber in Couette flow or the
horizontal wavenumber in convection, is assumed to vary continuously so
that we could find the wavenumber of the critical mode that first became
unstable. For example, in Couette flow Figures 3.3 and 3.19 plot Reynolds
number versus k and the critical mode is determined as that occurring at
smallest Reynolds number and corresponds to some critical wavenumber kc .
Similarly for convection except there we dealt with the analytic formula.
In previous chapters we then analysed the dynamics of the mode with
wavenumber kc for Reynolds or Rayleigh numbers past critical. However,
for Reynolds or Rayleigh numbers above critical by an amount , it should
be clear from figures such as 3.3 and 3.19 that actually an infinity of modes
become unstable corresponding to modes with wavenumber k within an
amount proportional to of kc . That is, because of the large extent of

the flow, either in the axial or horizontal direction, a range of modes are
linearly unstable and may grow. Which of these modes dominate observations will depend upon nonlinear interactions between the modesthis is a
pattern selection problem Cross & Hohenberg (1993).
Physically, a thin band of wavenumbers, width proportional to , corresponds to a pattern of Taylor vortices/convective rolls which in any physical
locale looks like vortices/rolls with a local wavenumber and amplitude which
varies slowly from locale to locale. The pattern is slowly varying in the large
spatial dimension.
poise??
To greatly simplify the analysis we investigate a much simpler situation, that
of the dispersion of material carried in the flow of a viscous fluid along a
pipe. Physically, pipes are long and thin: we model the large-scale variations
7.1. Poiseuille pipe flow
437
r
#
-
6
I
@
- u(r)
"!
-x
"!
length L, radius a
Figure 7.1: schematic diagram of pipe flow and the coordinate system.
in concentration of the material along the pipe, seeking to ignore small scale
dynamics across the small cross-section of the pipe. Thus first we look at
the flow in a pipe.
Such models of dispersion in pipes are important in chemical engineering
where many reactions takes place in pipes. Similar models are important in
the modelling of dispersion in rivers and estuaries. It was, I believe, Henry
Stommel who dumped a truck load of turnips into a river to experimentally
test models of dispersion: turnips were chosen because they barely float and
so will be carried by the river without influence by the wind, are white so
are easily visible, and are cheap and biodegradable.
film??
7.1
Sorry:
Poiseuille pipe flow

Consider the flow of a viscous fluid in a pipe and we solve the NavierStokes
and continuity equations to determine the velocity field in the pipe.
We use cylindrical coordinates (x, r, ), where x is the distance along the
pipe, r is a radius, and is an angle around the pipe. The fluid velocity has
components (u, v, w) for convenience, that is q = ui + ver + we . Then the
438
NavierStokes and continuity equations may be written

u
+ q u
t
v
w2
+ q v
t
r
w
vw
+ q w +
t
r
u 1 (rv) 1 w
+
+
x
r r
r
1 p
+ 2 u ,
x

1 p
v
2 w
2
=
+ v 2 2
,
r
r
r

1 p
2 v w
=
+ 2 w + 2
,
r
r r2
=
= 0,
where
w
q=u
+v +
,
x
r
r
2
1
= 2+
x
r r
2

1 2
r
+ 2 2.
r
r
Consider the configuration of a perfectly circular pipe of infinite length.

Rotational and translation symmetry show that there is no angular
dependence,
= 0, and no longitudinal dependence, x
= 0, in the
flow, except that the pressure may vary linearly in x.
Reflection symmetry, about any plane through the pipes axis, shows
that w = 0there is no reason to favour helical flow in any direction
so no angular velocity is a possibility. w = 0 ensures that the angular
component of the NavierStokes equation is satisfied.
The continuity equation then shows that rv =constant. But since the
fluid cannot cross the pipes surface, v, the radial velocity must be
zero at r = a, hence the constant is zero, and thus v = 0 everywhere.
The radial component of the NavierStokes equation is automatically
satisfied provided the pressure is independent of r, that is the pressure
is constant across any given cross-section.
The axial/longitudinal component of the NavierStokes equation then
show that

1 p
u
u
=
+
r
.
t
x
r r
r
7.1. Poiseuille pipe flow
439
Every term appearing here is independent of x, hence the pressure p

must be linear in xthere is a constant pressure gradient along the
pipe. If the imposed pressure gradient is independent of time, then u
will also not depend upon t and hence u
t = 0. If a pressure change
of p is imposed across the ends of a pipe of length L, then

1
u
p
p
r
=
=
.
r r
r
L
L
Integrating twice leads to a velocity profile of
u(r) =
p 2
r + A log r + B .
4L
There cannot be infinite velocity in the centre of the pipe, so A = 0;

p 2
and u = 0 on the pipe wall, as it is a viscous fluid, so B = 4L
a .
Thus Poiseuille pipe flow has a parabolic velocity distribution1

p 2
q=
a r2 i .
4L
(7.1)
It is this background flow which we use to examine dispersion in a pipe.

The flux of fluid through the pipe due to a given pressure drop is of interest.
The fluid flux is
Z
Q =
u dA
cross-section
Z a Z 2
=
u(r) rd dr
0
a4 p
=
.
8L
The interesting feature here is that for a given pressure gradient the flux
is proportional to the fourth power of the radius. For example, the flux
in 19 mm (3/4) water pipe is some 5 times as much as the flux in 13 mm
(1/2) water pipe for the same pressure gradient. Alternatively, 19 mm pipe
can be 5 times the length of 13 mm pipe and still deliver the same flow of
water for a given pressure drop.
1
The minus sign in front of p shows that fluid flows from high pressure to low.
440
7.2
Dispersion in pipes
Warning:
Here we learn how to construct models of the long-term spread of a material

along a long pipe that is carried by Poiseuille flow down the pipe.Mercer &
Roberts (1994) The material is assumed to be neutrally buoyant; that is,
it has no affect on the density of the fluid and so concentration differences
do not cause density differences that could have generated secondary flows.
Here the flow is given as Poiseuille flow, written as
u(r) = 2U(1 r2 /a2 ) ,
where U is the cross-sectionally averaged downstream velocity (U = pa2 /8L).
As discussed in the chapter on thermo-haline convection, the governing equation which represents conservation of some material is
c
+ (qc) = 2 c ,
t
where c is the concentration field of the material, and is the constant of
diffusivity. For example, for salt diffusing in water (Batchelor 1979, p595),
NaCl = 1.1 105 cm2 / sec , whereas KMnO4 = 1.4 105 cm2 / sec .
These are a thousand times smaller than the kinematic viscosity of water,
= 1.14 102 cm2 / sec , and so the viscous dynamics which establish
Poiseuille flow occur one thousand times faster than the dynamics of dispersion that we examine here. This justifies the assumption of an established
Poiseuille flow. For Poiseuille flow the conservation equation reduces to
2

c
c 1
c
1 2 c
c
2
+ u(r)
= c =
+
r
+ 2 2 .
(7.2)
t
x
x2 r r
r
r
Typically, the material cannot cross the wall of the pipe (though there are
some physical situations where it is allowed to diffuse through the wall or to
react with chemicals on the wall). Consequently, the boundary conditions
on the concentration is that of zero diffusive flux on the wall:
c
=0
r
on r = a .
7.2. Dispersion in pipes
441
A simple but misleading model of the long-term spread of material along the
pipe is obtained by integrating (7.2) over a cross-section. Let C(x, t)
RR be the
1
cross-sectional average of the concentration c, namely C(x, t) = a2 c rd dr .
In a long and thin pipe, the cross-pipe diffusion has a long time to act and
so we may expect that c C . Now averaging (7.2) over a cross-section and
using the boundary conditions then leads to
C
1
+
t
a2
ZZ
u(r)
c
2 C
r d dr = 2 .
x
x
c
If c C then x
C
x which is independent of r and and so may be taken
outside the remaining integral to give
C
C
2 C
+U
= 2 ,
t
x
x
where U is the average velocity down the pipe. This is a simple model for
the transport of material along the pipe by the flow. It asserts that the
material is carried at the average velocity U and spreads out along the pipe
by molecular diffusion . Now, whereas the bulk transport at the average
velocity is a reasonable first approximation, the spread or dispersion along
the pipe is typically immensely faster than that due to molecular diffusion.2
To discover the correct dispersion and lesser effects, we need to use a better
modelling approachthat provided by centre manifold theory.
Before undertaking further analysis, it is convenient to non-dimensionalise
this problem in the following way:
scale the radial coordinate with respect to the pipe radius, r = r/a ;3
scale time with respect to a cross-pipe diffusion time, = a2 / , t =
t/a2 ;
and scale longitudinal distances with respect to the distance travelled
downstream, = U = Ua2 / , by a particle travelling at the average
velocity U in a cross-pipe diffusion time, x = x/(a2 U) .
2
3
Cross-sectional averaging is unsound as a modelling paradigm.

Note that it is convenient to scale the two coordinates, r and x, differently.
442
Upon this scaling and upon omitting the stars that indicate non-dimensional
quantities we solve4

c
2 c 1
c
1 2 c
2 c
+ 2(1 r )
= 2 +
r
+ 2 2.
(7.3)
t
x
x
r r
r
r
in a pipe of radius 1 with boundary condition
c
=0
r
on r = 1 .
(7.4)
The parameter = 1/ Pe2 may be extremely small as the Peclet number

Pe = Ua/ is often large. For example,
Pe =
Ua
1000Re .

However, we keep , representing molecular diffusion downstream, because

it does not add significant complication to the analysis.
7.2.1
The spectrum
Of course this problem is linear in the concentration c and could be solved

as such. We could, for example, seek solutions in the form
c = cnk (r)eikx+in+t ,
for real longitudinal wavenumber k and for integral azimuthal wavenumber n. Equation (7.3) then becomes the eigen-problem

1
cnk
n2 2 cnk
2
2
cnk = 2ik(1 r )cnk k cnk +
r
2
.
(7.5)
r r
r
r 2
Solving this numerically (setting = 0 for simplicity) we plot in Figure 7.2
the complex eigenvalues as integer n and continuous k are varied. Observe
that all modes decay since <() < 0 , except for one mode. However, on
4
The non-dimensional velocity field is u(r) = 2(1 r2 ) .
443
35
30
25
20
15
10
0
35
30
25
20
15
10
<
Figure 7.2: the spectrum of complex eigenvalues for dispersion in a pipe.
Each branch is plotted for longitudinal wavenumbers 0 k < 60 ; negative k
is just the complex conjugate. The angular mode is indicated by a symbol
plotted at intervals k = 14 : + for n = 0 , for n = 1 , for n = 2 , square
for n = 3 , and for n = 4 .
444
the very right-hand branch in the figure observe that there is a continuum
of modes with decay rate near 0. It is these modes which will dominate
the long-term dynamics of solutions to the advection-diffusion problem. It
is these modes which will form the basis of a low-dimensional model of the
dispersion.
Unfortunately, there is no clear spectral gap in this problem: there is a
continuum of eigenvalues ranging from 0 to large negative values. Thus we
cannot simply assert that a certain number of modes will form the basis
for the slow manifold model, and the rest of the modes are exponentially
decaying: there cannot be a clear dividing line between the two. However,
observe that a characteristic of the modes of long term importance, small
decay rate, is that they are of low wavenumber k, say k < 5 or so. Thus by
focussing attention on low wavenumbers k, large longitudinal length-scales,
we make progress.
7.2.2
Fourier transform justification
The application of centre manifold theory appears rigorous Mercer & Roberts
(1990) if we take the Fourier transform: c c^ and /x ik. The
advection-diffusion equation (7.3) transforms to
^
c
1
=
t
r r
|

^
c
1 2 c^
r
+ 2 2 2i(1 r2 )k^
c k2 c^ .
|
{z
}
r
r
{z
}
non-linear
linear
(7.6)
In the earlier analyses of pitchfork and Hopf bifurcations we examined the

structure of the solutions for some small parameter ; as crosses through
zero the bifurcation occurs. To place the bifurcation problem within the
province of centre manifold theory we had to adjoin the trivial dynamic
equation = 0 . Then we could construct a slow manifold model that
is rigorously valid for (, u) sufficiently small. Thus predictions could be
made about the dynamics for small but finite . We do the same here, but
here the small parameter is the longitudinal wavenumber k. Thus we adjoin

mn
m=0
m=1
m=2
445
n=0
0
-14.68
-49.22
n=1
-3.390
-28.42
-72.87
n=2
-9.328
-44.97
-99.39
n=3
-17.65
-64.24
-128.3
Table 7.1: spectrum of the linearised dynamics at zero wavenumber; that is,
the spectrum of cross-stream diffusion when there is no longitudinal variations in concentration.
to (7.6) the trivial dynamic equation
k
= 0.
t
(7.7)
Then (7.67.7) is a dynamical system for evolution in (k, c^(r, )) space.

Moreover, this dynamical system has a slow manifold based about the
origin in (k, c^(r, )) space. Near the origin, the linearised dynamics are
governed by the terms marked as linear in (7.6); the terms involving
k^
c and k2 c^ are non-linear. Not surprisingly, the linearised dynamics may
be written in terms of eigen-modes involving Bessel functions. Substitut2
0
0
ing c^ = ein+t Jn (r) we deduce that mn = jn,m
and mn = jn,m
where
0
0
jn,m is the mth root of Jn () = 0 . From Abramowitz & Stegun (1965)[p.411]
we compute the linearised spectrum given in Table 7.1these match the
k = 0 points plotted along the negative real axis in Figure 7.2. Clearly there
exists one 0 eigenvalue (together with the one 0 eigenvalue from k = 0), and
all the rest are negative, being bounded away from 0 by = 3.390 . The
critical mode with eigenvalue 0 is constant across the pipe, 00 = 0 ; we let
^ denote its magnitude, for example, C
^ is the cross-sectional average of c^.
C
Thus there exists a slow manifold, valid in some neighbourhood of the origin
^
of (k, c^(r, )) space, and parameterised by k and C.
Such a slow manifold is useful to us because it is certainly valid for small
wavenumbers kprecisely the range of wavenumbers identified earlier as
contributing to the long-term evolution.
In essence, what we have done so far is to use the Fourier transform to
split the physical problem into a number, albeit an infinite number, of subTony Roberts, 16 Mar 2009
446
problems each with a given value of wavenumber k. Then for small k we have
identified the existence of a low dimensional slow manifold. Upon constructing a slow manifold model for each k, we would have made a model of the
long-term evolution for each wavenumber k. Then the inverse Fourier transform would put all these models together, albeit only accurate for small k,
to create a model in physical space for the long-term evolution of dispersion
in a pipe, see Mercer & Roberts (1990) for example. The high-wavenumber
mode are not relevant to the long-term evolution because from the spectrum they can be seen to decay exponentially. In this way we justify the
construction of a slow manifold model for the long-term evolution of dispersion which, because it is based on small wavenumbers k, is a model for
solutions which vary slowly along the pipe.
7.2.3
Direct construction
However, although the previous approach puts the slow manifold analysis
on a firm foundation, the Fourier transforms and their inverse are unwieldy
and unnecessary. Precisely the same results may be obtained by a direct
and much cleaner approach.
The essential action of the Fourier transform is to split the terms on the
right-hand side of (7.6) into two groups: linear and non-linear terms.
In the ensuing slow manifold analysis the non-linear terms are treated as
providing small perturbations to the linear dynamics. We can do this
directly, simply by observing that it is the presence of /x which flags
whether a term is to be treated as a perturbation or not. Thus we rewrite
the physical equation (7.3) as
c
1
=
t
r r
|

c
1 2 c
c
2 c
r
+ 2 2 2(1 r2 )
+ 2 .
r
r |
x }
{zx
{z
}
non-linear
linear Lc
(7.8)
Then we analyse the dynamics based on this split and seek solutions which
are slowly-varying in x, /x is small; this is equivalent to low wavenumber k.
447
Linearly, then, we ignore all terms with an x-derivative and examine

c
1
c
1 2 c
= Lc =
r
+ 2 2.
t
r r
r
r
This is just the zero wavenumber version of problem examined earlier and
2
0
we know that its spectrum is mn = jn,m
. All of these are strictly negative, representing exponentially decaying modes, except for m = n = 0
for which 00 = 0 , representing the critical mode of long-term importance.5
Physically, this problem is simply that of cross-pipe diffusion. Hence concentration fluctuations across the pipe decay by diffusion, in the long-term
leaving a uniform concentration. Thus the cross-pipe structure of the critical
mode is simply that of a constant with respect to r and . Choosing to write
the model in terms of the cross-stream average, to an initial approximation
to the slow manifold model is the trivial
c C(x, t) s.t.
C
0.
t
(7.9)
Now seek to iteratively refine this model. Suppose that we have an approximate description
C
(C) ,
c v(C) s.t.
g
t
and we seek to find corrections v 0 (C) and g 0 (C) where
c v(C) + v 0 (C)
s.t.
C
(C) + g 0 (C) ,
g
t
is a more refined model. Substituting into the governing equation (7.8) and
neglecting products of primed quantities gives
C 0 C
v 0
2 v 0
C
v
2 v
u
+u
g 0g
+ Lv 0 + 2 =
g
Lv 2 .
v
v
x
x
v
x
x
As noted in similar applications of this procedure, the right-hand side is

just the residual of the governing equations for the current approximation.
5
The existence of the critical mode is a direct consequence of the overall conservation
of material.
448
Before this residual can be reasonably used to update the approximation

we need to simplify the left-hand side operator. It is approximated by its
dominant terms:
because we only seek slowly-varying solutions, anything involving /x
0
2 v 0
is small and so we neglect u v
x + x2 ;
C
is 0,
the term v
0 g is neglected because the initial approximation for g
from (7.9);
0
0
lastly, the term C
v g is simplified to just g because the initial approximation to v is just C.
Thus we seek to solve

v
2 v
C
+u
g
Lv 2 ,
v
x
x
iteratively for corrections to the slow manifold model.
Lv 0 g 0 =
(7.10)
0, requires us to solve
The first iteration, to improve v C and g
C
2 C
2 .
x
x
As always, L is singular (from the critical mode of zero eigenvalue), and so
we cannot find v 0 without first determining g 0 to put the right-hand side
in the range of L. There are two equivalent ways of phrasing the same
solvability condition:
Lv 0 g 0 = u
one
RR could observe that by cross-sectionally integrating this equation,
0
. . . rd dr, and using the conservative boundary conditions, v
r = 0 ,
the Lv 0 term disappears to give
ZZ
C
2 C
0
g = u rd dr
2 ,
x
x
which simplifies to
2 C
C
+ 2 ,
x
x
as u(r) = 2(1 r2 ) has cross-sectional average of 1 by the nondimensionalisation;
g0 =
449
RR
or one could note that L is self-adjoint under the inner product hv, wi =
vw rd dr and so an adjoint eigenvector corresponding to the critical mode is just z(r, ) = constant , so that hz, equationi is the same
solvability condition as just used above.
Using this g 0 , the problem for v 0 becomes
Lv 0 = (1 2r2 )
C
.
x
In the absence of any variations in the right-hand side, the solution to this
equation is found by integration in r to be

1 2 1 4 C
r r
+ A,
v0 =
4
8
x
where A is an arbitrary integration constant (although it need only be constant with respect to r and ). Such arbitrary constants are determined by
the definition we choose for the amplitude of the model. Here we want
to write the model in terms of C, the cross-sectional average of c. Since
the initial approximation (7.9) does this we therefore require that the crosssectional average of any correction v 0 has to be zero. Here this requires that
A = C
x /12 , thus
v0 =
C
1
2 + 6r2 3r4
.
24
x
Thus correcting the initial model (7.9) with g 0 and v 0 we deduce the more
refined model6
C
1
C
C
2 C
cC+
2 + 6r2 3r4
s.t.
+ 2 .
(7.11)
24
x
t
x
x
2
C
C
The evolution predicted by this model, C
t x + x2 , is the same as
that obtained in the introduction: advection at the mean velocity of the
fluid, and along pipe molecular diffusion. However, there is one important
6
The Approximation Theorem indicates that the xC

2 term needs correction because
the residuals in the equation resulting from this approximate model, see the next iteration,
are of this form.
450
difference: here we now recognise that there is structure in

the cross-pipe
1
concentration, proportional to w(r) = 24
2 + 6r2 3r4 , and it is this
structure which leads in the next iteration to realistic estimates for the
along pipe dispersion at large times.
A second iteration then requires us to solve

C
2 C
C
2 C
0
0
Lv g = 1 + w
+ 2 +u
+w 2
x
x
x
x
x
2
C
x
C
(1 2r2 )
2 w 3C
x
x
n
2 C
= (u 1)w 2 .
x
Note that the derivative C
v has to be done in the generalised sense so that
here, for example, it becomes the operator 1 + w x

. This operator then acts
v
C
just realises the chain rule applied to
so that
on g
t . The solvability
RR v g
condition, . . . rd dr, then determines
g0 =
1 2 C
.
48 x2
We do not bother to determine the corresponding correction v 0 .

The analysis now shows that the long-term model of dispersion in a pipe is
described by

2
C
1
C
C
+
+
.
(7.12)
t
x
48
x2
This is a simple advection-diffusion equation with an effective diffusion co1
efficient of 48
+ . Typical solutions are Gaussian distributions with mean
location travelling at the mean velocity of the flow and spreading according to the effective diffusion coefficient. In most applications the along-pipe
molecular diffusion, = 1/ Pe2 , is negligible by many orders of magnitude
when compared with the 1/48 contribution. Where does this extra dispersion come from? It is called shear dispersion because it arises from the
shear in the basic Poiseuille pipe flow. Imagine for a moment that there is
no molecular diffusion at all. Then a small slug of material released into
451
the flow across some section of the pipe will be differentially carried along
according to the velocities at the different radii inside the pipe: the part of
the slug released next to the pipe-wall will barely move, while the part of
the slug in the centre of the pipe will be carried a long way down the pipe.
Thus the spread along the pipe, as measured by the standard deviation in
the x-direction for example, must increase with the mean advection velocity U. Such shear induced spread is ameliorated by the cross-pipe diffusion
which causes individual contaminant particles to eventually sample the entire velocity distribution. These effects can be seen in the dimensional form
of the model (7.12):7
C
C
U
+
t
x
U 2 a2
+
48
2 C
,
x2
2 2
a
where the shear dispersion coefficient U48
is proportional to the square of
the velocity and inversely proportional to the cross-pipe diffusivity .
7.2.4
High-order convergence
Computer algebra easily verifies the above results and computes higher order
corrections. For example running the reduce program below informs us
that a better model for the long-term evolution is
C
C
+
t
x
2
1
C
41
x
1 x
+
3C
4C .
48
x2
2880 n
2580480 n
(7.13)
Physically these corrections describe how the skewness and the kurtosis of
the along-pipe distribution evolve in the long-term. They show, for example,
that a contaminant pulse is generally not a Gaussian but will be skewed
somewhat. The skewness does decay, but only algebraically slowly and so
is captured in the slow manifold model. This issue is discussed fully by
Chatwin (1970).
7
Observe the apparent paradox that the smaller the molecular diffusion, the larger the
shear dispersion!
452
% Use iteration to form the centre manifold model of

% shear dispersion in a pipe.
% Use that there is no theta dependence.
% (c) Tony Roberts, Oct 1997
on div; off allfac; on revpri; factor df;
%
% operators: note zero mean is inbuilt in linv
operator mean; linear mean;
let { mean(1,r) => 1
, mean(r,r) => 2/3
, mean(r^~p,r) => 2/(p+2)};
let { linv(1,r) => (r^2-1/2)/4
, linv(r,r) => (r^3-2/5)/9
, linv(r^~p,r) => (r^(p+2)-2/(p+4))/(p+2)^2};
%
% linear solution
depend c,x,t;
let df(c,t)=>g;
u:=2*(1-r^2);
v:=c;
g:=0;
%
% iteration, only retain terms up to order 6 in d/dx
let df(c,x,~p) => 0 when p>6;
repeat begin
write eqn:=df(v,t)+u*df(v,x)-df(r*df(v,r),r)/r-delta*df(v,x,2);
gd:=-mean(eqn,r);
write g:=g+gd;
write v:=v+linv(eqn+gd,r);
showtime;
end until eqn=0;
write eqn:=mean(v,r)-c;
end;
453
Note that because of the linearity in c, really the only small parameter in
this problem is /x; that is, the wavenumber k. Substituting solutions
proportional to eikx+t find

1
i 3
41
ik
+ k2 +
k
k4 .
(7.14)
48
2880
2580480
This is simply the Taylors series of the m = n = 0 branch of the spectrum
of the full problem shown in Figure 7.2: the first two terms are a parabolic
approximation leading to an advection-diffusion model; higher-order approximations lead to higher-order models. In essence the slow manifold model
neglects all branches of the spectrum except the dominant m = n = 0
branch, and then only accurately approximates that part of the branch (near
critical) corresponding to small eigenvalue and small wavenumber as seen in
Figure 7.3.
Thus the slow manifold model is limited by its dependence upon:
the neglected transients of the neglected branches in the spectrum
the most significant of these decays approximately like e3.39t showing
that the model is valid on dimensional time scales t a2 //3.39 ;
and the necessarily slowly-varying dependence along the pipe from the
effective Taylor expansion in k.
In this particular problem we may use the computer discover quantitative
bounds on the spatial resolution.8 Computing to 24th order one may show
Mercer & Roberts (1994) that the above expansion for in wavenumber k
actually converges for wavenumber k < 13.8 . Thus we should only attempt
to use such a model to resolve along-pipe structures on a dimensional length
2
2
scale greater than 13.8
= 0.45 Ua
. Because of the smallness of molecular
diffusion this length can be surprisingly large in applications.
7.2.5
Significance
There are many facets of interest in this modelling.

8
This sharp result for the spatial resolution is some 10 times better than that estimated
by Taylor Taylor (1954)
454
20
18
16
14
12
10
8
6
4
2
0
10
<
Figure 7.3: the spectrum of complex eigenvalues for dispersion in a pipe
compared with that of the slowly varying, slow manifold model (solid line).
Each branch is plotted for longitudinal wavenumbers 0 k < 30 ; the
angular mode is indicated by a symbol plotted at intervals k = 10 : + for
n = 0 , and for n = 1 . Observe the good fit between the model and the
leading branch up to wavenumber 10 or so.
455
The non-trivial models (7.12) and (7.13) are quite easy to understand
and to use to predict dispersion in a pipe.
The models are putatively low dimensional, and yet, being phrased in
terms of the time evolution of a function of x, are actually infinite
dimensional ! Nonetheless, they are considerably simpler than the
original mathematical description of the advection and diffusion in
a pipe because we have systematically eliminated all the cross pipe
dynamics to result in a description of the along pipe dispersion.
The slowly varying, low wavenumber, long wavelength approximation,
as used here for pipe dispersion, occurs in many applications. Here
we see that the essence of the approximation is to get the spectrum
of the low wavenumber, long wavelength modes correct, and to ignore
the dynamics on all other branches of exponentially decaying modes.
Although this is straightforward to see in a linear problem such as pipe
dispersion, there is no correspondingly simple statement that can be
made in a nonlinear problem. For truely nonlinear dynamics we need
the full power of centre manifold techniques.
The convergence that we see in the slow manifold model here is rare.
Most slow manifold models are only asymptotic. Here, the convergence
allows us to make a sharp estimates on the applicability of the model.
Exercise 7.1:
In flow in porous media such as soil or underground aquifers,
the fluid flows through the highly tortuous pipes of the pores between
granules of material. In such flow there is no regular physical structure on which to base analysis. Instead one may posit a microscopic
modelling parametrising the cross-stream direction by the advection
velocity v rather than the physical cross-stream direction. One argues
the following.
The concentration of interest f(x, v, t) is the concentration of particles at position x at time t that is travelling at velocity v through
the micropores.
The micropores occupy a fraction of the physical space, and
456

the distribution of micropore sizes is such that the probability of
aR particle travelling at velocity v through its pore is (v) (where
v dv = 1). For example, take = ev for v 0 .
The particles may stick to the pores surface or may be stuck in a
constriction, and the probability of this happening is proportional
to how far the particles travel; that is, absorption of particles
occurs at a rate |v|f.
Because of such micropore physics, particles may be injected
or removed from travelling at the equilibrium velocity distribution . But mixing at microchannel junctions tends to restore the
the equilibrium velocity distribution . Particles tend to meet
such pore junctions at a rate v/` where ` is a typical pore-channel
length and v is the mean advection velocity. Thus a perturbed
velocity distribution will relax to the equilibrium distribution
at this rate v/`.
Putting this all together, the microscale continuum model for
movement of particles in the porous media is

Z
v
f
f
+v
= |v|f +
(v)
f dv f .
(7.15)
t
x
`
1. Argue that for slow variations in longitudinal direction x and for

weak absoption, small , the spectrum of the dynamics of (7.15)
has one zero eigenvalue and the rest are identical, namely v/(`).
2. Choose equilibrium distribution = ev for v 0 and zero
otherwise, choose ` = 1 for simplicity, then construct the slow
manifold Rof slowly varying, advection-dispersion for the average
c(x, t) = f dv . Interpret.
3. Explore the slow manifold, slowly varying models for other equilibrium velocity distributions (v).
7.3. Thin fluid films
7.2.6
457
Theory supports direct physical space modelling
Use local basis functions (x X)n /n! for the x dependence.

Write the local concentration field as
c(x, y, t) = c0 (y, t; X) + c1 (y, t; X)(x X) + c2 (y, t; X)(x X)2 /2 + .
This expansion gives countably infinite set of odes for
ck
t .
Assuming odes are weakly coupled implies there exists a slow manifold
parametrised by, say, countably infinite amplitudes Ck (t; X) = ck (y, t; X).
Somehow, consistency requires that if
some such??
7.3
Sorry:
C0
t
= g0 (C) then
Ck
t
= kX g0 (C), or
Thin fluid films

Our aim is to create relatively simple models of thin layers of fluid moving
on a solid bed. Examples include the flow of rainwater on a road or a
windscreen, paint, coating flows, and the flow of many protective biological
fluids.
When the fluid layer is thin then, as in dispersion in a pipe, the only important dynamics occur along the thin film of fluid. Across the fluid film,
viscosity acts quickly to damp almost all cross-film structure. This distinction between the longitudinal and cross fluid dynamics is exactly analogous
to that of dispersion in a pipe, and we proceed with a similar analysis.
However, the equations are very different (see Figure 7.4). In particular this
problem has many nonlinearities: not only is the advection in the Navier
Stokes equation described by a nonlinear term, but also the thickness of the
fluid film is to be found as part of the solution and its unknown location is
another source of nonlinearity.
Assuming no longitudinal variations, a linear analysis of the equations shows
that there is one critical mode in the cross-fluid dynamics, all others decay
458
y
6
atmospheric
pressure
hhh
((((
h
h
hhhh

y = (x,(
t)
h

(
((( 6
Navier--Stokes equation
h
u(x, y, t)
p(x, y, t)
?
x
solid, u = v = 0
Figure 7.4: schematic diagram of a thin fluid film flowing down a solid bed.
due to viscosity. This critical mode is associated with conservation of the
fluid. Consequently it is natural to express the low dimensional model in
terms of the film thickness (x, t). Seeking solutions which vary slowly
along the film, a centre manifold analysis creates an effective model of the
dynamics.
An interesting diversion is attributable to the fact that although this is a
nonlinear problem, conservation of fluid applies no matter how thick the
fluid layer. Thus the analysis, when properly done, is valid for arbitrarily
large variations in the thickness of the film! just so long as the variations
are sufficiently slow.
7.3.1
Governing equations
As shown in Figure 7.4 we solve the NavierStokes and continuity equations

within the Newtonian fluid:
q
1
+ q q = p + 2 q ,
t
q = 0.
For simplicity we restrict attention to two-dimensional flow taking place in
the xy-plane; that is assume there is no dependence upon the other horizontal coordinate z. The x-axis is aligned along the solid bed of the flow;
459
the y-axis is perpendicular. The viscous flow must stick to the solid bed to
give the boundary condition
q = 0 on y = 0 .
The surface of the fluid, y = (x, t) , evolves with the flow. Because the
free-surface is unknown we not only need two boundary conditions for the
NavierStokes equations, we also need an extra boundary equation in order
to be able to find . One condition is that the fluid flow as given by the
velocity, q, must follow the free-surface y = (x, t) . A straightforward
way to derive such an equation9 is to note that y must be constant,
specifically 0, for the fluid particles on the free-surface. Thus the material
derivative, ddt (y ) , must be zero on the free-surface. Hence
(y ) + q (y ) =
+vu
t
t
x
= vu
on y = .
x
0 =
(7.16)
This is called the kinematic condition.

The other boundary conditions come from forces (stresses) acting across the
free-surface. Above the fluid film we suppose there is a very light and almost
inviscid fluid such as air (one-thousandth the density of water).
Since air is inviscid, it cannot sustain any tangential stress across the
surface, the tangential stress Tt = 0 .
Recall the fluid stress tensor is

p + xx
xy
=
,
yx
p + yy
where the components of the deviatoric stress tensor are

u
v
u v
xy = yx =
+
, xx = 2
, yy = 2
.
y x
x
y
9
This argument applies to other types of moving boundaries also.

460
p
^ = ( 0 i + j) / 1 + 02
Now a normal vector across the free-surface y = is n
where 0 =
x . Thus the fluid stress across the free-surface is
^=p
T =n
1
1 + 02
0

p xx 0 + xy
.
0 yx p + yy
Thus for the tangential

stress to be zero, since a unit tangent vector
p
0
02
^
is t = (i + j) / 1 + ,
Tt = T ^t =

i
h

1
0
02
= 0.
)
+
1
xy
yy
xx
1 + 02
Thus
2
v u
y x
+ 1
02
u
v
+
y x

=0
on y = .
(7.17)
Since
a , is very low, then Bernoullis equation, pa +
the density,
1
2
a t + 2 |q| = constant, asserts that any air movement has little
effect on the air pressure, and hence the fluid stress exerted normally
across the surface has to be constant, say Tn = pa , equal and opposite to air pressure.
However, surface tension is an important force on the thin films we address. The effect of surface tension is like that of an elastic membrane,
it causes a pressure jump if the surface is curved: positive if the fluid
surface is convex; negative if it is concave.10 The jump in pressure
3/2
is proportional to the curvature R1 = 00 / 1 + 02
. With as
the coefficient of surface tension, then Tn + R = pa . For a clean
water/air interface = 72.8 dyn / cm (Batchelor 1979, p597), though
this coefficient does vary markedly with temperature and surface contamination.
10
Experimentally, surface tension is difficult to deal with as it is sensitive to surface contamination. For example, small gradients of contaminants can supply tangential stresses
which drive fluid flow.
461
For the normal stress and surface tension to oppose atmospheric pressure11

00
1 + 02 (p pa ) = yy 2 0 xy + 02 xx p
.
1 + 02
Without loss of generality we may take pa = 0 (since it is only gradients of pressure that are important), thus

v
v
02 u
0 u
02
+
+
p = 2
1+
y
x
y x
00
p
on y = .
1 + 02
Now non-dimensionalise these equations. For a reference length, suppose
that h is a characteristic thickness of the thin film as shown schematically
in Figure 7.4. Then non-dimensionalise by writing the equations with respect to: the reference length h; the reference time h2 / being a cross-film
diffusion time; the reference velocity /h, and the reference pressure 2 /h2 .
With these choices, and in non-dimensional quantities, we solve the Navier
Stokes and continuity equations
q
+ q q = p + 2 q ,
t
q = 0,
(7.18)
(7.19)
subject to bottom boundary condition

u = v = 0,
(7.20)
and on the surface the the kinematic condition (7.16), and two dynamic
conditions (7.17) and:

v
v
W 00
02
02 u
0 u
1+
p=2
+
+
p
on y = ,
y
x
y x
1 + 02
(7.21)
11
If the fluid is inviscid, as would be the case for large scale flows, then this condition
reduces to p = pa on the free-surface.
462
h
where W =
2 is a form of Weber number characterising the importance
of surface tension.
In the NavierStokes equation I have neglected body forces. In the presence of gravity were to be acknowledged then it would appear in the nondimensional combination gh3 /2 . This may be neglected if gh3 /2 is genuinely small (h 0.01 cm for water). In fact, including gravity is not a
great complication and I leave its inclusion as an exercise for the reader.
7.3.2
Linear picture
The construction of a slow manifold rests upon an understanding of the

dynamics linearised about some fixed point. Here the fixed point is a film
of constant thickness, dimensionally h, and of zero velocity and pressure.
Non-dimensionally the equilibrium film thickness is just 1. the dynamics
linearised about this fixed point are based on velocities and 1 being small.
Thus, as well as neglecting products of small terms, evaluation of boundary
conditions on the free-surface are approximated by their evaluation on the
approximate surface y = 1 . The linearised equations are just
q
= p + 2 q ,
t
q = 0,
q = 0 on y = 0 ,
= v on y = 1 ,
t
u v
+
= 0 on y = 1 ,
y x
v
p = 2
W 00 on y = 1 .
y
(7.22)
To investigate the dynamics of long waves on this thin film we will treat
12 Linearly then we can base the construction of a slow manx as small.
ifold model on the limit when there are no longitudinal variations: x

= 0.
12
In strict functional analysis it is nonsense to say x

is small, as
unbounded operator.
is actually an
463
Neglecting all x derivatives and seeking solutions proportional to et leads

to the following. Firstly, 0 = 0 is an eigenvalue associated with the mode
= const. and u = v = p = 0 . It is the presence of this eigenvalue which
indicates the existence of a useful slow manifold model.
Other modes exist.
The continuity equation, which in the absence of x variations reduces
v
= 0 , along with the bottom boundary condition, v = 0 , shows
to y
that v = 0 for all modes. That is, the only solutions independent of x
are horizontal shearing modes.
With no horizontal pressure gradient, the horizontal component of
2
the NavierStokes equation, u = yu2 , may be solved with boundary
conditions: u = 0 on the bed y = 0 ; and u
y = 0 on the free-surface
y = 1 (from the tangential stress condition). This has solutions un =
sin (n 12 )y for eigenvalues n = 2 (n 21 )2 for n = 1, 2, . . . .
From the other free-surface boundary conditions, the remaining fields
corresponding to the above shear modes are pn = n 1 = 0 .
From this analysis we see that for long-waves there exists one 0 eigenvalue
of the dynamics, whereas the rest of the eigenvalues are strictly negative,
bounded above by = 2 /4 . Thus we expect the dynamics of thin films
to exponentially quickly approach a low dimensional slow manifold based
on the mode corresponding to the 0 eigenvalue and characterised by slow
variations in x.
The above analysis is confirmed by numerical solutions of the linear eigenproblem above for arbitrary finite wavenumber k. We simply seek solutions
proportional to et+ikx and use finite differences to approximately solve for
the vertical structure. The resultant eigenvalues, for the case where the nondimensional surface tension W = 3 , are plotted in Figure 7.5. Observe that
for zero wavenumber the numerical results agree with the previous analytical arguments: 0 = 0 , 1 = 2.4674 , 2 = 22.2066 , and 3 = 61.6850 .
For finite wavenumber k, all the eigenvalues are negative and so decay exponentially rapidly. However, the low-wavenumber, long-wavelength modes
on the leading branch have small negative eigenvalues and so only decay
464
0
-2
-4
-6
-8
real()
-10
-12
-14
-16
-18
-20
-22
0
0.5
1.5
2
k
2.5
3.5
Figure 7.5: the numerically determined spectrum of eigenvalues, <(), for

small disturbances to a thin film with Weber number W = 3 , plotted against
horizontal wavenumber k. Note that when the two upper branches merge,
the eigenvalues become a complex conjugate pair.
slowly. Thus the long-term dynamics are dominated by solutions which are
associated with the n = 0 mode and which vary slowly in space; all modes
decay rapidly.
As in shear dispersion, we are fully justified in constructing a low-dimensional
model of the dynamics via centre manifold techniques.
7.3.3
Restricted model
A major complication in detail is the presence of the moving surface of the

fluid in this problem. It seems useful, as a first step, to analyse a simpler version. We do so in this section by using only the linearised versions
of the boundary conditions on the free-surface, given in (7.22), while reTony Roberts, 24 Apr 2009
465
taining the nonlinearity in the NavierStokes equation. In the subsequent

Subsection 7.3.5 we will develop a model appropriate to the exact boundary
conditions.
The first task is to decide how to parameterise the slow manifold model.
Since the critical mode is = constant, p = u = v = 0 , it is appropriate to
use the film thickness as the parameter (though note that it is 1 which
is small ). This is especially useful since has a simple physical meaning.
Thus a linear description of the slow manifold is
(7.23)
u = v = p = 0,
and free to vary according to
0.
Now we organise an iteration scheme to refine the description of the slow

() and p
() are an approximation to the slow
manifold. Suppose that q
manifold shape, with the associated approximate evolution

t g() . Seek
equations for corrections to this description by:
substitute into the governing equations13
s.t.
() + q 0 () ,
q = q
() + p 0 () ,
p = p
() + g 0 () ;
= g
t
omit products of corrections;
omit x-derivatives of corrections as both corrections and x

are
small;
approximate other terms involving corrections by replacing the current

approximation, tilde quantities, with the initial linear approximation;
rearrange the equations.
13
Be careful not to confuse corrections, indicated by primes, and derivatives of with

respect to x, sometimes also indicated by primes.
466
The upshot is we solve equations

2 u 0
y2
2 v 0 p 0
y2
y
v 0
y
=
=
p

,
+q
u+
2 u
t
x
v
p
v +
+q
2 v ,
t
y
(7.24)
(7.25)
,
= q
(7.26)
with boundary conditions

u 0
y
v 0
p0 2
y
q0
+ g0
g
u v
+
on y = 1 ,
y x
v
=
p+2
W 00 on y = 1 ,
y
= 0 on y = 0 ,
= v + v 0 on y = 1 .
(7.27)
(7.28)
(7.29)
(7.30)
The first three iterations are as follows.

1. Substitute (7.23) into the right-hand sides of (7.247.30).
0
The continuity equation (7.26) becomes v

y = 0 which with the
0
boundary condition (7.29) that v = 0 on the bed leads to v 0 = 0 ,
and hence the new v = 0 .
0
The vertical momentum equation (7.25) then becomes p

y = 0
0
0
00
(since v = 0) such that p = W on the approximate surface
y = 1 ,14 from the normal stress boundary condition (7.28). The
= p 0 = W 00 constant in the vertical.
solution is p
2
The horizontal momentum equation (7.24) becomes yu2 = 0

with boundary conditions (7.29), that u 0 = 0 on the bed y = 0 ,
0
and (7.27), that u
y = 0 on the surface y = 1 . The solution is
= u0 = 0 .
thus u
14
This is just hydrostatic pressure (given the absence of gravity).
467
Consequently, the free surface evolution from the kinematic boundary

0
condition (7.30) is still

t g + g = 0 . All that has changed in
this first iteration is that the pressure field in the fluid is corrected to
account for the pressure induced by curvature of the surface.
2. Now substitute the above approximation into the right-hand sides
of (7.247.30).
0
The continuity equation (7.26) is again v

y = 0 which with the
0
boundary condition (7.29), that v = 0 on the bed, leads again to
v 0 = 0 , and hence the new v = 0 .
0
The vertical momentum equation (7.25) then becomes p

y =
0 (again) such that, from the normal stress boundary condition (7.28), p 0 = 0 (zero now because we have accounted for
the necessary pressure jump caused by surface curvature) on the
approximate surface y = 1 . The solution is p 0 = 0 , leaving the
= W 00 .
pressure field unaltered at p
2
The horizontal momentum equation (7.24) becomes yu2 = W 000

(from the horizontal pressure gradients induced by surface curvature variations) with boundary conditions (7.29), that u 0 = 0 on
0
the bed y = 0 , and (7.27), that u
= 0 on the surface y = 1 .15
y

= u 0 = y 21 y2 W 000 .
The solution is u
Consequently, the free surface evolution from the kinematic boundary
0
condition (7.30) is yet again

t g + g = 0 . It is only at the next
iteration that we find nontrivial evolution.
3. On the third iteration, substituting the latest approximation into the
right-hand sides of (7.247.30) leads to the following.

0
1 2
iv
The continuity equation (7.26) is now v
y = y + 2 y W
which with the boundary condition (7.29), that v 0 = 0 on the
bed, leads to v = v 0 = 12 y2 + 61 y3 Wiv .
The vertical and horizontal momentum equations (7.24) and (7.25)
15
Pressure gradients induce a parabolic shear flow, just as in Poiseuille flow in a pipe.
468

do not need to be considered as this is the last iteration I record
by hand. (Although it is interesting to note that in this iteration nonlinear terms arise through the advection u u
x term in the
horizontal momentum equation.)
Using the above vertical velocity we deduce the model
W
[v]y=1 = iv .
t
3
(7.31)
This is a model for the long-term evolution of thin films under the action of
surface tension. At this level of approximation it is linear; however, further
iterations will generate nonlinear terms. But for now if we seek solutions
4
proportional to et+ikx , then observe that = W
3 k in agreement with the
small k behaviour of the leading eigenvalue branch shown in Figure 7.5. This
shows that all variations in thickness of a fluid film will eventually decay, to
result in a film of uniform thickness, although the decay, driven by surface
tension, is very slow for long-wavelength disturbances.
Another way of saying the same thing is that the model (7.31) is rather like
a diffusion equation, but with a much slower (4th order) diffusion than the
normal Fickian diffusion. A hump of fluid in the film slowly spreads out
due to surface tension, as shown in Figure 7.6, but the spread becomes very
slow over large distances.
The centre manifold theorems reasonably assure us that this model is indeed
relevant to the long-term dynamics of thin films. However, this assurance
is not yet rigorous because of deficiencies in the preconditions of current
theorems.
With a little more craft the above iteration may be restructured so that new
information about the structure of the solution fields is used as soon as it is
discovered. Such restructuring is akin to GaussSeidel iteration, and results
in fewer iterations being needed.
Instead we instruct a computer to carry out the algebra using the following
reduce code. The structure of the algorithm is exactly the same as always.
One innovation is that we need to count the number of spatial derivatives
469
initial
Figure 7.6: schematic diagram of a hump in a fluid film spreading out longitudinally under surface tension.
470
so that terms with many x-derivatives, here 9 or more, are removed from
the computation to restrict the algebra to the significant terms.
% Construct slowly-varying centre manifold of thin film fluids
% BUT only linearised boundary conditions on the free surface.
% (c) Tony Roberts, November, 1997
%
% Use d to count the number of derivatives of x,
% and throw away this order or higher in d/dx
let d^9=>0;
on div; off allfac; factor d,df,w;
% solves -df(p,y)=rhs s.t. sub(y=1,p)=0
operator psolv; linear psolv;
let {psolv(y^~n,y) => (1-y^(n+1))/(n+1)
,psolv(y,y) => (1-y^2)/2
,psolv(1,y) => (1-y) };
% solves df(u,y,2)=rhs s.t. sub(y=0,u)=0 and sub(y=1,df(u,y))=0
operator usolv; linear usolv;
let {usolv(y^~n,y) => (y^(n+2)/(n+2)-y)/(n+1)
,usolv(y,y) => (y^3/3-y)/2
,usolv(1,y) => (y^2/2-y) };
% linear solution
depend h,x,t; let df(h,t) => g;
u:=0; v:=0; p:=0; g:=0;
%
% iteration (Gauss-Seidel like)
repeat begin
% use vertical mom to determine the pressure
veq:=re*(df(v,t)+u*df(v,x)*d+v*df(v,y))+df(p,y)
-df(v,x,2)*d^2-df(v,y,2);
tn:= sub(y=1,-p+2*df(v,y)-df(h,x,2)*d^2);
write p:=p+psolv(veq,y)+tn;
% use horiz mom to determine horiz velocity
ueq:=re*(df(u,t)+u*df(u,x)*d+v*df(u,y))+df(p,x)*d
-df(u,x,2)*d^2-df(u,y,2);
471
tt:=-sub(y=1,df(u,y)+df(v,x)*d);
write u:=u+usolv(ueq,y)+tt*y;
% use continuity to find vertical velocity
ceq:=-df(u,x)*d-df(v,y);
write v:=v+int(ceq,y);
% find evolution
write g:=sub(y=1,v);
showtime;
end until {veq,tn,ueq,tt,ceq}={0,0,0,0,0};
end;
Upon running this code observe that a high-order model is

W iv 3W vi
23W 2W 2
37W 2 000 iv 0

+
viii +

. (7.32)
t
3
5
21
45
840
The linear terms correct the linear spectrum; the nonlinear term comes from
the horizontal advection term, u u
x , as this is the main nonlinearity in a film
with linearised boundary conditions.
Note that if we truncate the linearised version of the model (7.32) to the
first two terms, then for modes et+ikx we observe

1 3 2
4
= Wk
k
.
3 5
In use then we would observe modes with wavenumbers k > 5/3 growing
exponentially! Such growth is definitely unphysical. This is always a risk
with a long-wavelength, slowly-varying model: at finite wavenumber the
approximation may be so inaccurate that high wavenumber modes grow
instead of decay. Two things may be done: either higher-order terms are
included in the model to see if they fix the problem, or we can recast
the linear dynamics. Consider an example of the latter here. Instead of
approximating the linear dynamics by a Taylor series in wavenumber k, as
done up to now, we may approximate by a rational function, viz
=
Wk4
,
3 1 + 59 k2
which has physically acceptable behaviour for all wavenumbers k and is

of the same order of accuracy for small wavenumbers. By rewriting this
472

4
spectrum as 1 + 95 k2 = W
3 k we appreciate that it arises from the
differential equation model
9 3
W 4
=
.
2
t
5 x t
3 x4
Including nonlinear terms into this equation we then would derive a model
with the correct low-wavenumber and nonlinear behaviour, and with stable
high wavenumber dynamics so that useful solutions could be attained.
7.3.4
Manifold equilibria: Chemical kinetics
One feature of thin film fluids is that a film of uniform thickness is an

equilibrium for all constant thicknesses , and not just for = 1 (nondimensionally). Thus instead of having an isolated fixed point of the dynamical system, there exists a whole continuous classa manifold M0 of
fixed points. We could construct a slow manifold model local to each of
these fixed points, as was commenced in the previous subsection, as each
such fixed point is exponentially attractive except for the tangent which is
neutral. However, it is generally better to construct a slow manifold which
is global along M0 but local to M0 as a whole as shown schematically in
Figure 7.7.
Before attacking thin films, consider a toy system typical of the kinetics of
enzyme reactions. It is conventional to study dynamical systems with a form
represented by the following simple system16
x = x + (x + c)z ,
z = x (x + 1)z ,
where > 0 is small and c is a constant 0 < c < 1 . Heuristically, since is
small, z evolves very quickly to a state where 0 x (x + 1)z , that is,
z
16
See simulation of chemeg.m
x
.
1+x
473
M
M0
Figure 7.7: schematic diagram of a manifold of equilibria, M0 when = 0 ,

approximating a global slow manifold, M for 6= 0 .
474
Substituting this into the first of the pair of governing equations gives that
x evolves over ordinary time-scales according to
x (1 c)
x
.
1+x
We now show how centre manifold theory can put this heuristic argument
on a sound basis.
The first task17 is to stretch time so that the time-scales fit within the
framework of the theory as it has been presented. We do this by letting
t = so that ordinary times for t correspond to long times in and the
very rapid transients occurring in a t-time of order occur on a -time of
d
d
order 1; note that dt
= 1 d
. The dynamical equations then become
dx
d
dz
d
= [x + (x + c)z] ,
= x (x + 1)z ,
x
When = 0 , the curve z = 1+x
is a manifold of fixed points, M0 , with
exponential attraction in the z direction, at an x dependent rate = (1 +
x) . For small but non-zero, formally done by adjoining the trivial evolution
equation d
d = 0 and considering the dynamics local to M0 in xz-space,
the manifold of quasi-equilibrium is perturbed to some manifold, M, and
on M the evolution is slow. By basing the analysis on the whole of M0 we
obtain an approximate model which is globally valid along the whole of M,
just provided is small enough.
Thus we now seek the departure from M0 . Introducing y to measure the

x
+ y . The governing equations may then
departure, we substitute z = 1+x
be written as

(1 c)x
dx
=

+ (x + c)y ,
d
1+x

dy

(1 c)x
= (1 + x)y
+ (x + c)y .
d
(1 + x)2
1+x
17
What is important is the relative separation between the two time-scales of the ignorable transients and the interesting dynamics.
475
It is then straightforward to derive that there exists a slow manifold

y = h(x, ) =

(1 c)x
+ O 2 ,
4
(1 + x)
global in x, on which the system evolves according to

(1 c)x
x+c
dx
=
1
+ O 3 .
3
d
1+x
(1 + x)
Furthermore, this slow manifold would be reached very quickly, the transient
would decay something like exp((1 + x)) = exp[(1 + x)t/] . Because
the error factors are (largely) independent of x, the approximation theorem
asserts that the accuracy of the slow manifold model is independent of x
and hence is globally valid.
7.3.5
Thin films
Now we set up a good analysis of thin fluid film dynamics: good because
we cater for large variations in the the film thickness, just so long as the
variations are slow in x, that is /x is small.
The unknown location of the free surface of the film is still a major technical
difficulty. However, one way to proceed is to scale the vertical coordinate,
= y/ , so that the free surface corresponds to = 1 precisely. Unfortunately, because varies with x and t, this scaling of y affects space-time
derivatives and so plays havoc with details of the governing equations. Fortunately I have based much of our analysis on computer algebra and we
relegate most such details to the computer.
Under the change of coordinates from (x, y, t) to
= x,
= y/(x, t) ,
= t,
the chain rule shows that derivatives transform according to

476
=
=
1
.
In the following reduce program these rules are implemented in lines 12

19, where xs denotes , ys denotes , and ts denotes . Then most places
in the algebra where we need these rules they are automatically invoked by
reduce. For example, in the evaluation of the residuals of the nonlinear
equations and boundary conditions within the iteration.
The only places where we now need to explicitly consider these rules is in
the terms in the equations for the corrections, u 0 , v 0 , and p 0 . However, these
only involve y derivatives, see (7.247.28), which simply transform to 1
.
Thus we multiply the residuals on the right-hand sides of these equations
by the appropriate power of , as seen in lines 42, 47 and 50 of the code.
% Construct slowly-varying centre manifold of thin film fluids.
% Allows for large changes in film thickness.
% (c) Tony Roberts, November, 1997
%
on div; off allfac; factor d,h,re; on revpri;
% use operator h(m) to denote df(h,x,m)
operator h;
let { df(h(~m),xs) => h(m+1), df(h(~m),xs,2) => h(m+2) };
% use stretched coordinates: ys=y/h(x,t), xs=x, ts=t
depend xs,x,y,t;
depend ys,x,y,t;
depend ts,x,y,t;
let { df(~a,x) => df(a,xs)-ys*h(1)/h(0)*df(a,ys)
, df(~a,t) => df(a,ts)-ys*g/h(0)*df(a,ys)
, df(~a,y) => df(a,ys)/h(0) };
% solves -df(p,ys)=rhs s.t. sub(ys=1,p)=0
operator psolv; linear psolv;
let {psolv(ys^~n,ys) => (1-ys^(n+1))/(n+1)
,psolv(ys,ys) => (1-ys^2)/2
,psolv(1,ys) => (1-ys) };
477
% solves df(u,ys,2)=rhs s.t. sub(ys=0,u)=0 & sub(ys=1,df(u,y))=0

operator usolv; linear usolv;
let {usolv(ys^~n,ys) => (ys^(n+2)/(n+2)-ys)/(n+1)
,usolv(ys,ys) => (ys^3/3-ys)/2
,usolv(1,ys) => (ys^2/2-ys) };
% linear solution
depend h,xs,ts; let df(h(~m),ts) => df(g,xs,m);
u:=0; v:=0; p:=0; g:=0;
rds:=1; % approximates 1/sqrt(1+h_x^2)
%
% iteration
% Use d to count the number of derivatives of x,
% and throw away this order or higher in d/dx
let d^7=>0;
repeat begin
% update 1/sqrt(1+h_x^2) expansion
write dseq:=(1+d^2*h(1)^2)*rds^2-1;
rds:=rds-dseq/2;
% vertical mom & normal stress
write veq:=re*(df(v,t)+u*df(v,x)*d+v*df(v,y))+df(p,y)
-df(v,x,2)*d^2-df(v,y,2);
write tn:= sub(ys=1,-p*(1+h(1)^2*d^2) +2*(df(v,y)
+h(1)^2*d^3*df(u,x)-h(1)*d*(df(u,y)+df(v,x)*d))
-h(2)*d^2*rds );
p:=p+h(0)*psolv(veq,ys) +tn;
% horizontal mom & bed & tang stress
write ueq:=re*(df(u,t)+u*df(u,x)*d+v*df(u,y))+df(p,x)*d
-df(u,x,2)*d^2-df(u,y,2);
write tt:=-sub(ys=1, (1-d^2*h(1)^2)*(df(u,y)+df(v,x)*d)
+2*h(1)*d*(df(v,y)-df(u,x)*d) );
u:=u+h(0)^2*usolv(ueq,ys)+h(0)*tt*ys;
% continuity & bed
write ceq:=-df(u,x)*d-df(v,y);
v:=v+h(0)*int(ceq,ys);
g:=sub(ys=1,v-u*h(1)*d);
478
showtime;
end until {dseq,veq,tn,ueq,tt,ceq}={0,0,0,0,0,0};
end;
Note that for brevity of the printed results I used h(m) to denote m /xm .
This is implemented in lines 911, along with the interchange of time and
space derivatives in line 31.
Lastly, I have rewritten the iteration loop to use new information as it
becomes available. First, the pressure correction is found from the vertical
momentum equation, then the u correction is found from the horizontal
momentum equation, then v from continuity, and lastly the latest version of
the model evolution
t = g from the kinematic free surface condition.
Running this program we find the long-term evolution of long-wavelength
modes is approximately described by18
W 3 000
(7.33)

3 x

11 3 0 2 000
3 5 v
4 0 iv
4 00 000
3 0 00 2
W
+ 3 + +
.
x 5
6
I need to say more about the dynamics under this model, and what it
means physically. However, throwing out gravitational effects seem to
have severely limited the range of comments I can make.
Although this model describes the long term dynamics of thin films, it is
limited in its usefulness (even with gravitational effects included). For example, in the linearised problem at finite wavenumber, (7.22), the leading
branch of the spectrum, shown in Figure 7.5, merges with the next branch,
the gravest shear mode u = sin /2 , at a wavenumber k 2 to become
oscillatory decaying modes. Such oscillations are the remnants under the
strong viscosity in thin films of the waves which surface tension can support. In applications, such decaying waves seem important, for example see
the review by ChangChang (1994). However, the model (7.33) cannot describe the necessary oscillations because it has only one component and is
only first-order in time. This appears at first sight to be a strong limitation
18
The right-hand side can always be written as a gradient due to conservation of fluid.
7.4. Summary
479
to the practical usefulness of centre manifold theory in applications. But

with some imagination we can modify the governing equations so that a slow
manifold model is formed based on the two leading branches of the spectrum
Roberts (1996). Such a model has much wider applicability because it is a
much improved description at finite wavenumber. We may discuss later how
to do this.
7.4
Summary
Demonstrated how to put approximations based upon slowly variation

in space within the centre manifold framework. The resulting models are still infinite dimensional in that there are pdes in xt-space.
However, they are considerably simpler than the original dynamical
equations because they, being expressed as pdes in xyt- and xyztspace, are of infinitely higher dimension again.
poise??
For example, in dispersion of a pipe we showed that the advection
and diffusion within the three-dimensional space of the pipe, could be
modelled accurately in the long-term by a very much simpler advecC
2 C
tion diffusion equation, C
t + U x = D x2 , along the pipe. Hence,
following an initial localised release, the long-term spread is Gaussian.
Higher-order corrections may be derived straightforwardly if needed.
Indeed, we put an quantitative limit on the spatial resolution of such
a model via Fourier space.
Similarly for the dynamics of thin fluid films. The two-dimensional
fluid dynamics of a thin film, through the action of cross-film viscosity,
is systematically modelled by the evolution of just the film thickness:
W
3 3
t 3 x ( x3 ) in the absence of gravity.
These models, being infinite dimensional pdes, are rich enough to
describe a wide range of dynamics of interest. In contrast, models of
the pitchfork and Hopf bifurcation are just pale shadows of the full
range of dynamics inherent in the respective fluid problems.
480

We have explored a rigorous justification in Fourier space (for linear
problems such as shear dispersion) for this centre manifold approach
to modelling slow-variations in space. The techniques generalise immediately to non-linear problems even though the theory does notat
least not yet.
An interesting aspect of this use of centre manifold theory is a comparison

with the method of multiple scales. In contrast to the method of multiple scales, our centre manifold analysis puts very few a priori assumptions
on the size of various physical effects. The main requirement in a centre manifold analysis is to identify which are dominant terms, included in
the linear operator L, and which are perturbation terms, such as nonlinear
terms or slowly-varying effects. In contrast, the method of multiple scales
puts strong constraints on the size of various effects: for example, one has to
scale space with , time with 2 and change to a moving coordinate system
in order to derive the Taylor model of dispersion; having done all that, there
is no good rationale for generating higher-order corrections to the obtained
leading order model. Whereas the centre manifold approach naturally generates higher-order approximations naturally from iterative refinements. In
my opinion the method of multiple scales is now an outdated paradigm for
modelling.
Chapter 8
Slow manifolds guide the

mean dynamics
Contents
8.1
8.2
8.3
Sorry:
Incompressible and other approximations . . . .
482
8.1.1
Sound . . . . . . . . . . . . . . . . . . . . . . . . . 483
8.1.2
Slow flows . . . . . . . . . . . . . . . . . . . . . . . 485
8.1.3
Other slow manifolds . . . . . . . . . . . . . . . . . 487
Sub-centre and slow manifolds
. . . . . . . . . .
492
8.2.1
Sub-centre manifold theory . . . . . . . . . . . . . 493
8.2.2
Quasi-geostrophic slow manifold . . . . . . . . . . 496
8.2.3
Normal formresonant drift . . . . . . . . . . . . 500
Summary . . . . . . . . . . . . . . . . . . . . . . .
508
Previous chapters, as in many applications, justified creating and using a

low dimensional model because it is exponentially attractive. The centre
manifold theorems assure us that a model based on this principle is indeed
481
482
Chapter 8. Slow manifolds guide the mean dynamics
relevant to the original high dimensional problem. However, in many practical situations we also make low dimensional approximations where there is
no clear and strong dissipative mechanism to cause such a dimensional collapse. Some examples introduced in the next section are the incompressible
approximation, rigid body dynamics, surface waves on water, atmospheric
dynamics, and irrotational flow. In these examples, the low dimensional
approximation is a relatively simple dynamical system which in some sense
acts as a guiding centre for the high dimensional dynamics; typically, the
high dimensional dynamics consists of relatively fast oscillations superimposed upon the slow evolution of the model. Hence such models are typically
based on what is called the slow manifold.
A little theory developed by Sijbrand (1985) may help justify such models.
However, there are severe limitations to the applicability of such theory,
primarily due to resonance. Nonetheless the crucial ideas are illustrated
by applying them to a toy model of atmospheric dynamics. Normal form
transformations justify the modelling and display the limitations of such
guiding centre slow manifolds.
scene??
subc??
8.1
Incompressible and other approximations
Warning:
In most common flows we assume that the fluid is incompressible. How

can this be realistic when we know that the atmosphere and the ocean is
bathed in sound? For example, we use sound to communicate and yet the
wind sweeps by apparently unaffected. Here we explore the relation between
sound and bulk fluid flow to understand a little more of the incompressible
approximation.
8.1. Incompressible and other approximations
8.1.1
483
Sound
First investigate sound. Consider the continuity and inviscid ( = 0) Euler

equations
+ (q) = 0 ,
t
q
1
+ (q )q = p .
t
(8.1)
(8.2)
In order to examine the properties of sound we need an equation of state

relating pressure to density. For example, we know that the density of a
parcel of air will increase if we raise the pressure acting on the parcel. Perhaps the simplest realistic quantitative relation embodying this experience
is that of a polytropic fluid, one where1
p = A ,
(8.3)
where and A are characteristics of the fluid and its temperature. For
example, in air 7/5 as appropriate for a gas of diatomic molecules. The
polytropic equation of state implies that
p =
p
= A1 = c2 ,
where c2 = p
in which c turns out to be the speed of sound. This is used
to eliminate the pressure from the Euler equation (8.2).
A stationary fluid, q = 0, of constant density, = 0 , is an equilibrium or
fixed point of the inviscid Euler equations above.
Consider small amplitude fluctuations, otherwise known as sound, to such
a density and velocity field. That is, seek perturbations
q = 0 + q0 ,
= 0 + 0 ,
The constant characterises the number of vibrational degrees of freedom of a

molecule of the fluid compared with the six of a rigid body.
484
where dashed quantities are small. The continuity equation (8.1) gives
0 =
=
0
t
+ (q)
t

0
+ (0 + 0 )q 0
t
neglecting products of perturbations
0
+ 0 q 0
t
= 0 q 0 .
Similarly, the Euler equation (8.2) gives

2
q 0
+ q 0 q 0 = A 0 + 0
0
t
upon neglecting products of perturbations
0
c2
q
A2
0 = 0 0 .
0
t
0
Then consider
2 0
t2
2 0
t2

q 0
by continuity
= 0
t
2

c0
0
by Euler
= 0
0

= c20 2 0
(a wave equation).
That is, fluctuations of density, sound, travels through the fluid according
to the above wave equation with wave speed c0 .
As seen in most undergraduate courses, solutions of the wave equation in
one spatial dimension may take the form 0 = f(x c0 t) + g(x + c0 t)a superposition of right and left travelling waves. This solution describes waves
travelling without change in form or amplitudeexactly our experience with
sound and exactly what makes it practical to communicate with sound over
long distances.
8.1.2
485
Slow flows
Now consider the flow of a fluid in the presence of fast sound waves.2 That
is, the speed of sound, c0 , is much faster than the relatively slow speed
of the fluid flow. Because the sound oscillates very fast, we show that it
has negligible effect on the slow bulk flow. Further, the slow flow evolves
according to the incompressible equations of fluid dynamics.
Now a large parameter such as c0 , the speed of sound, is a little inconvenient
to deal with in the following derivation. Instead I use the Mach number
M = U/c0 where U is a typical speed of the fluid flow. Here imagine we
have chosen units so that the fluid flows with velocities of size 1. Then the
Mach number, M = 1/c0 , is a small parameter.
To investigate flow in the presence of superposed sound, decompose the
velocity and density fields as
= 0 + M2 + M3 0 + ,
+ M2 q 0 + ,
q =
q
(8.4)
(8.5)
where 0 will be shown to be constant, quantities with tildes are those of the
slow bulk flow, and where primed quantities describe the sound field. One
oddity of the approximation process is a consequence of the fast oscillations
of sound: namely, time derivatives of any sound quantity is large. Specifically, the time derivatives of a primed quantity is taken to be of size c0 ,
or 1/M, times the quantity. Thus I write
0
=
+ M2
+ M2 .M
+ ,
t
t
t
t
0
2
where the M3
t term is of order M because M t of a primed quantity is
0
of size 1, order M , in the limit of large sound speed.
The continuity equation (8.1) then becomes

h
i

0
0
+ M2 0 q 0 + q
= O M3 .
+ M2
+ M2 .M
+ 0 q
t
t
t
2
Can this subsection be significantly improved?

486

All terms of order M0 lead to
0
) = 0 ,
+ (0 q
t
which if 0 is constant, to be shown soon, then reduces to the familiar
incompressible equation that the divergence of the velocity field is zero:
= 0.
q
Whereas all terms of order M2 lead to (if 0 is constant)
M
) .
+ 0 q 0 =
(
q
t
t
The left-hand side is precisely the terms derived in the previous subsection for the propagation of sound. The right-hand side represents
the generation of sound by the slow flow, wind noise for example.
Eulers equation for a polytropic fluid,
q
c2
+ q q = ,
t
becomes

q 0
1 c2
q
q
= 2 2 0 + M2 + M3 0 +O M2 .
+M.M
+q
t
t
M c0
The largest term in this equation is of order 1/M2 and asserts (note
that c c0 to leading order)
0=
1
0 ,
which as promised earlier ensures that 0 = const; that is, to leading

order the density of the fluid is constant. The next largest terms in
the equation are of order M0 and ensure
q
1
q
=
+q
.
t
487
This is essentially in the form of the Euler equation with an effective

= p0 + p0 + p
bulk pressure of p
( 0 ) where p0 is a constant
reference pressure. Thus, as claimed by the incompressible approximation, Eulers equation applies to slow flow in the presence of fast
sound waves.
Finally, terms of order M (noting that variations of c with density are
still insignificant) lead to
M
q 0
1
= 0 ,
t
which is the companion equation for sound waves.

The above derivation shows how we may filter out fast sound waves from a
slow fluid flow of interest. The separation, shown schematically in Figure 8.1,
is best achieved for a relatively large speed of sound, that is, small Mach
number flows.
The argument asserts that one can treat the sound as being superimposed
upon the slow flow. However, it turns out that this is only strictly true
when the waves are of small amplitude or low frequency. Ultra-sonic
waves of large enough amplitude interact with themselves through the
nonlinearities in the system to generate large-scale motion. Such resonant
interaction is a generic feature of slow manifold approximations and will
be later examined in a little more depth with the aid of normal form
transformations.
8.1.3
Other slow manifolds
I have argued that centre manifolds are relevant to creating low-dimensional

models of dynamical systems because they are exponentially attractive.
That is, all the dynamics (or at least a wide range) become described by the
centre manifold model exponentially quickly.
In contrast, slow manifolds, such as the incompressible approximation, are
important, not because they are attractive, but because they act as a centre for all the nearby dynamics. For example, sound waves are just oscillations about incompressible fluid flow without significant interaction. van
488
sound
fast oscillations
compressible fluid
state space
q0
+ q0
uq = q
incompressible slow manifold
Figure 8.1: schematic diagram of compressible fluid dynamics separated

into the slow manifold of incompressible flow and the fast manifold of sound
waves. Each axis actually represents an infinity of dimensions corresponding
to complex fluid flows. Fast oscillations of sound take place in the vertical
subspace, these oscillations are centered on the horizontal axis representing
the slow manifold of incompressible dynamics.
489
Kampen (1985), in his review of dynamical modelling, calls such slow manifold approximations as being based upon the principle of a guiding centre.
Consider some other examples, though the first two are not from fluid dynamics.
Rigid body dynamics Think of a ball thrown, hit or kicked through the
air. For most practical purposes we treat the ball as a rigid body, just
using equations for its translational and rotational degrees of freedom.
At its most complicated we would only consider it as a dynamical
system with a 12-dimensional state space: 3 for spatial position, 3 for
velocity, 3 for angular orientation, and 3 for angular velocity. However,
a real ball is an elastic or visco-elastic bodyit has infinitely many
internal dynamical modes of vibration. Thus in practise, we ignore the
infinitely many fast vibrational modes, and just consider the slow
translational and rotational dynamics of a rigid body. Such a model is
justified (Muncaster 1983, e.g.) because the internal vibrational modes
appear to have no effect on the flight of a ball.
Beams Beams are used all around us in constructions. To predict the
load a beam may safely carry, and how a beam deforms under load,
engineers do not solve the 3D elasticity equations for the beam as an
elastic solid. Instead they simply solve a beam equation, of the form3
2
AE 4
=
,
t2
x4
for the sideways deflection, , of the centreline of a beam with x measuring distance along the beam. Similar to the rigid body approximation, such a beam model neglects the fast vibrational modes in
the cross-section of the beam; instead it just resolves the much slower
dynamics of bending (Roberts 1993). Compare this with shear dispersion in a pipe where cross-pipe diffusional modes are neglected because
they are exponentially damped, here we neglect cross-beam vibration
because they appear as rapid oscillations centred upon the shape of
the bent beam.
3
Check
490
Tides Tidal flow around the world occurs on a 12 hour time scale. Computational models of tides need to resolve the dynamics on this time
scale and on a height scale of the order of meters. Such models are
used to not only predict tidal heights, but also the flushing of effluent, or the lack thereof, and the migration of sea organisms. Also
on the ocean there exist short waves with a period of the order of
10 secondswaves of interest in their own right for swimmers, sailors,
and surfers. However, how can tidal models neglect the short period
waves? Short period waves are neither exponentially decaying, nor
particularly small. The only reasonable rationale is to consider that
models of tidal dynamics act as a centre for actual realisations in
that short period waves are just oscillations about tidal flow.
Quasi-geostrophy In atmospheric dynamics, weather forecasters need to
predict the evolution of the high and low pressure patterns that we
see on the daily weather maps. These patterns, called Rossby waves,
have a characteristic time scale of one week as they drift from west
to east. However, in the dynamics of a rotating and vertically stratified atmosphere there also exist so-called gravity waves with a much
shorter time scale of the order of tens of minutes. In the large, these
gravity waves do not exist in the atmosphere;4 instead the atmosphere
is in a familiar balance characterised by winds travelling parallel to the
isobars seen on weather maps, called geostrophic balance. However,
numerical models of the atmosphere are plagued by the fast gravity waves when all meteorologists want to resolve is the slow Rossby
wave dynamicscalled quasi-geostrophic because nonlinearities have
a perceptible and important influence on the balance. Thus meteorologists want to construct and use models of the slow manifold of
quasi-geostrophic dynamics in an atmosphere which also supports the
much faster dynamics of gravity waves.
Irrotational flow Consider 2D fluid flow.5 The Navier-Stokes equations
4
Gravity waves may be important in local scale phenomena such the patchiness of
rainfall. If they occur, they angle upwards and eventually break and dissipate in the low
density of the stratosphere.
5
I may be on thin ice with this example.
491
with zero viscosity may be rearranged to show that d/dt = 0 where

= q is the vorticity of the flow, that is, vorticity is carried with
the fluid without change. Consequently, if = 0 initially, then =
0 for all time; this is Kelvins?? vorticity theorem (Batchelor 1979,
p??). This result is used to justify the extensive study of irrotational
flows, that is fluid flow on a manifold characterised by = 0 where
one may write q = for some velocity potential . However, in
an inviscid fluid there is no mechanism for the decay of vorticity
zero vorticity is not an attractive manifold. Conversely, if we consider
viscosity significant, so that zero vorticity is attractive, then Kelvins
theorem no longer applies. Is there any way to properly rationalise the
study of irrotational fluid dynamics? After all, planes still fly through
turbulent, vorticity saturated air despite all the design work being
done with irrotational theory.
Let me try this sketchy argument. Any velocity field of a fluid flow
may be written as the sum of irrotational and rotational parts:
ZZ
1
(y y 0 )i + (x x 0 )j
q=
+
(x 0 , y 0 ) dx 0 dy 0 ,
|{z}
2
(x x 0 )2 + (y y 0 )2
{z
}
irrotational |
rotational part
where is a potential, satisfying 2 = 0, and is the vorticity field;
time dependence is implicit in and . Now, the vorticity is carried
by the fluid, thus if we imagine it P
is made up of a large number of
discrete lumps called vortices, = i i (x xi ),6 then the location
of these vortices evolve according to the following adaptation of the
earlier integral:
1 X (yi yj )i + (xi xj )j
dxi
= +
j .
dt
2
(xi xj )2 + (yi yj )2
j6=i
This is a Hamiltonian system. Its dynamics may be incredibly complex, chaotic for example, but it still has a large number of conserved
6
Such a vortex decomposition is the basis for some high Reynolds number numerical
simulations.
492

quantities. However, it does indicate that there is not necessarily a
great interaction between the rotational and irrotational parts of the
flow. The irrotational part carries the vortices around, but the vortices
do not affect the irrotational part (except perhaps through interaction
with boundaries). Thus it seems we may ignore the vorticity by assuming its contribution to the dynamics averages to zero over the time
scale we are interested in; assume this even if the vortex dynamics are
chaotic rather than oscillatory. In this sense I argue that irrotational
flow acts as a centre for fluid dynamics.
This last part of the argument, that the contribution of vorticity
averages to zero, may be better made in 3D fluid flow where vorticity
naturally gets tangled up in that incredible mess we call turbulence.
In 2D fluid flow, conservation principles place strong constraints on
the dynamics and cause the natural generation of large-scale coherent
vortex structures (Rhines 1979, e.g.). It is not appropriate to rely on
the average over a coherent structure to be zero.
With these examples I hope to have convinced you of the need to study the
modelling of slow dynamics in the presence of fast dynamics.
8.2
Sub-centre and slow manifolds
Warning:
There is a little theory7 that helps justify the construction of slow manifolds. Unfortunately, the theory I am aware of is extremely limited and is
mentioned more for its conceptual support than in any hope of rigour in an
interesting application. Perhaps the best support comes from a normal form
transformation which I introduce in a toy model of the quasi-geostrophic approximation.
Perhaps Normal forms
8.2. Sub-centre and slow manifolds

=()
6
i3 v
493
complex
i2 v
i1 v
-
i1 v
i2
<()
i3 v
Figure 8.2: schematic complex eigenvalue spectrum for a dynamical system

which linearly has purely oscillatory dynamics.
8.2.1
Sub-centre manifold theory
Building upon earlier work by Lyapunov, Sijbrand (1985) [7] looked briefly
at dynamical systems with purely oscillatory dynamics. As usual, consider
a dynamical system in the form
u = Lu + f(u) ,
(8.6)
where here the linear spectrum is purely imaginary, eigenvalues im , as

shown schematically in Figure 8.2. Provided the eigenvalues are simple, then
linearly the dynamics are purely oscillatory. A complete solution is
X
m eim t .
u=
am eim t + a
m
This is viewed as being composed, indeed as it written, of a number of vibra m eim t , sometimes called normal modes. The
tional modes am eim t + a
oscillations of such a normal mode all take place in an invariant subspace
494
Em = span {<(am ), =(am )}, and all take the form of limit cycles. That is,
associated with each complex conjugate eigenvalue pair is an invariant subspace. The question is: how much of this manifold and limit cycle structure
is maintained in the actual nonlinear problem?
The essence of the existence theorem is as follows. Provided (Sijbrand 1985,
Thm7.1):
the spectrum is not degenerate (no multiple eigenvalues);
the linear frequencies are non-resonant, that is jm 6= kn for any
j, k, m, n (roughly); and
there exists a non-trivial integral of the motion, such as a conserved
energy integral;
then for each m there exists an invariant manifold, Mm ,8 of (8.6) tangent
to Em at the origin and composed of limit cycles. Such an invariant manifold
is termed a sub-centre manifold because it is the nonlinear analogue of a
subspace of the centre eigenspace. Such a theorem more-or-less justifies the
construction of nonlinear normal modes for vibrational systems as recently
done by Shaw & Pierre (1993), Shaw (1994a,b).
However, does the theory give any support for using sub-centre manifolds
as the basis for low-dimensional models of high-dimensional dynamical systems? The answer is certainly not directly. For a sobering example, consider the system (Sijbrand 1985, Eq.(7.23)) which in bi-polar coordinates,
u1 = r cos , u2 = r sin , u3 = cos and u4 = sin , is
dr
dt
d
dt
d
dt
d
dt
8

= r r4 10r2 2 + 54 ,

= 5r4 10r2 2 + 4 ,
= 1 ,
= 2 .
Incidentally, if the nonlinear terms f are analytic, then Mm is analytic!
(8.7)
495
Linearly, the u1 u2 -plane ( = 0) is the invariant subspace E1 , whereas the

u3 u4 -plane (r = 0) is E2 . Nonlinearly, the following is observed.
Ar5 is a small r approximation to the corresponding M1 , but it
is a valid approximation for any Asub-centre manifolds may differ
by some power. However, the case A = 0 is the only such sub-centre
manifold analytic in u1 and u2 .
Further, in M1 all solutions starting sufficiently close to the origin
evolve according to r r5 , thus a model restricted to M1 would
predict that the origin is stable; however, the manifold = r is also
invariant, and on this manifold solutions evolve according to r = 4r5
which proves that the origin is actually unstable.
Of course, this system does not have a conserved quantity and so a precondition of the theorem is not satisfied. Nonetheless the example is rather
sobering in that basic properties, such as relevance, needed for sub-centre
manifolds to form low-dimensional models are not assured.
Nonetheless, the current theory shows that at least in some circumstances
one can indeed extract a subset of oscillatory dynamics from a high-dimensional
dynamical system. The above definition of a sub-centre manifold applies to
the case when one extracts the dynamics associated with some particular
non-zero frequency. One of the very limiting preconditions to do this is
the condition of non-resonance. However, there is one manifold for which
the non-resonant precondition is trivially satisfied and that is when the associated eigenvalues are 0. We call an invariant manifold associated with
strictly zero eigenvalues, whether all the other linear modes are decaying
or oscillatory, a slow manifold. It is this case which I alluded to in the
previous sectiona case where linearly the modes of interest have zero eigenvalue, and the modes we wish to ignore are associated with pure imaginary
eigenvalues.
There is great scope for more theory. Nonetheless the practical utility of
assuming the existence and relevance of slow manifolds are indisputable.
496
8.2.2
Quasi-geostrophic slow manifold
The present state of theory being unsatisfactory, I propose that one can
justify slow manifold models of dynamical systems via the normal form
transformation. Here I introduce the ideas and results through a specific
example.
Lorenz (1986) proposed the following system of 5 coupled equations in order
to model some important characteristics of atmospheric dynamics.
u = vw + bvz ,
v =
uw buz ,
= uv ,
w
x = z ,
z =
x + buv .
(8.8)
(8.9)
(8.10)
(8.11)
(8.12)
In atmospheric dynamics, weather forecasters needs to predict the evolution

of the high and low pressure patterns that we see on the daily weather maps.
These patterns have a characteristic time scale of one week as they drift from
west to east. The atmosphere, rotating and stratified, also supports so-called
gravity waves which have a much faster characteristic time of the order
of tens of minutes. Lorenzs idea was to model the nonlinear interaction
between the slow Rossby waves and the fast gravity waves by the above
system. Here there is a very clear cut distinction between the slow modes,
u, v and w, and the fast modes, x and z.
The fast waves are represented by variables x and z which, linearly,
oscillate with frequency 1, that is, like eit .
The slow waves are represented by u, v and w which linearly are
fixed. However, nonlinearly and in the absence of the fast waves, that
= uv, these variables have an exact solution
is u = vw, v = uw, w
in terms of elliptic functions which show that u, v and w possess limit
cycle oscillations with an amplitude dependent period that becomes
arbitrarily long for small enough amplitudes.
The fast and the slow waves are coupled by the nonlinear interaction
497
terms with coefficient b. If b is zero there is no interaction, and the

separation between fast and slow dynamics is clear. The interesting
case is non-zero b when there is interaction and we want to extract a
slow manifold approximation from the dynamical system.
A further feature of the model is that it possesses the two invariants
H = u2 + v2 ,
and I = v2 + w2 + x2 + z2 .
These invariants arise from analogies of the conservation of energy and

potential enstrophy.
Numerical simulations9 easily show the fast oscillations, predominantly in
x and z, superimposed upon a slow evolution which is predominantly in u,
v and w. However, the nonlinear coupling causes solutions without any
noticeable fast oscillations to lie in a curved manifold, rather than in the
uvw-subspace. We seek an asymptotic description of this slow manifold
because, as seen in the simulations, it appears to act as a centre for all
the nearby dynamics.
The construction of a slow manifold, M0 , is straightforward. The construction proceeds via the same algorithm as used for constructing centre
manifolds, but with none of the complications associated with a Hopf bifurcation because the eigenvalues associated with a slow manifold are zero. We
may simply seek a manifold
x = X(u, v, w) ,
and z = Z(u, v, w) ,
(8.13)
on which the evolution is given by the first three equations of the Lorenz
system (8.88.10) with Z substituted for z. Then
x = z
from (8.11)
= Z by (8.13)
X
X
X
by chain rule
=
u +
v +
w
u
v
w
X
X
X
= (vw bvZ) +
(uw buZ)
uv ,
u
v
w
9
See simulation in quasi.m

498
and similarly
z = x + buv
from (8.12)
= X + buv by (8.13)
Z
Z
Z
by chain rule
u +
v +
w
=
u
v
w
Z
Z
Z
= (vw bvZ) +
(uw buZ)
uv ,
u
v
w
Rearranging the second and last lines of these two equations gives
Z
Z
Z
(vw bvZ) +
(uw buZ)
uv ,
u
v
w
X
X
X
(vw bvZ)
(uw buZ) +
uv .
u
v
w
X = buv
(8.14)
Z =
(8.15)
This is solved by iteration. Substituting the initial linear approximation,

that X(0) = Z(0) = 0, in the right-hand side gives
X(1) = buv ,
and Z(1) = 0 .
A second iteration leads to

X(2) = buv ,

and Z(2) = b u2 v2 w ,
and so forth. It is reasonable to then conclude that the slow manifold is

given by

x = buv + O s4 , and z = b(u2 v2 )w + O s4 ,
(8.16)
where s = |(u, v, w)|. This shape is seen in numerical simulations where,
since H =u2 + v2 is constant, the slow evolution takes place on a curve
x = bu H u2 for some H. On the slow manifold M0 the evolution
takes place according to (8.16) substituted into (8.88.10), namely
h
i

u = vw 1 b2 (u2 v2 ) + O s5 ,
h
i

v =
uw 1 b2 (u2 v2 ) + O s5 ,
(8.17)
499
= uv .
w
This model of the dynamics is simpler because it is low-dimensional, 3dimensional instead of the original 5-dimensions. In many applications this
is where an enormous simplification occurs. However, in some applications,
and atmospheric dynamics is one such, the gain in the dimensional reduction
is rather small: as here, one reduces the dimensionality by simply a factor
of two or three rather than an infinite amount as in other applications.
However, in such applications a further and important gain is attained on
the slow manifold. In atmospheric dynamics, the evolution on the slow
manifold is of the order of a week, whereas that of the fast dynamics is
of the order of tens of minutes; thus in the absence of fast waves, explicit
numerical simulations can take a time step some one hundred times larger
than would otherwise be the case. An important characteristic of the slow
manifold is the long time scale of all its dynamics.
I cannot resist giving the following simple reduce program to compute
the slow manifold of Lorenzs five equation toy of the atmosphere.
% Finds the slow manifold of Lorenzs quasi-geostrophy model.

% Let s count the order of approximation.
let s^6=0;
on revpri; factor s;
depend u,t; depend v,t; depend w,t;
let { df(u,t) => -s*v*w+b*v*z
, df(v,t) => s*u*w-b*u*z
, df(w,t) => -s*u*v};
x:=0; z:=0;
repeat begin
write x:=x-(resz:=-df(z,t)+x+s^2*b*u*v);
write z:=z+(resx:=-df(x,t)-z);
end until (resx=0)and(resz=0);
end;
500
8.2.3
Normal formresonant drift
The construction of the previous subsection indicates that there is indeed a

slow manifold, M0 , to the dynamics of the Lorenz system (8.88.12). The
question I address in this section is the following. How can we be sure, in the
absence of exponential contraction to M0 , that the evolution on M0 serves
as a good low-dimensional model for the dynamics of the system? Using a
normal form transformation I show that the evolution on M0 is a model
for all nearby trajectories, but that there are discrepancies, in the form of a
long-term drift, if the fast oscillations are too large.
Drift in a toy problem
Consider the three dimensional toy problem (Cox & Roberts 1995)
x = z2 ,
y = z ,
z = y .
(8.18)
The slow manifold is dull: y = z = 0 and x = 0 . Eliminating the fast

oscillations results in no evolution in the low-dimensional slow manifold
model.
Wave resonance forces a slow drift in x. Transform to
= x + yz/2 ,
= y,
= z.
(8.19)
Then describe and oscillating, but identify drifts according to the

square of the oscillation amplitude:
= 21 (2 + 2 ) ,
= ,
= .
(8.20)
The significant generic feature of this example is that the presence of fast
waves causes a drift that is not described by the slow manifold model. The
drift depends upon the amplitude of the waves. Consequently, there can not
be a strong relevance theorem for slow manifold models when fast oscillatory
modes are eliminated. In this example we see that the evolution on and off
the slow manifold are fundamentally incompatible.
501
We quickly explore how to derive the normal form (8.20) to introduce the
general procedure developed later. Seek a near identity coordinate transformation of (8.18), but since the oscillations are not coupled to the slow mode
we only seek to transform the slow mode:
x = + X(, , ) ,
y = ,
z = ,
(8.21)
such that = g for some nonlinear X and g to be found. Substitute into

the x equation in (8.18) to require
g + gX X + X = 2 .
There is no dependence in the right-hand side so only seek a transform X
dependent upon and . The right-hand side is quadratic so guess the
quadratic form X = a2 + b + c2 and then the equation requires
g = (1 + b)2 b2 + 2(a c) .
Recall that g describes the evolution of so in the normal form our aim is
to find as simple a g as possible:
we eliminate any component in g by choosing a = c = 0 ;
see that we cannot eliminate both and from the evolution g; instead
we eliminate any part of the fast oscillation in g by requiring the
coefficients of 2 and 2 be identical, thus set 1 + b = b and hence
choose b = 12 .
Thus the normal form coordinate transform is x = 12 , leading to the
normal form evolution of the slow mode as = 12 (2 + 2 ) , as used earlier.
An alternate normal form identifies that the amplitude of the oscillations may also be considered a slow variable. Change to radius/angle
variables = r cos and = r sin then
= 1 r2 , r = 0 , = 1 .
(8.22)
2
??fill in details??
In Chapter ?? devoted to normal forms we will explore in depth many more
of these issues and their implications in practise.
502
Near quasi-geostrophic normal form

A normal form transformation is a nonlinear change of variable with the
aim of simplifying the dynamics of a particular system. Here, simplifying
means to decouple as far as possible the fast oscillations from the slow dynamics in the rewritten form of the equations. Here we rewrite the evolution
in terms of 5 new independent variables s = (, , , , ). These are related
to the original variables by the near-identity transformation
u = U(s) ,
v = V(s) ,
w = W(s) ,
(8.23)
x = X(s) ,
z = Z(s) .
To the given linear approximation: is identified with u, with v, with w,
with x and with z. Thus and will encapsulate the fast dynamics
in the transformed variables, whereas , and encapsulate the slow. In
essence, with such a transformation we seek to warp our view of the state
space to see if we can find a simpler view of the dynamics.
Since u, v, w, x and z evolve in time, then so must , , , and ; they
do so according to some prescription such as s = g(s) which written in
components is
= A(s) ,
= B(s) ,
= C(s) ,
= F(s) ,
(8.24)
= G(s) ,
where A, B and C are to be nonlinear functions of s. Note that the last
two equations incorporate the dominant behaviour of and , that of fast
oscillation, through the given linear approximation. Our aim is to choose
the transformation (8.23) so that A, B, C, F and G are as simple as possible.
503
As in the construction of a low-dimensional invariant manifold, whether it

be centre or slow, we may find the normal form transformation by iteration.
Only the first iteration is considered explicitly here. Given the linear approximation, we wish to simplify any quadratic terms arising in the evolution
equation (8.24) through the transform (8.23).
First consider the fast modes. Substitute the linear (or identity) approximation together with corrections, indicated by primes for consistency with earlier procedures, into the x evolution equation (8.11):
x = z = Z 0 by (8.23)
X
X
X
X X
=
+
+
+
+
by chain rule
then substituting
X 0 0 X 0 0 X 0 0
=
A +
B +
C

X 0
X 0
+ 1+
( + F 0 ) +
( + G 0 )
then ignoring products of corrections

X 0
X 0
= + F 0
+
.
Rearranging the equality between the first line and the last line leads
to
X 0
X 0
F0 + Z0
+
= 0.
(8.25)
Similarly, substituting the linear (or identity) approximation together

with corrections into the z evolution equation (8.12):
z = x + buv
= + X 0 + b( + U 0 )( + V 0 ) by (8.23)
= + X 0 + b to leading order,
Z
Z
Z
Z Z
=
+
+
+
+
by chain rule
then substituting
504

Z 0 0 Z 0 0 Z 0 0
A +
B +
C

Z 0
Z 0
0
+
( + F ) + 1 +
( + G 0 )
then ignoring products of corrections

Z 0
Z 0
= + G0
+
.
Rearranging the equality between the third and last lines leads to
G0 X0
Z 0
Z 0
+
= b .
(8.26)
Now solve the two coupled equations (8.25) and (8.26).10 Clearly a
solution keeping F 0 and G 0 as simple as possible is F 0 = G 0 = Z 0 = 0
and X 0 = b. Thus, we remove the quadratic coupling term in
the z-equation, coupling the fast to the slow dynamics, by choosing
the transformation x + X 0 = b. Of course there may well
be induced cubic or higher order coupling between the dynamics, but
such coupling is asymptotically weaker.11
Second, consider the slow modes. Similar arguments to the above
lead to the following equations for the corrections, upon substituting,
using the chain rule, and neglecting products of primed quantities or
products of primed quantities and small variables:
U 0
U 0
+
0
V
V 0
B0
+
0
W
W 0
C0
+
A0
= + b ,
=
b ,
= .
These equations are completely independent of each other so they are

solved in turn. In the first equation, we want to keep A 0 as simple as
10
11
Akin to equations for the centre manifold of a Hopf bifurcation

Further iteration may eliminate such coupling.
505
possible. We may choose U 0 to contain the term b to balance the

b term on the right-hand side. But U 0 cannot be used to balance
the term on the right-hand side; it can only balance terms with
or in them due to the multiplication by these variables in the terms
involving U 0 on the left-hand side. Thus we are forced to set A 0 =
and consequently U 0 = b. Similarly for the other equations. We
are forced to put B 0 = and C 0 = and consequently V 0 = b
and W 0 = 0.
Finally, to this level of approximation, the transformation

u = b + O s3 ,

v = + b + O s3 ,

w = + O s3 ,

x = b + O s3 ,

z = + O s3 .,
leads to evolution equations

= + O s3 ,

=
+ O s3 ,

= + O s3 ,

= + O s3 ,

=
+ O s3 .
In this transformed version of the dynamics, the quadratic interaction
terms have been removed. With possibly cubic errors, the fast wave
terms have been removed from the slow dynamics, and the slow wave
terms have been removed from the fast dynamics. Thus they evolve
independentlythe slow dynamics of , and are independent of
the fast waves. In this sense their 3-dimensional evolution forms a
low-dimensional model for the 5-dimensional Lorenz system.
In the normal form equations, the slow manifold is easily apparent. To this
order of accuracy, the subspace = = 0 is invariant under the dynamics, has no fast waves and hence forms the slow manifold M0 . From the
506
transformation given above, as = = 0 on M0 then u , v and

x b; thus with possibly cubic errors M0 is
x buv ,
z 0,
exactly as determined in the previous subsection.

It would appear that the normal form transformation supports the existence
of a slow manifold and its relevance as a model of the dynamics.
However, at higher-orders in the analysis we encounter intractable difficulties
in trying to separate completely the slow dynamics from the fast. Consider
what the x-equation may look like at some iteration:
A0
U 0
U 0 X
+
=
fmn (, , )m n ,
m,n
where fmn is some multinomial expression in , and . Typically, nonlinear terms will generate all possible such terms. Specifically, suppose that
terms quadratic12 in and are generated so that we need to solve
A0
U 0
U 0
+
= f20 2 + f11 + f02 2 .
U
The homological operator U
+ maps quadratics in and into
quadratics, cubics into cubics, etc. Thus it is sufficient to consider a quadratic
form for U 0 in an attempt to simplify A 0 . Trying the general form U 0 =
a2 + b + c2 , the equation becomes
A 0 + b2 + 2(c a) b2 = f20 2 + f11 + f02 2 .

Now observe that the homological operator is singular because it can only
balance a right-hand side for which f20 + f02 = 0. Thus if f20 + f02 6= 0, then
we are forced into making A 0 have a component of 12 (f20 + f02 )(2 + 2 ).
Hence the evolution equation for the slow variable is forced to be, in
general, of the form13
= A0 (, , ) + A2 (, , )(2 + 2 ) + ,
12
13
Quartic terms in and are also typically intractable.

Here A2 is at least linear because no such quadratic term exists.
(8.27)
507
where A0 and A2 are functions known to some order in their asymptotic

expansion. Such a form implies that the slow evolution is, in general, necessarily coupled to the fast oscillations. The coupling only involves terms of
the form 2 + 2 which is approximately invariant in the fast oscillationsit
is the amplitude squared, say r2 and so still evolves slowly. However,
in the presence of fast oscillations it necessarily drifts away from solutions
without fast oscillations. Consequently, the evolution off the slow manifold M0 is necessarily different to that on M0 it drifts away at a rate
proportional to r2 . In general, the slow manifold cannot strictly serve as a
low-dimensional modelthe long-term trends on and off M0 are necessarily
different.
The consoling feature of this analysis for slow manifold approximations is
that the discrepancy between the model and the actual dynamics is proportional to the square of the amplitude of the fast oscillations and so may be
quite small.
Lorenz & Krishnamurty (1987) followed up Lorenzs 1986 paper with a
paper in which they argued that the slow manifold cannot actually exist
at all! Exact numerical solutions show that resonances between the fast
and slow oscillations break up the picture of a smooth slow manifold. A
sequence of discontinuities appear in the slow manifold. However, these
discontinuities are exponentially small (Cox & Roberts 1994) and so do
not affect the asymptotic expressions for M0 , indeed they are of the same
size as the typical non-uniqueness of a low-dimensional manifold. View
such discontinuities as a relic of the features one is trying to ignore in the
first place in forming a model. I do not consider them to be a serious
problem.
However, there is an interesting issue in using the normal form transformation to justify any claims. The transformation is in the form of an
asymptotic expansion, there generally will be exponentially small discrepancies between the normal form equations and the original. One needs to
prove that such exponentially small differences are not significant in order
to use the normal form to prove results about the original system. That is,
any features need to be persistent or robust to small perturbations. It is
not apparent that this will be at anytime easy to prove for a slow manifold
given its delicate nature.
508
8.3
Summary
scene??
subc??
Chapter 9
Patterns form and evolve

Sorry:
Contents
9.1
9.2
One-dimensional introduction . . . . . . . . . . .
510
9.1.1
Straightforward bifurcations in small boxes . . . . 510
9.1.2
Large boxes have slowly evolving patterns . . . . . 512
9.1.3
The GinzburgLandau equation predicts the Eckhaus instability . . . . . . . . . . . . . . . . . . . . 516
Summary . . . . . . . . . . . . . . . . . . . . . . .
519
How does the zebra get its stripes? How does the leopard get its spots?
Gently heat a thin layer of oil and see a shimmering of the surface. These
are examples of pattern forming systems. Use the SwiftHohenberg equation
as a prototypical system:
u
= (1 + 2 )2 u + ru u3 .
t
(9.1)
This is a toy system to study pattern formation. Some argue it is a good

model for many physical systems, but I question the arguments they make
for the nonlinear term. Nonetheless we explore its dynamics. Imagine,
509
510
Chapter 9. Patterns form and evolve
perhaps, that positive u represents hot spots in some layer of fluid, and
negative u represents cold spots.
oneDintro??
9.1
Sorry:
One-dimensional introduction
Almost all of the richness of pattern forming systems is lost in one spatial
dimension. However, we choose to start simply. the one-dimensional Swift
Hohenberg equation for a field u(x, t) is
u
= (1 + 2x )2 u + ru u3 .
t
(9.2)
See the rather complicated dissipation represented by (1+2x )2 u, the destabilising forcing ru controlled by the forcing parameter r (analogous to the
strength of heating in a convective system for example), and the nonlinear
stabilisation represented by u3 .
First we see the classic pitchfork bifurcation in a small box. Then second we
discover that the freedom in large boxes provides exciting pattern evolution.
9.1.1
Straightforward bifurcations in small boxes
Explore what happens in a small box. For simplicity, I choose a box of

length 2; that is, the spatial domain is 0 < x < 2 . We need boundary
conditions on the ends of the box. Somewhat arbitrarily let us use insulating
conditions
u
3 u
=
= 0 on x = 0, 2 .
(9.3)
x
x3
Another common choice is periodic boundary conditions: that u and its
derivatives are continuous at x = 2 to those at x = 0 . But we use insulating (9.3).
9.1. One-dimensional introduction
511
Lose linear stability

Since the linearised version of the SwiftHohenberg equation (9.2), namely
u
(1 + 2x )2 u + ru ,
t
(9.4)
has constant coefficients we expect trigonometric and exponential spatiotemporal structures. Without justifying fully we seek solutions u et cos kx
for some spatial wavenumber k and some growth-rate (eigenvalue) . Why
not sine? Because sin kx does not satisfy the boundary condition (9.3) at
x = 0. To satisfy the boundary condition (9.3) at x = 2 with cos kx we must
have k = 21 , 1, 32 , 2, . . . . To satisfy the linearised SwiftHohenberg equation
the growth-rate
= r (1 k2 )2 .
(9.5)
Thus for the allowed discrete values for the wavenumber, the growth-rate
=r
9
16
, r, r
25
16
, r 9, ...
for k = 12 , 1, 32 , 2, . . . .
(9.6)
Out of all these growth-rates, the largest is the second, = r corresponding

to wavenumber k = 1 , as all the others are more nagative. Thus for r < 0
the trivial equilibrium u = 0 is stable. But as forincing parameter r crosses
zero the trivial equilibrium u = 0 loses stability; the mode cos x grows only
to be arrested by the nonlinearity.
Nonlinear modelling shows the bifurcation

Exercise 9.1:
the model
Use centre manifold theory and techniques to construct
u = a(t) cos x +
such that
a = ra 3a3 + .
Use reduce to develop higher order terms.
512
See the classic pitchfork bifurcation as the forcing parameter r crosses 0.

Within the small box just a couple of hot and cold spots arise through
u a cos x . Small boxes constrain spatial pattern dynamics into simple
scenarios. For another example, Libchabers experiment on convection in
a tiny box showed the classic period doubling route to chaos because the
small box size eliminated the more complicated dynamics of pattern forming
systems. In large boxes we see that the hot and cold spots in one locale
interact with those in neighbouring locales to provide patterns that evolve.
9.1.2
Large boxes have slowly evolving patterns
Now explore the start of the complexity that arises when we look at patterns
in large boxes.
Linear spectrum suggests modulation

In a large box the boundaries have little influence (actually this may not be
true for many systems, but let me assert it for now). So let us consider the
ideal large box, one that is infinite in extent. We seek solutions over the
domain of all real x. The boundary conditions are that the solution field u
is everywhere bounded.
Now we must have both sine and cosine modes to fully represent the distribution of hot and cold spots. However, we find it more convenient to
express the field u in terms of complex exponentials: for example, we may
have u = (1+2i)eikx +(12i)eikx to represent a real field of wavenumber k.
The coefficients of positive and negative k have to be complex conjugates of
each other to maintain a real field u.
Seek solutions of the linearised SwiftHohenberg equation (9.4) in the form
u exp t + ikx for real wavenumbers k to ensure bounded solutions over
all space x. Substitute into the linearised SwiftHohenberg equation (9.4)
to deduce the same growth-rate (9.5) but now for any real wavenumbers k.
Graph of growth-rate??
513
See that as for dynamics in a small box, all modes decay when the forcing
parameter r < 0. When the forcing parameter r crosses zero, the trivial
solution u = 0 loses stability and we must explore the nonlinear dynamics.
Nonlinear modulation
The huge difference now is that the allowed wavenumbers are not discrete,
but are continuously variable. See that for even small forcing parameter r >
0, there are an infinite number of modes near wavenumber k 1 which are
unstable.
Suppose we try to justify a slow manifold model as for bifurcations. At
the critical value of the forcing parameter r, namely zero, there are two
critical modes, eix with wavenumbers k = 1 . But there is a continuous
spectrum of modes with growth rates arbitrarily close to zero. Thus there
is no spectral gap, and the centre manifold theory currently available to us
cannot be applied.1 However, we make progress by adapting the techniques
we used to model dispersion in pipes and channels.
We introduce the idea of modulation. Recall that broadcast radio waves are
a carrier wave with frequency or amplitude modulated. The modulations
carry the information we hear. We adopt the same principle to study the
patterns: the carrier wave here is the basic spatial pattern of wavelength 2
formed from eix ; the modulation contains the information about how that
pattern evolves in the long-term due to variations from regular spacing. For
example, suppose the pattern is set up with a slightly different wavenumber
k = 1 + , where is small: then
cos[(1 + )x] =
=
1 i(1+)x
+ 12 ei(1+)x
2e
1 ix ix
e + 12 eix eix
2e
ix
ix
= a(x)e + b(x)e
1
Nonetheless, for some systems, researchers have been able to justify the results which
we obtain, namely the GinzburgLandau equation. The issue is that the proofs are specific
to the particular system under study, and not as yet general.
514
where a = 21 eix and b = 12 eix are modulations to the carrier waves eix .
The modulations a and b have large scale x structure, small derivatives in x,
and are slowly varying in x. All these are equivalent properties and the same
as those we used for shear dispersion.
Thus our modelling task is to pose that the solution field is
u(x, t) = a(x, t)eix + b(x, t)eix +
(9.7)
where modulations a and b vary slowly in space x; they also vary slowly in
time as this is a pitchfork-like bifurcation rather than a Hopf-like bifurcation.
We eventually find the modulations evolve according to a pde of the form
a
2 a
= ra 3a2 b + 4 2 + ,
t
x
and similarly for b. For real solutions a and b are complex conjugates, which
these equations maintain, and so the model is of the form of a Ginzburg
Landau equation
a
2 a
ra 3a|a|2 + 4 2 .
(9.8)
t
x
Now interpret this equation. As forcing r crosses zero, the trivial a =
0 loses stability to a finite amplitude equilibrium |a| = r/3 due to the

stabilising a|a|2 term; that is, a pattern of hot and cold spots form.
But crucially, the phase of the complex amplitude a is not determined: in
different spatial locales, the phase of a will be different due to different initial
randomness; that is, the pattern of hot and cold spots although roughly
spaced a distance apart in any one locale, over large distances there will
be significant departures from an even spacing. The diffusion-like term axx
then gradually smooths out the spatial variations in the phase of the pattern
over very long times. You will see the hot and cold spots evolve to become
more and more evenly spaced over larger and larger distances.
The GinzburgLandau equation governs pattern evolution
Inspired by the dispersion example, use centre manifold techniques to derive
the GinzburgLandau equation (9.8) for the evolution of patterns governed
515
by the SwiftHohenberg equation (9.2).2

Pose that the solution field is parametrised by two complex conjugate amplitudes a and b:
u(x, t) = a(x, t)eix + b(x, t)eix + u(a, b, x)
(9.9)
where u represents nonlinear modifications to be determined, and where the

modulations of a and b vary slowly in space x and also in time t according
to
b
a
= g(a, b) and
= h(a, b)
(9.10)
t
t
where g and h are nonlinear evolution equations to be determined. Note: we
have to be very careful with derivatives with respect to space x; for example, u(a, b, x) has both indirect x dependence through both the amplitudes
a and b, which is slow and thus has small derivatives, and also a direct
x dependence, which is of the form exp(inx) and thus has O 1 derivatives.
Perform one iteration to find the first nontrivial approximations to the slow
manifold model. We not only treat x derivatives of amplitudes a and b as
small, but also the forcing parameter r is small. Substitute (9.9) and (9.10)
into the governing SwiftHohenberg equation (9.2):
u
u
g+
h = r[aeix + beix + u] (1 + 2x )2 u
a
b
(axxxx + 4iaxxx 4axx )eix (bxxxx 4ibxxx 4bxx )eix
geix + heix +

a3 ei3x 3a2 beix 3ab2 eix b3 ei3x + [aeix + beix ]2 u + O u2 .
Omit for this first approximation the products of small quantities and the
third and fourth derivatives of a and b, as these are small compared to the
dominant second derivatives, to leave
Lu + geix + heix r[aeix + beix ] + 4axx eix + 4bxx eix
a3 ei3x 3a2 beix 3ab2 eix b3 ei3x ,
2
Perhaps see Cross & Hohenberg (1993) [IV.A.1.a.(i)] to read more about this topic.
516
where operator L = (1 + 2x )2 . The operator L is singular; Leix = 0 . Thus

all the eix terms in the equation must disappear by choosing
g = ra 3a2 b + 4axx
and h = rb 3ab2 + 4bxx .
This is called the solvability condition. Then solve

Lu = a3 ei3x b3 ei3x ,
to deduce the nonlinear shape of the solution field is
u aeix + beix +
1 3 i3x
64 a e
1 3 i3x
.
64 b e
(9.11)
Then from the solvability condition for this first iteration

a
ra 3a2 b + 4axx
t
and
b
rb 3ab2 + 4bxx .
t
(9.12)
More careful consideration would provide us with orders of errors in this

approximate model of the SwiftHohenberg equation (9.2). Restrict attention to real solutions by requiring a and b are complex conjugates, then this
model reduces to the GinzburgLandau equation (9.8).
9.1.3
The GinzburgLandau equation predicts the Eckhaus

instability
Now use the GinzburgLandau equation to predict aspects of the evolution of

patterns. We find that some patterns are unstable and must evolve towards a
pattern with a wavenumber closer to the critical. For even more information
see Cross & Hohenberg (1993) [IV.A.1.a.(ii)].
The critical mode is stable
After the pitchfork bifurcation, for forcing r > 0 , the GinzburgLandau
equation (9.8),pand correspondingly its equivalent pair (9.12), has equilibrium a = b = r/3 . We have taken a and b to be real without loss of generality. This corresponds to a finite amplitude, spatial pattern, of hot and
517
cold spots, with wavenumber k = 1 which is precisely the critical wavenumber. Here test its stability to perturbations of some long wavelength, small
wavenumber.
Seek solutions
r
r
ipx+t ,
+ eipx+t + e
3
r
r
eipx+t ,
b =
+ eipx+t +
3
a =
where and are the small amplitudes of the perturbations of wavenumber p. The perturbation wavenumber p must be small for the Ginzburg
Landau equation (9.8) to be valid. This form ensures that a and b are
complex conjugates and so the stability analysis applies to real fields u.
Substitute into the GinzburgLandau equation pair (9.12), omit products
of the small perturbation amplitudes, equate coefficients of like wavenumbers, and arrive at the eigenproblem

+ r + 4p2
r
= 0,
r
+ r + 4p2
and similarly for the complex conjugate components. The eigenvalues are
thus = 2r 4p2 and = 4p2 . These are always negative, as parameter
r > 0 past the bifurcation, sopthe finite amplitude mode of wavenumber
precisely k = 1 and amplitude r/3 is stable to such perturbations.
Nearby modes may also grow
But other modes are also linearly unstable and so may grow. Try a eikx+t
to see = r 4k2 . This growth-rate is positive for wavenumbers |k| < 21 r .

Hence patterns of different wavenumbers, namely wavenumber k = 1 + k ,
may arise depending upon how the pattern is started. This growth-rate and
band of possibly growing wavenumbers approximates the original growthrate seen in the SwiftHohenberg equation near the critical wavenumbers
k = 1 .
518
p
These modes of wavenumber k = 1+k grow to amplitude |a| = (r 4k2 )/3 .
But when they reach this finite amplitude state, is the pattern stable? Can
all these nonlinear patterns be observed? The answer is no as we see next.
Some growing modes are nonlinearly unstable
Seek solutions
r

r
ipx+t ,
+ eipx+t + e
3

r
r
ipx+t
ipx+t
ikx
e
+ e
+
,
b = e
3
ikx
a = e
where and are the small amplitudes of the perturbations of wavenumber p, but now relative to the wavenumber k = 1 + k . The wavenumbers
k and p must be small for the GinzburgLandau equation (9.8) to be valid.
This form again ensures that a and b are complex conjugates and so the
stability analysis applies to real fields u. As before, substitute into the
GinzburgLandau equation pair (9.12), omit products of the small perturbation amplitudes, equate coefficients of like wavenumbers, and arrive at the
eigenproblem

+ r 4k2 + 4p2 + 8kp
r 4k2
= 0,
r 4k2
+ r 4k2 + 4p2 8kp
The characteristic equation for nontrivial solutions is thus
2 + (2r 8k2 + 8p2 ) + 8p2 (r 12k2 + 2p2 ) = 0 .
The coefficients of 2 and are both positive, for r4k2 > 0 that we need for
linear instability. Hence the pattern can only be stable when the constant
term is positive; that is, the pattern can be stable when r > 12k2 2p2 . But
the perturbation wavenumber p is arbitrary, so forcing parameter r must be
greater than all of them, thus the pattern may be stable when r > 12k2 .
Conversely, at any given forcing parameter r, a band of wavenumbers |k| <
1
2 r, wavenumbers relative to the critical wavenumber k = 1 , may grow
9.2. Summary
519
from the trivial u =p

0 . But once they have grown, only those patterns with
wavenumber |k| < 12 r/3 are stable; if a pattern with a wavenumber outside
this stable band grows, then it later evolves over long times to a pattern
with a wavenumber nearer the critical. This is the Eckhaus instability.
Note: realise that there may be other instabilities present, especially for
two-dimensional patterns, that reduce the region of stability even further.
9.2
Summary
oneDintro??
520
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Index
:=, 33
begin-end, 34
bye, 33
df, 33
end, 34
factorial, 33
factor, 38, 46
for, 33, 36
int, 33, 36, 46
in, 34
let, 34
linear, 34
operator, 34
quit, 33
repeat-until, 34, 45
until, 34
write, 33, 38
accuracy, 272
action, 105
adiabatic approximation, 190
adiabatic manifold, 190
adjoint, 306
Airys equation, 65
algebraic equation, 3, 13, 14, 18
assembly, 266, 272, 277
asymptotic approximation, 62
asymptotic completeness, 168
asymptotic series, 60, 61, 62, 6264,

108
averaging, 3, 108
Babbage, 9
bar, 265, 268
basis functions, 279
Bessel function, 51
Bessels equation, 54
boundary condition, 268, 274
Boussinesq approximation, 373
centre manifold, 161, 165
centre-unstable manifold, 171
chaos, 175
coefficients, 40
column vector, 149
complex amplitude, 87, 93, 403
complex exponential, 93
Computer algebra, 393
computer algebra, 26, 33, 35, 36, 50,
66
correction, 79, 12, 13, 1517, 20
cross-sectional area, 273
cubic equation, 22
degree of continuity, 272
discretisation, 265, 271, 274
526
Index
dispersion, 273
Duffings ode, 7383, 94
element integral, 265, 272, 275
finite element method, 263, 271
527
Landau equation, 177, 195
Laurent series, 62
Legendres equation, 43, 44, 66
linear combination, 93
linearisation, 50
local analysis, 154
local manifolds, 350
logarithm, 51
Galerkin method, 275

Galerkins criterion, 279
GinzburgLandau equation, 511, 512, Mach number, 483
514516
Mathieu equation, 94
Mathieus ode, 95, 96, 99101
heat, 373
Matlab, 138, 153, 154, 174, 223,
homological equation, 347, 347, 352,
224, 229, 233, 235, 388, 393,
353, 355, 356, 392, 394, 406
397
homological operator, 394
mean velocity, 273
Hopf bifurcation, 380, 393, 397
Morrisons equation, 85
hyperbolic, 350
multiple scales, 3, 108
hyperbolic equilibrium, 350
natural coordinates, 269, 279
indicial equation, 51, 54
Newton diagram, 237
infinite loop, 12, 22
nonlinear ode, 38, 38, 42, 46, 50, 65,
initial conditions, 35, 38, 4346, 48
66
inner product, 307
nonlinear differential equations, 3
integration by parts, 276, 280
normal form, 71, 93, 341
interpolation, 265, 272, 274
interpolation, cubic, 270
order of, 42, 48, 50
interpolation, quadratic, 269
pattern matching, 82, 84
invariant manifold, 159
pendulum, 84
inviscid, 122
iteration, 35, 38, 40, 42, 43, 45, 48, phase plane, 38, 93
potential energy, 265
52, 56, 65
power series, 6, 8, 1114, 17, 22, 33,
kinematic condition, 457
35, 36, 38, 40, 42, 43, 48, 50,
51, 53, 66, 67
KuramotoSivashinsky equation, 207,
337
power series method, 38
528
Index
singular problem, 56
slow manifold, 161, 165, 171, 171,
quadratic equation, 4, 6, 8, 12
190, 206, 208, 247
quasi-stationary probability, 149
slow subspace, 161
solution, 267, 273, 278
Rayleigh number, 374
solvability condition, 194, 306, 307
RayleighBenard convection, 209
solvability conditions, 203
Reduce, 3, 9, 11, 1821, 23, 25 stable manifold, 171, 348, 349, 350,
34, 3642, 4547, 49, 53
351, 359
55, 57, 6567, 80, 81, 89
stationary probability, 149
91, 9396, 99, 100, 102
steady flow, 376
104, 184, 185, 189, 195
Stieltjes, 56, 57
197, 208, 210, 214, 216, 219,
Stieltjes integral, 5860, 68
220, 298, 300, 304, 354, 360,
Stieltjes series, 57, 59, 60, 62, 68
393, 394, 396, 416, 417, 423,
stiffness matrix, 266, 267
424, 426429, 449, 466, 474,
strain energy, 266
497, 509
stream-function, 376
regular, 15
stress, 268
regular perturbation, 22
structurally stable, 397
rescale, 18, 22
supplementary features, 268, 273
residual, 68, 1114, 16, 44, 44, 46,
SwiftHohenberg equation, 209, 507
48, 50, 52, 54, 171
510, 513515
residuals, 279
resonance, 357
Taylor series, 58, 11, 16, 35, 36, 38,
river, 273
42, 43, 46, 50, 60, 62, 6567
Rossler system, 413
testing, 50
row vector, 149
tetrahedral element, 272
Prandtl number, 375
saddle point, 350

salinity, 373
salinity Rayleigh number, 374
secular, 77
singular, 267
singular perturbation, 15, 22
singular perturbations, 167
singular point, 51
thin beam, 270

triangular elements, 271
turbulent diffusivity, 274
undetermined coefficients, 2325
unstable manifold, 166, 348, 349, 350,
351, 361
van der Pol equation, 85
Index
529
vector, convention, 149

velocity potential, 123
vorticity, 377
weighted residuals, 273
zero divisor, 357

Modelling Tonyroberts

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Modelling Tonyroberts

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Model emergent dynamics in complex systems

Professor of Applied Mathematics, School of Mathematical Sciences,

Tony Roberts, November 26, 2009

1 Asymptotic methods solve algebraic and differential equations

3 Centre manifolds introduced

Irregular centre manifolds encompass novel applications . . . 252

4 High fidelity discrete models use slow manifolds

6 Hopf bifurcation has oscillation within

7 Large-scale spatial variations

8 Slow manifolds guide the mean dynamics

Tony Roberts, November 26, 2009

Tony Roberts, November 26, 2009

Asymptotic methods solve

Perturbed algebraic equations solved iteratively

Base iteration upon the residual . . . . . . . . . .

Rescale singular perturbations . . . . . . . . . . . 15

Undetermined coefficients are quicker than algebra 22

Introducing reduce computer algebra . . . . . . . 26

Power series solve ordinary differential equations

Picard iteration is easy

Iteration is very flexible . . . . . . . . . . . . . . . 42

Divergent series are useful . . . . . . . . . . . . . . 56

The normal form of oscillations give their amplitude and frequency . . . . . . . . . . . . . . . .

Simple evolving nonlinear oscillations . . . . . . . 69

Chapter 1. Asymptotic methods solve algebraic and differential equations

Duffing oscillator has a nonlinear frequency correction . . . . . . . . . . . . . . . . . . . . . . . . . 74

Iteration easily constructs the normal form . . . . 80

Carefully define emergent variables . . . . . . . . . 83

Oscillations have complex modulation . . . . . . . 86

Forcing or variation also modulates oscillations . . 94

Mathematics is not a careful march down a well-cleared highway,

1.1. Perturbed algebraic equations solved iteratively

Section 1.1.4 gives an elementary introduction to the key features of the

Perturbed algebraic equations solved

this section is a preliminary draft.

Algebraic equations introduce in a simple setting some of the basic ideas

Chapter 1. Asymptotic methods solve algebraic and differential equations

Base iteration upon the residual

Let us start with this simple quadratic equation for variable x:

1.1. Perturbed algebraic equations solved iteratively

of the exact positive root of the quadratic (1.3), namely,

where we have expanded the square-root in a binomial series.

Chapter 1. Asymptotic methods solve algebraic and differential equations

Use the residual to guide improvements

1.1. Perturbed algebraic equations solved iteratively

Now seek an improvement appropriate for non-zero parameter . Seek

Chapter 1. Asymptotic methods solve algebraic and differential equations

to guide our choice of correction x

1.1. Perturbed algebraic equations solved iteratively

10 Chapter 1. Asymptotic methods solve algebraic and differential equations

Dialogue 1.1 output using Algorithm 1.1.

Tony Roberts, 6 Mar 2009

1.1. Perturbed algebraic equations solved iteratively

on div; off allfac; on revpri;

12 Chapter 1. Asymptotic methods solve algebraic and differential equations

It is reliable The iteration is self-checking in that the crucial requirement

The perturbation need not be small In the above example power

1.1. Perturbed algebraic equations solved iteratively

14 Chapter 1. Asymptotic methods solve algebraic and differential equations

1. For example, define x = 1 +  then square this definition to the

2. Similarly find the power series of 1/ 1 + 2 .

3. 1 2 + 32 43 + 54 65 + 76 +

Tony Roberts, 6 Mar 2009

1.1. Perturbed algebraic equations solved iteratively

Now seek an improvement appropriate for non-zero parameter . Seek

1. For example, define x = 1 + then square this definition to the

2. Similarly find the power series of 1/ 1 + 2 .

3. 1 2 + 32 43 + 54 65 + 76 +

The neglected term x 1/ is then larger than both the two