Derivation and validation of an initial-value method for certain nonlinear two-point boundary-value problems

Much of the theory of invariant imbedding is devoted to transforming two-point boundary-value problems into Cauchy problems. Numerous references are given. In this paper, a proof is given that the solution of the Cauchy problem does indeed satisfy the boundary-value problem. The discussion is self-contained and general enough to cover many applications in optimal control and radiative transfer.     

Some relationships between Green's functions and invariant imbedding

The method of invariant imbedding has been used to resolve the solution of linear two-point boundary-value problems into contributions associated with the homogeneous equation with homogeneous boundary conditions, with inhomogeneous boundary conditions, and with an inhomogeneous source term in the equation. The relationship between the Green's function and the invariant imbedding equations is described, and it is shown that the Green's function can be determined from an initial-value problem. Several numerical examples are given which illustrate the efficacy of the initial-value algorithm.This work was supported by the US Atomic Energy Commission.     

A comparison of several invariant imbedding algorithms for the solution of two-point boundary-value problems

A comparison of several invariant imbedding algorithms for the numerical solution of two-point boundary-value problems is presented. These include the Scott algorithm, the Kagiwada-Kalaba algorithm, the addition formulas, and the sweep method. Advantages and disadvantages of each algorithm are discussed, and numerical examples are presented.     

Numerical integration of a class of singular perturbation problems

In this paper, we discuss an approximate method for the numerical integration of a class of linear, singularly perturbed two-point boundary-value problems in ordinary differential equations with a boundary layer on the left end of the underlying interval. This method requires a minimum of problem preparation and can be implemented easily on a computer. We replace the original singular perturbation problem by an approximate first-order differential equation with a small deviating argument. Then, we use the trapezoidal formula to obtain the three-term recurrence relationship. Discrete invariant imbedding algorithm is used to solve a tridiagonal algebraic system. The stability of this algorithm is investigated. The proposed method is iterative on the deviating argument. Several numerical experiments have been included to demonstrate the efficiency of the method.The authors wish to express their sincere thanks to Dr. S. M. Roberts for his comments and valuable suggestions.     

A nonasymptotic method for singular perturbation problems

In this paper, an approximate method for the numerical integration of singularly perturbed two-point boundary-value problems with a boundary layer on the left end of the underlying interval is presented. The method is distinguished by the following fact: the original second-order differential equation is replaced by an approximate first-order differential equation with a small deviating argument and is solved efficiently by employing the Simpson rule, coupled with the discrete invariant imbedding algorithm. The proposed method is iterative on the deviating argument. Several numerical examples have been solved to demonstrate the applicability of the method.     

Application of invariant imbedding to linear multipoint boundary value problems with general boundary conditions

Two extensions of the usual application of invariant imbedding to the solution of linear boundary value problems are presented. The invariant imbedding formulation of a linear two point boundary value problem in which functional relationships are given between the variables at either one or both of the boundary points is presented. Also, extension of invariant imbedding to linear multipoint boundary value problems is given. Using these extensions singly or in combination, a general multipoint boundary value of linear ordinary differential equations can be solved. In addition, the problems of infinite initial conditions and / or indeterminate initial derivatives are resolved. Numerical examples demonstrate the feasibility and accuracy of the method.     

One-parameter imbedding techniques for the solution of nonlinear boundary-value problems

A powerful numerical tool for the solution of nonlinear boundary-value problems —the one-parameter imbedding technique—is suggested. The basic principle is more than twenty years old; however, its numerical utilization has had only a few restricted applications up until recent times. The methods are divided into two categories: one- and multi-loop techniques. It is shown that the multi-loop techniques are of correct and incorrect type. Based on correct procedures new iteration techniques may be developed. Numerical solutions of differential equations arising for the one-parameter imbedding methods are presented along with the corresponding iteration techniques. Some typical imbedding procedures are discussed, and practical application of the method is demonstrated on calculated examples.     

Perturbation of nonlinear potential problems

Invariant imbedding can be viewed as a nonclassical perturbation technique which converts nonlinear boundary-value problems to quasilinear initial-value problems. The application of these ideas to the nonlinear partial differential equations of the type arising in potential theory is investigated.     

Invariant imbedding and Riccati transformations

From its inception, the theory of invariant imbedding has been concerned with the study of various relations between the inputs and outputs of various physical processes. Where the processes could be modelled by differential or integro-differential equations, these ideas have led to the heuristic development of various functional relationships for the solutions of these equations. In this work, we show that for a general class of two point boundary value problems these relations can be obtained from mathematical arguments rather than physical ones. The principal result is the establishment of the equivalence of solving a family of two point boundary value problems and that of determining the existence of two transformations on the set of solutions of the given differential equations. We refer to these transformations as Riccati transformations. They are shown to be determined by a set of initial value problems which generalize the invariant imbedding equations obtained by previous authors. We work in the coordinate free setting of a Banach space. The usefulness of this approach is shown as we are able to readily extend our results to nonlocal and multipoint boundary conditions. An indication is made of how a similar theory applies to a class of problems for difference equations.     

A one-sweep method for linear elliptic equations over irregular domains

The determination of the configuration of equilibrium in a number of problems in mechanics and structures such as torsion, deflection of elastic membranes,etc., involve the solution of variational problems defined over irregular regions. This problem, in turn, may be reduced to the solution of elliptic differential equations subject to boundary conditions. In this paper, we study a method for the solution of such a problem when the region is of irregular shape. The method consists in solving the problem over a larger, imbedding, rectangular domain subject to appropriate constraints such as to satisfy the conditions of the original problem at the boundary. In this paper, we introduce the constraints by considering appropriate factors on the Green's function of the auxiliary problem. A conveniently discretized version of the problem is then treated by invariant imbedding, yielding some earlier results plus some new ones, namely, a direct one-sweep procedure that minimizes storage requirements. In addition, the present solution appears to be very convenient when the solution is required at a limited number of points. The derivations are specialized to Laplace's equation, but the method can be applied readily to general systems of second-order elliptic equations with no essential modifications. Finally, the existence of the necessary matrices in the imbedding equations is established.     

Invariant imbedding and multiple shooting for the solution of unstable linear boundary value problems

Invariant imbedding has been used to solve unstable linear boundary value problems for a few years. First this method is derived using the theory of characteristics; there the boundary value problem has to be imbedded in a problem of double dimension. If the corresponding Riccati equation has a critical length, one has to repeat the algorithm. A relation between this repeated invariant imbedding and multiple shooting is shown. In examples invariant imbedding, repeated invariant imbedding, multiple shooting and the superposition principle are compared.     

Invariant imbedding approach for the solution of the minimal surface equation

A new combined technique based on the application of a linearization procedure either (i), the combination of Outer- and Picard-approximation or (ii) the combination of Newton- and Picard-approximation, and invariant imbedding is proposed for obtaining a numerical solution of the minimal surface equation. The existence of inverses of certain matrices appearing in the invariant imbedding equations and the stability of the algorithm are investigated. The minimal surface equation under various boundary conditions and the subsonic fluid flow problem are chosen as test examples for illustrating the method. The numerical results indicate that the proposed method can be used efficiently for solving elliptic problems of a highly nonlinear nature.     

A method for solving two-point boundary-value problems of difference equations

The paper proposes an iterative solution method for discrete-time, nonlinear, two-point boundary-value problems (TPBVP) of the form: $$\begin{gathered} x(k) - x(k - 1) = f(k, x(k - 1), p(k)), \hfill \\ p(k) - p(k - 1) = g(k, x(k - 1), p(k)), \hfill \\ \end{gathered} $$ subject to $$h(x(0), p(0)) = 0,e(x(N), p(N)) = 0.$$ It is a counterpart of a method recently proposed by the authors for similar continuous-time TPBVPs with ordinary differential equations. The method, based on invariant imbedding and a generalized Riccati transformation, reduces the TPBVP to a pair of approximate initial-value problems with ordinary difference equations. Numerical tests are run on two examples originating in optimal control problems.     

The conversion of Fredholm integral equations to equivalent cauchy problems

A new method is developed for converting various classes of Fredholm integral equations into equivalent initial value problems. In contrast with previous methods, which accomplished this by imbedding the equation, with respect to some parameter, in a family of similar ones, our approach is parameter free. To effect the conversion the integral equation is first shown to be equivalent to a two point boundary value problem. The application of various invariant imbedding algorithms completes the task. An extensive examination of linear equations is made, and it is shown that our procedure leads to a substantial reduction of dimensionality over previous methods. New techniques for solving critical length and continuation problems are another important consequence of our approach.     

On solvability of non-linear semi-periodic boundary-value problem for system of hyperbolic equations

We study a non-linear semi-periodic boundary-value problem for a system of hyperbolic equations with mixed derivative. At that, the semi-periodic boundary-value problem for a system of hyperbolic equations is reduced to an equivalent problem, consisting of a family of periodic boundary-value problems for ordinary differential equations and functional relation. When solving a family of periodic boundary-value problems of ordinary differential equations we use the method of parameterization. This approach allowed to establish sufficient conditions for the existence of an isolated solution of non-linear semi-periodic boundary-value problem for a system of hyperbolic equations.     

Invariant imbedding and the solution of Fredholm integral equations with displacement Kernels— comparative numerical experiments

This paper compares the relative efficiencies of the invariant imbedding method with the traditional solution techniques of successive approximations (Picard method), linear algebraic equations, and Sokolov's method of averaging functional corrections in solving numerically two representatives of a class of Fredholm integral equations. The criterion of efficiency is the amount of computing time necessary to obtain the solution to a specified degree of accuracy. The results of this computational investigation indicate that invariant imbedding has definite numerical advantages; more information was obtained in the same length of time as with the other methods, or even in less time. The conclusion emphasized is that a routine application of invariant imbedding may be expected to be computationally competitive with, if not superior to, a routine application of other methods for the solution of some classes of Fredholm integral equations.     

Solution of some simple problems in the conduction and radiation of heat by invariant imbedding

In recent years the use of invariant imbedding in the solution of a variety of problems has been increasing. In this paper, application of this method to problems in heat conduction and radiation is demonstrated. No previous knowledge of invariant imbedding is assumed. The method is applied to several relatively simple problems. The initial value problem obtained by the method is numerically stable. Sample calculations are presented which demonstrate the accuracy of the algorithm.     

SUPERSYMMETRIC INVARIANCE AND UNIVERSAL CENTRAL EXTENSIONS OF LIE SUPERTRIPLE SYSTEMS

In this article, we discuss some properties of a supersymmetric invariant bilinear form on Lie supertriple systems. In particular, a supersymmetric invariant bilinear form on Lie supertriple systems can be extended to its standard imbedding Lie superalgebras. Furthermore, we generalize Garland＇s theory of universal central extensions for Lie supertriple systems following the classical one for Lie superalgebras. We solve the problems of lifting automorphisms and lifting derivations.