International Symposium on Nonlinear Differential Equations and Nonlinear Mechanics

1962

The Method of Integral Manifolds in the Theory of Nonlinear Oscillations

Y.A. MITROPOL’SKIY,      Institut Matematiki, Kiev, USSR

Publisher Summary

This chapter discusses the method of integral manifolds in the theory of nonlinear oscillations. An interesting trend is the extension of the integral manifolds methods to the study of infinite systems of differential equations. This is a pressing problem in connection with the study of oscillations in systems with distributed parameters described by partial differential equations and particularly in connection with the application of asymptotic methods to the study of single-frequency oscillations in electrodynamic problems. The development and application of the theory of integral manifolds to the study of systems of differential equations with a small parameter attached to the highest derivatives are sophisticated. The theory of integral manifold describes the relaxational oscillatory processes. For a degenerate oscillatory system, it is comparatively simple to find an analytical expression for the limiting cycle. At the same time, the solution of problem even for a series of particular cases is of great interest in connection with numerous problems in physics and engineering.

In my report I shall give a short presentation of basic results obtained recently (in the Soviet Union and in the U.S.A.) concerning the further development, generalization, and application to new classes of problems of the method of integral manifolds. The fundamental concepts were formulated in 1945 by Bogoliubov [2] in whose monograph a particular problem was studied concerning the properties of solutions of equations in standard form in the infinite time interval. However, the ideas and methods for proving a series of theorems are very flexible and effective and may be applied to the study of quite a wide class of differential equations with a small parameter encountered in the study of oscillatory processes.

At the present time the ideas of the theory of integral manifolds have undergone considerable development and generalization and already are used fundamentally in the study of complex phenomena which are observed in the most varied dynamic systems described by differential equations with a small parameter.

I shall dwell briefly on the general idea of this method.

In the first place we shall give an analytical definition of an integral manifold for the system of differential equations

(1)

where x, X are n-vectors of an n-dimensional euclidean space En, t is the time, ∈ is a small positive parameter, and the right-hand sides of the system satisfy certain quite general conditions for − ∞ < t < ∞ and for x in an open set Un ⊂ En.

Let each t from the interval (− ∞, ∞) correspond to a certain set St of points x, which can be analytically represented by a parametric equation of the form

(2)

where f(t, c1, c2, …, cs) satisfies a Lipschitz condition with respect to c1, c2, …, cs in the entire domain of variability of c1, c2, …, cs.

We shall say then, that St is an s-dimensional (s ≤ n) integral manifold for equation (1) if, for any solution x = x(t) of this equation, there ensues from the validity of the relationship

(3)

at any moment of time t = t0, its validity for any arbitrary real t.

Geometrically an integral manifold is a hypersurface having the property that if any value of the solution of the system of equations is located on the integral manifold (on the hypersurface), then the complete solution will be located on the integral manifold (on the hypersurface).

Originally in Bogoliubov’s monograph [2], the idea of the theory of integral manifolds was applied to the following particular problem. The particular case of system (1) is investigated when the right-hand side of the system is proportional to a small parameter and the so-called equations are in standard form

(4)

Assuming that for any x ∈ Un the limit

(5)

exists uniformly with respect to t in the interval (− ∞, ∞), the averaged equation

(6)

is also investigated simultaneously with system (4). For system (4), a sufficiently complex problem is solved: determination of a series of correspondences between the properties of exact solutions (solutions of system (4) and approximate solutions (solutions of the averaged system (6), which depend on their behavior on an infinite interval.

Thus, for example, in many important cases the averaged equations (6) admit invariant manifolds of the torus type and the following problem is of interest: Will the integral manifolds for the exact equations (4) lie in a sufficiently small neighborhood of these manifolds, and to what degree will these manifolds be stable?

Here particularly it is necessary to note that, independently of the problem mentioned above concerning the correspondence between exact and approximate solutions of system (4) (between solutions of system (4) and solutions of system (6)) which is the basic problem of the averaging method (and in general of asymptotic methods), the construction of even a local theory of integral manifolds for system (4) is of great interest in itself in connection with the fact that qualitative investigation of the solutions of system (4) are considerably simplified when these solutions are located on a manifold of smaller dimensionality than that of initial phase space.

A special peculiarity of the ideas developed in the method of integral manifolds is a certain new approach in the qualitative theory of differential equations. We are studying here two systems of differential equations—exact (equations 4) and approximate equations (6); the difference between their right-hand sides is asymptotically small.

As is known, individual solutions, as a rule, are very sensitive to small variations of the right-hand sides of equations.

In our theory we deal not with individual solutions, but with integral manifolds (not with curves, but with hypersurfaces). It appears that an integral manifold is a more stable formation with respect to small variations of the right-hand sides of equations as compared with individual solutions. In many cases we can prove theorems of the following type: if the approximate equations (6) have a certain integral manifold, then the exact equations (4) also admit an integral manifold located in an asymptotically narrow neighborhood of the integral manifold of the approximate system. At the same time, similar theorems for individual solutions can be obtained only for sufficiently rigid conditions laid upon the right-hand sides of equations (4) and (6).

Here it is appropriate to stress again that the existence of integral manifolds for exact equations (4) is also of great importance in the study of their individual solutions insofar as we can now concentrate on the study of solutions located on an integral manifold—on a hypersurface—instead of studying the entire phase space.

This relates particularly to the case of stable integral manifolds when there exists a contraction of the entire phase space toward the integral manifold.

After these preliminary remarks and the cursory characterization of basic peculiarities of the method of integral manifolds which we have illustrated as applied to equations of type (4), we go on to the study of the most characteristic types of differential equation systems with small parameter, for which the application of the ideas of the method of integral manifolds is quite effective and to the study of the characteristics of certain recently obtained results in the further development and generalization of this method.

In addition to the above-mentioned equations in standard form, more complex systems with a small parameter may be successfully studied by using the method of integral manifolds.

Thus we shall apply this method to systems which are close to autonomous of the type

(7)

and to systems which are close to nonautonomous of the type

(8)

where ∈ is a small positive parameter and x, X, X* are n-dimensional vectors of the euclidean space En.

To such systems are reduced, on a series of assumptions, numerous problems of oscillation theory: the problem of oscillations which are not close to harmonic, oscillations in a system with many degrees of freedom, relaxational oscillations, and others.

Systems of equations of the type:

(9)

can also be studied where λ is a large parameter and Xs, A are periodic (or almost periodic) functions of t. Systems of this type are encountered in the study of gyroscopic systems, the theory of accelerations, etc.

Using the method of integral manifolds, systems of a more general type may also be investigated:

(10)

Usually, for simplified application of the method of integral manifolds to the study of the types of equations presented, it is expedient to transform them into new variables, reducing them to a form which would exhibit specific features of the equations and make it possible to evaluate higher order infinitesimal terms when passing on to the approximate equations.

These transformations usually consist in reducing our systems of equations to cylindrical or polar coordinates, and formulas for substituting variables depend fundamentally on the form of the particular solutions of the corresponding nonperturbed equations, that is, of the systems of equations where ∈ = 0.

After the appropriate transformations, our systems of equations in the general case are reduced to systems of the type:

(11)

where 0 ≤ ∈ ≤ ∈0 and φ, ψ, a, b are vectors of the corresponding dimensions: k, l, m, n.

It is to be noted that in many works it is usual to investigate directly systems of type (11), and for such systems integral manifolds are investigated. However, reduction of equations to form (11) is not by any means a trivial problem.

For the types of differential equations presented above, numerous theorems have been proved on the existence and properties of integral manifolds, on the behavior of solutions located on the manifold, and also on the behavior of solutions in the neighborhood of integral manifolds. I shall dwell briefly on some typical theorems.

We shall study the system of equations in standard form

(12)

and the corresponding first approximation system of equations

(13)

where

(14)

Then the following well-known theorem by N. N. Bogolyubov is valid.

Theorem

Let equations (13) have the periodic solution x = ξ(ωt), ξ(s) = ξ(s + 2π) and let the real parts of characteristic exponents of the linear variational equations for the solution ξ(ωt) be different from zero. We also assume that the functions X(t, x) satisfy certain sufficiently general conditions in a ρ neighborhood Up of the periodical solution ξ(ωt), and are almost periodic in t uniformly with respect to x.

Under these assumptions, it is possible to find positive numbers ∈0, σ0 (σ0 < ρ) such that for every ∈ (0 ≤ ∈ ≤ ∈0) the following statements are valid:

(1) Equation (12) have a unique integral manifold St located for all t which can be represented in parametric form

(15)

where f is defined for all t, θ, periodic with respect to θ with period 2π, almost periodic with respect to t, uniformly relative to θ with the frequency basis of the function X(t, x); in addition, the following inequality is valid:

(16)

where δ(∈) → 0 as ∈ → 0 and f(t, θ, ∈) has uniformly continuous derivatives with respect to θ up to the second order inclusive.

(2) There exists a function F(t, θ, ∈) which is defined for all real t and θ, periodic relative to θ with period 2π, and almost periodic relative to t uniformly with respect to θ, which has continuous derivatives up to the second order inclusive, such that equations (12) on the manifold St is equivalent to the equation

(17)

(3) If the cylinder of periodic solutions ξ(ωt + φ) (in the space ξ, t), where φ is an arbitrary constant, of equations (13) is stable, nonstable, or conditionally stable with respect to an s dimensional point manifold, then the integral manifold S of equations (12) is stable, nonstable, or conditionally stable with respect to an s dimensional point manifold.

Recently a number of mathematicians, both in the Soviet Union and in the U.S.A., have proved a series of theorems of this type for the most varied forms of systems of differential equations, and with the aid of these theorems, the behavior and character of the solutions located on the manifold and also in its vicinity have been studied.

One of the essential stages in proving this kind of theorem is the reduction of systems of equations (12), (7), or (8) to form (11), which is convenient for the further study and proof of auxiliary lemmas.

In this reduction a fundamental difficulty arises (particularly in reduction of the equations to the standard form (12)) in the selection of such a substitution of variables that in the new [transformed] equations, the terms which depend upon the time t will be contained in terms of a higher order infinitesimal. After this the family of solutions of our system is sought in such a way that it will belong to a specially selected class of functions. For this the last equation (or the last two equations) of our system is investigated in which an arbitrary function from a given class is substituted for φ and ψ the solution of a certain functional equation is then sought by the use of the principle of a fixed point. Further, for the manifold obtained, periodicity or almost periodicity with respect to t and stability properties are established from the fact that this manifold satisfies the equation.

Here it should be noted that it is an interesting and useful detail that (because the transformation obtained from the system of differential equations in the process of proving the existence and uniqueness of the integral manifold is a contraction [which transfers every term C(D, Δ) of the class of functions F(t, θ, ∈) into a term C(D, Δ)]) the integral manifold can be calculated by means of successive approximations.

Of essential importance in the method of proving all the previous theorems is the fact that this method makes it possible to prove the existence of the integral manifold without any special assumptions concerning the dependence on time of the right-hand sides of the equations. This makes it possible to apply the method to the study of properties of integral manifolds for systems of differential equations of the type

(18)

in which the right-hand sides depend arbitrarily on t. Assuming that systems of type (18) satisfy a series of conditions, theorems are obtained which fundamentally facilitate the study of complex phenomena observed in nonstationary oscillatory processes.

Interesting results are obtained in the study of an integral manifold for systems of equations of the type

(19)

which describe a weak periodic perturbation of relaxation oscillations. Here the following theorem is valid [9]:

Theorem

For a system of differential equations (19), let the following conditions be satisfied:

(a) the equations of nonperturbed motio

(20)

have the periodic solution

(21)

which depends on one arbitrary constant φ (ψ = ωt + φ);

(b) the real parts of all n − 1 characteristic exponents for the equations of variations,

(22)

which correspond to the periodic solution (21), are different from zero;

(c) it is possible to find a ρ—neighborhood, Dρ, of the orbit of the periodic solution (21) and an ∈0 such that in the domain − ∞ < t < ∞, x ∈ Dρ, 0 ≤ ∈ ≤ ∈0, the functions

(23)

are infinitely differentiable with respect to x and ∈ and have in the same domain bounded and uniformly continuous derivatives;

(d) The functions X*(vt, x, ∈) are either almost periodic with respect to vt or has an average with respect to t.

Then there exist positive numbers ∈′ and σ (σ < ζ, ∈′ < ∈0) such that for any positive ∈ < ∈′ the following assertions are valid:

(1) Equation (19) has a unique integral manifold in the domain

(24)

which can be represented in parametric form

(25)

where Φ(vt, ψ, ∈) is defined in the domain − ∞ < t < ∞, ψ ∈ Ω, 0 < ∈ < ∈′ and has the period 2π with respect to ψ.

(2) For solutions located on the manifold (25), system (19) is equivalent to the equation

(26)

in which the function F(vt, ψ, ∈) is defined in the domain − ∞ < t < ∞, ψ ∈ Ω, 0 < ∈ < ∈′, is infinitely differentiate with respect to ψ and periodic with respect to ψ with period 2π.

(3) The manifold (25) has the same stability and instability or conditional stability properties as the cylinder of periodic solutions (21). This theorem permits a more detailed analysis of integral curves in the case when X*(vt, x, ∈) is a periodic function with respect to vt with period 2π. In this case the following theorem is valid:

Theorem

If in addition to the conditions of the preceding theorem, X*(vt, x, ∈) is a periodic function with respect to vt with period 2π, then it is possible to find positive numbers ∈′ and σ (∈′ < ∈0, σ < ρ), such that for any positive ∈ < ∈′, the system has an integral manifold St (in the form of a torus) which satisfies the conditions of the preceding theorem.

Solutions of system (7) which are located on this integral manifold can be represented in the form

(27)

is irrational or rational.

In the latter case, any non-periodic solution located on this integral manifold converges to one of the periodic solutions.

Finally, if n − 1 of the characteristic exponents of (22) have negative real parts, then any solution of system (19) passing at t = t0 through any point of the domain Uσ approaches as t → ∞ one of the above-shown stationary solutions located on the manifold St.

In connection with this, the convergence will be sufficiently fast if the absolute value of the negative real parts of the n − 1 characteristic exponents is sufficiently large.

More complex is the study of integral manifolds for system (19) in the case when the equations of nonperturbed motion (20) have a static solution or a family of periodic solutions which depends on more than one arbitrary variable (for example on two).

In such cases we are confronted with a series of difficulties which do not make it possible to study the properties of integral manifolds in the entire phase space and compel us to study only local manifolds. The extensive work by Lykova [6], which we shall not discuss here, is devoted to these questions.

We turn now to the interesting results obtained recently by Hale and Stokes [4] on the behavior of solutions in the neighborhood of integral manifolds.

Let a system of autonomous differential equations

(28)

be given where x, X, are n-dimensional vectors of euclidean space En.

We assume that x = x⁰(t) is a periodic solution of system (28). Then, as is known, this periodic solution is asymptotically orbitally stable (that is, in the x-space the closed curve C0, determined by the equation x = x⁰(t), is asymptotically stable) if n − 1 of the characteristic exponents of the system of equations in variations

(29)

corresponding to the solution x = x⁰(t), have negative real parts.

If x⁰(t) is a solution of equation (28), then x⁰(t + φ), where φ is an arbitrary constant, is also a solution, and therefore the function x⁰(t + φ) defines a cylinder in (x, t)-space.

If the closed curve in x-space is stable, then it is obvious that the cylinder C in (x, t) space is also stable. Under the same assumptions about the characteristic exponents of the system of equations in variations (29), as is known, there exists not only cylindrical asymptotic stability, but also so-called asymptotic orbital stability with the asymptotic phase consisting of the fact that for any solution x(t) of equation (28) with x0 sufficiently close to C, there exists such a φ0 that x(t) − x⁰(t + φ0)→0 as t → ∞.

J. K. Hale and A. Stokes studied the case when system (28) has a (k + 1) parametric family of periodic solutions x = x⁰[ω(a)t + φ a], where a = (a1, a2, …, ak) and φ is a real constant. In the (x, t)-space such a family of solutions defines a k-parameter family of cylinders Ca or a (k + 1)-dimensional manifold m of solutions. For a fixed value of a, the equation in variations (29) can be formed and in the general case will have (k + 1) characteristic exponents equal to zero.

Assuming that n − (k + 1) characteristic exponents of the system (29) have negative real parts (for every value of the vector a), the authors show that under sufficiently general conditions upon the manifold m, for any solution x(t) of (equation (28) with x(0) sufficiently close to m, there exist φ0, a0 such that x(t) − x⁰[ω(a0)t + φ0, a0]→ 0 when t → ∞; that is, x(twith asymptotic amplitude and asymptotic phase.

The following interesting problem is further studied: we assume that system (28) has an asymptotic orbitally stable periodic solution x⁰(t) and the function X*(t, x), which describes a perturbation acting on system (28), converges uniformly to zero at t → ∞ for all t ≥ T and x ∈ U, where U is a bounded set in x-space. In this case will the solution of the perturbed system, x*(t) approach the cylinder defined by function x⁰(t + φ) when x⁰(t) will not in general satisfy the perturbed equation?

In connection with this question, the following theorem is presented.

Theorem

We assume that the system of equations

(30)

where x, X are real, n-dimensional vectors, X ∈ C² has the (k + 1)-parameter family of real periodic solutions:

(31)

where a = (a1, …, ak), φ are real constants, and

where U is either an open set in Ek or a unique point; in the latter case k = 0.

If n − (k of the system of linear equations in variations which corresponds to the periodic solution (31) have negative real parts for all a ∈ U and

(32)

for all a ∈ U, s ∈ R, then the manifold m, determined by expressions (31), is asymptotically stable with asymptotic phase and amplitude realtive to the perturbed system dx/dt = X(x) + X*(t, x) provided that X*(t, x) has a finite double integral with respect to t for all t ≥ T, x ∈ U.

The method of integral manifolds can be successfully applied to the study of complex oscillatory phenomena in relaxational systems.

As is known, in many cases, relaxational oscillations in systems with many degrees of freedom are described by systems of differential equations with a small parameter in certain derivatives. In connection with

this fact, we shall present certain results of Zadiraka [12] related to the study of the system of equations

(33)

where x, f are n-dimensional vectors, and z and F are m-dimensional vectors in euclidean space En+m.

Assuming the existence of the

(34)

uniformly with respect to x, z ∈ En+m, simultaneously with system (33), there is studied the degenerate system

(35)

where z = φ(t, x) is determined as a root of the equation

(36)

It is assumed that in the domain

(37)

in addition to conditions (34), conditions of continuity and boundedness of the right-hand sides of equations (33) are also satisfied, as well as the condition that the roots of the characteristic equation,

(38)

where A(t, x) = F′z(t, x, 0) is a square matrix of order m satisfy the condition

(39)

Under these conditions a theorem is proved which establishes the existence and a series of properties of the integral manifold of system (33) which is close to the integral manifold

Theorem

Under the above-mentioned conditions, it is possible to find a positive ∈0 such that, for all positive ∈ < ∈0, system (33) has a unique local integral manifold of the form

(40)

where ψ(t, x, ∈) is definite in the domain − ∞ < t < ∞, x ∈ Un and satisfies the inequalities

(41)

where D(∈) → 0, Δ(∈) → 0 for ∈→ 0, and φ(t, x) is an isolated root of equation (36). Moreover, the manifold (40) has bounded and uniformly continuous derivatives with respect to x, the order of which is determined from the order of smoothness of the vectors f and F.

This theorem makes it possible to analyze the structure of the solutions of system (33). Thus, for example, if the vector functions f(t, x, z, t/∈), F(t, x, z) are periodic with respect to t with period 2π, and system (35) has an isolated periodic solution x = x(t), z = z(t) with period 2π, then using the preceding theorem, no difficulties arise in proving [12] the existence of the unique periodic solution x = x(t, ∈), z = z(t, ∈) of system (33) with period 2π which, as ∈ → 0, converges to the periodic solution of system (35) uniformly with respect to t.

Autonomous relaxational systems may be studied analogously.

Due to the shortage of time in my report I have dwelt briefly on certain theorems and ideas of the theory of integral manifolds in conformity with the study of a series of classes of differential equations containing a small parameter, and I have had no opportunity to touch upon numerous interesting and important results recently obtained in our country and the U.S.A.

Here are pertinent results, for example, obtained in the past two or three years by Hale and Stokes [4], Markus [8], Diliberto [3], Koosis [5], Reinhart [11], and others, which concern problems of the existence of integral manifolds for special types of differential equations, study of the behavior of solutions located on manifolds and in the vicinity of manifolds, application of the method of integral manifolds to stability problems, etc.

The work of Lykova [7] is devoted to the study of local integral manifolds, that of K. V. Zadiraka to manifolds in relaxational systems; also, interesting results were obtained by Pontryagin and Mishchenko [10], by Anosov [1], and others, in the study of complex phenomena described by differential equations containing a small parameter attached to the derivative.

Finally, we shall dwell briefly on certain aspects of the further development of the theory of integral manifolds and its application to the study of numerous actual problems of nonlinear mechanics and related problems of differential equations containing a small parameter which are encountered in these problems.

An interesting trend is the extension of the integral manifolds methods to the study of infinite systems of differential equations. This is a pressing problem in connection with the study of oscillations in systems with distributed parameters (vibration of beams, shafts, turbine rotors, etc.) described by partial differential equations, and particularly in connection with the application of asymptotic methods to the study of single-frequency oscillations in electrodynamic problems, etc.

Certain essential difficulties, however, will apparently be encountered, for example, in regard to the reducibility of infinite systems with periodic coefficients and other problems; therefore, it is to be expected that effective results can be obtained only for particular cases when the oscillatory systems with distributed parameters studied are restricted by certain sufficiently rigid conditions.

A prospective trend is the extension of the integral manifolds method to systems of differential equations with delayed argument. Here in all probability, it will be possible to generalize most of the above-mentioned theorems on the existence and properties of integral manifolds for quite a wide class of differential equations with delayed argument, at least in cases of small delay, slowly varying delay, and others. Results which can be obtained here will unquestionably be of interest for the study of oscillatory phenomena and stability problems in complex control systems, servo-systems, etc.

Pressing but quite complicated is the problem of the development and application of the theory of integral manifolds to the study of systems of differential equations with a small parameter attached to the highest derivatives which describe relaxational oscillatory processes. In the case when for a degenerate oscillatory system it is comparatively simple to find an analytical expression for the limiting cycle, then, as is evident from the series of theorems presented above, it is comparatively easy to apply the method and to obtain a series of interesting results. For the case when the limiting cycle of a degenerate system is not sufficiently smooth, a series of fundamental difficulties arise. At the same time, the solution of this problem even for a series of particular cases is of great interest in connection with numerous problems in physics and