Integral Equations

Theory and Numerical Treatment

Wolfgang Hackbusch

6
Forschungs- und Technoiogia2QP4rum

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31S

Birkhauser Verlag Basel Boston Berlin

Contents

Preface Contents Notations 1 Introduction 1.1 Integral Equations 1.2 Basics from Analysis 1.2.1 Continuous Functions 1.2.2 Lipschitz Continuous Functions 1.2.3 Holder Continuous Functions 1.3 Basics from Functional Analysis 1.3.1 Banach Spaces 1.3.2 Banach Spaces Cx(D), c(D), Cx(D) 1.3.3 Banach Spaces LUD), L2(D),LCO(D) 1.3.4 Dense Subspaces 1.3.5 Banach's Fixed Point Theorem 1.3.6 Linear Operators 1.3.7 Theorem of Uniform Boundedness 1.3.8 Compact Sets and Compact Mappings 1.3.9 Riesz-Schauder Theory 1.3.10 Hilbert Spaces, Orthogonal Complements, Projections 1.4 Basics from Numerical Mathematics 1.4.1 Interpolation 1.4.2 Quadrature 1.4.3 Condition Number of a System of Equations 2 Volterra Integral Equations 2.1 Theory of Volterra Integral Equations of the Second Kind 2.1.1 Existence und Uniqueness of the Solution 2.1.2 Regularity of the Solution 2.2 Numerical Solution by Quadrature Methods 2.2.1 Derivation of t h e Discretisation 2.2.2 Error Estimate 2.3 Further Numerical Methods 2.4 Linear Volterra Integral Equations of Convolution Type 2.5 The Volterra Integral Equations of the First Kind

, v vii xiii 1 1 3 3 3 4 S 5 6 7 8 8 9 10 11 14 14 IS 15 19 23 25 25 25 27 29 29 30 37 39 41

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Contents 4.4.5 Numerical Examples 4.5 Galerkin Method 4.5.1 Subspace, Orthogonal Projection 4.5.2 Derivation of the 2System of Equations 4.5.3 Convergence in L (D) and L^tD) 4.5.4 Error Estimates 4.5.5 Condition Number of the System of Equations 4.5.6 Example: Piecewise Constant Functions 4.5.7 Example: Piecewise Linear Functions 4.5.8 General Analysis of Projection Errors 4.5.9 Revisited: Piecewise Linear Functions 4.5.10 Numerical Examples 4.6 Additional Comments Concerning Projection Methods 4.6.1 Regularisation Method . . . : 4.6.2 Estimates with Respect to Weaker Norms 4.6.3 The Iterated Approximation 4.6.4 Superconvergence 4.6.5 More General Formulations of the Projection Method . . . . 4.6.6 Numerical Quadrature 4.6.7 Product Integration 4.7 Discretisation by Quadrature: The Nystrom Method 4.7.1 Description of the Method 4.7.2 Convergence Analysis 4.7.3 Stability 4.7.4 Consistency Order 4.7.5 Condition Number of the System of Equations 4.7.6 Regularisation 4.7.7 Numerical Examples 4.7.8 Product Integration 4.8 Supplements 4.8.1 Connection between the Discretisation Methods 4.8.1.1 The Kernel Approximation and the Galerkin Method . . . 4.8.1.2 From the Galerkin Method to the Collocation and Nystrom-Method 4.8.1.3 From the Collocation to the Nystrom Method 4.8.1.4 From the Collocation to the Galerkin Method 4.8.2 Method of the Defect Correction 4.8.3 Extrapolation Method 4.8.4 Eigenvalue Problems 4.8.5 Complementary Integral Equations 4.8.6 Supplement: Perturbation Theorem for Stability . . . . . . .

ix 88 91 91 92 93 96 97 100 104 105 107 109 Ill Ill 112 116 118 121 123 126 128 128 130 132 136 137 138 139 139 141 141 141 141 142 143 143 144 147 152 154

5 Multi-Grid Methods for Solving Systems Arising from Integral Equations of the Second Kind 155 5.1 Preliminaries 155 5.1.1 Notation 155 5.1.2 Direct Solution of the System of Equations 156 5.1.3 Picard Iteration 156 5.1.4 Conjugate Gradient Method 158 5.2 Stability and Convergence (Discrete Formulation) 160 5.2.1 Prolongations and Restrictions 160 5.2.2 The Banach Space Y and the Discrete Spaces y n 163

Contents 5.2.3 The Interpolation Error or Projection Error 5.2.4 Consistency 5.2.5 Stability 5.2.6 Convergence 5.3 The Hierarchy of Discrete Problems 5.3.1 Levels of Discretisations 5.3.2 Prolongations and Restrictions 5.3.3 Relative Consistency 5.3.4 Convergence 5.4 Two-Grid Iteration 5.4.1 The Two-Grid Algorithm 5.4.2 Convergence Analysis 5.4.3 Amount of Computational Work 5.4.4 Variant for A,,*/ 5.4.5 Numerical Examples 5.5 Multi-Grid Iteration 5.5.1 Algorithm (Basic Version) 5.5.2 Amount of Computational Work 5.5.3 Convergence 5.5.4 Numerical Examples 5.5.5 Variants of the Multi-Grid Methods 5.6 Nested Iteration 5.6.1 Algorithm 5.6.2 Amount of Computational Work 5.6.3 Convergence 5.6.4 Numerical Examples 5.6.5 Nested Iteration with Nystrom Interpolation 6 Abel's Integral Equation 6.1 Notations and Examples 6.1.1 Abel's Integral Equation and its Generalisations 6.1.2 Examples from Applications 6.1.3 Improper Integrals 6.2 A Necessary Condition for a Bounded Solution 6.3 Euler's Integrals 6.4 Inversion of Abel's Integral Equation 6.5 Reformulation for Kernels k(x,y)/(x-y)x 6.6 Numerical Methods for Abel's Integral Equation 7 Singular Integral Equations 7.1 The Cauchy Principal Value 7.1.1 Definition and Properties 7.1.2 Curvilinear Integrals 7.1.3 Cauchy's Principal Value for Curvilinear Integrals 7.1.4 The Example f(X,) = l/(l,-z) 7.2 The Cauchy Kernel 7.2.1 Definition and Properties 7.2.2 Regularity Properties 7.2.3 Properties of the Generated Holomorphic Function 7.2.4 Representation of K2 165 165 166 167 168 168 168 172 173 174 174 175 176 178 179 181 181 . 183 184 188 190 195 195 196 197 199 199 201 201 201 201 203 206 207 208 213 214 216 216 216 220 222 224 230 230 234 236 244

Contents 7.2.5 The Cauchy Integral on t h e Unit Circle 7.3 The Singular I n t e g r a l Equation 7.3.1 The Case of C o n s t a n t Coefficients 7.3.2 The Case of Variable Coefficients 7.3.3 General Singular Integral E q u a t i o n s 7.3.4 A p p r o x i m a t i o n of t h e Cauchy I n t e g r a l o n t h e U n i t Circle . . . 7.3.5 A p p r o x i m a t i o n of t h e Cauchy I n t e g r a l on an A r b i t r a r y Curve F 7.3.6 M u l t i - G r i d M e t h o d s for E q u a t i o n s of a Special Form . . . . 7.4 Application t o t h e Dirichlet P r o b l e m for Laplace's E q u a t i o n . . . 7.4.1 The Problem in t h e I n t e r i o r Domain 7.4.2 The Double-Layer P o t e n t i a l 7.4.3 U n i q u e n e s s and R e p r e s e n t a t i o n T h e o r e m 7.4.4 The Case of a S m o o t h Boundary f 7.4.5 The Double-Layer P o t e n t i a l for Solving t h e E x t e r i o r P r o b l e m . 7.4.6 The Tangential Derivative of t h e Single-Layer P o t e n t i a l . . . 7.5 Hypersingular Integrals

?ri 245 247 247 247 248 249 250 251 253 253 253 257 259 260 262 264

8 The Integral Equation Method 8.1 The Single-Layer Potential 8.1.1 The Singularity Function 8.1.2 Continuity of the Single-Layer Potential 8.1.2.1 Definition 8.1.2.2 Surface Integrals 8.1.2.3 Improper Integrals on Surfaces 8.1.2.4 Properties of the Single-Layer Potential 8.1.3 Derivatives of the Single-Layer Potential 8.1.3.1 The Normal Derivative 8.1.3.2 The Cauchy Principal Value for Surface Integrals 8.1.3.3 Other Directional Derivatives 8.1.4 Formulation of the Dirichlet Boundary Value Problem as First Kind Integral Equation for the Single-Layer Potential . . . . 8.1.4.1 Concerning the Interior and Exterior Problem of the Laplace Equation 8.1.4.2 The Integral Equation of the First Kind 8.1.5 Formulation of the Neumann Boundary Value Problem as Second Kind Integral Equation for the Single-Layer Potential . 8.2 The Double-Layer Potential 8.2.1 Definition 8.2.2 Regularity Properties of the Double-Layer Integral Operator . 8.2.3 Jump Properties of the Double-Layer Potential 8.2.4 Further Properties of the Double-Layer Potential 8.2.4.1 Holder Continuity 8.2.4.2 ' The Potential close to a Jump Discontinuity of the Density 8.2.4.3 The Double-Layer Potential of the Density f = l 8.2.5 Derivatives of the Double-Layer Potential 8.2.6 Integral Equations with the Double-Layer Operator 8.2.6.1 Formulation of the Dirichlet Boundary Value Problem as Integral Equation of the Second Kind with the DoubleLayer Operator 8.2.6.2 Formulation of the Neumann Boundary Value Problem as Integral Equation of the Second Kind with the DoubleLayer Operator

266 266 266 268 268 268 269 271 271 271 275 279 281 281 283 284 287 287 288 292 294 294 295 296 299 303 303 305

xii

Contents 306 309 313 . 314 314 315 316

8.2.7 Non-smooth Curves or Surfaces 8.3 The Hypersingular Integral Equation 8.4 Synopsis: Integral Equations for the Laplace Equation 8.5 The Integral Equation Method for Other Differential Equations 8.5.1 Differential Equations of Second Order 8.5.2 Equations of Higher Order 8.5.3 Systems of Differential Equations

9 The Boundary Element Method 318 9.1 Construction of the Boundary Element Method 318 9.1.1 Definition of the Boundary Element Method 318 9.1.2 Galerkin Method 318 9.1.3 Collocation Method 319 9.1.4 Convergence in the Compact Case 320 9.1.5 Convergence in the Case of Elliptic Bilinear-Forms 320 9.2 The Boundary Elements 323 9.2.1 Elements in the Two-Dimensional Case 323 9.2.2 Geometric Discretisation 324 9.2.3 Elements in the Three-Dimensional Case 325 9.2.4 Error Considerations 326 9.3 Multi-Grid Methods 327 9.3.1 Equations of the Second Kind 327 9.3.2 Equations of the First Kind 328 9.4 Integration and Numerical Quadrature 330 9.4.1 General Considerations 330 9.4.2 Weakly Singular Integrals 330 9.4.3 Nearly Singular Integrals 330 9.4.4 Strongly Singular Integrals 333 9.4.5 Treatment of Double Integrals Arising from the Galerkin Method 333 9.5 Solution of Inhomogeneous Equations 336 9.6 Computation of the Potential 336 9.6.1 Evaluation of the Potential 336 9.6.2 Evaluation of the Derivatives 336 9.6.3 Error Considerations 336 9.6.4 Extrapolation 337 9.7 The Panel Clustering Algorithm 337 9.7.1 Introduction 337 9.7.2 Panels 338 9.7.3 The Panel Clustering Method 338 9.7.3.1 The Far Field Expansion 338 9.7.3.2 Panel Clustering 338 9.7.3.3 Admissible Clusters and Admissible Coverings 339 9.7.3.4 The Algorithm for Matrix Multiplication 340 9.7.4 The Additional Quadrature Error 342 9.7.5 Complexity of the Algorithm 342 Bibliography Index 344 353