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A FAST AND WELL-CONDITIONED SPECTRAL METHOD FORSINGULAR INTEGRAL EQUATIONS
RICHARD MIKAEL SLEVINSKY∗ AND SHEEHAN OLVER†
Abstract. We develop a spectral method for solving univariate singular integral equationsover unions of intervals by utilizing Chebyshev and ultraspherical polynomials to reformulate theequations as almost-banded infinite-dimensional systems. This is accomplished by utilizing low rankapproximations for sparse representations of the bivariate kernels. The resulting system can besolved in O(nopt) operations using an adaptive QR factorization, where nopt is the optimal number ofunknowns needed to resolve the true solution. Stability is proved by showing that the resulting linearoperator can be diagonally preconditioned to be a compact perturbation of the identity. Applicationsconsidered include the Faraday cage, and acoustic scattering for the Helmholtz and gravity Helmholtzequations, including spectrally accurate numerical evaluation of the far- and near-field solution. TheJulia software package SIE.jl implements our method with a convenient, user-friendly interface.
Key words. Spectral method, ultraspherical polynomials, singular integral equations.
AMS subject classifications. 65N35, 65R20, 33C45, 31A10.
1. Introduction. Singular integral equations are prevalent in the study of frac-ture mechanics [23], acoustic scattering problems [36,38,41], Stokes flow [74], Riemann–Hilbert problems [54], and beam physics [17, 34]. We develop a fast and stable algo-rithm for the solution of singular integral equations of general form [49]
×∫
Γ
K(x, y)u(y) dy = f(x), Bu = c, (1.1)
where K(x, y) is singular along the line y = x, and where the × in the integral signdenotes either the Cauchy principal value or the Hadamard finite-part.
In this work, we use several remarkable properties of Chebyshev polynomials in-cluding their spectral convergence, explicit formulæ for their Hilbert and Cauchytransforms, and low rank bivariate approximations to construct a fast and well-conditioned spectral method for solving general singular integral equations. Cheby-shev and ultraspherical polynomials are utilized to convert singular integral operatorsinto numerically banded infinite-dimensional operators. To represent bivariate ker-nels, we use the low rank approximations of [67], where expansions in Chebyshevpolynomials are constructed via sums of outer products of univariate Chebyshev ex-pansions. The minimal solution to the recurrence relation is automatically revealedby the adaptive QR factorization of [57]. Diagonal right preconditioners are derivedfor the Dirichlet and Neumann integral equations such that the preconditioned oper-ators are compact perturbations of the identity. Combined with fast multiplication ofChebyshev series, our method is suitable for use in iterative Krylov subspace methods.
The inspiration behind the proposed numerical method is the ultraspherical spec-tral method for solving ordinary differential equations [57], where ordinary differ-ential equations are converted to infinite-dimensional almost banded linear systems,where an almost banded operator is banded apart from a finite number of denserows. These systems can be solved in infinite-dimensions, i.e., without truncating
∗Mathematical Institute, University of Oxford, Oxford OX2 6GG, UK.([email protected])†School of Mathematics and Statistics, The University of Sydney, Sydney, Australia. (Shee-
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the operators [58], as implemented in ApproxFun.jl [55] in the Julia programminglanguage [8,9]. The Julia software package SIE.jl [56] implements our method witha convenient, user-friendly interface. As an extension of this framework for infinite-dimensional linear algebra, mixed equations involving derivatives and singular integraloperators can be solved in a unified way.
Several classical numerical methods exist for singular Fredholm integral equationsof the first kind. These include: the Nyström method [7], whereby integral operatorsare approximated by quadrature rules; the collocation method [21,22], where approx-imate solutions in a finite-dimensional subspace are required to satisfy the integralequation at a finite number of collocation points; and the Galerkin method [28, 61],where the approximate solution is sought from an orthogonal subspace and is minimalin the energy norm. The use of Alpert’s hybrid Gauss-trapezoidal quadrature rules [1]can significantly increase the convergence rates when treating weakly singular kernels.
Numerous methods have exploited the underlying structure of the linear systemsarising from discretizing integral equations. The most celebrated of these is the FastMultipole Method of Greengard and Rokhlin [31]. Other characterizations in termsof semi-separability or other hierarchies have also gained prominence [2, 3, 32]. Ex-ploiting the matrix structure allows for fast matrix-vector products, which then allowsfor Krylov subspace methods [43] to be extremely competitive. In the special caseof the Helmholtz equation, hybrid numerical-asymptotic methods have been derivedfor frequency-independent solutions to the Dirichlet and Neumann scattering prob-lems [35,36,38,46].
Previous works on Chebyshev-based methods for singular integral equations in-clude Frenkel [25], which derives recurrence relations for the Chebyshev expansion ofa singular integral equation after expanding the bivariate kernel in a basis of Cheby-shev polynomials of the first kind in both variables, and Chan et al. [12,13] in fracturemechanics, among others. A similar analysis in [26] is used for hypersingular inte-grodifferential equations by expanding the bivariate kernel in a basis of Chebyshevpolynomials of the second kind. This paper is an extension of these ideas with essentialpractical numerical considerations.
2. Boundary integral equations in two dimensions. In two dimensions,let x = (x1, x2) and y = (y1, y2). Positive definite second-order linear elliptic partialdifferential operators (PDOs) are always reducible to the following canonical form [72]:
L[u] = ∆u+ a∂u
∂x1+ b
∂u
∂x2+ cu. (2.1)
Let Φ(x,y) denote the positive definite fundamental solution of (2.1) satisfying theformal partial differential equation (PDE):
Lx[Φ] = −δ(x− y), (2.2)
where δ is the two-dimensional Dirac delta distribution and the subscript indicatesthat L is acting in the x variable.
2.1. Exterior scattering problems. Let Γ be bounded in R2 and let D :=R2 \ Γ.
Definition 2.1 (Kress [42]). A real- or complex-, scalar- or vector-valued func-tion f defined on Γ is called uniformly Hölder continuous with Hölder exponent0 < α ≤ 1 if there exists a constant C such that:
|f(x)− f(y)| ≤ C|x− y|α, for x,y ∈ Γ. (2.3)2
By C0,α(Γ) we denote the space of all bounded and uniformly Hölder continuousfunctions with exponent α. For vectors, we take | · | to be the Euclidean distance.With the norm:
‖f‖0,α := supx∈Γ|f(x)|+ sup
x,y∈Γx 6=y
|f(x)− f(y)||x− y|α
, (2.4)
the Hölder space is a Banach space, and we can further introduce C1,α(Γ) as the spaceof all differentiable functions whose gradient belongs to C0,α(Γ).
Let Hs(Ω) define the standard Sobolev space of order s ∈ R on Ω [64].Definition 2.2 (Kress [42]). For any continuous density u and for x ∈ D, let
SΓ and DΓ define the single- and double-layer potentials:
SΓu(x) =
∫Γ
Φ(x,y)u(y) dΓ(y) : H−1/2(Γ)→ H1(D), (2.5)
DΓu(x) =
∫Γ
∂Φ(x,y)
∂n(y)u(y) dΓ(y) : H1/2(Γ)→ H1(D). (2.6)
For homogeneous equations L[u] = 0, Green’s representation theorem allows forthe determination of the exterior solutions given data on the boundary Γ:
u(x) = −SΓ [∂u/∂n] (x) +DΓ [u] (x), for x ∈ D. (2.7)
Here, [u] denotes the jump in u along Γ and [∂u/∂n] the jump in its normal derivative.These are formally defined by the Dirichlet trace and conormal derivative [61], or inthe case of the Laplace equation, simply as the difference between the limiting valueson Γ as we approach from the left and the right. This identity can be interpreted asrepresenting u in terms of the potential of a distribution of poles on Γ through thesingle-layer and normal dipoles on Γ through the double layer. With either Dirichletor Neumann boundary conditions, we restrict (2.7) to the boundary and solve for theunknown boundary value. Once both quantities on the boundary are determined, thesolution to the exterior problem is readily available in integral form.
Definition 2.3 (Radiation condition at infinity [19]). We say that u ∈ C2(D)satisfies the radiation condition at infinity if:
limρ→+∞
S|y|=ρ [∂u/∂n] (x)−D|y|=ρ [u] (x)
= 0, for x ∈ D. (2.8)
Definition 2.4 (Dirichlet Problem [42]). Given ui(x) ∈ C2(R2) satisfyingL[ui] = 0, find us(x) ∈ C2(D) ∩ C0,α(Γ) satisfying L[us] = 0 and the radiationcondition at infinity, and:
ui(x) + us(x) = 0, for x ∈ Γ. (2.9)
Definition 2.5 (Neumann Problem [42]). Given ui(x) ∈ C2(R2) satisfyingL[ui] = 0, find us(x) ∈ C2(D) ∩ C1,α(Γ) satisfying L[us] = 0 and the radiationcondition at infinity, and:
∂
∂n(x)
(ui(x) + us(x)
)= 0, for x ∈ Γ. (2.10)
3
Theorem 2.6 (Dirichlet Solution [42]). The Dirichlet problem is solved by (2.7)where [u] = 0, and the scattered solution is represented everywhere by the single-layerpotential. The density [∂u/∂n] in (2.7) satisfies:∫
Γ
Φ(x,y)
[∂u
∂n
]dΓ(y) = ui(x), x ∈ Γ. (2.11)
Theorem 2.7 (Neumann Solution [42]). The Neumann problem is solved by (2.7)where [∂u/∂n] = 0, and the scattered solution is represented everywhere by the double-layer potential. The density [u] in (2.7) satisfies:
∂
∂n(x)
∫Γ
∂Φ(x,y)
∂n(y)[u] dΓ(y) = −∂u
i(x)
∂n(x), x ∈ Γ. (2.12)
2.2. Riemann functions. In addition to the PDO in (2.1), consider its adjoint:
L∗[v] = ∆v − ∂(av)
∂x1− ∂(bv)
∂x2+ cv. (2.13)
With the change to complex characteristic variables:
z = x1 + ix2, ζ = x1 − ix2, z0 = y1 + iy2, ζ0 = y1 − iy2, (2.14)
L and L∗ take the form:
L[U ] =∂2U
∂z∂ζ+A
∂U
∂z+B
∂U
∂ζ+ CU, (2.15)
L∗[V ] =∂2V
∂z∂ζ− ∂(AV )
∂z− ∂(BV )
∂ζ+ CV, (2.16)
where:
A(z, ζ) =1
4
[a
(z + ζ
2,z − ζ
2i
)+ ib
(z + ζ
2,z − ζ
2i
)], (2.17)
B(z, ζ) =1
4
[a
(z + ζ
2,z − ζ
2i
)− ib
(z + ζ
2,z − ζ
2i
)], (2.18)
C(z, ζ) =1
4c
(z + ζ
2,z − ζ
2i
). (2.19)
Theorem 2.8 (Vekua [72]). For analytic functions (2.17)–(2.19), there existanalytic functions R(z, ζ, z0, ζ0) and g0(z, ζ, z0, ζ0) such that:
Φ(z, ζ, z0, ζ0) = − 1
4πR(z, ζ, z0, ζ0) log[(z − z0)(ζ − ζ0)] + g0(z, ζ, z0, ζ0), (2.20)
where L[Φ] = 0 in (z, ζ) and L∗[Φ] = 0 in (z0, ζ0) so long as z 6= z0 and ζ 6= ζ0.In (2.20), R is the Riemann function of the operator L satisfying:
L∗[R] = 0, (2.21)
R(z0, ζ, z0, ζ0) = exp
∫ ζ
ζ0
A(z0, τ) dτ
, and (2.22)
R(z, ζ0, z0, ζ0) = exp
∫ z
z0
B(t, ζ0) dt
. (2.23)
4
Remarks. It is straightforward to reformulate (2.21)–(2.23) to the followingintegral equation:
R(z, ζ, z0, ζ0)−∫ z
z0
B(t, ζ)R(t, ζ, z0, ζ0) dt−∫ ζ
ζ0
A(z, τ)R(z, τ, z0, ζ0) dτ
+
∫ z
z0
∫ ζ
ζ0
C(t, τ)R(t, τ, z0, ζ0) dτ dt = 1. (2.24)
Returning to the original coordinates x and y, fundamental solutions for ellipticPDOs with analytic coefficients can be written as:
Φ(x,y) = A(x,y) log |x− y|+B(x,y), (2.25)
where A and B are both analytic functions of x and y and where A(x,x) = −(2π)−1.If, furthermore, the PDO is self-adjoint, then A and B are also symmetric functionsof x and y.
3. Practical approximation theory. Chebyshev approximation theory is avery rich subject that has seen numerous exceptional contributions: see [10, 47, 69]and the references therein. In this section, we describe some approximation spacesfor one-dimensional intervals and two-dimensional squares. For every approximationspace, one may consider the interpolants, which are equal to the function at a setof interpolation points, and the projections, which are truncations of the function’sexpansion. Unless an extraordinary amount of analytic information is known abouta function, interpolants are generally easier to construct.
We consider an approximation space practical if there is a fast way to transformthe interpolation condition into approximate projections. While a few methods existto create fast transforms, all the practical approximation spaces we consider resortto some variation of the fast Fourier transform (FFT) [18, 27] to reduce O(n2) com-plexity to O(n log n). Other properties which make an approximation space practicalare: O(n) evaluation; a low Lebesgue constant; absolute, uniform, and geometricconvergence with analyticity; and, easy manipulation for the development of newproperties. For approximation on the canonical unit interval I := [−1, 1], we willmake our statements precise in the following subsection.
3.1. One dimension. Let K be the field of R or C. A function f : I→ K is ofbounded total variation if:
Vf =
∫I|f ′(z)|dz < +∞. (3.1)
Chebyshev polynomials of the first kind are defined by [47]:
Tn(x) = cos(n cos−1(x)), for n ∈ N0, and x ∈ I. (3.2)
A Chebyshev interpolant to a continuous function f : I→ K is the approximation
pN (x) =
N−1∑n=0
cnTn(x), x ∈ I, (3.3)
which interpolates f at the Chebyshev points of the first kind:
pN (xn) = f(xn) where xn = cos
(2n+ 1
2Nπ
), for n = 0, . . . , N − 1. (3.4)
5
The Chebyshev basis has fast transforms between values at Chebyshev points andcoefficients via fast implementations of the discrete cosine transforms (DCTs). The(orthogonal) Chebyshev polynomials satisfy a three-term recurrence relation that canbe used in Clenshaw’s algorithm [16] for O(n) evaluation of interpolants. Comparedwith the best polynomial approximants, Chebyshev interpolants are near-best in thesense that their Lebesgue constants exhibit similar logarithmic growth.
Theorem 3.1 (Battles and Trefethen [6]). Let f be a continuous function on I,pN its N -point polynomial interpolant in the Chebyshev points of the first kind andp?N its best degree-N − 1 polynomial approximation. Then:
1. ‖f − pN‖∞ ≤(2 + 2
π logN − 1)‖f − p?N‖∞;
2. if f has a kth derivative in I of bounded variation for some k ≥ 1, ‖f −pN‖∞ = O(N−k) as N →∞; and,
3. if f is analytic in a neighbourhood of I, ‖f − pN‖∞ = O(CN ) as N →∞ forsome C < 1; in particular we may take C = 1/(M + m) if f is analytic inthe closed Bernstein ellipse with foci ±1 and semimajor and semiminor axislengths M ≥ 1 and m ≥ 0.
An interpolant can be constructed to any relative or absolute tolerance ε bysuccessively doubling the number of interpolation conditions, transforming values tocoefficients, and determining an acceptable degree1.
3.2. Two dimensions. Numerous methods have been devised to approximatefunctions in more than one dimension. The straightforward generalization of theone-dimensional approach is to sample the function on a tensor of one-dimensionalinterpolation points and to adaptively truncate coefficients below a certain threshold.
Consider the function f : I2 → K, whose two-dimensional Chebyshev interpolanttakes the form:
pm,n(x, y) =
m−1∑i=0
n−1∑j=0
Ai,jTi(x)Tj(y). (3.5)
While the tensor approach in general suffers from the curse of dimensionality, it canstill be competitive in two dimensions, scaling with O(mn) function samples andO(min(mn log n, nm logm)) arithmetic via fast two-dimensional transforms.
The singular value decomposition of an m× n matrix A over K is the factoriza-tion [73]:
A = UΣV∗, (3.6)
where U is an m × m unitary matrix over K, Σ is an m × n diagonal matrix ofnon-negative singular values, and V∗ is an n×n unitary matrix over K. The singularvalue decomposition reveals the rank of a matrix as the number of nonzero singularvalues.
If we perform the singular value decomposition of the matrix of coefficients in (3.5),the approximation to f can be re-expressed as:
pSVD(x, y) =
k∑i=1
σiui(x)v∗i (y), (3.7)
1This heuristic determination is usually based on, among other things, the relative and absolutemagnitudes of initial and final coefficients, the decay rate of the coefficients, an estimate of thecondition number of the function, and an estimate of the Lebesgue constant for a given degree.
6
where σi are the singular values, and ui(x) and v∗i (y) are univariate Chebyshev ap-proximants with coefficients from the columns of U and the rows of V∗, respectively,and where A is of rank k. It follows that pSVD is the best rank-k approximant inL2(I2) to f that can be obtained for the original two-dimensional interpolant. Forany given tolerance ε > 0, a function f has numerical rank kε if [65]
kε = infk∈N
inffk‖f − fk‖∞ ≤ ε‖f‖∞
, (3.8)
where the inner infimum is taken over all rank-k functions.Definition 3.2 (Townsend [65]). For some ε > 0, let kε be the numerical rank of
f : I2 → K, and mε and nε be the maximal degrees of the univariate approximationsin the x and y variables. If kε(mε +nε) < mεnε, we say the function f is numericallyof low rank, and if kε ≈ min(mε, nε), then the function f is numerically of full rank.
A particularly attractive scheme for calculating low rank approximation in twodimensions can be described as a continuous analogue of Gaussian elimination [65]and is a direct extension of the greedy algorithm in one dimension [69, Chapter 5].This algorithm is studied in depth in Townsend’s DPhil thesis and implementationsare found in Chebfun [20] and ApproxFun.jl [55]. In this algorithm, the functionis initially sampled on a grid to locate its approximate absolute maximum. Twoone-dimensional approximations are created in the x and y variables to interpolatethe function along the row and column that intersect at the approximate absolutemaximum. After subtracting this rank-one approximation, the algorithm continuesits search for the next approximate absolute maximum. After k iterations, it is clearthat the approximant
pGE(x, y) =
k∑i=1
Ai(x)Bi(y), (3.9)
coincides with f in the k rows and columns whose intersections coincide with aniteration’s approximate absolute maximum. As the size of the sampling grid increases,the approximate absolute maxima will converge to the true absolute maxima and inthis sense we reproduce close aproximations to pSVD. In terms of the degrees of theone-dimensional approximations m,n and the rank k, the algorithm scales with asearch over O(mn) function samples and O(k (m logm+ n log n)) arithmetic via fastone-dimensional transforms.
Definition 3.3 (Townsend [65]). Let f : I2 → K satisfy f(x, y) = f∗(y, x) and:∫∫I2a∗(y)f(y, x)a(x) dy dx ≥ 0, (3.10)
for all a(x) ∈ C(I). Then f is Hermitian non-negative definite.When a bivariate function is Hermitian non-negative definite, even further savings
can be obtained by drawing the analogy to the Cholesky factorization of a Hermitiannon-negative definite matrix [68]:
pCholesky(x, y) =
k∑i=1
Ai(x)A∗i (y). (3.11)
In this case, it is known that the function’s absolute maxima after every iterationare on the diagonal line y = x, leading to a reduction in the dimension of the searchspace. In addition, as they are conjugates only either the row or column slices maybe computed and stored.
7
3.3. An algorithm to extract the splitting of a fundamental solution.Accurate numerical evaluation of a fundamental solution on or near the singular diag-onal may not always be possible or may be more expensive [5]. To avoid the numericalproblems associated with the singular diagonal, we use Chebyshev points of the firstkind in one direction and Chebyshev points of the second kind [47] in the other direc-tion. This ensures that the diagonal is never sampled. In terms of the DCTs, taking2n points of the first kind is optimal and taking 2n + 1 points of the second kind isnearly optimal.
When both A(x,y) and B(x,y) in (2.25) are not known a priori, but the funda-mental solution itself can be evaluated, we can use such skewed grids in combinationwith the Riemann function R to:
1. approximate A(x,y) ≡ − 12πR(x1 + ix2, x1 − ix2, y1 + iy2, y1 − iy2); and sub-
sequently,2. approximate the difference B(x,y) ≡ Φ(x,y)−A(x,y) log |x− y|.
4. The ultraspherical spectral method. The ultraspherical spectral methodof Olver and Townsend [57] represents solutions of linear ordinary differential equa-tions of the form:
Au = f, Bu = c, (4.1)
where A is a linear operator of the form:
A = aN (x)dN
dxN+ · · ·+ a1(x)
d
dx+ a0(x), (4.2)
and B contains N linear functionals. Typically, B encodes boundary conditions suchas Dirichlet or Neumann conditions. We consider u(x) in its Chebyshev expansion
u(x) =
∞∑n=0
unTn(x), (4.3)
so that u(x) can be identified by a vector of its Chebyshev coefficients u = (u0, u1, . . .)>.
To solve such a problem efficiently, a change of basis occurs for each order ofspectral differentiation, using the formula:
dλTn(x)
dxλ=
0, 0 ≤ n ≤ λ− 1,
2λ−1(λ− 1)!nC(λ)n−λ(x), n ≥ λ, (4.4)
where Cλn represents the ultraspherical polynomial of integral order λ and of degreen. This sparse differentiation has the operator representation:
Dλ = 2λ−1(λ− 1)!
λ times︷ ︸︸ ︷
0 · · · 0 λλ+ 1
λ+ 2. . .
, λ ≥ 1, (4.5)
and maps the Chebyshev coefficients to the λth order ultraspherical coefficients.Since in (4.2), each derivative maps to a different ultraspherical basis, the sparse
differentiation operators are accompanied by sparse conversion operators such that A8
can be expressed completely in the basis of highest order N :
S0 =
1 0 − 1
212 0 − 1
2
12 0
. . .
. . .. . .
, Sλ =
1 0 − λ
λ+2λλ+1 0 − λ
λ+3
λλ+2 0
. . .
. . .. . .
, λ ≥ 1.
(4.6)Therefore, the conversion and differentiation operators can be combined in A as fol-lows:
(aNDN + aN−1SN−1DN−1 + · · ·+ a0SN−1 · · · S0) u = SN−1 · · · S0f , (4.7)
where u and f are vectors of Chebyshev expansion coefficients. Were the coefficientsai(x), i = 0, . . . , N , constant, then (4.7) would represent a linear recurrence relationin the coefficients u of length at most 2N + 1. However, the coefficients are in generalnot constants, so the multiplication operators in Chebyshev and ultraspherical basesare also investigated in [57]. Let
a(x) =
∞∑n=0
anTn(x). (4.8)
Then it is shown in [57] that multiplication can be represented as a Toeplitz-plus-Hankel-plus-rank-one operator:
M0[a] =1
2
2a0 a1 a2 · · ·
a1 2a0 a1. . .
a2 a1 2a0. . .
.... . .
. . .. . .
+
0 0 0 · · ·a1 a2 a3 · · ·
a2 a3 a4 . ..
... . ..
. ..
. ..
. (4.9)
For λ > 0, an explicit formula for the entries is given in [57] and a three-term recur-rence relation is shown in [65, Chap. 6]. By the associative and distributive propertiesof multiplication, the recurrence relation for the multiplication operators is derivedfrom the recurrence relation for the ultraspherical polynomials:
Mλ[C(λ)n+1] =
2(n+ λ)
n+ 1Mλ[x]Mλ[C(λ)
n ]− n+ 2λ− 1
n+ 1Mλ[C
(λ)n−1], n ≥ 1. (4.10)
Since we assume the coefficients ai(x) to be continuous functions with bounded vari-ation on I, let m denote the highest degree Chebyshev expansion such that for someε > 0: ∥∥∥∥∥ai(x)−
m−1∑n=0
ainTn(x)
∥∥∥∥∥∞
≤ ε‖ai(x)‖∞, for i = 0, . . . , N. (4.11)
Then in this way, the system
Bu = c,
(MN [aN ]DN +MN [aN−1]SN−1DN−1 + · · ·+MN [a0]SN−1 · · · S0) u = SN−1 · · · S0f ,(4.12)
9
is almost banded width bandwidth O(m). The proposed O(m2n) solution processfor such systems is the adaptive QR factorization, generalizing (F. W. J.) Olver’salgorithm for second-order difference equations [50]. In this factorization, the forwarderror is estimated at every step in the infinite-dimensional upper-triangularization toadaptively determine the minimal order nopt required to resolve the solution belowa pre-determined accuracy. Since the unitary transformations implied by Q preservethe rank structure, the back substitution is also performed with O(nopt) complexity.
Figure 4.1 shows the typical structure of the system and an example of the typeof singularly perturbed boundary value problem that it can solve efficiently.
0 20 40 60 80 100j
0
20
40
60
80
100
i
1.0 0.5 0.0 0.5 1.0x
0.5
0.0
0.5
1.0
u(x
)
Figure 4.1. Solution of ε(ε + x2)u′′(x) = xu(x), u(−1) = 1, u(1) = 0 via the ultrasphericalspectral method. Left: the structure of the system. Right: a plot of the solution for ε = 10−4. Inthis case, a Chebyshev expansion of degree 3,276 is required to approximate the solution to doubleprecision.
4.1. Almost-banded spectral methods in other bases. The key elementsof the ultraspherical spectral method are a graded set of bases that permit bandeddifferentiation and conversion within the set of bases, and multiplication operators forvariable coefficients. Other examples where a graded basis can be exploited are theJacobi polynomials (which include Legendre and ultraspherical polynomials as specialcases), and the generalized Laguerre polynomials. Hermite polynomials, which forman Appell sequence, satisfy H ′n(x) = 2nHn−1(x), and therefore do not require otherbases for conversion.
From the three-term recurrence relation satisfied by orthogonal polynomials [29]:
xπn(x) = αnπn+1(x) + βnπn(x) + γnπn−1(x), (4.13)
it follows that multiplication by x is tridiagonal:
M[x] =
β0 α0
γ1 β1 α1
γ2 β2 α2
. . .. . .
. . .
. (4.14)
Therefore, banded multiplication operators in orthogonal bases can be derived from10
the recurrence relation:
M[πn+1] =
(M[x]− βn
αn
)M[πn]− γn
αnM[πn−1], n ≥ 1. (4.15)
and consequently variable coefficients represented as interpolants have a finite-bandwidthoperator form. To numerically determine such variable coefficients practically requiresfast transforms. Among the many possibilities, see [33] for a new approach for a fastFFT-based discrete Legendre transform.
5. Ultraspherical spectral method for singular integral equations. Inthe following definitions, we identify C with R2 and let Γ be bounded in C.
Definition 5.1. Let f ∈ C0,α(Γ). The Cauchy transform over Γ is defined as:
CΓf(z) :=1
2πi
∫Γ
f(ζ)
ζ − zdζ, for z ∈ C \ Γ. (5.1)
The Cauchy transform can be extended to z ∈ Γ with integration understood asthe Cauchy principal value.
Definition 5.2. Let f ∈ C0,α(Γ). The Hilbert transform over Γ is defined as:
HΓf(z) :=1
π−∫
Γ
f(ζ)
ζ − zdζ, for z ∈ Γ, (5.2)
where the integral is understood as the Cauchy principal value:
1
π−∫
Γ
f(ζ)
ζ − zdζ =
1
πlimρ→0
∫Γ\Γ(z;ρ)
f(ζ)
ζ − zdζ, (5.3)
where Γ(z; ρ) := ζ ∈ Γ : |ζ − z| ≤ ρ.Lemma 5.3 (Sokhotski–Plemelj [60, 62]). If f ∈ C0,α(Γ), then:
HΓf(z) = i[C+ + C−]f(z), (5.4)
where C± denotes the limit from the left/right of Γ.With the Hilbert and Cauchy transforms, further integrals with singularities can
be defined.Definition 5.4. For f ∈ C0(Γ) the log transform over Γ is defined as:
LΓf(z) :=1
π
∫Γ
log |ζ − z|f(ζ) dζ, for z ∈ C. (5.5)
For f ∈ C1,α(Γ) the derivative of the Hilbert transform is defined as:
H′Γf(z) :=1
π=
∫Γ
f(ζ)
(ζ − z)2dζ, for z ∈ Γ, (5.6)
where the integral is understood as the Hadamard finite-part [44,48]:
1
π=
∫Γ
f(ζ)
(ζ − z)2dζ =
1
πlimρ→0
∫Γ\Γ(z;ρ)
f(ζ)
(ζ − z)2dζ − 2f(z)
ρ
, (5.7)
where Γ(z; ρ) is defined as in Definition 5.2.Remarks.
11
1. The Sokhotski-Plemelj lemma offers a convenient way to compute the Hilberttransform via the limit of two Cauchy transforms.
2. Differentiating the log transform with respect to z, we recover the real partof the Hilbert transform.
3. The use of the Cauchy principal value and the Hadamard finite-part allowsfor the regularization of singular and hypersingular integral operators, respec-tively.
On a contour Γ, we expand the kernel of the singular integral equation (1.1) inthe following way:
Au = f, Bu = c, (5.8)
for
Au =1
π=
∫ 1
−1
(K1(x, y)
(y − x)2+K2(x, y)
y − x+ log |y − x|K3(x, y) +K4(x, y)
)u(y) dy,
where K1, K2, K3 and K4 are known continuous bivariate kernels, f is continuous, Bcontains N linear functionals, and u is the unknown solution. If in (5.8), we replacethe bivariate kernels with low rank approximations,
Kλ(x, y) ≈kλ∑i=1
Aλ,i(x)Bλ,i(y), for λ = 1, 2, 3, 4, (5.9)
we achieve at once two remarkable things: firstly, the approximations are compressedrepresentations of the kernels; and secondly, the separation of variables in the lowrank approximation allows for the singular integral operators to be constructed viathe Definitions 5.2 and 5.4.
In the following two subsections, we consider the case where Γ is the unit interval,and emulate the construction of the ultraspherical spectral method for ODEs to arriveat an almost-banded system to represent (5.8). In this setting, we must use weightedChebyshev bases to accomplish this task.
5.1. Inverse square root endpoint singularities. Indeed, the Hilbert trans-form of weighted Chebyshev polynomials is known [39]:
H(−1,1)
[Tn(x)√1− x2
]=
0, n = 0,
C(1)n−1(x), n ≥ 1,
(5.10)
This operation can then be expressed as the banded operator from the weightedChebyshev coefficients to the ultraspherical coefficients of order 1:
H(−1,1) =
0 1
11
. . .
. (5.11)
Upon integration with respect to x, we obtain an expression for the log transform:
L(−1,1)
[Tn(x)√1− x2
]=
− log 2, n = 0,
−Tn(x)
n, n ≥ 1,
(5.12)
12
or as an operator from the weighted Chebyshev coefficients to the Chebyshev coeffi-cients:
L(−1,1) =
− log 2
−1− 1
2. . .
. (5.13)
In addition, upon differentiation with respect to x, we also obtain an expression forthe derivative of the Hilbert transform:
H′(−1,1)
[Tn(x)√1− x2
]=
0, n = 0, 1,
C(2)n−2(x), n ≥ 2,
(5.14)
This operation can then be expressed as the banded operator from the weightedChebyshev coefficients to the ultraspherical coefficients of order 2:
H′(−1,1) =
0 0 1
11
. . .
. (5.15)
Lastly, the orthogonality of the Chebyshev polynomials immediately yields forthe functional
ΣΓf :=1
π
∫Γ
f(ζ) dζ (5.16)
the following:
Σ(−1,1)
[Tn(x)√1− x2
]=
1, n = 0,0, n ≥ 1,
(5.17)
or as a compact functional on the weighted Chebyshev coefficients:
Σ(−1,1) =(1 0 0 · · ·
). (5.18)
Combining the integral operators together with the bivariate approximations
H′(−1,1)[K1] =
k1∑i=1
M2[A1,i(x)]H′(−1,1)M0[B1,i(y)], (5.19)
H(−1,1)[K2] =
k2∑i=1
M1[A2,i(x)]H(−1,1)M0[B2,i(y)], (5.20)
L(−1,1)[K3] =
k3∑i=1
M0[A3,i(x)]L(−1,1)M0[B3,i(y)], (5.21)
Σ(−1,1)[K4] =
k4∑i=1
M0[A4,i(x)]Σ(−1,1)M0[B4,i(y)], (5.22)
13
we can reduce the singular integral equations of the form (5.8) into an infinite-dimensional almost-banded system:
Bu = c,(H′(−1,1)[K1] + S1H(−1,1)[K2] + S1S0(L(−1,1)[K3] + Σ(−1,1)[K4])
)u = S1S0f .
(5.23)
This system can be solved directly using the framework of infinite-dimensional linearalgebra [58], built out of the adaptive QR factorization introduced in [57].
5.2. Square root endpoint singularities. The Hilbert transform of weightedChebyshev polynomials of the second kind is also known [39]:
HI
[Un(x)
√1− x2
]= −Tn+1(x), n ≥ 0. (5.24)
This operation can then be expressed as the banded operator from the weightedultraspherical coefficients of order 1 to the Chebyshev coefficients:
HI =
0−1
−1. . .
. (5.25)
Upon integration with respect to x, we obtain an expression for the log transform:
LI
[Un(x)
√1− x2
]=
−1
2log 2 +
1
4T2(x), n = 0,
1
2
(Tn+2(x)
n+ 2− Tn(x)
n
), n ≥ 1,
(5.26)
or as an operator from the weighted ultraspherical coefficients of order 1 to the Cheby-shev coefficients:
LI =
− 1
2 log 20 − 1
214 0 − 1
4. . .
. . .. . .
. (5.27)
In addition, upon differentiation with respect to x, we also obtain an expression forthe derivative of the Hilbert transform:
H′I[Un(x)
√1− x2
]= −(n+ 1)C(1)
n (x), n ≥ 0, (5.28)
This operation can then be expressed as the banded operator from the weightedultraspherical coefficients of order 1 to the ultraspherical coefficients of order 1:
H′I =
−1
−2−3
. . .
. (5.29)
14
Lastly, the orthogonality of the Chebyshev polynomials of the second kind imme-diately yields for ΣI:
ΣI
[Un(x)
√1− x2
]=
12 , n = 0,0, n ≥ 1,
(5.30)
or as a compact functional on the weighted Chebyshev basis:
ΣI =(
12 0 0 · · ·
). (5.31)
Combining the integral operators together with the bivariate approximations:
H′I[K1] =
k1∑i=1
M1[A1,i(x)]H′IM1[B1,i(y)], (5.32)
HI[K2] =
k2∑i=1
M0[A2,i(x)]HIM1[B2,i(y)], (5.33)
LI[K3] =
k3∑i=1
M0[A3,i(x)]LIM1[B3,i(y)], (5.34)
ΣI[K4] =
k4∑i=1
M0[A4,i(x)]ΣIM1[B4,i(y)], (5.35)
and in the framework of infinite-dimensional linear algebra [58], we may solve singularintegral equations of the form (5.8) via the almost-banded system:
Bu = c,
(H′I[K1] + S0(HI[K2] + LI[K3] + ΣI[K4])) u = S0f . (5.36)
Let mx + my denote the largest sum of degrees of the bivariate Chebyshev ex-pansions of the integral kernels such that for some ε > 0:∥∥∥∥∥Kλ(x, y)−
kλ∑i=1
Aλ,i(x)Bλ,i(y)
∥∥∥∥∥∞
≤ ε‖Kλ(x, y)‖∞, for λ = 1, 2, 3, 4. (5.37)
Then, the complexity of the adaptive QR factorization is O((mx +my)2nopt), wherenopt is degree of the resulting weighted Chebyshev expansion of the solution.
Remarks.1. The observation that |dζ| = dζ on I allows us to relate line integral formula-
tions with the operators of Definitions 5.2 and 5.42.2. Mixed equations involving derivatives and singular integral operators are also
covered in this framework.3. It is straightforward to obtain the singular integral operators on arbitrary
(complex) intervals (a, b) using an affine map.
2Both variants of the singular integral operators are implemented in SIE.jl.
15
5.3. Multiple disjoint contours. Singular integral equations on a union ofdisjoint intervals Γ = Γ1 ∪ Γ2 ∪ · · · ∪ Γd are covered in this framework. We candecompose (5.8) as
B1 B2 · · · BdA1,1 A1,2 · · · A1,d
A2,1 A2,2 · · · A2,d
......
. . ....
Ad,1 Ad,2 · · · Ad,d
u1
u2
...ud
=
cf1f2...fd
, (5.38)
where each Bi is a set of linear functionals and Ai,j = AΓi |Γj . The diagonal blocksare equivalent to the previous case considered, hence result in banded representations.The off-diagonal blocks can be constructed directly by expanding the entire non-singular kernel in low rank form and using the compact functionals Σ(−1,1) or ΣI.The resulting representation is, in fact, finite-dimensional and hence every block isbanded.
Here, we show how a block-almost-banded infinite-dimensional system can beinterlaced to be re-written as a single infinite-dimensional and almost-banded system.Re-ordering both vectors (u1,u2, . . . ,ud)
> and (f1, f2, . . . , fd)> to:
U =(u1,0 u2,0 · · · ud,0 u1,1 u2,1 · · · ud,1 · · ·
)> (5.39)
F =(f1,0 f2,0 · · · fd,0 f1,1 f2,1 · · · fd,1 · · ·
)> (5.40)
amounts to a permutation of almost every row and column in (5.38). Define eachentry of B and A by:
Bi,j = B(i−1) mod d+1,b i+d−1d c,j , (5.41)
Ai,j = A(i−1) mod d+1,(j−1) mod d+1,b i+d−1d c,b j+d−1
d c, (5.42)
where the last two indices in each term on the right-hand sides denote the entriesof the functional or operator. This perfect shuffle allows for the system (5.38) to bere-written as the almost-banded system(
BA
)U =
(cF
). (5.43)
5.4. Diagonal preconditioners for compactness. We would like to showthat our formulations lead to compact perturbations of the identity. We show this forthe singular operators in equations (2.11) and (2.12) and in suitably chosen spaces.Since we are working in coefficient space, we consider the problem as defined in `2λspaces. In the case of Chebyshev expansions, this corresponds to Sobolev spaces ofthe transformed function u(cos θ).
Definition 5.5 (Olver and Townsend [57]). The space `2λ ⊂ C∞ is defined asthe Banach space with norm:
‖u‖`2λ =
√√√√ ∞∑k=0
|uk|2(k + 1)2λ <∞. (5.44)
16
Let Pn = (In,0) be the projection operator.Lemma 5.6. For the Dirichlet problem singular integral operator in (2.11), if Φ
takes the form (2.25) with A and B analytic in both x and y and if we take R to be
R = 2
1
log 2
12
3. . .
: `2λ → `2λ−1, (5.45)
then (L(−1,1)[πA] + Σ(−1,1)[πB]
)R = I +K, (5.46)
where K : `2λ → `2λ is compact for λ ∈ R.Proof. Since A(x, x) = −(2π)−1, we let A(x, y) ≡ A(x, y)− A(x, x) and separate
the operator (2.11) as:
L(−1,1)[πA(x, x)] + L(−1,1)[πA(x, y)] + Σ(−1,1)[πB]. (5.47)
It is straightforward to show
L(−1,1)[πA(x, x)]R = I : `2λ → `2λ. (5.48)
Then, we need to show that the remainder is compact. Since:
‖PnL(−1,1)P>n − L(−1,1)‖ → 0 as n→∞, (5.49)
L(−1,1) : `2λ → `2λ is compact. Compactness of Σ(−1,1) is implied by its finite-rank.Expanding A and B in low rank Chebyshev approximants, we have:
π
kA∑i=1
M0[A1,i(x)]L(−1,1)M0[A2,i(y)] +
kB∑i=1
M0[B1,i(x)]Σ(−1,1)M0[B2,i(y)]
R.(5.50)
Since A and B are analytic with respect to y, then for every i and for every λ ∈ R:
M0[A2,i(y)] : `2λ−1 → `2λ =⇒ M0[A2,i(y)]R : `2λ → `2λ, (5.51a)
M0[B2,i(y)] : `2λ−1 → `2λ =⇒ M0[B2,i(y)]R : `2λ → `2λ, (5.51b)
are bounded. Compactness follows from the linear combination of a product ofbounded and compact operators being compact.
Lemma 5.7. For the Neumann problem singular integral operator in (2.12), if Φtakes the form (2.25) with A and B analytic in both x and y and if we take R to be
R = −2
1
12
13
14
. . .
: `2λ → `2λ+1, (5.52)
17
then: (H′I[−πA] + LI[πA
′′] + ΣI[πB′′])R = I +K, (5.53)
where the two primes indicate:
A′′(x, y) =∂2A(x,y)
∂x2∂y2
∣∣∣∣x,y=(x,0),(y,0)
, (5.54)
and where K : `2λ → `2λ is compact for λ ∈ R.Proof. Since A(x, x) = −(2π)−1, we let A(x, y) ≡ A(x, y)− A(x, x) and separate
the operator (2.12) as:
H′I[−πA(x, x)] +H′I[−πA(x, y)] + LI[πA′′] + ΣI[πB
′′]. (5.55)
It is straightforward to show:
H′I[−πA(x, x)]R = I : `2λ → `2λ. (5.56)
Then, we need to show that the remainder is compact. Since:
‖PnRP>n −R‖ → 0 as n→∞, (5.57)
R : `2λ → `2λ is compact. Furthermore, showing boundedness of S0,LI,ΣI : `2λ →`2λ and H′I : `2λ+1 → `2λ is straightforward. Expanding A, A′′ and B′′ in low rankChebyshev and ultraspherical approximants, we have:
π
− kA∑i=1
M1[A1,i(x)]H′IM1[A2,i(y)]
+ S0
kA′′∑i=1
M0[A′′1,i(x)]LIM1[A′′2,i(y)] +
kB′′∑i=1
M0[B′′1,i(x)]ΣIM1[B′′2,i(y)]
R.(5.58)
Since A and B are analytic with respect to y, then for every i and for every λ ∈ R:
M1[A2,i(y)] : `2λ → `2λ+1 =⇒ H′IM1[A2,i(y)] : `2λ → `2λ, (5.59)
are bounded. Compactness follows from the linear combination of a product ofbounded and compact operators being compact.
Remarks.1. For complicated fundamental solutions whose bivariate low rank Chebyshev
approximants have large degrees, preconditioners such as those in Lemmas 5.6and 5.7 allow for continuous Krylov subspace methods or conjugate gradientson the normal equations to converge in a relatively fewer number of iterationscompared with the un-preconditioned operators. Furthermore, the low rankChebyshev approximants allow for the operator-function product to be carriedout in O((m+n) log(m+n)), wherem is the largest degree of a multiplicationoperator and n is the degree of the Chebyshev approximant of the solution.Iterative solvers are outside the scope of this article, however.
2. Operator preconditioners [37] can also be derived which would yield similarI + K results. However, working in coefficient space allows for a simplerexposition.
18
5.5. Numerical evaluation of Cauchy and log transforms on intervals.Fast and spectrally accurate numerical evaluation of the scattered far-field can bederived from Clenshaw-Curtis integration of the fundamental solution multiplied bythe density. For each evaluation point, the fundamental solution can be sampled atthe 2N roots of the 2N th degree Chebyshev polynomial, where N is the length ofthe polynomial representation of the density. Since the resulting density may be ascomplicated3 as the fundamental solution itself, doubling the length is sufficient toresolve the coefficients of the fundamental solution multiplied by the density.
It is well known that such an evaluation technique is inaccurate near the bound-ary [4]. In the context of Riemann–Hilbert problems, spectrally accurate evaluationnear and on Γ can be obtained by exact integration of a modified Chebyshev seriesthat encodes vanishing conditions at the endpoints.
Consider the modified Chebyshev series:
T0(x) ≡ 1, T1(x) ≡ x, Tn(x) ≡ Tn(x)− Tn−2(x), n ≥ 2. (5.60)
If we expand u in a Chebyshev series and this modified Chebyshev series:
u(x) =
∞∑n=0
unTn(x) =
∞∑n=0
unTn(x), (5.61)
then we have the relation:u0
u1
u2
...
=
1 0 −1
1 0 −11 0 −1
. . .. . .
. . .
u0
u1
u2
...
. (5.62)
Therefore, any finite sequences unNn=0 and unNn=0 can be transformed to the otherin O(N) operations, either via forward application of the banded operator, or via anin-place back substitution.
Lemmas 5.9 and 5.10 contain formulæ for Cauchy transforms of weighted Cheby-shev polynomials evaluated in the complex plane. These were originally derived in thisform for the upcoming book [71], based on results in [51–53, 59]. These formulæ areadapted in Lemma 5.11 for the log transform as well.
Definition 5.8. Define the Joukowsky transform:
J(z) =z + z−1
2, (5.63)
and one of its inverses:
J−1+ (z) = z −
√z − 1
√z + 1, (5.64)
which maps the slit plane C \ I to the unit disk.Lemma 5.9. For k ≥ 0:
CI[√
1− 2Uk](z) =i
2J−1
+ (z)k+1. (5.65)
3In the Helmholtz equation, for example, both the density and the fundamental solution areoscillatory with the same wavenumber.
19
Proof. We verify that the Sokhotski-Plemelj lemma is satisfied. Note that forx = cos θ we have:
limε0
J−1+ (x± iε) = x∓ i
√1− x2 = cos θ ∓ i sin θ = e∓iθ. (5.66)
It follows that:
limε0
J−1+ (cos θ + iε)k+1 − J−1
+ (cos θ − iε)k+1
2i=
e−i(k+1)θ − ei(k+1)θ
2i,
= − sin(k + 1)θ = −Uk(cos θ)√
1− cos2 θ. (5.67)
Lemma 5.10. For k ≥ 2:
C(−1,1)
[1√
1− 2
](z) =
i
2√z − 1
√z + 1
, (5.68)
C(−1,1)
[√
1− 2
](z) =
iz
2√z − 1
√z + 1
− i
2, and (5.69)
C(−1,1)
[Tk√
1− 2
](z) = −i J−1
+ (z)k−1. (5.70)
Proof. The first two parts follow immediately from the Sokhotski-Plemelj lemma.The last part follows since:
sin(k − 1)θ =cos kθ − cos(k − 2)θ
2 sin θ. (5.71)
Lemma 5.11.
LI
[√1− 2
](z) = <
J−1+ (z)2
4−
log∣∣J−1
+ (z)∣∣+ log 2
2, (5.72)
LI
[Uk√
1− 2]
(z) =1
2<
[J−1
+ (z)k+2
k + 2−J−1
+ (z)k
k
], (5.73)
L(−1,1)
[1√
1− 2
](z) = − log
∣∣J−1+ (z)
∣∣− log 2, (5.74)
L(−1,1)
[√
1− 2
](z) = −<J−1
+ (z), (5.75)
L(−1,1)
[T2√
1− 2
](z) = log
∣∣J−1+ (z)
∣∣+ log 2−<J−1
+ (z)2
2, and (5.76)
L(−1,1)
[Tk√
1− 2
](z) = <
[J−1
+ (z)k−2
k − 2−J−1
+ (z)k
k
]. (5.77)
20
Proof. These formulæ follow from integrating the formulæ for Cauchy transformsand taking the real part. We can compute the indefinite integrals directly:∫ z 1√
z − 1√z + 1
dz = − log J−1+ (z), (5.78)∫ z 1− z√
z − 1√z + 1
dz = J−1+ (z), (5.79)
2
∫ z
J−1+ (z) dz =
J−1+ (z)2
2− log J−1
+ (z), and (5.80)
2
∫ z
J−1+ (z)k dz =
J−1+ (z)k+1
k + 1−J−1
+ (z)k−1
k − 1, for k ≥ 2. (5.81)
We also have the normalization for z → +∞:∫ 1
−1
f(x) log(z − x) dx = log z
∫ 1
−1
f(x) dx+O(z−1). (5.82)
Note that:
J−1+ (z) ∼ 1
2z+O(z−3) as z →∞, (5.83)
hence:
log J−1+ (z) = − log z − log 2 +O(z−1) as z →∞. (5.84)
These formulæ can be generalized to other intervals, including in the complexplane, by using a straightforward change of variables:
L(a,b)f(z) =|b− a|
2L(−1,1)
[f
(b+ a
2+b− a
2)](
b+ a− 2z
b− a
)+|b− a|
2πlog|b− a|
2
∫ 1
−1
f
(b+ a
2+b− a
2x
)dx. (5.85)
6. Applications.
6.1. The Faraday cage. The Faraday cage effect describes how a wire mesh canreduce the strength of the electric field within its confinement. This phenomenon wasdescribed as early as 1755 by Franklin [40, §2-18] and in 1836 by Faraday [24]. Whilethe description of the phenomenon is quite prevalent in undergraduate material onelectrostatics, a standard mathematical analysis has been missing until only recentlyby Martin [45] and Chapman, Hewett and Trefethen [15]. In [15], three differentapproaches are considered for numerical simulations: a collocated least squares directnumerical calculation, a homogenized approximation via coupling of the solutions atmultiple scales, and an approximation by point charges determined by minimizing aquadratic energy functional.
In [15], it is shown that the shielding of a Faraday cage of circular wires centred atthe roots of unity is a linear phenomenon instead of providing exponential shieldingas the number of wires tends to infinity for geometrically feasible radii, i.e. radiithat prevent overlapping. In their synopsis, it is claimed that a Faraday cage withany arbitrarily shaped objects will not provide considerably different shielding in the
21
asymptotic limit. Here, we confirm this observation with infinitesimally thin plates ofthe same electrostatic capacity as wires4 angled normal to the vector from the origin totheir centres. Our numerical results are in excellent asymptotic agreement with thosepresented in [15]. Departing from the practical case of normal plates, we also considerinfinitesimally thin plates angled tangential to the vector from the origin to theircentres. In this case, we escape the practical material limit on the number of shieldsas an infinite number of plates can be modelled independent of radial parameter.
We seek to find the solution to the Laplace equation such that, in addition:
∆u(x) = 0, for x ∈ D, (6.1a)u(x) = u0, for x ∈ Γ, (6.1b)u(x) = log |x− y|+O(1), as |x− y| → 0, (6.1c)u(x) = log |x|+ o(1), as |x| → ∞. (6.1d)
Since this is a Dirichlet problem, we begin by splitting the solution u = ui + us,where:
ui(x) = log |x− y| = 2πΦ(x,y), (6.2)
is the source term with strength 2π located at y = (2, 0), as in [15]. We representus in terms of a density with the single-layer potential equal to the effect of thelogarithmic source. Alone, this represents a solution to the Laplace equation withDirichlet boundary conditions on Γ. To satisfy condition (6.1b), we augment oursystem to ensure there is a constant charge of zero on the wires and plates:∫
Γ
[∂u
∂n
]dΓ(y) = 0, (6.3)
though each wire may individually carry a different charge, and the unknown constantu0 to accommodate this condition. Figure 6.1 shows the numerical results for shieldingby normal and tangential plates. Figure 6.2 shows a plot of the convergence of thedensity coefficients and the field strength at the origin for various parameter values.
1.0 0.5 0.0 0.5 1.0 1.5 2.0x
1.0
0.5
0.0
0.5
1.0
y
2.0
1.6
1.2
0.8
0.4
0.0
0.4
0.8
1.0 0.5 0.0 0.5 1.0 1.5 2.0x
1.0
0.5
0.0
0.5
1.0
y
2.0
1.6
1.2
0.8
0.4
0.0
0.4
0.8
Figure 6.1. Left: a plot of the solution u(x) with 10 normal plates with radial parameterr = 10−1. Right: a plot of the solution u(x) with 40 tangential plates with the same radial parameter,surpassing the material limit in the original numerical experiments [15]. In both contour plots, 31contours are linearly spaced between −2 and +1.
4This corresponds to plates of width 4r where r is the wire radius.
22
0 10 20 30 40 50 60 70n
10-25
10-23
10-21
10-19
10-17
10-15
10-13
10-11
10-9
10-7
10-5
10-3
10-1
||ud1.0
1ne−un|| 2
101 102
Number of plates n
10-6
10-5
10-4
10-3
10-2
10-1
Field
str
ength
||∇u(0
)||
r=10−1 r=10−2 r=10−3
Cn−1
Figure 6.2. Left: a plot of the Cauchy error of successive approximants for the solution ofLaplace’s equation with one normal plate with r = 0.5. The + indicates where the adaptive QRfactorization terminates in double precision. Right: a plot of the field strength in the center of thecage versus the number of plates. The dashed lines represent results for normal plates, while thesolid lines represent results for tangential plates of the same electrostatic capacity. The normal andtangential plates exhibit different asymptotic scalings.
6.2. Helmholtz equation with Neumann boundary conditions. The math-ematical treatment of the scattering of time-harmonic acoustic waves by infinitelylong sound-hard obstacles in three dimensions with simply-connected bounded cross-sections leads to the exterior problem for the Helmholtz equation:
(∆ + k2)u(x) = 0, for k ∈ R, x ∈ D, (6.4a)∂u(x)
∂n(x)= 0, for x ∈ Γ, (6.4b)
limr→+∞
√r
(∂us
∂r− ikus
)= 0, for r := |x|. (6.4c)
Equation (6.4b) enforces sound-hard obstacles, while equation (6.4c) is the Sommer-feld radiation condition [63], an explicit radiation condition at infinity. Consider anincident wave with wavenumber k and unit direction d:
ui(x) = eikd·x. (6.5)
We wish to find the scattered field us such that the sum u = ui + us satisfies theHelmholtz equation in the exterior.
The fundamental solution of the Helmholtz equation is proportional to the cylin-drical Hankel function of the first kind of order zero [30, §8.405]:
Φ(x,y) =i
4H
(1)0 (k|x− y|), (6.6)
and the Riemann function is also well known [72] for the Helmholtz equation:
R(z, ζ, z0, ζ0) = J0(k√
(z − z0)(ζ − ζ0)). (6.7)
Figure 6.3 shows the rank structure of the bivariate kernels and the total solutionwith a set of randomly generated screens between [−3, 3].
23
1 3 5i
1
3
5
j
10
15
20
25
30
35
40
45
50
Figure 6.3. Acoustic scattering with Neumann boundary conditions from an incident wave withk = 100 and d = (1/
√2,−1/
√2). Left: a plot of the numerical ranks of J0(k|x − y|) connecting
domain i to domain j, where it can be seen that interaction between domains is relatively weakerthan self-interaction. Right: a plot of the total solution. 1,392 degrees of freedom are required torepresent the piecewise density in double precision.
6.3. Gravity Helmholtz equation with Dirichlet boundary conditions.The Helmholtz equation in a linearly stratified medium:
(∆ + E + x2)u(x) = 0, for E ∈ R, x ∈ D, (6.8a)u(x) = 0, for x ∈ Γ, (6.8b)
limx2→+∞
1√E + x2
∫R
∣∣∣∣ ∂u∂x2− i√E + x2u
∣∣∣∣2 dx1 = 0, (6.8c)
limx2→−∞
∫R|u|2 +
∣∣∣∣ ∂u∂x2
∣∣∣∣2 dx1 = 0, (6.8d)
limL→+∞
limx1→±∞
∫ L
−L|u|2 +
∣∣∣∣ ∂u∂x1
∣∣∣∣2 dx2 = 0, (6.8e)
models quantum particles of fixed energy in a uniform gravitational field [5]. Equa-tion (6.8b) enforces sound-hard obstacles, while equations (6.8c)–(6.8e) form an ex-plicit radiation condition at infinity derived in [5].
The fundamental solution of the Helmholtz equation in a linearly stratified mediumis derived in [11]:
Φ(x,y) =1
4π
∫ ∞0
exp i
[|x− y|2
4t+
(E +
x2 + y2
2
)t− 1
12t3]
dt
t. (6.9)
Numerical evaluation via the trapezoidal rule [70] along a contour of approximatesteepest descent on the order of 105 evaluations per second is reported in [5]. Thisequation is also known as the gravity Helmholtz equation.
Consider an incident fundamental solution with energy E and source y:
ui(x) = Φ(x,y). (6.10)
We wish to find the scattered field us such that the sum u = ui + us satisfies thegravity Helmholtz equation in the exterior. In addition to the fundamental solution,we require the Riemann function of the PDO. With the prospect of deriving a fastnumerical evaluation in future work, we prove the following theorem in Appendix A.
24
Theorem 6.1. The Riemann function of the gravity Helmholtz equation, wherec(x1, x2) = E + x2 and therefore C(z, ζ) = E
4 + z−ζ8i has the power series:
R(z, ζ, z0, ζ0) = 1 +
∞∑i=1
∞∑j=1
Ai,j(z − z0)i(ζ − ζ0)j , (6.11)
where the coefficients Ai,j satisfy (A.3)–(A.5), and the integral representation:
V (u, v) =1
2πi
∫ γ+i∞
γ−i∞
1√s2 − u/4i
exp
8iE(
(s2 − u/4i)1/2 − s)
+8i
3
(s3 − (s2 − u/4i)3/2
)+ (v − u)s
ds, (6.12)
where R(z, ζ, z0, ζ0) = V (z − z0, ζ − ζ0) and where E =E
4+z0 − ζ0
8i.
Figure 6.4 shows the total solution to the gravity Helmholtz equation with Dirich-let boundary conditions and the 2-norm condition number of the truncated and pre-conditioned system.
0 50 100 150 200 250 300n
100
101
Condit
ion N
um
ber
Figure 6.4. Acoustic scattering with Dirichlet boundary conditions from an incident fun-damental solution Φ(x,y) with y = (0,−5) and E = 20 against the sound-soft intervals((−10,−3), (−5, 0))∪ ((−2, 5), (2, 5))∪ ((5, 0), (10,−3)). Left: a plot of the 2-norm condition numberof the truncated and preconditioned system with n degrees of freedom. Right: a plot of the totalsolution. 332 degrees of freedom are required to represent the piecewise density in double precision.
7. Numerical Discussion & Outlook. The software package SIE.jl [56] writ-ten in the Julia programming language [8, 9] implements the banded singular inte-gral operators, methods relating to bivariate function approximation and constructionwith diagonal singularities, fast & spectrally accurate numerical evaluation of scat-tered fields and several examples including those described in this work. Built ontop of ApproxFun.jl, SIE.jl uses the adaptive QR factorization described in [57]and acts as an extension to the framework for infinite-dimensional linear algebra. Allnumerical simulations are performed on a MacBook Pro with a 2.8 GHz Intel Corei7-4980HQ processor and 16 GB of RAM. While timings are continuously being im-proved, Table 7.1 shows the current timings to solve the problems in section 6. Allthe numerical problems relating to our applications have been abstracted so that toexplore a new elliptic PDE in SIE.jl, the user only needs a fast evaluation of thefundamental solution and its Riemann function.
25
Table 7.1Calculation times in seconds to solve the problems in section 6. Evaluation of the scattered
field is reported per target. Timings for the Laplace equation are for 10 normal plates.
Kernel assembly Adaptive QR Evaluation of scattered field
Laplace 0.888 0.518 0.0000135Helmholtz 1.73 67.6 0.00652
Gravity Helmholtz 3.11 1.20 0.0139
For problems involving a union of a considerably large number of domains, thecurrent method of interlacing all operators can be improved. In future work on frac-tal screens motivated by [14], alternative algorithms based on hierarchical block di-agonalization via a symmetrized Schur complement [3] may be explored specificallyexploiting the low rank off-diagonal structure arising from coercive singular integraloperators of elliptic PDOs. This is close in spirit to the Fast Multipole Method [31],but applied to the banded representation of the singular integral operators, insteadof discretizations arising from quadrature rules.
As illustrated in subsection 6.2 on the acoustic scattering of the Helmholtz equa-tion with Neumann boundary conditions, SIE.jl supports higher order diagonal sin-gularities. Future work may explore the feasibility of combining automatic differen-tiation and differentiation of Chebyshev interpolants to automate the construction ofthe operators with higher order singularities such that the user need only enter thefundamental solution with its logarithmic splitting described by (2.25).
For fast and spectrally accurate numerical evaluation of the scattered field inthe whole complex plane, we use the methodology and formulæ described in subsec-tion 5.5 for the Cauchy and log transforms. Future work may consider the use ofthese modified Chebyshev series for banded operators when two disjoint contours arein close proximity. For a union of disjoint circles, a similar analysis is straightforwardwith Laurent polynomials, which is implemented in SIE.jl, with support for mixeddisjoint unions of circles and intervals. Figure 7.1 shows sample results for the Dirich-let problem for the Helmholtz equation with a union of disjoint intervals and circles.However, a combined field formulation is beneficial to ensure well-conditioning whenthe solution of the exterior problem is near an eigenmode of the interior problem. Toconsider more general boundaries than a union of disjoint intervals and circles, animportant class of domains are those that are polynomial maps from the unit intervaland circle. A considerable analysis can be performed to again obtain numericallybanded singular integral operators in via the spectral mapping theorem [71]. Whentwo or more contours coalesce, banded singular integral operators will depend on theability to produce the orthogonal polynomials associated with that domain. Densi-ties of the single- and double-layer potentials will have singularities on domains withcusps. Such an analysis is undetermined.
As discussed in [5], the fundamental solution of the gravity Helmholtz equationhas an analogy to the Schrödinger equation with a linear potential. The Helmholtzequation with a parabolic refractive index shares the same analogy and the fundamen-tal solution is also known [17,34]. Parabolic refractive indices occur when consideringthe shielding of optical fibres, leading to Gaussian beams. Scattering problems inthis context may shed light on the effects when optical fibres are occluded. Fast andaccurate numerical evaluation of the fundamental solution as well as the Riemann
26
Figure 7.1. Acoustic scattering with Dirichlet boundary conditions from incident fundamentalsolutions at the ten 10th roots of unity scaled by 2 with k = 50 with boundaries at the ten 10th rootsof unity rotated by π/10 and an additional circle centred at the origin. The intervals are each oflength 0.2, all the small circles have radii 0.05, and the largest circle has radius 0.5. 1,177 degreesof freedom are required to represent the piecewise density in double precision.
function may also be possible via the trapezoidal rule.An important area of future research is extending the method to higher dimen-
sional singular integral equations. The ultraspherical spectral method was extended toautomatically solve general linear partial differential equations on rectangles [66] andthe ideas used to do this successfully may well translate to singular integral equations.
Acknowledgments. We wish to thank Jared Aurentz, Folkmar Bornemann,Dave Hewett, Alex Townsend and Nick Trefethen for stimulating discussions relatedto this work. We acknowledge the generous support of the Natural Sciences andEngineering Research Council of Canada (RMS) and the Australian Research Council(SO).
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Appendix A. Proof of Theorem 6.1. To immediately satisfy the boundaryconditions (2.23), we start with the ansatz:
R(z, ζ, z0, ζ0) = 1 +
∞∑i=1
∞∑j=1
Ai,j(z − z0)i(ζ − ζ0)j , (A.1)
and we insert it into the integral equation (2.24):
∞∑i=1
∞∑j=1
Ai,j(z − z0)i(ζ − ζ0)j
+
∫ z
z0
∫ ζ
ζ0
(E
4+t− τ
8i
)1 +
∞∑i=1
∞∑j=1
Ai,j(t− z0)i(τ − ζ0)j
dτ dt = 0. (A.2)
With the initial values:
A1,1 = −E4− (z0 − ζ0)
8i, A2,1 = − 1
16i, A1,2 =
1
16i, A2,2 = A2
1,1/4, (A.3)
and the additional values:
Ai,1 = A1,i = 0, for i > 2, Ai,j = 0, for i ≤ 0, j ≤ 0. (A.4)
the coefficients are found to satisfy in general:
ijAi,j +
(E
4+z0 − ζ0
8i
)Ai−1,j−1 −
1
8iAi−1,j−2 +
1
8iAi−2,j−1 = 0. (A.5)
The growth in the constant in front of Ai,j ensures that coefficients decay at leastexponentially fast, hence the power series converges for all z and ζ.
To get an integral representation for the Riemann function, we start from thedifferential equation it satisfies after the change of variables u = z−z0 and v = ζ−ζ0:
∂2V
∂u∂v+
(E +
u− v8i
)V = 0, E =
E
4+z0 − ζ0
8i, (A.6)
together with V (0, v) = V (u, 0) = 1.Taking the Laplace transform:
Lf(s) =
∫ ∞0
f(v)e−sv dv, (A.7)
of the differential equation, we obtain:
s∂V
∂u+
1
8i
∂V
∂s+(E +
u
8i
)V = 0, V (0, s) =
1
s. (A.8)
30
Using the method of characteristics for this first-order PDE, we obtain the generalsolution as:
V (u, s) = exp
(−8iEs+
8is3
3− us+ f(4is2 − u)
). (A.9)
The particular solution satisfying the initial condition is:
V (u, s) =1√
s2 − u/4iexp
8iE
((s2 − u/4i)1/2 − s
)+
8i
3
(s3 − (s2 − u/4i)3/2
)− us
. (A.10)
Inverting the Laplace transform using the Bromwich integral, we find the solution (6.12).
31
