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Graph Transform and Blow–up in Singular Perturbations

Kaspar Nipp

, Daniel Stoffer

and Peter Szmolyan

∗∗

Seminar for Applied Mathematics, ETH Zürich, CH-8092 Zürich, Switzerland

Department of Mathematics, ETH Zürich, CH-8092 Zürich, Switzerland

∗∗Angewandte und Numerische Mathematik, TU Wien, A-1040 Wien, Austria

Abstract. We show that the discrete dynamical system obtained by applying the Euler method to the van der Pol relaxation oscillator admits a closed attractive invariant manifold and that this curve is close to the limit cycle of the ODE.

Keywords: Singular perturbations, van der Pol equation, limit cycle, blow–up, graph transform, invariant manifold, Euler method PACS: <02.30Hq>

INTRODUCTION

Singularly perturbed systems are characterized by the occurrence of slow and fast motions. Van der Pol’s relaxation oscillator is a simple but nontrivial example nicely exhibiting these phenomena:

dx/dτ = x = f(x,y,ε) := ε3(1+y)

dy/dτ = y = g(x,y,ε) := −xy2y3/3 (1) with x,y∈R,ε∈(0,δ0]. Here,τis the fast time as usual in singular perturbations. It is well known that the van der Pol equation (1) admits a limit cycle of relaxation type, cf. Figure 1. The existence of such a closed orbit can be shown using Poincaré-Bendixson theory, see, e.g., [1]. The properties of the limit cycle have been discussed in the context of matched asymptotic expansions, e.g., in [2], [3], [4]. Szmolyan et al. [5], [6] investigate the transition from slow to fast by a so called blow–up approach establishing appropriate local coordinates and by using a Poincaré return map.

We consider the discrete dynamical system obtained by applying a numerical integration scheme to (1) and ask if there is a closed curve also for the discrete system. For this problem a Poincaré return map is not a suitable approach.

Instead, we use a graph transform approach. We start with a closed curve near the limit cycle of the ODE (1) and apply the map induced by the integration scheme. In this way we obtain a sequence of closed curves converging to an invariant limit curve. To keep things as simple as possible we choose the explicit Euler method as numerical integration scheme. We show that the discrete dynamical system obtained by applying the Euler method to the van der Pol equation (1) admits an attractive invariant manifold for all step sizes h≤ν0and all parameter valuesε≤δ0.

Since the dynamics of (1) strongly varies along the limit cycle it makes sense to describe the objects of the graph transform, i.e., the closed curves, in different charts a sketched in Figure 2. In these charts a closed curve near the limit cycle is described in coordinates relative to the limit cycle. Hence, we need to describe the limit cycle itself in the charts. Since in the literature the existence of the limit cycle is shown by qualitative arguments the limit cycle is not explicitly described as a graph of smooth functions. We therefore first derive the existence of the limit cycle of (1) together with its description in each chart as the graph of a smooth function.

As a simple example of a graph transform approach we show the existence of an invariant manifold close to the upper branch y=s0+(x)of the reduced manifoldγ, cf. Figure 1. We introduce new coordinates(x0,y0)as follows:

x=x0, y=s0+(x0) +y0

for x0∈Ξ:= (−∞,−ξ0]and y0H := (−η0,−η0),ξ00>0. In the new coordinates the ODE (1) is transformed to x0 = f0(x0,y0,ε) := ε3(1+s0+(x0) +y0)

y0 = g0(x0,y0,ε) := −y0

s0+(x0) (2+s0+(x0)) +y0(1+s0+(x0) +y0/3)

−ε3s0+(x0)(1+s0+(x0) +y0) (2) We state an invariant manifold theorem applicable to this situation. The assumptions are as follows.

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Assumption HD

The flow of (2) is in-flowing with respect to H and out-flowing with respect toΞ.

The estimates

|f0,y| ≤ ℓ12, |f0,ε| ≤ ℓ13

|g0,x| ≤ ℓ21, |g0,ε| ≤ ℓ23

µ(−f0,x) ≤ −γ11, µ(g0,y)≤ℓ22 < 0 for some appropriate constants whereµdenotes the logarithmic norm.

Condition CD 2√

122111−ℓ22

Condition CDA22+ℓ12α<0 whereα is chosen such that

12α2−(γ11−ℓ22)α+ℓ21<0 and 2ℓ12α<γ11−ℓ22

Condition CDA(2)22+ℓ12α<2(γ11−ℓ12α)

Note that under Condition CD there isαsatisfying Condition CDA.

Theorem 1 Assume that Assumption HD and Conditions CD, CDA, CDA(2) are satisfied for an ODE of type (2) with vector field(f0,g0). Then the following assertions hold.

i) The time–T map of the ODE, T>0, induces a mapFT mapping the function space

Cα,ν:={σ∈C0(Ξ×(0,δ0],H)isα–Lipschitz continuous with respect to x andβ–Lipschitz continuous with respect toεwithβ≥(ℓ23+ℓ13α)/(ℓ22+ℓ12α)}

into itself and is a contraction.

ii) The mapFT has a unique fixed point s0CλCα,β with

λ = 2ℓ21

γ11−ℓ22+p

11−ℓ22)2−4ℓ1221

being the smallest possible Lipschitz constantα. The set Mε={(x0,y0)|x0∈Ξ,y0=s0(x0,ε)}is an out-flowing invariant manifold of the ODE.

It is easily verified that Theorem 1 applies to (2) with ℓ123,13=O(ε2), ℓ21=O(η0),ℓ23=0, γ11=O(ε3), ℓ22=O(p

−ξ0)<0 and withα=O(η0),β=η0.

THE INVARIANT MANIFOLD FOR THE ODE

Theorem 1 cannot be applied directly to prove the existence of a limit cycle of (1). We describe a closed curveΓin the vicinity of the limit cycle in the following way. We consider the charts

Φi:

x yε

∈Wi⊂R37→

ui vi

Ki=Ui×Vi⊂R2×R, i=1, . . . ,16,

mapping the piece of curveΓi=Γ∩Wito Ki. An important feature of this approach is that the Kiare independent of the small parameterε, in contrast to the matched asymptotic expansions approach. In Kithis piece of curve is described as a graph

{(ui,vi)|vii(ui)}

whereσiC0bii)is a bounded function with Lipschitz constantαiwith respect to(ui)1and with Lipschitz constant βi with respect to(ui)2. Note thatαi+8ii+8ifor i=1, . . . ,8, since the corresponding charts are reflected.

Since Wi,i+1:=WiWi+1is chosen to be non–empty one has

ΓiWi,i+1i+1Wi,i+16=/0

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which relatesσitoσi+1(withσ171) in the following way, cf. Figure 3. Define Ki,i+1i(Wi,i+1) ⊂ Ki, Ki+1,ii+1(Wi,i+1) ⊂ Ki+1

The piece of curveΓ∩Wi,i+1has the two representations vii(ui)in Ki,i+1and vi+1i+1(ui+1)in Ki+1,i. We thus have

Φi+1◦Φi 1 σi(ui) ui

= σi+1(ui+1) ui+1

(3) We introduce the function spaceΣ={σ= (σ1, . . . ,σ16)|σiCb0ii)}equipped with the norm

kσk=max

ii|i

where the norms| · |iin C0bii)}are given as

i|i=Nisup

uiUi

i(ui)| with positive norm factors Ni.

We introduce the time-T map PT of the ODE (1) for small T >0 such that PT(Wi\Wi,i+1)⊂Wi. Note that this condition replaces the assumption in HD that the flow of (2) is out-flowing with respect to Ξ. We show that the Lipschitz constantsαiimay be chosen such that the map PT induces a mapFT :Σ→Σ. Applying Assertion i) of Theorem 1 in each chart the mapFT is shown to be a contraction for an appropriate choice of the norm factors Ni. This implies the existence of a unique fixed point s∈Σdescribing a unique invariant curve of the ODE (1). If the right-hand sides f , g of (1) are of class C2 and if in every chart Condition CDA(2) is satisfied then the function s is also of class C2. Stepping from chartΦ1toΦ2toΦ3, etc., the Lipschitz constantsαiibecome typically larger and larger. Indeed, in chartΦ7we haveα7=O(ε2)andβ7=O(ε1). Hence, by means of (3) the functionσ8has also Lipschitz constants of these orders inε. Since chartΦ1and its reflected chartΦ9have the same small Lipschitz constantsα1919, the Lipschitz constants ofσ8at the end of chartΦ8have to be correspondingly small. To achieve this we use the so called elephant trunk argument. The independent variable u8is essentially 1–dimensional (one component is the parameterε) and the flow in direction of u8is monotone. We therefore subdivide the u8–interval in many small subintervals with Lipschitz constants on these intervals decreasing geometrically.

We introduce the chartΦ1with its domain K1. Away from the fold point(0,0)close to y=s0+we define the local coordinates x1,y11by

Φ1: x=x1, y=s0+(x1) +y1, ε=ε1

and define the first chart as (x1,y11)∈K1= [−2/3−ξ1,−ξ1]×[−η11]×(0,δ1]withξ111being small. The dynamics in chartΦ1is described by the ODE (2) with x0,y00replaced by x1,y11. Assertion i) of Theorem 1 holds as seen before.

The blow-up approach, cf. [5], is a good means to magnify the critical vicinity of the fold point and thus allows to introduce appropriate charts with suitable local coordinates. As in [5] we consider the blow-up transformation

x=er2xe, y=erey, ε=er

as a map from B :=S2×[0,R]intoR3withex,y,eeε∈S2. In order to define charts near the fold point we consider half spheres of S2with centersex=−1,eε=1 andye=−1, respectively. The choiceex=−1 leads to chartΦ2,eε=1 leads to the chartsΦ34andye=−1 yields chartΦ5, cf. Figure 4. We discuss chartΦ5in more detail. For the half sphere with centerey=−1 we useex andeεas local coordinates. In order to simplify the coordinate transformation even more we setey=−1 and introduce the coordinates x55, r5inR3for the fifth chart as follows:

Φ5: x=r25x5, y=−r5, ε=r5ε5

with(x5,r55)∈K5= [0,ξ5]×[0,ρ5]×(0,δ5]. The ODE (1) is transformed to ˙r5

ε˙5

= f5(r55,x5) = r5

−ε5

˙

x5 = g5(r55,x5) = −2x553(1−r5)/[1+x5r5/3]

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where ˙ denotes the derivative with respect to the new time t withτ=r5(1+x5r5/3)t. This time scaling desingular- izes the ODE yielding a nontrivial flow for r5=0. In K5the pieceΓ5of a closed curveΓis described as the graph of x55(r55)with Lipschitz constantsα5andβ55(note that the independent variable is 2–dimensional and that there is no parameter). To apply Theorem 1 i) we verify the assumptions:

HD:12=0, ℓ21=O(ε52), γ11=−1, ℓ22=−2

It follows immediately that Conditions CD, CDA, CDA(2) are satisfied forα=O(ε52) =:α5. At the end of chartΦ5

we are away from the fold point(y=−ρ5). It therefore seems natural to choose the original variables x, y,ε for chartΦ6with y6∈[−3+η6,−ρ5]. Here,Γ6is described as x6(y,ε). However, the ODE (1) is not contracting in x–direction. In a first step we modify chartΦ6as follows:

Φb6: x=xb6ekby6, y=−by6, ε=bε6

where k has to be chosen sufficiently large such that the contraction in x–direction is strong enough. Theorem 1 i) can still not be applied since there is also contraction in y–direction violatingγ11−ℓ22>0 of Condition CD. Therefore, we make the flow in y–direction almost constant by the transformation

b

y6=Y(r6) (5)

with Y defined by dY/dr6=Y2(1−Y/3). This yields the chart

Φ6: x=x6ekY(r6), y=−Y(r6), ε=ε6

with(x6,r66)∈K6= [0,ξ6]×[ρ66]×(0,δ6]. In these local variables the ODE (1) has the form r6

ε6

= f6(x6,r66) := 1+x6ekY/[Y2(1−Y/3)]

0

x6 = g6(x6,r66) := −kx6

Y2(1−Y/3) +x6ekY

63ekY(1−Y) We verify the assumptions of Theorem 1 i):

HD:12=O(1), ℓ13=0, ℓ21=O(1), ℓ23=O(ε62), γ11=O(1), ℓ22=O(k)<0

Thus, for k sufficiently large Conditions CD, CDA, CDA(2) are satisfied for α =O(1/k) =:α6. For β one gets β=O(ε62) =:β6.

We show that x55(r55)in K5restricted to K5,6is given as x66(r66)in K6restricted to K6,5, cf. (3). We denote this restriction byσe6. Transforming x55(r55)withΦ61◦Φ5we obtain

x6=σe6(r66) =Y2(r6)ekY(r6)σ5(Y(r6),ε6/Y(r6)) with Lipschitz constants

αe6=O(ekY(ρ5)), βe6=O(α5ekY(ρ5)) For k sufficiently largeαe6≤α6,βe6≤β6holds implyingσe6Cb066).

We determine the norm factor N6. Given two functionsσ51,σ52we show that the corresponding functionsσe61,σe62

satisfy

61−σe62

6≤σ51−σ52

5 (6)

We estimate

61−σe626=N6 sup

(r66)

61(r66)−σe62(r66)≤N6

N5Y25)ekY(ρ5)51−σ52|

implying that (6) holds if N6N5ekY(ρ5)/Y25). An analogous computation has to be done in each chartΦi,i= 1, . . . ,8. ChartΦ8is connected toΦ9which is the reflected chartΦ1with Lipschitz constantsα9191and norm factor N9=N1. Summarizing, we have shown the following result.

Theorem 2 The time–T map of the van der Pol equation (1) induces a mapFT :Σ→Σwhere Σ={σ= (σ1, . . . ,σ16)|σiCb0ii)}.

FT is a contraction and therefore has a unique fixed point s= (s1, . . . ,s16)implying the existence of a limit cycle of the ODE (1). Moreover, s is of class C2.

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Remark The differentiability of s is implied by the smoothness of the vector field and by Condition CDA(2) in each

chart. ⊳

THE INVARIANT MANIFOLD FOR THE EULER METHOD

We apply the explicit Euler method with fixed step size h to the van der Pol equation (1). This generates the discrete dynamical system

x = x+hε3(1+y) y = y+h(xy2y3/3)

x = ε

x = h

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We show that this system admits a closed attractive invariant manifold in the vicinity of the limit cycle of (1). We use 16 charts

Ψi:

 x yε h

∈Wi⊂R47→

ui vi

Ki=Ui×Vi⊂R3×R, i=1, . . . ,16,

to describe the dynamical system in an analogous way as for the differential equation. Here, uicontains an additional variable corresponding to the step size h and vi measures the distance to the limit cycle of the ODE (1). In order to be able to expand the map about the limit cycle s in each chart it is mandatory that s is of class C2. In the blow–up charts it was necessary to desingularize the ODE by an appropriate time scaling with factor ri, i=2, . . . ,5. For the discrete system this leads to a scaling of the step size h forΨi, i=2, . . . ,5. In chartsΨ2andΨ5the transformation ε=riεi, i=2,5, gives rise to a slowly varying step size variable hi. We discuss the procedure in more detail for chart Ψ5. Subsequently, we describe the elephant trunk approach in chartΨ8in more detail.

ChartΨ5is given by

Ψ5:

x = r25(s5(r55) +x5) y = −r5

ε = r5ε5

h = h5/[r5(1+s5(r55) +x5r5/3)]

with(x5,r55,h5)∈K5= [−ξ55]×[0,ρ5]×(0,δ5]×(0,ν5]. We express the map (7) in the local coordinates of chart Ψ5. To simplify the formulas we omit the index 5.

h = h+h2E(h;(r,ε),x) = h+h2

1−(s+x) 2+h

(1+h)(1+s+xr/3)

+ r

3(1+s+x−r/3) + ε3(1−r) (1+h)(1+s+xr/3)

r ε

= r ε

+h F(h;(r,ε),x) = r(1+h) ε/(1+h)

= r ε

+h r

−ε/(1+h)

(8)

x = −(s−s) + h (1+h)2

2s+ ε3(1−r) 1+sr/3hs

+xh

1+ h

(1+h)2

−2−h− ε3(1−r)

(1+s−r/3)(1+s+x−r/3)

i (9)

where s is an abbreviation for s(r,ε). Using the mean value theorem we get

−(s−s) =− Z 1

0

sr(r+τ(r−r),ε+τ(ε−ε))dτ(r−r)− Z 1

0

sε(r+τ(r−r),ε+τ(ε−ε))dτ(ε−ε) (10) Note that rr=hr andε−ε=−hε/(1+h). From (4) we obtain with ˙s=sr˙r+sεε˙the invariance equation for s

srrsεε=−2s+ ε3(1−r) 1+sr/3

(6)

In (9) we thus may replace−2s3(1−r)/(1+sr/3)by srrsεε. The terms of (8) hr

(1+h)2sr and − hε (1+h)2sε, respectively, are written as

hr Z 1

0

sr(r,ε)dτ+O(h2r) and − hε 1+h

Z 1

0

sε(r,ε)dτ+O(h2ε), respectively. These integrals are combined with the integrals in (10) as follows:

hrhZ 1

0

sr(r+τ(r−r),ε+τ(ε−ε))dτ− Z 1

0

sr(r,ε)dτi =

= −hrhZ 1

0 Z 1

0 τsrr(r+τσ(r−r),ε+τσ(ε−ε))dσdτ(r−r) + +

Z 1

0 Z 1

0 τs(r+τσ(r−r),ε+τσ(ε−ε))dσdτ(ε−ε)i

=:−h2r2Irr+h2rε 1+hI

and a similar formula for the terms sε. Note: It is crucial that the function s is of class C2. Summarizing, we obtain for the x–equation (9)

x= [1+hB(h;(r,ε),x)]x+h2G(h;(r,ε),x) (11) with

B(h;(r,ε),x) = − 1 (1+h)2

h

2+h+ ε3(1−r)

(1+sr/3)(1+s+xr/3) i

G(h;(r,ε),x) = O(r+ε+s)

We formulate a graph transform result similar to Theorem 1 for a map of the form h = h+h2E(h; u,v) ≤ ν0

u = u+hF(h; u,v) (12)

v = [1+hB(h; u,v)]v+h2G(h; u,v)Vd

with h∈(0,ν0], u∈Rn, vVd={v| |v| ≤d}. We assume that the following assumptions hold:

Assumption HMH

LiphE=L00, LipuE=L01, LipvE=L02 LiphF=L10, LipuF=L11, LipvF=L12 LiphB=ℓ20, LipuB=ℓ21, LipvB=ℓ22

LiphG=L20, LipuG=L21, LipvG=L22 Condition CMH There are constants a,b,c∈R, b>0, independent of h, such that

|1+2hE| ≥1−hc, lipu(u+hF)≥1−ha, |1+hB| ≥1−hb holds where lipudenotes the "lower Lipschitz constant" with respect to u.

Theorem 3 Assume that the map (12) satisfies assumption HMH and Condition CMH. Then there are positive constants d,ν0, K such that the following assertions hold.

i) The map (12) maps the graph of a function

σhCα,γ:={σ∈C0((0,ν0]×Rn,Vd)|σhisα–Lipschitz continuous with respect to u andγ–Lipschitz continu- ous with respect to h}

with

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α = 2(ℓ21d+hL21+Kα1) [b−a−ℓ22dhL22h Kα0] +p

[···]24L12(ℓ21d+hL21+Kα1) γ = (|B|+h20)d+h(2|G|+hL20) + (|F|+hL10

h(b−c−ℓ22dhL22L12α−Kγ) where the nonnegative quantities Kα0, Kα1, Kγ satisfy

Kα0K(L01+L02), Kα1Kα0 d+h2(|G|+hL21+hL20)

, KγK(L01+L02+L00) (d+h) to the graph of a functionσhCα,γ. The induced mapFhh7→σhis a contraction.

ii) The mapFhhas a unique fixed point shCα,γ. The graph of shis an out-flowing invariant manifold of the map (12).

For simplicity we have formulated Theorem 3 for one chart only. In our context, however, where we have several charts Ψ1, . . . ,Ψ16the maps of the form (12) are not overflowing with respect to uiUi, i=1, . . . ,16. Hence, Assertion ii) of Theorem 3 does not hold in a single chart. For the global picture we again have to modify the procedure as done in the ODE case relating the functionsσh,itoσh,i+1. This yields a result analogous to Theorem 2 for the Euler map (7) obtained by applying the Euler method to the van der Pol equation (1).

Assumption HMH and Condition CMH hold for the map (8), (11) of chartΨ5with L00=O(1), L01=O(1), L02=O(1), L105 L11=1, L12=0, ℓ20=O(1),21=O(ε52), ℓ22=O(ε53), L20=O(1), L21=O(1), L22=O(1), and

b=5/3, a=4/3, c0=0.

Theorem 3 i) implies the existence of an invariant space Cα55 for the graph transform with Lipschitz constants α5=O(ξ5),γ5=O(ξ5)/h5.

Similar to the ODE case the Lipschitz constants in the graph transform become large at the end of chartΨ7 (of the order of a negative power ofε). In the elephant trunk approach (cf. the sketch in Figure 5) we consider graphs of functions yh(x,ε)with large Lipschitz constants at the beginning of chartΨ80with respect to x,β0with respect toε,γ0with respect to h (as given by chartΨ7) and Lipschitz constantsαiiidecreasing geometrically toε-small Lipschitz constants (tending to 0 asε→0)αNNN, N=O(h1ε3), at the end of chartΨ8, being there dN–close to the limit cycle s of the ODE (1). And, we apply a graph transform result similar to Theorem 3 i).

SinceΨ89in W8,9=W8W9it follows that forσeh,9, i.e.,σh,8related to chartΨ9, the equalityσh,8=σeh,9h,9

holds in the common domain. The Lipschitz constants ofσh,8at the end of chartΨ8tend to 0 asε→0. Hence, for sufficiently smallεit follows that in the common domain ofΨ89the functionσeh,9lies in Cα999 withα91, β9191being independent ofε.

Summarizing, we have shown the existence of an invariant curve of the Euler map (7) being dN=O(hε6)–close to the limit cycle s of the ODE (1) at the end of chartΨ8. (This is remarkable: Note that s is O(ε3)–close to the lower branch s0ofγat the end of chartΦ8(cf. Figures 1 and 2)).

REFERENCES

1. J. K. Hale, Ordinary Differential Equations, John Wiley, New York, 1969.

2. E. F. Mishchenko, and N. Kh. Rozov, Differential Equations with Small Parameters and Relaxation Oscillations, Plenum Press, New York, 1980.

3. K. Nipp, An extension of Tikhonov’s theorem in singular perturbations for the planar case, ZAMP 34, pp. 277-290 (1983).

4. K. Nipp, Breakdown of stability in singularly perturbed autonomous systems II. Estimates for the solutions and application, J.

Math. Anal. 17, pp. 1068-1085 (1986).

5. M. Krupa, and P. Szmolyan, Extending geometric singular perturbation theory to non-hyperbolic points - fold and canard points in two dimensions, SIAM J. Math. Anal. 33, pp. 286-314 (2001).

6. S. van Gils, M. Krupa, and P. Szmolyan, Asymptotic expansions using blow-up, ZAMP 56, pp. 369-397 (2005).

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FIGURE 1. The limit cycle of the van der Pol equation (1) and the reduced manifoldγdefined by g(x,y,0) =0 with the upper branch y=s0+and the lower branch y=s0. FIGURE 2. Sketch of the charts used in the graph transform approach.

The atlas for the closed curves consists of the chartsΦ1, . . . ,Φ16i: KiWi, whereΦ9, . . . ,Φ16are the reflections at the point (−2/3,−1)of the chartsΦ1, . . . ,Φ8. The figure shows sketches of the images Wii(Ki).

FIGURE 3. The chartsΦiandΦi+1. FIGURE 4. The blow-up of the fold point.

FIGURE 5. One step of the graph transform in the elephant trunk approach.

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