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Note: 2 lectures, §10.1 in EP
We have encountered several different eigenvalue problems such as:
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with different boundary conditions
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For example for the insulated wire, Dirichlet conditions correspond to applying a zero temperature at the ends, Neumann means insulating the ends, etc…. Other types of endpoint conditions also arise naturally, such as
![]() |
for some constant
.
These problems came up, for example, in the study of the heat equation
when we
were trying to solve the equation by the method of separation of variables. During the process
we encountered a certain eigenvalue problem and found the eigenfunctions
. We then
found the eigenfunction decomposition of the initial temperature
in terms of the
eigenfunctions
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Once we had this decomposition and once we found suitable
such that
, we noted that a
solution to the original problem could be written as
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We will try to solve more general problems using this method. We will study second order linear equations of the form
![]() | (5.1) |
Essentially any second order linear equation of the form
can be
written as (5.1) after multiplying by a proper factor.
We can state the general Sturm-Liouville
problem
.
We seek nontrivial solutions to
![]() | (5.2) |
In particular, we seek
s that allow for nontrivial solutions. The
s for which there is no nontrivial
solution are called the eigenvalues and the corresponding nontrivial solutions are called eigenfunctions.
Obviously
and
should not be both zero, same for
and
.
Theorem 5.1.1. Suppose
,
,
and
are continuous on
and suppose
and
for all
in
. Then the Sturm-Liouville problem (5.2) has an increasing sequence of
eigenvalues
![]() |
such that
![]() |
and such that to each
there is (up to a constant multiple) a single eigenfunction
.
Moreover, if
and
, then
for all
.
Note: Be careful about the signs. Also be careful about the inequalities for
and
, they must be
strict for all
! Problems satisfying the hypothesis of the theorem are called regular Sturm-Liouville
problems and we will only consider such problems here. That is, a regular problem is one
where
,
,
and
are continuous,
,
,
, and
.
When zero is an eigenvalue, we will usually start labeling the eigenvalues at 0 rather than 1 for convenience.
Example 5.1.2: The problem
,
,
, and
is a regular
Sturm-Liouville problem.
,
,
, and we have
and
. The eigenvalues are
and eigenfunctions are
. All
eigenvalues are nonnegative as predicted by the theorem.
Exercise 5.1.1: Find eigenvalues and eigenfunctions for
![]() |
Identify the
. Can you use the theorem to make the search for eigenvalues easier?
Example 5.1.3: Find eigenvalues and eigenfunctions of the problem

These equations give a regular Sturm-Liouville problem.
First note that
by Theorem 5.1.1. Therefore, the general solution (without boundary
conditions) is

Let us see if
is an eigenvalue: We must satisfy
and
, hence
(as
), therefore, 0 is not an eigenvalue (no eigenfunction).
Now let us try
. We plug in the boundary conditions.

, then
and vice-versa, hence both are nonzero. So
, and
. As
we get
![]() |
or
![]() |
Now use a computer to find
. There are tables available, though using a computer or a
graphing calculator will probably be far more convenient nowadays. Easiest method is to plot the
functions
and
and see for which
they intersect. There will be an infinite number of
intersections. So denote by
the first intersection, by
the second intersection, etc…. For
example, when
, we get that
, and
. A plot for
is given
in Figure 5.1. The appropriate eigenfunction (let
for convenience, then
)
is
![]() |
We have seen the notion of orthogonality before. For example, we have shown that
are orthogonal
for distinct
on
. For general Sturm-Liouville problems we will need a more general setup. Let
be a weight function (any function, though generally we will assume it is positive) on
. Then
two functions
,
are said to be orthogonal with respect to the weight function
when
![]() |
In this setting, we define the inner product as
![]() |
and then say
and
are orthogonal whenever
. The results and concepts are again analogous
to finite dimensional linear algebra.
The idea of the given inner product is that those
where
is greater have more weight.
Nontrivial (nonconstant)
arise naturally, for example from a change of variables. Hence, you could
think of a change of variables such that
.
We have the following orthogonality property of eigenfunctions of a regular Sturm-Liouville problem.
Theorem 5.1.2. Suppose we have a regular Sturm-Liouville problem

and
be two distinct eigenfunctions for two distinct eigenvalues
and
. Then
![]() |
that is,
and
are orthogonal with respect to the weight function
.
Proof is very similar to the analogous theorem from § 4.1. It can also be found in many books including, for example, Edwards and Penney [EP].
We also have the Fredholm alternative theorem we talked about before for all regular Sturm-Liouville problems. We state it here for completeness.
Theorem 5.1.3 (Fredholm alternative). Suppose that we have a regular Sturm-Liouville problem. Then either


continuous on
.
This theorem is used in much the same way as we did before in § 4.4. It is used when solving more
general nonhomogeneous boundary value problems. The theorem does not help us solve the problem, but
it tells us when does a solution exist and if it exists if it is unique, so that we know when to spend time
looking for a solution. To solve the problem we decompose
and
in terms of the
eigenfunctions of the homogeneous problem, and then solve for the coefficients of the series for
.
What we want to do with the eigenfunctions once we have them is to compute the eigenfunction
decomposition of an arbitrary function
. That is, we wish to write
![]() | (5.3) |
where
the eigenfunctions. We wish to find out if we can represent any function
in this way,
and if so, we wish to calculate
(and of course we would want to know if the sum converges). OK, so
imagine we could write
as (5.3). We will assume convergence and the ability to integrate the series
term by term. Because of orthogonality we have
![]() |
Hence,
![]() | (5.4) |
Note that
are known up to a constant multiple, so we could have picked a scalar multiple of an
eigenfunction such that
(if we had an arbitrary eigenfunction
, divide it by
).
In the case that
we would have the simpler form
as we essentially did for the
Fourier series. The following theorem holds more generally, but the statement given is enough for our
purposes.
Theorem 5.1.4. Suppose
is a piecewise smooth continuous function on
. If
are
the eigenfunctions of a regular Sturm-Liouville problem, then there exist real constants
given by (5.4) such that (5.3) converges and holds for
.
Example 5.1.4: Take the simple Sturm-Liouville problem

.
Suppose
, then the general solution is
, we plug in the initial conditions to get
, and
, hence
is not an eigenvalue.
The general solution, therefore, is
![]() |
Plugging in the boundary conditions we get
and
.
cannot be
zero and hence
. This means that
must be an odd integral multiple of
,
i.e.
. Hence
![]() |
We can take
. And hence our eigenfunctions are
![]() |
We finally compute
![]() |
So any piecewise smooth function on
can be written as
![]() |
where
![]() |
Note that the series converges to an odd
-periodic (not
-periodic!) extension of
.
Exercise 5.1.3 (challenging): In the above example, the function is defined on
, yet the
series converges to an odd
-periodic extension of
. find out how the extension is defined
for
.
Exercise 5.1.6: Suppose that you had a Sturm-Liouville problem on the interval
and came
up with
, where
is some constant. Decompose
,
in
terms of these eigenfunctions.
Exercise 5.1.7: Find eigenvalues and eigenfunctions of
![]() |
This problem is not a Sturm-Liouville problem, but the idea is the same.
Exercise 5.1.8 (more challenging): Find eigenvalues and eigenfunctions for
![]() |
Hint: First write the system as a constant coefficient system to find general solutions. Do note that
Theorem 5.1.1 guarantees
.
Note: 1 lecture, §10.2 in EP
The eigenfunction series can arise even from higher order equations. Suppose we have an elastic beam
(say made of steel). We will study the transversal vibrations of the beam. That is, assume the beam lies
along the
axis and let
measure the displacement of the point
on the beam at time
. See
Figure 5.2.
The equation that governs this setup is
![]() |
for some constant
(
in EP).
Suppose the beam is of length 1 simply supported (hinged) at the ends. Suppose the beam is
displaced by some function
at time
and then let go (initial velocity is 0). Then
satisfies:
![]() | (5.5) |
Again we try
and plug in to get
or
![]() |
We note that we want
. Let us assume that
. We can argue that we expect vibration
and not exponential growth nor decay in the
direction (there is no friction in our model for instance).
Similarly
will not occur.
Write
, so that we do not need to write the fourth root all the time. For
we get the equation
. The general solution is
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Now
,
. Hence,
and
, or
.
So we have
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Now
, and
. This means that
and
. If
, then
and so
. This means
that
else we do not have an eigenvalue. Also
must be an integer multiple of
hence
and
(as
). We can take
. So the eigenvalues are
and the eigenfunctions are
.
Now
. The general solution is
. But
and hence we must have
and we can take
to make
for convenience. So our
solutions are
.
As the eigenfunctions are just sines again, we can decompose the function
on
using
the sine series. We find numbers
such that for
we have
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Then the solution to (5.5) is
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The point is that
is a solution that satisfies all the homogeneous conditions (that is, all conditions
except the initial position). And since and
, we have
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So
solves (5.5).
Note that the natural (circular) frequency of the system is
. These frequencies are all integer
multiples of the fundamental frequency
, so we will get a nice musical note. The exact frequencies
and their amplitude are what we call the timbre of the note.
The timbre of a beam is different than for a vibrating string where we will get “more” of the smaller
frequencies since we will get all integer multiples,
For a steel beam we will get only the
square multiples
That is why when you hit a steel beam you hear a very pure
sound. The sound of a xylophone or vibraphone is, therefore, very different from a guitar or
piano.
Example 5.2.1: Let us assume that
. On
we have (you know how to do this by
now)
![]() |
Hence, the solution to (5.5) with the given initial position
is
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Exercise 5.2.2: Suppose you have a beam of length 5 with free ends. Let
be the transverse
deviation of the beam at position
on the beam (
). You know that the constants are
such that this satisfies the equation
. Suppose you know that the initial shape of the
beam is the graph of
, and the initial velocity is uniformly equal to 2 (same for each
)
in the positive
direction. Set up the equation together with the boundary and initial conditions.
Just set up, do not solve.
Exercise 5.2.3: Suppose you have a beam of length 5 with one end free and one end fixed (the
fixed end is at
). Let
be the longitudinal deviation of the beam at position
on the
beam (
). You know that the constants are such that this satisfies the equation
.
Suppose you know that the initial displacement of the beam is
, and the initial velocity is
in the positive
direction. Set up the equation together with the boundary and initial conditions.
Just set up, do not solve.
Exercise 5.2.4: Suppose the beam is
units long, everything else kept the same as in (5.5). What
is the equation and the series solution.
Exercise 5.2.5: Suppose you have
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That is, you have also an initial velocity. Find a series solution. Hint: Use the same idea as we did for the wave equation.
Note: 1–2 lectures, §10.3 in EP
Suppose that we have a guitar string of length
. We have studied the wave equation problem in this case,
where
was the position on the string,
was time and
was the displacement of the string. See
Figure 5.3.
The problem is governed by the equations
![]() | (5.6) |
We saw previously that the solution is of the form
![]() |
where
and
were determined by the initial conditions. The natural frequencies of the system are
the (circular) frequencies
for integers
.
But these are free vibrations. What if there is an external force acting on the string. Let us assume say
air vibrations (noise), for example a second string. Or perhaps a jet engine. For simplicity, assume nice
pure sound and assume the force is uniform at every position on the string. Let us say
as
force per unit mass. Then our wave equation becomes (remember acceleration is force times
mass)
![]() | (5.7) |
with the same boundary conditions of course.
We will want to find the solution here that satisfies the above equation and
![]() | (5.8) |
That is, the string is initially at rest. First we find a particular solution
of (5.7) that satisfies
. We define the functions
and
as
![]() |
We then find solution
of (5.6). If we add the two solutions, we find that
solves (5.7) with
the initial conditions.
So the big issue here is to find the particular solution
. We look at the equation and we make an
educated guess
![]() |
We plug in to get
![]() |
or
after canceling the cosine. We know how to find a general solution to this
equation (it is an nonhomogeneous constant coefficient equation) and we get that the general solution
is
![]() |
The endpoint conditions imply that
, so
![]() |
or
and
![]() |
Assuming that
is not zero we can solve for
to get
![]() | (5.9) |
Therefore,
![]() |
The particular solution
we are looking for is
![]() |
Now we get to the point that we skipped. Suppose that
. What this means is
that
is equal to one of the natural frequencies of the system, i.e. a multiple of
. We
notice that if
is not equal to a multiple of the base frequency, but is very close, then the
coefficient
in (5.9) seems to become very large. But let us not jump to conclusions just
yet. When
for
even, then
and hence we really get that
. So
resonance occurs only when both
and
. That is when
for odd
.
We could again solve for the resonance solution if we wanted to, but it is, in the right sense, the limit
of the solutions as
gets close to a resonance frequency. In real life, pure resonance never occurs
anyway.
The above calculation explains why a string will begin to vibrate if the identical string is plucked close by. In the absence of friction this vibration would get louder and louder as time goes on. On the other hand, you are unlikely to get large vibration if the forcing frequency is not close to a resonance frequency even if you have a jet engine running close to the string. That is, the amplitude will not keep increasing unless you tune to just the right frequency.
Similar resonance phenomena occur when you break a wine glass using human voice (yes this is possible, but
not easy
)
if you happen to hit just the right frequency. Remember a glass has much purer sound, i.e. it is more like a
vibraphone, so there are far fewer resonance frequencies to hit.
When the forcing function is more complicated, you decompose it in terms of the Fourier series and apply the above result. You may also need to solve the above problem if the forcing function is a sine rather than a cosine, but if you think about it, the solution is almost the same.
Example 5.3.1: Let us do the computation for specific values. Suppose
and
and
and
. Then
![]() |
Call
for simplicity.
Then plug in
to get
![]() |
and after differentiating in
we see that
.
Hence to find
we need to solve the problem

is not odd, hence it is not a simple matter of plugging in to
apply the D’Alembert formula directly! You must define
to be the odd, 2-periodic extension of
. Then our solution would look like
![]() | (5.10) |
It is not hard to compute specific values for an odd extension of a function and hence (5.10) is a wonderful solution to the problem. For example it is very easy to have a computer do it, unlike a series solution. A plot is given in Figure 5.4.
Let
be the temperature at a certain location at depth
underground at time
. See
Figure 5.5.
The temperature
satisfies the heat equation
, where
is the diffusivity of the soil. We
know the temperature at the surface
from weather records. Let us assume for simplicity
that
![]() |
For some base temperature
, then
is midsummer (could put negative sign above to
make it midwinter).
is picked properly to make this the typical variation for the year. That
is, the hottest temperature is
and the coldest is
. For simplicity, we will
assume that
.
is picked depending on the units of
, such that when
then
.
It seems reasonable that the temperature at depth
will also oscillate with the same frequency. And
this in fact will be the steady periodic solution, independent of the initial conditions. So we are looking for
a solution of the form
![]() |
for the problem
![]() | (5.11) |
We will employ the complex exponential here to make calculations simpler. Suppose we have a complex valued function
![]() |
We will look for an
such that
. To find an
, whose real part satisfies (5.11), we look for an
such that
![]() | (5.12) |
Exercise 5.3.3: Suppose
satisfies (5.12). Use Euler’s formula for the complex exponential to
check that
satisfies (5.11).
Substitute
into (5.12).
![]() |
Hence,
![]() |
or
![]() |
where
. Note that
so you could simplify to
. Hence the
general solution is
![]() |
We assume that an
that solves the problem must be bounded as
since
should be
bounded (we are not worrying about the earth core!). If you use Euler’s formula to expand the complex
exponentials, you will note that the second term will be unbounded (if
), while the first term is
always bounded. Hence
.
Furthermore,
since
. Thus
. This means that
![]() |
We will need to get the real part of
, so we apply Euler’s formula to get
![]() |
Then finally
![]() |
Yay!
Notice the phase is different at different depths. At depth
the phase is delayed by
. For
example in
units (centimeters, grams, seconds) we have
(typical value for soil),
. Then if we compute where the phase shift
we find
the depth in centimeters where the seasons are reversed. That is, we get the depth at which summer is the
coldest and winter is the warmest. We get approximately 700 centimeters which is approximately 23 feet
below ground.
Be careful not to jump to conclusions. The temperature swings decay rapidly as you dig deeper. The
amplitude of the temperature swings is
. This decays very quickly as
grows. Let us again
take typical parameters as above. We also will assume that our surface temperature swing is
Celsius, that is,
. Then the maximum temperature variation at 700 centimeters is only
Celsius.
You need not dig very deep to get an effective “refrigerator.” That is why wines are kept in a cellar; you need consistent temperature. The temperature differential could also be used for energy. A home could be heated or cooled by taking advantage of the above fact. Even without the earth core you could heat a home in the winter and cool it in the summer. There is also the earth core, so temperature presumably gets higher the deeper you dig. We did not take that into account above.
Exercise 5.3.5: Suppose that the forcing function for the vibrating string is
. Derive the
particular solution
.
Exercise 5.3.6: Take the forced vibrating string. Suppose that
,
. Suppose that the
forcing function is the square wave which is 1 on the interval
and
on the interval
. Find the particular solution. Hint: you may want to use result of Exercise 5.3.5.