c Anthony Peirce.

Introductory lecture notes on Partial Differential Equations -

Not to be copied, used, or revised without explicit written permission from the copyright owner.

Lecture 28: Sturm-Liouville Boundary Value Problems

(Compiled 3 March 2014)

In this lecture we abstract the eigenvalue problems that we have found so useful thus far for solving the PDEs to a
general class of boundary value problems that share a common set of properties. The so-called Sturm-Liouville Problems
define a class of eigenvalue problems, which include many of the previous problems as special cases. The S L Problem
helps to identify those assumptions that are needed to define an eigenvalue problems with the properties that we require.

Key Concepts: Eigenvalue Problems, Sturm-Liouville Boundary Value Problems; Robin Boundary conditions.
Reference Section: Boyce and Di Prima Section 11.1 and 11.2

30 Boundary value problems and Sturm-Liouville theory:

30.1 Eigenvalue problem summary
We have seen how useful eigenfunctions are in the solution of various PDEs.
The eigenvalue problems we have encountered thus far have been relatively simple
I: The Dirichlet Problem:

X 00 + 2 X = 0
n = n
L , n = 1, 2, .. .
=
X(0) = 0 = X(L)
Xn (x) = sin nx
L
II: The Neumann Problem:

X 00 + 2 X = 0
n = n
L , n = 0,
1, 2,. . .
=
0
0
X (0) = 0 = X (L)
Xn (x) = cos nx
L
III: The Periodic Boundary Value Problem:

X 00 + 2 X = 0

n = n
L , n = 0,1, 2, .. .

=
X(L) = 0 = X(L)

X
(x)

1,
cos nx
, sin nx
n
0
0
L
L
X (L) = 0 = X (L)
IV: Mixed Boundary Value Problem A:
(

k =

(2k+1)
,
2L

k =

(2k+1)
,
2L

k = 0, 1, 2,. . .

x
Xn (x) = sin (2k+1)
2L
V: Mixed Boundary Value Problem B:
X 00 + 2 X = 0
X(0) = 0 = X 0 (L)

X 00 + 2 X = 0
X 0 (0) = 0 = X(L)

k = 0, 1, 2,. . .
Xn (x) = cos (2k+1)
x
2L

2
30.2 The regular Sturm-Liouville problem:
Consider the the following two-point boundary value problem

0
p(x)y 0 q(x)y + r(x)y = 0 0 < x < `
1 y(0) + 2 y 0 (0) = 0 1 y(`) + 2 y 0 (`) = 0

(30.1)

where p, p0 , q and r are continuous on 0 x ` and p(x) 0 and r(x) > 0 on 0 x `.

We define the Sturm-Liouville eigenvalue problem as:

0
Ly = ry where Ly = (py 0 ) + qy

1 y(0) + 2 y 0 (0) = 0 and 1 y(`) + 2 y 0 (`) = 0

p(x) > 0 and r(x) > 0.

SL

(30.2)

Remark 1 Note:
(1) If p = 1, q = 0, r = 1, 1 = 1, 2 = 0, 1 = 1, 2 = 0 we obtain Problem (I) above whereas if p = 1,
q = 0, r = 1, 1 = 0, 2 = 1, 1 = 0, 2 = 1, we obtain Problem (II) above. Notice that the boundary
conditions for these two problems are specified at separate points and are called separated BC. The periodic
BC X(0) = X(2) are not separated so that Problem (III) is not technically a SL Problem.
(2) If p > 0 and r > 0 and ` < then the SL Problem is said to be regular. If p(x) or r(x) is zero for some x or
the domain is [0, ) then the problem is singular.
(3) There is no loss of generality in the form of Ly = (py 0 ) + qy since it is possible to convert a general 2nd order
eigenvalue problem
P (x)y 00 Q(x)y 0 + R(x)y = y

(30.3)

to this form by multiplying by an integrating factor (x)

(x)P (x)y 00 Q(x)y 0 + (x)R(x)y = (x)y

(30.4)

but expanding the differential operator we obtain

Ly = py 00 p0 y 0 + qy = ry.

(30.5)

Thus comparing (30.5) and (30.4) we can make the following identifications: p = ZP and p0 = Q p0 =
Q
P0
dx)
0 P + P 0 = Q which is a linear 1st order ODE for with integrating factor exp(
P
P

Q
P0

P
P

h
= 0 Pe

Q
P

dx

i0
=0

Q
P

dx

(30.6)

Example 30.1 Reducing a boundary value problem to SL form:

00 + x0 + = 0

(30.7)

(0) = 0 =

(30.8)

Sturm-Liouville two-point boundary value problems

We bring (30.7) into SL form by multiplying by the integrating factor

R
2
1 R Q dx
e P
= e x dx = ex /2 , P (x) = 1,
P
2
2
2
ex /2 00 + ex /2 x0 + ex /2 = 0
2
0
2
ex /2 0 = ex /2

p(x) = ex

/2

r(x) = ex

Q(x) = x,

R(x) = 1.
(30.9)

/2

Example 30.2 Convert the equation y 00 + x4 y 1 = y to SL form

P = 1,

Q = x4 ,

Therefore ex

= e

x4 dx

= ex

/5 00

/5
5

y + ex /5 x4 y 0 = ex /5
0

5
5
ex /5 y 0 = ex /5 y.

(30.10)
(30.11)
(30.12)

30.3 Properties of SL Problems

(1) Eigenvalues:
(a) The eigenvalues are all real.
(b) There are an # of eigenvalues j with j < 2 < . . . < j as j .
1
1
(c) j > 0 provided
< 0,
> 0 q(x) > 0.
2
2
(2) Eigenfunctions: For each j there is an eigenfunction j (x) that is unique up to a multiplicative const. and
which satisfy:
Z`
r(x)2j (x) dx = 1.

(a) j (x) are real and can be normalized so that

0

(b) The eigenfunctions corresponding to different eigenvalues are orthogonal with respect to the weight function r(x):
Z`
r(x)j (x)K (x) dx = 0

j 6= k.

(30.13)

(c) j (x) has exactly j 1 zeros on (0, `).

(3) Expansion Property: {j (x)} are complete if f (x) is piecewise smooth then

where

f (x)

cn n (x)
n=1
R`
r(x)f (x)n (x) dx

cn

R`
0

r(x)2n (x) dx

(30.14)

4
Example 30.3 Robin Boundary Conditions:
X 00 + X = 0,
= 2
0
X (0) = h1 X(0), X 0 (`) = h2 X(`)

(30.15)

where h1 0 and h2 0.

X(x) = A cos x + B sin x

(30.16)

X 0 (x) = A sin x + B cos x

(30.17)

BC 1: X 0 (0) = B = h1 X(0) = A A = B/h1 .

BC 2: X 0 (`) = A sin(`) + B cos(`) = h2 X(`) = h2 [A cos ` + B sin `]

B sin(`) + cos(`) = Bh2

cos ` + sin `
h1
h1
B
Therefore

(30.18)

2
h2

+ h2 sin ` + + cos ` = 0.
h1
h1

(30.19)

(h1 + h2 )
tan(`) =
.
2 h1 h2

(30.20)

tan( l) & ((h1+h2))/( h1h2)

Case I: h1 and h2 6= 0

Xn =

n
h1

cos n x + sin n x, and n n/` as n

Case I: h1 and h2 nonzero

5

5
0

tan( l) & ((h1+h2))/( h1h2)

Case II: h1 6= 0 and h2 = 0

n
Xn =
cos n x + sin n x
h1
cos n (` x)
=
sin n `

(30.21)
(30.22)

10

Case II: h1 nonzero and and h2=0

4
2
0
2
4

10

Sturm-Liouville two-point boundary value problems

h2 6= 0
Case III: h1> and h2 nonzero
5

tan( l) & ((h1+h2))/( h1h2)

Case III: h1

Xn = sin(n x)

2n + 1
n
2
`

(30.23)
n = 0, 1, 2, . . . as n (30.24)

5
0

10

30.4 Appendix: Some proofs for Sturm-Liouville Theory

30.4.1 Lagranges Identity:
Z`
`

(vLu uLv) dx = p(x)u0 v|0 + p(x)uv 0 |0 .

0

Proof: Let u and v be any sufficiently differentiable functions, then

Z`
vLu dx =
0

Z` n
o
0
v (pu0 ) + qu dx

(30.25)

Z`

Z`
=

`
vpu0 |0

Z`
=

(30.26)

0
`
vpu0 |0

uqv dx

u pv dx +

`
upv 0 |0

n
o
0
u (pv 0 ) + qv dx

(30.27)

uLv dx.

(30.28)

Z`

Z`
`

vLu dx = pvu0 |0 + puv 0 |0 +

Therefore
0

Now suppose that u and v both satisfy the SL boundary conditions. I.E.
1 u(0) + 2 u0 (0) = 0
1 v(0) + 2 v 0 (0) = 0

1 u(`) + 2 u0 (`) = 0
1 v(`) + 2 v 0 (`) = 0

(30.29)

then
Z`

Z`
uLv dx = p(`)u0 (`)v(`) + p(`)u(`)v 0 (`)

vLu dx
0

+p(0)u0 (0)v(0) p(0)u(0)v 0 (0)

1
1
= p(`) + u(`)v(`) + u(`) v(`)
2
2

1
1
+p(0) u(0)v(0) u(0) v(0)
2
2
= 0.
Z`
Thus

Z`
vLu dx =

uLv dx whenever u and v satisfy the SL boundary condition.

0

(30.30)
(30.31)
(30.32)
(30.33)
(30.34)

6
Observations:
Z`

Z`
If L and BC are such that

vLu dx =
0

uLv dx then L is said to be self-adjoint.

0

Z`

Notation: if we define (f, g) =

f (x)g(x) dx then we may write (v, Lv) = (u, Lv).

0

30.4.2 Proofs using Lagranges Identity:

(1a) The j are real: Let Ly = ry (1) 1 y(0) + 2 y 0 (0) = 0 1 y(`) + 2 y 0 (`) = 0. Take the conjugate of (1)
y . By Lagranges Identity:
L
y = r
0 = (
y , Ly) (y, L
y)

(30.35)

y)
= (
y , ry) (y, r
Z`
Z`
y (x) dx
= y(x)ry(x) dx y(x)r(x)
0

(30.36)
(30.37)

Z`

= ( )

2
r(x)y(x) dx

(30.38)

is real.
Since r(x)|y(x)| 0 it follows that =
2

(1c) j > 0 provided 1 /2 < 0 1 /2 > 0 and q(x) > 0. Consider Ly = (py 0 ) + qy = ry (SL) and multiply
(SL) by y and integrate from 0 to `:
Z`

Z`
0 0

(y, Ly) =

(py ) y + qy dx =
0

R`
Therefore =

2
r(x) y(x) dx

(30.39)

0
0

(py 0 ) y + qy 2 dx

R`

this is known as Rayleighs Quotient.

ry 2

dx

[py 0 y]`0 +

R`

0
R`

p(y 0 )2 + qy 2 dx

ry 2

(30.40)
dx

2 R`
2
1
+p(`) 12 y(`) p(0)
y(0) + p(y 0 ) + qy 2 dx
2
=

R`

(30.41)

ry 2 dx

Therefore > 0 since the RHS is all positive.

Note: If q(x) 0 and 1 = 0 = 1 then with y 0 (0) = 0 = y 0 (`) we have nontrivial eigenfunction y(x) = 1 and
eigenvalue = 0.

Sturm-Liouville two-point boundary value problems

(2b) Eigenfunctions corresponding to different eigenvalues are orthogonal. Consider two distinct eigenvalues j 6= k j : Lj = rj j and k : Lk = rk k . Then
0 = (k , Lj ) (j , Lk ) by Lagranges Identity

(30.42)

= (k , rj j ) (j , rk k )
Z`
= (j k ) r(x)k (x)j (x) dx

(30.43)
(30.44)

now j 6= k implies that

Z`
r(x)k (x)j (x) dx = 0.

(30.45)

(3) The eigenfunctions form a complete set: It is difficult to prove the convergence of the eigenfunction series
expansion for f (x) that is piecewise smooth. However, if we assume the expansion converges then it is a simple

X
matter to use orthogonality to determine the coefficients in the expansion: Let f (x) =
cn n (x).
n=1

Z`
f (x)m (x)r(x) dx =

X
n=1

Z`
cn

r(x)m (x)n (x) dx

(30.46)

orthogonality implies
R`
cm =

r(x)f (x)m (x) dx

R`
0

2
r(x) m (x) dx

(30.47)