The calculus of variations (or variational calculus) is a field of mathematical analysis that uses variations, which are small changes in functions and functionals, to find maxima and minima of functionals: mappings from a set of functions to the real numbers. Functionals are often expressed as definite integrals involving functions and their derivatives. Functions that maximize or minimize functionals may be found using the Euler–Lagrange equation of the calculus of variations.
A simple example of such a problem is to find the curve of shortest length connecting two points. If there are no constraints, the solution is a straight line between the points. However, if the curve is constrained to lie on a surface in space, then the solution is less obvious, and possibly many solutions may exist. Such solutions are known as geodesics. A related problem is posed by Fermat's principle: light follows the path of shortest optical length connecting two points, which depends upon the material of the medium. One corresponding concept in mechanics is the principle of least/stationary action.
Many important problems involve functions of several variables. Solutions of boundary value problems for the Laplace equation satisfy the Dirichlet's principle. Plateau's problem requires finding a surface of minimal area that spans a given contour in space: a solution can often be found by dipping a frame in soapy water. Although such experiments are relatively easy to perform, their mathematical formulation is far from simple: there may be more than one locally minimizing surface, and they may have non-trivial topology.
History
The calculus of variations began with the work of Isaac Newton, such as with Newton's minimal resistance problem, which he formulated and solved in 1685, and later published in his Principia in 1687, which was the first problem in the field to be formulated and correctly solved, and was also one of the most difficult problems tackled by variational methods prior to the twentieth century. This problem was followed by the brachistochrone curve problem raised by Johann Bernoulli (1696), which was similar to one raised by Galileo Galilei in 1638, but he did not solve the problem explicitly nor did he use the methods based on calculus. Bernoulli solved the problem using the principle of least time in the process, but not calculus of variations. In 1697 Newton solved the problem using variational techniques, and as a result, he pioneered the field with his work on the two problems. The problem would immediately occupy the attention of Jacob Bernoulli and the Marquis de l'Hôpital, but Leonhard Euler first elaborated the subject, beginning in 1733. Joseph-Louis Lagrange was influenced by Euler's work to contribute greatly to the theory. After Euler saw the 1755 work of the 19-year-old Lagrange, Euler dropped his own partly geometric approach in favor of Lagrange's purely analytic approach and renamed the subject the calculus of variations in his 1756 lecture Elementa Calculi Variationum.
Adrien-Marie Legendre (1786) laid down a method, not entirely satisfactory, for the discrimination of maxima and minima. Isaac Newton and Gottfried Leibniz also gave some early attention to the subject. To this discrimination Vincenzo Brunacci (1810), Carl Friedrich Gauss (1829), Siméon Poisson (1831), Mikhail Ostrogradsky (1834), and Carl Jacobi (1837) have been among the contributors. An important general work is that of Pierre Frédéric Sarrus (1842) which was condensed and improved by Augustin-Louis Cauchy (1844). Other valuable treatises and memoirs have been written by Strauch (1849), John Hewitt Jellett (1850), Otto Hesse (1857), Alfred Clebsch (1858), and Lewis Buffett Carll (1885), but perhaps the most important work of the century is that of Karl Weierstrass. His celebrated course on the theory is epoch-making, and it may be asserted that he was the first to place it on a firm and unquestionable foundation. The 20th and the 23rd Hilbert problem published in 1900 encouraged further development.
In the 20th century David Hilbert, Oskar Bolza, Gilbert Ames Bliss, Emmy Noether, Leonida Tonelli, Henri Lebesgue and Jacques Hadamard among others made significant contributions. Marston Morse applied calculus of variations in what is now called Morse theory. Lev Pontryagin, Ralph Rockafellar and F. H. Clarke developed new mathematical tools for the calculus of variations in optimal control theory. The dynamic programming of Richard Bellman is an alternative to the calculus of variations.Dimitri Bertsekas. Dynamic programming and optimal control. Athena Scientific, 2005.
Extrema
The calculus of variations is concerned with the maxima or minima (collectively called extrema) of functionals. A functional maps functions to scalars, so functionals have been described as "functions of functions." Functionals have extrema with respect to the elements of a given function space defined over a given domain. A functional is said to have an extremum at the function if has the same sign for all in an arbitrarily small neighborhood of The function is called an extremal function or extremal. The extremum is called a local maximum if everywhere in an arbitrarily small neighborhood of and a local minimum if there. For a function space of continuous functions, extrema of corresponding functionals are called strong extrema or weak extrema, depending on whether the first derivatives of the continuous functions are respectively all continuous or not.
Both strong and weak extrema of functionals are for a space of continuous functions but strong extrema have the additional requirement that the first derivatives of the functions in the space be continuous. Thus a strong extremum is also a weak extremum, but the converse may not hold. Finding strong extrema is more difficult than finding weak extrema. An example of a necessary condition that is used for finding weak extrema is the Euler–Lagrange equation.
Euler–Lagrange equation
Finding the extrema of functionals is similar to finding the maxima and minima of functions. The maxima and minima of a function may be located by finding the points where its derivative vanishes (i.e., is equal to zero). The extrema of functionals may be obtained by finding functions for which the functional derivative is equal to zero. This leads to solving the associated Euler–Lagrange equation.
Consider the functional
where are constants, is twice continuously differentiable,
is twice continuously differentiable with respect to its arguments and
If the functional attains a local minimum at and is an arbitrary function that has at least one derivative and vanishes at the endpoints and then for any number close to 0,
The term is called the variation of the function and is denoted by
Substituting for in the functional the result is a function of
Since the functional has a minimum for the function has a minimum at and thus,
Taking the total derivative of where and are considered as functions of rather than yields
and because and
Therefore,
where when and we have used integration by parts on the second term. The second term on the second line vanishes because at and by definition. Also, as previously mentioned the left side of the equation is zero so that
According to the fundamental lemma of calculus of variations, the fact that this equation holds for any choice of implies that the part of the integrand in parentheses is zero, i.e.
which is called the Euler–Lagrange equation. The left hand side of this equation is called the functional derivative of and is denoted or
In general this gives a second-order ordinary differential equation which can be solved to obtain the extremal function The Euler–Lagrange equation is a necessary, but not sufficient, condition for an extremum A sufficient condition for a minimum is given in the section Variations and sufficient condition for a minimum.
Example In order to illustrate this process, consider the problem of finding the extremal function which is the shortest curve that connects two points and The arc length of the curve is given by
with
Note that assuming is a function of loses generality; ideally both should be a function of some other parameter. This approach is good solely for instructive purposes.
The Euler–Lagrange equation will now be used to find the extremal function that minimizes the functional
with
Since does not appear explicitly in the first term in the Euler–Lagrange equation vanishes for all and thus,
Substituting for and taking the derivative,
Thus
for some constant . Then
where
Solving, we get
which implies that
is a constant and therefore that the shortest curve that connects two points and is
and we have thus found the extremal function that minimizes the functional so that is a minimum. The equation for a straight line is In other words, the shortest distance between two points is a straight line.
Beltrami's identity In physics problems it may be the case that meaning the integrand is a function of and but does not appear separately. In that case, the Euler–Lagrange equation can be simplified to the Beltrami identity
where is a constant. The left hand side is the Legendre transformation of with respect to
The intuition behind this result is that, if the variable is actually time, then the statement implies that the Lagrangian is time-independent. By Noether's theorem, there is an associated conserved quantity. In this case, this quantity is the Hamiltonian, the Legendre transform of the Lagrangian, which (often) coincides with the energy of the system. This is (minus) the constant in Beltrami's identity.
Recently, methods have been developed to incorporate symmetry information directly into the inverse problem of the calculus of variations. By combining the Helmholtz conditions involved in the inverse problem with relations derived from Noether's identity, it is possible to reconstruct Lagrangians that reproduce given equations of motion while ensuring the presence of prescribed symmetries.
Euler–Poisson equation If depends on higher-derivatives of , that is, if
then must satisfy the Euler–Poisson equation,
Du Bois-Reymond's theorem
The discussion thus far has assumed that extremal functions possess two continuous derivatives, although the existence of the integral requires only first derivatives of trial functions. The condition that the first variation vanishes at an extremal may be regarded as a weak form of the Euler–Lagrange equation. The theorem of Du Bois-Reymond asserts that this weak form implies the strong form. If has continuous first and second derivatives with respect to all of its arguments, and if
then has two continuous derivatives, and it satisfies the Euler–Lagrange equation.
Lavrentiev phenomenon
Hilbert was the first to give good conditions for the Euler–Lagrange equations to give a stationary solution. Within a convex area and a positive thrice differentiable Lagrangian the solutions are composed of a countable collection of sections that either go along the boundary or satisfy the Euler–Lagrange equations in the interior.
However Lavrentiev in 1926 showed that there are circumstances where there is no optimum solution but one can be approached arbitrarily closely by increasing numbers of sections. The Lavrentiev Phenomenon identifies a difference in the infimum of a minimization problem across different classes of admissible functions. For instance the following problem, presented by Manià in 1934:
Clearly, minimizes the functional, but we find any function gives a value bounded away from the infimum.