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The Euler equations for three-dimensional incompressible inviscid fluid flow are

\displaystyle  \partial_t u + (u \cdot \nabla) u = - \nabla p \ \ \ \ \ (1)

\displaystyle \nabla \cdot u = 0

where {u: {\bf R} \times {\bf R}^3 \rightarrow {\bf R}^3} is the velocity field, and {p: {\bf R} \times {\bf R}^3 \rightarrow {\bf R}} is the pressure field. For the purposes of this post, we will ignore all issues of decay or regularity of the fields in question, assuming that they are as smooth and rapidly decreasing as needed to justify all the formal calculations here; in particular, we will apply inverse operators such as {(-\Delta)^{-1}} or {|\nabla|^{-1} := (-\Delta)^{-1/2}} formally, assuming that these inverses are well defined on the functions they are applied to.

Meanwhile, the surface quasi-geostrophic (SQG) equation is given by

\displaystyle  \partial_t \theta + (u \cdot \nabla) \theta = 0 \ \ \ \ \ (2)

\displaystyle  u = ( -\partial_y |\nabla|^{-1}, \partial_x |\nabla|^{-1} ) \theta \ \ \ \ \ (3)

where {\theta: {\bf R} \times {\bf R}^2 \rightarrow {\bf R}} is the active scalar, and {u: {\bf R} \times {\bf R}^2 \rightarrow {\bf R}^2} is the velocity field. The SQG equations are often used as a toy model for the 3D Euler equations, as they share many of the same features (e.g. vortex stretching); see this paper of Constantin, Majda, and Tabak for more discussion (or this previous blog post).

I recently found a more direct way to connect the two equations. We first recall that the Euler equations can be placed in vorticity-stream form by focusing on the vorticity {\omega := \nabla \times u}. Indeed, taking the curl of (1), we obtain the vorticity equation

\displaystyle  \partial_t \omega + (u \cdot \nabla) \omega = (\omega \cdot \nabla) u \ \ \ \ \ (4)

while the velocity {u} can be recovered from the vorticity via the Biot-Savart law

\displaystyle  u = (-\Delta)^{-1} \nabla \times \omega. \ \ \ \ \ (5)

The system (4), (5) has some features in common with the system (2), (3); in (2) it is a scalar field {\theta} that is being transported by a divergence-free vector field {u}, which is a linear function of the scalar field as per (3), whereas in (4) it is a vector field {\omega} that is being transported (in the Lie derivative sense) by a divergence-free vector field {u}, which is a linear function of the vector field as per (5). However, the system (4), (5) is in three dimensions whilst (2), (3) is in two spatial dimensions, the dynamical field is a scalar field {\theta} for SQG and a vector field {\omega} for Euler, and the relationship between the velocity field and the dynamical field is given by a zeroth order Fourier multiplier in (3) and a {-1^{th}} order operator in (5).

However, we can make the two equations more closely resemble each other as follows. We first consider the generalisation

\displaystyle  \partial_t \omega + (u \cdot \nabla) \omega = (\omega \cdot \nabla) u \ \ \ \ \ (6)

\displaystyle  u = T (-\Delta)^{-1} \nabla \times \omega \ \ \ \ \ (7)

where {T} is an invertible, self-adjoint, positive-definite zeroth order Fourier multiplier that maps divergence-free vector fields to divergence-free vector fields. The Euler equations then correspond to the case when {T} is the identity operator. As discussed in this previous blog post (which used {A} to denote the inverse of the operator denoted here as {T}), this generalised Euler system has many of the same features as the original Euler equation, such as a conserved Hamiltonian

\displaystyle  \frac{1}{2} \int_{{\bf R}^3} u \cdot T^{-1} u,

the Kelvin circulation theorem, and conservation of helicity

\displaystyle  \int_{{\bf R}^3} \omega \cdot T^{-1} u.

Also, if we require {\omega} to be divergence-free at time zero, it remains divergence-free at all later times.

Let us consider “two-and-a-half-dimensional” solutions to the system (6), (7), in which {u,\omega} do not depend on the vertical coordinate {z}, thus

\displaystyle  \omega(t,x,y,z) = \omega(t,x,y)


\displaystyle  u(t,x,y,z) = u(t,x,y)

but we allow the vertical components {u_z, \omega_z} to be non-zero. For this to be consistent, we also require {T} to commute with translations in the {z} direction. As all derivatives in the {z} direction now vanish, we can simplify (6) to

\displaystyle  D_t \omega = (\omega_x \partial_x + \omega_y \partial_y) u \ \ \ \ \ (8)

where {D_t} is the two-dimensional material derivative

\displaystyle  D_t := \partial_t + u_x \partial_x + u_y \partial_y.

Also, divergence-free nature of {\omega,u} then becomes

\displaystyle  \partial_x \omega_x + \partial_y \omega_y = 0


\displaystyle  \partial_x u_x + \partial_y u_y = 0. \ \ \ \ \ (9)

In particular, we may (formally, at least) write

\displaystyle  (\omega_x, \omega_y) = (\partial_y \theta, -\partial_x \theta)

for some scalar field {\theta(t,x,y,z) = \theta(t,x,y)}, so that (7) becomes

\displaystyle  u = T ( (- \Delta)^{-1} \partial_y \omega_z, - (-\Delta^{-1}) \partial_x \omega_z, \theta ). \ \ \ \ \ (10)

The first two components of (8) become

\displaystyle  D_t \partial_y \theta = \partial_y \theta \partial_x u_x - \partial_x \theta \partial_y u_x

\displaystyle - D_t \partial_x \theta = \partial_y \theta \partial_x u_y - \partial_x \theta \partial_y u_y

which rearranges using (9) to

\displaystyle  \partial_y D_t \theta = \partial_x D_t \theta = 0.

Formally, we may integrate this system to obtain the transport equation

\displaystyle  D_t \theta = 0, \ \ \ \ \ (11)

Finally, the last component of (8) is

\displaystyle  D_t \omega_z = \partial_y \theta \partial_x u_z - \partial_x \theta \partial_y u_z. \ \ \ \ \ (12)

At this point, we make the following choice for {T}:

\displaystyle  T ( U_x, U_y, \theta ) = \alpha (U_x, U_y, \theta) + (-\partial_y |\nabla|^{-1} \theta, \partial_x |\nabla|^{-1} \theta, 0) \ \ \ \ \ (13)

\displaystyle  + P( 0, 0, |\nabla|^{-1} (\partial_y U_x - \partial_x U_y) )

where {\alpha > 0} is a real constant and {Pu := (-\Delta)^{-1} (\nabla \times (\nabla \times u))} is the Leray projection onto divergence-free vector fields. One can verify that for large enough {\alpha}, {T} is a self-adjoint positive definite zeroth order Fourier multiplier from divergence free vector fields to divergence-free vector fields. With this choice, we see from (10) that

\displaystyle  u_z = \alpha \theta - |\nabla|^{-1} \omega_z

so that (12) simplifies to

\displaystyle  D_t \omega_z = - \partial_y \theta \partial_x |\nabla|^{-1} \omega_z + \partial_x \theta \partial_y |\nabla|^{-1} \omega_z.

This implies (formally at least) that if {\omega_z} vanishes at time zero, then it vanishes for all time. Setting {\omega_z=0}, we then have from (10) that

\displaystyle (u_x,u_y,u_z) = (-\partial_y |\nabla|^{-1} \theta, \partial_x |\nabla|^{-1} \theta, \alpha \theta )

and from (11) we then recover the SQG system (2), (3). To put it another way, if {\theta(t,x,y)} and {u(t,x,y)} solve the SQG system, then by setting

\displaystyle  \omega(t,x,y,z) := ( \partial_y \theta(t,x,y), -\partial_x \theta(t,x,y), 0 )

\displaystyle  \tilde u(t,x,y,z) := ( u_x(t,x,y), u_y(t,x,y), \alpha \theta(t,x,y) )

then {\omega,\tilde u} solve the modified Euler system (6), (7) with {T} given by (13).

We have {T^{-1} \tilde u = (0, 0, \theta)}, so the Hamiltonian {\frac{1}{2} \int_{{\bf R}^3} \tilde u \cdot T^{-1} \tilde u} for the modified Euler system in this case is formally a scalar multiple of the conserved quantity {\int_{{\bf R}^2} \theta^2}. The momentum {\int_{{\bf R}^3} x \cdot \tilde u} for the modified Euler system is formally a scalar multiple of the conserved quantity {\int_{{\bf R}^2} \theta}, while the vortex stream lines that are preserved by the modified Euler flow become the level sets of the active scalar that are preserved by the SQG flow. On the other hand, the helicity {\int_{{\bf R}^3} \omega \cdot T^{-1} \tilde u} vanishes, and other conserved quantities for SQG (such as the Hamiltonian {\int_{{\bf R}^2} \theta |\nabla|^{-1} \theta}) do not seem to correspond to conserved quantities of the modified Euler system. This is not terribly surprising; a low-dimensional flow may well have a richer family of conservation laws than the higher-dimensional system that it is embedded in.

An extremely large portion of mathematics is concerned with locating solutions to equations such as

\displaystyle  f(x) = 0


\displaystyle  \Phi(x) = x \ \ \ \ \ (1)

for {x} in some suitable domain space (either finite-dimensional or infinite-dimensional), and various maps {f} or {\Phi}. To solve the fixed point iteration equation (1), the simplest general method available is the fixed point iteration method: one starts with an initial approximate solution {x_0} to (1), so that {\Phi(x_0) \approx x_0}, and then recursively constructs the sequence {x_1, x_2, x_3, \dots} by {x_n := \Phi(x_{n-1})}. If {\Phi} behaves enough like a “contraction”, and the domain is complete, then one can expect the {x_n} to converge to a limit {x}, which should then be a solution to (1). For instance, if {\Phi: X \rightarrow X} is a map from a metric space {X = (X,d)} to itself, which is a contraction in the sense that

\displaystyle  d( \Phi(x), \Phi(y) ) \leq (1-\eta) d(x,y)

for all {x,y \in X} and some {\eta>0}, then with {x_n} as above we have

\displaystyle  d( x_{n+1}, x_n ) \leq (1-\eta) d(x_n, x_{n-1} )

for any {n}, and so the distances {d(x_n, x_{n-1} )} between successive elements of the sequence decay at at least a geometric rate. This leads to the contraction mapping theorem, which has many important consequences, such as the inverse function theorem and the Picard existence theorem.

A slightly more complicated instance of this strategy arises when trying to linearise a complex map {f: U \rightarrow {\bf C}} defined in a neighbourhood {U} of a fixed point. For simplicity we normalise the fixed point to be the origin, thus {0 \in U} and {f(0)=0}. When studying the complex dynamics {f^2 = f \circ f}, {f^3 = f \circ f \circ f}, {\dots} of such a map, it can be useful to try to conjugate {f} to another function {g = \psi^{-1} \circ f \circ \psi}, where {\psi} is a holomorphic function defined and invertible near {0} with {\psi(0)=0}, since the dynamics of {g} will be conjguate to that of {f}. Note that if {f(0)=0} and {f'(0)=\lambda}, then from the chain rule any conjugate {g} of {f} will also have {g(0)=0} and {g'(0)=\lambda}. Thus, the “simplest” function one can hope to conjugate {f} to is the linear function {z \mapsto \lambda z}. Let us say that {f} is linearisable (around {0}) if it is conjugate to {z \mapsto \lambda z} in some neighbourhood of {0}. Equivalently, {f} is linearisable if there is a solution to the Schröder equation

\displaystyle  f( \psi(z) ) = \psi(\lambda z) \ \ \ \ \ (2)

for some {\psi: U' \rightarrow {\bf C}} defined and invertible in a neighbourhood {U'} of {0} with {\psi(0)=0}, and all {z} sufficiently close to {0}. (The Schröder equation is normalised somewhat differently in the literature, but this form is equivalent to the usual form, at least when {\lambda} is non-zero.) Note that if {\psi} solves the above equation, then so does {z \mapsto \psi(cz)} for any non-zero {c}, so we may normalise {\psi'(0)=1} in addition to {\psi(0)=0}, which also ensures local invertibility from the inverse function theorem. (Note from winding number considerations that {\psi} cannot be invertible near zero if {\psi'(0)} vanishes.)

We have the following basic result of Koenigs:

Theorem 1 (Koenig’s linearisation theorem) Let {f: U \rightarrow {\bf C}} be a holomorphic function defined near {0} with {f(0)=0} and {f'(0)=\lambda}. If {0 < |\lambda| < 1} (attracting case) or {1 < |\lambda| < \infty} (repelling case), then {f} is linearisable near zero.

Proof: Observe that if {f, \psi, \lambda} solve (2), then {f^{-1}, \psi^{-1}, \lambda^{-1}} solve (2) also (in a sufficiently small neighbourhood of zero). Thus we may reduce to the attractive case {0 < |\lambda| < 1}.

Let {r>0} be a sufficiently small radius, and let {X} denote the space of holomorphic functions {\psi: B(0,r) \rightarrow {\bf C}} on the complex disk {B(0,r) := \{z \in {\bf C}: |z| < r \}} with {\psi(0)=0} and {\psi'(0)=1}. We can view the Schröder equation (2) as a fixed point equation

\displaystyle  \psi = \Phi(\psi)

where {\Phi: X' \rightarrow X} is the partially defined function on {X} that maps a function {\psi: B(0,r) \rightarrow {\bf C}} to the function {\Phi(\psi): B(0,r) \rightarrow {\bf C}} defined by

\displaystyle  \Phi(\psi)(z) := f^{-1}( \psi( \lambda z ) ),

assuming that {f^{-1}} is well-defined on the range of {\psi(B(0,\lambda r))} (this is why {\Phi} is only partially defined).

We can solve this equation by the fixed point iteration method, if {r} is small enough. Namely, we start with {\psi_0: B(0,r) \rightarrow {\bf C}} being the identity map, and set {\psi_1 := \Phi(\psi_0), \psi_2 := \Phi(\psi_1)}, etc. We equip {X} with the uniform metric {d( \psi, \tilde \psi ) := \sup_{z \in B(0,r)} |\psi(z) - \tilde \psi(z)|}. Observe that if {d( \psi, \psi_0 ), d(\tilde \psi, \psi_0) \leq r}, and {r} is small enough, then {\psi, \tilde \psi} takes values in {B(0,2r)}, and {\Phi(\psi), \Phi(\tilde \psi)} are well-defined and lie in {X}. Also, since {f^{-1}} is smooth and has derivative {\lambda^{-1}} at {0}, we have

\displaystyle  |f^{-1}(z) - f^{-1}(w)| \leq (1+\varepsilon) |\lambda|^{-1} |z-w|

if {z, w \in B(0,r)}, {\varepsilon>0} and {r} is sufficiently small depending on {\varepsilon}. This is not yet enough to establish the required contraction (thanks to Mario Bonk for pointing this out); but observe that the function {\frac{\psi(z)-\tilde \psi(z)}{z^2}} is holomorphic on {B(0,r)} and bounded by {d(\psi,\tilde \psi)/r^2} on the boundary of this ball (or slightly within this boundary), so by the maximum principle we see that

\displaystyle  |\frac{\psi(z)-\tilde \psi(z)}{z^2}| \leq \frac{1}{r^2} d(\psi,\tilde \psi)

on all of {B(0,r)}, and in particular

\displaystyle  |\psi(z)-\tilde \psi(z)| \leq |\lambda|^2 d(\psi,\tilde \psi)

on {B(0,\lambda r)}. Putting all this together, we see that

\displaystyle  d( \Phi(\psi), \Phi(\tilde \psi)) \leq (1+\varepsilon) |\lambda| d(\psi, \tilde \psi);

since {|\lambda|<1}, we thus obtain a contraction on the ball {\{ \psi \in X: d(\psi,\psi_0) \leq r \}} if {\varepsilon} is small enough (and {r} sufficiently small depending on {\varepsilon}). From this (and the completeness of {X}, which follows from Morera’s theorem) we see that the iteration {\psi_n} converges (exponentially fast) to a limit {\psi \in X} which is a fixed point of {\Phi}, and thus solves Schröder’s equation, as required. \Box

Koenig’s linearisation theorem leaves open the indifferent case when {|\lambda|=1}. In the rationally indifferent case when {\lambda^n=1} for some natural number {n}, there is an obvious obstruction to linearisability, namely that {f^n = 1} (in particular, linearisation is not possible in this case when {f} is a non-trivial rational function). An obstruction is also present in some irrationally indifferent cases (where {|\lambda|=1} but {\lambda^n \neq 1} for any natural number {n}), if {\lambda} is sufficiently close to various roots of unity; the first result of this form is due to Cremer, and the optimal result of this type for quadratic maps was established by Yoccoz. In the other direction, we have the following result of Siegel:

Theorem 2 (Siegel’s linearisation theorem) Let {f: U \rightarrow {\bf C}} be a holomorphic function defined near {0} with {f(0)=0} and {f'(0)=\lambda}. If {|\lambda|=1} and one has the Diophantine condition {\frac{1}{|\lambda^n-1|} \leq C n^C} for all natural numbers {n} and some constant {C>0}, then {f} is linearisable at {0}.

The Diophantine condition can be relaxed to a more general condition involving the rational exponents of the phase {\theta} of {\lambda = e^{2\pi i \theta}}; this was worked out by Brjuno, with the condition matching the one later obtained by Yoccoz. Amusingly, while the set of Diophantine numbers (and hence the set of linearisable {\lambda}) has full measure on the unit circle, the set of non-linearisable {\lambda} is generic (the complement of countably many nowhere dense sets) due to the above-mentioned work of Cremer, leading to a striking disparity between the measure-theoretic and category notions of “largeness”.

Siegel’s theorem does not seem to be provable using a fixed point iteration method. However, it can be established by modifying another basic method to solve equations, namely Newton’s method. Let us first review how this method works to solve the equation {f(x)=0} for some smooth function {f: I \rightarrow {\bf R}} defined on an interval {I}. We suppose we have some initial approximant {x_0 \in I} to this equation, with {f(x_0)} small but not necessarily zero. To make the analysis more quantitative, let us suppose that the interval {[x_0-r_0,x_0+r_0]} lies in {I} for some {r_0>0}, and we have the estimates

\displaystyle  |f(x_0)| \leq \delta_0 r_0

\displaystyle  |f'(x)| \geq \eta_0

\displaystyle  |f''(x)| \leq \frac{1}{\eta_0 r_0}

for some {\delta_0 > 0} and {0 < \eta_0 < 1/2} and all {x \in [x_0-r_0,x_0+r_0]} (the factors of {r_0} are present to make {\delta_0,\eta_0} “dimensionless”).

Lemma 3 Under the above hypotheses, we can find {x_1} with {|x_1 - x_0| \leq \eta_0 r_0} such that

\displaystyle  |f(x_1)| \ll \delta_0^2 \eta_0^{-O(1)} r_0.

In particular, setting {r_1 := (1-\eta_0) r_0}, {\eta_1 := \eta_0/2}, and {\delta_1 = O(\delta_0^2 \eta_0^{-O(1)})}, we have {[x_1-r_1,x_1+r_1] \subset [x_0-r_0,x_0+r_0] \subset I}, and

\displaystyle  |f(x_1)| \leq \delta_1 r_1

\displaystyle  |f'(x)| \geq \eta_1

\displaystyle  |f''(x)| \leq \frac{1}{\eta_1 r_1}

for all {x \in [x_1-r_1,x_1+r_1]}.

The crucial point here is that the new error {\delta_1} is roughly the square of the previous error {\delta_0}. This leads to extremely fast (double-exponential) improvement in the error upon iteration, which is more than enough to absorb the exponential losses coming from the {\eta_0^{-O(1)}} factor.

Proof: If {\delta_0 > c \eta_0^{C}} for some absolute constants {C,c>0} then we may simply take {x_0=x_1}, so we may assume that {\delta_0 \leq c \eta_0^{C}} for some small {c>0} and large {C>0}. Using the Newton approximation {f(x_0+h) \approx f(x_0) + h f'(x_0)} we are led to the choice

\displaystyle  x_1 := x_0 - \frac{f(x_0)}{f'(x_0)}

for {x_1}. From the hypotheses on {f} and the smallness hypothesis on {\delta} we certainly have {|x_1-x_0| \leq \eta_0 r_0}. From Taylor’s theorem with remainder we have

\displaystyle  f(x_1) = f(x_0) - \frac{f(x_0)}{f'(x_0)} f'(x_0) + O( \frac{1}{\eta_0 r_0} |\frac{f(x_0)}{f'(x_0)}|^2 )

\displaystyle  = O( \frac{1}{\eta_0 r_0} (\frac{\delta_0 r_0}{\eta_0})^2 )

and the claim follows. \Box

We can iterate this procedure; starting with {x_0,\eta_0,r_0,\delta_0} as above, we obtain a sequence of nested intervals {[x_n-r_n,x_n+r_n]} with {f(x_n)| \leq \delta_n}, and with {\eta_n,r_n,\delta_n,x_n} evolving by the recursive equations and estimates

\displaystyle  \eta_n = \eta_{n-1} / 2

\displaystyle  r_n = (1 - \eta_{n-1}) r_{n-1}

\displaystyle  \delta_n = O( \delta_{n-1}^2 \eta_{n-1}^{-O(1)} )

\displaystyle  |x_n - x_{n-1}| \leq \eta_{n-1} r_{n-1}.

If {\delta_0} is sufficiently small depending on {\eta_0}, we see that {\delta_n} converges rapidly to zero (indeed, we can inductively obtain a bound of the form {\delta_n \leq \eta_0^{C (2^n + n)}} for some large absolute constant {C} if {\delta_0} is small enough), and {x_n} converges to a limit {x \in I} which then solves the equation {f(x)=0} by the continuity of {f}.

As I recently learned from Zhiqiang Li, a similar scheme works to prove Siegel’s theorem, as can be found for instance in this text of Carleson and Gamelin. The key is the following analogue of Lemma 3.

Lemma 4 Let {\lambda} be a complex number with {|\lambda|=1} and {\frac{1}{|\lambda^n-1|} \ll n^{O(1)}} for all natural numbers {n}. Let {r_0>0}, and let {f_0: B(0,r_0) \rightarrow {\bf C}} be a holomorphic function with {f_0(0)=0}, {f'_0(0)=\lambda}, and

\displaystyle  |f_0(z) - \lambda z| \leq \delta_0 r_0 \ \ \ \ \ (3)

for all {z \in B(0,r_0)} and some {\delta_0>0}. Let {0 < \eta_0 \leq 1/2}, and set {r_1 := (1-\eta_0) r_0}. Then there exists an injective holomorphic function {\psi_0: B(0, r_1) \rightarrow B(0, r_0)} and a holomorphic function {f_1: B(0,r_1) \rightarrow {\bf C}} such that

\displaystyle  f_0( \psi_1(z) ) = \psi_1(f_1(z)) \ \ \ \ \ (4)

for all {z \in B(0,r_1)}, and such that

\displaystyle  |\psi_1(z) - z| \ll \delta_0 \eta_0^{-O(1)} r_1


\displaystyle  |f_1(z) - \lambda z| \leq \delta_1 r_1

for all {z \in B(0,r_1)} and some {\delta_1 = O(\delta_0^2 \eta_0^{-O(1)})}.

Proof: By scaling we may normalise {r_0=1}. If {\delta_0 > c \eta_0^C} for some constants {c,C>0}, then we can simply take {\psi_1} to be the identity and {f_1=f_0}, so we may assume that {\delta_0 \leq c \eta_0^C} for some small {c>0} and large {C>0}.

To motivate the choice of {\psi_1}, we write {f_0(z) = \lambda z + \hat f_0(z)} and {\psi_1(z) = z + \hat \psi(z)}, with {\hat f_0} and {\hat \psi_1} viewed as small. We would like to have {f_0(\psi_1(z)) \approx \psi_1(\lambda z)}, which expands as

\displaystyle  \lambda z + \lambda \hat \psi_1(z) + \hat f_0( z + \hat \psi_1(z) ) \approx \lambda z + \hat \psi_1(\lambda z).

As {\hat f_0} and {\hat \psi} are both small, we can heuristically approximate {\hat f_0(z + \hat \psi_1(z) ) \approx \hat f_0(z)} up to quadratic errors (compare with the Newton approximation {f(x_0+h) \approx f(x_0) + h f'(x_0)}), and arrive at the equation

\displaystyle  \hat \psi_1(\lambda z) - \lambda \hat \psi_1(z) = \hat f_0(z). \ \ \ \ \ (5)

This equation can be solved by Taylor series; the function {\hat f_0} vanishes to second order at the origin and thus has a Taylor expansion

\displaystyle  \hat f_0(z) = \sum_{n=2}^\infty a_n z^n

and then {\hat \psi_1} has a Taylor expansion

\displaystyle  \hat \psi_1(z) = \sum_{n=2}^\infty \frac{a_n}{\lambda^n - \lambda} z^n.

We take this as our definition of {\hat \psi_1}, define {\psi_1(z) := z + \hat \psi_1(z)}, and then define {f_1} implicitly via (4).

Let us now justify that this choice works. By (3) and the generalised Cauchy integral formula, we have {|a_n| \leq \delta_0} for all {n}; by the Diophantine assumption on {\lambda}, we thus have {|\frac{a_n}{\lambda^n - \lambda}| \ll \delta_0 n^{O(1)}}. In particular, {\hat \psi_1} converges on {B(0,1)}, and on the disk {B(0, (1-\eta_0/4))} (say) we have the bounds

\displaystyle  |\hat \psi_1(z)|, |\hat \psi'_1(z)| \ll \delta_0 \sum_{n=2}^\infty n^{O(1)} (1-\eta_0/4)^n \ll \eta_0^{-O(1)} \delta_0. \ \ \ \ \ (6)

In particular, as {\delta_0} is so small, we see that {\psi_1} maps {B(0, (1-\eta_0/4))} injectively to {B(0,1)} and {B(0,1-\eta_0)} to {B(0,1-3\eta_0/4)}, and the inverse {\psi_1^{-1}} maps {B(0, (1-\eta_0/2))} to {B(0, (1-\eta_0/4))}. From (3) we see that {f_0} maps {B(0,1-3\eta_0/4)} to {B(0,1-\eta_0/2)}, and so if we set {f_1: B(0,1-\eta_0) \rightarrow B(0,1-\eta_0/4)} to be the function {f_1 := \psi_1^{-1} \circ f_0 \circ \psi_1}, then {f_1} is a holomorphic function obeying (4). Expanding (4) in terms of {\hat f_0} and {\hat \psi_1} as before, and also writing {f_1(z) = \lambda z + \hat f_1(z)}, we have

\displaystyle  \lambda z + \lambda \hat \psi_1(z) + \hat f_0( z + \hat \psi_1(z) ) = \lambda z + \hat f_1(z) + \hat \psi_1(\lambda z + \hat f_1(z))

for {z \in B(0, 1-\eta_0)}, which by (5) simplifies to

\displaystyle  \hat f_1(z) = \hat f_0( z + \hat \psi_1(z) ) - \hat f_0(z) + \hat \psi_1(\lambda z) - \hat \psi_1(\lambda z + \hat f_1(z)).

From (6), the fundamental theorem of calculus, and the smallness of {\delta_0} we have

\displaystyle  |\hat \psi_1(\lambda z) - \hat \psi_1(\lambda z + \hat f_1(z))| \leq \frac{1}{2} |\hat f_1(z)|

and thus

\displaystyle  |\hat f_1(z)| \leq 2 |\hat f_0( z + \hat \psi_1(z) ) - \hat f_0(z)|.

From (3) and the Cauchy integral formula we have {\hat f'_0(z) = O( \delta_0 \eta_0^{-O(1)})} on (say) {B(0,1-\eta_0/4)}, and so from (6) and the fundamental theorem of calculus we conclude that

\displaystyle  |\hat f_1(z)| \ll \delta_0^2 \eta_0^{-O(1)}

on {B(0,1-\eta_0)}, and the claim follows. \Box

If we set {\eta_0 := 1/2}, {f_0 := f}, and {\delta_0>0} to be sufficiently small, then (since {f(z)-\lambda z} vanishes to second order at the origin), the hypotheses of this lemma will be obeyed for some sufficiently small {r_0}. Iterating the lemma (and halving {\eta_0} repeatedly), we can then find sequences {\eta_n, \delta_n, r_n > 0}, injective holomorphic functions {\psi_n: B(0,r_n) \rightarrow B(0,r_{n-1})} and holomorphic functions {f_n: B(0,r_n) \rightarrow {\bf C}} such that one has the recursive identities and estimates

\displaystyle  \eta_n = \eta_{n-1} / 2

\displaystyle  r_n = (1 - \eta_{n-1}) r_{n-1}

\displaystyle  \delta_n = O( \delta_{n-1}^2 \eta_{n-1}^{-O(1)} )

\displaystyle  |\psi_n(z) - z| \ll \delta_{n-1} \eta_{n-1}^{-O(1)} r_n

\displaystyle  |f_n(z) - \lambda z| \leq \delta_n r_n

\displaystyle  f_{n-1}( \psi_n(z) ) = \psi_n(f_n(z))

for all {n \geq 1} and {z \in B(0,r_n)}. By construction, {r_n} decreases to a positive radius {r_\infty} that is a constant multiple of {r_0}, while (for {\delta_0} small enough) {\delta_n} converges double-exponentially to zero, so in particular {f_n(z)} converges uniformly to {\lambda z} on {B(0,r_\infty)}. Also, {\psi_n} is close enough to the identity, the compositions {\Psi_n := \psi_1 \circ \dots \circ \psi_n} are uniformly convergent on {B(0,r_\infty/2)} with {\Psi_n(0)=0} and {\Psi'_n(0)=1}. From this we have

\displaystyle  f( \Psi_n(z) ) = \Psi_n(f_n(z))

on {B(0,r_\infty/4)}, and on taking limits using Morera’s theorem we obtain a holomorphic function {\Psi} defined near {0} with {\Psi(0)=0}, {\Psi'(0)=1}, and

\displaystyle  f( \Psi(z) ) = \Psi(\lambda z),

obtaining the required linearisation.

Remark 5 The idea of using a Newton-type method to obtain error terms that decay double-exponentially, and can therefore absorb exponential losses in the iteration, also occurs in KAM theory and in Nash-Moser iteration, presumably due to Siegel’s influence on Moser. (I discuss Nash-Moser iteration in this note that I wrote back in 2006.)

The von Neumann ergodic theorem (the Hilbert space version of the mean ergodic theorem) asserts that if {U: H \rightarrow H} is a unitary operator on a Hilbert space {H}, and {v \in H} is a vector in that Hilbert space, then one has

\displaystyle \lim_{N \rightarrow \infty} \frac{1}{N} \sum_{n=1}^N U^n v = \pi_{H^U} v

in the strong topology, where {H^U := \{ w \in H: Uw = w \}} is the {U}-invariant subspace of {H}, and {\pi_{H^U}} is the orthogonal projection to {H^U}. (See e.g. these previous lecture notes for a proof.) The same proof extends to more general amenable groups: if {G} is a countable amenable group acting on a Hilbert space {H} by unitary transformations {T^g: H \rightarrow H} for {g \in G}, and {v \in H} is a vector in that Hilbert space, then one has

\displaystyle \lim_{N \rightarrow \infty} \mathop{\bf E}_{g \in \Phi_N} T^g v = \pi_{H^G} v \ \ \ \ \ (1)


for any Folner sequence {\Phi_N} of {G}, where {H^G := \{ w \in H: T^g w = w \hbox{ for all }g \in G \}} is the {G}-invariant subspace, and {\mathop{\bf E}_{a \in A} f(a) := \frac{1}{|A|} \sum_{a \in A} f(a)} is the average of {f} on {A}. Thus one can interpret {\pi_{H^G} v} as a certain average of elements of the orbit {Gv := \{ T^g v: g \in G \}} of {v}.

In a previous blog post, I noted a variant of this ergodic theorem (due to Alaoglu and Birkhoff) that holds even when the group {G} is not amenable (or not discrete), using a more abstract notion of averaging:

Theorem 1 (Abstract ergodic theorem) Let {G} be an arbitrary group acting unitarily on a Hilbert space {H}, and let {v} be a vector in {H}. Then {\pi_{H^G} v} is the element in the closed convex hull of {Gv := \{ T^g v: g \in G \}} of minimal norm, and is also the unique element of {H^G} in this closed convex hull.

I recently stumbled upon a different way to think about this theorem, in the additive case {G = (G,+)} when {G} is abelian, which has a closer resemblance to the classical mean ergodic theorem. Given an arbitrary additive group {G = (G,+)} (not necessarily discrete, or countable), let {{\mathcal F}} denote the collection of finite non-empty multisets in {G} – that is to say, unordered collections {\{a_1,\dots,a_n\}} of elements {a_1,\dots,a_n} of {G}, not necessarily distinct, for some positive integer {n}. Given two multisets {A = \{a_1,\dots,a_n\}}, {B = \{b_1,\dots,b_m\}} in {{\mathcal F}}, we can form the sum set {A + B := \{ a_i + b_j: 1 \leq i \leq n, 1 \leq j \leq m \}}. Note that the sum set {A+B} can contain multiplicity even when {A, B} do not; for instance, {\{ 1,2\} + \{1,2\} = \{2,3,3,4\}}. Given a multiset {A = \{a_1,\dots,a_n\}} in {{\mathcal F}}, and a function {f: G \rightarrow H} from {G} to a vector space {H}, we define the average {\mathop{\bf E}_{a \in A} f(a)} as

\displaystyle \mathop{\bf E}_{a \in A} f(a) = \frac{1}{n} \sum_{j=1}^n f(a_j).

Note that the multiplicity function of the set {A} affects the average; for instance, we have {\mathop{\bf E}_{a \in \{1,2\}} a = \frac{3}{2}}, but {\mathop{\bf E}_{a \in \{1,2,2\}} a = \frac{5}{3}}.

We can define a directed set on {{\mathcal F}} as follows: given two multisets {A,B \in {\mathcal F}}, we write {A \geq B} if we have {A = B+C} for some {C \in {\mathcal F}}. Thus for instance we have {\{ 1, 2, 2, 3\} \geq \{1,2\}}. It is easy to verify that this operation is transitive and reflexive, and is directed because any two elements {A,B} of {{\mathcal F}} have a common upper bound, namely {A+B}. (This is where we need {G} to be abelian.) The notion of convergence along a net, now allows us to define the notion of convergence along {{\mathcal F}}; given a family {x_A} of points in a topological space {X} indexed by elements {A} of {{\mathcal F}}, and a point {x} in {X}, we say that {x_A} converges to {x} along {{\mathcal F}} if, for every open neighbourhood {U} of {x} in {X}, one has {x_A \in U} for sufficiently large {A}, that is to say there exists {B \in {\mathcal F}} such that {x_A \in U} for all {A \geq B}. If the topological space {V} is Hausdorff, then the limit {x} is unique (if it exists), and we then write

\displaystyle x = \lim_{A \rightarrow G} x_A.

When {x_A} takes values in the reals, one can also define the limit superior or limit inferior along such nets in the obvious fashion.

We can then give an alternate formulation of the abstract ergodic theorem in the abelian case:

Theorem 2 (Abelian abstract ergodic theorem) Let {G = (G,+)} be an arbitrary additive group acting unitarily on a Hilbert space {H}, and let {v} be a vector in {H}. Then we have

\displaystyle \pi_{H^G} v = \lim_{A \rightarrow G} \mathop{\bf E}_{a \in A} T^a v

in the strong topology of {H}.

Proof: Suppose that {A \geq B}, so that {A=B+C} for some {C \in {\mathcal F}}, then

\displaystyle \mathop{\bf E}_{a \in A} T^a v = \mathop{\bf E}_{c \in C} T^c ( \mathop{\bf E}_{b \in B} T^b v )

so by unitarity and the triangle inequality we have

\displaystyle \| \mathop{\bf E}_{a \in A} T^a v \|_H \leq \| \mathop{\bf E}_{b \in B} T^b v \|_H,

thus {\| \mathop{\bf E}_{a \in A} T^a v \|_H^2} is monotone non-increasing in {A}. Since this quantity is bounded between {0} and {\|v\|_H}, we conclude that the limit {\lim_{A \rightarrow G} \| \mathop{\bf E}_{a \in A} T^a v \|_H^2} exists. Thus, for any {\varepsilon > 0}, we have for sufficiently large {A} that

\displaystyle \| \mathop{\bf E}_{b \in B} T^b v \|_H^2 \geq \| \mathop{\bf E}_{a \in A} T^a v \|_H^2 - \varepsilon

for all {B \geq A}. In particular, for any {g \in G}, we have

\displaystyle \| \mathop{\bf E}_{b \in A + \{0,g\}} T^b v \|_H^2 \geq \| \mathop{\bf E}_{a \in A} T^a v \|_H^2 - \varepsilon.

We can write

\displaystyle \mathop{\bf E}_{b \in A + \{0,g\}} T^b v = \frac{1}{2} \mathop{\bf E}_{a \in A} T^a v + \frac{1}{2} T^g \mathop{\bf E}_{a \in A} T^a v

and so from the parallelogram law and unitarity we have

\displaystyle \| \mathop{\bf E}_{a \in A} T^a v - T^g \mathop{\bf E}_{a \in A} T^a v \|_H^2 \leq 4 \varepsilon

for all {g \in G}, and hence by the triangle inequality (averaging {g} over a finite multiset {C})

\displaystyle \| \mathop{\bf E}_{a \in A} T^a v - \mathop{\bf E}_{b \in A+C} T^b v \|_H^2 \leq 4 \varepsilon

for any {C \in {\mathcal F}}. This shows that {\mathop{\bf E}_{a \in A} T^a v} is a Cauchy sequence in {H} (in the strong topology), and hence (by the completeness of {H}) tends to a limit. Shifting {A} by a group element {g}, we have

\displaystyle \lim_{A \rightarrow G} \mathop{\bf E}_{a \in A} T^a v = \lim_{A \rightarrow G} \mathop{\bf E}_{a \in A + \{g\}} T^a v = T^g \lim_{A \rightarrow G} \mathop{\bf E}_{a \in A} T^a v

and hence {\lim_{A \rightarrow G} \mathop{\bf E}_{a \in A} T^a v} is invariant under shifts, and thus lies in {H^G}. On the other hand, for any {w \in H^G} and {A \in {\mathcal F}}, we have

\displaystyle \langle \mathop{\bf E}_{a \in A} T^a v, w \rangle_H = \mathop{\bf E}_{a \in A} \langle v, T^{-a} w \rangle_H = \langle v, w \rangle_H

and thus on taking strong limits

\displaystyle \langle \lim_{A \rightarrow G} \mathop{\bf E}_{a \in A} T^a v, w \rangle_H = \langle v, w \rangle_H

and so {v - \lim_{A \rightarrow G} \mathop{\bf E}_{a \in A} T^a v} is orthogonal to {H^G}. Combining these two facts we see that {\lim_{A \rightarrow G} \mathop{\bf E}_{a \in A} T^a v} is equal to {\pi_{H^G} v} as claimed. \Box

To relate this result to the classical ergodic theorem, we observe

Lemma 3 Let {G} be a countable additive group, with a F{\o}lner sequence {\Phi_n}, and let {f_g} be a bounded sequence in a normed vector space indexed by {G}. If {\lim_{A \rightarrow G} \mathop{\bf E}_{a \in A} f_a} exists, then {\lim_{n \rightarrow \infty} \mathop{\bf E}_{a \in \Phi_n} f_a} exists, and the two limits are equal.

Proof: From the F{\o}lner property, we see that for any {A} and any {\varepsilon>0}, the averages {\mathop{\bf E}_{a \in \Phi_n} f_a} and {\mathop{\bf E}_{a \in A+\Phi_n} f_a} differ by at most {\varepsilon} in norm if {n} is sufficiently large depending on {A}, {\varepsilon} (and the {f_a}). On the other hand, by the existence of the limit {\lim_{A \rightarrow G} \mathop{\bf E}_{a \in A} f_a}, the averages {\mathop{\bf E}_{a \in A} f_a} and {\mathop{\bf E}_{a \in A + \Phi_n} f_a} differ by at most {\varepsilon} in norm if {A} is sufficiently large depending on {\varepsilon} (regardless of how large {n} is). The claim follows. \Box

It turns out that this approach can also be used as an alternate way to construct the GowersHost-Kra seminorms in ergodic theory, which has the feature that it does not explicitly require any amenability on the group {G} (or separability on the underlying measure space), though, as pointed out to me in comments, even uncountable abelian groups are amenable in the sense of possessing an invariant mean, even if they do not have a F{\o}lner sequence.

Given an arbitrary additive group {G}, define a {G}-system {({\mathrm X}, T)} to be a probability space {{\mathrm X} = (X, {\mathcal X}, \mu)} (not necessarily separable or standard Borel), together with a collection {T^g: X \rightarrow X} of invertible, measure-preserving maps, such that {T^0} is the identity and {T^g T^h = T^{g+h}} (modulo null sets) for all {g,h \in G}. This then gives isomorphisms {T^g: L^p({\mathrm X}) \rightarrow L^p({\mathrm X})} for {1 \leq p \leq \infty} by setting {T^g f(x) := f(T^{-g} x)}. From the above abstract ergodic theorem, we see that

\displaystyle {\mathbf E}( f | {\mathcal X}^G ) = \lim_{A \rightarrow G} \mathop{\bf E}_{a \in A} T^g f

in the strong topology of {L^2({\mathrm X})} for any {f \in L^2({\mathrm X})}, where {{\mathcal X}^G} is the collection of measurable sets {E} that are essentially {G}-invariant in the sense that {T^g E = E} modulo null sets for all {g \in G}, and {{\mathbf E}(f|{\mathcal X}^G)} is the conditional expectation of {f} with respect to {{\mathcal X}^G}.

In a similar spirit, we have

Theorem 4 (Convergence of Gowers-Host-Kra seminorms) Let {({\mathrm X},T)} be a {G}-system for some additive group {G}. Let {d} be a natural number, and for every {\omega \in\{0,1\}^d}, let {f_\omega \in L^{2^d}({\mathrm X})}, which for simplicity we take to be real-valued. Then the expression

\displaystyle \langle (f_\omega)_{\omega \in \{0,1\}^d} \rangle_{U^d({\mathrm X})} := \lim_{A_1,\dots,A_d \rightarrow G}

\displaystyle \mathop{\bf E}_{h_1 \in A_1-A_1,\dots,h_d \in A_d-A_d} \int_X \prod_{\omega \in \{0,1\}^d} T^{\omega_1 h_1 + \dots + \omega_d h_d} f_\omega\ d\mu

converges, where we write {\omega = (\omega_1,\dots,\omega_d)}, and we are using the product direct set on {{\mathcal F}^d} to define the convergence {A_1,\dots,A_d \rightarrow G}. In particular, for {f \in L^{2^d}({\mathrm X})}, the limit

\displaystyle \| f \|_{U^d({\mathrm X})}^{2^d} = \lim_{A_1,\dots,A_d \rightarrow G}

\displaystyle \mathop{\bf E}_{h_1 \in A_1-A_1,\dots,h_d \in A_d-A_d} \int_X \prod_{\omega \in \{0,1\}^d} T^{\omega_1 h_1 + \dots + \omega_d h_d} f\ d\mu


We prove this theorem below the fold. It implies a number of other known descriptions of the Gowers-Host-Kra seminorms {\|f\|_{U^d({\mathrm X})}}, for instance that

\displaystyle \| f \|_{U^d({\mathrm X})}^{2^d} = \lim_{A \rightarrow G} \mathop{\bf E}_{h \in A-A} \| f T^h f \|_{U^{d-1}({\mathrm X})}^{2^{d-1}}

for {d > 1}, while from the ergodic theorem we have

\displaystyle \| f \|_{U^1({\mathrm X})} = \| {\mathbf E}( f | {\mathcal X}^G ) \|_{L^2({\mathrm X})}.

This definition also manifestly demonstrates the cube symmetries of the Host-Kra measures {\mu^{[d]}} on {X^{\{0,1\}^d}}, defined via duality by requiring that

\displaystyle \langle (f_\omega)_{\omega \in \{0,1\}^d} \rangle_{U^d({\mathrm X})} = \int_{X^{\{0,1\}^d}} \bigotimes_{\omega \in \{0,1\}^d} f_\omega\ d\mu^{[d]}.

In a subsequent blog post I hope to present a more detailed study of the {U^2} norm and its relationship with eigenfunctions and the Kronecker factor, without assuming any amenability on {G} or any separability or topological structure on {{\mathrm X}}.

Read the rest of this entry »

Hoi Nguyen, Van Vu, and myself have just uploaded to the arXiv our paper “Random matrices: tail bounds for gaps between eigenvalues“. This is a followup paper to my recent paper with Van in which we showed that random matrices {M_n} of Wigner type (such as the adjacency matrix of an Erdös-Renyi graph) asymptotically almost surely had simple spectrum. In the current paper, we push the method further to show that the eigenvalues are not only distinct, but are (with high probability) separated from each other by some negative power {n^{-A}} of {n}. This follows the now standard technique of replacing any appearance of discrete Littlewood-Offord theory (a key ingredient in our previous paper) with its continuous analogue (inverse theorems for small ball probability). For general Wigner-type matrices {M_n} (in which the matrix entries are not normalised to have mean zero), we can use the inverse Littlewood-Offord theorem of Nguyen and Vu to obtain (under mild conditions on {M_n}) a result of the form

\displaystyle  {\bf P} (\lambda_{i+1}(M_n) - \lambda_i(M_n) \leq n^{-A} ) \leq n^{-B}

for any {B} and {i}, if {A} is sufficiently large depending on {B} (in a linear fashion), and {n} is sufficiently large depending on {B}. The point here is that {B} can be made arbitrarily large, and also that no continuity or smoothness hypothesis is made on the distribution of the entries. (In the continuous case, one can use the machinery of Wegner estimates to obtain results of this type, as was done in a paper of Erdös, Schlein, and Yau.)

In the mean zero case, it becomes more efficient to use an inverse Littlewood-Offord theorem of Rudelson and Vershynin to obtain (with the normalisation that the entries of {M_n} have unit variance, so that the eigenvalues of {M_n} are {O(\sqrt{n})} with high probability), giving the bound

\displaystyle  {\bf P} (\lambda_{i+1}(M_n) - \lambda_i(M_n) \leq \delta / \sqrt{n} ) \ll \delta \ \ \ \ \ (1)

for {\delta \geq n^{-O(1)}} (one also has good results of this type for smaller values of {\delta}). This is only optimal in the regime {\delta \sim 1}; we expect to establish some eigenvalue repulsion, improving the RHS to {\delta^2} for real matrices and {\delta^3} for complex matrices, but this appears to be a more difficult task (possibly requiring some quadratic inverse Littlewood-Offord theory, rather than just linear inverse Littlewood-Offord theory). However, we can get some repulsion if one works with larger gaps, getting a result roughly of the form

\displaystyle  {\bf P} (\lambda_{i+k}(M_n) - \lambda_i(M_n) \leq \delta / \sqrt{n} ) \ll \delta^{ck^2}

for any fixed {k \geq 1} and some absolute constant {c>0} (which we can asymptotically make to be {1/3} for large {k}, though it ought to be as large as {1}), by using a higher-dimensional version of the Rudelson-Vershynin inverse Littlewood-Offord theorem.

In the case of Erdös-Renyi graphs, we don’t have mean zero and the Rudelson-Vershynin Littlewood-Offord theorem isn’t quite applicable, but by working carefully through the approach based on the Nguyen-Vu theorem we can almost recover (1), except for a loss of {n^{o(1)}} on the RHS.

As a sample applications of the eigenvalue separation results, we can now obtain some information about eigenvectors; for instance, we can show that the components of the eigenvectors all have magnitude at least {n^{-A}} for some {A} with high probability. (Eigenvectors become much more stable, and able to be studied in isolation, once their associated eigenvalue is well separated from the other eigenvalues; see this previous blog post for more discussion.)


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